Debt Securities (Tables)

9 Months Ended

Sep. 30, 2011

Debt Securities

Schedule of mortgage-backed available-for-sale securities

								Unrealized Gains or (Losses) Recognized in Accumulated Other Comprehensive Income (Loss)
September 30, 2011	Purchase Amortized Cost		Credit OTTI			Recorded Amortized Cost		Non-Credit OTTI			Unrealized Gains		Unrealized Losses			Net Fair Value Adjustment			Fair Value
CMBS	$	192,742	$	—		$	192,742	$	—		$	—	$	(5,035	)	$	(5,035	)	$	187,707
RMBS	166,013		(2,621		)	163,392		$	(435	)	3,345		(1,909		)	1,001			164,393
Total	$	358,755	$	(2,621	)	$	356,134	$	(435	)	$	3,345	$	(6,944	)	$	(4,034	)	$	352,100

September 30, 2011	Weighted Average Coupon(1)		Weighted Average Rating (2)		Weighted Average Life (Years)
CMBS	1.96	%		CCC+	5.3
RMBS	0.87	%		B-	4.2

(1)Generally calculated using the September 30, 2011 one-month LIBOR rate of 0.23944%.

(2)Excludes securities that are not rated, whose aggregate fair value was $177.5 million.  Of this amount, $174.7 million are 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 unrated but the loan-to-value ratio was approximately 31% at September 30, 2011.

December 31, 2010	Cost		Unrealized Gains	Unrealized Losses		Net Fair Value Adjustment	Fair Value		Weighted Average Coupon(1)		Weighted Average Rating	Weighted Average Life (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%.

Schedule of purchases and sales trades executed and principal pay-downs in available for sale securities

During the nine-months ended September 30, 2011, the purchases and sales trades executed, as well as the principal payments received, were as follows (000’s):

	RMBS		CMBS
Purchases	$	139,953	$	—
Sales/Maturities	49,951		223,378
Principal payments received	52,607		42,220

Schedule of securities in an unrealized loss position

	Estimated Fair Value				Unrealized Losses
As of September 30, 2011	Securities in a loss less than 12 months		Securities in a loss greater than 12 months		Securities in a loss less than 12 months			Securities in a loss greater than 12 months
CMBS	$	187,707	$	—	$	(5,035	)	$	—
RMBS	101,692		680		(1,790		)	(118		)
Total	$	289,399	$	680	$	(6,825	)	$	(118	)