XML 45 R32.htm IDEA: XBRL DOCUMENT v3.21.2
Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)
 6 Months Ended
Jun. 30, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Schedule of Assets and Liabilities Related to the Consolidated VIEs 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, 2021 and December 31, 2020.
 June 30, 2021December 31, 2020
 (dollars in thousands)
Assets:  
Non-Agency RMBS, at fair value (1)
$452,889 $505,479 
Loans held for investment, at fair value10,576,592 11,591,598 
Accrued interest receivable50,624 53,804 
Other assets10,353 14,136 
Total Assets:$11,090,458 $12,165,017 
Liabilities:  
Securitized debt, collateralized by Non-Agency RMBS$99,559 $113,433 
Securitized debt at fair value, collateralized by Loans held for investment7,668,480 7,923,523 
Accrued interest payable16,594 23,677 
Other liabilities2,204 2,477 
Total Liabilities:7,786,837 8,063,110 
(1) The June 30, 2021 and December 31, 2020 balance includes allowance for credit losses of $365 thousand and $117 thousand, respectively.
Schedule of Income, OTTI and Expense Amounts Related to Consolidated VIEs
Income 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, 2021June 30, 2020
 (dollars in thousands)
Interest income, Assets of consolidated VIEs$149,115 $169,127 
Interest expense, Non-recourse liabilities of VIEs50,935 70,816 
Net interest income$98,180 $98,311 
(Increase) decrease in provision for credit losses$(365)$(75)
Servicing fees$6,640 $8,145 
 For the Six Months ended
 June 30, 2021June 30, 2020
 (dollars in thousands)
Interest income, Assets of consolidated VIEs$307,214 $343,809 
Interest expense, Non-recourse liabilities of VIEs116,141 135,445 
Net interest income$191,073 $208,364 
(Increase) decrease in provision for credit losses$(248)$(216)
Servicing fees$13,683 $16,382