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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2023
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, 2023 and December 31, 2022, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):
| Measured at Fair Value on a Recurring Basis at
| March 31, 2023 |  | December 31, 2022
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans | $ | — |  |  | $ | — |  |  | $ | 921,000 |  |  | $ | 921,000 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,081,384 |  |  | $ | 1,081,384 |
Consolidated SLST | — |  |  | — |  |  | 829,153 |  |  | 829,153 |  |  | — |  |  | — |  |  | 827,582 |  |  | 827,582 |
Residential loans held in securitization trusts | — |  |  | — |  |  | 1,624,703 |  |  | 1,624,703 |  |  | — |  |  | — |  |  | 1,616,114 |  |  | 1,616,114 |
Multi-family loans | — |  |  | — |  |  | 95,309 |  |  | 95,309 |  |  | — |  |  | — |  |  | 87,534 |  |  | 87,534 |
Investment securities available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | — |  |  | 107,200 |  |  | — |  |  | 107,200 |  |  | — |  |  | — |  |  | — |  |  | — |
Non-Agency RMBS | — |  |  | 64,211 |  |  | — |  |  | 64,211 |  |  | — |  |  | 68,570 |  |  | — |  |  | 68,570 |
CMBS | — |  |  | 30,668 |  |  | — |  |  | 30,668 |  |  | — |  |  | 30,133 |  |  | — |  |  | 30,133 |
ABS | — |  |  | 492 |  |  | — |  |  | 492 |  |  | — |  |  | 856 |  |  | — |  |  | 856 |
Equity investments (1) | — |  |  | — |  |  | 191,148 |  |  | 191,148 |  |  | — |  |  | — |  |  | 179,746 |  |  | 179,746 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate caps (1) (2) | — |  |  | 2,002 |  |  | — |  |  | 2,002 |  |  | — |  |  | 2,473 |  |  | — |  |  | 2,473 |
Options (2) | — |  |  | 1,120 |  |  | — |  |  | 1,120 |  |  | — |  |  | — |  |  | — |  |  | — |
Assets of disposal group held for sale (3) | — |  |  | 22,800 |  |  | 10,070 |  |  | 32,870 |  |  | — |  |  | 29,418 |  |  | 9,010 |  |  | 38,428 |
Total | $ | — |  |  | $ | 228,493 |  |  | $ | 3,671,383 |  |  | $ | 3,899,876 |  |  | $ | — |  |  | $ | 131,450 |  |  | $ | 3,801,370 |  |  | $ | 3,932,820 |
Liabilities carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated SLST CDOs | $ | — |  |  | $ | — |  |  | $ | 638,513 |  |  | $ | 638,513 |  |  | $ | — |  |  | $ | — |  |  | $ | 634,495 |  |  | $ | 634,495 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps (2) (4) | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total | $ | — |  |  | $ | — |  |  | $ | 638,513 |  |  | $ | 638,513 |  |  | $ | — |  |  | $ | — |  |  | $ | 634,495 |  |  | $ | 634,495 |
(1)Excludes assets of disposal group held for sale (see Note 9). (2)Included in other assets in the condensed consolidated balance sheets. (3)Includes derivative assets classified as Level 2 instruments in the amount of $22.8 million and $29.4 million as of March 31, 2023 and December 31, 2022, respectively, and equity investments classified as Level 3 instruments in the amount of $10.1 million and $9.0 million as of March 31, 2023 and December 31, 2022, respectively. (4)All of the Company’s interest rate swaps outstanding are cleared through a central clearing house. The Company exchanges variation margin for swaps based upon daily changes in fair value. Includes derivative liabilities of $2.9 million and derivative assets of $0.4 million netted against a variation margin of $2.5 million at March 31, 2023.
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, 2023 and 2022, respectively (dollar amounts in thousands): Level 3 Assets:
| Three Months Ended March 31, 2023
| Residential loans |  |  |  |  |  |  |
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Multi-family loans |  | Equity investments |  | Equity investments in disposal group held for sale |  | Total
Balance at beginning of period | $ | 1,081,384 |  |  | $ | 827,582 |  |  | $ | 1,616,114 |  |  | $ | 87,534 |  |  | $ | 179,746 |  |  | $ | 9,010 |  |  | $ | 3,801,370 |
Total (losses)/gains (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | (599) |  |  | 15,121 |  |  | 33,041 |  |  | 2,889 |  |  | 3,451 |  |  | 1,060 |  |  | 54,963 |
Transfers out (1) | (93) |  |  | — |  |  | (233) |  |  | — |  |  | — |  |  | — |  |  | (326) |
Transfer to securitization trust, net (2) | (86,110) |  |  | — |  |  | 86,110 |  |  | — |  |  | — |  |  | — |  |  | — |
Funding/Contributions | — |  |  | — |  |  | — |  |  | 6,420 |  |  | 15,528 |  |  | — |  |  | 21,948 |
Paydowns/Distributions | (141,355) |  |  | (13,550) |  |  | (130,911) |  |  | (1,534) |  |  | (7,577) |  |  | — |  |  | (294,927) |
Sales | (166) |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (166) |
Purchases | 67,939 |  |  | — |  |  | 20,582 |  |  | — |  |  | — |  |  | — |  |  | 88,521 |
Balance at the end of period | $ | 921,000 |  |  | $ | 829,153 |  |  | $ | 1,624,703 |  |  | $ | 95,309 |  |  | $ | 191,148 |  |  | $ | 10,070 |  |  | $ | 3,671,383 |
(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, 2023, the Company transferred certain business purpose loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).
| 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).
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, 2023 and 2022, respectively (dollar amounts in thousands): Level 3 Liabilities:
| Consolidated SLST CDOs
| Three Months Ended March 31,
| 2023 |  | 2022
Balance at beginning of period | $ | 634,495 |  |  | $ | 839,419 |
Total gains (realized/unrealized) |  |  |
Included in earnings | 14,511 |  |  | (51,438) |
Paydowns | (10,493) |  |  | (33,717) |
Balance at the end of period | $ | 638,513 |  |  | $ | 754,264 |
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, 2023 |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Weighted Average |  | Range
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential loans: |  |  |  |  |  |  |  |  |  |  |  |
Residential loans and residential loans held in securitization trusts (1) |  | $2,392,768 |  | Discounted cash flow |  | Lifetime CPR |  | 4.6% |  | — | - | 34.9%
|  |  |  |  |  | Lifetime CDR |  | 0.7% |  | — | - | 26.9%
|  |  |  |  |  | Loss severity |  | 7.9% |  | — | - | 96.6%
|  |  |  |  |  | Yield |  | 7.9% |  | 5.3% | - | 92.0%
|  | $152,935 |  | Liquidation model |  | Annual home price appreciation/(depreciation) |  | 0.1% |  | (1.0)% | - | 5.2%
|  |  |  |  |  | Liquidation timeline (months) |  | 20 |  | 9 | - | 50
|  |  |  |  |  | Property value |  | $1,931,405 |  | $15,300 | - | $13,800,000
|  |  |  |  |  | Yield |  | 7.6% |  | 7.5% | - | 29.3%
Consolidated SLST (3) |  | $829,153 |  |  |  | Liability price |  | N/A |  |  |  |
Total |  | $3,374,856 |  |  |  |  |  |  |  |  |  |
Multi-family loans (1) |  | $95,309 |  | Discounted cash flow |  | Discount rate |  | 12.4% |  | 11.0% | - | 20.5%
|  |  |  |  |  | Months to assumed redemption |  | 35 |  | 6 | - | 52
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Equity investments (1) (2) |  | $166,148 |  | Discounted cash flow |  | Discount rate |  | 13.5% |  | 13.0% | - | 15.5%
|  |  |  |  |  | Months to assumed redemption |  | 20 |  | 1 | - | 59
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Equity investments in disposal group held for sale (2) |  | $10,070 |  | Discounted cash flow |  | Discount rate |  | 16.0% |  | 16.0% | - | 16.0%
|  |  |  |  |  | Months to assumed redemption |  | 18 |  | 18 | - | 18
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Consolidated SLST CDOs (3) (4) |  | $638,513 |  | Discounted cash flow |  | Yield |  | 5.0% |  | 4.3% | - | 10.0%
|  |  |  |  |  | Collateral prepayment rate |  | 5.8% |  | 2.6% | - | 6.7%
|  |  |  |  |  | Collateral default rate |  | 1.5% |  | — | - | 11.5%
|  |  |  |  |  | Loss severity |  | 22.0% |  | 2.3% | - | 27.2%
(1)Weighted average amounts are calculated based on the weighted average fair value of the assets. (2)Equity investments do not include equity ownership interests in an entity that originates residential loans. The fair value of this investment is determined using weighted multiples of origination volume and earnings before taxes, depreciation and amortization of the entity. (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, 2023, the fair value of investment securities we own in Consolidated SLST amounts to $188.5 million. (4)Weighted average yield calculated based on the weighted average fair value of the CDOs issued by Consolidated SLST, including investment securities we own. 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 CDOs issued by Consolidated SLST, including investment securities we own.
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, 2023 and 2022, respectively, for our Level 3 assets and liabilities held as of March 31, 2023 and 2022, respectively (dollar amounts in thousands):
| Three Months Ended March 31, |  |
| 2023 |  | 2022 |  |  |  |
Assets |  |  |  |  |  |  |
Residential loans: |  |  |  |  |  |  |
Residential loans (1) | $ | (3,320) |  |  | $ | (25,440) |  |  |  |  |
Consolidated SLST (1) | 15,807 |  |  | (66,645) |  |  |  |  |
Residential loans held in securitization trusts (1) | 30,077 |  |  | (32,566) |  |  |  |  |
Multi-family loans (1) | 453 |  |  | 291 |  |  |  |  |
Equity investments (2) | (2,577) |  |  | 1,115 |  |  |  |  |
Equity investments in disposal group held for sale (2) | 1,060 |  |  | — |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Consolidated SLST CDOs (1) | (13,508) |  |  | 51,366 |  |  |  |  |
(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 (1) |  |  |  | $ | 7,102 |  |  |  |  |
Operating real estate (1) (2) |  |  |  | 528,768 |  |  |  |  |
Lease intangibles (1) (3) |  |  |  | 27,461 |  |  |  |  |
Other assets (1) |  |  |  | 6,130 |  |  |  |  |
Total assets |  |  |  | 569,461 |  |  |  |  |
Mortgages payable on real estate, net (1) |  |  |  | 409,756 |  |  |  |  |
Other liabilities (1) |  |  |  | 3,180 |  |  |  |  |
Total liabilities |  |  |  | 412,936 |  |  |  |  |
Non-controlling interests (4) |  |  |  | 10,488 |  |  |  |  |
Net assets consolidated |  |  |  | $ | 146,037 |  |  |  |  |
(1)In September 2022, the Company announced a repositioning of its business through the opportunistic disposition over time of the Company's joint venture equity investments in multi-family properties and reallocation of its capital away from such assets to its targeted assets. Accordingly, the Company determined that certain joint venture equity investments met the criteria to be classified as held for sale and transferred the assets and liabilities of the respective Consolidated VIEs to assets and liabilities of disposal group held for sale in the accompanying condensed consolidated balance sheets. See Note 9 for additional information. (2)For joint venture equity investments that are not held for sale, operating real estate is included in real estate, net in the accompanying condensed consolidated balance sheets. (3)For joint venture equity investments that are not held for sale, lease intangibles are included in other assets in the accompanying condensed consolidated balance sheets. (4)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, 2023 (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 | $ | — |  |  |  |  | $ | — |  |  | $ | 11,971 |  |  | $ | 11,971 |
Residential loans, at fair value | 1,624,703 |  |  |  |  | 829,153 |  |  | — |  |  | 2,453,856 |
Real estate, net held in Consolidated VIEs (1) | — |  |  |  |  | — |  |  | 543,471 |  |  | 543,471 |
Assets of disposal group held for sale (2) | — |  |  |  |  | — |  |  | 1,140,308 |  |  | 1,140,308 |
Other assets | 96,699 |  |  |  |  | 3,122 |  |  | 9,396 |  |  | 109,217 |
Total assets | $ | 1,721,402 |  |  |  |  | $ | 832,275 |  |  | $ | 1,705,146 |  |  | $ | 4,258,823 |
Collateralized debt obligations ($1,390,991 at amortized cost, net and $638,513 at fair value) | $ | 1,390,991 |  |  |  |  | $ | 638,513 |  |  | $ | — |  |  | $ | 2,029,504 |
Mortgages payable on real estate, net in Consolidated VIEs (3) | — |  |  |  |  | — |  |  | 397,316 |  |  | 397,316 |
Liabilities of disposal group held for sale (2) | — |  |  |  |  | — |  |  | 896,983 |  |  | 896,983 |
Other liabilities | 6,624 |  |  |  |  | 3,883 |  |  | 6,149 |  |  | 16,656 |
Total liabilities | $ | 1,397,615 |  |  |  |  | $ | 642,396 |  |  | $ | 1,300,448 |  |  | $ | 3,340,459 |
Redeemable non-controlling interest in Consolidated VIEs (4) | $ | — |  |  |  |  | $ | — |  |  | $ | 54,352 |  |  | $ | 54,352 |
Non-controlling interest in Consolidated VIEs (5) | $ | — |  |  |  |  | $ | — |  |  | $ | 31,309 |  |  | $ | 31,309 |
Net investment (6) | $ | 323,787 |  |  |  |  | $ | 189,879 |  |  | $ | 319,037 |  |  | $ | 832,703 |
(1)Included in real estate, net in the accompanying condensed consolidated balance sheets. (2)Represents assets and liabilities, respectively, of certain Consolidated Real Estate VIEs included in disposal group held for sale (see Note 9). (3)Included in mortgages payable on real estate, net in the accompanying condensed consolidated balance sheets. (4)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below. (5)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs. (6)The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between the carrying value of 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, 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 | $ | — |  |  | $ | — |  |  | $ | 21,129 |  |  | $ | 21,129 |
Residential loans, at fair value | 1,616,114 |  |  | 827,582 |  |  | — |  |  | 2,443,696 |
Real estate, net held in Consolidated VIEs (1) | — |  |  | — |  |  | 543,739 |  |  | 543,739 |
Assets of disposal group held for sale (2) | — |  |  | — |  |  | 1,142,773 |  |  | 1,142,773 |
Other assets | 92,906 |  |  | 3,168 |  |  | 13,686 |  |  | 109,760 |
Total assets | $ | 1,709,020 |  |  | $ | 830,750 |  |  | $ | 1,721,327 |  |  | $ | 4,261,097 |
Collateralized debt obligations ($1,468,222 at amortized cost, net and $634,495 at fair value) | $ | 1,468,222 |  |  | $ | 634,495 |  |  | $ | — |  |  | $ | 2,102,717 |
Mortgages payable on real estate, net in Consolidated VIEs (3) | — |  |  | — |  |  | 394,707 |  |  | 394,707 |
Liabilities of disposal group held for sale (2) | — |  |  | — |  |  | 883,812 |  |  | 883,812 |
Other liabilities | 8,168 |  |  | 3,342 |  |  | 10,511 |  |  | 22,021 |
Total liabilities | $ | 1,476,390 |  |  | $ | 637,837 |  |  | $ | 1,289,030 |  |  | $ | 3,403,257 |
Redeemable non-controlling interest in Consolidated VIEs (4) | $ | — |  |  | $ | — |  |  | $ | 63,803 |  |  | $ | 63,803 |
Non-controlling interest in Consolidated VIEs (5) | $ | — |  |  | $ | — |  |  | $ | 32,967 |  |  | $ | 32,967 |
Net investment (6) | $ | 232,630 |  |  | $ | 192,913 |  |  | $ | 335,527 |  |  | $ | 761,070 |
(1)Included in real estate, net in the accompanying condensed consolidated balance sheets. (2)Represents assets and liabilities, respectively, of certain Consolidated Real Estate VIEs included in disposal group held for sale (see Note 9). (3)Included in mortgages payable on real estate, net in the accompanying condensed consolidated balance sheets. (4)Represents redeemable third-party ownership of membership interests in Consolidated Real Estate VIEs. See Redeemable Non-Controlling Interest in Consolidated VIEs below. (5)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs. (6)The net investment amount is the maximum amount of the Company's investment that is at risk to loss and represents the difference between the carrying value of 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, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
|  |  | March 31, 2023 |  | December 31, 2022
| Fair Value Hierarchy Level |  | Carrying Value |  | Estimated Fair Value |  | Carrying Value |  | Estimated Fair Value
Financial Assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | Level 1 |  | $ | 227,753 |  |  | $ | 227,753 |  |  | $ | 244,718 |  |  | $ | 244,718 |
Residential loans | Level 3 |  | 3,374,856 |  |  | 3,374,856 |  |  | 3,525,080 |  |  | 3,525,080 |
Multi-family loans | Level 3 |  | 95,309 |  |  | 95,309 |  |  | 87,534 |  |  | 87,534 |
Investment securities available for sale | Level 2 |  | 202,571 |  |  | 202,571 |  |  | 99,559 |  |  | 99,559 |
Equity investments | Level 3 |  | 191,148 |  |  | 191,148 |  |  | 179,746 |  |  | 179,746 |
Equity investments in disposal group held for sale | Level 3 |  | 10,070 |  |  | 10,070 |  |  | 9,010 |  |  | 9,010 |
Derivative assets | Level 2 |  | 3,122 |  |  | 3,122 |  |  | 2,473 |  |  | 2,473 |
Derivative assets in disposal group held for sale | Level 2 |  | 22,800 |  |  | 22,800 |  |  | 29,418 |  |  | 29,418 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 787,902 |  |  | 787,902 |  |  | 737,023 |  |  | 737,023 |
Collateralized debt obligations: |  |  |  |  |  |  |  |  |
Residential loan securitizations at amortized cost, net | Level 3 |  | 1,390,991 |  |  | 1,321,342 |  |  | 1,468,222 |  |  | 1,383,715 |
Consolidated SLST | Level 3 |  | 638,513 |  |  | 638,513 |  |  | 634,495 |  |  | 634,495 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 33,500 |  |  | 45,000 |  |  | 32,721 |
Senior unsecured notes | Level 2 |  | 97,561 |  |  | 91,732 |  |  | 97,384 |  |  | 91,104 |
Mortgages payable on real estate | Level 3 |  | 397,316 |  |  | 374,605 |  |  | 394,707 |  |  | 377,327 |
Mortgages payable on real estate in disposal group held for sale | Level 3 |  | 878,060 |  |  | 877,360 |  |  | 865,414 |  |  | 864,758 |

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