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Residential Loans, at Fair Value (Tables)

9 Months Ended

Sep. 30, 2020

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Schedule of Residential Mortgage Loans At Fair Value

The following table presents the Company’s residential loans, at fair value, which consist of residential loans held by the Company, Consolidated SLST and other securitization trusts, as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):

			September 30, 2020																		December 31, 2019
			Residential loans						Consolidated SLST (1)						Residential loans held in securitization trusts (2)						Residential loans						Consolidated SLST (1)
Principal			$	1,207,391					$	1,259,063					$	371,826					$	1,464,984					$	1,322,131
(Discount)/premium			(58,904)						2,628						(24,874)						(81,372)						6,455
Unrealized gains			28,811						28,314						8,534						46,142						300
Carrying value			$	1,177,298					$	1,290,005					$	355,486					$	1,429,754					$	1,328,886

(1)In 2019, the Company invested in first loss subordinated securities and certain IOs and senior securities issued by a Freddie Mac-sponsored residential loan securitization. In accordance with GAAP, the Company has consolidated the underlying seasoned re-performing and non-performing residential loans held in the securitization and the SLST CDOs issued to permanently finance these residential loans, representing Consolidated SLST. SLST CDOs are included in residential collateralized debt obligations, at fair value on the Company's condensed consolidated balance sheets.

(2)On January 1, 2020, the Company made a fair value election for its residential loans held in securitization trusts which were included in residential loans, net on the Company's condensed consolidated balance sheets as of December 31, 2019 (see Note 5). In July 2020, the Company transferred additional residential loans to residential loans held in securitization trusts (see Note 9).

Schedule of Components of Net Gain on Residential Mortgage Loans at Fair Value

The following table presents the unrealized gains (losses), net attributable to residential loans, at fair value for the three and nine months ended September 30, 2020 and 2019, respectively (dollar amounts in thousands):

			Three Months Ended
			September 30, 2020																		September 30, 2019
			Residential loans						Consolidated SLST (1)						Residential loans held in securitization trusts						Residential loans
Unrealized gains, net			$	25,583					$	41,063					$	10,143					$	16,818

			Nine Months Ended
			September 30, 2020																		September 30, 2019
			Residential loans						Consolidated SLST (1)						Residential loans held in securitization trusts						Residential loans
Unrealized (losses) gains, net			$	(17,899)					$	28,014					$	8,418					$	34,580

(1)The fair value of residential loans held in Consolidated SLST is determined in accordance with the practical expedient in ASC 810, Consolidation, ("ASC 810") (see Note 14). See Consolidated SLST below for unrealized gains (losses), net recognized by the Company on its investment in Consolidated SLST.

Schedule of Geographic Concentration of Credit Risk

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of September 30, 2020 and December 31, 2019, respectively, are as follows:

			September 30, 2020																		December 31, 2019
			Residential loans						Consolidated SLST						Residential loans held in securitization trusts						Residential loans						Consolidated SLST
California			23.4		%				10.9		%				15.8		%				23.9		%				11.0		%
Florida			11.7		%				10.5		%				6.4		%				9.4		%				10.6		%
New York			8.0		%				9.2		%				11.0		%				8.0		%				9.1		%
Texas			5.6		%				4.0		%				4.4		%				5.4		%				4.0		%
New Jersey			5.2		%				7.0		%				6.0		%				5.1		%				6.9		%
Maryland			3.6		%				3.8		%				8.1		%				4.6		%				3.8		%
Massachusetts			2.5		%				2.8		%				5.5		%				2.8		%				2.9		%
Illinois			2.7		%				6.7		%				3.2		%				2.8		%				6.6		%

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential loans, net as of December 31, 2019 was as follows:

			December 31, 2019
North Carolina			10.5		%
Florida			10.1		%
Georgia			7.0		%
South Carolina			5.8		%
Texas			5.6		%
New York			5.5		%
Ohio			5.2		%
Virginia			5.2		%

The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential loans held in securitization trusts, net as of December 31, 2019 were as follows:

			December 31, 2019
New York			36.1		%
Massachusetts			17.2		%
New Jersey			12.8		%
Florida			12.1		%
Maryland			5.5		%

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to multi-family loans held in securitization trusts as of December 31, 2019 were as follows:

									December 31, 2019
California									15.9		%
Texas									12.4		%
Florida									6.2		%
Maryland									5.8		%

The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of September 30, 2020 and December 31, 2019, respectively, are as follows:

			September 30, 2020						December 31, 2019
Tennessee			12.2		%				12.3		%
Florida			11.9		%				12.0		%
Georgia			11.7		%				11.8		%
Texas			9.9		%				10.6		%
South Carolina			9.1		%				6.3		%
Alabama			8.3		%				10.0		%
New Jersey			5.0		%				5.0		%

Schedule of Residential Mortgage Loans, Fair Value Compared to Unpaid Principal

The following table presents the fair value and aggregate unpaid principal balance of the Company's residential loans and residential loans held in securitization trusts in non-accrual status as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):

			Greater than 90 days past due												Less than 90 days past due
			Fair Value						Unpaid Principal Balance						Fair Value						Unpaid Principal Balance
September 30, 2020			$	136,023					$	157,682					$	18,586					$	20,255
December 31, 2019			106,199						122,918						9,291						10,705

Statement of Consolidated Balance Sheets and Operations of Consolidated SLST

The condensed consolidated balance sheets of Consolidated SLST at September 30, 2020 and December 31, 2019, respectively, are as follows (dollar amounts in thousands):

Balance Sheet			September 30, 2020						December 31, 2019
Assets
Residential loans, at fair value			$	1,290,005					$	1,328,886
Receivables (1)			4,162						5,244
Total Assets			$	1,294,167					$	1,334,130
Liabilities and Equity
Residential collateralized debt obligations, at fair value			$	1,077,980					$	1,052,829
Accrued expenses and other liabilities (2)			3,664						2,643
Total Liabilities			1,081,644						1,055,472
Equity			212,523						278,658
Total Liabilities and Equity			$	1,294,167					$	1,334,130

(1)Included in receivables and other assets on the accompanying condensed consolidated balance sheets.

(2)Included in accrued expenses and other liabilities on the accompanying condensed consolidated balance sheets.

The condensed consolidated statements of operations of Consolidated SLST for the three and nine months ended September 30, 2020, respectively, are as follows (dollar amounts in thousands):

Statements of Operations			Three Months Ended September 30, 2020						Nine Months Ended September 30, 2020
Interest income (1)			$	10,896					$	34,542
Interest expense (2)			7,562						24,255
Net interest income			3,334						10,287
Unrealized gains (losses), net (3)			27,145						(34,893)
Net income (loss)			$	30,479					$	(24,606)

(1)Included in the Company’s accompanying condensed consolidated statements of operations in interest income, residential loans.

(2)Included in the Company’s accompanying condensed consolidated statements of operations in interest expense, residential collateralized debt obligations.

(3)Presented in unrealized gains (losses), net on the Company’s condensed consolidated statements of operations. Includes $41.1 million and $28.0 million of unrealized gains on residential loans held in Consolidated SLST for the three and nine months ended September 30, 2020, respectively, and $13.9 million and $62.9 million of unrealized losses on SLST CDOs for the three and nine months ended September 30, 2020, respectively.

Preferred equity and mezzanine loan investments consist of the following as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):

			September 30, 2020						December 31, 2019 (1)
Investment amount			$	188,654					$	181,409
Deferred loan fees, net			(1,291)						(1,364)
Unrealized losses, net			(4,209)						—
Total			$	183,154					$	180,045

(1)As of December 31, 2019, preferred equity and mezzanine loan investments were reported at amortized cost less impairment, if any.

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Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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