VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 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 Trusts, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 are as follows:



	September 30, 2018
	Commercial Trusts		Residential Trusts		MSR Silo
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	28,441
Commercial real estate debt	3,521,945		—		—
Residential mortgage loans	—		107,764		97,825
Mortgage servicing rights	—		—		588,833
Interest receivable	13,432		555		—
Other assets	—		—		33,522
Total assets	$	3,535,377	$	108,319	$	748,621
Liabilities
Securitized debt (non-recourse)	$	3,240,043	$	29,698	$	—
Other secured financing	—		—		70,221
Interest payable	6,383		70		—
Other liabilities	—		148		2,160
Total liabilities	$	3,246,426	$	29,916	$	72,381

	December 31, 2017
	Commercial Trusts		Residential Trusts		MSR Silo
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	42,293
Commercial real estate debt	2,826,357		—		—
Residential mortgage loans	—		478,811		19,667
Mortgage servicing rights	—		—		580,860
Interest receivable	10,339		1,599		—
Derivative assets	—		—		1
Other assets	—		1,418		32,354
Total assets	$	2,836,696	$	481,828	$	675,175
Liabilities
Securitized debt (non-recourse)	$	2,620,952	$	350,819	$	—
Other secured financing	—		—		10,496
Interest payable	4,554		931		—
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 Trusts, that are reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 are as follows:



	Three Months Ended September 30, 2018
	Commercial Trusts			Residential Trusts			MSR Silo
Net interest income:	(dollars in thousands)
Interest income	$	36,387		$	1,723		$	2,678
Interest expense	25,068			773			438
Net interest income	11,319			950			2,240
Net realized gains (losses) on disposal of investments	—			147			(516		)
Net unrealized gains (losses) on instruments measured at fair value through earnings	220			242			(13,364		)
Other income (loss)	(4,217		)	(70		)	26,866
Less: General and administrative expenses	—			21			481
Net income (loss)	$	7,322		1,248			14,745



	Three Months Ended September 30, 2017
	Commercial Trusts			Residential Trusts			MSR Silo
Net interest income:	(dollars in thousands)
Interest income	$	28,841		$	1,145		$	514
Interest expense	15,791			282			121
Net interest income	13,050			863			393
Net realized gains (losses) on disposal of investments	—			(229		)	(1,430		)
Net gains (losses) on trading assets	—			—			(19		)
Net unrealized gains (losses) on instruments measured at fair value through earnings	(2,256		)	(20		)	(36,226		)
Other income (loss)	(6,073		)	(89		)	32,001
Less: General and administrative expenses	(1		)	34			560
Net income (loss)	$	4,722		$	491		$	(5,841	)



	Nine Months Ended September 30, 2018
	Commercial Trusts			Residential Mortgage Loan Trusts			MSR Silo
Net interest income:	(dollars in thousands)
Interest income	$	85,325		$	6,280		$	4,126
Interest expense	54,265			3,621			875
Net interest income	31,060			2,659			3,251
Net realized gains (losses) on disposal of investments	—			2,049			(1,826		)
Net gains (losses) on other derivatives	—			—			70
Net unrealized gains (losses) on instruments measured at fair value through earnings	1,332			(925		)	3,101
Other income (loss)	(12,986		)	(221		)	83,924
Less: General and administrative expenses	—			50			1,408
Net income (loss)	$	19,406		$	3,512		$	87,112



	Nine Months Ended September 30, 2017
	Commercial Trusts			Residential Mortgage Loan Trusts			MSR Silo
Net interest income:	(dollars in thousands)
Interest income	$	81,508		$	3,685		$	1,005
Interest expense	42,046			854			243
Net interest income	39,462			2,831			762
Net realized gains (losses) on disposal of investments	—			(611		)	(1,915		)
Net gains (losses) on trading assets	—			—			(17		)
Net unrealized gains (losses) on instruments measured at fair value through earnings	2,833			1,682			(83,340		)
Other income (loss)	(18,595		)	(280		)	99,927
Less: General and administrative expenses	—			71			2,500
Net income (loss)	$	23,700		$	3,551		$	12,917

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2018 and December 31, 2017, for the residential mortgage loans, including loans transferred or pledged to securitization trusts:



Geographic Concentrations of Residential Mortgage Loans
September 30, 2018			December 31, 2017
Property Location	% of Balance		Property Location	% of Balance
California	54.5	%	California	49.8	%
New York	8.1	%	Florida	9.3	%
Florida	6.6	%	New York	7.1	%
All other (none individually greater than 5%)	30.8	%	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 Trusts, at September 30, 2018 are as follows:



FREMF Trusts					Residential Mortgage Loan Trusts
Property Location	Principal Balance		% of Balance		Property Location	Principal Balance		% of Balance
(dollars in thousands)
Texas	$	478,593	13.7	%	California	$	48,718	44.9	%
Maryland	448,646		12.8	%	Texas	13,981		12.9	%
California	360,279		10.3	%	Illinois	8,297		7.6	%
Virginia	347,002		9.9	%	Washington	7,559		7.0	%
Pennsylvania	281,384		8.1	%	Florida	5,424		5.0	%
New York	280,925		8.0	%	Other ⁽¹⁾	24,501		22.6	%
North Carolina	251,187		7.2	%
Massachusetts	179,440		5.1	%
Other ⁽¹⁾	867,774		24.9	%
Total	$	3,495,230	100.0	%		$	108,480	100.0	%


⁽¹⁾	No individual state greater than 5%.