VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2019

Organization, Consolidation and Presentation of Financial Statements [Abstract]

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, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2019 and December 31, 2018 are as follows:



March 31, 2019
	Commercial Trusts		Residential Trusts		MSR Silo
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	40,714
Loans	—		—		101,344
Assets transferred or pledged to securitization vehicles	2,205,768		101,994		—
Mortgage servicing rights	—		—		500,744
Interest receivable	11,269		540		—
Derivative assets	—		—		15
Other assets	—		—		27,290
Total assets	$	2,217,037	$	102,534	$	670,107
Liabilities
Debt issued by securitization vehicles (non-recourse)	$	2,016,202	$	82,220	$	—
Other secured financing	—		—		57,667
Payable for unsettled trades	—		—		15,924
Interest payable	4,334		196		—
Other liabilities	—		179		1,736
Total liabilities	$	2,020,536	$	82,595	$	75,327



December 31, 2018
	Commercial Trusts		Residential Trusts		MSR Silo
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	30,444
Loans	—		—		97,464
Assets transferred or pledged to securitization vehicles	2,738,369		105,003		—
Mortgage servicing rights	—		—		557,813
Interest receivable	11,451		539		—
Other assets	—		4		28,756
Total assets	$	2,749,820	$	105,546	$	714,477
Liabilities
Debt issued by securitization vehicles (non-recourse)	$	2,509,264	$	71,324	$	—
Other secured financing	—		—		68,385
Interest payable	4,594		238		—
Other liabilities	—		—		1,975
Total liabilities	$	2,513,858	$	71,562	$	70,360

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:



Geographic Concentrations of Residential Mortgage Loans
March 31, 2019		December 31, 2018
Property location	% of Balance	Property location	% of Balance
California	54.2%	California	53.7%
Florida	6.7%	Florida	7.1%
New York	6.1%	New York	6.6%
All other (none individually greater than 5%)	33.0%	All other (none individually greater than 5%)	32.6%
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 credit facility VIEs, OBX Trusts and CLO, at March 31, 2019 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)
Texas	$	546,190	17.9	%	California	$	45,023	44.5	%
California	461,478		15.1	%	Texas	13,261		13.1	%
Maryland	407,266		13.4	%	Washington	7,466		7.4	%
Virginia	349,921		11.5	%	Illinois	7,197		7.1	%
Pennsylvania	280,201		9.2	%	Florida	5,165		5.1	%
Other⁽¹⁾	1,005,457		32.9	%	Other ⁽¹⁾	23,155		22.8	%
Total	$	3,050,513	100.0	%		$	101,267	100.0	%


⁽¹⁾	No individual state greater than 5%.