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Fair Value of Financial Instruments (Tables)

3 Months Ended

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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