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
 9 Months Ended
Sep. 30, 2013
Amortized Cost Basis $ 746,373 [1],[2]
Gains - Gross Unrealized 80,643 [1]
Measured on a Recurring Basis | Internal Pricing Models
  
Amortized Cost Basis 3,878
Fair Value 7,381
Impairment recorded in current period 76
Gains - Gross Unrealized 3,503
Measured on a Recurring Basis | Internal Pricing Models | CMBS Conduit
  
Amortized Cost Basis 797
Fair Value 2,210
Impairment recorded in current period 76
Gains - Gross Unrealized 1,413
Weighted Average - Discount Rate 8.00%
Weighted Average - Prepayment Speed N/A [3]
Cumulative Default Rate 24.50%
Loss Severity 47.10%
Measured on a Recurring Basis | Internal Pricing Models | Non-Agency RMBS
  
Amortized Cost Basis   
Fair Value 113
Impairment recorded in current period   
Gains - Gross Unrealized 113
Weighted Average - Discount Rate 8.00%
Weighted Average - Prepayment Speed 2.00% [3]
Cumulative Default Rate 8.00%
Loss Severity 75.00%
Measured on a Recurring Basis | Internal Pricing Models | CDOs
  
Amortized Cost Basis 3,081
Fair Value 5,058
Impairment recorded in current period   
Gains - Gross Unrealized $ 1,977
Weighted Average - Discount Rate 17.70%
Weighted Average - Prepayment Speed 4.50% [3]
Cumulative Default Rate 17.50%
Loss Severity 73.50%
[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 September 30, 2013.
[3] (F) Projected annualized average prepayment rate.