Annual report pursuant to Section 13 and 15(d)

Variable Interest Entities (Notes)

v3.3.1.900
Variable Interest Entities (Notes)
12 Months Ended
Dec. 31, 2015
Variable Interest Entities [Abstract]  
Variable Interest Entities Disclosure [Text Block]
Variable Interest Entities
The Company purchases subordinated debt and excess servicing rights from securitization trusts sponsored by either third parties or the Company’s subsidiaries. Additionally, the Company is the sole certificate holder of a trust entity that holds a commercial real estate loan. All of these trusts are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. Because the Company has both the power to direct the activities of the trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. As the Company is required to reassess VIE consolidation guidance each quarter, new facts and circumstances may change the Company’s determination. A change in the Company’s determination could result in a material impact to the Company’s consolidated financial statements during subsequent reporting periods.
The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the consolidated balance sheets as of December 31, 2015 and December 31, 2014:
(in thousands)
December 31,
2015
 
December 31,
2014
Residential mortgage loans held-for-investment in securitization trusts
$
3,173,727

 
$
1,744,746

Commercial real estate assets
45,698

 

Accrued interest receivable
18,493

 
10,197

Total Assets
$
3,237,918

 
$
1,754,943

Collateralized borrowings in securitization trusts
2,000,110

 
1,209,663

Accrued interest payable
5,943

 
3,678

Other liabilities
11,624

 
6,480

Total Liabilities
$
2,017,677

 
$
1,219,821



The Company is not required to consolidate VIEs for which it has concluded it does not have both the power to direct the activities of the VIEs that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant. The Company’s investments in these unconsolidated VIEs include non-Agency RMBS, which are classified within available-for-sale securities, at fair value on the consolidated balance sheets. As of December 31, 2015 and December 31, 2014, the carrying value, which also represents the maximum exposure to loss, of all non-Agency RMBS in unconsolidated VIEs was $1.9 billion and $3.0 billion, respectively.