The Company uses SPEs to facilitate transactions that involve securitizing financial assets or re-securitizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

As of December 31, 2020, the Company evaluated its residential loan securitizations and re-securitization of non-Agency RMBS and concluded that the entities created to facilitate each of the financing transactions are VIEs and that the Company is the primary beneficiary of these VIEs (each a “Financing VIE” and collectively, the “Financing VIEs”). As of March 31, 2021, the Company evaluated its residential loan securitizations and concluded that the entities created to facilitate each of the financing transactions are VIEs and that the Company is the primary beneficiary of these VIEs. Accordingly, the Company consolidated the Financing VIEs as of March 31, 2021 and December 31, 2020. During the three months ended March 31, 2021, the Company exercised its right to an optional redemption of its non-Agency RMBS re-securitization with an outstanding principal balance of $14.7 million, returning the non-Agency RMBS held by the re-securitization trust to the Company.

The Company invests in subordinated securities that represent the first loss position of the Freddie Mac-sponsored residential loan securitization from which they were issued, and certain IOs and senior securities issued from the securitization. The Company has evaluated its investments in this securitization trust to determine whether it is a VIE and if so, whether the Company is the primary beneficiary requiring consolidation. The Company has determined that the Freddie Mac-sponsored residential loan securitization trust, which we refer to as Consolidated SLST, is a VIE as of March 31, 2021 and December 31, 2020, and that the Company is the primary beneficiary of the VIE within Consolidated SLST. Accordingly, the Company has consolidated its assets, liabilities, income and expenses in the accompanying condensed consolidated financial statements (see Notes 2, 3 and 11). The Company has elected the fair value option on the assets and liabilities held within Consolidated SLST, which requires that changes in valuations in the assets and liabilities of Consolidated SLST be reflected in the Company’s condensed consolidated statements of operations.

The Company does not have any claims to the assets or obligations for the liabilities of Consolidated SLST (other than those securities owned by the Company as of March 31, 2021 and December 31, 2020 with a fair value of $219.8 million and $212.1 million, respectively (see Note 14). The Company’s investments that are included in Consolidated SLST were not included as collateral to any Financing VIE as of March 31, 2021 and December 31, 2020.

During the three months ended March 31, 2020, the Company purchased approximately $40.0 million in additional senior securities issued by Consolidated SLST and subsequently sold its entire investment in the senior securities issued by Consolidated SLST for sales proceeds of approximately $62.6 million at a realized loss of approximately $2.4 million, which is included in realized gains (losses), net on the Company's condensed consolidated statements of operations.

As of December 31, 2019, the Company invested in multi-family CMBS consisting of POs that represented the first loss position of the Freddie Mac-sponsored multi-family K-series securitizations from which they were issued, and certain IOs and certain senior and mezzanine CMBS securities issued from those securitizations. The Company evaluated these CMBS investments in Freddie Mac-sponsored K-Series securitization trusts to determine whether they were VIEs and if so, whether the Company was the primary beneficiary requiring consolidation. The Company determined that the Freddie Mac-sponsored multi-family K-Series securitization trusts were VIEs, which we refer to as the Consolidated K-Series. The Company also determined that it was the primary beneficiary of each VIE within the Consolidated K-Series and, accordingly, consolidated its assets, liabilities, income and expenses in the accompanying condensed consolidated financial statements (see Note 2). The Company elected the fair value option on the assets and liabilities held within the Consolidated K-Series, which required that changes in valuations in the assets and liabilities of the Consolidated K-Series be reflected in the Company's condensed consolidated statements of operations. Our investment in the Consolidated K-Series was limited to the multi-family CMBS that we owned.

In March 2020, the Company sold its first loss POs and certain mezzanine securities issued by the Consolidated K-Series which resulted in the de-consolidation of each Consolidated K-Series as of the sale date of each first loss PO. These sales, for total proceeds of approximately $555.2 million, resulted in a realized net loss of $54.1 million and reversal of previously recognized net unrealized gains of $168.5 million. The sales also resulted in the de-consolidation of $17.4 billion in multi-family loans held in the Consolidated K-Series and $16.6 billion in Consolidated K-Series CDOs. Also in March 2020, the Company transferred its remaining IOs and mezzanine and senior securities owned in the Consolidated K-Series with a fair value of approximately $237.3 million to investment securities available for sale.

During the three months ended March 31, 2021, the Company invested in a joint venture investment that owns a multi-family apartment community, which the Company determined to be a VIE and for which the Company is the primary beneficiary. Accordingly, the Company consolidated its assets, liabilities, income and expenses in the accompanying condensed consolidated financial statements with a non-controlling interest for the third-party ownership of the joint venture's membership interests. The Company accounted for the initial consolidation of the joint venture investment in accordance with asset acquisition provisions of ASC 805, Business Combinations, ("ASC 805"), as substantially all of the fair value of the assets within the entity are concentrated in either a single identifiable asset or group of similar identifiable assets. The initial consolidation of the joint venture entity included operating real estate and lease intangibles in the amounts of $31.5 million and $1.6 million, respectively (included in other assets in the accompanying condensed consolidated balance sheets), a mortgage payable in the amount of $25.8 million (included in other liabilities in the accompanying condensed consolidated balance sheets) and a non-controlling interest in the amount of $0.5 million.

In addition, on November 12, 2020 (the "Changeover Date"), the Company reconsidered its evaluation of its variable interest in a VIE that owns a multi-family apartment community and in which the Company holds a preferred equity investment. The Company determined that it gained the power to direct the activities, and became primary beneficiary, of the VIE on the Changeover Date. Prior to the Changeover Date, the Company accounted for its investment as a preferred equity investment included in multi-family loans. The Company does not have any claims to the assets or obligations for the liabilities of this VIE. On the Changeover Date, the Company consolidated this VIE into its consolidated financial statements. The Company accounted for the initial consolidation of the VIE in accordance with asset acquisition provisions of ASC 805 as substantially all of the fair value of the assets within the entity are concentrated in either a single identifiable asset or group of similar identifiable assets. The estimated Changeover Date fair value of the consideration transferred totaled $8.7 million, which consisted of the estimated fair value of the Company's preferred equity investment in the VIE that was determined using assumptions for the underlying contractual cash flows and a discount rate. The initial consolidation of this VIE included operating real estate and lease intangibles in the amounts of $50.5 million and $1.6 million, respectively (included in other assets in the accompanying condensed consolidated balance sheets), a mortgage payable in the amount of $36.8 million (included in other liabilities in the accompanying condensed consolidated balance sheets) and a non-controlling interest (representing third-party ownership of the VIE's membership interests) in the amount of $6.8 million.

In analyzing whether the Company is the primary beneficiary of the Financing VIEs, Consolidated SLST, the Consolidated K-Series and other Consolidated VIEs, the Company considered its involvement in each of the VIEs, including the design and purpose of each VIE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIEs. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed:


	Financing VIEs		Other VIEs
	Residential Loan Securitizations			Consolidated SLST		Other		Total
Cash and cash equivalents	$	—		$	—	$	2,852	$	2,852
Residential loans, at fair value	678,067			1,211,508		—		1,889,575

Operating real estate, net held in Consolidated VIEs (1)	—			—		82,141		82,141
Other assets	28,900			3,981		4,145		37,026
Total assets	$	706,967		$	1,215,489	$	89,138	$	2,011,594

Collateralized debt obligations ($533,822 at amortized cost, net and $992,288 at fair value)	$	533,822		$	992,288	$	—	$	1,526,110



Mortgages payable, net in Consolidated VIEs (2)	—			—		62,537		62,537
Other liabilities	1,908			1,791		1,073		4,772
Total liabilities	$	535,730		$	994,079	$	63,610	$	1,593,419
Non-controlling interest in Consolidated VIEs (3)	$	—		$	—	$	5,498	$	5,498
Net investment (4)	$	171,237		$	221,410	$	20,030	$	412,677


	Financing VIE				Other VIEs
	Residential Loan Securitizations		Non-Agency RMBS Re-Securitization		Consolidated SLST		Other		Total
Cash and cash equivalents	$	—	$	—	$	—	$	462	$	462
Residential loans, at fair value	691,451		—		1,266,785		—		1,958,236


Investment securities available for sale, at fair value	—		109,140		—		—		109,140
Operating real estate, net held in Consolidated VIEs (1)	—		—		—		50,532		50,532
Other assets	24,959		535		4,075		3,045		32,614
Total assets	$	716,410	$	109,675	$	1,270,860	$	54,039	$	2,150,984

Collateralized debt obligations ($569,323 at amortized cost, net and $1,054,335 at fair value)	$	554,067	$	15,256	$	1,054,335	$	—	$	1,623,658
Mortgages payable, net in Consolidated VIEs (2)	—		—		—		36,752		36,752
Other liabilities	2,610		70		2,781		1,435		6,896
Total liabilities	$	556,677	$	15,326	$	1,057,116	$	38,187	$	1,667,306
Non-controlling interest in Consolidated VIEs (3)	$	—	$	—	$	—	$	6,371	$	6,371
Net investment (4)	$	159,733	$	94,349	$	213,744	$	9,481	$	477,307



	Consolidated SLST		Other		Total
Interest income	$	10,318	$	—	$	10,318
Interest expense	7,104		310		7,414
Total net interest income (expense)	3,214		(310)		2,904

Unrealized gains, net	9,225		—		9,225
Other income	—		1,495		1,495
Total non-interest income	9,225		1,495		10,720



Total general, administrative and operating expenses	—		2,924		2,924

Net income (loss)	12,439		(1,739)		10,700
Net loss attributable to non-controlling interest in Consolidated VIEs	—		1,409		1,409
Net income (loss) attributable to Company	$	12,439	$	(330)	$	12,109

The following table presents condensed statements of operations for the non-Company-sponsored VIEs, including Consolidated K-Series (prior to the sale of first loss POs and de-consolidation of the Consolidated K-Series), Consolidated SLST and other Consolidated VIEs, for the three months ended March 31, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.



	Consolidated K-Series		Consolidated SLST		Other		Total
Interest income	$	151,841	$	12,123	$	—	$	163,964
Interest expense	129,762		8,535		—		138,297
Total net interest income	22,079		3,588		—		25,667


Unrealized losses, net	(10,951)		(66,134)		—		(77,085)
Other income (loss)	—		—		(342)		(342)
Total non-interest income (loss)	(10,951)		(66,134)		(342)		(77,427)



Total general, administrative and operating expenses	—		—		26		26

Net income (loss)	11,128		(62,546)		(368)		(51,786)
Net loss attributable to non-controlling interest in Consolidated VIEs	—		—		184		184
Net income (loss) attributable to Company	$	11,128	$	(62,546)	$	(184)	$	(51,602)

As of March 31, 2021 and December 31, 2020, the Company evaluated its investment securities available for sale, preferred equity, mezzanine loan and other equity investments to determine whether they are VIEs and should be consolidated by the Company. Based on a number of factors, the Company determined that, as of March 31, 2021 and December 31, 2020, it does not have a controlling financial interest and is not the primary beneficiary of these VIEs. The following tables present the classification and carrying value of unconsolidated VIEs as of March 31, 2021 and December 31, 2020, respectively (dollar amounts in thousands):


	March 31, 2021
	Multi-family loans		Investment securities available for sale, at fair value		Equity investments		Total
ABS	$	—	$	44,622	$	—	$	44,622
Non-Agency RMBS	—		3,920		—		3,920
Preferred equity investments in multi-family properties	146,693		—		185,835		332,528
Mezzanine loans on multi-family properties	5,143		—		—		5,143
Equity investments in entities that invest in residential properties and loans	—		—		74,230		74,230
Maximum exposure	$	151,836	$	48,542	$	260,065	$	460,443


	December 31, 2020
	Multi-family loans		Investment securities available for sale, at fair value		Equity investments		Total
ABS	$	—	$	43,225	$	—	$	43,225
Preferred equity investments in multi-family properties	158,501		—		182,765		341,266
Mezzanine loans on multi-family properties	5,092		—		—		5,092
Equity investments in entities that invest in residential properties and loans	—		—		76,330		76,330
Maximum exposure	$	163,593	$	43,225	$	259,095	$	465,913