Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE - Internal Pricing Models (Details 6)

v2.4.0.8
FAIR VALUE - Internal Pricing Models (Details 6) (USD $)
In Thousands, unless otherwise specified
 6 Months Ended
Jun. 30, 2013
Amortized Cost Basis $ 699,718 [1],[2]
Gains - Gross Unrealized 81,898 [1]
Measured on a Recurring Basis | Internal Pricing Models
  
Amortized Cost Basis 20,458
Fair Value 42,548
Impairment recorded in current period 77
Gains - Gross Unrealized 22,090
Measured on a Recurring Basis | Internal Pricing Models | CMBS Conduit
  
Amortized Cost Basis 2,705
Fair Value 14,258
Impairment recorded in current period 76
Gains - Gross Unrealized 11,553
Weighted Average - Discount Rate 8.00%
Weighted Average - Prepayment Speed N/A [3]
Cumulative Default Rate 23.30%
Loss Severity 42.70%
Measured on a Recurring Basis | Internal Pricing Models | CMBS Large Loan
  
Amortized Cost Basis 11,489
Fair Value 11,803
Impairment recorded in current period   
Gains - Gross Unrealized 314
Weighted Average - Discount Rate 2.20%
Weighted Average - Prepayment Speed N/A [3]
Cumulative Default Rate 50.70%
Loss Severity 50.70%
Measured on a Recurring Basis | Internal Pricing Models | Non-Agency RMBS
  
Amortized Cost Basis 3,074
Fair Value 10,848
Impairment recorded in current period 1
Gains - Gross Unrealized 7,774
Weighted Average - Discount Rate 8.00%
Weighted Average - Prepayment Speed 2.40% [3]
Cumulative Default Rate 19.00%
Loss Severity 45.40%
Measured on a Recurring Basis | Internal Pricing Models | ABS Franchise
  
Amortized Cost Basis   
Fair Value 199
Impairment recorded in current period   
Gains - Gross Unrealized 199
Weighted Average - Discount Rate 8.00%
Weighted Average - Prepayment Speed 0.00% [3]
Cumulative Default Rate 45.80%
Loss Severity 100.00%
Measured on a Recurring Basis | Internal Pricing Models | CDOs
  
Amortized Cost Basis 3,190
Fair Value 5,440
Impairment recorded in current period   
Gains - Gross Unrealized $ 2,250
Weighted Average - Discount Rate 20.30%
Weighted Average - Prepayment Speed 4.70% [3]
Cumulative Default Rate 9.90%
Loss Severity 45.80%
[1] (G) The total outstanding face amount was $0.4 billion for fixed rate securities and $0.6 billion for floating rate securities.
[2] (B) Net of discounts (or gross of premiums) and after OTTI, including impairment taken during the period ended June 30, 2013.
[3] (F) Projected annualized average prepayment rate.