XML 50 R39.htm IDEA: XBRL DOCUMENT v3.21.1

Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

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 March 31, 2021 and December 31, 2020, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):

			Measured at Fair Value on a Recurring Basis at
			March 31, 2021																								December 31, 2020
			Level 1						Level 2						Level 3						Total						Level 1						Level 2						Level 3						Total
Assets carried at fair value
Residential loans:
Residential loans			$	—					$	—					$	1,316,707					$	1,316,707					$	—					$	—					$	1,090,930					$	1,090,930
Consolidated SLST			—						—						1,211,508						1,211,508						—						—						1,266,785						1,266,785
Residential loans held in securitization trusts			—						—						678,067						678,067						—						—						691,451						691,451
Multi-family loans			—						—						151,836						151,836						—						—						163,593						163,593
Investment securities available for sale:
Agency RMBS			—						131,625						—						131,625						—						139,395						—						139,395
Non-Agency RMBS			—						271,607						—						271,607						—						355,666						—						355,666
CMBS			—						148,441						—						148,441						—						186,440						—						186,440
ABS			—						44,622						—						44,622						—						43,225						—						43,225
Equity investments			—						—						260,065						260,065						—						—						259,095						259,095
Total			$	—					$	596,295					$	3,618,183					$	4,214,478					$	—					$	724,726					$	3,471,854					$	4,196,580
Liabilities carried at fair value
Consolidated SLST CDOs			$	—					$	—					$	992,288					$	992,288					$	—					$	—					$	1,054,335					$	1,054,335
Total			$	—					$	—					$	992,288					$	992,288					$	—					$	—					$	1,054,335					$	1,054,335

Schedule of Changes in Valuation of Level 3 Assets

The following tables detail changes in valuation for the Level 3 assets for the three months ended March 31, 2021 and 2020, respectively (dollar amounts in thousands):

Level 3 Assets:

			Three Months Ended March 31, 2021
			Residential loans
			Residential loans						Consolidated SLST						Residential loans held in securitization trusts						Multi-family loans						Equity investments						Total
Balance at beginning of period			$	1,090,930					$	1,266,785					$	691,451					$	163,593					$	259,095					$	3,471,854
Total gains/(losses) (realized/unrealized)
Included in earnings			9,386						(27,057)						14,123						5,077						3,400						4,929
Transfers out (1)			(989)						—						(695)						—						—						(1,684)
Contributions			—						—						—						—						161						161
Paydowns/Distributions			(125,646)						(28,220)						(24,436)						(16,834)						(2,591)						(197,727)
Sales			(4,257)						—						(2,376)						—						—						(6,633)
Purchases			347,283						—						—						—						—						347,283
Balance at the end of period			$	1,316,707					$	1,211,508					$	678,067					$	151,836					$	260,065					$	3,618,183

(1)Transfers out of Level 3 assets include the transfer of residential loans to real estate owned.

			Three Months Ended March 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			(94,418)						(89,087)						(1,739)						(209)						41,795						494						(143,164)
Transfers in (1)			164,035						—						46,572						182,465						—						107,477						500,549
Transfers out (2) (3)			(3,166)						—						(349)						—						(237,297)						—						(240,812)
Contributions			—						—						—						8,440						—						22,106						30,546
Paydowns/Distributions			(84,719)						(21,500)						(1,500)						(11,404)						(239,796)						(1,994)						(360,913)
Recovery of charge-off			—						—						—						—						35						—						35
Sales (3)			(49,960)						—						—						—						(17,381,483)						—						(17,431,443)
Purchases			153,821						—						—						—						—						—						153,821
Balance at the end of period			$	1,515,347					$	1,218,299					$	42,984					$	179,292					$	—					$	211,965					$	3,167,887

(1)As of January 1, 2020, the Company 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.

(2)Transfers out of Level 3 assets include the transfer of residential loans to real estate owned.

(3)During the three months ended March 31, 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 the Consolidated K-Series and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Note 7).

Schedule of Changes in Valuation of Level 3 Liabilities

The following tables detail changes in valuation for the Level 3 liabilities for the three months ended March 31, 2021 and 2020, respectively (dollar amounts in thousands):

Level 3 Liabilities:

			Three Months Ended March 31, 2021
			Consolidated SLST CDOs
Balance at beginning of period			$	1,054,335
Total gains (realized/unrealized)
Included in earnings			(34,748)
Paydowns			(27,299)
Balance at the end of period			$	992,288

			Three Months Ended March 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/(gains) (realized/unrealized)
Included in earnings			35,018						(18,855)						16,163
Paydowns			(147,376)						(21,208)						(168,584)
Sales (1)			(16,612,093)						22,226						(16,589,867)
Balance at the end of period			$	—					$	1,034,992					$	1,034,992

(1)During the three months ended March 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 Note 7). Also includes the Company's net sales of senior securities issued by Consolidated SLST during the three months ended March 31, 2020 (see Note 7).

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):

March 31, 2021						Fair Value						Valuation Technique						Unobservable Input						Weighted Average						Range
Assets
Residential loans:
Residential loans and residential loans held in securitization trusts (1)						$1,857,540						Discounted cash flow						Lifetime CPR						5.7%						—			-			60.3%
																		Lifetime CDR						0.8%						—			-			21.1%
																		Loss severity						11.9%						—			-			100.0%
																		Yield						5.2%						2.5%			-			48.4%
						$137,234						Liquidation model						Annual home price appreciation						0.9%						—			-			12.4%
																		Liquidation timeline (months)						29						9			-			57
																		Property value						$550,830						$13,000			-			$4,000,000
																		Yield						7.2%						7.0%			-			29.2%
Consolidated SLST (3)						$1,211,508												Liability price						N/A
Total						$3,206,282
Multi-family loans (1)						$151,836						Discounted cash flow						Discount rate						11.5%						11.0%			-			19.5%
																		Months to assumed redemption						43						4			-			183
																		Loss severity						—
Equity investments (1) (2)						$185,835						Discounted cash flow						Discount rate						11.7%						11.0%			-			18.3%
																		Months to assumed redemption						38						6			-			58
																		Loss severity						—
Liabilities
Consolidated SLST CDOs (3) (4)						$992,288						Discounted cash flow						Yield						2.5%						1.5%			-			11.1%
																		Collateral prepayment rate						5.3%						2.4%			-			6.0%
																		Collateral default rate						2.1%						—			-			14.2%
																		Loss severity						20.4%						—			-			23.3%

(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 investment securities we own, as the fair value of these instruments is more observable. At March 31, 2021, the fair value of investment securities we own in Consolidated SLST amounts to $219.8 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.

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 months ended March 31, 2021 and 2020, respectively, for our Level 3 assets and liabilities held as of March 31, 2021 and 2020, respectively (dollar amounts in thousands):

			Three Months Ended March 31,
			2021						2020
Assets
Residential loans:
Residential loans (1)			$	7,354					$	(76,295)
Consolidated SLST (1)			(25,343)						(88,100)
Residential loans held in securitization trusts (1)			15,605						(1,700)
Multi-family loans (1)			177						(5,559)
Equity investments (2)			123						(4,023)
Liabilities
Consolidated SLST CDOs (1)			34,568						21,966

(1)Presented in unrealized gains (losses), net on the Company's condensed consolidated statements of operations.

(2)Presented in income from equity investments on the Company's condensed consolidated statements of operations.

Schedule of Carrying Value and Estimated Fair Value of Financial Instruments

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's residential loan securitizations, Consolidated SLST and other Consolidated VIEs as of March 31, 2021 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

			Financing VIEs						Other VIEs
			Residential Loan Securitizations												Consolidated SLST						Other						Total
Cash and cash equivalents			$	—											$	—					$	2,852					$	2,852
Residential loans, at fair value			678,067												1,211,508						—						1,889,575
Operating real estate, net held in Consolidated VIEs (1)			—												—						82,141						82,141
Other assets			28,900												3,981						4,145						37,026
Total assets			$	706,967											$	1,215,489					$	89,138					$	2,011,594
Collateralized debt obligations ($533,822 at amortized cost, net and $992,288 at fair value)			$	533,822											$	992,288					$	—					$	1,526,110
Mortgages payable, net in Consolidated VIEs (2)			—												—						62,537						62,537
Other liabilities			1,908												1,791						1,073						4,772
Total liabilities			$	535,730											$	994,079					$	63,610					$	1,593,419
Non-controlling interest in Consolidated VIEs (3)			$	—											$	—					$	5,498					$	5,498
Net investment (4)			$	171,237											$	221,410					$	20,030					$	412,677

(1)Included in other assets in the accompanying condensed consolidated balance sheets.

(2)Included in other liabilities in the accompanying condensed 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, non-Agency RMBS re-securitization, Consolidated SLST and other Consolidated VIEs as of December 31, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

						Financing VIE												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 condensed consolidated balance sheets.

(2)Included in other liabilities in the accompanying condensed 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 the carrying value and estimated fair value of the Company’s financial instruments at March 31, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

									March 31, 2021												December 31, 2020
			Fair Value Hierarchy Level						Carrying Value						Estimated Fair Value						Carrying Value						Estimated Fair Value
Financial Assets:
Cash and cash equivalents			Level 1						$	290,977					$	290,977					$	293,183					$	293,183
Residential loans			Level 3						3,206,282						3,206,282						3,049,166						3,049,166
Multi-family loans			Level 3						151,836						151,836						163,593						163,593
Investment securities available for sale			Level 2						596,295						596,295						724,726						724,726
Equity investments			Level 3						260,065						260,065						259,095						259,095
Financial Liabilities:
Repurchase agreements			Level 2						537,049						537,049						405,531						405,531
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						533,822						539,272						554,067						561,329
Consolidated SLST			Level 3						992,288						992,288						1,054,335						1,054,335
Non-Agency RMBS re-securitization			Level 2						—						—						15,256						15,472
Subordinated debentures			Level 3						45,000						43,058						45,000						36,871
Convertible notes			Level 2						135,954						140,552						135,327						137,716

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ 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 (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

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

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisGainLossIncludedInEarningsTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

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 (c)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611

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 (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- 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.

+ 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)
-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 3
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

+ Details

Name:	us-gaap_FairValueLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration