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Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables)

12 Months Ended

Dec. 31, 2021

Variable Interest Entity, Measure of Activity [Abstract]

Summary of Assets and Liabilities of Consolidated 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, 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			20,932																		3,547						70,557						95,036
Total assets			$	822,361																	$	1,074,429					$	1,027,888					$	2,924,678
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			4,321																		3,193						17,527						25,041
Total liabilities			$	687,123																	$	842,612					$	690,095					$	2,219,830
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 consolidated balance sheets.

(2)Included in mortgages payable on real estate, net in the accompanying 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 interest, if any.

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's residential loan securitizations, non-Agency RMBS re-securitization, Consolidated SLST and Consolidated Real Estate VIEs as of December 31, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation:

						Financing VIEs																		Other VIEs
						Residential Loan Securitizations						Non-Agency RMBS Re-Securitization												Consolidated SLST						Consolidated Real Estate						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
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 on real estate, 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

(1)Included in real estate, net in the accompanying consolidated balance sheets.

(2)Included in mortgages payable on real estate, net in the accompanying consolidated balance sheets.

(3)Represents third-party ownership of membership interests in Consolidated Real Estate VIEs.

(4)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 interest, if any.

The following table presents the carrying value and estimated fair value of the Company’s financial instruments at December 31, 2021 and 2020, respectively (dollar amounts in thousands):

									December 31, 2021												December 31, 2020
			Fair Value Hierarchy Level						Carrying Value						Estimated Fair Value						Carrying Value						Estimated Fair Value
Financial Assets:
Cash and cash equivalents			Level 1						$	289,602					$	289,602					$	293,183					$	293,183
Residential loans			Level 3						3,575,601						3,575,601						3,049,166						3,049,166
Multi-family loans			Level 3						120,021						120,021						163,593						163,593
Investment securities available for sale			Level 2						200,844						200,844						724,726						724,726
Equity investments			Level 3						239,631						239,631						259,095						259,095
Financial Liabilities:
Repurchase agreements			Level 2						554,259						554,259						405,531						405,531
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						682,802						686,027						554,067						561,329
Consolidated SLST			Level 3						839,419						839,419						1,054,335						1,054,335
Non-Agency RMBS re-securitization			Level 2						—						—						15,256						15,472
Subordinated debentures			Level 3						45,000						44,388						45,000						36,871
Convertible notes			Level 2						137,898						138,011						135,327						137,716
Senior unsecured notes			Level 2						96,704						102,215						—						—
Mortgages payable on operating real estate			Level 3						709,356						712,112						36,752						36,752

Schedule of Statement of Operations of Variable Interest Entities

consist of the following as of December 31, 2021 and 2020, respectively (dollar amounts in thousands):

			December 31, 2021						December 31, 2020
Investment amount			$	118,307					$	163,392
Deferred loan fees, net			(672)						(1,169)
Unrealized gains, net			2,386						1,370
Total, at Fair Value			$	120,021					$	163,593

The geographic concentrations of credit risk exceeding 5% of the total multi-family loan investment amounts as of December 31, 2021 and 2020, respectively, are as follows:

			December 31, 2021						December 31, 2020
Texas			28.3		%				11.4		%
Florida			12.2		%				8.5		%
Tennessee			11.0		%				14.3		%
Georgia			7.4		%				10.1		%
Ohio			7.2		%				5.2		%
North Carolina			7.0		%				4.9		%
Louisiana			5.8		%				—
Alabama			5.0		%				9.7		%

The following tables present statements of operations for non-Company-sponsored VIEs for the years ended December 31, 2021, 2020 and 2019, respectively (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

						Year Ended December 31,
						2021
						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	40,944					$	—					$	40,944
Interest expense						28,135						3,477						31,612
Total net interest income (expense)						12,809						(3,477)						9,332
Unrealized gains, net						23,832						—						23,832
Income from real estate						—						12,339						12,339
Other loss						—						—						—
Total non-interest income						23,832						12,339						36,171
Expenses related to real estate (1)						—						25,687						25,687
Net income (loss)						36,641						(16,825)						19,816
Net loss attributable to non-controlling interest in Consolidated VIEs						—						4,724						4,724
Net income (loss) attributable to Company						$	36,641					$	(12,101)					$	24,540

(1)Includes depreciation expense of $4.8 million and amortization expense related to lease intangibles of $13.6 million.

						Year Ended December 31,
						2020
						Consolidated K-Series (1)						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	151,841					$	45,194					$	—					$	197,035
Interest expense						129,762						31,663						—						161,425
Total net interest income						22,079						13,531						—						35,610
Unrealized losses, net						(10,951)						(32,073)						—						(43,024)
Income from real estate						—						—						419						419
Other loss						—						—						(2,667)						(2,667)
Total non-interest income (loss)						(10,951)						(32,073)						(2,248)						(45,272)
Expenses related to real estate (2)						—						—						763						763
Net income (loss)						11,128						(18,542)						(3,011)						(10,425)
Net income attributable to non-controlling interest in Consolidated VIEs						—						—						(267)						(267)
Net income (loss) attributable to Company						$	11,128					$	(18,542)					$	(3,278)					$	(10,692)

(1)Reflects statement of operations for the Consolidated K-Series prior to the sale of first loss POs and de-consolidation of the Consolidated K-Series.

(2)Includes depreciation expense of $0.2 million and amortization expense related to lease intangibles of $0.2 million.

						Year Ended December 31,
						2019
						Consolidated K-Series						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	535,226					$	4,764					$	—					$	539,990
Interest expense						457,130						2,945						—						460,075
Total net interest income						78,096						1,819						—						79,915
Unrealized gains (losses), net						23,962						(83)						—						23,879
Income from real estate						—						—						215						215
Other loss						—						—						(2,424)						(2,424)
Total non-interest income (loss)						23,962						(83)						(2,209)						21,670
General and administrative expenses						—						—						219						219
Expenses related to real estate						—						—						482						482
Total general, administrative and operating expenses						—						—						701						701
Net income (loss)						102,058						1,736						(2,910)						100,884
Net loss attributable to non-controlling interest in Consolidated VIEs						—						—						840						840
Net income (loss) attributable to Company						$	102,058					$	1,736					$	(2,070)					$	101,724

Schedule of Redeemable Noncontrolling Interest in Consolidated VIEs

The following table presents activity in redeemable non-controlling interest in Consolidated VIEs for the year ended December 31, 2021 (dollar amounts in thousands):

Beginning balance			$	—
Initial consolidation of Consolidated VIEs			67,096
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs			(704)
Ending balance			$	66,392

Schedule of Classification and Carrying Value of Unconsolidated VIEs

The following tables present the classification and carrying value of unconsolidated VIEs as of December 31, 2021 and 2020, respectively (dollar amounts in thousands):

			December 31, 2021
			Multi-family loans						Investment securities available for sale, at fair value						Equity investments						Total
ABS			$	—					$	39,679					$	—					$	39,679
Non-Agency RMBS			—						30,924						—						30,924
Preferred equity investments in multi-family properties			120,021						—						180,798						300,819
Joint venture equity investments in multi-family properties			—						—						10,440						10,440
Equity investments in entities that invest in residential properties			—						—						19,143						19,143
Maximum exposure			$	120,021					$	70,603					$	210,381					$	401,005

									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

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