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Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables) | 12 Months Ended
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Dec. 31, 2020
Variable Interest Entity, Measure of Activity [Abstract] |
Summary of Assets and Liabilities of Consolidated VIEs | The following table summarizes the estimated fair values of the assets and liabilities of Campus Lodge at the Changeover Date (dollar amounts in thousands):
Cash | $ | 327 |
Operating real estate (1) | 50,481 |
Lease intangible (1) | 1,619 |
Other assets | 1,395 |
Total assets | 53,822 |
Mortgage payable, net (2) | 36,752 |
Other liabilities | 1,543 |
Total liabilities | 38,295 |
Non-controlling interest (3) | 6,808 |
Net assets consolidated | $ | 8,719 |
(1)Included in other assets in the accompanying consolidated balance sheets. (2)Included in other liabilities in the accompanying consolidated balance sheets. (3)Represents third party ownership of membership interests in Campus Lodge. The fair value of the non-controlling interests in Campus Lodge, a private company, was estimated using the net asset value of the underlying multi-family apartment community. The following table presents a summary of the assets, liabilities and non-controlling interests of the Company’s residential loan securitizations, non-Agency RMBS re-securitization, Consolidated SLST and other Consolidated VIEs of as of December 31, 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 |  | Other |  | Total
Cash and cash equivalents | $ | — |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | 462 |  |  | $ | 462 |
Residential loans, at fair value | 691,451 |  |  | — |  |  |  |  | 1,266,785 |  |  | — |  |  | 1,958,236 |
Investment securities available for sale, at fair value | — |  |  | 109,140 |  |  |  |  | — |  |  | — |  |  | 109,140 |
Operating real estate, net held in Consolidated VIEs (1) | — |  |  | — |  |  |  |  | — |  |  | 50,532 |  |  | 50,532 |
Other assets | 24,959 |  |  | 535 |  |  |  |  | 4,075 |  |  | 3,045 |  |  | 32,614 |
Total assets | $ | 716,410 |  |  | $ | 109,675 |  |  |  |  | $ | 1,270,860 |  |  | $ | 54,039 |  |  | $ | 2,150,984 |
Collateralized debt obligations ($569,323 at amortized cost, net and $1,054,335 at fair value) | $ | 554,067 |  |  | $ | 15,256 |  |  |  |  | $ | 1,054,335 |  |  | $ | — |  |  | $ | 1,623,658 |
Mortgages payable, net in Consolidated VIEs (2) | — |  |  | — |  |  |  |  | — |  |  | 36,752 |  |  | 36,752 |
Other liabilities | 2,610 |  |  | 70 |  |  |  |  | 2,781 |  |  | 1,435 |  |  | 6,896 |
Total liabilities | $ | 556,677 |  |  | $ | 15,326 |  |  |  |  | $ | 1,057,116 |  |  | $ | 38,187 |  |  | $ | 1,667,306 |
Non-controlling interest in Consolidated VIEs (3) | $ | — |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | 6,371 |  |  | $ | 6,371 |
Net investment (4) | $ | 159,733 |  |  | $ | 94,349 |  |  |  |  | $ | 213,744 |  |  | $ | 9,481 |  |  | $ | 477,307 |
(1)Included in other assets in the accompanying consolidated balance sheets. (2)Included in other liabilities in the accompanying consolidated balance sheets. (3)Represents third party ownership of membership interests in other Consolidated VIEs. (4)The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between total assets and total liabilities held by VIEs, less non-controlling interest, if any. The following table presents a summary of the assets, liabilities and non-controlling interests 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 ($44,030 at amortized cost, net and $1,328,886 at fair value) |  | 44,030 |  |  | — |  |  | 1,328,886 |  |  | — |  |  | 1,372,916 |
Multi-family loans, at fair value |  | — |  |  | 17,816,746 |  |  | — |  |  | — |  |  | 17,816,746 |
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 |
Collateralized debt obligations ($40,429 at amortized cost, net and $17,777,280 at fair value) |  | $ | 40,429 |  |  | $ | 16,724,451 |  |  | $ | 1,052,829 |  |  | $ | — |  |  | $ | 17,817,709 |
Other liabilities |  | 14 |  |  | 57,873 |  |  | 2,643 |  |  | 75 |  |  | 60,605 |
Total liabilities |  | $ | 40,443 |  |  | $ | 16,782,324 |  |  | $ | 1,055,472 |  |  | $ | 75 |  |  | $ | 17,878,314 |
Non-controlling interest in Consolidated VIEs (1) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (704) |  |  | $ | (704) |
Net investment (2) |  | $ | 4,915 |  |  | $ | 1,093,839 |  |  | $ | 278,658 |  |  | $ | 15,362 |  |  | $ | 1,392,774 |
(1)The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between total assets and total liabilities held by VIEs, less non-controlling interest, if any. (2)Represents third party ownership of membership interests in KRVI. The following table presents the carrying value and estimated fair value of the Company’s financial instruments at December 31, 2020 and 2019, respectively (dollar amounts in thousands):
|  |  | December 31, 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 |  | $ | 293,183 |  |  | $ | 293,183 |  |  | $ | 118,763 |  |  | $ | 118,763 |
Residential loans |  |  |  |  |  |  |  |  |
Residential loans, at fair value | Level 3 |  | 3,049,166 |  |  | 3,049,166 |  |  | 2,758,640 |  |  | 2,758,640 |
Residential loans at amortized cost, net | Level 3 |  | — |  |  | — |  |  | 202,756 |  |  | 208,471 |
Multi-family loans |  |  |  |  |  |  |  |  |
Preferred equity and mezzanine loan investments | Level 3 |  | 163,593 |  |  | 163,593 |  |  | 180,045 |  |  | 182,465 |
Consolidated K-Series | Level 3 |  | — |  |  | — |  |  | 17,816,746 |  |  | 17,816,746 |
Investment securities available for sale | Level 2 |  | 724,726 |  |  | 724,726 |  |  | 2,006,140 |  |  | 2,006,140 |
Equity investments | Level 3 |  | 259,095 |  |  | 259,095 |  |  | 189,965 |  |  | 191,359 |
Derivative assets | Level 2 |  | — |  |  | — |  |  | 15,878 |  |  | 15,878 |
Loans held for sale, net | Level 3 |  | — |  |  | — |  |  | 2,406 |  |  | 2,482 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 405,531 |  |  | 405,531 |  |  | 3,105,416 |  |  | 3,105,416 |
Collateralized debt obligations |  |  |  |  |  |  |  |  |
Residential loan securitizations at amortized cost, net | Level 3 |  | 554,067 |  |  | 561,329 |  |  | 40,429 |  |  | 38,888 |
Consolidated K-Series | Level 3 |  | — |  |  | — |  |  | 16,724,451 |  |  | 16,724,451 |
Consolidated SLST | Level 3 |  | 1,054,335 |  |  | 1,054,335 |  |  | 1,052,829 |  |  | 1,052,829 |
Non-Agency RMBS re-securitization | Level 2 |  | 15,256 |  |  | 15,472 |  |  | — |  |  | — |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 36,871 |  |  | 45,000 |  |  | 41,592 |
Convertible notes | Level 2 |  | 135,327 |  |  | 137,716 |  |  | 132,955 |  |  | 140,865 |
Schedule of Classification and Carrying Value of Unconsolidated VIEs | The following tables present the classification and carrying value of unconsolidated VIEs as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):
| December 31, 2020
| Multi-family loans |  | Investment securities available for sale, at fair value |  | Equity investments |  | Total
ABS | $ | — |  |  | $ | 43,225 |  |  | $ | — |  |  | $ | 43,225 |
Preferred equity investments in multi-family properties | 158,501 |  |  | — |  |  | 182,765 |  |  | 341,266 |
Mezzanine loans on multi-family properties | 5,092 |  |  | — |  |  | — |  |  | 5,092 |
Equity investments in entities that invest in residential properties and loans | — |  |  | — |  |  | 76,330 |  |  | 76,330 |
Maximum exposure | $ | 163,593 |  |  | $ | 43,225 |  |  | $ | 259,095 |  |  | $ | 465,913 |
|  |  | December 31, 2019
|  |  | Multi-family loans |  | Investment securities available for sale, at fair value |  | Equity investments |  | 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 |
Maximum exposure |  |  | $ | 180,045 |  |  | $ | 49,214 |  |  | $ | 171,655 |  |  | $ | 400,914 |

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