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Collateralized Debt Obligations (Tables)

9 Months Ended

Sep. 30, 2021

Debt Disclosure [Abstract]

Schedule of Mortgages Payable in Consolidated VIEs

The following tables present a summary of the Company's CDOs as of September 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

			September 30, 2021
			Outstanding Face Amount						Carrying Value						Weighted Average Interest Rate (1)						Weighted Average Rate of Notes Issued (2)						Stated Maturity (3)
Consolidated SLST (4)			$	861,184					$	904,976					2.75		%				3.53		%				2059
Residential loan securitizations			714,058						710,102						2.42		%				3.38		%				2026 - 2061
Total collateralized debt obligations			$	1,575,242					$	1,615,078

(1)Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2)Weighted average rate of notes issued is calculated using the outstanding face amount and stated interest rate of all notes issued by the securitizations, including those owned by the Company.

(3)The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4)The Company has elected the fair value option for CDOs issued by Consolidated SLST (see Note 14).

			December 31, 2020
			Outstanding Face Amount						Carrying Value						Weighted Average Interest Rate (1)						Weighted Average Rate of Notes Issued (2)						Stated Maturity (3)
Consolidated SLST (4)			$	975,017					$	1,054,335					2.75		%				3.53		%				2059
Residential loan securitizations			557,497						554,067						3.36		%				4.83		%				2025 - 2060
Non-Agency RMBS Re-Securitization			15,449						15,256						One-month LIBOR plus 5.25%			(5)			One-month LIBOR plus 5.25%			(5)			2025
Total collateralized debt obligations			$	1,547,963					$	1,623,658

(1)Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2)Weighted average rate of notes issued is calculated using the outstanding face amount and stated interest rate of all notes issued by the securitizations, including those owned by the Company.

(3)The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4)The Company has elected the fair value option for CDOs issued by Consolidated SLST (see Note 14).

(5)Represents the pass-through rate through the payment date in December 2021. During the nine months ended September 30, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization.

The following table presents detailed information for these mortgages payable on operating real estate as of September 30, 2021 and December 31, 2020, respectively (dollar amounts in thousands):

			Outstanding Mortgage Balance						Net Deferred Finance Cost						Mortgage Payable, Net						Stated Maturity						Weighted Average Interest Rate (1)						Unfunded Commitment
September 30, 2021			$	203,786					$	(3,066)					$	200,720					2024 - 2031						3.25		%				$	12,188
December 31, 2020			37,030						(278)						36,752						2028						2.54		%				—

(1)Weighted average interest rate is calculated using the outstanding mortgage balance and interest rate as of the date indicated.

Schedule of Maturities of Collateralized Debt Obligations

The Company's collateralized debt obligations as of September 30, 2021 had stated maturities as follows:

Year ending December 31,						Total
2021						$	—
2022						—
2023						—
2024						—
2025						—
2026						180,000
Thereafter						1,395,242
Total						$	1,575,242

As of September 30, 2021, maturities for debt on the Company's condensed consolidated balance sheet are as follows (dollar amounts in thousands):

Year Ending December 31,						Total
2021						$	—
2022						138,000
2023						—
2024						108,676
2025						—
2026						100,000
Thereafter						140,110
						$	486,786

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