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VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2022

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Residential securitizations are issued by entities generally 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. Residential securitizations closed during the year are included in the table below.


Securitization	Date of Closing	Face Value at Closing
		(dollars in thousands)






















OBX 2022-NQM1	January 2022	$	556,696
OBX 2022-INV1	January 2022	$	377,275
OBX 2022-INV2	February 2022	$	466,686
OBX 2022-NQM2	February 2022	$	439,421
OBX 2022-INV3	March 2022	$	330,823
OBX 2022-NQM3	March 2022	$	315,843
OBX 2022-NQM4	May 2022	$	457,285
OBX 2022-J1	May 2022	$	389,334
OBX 2022-NQM5	June 2022	$	390,775
OBX 2022-INV4	June 2022	$	335,900
OBX 2022-NQM6	June 2022	$	387,913
OBX 2022-J2	August 2022	$	305,969
OBX 2022-NQM7	August 2022	$	358,931
OBX 2022-NQM8	September 2022	$	397,470

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, 2022 and December 31, 2021 are as follows:


September 30, 2022
	MSR VIEs
Assets
Cash and cash equivalents	$	3,533
Loans	1,378
Mortgage servicing rights	37
Interests in MSR	—

Other assets	4,068
Total assets	$	9,016
Liabilities
Payable for unsettled trades	$	2,152

Other liabilities	3,636
Total liabilities	$	5,788


December 31, 2021
	MSR VIEs
Assets
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

- 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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