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Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables) | 3 Months Ended
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Mar. 31, 2023
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 months ended March 31, 2022 (dollar amounts in thousands):
Cash (1) |  |  |  | $ | 7,102 |  |  |  |  |
Operating real estate (1) (2) |  |  |  | 528,768 |  |  |  |  |
Lease intangibles (1) (3) |  |  |  | 27,461 |  |  |  |  |
Other assets (1) |  |  |  | 6,130 |  |  |  |  |
Total assets |  |  |  | 569,461 |  |  |  |  |
Mortgages payable on real estate, net (1) |  |  |  | 409,756 |  |  |  |  |
Other liabilities (1) |  |  |  | 3,180 |  |  |  |  |
Total liabilities |  |  |  | 412,936 |  |  |  |  |
Non-controlling interests (4) |  |  |  | 10,488 |  |  |  |  |
Net assets consolidated |  |  |  | $ | 146,037 |  |  |  |  |
(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 condensed consolidated balance sheets. 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 condensed 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 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 March 31, 2023 (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 | $ | — |  |  |  |  | $ | — |  |  | $ | 11,971 |  |  | $ | 11,971 |
Residential loans, at fair value | 1,624,703 |  |  |  |  | 829,153 |  |  | — |  |  | 2,453,856 |
Real estate, net held in Consolidated VIEs (1) | — |  |  |  |  | — |  |  | 543,471 |  |  | 543,471 |
Assets of disposal group held for sale (2) | — |  |  |  |  | — |  |  | 1,140,308 |  |  | 1,140,308 |
Other assets | 96,699 |  |  |  |  | 3,122 |  |  | 9,396 |  |  | 109,217 |
Total assets | $ | 1,721,402 |  |  |  |  | $ | 832,275 |  |  | $ | 1,705,146 |  |  | $ | 4,258,823 |
Collateralized debt obligations ($1,390,991 at amortized cost, net and $638,513 at fair value) | $ | 1,390,991 |  |  |  |  | $ | 638,513 |  |  | $ | — |  |  | $ | 2,029,504 |
Mortgages payable on real estate, net in Consolidated VIEs (3) | — |  |  |  |  | — |  |  | 397,316 |  |  | 397,316 |
Liabilities of disposal group held for sale (2) | — |  |  |  |  | — |  |  | 896,983 |  |  | 896,983 |
Other liabilities | 6,624 |  |  |  |  | 3,883 |  |  | 6,149 |  |  | 16,656 |
Total liabilities | $ | 1,397,615 |  |  |  |  | $ | 642,396 |  |  | $ | 1,300,448 |  |  | $ | 3,340,459 |
Redeemable non-controlling interest in Consolidated VIEs (4) | $ | — |  |  |  |  | $ | — |  |  | $ | 54,352 |  |  | $ | 54,352 |
Non-controlling interest in Consolidated VIEs (5) | $ | — |  |  |  |  | $ | — |  |  | $ | 31,309 |  |  | $ | 31,309 |
Net investment (6) | $ | 323,787 |  |  |  |  | $ | 189,879 |  |  | $ | 319,037 |  |  | $ | 832,703 |
(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 the carrying value of 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, 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 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 the carrying value of 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 March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
|  |  | March 31, 2023 |  | December 31, 2022
| Fair Value Hierarchy Level |  | Carrying Value |  | Estimated Fair Value |  | Carrying Value |  | Estimated Fair Value
Financial Assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | Level 1 |  | $ | 227,753 |  |  | $ | 227,753 |  |  | $ | 244,718 |  |  | $ | 244,718 |
Residential loans | Level 3 |  | 3,374,856 |  |  | 3,374,856 |  |  | 3,525,080 |  |  | 3,525,080 |
Multi-family loans | Level 3 |  | 95,309 |  |  | 95,309 |  |  | 87,534 |  |  | 87,534 |
Investment securities available for sale | Level 2 |  | 202,571 |  |  | 202,571 |  |  | 99,559 |  |  | 99,559 |
Equity investments | Level 3 |  | 191,148 |  |  | 191,148 |  |  | 179,746 |  |  | 179,746 |
Equity investments in disposal group held for sale | Level 3 |  | 10,070 |  |  | 10,070 |  |  | 9,010 |  |  | 9,010 |
Derivative assets | Level 2 |  | 3,122 |  |  | 3,122 |  |  | 2,473 |  |  | 2,473 |
Derivative assets in disposal group held for sale | Level 2 |  | 22,800 |  |  | 22,800 |  |  | 29,418 |  |  | 29,418 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 787,902 |  |  | 787,902 |  |  | 737,023 |  |  | 737,023 |
Collateralized debt obligations: |  |  |  |  |  |  |  |  |
Residential loan securitizations at amortized cost, net | Level 3 |  | 1,390,991 |  |  | 1,321,342 |  |  | 1,468,222 |  |  | 1,383,715 |
Consolidated SLST | Level 3 |  | 638,513 |  |  | 638,513 |  |  | 634,495 |  |  | 634,495 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 33,500 |  |  | 45,000 |  |  | 32,721 |
Senior unsecured notes | Level 2 |  | 97,561 |  |  | 91,732 |  |  | 97,384 |  |  | 91,104 |
Mortgages payable on real estate | Level 3 |  | 397,316 |  |  | 374,605 |  |  | 394,707 |  |  | 377,327 |
Mortgages payable on real estate in disposal group held for sale | Level 3 |  | 878,060 |  |  | 877,360 |  |  | 865,414 |  |  | 864,758 |
Schedule of Statement of Operations of Variable Interest Entities | Multi-family loans consist of the following as of March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
| March 31, 2023 |  | December 31, 2022
Investment amount | $ | 95,640 |  |  | $ | 88,249 |
Deferred loan fees, net | (497) |  |  | (428) |
Unrealized gains (losses), net | 166 |  |  | (287) |
Total, at Fair Value | $ | 95,309 |  |  | $ | 87,534 |
The following table presents condensed statements of operations for non-Company-sponsored VIEs for the three months ended March 31, 2023 and 2022, 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 March 31,
|  | 2023 |  | 2022
|  | Consolidated SLST |  | Consolidated Real Estate |  | Total |  | Consolidated SLST |  | Consolidated Real Estate |  | Total
Interest income |  | $ | 8,733 |  |  | $ | — |  |  | $ | 8,733 |  |  | $ | 9,380 |  |  | $ | — |  |  | $ | 9,380 |
Interest expense |  | 6,315 |  |  | — |  |  | 6,315 |  |  | 5,978 |  |  | — |  |  | 5,978 |
Total net interest income |  | 2,418 |  |  | — |  |  | 2,418 |  |  | 3,402 |  |  | — |  |  | 3,402 |
Unrealized gains (losses), net |  | 2,299 |  |  | (1,298) |  |  | 1,001 |  |  | (15,279) |  |  | — |  |  | (15,279) |
Income from real estate |  | — |  |  | 39,075 |  |  | 39,075 |  |  | — |  |  | 23,637 |  |  | 23,637 |
Other losses |  | — |  |  | (10,259) |  |  | (10,259) |  |  | — |  |  | — |  |  | — |
Total non-interest income (loss) |  | 2,299 |  |  | 27,518 |  |  | 29,817 |  |  | (15,279) |  |  | 23,637 |  |  | 8,358 |
Expenses related to real estate |  | — |  |  | 48,062 |  |  | 48,062 |  |  | — |  |  | 53,281 |  |  | 53,281 |
Net income (loss) |  | 4,717 |  |  | (20,544) |  |  | (15,827) |  |  | (11,877) |  |  | (29,644) |  |  | (41,521) |
Net loss attributable to non-controlling interest in Consolidated VIEs |  | — |  |  | 6,701 |  |  | 6,701 |  |  | — |  |  | 14,869 |  |  | 14,869 |
Net income (loss) attributable to Company |  | $ | 4,717 |  |  | $ | (13,843) |  |  | $ | (9,126) |  |  | $ | (11,877) |  |  | $ | (14,775) |  |  | $ | (26,652) |
Schedule of Redeemable Noncontrolling Interest in Consolidated VIEs | The following table presents activity in redeemable non-controlling interest in Consolidated VIEs for the three months ended March 31, 2023 and 2022, respectively (dollar amounts in thousands):
| Three Months Ended March 31,
| 2023 |  | 2022
Beginning balance | $ | 63,803 |  |  | $ | 66,392 |
Contributions | — |  |  | 274 |
Distributions | (3,950) |  |  | (677) |
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs | (5,501) |  |  | (12,628) |
Ending balance | $ | 54,352 |  |  | $ | 53,361 |
Schedule of Classification and Carrying Value of Unconsolidated VIEs | The following tables present the classification and carrying value of unconsolidated VIEs as of March 31, 2023 and December 31, 2022, respectively (dollar amounts in thousands):
| March 31, 2023
| Multi-family loans |  | Investment securities available for sale, at fair value |  | Equity investments |  | Assets of disposal group held for sale |  | Total
ABS | $ | — |  |  | $ | 492 |  |  | $ | — |  |  | $ | — |  |  | $ | 492 |
Non-Agency RMBS | — |  |  | 28,125 |  |  | — |  |  | — |  |  | 28,125 |
Preferred equity investments in multi-family properties | 95,309 |  |  | — |  |  | 166,148 |  |  | — |  |  | 261,457 |
Joint venture equity investments in multi-family properties | — |  |  | — |  |  | — |  |  | 10,070 |  |  | 10,070 |
Maximum exposure | $ | 95,309 |  |  | $ | 28,617 |  |  | $ | 166,148 |  |  | $ | 10,070 |  |  | $ | 300,144 |
| 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 | — |  |  | — |  |  | — |  |  | 9,010 |  |  | 9,010 |
Maximum exposure | $ | 87,534 |  |  | $ | 30,146 |  |  | $ | 152,246 |  |  | $ | 9,010 |  |  | $ | 278,936 |

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- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI https://asc.fasb.org/extlink&oid=123419778&loc=SL6759159-111685 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI https://asc.fasb.org/extlink&oid=123419778&loc=d3e5747-111685 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI https://asc.fasb.org/extlink&oid=123419778&loc=SL6228884-111685 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=123419778&loc=d3e5710-111685 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI https://asc.fasb.org/extlink&oid=123419778&loc=d3e5728-111685 + Details
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