As described in Note 1, on March 31, 2011, we restructured, amended, or extinguished all of our outstanding recourse debt obligations, and contributed certain of our legacy assets and debt obligations to a newly formed subsidiary, CT Legacy REIT Mezz Borrower, Inc., or CT Legacy REIT.

CT Legacy REIT is a consolidated VIE that is owned 52% by us, 24% by an affiliate of Five Mile, and 24% by the former lenders under our senior credit facility. In addition, the former holders of our junior subordinated notes received class B common stock of CT Legacy REIT, a subordinate class of common stock which entitles its holders to receive approximately 25% of the dividends that would otherwise be payable to us on our equity interest in the common stock of CT Legacy REIT, after aggregate cash distributions of $50.0 million have been paid to all other classes of common stock.

As of December 31, 2011, our consolidated balance sheet includes an aggregate $255.1 million of assets and $220.6 million of liabilities related to CT Legacy REIT. In addition, CT Legacy REIT consolidates three securitization vehicles which are presented on our consolidated balance sheets with other securitization vehicles owned by us directly, which are discussed in Note 11.

As described in Note 2, our consolidated balance sheets separately present: (i) our direct assets and liabilities, (ii) the direct assets and liabilities of CT Legacy REIT, and (iii) the assets and liabilities of consolidated securitization vehicles, some of which are subsidiaries of CT Legacy REIT. The following disclosures relate specifically to the direct assets and liabilities of CT Legacy REIT, as separately stated on our consolidated balance sheets.

	CMBS			CDOs & Other		Total Book Value (1)

December 31, 2010		$—			$—		$—

Transfer from Capital Trust, Inc.		2,356			1,221		3,577
Principal paydowns		(142	)		—		(142	)
Consolidation of additional securitization vehicle (2)		(1,121	)		—		(1,121	)
Discount/premium amortization & other (3)		253			35		288

December 31, 2011		$1,346			$1,256		$2,602


(1)	Includes securities with a total face value of $29.3 million as of December 31, 2011.
(2)	Beginning in the third quarter of 2011, CT Legacy REIT consolidated an additional securitization vehicle, which was previously accounted for as part of its securities portfolio with a net book value of $1.1 million. See Note 11 for additional discussion.
(3)	Includes mark-to-market adjustments on securities previously classified as available-for-sale, amortization of other-than-temporary impairments, and losses, if any.

The following table allocates the book value of CT Legacy REIT’s securities as of December 31, 2011 between their amortized cost basis, amounts related to mark-to-market adjustments on securities previously classified as available-for-sale, and the portion of other-than-temporary impairments not related to expected credit losses (in thousands):

	CMBS			CDOs & Other		Total Securities
Amortized cost basis		$2,321			$1,256		$3,577
Mark-to-market adjustments on securities previously classified as available-for-sale		(523	)		—		(523	)
Other-than-temporary impairments recognized in accumulated other comprehensive income		(452	)		—		(452	)

Total book value as of December 31, 2011		$1,346			$1,256		$2,602

	December 31, 2011	December 31, 2010
Number of securities	6	─
Number of issues	5	─
Rating (1) (2)	CCC+	N/A
Fixed / Floating (in millions) (3)	$2 / $1	$─ / $─
Coupon (1) (4)	5.43%	N/A
Yield (1) (4)	3.31%	N/A
Life (years) (1) (5)	4.9	N/A


(1)	Represents a weighted average as of December 31, 2011.
(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)	Represents the aggregate net book value of the portfolio allocated between fixed rate and floating rate securities.
(4)	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 0.30% as of December 31, 2011.
(5)	Weighted average life is based on the timing and amount of future expected principal payments through the expected repayment date of each respective investment.

Certain of the securities which were transferred to CT Legacy REIT have previously been other-than-temporarily impaired both during the year ended December 31, 2011, and in prior periods. The following table summarizes activity related to the other-than-temporary impairments of these securities as of December 31, 2011 (in thousands):

	Gross Other-Than-Temporary Impairments			Credit Related Other-Than-Temporary Impairments			Non-Credit Related Other-Than-Temporary Impairments

December 31, 2010		$—			$—			$—

Transfer from Capital Trust, Inc.		30,470			29,362			1,108
Amortization of other-than-temporary impairments		(271	)		(153	)		(118	)
Consolidation of additional securitization vehicle (1)		(3,357	)		(2,819	)		(538	)
Reductions due to realized losses		(285	)		(285	)		—

December 31, 2011		$26,557			$26,105			$452


(1)	Beginning in the third quarter of 2011, CT Legacy REIT consolidated an additional securitization vehicle, which was previously accounted for as part of its securities portfolio with an other-than-temporary impairment of $3.4 million. See Note 11 for additional discussion.

Certain of CT Legacy REIT’s securities are carried at values in excess of their fair values. This difference can be caused by, among other things, changes in credit spreads and interest rates. The following table shows the gross unrealized losses and fair value of securities for which the fair value is lower than their book value as of December 31, 2011, and that are not deemed to be other-than-temporarily impaired (in millions):

	Less Than 12 Months				Greater Than 12 Months					Total

	Estimated Fair Value		Gross Unrealized Loss		Estimated Fair Value		Gross Unrealized Loss			Estimated Fair Value		Gross Unrealized Loss			Book Value (1)

Floating Rate		$—		$—		$0.2		($1.1	)		$0.2		($1.1	)		$1.3

Fixed Rate		1.2		—		—		—			1.2		—			1.2

Total		$1.2		$—		$0.2		($1.1	)		$1.4		($1.1	)		$2.5


(1)	Excludes, as of December 31, 2011, $179,000 of securities which were carried at or below fair value and securities against which an other-than-temporary impairment equal to the entire book value was recognized in earnings.

As of December 31, 2011, two of CT Legacy REIT's securities with an aggregate book value of $2.5 million were carried at a value in excess of their fair value. Fair value for these securities was $1.4 million as of December 31, 2011. In total, as of December 31, 2011, CT Legacy REIT had six investments in securities with an aggregate book value of $2.6 million that have an estimated fair value of $1.6 million, including two investments in CMBS with an estimated fair value of $1.4 million and four investments in CDOs and other securities with an estimated fair value of $158,000.

We determine fair values using third party dealer assessments of value, and our own internal financial model-based estimations of fair value. See Note 17 for further discussion of fair value. We regularly examine CT Legacy REIT’s securities portfolio and have determined that, despite the differences between book value and fair value discussed above, our expectations of future cash flows have changed adversely for six of Legacy REIT’s securities, against which we have recognized other-than-temporary-impairments.

Our estimation of cash flows expected to be generated by our securities portfolio is based upon an internal review of the underlying loans securing our investments both on an absolute basis and compared to our initial underwriting for each investment. Our efforts are supplemented by third-party research reports, third-party market assessments and our dialogue with market participants. As of December 31, 2011, we do not intend to sell Legacy REIT’s securities, nor do we believe it is more likely than not that we will be required to sell Legacy REIT’s securities before recovery of their amortized cost bases, which may be at maturity. This, combined with our assessment of cash flows, is the basis for our conclusion that these investments are not impaired, other than as described above, despite the differences between estimated fair value and book value. We attribute the difference between book value and estimated fair value to the current market dislocation and a general negative bias against structured financial products such as CMBS and CDOs.

CT Legacy REIT’s securities portfolio includes investments in both CMBS and CDOs, which securitization structures are generally considered VIEs. We have not consolidated these VIEs due to our determination that, based on the structural provisions of each entity and the nature of our investments, we do not have the power to direct the activities that most significantly impact these entities' economic performance.

These securities were acquired through investment, and do not represent a securitization or other transfer of our assets. We are not named as special servicer on these investments, nor do we have the right to name special servicer.

CT Legacy REIT is not obligated to provide, nor has it provided, any financial support to these entities. As of December 31, 2011, CT Legacy REIT’s investment in these entities is $29.3 million, the principal amount of its securities portfolio. We have recorded other-than-temporary impairments of $26.6 million against this portfolio, resulting in a net exposure to loss of $2.6 million as of December 31, 2011.

	Gross Book Value			Provision for Loan Losses			Net Book Value (1)

December 31, 2010		$—			$—			$—

Transfer from Capital Trust, Inc. on March 31, 2011		739,694			(244,282	)		495,412
Satisfactions (2)		(270,407	)		—			(270,407	)
Principal paydowns		(268	)		—			(268	)
Discount/premium amortization & other		1,060			—			1,060
Recovery of provision for loan losses		—			13,048			13,048
Realized loan losses		(1,434	)		1,434			—
Reclassification to loans held-for-sale		(32,331	)		—			(32,331	)

December 31, 2011		$436,314			($229,800	)		$206,514

	December 31, 2011	December 31, 2010
Number of investments	17	─
Fixed / Floating (in millions) (1)	$56 / $151	$─ / $─
Coupon (2) (3)	4.59%	N/A
Yield (2) (3)	5.21%	N/A
Maturity (years) (2) (4)	1.4	N/A


(1)	Represents the aggregate net book value of the portfolio allocated between fixed rate and floating rate loans.
(2)	Represents a weighted average as of December 31, 2011.
(3)	Calculations for floating rate loans are based on LIBOR of 0.30% as of December 31, 2011.
(4)	Represents the final maturity of each investment assuming all extension options are executed.

The tables below detail the types of loans in CT Legacy REIT’s portfolio, as well as the property type and geographic distribution of the properties securing these loans, as of December 31, 2011 and 2010 (in thousands):

	December 31, 2011				December 31, 2010
Asset Type	Book Value		Percentage		Book Value		Percentage
Senior mortgages		$77,986		37%		$—		―%
Subordinate interests in mortgages		58,078		28		—		―
Mezzanine loans		47,271		23		—		―
Other		23,179		12		—		―
Total		$206,514		100%		$—		―%

Property Type	Book Value		Percentage		Book Value		Percentage
Office		$84,519		41%		$—		―%
Hotel		75,240		36		—		―
Multifamily		14,212		7		—		―
Other		32,543		16		—		―
Total		$206,514		100%		$—		―%

Geographic Location	Book Value		Percentage		Book Value		Percentage
Northeast		$64,040		31%		$—		―%
Southwest		40,353		19		—		―
West		38,179		18		—		―
Southeast		20,076		10		—		―
Northwest		9,364		5		—		―
International		34,502		17		—		―
Total		$206,514		100%		$—		―%

Quarterly, management evaluates CT Legacy REIT’s loan portfolio for impairment as described in Note 2. In conjunction with our quarterly loan portfolio review, management assesses the performance of each loan, and assigns a risk rating based on several factors including risk of loss, LTV, collateral performance, structure, exit plan, and sponsorship. Loans are rated one (less risk) through eight (greater risk), which ratings are defined in Note 2.

		Loans Receivable as of December 31, 2011						Loans Receivable as of December 31, 2010
Risk Rating		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		5		$91,940		$92,333		—		$—		$—
	4 - 5		5		64,151		64,127		—		—		—
	6 - 8		7		279,882		50,054		—		—		—

Total			17		$435,973		$206,514		—		$—		$—

In making this risk assessment, one of the primary factors we consider is how senior or junior each loan is relative to other debt obligations of the borrower. The following tables further allocate CT Legacy REIT’s loans receivable by both loan type and our internal risk ratings as of December 31, 2011 and 2010 (in thousands):

		Senior Mortgage Loans
		as of December 31, 2011						as of December 31, 2010
Risk		Number		Principal		Net		Number		Principal		Net
Rating		of Loans		Balance		Book Value		of Loans		Balance		Book Value
	1 - 3		1		$27,503		$27,503		—		$—		$—
	4 - 5		2		21,000		20,976		—		—		—
	6 - 8		2		42,569		29,507		—		—		—
Total			5		$91,072		$77,986		—		$—		$—

		Subordinate Interests in Mortgages
		as of December 31, 2011						as of December 31, 2010
Risk		Number		Principal		Net		Number		Principal		Net
Rating		of Loans		Balance		Book Value		of Loans		Balance		Book Value
	1 - 3		1		$13,000		$13,000		—		$—		$—
	4 - 5		1		24,531		24,531		—		—		—
	6 - 8		4		85,024		20,547		—		—		—
Total			6		$122,555		$58,078		—		$—		$—

		Mezzanine & Other Loans
		as of December 31, 2011						as of December 31, 2010
Risk		Number		Principal		Net		Number		Principal		Net
Rating		of Loans		Balance		Book Value		of Loans		Balance		Book Value
	1 - 3		3		$51,437		$51,830		—		$—		$—
	4 - 5		2		18,620		18,620		—		—		—
	6 - 8		1		152,289		—		—		—		—
Total			6		$222,346		$70,450		—		$—		$—

The following table describes CT Legacy REIT’s impaired loans as of December 31, 2011, including impaired loans that are current in their interest payments and those that are delinquent on contractual payments (in thousands):

	December 31, 2011
Impaired Loans	No. of Loans		Gross Book Value		Provision for Loan Loss			Net Book Value
Performing loans		2		$192,652		($183,289	)		$9,363
Non-performing loans		3		68,120		(46,511	)		21,609
Total impaired loans		5		$260,772		($229,800	)		$30,972

	December 31, 2011
Impaired Loans	Principal Balance		Provision for Loan Loss		Loss Severity
Mezzanine & other loans		$152,289		$152,289		100%
Subordinate interests in mortgages		83,812		64,449		77
Senior mortgages		24,700		13,062		53
Total/Weighted Average		$260,801		$229,800		88%

Generally, we have recorded provisions for loan loss against all loans which are in maturity default, or otherwise have past-due principal payments. As of December 31, 2011, CT Legacy REIT had four loans with an aggregate net book value of $51.6 million which were in maturity default but had no provision recorded. We expect to collect all principal and interest due under these loans upon their resolution.

The following table details CT Legacy REIT’s 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, 2011 (in thousands):

Income on Impaired Loans for the Year Ended December 31, 2011
Asset Type	Average Net Book Value		Income Recorded (1)
Senior Mortgage Loans		$10,150		$388
Subordinate Interests in Mortgages		22,340		208
Mezzanine & Other Loans		—		4,891
Total		$32,490		$5,487


(1)	Substantially all of the income recorded on impaired loans during the period was received in cash. See also Note 4 for disclosure of income recorded on impaired loans prior to their transfer to CT Legacy REIT, substantially all of which was also received in cash.

In accordance with our revenue recognition policies discussed in Note 2, we do not accrue interest on loans which are 90 days past due or, in the opinion of management, are otherwise uncollectable. Accordingly, we do not have any material interest receivable accrued on CT Legacy REIT’s nonperforming loans as of December 31, 2011.

Non-Accrual Loans Receivable as of December 31, 2011
Asset Type	Principal Balance		Net Book Value
Senior Mortgage Loans		$24,700		$11,638
Subordinate Interests in Mortgages		85,024		20,547
Mezzanine & Other Loans		152,289		—
Total		$262,013		$32,185

During the year ended December 31, 2011, two modifications of CT Legacy REIT loans were considered troubled debt restructurings, as defined under GAAP. A troubled debt restructuring is generally any modification of a loan to a borrower that is experiencing financial difficulties, where a lender agrees to terms that are more favorable to the borrower than is otherwise available in the current market. These loan modifications included: (i) a nine-month extension of a $19.0 million senior mortgage loan which is in maturity default, and (ii) a two-year forbearance of a $24.3 million subordinate mortgage interest, including a 2.0% spread increase which will accrue on a deferred basis. Both of these loans have been individually assessed for impairment, and have not been impaired due to our determination that the underlying collateral value is sufficient to cover our investment in the loans.

	Gross Book Value		Valuation Allowance			Net Book Value

December 31, 2010		$—		$—			$—

Reclassification from loans receivable		32,331		—			32,331
Valuation allowance on loans held-for-sale		—		(1,456	)		(1,456	)

December 31, 2011		$32,331		($1,456	)		$30,875

During the second quarter of 2011, CT Legacy REIT reclassified a $32.5 million senior mortgage loan to loans held-for-sale, against which it had recorded a $224,000 valuation allowance to reflect this loan at its approximate fair value. During the fourth quarter of 2011, CT Legacy REIT recorded an additional $1.2 million valuation allowance to reflect this loan at its approximate fair value as of December 31, 2011.

As of December 31, 2011, CT Legacy REIT had $113.6 million of total debt obligations outstanding. The balances of each category of debt, their respective coupons and all-in effective costs (including the amortization of fees and expenses) were as follows (in thousands):

	December 31, 2011				December 31, 2010		December 31, 2011
Debt Obligations	Principal Balance		Book Value		Book Value		Coupon (1)			All-In Cost (1)			Maturity Date (2)

Repurchase obligation (JPMorgan)		$58,464		$58,464		$—		2.80	%		2.80	%	December 15, 2014

Mezzanine loan(3)		65,275		55,111		—		15.00	%		18.61	%	March 31, 2016

Total/Weighted Average		$123,739		$113,575		$—		9.24	%		11.14	% (4)	August 20, 2015


(1)	Assumes LIBOR of 0.30% at December 31, 2011 for floating rate debt obligations.
(2)	Maturity dates represent the contractual maturity of each facility.
(3)	The mezzanine loan carries a 15.0% per annum interest rate, of which 7.0% per annum may be deferred. The all-in cost of the mezzanine loan includes the amortization of deferred fees and expenses.
(4)	Including the impact of interest rate hedges with an aggregate notional balance of $60.8 million as of December 31, 2011, the effective all-in cost of CT Legacy REIT’s debt obligations would be 13.46% per annum.

In conjunction with our March 2011 restructuring, on March 31, 2011 our legacy repurchase obligations with JPMorgan, Morgan Stanley and Citigroup were assumed by wholly-owned subsidiaries of CT Legacy REIT, and the recourse to Capital Trust, Inc. was eliminated. The balances then outstanding under the three repurchase obligations with JP Morgan, Morgan Stanley and Citigroup were $173.5 million, $93.2 million, and $38.1 million, respectively.

The JPMorgan facility matures on December 15, 2014 and bears interest at a rate of LIBOR + 2.50% per annum (2.80% as of December 31, 2011), which rate will increase to LIBOR + 3.00% per annum for the period from March 31, 2013 through March 30, 2014, and then to LIBOR + 3.50% per annum for the period from March 31, 2014 through maturity. In addition, periodic repayment targets must be met under the facility, which require the outstanding balance be reduced to: $110.0 million by December 15, 2011, $65.0 million by December 15, 2012, and $30.0 million by December 15, 2013. As of December 31, 2011, the JPMorgan facility had an outstanding balance of $58.5 million.

Subsequent to year-end, in February 2012, we refinanced the JPMorgan repurchase facility and the mezzanine loan with a single, new $124.0 million repurchase facility with JPMorgan. The new facility matures in December 2014, carries a rate of LIBOR+5.50%, and has paydown hurdles and associated potential rate increases over the term of the facility. See Note 22, Subsequent Events, to our consolidated financial statements for additional discussion.

The following table details the aggregate outstanding principal balance, book value and fair value of CT Legacy REIT’s assets, primarily loans receivable, which were pledged as collateral under the JPMorgan repurchase facility as of December 31, 2011, as well as the amount at risk (in thousands). The amount at risk is generally equal to the book value of our collateral less the outstanding principal balance of the repurchase facility.

Loans and Securities Collateral Balances,

as of December 31, 2011

Repurchase Lender

Facility Balance

Principal Balance

Book Value

Fair Value (1)

Amount at Risk (2)

JP Morgan

$58,464

$309,995

$177,208

$155,567

$122,600


(1)	Fair values represent the amount at which assets 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 each 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.

On March 31, 2011, CT Legacy REIT entered into an $83.0 million mezzanine loan with Five Mile that carries a 15.0% per annum interest rate, of which 7.0% per annum may be deferred, and that matures on March 31, 2016. The mezzanine loan is not recourse to Capital Trust, Inc. except for certain limited non-recourse, “bad boy” carve outs.

The mezzanine loan is collateralized by 100% of the equity interests in a subsidiary of CT Legacy REIT, which in-turn owns all of CT Legacy REIT’s assets, subject in-part to the repurchase obligations described above. Five Mile has consent rights with respect to material actions concerning CT Legacy REIT’s assets such as material modifications, sales, and/or the pursuit of certain remedies with regard to such assets. The mezzanine loan also contains covenants that (i) prohibit CT Legacy REIT from paying common stock cash dividends until the mezzanine loan has been repaid, (ii) prohibit us from selling or otherwise transferring our equity interests in CT Legacy REIT, and (iii) require the continued employment of certain key employees.

As of December 31, 2011, the mezzanine loan had an outstanding principal balance of $65.3 million (including deferred interest) and a book balance of $55.1 million. The difference between book balance and principal outstanding is due to deferred costs associated with the mezzanine loan, primarily the equity interest in CT Legacy REIT discussed above. Including the amortization of these costs, the mezzanine loan has an all-in cost of 18.61%.

Participations sold represent interests in certain loans that we originated and subsequently sold to one of our investment management vehicles or to third parties. We present these participations sold as both assets and non-recourse liabilities because these arrangements do not qualify as sales under GAAP. Generally, participations sold are recorded as assets and liabilities in equal amounts on our consolidated balance sheets, and an equivalent amount of interest income and interest expense is recorded on our consolidated statements of operations. However, impaired loan assets must be reduced through the provision for loans losses while the associated non-recourse liability cannot be reduced until the participation has been contractually extinguished. This can result in an imbalance between the loan participations sold asset and liability. We have no economic exposure to these liabilities.

	December 31,			December 31,
	2011			2010
Participations sold assets
Gross carrying value		$97,465			$—
Less: Provision for loan losses		(97,465	)		—
Net book value of assets		—			—

Participations sold liabilities
Net book value of liabilities		97,465			—
Net impact to shareholders' equity		($97,465	)		$—

To manage interest rate risk, we have historically employed interest rate swaps, or other arrangements, to convert a portion of our floating rate debt to fixed rate debt in order to index-match our assets and liabilities. The interest rate swaps that we have employed were designated as cash flow hedges and designed to hedge fixed rate assets against floating rate liabilities. Under cash flow hedges, we pay our hedge counterparties a fixed rate amount and our counterparties pay us a floating rate amount, which we settle monthly, and record as a component of interest expense. Our counterparties in these transactions are financial institutions and we are dependent upon the financial health of these counterparties and a functioning interest rate derivative market in order to effectively execute our hedging strategy.

The following table summarizes the notional amounts and fair values of CT Legacy REIT’s interest rate swaps as of December 31, 2011 and 2010 (in thousands). The notional amount provides an indication of the extent of our involvement in the instruments at that time, but does not represent exposure to credit or interest rate risk.

Counterparty	December 31, 2011 Notional Amount		Interest Rate (1)			Maturity		December 31, 2011 Fair Value			December 31, 2010 Fair Value
JPMorgan Chase		$17,574		5.14	%		2014		($1,887	)		$—
JPMorgan Chase		16,565		4.83	%		2014		(1,889	)		—
JPMorgan Chase		16,441		5.52	%		2018		(3,321	)		—
JPMorgan Chase		7,062		5.11	%		2016		(1,189	)		—
JPMorgan Chase		3,164		5.45	%		2015		(531	)		—
Total/Weighted Average		$60,806		5.17	%		2015		($8,817	)		$—

During the second quarter of 2011, as a result of significant repayments of CT Legacy REIT’s floating rate debt obligations, these interest rate swaps ceased to be highly effective hedging instruments. We therefore discontinued the designation of these hedges as cash flow hedges. As a result, beginning in the second quarter of 2011, any change in the fair values of these interest rate swaps is recorded as a non-cash component of interest expense on our consolidated statement of operations. We recognized $1.3 million of such non-cash interest expense during the year ended December 31, 2011.

In addition, as a result of the termination of the effective hedge designation, we reclassified $3.2 million from accumulated other comprehensive income as non-cash interest expense on our consolidated financial statements. In future periods we will recognize additional non-cash interest expense as the remaining balance of accumulated other comprehensive income is amortized over the life of each related facility. Net payments under such interest rate swaps during the year ended December 31, 2011 totaled $2.3 million, and were recorded as a component of interest expense.

Over the next twelve months, we expect approximately $2.2 million to be reclassified from other comprehensive income to interest expense. This amount represents the amortization of losses previously recorded in other comprehensive income on interest rate swaps which are no longer designated as cash flow hedges.