Fair Value Of Financial Instruments

12 Months Ended

Dec. 31, 2011

Fair Value Of Financial Instruments [Abstract]

Fair Value Of Financial Instruments

NOTE 8: FAIR VALUE OF FINANCIAL INSTRUMENTS

Fair Value of Financial Instruments

FASB ASC Topic 825, "Financial Instruments" requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value. The fair value of investments in mortgages and loans, investments in securities, trust preferred obligations, CDO notes payable, convertible senior notes, junior subordinated notes and derivative assets and liabilities is based on significant observable and unobservable inputs. The fair value of cash and cash equivalents, restricted cash, secured credit facilities, senior secured notes, loans payable on real estate and other indebtedness approximates cost due to the nature of these instruments.

The following table summarizes the carrying amount and the fair value of our financial instruments as of December 31, 2011:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Commercial mortgages, mezzanine loans and other loans	$	996,363	$	954,990
Investments in securities and security-related receivables		647,461		647,461
Cash and cash equivalents		29,720		29,720
Restricted cash		278,607		278,607
Derivative assets		1,360		1,360
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		107,868		93,935
6.875% convertible senior notes		3,735		3,594
Secured credit facilities		9,954		9,954
Junior subordinated notes, at fair value		22,450		22,450
Junior subordinated notes, at amortized cost		25,100		14,809
Non-recourse indebtedness:
CDO notes payable, at amortized cost		1,320,904		703,611
CDO notes payable, at fair value		122,506		122,506
Loans payable on real estate		135,737		135,737
Derivative liabilities		181,499		181,499

Fair Value Measurements

The following tables summarize information about our assets and liabilities measured at fair value on a recurring basis as of December 31, 2011, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Assets:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance as of December 31, 2011
Trading securities
TruPS	$	0	$	0	$	481,736	$	481,736
Other securities		0		0		0		0
Available-for-sale securities		0		2		0		2
Security-related receivables
TruPS receivables		0		0		82,863		82,863
Unsecured REIT note receivables		0		30,066		0		30,066
CMBS receivables		0		35,117		0		35,117
Other securities		0		17,677		0		17,677
Derivative assets		0		1,360		0		1,360
Total assets	$	0	$	84,222	$	564,599	$	648,821

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance as of December 31, 2011
Junior subordinated notes, at fair value	$	0	$	0	$	22,450	$	22,450
CDO notes payable, at fair value		0		0		122,506		122,506
Derivative liabilities		0		91,419		90,080		181,499
Total liabilities	$	0	$	91,419	$	235,036	$	326,455

(a) During the year ended December 31, 2011, there were no transfers between Level 1 and Level 2.

The following tables summarize additional information about assets and liabilities that are measured at fair value on a recurring basis for which we have utilized level 3 inputs to determine fair value for the year ended December 31, 2011:

Assets	Trading Securities—TruPS and Subordinated Debentures			Security-Related Receivables—TruPS and Subordinated Debenture Receivables			Total Level 3 Assets
Balance, as of December 31, 2010	$	454,473		$	83,087		$	537,560
Change in fair value of financial instruments		85,388			(224	)		85,164
Purchases		0			0			0
Sales		(58,125	)		0			(58,125	)
Balance, as of December 31, 2011	$	481,736		$	82,863		$	564,599

Liabilities	Derivative Liabilities		CDO Notes Payable, at Fair Value			Junior Subordinated Notes, at Fair Value		Total Level 3 Liabilities
Balance, as of December 31, 2010	$	87,632	$	148,072		$	4,422	$	240,126
Change in fair value of financial instruments		2,448		17,462			18,028		37,938
Purchases		0		0			0		0
Sales		0		0			0		0
Principal repayments		0		(43,028	)		0		(43,028	)
Balance, as of December 31, 2011	$	90,080	$	122,506		$	22,450	$	235,036

Change in Fair Value of Financial Instruments

The following table summarizes realized and unrealized gains and losses on assets and liabilities for which we elected the fair value option within FASB ASC Topic 825, "Financial Instruments" as reported in change in fair value of financial instruments in the accompanying consolidated statements of operations:

Description	For the Year Ended December 31, 2011			For the Year Ended December 31, 2010			For the Year Ended December 31, 2009
Change in fair value of trading securities and security-related receivables	$	19,281		$	111,874		$	(158,273	)
Change in fair value of CDO notes payable and other liabilities		(35,491	)		(26,882	)		153,459
Change in fair value of derivatives		(58,944	)		(39,152	)		6,377
Change in fair value of financial instruments	$	(75,154	)	$	45,840		$	1,563

The changes in the fair value for the investment in securities, CDO notes payable, and other liabilities for which the fair value option was elected for the years ended December 31, 2011, 2010 and 2009 was primarily attributable to changes in instrument specific credit risks. The changes in the fair value of the CDO notes payable for which the fair value option was elected was due to repayments at par because of OC failures when the CDO notes have a fair value of less than par. The changes in the fair value of derivatives for which the fair value option was elected for the years ended December 31, 2011, 2010 and 2009 was mainly due to changes in interest rates.