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VARIABLE INTEREST ENTITIES (Tables) | 9 Months Ended
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Sep. 30, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
Fair Value of OBX Trusts | 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 |
OBX 2021-NQM1 | March 2021 | $ | 257,135 |
OBX 2021-J1 | April 2021 | $ | 353,840 |
OBX 2021-NQM2 | June 2021 | $ | 376,004 |
OBX 2021-J2 | July 2021 | $ | 382,483 |
OBX 2021-NQM3 | August 2021 | $ | 356,474 |
OBX 2021-INV1 | September 2021 | $ | 320,199 |
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 multifamily securitization, 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, 2021 and December 31, 2020 are as follows:
September 30, 2021
|  |  | Residential Trusts |  | MSR VIEs
Assets |  |  | (dollars in thousands)
Cash and cash equivalents |  |  | $ | — |  |  | $ | 11,046 |
Loans |  |  | — |  |  | 3,726 |
Assets transferred or pledged to securitization vehicles |  |  | 23,739 |  |  | — |
Mortgage servicing rights |  |  | — |  |  | 90,979 |
Interests in MSR |  |  | — |  |  | 57,530 |
Principal and interest receivable |  |  | 156 |  |  | — |
Other assets |  |  | — |  |  | 12,774 |
Total assets |  |  | $ | 23,895 |  |  | $ | 176,055 |
Liabilities |  |  |  |  |
Debt issued by securitization vehicles (non-recourse) |  |  | $ | 10,717 |  |  | $ | — |
Payable for unsettled trades |  |  | — |  |  | 2,152 |
Interest payable |  |  | 25 |  |  | — |
Other liabilities |  |  | 414 |  |  | 7,714 |
Total liabilities |  |  | $ | 11,156 |  |  | $ | 9,866 |
December 31, 2020
|  |  | Residential Trusts |  | MSR VIEs
Assets |  |  | (dollars in thousands)
Cash and cash equivalents |  |  | $ | — |  |  | $ | 22,241 |
Loans |  |  | — |  |  | 47,048 |
Assets transferred or pledged to securitization vehicles |  |  | 40,035 |  |  | — |
Mortgage servicing rights |  |  | — |  |  | 100,895 |
Principal and interest receivable |  |  | 226 |  |  | — |
Total assets |  |  | $ | 40,261 |  |  | $ | 170,184 |
Liabilities |  |  |  |  |
Debt issued by securitization vehicles (non-recourse) |  |  | $ | 23,351 |  |  | $ | — |
Other secured financing |  |  | — |  |  | 30,420 |
Payable for unsettled trades |  |  | — |  |  | 3,076 |
Interest payable |  |  | 55 |  |  | — |
Other liabilities |  |  | 246 |  |  | 13,345 |
Total liabilities |  |  | $ | 23,652 |  |  | $ | 46,841 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:
Geographic Concentrations of Residential Mortgage Loans
September 30, 2021 |  | December 31, 2020
Property location | % of Balance |  | Property location | % of Balance
California | 51.3% |  | California | 48.9%
New York | 10.7% |  | New York | 14.0%
Florida | 6.4% |  | Florida | 6.0%
All other (none individually greater than 5%) | 31.6% |  | All other (none individually greater than 5%) | 31.1%
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 multifamily securitization, credit facility and OBX Trusts VIEs, at September 30, 2021 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk
|  | Residential Trusts
|  |  |  |  |  | Property Location |  | Principal Balance |  | % of Balance
|  |  |  |  |  | California |  | $ | 12,219 |  |  | 52.6 | %
|  |  |  |  |  | Illinois |  | 3,516 |  |  | 15.1 | %
|  |  |  |  |  | Texas |  | 2,456 |  |  | 10.6 | %
|  |  |  |  |  | Other (1) |  | 5,052 |  |  | 21.7 | %
|  |  |  |  |  | Total |  | $ | 23,243 |  |  | 100.0 | %
|  |  |  |  |  | (1) No individual state greater than 5%.

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- 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=123419778&loc=SL6759159-111685 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5747-111685 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=123419778&loc=SL6228884-111685 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5710-111685 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5728-111685 + Details
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