Fair Value Of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2013

Carrying Amount and Fair Value of Financial Instruments

The following table summarizes the carrying amount and the fair value of our financial instruments as of June 30, 2013:


Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Commercial mortgages, mezzanine loans and other loans	$	1,161,766	$	1,120,809
Investments in securities and security-related receivables		603,173		603,173
Cash and cash equivalents		60,401		60,401
Restricted cash		99,119		99,119
Derivative assets		1,528		1,528
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		110,437		141,738
Secured credit facility		7,121		7,121
Junior subordinated notes, at fair value		11,933		11,933
Junior subordinated notes, at amortized cost		25,100		13,696
CMBS facilities		12,569		12,569
Commercial mortgage facility		14,825		14,825
Non-recourse indebtedness:
CDO notes payable, at amortized cost		1,288,968		781,554
CDO notes payable, at fair value		304,687		304,687
Loans payable on real estate		143,980		152,305
Derivative liabilities		123,458		123,458

The following table summarizes the carrying amount and the fair value of our financial instruments as of December 31, 2012:


Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Commercial mortgages, mezzanine loans and other loans	$	1,075,129	$	1,063,716
Investments in securities and security-related receivables		655,509		655,509
Cash and cash equivalents		100,041		100,041
Restricted cash		90,641		90,641
Derivative assets		1,132		1,132
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		109,631		115,230
Secured credit facility		8,090		8,090
Junior subordinated notes, at fair value		29,655		29,655
Junior subordinated notes, at amortized cost		25,100		12,700
Non-recourse indebtedness:
CDO notes payable, at amortized cost		1,295,400		722,371
CDO notes payable, at fair value		187,048		187,048
Loans payable on real estate		144,671		156,510
Derivative liabilities		151,438		151,438

Information of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables summarize information about our assets and liabilities measured at fair value on a recurring basis as of June 30, 2013, 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 June 30, 2013
Trading securities
TruPS	$	0	$	0	$	486,989	$	486,989
Other securities		0		0		0		0
Available-for-sale securities		0		2		0		2
Security-related receivables
TruPS receivables		0		0		36,582		36,582
Unsecured REIT note receivables		0		32,564		0		32,564
CMBS receivables		0		44,549		0		44,549
Other securities		0		2,487		0		2,487
Derivative assets		0		1,528		0		1,528

Total assets	$	0	$	81,130	$	523,571	$	604,701


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, 2013
Junior subordinated notes, at fair value	$	0	$	0	$	11,933	$	11,933
CDO notes payable, at fair value		0		0		304,687		304,687
Derivative liabilities		0		56,380		67,078		123,458

Total liabilities	$	0	$	56,380	$	383,698	$	440,078

(a)	During the six-month period ended June 30, 2013, there were no transfers between Level 1 and Level 2, as well as, there were no transfers into and out of Level 3.

The following tables summarize information about our assets and liabilities measured at fair value on a recurring basis as of December 31, 2012, 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, 2012
Trading securities
TruPS	$	0	$	0	$	485,203	$	485,203
Other securities		0		0		0		0
Available-for-sale securities		0		2		0		2
Security-related receivables
TruPS receivables		0		0		91,148		91,148
Unsecured REIT note receivables		0		32,769		0		32,769
CMBS receivables		0		43,810		0		43,810
Other securities		0		2,577		0		2,577
Derivative assets		0		1,132		0		1,132

Total assets	$	0	$	80,290	$	576,351	$	656,641


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, 2012
Junior subordinated notes, at fair value	$	0	$	0	$	29,655	$	29,655
CDO notes payable, at fair value		0		0		187,048		187,048
Derivative liabilities		0		71,976		79,462		151,438

Total liabilities	$	0	$	71,976	$	296,165	$	368,141

Additional Information about Assets and Liabilities That Are Measured at Fair Value on Recurring Basis

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 six-month period ended June 30, 2013:


Assets	Trading Securities—TruPS and Subordinated Debentures			Security-Related Receivables—TruPS and Subordinated Debenture Receivables			Total Level 3 Assets
Balance, as of December 31, 2012	$	485,203		$	91,148		$	576,351
Change in fair value of financial instruments		18,786			(1,441	)		17,345
Purchases		0			0			0
Principal Repayments		(17,000	)		(53,125	)		(70,125	)

Balance, as of June 30, 2013	$	486,989		$	36,582		$	523,571

Rollforward of Level 3 Liabilities


Liabilities	Derivative Liabilities			CDO Notes Payable, at Fair Value			Junior Subordinated Notes, at Fair Value			Total Level 3 Liabilities
Balance, as of December 31, 2012	$	79,462		$	187,048		$	29,655		$	296,165
Change in fair value of financial instruments		(12,384	)		183,964			1,659			173,239
Purchases		0			0			0			0
Sales		0			0			0			0
Principal repayments		0			(66,325	)		(19,381	)		(85,706	)

Balance, as of June 30, 2013	$	67,078		$	304,687		$	11,933		$	383,698

Fair Value Hierarchy for Financial Instruments Not Fair Valued but For Which Fair Value Is Required To Be Disclosed

The following tables summarize the valuation technique and the level of the fair value hierarchy for financial instruments that are not fair valued in the accompanying consolidated balance sheets but for which fair value is required to be disclosed. The fair value of cash and cash equivalents, restricted cash, secured credit facility, CMBS facilities and commercial mortgage facility approximates cost due to the nature of these instruments and are not included in the tables below.


						Fair Value Measurement
	Carrying Amount as of June 30, 2013		Estimated Fair Value as of June 30, 2013		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	$	1,161,766	$	1,120,809	Discounted cash flows	$	0	$	0	$	1,120,809
7.0% convertible senior notes		110,437		141,738	Trading price		141,738		0		0
Junior subordinated notes, at amortized cost		25,100		13,696	Discounted cash flows		0		0		13,696
CDO notes payable, at amortized cost		1,288,968		781,554	Discounted cash flows		0		0		781,554
Loans payable on real estate		143,980		152,305	Discounted cash flows		0		0		152,305


						Fair Value Measurement
	Carrying Amount as of December 31, 2012		Estimated Fair Value as of December 31, 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	$	1,075,129	$	1,063,716	Discounted cash flows	$	0	$	0	$	1,063,716
7.0% convertible senior notes		109,631		115,230	Trading price		115,230		0		0
Junior subordinated notes, at amortized cost		25,100		12,700	Discounted cash flows		0		0		12,700
CDO notes payable, at amortized cost		1,295,400		722,371	Discounted cash flows		0		0		722,371
Loans payable on real estate		144,671		156,510	Discounted cash flows		0		0		156,510

Summary of Realized and Unrealized Gains and Losses on Assets and Liabilities

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


	For the Three-Month Periods Ended June 30						For the Six-Month Periods Ended June 30
Description	2013			2012			2013			2012
Change in fair value of trading securities and security-related receivables	$	3,053		$	11,712		$	18,166		$	17,844
Change in fair value of CDO notes payable, trust preferred obligations and other liabilities		(80,393	)		(11,524	)		(190,267	)		(119,828	)
Change in fair value of derivatives		1,320			(11,357	)		(3,676	)		(18,108	)

Change in fair value of financial instruments	$	(76,020	)	$	(11,169	)	$	(175,777	)	$	(120,092	)

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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