Annual report pursuant to Section 13 and 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
12 Months Ended
Dec. 31, 2012
CMBS Conduit
 
Amortized Cost Basis (B) $ 23,648
Fair Value 29,193
Impairment recorded in current period 4,418
Unrealized Gains (Losses) in Accumulated OCI 5,545
Discount Rate Assumption 10.00%
Prepayment Speed Assumption N/A
Default Rate 21.00%
Loss Severity 39%
CMBS Large Loan/Single Borrower
 
Amortized Cost Basis (B) 18,326
Fair Value 17,172
Impairment recorded in current period   
Unrealized Gains (Losses) in Accumulated OCI (1,154)
Discount Rate Assumption 6.00%
Prepayment Speed Assumption N/A
Default Rate 18.00%
Loss Severity 40%
ABS Subprime
 
Amortized Cost Basis (B) 13,741
Fair Value 25,954
Impairment recorded in current period 719
Unrealized Gains (Losses) in Accumulated OCI 12,213
Discount Rate Assumption 8.00%
Prepayment Speed Assumption 2.00%
Default Rate 60.00%
Loss Severity 75%
RE Securities ABS Other Real Estate
 
Amortized Cost Basis (B) 455
Fair Value 677
Impairment recorded in current period 64
Unrealized Gains (Losses) in Accumulated OCI 222
Discount Rate Assumption 8.00%
Prepayment Speed Assumption 0.00%
Default Rate 44.00%
Loss Severity 100%
RE Securities CDO
 
Amortized Cost Basis (B) 3,979
Fair Value 5,998
Impairment recorded in current period   
Unrealized Gains (Losses) in Accumulated OCI 2,019
Discount Rate Assumption 18.00%
Prepayment Speed Assumption 4.00%
Default Rate 69.00%
Loss Severity 93%
RE Securities Total
 
Amortized Cost Basis (B) 60,149
Fair Value 78,994
Impairment recorded in current period 5,201
Unrealized Gains (Losses) in Accumulated OCI $ 18,845