XML 56 R37.htm IDEA: XBRL DOCUMENT

VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2019

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

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 September 30, 2019 and December 31, 2018 are as follows:



September 30, 2019
	Commercial Trusts		Residential Trusts		MSR Silo
Assets	(dollars in thousands)
Cash and cash equivalents	$	—	$	—	$	49,579
Loans	—		—		76,315
Assets transferred or pledged to securitization vehicles	1,501,408		86,176		—
Mortgage servicing rights	—		—		386,051
Principal and interest receivable	5,610		454		—
Other assets	—		—		27,612
Total assets	$	1,507,018	$	86,630	$	539,557
Liabilities
Debt issued by securitization vehicles (non-recourse)	$	1,364,112	$	66,478	$	—
Other secured financing	—		—		44,061
Payable for unsettled trades	—		—		17,817
Interest payable	2,207		157		—
Other liabilities	—		193		2,723
Total liabilities	$	1,366,319	$	66,828	$	64,601



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
Principal and 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 September 30, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:



Geographic Concentrations of Residential Mortgage Loans
September 30, 2019		December 31, 2018
Property location	% of Balance	Property location	% of Balance
California	51.9%	California	53.7%
New York	10.4%	Florida	7.1%
Florida	5.7%	New York	6.6%
All other (none individually greater than 5%)	32.0%	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 September 30, 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	$	476,312	20.2	%	California	$	37,268	44.2	%
California	459,310		19.5	%	Texas	11,202		13.3	%
New York	353,800		15.0	%	Illinois	7,102		8.4	%
Florida	163,995		7.0	%	Washington	5,895		7.0	%
North Carolina	123,026		5.2	%	Other ⁽¹⁾	22,889		27.1	%
Other ⁽¹⁾	779,654		33.1	%
Total	$	2,356,097	100.0	%	Total	$	84,356	100.0	%

⁽¹⁾

No individual state greater than 5%.

- 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