XML 89 R78.htm IDEA: XBRL DOCUMENT v3.21.1
Fair Value of Financial Instruments - Schedule of Quantitative Information Regarding Significant and Unobservable Inputs Used in the Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Details)
 3 Months Ended
Mar. 31, 2021
USD ($)
Dec. 31, 2020
USD ($)
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Multi-family loans $ 151,836,000 $ 163,593,000
Collateralized Debt Obligations    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Collateralized debt, carrying value 992,288,000 1,054,335,000
Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Collateralized debt, carrying value 992,288,000 1,054,335,000
Level 3    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value 3,206,282,000  
Equity investments 260,065,000 259,095,000
Level 3 | Collateralized Debt Obligations    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Collateralized debt, carrying value 992,288,000 1,054,335,000
Level 3 | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Equity investments $ 185,835,000  
Level 3 | Loss Severity | Discounted Cash Flow | Weighted Average | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Investments in unconsolidated entities, measurement input 0  
Level 3 | Discount Rate | Discounted Cash Flow | Weighted Average | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Investments in unconsolidated entities, measurement input 0.117  
Level 3 | Discount Rate | Discounted Cash Flow | Minimum | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Investments in unconsolidated entities, measurement input 0.110  
Level 3 | Discount Rate | Discounted Cash Flow | Maximum | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Investments in unconsolidated entities, measurement input 0.183  
Level 3 | Months To Assumed Redemption | Discounted Cash Flow | Weighted Average | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input, redemption period (in months) 38 months  
Level 3 | Months To Assumed Redemption | Discounted Cash Flow | Minimum | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input, redemption period (in months) 6 months  
Level 3 | Months To Assumed Redemption | Discounted Cash Flow | Maximum | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input, redemption period (in months) 58 months  
Level 3 | Residential loans and residential loans held in securitization trusts    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value $ 1,857,540,000  
Level 3 | Residential loans and residential loans held in securitization trusts | Liquidation Model    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value $ 137,234,000  
Level 3 | Residential loans and residential loans held in securitization trusts | Lifetime CPR | Discounted Cash Flow | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.057  
Level 3 | Residential loans and residential loans held in securitization trusts | Lifetime CPR | Discounted Cash Flow | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0  
Level 3 | Residential loans and residential loans held in securitization trusts | Lifetime CPR | Discounted Cash Flow | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.603  
Level 3 | Residential loans and residential loans held in securitization trusts | Lifetime CDR | Discounted Cash Flow | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.008  
Level 3 | Residential loans and residential loans held in securitization trusts | Lifetime CDR | Discounted Cash Flow | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0  
Level 3 | Residential loans and residential loans held in securitization trusts | Lifetime CDR | Discounted Cash Flow | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.211  
Level 3 | Residential loans and residential loans held in securitization trusts | Loss Severity | Discounted Cash Flow | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.119  
Level 3 | Residential loans and residential loans held in securitization trusts | Loss Severity | Discounted Cash Flow | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0  
Level 3 | Residential loans and residential loans held in securitization trusts | Loss Severity | Discounted Cash Flow | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 1.000  
Level 3 | Residential loans and residential loans held in securitization trusts | Yield | Discounted Cash Flow | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.052  
Level 3 | Residential loans and residential loans held in securitization trusts | Yield | Discounted Cash Flow | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.025  
Level 3 | Residential loans and residential loans held in securitization trusts | Yield | Discounted Cash Flow | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.484  
Level 3 | Residential loans and residential loans held in securitization trusts | Yield | Liquidation Model | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.072  
Level 3 | Residential loans and residential loans held in securitization trusts | Yield | Liquidation Model | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.070  
Level 3 | Residential loans and residential loans held in securitization trusts | Yield | Liquidation Model | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.292  
Level 3 | Residential loans and residential loans held in securitization trusts | Annual Home Price Appreciation | Liquidation Model | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.009  
Level 3 | Residential loans and residential loans held in securitization trusts | Annual Home Price Appreciation | Liquidation Model | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0  
Level 3 | Residential loans and residential loans held in securitization trusts | Annual Home Price Appreciation | Liquidation Model | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input 0.124  
Level 3 | Residential loans and residential loans held in securitization trusts | Liquidation Timeline | Liquidation Model | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input, liquidation timeline (in months) 29 months  
Level 3 | Residential loans and residential loans held in securitization trusts | Liquidation Timeline | Liquidation Model | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input, liquidation timeline (in months) 9 months  
Level 3 | Residential loans and residential loans held in securitization trusts | Liquidation Timeline | Liquidation Model | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, measurement input, liquidation timeline (in months) 57 months  
Level 3 | Residential loans and residential loans held in securitization trusts | Property Value | Liquidation Model | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value $ 550,830  
Level 3 | Residential loans and residential loans held in securitization trusts | Property Value | Liquidation Model | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value 13,000  
Level 3 | Residential loans and residential loans held in securitization trusts | Property Value | Liquidation Model | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value 4,000,000  
Level 3 | Multi-family loans    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Multi-family loans $ 151,836,000  
Level 3 | Multi-family loans | Loss Severity | Discounted Cash Flow | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Financial instruments owned, measurement input 0  
Level 3 | Multi-family loans | Discount Rate | Discounted Cash Flow | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Financial instruments owned, measurement input 0.115  
Level 3 | Multi-family loans | Discount Rate | Discounted Cash Flow | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Financial instruments owned, measurement input 0.110  
Level 3 | Multi-family loans | Discount Rate | Discounted Cash Flow | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Financial instruments owned, measurement input 0.195  
Level 3 | Multi-family loans | Months To Assumed Redemption | Discounted Cash Flow | Weighted Average    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Financial instruments owned, assumed redemption period (in months) 43 months  
Level 3 | Multi-family loans | Months To Assumed Redemption | Discounted Cash Flow | Minimum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Financial instruments owned, assumed redemption period (in months) 4 months  
Level 3 | Multi-family loans | Months To Assumed Redemption | Discounted Cash Flow | Maximum    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Financial instruments owned, assumed redemption period (in months) 183 months  
Consolidated SLST | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Investment in Consolidated SLST limited to securities owned, net carrying value $ 219,800,000 $ 212,100,000
Consolidated SLST | Level 3 | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value 1,211,508,000  
Investment in Consolidated SLST limited to securities owned, net carrying value 219,800,000  
Consolidated SLST | Level 3 | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Collateralized debt, carrying value $ 992,288,000  
Consolidated SLST | Level 3 | Loss Severity | Discounted Cash Flow | Weighted Average | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.204  
Consolidated SLST | Level 3 | Loss Severity | Discounted Cash Flow | Minimum | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0  
Consolidated SLST | Level 3 | Loss Severity | Discounted Cash Flow | Maximum | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.233  
Consolidated SLST | Level 3 | Yield | Discounted Cash Flow | Weighted Average | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.025  
Consolidated SLST | Level 3 | Yield | Discounted Cash Flow | Minimum | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.015  
Consolidated SLST | Level 3 | Yield | Discounted Cash Flow | Maximum | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.111  
Consolidated SLST | Level 3 | Collateral Prepayment Rate | Discounted Cash Flow | Weighted Average | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.053  
Consolidated SLST | Level 3 | Collateral Prepayment Rate | Discounted Cash Flow | Minimum | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.024  
Consolidated SLST | Level 3 | Collateral Prepayment Rate | Discounted Cash Flow | Maximum | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.060  
Consolidated SLST | Level 3 | Collateral Default Rate | Discounted Cash Flow | Weighted Average | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.021  
Consolidated SLST | Level 3 | Collateral Default Rate | Discounted Cash Flow | Minimum | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0  
Consolidated SLST | Level 3 | Collateral Default Rate | Discounted Cash Flow | Maximum | Collateralized Debt Obligations | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.142