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

3 Months Ended

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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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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