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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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
			June 30, 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			$	—					$	—					$	1,226,841					$	1,226,841					$	—					$	—					$	1,090,930					$	1,090,930
Consolidated SLST			—						—						1,176,539						1,176,539						—						—						1,266,785						1,266,785
Residential loans held in securitization trusts			—						—						799,363						799,363						—						—						691,451						691,451
Multi-family loans			—						—						126,719						126,719						—						—						163,593						163,593
Investment securities available for sale:
Agency RMBS			—						131,299						—						131,299						—						139,395						—						139,395
Non-Agency RMBS			—						287,988						—						287,988						—						355,666						—						355,666
CMBS			—						145,500						—						145,500						—						186,440						—						186,440
ABS			—						42,620						—						42,620						—						43,225						—						43,225
Equity investments			—						—						204,697						204,697						—						—						259,095						259,095
Total			$	—					$	607,407					$	3,534,159					$	4,141,566					$	—					$	724,726					$	3,471,854					$	4,196,580
Liabilities carried at fair value
Consolidated SLST CDOs			$	—					$	—					$	948,090					$	948,090					$	—					$	—					$	1,054,335					$	1,054,335
Total			$	—					$	—					$	948,090					$	948,090					$	—					$	—					$	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 six months ended June 30, 2021 and 2020, respectively (dollar amounts in thousands):

Level 3 Assets:

			Six Months Ended June 30, 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			14,494						(21,788)						21,105						10,853						14,006						38,670
Transfers out (1)			(1,259)						—						(1,415)						—						—						(2,674)
Transfer to securitization trust (2)			(160,623)						—						160,623						—						—						—
Contributions			—						—						—						—						320						320
Paydowns/Distributions			(306,209)						(68,458)						(70,025)						(47,727)						(68,724)						(561,143)
Sales			(15,568)						—						(2,376)						—						—						(17,944)
Purchases			605,076						—						—						—						—						605,076
Balance at the end of period			$	1,226,841					$	1,176,539					$	799,363					$	126,719					$	204,697					$	3,534,159

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

(2)In May 2021, the Company completed a securitization of certain business purpose loans (see Note 7 for further discussion of the Company's residential loan securitizations).

			Six Months Ended June 30, 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			(55,144)						(15,279)						(1,730)						4,866						41,795						4,606						(20,886)
Transfers in (1)			164,279						—						46,572						182,465						—						107,477						500,793
Transfers out (2) (3)			(3,953)						—						(349)						—						(237,297)						—						(241,599)
Contributions			—						—						—						8,440						—						22,106						30,546
Paydowns/Distributions			(155,135)						(38,757)						(3,800)						(14,921)						(239,796)						(3,782)						(456,191)
Recovery of charge-off			—						—						—						—						35						—						35
Sales (3)			(93,755)						—						—						—						(17,381,483)						—						(17,475,238)
Purchases			156,639						—						—						—						—						—						156,639
Balance at the end of period			$	1,442,685					$	1,274,850					$	40,693					$	180,850					$	—					$	214,289					$	3,153,367

(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 six months ended June 30, 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 six months ended June 30, 2021 and 2020, respectively (dollar amounts in thousands):

Level 3 Liabilities:

			Six Months Ended June 30, 2021
			Consolidated SLST CDOs
Balance at beginning of period			$	1,054,335
Total gains (realized/unrealized)
Included in earnings			(37,931)
Paydowns			(68,314)
Balance at the end of period			$	948,090

			Six Months Ended June 30, 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						52,420						87,438
Paydowns			(147,376)						(39,242)						(186,618)
Sales (1)			(16,612,093)						22,226						(16,589,867)
Balance at the end of period			$	—					$	1,088,233					$	1,088,233

(1)During the six months ended June 30, 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 six months ended June 30, 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):

June 30, 2021						Fair Value						Valuation Technique						Unobservable Input						Weighted Average						Range
Assets
Residential loans:
Residential loans and residential loans held in securitization trusts (1)						$1,891,087						Discounted cash flow						Lifetime CPR						9.6%						—			-			54.7%
																		Lifetime CDR						0.8%						—			-			20.3%
																		Loss severity						11.8%						—			-			100.0%
																		Yield						4.9%						2.4%			-			40.2%
						$135,117						Liquidation model						Annual home price appreciation						1.0%						—			-			18.0%
																		Liquidation timeline (months)						30						8			-			53
																		Property value						$608,523						$13,000			-			$4,000,000
																		Yield						7.2%						7.0%			-			29.6%
Consolidated SLST (3)						$1,176,539												Liability price						N/A
Total						$3,202,743
Multi-family loans (1)						$126,719						Discounted cash flow						Discount rate						11.5%						11.0%			-			19.5%
																		Months to assumed redemption						35						1			-			60
																		Loss severity						—
Equity investments (1) (2)						$189,746						Discounted cash flow						Discount rate						11.7%						11.0%			-			18.3%
																		Months to assumed redemption						35						3			-			57
																		Loss severity						—
Liabilities
Consolidated SLST CDOs (3) (4)						$948,090						Discounted cash flow						Yield						2.8%						1.9%			-			21.6%
																		Collateral prepayment rate						5.5%						2.4%			-			6.2%
																		Collateral default rate						2.0%						—			-			8.6%
																		Loss severity						19.4%						—			-			22.1%

(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. 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 June 30, 2021, the fair value of investment securities we own in Consolidated SLST amounts to $228.3 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 and six months ended June 30, 2021 and 2020, respectively, for our Level 3 assets and liabilities held as of June 30, 2021 and 2020, respectively (dollar amounts in thousands):

			Three Months Ended June 30,												Six Months Ended June 30,
			2021						2020						2021						2020
Assets
Residential loans:
Residential loans (1)			$	3,752					$	39,991					$	12,192					$	(36,303)
Consolidated SLST (1)			6,471						75,052						(18,872)						(13,049)
Residential loans held in securitization trusts (1)			6,030						59						18,611						(1,641)
Multi-family loans (1)			460						(127)						665						(5,686)
Equity investments (2)			805						(1,108)						927						(5,130)
Liabilities
Consolidated SLST CDOs (1)			3,322						(70,956)						37,890						(48,990)

(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 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						—						—

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