GARDEN CITY, NY—It's the kind of scenario managing members and/or CFOs of investment entities may dread: Just when you thought you'd highlighted a solid investment opportunity for investors, the calls start coming in—and they're not sounding good.

You're in the business of buying loans (potentially in distress) from banks that want them off their balance sheet, and for a time, you've successfully identified loans that could yield a favorable return on investment; any payments from the original borrower, north of your entity's loan purchase, have been a win.

Somewhere along the way, though, you've gone from holding an intangible, which lacked the physical nexus in a state, to actually owning the property: It's no longer simply about gains and income. Instead, your entity and partners are now being taxed by certain states for trade, business, and/or rental income.