Quarterly report pursuant to Section 13 or 15(d)

Schedule of Securities Valuation Methodology (Details)

v2.4.0.6
Schedule of Securities Valuation Methodology (Details) (USD $)
In Thousands, unless otherwise specified
Sep. 30, 2012
Outstanding Face Amount (A) $ 1,759,369
Amortized Cost Basis (B) 1,316,806
Total Fair Value 1,380,360
CDOs
  
Outstanding Face Amount (A) 203,707
Amortized Cost Basis (B) 67,190
Multiple Quotes Fair Value (C) 3,960
Single Quote Fair Value (D) 60,970
Internal Pricing Models Fair Value (E) 5,471
Total Fair Value 70,401
FNMA/FHLMC Securities
  
Outstanding Face Amount (A) 534,801
Amortized Cost Basis (B) 572,356
Multiple Quotes Fair Value (C) 511,248
Single Quote Fair Value (D) 65,884
Internal Pricing Models Fair Value (E) 0
Total Fair Value 577,132
RE Securities CMBS
  
Outstanding Face Amount (A) 484,684
Amortized Cost Basis (B) 346,736
Multiple Quotes Fair Value (C) 296,337
Single Quote Fair Value (D) 32,751
Internal Pricing Models Fair Value (E) 48,664
Total Fair Value 377,752
RE Securities REIT Debt
  
Outstanding Face Amount (A) 87,700
Amortized Cost Basis (B) 86,916
Multiple Quotes Fair Value (C) 22,747
Single Quote Fair Value (D) 70,313
Internal Pricing Models Fair Value (E) 0
Total Fair Value 93,060
RE Securities ABS Subprime
  
Outstanding Face Amount (A) 438,269
Amortized Cost Basis (B) 241,693
Multiple Quotes Fair Value (C) 185,490
Single Quote Fair Value (D) 35,326
Internal Pricing Models Fair Value (E) 39,623
Total Fair Value 260,439
RE Securities ABS Other Real Estate
  
Outstanding Face Amount (A) 10,208
Amortized Cost Basis (B) 1,915
Multiple Quotes Fair Value (C) 0
Single Quote Fair Value (D) 854
Internal Pricing Models Fair Value (E) 722
Total Fair Value 1,576
RE Securities Total
  
Outstanding Face Amount (A) 1,759,369
Amortized Cost Basis (B) 1,316,806
Multiple Quotes Fair Value (C) 1,019,782
Single Quote Fair Value (D) 266,098
Internal Pricing Models Fair Value (E) 94,480
Total Fair Value $ 1,380,360