Overall statistics for CT Legacy Partners's securities portfolio

The following table details overall statistics for CT Legacy Partners’ securities portfolio as of March 31, 2013:


	March 31, 2013
Number of securities		12
Number of issues		6
Rating ⁽¹⁾⁽²⁾		CCC
Coupon ⁽¹⁾⁽³⁾		6.30	%
Yield ⁽¹⁾⁽³⁾		5.67	%
Life (years) ⁽¹⁾⁽⁴⁾		4.2

(1)	Represents a weighted average as of March 31, 2013.

(2)	Weighted average ratings are based on the lowest rating published by Fitch Ratings, Standard & Poor’s or Moody’s Investors Service for each security.

(3)	Coupon is based on the securities’ contractual interest rates, while yield is based on expected cash flows for each security, and considers discounts/premiums and asset non-performance. Calculations for floating rate securities are based on LIBOR of 0.20% as of March 31, 2013.

(4)	Weighted average life is based on the timing and amount of future expected principal payments through the expected repayment date of each respective investment.

Types of loans in CT Legacy Partner's portfolio, as well as the property type and geographic distribution of the properties securing these loans

The tables below detail the types of loans in CT Legacy Partners’ loan portfolio, as well as the property type and geographic distribution of the properties securing these loans, as of March 31, 2013 ($ in thousands):


	March 31, 2013
Asset Type	Book Value		Percentage
Subordinate interests in mortgages	$	80,853		54	%
Mezzanine loans		43,265		29
Senior mortgages		26,214		17

Total	$	150,332		100	%


Property Type	Book Value		Percentage
Hotel	$	50,653		34	%
Office		43,844		29
Multifamily		12,814		9
Other		43,021		28

Total	$	150,332		100	%


Geographic Location	Book Value		Percentage
Northeast	$	56,658		38	%
Northwest		43,022		29
West		13,705		9
Southeast		11,931		8
International		25,016		16

Total	$	150,332		100	%

Loans receivable by both loan type and risk ratings

The following tables further allocate CT Legacy Partners’ loans receivable by both loan type and our internal risk ratings as of March 31, 2013 ($ in thousands):


	Senior Mortgage Loans
	as of March 31, 2013
Risk Rating	Number of Loans		Principal Balance		Net Book Value
1 - 3		—	$	—	$	—
4 - 5		1		15,000		13,705
6 - 8		1		17,869		12,509

Total		2	$	32,869	$	26,214


	Subordinate Interests in Mortgages
	as of March 31, 2013
Risk Rating	Number of Loans		Principal Balance		Net Book Value
1 - 3		1	$	12,814	$	12,814
4 - 5		—		—		—
6 - 8		4		110,268		68,039

Total		5	$	123,082	$	80,853


	Mezzanine & Other Loans
	as of March 31, 2013
Risk Rating	Number of Loans		Principal Balance		Net Book Value
1 - 3		1	$	19,869	$	20,060
4 - 5		3		26,754		23,205
6 - 8		1		54,824		—

Total		5	$	101,447	$	43,265

Repurchase Obligations outstanding

The following table details the aggregate outstanding principal balance and fair value of CT Legacy Partners’ assets, primarily loans receivable, which were pledged as collateral under the JPMorgan repurchase facility as of March 31, 2013, as well as the amount at risk under the facility ($ in thousands).


			Loans and Securities Collateral
				Balances,
Repurchase Lender	Facility Balance		Principal Balance		Fair Value ⁽¹⁾		Amount at Risk ⁽²⁾
JP Morgan	$	20,214	$	323,736	$	162,034	$	141,820

(1)	Fair values represent the amount at which an asset could be sold in an orderly transaction between a willing buyer and willing seller. The immediate liquidation value of these assets would likely be substantially lower.

(2)	Amount at risk is calculated on an asset-by-asset basis for the facility and considers the greater of (a) the book value of an asset and (b) the fair value of an asset, in determining the total risk.