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Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables) | 6 Months Ended
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Jun. 30, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
Schedule of Assets and Liabilities of Consolidated VIE's | 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 June 30, 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 | $ | — |  |  |  |  | $ | — |  |  | $ | 2,799 |  |  | $ | 2,799 |
Residential loans, at fair value | 799,363 |  |  |  |  | 1,176,539 |  |  | — |  |  | 1,975,902 |
Operating real estate, net held in Consolidated VIEs (1) | — |  |  |  |  | — |  |  | 125,253 |  |  | 125,253 |
Other assets | 94,036 |  |  |  |  | 3,849 |  |  | 10,162 |  |  | 108,047 |
Total assets | $ | 893,399 |  |  |  |  | $ | 1,180,388 |  |  | $ | 138,214 |  |  | $ | 2,212,001 |
Collateralized debt obligations ($683,724 at amortized cost, net and $948,090 at fair value) | $ | 683,724 |  |  |  |  | $ | 948,090 |  |  | $ | — |  |  | $ | 1,631,814 |
Mortgages payable, net in Consolidated VIEs (2) | — |  |  |  |  | — |  |  | 98,611 |  |  | 98,611 |
Other liabilities | 9,618 |  |  |  |  | 2,467 |  |  | 2,179 |  |  | 14,264 |
Total liabilities | $ | 693,342 |  |  |  |  | $ | 950,557 |  |  | $ | 100,790 |  |  | $ | 1,744,689 |
Non-controlling interest in Consolidated VIEs (3) | $ | — |  |  |  |  | $ | — |  |  | $ | 5,198 |  |  | $ | 5,198 |
Net investment (4) | $ | 200,057 |  |  |  |  | $ | 229,831 |  |  | $ | 32,226 |  |  | $ | 462,114 |
(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 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 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 June 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):
|  |  | June 30, 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 |  | $ | 324,927 |  |  | $ | 324,927 |  |  | $ | 293,183 |  |  | $ | 293,183 |
Residential loans | Level 3 |  | 3,202,743 |  |  | 3,202,743 |  |  | 3,049,166 |  |  | 3,049,166 |
Multi-family loans | Level 3 |  | 126,719 |  |  | 126,719 |  |  | 163,593 |  |  | 163,593 |
Investment securities available for sale | Level 2 |  | 607,407 |  |  | 607,407 |  |  | 724,726 |  |  | 724,726 |
Equity investments | Level 3 |  | 204,697 |  |  | 204,697 |  |  | 259,095 |  |  | 259,095 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 340,541 |  |  | 340,541 |  |  | 405,531 |  |  | 405,531 |
Collateralized debt obligations: |  |  |  |  |  |  |  |  |
Residential loan securitizations at amortized cost, net | Level 3 |  | 683,724 |  |  | 688,491 |  |  | 554,067 |  |  | 561,329 |
Consolidated SLST | Level 3 |  | 948,090 |  |  | 948,090 |  |  | 1,054,335 |  |  | 1,054,335 |
Non-Agency RMBS re-securitization | Level 2 |  | — |  |  | — |  |  | 15,256 |  |  | 15,472 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 42,615 |  |  | 45,000 |  |  | 36,871 |
Convertible notes | Level 2 |  | 136,586 |  |  | 140,416 |  |  | 135,327 |  |  | 137,716 |
Senior unsecured notes | Level 2 |  | 96,380 |  |  | 103,045 |  |  | — |  |  | — |
Schedule of Statement of Operations of Variable Interest Entities | The following table presents condensed statements of operations for non-Company-sponsored VIEs, including Consolidated SLST and other Consolidated VIEs, for the three months ended June 30, 2021 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.
|  | Consolidated SLST |  | Other |  | Total
Interest income |  | $ | 10,479 |  |  | $ | — |  |  | $ | 10,479 |
Interest expense |  | 7,151 |  |  | 430 |  |  | 7,581 |
Total net interest income (expense) |  | 3,328 |  |  | (430) |  |  | 2,898 |
Unrealized gains, net |  | 9,793 |  |  | — |  |  | 9,793 |
Other income |  | — |  |  | 2,150 |  |  | 2,150 |
Total non-interest income |  | 9,793 |  |  | 2,150 |  |  | 11,943 |
Total general, administrative and operating expenses |  | — |  |  | 3,913 |  |  | 3,913 |
Net income (loss) |  | 13,121 |  |  | (2,193) |  |  | 10,928 |
Net loss attributable to non-controlling interest in Consolidated VIEs |  | — |  |  | 1,625 |  |  | 1,625 |
Net income (loss) attributable to Company |  | $ | 13,121 |  |  | $ | (568) |  |  | $ | 12,553 |
The following table presents condensed statements of operations for the non-Company-sponsored VIEs, including Consolidated SLST and other Consolidated VIEs, for the three months ended June 30, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.
|  | Consolidated SLST |  | Other |  | Total
Interest income |  | $ | 11,522 |  |  | $ | — |  |  | $ | 11,522 |
Interest expense |  | 8,158 |  |  | — |  |  | 8,158 |
Total net interest income |  | 3,364 |  |  | — |  |  | 3,364 |
Unrealized gains, net |  | 4,096 |  |  | — |  |  | 4,096 |
Other income (loss) |  | — |  |  | (1,780) |  |  | (1,780) |
Total non-interest income (loss) |  | 4,096 |  |  | (1,780) |  |  | 2,316 |
Total general, administrative and operating expenses |  | — |  |  | (26) |  |  | (26) |
Net income (loss) |  | 7,460 |  |  | (1,754) |  |  | 5,706 |
Net loss attributable to non-controlling interest in Consolidated VIEs |  | — |  |  | 876 |  |  | 876 |
Net income (loss) attributable to Company |  | $ | 7,460 |  |  | $ | (878) |  |  | $ | 6,582 |
The following table presents condensed statements of operations for non-Company-sponsored VIEs, including Consolidated SLST and other Consolidated VIEs, for the six months ended June 30, 2021 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.
|  | Consolidated SLST |  | Other |  | Total
Interest income |  | $ | 20,797 |  |  | $ | — |  |  | $ | 20,797 |
Interest expense |  | 14,254 |  |  | 740 |  |  | 14,994 |
Total net interest income (expense) |  | 6,543 |  |  | (740) |  |  | 5,803 |
Unrealized gains, net |  | 19,018 |  |  | — |  |  | 19,018 |
Other income |  | — |  |  | 3,645 |  |  | 3,645 |
Total non-interest income |  | 19,018 |  |  | 3,645 |  |  | 22,663 |
Total general, administrative and operating expenses |  | — |  |  | 6,837 |  |  | 6,837 |
Net income (loss) |  | 25,561 |  |  | (3,932) |  |  | 21,629 |
Net loss attributable to non-controlling interest in Consolidated VIEs |  | — |  |  | 3,034 |  |  | 3,034 |
Net income (loss) attributable to Company |  | $ | 25,561 |  |  | $ | (898) |  |  | $ | 24,663 |
The following table presents condensed statements of operations for the non-Company-sponsored VIEs, including Consolidated K-Series (prior to the sale of first loss POs and de-consolidation of the Consolidated K-Series), Consolidated SLST and other Consolidated VIEs, for the six months ended June 30, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.
|  | Consolidated K-Series |  | Consolidated SLST |  | Other |  | Total
Interest income |  | $ | 151,841 |  |  | $ | 23,646 |  |  | $ | — |  |  | $ | 175,487 |
Interest expense |  | 129,762 |  |  | 16,693 |  |  | — |  |  | 146,455 |
Total net interest income |  | 22,079 |  |  | 6,953 |  |  | — |  |  | 29,032 |
Unrealized losses, net |  | (10,951) |  |  | (62,038) |  |  | — |  |  | (72,989) |
Other income (loss) |  | — |  |  | — |  |  | (2,121) |  |  | (2,121) |
Total non-interest income (loss) |  | (10,951) |  |  | (62,038) |  |  | (2,121) |  |  | (75,110) |
Total general, administrative and operating expenses |  | — |  |  | — |  |  | — |  |  | — |
Net income (loss) |  | 11,128 |  |  | (55,085) |  |  | (2,121) |  |  | (46,078) |
Net loss attributable to non-controlling interest in Consolidated VIEs |  | — |  |  | — |  |  | 1,060 |  |  | 1,060 |
Net income (loss) attributable to Company |  | $ | 11,128 |  |  | $ | (55,085) |  |  | $ | (1,061) |  |  | $ | (45,018) |
Schedule of Classification and Carrying Value of Unconsolidated VIEs | The following tables present the classification and carrying value of unconsolidated VIEs as of June 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):
| June 30, 2021
| Multi-family loans |  | Investment securities available for sale, at fair value |  | Equity investments |  | Total
ABS | $ | — |  |  | $ | 42,620 |  |  | $ | — |  |  | $ | 42,620 |
Non-Agency RMBS | — |  |  | 3,029 |  |  | — |  |  | 3,029 |
Preferred equity investments in multi-family properties | 126,719 |  |  | — |  |  | 189,746 |  |  | 316,465 |
Equity investments in entities that invest in residential properties | — |  |  | — |  |  | 14,951 |  |  | 14,951 |
Maximum exposure | $ | 126,719 |  |  | $ | 45,649 |  |  | $ | 204,697 |  |  | $ | 377,065 |
| December 31, 2020
| Multi-family loans |  | Investment securities available for sale, at fair value |  |  |  |  |  |  | Equity investments |  | Total
ABS | $ | — |  |  | $ | 43,225 |  |  |  |  |  |  |  | $ | — |  |  | $ | 43,225 |
Preferred equity investments in multi-family properties | 158,501 |  |  | — |  |  |  |  |  |  |  | 182,765 |  |  | 341,266 |
Mezzanine loans on multi-family properties | 5,092 |  |  | — |  |  |  |  |  |  |  | — |  |  | 5,092 |
Equity investments in entities that invest in residential properties and loans | — |  |  | — |  |  |  |  |  |  |  | 76,330 |  |  | 76,330 |
Maximum exposure | $ | 163,593 |  |  | $ | 43,225 |  |  |  |  |  |  |  | $ | 259,095 |  |  | $ | 465,913 |

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- Definition Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=123419778&loc=SL6759159-111685 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5747-111685 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=123419778&loc=SL6228884-111685 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5710-111685 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5728-111685 + Details
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