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
 6 Months Ended
Jun. 30, 2013
Loan unpaid principal balance (UPB) $ 937,924 [1]
Weighted Average Coupon 3.73% [2]
Debt Face Amount 1,900,484
Subprime Portfolio I
  
Loan unpaid principal balance (UPB) 401,031 [1]
Weighted Average Coupon 5.80%
Delinquencies of 60 or more days (UPB) 111,458 [3]
Net credit losses for the six months ended June 30, 2013 12,669
Cumulative net credit losses 233,086
Cumulative net credit losses as a % of original UPB 15.50%
Percentage of ARM loans 50.80% [4]
Percentage of loans with original loan-to-value ratio >90% 10.50%
Percentage of interest-only loans 27.40%
Debt Face Amount 397,031 [5]
Weighted average funding cost of debt 0.56% [6]
Subprime Portfolio II
  
Loan unpaid principal balance (UPB) 536,893 [1]
Weighted Average Coupon 4.93%
Delinquencies of 60 or more days (UPB) 212,516 [3]
Net credit losses for the six months ended June 30, 2013 18,678
Cumulative net credit losses 275,397
Cumulative net credit losses as a % of original UPB 25.30%
Percentage of ARM loans 64.30% [4]
Percentage of loans with original loan-to-value ratio >90% 17.10%
Percentage of interest-only loans 3.70%
Debt Face Amount $ 536,893 [5]
Weighted average funding cost of debt 0.51% [6]
[1] (A) Average loan seasoning of 95 months and 77 months for Subprime Portfolios I and II, respectively, at June 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 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 June 30, 2013.
[6] (D) Includes the effect of applicable hedges.