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Fair Value of Financial Instruments (Tables)

3 Months Ended

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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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.

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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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258

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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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

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