Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE SECURITIES - Schedule of Real Estate Securities Holdings (Details)

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REAL ESTATE SECURITIES - Schedule of Real Estate Securities Holdings (Details) (USD $)
In Thousands, unless otherwise specified
Jun. 30, 2012
Outstanding Face Amount $ 2,634,156
Before Impairment - Amortized Cost Basis 2,246,762
Other Than Temporary Investment - Amortized Cost Basis (280,479)
After Impairment - Amortized Cost Basis 1,966,283
Gains - Gross Unrealized 141,540
Losses - Gross Unrealized (69,423)
Carrying Value 2,038,400
Number of Securities 341
Rating - Weighted Average BB+
Coupon - Weighted Average 4.16%
Yield - Weighted Average 7.79%
Maturity (Years) - Weighted Average 3.9
CDOs
  
Outstanding Face Amount 206,124
Before Impairment - Amortized Cost Basis 83,374
Other Than Temporary Investment - Amortized Cost Basis (14,861)
After Impairment - Amortized Cost Basis 68,513
Gains - Gross Unrealized 25
Losses - Gross Unrealized (3,570)
Carrying Value 64,968
Number of Securities 13
Rating - Weighted Average CCC+
Coupon - Weighted Average 3.03%
Yield - Weighted Average 7.76%
Maturity (Years) - Weighted Average 1.2
Principal Subordination - Weighted Average 21.00%
US Government Agencies Debt Securities
  
Outstanding Face Amount 377,220
Before Impairment - Amortized Cost Basis 400,531
Other Than Temporary Investment - Amortized Cost Basis 0
After Impairment - Amortized Cost Basis 400,531
Gains - Gross Unrealized 3,127
Losses - Gross Unrealized (266)
Carrying Value 403,392
Number of Securities 37
Rating - Weighted Average AAA
Coupon - Weighted Average 2.48%
Yield - Weighted Average 1.39%
Maturity (Years) - Weighted Average 4.7
Principal Subordination - Weighted Average N/A
CMBS Conduit
  
Outstanding Face Amount 1,279,728
Before Impairment - Amortized Cost Basis 1,098,922
Other Than Temporary Investment - Amortized Cost Basis (168,256)
After Impairment - Amortized Cost Basis 930,666
Gains - Gross Unrealized 112,293
Losses - Gross Unrealized (46,483)
Carrying Value 996,476
Number of Securities 159
Rating - Weighted Average BB+
Coupon - Weighted Average 5.55%
Yield - Weighted Average 10.71%
Maturity (Years) - Weighted Average 3.9
Principal Subordination - Weighted Average 11.70%
CMBS Single Borrower
  
Outstanding Face Amount 175,346
Before Impairment - Amortized Cost Basis 170,879
Other Than Temporary Investment - Amortized Cost Basis (12,364)
After Impairment - Amortized Cost Basis 158,515
Gains - Gross Unrealized 3,869
Losses - Gross Unrealized (10,426)
Carrying Value 151,958
Number of Securities 31
Rating - Weighted Average BB
Coupon - Weighted Average 5.24%
Yield - Weighted Average 6.54%
Maturity (Years) - Weighted Average 3.2
Principal Subordination - Weighted Average 6.80%
CMBS Large Loan/Single Borrower
  
Outstanding Face Amount 14,938
Before Impairment - Amortized Cost Basis 14,404
Other Than Temporary Investment - Amortized Cost Basis 0
After Impairment - Amortized Cost Basis 14,404
Gains - Gross Unrealized 434
Losses - Gross Unrealized (50)
Carrying Value 14,788
Number of Securities 2
Rating - Weighted Average BBB+
Coupon - Weighted Average 5.06%
Yield - Weighted Average 8.89%
Maturity (Years) - Weighted Average 0.7
Principal Subordination - Weighted Average 10.10%
REIT Debt
  
Outstanding Face Amount 120,288
Before Impairment - Amortized Cost Basis 119,542
Other Than Temporary Investment - Amortized Cost Basis 0
After Impairment - Amortized Cost Basis 119,542
Gains - Gross Unrealized 5,685
Losses - Gross Unrealized (2,130)
Carrying Value 123,097
Number of Securities 18
Rating - Weighted Average BB+
Coupon - Weighted Average 5.72%
Yield - Weighted Average 5.72%
Maturity (Years) - Weighted Average 2.2
Principal Subordination - Weighted Average N/A
ABS Subprime
  
Outstanding Face Amount 421,669
Before Impairment - Amortized Cost Basis 321,385
Other Than Temporary Investment - Amortized Cost Basis (76,547)
After Impairment - Amortized Cost Basis 244,838
Gains - Gross Unrealized 13,935
Losses - Gross Unrealized (6,033)
Carrying Value 252,740
Number of Securities 70
Rating - Weighted Average CCC
Coupon - Weighted Average 0.89%
Yield - Weighted Average 8.91%
Maturity (Years) - Weighted Average 5.5
Principal Subordination - Weighted Average 24.70%
ABS Manufactured Housing
  
Outstanding Face Amount 27,722
Before Impairment - Amortized Cost Basis 26,890
Other Than Temporary Investment - Amortized Cost Basis 0
After Impairment - Amortized Cost Basis 26,890
Gains - Gross Unrealized 2,138
Losses - Gross Unrealized (74)
Carrying Value 28,954
Number of Securities 7
Rating - Weighted Average BBB+
Coupon - Weighted Average 6.59%
Yield - Weighted Average 7.38%
Maturity (Years) - Weighted Average 3.7
Principal Subordination - Weighted Average 42.90%
ABS Franchise
  
Outstanding Face Amount 11,121
Before Impairment - Amortized Cost Basis 10,835
Other Than Temporary Investment - Amortized Cost Basis (8,451)
After Impairment - Amortized Cost Basis 2,384
Gains - Gross Unrealized 34
Losses - Gross Unrealized (391)
Carrying Value $ 2,027
Number of Securities 4
Rating - Weighted Average CCC-
Coupon - Weighted Average 5.56%
Yield - Weighted Average 5.45%
Maturity (Years) - Weighted Average 4.9
Principal Subordination - Weighted Average 3.20%