Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS - Securities valued based on internal pricing models (Details)

v2.4.0.6
FAIR VALUE OF FINANCIAL INSTRUMENTS - Securities valued based on internal pricing models (Details) (USD $)
In Thousands, unless otherwise specified
 6 Months Ended
Jun. 30, 2012
CMBS Conduit
  
Amortized Cost Basis (B) $ 165,184
Fair Value 192,108
Impairment recorded in current period 12,802
Unrealized Gains (Losses) in Accumulated OCI 26,924
Discount Rate Assumption Range 10%
Prepayment Speed Assumption Range (F) N/A
Default Rate 0%-100%
Loss Severity 0%-100%
CMBS Large Loan/Single Borrower
  
Amortized Cost Basis (B) 42,490
Fair Value 41,307
Impairment recorded in current period 0
Unrealized Gains (Losses) in Accumulated OCI (1,183)
Discount Rate Assumption Range 5%-10%
Prepayment Speed Assumption Range (F) N/A
Default Rate 0%-100%
Loss Severity 0%-100%
ABS Subprime
  
Amortized Cost Basis (B) 59,062
Fair Value 68,793
Impairment recorded in current period 804
Unrealized Gains (Losses) in Accumulated OCI 9,731
Discount Rate Assumption Range 8%
Prepayment Speed Assumption Range (F) 0%-10%
Default Rate 24%-88%
Loss Severity 60%-100%
RE Securities ABS Other Real Estate
  
Amortized Cost Basis (B) 1,086
Fair Value 1,106
Impairment recorded in current period 64
Unrealized Gains (Losses) in Accumulated OCI 20
Discount Rate Assumption Range 8%
Prepayment Speed Assumption Range (F) 1%-4%
Default Rate 30%-46%
Loss Severity 90%-100%
RE Securities CDO
  
Amortized Cost Basis (B) 4,259
Fair Value 3,957
Impairment recorded in current period 0
Unrealized Gains (Losses) in Accumulated OCI (302)
Discount Rate Assumption Range 14%
Prepayment Speed Assumption Range (F) 4%
Default Rate 14%
Loss Severity 80%
RE Securities Total
  
Amortized Cost Basis (B) 272,081
Fair Value 307,271
Impairment recorded in current period 13,670
Unrealized Gains (Losses) in Accumulated OCI $ 35,190