Quarterly report pursuant to Section 13 or 15(d)

Schedule of details subprime mortgage loans (Details)

v2.4.0.6
Schedule of details subprime mortgage loans (Details) (USD $)
In Thousands, unless otherwise specified
 9 Months Ended
Sep. 30, 2012
Loan unpaid principal balance (UPB) $ 1,008,313
Subprime Portfolio I
  
Loan unpaid principal balance (UPB) 434,578
Weighted average coupon rate of loans 5.39%
Delinquencies of 60 or more days (UPB) (A) 100,159
Net credit losses for the six months ended June 30, 2012 24,034
Cumulative net credit losses 216,903
Cumulative net credit losses as a % of original UPB 14.40%
Percentage of ARM loans (B) 51.40%
Percentage of loans with original loan-to-value ratio >90% 10.60%
Percentage of interest-only loans 21.00%
Face amount of debt (C) 430,578
Weighted average funding cost of debt (D) 0.58%
Subprime Portfolio II
  
Loan unpaid principal balance (UPB) 573,735
Weighted average coupon rate of loans 4.59%
Delinquencies of 60 or more days (UPB) (A) 165,693
Net credit losses for the six months ended June 30, 2012 29,599
Cumulative net credit losses 251,452
Cumulative net credit losses as a % of original UPB 23.10%
Percentage of ARM loans (B) 64.60%
Percentage of loans with original loan-to-value ratio >90% 17.20%
Percentage of interest-only loans 4.20%
Face amount of debt (C) $ 573,735
Weighted average funding cost of debt (D) 1.16%