Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS - Subprime Characteristics (Details 6)

v3.3.0.814
REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS - Subprime Characteristics (Details 6)
$ in Thousands
 9 Months Ended
Sep. 30, 2015
USD ($)
Financing Receivable, Impaired [Line Items]  
Loan unpaid principal balance (UPB) $ 693,873 [1]
Debt Face Amount 972,197
Subprime Portfolio I [Member]  
Financing Receivable, Impaired [Line Items]  
Loan unpaid principal balance (UPB) $ 285,550 [1]
Weighted Average Coupon 5.59%
Delinquencies of 60 or more days (UPB) $ 60,932 [2]
Net credit losses 12,455
Cumulative net credit losses $ 284,485
Cumulative net credit losses as a % of original UPB 18.90%
Percentage of ARM loans 51.00% [3]
Percentage of loans with original loan-to-value ratio >90% 11.00%
Percentage of interest-only loans 1.80%
Debt Face Amount $ 281,301 [4]
Weighted average funding cost of debt 0.56% [5]
Subprime Portfolio II [Member]  
Financing Receivable, Impaired [Line Items]  
Loan unpaid principal balance (UPB) $ 408,323 [1]
Weighted Average Coupon 4.46%
Delinquencies of 60 or more days (UPB) $ 122,962 [2]
Net credit losses 16,432
Cumulative net credit losses $ 353,529
Cumulative net credit losses as a % of original UPB 32.50%
Percentage of ARM loans 63.40% [3]
Percentage of loans with original loan-to-value ratio >90% 16.90%
Percentage of interest-only loans 3.50%
Debt Face Amount $ 406,027 [4]
Weighted average funding cost of debt 0.34% [5]
[1] Average loan seasoning of 122 months and 104 months for Subprime Portfolios I and II, respectively, at September 30, 2015.
[2] Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or REO.
[3] 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.
[4] Excludes face amount of $4.0 million of retained notes for Subprime Portfolio I and overcollateralization of $0.2 million and $2.3 million on Subprime Portfolio I and II, respectively, at September 30, 2015.
[5] Includes the effect of applicable hedges, if any.