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Fair Value of Financial Instruments (Tables)

9 Months Ended

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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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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-Publisher FASB
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-SubTopic 10
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No definition available.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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-Topic 820
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
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-Subparagraph (a)
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