VARIABLE INTEREST ENTITIES (Tables)

12 Months Ended

Dec. 31, 2017

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition

The statements of financial condition of the Company’s VIEs that are reflected in the Company’s Consolidated Statements of Financial Condition at December 31, 2017 and 2016 are as follows:



	December 31, 2017
	FREMF Trusts		Residential Mortgage Loan Trusts		MSR Silo
	(dollars in thousands)
Assets
Cash and cash equivalents	$	—	$	—	$	42,293
Commercial real estate debt investments	2,826,357		—		—
Residential mortgages loans	—		478,811		19,667
Mortgage servicing rights	—		—		580,860
Accrued interest receivable	10,339		1,599		—
Other derivatives, at fair value	—		—		1
Other assets	—		1,418		32,354
Total assets	$	2,836,696	$	481,828	$	675,175
Liabilities
Securitized debt (non-recourse) at fair value	$	2,620,952	$	350,819	$	—
Other secured financing	—		—		10,496
Accrued interest payable	4,554		931		—
Accounts payable and other liabilities	—		112		4,856
Total liabilities	$	2,625,506	$	351,862	$	15,352



	December 31, 2016
	FREMF Trusts		Residential Mortgage Loan Trust		MSR Silos
	(dollars in thousands)
Assets
Cash and cash equivalents	$	—	$	—	$	23,198
Commercial real estate debt investments	3,890,807		—		—
Residential mortgage loans	—		165,869		8,309
Mortgage servicing rights	—		—		652,216
Accrued interest receivable	8,690		836		—
Other derivatives, at fair value	—		—		9
Other assets	138		—		35,540
Total assets	$	3,899,635	$	166,705	$	719,272
Liabilities
Securitized debt (non-recourse) at fair value	$	3,609,164	$	46,638	$	—
Other secured financing	—		—		3,825
Other derivatives, at fair value	—		—		9
Accrued interest payable	4,350		107		—
Accounts payable and other liabilities	—		662		14,007
Total liabilities	$	3,613,514	$	47,407	$	17,841

Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss)

The statement of comprehensive income (loss) of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at December 31, 2017 is as follows:



	For the Year Ended December 31, 2017
	FREMF Trusts			Residential Mortgage Loan Trusts			MSR Silo
	(dollars in thousands)
Net interest income:
Interest income	$	110,712		$	5,436		$	1,500
Interest expense	58,583			1,723			374
Net interest income	52,129			3,713			1,126
Realized gain (loss) on disposal of investments	—			(831		)	(2,044		)
Net gains (losses) on trading assets	—			—			14
Unrealized gain (loss) on investments at fair value ⁽¹⁾	4,273			7,865			(71,613		)
Other income (loss)	(24,541		)	(361		)	129,325
General and administration expenses	1			97			2,567
Net income (loss)	$	31,860		$	10,289		$	54,241

(1) Included in Net unrealized gains (losses) on investments measured at fair value through earnings.

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2017 and 2016 for the residential mortgage loans, including loans held in securitization trusts:



Geographic Concentrations of Residential Mortgage Loans
December 31, 2017		December 31, 2016
Property Location	% of Balance	Property Location	% of Balance
California	49.8%	California	46.3%
Florida	9.3%	Texas	9.6%
New York	7.1%	Illinois	5.7%
All other (none individually greater than 5%)	33.8%	Florida	5.2%
		Washington	5.1%
		All other (none individually greater than 5%)	28.1%
Total	100.0%		100.0%

The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs at December 31, 2017 are as follows:

Securitized Loans at Fair Value Geographic Concentration of Credit Risk



FREMF Trusts					Residential Mortgage Loan Trusts
Property Location	Principal Balance		% of Balance		Property Location	Principal Balance		% of Balance
(dollars in thousands)
Maryland	$	494,885	17.9	%	California	$	191,804	40.3	%
Texas	362,898		13.1	%	Florida	36,159		7.6	%
Virginia	329,250		11.9	%	Illinois	24,446		5.1	%
New York	280,925		10.1	%	Virginia	24,437		5.1	%
North Carolina	242,707		8.8	%	Other ⁽¹⁾	199,516		41.9	%
Pennsylvania	225,810		8.1	%
Massachusetts	179,440		6.5	%
Ohio	168,746		6.1	%
Florida	146,960		5.3	%
Other ⁽¹⁾	339,203		12.2	%
Total	$	2,770,824	100.0	%	Total	$	476,362	100.0	%

(1) No individual state greater than 5%