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VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

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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