Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020 and December 31, 2019.

	March 31, 2020		December 31, 2019
	(dollars in thousands)
Assets:
Non-Agency RMBS, at fair value	$	521,683	$	598,080
Loans held for investment, at fair value	11,722,057		11,853,659
Accrued interest receivable	63,154		63,218
Other assets	27,301		29,787
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	$	128,683	$	133,557
Securitized debt at fair value, collateralized by loans held for investment	7,617,507		7,899,259
Accrued interest payable	28,561		28,775
Other liabilities	2,854		2,644

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

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

	For the Quarters ended
	March 31, 2020			March 31, 2019
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	174,681		$	207,112
Interest expense, Non-recourse liabilities of VIEs	64,629			91,027
Net interest income	$	110,052		$	116,085
Provision for credit losses	$	(141	)	$	—
Net other-than-temporary credit impairment losses	$	—		$	(4,255	)
Servicing fees	$	8,238		$	8,739