Use of Special Purpose Entities and Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2015

Use of Special Purpose Entities and Variable Interest Entities

Summary of key details related to resecuritization transactions

The following table summarizes the key details of the resecuritization transactions in which the Company participated as of June 30, 2015:

(Dollars in Thousands)	February 2012			October 2010
Name of Trust (Consolidated as a VIE)	WFMLT Series 2012-RR1			DMSI 2010-RS2
Principal value of Non-Agency MBS sold	$	433,347		$	985,228
Face amount of Bonds issued by the VIE and purchased by 3rd party investors (1)	$	186,691		$	373,577
Outstanding amount of Senior Bonds at June 30, 2015	$	41,317		$	21,003
Pass-through rate for Senior Bonds issued	2.85		%	Weighted Average Coupon Rate
Face amount of Senior Support Certificates received by the Company (2)	$	218,445		$	475,177
Cash received	$	186,691		$	375,621
Notional amount acquired of non-rated, interest only senior certificates (1)	$	186,691		$	—
Unamortized deferred costs	$	356		$	—

(1) Amount disclosed reflects principal balance on the DMSI 2010-RS A1, A2 and A3 bonds. The DMSI 2010-RS2 A2 and A3 bonds were sold to third party investors during 2013. The principal balance for the DMSI 2010-RS2 A1 Bond and associated interest only Senior certificate was paid off during 2013. The principal balance for the DMSI 2010-RS2 A2 Bond was paid off in January 2015.

(2)  Provides credit support for the sequential Senior Non-Agency MBS sold to third-party investors in resecuritization transactions (“Senior Bonds”).