VARIABLE INTEREST ENTITIES (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2018 and December 31, 2017 are as follows:



	June 30, 2018
	FREMF Trusts		Residential Mortgage Loan Trusts		MSR Silo
	(dollars in thousands)
Assets
Cash and cash equivalents	$	—	$	—	$	32,443
Commercial real estate debt investments	2,542,413		—		—
Residential mortgage loans	—		214,694		37,842
Mortgage servicing rights	—		—		599,014
Accrued interest receivable	10,951		918		—
Other assets	—		87		33,642
Total assets	$	2,553,364	$	215,699	$	702,941
Liabilities
Securitized debt (non-recourse) at fair value	$	2,354,380	$	117,864	$	—
Other secured financing	—		—		26,369
Accrued interest payable	4,572		330		—
Accounts payable and other liabilities	—		140		1,693
Total liabilities	$	2,358,952	$	118,334	$	28,062

	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 and six months ended June 30, 2018 and 2017 are as follows:



	Three Months Ended June 30, 2018
	FREMF Trusts			Residential Mortgage Loan Trusts			MSR Silo
	(dollars in thousands)
Net interest income:
Interest income	$	25,100		$	2,184		$	813
Interest expense	15,363			1,089			245
Net interest income	9,737			1,095			568
Realized gain (loss) on disposal of investments	—			(140		)	(739		)
Net gains (losses) on other derivatives	—			—			1
Net unrealized gains (losses) on instruments measured at fair value through earnings	820			(351		)	1,850
Other income (loss)	(4,292		)	(74		)	28,342
Less: General and administration expenses	—			15			455
Net income (loss)	$	6,265		$	515		$	29,567



	Three Months Ended June 30, 2017
	FREMF Trusts			Residential Mortgage Loan Trusts			MSR Silo
	(dollars in thousands)
Net interest income:
Interest income	$	24,948		$	1,171		$	491
Interest expense	11,679			298			57
Net interest income	13,269			873			434
Realized gain (loss) on disposal of investments	—			(121		)	24
Net unrealized gains (losses) on instruments measured at fair value through earnings	4,387			720			(26,848		)
Other income (loss)	(6,224		)	(94		)	33,338
Less: General and administration expenses	1			17			838
Net income (loss)	$	11,431		$	1,361		$	6,110



	Six Months Ended June 30, 2018
	FREMF Trusts			Residential Mortgage Loan Trusts			MSR Silo
	(dollars in thousands)
Net interest income:
Interest income	$	48,938		$	4,557		$	1,448
Interest expense	29,197			2,848			437
Net interest income	19,741			1,709			1,011
Realized gain (loss) on disposal of investments	—			1,902			(1,310		)
Net gains (losses) on trading assets	—			—			70
Net unrealized gains (losses) on instruments measured at fair value through earnings	1,112			(1,167		)	16,465
Other income (loss)	(8,769		)	(151		)	57,058
Less: General and administration expenses	—			29			927
Net income (loss)	$	12,084		$	2,264		$	72,367



	Six Months Ended June 30, 2017
	FREMF Trusts			Residential Mortgage Loan Trusts			MSR Silo
	(dollars in thousands)
Net interest income:
Interest income	$	52,667		$	2,540		$	491
Interest expense	26,255			572			122
Net interest income	26,412			1,968			369
Realized gain (loss) on disposal of investments	—			(382		)	(485		)
Net unrealized gains (losses) on instruments measured at fair value through earnings	5,089			1,702			(47,112		)
Other income (loss)	(12,522		)	(191		)	67,926
Less: General and administration expenses	1			37			1,940
Net income (loss)	$	18,978		$	3,060		$	18,758

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2018 and December 31, 2017, for the residential mortgage loans, including loans held in securitization trusts:



Geographic Concentrations of Residential Mortgage Loans
June 30, 2018			December 31, 2017
Property Location	% of Balance		Property Location	% of Balance
California	53.1	%	California	49.8	%
New York	9.3	%	Florida	9.3	%
Florida	7.2	%	New York	7.1	%
All other (none individually greater than 5%)	30.4	%	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 June 30, 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	$	437,110	17.3	%	California	$	71,095	32.7	%
Texas	361,075		14.4	%	Florida	18,596		8.6	%
Virginia	329,250		13.1	%	Texas	17,616		8.1	%
New York	280,925		11.2	%	Illinois	15,133		7.0	%
North Carolina	231,335		9.2	%	New Jersey	13,156		6.0	%
Pennsylvania	225,810		9.0	%	Other ⁽¹⁾	81,901		37.6	%
Massachusetts	179,440		7.1	%
Ohio	156,138		6.2	%
Other ⁽¹⁾	314,514		12.5	%
Total	$	2,515,597	100.0	%		$	217,497	100.0	%


⁽¹⁾	No individual state greater than 5%.