XML 92 R82.htm IDEA: XBRL DOCUMENT v3.21.2
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)
 9 Months Ended
Sep. 30, 2021
USD ($)
Dec. 31, 2020
USD ($)
Residential Collateralized Debt Obligations, at Fair Value    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Collateralized debt, carrying value $ 904,976,000 $ 1,054,335,000
Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Collateralized debt, carrying value 904,976,000 1,054,335,000
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 231,100,000 212,100,000
Level 3    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value 3,273,807,000  
Equity investments 255,014,000 259,095,000
Level 3 | Residential Collateralized Debt Obligations, at Fair Value    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Collateralized debt, carrying value 904,976,000 $ 1,054,335,000
Level 3 | Equity investments    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Equity investments $ 237,925,000  
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 0.119  
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) 26 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) 1 month  
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) 60 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 $ 2,044,724,000  
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 $ 92,078,000  
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 0.085  
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 0.513  
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 0.007  
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 0.287  
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 0.104  
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 0.048  
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 0.024  
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 0.487  
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 0.071  
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 0.280  
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 0.014  
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 0.254  
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) 30 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) 53 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 $ 720,766  
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 15,000  
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 6,500,000  
Level 3 | Multi-family loans    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Multi-family loans $ 119,812,000  
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) 23 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) 1 month  
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) 60 months  
Level 3 | Consolidated SLST | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Residential mortgage loans, at fair value $ 1,137,005,000  
Investment in Consolidated SLST limited to securities owned, net carrying value 231,100,000  
Level 3 | Consolidated SLST | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Collateralized debt, carrying value $ 904,976,000  
Level 3 | Consolidated SLST | Loss Severity | Discounted Cash Flow | Weighted Average | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.187  
Level 3 | Consolidated SLST | Loss Severity | Discounted Cash Flow | Minimum | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0  
Level 3 | Consolidated SLST | Loss Severity | Discounted Cash Flow | Maximum | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.212  
Level 3 | Consolidated SLST | Yield | Discounted Cash Flow | Weighted Average | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.026  
Level 3 | Consolidated SLST | Yield | Discounted Cash Flow | Minimum | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.015  
Level 3 | Consolidated SLST | Yield | Discounted Cash Flow | Maximum | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.233  
Level 3 | Consolidated SLST | Collateral Prepayment Rate | Discounted Cash Flow | Weighted Average | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.057  
Level 3 | Consolidated SLST | Collateral Prepayment Rate | Discounted Cash Flow | Minimum | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.025  
Level 3 | Consolidated SLST | Collateral Prepayment Rate | Discounted Cash Flow | Maximum | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.064  
Level 3 | Consolidated SLST | Collateral Default Rate | Discounted Cash Flow | Weighted Average | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.018  
Level 3 | Consolidated SLST | Collateral Default Rate | Discounted Cash Flow | Minimum | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0  
Level 3 | Consolidated SLST | Collateral Default Rate | Discounted Cash Flow | Maximum | Residential Collateralized Debt Obligations, at Fair Value | VIE, Primary Beneficiary    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]    
Debt, measurement input 0.094