XML 62 R45.htm IDEA: XBRL DOCUMENT
v3.22.0.1

Fair Value of Financial Instruments (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2021
Fair Value Disclosures [Abstract] |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2021 and 2020, respectively, on the Company’s consolidated balance sheets (dollar amounts in thousands):
| Measured at Fair Value on a Recurring Basis at
| December 31, 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 | $ | — |  |  | $ | — |  |  | $ | 1,703,290 |  |  | $ | 1,703,290 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,090,930 |  |  | $ | 1,090,930 |
Consolidated SLST | — |  |  | — |  |  | 1,070,882 |  |  | 1,070,882 |  |  | — |  |  | — |  |  | 1,266,785 |  |  | 1,266,785 |
Residential loans held in securitization trusts | — |  |  | — |  |  | 801,429 |  |  | 801,429 |  |  | — |  |  | — |  |  | 691,451 |  |  | 691,451 |
Multi-family loans | — |  |  | — |  |  | 120,021 |  |  | 120,021 |  |  | — |  |  | — |  |  | 163,593 |  |  | 163,593 |
Investment securities available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 139,395 |  |  | — |  |  | 139,395 |
Non-Agency RMBS | — |  |  | 128,019 |  |  | — |  |  | 128,019 |  |  | — |  |  | 355,666 |  |  | — |  |  | 355,666 |
CMBS | — |  |  | 33,146 |  |  | — |  |  | 33,146 |  |  | — |  |  | 186,440 |  |  | — |  |  | 186,440 |
ABS | — |  |  | 39,679 |  |  | — |  |  | 39,679 |  |  | — |  |  | 43,225 |  |  | — |  |  | 43,225 |
Equity investments | — |  |  | — |  |  | 239,631 |  |  | 239,631 |  |  | — |  |  | — |  |  | 259,095 |  |  | 259,095 |
Total | $ | — |  |  | $ | 200,844 |  |  | $ | 3,935,253 |  |  | $ | 4,136,097 |  |  | $ | — |  |  | $ | 724,726 |  |  | $ | 3,471,854 |  |  | $ | 4,196,580 |
Liabilities carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated SLST CDOs | $ | — |  |  | $ | — |  |  | $ | 839,419 |  |  | $ | 839,419 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,054,335 |  |  | $ | 1,054,335 |
Total | $ | — |  |  | $ | — |  |  | $ | 839,419 |  |  | $ | 839,419 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,054,335 |  |  | $ | 1,054,335 |
Changes in Level 3 Assets | The following tables detail changes in valuation for the Level 3 assets for the years ended December 31, 2021, 2020, and 2019, respectively (dollar amounts in thousands): Level 3 Assets:
| Year Ended December 31, 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 | 36,844 |  |  | (35,953) |  |  | 43,001 |  |  | 18,795 |  |  | 36,729 |  |  | 99,416 |
Transfers in | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out (1) | (2,080) |  |  | — |  |  | (2,053) |  |  | — |  |  | — |  |  | (4,133) |
Transfer to securitization trust, net (2) | (305,433) |  |  | — |  |  | 305,433 |  |  | — |  |  | — |  |  | — |
Funding/Contributions | — |  |  | — |  |  | — |  |  | 37,678 |  |  | 107,465 |  |  | 145,143 |
Paydowns/Distributions | (618,790) |  |  | (159,950) |  |  | (239,436) |  |  | (100,045) |  |  | (163,658) |  |  | (1,281,879) |
Recovery of charge-off | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales | (74,751) |  |  | — |  |  | (2,376) |  |  | — |  |  | — |  |  | (77,127) |
Purchases | 1,576,570 |  |  | — |  |  | 5,409 |  |  | — |  |  | — |  |  | 1,581,979 |
Balance at the end of period | $ | 1,703,290 |  |  | $ | 1,070,882 |  |  | $ | 801,429 |  |  | $ | 120,021 |  |  | $ | 239,631 |  |  | $ | 3,935,253 |
(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned. (2)In May 2021, the Company completed a securitization of certain business purpose loans. In August 2021, the Company redeemed a residential loan securitization and completed a new residential loan securitization of certain performing, re-performing and non-performing residential loans (see Note 7 for further discussion of the Company's residential loan securitizations).
| Year Ended December 31, 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 | (9,240) |  |  | 27,898 |  |  | 31,402 |  |  | 20,454 |  |  | 41,795 |  |  | 26,670 |  |  | 138,979 |
Transfers in (1) | 164,279 |  |  | — |  |  | 46,572 |  |  | 182,465 |  |  | — |  |  | 107,477 |  |  | 500,793 |
Transfers out (2) (3) | (6,017) |  |  | — |  |  | (2,492) |  |  | (8,719) |  |  | (237,297) |  |  | — |  |  | (254,525) |
Transfer to securitization trust (4) | (651,911) |  |  | — |  |  | 651,911 |  |  | — |  |  | — |  |  | — |  |  | — |
Funding/Contributions | — |  |  | — |  |  | — |  |  | 14,164 |  |  | — |  |  | 66,336 |  |  | 80,500 |
Paydowns/Distributions | (308,600) |  |  | (89,999) |  |  | (35,942) |  |  | (44,771) |  |  | (239,796) |  |  | (25,270) |  |  | (744,378) |
Recovery of charge-off | — |  |  | — |  |  | — |  |  | — |  |  | 35 |  |  | — |  |  | 35 |
Sales (3) | (96,892) |  |  | — |  |  | — |  |  | — |  |  | (17,381,483) |  |  | — |  |  | (17,478,375) |
Purchases | 569,557 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 569,557 |
Balance at the end of period | $ | 1,090,930 |  |  | $ | 1,266,785 |  |  | $ | 691,451 |  |  | $ | 163,593 |  |  | $ | — |  |  | $ | 259,095 |  |  | $ | 3,471,854 |
(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 (see Note 2). (2)Transfers out of Level 3 assets include the transfer of residential loans to real estate owned and the consolidation of a preferred equity investment into the Company's consolidated financial statements (see Note 7). (3)During the year ended December 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the 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). (4)During the year ended December 31, 2020, the Company completed two securitizations of certain performing, re-performing and non-performing residential loans (see Note 7).
| Year Ended December 31, 2019
| Residential loans |  |  |  |  |  |  |  |
| Residential loans |  | Consolidated SLST |  | Consolidated K-Series |  | CMBS held in re-securitization trusts |  | Equity investments |  | Total
Balance at beginning of period | $ | 737,523 |  |  | $ | — |  |  | $ | 11,679,847 |  |  | $ | 52,700 |  |  | $ | 32,994 |  |  | $ | 12,503,064 |
Total gains/(losses) (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 55,459 |  |  | (445) |  |  | 533,094 |  |  | 17,734 |  |  | 15,100 |  |  | 620,942 |
Included in other comprehensive income (loss) | — |  |  | — |  |  | — |  |  | (13,665) |  |  | — |  |  | (13,665) |
Transfers out (1) | (913) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (913) |
Funding/Contributions | — |  |  | — |  |  | — |  |  | — |  |  | 50,000 |  |  | 50,000 |
Paydowns/Distributions | (171,909) |  |  | (3,729) |  |  | (992,912) |  |  | — |  |  | (14,212) |  |  | (1,182,762) |
Charge-off | — |  |  | — |  |  | (3,257) |  |  | — |  |  | — |  |  | (3,257) |
Sales | (19,814) |  |  | — |  |  | — |  |  | (56,769) |  |  | — |  |  | (76,583) |
Purchases (2) | 829,408 |  |  | 1,333,060 |  |  | 6,599,974 |  |  | — |  |  | — |  |  | 8,762,442 |
Balance at the end of period | $ | 1,429,754 |  |  | $ | 1,328,886 |  |  | $ | 17,816,746 |  |  | $ | — |  |  | $ | 83,882 |  |  | $ | 20,659,268 |
(1)Transfers out of Level 3 assets include the transfer of residential loans to real estate owned. (2)During the year ended December 31, 2019, the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. Also during the year ended December 31, 2019, the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated assets of the respective securitizations (see Note 7).
Changes in Level 3 Liabilities | The following tables detail changes in valuation for the Level 3 liabilities for the years ended December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands): Level 3 Liabilities:
|  |  | Year Ended December 31, 2021 |  |
|  |  | Consolidated SLST CDOs |  |
Balance at beginning of period |  |  | $ | 1,054,335 |  |  |
Total gains (realized/unrealized) |  |  |  |  |
Included in earnings |  |  | (54,154) |  |  |
Paydowns |  |  | (160,762) |  |  |
Balance at the end of period |  |  | $ | 839,419 |  |  |
| Year Ended December 31, 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 (realized/unrealized) |  |  |  |  |
Included in earnings | 35,018 |  |  | 68,764 |  |  | 103,782 |
Paydowns | (147,376) |  |  | (89,484) |  |  | (236,860) |
Sales (1) | (16,612,093) |  |  | 22,226 |  |  | (16,589,867) |
Balance at the end of period | $ | — |  |  | $ | 1,054,335 |  |  | $ | 1,054,335 |
(1)During the year ended December 31, 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 for the year ended December 31, 2020 (see Note 7).
| Year Ended December 31, 2019
| Collateralized debt obligations |  |
| Consolidated K-Series |  | Consolidated SLST |  | Total
Balance at beginning of period | $ | 11,022,248 |  |  | $ | — |  |  | $ | 11,022,248 |
Total losses (realized/unrealized) |  |  |  |  |
Included in earnings | 443,796 |  |  | 27 |  |  | 443,823 |
Purchases (1) | 6,253,739 |  |  | 1,055,720 |  |  | 7,309,459 |
Paydowns | (992,075) |  |  | (2,918) |  |  | (994,993) |
Charge-off | (3,257) |  |  | — |  |  | (3,257) |
Balance at the end of period | $ | 16,724,451 |  |  | $ | 1,052,829 |  |  | $ | 17,777,280 |
(1)During the year ended December 31, 2019, the Company purchased first loss PO securities and certain IOs and senior or mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. Also during the year ended December 31, 2019, the Company purchased first loss subordinated securities, IOs and senior RMBS securities issued from a securitization that it determined to consolidate as Consolidated SLST. As a result, the Company consolidated liabilities of the respective securitizations (see Note 7). 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):
December 31, 2021 |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Weighted Average |  | Range
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential loans: |  |  |  |  |  |  |  |  |  |  |  |
Residential loans and residential loans held in securitization trusts (1) |  | $2,411,356 |  | Discounted cash flow |  | Lifetime CPR |  | 8.5% |  | — | - | 48.7%
|  |  |  |  |  | Lifetime CDR |  | 0.5% |  | — | - | 29.0%
|  |  |  |  |  | Loss severity |  | 9.2% |  | — | - | 100.0%
|  |  |  |  |  | Yield |  | 4.6% |  | 2.3% | - | 40.8%
|  | $93,363 |  | Liquidation model |  | Annual home price appreciation |  | 1.8% |  | — | - | 38.2%
|  |  |  |  |  | Liquidation timeline (months) |  | 28 |  | 9 | - | 50
|  |  |  |  |  | Property value |  | $677,928 |  | $15,000 | - | $6,500,000
|  |  |  |  |  | Yield |  | 7.2% |  | 7.0% | - | 26.1%
Consolidated SLST (3) |  | $1,070,882 |  |  |  | Liability price |  | N/A |  |  |  |
Total |  | $3,575,601 |  |  |  |  |  |  |  |  |  |
Multi-family loans (1) |  | $120,021 |  | Discounted cash flow |  | Discount rate |  | 11.3% |  | 10.0% | - | 19.5%
|  |  |  |  |  | Months to assumed redemption |  | 37 |  | 1 | - | 60
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Equity investments (1) (2) |  | $191,238 |  | Discounted cash flow |  | Discount rate |  | 12.4% |  | 11.0% | - | 15.4%
|  |  |  |  |  | Months to assumed redemption |  | 29 |  | 2 | - | 57
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Consolidated SLST CDOs (3) (4) |  | $839,419 |  | Discounted cash flow |  | Yield |  | 2.9% |  | 1.6% | - | 17.0%
|  |  |  |  |  | Collateral prepayment rate |  | 10.4% |  | 3.7% | - | 13.0%
|  |  |  |  |  | Collateral default rate |  | 1.9% |  | — | - | 8.1%
|  |  |  |  |  | Loss severity |  | 16.4% |  | — | - | 23.0%
(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 or originate residential properties and loans. The fair value of these investments is determined using a multiple of earnings before taxes, depreciation and amortization of the entity or 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 December 31, 2021, the fair value of securities we own in Consolidated SLST amounts to $230.3 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.
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings | The following table details the changes in unrealized gains (losses) included in earnings for the years ended December 31, 2021, 2020 and 2019, respectively, for our Level 3 assets and liabilities held as of December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands):
| For the Years Ended December 31,
| 2021 |  | 2020 |  | 2019
Assets |  |  |  |  |
Residential loans |  |  |  |  |
Residential loans (1) | $ | 31,222 |  |  | $ | 16,449 |  |  | $ | 44,470 |
Consolidated SLST (1) | (31,128) |  |  | 33,479 |  |  | 300 |
Residential loans held in securitization trust (1) | 35,570 |  |  | 17,785 |  |  | — |
Multi-family loans |  |  |  |  |
Preferred equity and mezzanine loan investments (1) | 1,924 |  |  | (682) |  |  | — |
Consolidated K-Series (1) | — |  |  | — |  |  | 586,993 |
Equity investments (2) | 3,990 |  |  | 256 |  |  | 5,374 |
Liabilities |  |  |  |  |
Collateralized debt obligations |  |  |  |  |
Consolidated SLST (1) | $ | 54,960 |  |  | $ | (65,552) |  |  | $ | (383) |
Consolidated K-Series (1) | — |  |  | — |  |  | (563,031) |
(1)Presented in unrealized gains (losses), net on the Company’s consolidated statements of operations. (2)Presented in income from equity investments on the Company’s consolidated statements of operations.
Fair Value, by Balance Sheet Grouping | The following table presents a summary of the assets, liabilities and non-controlling interests of the Company’s residential loan securitizations, Consolidated SLST and Consolidated Real Estate VIEs of as of December 31, 2021 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation:
| Financing VIEs |  |  |  | Other VIEs |  |
| Residential Loan Securitizations |  |  |  |  |  | Consolidated SLST |  | Consolidated Real Estate |  | Total
Cash and cash equivalents | $ | — |  |  |  |  |  |  | $ | — |  |  | $ | 29,606 |  |  | $ | 29,606 |
Residential loans, at fair value | 801,429 |  |  |  |  |  |  | 1,070,882 |  |  | — |  |  | 1,872,311 |
Real estate, net held in Consolidated VIEs (1) | — |  |  |  |  |  |  | — |  |  | 927,725 |  |  | 927,725 |
Other assets | 20,932 |  |  |  |  |  |  | 3,547 |  |  | 70,557 |  |  | 95,036 |
Total assets | $ | 822,361 |  |  |  |  |  |  | $ | 1,074,429 |  |  | $ | 1,027,888 |  |  | $ | 2,924,678 |
Collateralized debt obligations ($682,802 at amortized cost, net and $839,419 at fair value) | $ | 682,802 |  |  |  |  |  |  | $ | 839,419 |  |  | $ | — |  |  | $ | 1,522,221 |
Mortgages payable on real estate, net in Consolidated VIEs (2) | — |  |  |  |  |  |  | — |  |  | 672,568 |  |  | 672,568 |
Other liabilities | 4,321 |  |  |  |  |  |  | 3,193 |  |  | 17,527 |  |  | 25,041 |
Total liabilities | $ | 687,123 |  |  |  |  |  |  | $ | 842,612 |  |  | $ | 690,095 |  |  | $ | 2,219,830 |
Redeemable non-controlling interest in Consolidated VIEs (3) | $ | — |  |  |  |  |  |  | $ | — |  |  | $ | 66,392 |  |  | $ | 66,392 |
Non-controlling interest in Consolidated VIEs (4) | $ | — |  |  |  |  |  |  | $ | — |  |  | $ | 24,359 |  |  | $ | 24,359 |
Net investment (5) | $ | 135,238 |  |  |  |  |  |  | $ | 231,817 |  |  | $ | 247,042 |  |  | $ | 614,097 |
(1)Included in real estate, net in the accompanying consolidated balance sheets. (2)Included in mortgages payable on real estate, net in the accompanying consolidated balance sheets. (3)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below. (4)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs. (5)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 Consolidated Real Estate 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 |  | Consolidated Real Estate |  | 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 |
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 on real estate, 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 real estate, net in the accompanying consolidated balance sheets. (2)Included in mortgages payable on real estate, net in the accompanying consolidated balance sheets. (3)Represents third-party ownership of membership interests in Consolidated Real Estate 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 December 31, 2021 and 2020, respectively (dollar amounts in thousands):
|  |  | December 31, 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 |  | $ | 289,602 |  |  | $ | 289,602 |  |  | $ | 293,183 |  |  | $ | 293,183 |
Residential loans | Level 3 |  | 3,575,601 |  |  | 3,575,601 |  |  | 3,049,166 |  |  | 3,049,166 |
Multi-family loans | Level 3 |  | 120,021 |  |  | 120,021 |  |  | 163,593 |  |  | 163,593 |
Investment securities available for sale | Level 2 |  | 200,844 |  |  | 200,844 |  |  | 724,726 |  |  | 724,726 |
Equity investments | Level 3 |  | 239,631 |  |  | 239,631 |  |  | 259,095 |  |  | 259,095 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 554,259 |  |  | 554,259 |  |  | 405,531 |  |  | 405,531 |
Collateralized debt obligations: |  |  |  |  |  |  |  |  |
Residential loan securitizations at amortized cost, net | Level 3 |  | 682,802 |  |  | 686,027 |  |  | 554,067 |  |  | 561,329 |
Consolidated SLST | Level 3 |  | 839,419 |  |  | 839,419 |  |  | 1,054,335 |  |  | 1,054,335 |
Non-Agency RMBS re-securitization | Level 2 |  | — |  |  | — |  |  | 15,256 |  |  | 15,472 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 44,388 |  |  | 45,000 |  |  | 36,871 |
Convertible notes | Level 2 |  | 137,898 |  |  | 138,011 |  |  | 135,327 |  |  | 137,716 |
Senior unsecured notes | Level 2 |  | 96,704 |  |  | 102,215 |  |  | — |  |  | — |
Mortgages payable on operating real estate | Level 3 |  | 709,356 |  |  | 712,112 |  |  | 36,752 |  |  | 36,752 |

X
- Definition Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c)(1) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisGainLossIncludedInEarningsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=123594938&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 + Details
Name: | us-gaap_FairValueLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration