Quarterly report pursuant to Section 13 or 15(d)

Securities valued based on internal pricing models (Details)

v2.4.0.6
Securities valued based on internal pricing models (Details) (USD $)
In Thousands, unless otherwise specified
 9 Months Ended
Sep. 30, 2012
CMBS Conduit
  
Amortized Cost Basis (B) $ 7,083
Fair Value 13,800
Impairment recorded in current period 208
Unrealized Gains (Losses) in Accumulated OCI 6,717
Discount Rate Assumption Range 10%
Prepayment Speed Assumption Range (F) N/A
Default Rate 13%-100%
Loss Severity 27%-100%
CMBS Large Loan
  
Amortized Cost Basis (B) 36,115
Fair Value 34,864
Impairment recorded in current period 0
Unrealized Gains (Losses) in Accumulated OCI (1,251)
Discount Rate Assumption Range 5%-9%
Prepayment Speed Assumption Range (F) N/A
Default Rate 0%-100%
Loss Severity 0%-100%
ABS Subprime
  
Amortized Cost Basis (B) 29,176
Fair Value 39,623
Impairment recorded in current period 719
Unrealized Gains (Losses) in Accumulated OCI 10,447
Discount Rate Assumption Range 8%
Prepayment Speed Assumption Range (F) 0%-13%
Default Rate 24%-85%
Loss Severity 60%-100%
RE Securities ABS Other Real Estate
  
Amortized Cost Basis (B) 745
Fair Value 722
Impairment recorded in current period 64
Unrealized Gains (Losses) in Accumulated OCI (23)
Discount Rate Assumption Range 8%
Prepayment Speed Assumption Range (F) 1%-4%
Default Rate 30%-46%
Loss Severity 95%-100%
RE Securities CDO
  
Amortized Cost Basis (B) 4,246
Fair Value 5,471
Impairment recorded in current period 0
Unrealized Gains (Losses) in Accumulated OCI 1,225
Discount Rate Assumption Range 10%-35%
Prepayment Speed Assumption Range (F) 5%
Default Rate 13%
Loss Severity 80%
RE Securities Total
  
Amortized Cost Basis (B) 77,365
Fair Value 94,480
Impairment recorded in current period 991
Unrealized Gains (Losses) in Accumulated OCI $ 17,115