Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS - Subprime Characteristics (Details 7)

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REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS - Subprime Characteristics (Details 7) (USD $)
In Thousands, unless otherwise specified
 9 Months Ended
Sep. 30, 2013
Loan unpaid principal balance (UPB) $ 908,208 [1]
Weighted Average Coupon 3.71% [2]
Debt Face Amount 2,048,232
Subprime Portfolio I
  
Loan unpaid principal balance (UPB) 387,199 [1]
Weighted Average Coupon 5.89%
Delinquencies of 60 or more days (UPB) 113,349 [3]
Net credit losses for the six months ended June 30, 2013 18,759
Cumulative net credit losses 239,176
Cumulative net credit losses as a % of original UPB 15.90%
Percentage of ARM loans 51.20% [4]
Percentage of loans with original loan-to-value ratio >90% 10.60%
Percentage of interest-only loans 27.60%
Debt Face Amount 383,199 [5]
Weighted average funding cost of debt 0.55% [6]
Subprime Portfolio II
  
Loan unpaid principal balance (UPB) 521,009 [1]
Weighted Average Coupon 5.20%
Delinquencies of 60 or more days (UPB) 205,941 [3]
Net credit losses for the six months ended June 30, 2013 32,448
Cumulative net credit losses 289,167
Cumulative net credit losses as a % of original UPB 26.60%
Percentage of ARM loans 56.90% [4]
Percentage of loans with original loan-to-value ratio >90% 16.80%
Percentage of interest-only loans 3.30%
Debt Face Amount $ 521,009 [5]
Weighted average funding cost of debt 0.48% [6]
[1] (A) Average loan seasoning of 98 months and 80 months for Subprime Portfolios I and II, respectively, at September 30, 2013.
[2] (G) The total outstanding face amount was $0.4 billion for fixed rate securities and $0.6 billion for floating rate securities.
[3] (A) Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or REO.
[4] (B) ARM loans are adjustable-rate mortgage loans. An option ARM is an adjustable-rate mortgage that provides the borrower with an option to choose from several payment amounts each month for a specified period of the loan term. None of the loans in the subprime portfolios are option ARMs.
[5] (C) Excludes face amount of $4.0 million of retained notes for Subprime Portfolio I at September 30, 2013.
[6] (D) Includes the effect of applicable hedges.