Consolidated Securitization Vehicles (Tables)

3 Months Ended

Mar. 31, 2013

Securitization Vehicles Tables

Overall statistics for Consolidated Securization Vehicles' loan receivables portfolio

The following table details overall statistics for our consolidated securitization vehicles’ loans receivable portfolio as of March 31, 2013 and December 31, 2012 ($ in thousands):

	March 31, 2013			December 31, 2012
Number of investments		6			7
Principal balance	$	157,579		$	164,180
Net book value	$	139,500		$	141,500
Coupon (1) (2)		4.64	%		4.73	%
Yield (1) (2)		3.57	%		4.74	%
Maturity (years) (1) (3)		0.5			0.7

(1) Represents a weighted average as of March 31, 2013 and December 31, 2012, respectively.

(2) All loans are floating rate loans as of both March 31, 2013 and December 31, 2012. Calculations are based on LIBOR of 0.20% and 0.30% as of March 31, 2013 and December 31, 2012, respectively.

(3) For loans in CT CDO I, assumes all extension options are executed. For loans in GSMS 2006-FL8A, maturity is based on information provided by its trustee.

Types of loans in consolidated securitization vehicles' loan 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 our consolidated securitization vehicles’ loan portfolio, as well as the property type and geographic distribution of the properties securing these loans, as of March 31, 2013 and December 31, 2012 ($ in thousands):

	March 31, 2013					December 31, 2012
Asset Type	Book Value		Percentage			Book Value		Percentage
Subordinate interests in mortgages	$	77,000		55	%	$	79,000		56	%
Senior mortgages		62,500		45			62,500		44
Total	$	139,500		100	%	$	141,500		100	%

Property Type	Book Value		Percentage			Book Value		Percentage
Office	$	109,500		78	%	$	111,500		79	%
Hotel		30,000		22			30,000		21
Total	$	139,500		100	%	$	141,500		100	%

Geographic Location	Book Value		Percentage			Book Value		Percentage
West	$	92,500		66	%	$	92,500		65	%
Northeast		27,000		19			27,000		19
Southeast		12,404		10			12,404		9
Southwest		7,596		5			9,596		7
Total	$	139,500		100	%	$	141,500		100	%

Allocates the net book value and principal balance of consolidated securitization vehicles' loans receivable based on internal risk ratings

The following table allocates the net book value and principal balance of our consolidated securitization vehicles’ loans receivable based on our internal risk ratings as of March 31, 2013 and December 31, 2012 ($ in thousands):

	Loans Receivable as of March 31, 2013						Loans Receivable as of December 31, 2012
Risk Rating	Number of Loans		Principal Balance		Net Book  Value		Number of Loans		Principal Balance		Net Book  Value
1 - 3		2	$	50,000	$	50,000		2	$	47,000	$	47,000
4 - 5		2		89,500		89,500		2		92,500		92,500
6 - 8		2		18,079		—		3		24,680		2,000
Total		6	$	157,579	$	139,500		7	$	164,180	$	141,500

Allocation consolidated securitization vehicles' loans receivable by both loan type and internal risk ratings

The following tables further allocate our consolidated securitization vehicles’ loans receivable by both loan type and our internal risk ratings as of March 31, 2013 and December 31, 2012 ($ in thousands):

	Senior Mortgage Loans
	as of March 31, 2013						as of December 31, 2012
Risk Rating	Number of Loans		Principal Balance		Net Book  Value		Number of Loans		Principal Balance		Net Book  Value
1 - 3		—	$	—	$	—		—	$	—	$	—
4 - 5		1		62,500		62,500		1		62,500		62,500
6 - 8		—		—		—		—		—		—
Total		1	$	62,500	$	62,500		1	$	62,500	$	62,500

	Subordinate Interests in Mortgages
	as of March 31, 2013						as of December 31, 2012
Risk Rating	Number of Loans		Principal Balance		Net Book  Value		Number of Loans		Principal Balance		Net Book  Value
1 - 3		2	$	50,000	$	50,000		2	$	47,000	$	47,000
4 - 5		1		27,000		27,000		1		30,000		30,000
6 - 8		2		18,079		—		3		24,680		2,000
Total		5	$	95,079	$	77,000		6	$	101,680	$	79,000

Schedule of consolidated securitization vehicles' impaired loans

The following table describes our consolidated securitization vehicles’ impaired loans as of March 31, 2013, including impaired loans that are current in their interest payments and those that are delinquent on contractual payments ($ in thousands):

	March 31, 2013
Impaired Loans	No. of Loans		Gross Book Value		Loan Loss Reserve (1)			Net Book Value
Performing loans		1	$	7,531	($	7,531	)	$	—
Non-performing loans		1		10,548		(10,548	)		—
Total impaired loans		2	$	18,079	($	18,079	)	$	—

(1) Reserve for loan loss represents a 100% loss severity against two subordinate interests in mortgages with an aggregate principal balance of $18.1 million as of March 31, 2013.

The following table describes our consolidated securitization vehicles’ impaired loans as of December 31, 2012, including impaired loans that are current in their interest payments and those that are delinquent on contractual payments ($ in thousands):

	December 31, 2012
Impaired Loans	No. of Loans		Gross Book Value		Loan Loss Reserve (1)			Net Book Value
Performing loans		1	$	7,531	($	7,531	)	$	—
Non-performing loans		2		17,149		(15,149	)		2,000
Total impaired loans		3	$	24,680	($	22,680	)	$	2,000

(1) Reserve for loan loss represents a 92% loss severity against seven subordinate interests in mortgages with an aggregate principal balance of $24.7 million as of December 31, 2012.

Average balance of impaired loans by loan type, and the income recorded on such loans subsequent to their impairment

The following table details our consolidated securitization vehicles’ average balance of impaired loans by loan type, and the income recorded on such loans subsequent to their impairment during the year ended December 31, 2012 ($ in thousands):

Income on Impaired Loans for the Three Months ended March 31, 2012
Asset Type	Average Net Book Value		Income Recorded  (1)
Senior Mortgage Loans	$	8,464	$	168
Subordinate Interests in Mortgages		5,419		369
Mezzanine & Other Loans		10,269		210
Total	$	24,152	$	747

(1) Substantially all of the income recorded on impaired loans during the period was received in cash.

Schedule of consolidated securitization vehicles' loans receivable nonaccrual status

The following table details CT Legacy Partners’ loans receivable which are on nonaccrual status as of March 31, 2013 ($ in thousands):

Non-Accrual Loans Receivable as of March 31, 2013
Asset Type	Principal Balance		Net Book  Value
Senior Mortgage Loans	$	—	$	—
Subordinate Interests in Mortgages		43,448		—
Mezzanine & Other Loans		69,146		11,931
Total	$	112,594	$	11,931

Schedule of activity relating to our consolidated securitization vehicles' loans held-for-sale

Activity relating to our consolidated securitization vehicles’ loans held-for-sale for the three months ended March 31, 2013 was as follows ($ in thousands):

	Gross Book Value		Valuation Allowance			Net Book Value
December 31, 2012	$	—	$	—		$	—
Reclassification from loans receivable		6,601		(4,601	)		2,000
Valuation allowance on loans held-for-sale		—		(200	)		(200	)
March 31, 2013	$	6,601	($	4,801	)	$	1,800

Balances of each entity's outstanding securitized debt obligations, their respective coupons and all-in effective costs, including the amortization of fees and expenses

The balances of each of our consolidated securitization vehicles’ outstanding securitized debt obligations, their respective coupons and all-in effective costs, including the amortization of fees and expenses, were as follows ($ in thousands):

	March 31, 2013				December 31, 2012					March 31, 2013
Non-Recourse Securitized Debt Obligations	Principal Balance		Book Value		Book Value		Coupon  (1)			All-In Cost  (1)			Maturity Date (2)
CT CDO I	$	88,892	$	88,892	$	91,131		1.63	%		1.63	%		July 2039
GSMS 2006-FL8A	$	48,052	$	48,052	$	48,053		1.07	%		1.07	%		June 2020
Total/Weighted Average	$	136,944	$	136,944	$	139,184		1.43	%		1.43	%		October 2032

(1) Represents a weighted average for each respective facility, assuming LIBOR of 0.20% at March 31, 2013 for floating rate debt obligations.

(2) Maturity dates represent the contractual maturity of each securitization trust. Repayment of securitized debt is a function of collateral cash flows which are disbursed in accordance with the contractual provisions of each trust, and is generally expected to occur prior to the maturity date above.