Quarterly report pursuant to Section 13 or 15(d)

Schedule of details regarding subprime mortgage loans (Details)

v2.4.0.6
Schedule of details regarding subprime mortgage loans (Details) (USD $)
In Thousands, unless otherwise specified
 3 Months Ended
Mar. 31, 2013
Loan unpaid principal balance (UPB) $ 961,234 [1]
Weighted Average Coupon 2.84% [2]
Debt Face Amount 3,244,366
Subprime Portfolio I
  
Loan unpaid principal balance (UPB) 412,344 [1]
Weighted Average Coupon 5.69%
Delinquencies of 60 or more days (UPB) 116,551 [3]
Net credit losses for the three months ended March 31, 2013 5,947
Cumulative net credit losses 226,364
Cumulative net credit losses as a % of original UPB 15.10%
Percentage of ARM loans 50.80% [4]
Percentage of loans with original loan-to-value ratio >90% 10.60%
Percentage of interest-only loans 20.30%
Debt Face Amount 407,585 [5]
Weighted average funding cost of debt 0.57% [6]
Subprime Portfolio II
  
Loan unpaid principal balance (UPB) 548,890 [1]
Weighted Average Coupon 5.11%
Delinquencies of 60 or more days (UPB) 204,643 [3]
Net credit losses for the three months ended March 31, 2013 10,021
Cumulative net credit losses 266,740
Cumulative net credit losses as a % of original UPB 24.50%
Percentage of ARM loans 64.60% [4]
Percentage of loans with original loan-to-value ratio >90% 17.00%
Percentage of interest-only loans 4.10%
Debt Face Amount $ 548,890 [5]
Weighted average funding cost of debt 1.09% [6]
[1] (A) Average loan seasoning of 92 months and 74 months for Subprime Portfolios I and II, respectively, at March 31, 2013.
[2] (G) The total outstanding face amount of fixed rate securities was $0.5 billion, and of floating rate securities was $2.4 billion.
[3] (A) Delinquencies include loans 60 or more days past due, in foreclosure, under bankruptcy filing or real estate owned.
[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 March 31, 2013.
[6] (D) Includes the effect of applicable hedges.