Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

Fair Value of Financial Instruments [Abstract]

The fair value of financial instruments

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Commercial mortgages, mezzanine loans and other loans	$	1,090,481	$	1,055,388
Investments in securities and security-related receivables		657,783		657,783
Cash and cash equivalents		44,265		44,265
Restricted cash		101,347		101,347
Derivative assets		1,048		1,048
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		108,827		93,725
Secured credit facility		9,033		9,033
Junior subordinated notes, at fair value		22,450		22,450
Junior subordinated notes, at amortized cost		25,100		14,809
CMBS facilities		18,820		18,820
Non-recourse indebtedness:
CDO notes payable, at amortized cost		1,306,977		730,372
CDO notes payable, at fair value		159,077		159,077
Loans payable on real estate		135,074		148,669
Derivative liabilities		167,155		167,155

Assets and liabilities measured at fair value on a recurring basis and indicate these fair value hierarchy of the valuation techniques utilized to determine such 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 June 30, 2012
Trading securities
TruPS	$	0	$	0	$	490,170	$	490,170
Other securities		0		0		0		0
Available-for-sale securities		0		2		0		2
Security-related receivables
TruPS receivables		0		0		86,508		86,508
Unsecured REIT note receivables		0		31,697		0		31,697
CMBS receivables		0		39,300		0		39,300
Other securities		0		10,106		0		10,106
Derivative assets		0		1,048		0		1,048
Total assets	$	0	$	82,153	$	576,678	$	658,831

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 June 30, 2012
Junior subordinated notes, at fair value	$	0	$	0	$	22,450	$	22,450
CDO notes payable, at fair value		0		0		159,077		159,077
Derivative liabilities		0		83,641		83,514		167,155
Total liabilities	$	0	$	83,641	$	265,041	$	348,682

(a) During the six-month period ended June 30 2012, there were no transfers between Level 1 and Level 2, as well as, there were no transfers into and out of Level 3.

Assets and liabilities measured at fair value on a recurring basis

Assets	Trading Securities—TruPS and Subordinated Debentures		Security-Related Receivables—TruPS and Subordinated Debenture Receivables			Total Level 3 Assets
Balance, as of December 31, 2011	$	481,736	$	82,863		$	564,599
Change in fair value of financial instruments		8,434		3,819			12,253
Purchases		0		0			0
Sales		0		(174	)		(174	)
Balance, as of June 30, 2012	$	490,170	$	86,508		$	576,678

Liabilities	Derivative Liabilities			CDO Notes Payable, at Fair Value			Junior Subordinated Notes, at Fair Value		Total Level 3 Liabilities
Balance, as of December 31, 2011	$	90,080		$	122,506		$	22,450	$	235,036
Change in fair value of financial instruments		(6,566	)		119,828			0		113,262
Purchases		0			0			0		0
Sales		0			0			0		0
Principal repayments		0			(83,257	)		0		(83,257	)
Balance, as of June 30, 2012	$	83,514		$	159,077		$	22,450	$	265,041

Fair Value Measurement for financial instruments not fair valued but for which fair value is required to be disclosed

						Fair Value Measurement
	Carrying Amount as of June 30, 2012		Estimated Fair Value as of June 30, 2012		Valuation Technique	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Commercial mortgages, mezzanine loans and other loans	$	1,090,481	$	1,055,388	Discounted cash flows	$	0	$	0	$	1,055,388
7.0% convertible senior notes		108,827		93,725	Trading price		93,725		0		0
Junior subordinated notes, at amortized cost		25,100		14,809	Discounted cash flows		0		0		14,809
CDO notes payable, at amortized cost		1,306,977		730,372	Discounted cash flows		0		0		730,372
Loans payable on real estate		135,074		148,669	Discounted cash flows		0		0		148,669

Changes in fair value of financial instruments

	For the Three-Month Periods Ended June 30						For the Six-Month Periods Ended June 30
Description	2012			2011			2012			2011
Change in fair value of trading securities and security-related receivables	$	11,712		$	2,081		$	17,844		$	18,635
Change in fair value of CDO notes payable, trust preferred obligations and other liabilities		(11,524	)		(6,831	)		(119,828	)		(13,862	)
Change in fair value of derivatives		(11,357	)		(20,977	)		(18,108	)		(24,889	)
Change in fair value of financial instruments	$	(11,169	)	$	(25,727	)	$	(120,092	)	$	(20,116	)