2.2.0.7 false Fair Value of Financial Instruments 10501 - Disclosure - Fair Value of Financial Instruments true false false false 1 USD false false Unit12 Standard http://www.xbrl.org/2003/iso4217 USD iso4217 0 Unit13 Divide http://www.xbrl.org/2003/iso4217 USD iso4217 http://www.xbrl.org/2003/instance shares xbrli 0 Unit1 Standard http://www.xbrl.org/2003/instance shares xbrli 0 $ 5 Fair Value of Financial Instruments 3 us-gaap_FairValueDisclosuresTextBlock us-gaap true na duration No definition available. false false false false false false false false false false false false 1 false false false false 0 0 <div> <div style="min-width: 708px; text-align: center;"> <h2 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold 10pt/12pt serif; padding-top: 5pt;">Note 5. Fair Value of Financial Instruments </h2> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to measure the fair value of the assets and liabilities in the table above. This hierarchy prioritizes relevant market inputs in order to determine an "exit price", or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale at the date of measurement. Additionally, relevant market data, to the extent available and not internally generated or entity specific information should be used to determine fair value. Level 1 inputs are observable inputs that reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability being measured at fair value. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level in which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"><a name="tOPFSA"> </a>The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value as of June 30, 2010 and December 31, 2009. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">June 30, 2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">December 31, 2009</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Carrying Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Fair Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Carrying Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Fair Value</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Assets<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Real estate loans (held-for-investment)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">3,788,266</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">3,112,660</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">3,724,791</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">3,000,496</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Real estate loans (held-for-sale)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,404</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,404</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,374</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,374</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Real estate loans (fair value)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">19,485</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">19,485</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">12,089</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">12,089</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Trading securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">275,994</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">275,994</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">277,274</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">277,274</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Available-for-sale securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">740,963</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">740,963</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">810,471</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">810,471</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Other investments</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,654</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,654</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">20,371</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">20,371</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Cash and equivalents</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">288,376</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">288,376</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">242,818</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">242,818</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Derivative assets</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,735</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,735</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">12,372</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">12,372</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Restricted cash</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">26,814</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">26,814</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">94,306</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">94,306</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Accrued interest receivable</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">14,085</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">14,085</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">18,193</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">18,193</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">REO (included in other assets)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,797</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,797</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">17,421</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">17,421</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Liabilities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Derivative liabilities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">106,355</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">106,355</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">83,800</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">83,800</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Accrued interest payable</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">6,315</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">6,315</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">5,968</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">5,968</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">ABS Issued<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">ABS issued&nbsp;&ndash;&nbsp;Sequoia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,681,622</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,016,105</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,644,933</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,909,032</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">ABS issued&nbsp;&ndash;&nbsp;Acacia</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">253,104</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">253,104</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">297,596</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">297,596</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Total ABS issued</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,934,726</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,269,209</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,942,529</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,206,628</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Long-term debt</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">140,000</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">61,600</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">140,000</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">68,600</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">We did not elect the fair value option for any residential securities that we acquired in the second quarter of 2010. During the first quarter of 2010, we elected the fair value option for $13 million of residential senior securities acquired during the quarter. During 2009, we elected the fair value option for certain ABS issued by Sequoia and acquired by Acacia as a result of the deconsolidation of certain Sequoia entities during the fourth quarter of 2008 and second quarter of 2009. These ABS issued had been previously eliminated as intercompany assets for financial reporting purposes. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">During 2008, we elected the fair value option for all of the loans, securities, and ABS issued at Acacia. At June 30, 2010, the loans had an aggregate fair value of $19 million and an unpaid principal balance of $23 million, the securities had an aggregate fair value of $258 million and an unpaid principal balance of $1.9 billion, and the asset-backed securities issued had an aggregate fair value of $253 million and an unpaid principal balance of $3.0 billion. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents assets and liabilities recorded at fair value on our consolidated balance sheet on a recurring basis and indicates the fair value hierarchy of the valuation techniques used to measure fair value. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Assets and Liabilities Measured at Fair Value on a Recurring Basis as of June 30, 2010 </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;" rowspan="2">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2" colspan="3">Carrying<br />Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Fair Value Measurements Using</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 1</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 2</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 3</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Assets<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Real estate loans</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">19,485</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">19,485</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Trading securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">275,994</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">275,994</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Available-for-sale securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">740,963</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">740,963</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Other investments</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,654</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,654</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Derivative assets</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,735</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,701</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">34</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Liabilities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">ABS issued&nbsp;&ndash;&nbsp;Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">253,104</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">253,104</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Derivative liabilities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">106,355</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">508</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">102,214</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,633</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Assets and Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2009 </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;" rowspan="2">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2" colspan="3">Carrying<br />Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Fair Value Measurements Using</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 1</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 2</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 3</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Assets<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Real estate loans</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">12,089</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">12,089</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Trading securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">277,274</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">277,274</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Available-for-sale securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">810,471</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">810,471</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Other investments</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">20,371</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">20,371</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Derivative assets</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">12,372</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">12,326</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">46</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Liabilities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">ABS issued&nbsp;&ndash;&nbsp;Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">297,596</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">297,596</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Derivative liabilities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">83,800</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">63,499</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">20,301</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents additional information about Level 3 assets and liabilities during the six months ended June 30, 2010. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 9pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="15">Assets</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Liabilities</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Real Estate<br />Loans</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Trading<br />Securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">AFS<br />Securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Derivative<br />Assets</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">ABS Issued&nbsp;&ndash;&nbsp;<br />Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Derivative<br />Liabilities</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Beginning balance&nbsp;&ndash;&nbsp; December 31, 2009</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">12,089</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">277,274</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">810,471</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">46</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">297,596</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">20,301</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Principal paydowns</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">52</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(31,102</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(71,083</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(43,743</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Gains (losses) in net income, net</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">7,344</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">18,479</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">15,290</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(5</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(6,004</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(262</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Gains (losses) in OCI, net</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(5,485</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Acquisitions</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">17,137</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">186,057</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Sales</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(6,119</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(194,337</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Other settlements, net</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">325</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">50</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(7</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">5,255</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(16,406</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Ending Balance&nbsp;&ndash;&nbsp;June 30, 2010</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">19,485</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">275,994</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">740,963</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">34</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">253,104</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">3,633</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents the portion of gains or losses included in our consolidated statement of income (loss) that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and still held at June 30, 2010 and 2009. Gains or losses incurred on assets or liabilities sold or otherwise disposed of during the three and six months ended June 30, 2010 and 2009 are not included in this presentation. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2010 and 2009 Included in Net Income (Loss) </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="15">Included in Net Income (Loss)</td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">&nbsp;&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Three Months Ended June 30,</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Six Months Ended June 30,</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2009</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2009</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Assets<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Real estate loans</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">2,978</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(1,720</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">7,344</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(3,967</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Trading securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">5,042</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,368</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">17,364</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(34,408</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Available-for-sale securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(4,216</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(33,237</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(6,134</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(62,121</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Derivative assets</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">15</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">71</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(5</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">231</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Liabilities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">ABS issued&nbsp;&ndash;&nbsp;Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,257</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(28,792</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">6,004</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,897</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Derivative liabilities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">49</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(401</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">109</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(672</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents information on assets and liabilities recorded at fair value on a non-recurring basis at June 30, 2010 and December 31, 2009. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis as of June 30, 2010 </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="15"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Gain (Loss)</td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">&nbsp;&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;" rowspan="2">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2" colspan="3">Carrying<br />Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Fair Value Measurements Using</td> <td style="text-align: center; vertical-align: text-bottom;" rowspan="2">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2" colspan="3">Three Months<br />Ended June 30,<br />2010</td> <td style="text-align: center; vertical-align: text-bottom;" rowspan="2">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2" colspan="3">Six Months<br />Ended June 30,<br />2010</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 1</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 2</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 3</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Assets<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Real estate loans (held-for-sale)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">2,404</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">2,404</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">296</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">176</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">REO</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,797</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,797</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,285</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,359</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr></table></div> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis as of December 31, 2009 </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="15"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Gain (Loss)</td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">&nbsp;&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;" rowspan="2">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2" colspan="3">Carrying<br />Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Fair Value Measurements Using</td> <td style="text-align: center; vertical-align: text-bottom;" rowspan="2">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2" colspan="3">Three Months<br />Ended June 30,<br />2009</td> <td style="text-align: center; vertical-align: text-bottom;" rowspan="2">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2" colspan="3">Six Months<br />Ended June 30,<br />2009</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 1</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 2</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Level 3</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Assets<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Real estate loans (held-for-sale)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">2,374</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">2,374</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(56</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(77</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">REO</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">17,421</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">17,421</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,159</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,923</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents the components of market valuation adjustments, net, recorded in our consolidated statements of income (loss) for the three and six months ended June 30, 2010 and 2009. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Market Valuation Adjustments, Net </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Three Months Ended June 30,</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Six Months Ended June 30,</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2009</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2009</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Assets<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Real estate loans (fair value)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">2,978</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(1,720</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">7,344</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(3,967</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Real estate loans (held-for-sale)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">296</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(56</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">176</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(77</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">REO</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,285</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,159</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,359</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,923</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Trading securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">6,330</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,240</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">18,479</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(35,185</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Impairments on AFS securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(4,216</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(33,237</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(6,162</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(62,272</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Liabilities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">ABS issued&nbsp;&ndash;&nbsp;Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,257</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(28,792</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">6,004</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,897</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Derivative instruments, net</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(22,485</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">24,589</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(42,844</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">28,148</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Market Valuation Adjustments, Net</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(7,125</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(29,135</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(18,362</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(72,379</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">A description of the instruments measured at fair value as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy is listed below. </p> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Real estate loans </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Residential real estate loan fair values are determined by available market quotes and discounted cash flow analyses (Level 3). </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Commercial real estate loan fair values are determined by available market quotes and discounted cash flow analyses (Level 3). </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Real estate securities </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Real estate securities are residential, commercial, CDO, and other asset-backed securities that are illiquid in nature and trade infrequently. Fair values are determined by discounted cash flow analyses and other valuation techniques using market pricing assumptions that are confirmed by third party dealer/pricing indications, to the extent available. Significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. Relevant market indicators that are factored in the analyses include bid/ask spreads, credit losses, interest rates, and prepayment speeds. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">We request and consider indications of value (marks) from third-party dealers to assist us in our valuation process. The availability of third-party marks continues to decline, in part because some dealers no longer exist and others have ceased providing client valuation services. For June 30, 2010, we received dealer marks on 78% of our securities. In the aggregate, our internal valuations of the securities on which we received dealer marks were 3% lower (i.e., more conservative) than the aggregate dealer marks. </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Other investments </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Other investments currently include a GIC. Management considers the GIC's fair value to approximate its contract value, as the GIC earns a variable interest rate of LIBOR less 5 basis points and resets on a monthly basis (Level 2). </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Derivative assets and liabilities </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Our derivative instruments include interest rate agreements, TBAs, and credit default swaps. Fair values of derivative instruments are determined using quoted prices from active markets when available or valuation models and are verified by valuations provided by dealers active in derivative markets. TBA fair values are generally obtained using quoted prices from active markets (Level 1). Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, and correlations of such inputs. Model inputs for interest rate agreements can generally be verified and model selection does not involve significant management judgment (Level 2). For other derivatives, such as certain CDS, valuations are based on various factors such as liquidity, bid/offer spreads, and credit considerations for which we rely on available market evidence. In the absence of such evidence, management's best estimate is used (Level 3). </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Cash and cash equivalents </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. Fair values equal carrying values. </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Restricted cash </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Restricted cash primarily includes interest-earning cash balances in ABS entities and the Fund for the purpose of distribution to bondholders or limited partners, and reinvestment. Due to the short-term nature of the restrictions, fair values approximate carrying values. </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Accrued interest receivable and payable </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Accrued interest receivable and payable includes interest due on our assets and payable on our liabilities. Due to the short-term nature of when these interest payments will be received or paid, fair values approximate carrying values. </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Short-term debt </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Short-term debt includes our credit facilities that mature within one year. Short-term debt is generally at an adjustable rate. Fair values approximate carrying values. </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">ABS issued </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">ABS issued includes asset-backed securities issued through our Sequoia and Acacia programs. These instruments are illiquid in nature and trade infrequently, if at all. Fair values are determined by discounted cash flow analyses and other valuation techniques using market pricing assumptions that are confirmed by third party dealer/pricing indications, to the extent available. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Relevant market indicators factored into the analyses include dealer price indications to the extent available, bid/ask spreads, external spreads, collateral credit losses, interest rates and collateral prepayment speeds. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">We request and consider indications of value (marks) from third-party dealers to assist us in our valuation process. The availability of third-party marks continues to decline, in part because some dealers no longer exist and others have ceased providing client valuation services. For June 30, 2010, we received dealer marks on 88% of our ABS issued. Our internal valuations of our ABS issued on which we received dealer marks were 7% higher (i.e., more conservative) than the aggregate dealer marks. </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Long-term debt </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Long-term debt includes our subordinated notes and trust preferred securities. Fair values are determined using comparable market indicators of current pricing. Significant inputs in the valuation analysis are predominantly Level 3 due to the nature of these instruments and the lack of readily available market quotes. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">Real Estate Owned (REO) </td></tr></table> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">&bull;</td> <td style="text-align: left;">REO includes properties owned in satisfaction of foreclosed loans. Fair values are determined using available market quotes, appraisals, broker price opinions, comparable properties, or other indications of value (Level 3). </td></tr></table></div> </div> Note 5. Fair Value of Financial Instruments For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to measure false false false us-types:textBlockItemType textblock This item represents the complete disclosure regarding the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the Company is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risk is are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. 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