Quarterly report pursuant to Section 13 or 15(d)

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

v3.2.0.727
REAL ESTATE RELATED LOANS, RESIDENTIAL MORTGAGE LOANS AND SUBPRIME MORTGAGE LOANS - Subprime Characteristics (Details 6) - 6 months ended Jun. 30, 2015 - USD ($)
$ in Thousands
Total
Loan unpaid principal balance (UPB) [1] $ 719,598
Debt Face Amount 1,099,890
Subprime Portfolio I [Member]  
Loan unpaid principal balance (UPB) [1] $ 297,108
Weighted Average Coupon 5.65%
Delinquencies of 60 or more days (UPB) [2] $ 64,834
Net credit losses 10,348
Cumulative net credit losses $ 282,378
Cumulative net credit losses as a % of original UPB 18.80%
Percentage of ARM loans [3] 50.90%
Percentage of loans with original loan-to-value ratio >90% 10.70%
Percentage of interest-only loans 1.90%
Debt Face Amount [4] $ 293,108
Weighted average funding cost of debt [5] 0.55%
Subprime Portfolio II [Member]  
Loan unpaid principal balance (UPB) [1] $ 422,490
Weighted Average Coupon 4.51%
Delinquencies of 60 or more days (UPB) [2] $ 131,780
Net credit losses 12,629
Cumulative net credit losses $ 349,725
Cumulative net credit losses as a % of original UPB 32.20%
Percentage of ARM loans [3] 63.60%
Percentage of loans with original loan-to-value ratio >90% 17.10%
Percentage of interest-only loans 4.10%
Debt Face Amount [4] $ 422,490
Weighted average funding cost of debt [5] 0.34%
[1] Average loan seasoning of 119 months and 101 months for Subprime Portfolios I and II, respectively, at June 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 at June 30, 2015.
[5] Includes the effect of applicable hedges.