Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

Fair Value of Financial Instruments

Schedule of financial instruments carried at fair value on a recurring basis

	Fair Value at Reporting Date Using Inputs:
	June 30, 2012
	Total			Level I		Level II			Level III
Available-for-sale debt securities:
RMBS	$	233,456							$	233,456
CMBS	675,049					$	675,049
Total available-for-sale debt securities	908,505			—		675,049			233,456
Available-for-sale equity securities:
Real estate industry	11,470			$	11,470
Total available-for-sale equity securities	11,470			11,470
Total available-for-sale securities	919,975			11,470		675,049			233,456
Derivative Assets:
Foreign exchange contracts	3,477					3,477
Interest rate contracts	6,318					6,318
Derivatives Liabilities:
Interest rate contracts	(4,579		)			(4,579		)
Foreign exchange contracts	(10,254		)			(10,254		)
Total derivatives	(5,038		)	—		(5,038		)	—
Total	$	914,937		$	11,470	$	670,011		$	233,456

	Fair Value at Reporting Date Using Inputs:
	December 31, 2011
	Total			Level I		Level II			Level III
Loans held-for-sale at fair value	$	128,593							$	128,593
Available-for-sale debt securities:
RMBS	164,948								164,948
CMBS	176,786								176,786
Total available-for-sale debt securities	341,734			—		—			341,734
Available-for-sale equity securities:
Real estate industry	11,269			$	11,269	—			—
Total available-for-sale equity securities:	11,269			11,269		—			—
Total investments	481,596			11,269		—			470,327
Derivative Assets:
Foreign exchange contracts	5,261					$	5,261
Interest rate contracts	7,555					7,555
Derivatives Liabilities:
Interest rate contracts	(12,762		)			(12,762		)
Foreign exchange contracts	(6,890		)			(6,890		)
Total Derivatives:	(6,836		)	—		(6,836		)	—
Total:	$	474,760		$	11,269	$	(6,836	)	$	470,327

Schedule of fair value measurements using significant unobservable inputs (level III)

	Loans held-for-sale, at fair value		MBS available- for-sale, at fair value			Total
Beginning balance, March 31, 2012	$	—	$	157,186		$	157,186
Purchases	—		107,619			107,619
Originations	—		—			—
Transfer out	—		—			—
Sales	—		(16,624		)	(16,624		)
Maturities	—		—			—
Principal amortization	—		(17,229		)	(17,229		)
Net decrease in assets	—		73,766			73,766
Gain (loss) amounts from Level III investments:
Unrealized (loss) gain on assets	—		(2,801		)	(2,801		)
Realized gain on assets	—		2,913			2,913
Accretion of discount	—		3,788			3,788
OTTI	—		(1,396		)	(1,396		)
Other	—		—			—
Net gain on assets	—		2,504			2,504
Ending balance, as of June 30, 2012	$	—	$	233,456		$	233,456

The changes in investments classified as Level III are as follows for the six months ended June 30, 2012 (amounts in thousands):

	Loans held-for-sale, at fair value			MBS available- for-sale, at fair value			Total
Beginning balance, January 1, 2012	$	128,593		$	341,734		$	470,327
Purchases	—			107,619			107,619
Originations	—			—			—
Transfer out	—			(176,786		)	(176,786		)
Sales	(132,128		)	(16,624		)	(148,752		)
Maturities	—			—			—
Principal amortization	(122		)	(33,768		)	(33,890		)
Net decrease in assets	(132,250		)	(119,559		)	(251,809		)
Gain (loss) amounts from Level III investments:
Unrealized (loss) gain on assets	(5,760		)	3,796			(1,964		)
Realized gain on assets	9,417			2,913			12,330
Accretion of discount	—			6,624			6,624
OTTI	—			(2,052		)	(2,052		)
Other	—			—			—
Net gain on assets	3,657			11,281			14,938
Ending balance, as of June 30, 2012	$	—		$	233,456		$	233,456

	Loans held-for-sale, at fair value			MBS available- for-sale, at fair value			Total
Beginning balance, January 1, 2011	$	144,163		$	—		$	144,163
Purchases	—			115,795			115,795
Originations	270,066			—			270,066
Transfer in	(7,000		)	282,763			275,763
Sales	(294,126		)	(3,600		)	(297,726		)
Maturities	—			(15,408		)	(15,408		)
Principal amortization	(252		)	(36,562		)	(36,814		)
Net increase on assets	(31,312		)	342,988			311,676
Gain (loss) on loans held-for-sale, at fair value:
Unrealized gain on assets	5,760			(7,961		)	(2,201		)
Realized gain on assets	10,314			249			10,563
Accretion of discount	—			10,730			10,730
OTTI	—			(4,272		)	(4,272		)
Other	(332		)	—			(332		)
Net gain on assets	15,742			(1,254		)	14,488
Ending balance, as of December 31, 2011	$	128,593		$	341,734		$	470,327

Schedule of fair value of financial instruments not carried at fair value

	Carrying Value as of June 30, 2012		Fair Value as of June 30, 2012		Carrying Value as of December 31, 2011		Fair Value as of December 31, 2011
Financial Instruments not carried at Fair Value:
Loans held for investment	$	2,170,532	$	2,231,753	$	2,268,599	$	2,308,300
Loans held in securitization trust	$	50,294	$	50,613	$	50,316	$	50,958
Other Investments	$	32,615	$	32,615	$	33,110	$	33,110
Financial Liabilities:
Secured financing agreements	$	1,065,388	$	1,065,920	$	1,103,517	$	1,104,612
Collateralized debt obligation in securitization trust	$	52,752	$	52,971	$	53,199	$	53,199

Schedule of quantitative information for Level 3 Fair Value Measurements

Quantitative Information about Level III Fair Value Measurements

	Fair Value at June 30, 2012		Valuation Technique	Unobservable Input	Range
RMBS			Discounted cash flow	Constant prepayment rate	(0.6%) - 9.6%
				Constant default rate	2.3% - 18.5%
				Loss severity	38% - 102% (b)
				Delinquency Rate	5% - 63%
				Servicer Advances	10.29% - 100%
	$	233,456		Annual Coupon Deterioration	0% - 0.32%
Loans held for investment	$	2,232,116	Discounted cash flow	Projected cash flows (a) Discount rates	4.4% -16.3%
Loans held in securitization trust	$	50,613	Discounted cash flow	Projected cash flows (a) Discount rates	5.2%
Other investments	$	32,615	Discounted cash flow	Projected cash flows (a) Discount rates	9.5%
Secured financing agreements	$	1,065,920	Discounted cash flow	Projected cash flows (a) Discount rates	2.4% - 6.5%
Collateralized debt obligation in securitization trust	$	52,971	Discounted cash flow	Projected cash flows (a) Discount rates	3.5%

(a)As of June 30, 2012, management expects to collect all amounts contractually due.

(b)85% of the portfolio falls within a range of 40-85%.