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VARIABLE INTEREST ENTITIES (Tables) | 6 Months Ended
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Jun. 30, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
Fair Value of OBX Trusts | Information regarding these securitization trusts are summarized in the table below.
Type of Underlying Collateral | Settlement Date | Cut-off Date Principal Balance | Face Value of Company’s Variable Interest at Settlement Date
|  | (dollars in thousands)
Multifamily | April 2015 | $ | 1,192,607 |  | $ | 89,446 |
Hotels | June 2018 | $ | 982,000 |  | $ | 93,500 |
Multifamily | August 2019 | $ | 271,700 |  | $ | 20,270 |
Office Building | October 2019 | $ | 60,000 |  | $ | 60,000 |
Multifamily | October 2019 | $ | 415,000 |  | $ | 75,359 |
Multifamily | December 2019 | $ | 394,000 |  | $ | 110,350 |
The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company.
Securitization | Date of Closing | Face Value at Closing
|  | (dollars in thousands)
OBX 2018-1 | March 2018 | $ | 327,162 |
OBX 2018-EXP1 | August 2018 | $ | 383,451 |
OBX 2018-EXP2 | October 2018 | $ | 384,027 |
OBX 2019-INV1 | January 2019 | $ | 393,961 |
OBX 2019-EXP1 | April 2019 | $ | 388,156 |
OBX 2019-INV2 | June 2019 | $ | 383,760 |
OBX 2019-EXP2 | July 2019 | $ | 463,405 |
OBX 2019-EXP3 | October 2019 | $ | 465,492 |
OBX 2020-INV1 | January 2020 | $ | 374,609 |
OBX 2020-EXP1 | February 2020 | $ | 467,511 |
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition | The statements of financial condition of the Company’s VIEs, excluding the CLO, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at June 30, 2020 and December 31, 2019 are as follows:
June 30, 2020
| Commercial Trusts |  | Residential Trusts |  | MSR Silo
Assets | (dollars in thousands)
Cash and cash equivalents | $ | — |  |  | $ | — |  |  | $ | 74,654 |
Loans | — |  |  | — |  |  | 61,147 |
Assets transferred or pledged to securitization vehicles | 2,150,623 |  |  | 60,948 |  |  | — |
Mortgage servicing rights | — |  |  | — |  |  | 227,400 |
Principal and interest receivable | 5,405 |  |  | 364 |  |  | — |
Other assets | — |  |  | — |  |  | 23,581 |
Total assets | $ | 2,156,028 |  |  | $ | 61,312 |  |  | $ | 386,782 |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles (non-recourse) | $ | 1,830,018 |  |  | $ | 43,408 |  |  | $ | — |
Other secured financing | — |  |  | — |  |  | 33,896 |
Payable for unsettled trades | — |  |  | — |  |  | 11,720 |
Interest payable | 1,622 |  |  | 104 |  |  | — |
Other liabilities | — |  |  | 129 |  |  | 2,378 |
Total liabilities | $ | 1,831,640 |  |  | $ | 43,641 |  |  | $ | 47,994 |
December 31, 2019
| Commercial Trusts |  | Residential Trusts |  | MSR Silo
Assets | (dollars in thousands)
Cash and cash equivalents | $ | — |  |  | $ | — |  |  | $ | 67,455 |
Loans | — |  |  | — |  |  | 66,722 |
Assets transferred or pledged to securitization vehicles | 2,345,120 |  |  | 75,924 |  |  | — |
Mortgage servicing rights | — |  |  | — |  |  | 378,078 |
Principal and interest receivable | 7,085 |  |  | 408 |  |  | — |
Other assets | — |  |  | — |  |  | 27,021 |
Total assets | $ | 2,352,205 |  |  | $ | 76,332 |  |  | $ | 539,276 |
Liabilities |  |  |  |  |  |  |
Debt issued by securitization vehicles (non-recourse) | $ | 1,967,523 |  |  | $ | 57,905 |  |  | $ | — |
Other secured financing | — |  |  | — |  |  | 38,981 |
Payable for unsettled trades | — |  |  | — |  |  | 18,364 |
Interest payable | 3,008 |  |  | 137 |  |  | — |
Other liabilities | — |  |  | 78 |  |  | 2,393 |
Total liabilities | $ | 1,970,531 |  |  | $ | 58,120 |  |  | $ | 59,738 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:
Geographic Concentrations of Residential Mortgage Loans
June 30, 2020 |  | December 31, 2019
Property location | % of Balance |  | Property location | % of Balance
California | 51.1% |  | California | 52.1%
New York | 11.4% |  | New York | 10.5%
Florida | 5.7% |  | Florida | 5.3%
All other (none individually greater than 5%) | 31.8% |  | All other (none individually greater than 5%) | 32.1%
Total | 100.0% |  |  | 100.0%
The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the CLO, OBX Trusts and credit facility VIEs, at June 30, 2020 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk
Commercial Trusts |  | Residential Trusts
Property Location |  | Principal Balance |  | % of Balance |  | Property Location |  | Principal Balance |  | % of Balance
(dollars in thousands)
California |  | $ | 1,270,544 |  |  | 38.7 | % |  | California |  | $ | 27,442 |  |  | 45.0 | %
Texas |  | 478,457 |  |  | 14.6 | % |  | Texas |  | 8,309 |  |  | 13.6 | %
New York |  | 370,697 |  |  | 11.3 | % |  | Illinois |  | 6,534 |  |  | 10.7 | %
Florida |  | 196,495 |  |  | 6.0 | % |  | Other (1) |  | 18,695 |  |  | 30.7 | %
Other (1) |  | 968,561 |  |  | 29.4 | % |  |  |  |  |  |  |  |
Total |  | $ | 3,284,754 |  |  | 100.0 | % |  | Total |  | $ | 60,980 |  |  | 100.0 | %
(1) No individual state greater than 5%.

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