Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2019

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 December 31, 2019 and 2018.

	December 31, 2019		December 31, 2018
	(dollars in thousands)
Assets:
Non-Agency RMBS, at fair value	$	598,080	$	1,017,442
Loans held for investment, at fair value	11,853,659		12,263,265
Accrued interest receivable	63,218		72,389
Other assets	29,787		39,855
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	$	133,557	$	159,955
Securitized debt at fair value, collateralized by loans held for investment	7,899,259		8,455,376
Accrued interest payable	28,775		33,541
Other liabilities	2,644		3,286

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 Year ended
	December 31, 2019			December 31, 2018			December 31, 2017
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	780,746		$	904,830		$	914,022
Interest expense, Non-recourse liabilities of VIEs	337,387			395,255			390,858
Net interest income	$	443,359		$	509,575		$	523,164
Total other-than-temporary impairment losses	$	(424	)	$	(1,026	)	$	(2,174	)
Portion of loss recognized in other comprehensive income (loss)	(3,831		)	(17,820		)	(51,118		)
Net other-than-temporary credit impairment losses	$	(4,255	)	$	(18,845	)	$	(53,292	)
Servicing fees	$	33,920		$	39,313		$	41,493