Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2020 and December 31, 2019.



	June 30, 2020		December 31, 2019
	(dollars in thousands)
Assets:
Non-Agency RMBS, at fair value⁽¹⁾	$	524,205	$	598,080
Loans held for investment, at fair value	11,973,418		11,853,659
Accrued interest receivable	60,717		63,218
Other assets	20,495		29,787
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	$	124,414	$	133,557
Securitized debt at fair value, collateralized by loans held for investment	8,277,843		7,899,259
Accrued interest payable	26,029		28,775
Other liabilities	2,791		2,644

(1) June 30, 2020 balance includes allowance for credit losses of $216 thousand.

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
	June 30, 2020			June 30, 2019
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	169,127		$	200,703
Interest expense, Non-recourse liabilities of VIEs	70,816			87,529
Net interest income	$	98,311		$	113,174

(Increase) decrease in provision for credit losses	$	(75	)	$	—

Servicing fees	$	8,145		$	8,861



	For the Six Months ended
	June 30, 2020			June 30, 2019
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	343,809		$	407,814
Interest expense, Non-recourse liabilities of VIEs	135,445			178,556
Net interest income	$	208,364		$	229,258

(Increase) decrease in provision for credit losses	$	(216	)	$	—

Servicing fees	$	16,382		$	17,600