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Fair Value of Financial Instruments (Tables) | 12 Months Ended
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Dec. 31, 2020
Fair Value Disclosures [Abstract] |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2020 and 2019, respectively, on the Company’s consolidated balance sheets (dollar amounts in thousands):
| Measured at Fair Value on a Recurring Basis at
| December 31, 2020 |  | December 31, 2019
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans | $ | — |  |  | $ | — |  |  | $ | 1,090,930 |  |  | $ | 1,090,930 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,429,754 |  |  | $ | 1,429,754 |
Consolidated SLST | — |  |  | — |  |  | 1,266,785 |  |  | 1,266,785 |  |  | — |  |  | — |  |  | 1,328,886 |  |  | 1,328,886 |
Residential loans held in securitization trusts | — |  |  | — |  |  | 691,451 |  |  | 691,451 |  |  | — |  |  | — |  |  | — |  |  | — |
Multi-family loans |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Preferred equity and mezzanine loan investments | — |  |  | — |  |  | 163,593 |  |  | 163,593 |  |  | — |  |  | — |  |  | — |  |  | — |
Consolidated K-Series | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 17,816,746 |  |  | 17,816,746 |
Investment securities available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | — |  |  | 139,395 |  |  | — |  |  | 139,395 |  |  | — |  |  | 922,877 |  |  | — |  |  | 922,877 |
Agency CMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 50,958 |  |  | — |  |  | 50,958 |
Non-Agency RMBS | — |  |  | 355,666 |  |  | — |  |  | 355,666 |  |  | — |  |  | 715,314 |  |  | — |  |  | 715,314 |
CMBS | — |  |  | 186,440 |  |  | — |  |  | 186,440 |  |  | — |  |  | 267,777 |  |  | — |  |  | 267,777 |
ABS | — |  |  | 43,225 |  |  | — |  |  | 43,225 |  |  | — |  |  | 49,214 |  |  | — |  |  | 49,214 |
Equity investments | — |  |  | — |  |  | 259,095 |  |  | 259,095 |  |  | — |  |  | — |  |  | 83,882 |  |  | 83,882 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps (1) | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 15,878 |  |  | — |  |  | 15,878 |
Total | $ | — |  |  | $ | 724,726 |  |  | $ | 3,471,854 |  |  | $ | 4,196,580 |  |  | $ | — |  |  | $ | 2,022,018 |  |  | $ | 20,659,268 |  |  | $ | 22,681,286 |
Liabilities carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated K-Series | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 16,724,451 |  |  | $ | 16,724,451 |
Consolidated SLST | — |  |  | — |  |  | 1,054,335 |  |  | 1,054,335 |  |  | — |  |  | — |  |  | 1,052,829 |  |  | 1,052,829 |
Total | $ | — |  |  | $ | — |  |  | $ | 1,054,335 |  |  | $ | 1,054,335 |  |  | $ | — |  |  | $ | — |  |  | $ | 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. Includes derivative liabilities of $29.0 million netted against a variation margin of $44.8 million at December 31, 2019.
Changes in Level 3 Assets | The following tables detail changes in valuation for the Level 3 assets for the years ended December 31, 2020, 2019, and 2018, respectively (dollar amounts in thousands): Level 3 Assets:
| Year Ended December 31, 2020
| Residential loans |  | Multi-family loans |  |  |  |
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Preferred equity and mezzanine loan investments |  | Consolidated K-Series |  | Equity investments |  | Total
Balance at beginning of period | $ | 1,429,754 |  |  | $ | 1,328,886 |  |  | $ | — |  |  | $ | — |  |  | $ | 17,816,746 |  |  | $ | 83,882 |  |  | $ | 20,659,268 |
Total (losses) gains (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | (9,240) |  |  | 27,898 |  |  | 31,402 |  |  | 20,454 |  |  | 41,795 |  |  | 26,670 |  |  | 138,979 |
Transfers in (1) | 164,279 |  |  | — |  |  | 46,572 |  |  | 182,465 |  |  | — |  |  | 107,477 |  |  | 500,793 |
Transfers out (2) (3) | (6,017) |  |  | — |  |  | (2,492) |  |  | (8,719) |  |  | (237,297) |  |  | — |  |  | (254,525) |
Transfer to securitization trust (4) | (651,911) |  |  | — |  |  | 651,911 |  |  | — |  |  | — |  |  | — |  |  | — |
Contributions | — |  |  | — |  |  | — |  |  | 14,164 |  |  | — |  |  | 66,336 |  |  | 80,500 |
Paydowns/Distributions | (308,600) |  |  | (89,999) |  |  | (35,942) |  |  | (44,771) |  |  | (239,796) |  |  | (25,270) |  |  | (744,378) |
Recovery of charge-off | — |  |  | — |  |  | — |  |  | — |  |  | 35 |  |  | — |  |  | 35 |
Sales (3) | (96,892) |  |  | — |  |  | — |  |  | — |  |  | (17,381,483) |  |  | — |  |  | (17,478,375) |
Purchases | 569,557 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 569,557 |
Balance at the end of period | $ | 1,090,930 |  |  | $ | 1,266,785 |  |  | $ | 691,451 |  |  | $ | 163,593 |  |  | $ | — |  |  | $ | 259,095 |  |  | $ | 3,471,854 |
(1)As of January 1, 2020, the Company has elected to account for all residential loans, residential loans held in securitization trusts, equity investments 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 and the consolidation of Campus Lodge into the Company's consolidated financial statements (see Note 7). (3)During the year ended December 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the multi-family loans held in the Consolidated K-Series and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Notes 2 and 4). (4)During the year ended December 31, 2020, the Company completed two securitizations of certain performing, re-performing and non-performing residential loans (see Note 7).
| Year Ended December 31, 2019
| Residential loans |  |  |  |  |  |  |  |
| Residential loans |  | Consolidated SLST |  | Consolidated K-Series |  | CMBS held in re-securitization trusts |  | Equity investments |  | Total
Balance at beginning of period | $ | 737,523 |  |  | $ | — |  |  | $ | 11,679,847 |  |  | $ | 52,700 |  |  | $ | 32,994 |  |  | $ | 12,503,064 |
Total gains/(losses) (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 55,459 |  |  | (445) |  |  | 533,094 |  |  | 17,734 |  |  | 15,100 |  |  | 620,942 |
Included in other comprehensive income (loss) | — |  |  | — |  |  | — |  |  | (13,665) |  |  | — |  |  | (13,665) |
Transfers out (1) | (913) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (913) |
Contributions | — |  |  | — |  |  | — |  |  | — |  |  | 50,000 |  |  | 50,000 |
Paydowns/Distributions | (171,909) |  |  | (3,729) |  |  | (992,912) |  |  | — |  |  | (14,212) |  |  | (1,182,762) |
Charge-off | — |  |  | — |  |  | (3,257) |  |  | — |  |  | — |  |  | (3,257) |
Sales | (19,814) |  |  | — |  |  | — |  |  | (56,769) |  |  | — |  |  | (76,583) |
Purchases (2) | 829,408 |  |  | 1,333,060 |  |  | 6,599,974 |  |  | — |  |  | — |  |  | 8,762,442 |
Balance at the end of period | $ | 1,429,754 |  |  | $ | 1,328,886 |  |  | $ | 17,816,746 |  |  | $ | — |  |  | $ | 83,882 |  |  | $ | 20,659,268 |
(1)Transfers out of Level 3 assets include the transfer of residential loans to real estate owned. (2)During the year ended December 31, 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. Also during the year ended December 31, 2019, the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated assets of the respective securitizations (see Notes 2, 3 and 4).
| Year Ended December 31, 2018
| Residential loans |  | Consolidated K-Series |  | CMBS held in re-securitization trusts |  | Equity investments |  | Total
Balance at beginning of period | $ | 87,153 |  |  | $ | 9,657,421 |  |  | $ | 47,922 |  |  | $ | 42,823 |  |  | $ | 9,835,319 |
Total gains/(losses) (realized/unrealized) |  |  |  |  |  |  |  |  |
Included in earnings | 3,913 |  |  | (134,298) |  |  | 3,980 |  |  | 9,075 |  |  | (117,330) |
Included in other comprehensive income (loss) | — |  |  | — |  |  | 798 |  |  | — |  |  | 798 |
Transfers out (1) | (56) |  |  | — |  |  | — |  |  | — |  |  | (56) |
Paydowns/Distributions | (24,064) |  |  | (137,820) |  |  | — |  |  | (18,904) |  |  | (180,788) |
Sales | (18,173) |  |  | — |  |  | — |  |  | — |  |  | (18,173) |
Purchases (2) | 688,750 |  |  | 2,294,544 |  |  | — |  |  | — |  |  | 2,983,294 |
Balance at the end of period | $ | 737,523 |  |  | $ | 11,679,847 |  |  | $ | 52,700 |  |  | $ | 32,994 |  |  | $ | 12,503,064 |
(1)Transfers out of Level 3 assets include the transfer of residential loans to real estate owned. (2)During the year ended December 31, 2018, the Company purchased first loss PO securities and certain IOs and 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 (see Notes 2 and 4).
Changes in Level 3 Liabilities | The following tables detail changes in valuation for the Level 3 liabilities for the years ended December 31, 2020, 2019 and 2018, respectively (dollar amounts in thousands): Level 3 Liabilities:
| Year Ended December 31, 2020
| Collateralized debt obligations |  |
| Consolidated K-Series |  | Consolidated SLST |  | Total
Balance at beginning of period | $ | 16,724,451 |  |  | $ | 1,052,829 |  |  | $ | 17,777,280 |
Total losses (realized/unrealized) |  |  |  |  |
Included in earnings | 35,018 |  |  | 68,764 |  |  | 103,782 |
Paydowns | (147,376) |  |  | (89,484) |  |  | (236,860) |
Sales (1) | (16,612,093) |  |  | 22,226 |  |  | (16,589,867) |
Balance at the end of period | $ | — |  |  | $ | 1,054,335 |  |  | $ | 1,054,335 |
(1)During the year ended December 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series, and, as a result, de-consolidated the Consolidated K-Series CDOs (see Notes 2 and 4). Also includes the Company's net sales of senior securities issued by Consolidated SLST for the year ended December 31, 2020 (see Note 3).
| Year Ended December 31, 2019
| Collateralized debt obligations |  |
| Consolidated K-Series |  | Consolidated SLST |  | Total
Balance at beginning of period | $ | 11,022,248 |  |  | $ | — |  |  | $ | 11,022,248 |
Total losses (realized/unrealized) |  |  |  |  |
Included in earnings | 443,796 |  |  | 27 |  |  | 443,823 |
Purchases (1) | 6,253,739 |  |  | 1,055,720 |  |  | 7,309,459 |
Paydowns | (992,075) |  |  | (2,918) |  |  | (994,993) |
Charge-off | (3,257) |  |  | — |  |  | (3,257) |
Balance at the end of period | $ | 16,724,451 |  |  | $ | 1,052,829 |  |  | $ | 17,777,280 |
(1)During the year ended December 31, 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. Also during the year ended December 31, 2019, the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated liabilities of the respective securitizations (see Notes 2, 3 and 4).
| Year Ended December 31, 2018
| Consolidated K-Series |  |  |  |
Balance at beginning of period | $ | 9,189,459 |  |  |  |  |
Total gains (realized/unrealized) |  |  |  |  |
Included in earnings | (211,738) |  |  |  |  |
Purchases (1) | 2,182,330 |  |  |  |  |
Paydowns | (137,803) |  |  |  |  |
Balance at the end of period | $ | 11,022,248 |  |  |  |  |
(1)During the year ended December 31, 2018, the Company purchased first loss PO securities and certain IOs and 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 (see Notes 2 and 4). 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):
December 31, 2020 |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Weighted Average |  | Range
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential loans: |  |  |  |  |  |  |  |  |  |  |  |
Residential loans and residential loans held in securitization trusts (1) |  | $1,639,327 |  | Discounted cash flow |  | Lifetime CPR |  | 8.5% |  | — | - | 64.6%
|  |  |  |  |  | Lifetime CDR |  | 1.0% |  | — | - | 23.0%
|  |  |  |  |  | Loss severity |  | 13.7% |  | — | - | 100.0%
|  |  |  |  |  | Yield |  | 5.3% |  | 2.4% | - | 27.3%
|  | $143,054 |  | Liquidation model |  | Annual home price appreciation |  | — |  | — | - | 7.3%
|  |  |  |  |  | Liquidation timeline (months) |  | 29 |  | 9 | - | 57
|  |  |  |  |  | Property value |  | $578,738 |  | $12,430 | - | $3,650,000
|  |  |  |  |  | Yield |  | 7.2% |  | 7.0% | - | 16.3%
Consolidated SLST (2) |  | $1,266,785 |  |  |  | Liability price |  | N/A |  |  |  |
Total |  | $3,049,166 |  |  |  |  |  |  |  |  |  |
Preferred equity and mezzanine loan investments (1) |  | $163,593 |  | Discounted cash flow |  | Discount rate |  | 11.5% |  | 11.0% | - | 19.5%
|  |  |  |  |  | Months to assumed redemption |  | 44 |  | 8 | - | 185
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Equity investments (1) (2) |  | $182,765 |  | Discounted cash flow |  | Discount rate |  | 11.7% |  | 11.0% | - | 12.5%
|  |  |  |  |  | Months to assumed redemption |  | 40 |  | 9 | - | 59
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Residential collateralized debt obligations |  |  |  |  |  |  |  |  |  |  |  |
Consolidated SLST (3) (4) |  | $1,054,335 |  | Discounted cash flow |  | Yield |  | 2.1% |  | 1.0% | - | 11.1%
|  |  |  |  |  | Collateral prepayment rate |  | 5.5% |  | 2.8% | - | 6.2%
|  |  |  |  |  | Collateral default rate |  | 2.0% |  | — | - | 7.6%
|  |  |  |  |  | Loss severity |  | 21.1% |  | — | - | 23.7%
(1)Weighted average amounts are calculated based on the weighted average fair value of the assets. (2)Equity investments does not include equity ownership interests in entities that invest in residential properties and loans. The fair value of these investments is determined using the net asset value ("NAV") as a practical expedient. (3)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 the CDOs issued by Consolidated SLST, including securities we own, as the fair value of these instruments is more observable. At December 31, 2020, the fair value of securities we owned in Consolidated SLST was $212.1 million. (4)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.
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings | The following table details the changes in unrealized gains (losses) included in earnings for the years ended December 31, 2020, 2019 and 2018, respectively, for our Level 3 assets and liabilities held as of December 31, 2020, 2019 and 2018, respectively (dollar amounts in thousands):
| For the Years Ended December 31,
| 2020 |  | 2019 |  | 2018
Assets |  |  |  |  |
Residential loans |  |  |  |  |
Residential loans (1) | $ | 16,449 |  |  | $ | 44,470 |  |  | $ | 4,333 |
Consolidated SLST (1) | 33,479 |  |  | 300 |  |  | — |
Residential loans held in securitization trust (1) | 17,785 |  |  | — |  |  | — |
Multi-family loans |  |  |  |  |
Preferred equity and mezzanine loan investments (1) | (682) |  |  | — |  |  | — |
Consolidated K-Series (1) | — |  |  | 586,993 |  |  | (85,115) |
Equity investments (2) | 256 |  |  | 5,374 |  |  | 6,091 |
Liabilities |  |  |  |  |
Collateralized debt obligations |  |  |  |  |
Consolidated K-Series (1) | $ | — |  |  | $ | (563,031) |  |  | $ | 122,696 |
Consolidated SLST (1) | (65,552) |  |  | (383) |  |  | — |
(1)Presented in unrealized gains (losses), net on the Company’s consolidated statements of operations. (2)Presented in income from equity investments on the Company’s consolidated statements of operations.
Fair Value Measurements, Nonrecurring | The following table presents assets measured at fair value on a non-recurring basis as of December 31, 2019 on the Company’s consolidated balance sheets (dollar amounts in thousands):
|  |  |  |  |  |  |  | Assets Measured at Fair Value on a Non-Recurring Basis at
|  |  | December 31, 2019
|  |  |  |  |  |  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Residential loans held in securitization trusts – impaired loans, net |  |  |  |  |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | 5,256 |  |  | $ | 5,256 |
Fair Value, Losses for Assets Measured on Nonrecurring Basis | The following table presents gains (losses) incurred for assets measured at fair value on a non-recurring basis for the years ended December 31, 2019 and 2018, respectively, on the Company’s consolidated statements of operations (dollar amounts in thousands):
|  | For the Years Ended December 31,
|  |  | 2019 |  | 2018
Residential loans held in securitization trusts – impaired loans, net |  |  | $ | (24) |  |  | $ | (165) |
Fair Value, by Balance Sheet Grouping | 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 |

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