Quarterly report pursuant to Section 13 or 15(d)

Schedule of details subprime mortgage loans (Details)

v2.4.0.6
Schedule of details subprime mortgage loans (Details) (USD $)
In Thousands, unless otherwise specified
 6 Months Ended
Jun. 30, 2012
Loan unpaid principal balance (UPB) $ 1,032,166
Subprime Portfolio I
  
Loan unpaid principal balance (UPB) 447,144
Weighted average coupon rate of loans 5.24%
Delinquencies of 60 or more days (UPB) (A) 98,807
Net credit losses for the six months ended June 30, 2012 17,963
Cumulative net credit losses 210,832
Cumulative net credit losses as a % of original UPB 14.00%
Percentage of ARM loans (B) 51.50%
Percentage of loans with original loan-to-value ratio >90% 10.80%
Percentage of interest-only loans 21.30%
Face amount of debt (C) 443,144
Weighted average funding cost of debt (D) 0.61%
Subprime Portfolio II
  
Loan unpaid principal balance (UPB) 585,022
Weighted average coupon rate of loans 4.61%
Delinquencies of 60 or more days (UPB) (A) 153,706
Net credit losses for the six months ended June 30, 2012 22,916
Cumulative net credit losses 244,769
Cumulative net credit losses as a % of original UPB 22.50%
Percentage of ARM loans (B) 64.70%
Percentage of loans with original loan-to-value ratio >90% 17.20%
Percentage of interest-only loans 4.30%
Face amount of debt (C) $ 585,022
Weighted average funding cost of debt (D) 1.22%