Quarterly report pursuant to Section 13 or 15(d)

DEBT OBLIGATIONS - Schedule of Debt Obligations (Details)

v2.4.0.6
DEBT OBLIGATIONS - Schedule of Debt Obligations (Details) (USD $)
In Thousands, unless otherwise specified
Jun. 30, 2012
Residential Mortgage Loans
 
Month Issued Aug 2006
Outstanding Face Amount $ 5,309
Carrying Value 5,309
Final Stated Maturity Dec 2034
Unhedged Weighted Average Funding Cost (A) LIBOR+0.90%
Weighted Average Funding Cost (B) 1.15%
Weighted Average Maturity (Years) 6.6
Face Amount of Floating Rate Debt 5,309
Outstanding Face Amount of Collateral (C) 54,744
Amortized Cost Basis of Collateral (C) 40,007
Carrying Value of Collateral (C) 40,007
Weighted Average Maturity (Years) Of Collateral 6.7
Floating Rate Face Amount of Collateral (C) 54,744
Aggregate Notional Amount of Current Hedges 0
CDO IV Bonds Payable
 
Month Issued March 2004
Outstanding Face Amount 94,912
Carrying Value 94,774
Final Stated Maturity March 2039
Unhedged Weighted Average Funding Cost (A) 1.85%
Weighted Average Funding Cost (B) 4.96%
Weighted Average Maturity (Years) 1.7
Face Amount of Floating Rate Debt 83,617
Outstanding Face Amount of Collateral (C) 188,784
Amortized Cost Basis of Collateral (C) 178,159
Carrying Value of Collateral (C) 167,159
Weighted Average Maturity (Years) Of Collateral 2.2
Floating Rate Face Amount of Collateral (C) 51,438
Aggregate Notional Amount of Current Hedges 83,617
CDO VI Bonds Payable
 
Month Issued April 2005
Outstanding Face Amount 91,359
Carrying Value 91,359
Final Stated Maturity April 2040
Unhedged Weighted Average Funding Cost (A) 0.90%
Weighted Average Funding Cost (B) 5.35%
Weighted Average Maturity (Years) 5.1
Face Amount of Floating Rate Debt 88,376
Outstanding Face Amount of Collateral (C) 213,627
Amortized Cost Basis of Collateral (C) 123,951
Carrying Value of Collateral (C) 142,506
Weighted Average Maturity (Years) Of Collateral 3.0
Floating Rate Face Amount of Collateral (C) 54,968
Aggregate Notional Amount of Current Hedges 88,376
CDO VIII Bonds Payable
 
Month Issued November 2006
Outstanding Face Amount 567,613
Carrying Value 566,434
Final Stated Maturity November 2052
Unhedged Weighted Average Funding Cost (A) 0.79%
Weighted Average Funding Cost (B) 2.10%
Weighted Average Maturity (Years) 2.8
Face Amount of Floating Rate Debt 560,013
Outstanding Face Amount of Collateral (C) 729,131
Amortized Cost Basis of Collateral (C) 538,300
Carrying Value of Collateral (C) 551,905
Weighted Average Maturity (Years) Of Collateral 2.8
Floating Rate Face Amount of Collateral (C) 438,747
Aggregate Notional Amount of Current Hedges 155,132
CDO IX Bonds Payable
 
Month Issued May 2007
Outstanding Face Amount 478,905
Carrying Value 480,426
Final Stated Maturity May 2052
Unhedged Weighted Average Funding Cost (A) 0.61%
Weighted Average Funding Cost (B) 0.61%
Weighted Average Maturity (Years) 2.6
Face Amount of Floating Rate Debt 478,905
Outstanding Face Amount of Collateral (C) 695,919
Amortized Cost Basis of Collateral (C) 569,341
Carrying Value of Collateral (C) 572,351
Weighted Average Maturity (Years) Of Collateral 2.8
Floating Rate Face Amount of Collateral (C) 373,904
Aggregate Notional Amount of Current Hedges 0
CDO X Bonds Payable
 
Month Issued July 2007
Outstanding Face Amount 1,120,000
Carrying Value 1,117,655
Final Stated Maturity Jul 2052
Unhedged Weighted Average Funding Cost (A) 0.59%
Weighted Average Funding Cost (B) 3.38%
Weighted Average Maturity (Years) 4.0
Face Amount of Floating Rate Debt 1,120,000
Outstanding Face Amount of Collateral (C) 1,235,436
Amortized Cost Basis of Collateral (C) 951,744
Carrying Value of Collateral (C) 998,116
Weighted Average Maturity (Years) Of Collateral 4.5
Floating Rate Face Amount of Collateral (C) 214,451
Aggregate Notional Amount of Current Hedges 811,054
Total CDO Bonds Payable
 
Outstanding Face Amount 2,352,789
Carrying Value 2,350,648
Weighted Average Funding Cost (B) 2.65%
Weighted Average Maturity (Years) 3.4
Face Amount of Floating Rate Debt 2,330,911
Outstanding Face Amount of Collateral (C) 3,062,897
Amortized Cost Basis of Collateral (C) 2,361,495
Carrying Value of Collateral (C) 2,432,037
Weighted Average Maturity (Years) Of Collateral 3.4
Floating Rate Face Amount of Collateral (C) 1,133,508
Aggregate Notional Amount of Current Hedges 1,138,179
MH Loans Portfolio I Bonds and Notes Payable
 
Month Issued Apr 2010
Outstanding Face Amount 61,345
Carrying Value 60,685
Final Stated Maturity Jul 2035
Unhedged Weighted Average Funding Cost (A) 5.44%
Weighted Average Funding Cost (B) 5.44%
Weighted Average Maturity (Years) 2.9
Face Amount of Floating Rate Debt 0
Outstanding Face Amount of Collateral (C) 125,948
Amortized Cost Basis of Collateral (C) 105,225
Carrying Value of Collateral (C) 105,225
Weighted Average Maturity (Years) Of Collateral 6.9
Floating Rate Face Amount of Collateral (C) 1,095
Aggregate Notional Amount of Current Hedges 0
MH Loans Portfolio II Bonds and Notes Payable
 
Month Issued May 2011
Outstanding Face Amount 113,936
Carrying Value 113,007
Final Stated Maturity Dec 2033
Unhedged Weighted Average Funding Cost (A) 3.90%
Weighted Average Funding Cost (B) 3.90%
Weighted Average Maturity (Years) 3.4
Face Amount of Floating Rate Debt 0
Outstanding Face Amount of Collateral (C) 165,494
Amortized Cost Basis of Collateral (C) 162,402
Carrying Value of Collateral (C) 162,402
Weighted Average Maturity (Years) Of Collateral 5.8
Floating Rate Face Amount of Collateral (C) 28,121
Aggregate Notional Amount of Current Hedges 0
Total Other Bonds And Notes Payable
 
Outstanding Face Amount 180,590
Carrying Value 179,001
Weighted Average Funding Cost (B) 4.34%
Weighted Average Maturity (Years) 3.3
Face Amount of Floating Rate Debt 5,309
Outstanding Face Amount of Collateral (C) 346,186
Amortized Cost Basis of Collateral (C) 307,634
Carrying Value of Collateral (C) 307,634
Weighted Average Maturity (Years) Of Collateral 6.3
Floating Rate Face Amount of Collateral (C) 83,960
Aggregate Notional Amount of Current Hedges 0
Real Estate Securities Repurchase Agreements
 
Month Issued Dec 2011
Outstanding Face Amount 7,384
Carrying Value 7,384
Final Stated Maturity Oct 2012
Unhedged Weighted Average Funding Cost (A) LIBOR+2.00%
Weighted Average Funding Cost (B) 2.25%
Weighted Average Maturity (Years) 0.3
Face Amount of Floating Rate Debt 7,384
Outstanding Face Amount of Collateral (C) 0
Amortized Cost Basis of Collateral (C) 0
Carrying Value of Collateral (C) 0
Weighted Average Maturity (Years) Of Collateral 0
Floating Rate Face Amount of Collateral (C) 0
Aggregate Notional Amount of Current Hedges 0
US Government Agencies Debt Securities
 
Month Issued Various
Outstanding Face Amount 316,126
Carrying Value 316,126
Final Stated Maturity Aug 2012
Unhedged Weighted Average Funding Cost (A) 0.42%
Weighted Average Funding Cost (B) 0.42%
Weighted Average Maturity (Years) 0.1
Face Amount of Floating Rate Debt 316,126
Outstanding Face Amount of Collateral (C) 315,646
Amortized Cost Basis of Collateral (C) 337,810
Carrying Value of Collateral (C) 337,810
Weighted Average Maturity (Years) Of Collateral 4.7
Floating Rate Face Amount of Collateral (C) 315,646
Aggregate Notional Amount of Current Hedges 0
Total Repurchase Agreements
 
Outstanding Face Amount 323,510
Carrying Value 323,510
Weighted Average Funding Cost (B) 0.46%
Weighted Average Maturity (Years) 0.1
Face Amount of Floating Rate Debt 323,510
Outstanding Face Amount of Collateral (C) 315,646
Amortized Cost Basis of Collateral (C) 337,810
Carrying Value of Collateral (C) 337,810
Weighted Average Maturity (Years) Of Collateral 4.7
Floating Rate Face Amount of Collateral (C) 315,646
Aggregate Notional Amount of Current Hedges 0
Junior Subordinated Debt
 
Month Issued Mar 2006
Outstanding Face Amount 51,004
Carrying Value 51,246
Final Stated Maturity Apr 2035
Unhedged Weighted Average Funding Cost (A) 7.57%; LIBOR+2.25% After Apr 2016
Weighted Average Funding Cost (B) 7.41%
Weighted Average Maturity (Years) 22.8
Face Amount of Floating Rate Debt 0
Outstanding Face Amount of Collateral (C) 0
Amortized Cost Basis of Collateral (C) 0
Carrying Value of Collateral (C) 0
Weighted Average Maturity (Years) Of Collateral 0
Floating Rate Face Amount of Collateral (C) 0
Aggregate Notional Amount of Current Hedges 0
Total Corporate
 
Outstanding Face Amount 51,004
Carrying Value 51,246
Weighted Average Funding Cost (B) 7.41%
Weighted Average Maturity (Years) 22.8
Face Amount of Floating Rate Debt 0
Outstanding Face Amount of Collateral (C) 0
Amortized Cost Basis of Collateral (C) 0
Carrying Value of Collateral (C) 0
Weighted Average Maturity (Years) Of Collateral 0
Floating Rate Face Amount of Collateral (C) 0
Aggregate Notional Amount of Current Hedges 0
Debt Securities Payable
 
Outstanding Face Amount 2,907,893
Carrying Value 2,904,405
Weighted Average Funding Cost (B) 2.59%
Weighted Average Maturity (Years) 3.3
Face Amount of Floating Rate Debt 2,659,730
Outstanding Face Amount of Collateral (C) 3,724,729
Amortized Cost Basis of Collateral (C) 3,006,939
Carrying Value of Collateral (C) 3,077,481
Weighted Average Maturity (Years) Of Collateral 3.8
Floating Rate Face Amount of Collateral (C) 1,533,114
Aggregate Notional Amount of Current Hedges 1,138,179
Financing on subprime mortgage loans subject to call option
 
Month Issued April 2006 and July 2007
Outstanding Face Amount 406,217
Carrying Value 405,247
Total Debt
 
Outstanding Face Amount 3,314,110
Carrying Value $ 3,309,652