The Company uses SPEs to facilitate transactions that involve securitizing financial assets or re-securitizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

The Company has entered into financing transactions, including residential loan securitizations and re-securitizations, which required the Company to analyze and determine whether the SPEs that were created to facilitate the transactions are VIEs in accordance with ASC 810 and if so, whether the Company is the primary beneficiary requiring consolidation.

During the three months ended March 31, 2024, the Company completed two securitizations of certain residential loans for which the Company received net proceeds of approximately $497.0 million after deducting expenses associated with the securitization transactions. The Company engaged in these transactions for the purpose of obtaining non-recourse, longer-term financing on a portion of its residential loan portfolio. The residential loans serving as collateral for the financings are comprised of performing, re-performing and non-performing loans which are included in residential loans, at fair value on the accompanying condensed consolidated balance sheets.

During the three months ended March 31, 2024, the Company exercised its right to an optional redemption of one of its residential loan securitizations with an outstanding principal balance of $147.6 million at the time of redemption, returned the assets held by the trust to the Company and recognized $0.7 million of loss on the extinguishment of collateralized debt obligations.

As of March 31, 2024 and December 31, 2023, the Company evaluated its residential loan securitizations and concluded that the entities created to facilitate each of the financing transactions are VIEs and that the Company is the primary beneficiary of these VIEs (each a “Financing VIE” and collectively, the “Financing VIEs”). Accordingly, the Company consolidated the then-outstanding Financing VIEs as of March 31, 2024 and December 31, 2023.

The Company invests in subordinated securities that represent the first loss position of the Freddie Mac-sponsored residential loan securitization from which they were issued and certain IOs issued from the securitization. The Company has evaluated its investments in this securitization trust to determine whether it is a VIE and if so, whether the Company is the primary beneficiary requiring consolidation. The Company has determined that the Freddie Mac-sponsored residential loan securitization trust, which we refer to as Consolidated SLST, is a VIE as of March 31, 2024 and December 31, 2023, and that the Company is the primary beneficiary of the VIE within Consolidated SLST. Accordingly, the Company has consolidated the assets, liabilities, income and expenses of such VIE in the accompanying condensed consolidated financial statements (see Notes 2, 3 and 13). The Company has elected the fair value option on the assets and liabilities held within Consolidated SLST, which requires that changes in valuations in the assets and liabilities of Consolidated SLST be reflected in the Company’s condensed consolidated statements of operations.

As of March 31, 2024 and December 31, 2023, the Consolidated SLST securities owned by the Company had a fair value of $151.2 million and $157.2 million, respectively (see Note 16). The Company’s investments in Consolidated SLST securities were not included as collateral to any Financing VIE as of March 31, 2024 and December 31, 2023.

The Company owns joint venture equity investments in entities that own multi-family apartment communities, which the Company determined to be VIEs and for which the Company is the primary beneficiary. Accordingly, the Company consolidates the assets, liabilities, income and expenses of these VIEs in the accompanying condensed consolidated financial statements with non-controlling interests or redeemable non-controlling interests for the third-party ownership of the joint ventures' membership interests.

During the year ended December 31, 2023, the Company reconsidered its evaluation of its variable interest in a VIE that owned a multi-family apartment community and in which the Company held a preferred equity investment. The Company determined that it gained the power to direct the activities, and became primary beneficiary, of the VIE and consolidated this VIE into its condensed consolidated financial statements.

The Company accounted for the initial consolidation of the Consolidated Real Estate VIEs in accordance with asset acquisition provisions of ASC 805, as substantially all of the fair value of the assets within the entities are concentrated in either a single identifiable asset or group of similar identifiable assets.

In analyzing whether the Company is the primary beneficiary of the Financing VIEs, Consolidated SLST and Consolidated Real Estate VIEs, the Company considered its involvement in each of the VIEs, including the design and purpose of each VIE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIEs. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed:

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, 2024 (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	$	—		$	—	$	14,325	$	14,325
Residential loans, at fair value	1,724,250			738,126		—		2,462,376
Real estate, net held in Consolidated VIEs (1)	—			—		1,005,161		1,005,161
Assets of disposal group held for sale (2)	—			—		146,363		146,363
Other assets	166,374			2,905		31,679		200,958
Total assets	$	1,890,624		$	741,031	$	1,197,528	$	3,829,183

Collateralized debt obligations ($1,108,594 at amortized cost, net and $1,079,768 at fair value)	$	1,605,735		$	582,627	$	—	$	2,188,362
Mortgages payable on real estate, net in Consolidated VIEs (3)	—			—		850,743		850,743
Liabilities of disposal group held for sale (2)	—			—		122,318		122,318
Other liabilities	9,909			5,897		15,163		30,969
Total liabilities	$	1,615,644		$	588,524	$	988,224	$	3,192,392
Redeemable non-controlling interest in Consolidated VIEs (4)	$	—		$	—	$	20,128	$	20,128
Non-controlling interest in Consolidated VIEs (5)	$	—		$	—	$	13,825	$	13,825
Net investment (6)	$	274,980		$	152,507	$	175,351	$	602,838

(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, 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	$	—	$	—	$	15,612	$	15,612
Residential loans, at fair value	1,501,908		754,860		—		2,256,768
Real estate, net held in Consolidated VIEs (1)	—		—		979,934		979,934
Assets of disposal group held for sale (2)	—		—		426,017		426,017
Other assets	98,451		2,960		37,035		138,446
Total assets	$	1,600,359	$	757,820	$	1,458,598	$	3,816,777

Collateralized debt obligations ($1,276,780 at amortized cost, net and $593,737 at fair value)	$	1,276,780	$	593,737	$	—	$	1,870,517
Mortgages payable on real estate, net in Consolidated VIEs (3)	—		—		784,421		784,421
Liabilities of disposal group held for sale (2)	—		—		386,024		386,024
Other liabilities	8,421		5,638		21,797		35,856
Total liabilities	$	1,285,201	$	599,375	$	1,192,242	$	3,076,818
Redeemable non-controlling interest in Consolidated VIEs (4)	$	—	$	—	$	28,061	$	28,061
Non-controlling interest in Consolidated VIEs (5)	$	—	$	—	$	20,328	$	20,328
Net investment (6)	$	315,158	$	158,445	$	217,967	$	691,570

The following table presents condensed statements of operations for non-Company-sponsored VIEs for the three months ended March 31, 2024 and 2023, 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,
	2024						2023
	Consolidated SLST		Consolidated Real Estate		Total		Consolidated SLST		Consolidated Real Estate		Total
Interest income	$	8,127	$	—	$	8,127	$	8,733	$	—	$	8,733
Interest expense	5,801		—		5,801		6,315		—		6,315
Total net interest income	2,326		—		2,326		2,418		—		2,418

Income from real estate	—		35,093		35,093		—		39,075		39,075
Expenses related to real estate	—		51,761		51,761		—		48,062		48,062
Total net loss from real estate	—		(16,668)		(16,668)		—		(8,987)		(8,987)


Unrealized (losses) gains, net	(36)		—		(36)		2,299		—		2,299
Gains (losses) on derivative instruments, net	—		2,518		2,518		—		(1,298)		(1,298)
Impairment of real estate	—		(32,214)		(32,214)		—		(10,275)		(10,275)
Loss on reclassification of disposal group	—		(14,636)		(14,636)		—		—		—
Other income	—		3		3		—		16		16
Total other (loss) income	(36)		(44,329)		(44,365)		2,299		(11,557)		(9,258)



Net income (loss)	2,290		(60,997)		(58,707)		4,717		(20,544)		(15,827)
Net loss attributable to non-controlling interest in Consolidated VIEs	—		22,158		22,158		—		6,701		6,701
Net income (loss) attributable to Company	$	2,290	$	(38,839)	$	(36,549)	$	4,717	$	(13,843)	$	(9,126)

The third-party owners of certain of the non-controlling interests in Consolidated VIEs have the ability to sell their ownership interests to the Company, at their election. The Company has classified these third-party ownership interests as redeemable non-controlling interests in Consolidated VIEs in mezzanine equity on the accompanying condensed consolidated balance sheets. The holders of the redeemable non-controlling interests may elect to sell their ownership interests to the Company at fair value once a year and the sales are subject to annual minimum and maximum amount limitations.


	Three Months Ended March 31,
	2024		2023
Beginning balance	$	28,061	$	63,803
Contributions	39		—
Distributions	—		(3,950)
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs	(14,400)		(5,501)
Adjustment of redeemable non-controlling interest to estimated redemption value (1)	6,428		—
Ending balance	$	20,128	$	54,352

(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 allocatable 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 as of March 31, 2024 include a weighted average capitalization rate of 5.8% (ranges from 5.3% to 6.8%) and a weighted average discount rate of 14.9% (ranges from 13.9% to 15.6%).

As of March 31, 2024 and December 31, 2023, the Company evaluated its investment securities available for sale, preferred equity and other equity investments to determine whether they are VIEs and should be consolidated by the Company. Based on a number of factors, the Company determined that, as of March 31, 2024 and December 31, 2023, it does not have a controlling financial interest and is not the primary beneficiary of these VIEs. The following tables present the classification and carrying value of unconsolidated VIEs as of March 31, 2024 and December 31, 2023, respectively (dollar amounts in thousands):


	March 31, 2024
	Multi-family loans		Investment securities available for sale, at fair value		Equity investments		Total

Non-Agency RMBS	$	—	$	23,855	$	—	$	23,855
Preferred equity investments in multi-family properties	91,905		—		100,808		192,713
Joint venture equity investments in multi-family properties	—		—		1,670		1,670
Maximum exposure	$	91,905	$	23,855	$	102,478	$	218,238


	December 31, 2023
	Multi-family loans		Investment securities available for sale, at fair value		Equity investments		Total
Non-Agency RMBS	$	—	$	24,462	$	—	$	24,462
Preferred equity investments in multi-family properties	95,792		—		104,242		200,034
Joint venture equity investments in multi-family properties	—		—		5,720		5,720
Maximum exposure	$	95,792	$	24,462	$	109,962	$	230,216