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

6 Months Ended

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

												Three Months Ended June 30, 2022												Six Months Ended June 30, 2022
Cash (1)												$	1,474											$	8,576
Operating real estate (1) (2)												202,220												730,988
Lease intangibles (1) (3)												14,431												41,892
Other assets (1)												2,706												8,836
Total assets												220,831												790,292
Mortgages payable on real estate, net (1)												156,494												566,250
Other liabilities (1)												1,482												4,662
Total liabilities												157,976												570,912
Non-controlling interests (4)												5,805												16,293
Net assets consolidated												$	57,050											$	203,087

(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 June 30, 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			$	—											$	—					$	9,430					$	9,430
Residential loans, at fair value			1,589,579												789,969						—						2,379,548
Real estate, net held in Consolidated VIEs (1)			—												—						543,833						543,833
Assets of disposal group held for sale (2)			—												—						957,904						957,904
Other assets			98,486												3,071						13,470						115,027
Total assets			$	1,688,065											$	793,040					$	1,524,637					$	4,005,742
Collateralized debt obligations ($1,369,632 at amortized cost, net and $617,168 at fair value)			$	1,369,632											$	617,168					$	—					$	1,986,800
Mortgages payable on real estate, net in Consolidated VIEs (3)			—												—						397,075						397,075
Liabilities of disposal group held for sale (2)			—												—						755,840						755,840
Other liabilities			8,417												4,525						10,479						23,421
Total liabilities			$	1,378,049											$	621,693					$	1,163,394					$	3,163,136
Redeemable non-controlling interest in Consolidated VIEs (4)			$	—											$	—					$	34,571					$	34,571
Non-controlling interest in Consolidated VIEs (5)			$	—											$	—					$	28,280					$	28,280
Net investment (6)			$	310,016											$	171,347					$	298,392					$	779,755

(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 June 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):

									June 30, 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						$	232,497					$	232,497					$	244,718					$	244,718
Residential loans			Level 3						3,136,812						3,136,812						3,525,080						3,525,080
Multi-family loans			Level 3						97,422						97,422						87,534						87,534
Investment securities available for sale			Level 2						734,272						734,272						99,559						99,559
Equity investments			Level 3						168,755						168,755						179,746						179,746
Equity investments in disposal group held for sale			Level 3						7,695						7,695						9,010						9,010
Derivative assets			Level 2						2,610						2,610						2,473						2,473
Derivative assets in disposal group held for sale			Level 2						20,779						20,779						29,418						29,418
Financial Liabilities:
Repurchase agreements			Level 2						1,145,108						1,145,108						737,023						737,023
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						1,369,632						1,294,577						1,468,222						1,383,715
Consolidated SLST			Level 3						617,168						617,168						634,495						634,495
Subordinated debentures			Level 3						45,000						35,829						45,000						32,721
Senior unsecured notes			Level 2						97,742						91,839						97,384						91,104
Mortgages payable on real estate			Level 3						397,075						373,616						394,707						377,327
Mortgages payable on real estate in disposal group held for sale			Level 3						734,997						733,983						865,414						864,758

Schedule of Statement of Operations of Variable Interest Entities

Multi-family loans consist of the following as of June 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):

			June 30, 2023						December 31, 2022
Investment amount			$	97,228					$	88,249
Deferred loan fees, net			(485)						(428)
Unrealized gains (losses), net			679						(287)
Total, at Fair Value			$	97,422					$	87,534

The following table presents condensed statements of operations for non-Company-sponsored VIEs for the three months ended June 30, 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 June 30,
						2023																		2022
						Consolidated SLST						Consolidated Real Estate						Total						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	8,440					$	—					$	8,440					$	9,254					$	—					$	9,254
Interest expense						5,966						—						5,966						6,208						—						6,208
Total net interest income						2,474						—						2,474						3,046						—						3,046
Realized gains, net						—						4,820						4,820						—						—						—
Unrealized (losses) gains, net						(12,328)						1,736						(10,592)						(4,275)						—						(4,275)
Income from real estate						—						41,885						41,885						—						34,409						34,409
Other losses						—						(16,839)						(16,839)						—						—						—
Total non-interest (loss) income						(12,328)						31,602						19,274						(4,275)						34,409						30,134
Expenses related to real estate						—						49,881						49,881						—						81,485						81,485
Net loss						(9,854)						(18,279)						(28,133)						(1,229)						(47,076)						(48,305)
Net loss attributable to non-controlling interest in Consolidated VIEs						—						3,892						3,892						—						18,922						18,922
Net loss attributable to Company						$	(9,854)					$	(14,387)					$	(24,241)					$	(1,229)					$	(28,154)					$	(29,383)

The following table presents condensed statements of operations for non-Company-sponsored VIEs for the six months ended June 30, 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.

						Six Months Ended June 30,
						2023																		2022
						Consolidated SLST						Consolidated Real Estate						Total						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	17,173					$	—					$	17,173					$	18,635					$	—					$	18,635
Interest expense						12,280						—						12,280						12,186						—						12,186
Total net interest income						4,893						—						4,893						6,449						—						6,449
Realized gains, net						—						4,820						4,820						—						—						—
Unrealized (losses) gains, net						(10,029)						438						(9,591)						(19,555)						—						(19,555)
Income from real estate						—						80,960						80,960						—						58,047						58,047
Other losses						—						(27,098)						(27,098)						—						—						—
Total non-interest (loss) income						(10,029)						59,120						49,091						(19,555)						58,047						38,492
Expenses related to real estate						—						97,943						97,943						—						134,766						134,766
Net loss						(5,136)						(38,823)						(43,959)						(13,106)						(76,719)						(89,825)
Net loss attributable to non-controlling interest in Consolidated VIEs						—						10,593						10,593						—						33,792						33,792
Net loss attributable to Company						$	(5,136)					$	(28,230)					$	(33,366)					$	(13,106)					$	(42,927)					$	(56,033)

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, 2023 and 2022, respectively (dollar amounts in thousands):

			Three Months Ended June 30,												Six Months Ended June 30,
			2023						2022						2023						2022
Beginning balance			$	54,352					$	53,361					$	63,803					$	66,392
Contributions			—						41						—						315
Distributions			—						(1,133)						(3,950)						(1,810)
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs			(3,184)						(15,168)						(8,685)						(27,796)
Adjustment of redeemable non-controlling interest to estimated redemption value (1)			(16,597)						—						(16,597)						—
Ending balance			$	34,571					$	37,101					$	34,571					$	37,101

(1)The Company determines the fair value of the redeemable non-controlling interest 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 5.6% (ranges from 5.3% to 6.5%) and a weighted average discount rate of 14.7% (ranges from 13.6% to 15.6%).

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, 2023 and December 31, 2022, respectively (dollar amounts in thousands):

			June 30, 2023
			Multi-family loans						Investment securities available for sale, at fair value						Equity investments						Assets of disposal group held for sale						Total
Non-Agency RMBS			$	—					$	27,163					$	—					$	—					$	27,163
Preferred equity investments in multi-family properties			97,422						—						143,755						—						241,177
Joint venture equity investments in multi-family properties			—						—						—						7,695						7,695
Maximum exposure			$	97,422					$	27,163					$	143,755					$	7,695					$	276,035

			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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