Annual report pursuant to Section 13 and 15(d)

Schedule of Real Estate Securities Holdings (Details)

v2.4.0.6
Schedule of Real Estate Securities Holdings (Details) (USD $)
In Thousands, unless otherwise specified
Dec. 31, 2012
Dec. 31, 2011
Outstanding Face Amount $ 2,078,101 $ 2,421,136
Before Impairment - Amortized Cost Basis 1,811,040 2,062,439
Other Than Temporary Investment - Amortized Cost Basis (202,253) (328,110)
After Impairment - Amortized Cost Basis 1,608,787 1,734,329
Gains - Gross Unrealized 98,762 118,090
Losses - Gross Unrealized (15,974) (120,675)
Carrying Value 1,691,575 1,731,744
Number of Securities 229 345
Rating - Weighted Average BBB- BB+
Coupon - Weighted Average 3.04% 4.60%
Yield - Weighted Average 4.69% 8.54%
Maturity (Years) - Weighted Average 4.0 4.2
CDOs
    
Outstanding Face Amount 203,477 206,150
Before Impairment - Amortized Cost Basis 82,399 82,486
Other Than Temporary Investment - Amortized Cost Basis (14,861) (14,861)
After Impairment - Amortized Cost Basis 67,538 67,625
Gains - Gross Unrealized 3,487 149
Losses - Gross Unrealized    (11,788)
Carrying Value 71,025 55,986
Number of Securities 13 13
Rating - Weighted Average BB CCC+
Coupon - Weighted Average 2.83% 3.03%
Yield - Weighted Average 7.07% 8.05%
Maturity (Years) - Weighted Average 1.6 1.5
Principal Subordination - Weighted Average 20.90% 21.40%
FNMA/FHLMC Securities
    
Outstanding Face Amount 768,619 232,355
Before Impairment - Amortized Cost Basis 818,866 243,385
Other Than Temporary Investment - Amortized Cost Basis      
After Impairment - Amortized Cost Basis 818,866 243,385
Gains - Gross Unrealized 3,860 1,715
Losses - Gross Unrealized (2,191) (185)
Carrying Value 820,535 244,915
Number of Securities 58 31
Rating - Weighted Average AAA AAA
Coupon - Weighted Average 3.05% 2.37%
Yield - Weighted Average 1.40% 1.63%
Maturity (Years) - Weighted Average 3.5 4.6
Principal Subordination - Weighted Average N/A N/A
CMBS Conduit
    
Outstanding Face Amount 340,978 1,344,819
Before Impairment - Amortized Cost Basis 315,554 1,143,910
Other Than Temporary Investment - Amortized Cost Basis (98,481) (202,164)
After Impairment - Amortized Cost Basis 217,073 941,746
Gains - Gross Unrealized 47,776 91,583
Losses - Gross Unrealized (10,081) (76,424)
Carrying Value 254,768 956,905
Number of Securities 53 169
Rating - Weighted Average BB- BB+
Coupon - Weighted Average 5.55% 5.61%
Yield - Weighted Average 10.81% 11.03%
Maturity (Years) - Weighted Average 3.3 4.2
Principal Subordination - Weighted Average 9.80% 10.80%
CMBS Single Borrower
    
Outstanding Face Amount 125,123 186,088
Before Impairment - Amortized Cost Basis 123,638 180,874
Other Than Temporary Investment - Amortized Cost Basis (12,364) (12,364)
After Impairment - Amortized Cost Basis 111,274 168,510
Gains - Gross Unrealized 4,482 3,121
Losses - Gross Unrealized (3,002) (14,366)
Carrying Value 112,754 157,265
Number of Securities 22 33
Rating - Weighted Average BB BB
Coupon - Weighted Average 4.89% 5.05%
Yield - Weighted Average 5.92% 6.25%
Maturity (Years) - Weighted Average 2.9 3.6
Principal Subordination - Weighted Average 9.20% 6.70%
CMBS Large Loan/Single Borrower
    
Outstanding Face Amount 8,891 14,970
Before Impairment - Amortized Cost Basis 8,619 14,190
Other Than Temporary Investment - Amortized Cost Basis      
After Impairment - Amortized Cost Basis 8,619 14,190
Gains - Gross Unrealized 250 519
Losses - Gross Unrealized    (61)
Carrying Value 8,869 14,648
Number of Securities 1 2
Rating - Weighted Average BBB- BBB+
Coupon - Weighted Average 6.08% 5.15%
Yield - Weighted Average 12.41% 8.89%
Maturity (Years) - Weighted Average 0.6 1.2
Principal Subordination - Weighted Average 4.80% 7.50%
REIT Debt
    
Outstanding Face Amount 62,700 137,393
Before Impairment - Amortized Cost Basis 62,069 136,704
Other Than Temporary Investment - Amortized Cost Basis    (773)
After Impairment - Amortized Cost Basis 62,069 135,931
Gains - Gross Unrealized 4,105 5,060
Losses - Gross Unrealized    (5,695)
Carrying Value 66,174 135,296
Number of Securities 10 20
Rating - Weighted Average BBB- BB+
Coupon - Weighted Average 5.72% 5.83%
Yield - Weighted Average 5.89% 5.72%
Maturity (Years) - Weighted Average 1.8 2.4
Principal Subordination - Weighted Average N/A N/A
ABS Subprime
    
Outstanding Face Amount 558,215 246,014
Before Impairment - Amortized Cost Basis 390,509 209,838
Other Than Temporary Investment - Amortized Cost Basis (68,708) (86,815)
After Impairment - Amortized Cost Basis 321,801 123,023
Gains - Gross Unrealized 34,565 14,481
Losses - Gross Unrealized (391) (8,882)
Carrying Value 355,975 128,622
Number of Securities 69 63
Rating - Weighted Average CC B
Coupon - Weighted Average 0.76% 1.22%
Yield - Weighted Average 7.50% 10.16%
Maturity (Years) - Weighted Average 6.4 6.9
Principal Subordination - Weighted Average 13.30% 32.50%
ABS Franchise
    
Outstanding Face Amount 10,098 23,115
Before Impairment - Amortized Cost Basis 9,386 21,598
Other Than Temporary Investment - Amortized Cost Basis (7,839) (11,133)
After Impairment - Amortized Cost Basis 1,547 10,465
Gains - Gross Unrealized 237 215
Losses - Gross Unrealized (309) (3,120)
Carrying Value 1,475 7,560
Number of Securities 3 7
Rating - Weighted Average CCC- BB+
Coupon - Weighted Average 5.93% 3.58%
Yield - Weighted Average 3.40% 4.56%
Maturity (Years) - Weighted Average 4.7 11.0
Principal Subordination - Weighted Average 3.00% 21.90%
ABS Manufactured Housing
    
Outstanding Face Amount   30,232
Before Impairment - Amortized Cost Basis   29,454
Other Than Temporary Investment - Amortized Cost Basis     
After Impairment - Amortized Cost Basis   29,454
Gains - Gross Unrealized   1,247
Losses - Gross Unrealized   (154)
Carrying Value   $ 30,547
Number of Securities   7
Rating - Weighted Average   BBB+
Coupon - Weighted Average   6.61%
Yield - Weighted Average   7.54%
Maturity (Years) - Weighted Average   4.2
Principal Subordination - Weighted Average   41.60%