Quarterly report pursuant to Section 13 or 15(d)

Variable Interest Entities (Notes)

v3.5.0.2
Variable Interest Entities (Notes)
9 Months Ended
Sep. 30, 2016
Variable Interest Entities [Abstract]  
Variable Interest Entities [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 condensed 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 condensed consolidated balance sheets as of September 30, 2016 and December 31, 2015:
(in thousands)
September 30,
2016
 
December 31,
2015
Residential mortgage loans held-for-investment in securitization trusts
$
3,620,037

 
$
3,173,727

Commercial real estate assets
45,837

 
45,698

Accrued interest receivable
20,466

 
18,493

Total Assets
$
3,686,340

 
$
3,237,918

Collateralized borrowings in securitization trusts
$
3,375,906

 
$
2,000,110

Accrued interest payable
9,457

 
5,943

Other liabilities
12,852

 
11,624

Total Liabilities
$
3,398,215

 
$
2,017,677



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 condensed consolidated balance sheets. As of September 30, 2016 and December 31, 2015, the carrying value, which also represents the maximum exposure to loss, of all non-Agency RMBS in unconsolidated VIEs was $1.8 billion and $1.9 billion, respectively.