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

9 Months Ended

Sep. 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 nine months ended September 30, 2022, respectively (dollar amounts in thousands):

						Three Months Ended September 30,												Nine Months Ended September 30,
						2022						2021						2022						2021
Cash (1)						$	—					$	992					$	8,576					$	3,716
Operating real estate (1) (2)						—						135,832						730,988						209,345
Lease intangibles (1) (3)						—						8,373						41,892						13,337
Other assets (1)						—						3,084						8,258						8,779
Total assets						—						148,281						789,714						235,177
Mortgages payable on real estate, net (1)						—						100,407						570,682						162,238
Other liabilities (1)						—						1,827						4,662						2,624
Total liabilities						—						102,234						575,344						164,862
Non-controlling interest (4)						—						3,252						16,293						5,127
Net assets consolidated						$	—					$	42,795					$	198,077					$	65,188

(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, as of September 30, 2022, 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, included in real estate, net in the accompanying condensed consolidated balance sheets.

(3)For joint venture equity investments that are not held for sale, 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 September 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			$	—											$	—					$	18,555					$	18,555
Residential loans, at fair value			1,411,073												860,785						—						2,271,858
Real estate, net held in Consolidated VIEs (1)			—												—						546,118						546,118
Assets of disposal group held for sale (2)			—												—						1,137,475						1,137,475
Other assets			81,603												3,227						17,457						102,287
Total assets			$	1,492,676											$	864,012					$	1,719,605					$	4,076,293
Collateralized debt obligations ($1,309,735 at amortized cost, net and $660,069 at fair value)			$	1,309,735											$	660,069					$	—					$	1,969,804
Mortgages payable on real estate, net in Consolidated VIEs (3)			—												—						387,761						387,761
Liabilities of disposal group held for sale (2)			—												—						875,576						875,576
Other liabilities			33,245												3,714						12,335						49,294
Total liabilities			$	1,342,980											$	663,783					$	1,275,672					$	3,282,435
Redeemable non-controlling interest in Consolidated VIEs (4)			$	—											$	—					$	27,786					$	27,786
Non-controlling interest in Consolidated VIEs (5)			$	—											$	—					$	36,614					$	36,614
Net investment (6)			$	149,696											$	200,229					$	379,533					$	729,458

(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 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 September 30, 2022 and December 31, 2021, respectively (dollar amounts in thousands):

									September 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						$	355,276					$	355,276					$	289,602					$	289,602
Residential loans			Level 3						3,933,176						3,933,176						3,575,601						3,575,601
Multi-family loans			Level 3						95,829						95,829						120,021						120,021
Investment securities available for sale			Level 2						102,686						102,686						200,844						200,844
Equity investments			Level 3						205,814						205,814						239,631						239,631
Equity investments in disposal group held for sale			Level 3						9,936						9,936						—						—
Derivative assets			Level 2						963						963						—						—
Derivative assets in disposal group held for sale			Level 2						29,494						29,494						—						—
Financial Liabilities:
Repurchase agreements			Level 2						1,215,023						1,215,023						554,259						554,259
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						1,309,735						1,228,512						682,802						686,027
Consolidated SLST			Level 3						660,069						660,069						839,419						839,419
Subordinated debentures			Level 3						45,000						32,906						45,000						44,388
Convertible notes			Level 2						—						—						137,898						138,011
Senior unsecured notes			Level 2						97,210						86,007						96,704						102,215
Mortgages payable on real estate			Level 3						387,761						352,332						709,356						712,112
Mortgages payable on real estate in disposal group held for sale			Level 3						854,656						853,400						—						—

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 September 30, 2022 and 2021, respectively (dollar amounts in thousands). The following table includes net (loss) income from assets and liabilities of disposal group held for sale and intercompany balances have been eliminated for purposes of this presentation.

						Three Months Ended September 30,
						2022																		2021
						Consolidated SLST						Consolidated Real Estate						Total						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	9,013					$	—					$	9,013					$	10,245					$	—					$	10,245
Interest expense						6,611						16,136						22,747						7,116						900						8,016
Total net interest income (expense)						2,402						(16,136)						(13,734)						3,129						(900)						2,229
Realized gains, net						—						921						921						—						—						—
Unrealized (losses) gains, net						(7,925)						24,022						16,097						4,302						—						4,302
Income from real estate						—						39,261						39,261						—						2,683						2,683
Other income						—						16,287						16,287						—						—						—
Total non-interest (loss) income						(7,925)						80,491						72,566						4,302						2,683						6,985
Expenses related to real estate (1)						—						51,183						51,183						—						6,601						6,601
Net (loss) income						(5,523)						13,172						7,649						7,431						(4,818)						2,613
Net loss attributable to non-controlling interest in Consolidated VIEs						—						2,617						2,617						—						394						394
Net (loss) income attributable to Company						$	(5,523)					$	15,789					$	10,266					$	7,431					$	(4,424)					$	3,007

(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 nine months ended September 30, 2022 and 2021, respectively (dollar amounts in thousands). The following table includes net (loss) income from assets and liabilities of disposal group held for sale and intercompany balances have been eliminated for purposes of this presentation.

						Nine Months Ended September 30,
						2022																		2021
						Consolidated SLST						Consolidated Real Estate						Total						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	27,648					$	—					$	27,648					$	31,042					$	—					$	31,042
Interest expense						18,796						36,119						54,915						21,371						1,641						23,012
Total net interest income (expense)						8,852						(36,119)						(27,267)						9,671						(1,641)						8,030
Realized gains, net						—						921						921						—						—						—
Unrealized (losses) gains, net						(27,480)						24,022						(3,458)						23,320						—						23,320
Income from real estate						—						97,308						97,308						—						6,329						6,329
Other income						—						16,287						16,287						—						—						—
Total non-interest (loss) income						(27,480)						138,538						111,058						23,320						6,329						29,649
Expenses related to real estate (1)						—						165,965						165,965						—						13,438						13,438
Net (loss) income						(18,628)						(63,546)						(82,174)						32,991						(8,750)						24,241
Net loss attributable to non-controlling interest in Consolidated VIEs						—						36,409						36,409						—						3,428						3,428
Net (loss) income attributable to Company						$	(18,628)					$	(27,137)					$	(45,765)					$	32,991					$	(5,322)					$	27,669

(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 nine months ended September 30, 2022 (dollar amounts in thousands):

			Three Months Ended September 30, 2022						Nine Months Ended September 30, 2022
Beginning balance			$	37,101					$	66,392
Contributions			—						315
Distributions			(4,115)						(5,925)
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs			(5,200)						(32,996)
Ending balance			$	27,786					$	27,786

Schedule of Classification and Carrying Value of Unconsolidated VIEs

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

			September 30, 2022
			Multi-family loans						Investment securities available for sale, at fair value						Equity investments						Assets of disposal group held for sale						Total
ABS			$	—					$	1,111					$	—					$	—					$	1,111
Non-Agency RMBS			—						31,339						—						—						31,339
Preferred equity investments in multi-family properties			95,829						—						176,339						—						272,168
Joint venture equity investments in multi-family properties (1)			—						—						—						9,936						9,936
Equity investments in entities that invest in residential properties			—						—						1,975						—						1,975
Maximum exposure			$	95,829					$	32,450					$	178,314					$	9,936					$	316,529

			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

(1)Transferred into assets of disposal group held for sale as of September 30, 2022.

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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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