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VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2020

Organization, Consolidation and Presentation of Financial Statements [Abstract]

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
OBX 2020-EXP2	July 2020	$	489,352
OBX 2020-EXP3	September 2020	$	514,609

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, multifamily securitizations, credit facility VIEs and OBX Trusts as the transfers of loans or securities did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2020 and December 31, 2019 are as follows:


September 30, 2020
	Commercial Trusts		Residential Trusts		MSR Silo
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	84,904
Loans	—		—		50,042
Assets transferred or pledged to securitization vehicles	2,174,118		50,810		—


Mortgage servicing rights	—		—		207,985
Principal and interest receivable	5,370		324		—

Other assets	—		—		23,087
Total assets	$	2,179,488	$	51,134	$	366,018
Liabilities
Debt issued by securitization vehicles (non-recourse)	$	1,843,036	$	33,084	$	—
Other secured financing	—		—		32,842

Payable for unsettled trades	—		—		6,203
Interest payable	1,594		78		—
Other liabilities	—		201		2,830
Total liabilities	$	1,844,630	$	33,363	$	41,875


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 September 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

September 30, 2020

December 31, 2019

Property location

% of Balance

Property location

% of Balance

California

50.1%

California

52.1%

New York

12.8%

New York

10.5%

Florida

5.8%

Florida

5.3%

All other (none individually greater than 5%)

31.3%

All other (none individually greater than 5%)

32.1%

Total

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 September 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	$	1,236,527	37.9	%	California	$	22,925	45.6	%
Texas	477,642		14.6	%	Texas	7,481		14.9	%
New York	381,425		11.7	%	Illinois	6,504		12.9	%
Florida	180,892		5.5	%	Other (1)	13,343		26.6	%
Other (1)	986,851		30.3	%

Total	$	3,263,337	100.0	%	Total	$	50,253	100.0	%

(1) No individual state greater than 5%.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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