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Fair Value of Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2020
Fair Value Disclosures [Abstract] |
Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis | The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2020 and December 31, 2019, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):
| Measured at Fair Value on a Recurring Basis at
| September 30, 2020 |  | December 31, 2019
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment securities available for sale, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 922,877 |  |  | $ | — |  |  | $ | 922,877 |
Agency CMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 50,958 |  |  | — |  |  | 50,958 |
Non-Agency RMBS | — |  |  | 375,765 |  |  | — |  |  | 375,765 |  |  | — |  |  | 715,314 |  |  | — |  |  | 715,314 |
CMBS | — |  |  | 182,925 |  |  | — |  |  | 182,925 |  |  | — |  |  | 267,777 |  |  | — |  |  | 267,777 |
ABS | — |  |  | 45,007 |  |  | — |  |  | 45,007 |  |  | — |  |  | 49,214 |  |  | — |  |  | 49,214 |
Residential loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans | — |  |  | — |  |  | 1,177,298 |  |  | 1,177,298 |  |  | — |  |  | — |  |  | 1,429,754 |  |  | 1,429,754 |
Consolidated SLST | — |  |  | — |  |  | 1,290,005 |  |  | 1,290,005 |  |  | — |  |  | — |  |  | 1,328,886 |  |  | 1,328,886 |
Residential loans held in securitization trusts | — |  |  | — |  |  | 355,486 |  |  | 355,486 |  |  | — |  |  | — |  |  | — |  |  | — |
Investments in unconsolidated entities | — |  |  | — |  |  | 218,706 |  |  | 218,706 |  |  | — |  |  | — |  |  | 83,882 |  |  | 83,882 |
Preferred equity and mezzanine loan investments | — |  |  | — |  |  | 183,154 |  |  | 183,154 |  |  | — |  |  | — |  |  | — |  |  | — |
Multi-family loans held in securitization trusts, at fair value | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 17,816,746 |  |  | 17,816,746 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps (1) | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 15,878 |  |  | — |  |  | 15,878 |
Total | $ | — |  |  | $ | 603,697 |  |  | $ | 3,224,649 |  |  | $ | 3,828,346 |  |  | $ | — |  |  | $ | 2,022,018 |  |  | $ | 20,659,268 |  |  | $ | 22,681,286 |
Liabilities carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Multi-family collateralized debt obligations, at fair value | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 16,724,451 |  |  | $ | 16,724,451 |
Residential collateralized debt obligations, at fair value | — |  |  | — |  |  | 1,077,980 |  |  | 1,077,980 |  |  | — |  |  | — |  |  | 1,052,829 |  |  | 1,052,829 |
Total | $ | — |  |  | $ | — |  |  | $ | 1,077,980 |  |  | $ | 1,077,980 |  |  | $ | — |  |  | $ | — |  |  | $ | 17,777,280 |  |  | $ | 17,777,280 |
(1)All of the Company's interest rate swaps were cleared through a central clearing house. The Company exchanged variation margin for swaps based upon daily changes in fair value. Included derivative liabilities of $29.0 million netted against a variation margin of $44.8 million at December 31, 2019.
Schedule of Changes in Valuation of Level 3 Assets | The following tables detail changes in valuation for the Level 3 assets for the nine months ended September 30, 2020 and 2019, respectively (dollar amounts in thousands): Level 3 Assets:
| Nine Months Ended September 30, 2020
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Investments in unconsolidated entities |  | Preferred equity and mezzanine loan investments |  | Multi-family loans held in securitization trusts |  | Total
Balance at beginning of period | $ | 1,429,754 |  |  | $ | 1,328,886 |  |  | $ | — |  |  | $ | 83,882 |  |  | $ | — |  |  | $ | 17,816,746 |  |  | $ | 20,659,268 |
Total (losses)/gains (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | (26,069) |  |  | 24,096 |  |  | 8,836 |  |  | 14,573 |  |  | 9,760 |  |  | 41,795 |  |  | 72,991 |
Transfers in (1) | 164,279 |  |  | — |  |  | 46,572 |  |  | 107,477 |  |  | 182,465 |  |  | — |  |  | 500,793 |
Transfers out (2) (3) | (5,061) |  |  | — |  |  | (1,497) |  |  | — |  |  | — |  |  | (237,297) |  |  | (243,855) |
Transfer to securitization trust (4) | (317,089) |  |  | — |  |  | 317,089 |  |  | — |  |  | — |  |  | — |  |  | — |
Contributions | — |  |  | — |  |  | — |  |  | 35,951 |  |  | 13,712 |  |  | — |  |  | 49,663 |
Paydowns/Distributions | (224,073) |  |  | (62,977) |  |  | (15,514) |  |  | (23,177) |  |  | (22,783) |  |  | (239,796) |  |  | (588,320) |
Recovery of charge-off | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 35 |  |  | 35 |
Sales (3) | (93,755) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (17,381,483) |  |  | (17,475,238) |
Purchases | 249,312 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 249,312 |
Balance at the end of period | $ | 1,177,298 |  |  | $ | 1,290,005 |  |  | $ | 355,486 |  |  | $ | 218,706 |  |  | $ | 183,154 |  |  | $ | — |  |  | $ | 3,224,649 |
(1)As of January 1, 2020, the Company has elected to account for all residential loans, residential loans held in securitization trusts, investments in unconsolidated entities and preferred equity and mezzanine loan investments using the fair value option (see Note 2). (2)Transfers out of Level 3 assets include the transfer of residential loans to real estate owned. (3)During the nine months ended September 30, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated multi-family loans held in securitization trusts and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Notes 2 and 6). (4)In July 2020, the Company completed a securitization of certain performing, re-performing and non-performing residential loans (see Note 9).
| Nine Months Ended September 30, 2019
| Residential loans |  | Investments in unconsolidated entities |  | Multi-family loans held in securitization trusts |  | CMBS held in securitization trusts |  | Total
Balance at beginning of period | $ | 737,523 |  |  | $ | 32,994 |  |  | $ | 11,679,847 |  |  | $ | 52,700 |  |  | $ | 12,503,064 |
Total gains/(losses) (realized/unrealized) |  |  |  |  |  |  |  |  |
Included in earnings | 44,913 |  |  | 7,169 |  |  | 760,132 |  |  | 17,734 |  |  | 829,948 |
Included in other comprehensive income (loss) | — |  |  | — |  |  | — |  |  | (13,665) |  |  | (13,665) |
Transfers in | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out | (437) |  |  | — |  |  | — |  |  | — |  |  | (437) |
Contributions | — |  |  | 50,000 |  |  | — |  |  | — |  |  | 50,000 |
Paydowns/Distributions | (106,113) |  |  | (13,914) |  |  | (368,811) |  |  | — |  |  | (488,838) |
Charge-off | — |  |  | — |  |  | (3,510) |  |  | — |  |  | (3,510) |
Sales | (19,814) |  |  | — |  |  | — |  |  | (56,769) |  |  | (76,583) |
Purchases (1) | 460,056 |  |  | — |  |  | 3,795,606 |  |  | — |  |  | 4,255,662 |
Balance at the end of period | $ | 1,116,128 |  |  | $ | 76,249 |  |  | $ | 15,863,264 |  |  | $ | — |  |  | $ | 17,055,641 |
(1)During the nine months ended September 30, 2019, the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. As a result, the Company consolidated assets of these securitizations in the amount of $3.8 billion during the nine months ended September 30, 2019 (see Notes 2 and 6).
Schedule of Changes in Valuation of Level 3 Liabilities | The following tables detail changes in valuation for the Level 3 liabilities for the nine months ended September 30, 2020 and 2019, respectively (dollar amounts in thousands): Level 3 Liabilities:
| Nine Months Ended September 30, 2020
| Multi-Family CDOs |  | SLST CDOs |  | Total
Balance at beginning of period | $ | 16,724,451 |  |  | $ | 1,052,829 |  |  | $ | 17,777,280 |
Total losses/(gains) (realized/unrealized) |  |  |  |  |
Included in earnings | 35,018 |  |  | 66,203 |  |  | 101,221 |
Paydowns | (147,376) |  |  | (63,278) |  |  | (210,654) |
Sales (1) | (16,612,093) |  |  | 22,226 |  |  | (16,589,867) |
Transfers out | — |  |  | — |  |  | — |
Balance at the end of period | $ | — |  |  | $ | 1,077,980 |  |  | $ | 1,077,980 |
(1)During the nine months ended September 30, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the Multi-Family CDOs (see Notes 2 and 6). Also includes the Company's net sales of senior securities issued by Consolidated SLST during the nine months ended September 30, 2020 (see Note 4).
| Nine Months Ended September 30, 2019 |  |
| Multi-Family CDOs |  |
Balance at beginning of period | $ | 11,022,248 |  |  |
Total losses (realized/unrealized) |  |  |
Included in earnings | 694,043 |  |  |
Purchases (1) | 3,633,525 |  |  |
Paydowns | (368,107) |  |  |
Charge-off | (3,510) |  |  |
Balance at the end of period | $ | 14,978,199 |  |  |
(1)During the nine months ended September 30, 2019, the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. As a result, the Company consolidated liabilities of these securitizations in the amount of $3.6 billion during the nine months ended September 30, 2019 (see Notes 2 and 6).
Schedule of Quantitative Information Regarding Significant and Unobservable Inputs used in Valuation of Level 3 Assets and Liabilities | The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands, except input values):
September 30, 2020 |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Weighted Average |  | Range
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |
Residential loans and residential loans held in securitization trusts (1) |  | $1,397,090 |  | Discounted cash flow |  | Lifetime CPR |  | 9.6% |  | — | - | 67.6%
|  |  |  |  |  | Lifetime CDR |  | 2.6% |  | — | - | 100.0%
|  |  |  |  |  | Loss severity |  | 16.3% |  | — | - | 100.0%
|  |  |  |  |  | Yield |  | 5.3% |  | 2.3% | - | 35.0%
|  | $135,694 |  | Liquidation model |  | Annual home price appreciation |  | 0.1% |  | — | - | 5.7%
|  |  |  |  |  | Liquidation timeline (months) |  | 29 |  | 1 | - | 57
|  |  |  |  |  | Property value |  | $572,723 |  | $12,430 | - | $3,550,000
|  |  |  |  |  | Yield |  | 7.1% |  | 7.0% | - | 35.0%
Residential loans held in Consolidated SLST (2) |  | $1,290,005 |  |  |  | Liability price |  | N/A |  |  |  |
Total |  | $2,822,789 |  |  |  |  |  |  |  |  |  |
Investments in unconsolidated entities (1) |  | $145,250 |  | Discounted cash flow |  | Discount rate |  | 12.5% |  | 12.0% | - | 13.5%
|  |  |  |  |  | Months to assumed redemption |  | 42 |  | 18 | - | 56
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Preferred equity and mezzanine loan investments (1) |  | $183,154 |  | Discounted cash flow |  | Discount rate |  | 12.4% |  | 11.5% | - | 16.0%
|  |  |  |  |  | Months to assumed redemption |  | 45 |  | 1 | - | 186
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Residential collateralized debt obligations, at fair value |  |  |  |  |  |  |  |  |  |  |  |
SLST CDOs (2) (3) |  | $1,077,980 |  | Discounted cash flow |  | Yield |  | 2.3% |  | 1.2% | - | 11.5%
|  |  |  |  |  | Collateral prepayment rate |  | 5.5% |  | 2.8% | - | 6.1%
|  |  |  |  |  | Collateral default rate |  | 2.0% |  | — | - | 6.8%
|  |  |  |  |  | Loss severity |  | 21.1% |  | — | - | 23.7%
(1)Weighted average amounts are calculated based on the weighted average fair value of the assets. (2)In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of SLST CDOs, including securities we own, as the fair value of these instruments is more observable. At September 30, 2020, the fair value of securities we owned in Consolidated SLST was $210.9 million. (3)Weighted average yield calculated based on the weighted average fair value of the liabilities. Weighted average collateral prepayment rate, weighted average collateral default rate, and weighted average loss severity are calculated based on the weighted average unpaid balance of the liabilities.
Schedule of Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 Assets and Liabilities | The following table details the changes in unrealized gains (losses) included in earnings for the three and nine months ended September 30, 2020 and 2019 for our Level 3 assets and liabilities held as of September 30, 2020 and 2019, respectively (dollar amounts in thousands):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2020 |  | 2019 |  | 2020 |  | 2019
Assets |  |  |  |  |  |  |
Residential loans, at fair value |  |  |  |  |  |  |
Residential loans (1) | $ | 35,420 |  |  | $ | 17,413 |  |  | $ | (883) |  |  | $ | 37,079 |
Consolidated SLST (1) | 41,063 |  |  | — |  |  | 28,014 |  |  | — |
Residential loans held in securitization trusts (1) | 817 |  |  | — |  |  | (823) |  |  | — |
Investments in unconsolidated entities (2) | 7 |  |  | 449 |  |  | (4,052) |  |  | 1,295 |
Preferred equity and mezzanine loan investments (1) | (955) |  |  | — |  |  | (6,518) |  |  | — |
Multi-family loans held in securitization trusts, at fair value (1) | — |  |  | 197,837 |  |  | — |  |  | 802,625 |
Liabilities |  |  |  |  |  |  |
Multi-family collateralized debt obligations, at fair value (1) | — |  |  | (190,207) |  |  | — |  |  | (780,378) |
Residential collateralized debt obligations, at fair value (1) | (13,918) |  |  | — |  |  | (62,907) |  |  | — |
(1)Presented in unrealized gains (losses), net on the Company's condensed consolidated statements of operations. (2)Presented in other income on the Company's condensed consolidated statements of operations.
Schedule of Assets Measured at Fair Value on a Non-recurring Basis | The following table presents assets measured at fair value on a non-recurring basis as of December 31, 2019, on the Company's condensed consolidated balance sheets (dollar amounts in thousands):
|  | December 31, 2019
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Residential loans held in securitization trusts – impaired loans, net |  | — |  |  | — |  |  | $ | 5,256 |  |  | $ | 5,256 |
Schedule of Gains (Losses) Incurred for Assets Measured at Fair Value on a Non-recurring Basis | The following table presents gains (losses) incurred for assets measured at fair value on a non-recurring basis for the three and nine months ended September 30, 2019, respectively, on the Company’s condensed consolidated statements of operations (dollar amounts in thousands):
| Three Months Ended September 30, 2019 |  | Nine Months Ended September 30, 2019
Residential loans held in securitization trusts – impaired loans, net | $ | 13 |  |  | $ | (24) |
Schedule of Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, non-Agency RMBS re-securitization, Consolidated SLST and KRVI as of September 30, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.
| Financing VIEs |  | Other VIEs |  |
| Residential Loan Securitizations |  | Non-Agency RMBS Re-Securitization |  | Consolidated SLST |  | KRVI |  | Total
Cash and cash equivalents | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,305 |  |  | $ | 4,305 |
Investment securities available for sale, at fair value | — |  |  | 131,836 |  |  | — |  |  | — |  |  | 131,836 |
Residential loans, at fair value | 355,486 |  |  | — |  |  | 1,290,005 |  |  | — |  |  | 1,645,491 |
Receivables and other assets | 12,568 |  |  | 50,635 |  |  | 4,162 |  |  | 3,660 |  |  | 71,025 |
Total assets | $ | 368,054 |  |  | $ | 182,471 |  |  | $ | 1,294,167 |  |  | $ | 7,965 |  |  | $ | 1,852,657 |
Residential collateralized debt obligations | $ | 268,820 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 268,820 |
Residential collateralized debt obligations, at fair value | — |  |  | — |  |  | 1,077,980 |  |  | — |  |  | 1,077,980 |
Securitized debt | — |  |  | 88,791 |  |  | — |  |  | — |  |  | 88,791 |
Accrued expenses and other liabilities | 1,211 |  |  | 396 |  |  | 3,664 |  |  | 74 |  |  | 5,345 |
Total liabilities | $ | 270,031 |  |  | $ | 89,187 |  |  | $ | 1,081,644 |  |  | $ | 74 |  |  | $ | 1,440,936 |
The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, the Consolidated K-Series, Consolidated SLST and KRVI as of December 31, 2019 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.
|  | Financing VIE |  | Other VIEs |  |
|  | Residential Loan Securitizations |  | Consolidated K-Series |  | Consolidated SLST |  | KRVI |  | Total
Cash and cash equivalents |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 107 |  |  | $ | 107 |
Residential loans, net |  | 44,030 |  |  | — |  |  | — |  |  | — |  |  | 44,030 |
Residential loans, at fair value |  | — |  |  | — |  |  | 1,328,886 |  |  | — |  |  | 1,328,886 |
Multi-family loans held in securitization trusts, at fair value |  | — |  |  | 17,816,746 |  |  | — |  |  | — |  |  | 17,816,746 |
Receivables and other assets |  | 1,328 |  |  | 59,417 |  |  | 5,244 |  |  | 14,626 |  |  | 80,615 |
Total assets |  | $ | 45,358 |  |  | $ | 17,876,163 |  |  | $ | 1,334,130 |  |  | $ | 14,733 |  |  | $ | 19,270,384 |
Residential collateralized debt obligations |  | $ | 40,429 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 40,429 |
Residential collateralized debt obligations, at fair value |  | — |  |  | — |  |  | 1,052,829 |  |  | — |  |  | 1,052,829 |
Multi-family collateralized debt obligations, at fair value |  | — |  |  | 16,724,451 |  |  | — |  |  | — |  |  | 16,724,451 |
Accrued expenses and other liabilities |  | 14 |  |  | 57,873 |  |  | 2,643 |  |  | 75 |  |  | 60,605 |
Total liabilities |  | $ | 40,443 |  |  | $ | 16,782,324 |  |  | $ | 1,055,472 |  |  | $ | 75 |  |  | $ | 17,878,314 |
The following table presents the carrying value and estimated fair value of the Company’s financial instruments at September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
|  |  | September 30, 2020 |  | December 31, 2019
| Fair Value Hierarchy Level |  | Carrying Value |  | Estimated Fair Value |  | Carrying Value |  | Estimated Fair Value
Financial Assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | Level 1 |  | $ | 649,822 |  |  | $ | 649,822 |  |  | $ | 118,763 |  |  | $ | 118,763 |
Investment securities available for sale, at fair value | Level 2 |  | 603,697 |  |  | 603,697 |  |  | 2,006,140 |  |  | 2,006,140 |
Residential loans, at fair value |  |  |  |  |  |  |  |  |
Residential loans | Level 3 |  | 1,177,298 |  |  | 1,177,298 |  |  | 1,429,754 |  |  | 1,429,754 |
Consolidated SLST | Level 3 |  | 1,290,005 |  |  | 1,290,005 |  |  | 1,328,886 |  |  | 1,328,886 |
Residential loans held in securitization trusts | Level 3 |  | 355,486 |  |  | 355,486 |  |  | — |  |  | — |
Residential loans, net | Level 3 |  | — |  |  | — |  |  | 202,756 |  |  | 208,471 |
Investments in unconsolidated entities | Level 3 |  | 218,706 |  |  | 218,706 |  |  | 189,965 |  |  | 191,359 |
Preferred equity and mezzanine loan investments | Level 3 |  | 183,154 |  |  | 183,154 |  |  | 180,045 |  |  | 182,465 |
Multi-family loans held in securitization trusts, at fair value | Level 3 |  | — |  |  | — |  |  | 17,816,746 |  |  | 17,816,746 |
Derivative assets | Level 2 |  | — |  |  | — |  |  | 15,878 |  |  | 15,878 |
Loans held for sale, net (1) | Level 3 |  | — |  |  | — |  |  | 2,406 |  |  | 2,482 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 672,519 |  |  | 672,519 |  |  | 3,105,416 |  |  | 3,105,416 |
Securitized debt | Level 2 |  | 88,791 |  |  | 90,096 |  |  | — |  |  | — |
Residential collateralized debt obligations | Level 3 |  | 268,820 |  |  | 269,749 |  |  | 40,429 |  |  | 38,888 |
Multi-family collateralized debt obligations, at fair value | Level 3 |  | — |  |  | — |  |  | 16,724,451 |  |  | 16,724,451 |
Residential collateralized debt obligations, at fair value | Level 3 |  | 1,077,980 |  |  | 1,077,980 |  |  | 1,052,829 |  |  | 1,052,829 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 32,548 |  |  | 45,000 |  |  | 41,592 |
Convertible notes | Level 2 |  | 134,720 |  |  | 135,457 |  |  | 132,955 |  |  | 140,865 |
In addition to the methodology to determine the fair value of the Company’s financial assets and liabilities reported at fair value on a recurring basis and non-recurring basis, as previously described, the following methods and assumptions were used by the Company in arriving at the fair value of the Company’s other financial instruments in the table immediately above: a.Cash and cash equivalents – Estimated fair value approximates the carrying value of such assets. b.Repurchase agreements – The fair value of these repurchase agreements approximates cost as they are short term in nature. c.Securitized debt - The fair value is based on discounted cash flows as well as market pricing on comparable obligations. d.Residential collateralized debt obligations – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations. e.Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields. f.Convertible notes – The fair value is based on quoted prices provided by dealers who make markets in similar financial instruments.

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