Quarterly report pursuant to Section 13 or 15(d)

Variable Interest Entities

Variable Interest Entities
9 Months Ended
Sep. 30, 2020
Variable Interest Entities [Abstract]  
Variable Interest Entities Variable Interest Entities
During the second quarter of 2019, the Company formed a new trust entity, or the Issuer Trust, for the purpose of financing MSR through securitization. On June 27, 2019, the Company, through the Issuer Trust, completed an MSR securitization transaction pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to the Issuer Trust and in return, the Issuer Trust issued (a) an aggregate principal amount of $400.0 million in term notes to qualified institutional buyers and (b) a variable funding note, or VFN, with a maximum principal balance of $1.0 billion to one of the subsidiaries, in each case secured on a pari passu basis. The term notes bear interest at a rate equal to one-month LIBOR plus 2.80% per annum. The term notes will mature on June 25, 2024 or, if extended pursuant to the terms of the related indenture supplement, June 25, 2026 (unless earlier redeemed in accordance with their terms).
The Issuer Trust is considered a VIE for financial reporting purposes and, thus, was reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the Issuer Trust that most significantly impact the entity’s performance, and the obligation to absorb losses or the right to receive benefits of the entity that could be significant, the Company consolidates the trust. Additionally, in accordance with arrangements entered into in connection with the securitization transaction, the Company has direct financial obligations payable to the Issuer Trust, which, in turn, support the Issuer Trust’s obligations to noteholders under the securitization transaction.
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, 2020 and December 31, 2019:
(in thousands) September 30,
December 31,
Note receivable (1)
$ 395,328  $ 394,502 
Cash and cash equivalents —  200 
Restricted cash 35,200  — 
Accrued interest receivable (1)
197  306 
Total Assets $ 430,725  $ 395,008 
Term notes payable $ 395,328  $ 394,502 
Accrued interest payable 197  306 
Other liabilities 35,200  200 
Total Liabilities $ 430,725  $ 395,008 
(1)Receivables due from a wholly owned subsidiary of the Company to the Issuer Trust are eliminated in consolidation in accordance with U.S. GAAP.