Consolidated Securitization Vehicles and Other Variable Interest Entities

3 Months Ended

Mar. 31, 2025

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Consolidated Securitization Vehicles and Other Variable Interest Entities

Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary.

During the quarter ended March 31, 2025, the Company consolidated approximately $934 million unpaid principal balance of seasoned reperforming residential mortgage loans. During the quarter ended March 31, 2024, the Company did not securitize any residential mortgage loans.

VIEs for Which the Company is the Primary Beneficiary

The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these securitizations and in some cases the Company may hold interests in additional tranches. 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, 2025 and December 31, 2024.


	March 31, 2025		December 31, 2024
	(dollars in thousands)
Assets:
Non-Agency RMBS, at fair value (1)	$	224,670	$	229,343
Loans held for investment, at fair value	9,832,227		9,671,731
Accrued interest receivable	49,962		50,305
Other assets	23,435		18,715
Total Assets:	$	10,130,294	$	9,970,094

Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	$	69,990	$	71,247
Securitized debt at fair value, collateralized by Loans held for investment	6,895,501		6,671,471
Accrued interest payable	23,340		21,803
Other liabilities	1,541		1,984
Total Liabilities:	$	6,990,372	$	6,766,505

(1) March 31, 2025 and December 31, 2024 balances includes allowance for credit losses of $11 million and $10 million, respectively.

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, 2025		March 31, 2024		December 31, 2024
	(dollars in thousands)
Interest income, Assets of consolidated VIEs		$	144,402	$	146,917	$	142,921
Interest expense, Non-recourse liabilities of VIEs		69,651		73,123		70,083
Net interest income		$	74,751	$	73,794	$	72,837

Increase (decrease) in provision for credit losses		$	1,147	$	(951)	$	(1,904)


Servicing fees		$	6,170	$	6,865	$	26,964

VIEs for Which the Company is Not the Primary Beneficiary

The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities, such as rights to replace the servicer without cause, and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs.

The fair value of the Company’s investments in each unconsolidated VIEs at March 31, 2025, ranged from less than $1 million to $21 million with an aggregate amount of $835 million. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2024, ranged from less than $1 million to $21 million, with an aggregate amount of $835 million. The Company’s maximum exposure to loss from these unconsolidated VIEs was $820 million and $830 million and at March 31, 2025 and December 31, 2024, respectively. The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date.