XML 57 R38.htm IDEA: XBRL DOCUMENT

VARIABLE INTEREST ENTITIES (Tables)

12 Months Ended

Dec. 31, 2021

Organization, Consolidation and Presentation of Financial Statements [Abstract]

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
OBX 2021-J3	October 2021	$	453,650
OBX 2021-INV2	October 2021	$	343,571
OBX 2021-INV3	November 2021	$	470,576
OBX 2021-NQM4	November 2021	$	542,836

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 December 31, 2021 and 2020 are as follows:


December 31, 2021
	MSR VIEs
Assets	(dollars in thousands)
Cash and cash equivalents	$	16,187
Loans	2,347



Mortgage servicing rights	7,254



Interests in MSR	69,316
Other assets	10,406
Total assets	$	105,510
Liabilities


Payable for unsettled trades	1,911


Other liabilities	14,582
Total liabilities	$	16,493


December 31, 2020
	Commercial Trusts		Residential Trusts		MSR VIEs
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	22,241
Loans	—		—		47,048
Assets transferred or pledged to securitization vehicles	2,166,073		40,035		—


Mortgage servicing rights	—		—		100,895
Principal and interest receivable	5,509		226		—


Total assets	$	2,171,582	$	40,261	$	170,184
Liabilities
Debt issued by securitization vehicles (non-recourse)	$	1,836,785	$	23,351	$	—
Other secured financing	—		—		30,420

Payable for unsettled trades	—		—		3,076
Interest payable	1,697		55		—
Other liabilities	—		246		13,345
Total liabilities	$	1,838,482	$	23,652	$	46,841

- 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 + Details