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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2022
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 March 31, 2022 and December 31, 2021, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):
| Measured at Fair Value on a Recurring Basis at
| March 31, 2022 |  | December 31, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans | $ | — |  |  | $ | — |  |  | $ | 1,721,218 |  |  | $ | 1,721,218 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,703,290 |  |  | $ | 1,703,290 |
Consolidated SLST | — |  |  | — |  |  | 969,853 |  |  | 969,853 |  |  | — |  |  | — |  |  | 1,070,882 |  |  | 1,070,882 |
Residential loans held in securitization trusts | — |  |  | — |  |  | 1,262,356 |  |  | 1,262,356 |  |  | — |  |  | — |  |  | 801,429 |  |  | 801,429 |
Multi-family loans | — |  |  | — |  |  | 110,208 |  |  | 110,208 |  |  | — |  |  | — |  |  | 120,021 |  |  | 120,021 |
Investment securities available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS | — |  |  | 75,499 |  |  | — |  |  | 75,499 |  |  | — |  |  | 128,019 |  |  | — |  |  | 128,019 |
CMBS | — |  |  | 31,576 |  |  | — |  |  | 31,576 |  |  | — |  |  | 33,146 |  |  | — |  |  | 33,146 |
ABS | — |  |  | 38,705 |  |  | — |  |  | 38,705 |  |  | — |  |  | 39,679 |  |  | — |  |  | 39,679 |
Equity investments | — |  |  | — |  |  | 225,300 |  |  | 225,300 |  |  | — |  |  | — |  |  | 239,631 |  |  | 239,631 |
Total | $ | — |  |  | $ | 145,780 |  |  | $ | 4,288,935 |  |  | $ | 4,434,715 |  |  | $ | — |  |  | $ | 200,844 |  |  | $ | 3,935,253 |  |  | $ | 4,136,097 |
Liabilities carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated SLST CDOs | $ | — |  |  | $ | — |  |  | $ | 754,264 |  |  | $ | 754,264 |  |  | $ | — |  |  | $ | — |  |  | $ | 839,419 |  |  | $ | 839,419 |
Total | $ | — |  |  | $ | — |  |  | $ | 754,264 |  |  | $ | 754,264 |  |  | $ | — |  |  | $ | — |  |  | $ | 839,419 |  |  | $ | 839,419 |
Schedule of Changes in Valuation of Level 3 Assets | The following tables detail changes in valuation for the Level 3 assets for the three months ended March 31, 2022 and 2021, respectively (dollar amounts in thousands): Level 3 Assets:
| Three Months Ended March 31, 2022
| Residential loans |  |  |  |  |
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Multi-family loans |  | Equity investments |  | Total
Balance at beginning of period | $ | 1,703,290 |  |  | $ | 1,070,882 |  |  | $ | 801,429 |  |  | $ | 120,021 |  |  | $ | 239,631 |  |  | $ | 3,935,253 |
Total (losses)/gains (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |
Included in earnings | (24,571) |  |  | (67,685) |  |  | (33,729) |  |  | 3,258 |  |  | 6,793 |  |  | (115,934) |
Transfers out (1) | (90) |  |  | — |  |  | (789) |  |  | — |  |  | — |  |  | (879) |
Transfer to securitization trust, net (2) | (598,430) |  |  | — |  |  | 598,430 |  |  | — |  |  | — |  |  | — |
Funding/Contributions | — |  |  | — |  |  | — |  |  | — |  |  | 19,191 |  |  | 19,191 |
Paydowns/Distributions | (126,575) |  |  | (33,344) |  |  | (117,548) |  |  | (13,071) |  |  | (40,315) |  |  | (330,853) |
Sales | (320) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (320) |
Purchases | 767,914 |  |  | — |  |  | 14,563 |  |  | — |  |  | — |  |  | 782,477 |
Balance at the end of period | $ | 1,721,218 |  |  | $ | 969,853 |  |  | $ | 1,262,356 |  |  | $ | 110,208 |  |  | $ | 225,300 |  |  | $ | 4,288,935 |
(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned. (2)During the three months ended March 31, 2022, the Company completed two securitizations of certain performing, re-performing and business purpose loans (see Note 7 for further discussion of the Company's residential loan securitizations).
| Three Months Ended March 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 | 9,386 |  |  | (27,057) |  |  | 14,123 |  |  | 5,077 |  |  | 3,400 |  |  | 4,929 |
Transfers out (1) | (989) |  |  | — |  |  | (695) |  |  | — |  |  | — |  |  | (1,684) |
Funding/Contributions | — |  |  | — |  |  | — |  |  | — |  |  | 161 |  |  | 161 |
Paydowns/Distributions | (125,646) |  |  | (28,220) |  |  | (24,436) |  |  | (16,834) |  |  | (2,591) |  |  | (197,727) |
Sales | (4,257) |  |  | — |  |  | (2,376) |  |  | — |  |  | — |  |  | (6,633) |
Purchases | 347,283 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 347,283 |
Balance at the end of period | $ | 1,316,707 |  |  | $ | 1,211,508 |  |  | $ | 678,067 |  |  | $ | 151,836 |  |  | $ | 260,065 |  |  | $ | 3,618,183 |
Schedule of Changes in Valuation of Level 3 Liabilities | The following table details changes in valuation for the Level 3 liabilities for the three months ended March 31, 2022 and 2021, respectively (dollar amounts in thousands): Level 3 Liabilities:
| Consolidated SLST CDOs
| Three Months Ended March 31,
| 2022 |  | 2021
Balance at beginning of period | $ | 839,419 |  |  | $ | 1,054,335 |
Total gains (realized/unrealized) |  |  |
Included in earnings | (51,438) |  |  | (34,748) |
Paydowns | (33,717) |  |  | (27,299) |
Balance at the end of period | $ | 754,264 |  |  | $ | 992,288 |
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):
March 31, 2022 |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Weighted Average |  | Range
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential loans: |  |  |  |  |  |  |  |  |  |  |  |
Residential loans and residential loans held in securitization trusts (1) |  | $2,890,919 |  | Discounted cash flow |  | Lifetime CPR |  | 5.9% |  | — | - | 44.4%
|  |  |  |  |  | Lifetime CDR |  | 0.4% |  | — | - | 23.0%
|  |  |  |  |  | Loss severity |  | 7.5% |  | — | - | 96.6%
|  |  |  |  |  | Yield |  | 5.2% |  | 3.7% | - | 36.3%
|  | $92,655 |  | Liquidation model |  | Annual home price appreciation |  | 1.3% |  | — | - | 23.1%
|  |  |  |  |  | Liquidation timeline (months) |  | 27 |  | 9 | - | 50
|  |  |  |  |  | Property value |  | $607,487 |  | $17,000 | - | $3,880,000
|  |  |  |  |  | Yield |  | 7.7% |  | 7.5% | - | 28.5%
Consolidated SLST (3) |  | $969,853 |  |  |  | Liability price |  | N/A |  |  |  |
Total |  | $3,953,427 |  |  |  |  |  |  |  |  |  |
Multi-family loans (1) |  | $110,208 |  | Discounted cash flow |  | Discount rate |  | 11.3% |  | 10.0% | - | 19.5%
|  |  |  |  |  | Months to assumed redemption |  | 36 |  | — | - | 57
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Equity investments (1) (2) |  | $193,194 |  | Discounted cash flow |  | Discount rate |  | 12.5% |  | 11.0% | - | 15.4%
|  |  |  |  |  | Months to assumed redemption |  | 28 |  | 1 | - | 54
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Consolidated SLST CDOs (3) (4) |  | $754,264 |  | Discounted cash flow |  | Yield |  | 4.5% |  | 3.5% | - | 19.9%
|  |  |  |  |  | Collateral prepayment rate |  | 8.1% |  | 3.0% | - | 9.7%
|  |  |  |  |  | Collateral default rate |  | 1.8% |  | — | - | 7.4%
|  |  |  |  |  | Loss severity |  | 17.1% |  | — | - | 19.6%
(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 weighted multiples of origination volume and 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 March 31, 2022, the fair value of investment securities we own in Consolidated SLST amounts to $214.1 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 months ended March 31, 2022 and 2021, respectively, for our Level 3 assets and liabilities held as of March 31, 2022 and 2021, respectively (dollar amounts in thousands):
| Three Months Ended March 31,
| 2022 |  | 2021
Assets |  |  |
Residential loans: |  |  |
Residential loans (1) | $ | (25,440) |  |  | $ | 7,354 |
Consolidated SLST (1) | (66,645) |  |  | (25,343) |
Residential loans held in securitization trusts (1) | (32,566) |  |  | 15,605 |
Multi-family loans (1) | 291 |  |  | 177 |
Equity investments (2) | 1,115 |  |  | 123 |
Liabilities |  |  |
Consolidated SLST CDOs (1) | 51,366 |  |  | 34,568 |
(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 summarizes the aggregate estimated fair value of the assets, liabilities and non-controlling interests associated with the initial consolidation of the joint venture entities and real estate acquisitions by a Consolidated VIE during the three months ended March 31, 2022 (dollar amounts in thousands):
Cash |  | $ | 7,102 |
Operating real estate (1) |  | 528,768 |
Lease intangibles (2) |  | 27,461 |
Other assets |  | 6,130 |
Total assets |  | 569,461 |
Mortgages payable on real estate, net |  | 409,756 |
Other liabilities |  | 3,180 |
Total liabilities |  | 412,936 |
Non-controlling interest (3) |  | 10,488 |
Net assets consolidated |  | $ | 146,037 |
(1)Included in real estate, net in the accompanying condensed consolidated balance sheets. (2)Included in other assets in the accompanying condensed consolidated balance sheets. (3)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs. 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 as of March 31, 2022 (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 | $ | — |  |  |  |  | $ | — |  |  | $ | 33,340 |  |  | $ | 33,340 |
Residential loans, at fair value | 1,262,356 |  |  |  |  | 969,853 |  |  | — |  |  | 2,232,209 |
Real estate, net held in Consolidated VIEs (1) | — |  |  |  |  | — |  |  | 1,451,053 |  |  | 1,451,053 |
Other assets | 87,833 |  |  |  |  | 3,437 |  |  | 64,912 |  |  | 156,182 |
Total assets | $ | 1,350,189 |  |  |  |  | $ | 973,290 |  |  | $ | 1,549,305 |  |  | $ | 3,872,784 |
Collateralized debt obligations ($1,143,855 at amortized cost, net and $754,264 at fair value) | $ | 1,143,855 |  |  |  |  | $ | 754,264 |  |  | $ | — |  |  | $ | 1,898,119 |
Mortgages payable on real estate, net in Consolidated VIEs (2) | — |  |  |  |  | — |  |  | 1,083,371 |  |  | 1,083,371 |
Other liabilities | 32,432 |  |  |  |  | 3,482 |  |  | 13,135 |  |  | 49,049 |
Total liabilities | $ | 1,176,287 |  |  |  |  | $ | 757,746 |  |  | $ | 1,096,506 |  |  | $ | 3,030,539 |
Redeemable non-controlling interest in Consolidated VIEs (3) | $ | — |  |  |  |  | $ | — |  |  | $ | 53,361 |  |  | $ | 53,361 |
Non-controlling interest in Consolidated VIEs (4) | $ | — |  |  |  |  | $ | — |  |  | $ | 32,383 |  |  | $ | 32,383 |
Net investment (5) | $ | 173,902 |  |  |  |  | $ | 215,544 |  |  | $ | 367,055 |  |  | $ | 756,501 |
(1)Included in real estate, net in the accompanying condensed consolidated balance sheets. (2)Included in mortgages payable on real estate, net in the accompanying condensed 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 interests, if any. 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 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 | 36,767 |  |  | 3,547 |  |  | 70,557 |  |  | 110,871 |
Total assets | $ | 838,196 |  |  | $ | 1,074,429 |  |  | $ | 1,027,888 |  |  | $ | 2,940,513 |
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 | 20,156 |  |  | 3,193 |  |  | 17,527 |  |  | 40,876 |
Total liabilities | $ | 702,958 |  |  | $ | 842,612 |  |  | $ | 690,095 |  |  | $ | 2,235,665 |
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 condensed consolidated balance sheets. (2)Included in mortgages payable on real estate, net in the accompanying condensed 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 interests, if any. The following table presents the carrying value and estimated fair value of the Company’s financial instruments at March 31, 2022 and December 31, 2021, respectively (dollar amounts in thousands):
|  |  | March 31, 2022 |  | December 31, 2021
| Fair Value Hierarchy Level |  | Carrying Value |  | Estimated Fair Value |  | Carrying Value |  | Estimated Fair Value
Financial Assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | Level 1 |  | $ | 303,762 |  |  | $ | 303,762 |  |  | $ | 289,602 |  |  | $ | 289,602 |
Residential loans | Level 3 |  | 3,953,427 |  |  | 3,953,427 |  |  | 3,575,601 |  |  | 3,575,601 |
Multi-family loans | Level 3 |  | 110,208 |  |  | 110,208 |  |  | 120,021 |  |  | 120,021 |
Investment securities available for sale | Level 2 |  | 145,780 |  |  | 145,780 |  |  | 200,844 |  |  | 200,844 |
Equity investments | Level 3 |  | 225,300 |  |  | 225,300 |  |  | 239,631 |  |  | 239,631 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 927,049 |  |  | 927,049 |  |  | 554,259 |  |  | 554,259 |
Collateralized debt obligations: |  |  |  |  |  |  |  |  |
Residential loan securitizations at amortized cost, net | Level 3 |  | 1,143,855 |  |  | 1,110,428 |  |  | 682,802 |  |  | 686,027 |
Consolidated SLST | Level 3 |  | 754,264 |  |  | 754,264 |  |  | 839,419 |  |  | 839,419 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 44,448 |  |  | 45,000 |  |  | 44,388 |
Convertible notes | Level 2 |  | — |  |  | — |  |  | 137,898 |  |  | 138,011 |
Senior unsecured notes | Level 2 |  | 96,870 |  |  | 97,246 |  |  | 96,704 |  |  | 102,215 |
Mortgages payable on real estate | Level 3 |  | 1,083,371 |  |  | 1,079,742 |  |  | 709,356 |  |  | 712,112 |

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- 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
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- 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
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- 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
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