Quarterly report pursuant to Section 13 or 15(d)

Securities valued based on internal pricing models (Details)

v2.4.0.6
Securities valued based on internal pricing models (Details) (USD $)
In Thousands, unless otherwise specified
 3 Months Ended
Mar. 31, 2013
Amortized Cost Basis $ 2,382,692 [1],[2]
Fair Value 2,495,473
Gains - Gross Unrealized 124,795 [1]
CMBS Conduit
  
Amortized Cost Basis 215,404
Gains - Gross Unrealized 54,263
CMBS Large Loan
  
Amortized Cost Basis 5,643
Gains - Gross Unrealized 205
Non-Agency RMBS
  
Amortized Cost Basis 535,908 [3]
Fair Value 583,900
Gains - Gross Unrealized 49,218 [3]
ABS Franchise
  
Amortized Cost Basis 1,490 [2]
Fair Value 1,384
Gains - Gross Unrealized 219
CDOs
  
Amortized Cost Basis 66,747 [2],[4]
Fair Value 71,625
Gains - Gross Unrealized 4,878 [4]
Measured on a Recurring Basis | Internal Pricing Models
  
Amortized Cost Basis 65,594
Fair Value 86,933
Impairment recorded in current period 539
Gains - Gross Unrealized 21,339
Measured on a Recurring Basis | Internal Pricing Models | CMBS Conduit
  
Amortized Cost Basis 23,143
Fair Value 29,959
Impairment recorded in current period 539
Gains - Gross Unrealized 6,816
Weighted Average - Discount Rate 10.00%
Weighted Average - Prepayment Speed N/A [5]
Cumulative Default Rate 21.80%
Loss Severity 38.70%
Measured on a Recurring Basis | Internal Pricing Models | CMBS Large Loan
  
Amortized Cost Basis 26,367
Fair Value 26,885
Impairment recorded in current period   
Gains - Gross Unrealized 518
Weighted Average - Discount Rate 2.50%
Weighted Average - Prepayment Speed N/A [5]
Cumulative Default Rate 31.30%
Loss Severity 31.30%
Measured on a Recurring Basis | Internal Pricing Models | Non-Agency RMBS
  
Amortized Cost Basis 12,481
Fair Value 24,197
Impairment recorded in current period   
Gains - Gross Unrealized 11,716
Weighted Average - Discount Rate 8.00%
Weighted Average - Prepayment Speed 2.80% [5]
Cumulative Default Rate 19.90%
Loss Severity 43.00%
Measured on a Recurring Basis | Internal Pricing Models | ABS Franchise
  
Amortized Cost Basis 424
Fair Value 638
Impairment recorded in current period   
Gains - Gross Unrealized 214
Weighted Average - Discount Rate 8.00%
Weighted Average - Prepayment Speed 0.50% [5]
Cumulative Default Rate 44.10%
Loss Severity 99.70%
Measured on a Recurring Basis | Internal Pricing Models | CDOs
  
Amortized Cost Basis 3,179
Fair Value 5,254
Impairment recorded in current period   
Gains - Gross Unrealized $ 2,075
Weighted Average - Discount Rate 19.80%
Weighted Average - Prepayment Speed 5.00% [5]
Cumulative Default Rate 8.20%
Loss Severity 73.00%
[1] (G) The total outstanding face amount of fixed rate securities was $0.5 billion, and of floating rate securities was $2.4 billion.
[2] (B) Net of discounts (or gross of premiums) and after OTTI, including impairment taken during the period ended March 31, 2013.
[3] (E) Includes (i) the retained bond with a face amount of $4.0 million and a carrying value of $1.4 million from Securitization Trust 2006 (Note 4) and (ii) 53 non-agency RMBS purchased since April 2012 with an aggregate face amount of $784.3 million and a carrying value of $518.6 million as of March 31, 2013, of which an aggregate face amount of $644.7 million and a carrying value of $440.1 million is serviced by Nationstar. The total UPB of the loans underlying these Nationstar serviced non-Agency RMBS was approximately $8.3 billion as of March 31, 2013.
[4] (F) Includes two CDO bonds issued by a third party with a carrying value of $62.5 million, four CDO bonds issued by CDO V (which has been deconsolidated) and held as an investments by Newcastle with a carrying value of $5.3 million and seven CDO bonds issued by C-BASS with a carrying value of $3.9 million.
[5] (F) Projected annualized average prepayment rate.