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Collateralized Debt Obligations (Tables)

12 Months Ended

Dec. 31, 2020

Debt Disclosure [Abstract]

Schedule of Collateralized Debt Obligations

The following tables present a summary of the Company's CDOs as of December 31, 2020 and 2019, respectively (dollar amounts in thousands):

			December 31, 2020
			Outstanding Face Amount						Carrying Value						Weighted Average Interest Rate (1)						Weighted Average Rate of Notes Issued (2)						Stated Maturity (3)
Consolidated SLST (4)			$	975,017					$	1,054,335					2.75		%				3.53		%				2059
Residential loan securitizations			557,497						554,067						3.36		%				4.83		%				2025 - 2060
Non-Agency RMBS re-securitization			15,449						15,256						One-month LIBOR plus 5.25%			(5)			One-month LIBOR plus 5.25%			(5)			2025
Total collateralized debt obligations			$	1,547,963					$	1,623,658

(1)Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2)Weighted average rate of notes issued is calculated using the outstanding face amount and stated interest rate of all notes issued by the securitizations, including those owned by the Company.

(3)The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4)The Company has elected the fair value option for CDOs issued by Consolidated SLST (see Note 14).

(5)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.

			December 31, 2019
			Outstanding Face Amount						Carrying Value						Weighted Average Interest Rate (1)						Weighted Average Rate of Notes Issued (2)						Stated Maturity (3)
Consolidated K-Series (4)			$	15,204,218					$	16,724,451					4.12		%				3.85		%				2020 - 2047
Consolidated SLST (4)			1,040,135						1,052,829						2.75		%				3.53		%				2059
Residential loan securitizations			40,621						40,429						2.41		%				2.41		%				2035 - 2036
Total collateralized debt obligations			$	16,284,974					$	17,817,709

(1)Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2)Weighted average rate of notes issued is calculated using the outstanding face amount and stated interest rate of all notes issued by the securitizations, including those owned by the Company.

(3)The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity the CDOs may occur earlier than the stated maturity.

(4)The Company has elected the fair value option for CDOs issued by the Consolidated K-Series and Consolidated SLST (see Note 14).

Schedule of Collateralized Debt Obligation Securities

The Company's collateralized debt obligations as of December 31, 2020 had stated maturities as follows:

Year Ending December 31,						Total
2021						$	—
2022						—
2023						—
2024						—
2025						245,668
Thereafter						1,302,295
Total						$	1,547,963

As of December 31, 2020, maturities for debt on the Company's consolidated balance sheet are as follows (dollar amounts in thousands):

Year Ending December 31,						Total
2021						$	—
2022						138,000
2023						—
2024						—
2025						—
Thereafter						82,030
Total						$	220,030

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Tabular disclosure of long-debt instruments or arrangements, including identification, terms, features, collateral requirements and other information necessary to a fair presentation. These are debt arrangements that originally required repayment more than twelve months after issuance or greater than the normal operating cycle of the entity, if longer.

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