TWO Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Variable Interest Entities

Variable Interest Entities

12 Months Ended

Dec. 31, 2022

Variable Interest Entities [Abstract]

Variable Interest EntitiesThe trusts that were formed for the purpose of financing MSR through securitization and servicing advances through revolving credit facilities (see discussion in Note 2 - Basis of Presentation and Significant Accounting Policies) are considered VIEs for financial reporting purposes and were reviewed for consolidation under the applicable consolidation guidance. As 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 is the primary beneficiary and, thus, consolidates the trusts. Additionally, in accordance with arrangements entered into in connection with the securitization transaction and the servicing advance revolving credit facility, the Company has direct financial obligations payable to both MSR Issuer Trust and Servicing Advance Receivables Issuer Trust, which, in turn, support MSR Issuer Trust’s obligations to noteholders under the securitization transaction and Servicing Advance Receivables Issuer Trust’s obligations to the financing counterparty.

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, 2022 and December 31, 2021:


(in thousands)	December 31, 2022		December 31, 2021
Note receivable (1)	$	398,011	$	396,776

Restricted cash	31,691		23,892
Accrued interest receivable (1)	400		161
Other assets	67,819		33,767
Total Assets	$	497,921	$	454,596
Term notes payable	$	398,011	$	396,776
Revolving credit facilities	23,850		19,200
Accrued interest payable	560		216
Other liabilities	31,531		23,838
Total Liabilities	$	453,952	$	440,030

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(1)Receivables due from a wholly owned subsidiary of the Company to the trusts are eliminated in consolidation in accordance with U.S. GAAP.

As discussed in Note 2 - Basis of Presentation and Significant Accounting Policies, RoundPoint is also considered a VIE for financial reporting purposes and was reviewed for consolidation under the applicable consolidation guidance. As the Company has the obligation to absorb losses and the right to receive benefits of RoundPoint during the Interim Period that could be significant, but not the power to direct the activities of RoundPoint that most significantly impacts its performance, the Company is not the primary beneficiary and, thus, does not consolidate RoundPoint.