|
REAL ESTATE RELATED LOANS (Tables)
|
6 Months Ended |
|
Jun. 30, 2012
|
| Notes to Financial Statements |
|
| Schedule of Real Estate Loans and Other Receivables |
| Loan Type |
|
Outstanding
Face Amount |
|
|
Carrying Value (A) |
|
|
Loan Count |
|
|
Wtd. Avg. Yield |
|
|
Weighted Average Coupon |
|
|
Weighted Average Maturity (Years) (B) |
|
|
Floating Rate Loans as a % of Face Amount |
|
|
Delinquent Face Amount (C) |
|
| Mezzanine Loans |
|
$ |
608,953 |
|
|
$ |
486,572 |
|
|
|
17 |
|
|
|
10.20 |
% |
|
|
7.90 |
% |
|
|
2.1 |
|
|
|
71.2 |
% |
|
$ |
12,000 |
|
| Corporate Bank Loans |
|
|
300,663 |
|
|
|
189,328 |
|
|
|
6 |
|
|
|
19.62 |
% |
|
|
9.70 |
% |
|
|
2.3 |
|
|
|
51.1 |
% |
|
|
1,397 |
|
| B-Notes |
|
|
207,981 |
|
|
|
185,701 |
|
|
|
7 |
|
|
|
11.32 |
% |
|
|
5.51 |
% |
|
|
2.5 |
|
|
|
71.4 |
% |
|
|
|
|
| Whole Loans |
|
|
30,352 |
|
|
|
30,352 |
|
|
|
3 |
|
|
|
5.17 |
% |
|
|
3.87 |
% |
|
|
1.5 |
|
|
|
95.9 |
% |
|
|
|
|
| Total Real Estate Related Loans Held-for-Sale, Net |
|
$ |
1,147,949 |
|
|
$ |
891,953 |
|
|
|
33 |
|
|
|
12.26 |
% |
|
|
7.83 |
% |
|
|
2.2 |
|
|
|
66.6 |
% |
|
$ |
13,397 |
|
| Non-Securitized Manufactured Housing Loan Portfolio I |
|
$ |
640 |
|
|
$ |
169 |
|
|
|
18 |
|
|
|
39.15 |
% |
|
|
8.01 |
% |
|
|
0.7 |
|
|
|
0.0 |
% |
|
$ |
45 |
|
| Non-Securitized Manufactured Housing Loan Portfolio II |
|
|
3,682 |
|
|
|
2,777 |
|
|
|
126 |
|
|
|
15.48 |
% |
|
|
10.10 |
% |
|
|
5.7 |
|
|
|
8.0 |
% |
|
|
524 |
|
| Total Residential Mortgage Loans Held-for-Sale, Net
(D) |
|
$ |
4,322 |
|
|
$ |
2,946 |
|
|
|
144 |
|
|
|
16.84 |
% |
|
|
9.79 |
% |
|
|
5.0 |
|
|
|
6.8 |
% |
|
$ |
569 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Securitized Manufactured Housing Loan Portfolio I |
|
$ |
125,948 |
|
|
$ |
105,225 |
|
|
|
3,352 |
|
|
|
9.48 |
% |
|
|
8.67 |
% |
|
|
6.9 |
|
|
|
0.9 |
% |
|
$ |
978 |
|
| Securitized Manufactured Housing Loan Portfolio II |
|
|
165,494 |
|
|
|
162,402 |
|
|
|
5,733 |
|
|
|
7.54 |
% |
|
|
9.64 |
% |
|
|
5.8 |
|
|
|
17.0 |
% |
|
|
3,370 |
|
| Residential Loans |
|
|
58,523 |
|
|
|
43,470 |
|
|
|
207 |
|
|
|
7.67 |
% |
|
|
2.56 |
% |
|
|
6.5 |
|
|
|
100.0 |
% |
|
|
7,914 |
|
| Total Residential Mortgage Loans Held- for-Investment, Net (D) (E) |
|
$ |
349,965 |
|
|
$ |
311,097 |
|
|
|
9,292 |
|
|
|
8.21 |
% |
|
|
8.10 |
% |
|
|
6.3 |
|
|
|
25.1 |
% |
|
$ |
12,262 |
|
| Subprime Mortgage Loans Subject to Call Option |
|
$ |
406,217 |
|
|
$ |
405,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Aging Schedule of Past Due Residential Loans Held For Investment |
| |
|
30-59 Days Past Due |
|
|
60-89 Days Past Due |
|
|
Over 90 Days Past Due |
|
|
REO |
|
|
Total Past Due |
|
|
Current |
|
|
Total Outstanding Face Amount |
|
| Securitized Manufactured Housing Loan Portoflio I |
|
$ |
467 |
|
|
$ |
344 |
|
|
$ |
401 |
|
|
$ |
233 |
|
|
$ |
1,445 |
|
|
$ |
124,503 |
|
|
$ |
125,948 |
|
| Securitized Manufactured Housing Loan Portoflio II |
|
$ |
1,399 |
|
|
$ |
838 |
|
|
$ |
1,370 |
|
|
$ |
1,162 |
|
|
$ |
4,769 |
|
|
$ |
160,725 |
|
|
$ |
165,494 |
|
| Residential Loans |
|
$ |
400 |
|
|
$ |
267 |
|
|
$ |
6,831 |
|
|
$ |
816 |
|
|
$ |
8,314 |
|
|
$ |
50,209 |
|
|
$ |
58,523 |
|
|
| Schedule of Real Estate Related Loans By Maturity |
| Year of Maturity (1)
|
|
|
Outstanding Face Amount |
|
|
Carrying Value |
|
|
Number of Loans |
|
| Delinquent (2)
|
|
|
$ |
13,397 |
|
|
$ |
611 |
|
|
|
2 |
|
| Period from July 1, 2012 to December 31, 2012 |
|
|
|
63, 454 |
|
|
|
|
|
|
|
2 |
|
| 2013 |
|
|
|
36,068 |
|
|
|
27,246 |
|
|
|
3 |
|
| 2014 |
|
|
|
406,229 |
|
|
|
283,207 |
|
|
|
10 |
|
| 2015 |
|
|
|
242,801 |
|
|
|
202,585 |
|
|
|
6 |
|
| 2016 |
|
|
|
274,102 |
|
|
|
272,306 |
|
|
|
5 |
|
| 2017 |
|
|
|
95,602 |
|
|
|
91,536 |
|
|
|
4 |
|
| Thereafter |
|
|
|
16,296 |
|
|
|
14,462 |
|
|
|
1 |
|
| Total |
|
|
$ |
1,147,949 |
|
|
$ |
891,953 |
|
|
|
33 |
|
|
| Schedule of Activity in Carrying Value of Real Estate Loans and Residential Mortgage Loans |
| |
|
Held-for-Sale |
|
|
Held-for-Investment |
|
| |
|
Real Estate Related Loans |
|
|
Residential Mortgage Loans |
|
|
Residential Mortgage Loans |
|
| Balance at December 31, 2011 |
|
$ |
813,580 |
|
|
$ |
2,687 |
|
|
$ |
331,236 |
|
| Purchases / additional fundings |
|
|
91,481 |
|
|
|
|
|
|
|
|
|
| Interest accrued to principal balance |
|
|
10,914 |
|
|
|
|
|
|
|
|
|
| Principal paydowns |
|
|
(36,922 |
) |
|
|
(302 |
) |
|
|
(19,708 |
) |
| Sales |
|
|
|
|
|
|
|
|
|
|
|
|
| Valuation (allowance) reversal on loans |
|
|
14,398 |
|
|
|
559 |
|
|
|
(2,703 |
) |
| Loss on repayment of loans held-for-sale |
|
|
(1,614 |
) |
|
|
|
|
|
|
|
|
| Accretion of loan discount and other amortization |
|
|
|
|
|
|
|
|
|
|
2,165 |
|
| Other |
|
|
116 |
|
|
|
2 |
|
|
|
107 |
|
| Balance at June 30, 2012 |
|
$ |
891,953 |
|
|
|
2,946 |
|
|
$ |
311,097 |
|
|
| Rollforward for loss allowance related to real estate loans |
| |
|
Held-For-Sale |
|
|
Held-For-Investment |
|
| |
|
Real Estate Related Loans |
|
|
Residential Mortgage Loans |
|
|
Residential Mortgage Loans (B) |
|
| Balance at December 31, 2011 |
|
$ |
(228,017 |
) |
|
$ |
(2,461 |
) |
|
$ |
(26,075 |
) |
| Charge-offs (A) |
|
|
17,648 |
|
|
|
602 |
|
|
|
4,295 |
|
| Valuation (allowance) reversal on loans |
|
|
14,398 |
|
|
|
559 |
|
|
|
(2,703 |
) |
| Balance at June 30, 2012 |
|
$ |
(195,971 |
) |
|
$ |
(1,300 |
) |
|
$ |
(24,483 |
) |
|
| Schedule of Excess Mortgage Servicing Rights (MSRs) |
| |
|
|
|
June
30, 2012 |
|
Six
Months Ended June 30, 2012 |
| |
|
Unpaid
Principal Balance |
|
Amortized
Cost Basis |
|
Carrying
Value (A) |
|
Weighted
Average Yield |
|
Average Maturity (Years) (B) |
|
Changes
in Fair Value Recorded in Other Income (Loss) |
| MSR
Pool 1 |
|
$ |
9,120,148 |
|
|
$ |
32,465 |
|
|
$ |
37,613 |
|
|
|
18.0 |
% |
|
|
4.7 |
|
|
$ |
4,151 |
|
| MSR Pool 1 - Recapture
Agreement |
|
|
|
|
|
|
6,111 |
|
|
|
6,067 |
|
|
|
18.0 |
% |
|
|
10.5 |
|
|
|
588 |
|
| MSR Pool 2 |
|
|
9,942,371 |
|
|
|
36,934 |
|
|
|
36,934 |
|
|
|
17.3 |
% |
|
|
4.7 |
|
|
|
|
|
| MSR Pool 2 - Recapture
Agreement |
|
|
|
|
|
|
5,904 |
|
|
|
5,904 |
|
|
|
17.3 |
% |
|
|
11.9 |
|
|
|
|
|
| MSR Pool 3 |
|
|
9,739,715 |
|
|
|
31,421 |
|
|
|
31,421 |
|
|
|
17.6 |
% |
|
|
4.7 |
|
|
|
|
|
| MSR Pool 3 - Recapture
Agreement |
|
|
|
|
|
|
5,221 |
|
|
|
5,221 |
|
|
|
17.6 |
% |
|
|
11.3 |
|
|
|
|
|
| MSR Pool 4 |
|
|
6,210,442 |
|
|
|
12,638 |
|
|
|
12,638 |
|
|
|
17.9 |
% |
|
|
4.6 |
|
|
|
|
|
| MSR Pool 4 - Recapture
Agreement |
|
|
|
|
|
|
2,969 |
|
|
|
2,969 |
|
|
|
17.9 |
% |
|
|
11.1 |
|
|
|
|
|
| MSR Pool 5 |
|
|
46,945,452 |
|
|
|
117,844 |
|
|
|
117,844 |
|
|
|
17.5 |
% |
|
|
4.8 |
|
|
|
|
|
| MSR
Pool 5 - Recapture Agreement |
|
|
|
|
|
|
8,521 |
|
|
|
8,521 |
|
|
|
17.5 |
% |
|
|
12.3 |
|
|
|
|
|
| |
|
$ |
81,958,128 |
|
|
$ |
260,028 |
|
|
$ |
265,132 |
|
|
|
17.6 |
% |
|
|
5.5 |
|
|
$ |
4,739 |
|
|
| Schedule of the Geographic Distribution of the Residential Mortgage Loans for which Excess MSRs are held |
| State Concentration |
|
Percentage of Total Outstanding |
| California |
|
|
32.5 |
% |
| Florida |
|
|
10.0 |
% |
| Washington |
|
|
4.3 |
% |
| New York |
|
|
4.1 |
% |
| Arizona |
|
|
4.0 |
% |
| Texas |
|
|
3.5 |
% |
| Colorado |
|
|
3.5 |
% |
| Maryland |
|
|
3.3 |
% |
| New Jersey |
|
|
3.2 |
% |
| Virginia |
|
|
3.0 |
% |
| Other U.S. |
|
|
28.6 |
% |
| |
|
|
100.0 |
% |
|
| Schedule of Holdings in Subprime Mortgage Loans |
| |
|
Subprime Portfolio |
|
|
|
|
| |
|
I |
|
|
II |
|
|
Total |
|
| Total securitized loans (unpaid principal balance) (A) |
|
$ |
447,144 |
|
|
$ |
585,022 |
|
|
$ |
1,032,166 |
|
| Loans subject to call option (carrying value) |
|
$ |
299,176 |
|
|
$ |
106,071 |
|
|
$ |
405,247 |
|
| Retained interests (fair value) (B) |
|
$ |
1,117 |
|
|
$ |
|
|
|
$ |
1,117 |
|
|
| Schedule of specific details regarding subprime mortgage holdings |
| |
|
Subprime Portfolio |
| |
|
I |
|
II |
| Loan unpaid principal balance (UPB) |
|
$ |
447,144 |
|
|
$ |
585,022 |
|
| Weighted average coupon rate of loans |
|
|
5.24 |
% |
|
|
4.61 |
% |
| Delinquencies of 60 or more days (UPB) (A) |
|
$ |
98,807 |
|
|
$ |
153,706 |
|
| Net credit losses for the six months ended June 30, 2012 |
|
$ |
17,963 |
|
|
$ |
22,916 |
|
| Cumulative net credit losses |
|
$ |
210,832 |
|
|
$ |
244,769 |
|
| Cumulative net credit losses as a % of original UPB |
|
|
14.0 |
% |
|
|
22.5 |
% |
| Percentage of ARM loans (B) |
|
|
51.5 |
% |
|
|
64.7 |
% |
| Percentage of loans with original loan-to-value ratio >90% |
|
|
10.8 |
% |
|
|
17.2 |
% |
| Percentage of interest-only loans |
|
|
21.3 |
% |
|
|
4.3 |
% |
| Face amount of debt (C) |
|
$ |
443,144 |
|
|
$ |
585,022 |
|
| Weighted average funding cost of debt (D) |
|
|
0.61 |
% |
|
|
1.22 |
% |
|