XML 26 R81.htm IDEA: XBRL DOCUMENT v3.2.0.727
Use of Special Purpose Entities and Variable Interest Entities (Details) - USD ($)
$ in Thousands
1 Months Ended 3 Months Ended 6 Months Ended
Feb. 29, 2012
Oct. 31, 2010
Jun. 30, 2015
Jun. 30, 2014
Jun. 30, 2015
Jun. 30, 2014
Dec. 31, 2014
Special purpose entities and variable interest entities              
Outstanding amount of Senior Bonds [1]     $ 62,320   $ 62,320   $ 110,574
Available-for-sale securities     12,342,274   12,342,274   10,762,622
Residential whole loans     429,300   429,300   351,400
Residential whole loans at carrying value     245,402   245,402   207,923
Residential whole loans, at fair value     $ 183,861   $ 183,861   143,472
Ownership percentage by parent     100.00%   100.00%    
Residential whole loans held at carrying value     $ 4,193 $ 0 $ 7,784 $ 0  
Net gain on residential whole loans held at fair value     3,163 $ 0 5,197 $ 0  
Non-Agency MBS              
Special purpose entities and variable interest entities              
Available-for-sale securities     6,882,153   6,882,153   4,755,432
Non-Agency MBS | Recurring basis              
Special purpose entities and variable interest entities              
Available-for-sale securities     6,882,153   6,882,153    
Non-Agency MBS | Level 3 | Recurring basis              
Special purpose entities and variable interest entities              
Available-for-sale securities     0   0    
Residential whole loans | Recurring basis              
Special purpose entities and variable interest entities              
Residential whole loans, at fair value     183,861   183,861    
Residential whole loans | Level 3 | Recurring basis              
Special purpose entities and variable interest entities              
Residential whole loans, at fair value     183,861   183,861    
WFMLT Series 2012-RR1              
Special purpose entities and variable interest entities              
Principal value of Non-Agency MBS sold $ 433,347            
Face amount of Bonds issued by the VIE and purchased by 3rd party investors 186,691            
Outstanding amount of Senior Bonds $ 41,317            
Pass-through rate for Senior Bonds issued 2.85%            
Cash received $ 186,691            
Notional amount acquired of non-rated, interest only senior certificates 186,691            
Unamortized deferred costs 356            
WFMLT Series 2012-RR1 | Senior-support certificates              
Special purpose entities and variable interest entities              
Face amount of Senior Support Certificates received by the Company $ 218,445            
Deutsche Mortgage Securities, Inc. Real Estate Mortgage Investment Conduit Trust, Series 2010-RS2              
Special purpose entities and variable interest entities              
Principal value of Non-Agency MBS sold   $ 985,228          
Face amount of Bonds issued by the VIE and purchased by 3rd party investors   373,577          
Outstanding amount of Senior Bonds   $ 21,003          
Pass-through rate for Senior Bonds issued, description   Weighted Average Coupon Rate          
Cash received   $ 375,621          
Notional amount acquired of non-rated, interest only senior certificates   0          
Unamortized deferred costs   0          
Deutsche Mortgage Securities, Inc. Real Estate Mortgage Investment Conduit Trust, Series 2010-RS2 | Senior-support certificates              
Special purpose entities and variable interest entities              
Face amount of Senior Support Certificates received by the Company   $ 475,177          
Variable Interest Entity, Primary Beneficiary | Non-Agency MBS              
Special purpose entities and variable interest entities              
Available-for-sale securities [2]     $ 659,500   $ 659,500   $ 1,397,000
Trust, ownership in residential whole loans              
Special purpose entities and variable interest entities              
Ownership percentage by parent     100.00%   100.00%    
[1] Securitized debt represents third-party liabilities of consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that eliminate on consolidation. The third-party beneficial interest holders in the VIEs have no recourse to the general credit of the Company. (See Notes 12 and 17 for further discussion.)
[2] Non-Agency MBS transferred to consolidated VIEs represent assets of the consolidated VIEs that can be used only to settle the obligations of each respective VIE.