Quarterly report pursuant to Section 13 or 15(d)

Schedule of Change in Fair Value of Level 3 Investments (Details)

v2.4.0.6
Schedule of Change in Fair Value of Level 3 Investments (Details) (USD $)
In Thousands, unless otherwise specified
 6 Months Ended
Jun. 30, 2012
Transfers In $ 0
Transfers Out 0
Proceeds from sales 0
Level3A | CMBS Conduit
  
Balance at December 31, 2011 816,283
Transfers In 6,056
Transfers Out (35,796)
Included in net income (C) 1,202
Included in other comprehensive income (loss) 47,119
Amortization included in interest income 15,639
Purchases 6,007
Proceeds from sales (24,551)
Proceeds from repayments (27,591)
Balance at June 30, 2012 804,368
Level3A | CMBS Other
  
Balance at December 31, 2011 132,435
Transfers In 4,057
Transfers Out (14,105)
Included in net income (C) 0
Included in other comprehensive income (loss) 3,564
Amortization included in interest income 740
Purchases 0
Proceeds from sales 0
Proceeds from repayments (1,252)
Balance at June 30, 2012 125,439
Level3A | ABS Subprime
  
Balance at December 31, 2011 66,141
Transfers In 0
Transfers Out (11,057)
Included in net income (C) 0
Included in other comprehensive income (loss) 2,632
Amortization included in interest income 3,174
Purchases 134,829
Proceeds from sales 0
Proceeds from repayments (11,772)
Balance at June 30, 2012 183,947
Level3A | ABS Other
  
Balance at December 31, 2011 31,188
Transfers In 0
Transfers Out 0
Included in net income (C) (5)
Included in other comprehensive income (loss) 1,354
Amortization included in interest income (43)
Purchases 0
Proceeds from sales 0
Proceeds from repayments (2,619)
Balance at June 30, 2012 29,875
Level3A | Equity/Other Securities
  
Balance at December 31, 2011 52,047
Transfers In 0
Transfers Out 0
Included in net income (C) 0
Included in other comprehensive income (loss) 8,111
Amortization included in interest income 2,216
Purchases 0
Proceeds from sales 0
Proceeds from repayments (1,363)
Balance at June 30, 2012 61,011
Level3A | Total Investments
  
Balance at December 31, 2011 1,098,094
Transfers In 10,113
Transfers Out (60,963)
Included in net income (C) 1,202
Included in other comprehensive income (loss) 62,780
Amortization included in interest income 21,726
Purchases 140,836
Proceeds from sales (24,551)
Proceeds from repayments (44,597)
Balance at June 30, 2012 1,204,640
Level3B | CMBS Conduit
  
Balance at December 31, 2011 140,622
Transfers In 35,796
Transfers Out (6,056)
Included in net income (C) (6,663)
Included in other comprehensive income (loss) 3,533
Amortization included in interest income 5,966
Purchases 39,757
Proceeds from sales (6,677)
Proceeds from repayments (14,170)
Balance at June 30, 2012 192,108
Level3B | CMBS Other
  
Balance at December 31, 2011 39,478
Transfers In 14,105
Transfers Out (4,057)
Included in net income (C) (396)
Included in other comprehensive income (loss) 1,049
Amortization included in interest income 261
Purchases 0
Proceeds from sales 0
Proceeds from repayments (9,133)
Balance at June 30, 2012 41,307
Level3B | ABS Subprime
  
Balance at December 31, 2011 62,481
Transfers In 11,057
Transfers Out 0
Included in net income (C) 1,536
Included in other comprehensive income (loss) (329)
Amortization included in interest income 3,946
Purchases 0
Proceeds from sales (3,295)
Proceeds from repayments (6,603)
Balance at June 30, 2012 68,793
Level3B | ABS Other
  
Balance at December 31, 2011 6,919
Transfers In 5
Transfers Out 0
Included in net income (C) (4,092)
Included in other comprehensive income (loss) 2,165
Amortization included in interest income 139
Purchases 0
Proceeds from sales (3,743)
Proceeds from repayments (287)
Balance at June 30, 2012 1,106
Level3B | Equity/Other Securities
  
Balance at December 31, 2011 3,939
Transfers In 0
Transfers Out 0
Included in net income (C) 0
Included in other comprehensive income (loss) (18)
Amortization included in interest income 207
Purchases 0
Proceeds from sales 0
Proceeds from repayments (171)
Balance at June 30, 2012 3,957
Level3B | Total Investments
  
Balance at December 31, 2011 253,439
Transfers In 60,963
Transfers Out (10,113)
Included in net income (C) (9,615)
Included in other comprehensive income (loss) 6,400
Amortization included in interest income 10,519
Purchases 39,757
Proceeds from sales (13,715)
Proceeds from repayments (30,364)
Balance at June 30, 2012 $ 307,271