Investment Securities (Tables)

9 Months Ended

Sep. 30, 2013

Investment Securities

Schedule of investment securities

Investment securities are comprised of the following as of September 30, 2013 and December 31, 2012, (amounts in thousands):

	September 30, 2013 Carrying Value		December 31, 2012 Carrying Value
CMBS	$	112,436	$	529,434
CMBS, fair value option (1)	85,710		—
RMBS	316,261		333,153
Held-to-maturity (“HTM”) Securities	37,370		—
Equity Securities	15,016		21,667
Total	$	566,793	$	884,254

(1) We also had $324.4 million of fair value option CMBS that are eliminated in consolidation against VIE liabilities pursuant to ASC 810.

Schedule of purchases, sales and principal collections for all investment securities

During the three and nine months ended September 30, 2013, purchases, sales and principal collections for all investment securities were as follows (amounts in thousands):

Three months ended September 30, 2013	EquitySecurities		HTM Security		RMBS			CMBS			CMBS, fair value option		Total
Purchases	$	—	$	—	$	—		$	1,889		$	21,982	$	23,871
Sales	—		—		—			(206,972		)	—		(206,972		)
Principal collections	—		—		(14,124		)	(2,546		)	—		(16,670		)

Nine months ended September 30, 2013	EquitySecurities			HTM Security		RMBS			CMBS			CMBS, fair value option			Total
Purchases	$	—		$	37,174	$	20,090		$	1,889		$	23,601		$	82,754
Sales	(6,769		)	—		(12,713		)	(413,323		)	(10,072		)	(442,877		)
Principal collections	—			—		(46,762		)	(10,031		)	—			(56,793		)

During the three and nine months ended September 30, 2012, purchases, sales and principal collections for all investment securities were as follows (amounts in thousands):

Three months ended September 30, 2012	RMBS			CMBS			Total
Purchases	$	95,820		$	—		$	95,820
Sales	(9,425		)	(173,461		)	(182,886		)
Principal collections	(18,542		)	(5,874		)	(24,416		)

Nine months ended September 30, 2012	RMBS			CMBS			Total
Purchases	$	203,438		$	372,252		$	575,690
Sales	(26,049		)	(173,461		)	(199,510		)
Principal collections	(52,310		)	(15,142		)	(67,452		)

Schedule of various attributes of investment in fair value option CMBS

The table below summarizes various attributes of our investment in fair value option CMBS as of September 30, 2013 (amounts in thousands):

September 30, 2013	Weighted Average Coupon		Weighted Average Rating		Weighted Average Life (“WAL”) (Years)(1)
CMBS, fair value option	5.6	%	D	(2)	3.4

(1) The WAL of each security is calculated based on the period of time over which we expect to receive principal cash flows.  Expected principal cash flows are based on contractual payments net of expected losses.

(2) Includes $56.1 million in fair value option CMBS that are not rated. The remaining $29.6 million in fair value option CMBS have a weighted average rating of CCC-.

Schedule of investments in available-for-sale CMBS and RMBS where the fair value option has not been elected

The tables below summarize various attributes of our investments in available-for-sale CMBS and RMBS where the fair value option has not been elected as of September 30, 2013 and December 31, 2012, (amounts in thousands):

								Unrealized Gains or (Losses) Recognized in Accumulated Other Comprehensive Income
September 30, 2013	Purchase Amortized Cost		Credit OTTI			Recorded Amortized Cost		Non-Credit OTTI			Unrealized Gains		Unrealized Losses			Net Fair Value Adjustment		Fair Value
CMBS	$	99,081	$	—		$	99,081	$	—		$	13,355	$	—		$	13,355	$	112,436
RMBS	273,836		(10,573		)	263,263		(34		)	56,390		(3,358		)	52,998		316,261
Total	$	372,917	$	(10,573	)	$	362,344	$	(34	)	$	69,745	$	(3,358	)	$	66,353	$	428,697

September 30, 2013	Weighted Average Coupon(1)		Weighted Average Rating	Weighted Average Life (“WAL”) (Years)(2)
CMBS	11.5	%	BB+	6.0
RMBS	1.0	%	CCC	5.9

(1) Calculated using the one-month LIBOR rate as of September 30, 2013 of 0.17885% for variable rate securities.

(2) Represents the WAL of each respective group of MBS. The WAL of each individual security 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 the denominator equal to the sum of the expected principal payments using the contractually extended maturity dates of the assets. This calculation was made as of September 30, 2013. Assumptions for the calculation of the WAL are adjusted as necessary for changes in projected principal repayments and/or maturity dates of the security.

								Unrealized Gains or (Losses) Recognized in Accumulated Other Comprehensive Income
December 31, 2012	Purchase Amortized Cost		Credit OTTI			Recorded Amortized Cost		Non-Credit OTTI		Unrealized Gains		Unrealized Losses			Net Fair Value Adjustment		Fair Value
CMBS	$	498,064	$	—		$	498,064	$	—	$	31,370	$	—		$	31,370	$	529,434
RMBS	293,321		(10,194		)	283,127		—		50,717		(691		)	50,026		333,153
Total	$	791,385	$	(10,194	)	$	781,191	$	—	$	82,087	$	(691	)	$	81,396	$	862,587

December 31, 2012	Weighted Average Coupon(1)		Weighted Average Rating		Weighted Average Life (“WAL”) (Years)(3)
CMBS	4.3	%	BB+	(2)	3.3
RMBS	1.1	%	CCC+		5.4

(1) Calculated using the December 31, 2012 one-month LIBOR rate of 0.2087% for floating rate securities.

(2) Approximately 20.4% of the CMBS securities are rated BB+. The remaining 79.6% 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 not rated but the loan-to-value ratio was estimated to be in the range of 39%-44% at December 31, 2012.

(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 using the contractually extended maturity dates of the assets. This calculation was made as of December 31, 2012. Assumptions for the calculation of the WAL are adjusted as necessary for changes in projected principal repayments and/or maturity dates of the security.

Schedule of reconciliation of aggregate principal balance to amortized cost for the entity's CMBS and RMBS, excluding CMBS where the entity have elected the fair value option

The following table contains a reconciliation of aggregate principal balance to amortized cost for our CMBS and RMBS as of September 30, 2013 and December 31, 2012, excluding CMBS where we have elected the fair value option (amounts in thousands):

	September 30, 2013					December 31, 2012
	CMBS		RMBS			CMBS			RMBS
Principal balance	$	99,081	$	452,868		$	519,575		$	489,218
Accretable yield	—		(110,265		)	(21,511		)	(108,486		)
Non-accretable difference	—		(79,340		)	—			(97,605		)
Total discount	—		(189,605		)	(21,511		)	(206,091		)
Amortized cost	$	99,081	$	263,263		$	498,064		$	283,127

Schedule of changes to accretable yield and non accretable difference for the entity's CMBS and RMBS, excluding CMBS where the entity have elected the fair value option

The following table discloses the changes to accretable yield and non-accretable difference for our CMBS and RMBS during the three month period ended September 30, 2013, excluding CMBS where we have elected the fair value option (amounts in thousands):

	For the three months ended September 30, 2013
	Accretable Yield						Non-Accretable Difference
	CMBS			RMBS			CMBS		RMBS
Balance as of June 30, 2013	$	7,081		$	107,317		$	—	$	89,306
Accretion of discount	(885		)	(5,940		)	—		—
Principal write-downs	—			—			—		(1,130		)
Purchases	—			—			—		—
Sales	(6,196		)	—			—		—
OTTI	—			52			—		—
Transfer to/from non-accretable difference	—			8,836			—		(8,836		)
Balance as of September 30, 2013	$	—		$	110,265		$	—	$	79,340

The following table discloses the changes to accretable yield and non-accretable difference for our CMBS and RMBS during the nine month period ended September 30, 2013, excluding CMBS where we have elected the fair value option (amounts in thousands):

	For the nine months ended September 30, 2013
	Accretable Yield						Non-Accretable Difference
	CMBS			RMBS			CMBS		RMBS
Balance as of December 31, 2012	$	21,511		$	108,486		$	—	$	97,605
Accretion of discount	(5,442		)	(17,846		)	—		—
Principal write-downs	—			—			—		(2,133		)
Purchases	—			5,738			—		1,758
Sales	(16,069		)	(2,418		)	—		(2,038		)
OTTI	—			453			—		—
Transfer to/from non-accretable difference	—			15,852			—		(15,852		)
Balance as of September 30, 2013	$	—		$	110,265		$	—	$	79,340

Schedule of gross unrealized losses and estimated fair value of securities in an unrealized loss position, excluding CMBS where we have elected the fair value option

The following table presents the gross unrealized losses and estimated fair value of the available-for-sale securities where (i) we have not elected the fair value option, (ii) that were in an unrealized loss position as of September 30, 2013, and (iii) for which OTTIs (full or partial) have not been recognized in earnings (amounts in thousands):

	Estimated Fair Value				Unrealized Losses
As of September 30, 2013	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	$	—	$	—	$	—		$	—
RMBS	45,304		1,604		(2,874		)	(519		)
Total	45,304		$	1,604	$	(2,874	)	$	(519	)

The following table presents the gross unrealized losses and estimated fair value of our securities that were in an unrealized loss position as of December 31, 2012 for which OTTIs (full or partial) had not been recognized in earnings (amounts in thousands):

	Estimated Fair Value				Unrealized Losses
As of December 31, 2012	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	$	—	$	—	$	—		$	—
RMBS	4,096		599		(654		)	(37		)
Total	$	4,096	$	599	$	(654	)	$	(37	)