Derivative Financial Instruments

3 Months Ended

Sep. 30, 2011

Notes to Financial Statements

Derivative Financial Instruments

Note 9. Derivative Financial Instruments

As described in Note 1, in conjunction with our March 2011 restructuring of our recourse debt obligations a significant portion of our assets were transferred to a majority-owned subsidiary, CT Legacy REIT. This transfer included all of our interest rate hedging instruments. In addition, as described in Note 2, our consolidated balance sheets separately state our direct assets and liabilities and certain assets and liabilities of consolidated VIEs. See Note 10 for disclosures regarding interest rate hedging instruments of CT Legacy REIT, and see Note 11 for comparable disclosures regarding interest rate hedging instruments of consolidated securitization vehicles, all of which are non-recourse to us, as separately stated on our consolidated balance sheets.

The following table summarizes the notional amounts and fair values of our interest rate swaps as of September 30, 2011 and December 31, 2010 (in thousands).

Counterparty	September 30, 2011 Notional Amount		Interest Rate		Maturity		September 30, 2011 Fair Value		December 31, 2010 Fair Value
JPMorgan Chase		—		N/A		N/A		$—		($2,172	)
JPMorgan Chase		—		N/A		N/A		—		(1,969	)
JPMorgan Chase		—		N/A		N/A		—		(2,773	)
JPMorgan Chase		—		N/A		N/A		—		(1,015	)
JPMorgan Chase		—		N/A		N/A		—		(490	)
JPMorgan Chase		—		N/A		N/A		—		(32	)
Total/Weighted Average		$—		N/A		N/A		$—		($8,451	)

As of December 31, 2010, all of our derivative financial instruments were designated as cash flow hedges and recorded at their fair value as interest rate hedge liabilities on our consolidated balance sheet. During the nine months ended September 30, 2011, we did not enter into any new derivative financial instrument contracts.

The table below shows amounts recorded to other comprehensive income and amounts recorded to interest expense from other comprehensive income for the nine months ended September 30, 2011 and 2010 (in thousands).

	Amount of gain (loss) recognized		Amount of loss reclassified from OCI
	in OCI for the nine months ended (1)		to income for the nine months ended (2)
Hedge	September 30, 2011	September 30, 2010	September 30, 2011	September 30, 2010
Interest rate swaps	$933	($1,716)	($586)	($2,237)

(1)	Represents the amount of unrealized gains and losses recorded to other comprehensive income during the period, net of the amount reclassified to interest expense.
(2)	Represents net amounts paid to swap counterparties during the period, which are included in interest expense, offset by an immaterial amount of non-cash swap amortization.