During the quarter, this portfolio generated total cash flow of $43 million, including an $8 million break-up fee related to the “ResCap” transaction, and increased in value by $14 million.

Excess MSRs

As of December 31, 2012, the total carrying value of the Company’s Excess MSR investments was $245 million, representing a 65% interest in the net MSR cash flows on five loan portfolios with a total unpaid principal balance of $77 billion.

During the quarter, these investments generated $27 million of total cash flow and increased in value by $3 million.
  • The average updated IRR with actual performance was 19%, compared to an initial expected IRR of 18%
  • Received $55 million of life-to-date total cash flow through the end of December, or 21% of the initial investment of $262 million over an average of 7 months
  • Weighted Average Constant Prepayment Rate (“CPR”) life-to-date was 12% compared to the Company’s initial CPR projection of 20%

Non-Agency RMBS

As of December 31, 2012, the Company’s Non-Agency RMBS portfolio consisted of $434 million face amount of assets (value of 66.8% of par). During the quarter, these investments generated $8 million of total cash flow and increased in value by $11 million.

II. COMMERCIAL REAL ESTATE DEBT & OTHER ASSETS

As of December 31, 2012, the Company’s commercial real estate debt and other assets portfolio consisted of $3.0 billion of diversified assets financed with $2.0 billion of primarily match funded, non-recourse debt In addition, the portfolio consisted of $188 million of senior living properties financed with $121 million of non-recourse mortgage notes. Assets included 226 commercial, residential and corporate real estate securities and loan investments with an average investment size of $12 million, 8,881 mortgage loans backed by residential real estate, and 12 senior living properties.

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