Quarterly report pursuant to Section 13 or 15(d)

Schedule of Change in Fair Value of Level 3 Investments (Details)

v2.4.0.6
Schedule of Change in Fair Value of Level 3 Investments (Details) (USD $)
In Thousands, unless otherwise specified
 9 Months Ended
Sep. 30, 2012
Transfers In $ 0
Transfers Out 0
Proceeds from sales 0
Level3A | CMBS Conduit
  
Balance at December 31, 2011 816,283
Transfers In 6,056
Transfers Out (10,748)
CDO X Deconsolidation (634,036)
Included in net income (C) 1,190
Included in other comprehensive income (loss) 28,071
Amortization included in interest income 22,608
Purchases 71,968
Proceeds from sales (24,551)
Proceeds from repayments (37,732)
Balance at September 30, 2012 239,109
Level3A | CMBS Other
  
Balance at December 31, 2011 132,435
Transfers In 4,057
Transfers Out (14,105)
CDO X Deconsolidation (40,172)
Included in net income (C) 0
Included in other comprehensive income (loss) 9,596
Amortization included in interest income 1,164
Purchases 0
Proceeds from sales 0
Proceeds from repayments (2,996)
Balance at September 30, 2012 89,979
Level3A | ABS Subprime
  
Balance at December 31, 2011 66,141
Transfers In 10,178
Transfers Out (11,057)
CDO X Deconsolidation (70,607)
Included in net income (C) (8)
Included in other comprehensive income (loss) 14,913
Amortization included in interest income 6,457
Purchases 228,832
Proceeds from sales 0
Proceeds from repayments (24,033)
Balance at September 30, 2012 220,816
Level3A | ABS Other
  
Balance at December 31, 2011 31,188
Transfers In 0
Transfers Out (5)
CDO X Deconsolidation (25,883)
Included in net income (C) 0
Included in other comprehensive income (loss) (650)
Amortization included in interest income (11)
Purchases 0
Proceeds from sales 0
Proceeds from repayments (3,785)
Balance at September 30, 2012 854
Level3A | Equity/Other Securities
  
Balance at December 31, 2011 52,047
Transfers In 0
Transfers Out 0
CDO X Deconsolidation 0
Included in net income (C) 0
Included in other comprehensive income (loss) 13,341
Amortization included in interest income 3,985
Purchases 0
Proceeds from sales 0
Proceeds from repayments (4,443)
Balance at September 30, 2012 64,930
Level3A | Total Investments
  
Balance at December 31, 2011 1,098,094
Transfers In 20,291
Transfers Out (35,915)
CDO X Deconsolidation (770,698)
Included in net income (C) 1,182
Included in other comprehensive income (loss) 65,271
Amortization included in interest income 34,203
Purchases 300,800
Proceeds from sales (24,551)
Proceeds from repayments (72,989)
Balance at September 30, 2012 615,688
Level3B | CMBS Conduit
  
Balance at December 31, 2011 140,622
Transfers In 10,748
Transfers Out (6,056)
CDO X Deconsolidation (133,624)
Included in net income (C) (1,941)
Included in other comprehensive income (loss) (12,004)
Amortization included in interest income 8,016
Purchases 44,119
Proceeds from sales (18,708)
Proceeds from repayments (17,372)
Balance at September 30, 2012 13,800
Level3B | CMBS Other
  
Balance at December 31, 2011 39,478
Transfers In 14,105
Transfers Out (4,057)
CDO X Deconsolidation 0
Included in net income (C) (396)
Included in other comprehensive income (loss) 980
Amortization included in interest income 339
Purchases 0
Proceeds from sales 0
Proceeds from repayments (15,585)
Balance at September 30, 2012 34,864
Level3B | ABS Subprime
  
Balance at December 31, 2011 62,481
Transfers In 11,057
Transfers Out (10,178)
CDO X Deconsolidation (16,097)
Included in net income (C) 836
Included in other comprehensive income (loss) (1,766)
Amortization included in interest income 5,651
Purchases 0
Proceeds from sales (3,295)
Proceeds from repayments (9,066)
Balance at September 30, 2012 39,623
Level3B | ABS Other
  
Balance at December 31, 2011 6,919
Transfers In 5
Transfers Out 0
CDO X Deconsolidation (291)
Included in net income (C) (4,092)
Included in other comprehensive income (loss) 2,123
Amortization included in interest income 164
Purchases 0
Proceeds from sales (3,743)
Proceeds from repayments (363)
Balance at September 30, 2012 722
Level3B | Equity/Other Securities
  
Balance at December 31, 2011 3,939
Transfers In 0
Transfers Out 0
CDO X Deconsolidation 0
Included in net income (C) 0
Included in other comprehensive income (loss) 1,508
Amortization included in interest income 304
Purchases 0
Proceeds from sales 0
Proceeds from repayments (280)
Balance at September 30, 2012 5,471
Level3B | Total Investments
  
Balance at December 31, 2011 253,439
Transfers In 35,915
Transfers Out (20,291)
CDO X Deconsolidation (150,012)
Included in net income (C) (5,593)
Included in other comprehensive income (loss) (9,159)
Amortization included in interest income 14,474
Purchases 44,119
Proceeds from sales (25,746)
Proceeds from repayments (42,666)
Balance at September 30, 2012 $ 94,480