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

3 Months Ended

Mar. 31, 2022

Use of Special Purpose Entities and Variable Interest Entities

Summary of key details related to securitization transactions

The following table summarizes the key details of the Company’s loan securitization transactions currently outstanding as of March 31, 2022 and December 31, 2021:

(Dollars in Thousands)	March 31, 2022				December 31, 2021
Aggregate unpaid principal balance of residential whole loans sold	$	4,554,495			$	3,984,355
Face amount of Senior Bonds issued by the VIE and purchased by third-party investors	$	4,181,681			$	3,667,790
Outstanding amount of Senior Bonds, at carrying value	$	1,173,265		(1)	$	1,334,342		(1)
Outstanding amount of Senior Bonds, at fair value	$	1,685,796			$	1,316,131
Outstanding amount of Senior Bonds, total	$	2,859,061			$	2,650,473
Weighted average fixed rate for Senior Bonds issued	2.41		%	(2)	2.01		%	(2)
Weighted average contractual maturity of Senior Bonds	38 years			(2)	36 years			(2)
Face amount of Senior Support Certificates received by the Company (3)	$	339,975			$	283,930
Cash received	$	4,193,362			$	3,682,082

(1)Net of $5.6 million and $6.8 million of deferred financing costs at March 31, 2022 and December 31, 2021, respectively.

(2)At March 31, 2022 and December 31, 2021, $707.6 million and $329.0 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100 or 300 basis points or more at 36 months from issuance if the bond is not redeemed before such date.

(3)Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions.