Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE (Tables)

v2.4.0.6
FAIR VALUE (Tables)
 9 Months Ended
Sep. 30, 2012
Fair Value Tables  
Schedule Of Carrying Value and Fair Value Of Assets and Liabilities

    Principal                     Weighted     Weighted  
    Balance or           Estimated         Average     Average  
    Notional     Carrying     Fair         Yield/Funding     Maturity  
    Amount     Value     Value     Fair Value Method (A)   Cost     (Years)  
Assets                                            
Non-Recourse VIE Financing Structures (F)                                            
Financial instruments:                                            
Real estate securities, available-for-sale*   $ 731,415     $ 591,929     $ 591,929     Broker quotations, counterparty quotations, pricing services, pricing models     8.64 %     3.5  
Real estate related loans, held-for-sale, net     1,074,133       832,885       840,122     Broker quotations, counterparty quotations, pricing services, pricing models     12.63 %     2.2  
Residential mortgage loans, held-for-investment, net     338,158       301,370       302,073      Pricing models     8.19 %     6.2  
Subprime mortgage loans subject to call option (B)     406,217       405,525       405,525   (B)     9.09 %     (B)  
Restricted cash*     2,829       2,829       2,829                      
Operating real estate, held-for-sale             7,839       7,839                      
Other investments             18,883       18,883                      
Receivables and other assets             6,432       6,432                      
            $ 2,167,692     $ 2,175,632                      
Recourse Financing Structures, Mortgaged Real Estate and Unlevered Assets                                            
Financial instruments:                                            
Real estate securities, available-for-sale*   $ 1,027,954     $ 788,431     $ 788,431     Broker quotations, counterparty quotations, pricing services, pricing models     3.01 %     3.9  
Real estate related loans, held-for-sale, net     28,801       9,418       9,418     Broker quotations, counterparty quotations, pricing services, pricing models     6.51 %     1.8  
Residential mortgage loans, held-for-sale, net     3,735       2,566       2,566      Pricing models     16.85 %     4.7  
Investments in excess mortgage servicing rights at fair value *(H)     79,629,020       258,347       258,347      Pricing models     17.60 %     5.5  
Cash and cash equivalents*     229,036       229,036       229,036                      
Non-hedge derivative assets (D)(E)*     23,400       224       224      Counterparty quotations     N/A       (D)  
Investments in real estate and             141,553       143,300      Based on recent purchase price in July 2012            
resident lease intangibles, net                                    
Other investments             6,024       6,024                      
Receivables and other assets             33,571       33,571                      
            $ 1,469,170     $ 1,470,917                      

 

    Principal Balance                     Weighted     Weighted  
    or           Estimated         Average     Average  
    Notional     Carrying     Fair         Yield/Funding     Maturity  
    Amount     Value     Value     Fair Value Method (A)   Cost     (Years)  
Liabilities                                            
Non-Recourse VIE Financing Structures (F) (G)                                            
Financial instruments:                                            
CDO bonds payable   $ 1,154,745     $ 1,155,080     $ 802,107      Pricing models     2.02 %     2.7  
Other bonds and notes payable     202,409       197,583       204,991      Broker quotations, pricing models     4.92 %     4.2  
Repurchase agreements     5,368       5,368       5,368      Market comparables     2.21 %     0.0  
Financing of subprime mortgage loans subject to call option (B)     406,217       405,525       405,525   (B)     9.09 %     (B)  
Interest rate swaps, treated as hedges (C)(E)*     154,795       14,009       14,009      Counterparty quotations     N/A        (C)  
Non-hedge derivatives (D)(E)*     296,532       22,510       22,510      Counterparty quotations     N/A        (D)  
Accrued expenses and other liabilities             8,241       8,241                      
            $ 1,808,316     $ 1,462,751                      
Recourse Financing Structures, Mortgages and Other Liabilities (G)                                            
 Financial instruments:                                            
 Repurchase agreements   $ 599,959     $ 599,959     $ 599,959      Market comparables     0.60 %     0.1  
 Mortgage notes payable     88,400       88,400       88,400      Pricing models     3.45 %     6.5  
 Junior subordinated notes payable     51,004       51,245       31,588      Pricing models     7.41 %     22.6  
 Due to affiliates             3,351       3,351                      
 Dividends payable, accrued expenses and other liabilities             51,405       51,405                      
            $ 794,360     $ 774,703                      

 
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 swap agreements which receive 1-Month LIBOR:        
2016   Apr    $ 154,795   5.04%    $ (14,009)

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   $ 484,684     $ 377,752     $ —     $ 329,088     $ 48,664     $ 377,752  
REIT debt     87,700       93,060       93,060       —       —       93,060  
ABS - subprime     438,269       260,439       —       220,816       39,623       260,439  
ABS - other real estate     10,208       1,576       —       854       722       1,576  
FNMA / FHLMC     534,801       577,132       577,132       —       —       577,132  
CDO     203,707       70,401       —       64,930       5,471       70,401  
Real estate securities total   $ 1,759,369     $ 1,380,360     $ 670,192     $ 615,688     $ 94,480     $ 1,380,360  
Investments in Excess MSRs (1)   $ 79,629,020     $ 258,347     $ —     $ —     $ 258,347     $ 258,347  
Derivative assets:                                                
Interest rate caps, not treated as hedges     23,400       224       224       —       —       224  
Derivative assets total   $ 23,400     $ 224     $ 224     $ —     $ —     $ 224  
                                                 
Liabilities:                                                
Derivative Liabilities:                                                
Interest rate swaps, treated as hedges   $ 154,795     $ 14,009     $ 14,009     $ —     $ —     $ 14,009  
Interest rate swaps, not treated as hedges     296,532       22,510       22,510       —       —       22,510  
Derivative liabilities total   $ 451,327     $ 36,519     $ 36,519     $ —     $ —     $ 36,519  

 
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       10,178       —       —       20,291  
Transfers into Level 3B     (10,748 )     (14,105 )     (11,057 )     (5 )     —       (35,915 )
CDO X deconsolidation     (634,036 )     (40,172 )     (70,607 )     (25,883 )     —       (770,698 )
Total gains (losses) (B)                                                
Included in net income (C)     1,190       —       (8 )     —       —       1,182  
Included in other comprehensive income (loss)     28,071       9,596       14,913       (650 )     13,341       65,271  
Amortization included in interest income     22,608       1,164       6,457       (11 )     3,985       34,203  
Purchases, sales and repayments                                                
Purchases     71,968       —       228,832       —       —       300,800  
Proceeds from sales     (24,551 )     —       —       —       —       (24,551 )
Proceeds from repayments     (37,732 )     (2,996 )     (24,033 )     (3,785 )     (4,443 )     (72,989 )
Balance at September 30, 2012   $ 239,109     $ 89,979     $ 220,816     $ 854     $ 64,930     $ 615,688  

 

    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     10,748       14,105       11,057       5       —       35,915  
Transfers into Level 3A     (6,056 )     (4,057 )     (10,178 )     —       —       (20,291 )
CDO X deconsolidation     (133,624 )     —       (16,097 )     (291 )     —       (150,012 )
Total gains (losses) (B)                                                
Included in net income (C)     (1,941 )     (396 )     836       (4,092 )     —       (5,593 )
Included in other comprehensive income (loss)     (12,004 )     980       (1,766 )     2,123       1,508       (9,159 )
Amortization included in interest income     8,016       339       5,651       164       304       14,474  
Purchases, sales and repayments                                                
Purchases     44,119       —       —       —       —       44,119  
Proceeds from sales     (18,708 )     —       (3,295 )     (3,743 )     —       (25,746 )
Proceeds from repayments     (17,372 )     (15,585 )     (9,066 )     (363 )     (280 )     (42,666 )
Balance at September 30, 2012   $ 13,800     $ 34,864     $ 39,623     $ 722     $ 5,471     $ 94,480  
Schedule of Gains Losses on Fair Value of RE Securities
    Nine Months Ended September 30, 2012  
      Level 3A       Level 3B  
Gain (loss) on settlement of investments, net   $ 1,196     $ 8,986  
Other income (loss), net     —       —  
OTTI     (14 )     (14,579 )
Total   $ 1,182     $ (5,593 )
                 
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   $ 484,684     $ 346,736     $ 296,337     $ 32,751     $ 48,664     $ 377,752  
REIT debt     87,700       86,916       22,747       70,313       —       93,060  
ABS - subprime     438,269       241,693       185,490       35,326       39,623       260,439  
ABS - other real estate     10,208       1,915       —       854       722       1,576  
FNMA / FHLMC     534,801       572,356       511,248       65,884       —       577,132  
CDO     203,707       67,190       3,960       60,970       5,471       70,401  
Total   $ 1,759,369     $ 1,316,806     $ 1,019,782     $ 266,098     $ 94,480     $ 1,380,360  
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   $ 7,083     $ 13,800     $ 208     $ 6,717       10%     N/A       13% - 100%       27% - 100%  
CMBS - Large loan / single borrower     36,115       34,864       —       (1,251 )     5% - 9%       N/A       0% - 100%       0% - 100%  
ABS - subprime     29,176       39,623       719       10,447       8%     0% - 13%       24% - 85%       60% - 100%  
ABS - other RE     745       722       64       (23 )     8%     1% - 4%       30% - 46%       95% - 100%  
CDO     4,246       5,471       —       1,225       10% - 35%       5%     13%     80%
Total     77,365       94,480       991       17,115                                  

 
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   $ 530,343     $ 443,269     $ 449,847     $ 7,158     8.0% - 25.0%     0.0% - 100.0%  
Bank Loan     334,855       180,044       180,044       (13,969 )   6.2% - 31.7%     0.0% - 100.0%  
B-Note     207,494       188,748       189,393       (4,068 )   6.2% - 15.0%     0.0%
Whole Loan     30,242       30,242       30,256       —     5.1% - 7.1%     0.0% - 15.0%  
Total Real Estate Related Loans Held-for-Sale, Net   $ 1,102,934     $ 842,303     $ 849,540     $ (10,879 )            

 

                      Valuation                          
    Outstanding                 Allowance/ (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   $ 591     $ 151     $ 151     $ 16       38.9 %     0.0 %     52.9 %     75.0 %
Non-securitized Manufactured Housing Loans Portfolio II     3,144       2,415       2,415       (498 )     15.5 %     5.0 %     3.5 %     80.0 %
Total Residential Mortgage Loans Held-for-Sale, Net   $ 3,735     $ 2,566     $ 2,566     $ (482 )                                

 
Schedule of fair value for residential mortgage loans held for investment
                    Valuation                          
                      Allowance/                          
                    (Reversal)                          
    Outstanding             In     Significant Input Ranges  
Loan Type   Face
Amount		     Carrying
Value		     Fair
Value		     Current Year     Discount Rate     Prepayment Speed     Constant Default Rate     Loss Severity  
Securitized Manufactured Housing Loans Portoflio I   $ 122,453     $ 102,745     $ 102,844     $ 135       9.5%     4.0%     4.0%     75.0%
Securitized Manufactured Housing Loans Portfolio II     158,542       155,933       156,187       3,094       7.5%     5.0%     3.5%     80.0%
                                                                 
Residential Loans     57,163       42,692       43,042       (28 )     5.0% - 7.8%       0.0% - 5.0%       0.0% - 3.0%       0.0% - 50.0%  
Total Residential Mortgage Loans, Held-for-Investment, Net   $ 338,158     $ 301,370     $ 302,073     $ 3,201                                  

 
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     18.2 %     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     17.4 %     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     17.5 %     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)     5,177       726       1,723       697       (1,810 )     6,513  
Interest income     5,832       1,929       1,807       747       6,104       16,419  
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     (12,899 )     (3,730 )     (3,620 )     (1,359 )     (5,590 )     (27,198 )
Balance at September 30, 2012   $ 41,903     $ 41,275     $ 36,128     $ 15,524     $ 123,517     $ 258,347  

 
Schedule of Fair Value of Derivatives
        Fair Value  
        September 30,     December 31,  
    Balance sheet location   2012     2011  
Derivative Assets                    
Interest rate caps, designated as hedges   Derivative Assets   $ —     $ 1,092  
Interest rate caps, not designated as hedges   Derivative Assets     224       862  
        $ 224     $ 1,954  
Derivative Liabilities                    
Interest rate swaps, designated as hedges   Derivative Liabilities   $ 14,009     $ 90,025  
Interest rate swaps, not designated as hedges   Derivative Liabilities     22,510       29,295  
        $ 36,519     $ 119,320  
Schedule of Outstanding Derivatives
  September 30, 2012     December 31, 2011  
Cash flow hedges                
Notional amount of interest rate swap agreements   $ 154,795     $ 848,434  
Notional amount of interest rate cap agreements     —       104,205  
Amount of (loss) recognized in OCI on effective portion     (13,883 )     (69,908 )
Deferred hedge gain (loss) related to anticipated financings, which have subsequently occurred, net of amortization     253       299  
Deferred hedge gain (loss) related to dedesignation, net of amortization     (226 )     (893 )
Expected reclassification of deferred hedges from AOCI into earnings over the next 12 months     3       1,688  
                 
Expected reclassification of current hedges from AOCI into earnings over the next 12 months     (6,269 )     (35,348 )
                 
Non-hedge Derivatives                
Notional amount of interest rate swap agreements     296,532       316,600  
Notional amount of interest rate cap agreements     23,400       36,428  

 
Schedule of Gain Loss on Derivatives
      Three Months Ended
September 30,		     Nine Months Ended
September 30,		  
    Income statement location   2012     2011     2012     2011  
Cash flow hedges                                    
Gain (loss) on the ineffective portion   Other income (loss)   $ —     $ (1,181 )   $ 483     $ (881 )
Gain (loss) immediately recognized at dedesignation   Gain (loss) on sale of investments;
Other income (loss)		     —       —       (7,036 )     (13,796 )
Amount of gain (loss) reclassified from AOCI into income, related to effective portion   Interest expense     (7,830 )     (12,824 )     (28,766 )     (51,532 )
Deferred hedge gain reclassified from AOCI into income, related to anticipated financings   Interest expense     15       15       45       (43 )
Deferred hedge gain (loss) reclassified from AOCI into income, related to effective portion of dedesignated hedges   Interest expense     307       497       1,205       1,799  
Non-hedge derivatives gain (loss)   Other income (loss)     1,975       (2,109 )     6,052       194