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

6 Months Ended

Jun. 30, 2022

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of Assets and Liabilities of Consolidated VIE's

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 and six months ended June 30, 2022, respectively (dollar amounts in thousands):

						Three Months Ended June 30,												Six Months Ended June 30,
						2022						2021						2022						2021
Cash						$	1,474					$	973					$	8,576					$	2,723
Operating real estate (1)						202,220						42,050						730,988						73,513
Lease intangibles (2)						14,431						3,320						41,892						4,964
Other assets						2,706						3,851						8,836						5,695
Total assets						220,831						50,194						790,292						86,895
Mortgages payable on real estate, net						156,494						36,057						566,250						61,831
Other liabilities						1,482						652						4,662						797
Total liabilities						157,976						36,709						570,912						62,628
Non-controlling interest (3)						5,805						1,335						16,293						1,874
Net assets consolidated						$	57,050					$	12,150					$	203,087					$	22,393

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

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

(3)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 June 30, 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			$	—											$	—					$	38,233					$	38,233
Residential loans, at fair value			1,215,095												920,778						—						2,135,873
Real estate, net held in Consolidated VIEs (1)			—												—						1,649,472						1,649,472
Other assets			77,630												3,314						48,087						129,031
Total assets			$	1,292,725											$	924,092					$	1,735,792					$	3,952,609
Collateralized debt obligations ($1,107,091 at amortized cost, net and $710,233 at fair value)			$	1,107,091											$	710,233					$	—					$	1,817,324
Mortgages payable on real estate, net in Consolidated VIEs (2)			—												—						1,251,059						1,251,059
Other liabilities			43,477												3,859						25,755						73,091
Total liabilities			$	1,150,568											$	714,092					$	1,276,814					$	3,141,474
Redeemable non-controlling interest in Consolidated VIEs (3)			$	—											$	—					$	37,101					$	37,101
Non-controlling interest in Consolidated VIEs (4)			$	—											$	—					$	34,080					$	34,080
Net investment (5)			$	142,157											$	210,000					$	387,797					$	739,954

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

(2)Included in mortgages payable on real estate, net in the accompanying condensed 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 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, 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			36,767						3,547						70,557						110,871
Total assets			$	838,196					$	1,074,429					$	1,027,888					$	2,940,513
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			20,156						3,193						17,527						40,876
Total liabilities			$	702,958					$	842,612					$	690,095					$	2,235,665
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 condensed consolidated balance sheets.

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

The following table presents the carrying value and estimated fair value of the Company’s financial instruments at June 30, 2022 and December 31, 2021, respectively (dollar amounts in thousands):

									June 30, 2022												December 31, 2021
			Fair Value Hierarchy Level						Carrying Value						Estimated Fair Value						Carrying Value						Estimated Fair Value
Financial Assets:
Cash and cash equivalents			Level 1						$	407,104					$	407,104					$	289,602					$	289,602
Residential loans			Level 3						4,329,192						4,329,192						3,575,601						3,575,601
Multi-family loans			Level 3						106,825						106,825						120,021						120,021
Investment securities available for sale			Level 2						140,506						140,506						200,844						200,844
Equity investments			Level 3						223,651						223,651						239,631						239,631
Financial Liabilities:
Repurchase agreements			Level 2						1,693,876						1,693,876						554,259						554,259
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						1,107,091						1,050,939						682,802						686,027
Consolidated SLST			Level 3						710,233						710,233						839,419						839,419
Subordinated debentures			Level 3						45,000						38,674						45,000						44,388
Convertible notes			Level 2						—						—						137,898						138,011
Senior unsecured notes			Level 2						97,039						89,489						96,704						102,215
Mortgages payable on real estate			Level 3						1,251,059						1,227,040						709,356						712,112

Schedule of Statement of Operations of Variable Interest Entities

The following table presents condensed statements of operations for non-Company-sponsored VIEs for the three months ended June 30, 2022 and 2021, respectively (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

						Three Months Ended June 30,
						2022																		2021
						Consolidated SLST						Consolidated Real Estate						Total						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	9,254					$	—					$	9,254					$	10,479					$	—					$	10,479
Interest expense						6,208						13,148						19,356						7,151						430						7,581
Total net interest income (expense)						3,046						(13,148)						(10,102)						3,328						(430)						2,898
Unrealized (losses) gains, net						(4,275)						—						(4,275)						9,793						—						9,793
Income from real estate						—						34,409						34,409						—						2,150						2,150
Total non-interest (loss) income						(4,275)						34,409						30,134						9,793						2,150						11,943
Expenses related to real estate (1)						—						68,337						68,337						—						3,913						3,913
Net (loss) income						(1,229)						(47,076)						(48,305)						13,121						(2,193)						10,928
Net loss attributable to non-controlling interest in Consolidated VIEs						—						18,922						18,922						—						1,625						1,625
Net (loss) income attributable to Company						$	(1,229)					$	(28,154)					$	(29,383)					$	13,121					$	(568)					$	12,553

(1)See Note 8 for depreciation and amortization expenses related to operating real estate.

The following table presents condensed statements of operations for non-Company-sponsored VIEs for the six months ended June 30, 2022 and 2021, respectively (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

						Six Months Ended June 30,
						2022																		2021
						Consolidated SLST						Consolidated Real Estate						Total						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	18,635					$	—					$	18,635					$	20,797					$	—					$	20,797
Interest expense						12,186						19,983						32,169						14,254						740						14,994
Total net interest income (expense)						6,449						(19,983)						(13,534)						6,543						(740)						5,803
Unrealized (losses) gains, net						(19,555)						—						(19,555)						19,018						—						19,018
Income from real estate						—						58,047						58,047						—						3,645						3,645
Total non-interest (loss) income						(19,555)						58,047						38,492						19,018						3,645						22,663
Expenses related to real estate (1)						—						114,783						114,783						—						6,837						6,837
Net (loss) income						(13,106)						(76,719)						(89,825)						25,561						(3,932)						21,629
Net loss attributable to non-controlling interest in Consolidated VIEs						—						33,792						33,792						—						3,034						3,034
Net (loss) income attributable to Company						$	(13,106)					$	(42,927)					$	(56,033)					$	25,561					$	(898)					$	24,663

(1)See Note 8 for depreciation and amortization expenses related to operating real estate.

Schedule of Redeemable Noncontrolling Interest in Consolidated VIEs

The following table presents activity in redeemable non-controlling interest in Consolidated VIEs for the three and six months ended June 30, 2022 (dollar amounts in thousands):

			Three Months Ended June 30, 2022						Six Months Ended June 30, 2022
Beginning balance			$	53,361					$	66,392
Contributions			41						315
Distributions			(1,133)						(1,810)
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs			(15,168)						(27,796)
Ending balance			$	37,101					$	37,101

Schedule of Classification and Carrying Value of Unconsolidated VIEs

The following tables present the classification and carrying value of unconsolidated VIEs as of June 30, 2022 and December 31, 2021, respectively (dollar amounts in thousands):

			June 30, 2022
			Multi-family loans						Investment securities available for sale, at fair value						Equity investments						Total
ABS			$	—					$	35,588					$	—					$	35,588
Non-Agency RMBS			—						31,978						—						31,978
Preferred equity investments in multi-family properties			106,825						—						178,783						285,608
Joint venture equity investments in multi-family properties			—						—						10,990						10,990
Equity investments in entities that invest in residential properties			—						—						2,878						2,878
Maximum exposure			$	106,825					$	67,566					$	192,651					$	367,042

			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

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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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Tabular disclosure of redeemable noncontrolling interest (as defined) included in the statement of financial position as either a liability or temporary equity. As of the date of the statement of financial position, such redeemable noncontrolling interest is currently redeemable, as defined, for cash or other assets of the entity at (1) at a fixed or determinable price on a fixed or determinable date, (2) at the option of the holder of the noncontrolling interest, or (3) upon occurrence of an event that is not solely within the control of the entity.

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Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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