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

3 Months Ended

Mar. 31, 2013

Use of Special Purpose Entities and Variable Interest Entities

Summary of key details related to resecuritization transactions

(Dollars in Thousands)	February 2012			June 2011		February 2011		October 2010
Name of Trust (Consolidated as a VIE)	WFMLT Series 2012-RR1			CSMC Series 2011-7R		CSMC Series 2011-1R		DMSI 2010-RS2
Principal value of Non-Agency MBS sold	$	433,347		$	1,283,422	$	1,319,969	$	985,228
Face amount of Senior Bonds issued by the VIE and purchased by 3rd party investors	$	186,691		$	474,866	$	488,389	$	246,307
Outstanding amount of Senior Bonds at March 31, 2013	$	133,284		$	193,405	$	206,686	$	8,639
Pass-through rate for Senior Bonds issued	2.85		%	One-month LIBOR plus 125 basis points		One-month LIBOR plus 100 basis points		One-month LIBOR plus 125 basis points
Face amount of Senior Support Certificates received by the Company (1)	$	246,656		$	808,556	$	831,580	$	738,921
Cash received	$	186,691		$	474,866	$	488,389	$	246,307
Notional amount acquired of non-rated, interest only senior certificates	$	186,691		$	474,866	$	488,389	$	246,307
Expenses incurred (2)	$	1,814		$	3,230	$	3,527	$	3,562

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

(2)  Amortized to interest expense based upon the actual repayments of the associated beneficial interests.