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Fair Value of Financial Instruments (Tables)

12 Months Ended

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

X

- Definition

Tabular disclosure of losses incurred for assets measured at fair value on a non-recurring basis.

+ References

No definition available.

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X

- Definition

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)(1)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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

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X

- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period 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 asset.

+ References

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- Definition

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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- Definition

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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- Definition

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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