VARIABLE INTEREST ENTITIES (Tables)

6 Months Ended

Jun. 30, 2019

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 CLO, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at June 30, 2019 and December 31, 2018 are as follows:



June 30, 2019
	Commercial Trusts		Residential Trusts		MSR Silo
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	48,323
Loans	—		—		119,746
Assets transferred or pledged to securitization vehicles	1,314,702		95,817		—
Mortgage servicing rights	—		—		425,328
Interest receivable	5,411		489		—
Other assets	—		—		26,800
Total assets	$	1,320,113	$	96,306	$	620,197
Liabilities
Debt issued by securitization vehicles (non-recourse)	$	1,191,231	$	75,347	$	—
Other secured financing	—		—		69,870
Payable for unsettled trades	—		—		20,330
Interest payable	2,000		179		—
Other liabilities	—		190		2,081
Total liabilities	$	1,193,231	$	75,716	$	92,281



December 31, 2018
	Commercial Trusts		Residential Trusts		MSR Silo
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	30,444
Loans	—		—		97,464
Assets transferred or pledged to securitization vehicles	2,738,369		105,003		—
Mortgage servicing rights	—		—		557,813
Interest receivable	11,451		539		—
Other assets	—		4		28,756
Total assets	$	2,749,820	$	105,546	$	714,477
Liabilities
Debt issued by securitization vehicles (non-recourse)	$	2,509,264	$	71,324	$	—
Other secured financing	—		—		68,385
Interest payable	4,594		238		—
Other liabilities	—		—		1,975
Total liabilities	$	2,513,858	$	71,562	$	70,360

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:



Geographic Concentrations of Residential Mortgage Loans
June 30, 2019		December 31, 2018
Property location	% of Balance	Property location	% of Balance
California	52.5%	California	53.7%
New York	10.1%	Florida	7.1%
Florida	6.2%	New York	6.6%
All other (none individually greater than 5%)	31.2%	All other (none individually greater than 5%)	32.6%
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, excluding the credit facility VIEs, OBX Trusts and CLO, at June 30, 2019 are as follows:

Securitized Loans at Fair Value Geographic Concentration of Credit Risk



Commercial Trusts					Residential Trusts
Property Location	Principal Balance		% of Balance		Property Location	Principal Balance		% of Balance
(dollars in thousands)
California	$	492,586	22.7	%	California	$	39,860	42.4	%
Texas	473,786		21.9	%	Texas	13,168		14.0	%
Florida	143,025		6.6	%	Illinois	7,148		7.6	%
Other ⁽¹⁾	1,058,775		48.8	%	Washington	6,452		6.9	%
Total	$	2,168,172	100.0	%	Other⁽¹⁾	27,293		29.1	%
					Total	$	93,921	100.0	%

⁽¹⁾

No individual state greater than 5%.