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Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2023 and 2022, respectively, on the Company’s consolidated balance sheets (dollar amounts in thousands):

			Measured at Fair Value on a Recurring Basis at
			December 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			$	—					$	—					$	827,535					$	827,535					$	—					$	—					$	1,081,384					$	1,081,384
Consolidated SLST			—						—						754,860						754,860						—						—						827,582						827,582
Residential loans held in securitization trusts			—						—						1,501,908						1,501,908						—						—						1,616,114						1,616,114
Investment securities available for sale:
Agency RMBS			—						1,989,324						—						1,989,324						—						—						—						—
Non-Agency RMBS			—						24,493						—						24,493						—						68,570						—						68,570
CMBS			—						—						—						—						—						30,133						—						30,133
ABS			—						—						—						—						—						856						—						856
Multi-family loans			—						—						95,792						95,792						—						—						87,534						87,534
Equity investments (1)			—						—						147,116						147,116						—						—						179,746						179,746
Derivative assets:
Interest rate caps (1) (2)			—						6,510						—						6,510						—						2,473						—						2,473
Assets of disposal group held for sale (3)			—						2,960						—						2,960						—						29,418						9,010						38,428
Total			$	—					$	2,023,287					$	3,327,211					$	5,350,498					$	—					$	131,450					$	3,801,370					$	3,932,820
Liabilities carried at fair value
Consolidated SLST CDOs			$	—					$	—					$	593,737					$	593,737					$	—					$	—					$	634,495					$	634,495
Derivative liabilities:
Interest rate swaps (2) (4)			—						—						—						—						—						—						—						—
Total			$	—					$	—					$	593,737					$	593,737					$	—					$	—					$	634,495					$	634,495

(1)Excludes assets of disposal group held for sale (see Note 9).

(2)Included in other assets in the consolidated balance sheets.

(3)Includes derivative assets classified as Level 2 instruments in the amount of $3.0 million and $29.4 million as of December 31, 2023 and 2022, respectively, and equity investments classified as Level 3 instruments in the amount of $9.0 million as of December 31, 2022.

(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 $40.5 million netted against derivative assets of $13.1 million and a variation margin of $27.4 million as of December 31, 2023.

Schedule of Changes in Level 3 Assets

The following tables detail changes in valuation for the Level 3 assets for the years ended December 31, 2023, 2022, and 2021, respectively (dollar amounts in thousands):

Level 3 Assets:

			Year Ended December 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 gains/(losses) (realized/unrealized)
Included in earnings			8,080						(10,748)						72,173						11,863						21,279						(3,290)						99,357
Transfers out (1)			(26,277)						—						(16,208)						(10,306)						—						—						(52,791)
Transfer to securitization trust, net (2)			(282,831)						—						282,831						—						—						—						—
Transfer from disposal group held for sale			—						—						—						—						5,720						(5,720)						—
Funding/Contributions			—						—						—						21,924						33,958						—						55,882
Paydowns/Distributions			(482,137)						(61,974)						(518,819)						(15,223)						(93,587)						—						(1,171,740)
Sales			(21,165)						—						(3,979)						—						—						—						(25,144)
Purchases			550,481						—						69,796						—						—						—						620,277
Balance at the end of period			$	827,535					$	754,860					$	1,501,908					$	95,792					$	147,116					$	—					$	3,327,211

(1)Transfers out of Level 3 assets represents the transfer of residential loans to real estate owned and the consolidation of a VIE previously classified as an equity investment (see Note 7).

(2)During the year ended December 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).

			Year Ended December 31, 2022
			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			$	1,703,290					$	1,070,882					$	801,429					$	120,021					$	239,631					$	—					$	3,935,253
Total (losses)/gains (realized/unrealized)
Included in earnings			(111,879)						(128,236)						(162,518)						9,531						18,884						(926)						(375,144)
Transfers out (1)			(17,052)						—						(1,806)						—						—						—						(18,858)
Transfer to securitization trust, net (2)			(1,422,577)						—						1,422,577						—						—						—						—
Transfer to disposal group held for sale			—						—						—						—						(9,936)						9,936						—
Funding/Contributions			—						—						—						—						28,086						—						28,086
Paydowns/Distributions			(712,214)						(115,064)						(535,017)						(42,018)						(96,919)						—						(1,501,232)
Purchases			1,641,816						—						91,449						—						—						—						1,733,265
Balance at the end of period			$	1,081,384					$	827,582					$	1,616,114					$	87,534					$	179,746					$	9,010					$	3,801,370

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

(2)During the year ended December 31, 2022, the Company transferred certain performing, re-performing and business purpose loans into residential loan securitizations (see Note 7 for further discussion of the Company's residential loan securitizations).

			Year Ended December 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			36,844						(35,953)						43,001						18,795						36,729						99,416
Transfers out (1)			(2,080)						—						(2,053)						—						—						(4,133)
Transfer to securitization trust, net (2)			(305,433)						—						305,433						—						—						—
Funding/Contributions			—						—						—						37,678						107,465						145,143
Paydowns/Distributions			(618,790)						(159,950)						(239,436)						(100,045)						(163,658)						(1,281,879)
Sales			(74,751)						—						(2,376)						—						—						(77,127)
Purchases			1,576,570						—						5,409						—						—						1,581,979
Balance at the end of period			$	1,703,290					$	1,070,882					$	801,429					$	120,021					$	239,631					$	3,935,253

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

(2)During the year ended December 31, 2021, the Company transferred certain business purpose loans into a residential loan securitization. The Company also redeemed a residential loan securitization and transferred certain performing, re-performing and non-performing residential loans into a residential loan securitization (see Note 7 for further discussion of the Company's residential loan securitizations).

Schedule of Changes in Level 3 Liabilities

The following table details changes in valuation for the Level 3 liabilities for the years ended December 31, 2023, 2022 and 2021, respectively (dollar amounts in thousands):

Level 3 Liabilities:

			Consolidated SLST CDOs
			Years Ended December 31,
			2023						2022						2021
Balance at beginning of period			$	634,495					$	839,419					$	1,054,335
Total losses/(gains) (realized/unrealized)
Included in earnings			5,718						(90,077)						(54,154)
Paydowns			(46,476)						(114,847)						(160,762)
Balance at the end of period			$	593,737					$	634,495					$	839,419

Schedule of Fair Value Measurement Inputs and Valuation Techniques

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):

December 31, 2023						Fair Value						Valuation Technique						Unobservable Input						Weighted Average						Range
Assets
Residential loans:
Residential loans and residential loans held in securitization trusts (1)						$2,138,811						Discounted cash flow						Lifetime CPR						4.9%						—			-			48.5%
																		Lifetime CDR						0.7%						—			-			22.6%
																		Loss severity						12.7%						—			-			100.0%
																		Yield						7.5%						4.7%			-			31.0%
						$190,632						Liquidation model						Annual home price appreciation/(depreciation)						0.3%						—			-			12.0%
																		Liquidation timeline (months)						18						9			-			50
																		Property value						$2,536,520						$9,000			-			$13,750,000
																		Yield						7.6%						7.2%			-			29.2%
Consolidated SLST (3)						$754,860												Liability price						N/A
Total						$3,084,303
Multi-family loans (1)						$95,792						Discounted cash flow						Discount rate						12.6%						11.0%			-			20.5%
																		Months to assumed redemption						32						3			-			55
																		Loss severity						—
Equity investments (1) (2)						$109,962						Discounted cash flow						Discount rate						14.0%						13.0%			-			15.5%
																		Months to assumed redemption						24						7			-			54
																		Loss severity						—
Liabilities
Consolidated SLST CDOs (3) (4)						$593,737						Discounted cash flow						Yield						5.8%						5.0%			-			10.0%
																		Collateral prepayment rate						6.1%						2.6%			-			7.0%
																		Collateral default rate						1.3%						—			-			8.4%
																		Loss severity						21.4%						17.2			-			63.3%

(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 and NAV 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 December 31, 2023, the fair value of investment securities we own in Consolidated SLST amounts to $157.2 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 Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings

The following table details the changes in unrealized gains (losses) included in earnings for the years ended December 31, 2023, 2022 and 2021, respectively, for our Level 3 assets and liabilities held as of December 31, 2023, 2022 and 2021, respectively (dollar amounts in thousands):

			For the Years Ended December 31,
			2023						2022						2021
Assets
Residential loans
Residential loans (1)			$	321					$	(57,892)					$	31,222
Consolidated SLST (1)			(8,086)						(124,834)						(31,128)
Residential loans held in securitization trust (1)			56,576						(219,647)						35,570
Multi-family loans (1)			645						(1,737)						1,924
Equity investments (2)			(7,958)						(4,338)						3,990
Equity investments in disposal group held for sale (2)			—						(1,430)						—
Liabilities
Consolidated SLST CDOs (1)			$	(1,930)					$	92,431					$	54,960

(1)Presented in unrealized gains (losses), net on the Company’s consolidated statements of operations.

(2)Presented in income from equity investments on the Company’s consolidated statements of operations.

Schedule of Fair Value, by Balance Sheet Grouping

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 the Changeover VIE and real estate acquisitions by a Consolidated VIE during the years ended December 31, 2023, 2022 and 2021, respectively (dollar amounts in thousands):

												Years Ended December 31,
																		2023						2022						2021
Cash (1)																		$	102					$	8,576					$	27,907
Operating real estate (1) (2)																		54,439						730,988						926,756
Lease intangibles (1) (3)																		2,378						41,892						51,970
Other assets (1)																		4,722						8,258						32,690
Total assets																		61,641						789,714						1,039,323
Mortgages payable on real estate, net (1)																		45,142						570,682						669,647
Other liabilities (1)																		2,403						4,662						15,914
Total liabilities																		47,545						575,344						685,561
Redeemable non-controlling interest (4)																		—						—						67,096
Non-controlling interests (5)																		3,790						16,293						25,509
Net assets consolidated																		$	10,306					$	198,077					$	261,157

(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 consolidated balance sheets. In December 2023, the Company suspended the marketing of nine of the 14 remaining joint venture equity investments that were reported in assets and liabilities of disposal group held for sale due to unfavorable market conditions and a lack of transactional activity in the multi-family market. As such, the Company determined that these joint venture equity investments no longer met the criteria to be classified as held for sale and transferred either the assets and liabilities of the respective Consolidated VIEs or its equity investment in the joint venture entity to their respective categories or equity investments, at fair value, respectively, on the accompanying consolidated balance sheets as of December 31, 2023. 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 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 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.

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 of as of December 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			$	—																	$	—					$	15,612					$	15,612
Residential loans, at fair value			1,501,908																		754,860						—						2,256,768
Real estate, net held in Consolidated VIEs (1)			—																		—						979,934						979,934
Assets of disposal group held for sale (2)			—																		—						426,017						426,017
Other assets			98,451																		2,960						37,035						138,446
Total assets			$	1,600,359																	$	757,820					$	1,458,598					$	3,816,777
Collateralized debt obligations ($1,276,780 at amortized cost, net and $593,737 at fair value)			$	1,276,780																	$	593,737					$	—					$	1,870,517
Mortgages payable on real estate, net in Consolidated VIEs (3)			—																		—						784,421						784,421
Liabilities of disposal group held for sale (2)			—																		—						386,024						386,024
Other liabilities			8,421																		5,638						21,797						35,856
Total liabilities			$	1,285,201																	$	599,375					$	1,192,242					$	3,076,818
Redeemable non-controlling interest in Consolidated VIEs (4)			$	—																	$	—					$	28,061					$	28,061
Non-controlling interest in Consolidated VIEs (5)			$	—																	$	—					$	20,328					$	20,328
Net investment (6)			$	315,158																	$	158,445					$	217,967					$	691,570

(1)Included in real estate, net in the accompanying 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 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 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 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 December 31, 2023 and 2022, respectively (dollar amounts in thousands):

									December 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						$	187,107					$	187,107					$	244,718					$	244,718
Residential loans			Level 3						3,084,303						3,084,303						3,525,080						3,525,080
Investment securities available for sale			Level 2						2,013,817						2,013,817						99,559						99,559
Multi-family loans			Level 3						95,792						95,792						87,534						87,534
Equity investments			Level 3						147,116						147,116						179,746						179,746
Equity investments in disposal group held for sale			Level 3						—						—						9,010						9,010
Derivative assets			Level 2						6,510						6,510						2,473						2,473
Derivative assets in disposal group held for sale			Level 2						2,960						2,960						29,418						29,418
Financial Liabilities:
Repurchase agreements			Level 2						2,471,113						2,471,113						737,023						737,023
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						1,276,780						1,237,531						1,468,222						1,383,715
Consolidated SLST			Level 3						593,737						593,737						634,495						634,495
Subordinated debentures			Level 3						45,000						32,137						45,000						32,721
Senior unsecured notes			Level 2						98,111						94,952						97,384						91,104
Mortgages payable on real estate			Level 3						784,421						761,194						394,707						377,327
Mortgages payable on real estate in disposal group held for sale			Level 3						378,386						377,735						865,414						864,758

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- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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-Name Accounting Standards Codification
-Section 50
-Paragraph 2
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Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
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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.

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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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.

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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).

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-SubTopic 10
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