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
Sep. 30, 2012
Outstanding Face Amount $ 1,759,369
Before Impairment - Amortized Cost Basis 1,514,849
Other Than Temporary Investment - Amortized Cost Basis (198,043)
After Impairment - Amortized Cost Basis 1,316,806
Gains - Gross Unrealized 81,814
Losses - Gross Unrealized (18,260)
Carrying Value 1,380,360
Number of Securities 213
Rating - Weighted Average BB+
Coupon - Weighted Average 3.21%
Yield - Weighted Average 5.34%
Maturity (Years) - Weighted Average 3.8
CDOs
  
Outstanding Face Amount 203,707
Before Impairment - Amortized Cost Basis 82,051
Other Than Temporary Investment - Amortized Cost Basis (14,861)
After Impairment - Amortized Cost Basis 67,190
Gains - Gross Unrealized 3,230
Losses - Gross Unrealized (19)
Carrying Value 70,401
Number of Securities 13
Rating - Weighted Average CCC+
Coupon - Weighted Average 3.04%
Yield - Weighted Average 7.81%
Maturity (Years) - Weighted Average 1.8
Principal Subordination - Weighted Average 21.60%
FNMA/FHLMC Securities
  
Outstanding Face Amount 534,801
Before Impairment - Amortized Cost Basis 572,356
Other Than Temporary Investment - Amortized Cost Basis 0
After Impairment - Amortized Cost Basis 572,356
Gains - Gross Unrealized 5,043
Losses - Gross Unrealized (267)
Carrying Value 577,132
Number of Securities 45
Rating - Weighted Average AAA
Coupon - Weighted Average 2.80%
Yield - Weighted Average 1.33%
Maturity (Years) - Weighted Average 4.3
Principal Subordination - Weighted Average N/A
CMBS Conduit
  
Outstanding Face Amount 345,236
Before Impairment - Amortized Cost Basis 315,954
Other Than Temporary Investment - Amortized Cost Basis (94,271)
After Impairment - Amortized Cost Basis 221,683
Gains - Gross Unrealized 44,782
Losses - Gross Unrealized (13,556)
Carrying Value 252,909
Number of Securities 54
Rating - Weighted Average BB-
Coupon - Weighted Average 5.56%
Yield - Weighted Average 11.47%
Maturity (Years) - Weighted Average 3.7
Principal Subordination - Weighted Average 10.30%
CMBS Single Borrower
  
Outstanding Face Amount 125,545
Before Impairment - Amortized Cost Basis 123,876
Other Than Temporary Investment - Amortized Cost Basis (12,364)
After Impairment - Amortized Cost Basis 111,512
Gains - Gross Unrealized 2,941
Losses - Gross Unrealized (3,454)
Carrying Value 110,999
Number of Securities 22
Rating - Weighted Average BB
Coupon - Weighted Average 4.89%
Yield - Weighted Average 5.91%
Maturity (Years) - Weighted Average 2.9
Principal Subordination - Weighted Average 7.20%
CMBS Large Loan
  
Outstanding Face Amount 13,903
Before Impairment - Amortized Cost Basis 13,541
Other Than Temporary Investment - Amortized Cost Basis 0
After Impairment - Amortized Cost Basis 13,541
Gains - Gross Unrealized 341
Losses - Gross Unrealized (38)
Carrying Value 13,844
Number of Securities 2
Rating - Weighted Average A-
Coupon - Weighted Average 4.40%
Yield - Weighted Average 8.60%
Maturity (Years) - Weighted Average 0.6
Principal Subordination - Weighted Average 10.70%
REIT Debt
  
Outstanding Face Amount 87,700
Before Impairment - Amortized Cost Basis 86,916
Other Than Temporary Investment - Amortized Cost Basis 0
After Impairment - Amortized Cost Basis 86,916
Gains - Gross Unrealized 6,373
Losses - Gross Unrealized (229)
Carrying Value 93,060
Number of Securities 11
Rating - Weighted Average BBB-
Coupon - Weighted Average 5.55%
Yield - Weighted Average 5.74%
Maturity (Years) - Weighted Average 2.1
Principal Subordination - Weighted Average N/A
ABS Subprime
  
Outstanding Face Amount 438,269
Before Impairment - Amortized Cost Basis 310,401
Other Than Temporary Investment - Amortized Cost Basis (68,708)
After Impairment - Amortized Cost Basis 241,693
Gains - Gross Unrealized 19,104
Losses - Gross Unrealized (358)
Carrying Value 260,439
Number of Securities 63
Rating - Weighted Average CCC-
Coupon - Weighted Average 0.87%
Yield - Weighted Average 7.82%
Maturity (Years) - Weighted Average 4.9
Principal Subordination - Weighted Average 14.20%
ABS Franchise
  
Outstanding Face Amount 10,208
Before Impairment - Amortized Cost Basis 9,754
Other Than Temporary Investment - Amortized Cost Basis (7,839)
After Impairment - Amortized Cost Basis 1,915
Gains - Gross Unrealized 0
Losses - Gross Unrealized (339)
Carrying Value $ 1,576
Number of Securities 3
Rating - Weighted Average CCC-
Coupon - Weighted Average 5.89%
Yield - Weighted Average 4.13%
Maturity (Years) - Weighted Average 4.9
Principal Subordination - Weighted Average 3.00%