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

9 Months Ended

Sep. 30, 2024

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of Variable Interest Entities

Multi-family loans consist of the following as of September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

			September 30, 2024						December 31, 2023
Investment amount			$	91,778					$	95,434
Unrealized (losses) gains, net			(4,164)						358
Total, at Fair Value			$	87,614					$	95,792

During the nine months ended September 30, 2024, the Company invested in subordinated securities issued by a Freddie Mac-sponsored residential loan securitization, resulting in the initial consolidation of the VIE as shown below (dollar amounts in thousands):

Residential loans, at fair value						$	285,057
Collateralized debt obligations, at fair value						(275,200)
Net investment						$	9,857

The following tables present condensed statements of operations for non-Company-sponsored VIEs for the three and nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands). The following tables include 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,
						2024																		2023
						Consolidated SLST						Consolidated Real Estate						Total						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	11,002					$	—					$	11,002					$	8,370					$	—					$	8,370
Interest expense						7,375						—						7,375						5,957						—						5,957
Total net interest income						3,627						—						3,627						2,413						—						2,413
Income from real estate						—						29,096						29,096						—						39,287						39,287
Expenses related to real estate						—						36,024						36,024						—						47,367						47,367
Total net loss from real estate						—						(6,928)						(6,928)						—						(8,080)						(8,080)
Unrealized gains (losses), net						6,753						—						6,753						(9,325)						—						(9,325)
(Losses) gains on derivative instruments, net						—						(179)						(179)						—						315						315
Impairment of real estate						—						(8,402)						(8,402)						—						(44,157)						(44,157)
Other income (loss)						—						16,266						16,266						—						(103)						(103)
Total other income (loss)						6,753						7,685						14,438						(9,325)						(43,945)						(53,270)
Net income (loss)						10,380						757						11,137						(6,912)						(52,025)						(58,937)
Net loss attributable to non-controlling interest in Consolidated VIEs						—						2,383						2,383						—						9,364						9,364
Net income (loss) attributable to Company						$	10,380					$	3,140					$	13,520					$	(6,912)					$	(42,661)					$	(49,573)

						Nine Months Ended September 30,
						2024																		2023
						Consolidated SLST						Consolidated Real Estate						Total						Consolidated SLST						Consolidated Real Estate						Total
Interest income						$	28,284					$	—					$	28,284					$	25,543					$	—					$	25,543
Interest expense						19,928						—						19,928						18,238						—						18,238
Total net interest income						8,356						—						8,356						7,305						—						7,305
Income from real estate						—						97,725						97,725						—						120,247						120,247
Expenses related to real estate						—						134,667						134,667						—						145,310						145,310
Total net loss from real estate						—						(36,942)						(36,942)						—						(25,063)						(25,063)
Unrealized gains (losses), net						7,259						—						7,259						(19,354)						—						(19,354)
Gains on derivative instruments, net						—						2,668						2,668						—						5,572						5,572
Impairment of real estate						—						(44,173)						(44,173)						—						(71,296)						(71,296)
Loss on reclassification of disposal group						—						(14,636)						(14,636)						—						—						—
Other income (loss)						—						16,272						16,272						—						(61)						(61)
Total other income (loss)						7,259						(39,869)						(32,610)						(19,354)						(65,785)						(85,139)
Net income (loss)						15,615						(76,811)						(61,196)						(12,049)						(90,848)						(102,897)
Net loss attributable to non-controlling interest in Consolidated VIEs						—						33,034						33,034						—						19,957						19,957
Net income (loss) attributable to Company						$	15,615					$	(43,777)					$	(28,162)					$	(12,049)					$	(70,891)					$	(82,940)

Schedule of Assets and Liabilities of Consolidated VIE's

The following table presents a summary of the assets, liabilities and non-controlling interests of the Company's securitizations, Consolidated SLST and Consolidated Real Estate VIEs as of September 30, 2024 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

									Other VIEs
			Financing VIEs												Consolidated SLST						Consolidated Real Estate						Total
Cash and cash equivalents			$	—											$	—					$	6,194					$	6,194
Residential loans, at fair value			2,067,706												1,008,583						—						3,076,289
Real estate, net held in Consolidated VIEs (1)			—												—						610,967						610,967
Assets of disposal group held for sale (2)			—												—						197,665						197,665
Other assets			134,057												4,253						21,981						160,291
Total assets			$	2,201,763											$	1,012,836					$	836,807					$	4,051,406
Collateralized debt obligations ($902,038 at amortized cost, net and $1,900,228 at fair value)			$	1,956,455											$	845,811					$	—					$	2,802,266
Mortgages payable on real estate, net in Consolidated VIEs (3)			—												—						492,321						492,321
Liabilities of disposal group held for sale (2)			—												—						177,869						177,869
Other liabilities			21,748												8,177						14,917						44,842
Total liabilities			$	1,978,203											$	853,988					$	685,107					$	3,517,298
Redeemable non-controlling interest in Consolidated VIEs (4)			$	—											$	—					$	21,826					$	21,826
Non-controlling interest in Consolidated VIEs (5)			$	—											$	—					$	5,864					$	5,864
Net investment (6)			$	223,560											$	158,848					$	124,010					$	506,418

(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 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.

									Other VIEs
			Financing VIEs						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

(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 September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

									September 30, 2024												December 31, 2023
			Fair Value Hierarchy Level						Carrying Value						Estimated Fair Value						Carrying Value						Estimated Fair Value
Financial Assets:
Cash and cash equivalents			Level 1						$	195,066					$	195,066					$	187,107					$	187,107
Residential loans			Level 3						3,777,144						3,777,144						3,084,303						3,084,303
Investment securities available for sale			Level 2						3,385,270						3,385,270						2,013,817						2,013,817
Multi-family loans			Level 3						87,614						87,614						95,792						95,792
Equity investments			Level 3						146,833						146,833						147,116						147,116
Derivative assets			Level 2						1,481						1,481						6,510						6,510
Derivative assets in disposal group held for sale			Level 2						308						308						2,960						2,960
Financial Liabilities:
Repurchase agreements			Level 2						3,611,115						3,611,115						2,471,113						2,471,113
Collateralized debt obligations:
Residential loan securitizations at amortized cost, net			Level 3						902,038						885,478						1,276,780						1,237,531
Residential loan securitizations at fair value			Level 2						981,779						981,779						—						—
Consolidated SLST			Level 3						845,811						845,811						593,737						593,737
Non-Agency RMBS re-securitization			Level 2						72,638						72,638						—						—
Subordinated debentures			Level 3						45,000						39,198						45,000						32,137
Senior unsecured notes:
Senior unsecured notes at amortized cost, net			Level 2						98,687						99,088						98,111						94,952
Senior unsecured notes at fair value			Level 2						60,900						60,900						—						—
Mortgages payable on real estate			Level 3						492,321						482,215						784,421						761,194
Mortgages payable on real estate in disposal group held for sale			Level 3						170,318						170,318						378,386						377,735

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 nine months ended September 30, 2024 and 2023, respectively (dollar amounts in thousands):

			Three Months Ended September 30,												Nine Months Ended September 30,
			2024						2023						2024						2023
Beginning balance			$	23,088					$	34,571					$	28,061					$	63,803
Contributions			7						—						46						—
Distributions			(4,934)						(41)						(4,959)						(3,991)
Net loss attributable to redeemable non-controlling interest in Consolidated VIEs			(565)						(2,907)						(19,543)						(11,592)
Adjustment of redeemable non-controlling interest to estimated redemption value (1)			4,230						(10,597)						18,221						(27,194)
Ending balance			$	21,826					$	21,026					$	21,826					$	21,026

(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 September 30, 2024 include a weighted average capitalization rate of 5.8% (ranges from 5.3% to 6.5%) and a weighted average discount rate of 14.8% (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 September 30, 2024 and December 31, 2023, respectively (dollar amounts in thousands):

			September 30, 2024
			Multi-family loans						Investment securities available for sale, at fair value						Equity investments						Other assets						Total
Non-Agency RMBS			$	—					$	23,146					$	—					$	—					$	23,146
Preferred equity investments in multi-family properties			87,614						—						99,143						—						186,757
Joint venture equity investments in multi-family properties			—						—						1,235						—						1,235
Other investments			—						—						—						2,000						2,000
Maximum exposure			$	87,614					$	23,146					$	100,378					$	2,000					$	213,138

			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

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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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