Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2017

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of Consolidated Securitization Entities on Financial Condition

The consolidation of these Trusts resulted in the addition of the following amounts, net of eliminations, at the time of securitization.



	Consolidated Trusts
	(dollars in thousands)
Assets:
Loans held for investment, at fair value	$	7,407,677
Other Assets	51,711

Liabilities:
Securitized debt at fair value⁽¹⁾	$	5,188,457

(1) After the elimination of intercompany balances.

The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2017 and December 31, 2016.



	December 31, 2017		December 31, 2016
	(dollars in thousands)
Assets:
Non-Agency RMBS, at fair value	$	1,579,793	$	1,842,080
Loans held for investment, at fair value	13,263,338		8,753,653
Accrued interest receivable	75,489		57,153
Other assets	68,844		109,068
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	$	205,780	$	334,124
Securitized debt at fair value, collateralized by loans held for investment	9,388,657		6,941,097
Accrued interest payable	33,870		24,942
Other liabilities	3,513		2,742

Schedule of Consolidated Variable Interest Entities Effects on Operating Results

Income, OTTI and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below.



	For the Year Ended
	December 31, 2017			December 31, 2016			December 31, 2015
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	914,022		$	678,623		$	575,715
Interest expense, Non-recourse liabilities of VIEs	390,858			249,708			191,922
Net interest income	$	523,164		$	428,915		$	383,793

Total other-than-temporary impairment losses	$	(2,174	)	$	(1,274	)	$	(2,066	)
Portion of loss recognized in other comprehensive income (loss)	(51,118		)	(37,475		)	(55,552		)
Net other-than-temporary credit impairment losses	$	(53,292	)	$	(38,749	)	$	(57,618	)

Servicing fees	$	41,493		$	31,178		$	25,244