Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Consolidated Securitization Entities on Financial Condition

The table below reflects the assets and liabilities recorded in the consolidated statements of financial condition related to the consolidated VIEs as of September 30, 2012 and December 31, 2011.

	September 30, 2012		December 31, 2011
	(dollars in thousands)
Assets
Non-Agency RMBS transferred to consolidated VIEs	$	3,235,572	$	3,270,332
Securitized loans held for investment		1,136,923		256,632
Accrued interest receivable		25,215		26,616
Liabilities
Securitized debt, collateralized by Non-Agency RMBS	$	1,252,752	$	1,630,276
Securitized debt, collateralized by loans held for investment		1,033,925		212,778
Accrued interest payable		8,477		8,130

Schedule Of Consolidated Variable Interest Entities Effects On Operating Results

Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations and Comprehensive Income is presented in the table below.

	For the Quarter Ended
	September 30, 2012			September 30, 2011
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	108,120		$	116,805
Interest expense, Non-recourse liabilities of VIEs		(32,075	)		(29,643	)
Net interest income	$	76,045		$	87,162
Total other-than-temporary impairment losses		(241	)		(36,082	)
Portion of loss recognized in other comprehensive income (loss)		(3,032	)		(100,701	)
Net other-than-temporary credit impairment losses	$	(3,273	)	$	(136,783	)
		For the Nine Months Ended:
	September 30, 2012			September 30, 2011
	(dollars in thousands)
Interest income, Assets of consolidated VIEs	$	315,962		$	339,765
Interest expense, Non-recourse liabilities of VIEs		(85,604	)		(95,002	)
Net interest income	$	230,358		$	244,763
Total other-than-temporary impairment losses	$	(7,510	)	$	(62,970	)
Portion of loss recognized in other comprehensive income (loss)		(76,164	)		(112,985	)
Net other-than-temporary credit impairment losses	$	(83,674	)	$	(175,955	)

Schedule Of Consolidated Variable Interest Entities Effects On Cash Flows

The amounts recorded on the consolidated statements of cash flows related to consolidated VIEs is presented in the table below for the periods presented.

	For the Quarter Ended
	September 30, 2012			September 30, 2011
	(dollars in thousands)
Amortization of deferred financing costs		1,215			386
Accretion (amortization) of securitized debt discounts/premiums, net		4,352			2,949
Principal payments, Non-Agency RMBS transferred to consolidated VIE's		130,869			156,180
Principal payments, Securitized loans held for investment		183,775			16,945
Proceeds from securitized debt borrowings, collateralized by loans held for investment		11,628			-
Payments on securitized debt borrowings, collateralized by loans held for investment		(182,073	)		(15,895	)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS		(122,494	)		(153,979	)
Decrease (increase) in accrued interest receivable		927			(1,689	)
Increase (decrease) in accrued interest payable		(1,080	)		(861	)
Net cash provided by/(used in) consolidated VIEs	$	27,119		$	4,036
	For the Nine Months Ended:
	September 30, 2012			September 30, 2011
	(dollars in thousands)
Amortization of deferred financing costs	$	6,480		$	1,294
Accretion (amortization) of securitized debt discounts/premiums, net		3,469			9,452
Payment of deferred financing costs		(8,073	)		-
Principal payments, Non-Agency RMBS transferred to consolidated VIE's		394,641			541,348
Principal payments, Securitized loans held for investment		297,923			65,347
Proceeds from securitized debt borrowings, collateralized by loans held for investment		1,113,154			-
Payments on securitized debt borrowings, collateralized by loans held for investment		(292,568	)		(61,054	)
Proceeds from securitized debt borrowings, collateralized by Non-Agency RMBS		-			311,012
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS		(380,432	)		(520,730	)
Decrease (increase) in accrued interest receivable		1,401			(3,592	)
Increase (decrease) in accrued interest payable		347			(1,241	)
Net cash provided by/(used in) consolidated VIEs	$	1,136,342		$	341,836

Schedule Of Non Consolidated Variable Interest Entities Effects On Financial Condition

The table below represents the carrying amounts and classification of assets recorded on the Company’s consolidated financial statements related to its variable interests in non-consolidated VIEs, as well as its maximum exposure to loss as a result of its involvement with these VIEs, which is represented by the fair value of the Company’s investments in the trusts.

	September 30, 2012				December 31, 2011
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
	(dollars in thousands)
Assets
Non-Agency RMBS
Senior	$	79	$	82	$	168	$	127
Senior interest-only		-		179		128		266
Subordinated		894		2,709		4,651		4,858
Agency RMBS		1,356		1,148		1,890		2,273
Total	$	2,329	$	4,118	$	6,837	$	7,524