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Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables)

9 Months Ended

Sep. 30, 2020

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of Assets and Liabilities of Consolidated VIE's

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.

Schedule of Securitized Debt Collateralized by Non-Agency RMBS

The following table summarizes the Company’s securitized debt collateralized by non-Agency RMBS as of September 30, 2020 (dollar amounts in thousands):

			Principal Amount						Carrying Value (1)						Pass-through Rate of Notes Issued (2)
Non-Agency RMBS re-securitization			$	89,916					$	88,791					One-month LIBOR plus 5.25%

(1)Classified as securitized debt in the liability section of the Company’s accompanying condensed consolidated balance sheets. The securitized debt is non-recourse debt for which the Company has no obligation.

(2)Represents the pass-through rate through the payment date in December 2021. Pass-through rate increases to one-month LIBOR plus 7.75% for payment dates in or after January 2022.

Schedule of Contractual Maturity Information

The following table presents contractual maturity information about the Company's securitized debt collateralized by non-Agency RMBS as of September 30, 2020 (dollar amounts in thousands):

Scheduled Maturity (principal amount)						September 30, 2020
Over 36 months						$	89,916
Debt issuance cost						(1,125)
Carrying value						$	88,791

Schedule of Classification and Carrying Value of Unconsolidated VIEs

The following tables present the classification and carrying value of unconsolidated VIEs as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):

			September 30, 2020
			Investment securities available for sale, at fair value												Preferred equity and mezzanine loan investments						Investments in unconsolidated entities						Total
ABS			$	45,007											$	—					$	—					$	45,007
Preferred equity investments in multi-family properties			—												178,286						145,250						323,536
Mezzanine loans on multi-family properties			—												4,868						—						4,868
Equity investments in entities that invest in residential properties and loans			—												—						73,456						73,456
Total assets			$	45,007											$	183,154					$	218,706					$	446,867

			December 31, 2019
			Investment securities available for sale, at fair value												Preferred equity and mezzanine loan investments						Investments in unconsolidated entities						Total
ABS			$	49,214											$	—					$	—					$	49,214
Preferred equity investments in multi-family properties			—												173,825						106,083						279,908
Mezzanine loans on multi-family properties			—												6,220						—						6,220
Equity investments in entities that invest in residential properties and loans			—												—						65,572						65,572
Total assets			$	49,214											$	180,045					$	171,655					$	400,914

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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