|
REAL ESTATE RELATED LOANS (Tables)
|
9 Months Ended |
|
Sep. 30, 2012
|
| Real Estate Related Loans Tables |
|
| Schedule of Real Estate Loans and Other Receivables |
| Loan Type |
|
Outstanding
Face Amount |
|
|
Carrying
Value (A) |
|
|
Loan
Count |
|
|
Wtd. Avg. Yield |
|
|
Weighted Average Coupon |
|
|
Weighted Average Maturity
(Years) (B) |
|
|
Floating Rate Loans as a % of Face Amount |
|
|
Delinquent Face Amount (C) |
|
| Mezzanine Loans |
|
$ |
530,343 |
|
|
$ |
443,269 |
|
|
|
17 |
|
|
|
10.79 |
% |
|
|
8.55 |
% |
|
|
2.3 |
|
|
|
67.0 |
% |
|
$ |
12,000 |
|
| Corporate Bank Loans |
|
|
334,855 |
|
|
|
180,044 |
|
|
|
7 |
|
|
|
20.05 |
% |
|
|
9.51 |
% |
|
|
1.9 |
|
|
|
40.7 |
% |
|
|
|
|
| B-Notes |
|
|
207,494 |
|
|
|
188,748 |
|
|
|
7 |
|
|
|
10.79 |
% |
|
|
5.51 |
% |
|
|
2.4 |
|
|
|
71.4 |
% |
|
|
|
|
| Whole Loans |
|
|
30,242 |
|
|
|
30,242 |
|
|
|
3 |
|
|
|
5.20 |
% |
|
|
3.84 |
% |
|
|
1.3 |
|
|
|
96.3 |
% |
|
|
|
|
| Total Real Estate Related Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Held-for-Sale, Net |
|
$ |
1,102,934 |
|
|
$ |
842,303 |
|
|
|
34 |
|
|
|
12.57 |
% |
|
|
8.14 |
% |
|
|
2.2 |
|
|
|
60.7 |
% |
|
$ |
12,000 |
|
| Non-Securitized Manufactured Housing Loan Portfolio I |
|
$ |
591 |
|
|
$ |
151 |
|
|
|
16 |
|
|
|
38.88 |
% |
|
|
7.83 |
% |
|
|
0.7 |
|
|
|
0.0 |
% |
|
$ |
56 |
|
| Non-Securitized Manufactured Housing Loan Portfolio II |
|
|
3,144 |
|
|
|
2,415 |
|
|
|
117 |
|
|
|
15.47 |
% |
|
|
10.03 |
% |
|
|
5.5 |
|
|
|
9.2 |
% |
|
|
370 |
|
| Total Residential Mortgage Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Held-for-Sale, Net (D) |
|
$ |
3,735 |
|
|
$ |
2,566 |
|
|
|
133 |
|
|
|
16.85 |
% |
|
|
9.68 |
% |
|
|
4.7 |
|
|
|
7.7 |
% |
|
$ |
426 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Securitized Manufactured Housing Loan Portfolio I |
|
$ |
122,453 |
|
|
$ |
102,745 |
|
|
|
3,268 |
|
|
|
9.48 |
% |
|
|
8.66 |
% |
|
|
6.9 |
|
|
|
0.8 |
% |
|
$ |
990 |
|
| Securitized Manufactured Housing Loan Portfolio II |
|
|
158,542 |
|
|
|
155,933 |
|
|
|
5,534 |
|
|
|
7.51 |
% |
|
|
9.64 |
% |
|
|
5.7 |
|
|
|
16.9 |
% |
|
|
2,676 |
|
| Residential Loans |
|
|
57,163 |
|
|
|
42,692 |
|
|
|
202 |
|
|
|
7.56 |
% |
|
|
2.57 |
% |
|
|
6.4 |
|
|
|
100.0 |
% |
|
|
10,380 |
|
| Total Residential Mortgage Loans Held- for-Investment, Net (D) (E) |
|
$ |
338,158 |
|
|
$ |
301,370 |
|
|
|
9,004 |
|
|
|
8.19 |
% |
|
|
8.09 |
% |
|
|
6.2 |
|
|
|
25.1 |
% |
|
$ |
14,046 |
|
| Subprime Mortgage Loans Subject to Call Option |
|
$ |
406,217 |
|
|
$ |
405,525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Aging Schedule of Past Due Residential Loans Held For Investment |
| |
|
30-59 Days Past Due |
|
|
60-89 Days Past Due |
|
|
Over 90 Days Past Due |
|
|
REO |
|
|
Total Past Due |
|
|
Current |
|
|
Total Outstanding Face Amount |
|
| Securitized Manufactured Housing Loan Portoflio I |
|
$ |
839 |
|
|
$ |
263 |
|
|
$ |
383 |
|
|
$ |
344 |
|
|
$ |
1,829 |
|
|
$ |
120,624 |
|
|
$ |
122,453 |
|
| Securitized Manufactured Housing Loan Portoflio II |
|
$ |
1,159 |
|
|
$ |
313 |
|
|
$ |
1,594 |
|
|
$ |
769 |
|
|
$ |
3,835 |
|
|
$ |
154,707 |
|
|
$ |
158,542 |
|
| Residential Loans |
|
$ |
300 |
|
|
$ |
1,020 |
|
|
$ |
8,784 |
|
|
$ |
576 |
|
|
$ |
10,680 |
|
|
$ |
46,483 |
|
|
$ |
57,163 |
|
|
| Schedule of Real Estate Related Loans By Maturity |
| Year of Maturity (1)
|
|
|
Face Amount |
|
|
Carrying Value |
|
|
Loans |
|
| Delinquent (2)
|
|
|
$ |
12,000 |
|
|
$ |
|
|
|
|
1 |
|
| Period from October 1, 2012 to December 31, 2012 |
|
|
|
59,644 |
|
|
|
16,695 |
|
|
|
1 |
|
| 2013 |
|
|
|
35,970 |
|
|
|
27,501 |
|
|
|
3 |
|
| 2014 |
|
|
|
394,090 |
|
|
|
243,428 |
|
|
|
12 |
|
| 2015 |
|
|
|
249,537 |
|
|
|
210,614 |
|
|
|
7 |
|
| 2016 |
|
|
|
240,252 |
|
|
|
238,457 |
|
|
|
5 |
|
| 2017 |
|
|
|
95,483 |
|
|
|
91,321 |
|
|
|
4 |
|
| Thereafter |
|
|
|
15,958 |
|
|
|
14,287 |
|
|
|
1 |
|
| |
Total |
|
|
$ |
1,102,934 |
|
|
$ |
842,303 |
|
|
|
34 |
|
|
| Schedule of Activity in Carrying Value of Real Estate Loans and Residential Mortgage Loans |
|
|
Held-for-Sale |
|
|
Held-for-Investment |
|
| |
|
Real Estate Related Loans |
|
|
Residential Mortgage Loans |
|
|
Residential Mortgage Loans |
|
| Balance at December 31, 2011 |
|
$ |
813,580 |
|
|
$ |
2,687 |
|
|
$ |
331,236 |
|
| Purchases / additional fundings |
|
|
91,481 |
|
|
|
|
|
|
|
|
|
| Interest accrued to principal balance |
|
|
16,759 |
|
|
|
|
|
|
|
|
|
| Principal paydowns |
|
|
(89,243 |
) |
|
|
(622 |
) |
|
|
(29,448 |
) |
| Sales |
|
|
|
|
|
|
|
|
|
|
|
|
| Valuation (allowance) reversal on loans |
|
|
10,879 |
|
|
|
482 |
|
|
|
(3,201 |
) |
| Loss on repayment of loans held-for-sale |
|
|
(1,614 |
) |
|
|
|
|
|
|
|
|
| Accretion of loan discount and other amortization |
|
|
|
|
|
|
|
|
|
|
3,208 |
|
| Other |
|
|
461 |
|
|
|
19 |
|
|
|
(425 |
) |
| Balance at September 30, 2012 |
|
$ |
842,303 |
|
|
|
2,566 |
|
|
$ |
301,370 |
|
|
| Rollforward for loss allowance related to real estate loans |
| |
|
Held-For-Sale |
|
|
Held-For-Investment |
|
| |
|
Real Estate
Related Loans |
|
|
Residential Mortgage
Loans |
|
|
Residential Mortgage
Loans (B) |
|
| Balance at December 31, 2011 |
|
$ |
(228,017 |
) |
|
$ |
(2,461 |
) |
|
$ |
(26,075 |
) |
| Charge-offs (A) |
|
|
17,648 |
|
|
|
870 |
|
|
|
6,363 |
|
| Valuation (allowance) reversal on loans |
|
|
10,879 |
|
|
|
482 |
|
|
|
(3,201 |
) |
| Balance at September 30, 2012 |
|
$ |
(199,490 |
) |
|
$ |
(1,109 |
) |
|
$ |
(22,913 |
) |
|
| Schedule of Excess Mortgage Servicing Rights (MSRs) |
|
|
|
|
|
September 30, 2012 |
|
|
Nine Months Ended September 30, 2012 |
|
| |
|
Unpaid Principal
Balance |
|
|
Amortized Cost Basis (A) |
|
|
Carrying Value (B) |
|
|
Weighted Average Yield |
|
|
Average Maturity (Years) (C) |
|
|
Changes in Fair Value Recorded in Other Income (Loss) (D) |
|
| MSR Pool 1 |
|
$ |
8,761,705 |
|
|
$ |
31,360 |
|
|
$ |
36,430 |
|
|
|
18.0 |
% |
|
|
4.7 |
|
|
$ |
4,902 |
|
| MSR Pool 1 - Recapture Agreement |
|
|
|
|
|
|
4,999 |
|
|
|
5,473 |
|
|
|
18.0 |
% |
|
|
10.6 |
|
|
|
275 |
|
| MSR Pool 2 |
|
|
9,734,046 |
|
|
|
34,729 |
|
|
|
35,024 |
|
|
|
17.3 |
% |
|
|
4.9 |
|
|
|
295 |
|
| MSR Pool 2 - Recapture Agreement |
|
|
|
|
|
|
5,820 |
|
|
|
6,251 |
|
|
|
17.3 |
% |
|
|
11.7 |
|
|
|
431 |
|
| MSR Pool 3 |
|
|
9,413,001 |
|
|
|
29,195 |
|
|
|
31,037 |
|
|
|
17.6 |
% |
|
|
4.7 |
|
|
|
1,842 |
|
| MSR Pool 3 - Recapture Agreement |
|
|
|
|
|
|
5,210 |
|
|
|
5,091 |
|
|
|
17.6 |
% |
|
|
11.2 |
|
|
|
(119 |
) |
| MSR Pool 4 |
|
|
6,013,872 |
|
|
|
11,875 |
|
|
|
12,451 |
|
|
|
17.9 |
% |
|
|
4.6 |
|
|
|
576 |
|
| MSR Pool 4 - Recapture Agreement |
|
|
|
|
|
|
2,952 |
|
|
|
3,073 |
|
|
|
17.9 |
% |
|
|
11.0 |
|
|
|
121 |
|
| MSR Pool 5 |
|
|
45,706,396 |
|
|
|
116,805 |
|
|
|
114,779 |
|
|
|
17.5 |
% |
|
|
4.8 |
|
|
|
(2,026 |
) |
| MSR Pool 5 - Recapture Agreement |
|
|
|
|
|
|
8,522 |
|
|
|
8,738 |
|
|
|
17.5 |
% |
|
|
12.1 |
|
|
|
216 |
|
| |
|
$ |
79,629,020 |
|
|
$ |
251,467 |
|
|
$ |
258,347 |
|
|
|
17.6 |
% |
|
|
5.5 |
|
|
$ |
6,513 |
|
|
| Schedule of the Geographic Distribution of the Residential Mortgage Loans for which Excess MSRs are held |
| State Concentration |
|
Percentage of Total Outstanding |
|
| California |
|
|
32.3 |
% |
| Florida |
|
|
10.1 |
% |
| Washington |
|
|
4.3 |
% |
| New York |
|
|
4.2 |
% |
| Arizona |
|
|
4.0 |
% |
| Texas |
|
|
3.6 |
% |
| Colorado |
|
|
3.5 |
% |
| Maryland |
|
|
3.3 |
% |
| New Jersey |
|
|
3.1 |
% |
| Virginia |
|
|
3.0 |
% |
| Other U.S. |
|
|
28.6 |
% |
| |
|
|
100.0 |
% |
|
| Schedule of Holdings in Subprime Mortgage Loans |
|
|
Subprime Portfolio |
|
|
|
|
| |
|
I |
|
|
II |
|
|
Total |
|
| Total securitized loans (unpaid principal balance) (A) |
|
$ |
434,578 |
|
|
$ |
573,735 |
|
|
$ |
1,008,313 |
|
| Loans subject to call option (carrying value) |
|
$ |
299,176 |
|
|
$ |
106,349 |
|
|
$ |
405,525 |
|
| Retained interests (fair value) (B) |
|
$ |
381 |
|
|
$ |
|
|
|
$ |
381 |
|
|
| Schedule of specific details regarding subprime mortgage holdings |
|
|
Subprime Portfolio |
|
| |
|
I |
|
|
II |
|
| Loan unpaid principal balance (UPB) |
|
$ |
434,578 |
|
|
$ |
573,735 |
|
| Weighted average coupon rate of loans |
|
|
5.39 |
% |
|
|
4.59 |
% |
| Delinquencies of 60 or more days (UPB) (A) |
|
$ |
100,159 |
|
|
$ |
165,693 |
|
| Net credit losses for the nine months ended September 30, 2012 |
|
$ |
24,034 |
|
|
$ |
29,599 |
|
| Cumulative net credit losses |
|
$ |
216,903 |
|
|
$ |
251,452 |
|
| Cumulative net credit losses as a % of original UPB |
|
|
14.4 |
% |
|
|
23.1 |
% |
| Percentage of ARM loans (B) |
|
|
51.4 |
% |
|
|
64.6 |
% |
| Percentage of loans with original loan-to-value ratio >90% |
|
|
10.6 |
% |
|
|
17.2 |
% |
| Percentage of interest-only loans |
|
|
21.0 |
% |
|
|
4.2 |
% |
| Face amount of debt (C) |
|
$ |
430,578 |
|
|
$ |
573,735 |
|
| Weighted average funding cost of debt (D) |
|
|
0.58 |
% |
|
|
1.16 |
% |
|