Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2018

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of assets and liabilities related to the consolidated VIEs

The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of June 30, 2018 and December 31, 2017.

	June 30, 2018		December 31, 2017
	(dollars in thousands)
Assets:
Non-Agency RMBS, at fair value	$	1,280,378	$	1,579,793
Loans held for investment, at fair value	13,045,302		13,263,338
Accrued interest receivable	75,390		75,489
Other assets	54,708		68,844
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	$	179,742	$	205,780
Securitized debt at fair value, collateralized by loans held for investment	9,340,368		9,388,657
Accrued interest payable	35,754		33,870
Other liabilities	3,285		3,513

Schedule of Income, OTTI and expense amounts related to consolidated VIEs

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

	For the Quarters Ended
	June 30, 2018			June 30, 2017
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	229,746		$	234,437
Interest expense, Non-recourse liabilities of VIEs	99,507			105,723
Net interest income	$	130,239		$	128,714
Total other-than-temporary impairment losses	$	(351	)	$	(696	)
Portion of loss recognized in other comprehensive income (loss)	(8,561		)	(12,146		)
Net other-than-temporary credit impairment losses	$	(8,912	)	$	(12,842	)
Servicing fees	$	9,722		$	10,890

	For the Six Months Ended
	June 30, 2018			June 30, 2017
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	464,772		$	427,426
Interest expense, Non-recourse liabilities of VIEs	199,121			188,407
Net interest income	$	265,651		$	239,019
Total other-than-temporary impairment losses	$	(351	)	$	(1,109	)
Portion of loss recognized in other comprehensive income (loss)	(8,561		)	(25,613		)
Net other-than-temporary credit impairment losses	$	(8,912	)	$	(26,722	)
Servicing fees	$	20,133		$	20,478