Quarterly report pursuant to Section 13 or 15(d)

Schedule of Securities Valuation Methodology (Details)

v2.4.0.6
Schedule of Securities Valuation Methodology (Details) (USD $)
In Thousands, unless otherwise specified
Jun. 30, 2012
Outstanding Face Amount (A) $ 2,634,156
Amortized Cost Basis (B) 1,966,283
Total Fair Value 2,038,400
CDOs
  
Outstanding Face Amount (A) 206,124
Amortized Cost Basis (B) 68,513
Multiple Quotes Fair Value (C) 2,750
Single Quote Fair Value (D) 58,261
Internal Pricing Models Fair Value (E) 3,957
Total Fair Value 64,968
US Government Agencies Debt Securities
  
Outstanding Face Amount (A) 377,220
Amortized Cost Basis (B) 400,531
Multiple Quotes Fair Value (C) 242,144
Single Quote Fair Value (D) 161,248
Internal Pricing Models Fair Value (E) 0
Total Fair Value 403,392
RE Securities CMBS
  
Outstanding Face Amount (A) 1,470,012
Amortized Cost Basis (B) 1,103,585
Multiple Quotes Fair Value (C) 825,826
Single Quote Fair Value (D) 103,981
Internal Pricing Models Fair Value (E) 233,415
Total Fair Value 1,163,222
RE Securities REIT Debt
  
Outstanding Face Amount (A) 120,288
Amortized Cost Basis (B) 119,542
Multiple Quotes Fair Value (C) 38,131
Single Quote Fair Value (D) 84,966
Internal Pricing Models Fair Value (E) 0
Total Fair Value 123,097
RE Securities ABS Subprime
  
Outstanding Face Amount (A) 421,669
Amortized Cost Basis (B) 244,838
Multiple Quotes Fair Value (C) 150,321
Single Quote Fair Value (D) 33,626
Internal Pricing Models Fair Value (E) 68,793
Total Fair Value 252,740
RE Securities ABS Other Real Estate
  
Outstanding Face Amount (A) 38,843
Amortized Cost Basis (B) 29,274
Multiple Quotes Fair Value (C) 28,954
Single Quote Fair Value (D) 921
Internal Pricing Models Fair Value (E) 1,106
Total Fair Value 30,981
RE Securities Total
  
Outstanding Face Amount (A) 2,634,156
Amortized Cost Basis (B) 1,966,283
Multiple Quotes Fair Value (C) 1,288,126
Single Quote Fair Value (D) 443,003
Internal Pricing Models Fair Value (E) 307,271
Total Fair Value $ 2,038,400