Mortgage Securities (Tables)

6 Months Ended

Jun. 30, 2012

Investments, Debt and Equity Securities [Abstract]

Available-for-sale Securities

The following table presents certain information on the Company's portfolio of mortgage securities – available-for-sale as of June 30, 2012 and December 31, 2011 (dollars in thousands):

	Cost Basis		Unrealized Gain		Estimated Fair Value		Average Yield (A)
June 30, 2012	$	622	$	3,784	$	4,406	181.0	%
December 31, 2011	611		3,267		3,878		237.0

(A) The average yield is calculated from the cost basis of the mortgage securities and does not give effect to changes in fair value that are reflected as a component of shareholders' equity (deficit.)

Schedule of Variable Interest Entities

The following table relates to the securitizations where the Company retained an interest in the assets issued by the securitization trust, a variable interest entity or VIE (dollars in thousands):

	Size/Principal Outstanding (A)		Assets on Balance Sheet (B)		Liabilities on Balance Sheet		Maximum Exposure to Loss(C)		Year to Date Loss on Sale		Year to Date Cash Flows (D)
June 30, 2012	$	5,893,445	$	4,406	$	—	$	4,406	$	—	$	3,234
December 31, 2011	6,265,564		3,878		—		3,878		—		5,061

(A) Size/Principal Outstanding reflects the estimated principal of the underlying assets held by the VIE.

(B) Assets on balance sheet are securities issued by the entity and are recorded in the mortgage securities line item of the condensed consolidated balance sheets.

(C) The maximum exposure to loss includes the assets held by the Company. The maximum exposure to loss assumes a total loss on the referenced assets held by the VIE.

(D) Year to date cash flows are for the six months ended June 30, 2012 and 2011, respectively.