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Multi-family Loans, at Fair Value (Tables)

9 Months Ended

Sep. 30, 2023

Schedule of Mezzanine Loans and Preferred Equity Investments

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


	September 30, 2023		December 31, 2022
Investment amount	$	98,246	$	88,249
Deferred loan fees, net	(473)		(428)
Unrealized gains (losses), net	662		(287)
Total, at Fair Value	$	98,435	$	87,534

The following table presents condensed statements of operations for non-Company-sponsored VIEs for the three months ended September 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 September 30,
	2023						2022
	Consolidated SLST		Consolidated Real Estate		Total		Consolidated SLST		Consolidated Real Estate		Total
Interest income	$	8,370	$	—	$	8,370	$	9,013	$	—	$	9,013
Interest expense	5,957		—		5,957		6,611		—		6,611
Total net interest income	2,413		—		2,413		2,402		—		2,402

Income from real estate	—		39,287		39,287		—		39,261		39,261
Expenses related to real estate	—		47,367		47,367		—		67,319		67,319
Total net loss from real estate	—		(8,080)		(8,080)		—		(28,058)		(28,058)


Unrealized losses, net	(9,325)		—		(9,325)		(7,925)		—		(7,925)
Gains on derivative instruments, net	—		315		315		—		24,943		24,943
Impairment of real estate	—		(44,157)		(44,157)		—		—		—
Other (losses) income	—		(103)		(103)		—		16,287		16,287
Total other (loss) income	(9,325)		(43,945)		(53,270)		(7,925)		41,230		33,305



Net (loss) income	(6,912)		(52,025)		(58,937)		(5,523)		13,172		7,649
Net loss attributable to non-controlling interest in Consolidated VIEs	—		9,364		9,364		—		2,617		2,617
Net (loss) income attributable to Company	$	(6,912)	$	(42,661)	$	(49,573)	$	(5,523)	$	15,789	$	10,266

The following table presents condensed statements of operations for non-Company-sponsored VIEs for the nine months ended September 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.


	Nine Months Ended September 30,
	2023						2022
	Consolidated SLST		Consolidated Real Estate		Total		Consolidated SLST		Consolidated Real Estate		Total
Interest income	$	25,543	$	—	$	25,543	$	27,648	$	—	$	27,648
Interest expense	18,238		—		18,238		18,796		—		18,796
Total net interest income	7,305		—		7,305		8,852		—		8,852

Income from real estate	—		120,247		120,247		—		97,308		97,308
Expenses related to real estate	—		145,310		145,310		—		202,084		202,084
Total net loss from real estate	—		(25,063)		(25,063)		—		(104,776)		(104,776)


Unrealized losses, net	(19,354)		—		(19,354)		(27,480)		—		(27,480)
Gains on derivative instruments, net	—		5,572		5,572		—		24,943		24,943
Impairment of real estate	—		(71,296)		(71,296)		—		—		—
Other (losses) income	—		(61)		(61)		—		16,287		16,287
Total other (loss) income	(19,354)		(65,785)		(85,139)		(27,480)		41,230		13,750



Net loss	(12,049)		(90,848)		(102,897)		(18,628)		(63,546)		(82,174)
Net loss attributable to non-controlling interest in Consolidated VIEs	—		19,957		19,957		—		36,409		36,409
Net loss attributable to Company	$	(12,049)	$	(70,891)	$	(82,940)	$	(18,628)	$	(27,137)	$	(45,765)

Schedule of Preferred Equity and Mezzanine Loans, Fair Value Compared to Unpaid Principal

The table below presents the fair value and aggregate unpaid principal balance of the Company's multi-family loans in non-accrual status as of September 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


	September 30, 2023				December 31, 2022
Days Late	Fair Value		Unpaid Principal Balance		Fair Value		Unpaid Principal Balance



90 +	$	4,753	$	3,363	$	4,523	$	3,363

Schedule of Geographic Concentration of Credit Risk Exceeding 5% of Balances

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of September 30, 2023 and December 31, 2022, respectively, are as follows:


	September 30, 2023						December 31, 2022
	Residential loans		Consolidated SLST		Residential loans held in securitization trusts		Residential loans		Consolidated SLST		Residential loans held in securitization trusts
California	21.7	%	10.7	%	18.0	%	24.3	%	10.6	%	19.2	%
Florida	14.6	%	10.3	%	11.3	%	13.2	%	10.3	%	10.2	%
New York	7.4	%	9.9	%	8.3	%	8.0	%	9.8	%	8.6	%
Texas	7.4	%	3.9	%	7.2	%	7.0	%	4.0	%	7.3	%
Washington	5.2	%	1.8	%	2.6	%	5.7	%	1.8	%	2.9	%
New Jersey	5.1	%	7.5	%	5.6	%	6.3	%	7.4	%	5.6	%
Illinois	3.2	%	7.2	%	3.4	%	2.6	%	7.2	%	3.2	%

The geographic concentrations of credit risk exceeding 5% of the total multi-family loan investment amounts as of September 30, 2023 and December 31, 2022, respectively, are as follows:


	September 30, 2023		December 31, 2022
Texas	35.1	%	30.1	%
Tennessee	14.6	%	15.6	%
Florida	10.1	%	10.9	%
Arkansas	9.3	%	—
Louisiana	7.1	%	7.5	%
Alabama	6.5	%	7.1	%
North Carolina	5.7	%	6.1	%
Indiana	5.1	%	5.7	%

- 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.

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