Quarterly report pursuant to Section 13 or 15(d)

Variable Interest Entities

v3.8.0.1
Variable Interest Entities
9 Months Ended
Sep. 30, 2017
Variable Interest Entities [Abstract]  
Variable Interest Entities
Variable Interest Entities
The Company retains subordinated debt and excess servicing rights purchased 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, 2017 and December 31, 2016:
(in thousands)
September 30,
2017
 
December 31,
2016
Residential mortgage loans held-for-investment in securitization trusts
$
3,031,191

 
$
3,271,317

Commercial real estate assets
45,889

 
45,885

Accrued interest receivable
17,382

 
19,090

Total Assets
$
3,094,462

 
$
3,336,292

Collateralized borrowings in securitization trusts
$
2,785,413

 
$
3,037,196

Accrued interest payable
7,894

 
8,708

Other liabilities
11,378

 
12,374

Total Liabilities
$
2,804,685

 
$
3,058,278



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 securities, which are classified within available-for-sale securities, at fair value on the condensed consolidated balance sheets. As of September 30, 2017 and December 31, 2016, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $2.6 billion and $1.9 billion, respectively.