Debt Securities (Tables)

12 Months Ended

Dec. 31, 2011

Debt Securities

Schedule of investments in mortgage backed securities available-for-sale

								Unrealized Gains or (Losses) Recognized in Accumulated Other Comprehensive (Loss) Income
December 31, 2011	Purchase Amortized Cost		Credit OTTI			Recorded Amortized Cost		Non-Credit OTTI			Unrealized Gains		Unrealized Losses			Net Fair Value Adjustment			Fair Value
CMBS	$	177,353	$	—		$	177,353	$	—		$	—	$	(567	)	$	(567	)	$	176,786
RMBS		170,424		(6,001	)		164,423		(1,310	)		3,367		(1,532	)		525			164,948
Total	$	347,777	$	(6,001	)	$	341,776	$	(1,310	)	$	3,367	$	(2,099	)	$	(42	)	$	341,734

December 31, 2011	Weighted Average Coupon(1)			Weighted Average Rating			Weighted Average Life ("WAL") (Years)(3)
CMBS		2.1	%		NR	(2)		3.5
RMBS		1.0	%		B-			4.8

(1)

Calculated using the December 31, 2011 one-month LIBOR rate of 0.2953% for floating rate securities.

(2)

Represents securities where the obligors are certain special purpose entities that were formed to hold substantially all of the assets of a worldwide operator of hotels, resorts and timeshare properties; the securities are not rated but the loan-to-value ratio was estimated to be in the range of 39%-44% at December 31, 2011.

(3)

Represents the WAL of each respective group of MBS. The WAL of each individual security or loan is calculated as a fraction, the numerator of which is the sum of the timing (in years) of each expected future principal payment multiplied by the balance of the respective payment, and with a denominator equal to the sum of the expected principal payments. This calculation was made as of December 31, 2011. Assumptions for the calculation of the WAL are adjusted as necessary for changes in projected principal repayments and/or maturity dates of the security.

December 31, 2010	Recorded Amortized Cost		Unrealized Gains		Unrealized Losses			Net Fair Value Adjustment		Fair Value		Weighted Average Coupon(1)			Weighted Average Rating	WAL (Years)
CMBS	$	266,764	$	9,074	$	(683	)	$	8,391	$	275,155		5.6	%	AA-		1.8
RMBS		120,827		2,495		(797	)		1,698		122,525		0.6	%	BB-		1.3
	$	387,591	$	11,569	$	(1,480	)	$	10,089	$	397,680

(1)

Calculated using the December 31, 2010 one-month LIBOR rate of 0.2606% for floating rate securities.

Schedule of purchases and sales trades executed, as well as principal payments received

During the year ended December 31, 2011, the purchases and sales trades executed, as well as the principal payments received, were as follows (amounts in thousands):

	RMBS		CMBS
Purchases	$	161,204	$	—
Sales/Maturities		53,529		238,739
Principal payments received		69,466		44,449

Schedule of gross unrealized losses and estimated fair value of securities in an unrealized loss position

	Estimated Fair Value				Unrealized Losses
As of December 31, 2011	Securities with a loss less than 12 months		Securities with a loss greater than 12 months		Securities with a loss less than 12 months			Securities with a loss greater than 12 months
CMBS	$	176,786	$	—	$	(567	)	$	—
RMBS		70,103		2,684		(2,444	)		(399	)
Total	$	246,889	$	2,684	$	(3,011	)	$	(399	)

As of December 31, 2010	Estimated Fair Value		Unrealized Losses
CMBS	$	19,023	$	(683	)
RMBS		25,729		(797	)
Total	$	44,752	$	(1,480	)