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Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables)

6 Months Ended

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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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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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.

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