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

12 Months Ended

Dec. 31, 2022

Variable Interest Entity, Measure of Activity [Abstract]

Summary of Assets and Liabilities of Consolidated VIEs

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 years ended December 31, 2022, 2021 and 2020, respectively (dollar amounts in thousands):

												Years Ended December 31,
																		2022						2021						2020
Cash (1)																		$	8,576					$	27,907					$	327
Operating real estate (1) (2)																		730,988						926,756						50,481
Lease intangibles (1) (3)																		41,892						51,970						1,619
Other assets (1)																		8,258						32,690						1,395
Total assets																		789,714						1,039,323						53,822
Mortgages payable on real estate, net (1)																		570,682						669,647						36,752
Other liabilities (1)																		4,662						15,914						1,543
Total liabilities																		575,344						685,561						38,295
Redeemable non-controlling interest (4)																		—						67,096						—
Non-controlling interests (5)																		16,293						25,509						6,808
Net assets consolidated																		$	198,077					$	261,157					$	8,719

(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 as of December 31, 2022. 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, 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 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 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 interests, if any.

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

									December 31, 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						$	244,718					$	244,718					$	289,602					$	289,602
Residential loans			Level 3						3,525,080						3,525,080						3,575,601						3,575,601
Multi-family loans			Level 3						87,534						87,534						120,021						120,021
Investment securities available for sale			Level 2						99,559						99,559						200,844						200,844
Equity investments			Level 3						179,746						179,746						239,631						239,631
Equity investments in disposal group held for sale			Level 3						9,010						9,010						—						—
Derivative assets			Level 2						2,473						2,473						—						—
Derivative assets in disposal group held for sale			Level 2						29,418						29,418						—						—
Financial Liabilities:
Repurchase agreements			Level 2						737,023						737,023						554,259						554,259
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						1,468,222						1,383,715						682,802						686,027
Consolidated SLST			Level 3						634,495						634,495						839,419						839,419
Subordinated debentures			Level 3						45,000						32,721						45,000						44,388
Convertible notes			Level 2						—						—						137,898						138,011
Senior unsecured notes			Level 2						97,384						91,104						96,704						102,215
Mortgages payable on real estate			Level 3						394,707						377,327						709,356						712,112
Mortgages payable on real estate in disposal group held for sale			Level 3						865,414						864,758						—						—

Schedule of Statement of Operations of Variable Interest Entities

consist of the following as of December 31, 2022 and 2021, respectively (dollar amounts in thousands):

			December 31, 2022						December 31, 2021
Investment amount			$	88,249					$	118,307
Deferred loan fees, net			(428)						(672)
Unrealized (losses) gains, net			(287)						2,386
Total, at Fair Value			$	87,534					$	120,021

The geographic concentrations of credit risk exceeding 5% of the total multi-family loan investment amounts as of December 31, 2022 and 2021, respectively, are as follows:

			December 31, 2022						December 31, 2021
Texas			30.1		%				28.3		%
Tennessee			15.6		%				11.0		%
Florida			10.9		%				12.2		%
Ohio			9.7		%				7.2		%
Louisiana			7.5		%				5.8		%
Alabama			7.1		%				5.0		%
North Carolina			6.1		%				7.0		%
Indiana			5.7		%				4.3		%

The following tables present condensed statements of operations for non-Company-sponsored VIEs for the years ended December 31, 2022, 2021 and 2020, respectively (dollar amounts in thousands). The following tables include net (loss) income from assets and liabilities of disposal group held for sale and intercompany balances have been eliminated for purposes of this presentation.

						Year Ended December 31,
						2022
						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	36,448					$	—					$	36,448
Interest expense						25,145						—						25,145
Total net interest income						11,303						—						11,303
Realized gains, net						—						924						924
Unrealized (losses) gains, net						(32,403)						26,306						(6,097)
Income from real estate						—						134,722						134,722
Other income						—						13,859						13,859
Total non-interest (loss) income						(32,403)						175,811						143,408
Expenses related to real estate						—						245,650						245,650
Net loss						(21,100)						(69,839)						(90,939)
Net loss attributable to non-controlling interest in Consolidated VIEs						—						42,044						42,044
Net loss attributable to Company						$	(21,100)					$	(27,795)					$	(48,895)

						Year Ended December 31,
						2021
						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	40,944					$	—					$	40,944
Interest expense						28,135						—						28,135
Total net interest income						12,809						—						12,809
Unrealized gains, net						23,832						—						23,832
Income from real estate						—						12,339						12,339
Total non-interest income						23,832						12,339						36,171
Expenses related to real estate						—						29,164						29,164
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

						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 loss						(10,951)						(32,073)						(2,248)						(45,272)
Expenses related to real estate						—						—						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.

Schedule of Redeemable Noncontrolling Interest in Consolidated VIEs

The following table presents activity in redeemable non-controlling interest in Consolidated VIEs for the years ended December 31, 2022 and 2021 (dollar amounts in thousands):

						Years Ended December 31,
						2022						2021
Beginning balance						$	66,392					$	—
Initial consolidation of Consolidated VIEs						—						67,096
Contributions						462						—
Distributions						(7,083)						—
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs						(38,190)						(704)
Adjustment of redeemable non-controlling interest to estimated redemption value (1)						44,237						—
Redemption of redeemable non-controlling interest						(2,015)						—
Ending balance						$	63,803					$	66,392

(1)The Company determines the fair value of the redeemable non-controlling interest on a non-recurring basis utilizing market assumptions and discounted cash flows. The Company applies a discount rate to the estimated future cash flows from the multi-family apartment properties held by the applicable Consolidated VIEs that are allocable to the redeemable non-controlling interest. This fair value measurement is generally based on unobservable inputs and, as such, is classified as Level 3 in the fair value hierarchy. Significant unobservable inputs utilized in the estimation of fair value of redeemable non-controlling interest include a weighted average capitalization rate of 5.4% (ranges from 4.8% to 6.0%) and a weighted average discount rate of 14.5% (ranges from 13.6% to 15.4%).

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, 2022 and 2021, respectively (dollar amounts in thousands):

			December 31, 2022
			Multi-family loans						Investment securities available for sale, at fair value						Equity investments						Assets of disposal group held for sale						Total
ABS			$	—					$	856					$	—					$	—					$	856
Non-Agency RMBS			—						29,290						—						—						29,290
Preferred equity investments in multi-family properties			87,534						—						152,246						—						239,780
Joint venture equity investments in multi-family properties (1)			—						—						—						9,010						9,010
Maximum exposure			$	87,534					$	30,146					$	152,246					$	9,010					$	278,936

									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 during the year ended December 31, 2022.

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