VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2018

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, excluding the credit facility VIEs and OBX Trust, that are reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2018 and December 31, 2017 are as follows:



	March 31, 2018
	FREMF Trusts		Residential Mortgage Loan Trusts		MSR Silo
	(dollars in thousands)
Assets
Cash and cash equivalents	$	—	$	—	$	43,206
Commercial real estate debt investments	2,695,513		—		—
Residential mortgage loans	—		229,278		25,206
Mortgage servicing rights	—		—		596,378
Accrued interest receivable	10,762		901		—
Other assets	—		87		35,486
Total assets	$	2,706,275	$	230,266	$	700,276
Liabilities
Securitized debt (non-recourse) at fair value	$	2,497,410	$	128,260	$	—
Other secured financing	—		—		16,557
Other derivatives, at fair value	—		—		8
Accrued interest payable	4,668		316		—
Accounts payable and other liabilities	—		123		2,570
Total liabilities	$	2,502,078	$	128,699	$	19,135

	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 mortgage 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

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

The statements of comprehensive income (loss) of the Company’s VIEs, excluding the credit facility VIEs and OBX Trust, that are reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) for the three months ended March 31, 2018 and 2017 are as follows:



	For the Three Months Ended March 31, 2018
	FREMF Trusts			Residential Mortgage Loan Trusts			MSR Silo
	(dollars in thousands)
Net interest income:
Interest income	$	23,838		$	2,373		$	635
Interest expense	13,834			1,759			192
Net interest income	10,004			614			443
Realized gain (loss) on disposal of investments	—			2,042			(571		)
Net gains (losses) on trading assets	—			—			69
Net unrealized gains (losses) on investments measured at fair value through earnings	292			(816		)	14,615
Other income (loss)	(4,477		)	(77		)	28,716
General and administration expenses	—			14			472
Net income (loss)	$	5,819		$	1,749		$	42,800



	For the Three Months Ended March 31, 2017
	FREMF Trusts			Residential Mortgage Loan Trusts			MSR Silo
	(dollars in thousands)
Net interest income:
Interest income	$	27,719		$	1,369		$	—
Interest expense	14,576			274			65
Net interest income	13,143			1,095			(65		)
Realized gain (loss) on disposal of investments	—			(261		)	(509		)
Net unrealized gains (losses) on investments measured at fair value through earnings	702			982			(20,264		)
Other income (loss)	(6,298		)	(97		)	34,588
General and administration expenses	—			20			1,102
Net income (loss)	$	7,547		$	1,699		$	12,648

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2018 and December 31, 2017, for the residential mortgage loans, including loans held in securitization trusts:



Geographic Concentrations of Residential Mortgage Loans
March 31, 2018			December 31, 2017
Property Location	% of Balance		Property Location	% of Balance
California	52.8	%	California	49.8	%
Florida	8.3	%	Florida	9.3	%
New York	6.9	%	New York	7.1	%
All other (none individually greater than 5%)	32.0	%	All other (none individually greater than 5%)	33.8	%
Total	100.0	%	Total	100.0	%

The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs and OBX Trust, at March 31, 2018 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	$	494,604	18.5	%	California	$	76,367	33.0	%
Texas	361,641		13.6	%	Florida	21,340		9.2	%
Virginia	329,250		12.4	%	Texas	18,357		7.9	%
New York	280,925		10.5	%	Illinois	15,752		6.8	%
North Carolina	232,271		8.7	%	New Jersey	13,290		5.7	%
Pennsylvania	225,810		8.5	%	Other ⁽¹⁾	86,430		37.4	%
Massachusetts	179,440		6.7	%
Ohio	156,834		5.9	%
Other ⁽¹⁾	404,652		15.2	%
Total	$	2,665,427	100.0	%		$	231,536	100.0	%

(1) No individual state greater than 5%.