Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v2.4.0.6
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2012
Notes to Financial Statements  
Schedule Of Carrying Value and Fair Value Of Assets and Liabilities

 

    Principal                     Weighted     Weighted  
    Balance or                     Average     Average  
    Notional     Carrying     Estimated     Fair Value   Yield/Funding     Maturity  
    Amount     Value     Fair Value     Method (A)   Cost     (Years)  
Assets                                  
Non-Recourse VIE Financing Structures (F)                                  
Financial instruments:                                  
Real estate securities, available-for-sale*   $ 1,895,695     $ 1,505,791     $ 1,505,791     Broker quotations, counterparty quotations, pricing services, pricing models     9.47 %     4.1  
Real estate related loans, held-for-sale, net     1,147,949       891,953       898,618     Broker quotations, counterparty quotations, pricing services, pricing models     12.26 %     2.2  
Residential mortgage loans, held-for-investment, net     349,965       311,097       308,810     Pricing models     8.21 %     6.3  
Subprime mortgage loans subject to call option (B)     406,217       405,247       405,247   (B)      9.09 %     (B)  
Restricted cash*     62,692       62,692       62,692                      
Derivative assets, treated as hedges (C)(E)*     122,665       504       504     Counterparty quotations     N/A       (C)  
Non-hedge derivative assets (D)(E)*     42,428       462       462     Counterparty quotations     N/A       (D)  
Operating real estate, held-for-sale             7,737       7,737                      
Other investments             18,883       18,883                      
Receivables and other assets             51,653       51,653                      
            $ 3,256,019     $ 3,260,397                      
Recourse Financing Structures and Unlevered Assets                                            
Financial instruments:                                            
Real estate securities, available-for-sale*   $ 738,461     $ 532,609     $ 532,609     Broker quotations, counterparty quotations, pricing services, pricing models     3.20 %     3.5  
Residential mortgage loans, held-for-sale, net     4,322       2,946       2,946     Pricing models     16.84 %     5.0  
Investments in excess mortgage servicing rights at fair value *(H)     81,958,128       265,132       265,132     Pricing models     17.6 %     5.5  
Cash and cash equivalents*     102,647       102,647       102,647                      
Other investments             6,024       6,024                      
Receivables and other assets             28,313       28,313                      
            $ 937,671     $ 937,671                    

 

 

  Principal                     Weighted     Weighted  
    Balance or                     Average     Average  
    Notional     Carrying     Estimated     Fair Value   Yield/Funding     Maturity  
    Amount     Value     Fair Value     Method (A)   Cost     (Years)  
Liabilities                                  
Non-Recourse VIE Financing Structures (F) (G)                                  
Financial instruments:                                  
CDO bonds payable   $ 2,352,789     $ 2,350,648     $ 1,539,213     Pricing models     2.65 %     3.4  
Other bonds and notes payable     180,590       179,001       181,773     Broker quotations, pricing models     4.34 %     3.3  
Repurchase agreements     5,538       5,538       5,538     Market comparables     2.25 %     0.3  
Financing of subprime mortgage loans subject to call option (B)     406,217       405,247       405,247   (B)     9.09 %     (B)  
Interest rate swaps, treated as hedges (C)(E)*     766,859       70,226       70,226     Counterparty quotations     N/A       (C)  
Non-hedge derivatives (D)(E)*     339,990       31,583       31,583     Counterparty quotations     N/A       (D)  
Accrued expenses and other liabilities             34,788       34,788                      
            $ 3,077,031     $ 2,268,368                      
Recourse Financing Structures and Other Liabilities (G)                                            
Financial instruments:                                            
Repurchase agreements   $ 317,972     $ 317,972     $ 317,972     Market comparables     0.43 %     0.1  
Junior subordinated notes payable     51,004       51,246       31,594     Pricing models     7.41 %     22.8  
Due to affiliates             8,448       8,448                      
Dividends payable, accrued expenses and other liabilities             136,263       136,263                      
            $ 513,929     $ 494,277                    

 

 
Schedule of Fair Value Of Derivative Assets

 

Year of Maturity     Weighted Average Month of Maturity     Aggregate Notional Amount     Weighted Average Fixed Pay Rate / Cap Rate     Aggregate Fair Value
 Asset / (Liability)		  
                           
Interest rate cap agreements which receive 1-Month LIBOR:          
  2015       Nov     $ 39,460       2.10 %   $ 115  
  2016       Jul       77,905       2.66 %     354  
  2017       Jan       5,300       1.86 %     35  
                $ 122,665             $ 504  
Interest rate swap agreements which receive 1-Month LIBOR:
  2014       Nov     $ 14,898       5.08 %   $ (1,603 )
  2015       May       438,529       5.42 %     (18,719 )
  2016       May       165,132       5.04 %     (17,121 )
  2017       Aug       148,300       5.28 %     (32,783 )
                $ 766,859             $ (70,226 )

 
Schedule of Fair Value of Assets and Liabilities Measured on a Recurring Basis

 

              Fair Value  
    Principal Balance or Notional Amount     Carrying Value     Level 2     Level 3A     Level 3B     Total  
Assets:                                    
Real estate securities, available-for-sale:                                    
CMBS   $ 1,470,012     $ 1,163,222     $ —     $ 929,807     $ 233,415     $ 1,163,222  
REIT debt     120,288       123,097       123,097       —       —       123,097  
ABS - subprime     421,669       252,740       —       183,947       68,793       252,740  
ABS - other real estate     38,843       30,981       —       29,875       1,106       30,981  
FNMA / FHLMC     377,220       403,392       403,392       —       —       403,392  
CDO     206,124       64,968       —       61,011       3,957       64,968  
Real estate securities total   $ 2,634,156     $ 2,038,400     $ 526,489     $ 1,204,640     $ 307,271     $ 2,038,400  
Investments in Excess MSRs (1)   $ 81,958,128     $ 265,132     $ —     $ —     $ 265,132     $ 265,132  
                                                 
Derivative assets:                                                
Interest rate caps, treated as hedges   $ 122,665     $ 504     $ 504     $ —     $ —     $ 504  
Interest rate caps, not treated as hedges     42,428       462       462       —       —       462  
Derivative assets total   $ 165,093     $ 966     $ 966     $ —     $ —     $ 966  
                                                 
Liabilities:                                                
Derivative Liabilities:                                                
Interest rate swaps, treated as hedges   $ 766,859     $ 70,226     $ 70,226     $ —     $ —     $ 70,226  
Interest rate swaps, not treated as hedges     339,990       31,583       31,583       —       —       31,583  
Derivative liabilities total   $ 1,106,849     $ 101,809     $ 101,809     $ —     $ —     $ 101,809  

 
Schedule of Change in Fair Value of Level 3 Investments

 

    Level 3A  
    CMBS     ABS     Equity/Other        
    Conduit     Other     Subprime     Other     Securities     Total  
Balance at December 31, 2011   $ 816,283     $ 132,435     $ 66,141     $ 31,188     $ 52,047     $ 1,098,094  
Transfers (A)                                                
Transfers from Level 3B     6,056       4,057       —       —       —       10,113  
Transfers into Level 3B     (35,796 )     (14,105 )     (11,057 )     (5 )     —       (60,963 )
Total gains (losses) (B)                                                
Included in net income (C)     1,202       —       —       —       —       1,202  
Included in other comprehensive income (loss)     47,119       3,564       2,632       1,354       8,111       62,780  
Amortization included in interest income     15,639       740       3,174       (43 )     2,216       21,726  
Purchases, sales and repayments                                                
Purchases     6,007       —       134,829       —       —       140,836  
Proceeds from sales     (24,551 )     —       —       —       —       (24,551 )
Proceeds from repayments     (27,591 )     (1,252 )     (11,772 )     (2,619 )     (1,363 )     (44,597 )
Balance at June 30, 2012   $ 804,368     $ 125,439     $ 183,947     $ 29,875     $ 61,011     $ 1,204,640  

 

    Level 3B  
    CMBS     ABS     Equity/Other        
    Conduit     Other     Subprime     Other     Securities     Total  
Balance at December 31, 2011   $ 140,622     $ 39,478     $ 62,481     $ 6,919     $ 3,939     $ 253,439  
Transfers (A)                                                
Transfers from Level 3A     35,796       14,105       11,057       5       —       60,963  
Transfers into Level 3A     (6,056 )     (4,057 )     —       —       —       (10,113 )
Total gains (losses) (B)                                                
Included in net income (C)     (6,663 )     (396 )     1,536       (4,092 )     —       (9,615 )
Included in other comprehensive income (loss)     3,533       1,049       (329 )     2,165       (18 )     6,400  
Amortization included in interest income     5,966       261       3,946       139       207       10,519  
Purchases, sales and repayments                                                
Purchases     39,757       —       —       —       —       39,757  
Proceeds from sales     (6,677 )     —       (3,295 )     (3,743 )     —       (13,715 )
Proceeds from repayments     (14,170 )     (9,133 )     (6,603 )     (287 )     (171 )     (30,364 )
Balance at June 30, 2012   $ 192,108     $ 41,307     $ 68,793     $ 1,106     $ 3,957     $ 307,271

 
Schedule of Gains Losses on Fair Value of RE Securities

 

    Six Months Ended June 30, 2012  
    Level 3A     Level 3B  
Gain (loss) on settlement of investments, net   $ 1,204     $ 4,056  
Other income (loss), net     —       —  
OTTI     (2 )     (13,671 )
Total   $ 1,202     $ (9,615 )
                 
Gain (loss) on settlement of investments, net, from investments transferred into Level 3  during the period   $ —     $ —

Schedule of Securities Valuation Methodology And Results

 

              Fair Value  
    Outstanding     Amortized                 Internal        
    Face     Cost     Multiple     Single     Pricing        
Asset Type   Amount (A)     Basis (B)     Quotes (C)     Quote (D)     Models (E)     Total  
                                     
CMBS   $ 1,470,012     $ 1,103,585     $ 825,826     $ 103,981     $ 233,415     $ 1,163,222  
REIT debt     120,288       119,542       38,131       84,966       —       123,097  
ABS - subprime     421,669       244,838       150,321       33,626       68,793       252,740  
ABS - other real estate     38,843       29,274       28,954       921       1,106       30,981  
FNMA / FHLMC     377,220       400,531       242,144       161,248       —       403,392  
CDO     206,124       68,513       2,750       58,261       3,957       64,968  
Total   $ 2,634,156     $ 1,966,283     $ 1,288,126     $ 443,003     $ 307,271     $ 2,038,400  

 
Securities valued based on internal pricing models

 

              Impairment     Unrealized Gains     Assumption Ranges
    Amortized           Recorded     (Losses) in             Cumulative    
    Cost           In Current     Accumulated     Discount   Prepayment   Default   Loss
    Basis (B)     Fair Value     Period     OCI     Rate   Speed (F)   Rate   Severity
CMBS - Conduit   $ 165,184     $ 192,108     $ 12,802     $ 26,924       10%     N/A     0% - 100%     0% - 100%
CMBS - Large loan / single borrower     42,490       41,307       —       (1,183 )     5% - 10%     N/A     0% - 100%     0% - 100%
ABS - subprime     59,062       68,793       804       9,731       8%     0% - 10%     24% - 88%     60% - 100%
ABS - other RE     1,086       1,106       64       20       8%     1% - 4%     30% - 46%     90% - 100%
CDO     4,259       3,957       —       (302 )     14%     4%     14%     80%
Total   $ 272,081     $ 307,271     $ 13,670     $ 35,190                          

 
Schedule of fair value for real estate related loans and residential mortgage loans held for sale

 

                      Valuation            
    Outstanding                 Allowance/     Significant Input Ranges
    Face     Carrying     Fair     (Reversal) In     Discount   Loss  
Loan Type   Amount     Value     Value     Current Year     Rate   Severity  
Mezzanine   $ 608,953     $ 486,572     $ 493,221     $ (1,788 )   8.0% - 15.0%     0.0% - 100.0%  
Bank Loan     300,663       189,328       189,328       (12,064 )   7.7% - 29.0%     0.0% - 68.0%  
B-Note     207,981       185,701       185,701       (546 )   6.2% - 15.0%     0.0%
Whole Loan     30,352       30,352       30,368       —     5.1% - 7.1%     0.0%
Total Real Estate Related Loans Held-for-Sale, Net   $ 1,147,949     $ 891,953     $ 898,618     $ (14,398 )            

 

                      Valuation      
                      Allowance/                          
    Outstanding                 (Reversal)     Significant Input Ranges  
    Face     Carrying     Fair     In     Discount     Prepayment     Constant     Loss  
Loan Type   Amount     Value     Value     Current Year     Rate     Speed     Default Rate   Severity  
Non-securitized Manufactured Housing Loans Portfolio I   $ 640     $ 169     $ 169     $ 14       39.2 %     0.0 %     52.9 %     75.0 %
Non-securitized Manufactured Housing Loans Portfolio II     3,682       2,777       2,777       (573 )     15.5 %     5.0 %     3.5 %     80.0 %
Total Residential Mortgage Loans Held-for-Sale, Net   $ 4,322     $ 2,946     $ 2,946     $ (559 )                              

 
Schedule of fair value for residential mortgage loans held for investment

 

                            Significant Input Ranges
Loan Type   Outstanding Face Amount     Carrying Value     Fair Value     Valuation Allowance/
(Reversal) In Current Year		     Discount Rate   Prepayment Speed   Constant Default Rate   Loss Severity
Securitized Manufactured Housing Loans Portoflio I   $ 125,948     $ 105,225     $ 105,441     $ 810       9.5%     4.0%     4.0%     75.0%
Securitized Manufactured Housing Loans Portfolio II     165,494       162,402       159,737       2,074       7.5%     5.0%     3.5%     80.0%
Residential Loans     58,523       43,470       43,632       (181 )     4.7% - 7.9%     0.0% - 5.0%     0.0% - 3.0%     0.0% - 50.0%
Total Residential Mortgage Loans, Held-for-Investment, Net   $ 349,965     $ 311,097     $ 308,810     $ 2,703                          

 
Schedule of Fair Value Inputs in Valuing Excess MSRs

 

  Significant Input Ranges  
    Prepayment Speed (A)     Delinquency (B)     Recapture Rate (C)     Excess Mortgage Servicing Amount (D)   Discount Rate  
MSR Pool 1     20.0 %     10.0 %     35.0 %   29 bps     18.0 %
MSR Pool 1 - Recapture Agreement     8.0 %     10.0 %     35.0 %    21 bps     18.0 %
MSR Pool 2     18.0 %     11.0 %     35.0 %    23 bps     17.3 %
MSR Pool 2 - Recapture Agreement     8.0 %     10.0 %     35.0 %    21 bps     17.3 %
MSR Pool 3     18.0 %     12.0 %     35.0 %   23 bps     17.6 %
MSR Pool 3 - Recapture Agreement     8.0 %     10.0 %     35.0 %    21 bps     17.6 %
MSR Pool 4     19.0 %     16.0 %     35.0 %    17 bps     17.9 %
MSR Pool 4 - Recapture Agreement     8.0 %     10.0 %     35.0 %    21 bps     17.9 %
MSR Pool 5     15.0 %     N/A (E)     35.0 %    13 bps     17.5 %
MSR Pool 5 - Recapture Agreement     8.0 %     N/A (E)     35.0 %   21 bps     17.5 %

 
Schedule of MSRs valued on a recurring basis using Level 3B inputs

 

    Level 3B (A)  
    MSR Pool 1     MSR Pool 2     MSR Pool 3     MSR Pool 4     MSR Pool 5     Total  
Balance at December 31, 2011   $ 43,971     $ —     $ —     $ —     $ —     $ 43,971  
Transfers (B)                                                
Transfers from Level 3A     —       —       —       —       —       —  
Transfers into Level 3A     —       —       —       —       —       —  
Gains (losses) included in net income (C)     4,739       —       —       —       —       4,739  
Interest income     3,884       488       424       168       1,552       6,516  
Purchases, sales and repayments                                                
Purchases     —       43,872       36,218       15,439       124,813       220,342  
Purchase adjustments     (178 )     (1,522 )     —       —       —       (1,700 )
Proceeds from sales     —       —       —       —       —       —  
Proceeds from repayments     (8,736 )     —       —       —       —       (8,736 )
Balance at June 30, 2012   $ 43,680     $ 42,838     $ 36,642     $ 15,607     $ 126,365     $ 265,132  

 
Schedule of Fair Value of Derivatives

 

      Fair Value  
        June 30,     December 31,  
    Balance sheet location   2012     2011  
                 
Derivative Assets                
Interest rate caps, designated as hedges   Derivative Assets   $ 504     $ 1,092  
Interest rate caps, not designated as hedges   Derivative Assets     462       862  
        $ 966     $ 1,954  
Derivative Liabilities                    
Interest rate swaps, designated as hedges   Derivative Liabilities   $ 70,226     $ 90,025  
Interest rate swaps, not designated as hedges   Derivative Liabilities     31,583       29,295  
        $ 101,809     $ 119,320  

 
Schedule of Outstanding Derivatives

 

    June 30, 2012     December 31, 2011  
Cash flow hedges            
Notional amount of interest rate swap agreements   $ 766,859     $ 848,434  
Notional amount of interest rate cap agreements     122,665       104,205  
Amount of (loss) recognized in OCI on effective portion     (51,397 )     (69,908 )
Deferred hedge gain (loss) related to anticipated financings,  which have subsequently occurred, net of amortization     269       299  
Deferred hedge gain (loss) related to dedesignation,  net of amortization     (1,515 )     (893 )
Expected reclassification of deferred hedges from AOCI into earnings over the next 12 months     799       1,688  
                 
Expected reclassification of current hedges from AOCI into  earnings over the next 12 months     (28,666 )     (35,348 )
                 
Non-hedge Derivatives                
Notional amount of interest rate swap agreements     339,990       316,600  
Notional amount of interest rate cap agreements     42,428       36,428  

 
Schedule of Gain Loss on Derivatives

 

     

Three Months Ended

June 30,

    

Six Months Ended

June 30,

  
    Income statement location   2012     2011     2012     2011  
Cash flow hedges                            
Gain (loss) on the ineffective portion   Other income (loss)   $ 453     $ 17     $ 483     $ 300  
Gain (loss) immediately recognized at dedesignation   Gain (loss) on sale of investments; Other income (loss)     (6,760 )     (8,481 )     (7,036 )     (13,796 )
Amount of gain (loss) reclassified from AOCI into income, related to effective portion   Interest expense     (10,290 )     (17,517 )     (20,936 )     (38,708 )
Deferred hedge gain reclassified from AOCI into income, related to anticipated financings   Interest expense     15       14       30       28  
Deferred hedge gain (loss) reclassified from AOCI into income, related to effective portion of dedesignated hedges   Interest expense     456       583       898       1,302  
Non-hedge derivatives gain (loss)   Other income (loss)     2,021       (2,528 )     4,077       2,303