Consolidated Securitization Vehicles and Other Variable Interest Entities

Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary.

As of June 30, 2018, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $14.5 billion and liabilities with a carrying value of $9.6 billion. As of December 31, 2017, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $15.0 billion of and liabilities with a carrying value of $9.6 billion.

VIEs for Which the Company is the Primary Beneficiary

The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these re-securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of June 30, 2018 and December 31, 2017.



	June 30, 2018		December 31, 2017
	(dollars in thousands)
Assets:
Non-Agency RMBS, at fair value	$	1,280,378	$	1,579,793
Loans held for investment, at fair value	13,045,302		13,263,338
Accrued interest receivable	75,390		75,489
Other assets	54,708		68,844
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	$	179,742	$	205,780
Securitized debt at fair value, collateralized by loans held for investment	9,340,368		9,388,657
Accrued interest payable	35,754		33,870
Other liabilities	3,285		3,513

Income, OTTI and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below.



	For the Quarters Ended
	June 30, 2018			June 30, 2017
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	229,746		$	234,437
Interest expense, Non-recourse liabilities of VIEs	99,507			105,723
Net interest income	$	130,239		$	128,714

Total other-than-temporary impairment losses	$	(351	)	$	(696	)
Portion of loss recognized in other comprehensive income (loss)	(8,561		)	(12,146		)
Net other-than-temporary credit impairment losses	$	(8,912	)	$	(12,842	)

Servicing fees	$	9,722		$	10,890



	For the Six Months Ended
	June 30, 2018			June 30, 2017
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	464,772		$	427,426
Interest expense, Non-recourse liabilities of VIEs	199,121			188,407
Net interest income	$	265,651		$	239,019

Total other-than-temporary impairment losses	$	(351	)	$	(1,109	)
Portion of loss recognized in other comprehensive income (loss)	(8,561		)	(25,613		)
Net other-than-temporary credit impairment losses	$	(8,912	)	$	(26,722	)

Servicing fees	$	20,133		$	20,478

VIEs for Which the Company is Not the Primary Beneficiary

The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at June 30, 2018, ranged from less than $1 million to $49 million, with an aggregate amount of $1.3 billion. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2017, ranged from less than $1 million to $52 million, with an aggregate amount of $1.3 billion. The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.2 billion at June 30, 2018 and December 31, 2017. The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date.