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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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
			June 30, 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			$	—					$	—					$	2,193,319					$	2,193,319					$	—					$	—					$	1,703,290					$	1,703,290
Consolidated SLST			—						—						920,778						920,778						—						—						1,070,882						1,070,882
Residential loans held in securitization trusts			—						—						1,215,095						1,215,095						—						—						801,429						801,429
Multi-family loans			—						—						106,825						106,825						—						—						120,021						120,021
Investment securities available for sale:
Non-Agency RMBS			—						74,822						—						74,822						—						128,019						—						128,019
CMBS			—						30,096						—						30,096						—						33,146						—						33,146
ABS			—						35,588						—						35,588						—						39,679						—						39,679
Equity investments			—						—						223,651						223,651						—						—						239,631						239,631
Total			$	—					$	140,506					$	4,659,668					$	4,800,174					$	—					$	200,844					$	3,935,253					$	4,136,097
Liabilities carried at fair value
Consolidated SLST CDOs			$	—					$	—					$	710,233					$	710,233					$	—					$	—					$	839,419					$	839,419
Total			$	—					$	—					$	710,233					$	710,233					$	—					$	—					$	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 six months ended June 30, 2022 and 2021, respectively (dollar amounts in thousands):

Level 3 Assets:

			Six Months Ended June 30, 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			(52,976)						(79,292)						(65,935)						6,298						15,633						(176,272)
Transfers out (1)			(875)						—						(980)						—						—						(1,855)
Transfer to securitization trust, net (2)			(676,560)						—						676,560						—						—						—
Funding/Contributions			—						—						—						—						19,191						19,191
Paydowns/Distributions			(293,564)						(70,812)						(237,712)						(19,494)						(50,804)						(672,386)
Sales			—						—						—						—						—						—
Purchases			1,514,004						—						41,733						—						—						1,555,737
Balance at the end of period			$	2,193,319					$	920,778					$	1,215,095					$	106,825					$	223,651					$	4,659,668

(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned.

(2)During the six months ended June 30, 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).

			Six Months Ended June 30, 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			14,494						(21,788)						21,105						10,853						14,006						38,670
Transfers out (1)			(1,259)						—						(1,415)						—						—						(2,674)
Transfer to securitization trust, net (2)			(160,623)						—						160,623						—						—						—
Funding/Contributions			—						—						—						—						320						320
Paydowns/Distributions			(306,209)						(68,458)						(70,025)						(47,727)						(68,724)						(561,143)
Sales			(15,568)						—						(2,376)						—						—						(17,944)
Purchases			605,076						—						—						—						—						605,076
Balance at the end of period			$	1,226,841					$	1,176,539					$	799,363					$	126,719					$	204,697					$	3,534,159

(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned.

(2)During the six months ended June 30, 2021, the Company completed a securitization of certain business purpose loans (see Note 7 for further discussion of the Company's residential loan securitizations).

Schedule of Changes in Valuation of Level 3 Liabilities

The following table details changes in valuation for the Level 3 liabilities for the six months ended June 30, 2022 and 2021, respectively (dollar amounts in thousands):

Level 3 Liabilities:

			Six Months Ended June 30,
			2022						2021
			Consolidated SLST CDOs
Balance at beginning of period			$	839,419					$	1,054,335
Total gains (realized/unrealized)
Included in earnings			(57,532)						(37,931)
Paydowns			(71,654)						(68,314)
Balance at the end of period			$	710,233					$	948,090

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):

June 30, 2022						Fair Value						Valuation Technique						Unobservable Input						Weighted Average						Range
Assets
Residential loans:
Residential loans and residential loans held in securitization trusts (1)						$3,318,357						Discounted cash flow						Lifetime CPR						4.8%						—			-			46.2%
																		Lifetime CDR						0.4%						—			-			21.5%
																		Loss severity						6.7%						—			-			96.5%
																		Yield						6.0%						4.6%			-			64.9%
						$90,057						Liquidation model						Annual home price appreciation						1.0%						—			-			27.8%
																		Liquidation timeline (months)						26						9			-			50
																		Property value						$801,412						$17,000			-			$4,300,000
																		Yield						7.8%						7.5%			-			29.6%
Consolidated SLST (3)						$920,778												Liability price						N/A
Total						$4,329,192
Multi-family loans (1)						$106,825						Discounted cash flow						Discount rate						11.3%						10.0%			-			19.5%
																		Months to assumed redemption						36						3			-			57
																		Loss severity						—
Equity investments (1) (2)						$189,773						Discounted cash flow						Discount rate						12.5%						11.0%			-			15.4%
																		Months to assumed redemption						24						1			-			51
																		Loss severity						—
Liabilities
Consolidated SLST CDOs (3) (4)						$710,233						Discounted cash flow						Yield						4.6%						3.7%			-			10.0%
																		Collateral prepayment rate						8.0%						3.0%			-			9.7%
																		Collateral default rate						1.7%						—			-			9.4%
																		Loss severity						16.6%						—			-			19.5%

(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 June 30, 2022, the fair value of investment securities we own in Consolidated SLST amounts to $208.6 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 and six months ended June 30, 2022 and 2021, respectively, for our Level 3 assets and liabilities held as of June 30, 2022 and 2021, respectively (dollar amounts in thousands):

			Three Months Ended June 30,												Six Months Ended June 30,
			2022						2021						2022						2021
Assets
Residential loans:
Residential loans (1)			$	(29,826)					$	3,752					$	(55,058)					$	12,192
Consolidated SLST (1)			(10,798)						6,471						(77,443)						(18,872)
Residential loans held in securitization trusts (1)			(33,262)						6,030						(64,729)						18,611
Multi-family loans (1)			181						460						358						665
Equity investments (2)			3,139						805						3,593						927
Liabilities
Consolidated SLST CDOs (1)			6,523						3,322						57,889						37,890

(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 and six months ended June 30, 2022, respectively (dollar amounts in thousands):

						Three Months Ended June 30,												Six Months Ended June 30,
						2022						2021						2022						2021
Cash						$	1,474					$	973					$	8,576					$	2,723
Operating real estate (1)						202,220						42,050						730,988						73,513
Lease intangibles (2)						14,431						3,320						41,892						4,964
Other assets						2,706						3,851						8,836						5,695
Total assets						220,831						50,194						790,292						86,895
Mortgages payable on real estate, net						156,494						36,057						566,250						61,831
Other liabilities						1,482						652						4,662						797
Total liabilities						157,976						36,709						570,912						62,628
Non-controlling interest (3)						5,805						1,335						16,293						1,874
Net assets consolidated						$	57,050					$	12,150					$	203,087					$	22,393

(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 June 30, 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			$	—											$	—					$	38,233					$	38,233
Residential loans, at fair value			1,215,095												920,778						—						2,135,873
Real estate, net held in Consolidated VIEs (1)			—												—						1,649,472						1,649,472
Other assets			77,630												3,314						48,087						129,031
Total assets			$	1,292,725											$	924,092					$	1,735,792					$	3,952,609
Collateralized debt obligations ($1,107,091 at amortized cost, net and $710,233 at fair value)			$	1,107,091											$	710,233					$	—					$	1,817,324
Mortgages payable on real estate, net in Consolidated VIEs (2)			—												—						1,251,059						1,251,059
Other liabilities			43,477												3,859						25,755						73,091
Total liabilities			$	1,150,568											$	714,092					$	1,276,814					$	3,141,474
Redeemable non-controlling interest in Consolidated VIEs (3)			$	—											$	—					$	37,101					$	37,101
Non-controlling interest in Consolidated VIEs (4)			$	—											$	—					$	34,080					$	34,080
Net investment (5)			$	142,157											$	210,000					$	387,797					$	739,954

(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 June 30, 2022 and December 31, 2021, respectively (dollar amounts in thousands):

									June 30, 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						$	407,104					$	407,104					$	289,602					$	289,602
Residential loans			Level 3						4,329,192						4,329,192						3,575,601						3,575,601
Multi-family loans			Level 3						106,825						106,825						120,021						120,021
Investment securities available for sale			Level 2						140,506						140,506						200,844						200,844
Equity investments			Level 3						223,651						223,651						239,631						239,631
Financial Liabilities:
Repurchase agreements			Level 2						1,693,876						1,693,876						554,259						554,259
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						1,107,091						1,050,939						682,802						686,027
Consolidated SLST			Level 3						710,233						710,233						839,419						839,419
Subordinated debentures			Level 3						45,000						38,674						45,000						44,388
Convertible notes			Level 2						—						—						137,898						138,011
Senior unsecured notes			Level 2						97,039						89,489						96,704						102,215
Mortgages payable on real estate			Level 3						1,251,059						1,227,040						709,356						712,112

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