As of December 31, 2011, our consolidated balance sheet includes an aggregate $1.0 billion of assets and $1.2 billion of liabilities related to nine consolidated securitization vehicles. Our consolidated securitization vehicles include two categories of entities: (i) collateralized debt obligations sponsored and issued by us, which we refer to as CT CDOs and (ii) other consolidated securitization vehicles which were not issued or sponsored by us. We have historically consolidated the CT CDOs; however we began consolidating the additional securitization vehicles as of January 1, 2010, as discussed in Note 2.

We currently consolidate four collateralized debt obligation, or CDO, entities, which are VIEs that were sponsored by us. These CT CDOs invest in commercial real estate debt instruments, some of which we originated/acquired and transferred to the CDO entities, and are financed by the debt and equity they issue. We are named as collateral manager of all four CT CDOs and are named special servicer on a number of CDO collateral assets. As a result of consolidation, our subordinate debt and equity ownership interests in these CT CDOs have been eliminated, and our balance sheet reflects both the assets held and debt issued by these CDOs to third-parties. Similarly, our operating results and cash flows include the gross amounts related to the assets and liabilities of the CT CDO entities, as opposed to our net economic interests in these entities. Fees earned by us for the management of these CDOs are eliminated in consolidation.

Our interest in the assets held by these CT CDOs, which are consolidated on our balance sheet, is restricted by the structural provisions of these entities, and our recovery of these assets will be limited by the CDOs’ distribution provisions, which are subject to change due to covenant breaches or asset impairments, as further described below in this Note 11. The liabilities of the CT CDOs, which are also consolidated on our balance sheet, are non-recourse to us, and can generally only be satisfied from each CDOs’ respective asset pool.

As discussed above, we currently consolidate five additional securitization vehicles, all of which are substantially similar to the CT CDOs. These securitization vehicles invest in commercial real estate debt instruments, which investments were not originated or transferred to the entities by us. In addition to our investment in the subordinate classes of the securities issued by these vehicles, we are named special servicer on a number of their assets. As a result of consolidation, our ownership interests in these consolidation vehicles have been eliminated, and our balance sheet reflects both the assets held and debt issued by these vehicles to third-parties. Similarly, our operating results and cash flows include the gross amounts related to the assets and liabilities of the securitization vehicles, as opposed to our net economic interests in these entities. Special servicing fees paid to us on assets owned by these vehicles are eliminated in consolidation.

Our interest in the assets held by these securitization vehicles, which are consolidated on our balance sheet, is restricted by the structural provisions of these entities, and a recovery of our investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on our balance sheet, are non-recourse to us, and can generally only be satisfied from each vehicle’s respective asset pool.

During the third quarter of 2011, realized losses on a loan held by the consolidated MSC 2007-XLFA securitization vehicle resulted in a complete loss to our subordinate investment in MSC 2007-XLFA. Accordingly, we were no longer considered the primary beneficiary of MSC 2007-XLFA and ceased consolidating it under GAAP. Also during the third quarter of 2011, we consolidated a new securitization vehicle, GECMC 2000-1. A realized loss on a loan held by GECMC 2000-1 resulted in a complete loss to the investments in the vehicle subordinate to us and made our investment in GECMC 2000-1 the most subordinate in the remaining securitization structure. Accordingly, we then became the primary beneficiary of GECMC 2000-1 and began consolidating it under GAAP. We have previously accounted for GECMC 2000-1 as a security in our CT Legacy REIT portfolio.

We are not obligated to provide, nor have we provided, any financial support to these consolidated securitization vehicles. In addition, three of these five investments have been made through our CT CDOs, which limits our exposure to loss as discussed above. Accordingly, as of December 31, 2011, our maximum exposure to loss as a result of our investment in these vehicles is limited to $75.5 million, the face amount of our investment in the two securitization vehicles not held by our CT CDOs. As a result of consolidation, we have recognized losses on collateral assets in excess of our investment in these entities, resulting in a zero net exposure to loss as of December 31, 2011.

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 assets and liabilities of consolidated securitization vehicles, as separately stated on our consolidated balance sheets.

	CMBS			CDOs & Other			Total Book Value (1)

December 31, 2010		$456,312			$48,011			$504,323

Principal paydowns		(49,016	)		(45,205	)		(94,221	)
Consolidation of securitization vehicle (2)		(1,000	)		—			(1,000	)
Discount/premium amortization & other (3)		37			(871	)		(834	)
Other-than-temporary impairments:
Recognized in earnings		(46,413	)		—			(46,413	)
Recognized in accumulated other comprehensive income		(2,883	)		—			(2,883	)
December 31, 2011		$357,037			$1,935			$358,972


(1)	Includes securities with a total face value of $490.9 million and $594.4 million as of December 31, 2011 and 2010, respectively.
(2)	Beginning in the third quarter of 2011, CT CDO I consolidated an additional securitization vehicle, which was previously accounted for as part of its securities portfolio with a net book value of $1.0 million. See the introduction to this 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 our consolidated securitization vehicles’ 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		$369,471			$1,935		$371,406
Mark-to-market adjustments on securities previously classified as available-for-sale		3,703			—		3,703
Other-than-temporary impairments recognized in accumulated other comprehensive income		(16,137	)		—		(16,137	)
Total book value as of Decembe 31, 2011		$357,037			$1,935		$358,972

The following table details overall statistics for our consolidated securitization vehicles’ securities portfolio as of December 31, 2011 and 2010:


(1)	Represents a weighted average as of December 31, 2011 and 2010, respectively.
(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% and 0.26% as of December 31, 2011 and 2010, respectively.
(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.

	Rating as of December 31, 2011
Vintage	AAA		AA		A	BBB		BB		B	CCC and Below		Total
2006		$—		$—	$—		$—		$—	$—		$14,884		$14,884
2005		—		—	—		—		—	—		7,060		7,060
2004		—		24,780	1,935		—		—	—		—		26,715
2003		9,908		—	—		3,011		1,966	—		—		14,885
2002		—		—	—		—		6,712	—		2,283		8,995
2001		—		—	—		—		—	5,426		1,730		7,156
2000		2,891		—	—		—		19,935	—		3,985		26,811
1999		—		—	11,233		1,414		17,380	—		—		30,027
1998		45,956		46,315	37,580		43,607		11,901	—		5,000		190,359
1997		4,434		—	16,159		—		5,223	2,762		3,502		32,080
Total		$63,189		$71,095	$66,907		$48,032		$63,117	$8,188		$38,444		$358,972

	Rating as of December 31, 2010
											CCC and
Vintage	AAA		AA		A	BBB		BB		B	Below		Total
2006		$—		$—	$—		$—		$—	$—		$15,248		$15,248
2005		—		—	—		—		—	—		22,033		22,033
2004		—		24,815	8,414		—		—	—		2,400		35,629
2003		9,906		—	—		3,020		1,959	—		—		14,885
2002		—		—	—		6,663		—	2,652		—		9,315
2001		—		—	—		4,814		4,129	—		3,537		12,480
2000		2,923		—	—		—		—	—		26,017		28,940
1999		—		—	11,337		1,423		17,366	—		—		30,126
1998		98,017		45,593	38,045		43,524		43,534	—		4,125		272,838
1997		—		—	26,124		—		5,182	3,360		3,546		38,212
1996		24,617		—	—		—		—	—		—		24,617
Total		$135,463		$70,408	$83,920		$59,444		$72,170	$6,012		$76,906		$504,323

Quarterly, we reevaluate our consolidated securitization vehicles’ securities portfolio to determine if there has been an other-than-temporary impairment based upon expected future cash flows from each securities investment. As a result of this evaluation, under the accounting guidance discussed in Note 2, during the year ended December 31, 2011, we recorded a gross other-than-temporary impairment of $49.3 million. This gross other-than-temporary impairment includes $46.4 million related to expected credit losses which has been recorded through earnings, and $2.9 million of fair value adjustments in excess of expected credit losses, or Valuation Adjustments, which have been recorded as a component of accumulated other comprehensive income (loss) on our consolidated balance sheet with no impact on earnings.

To determine the component of the gross other-than-temporary impairment related to expected credit losses, we compare the amortized cost basis of each other-than-temporarily impaired security to the present value of its revised expected cash flows, discounted using its pre-impairment yield. Significant judgment of management is required in this analysis that includes, but is not limited to, (i) assumptions regarding the collectability of principal and interest on the underlying loans, net of related expenses, and (ii) current subordination levels at both the individual loans which serve as collateral under our securities and at the securities themselves.

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

December 31, 2010		$88,586			$74,576			$14,010

Additions due to change in expected cash flows		49,296			46,412			2,884
Amortization of other-than-temporary impairments		646			1,403			(757	)
Reductions due to realized losses		(8,168	)		(8,168	)		—
December 31, 2011		$130,360			$114,223			$16,137

Certain of our consolidated securitization vehicles’ 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		$—		$—			$—		$—			$—		$—			$—

Fixed Rate		154.1		(4.7	)		130.1		(11.1	)		284.2		(15.8	)		300.0

Total		$154.1		($4.7	)		$130.1		($11.1	)		$284.2		($15.8	)		$300.0

As of December 31, 2011, 35 of our consolidated securitization vehicles' securities with an aggregate book value of $300.0 million were carried at values in excess of their fair values. Fair value for these securities was $284.2 million as of December 31, 2011. In total, as of December 31, 2011, our consolidated securitization vehicles had 52 investments in securities with an aggregate book value of $359.0 million that have an estimated fair value of $350.2 million, including 51 investments in CMBS with an estimated fair value of $348.3 million and one investment in CDOs and other securities with an estimated fair value of $1.9 million.

	Less Than 12 Months					Greater Than 12 Months					Total

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

Floating Rate		$—		$—			$—		$—			$—		$—			$—

Fixed Rate		29.3		(1.2	)		221.2		(37.4	)		250.5		(38.6	)		289.1

Total		$29.3		($1.2	)		$221.2		($37.4	)		$250.5		($38.6	)		$289.1

As of December 31, 2010, 33 of our consolidated securitization vehicles’ securities with an aggregate book value of $289.1 million were carried at values in excess of their fair values. Fair value for these securities was $250.5 million as of December 31, 2010. In total, as of December 31, 2010, our consolidated securitization vehicles had 56 investments in securities with an aggregate book value of $504.3 million that have an estimated fair value of $475.3 million, including 54 investments in CMBS with an estimated fair value of $426.6 million and two investments in CDOs and other securities with an estimated fair value of $48.7 million. These valuations do not include the value of interest rate swaps entered into in conjunction with the purchase/financing of these investments, if any.

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 our consolidated securitization vehicles’ securities portfolio and have determined that, despite these differences between book value and fair value, our expectations of future cash flows have only changed adversely for 14 of our consolidated securitization vehicles’ securities, against which we have recognized other-than-temporary-impairments. See Note 10A for additional discussion of fair value estimations.

Our consolidated securitization vehicles’ 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.

We are not obligated to provide, nor have we provided, any financial support to these entities. As these securities are financed by our non-recourse CT CDOs, our exposure to loss is therefore limited to our interests in these consolidated entities. The notional amount of the subordinate debt and equity interests we retained in our CT CDOs is $233.7 million. After giving effect to certain transfers of these interests, provisions for loan losses and other-than-temporary impairments recorded as of December 31, 2011, our remaining net exposure to loss from these entities is $4.0 million.

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

December 31, 2010		$3,145,968			($254,589	)		$2,891,379

Satisfactions (2)		(1,561,455	)		—			(1,561,455	)
Principal paydowns		(145,784	)		—			(145,784	)
Deconsolidation of securitization vehicle (3)		(595,920	)		—			(595,920	)
Consolidation of securitization vehicle (4)		24,437			(2,000	)		22,437
Discount/premium amortization & other		929			—			929
Recovery of provision for loan losses		—			1,012			1,012
Realized loan losses		(53,603	)		53,603			—
December 31, 2011		$814,572			($201,974	)		$612,598


(1)	Includes loans with a total principal balance of $815.7 million and $3.2 billion as of December 31, 2011 and 2010, respectively.
(2)	Includes final maturities and full repayments.
(3)	We no longer consolidate the MSC 2007-XLFA securitization vehicle beginning in the third quarter of 2011. See the introduction of Note 11 above for further discussion.
(4)	We consolidated an additional securitization vehicle, GECMC 2000-1, beginning in the third quarter of 2011. See the introduction of Note 11 above for further discussion.


(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 and 2010, respectively.
(3)	Calculations for floating rate loans are based on LIBOR of 0.30% and 0.26% as of December 31, 2011 and 2010, respectively.
(4)	For loans in CT CDOs, assumes all extension options are executed. For loans in other consolidated securitization vehicles, maturity is based on information provided by the trustees of each respective entity.

	December 31, 2011				December 31, 2010
Asset Type	Book Value		Percentage		Book Value		Percentage
Senior mortgages		$241,323		39%		$2,225,983		76%
Subordinate interests in mortgages		225,773		36		333,622		11
Mezzanine loans		152,934		25		316,283		11
Other		—		—		22,850		2
Total		$620,030		100%		$2,898,738		100%

Property Type	Book Value		Percentage		Book Value		Percentage
Office		$317,940		51%		$825,292		28%
Hotel		174,419		28		611,435		21
Retail		72,701		12		178,146		7
Healthcare		18,837		3		1,156,880		40
Other		36,133		6		126,985		4
Total		$620,030		100%		$2,898,738		100%

Geographic Location	Book Value			Percentage		Book Value			Percentage
Northeast		$199,361			32%		$417,351			14%
West		152,774			25		163,932			6
Southeast		124,456			20		318,655			11
Southwest		57,046			9		172,088			6
Midwest		24,957			4		18,302			1
Diversified		61,436			10		1,808,410			62
Total		$620,030			100%		$2,898,738			100%

Unallocated loan loss provision (1)		(7,432	)				(7,359	)

Net book value		$612,598					$2,891,379


(1)	We have recorded a general provision for loan losses against certain pools of smaller loans in our consolidated securitization vehicles. This general provision is not specifically allocable to any loan asset type, collateral property type, or geographic location, but rather to an overall pool of loans. See Note 2 for additional details.

Quarterly, management evaluates our consolidated securitization vehicles’ 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 (1)		Number of Loans		Principal Balance		Net Book Value			Number of Loans		Principal Balance		Net Book Value
	1 - 3		22		$416,032		$415,661			26		$2,031,176		$2,030,344
	4 - 5		3		44,057		43,945			11		408,400		408,052
	6 - 8		17		271,988		76,784			19		589,090		341,252
	N/A		29		83,639		83,640			38		119,090		119,090

Total			71		$815,716		$620,030			94		$3,147,756		$2,898,738

Unallocated loan loss provision:							(7,432	)						(7,359	)

Net book value							$612,598							$2,891,379

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 our consolidated securitization vehicles’ 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 Rating (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		10		$117,452		$117,452		12		$1,639,820		$1,639,815
	4 - 5		1		12,551		12,551		6		335,043		335,043
	6 - 8		4		43,988		27,680		3		193,983		143,676
	N/A		29		83,639		83,640		36		107,449		107,449

Total			44		$257,630		$241,323		57		$2,276,295		$2,225,983

		Subordinate Interests in Mortgages
		as of December 31, 2011						as of December 31, 2010
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		8		$175,560		$175,314		7		$189,323		$188,666
	4 - 5		2		31,506		31,394		4		71,415		71,067
	6 - 8		9		122,306		19,065		11		185,913		71,748
	N/A		—		—		—		1		2,141		2,141

Total			19		$329,372		$225,773		23		$448,792		$333,622

		Mezzanine & Other Loans
		as of December 31, 2011						as of December 31, 2010
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		4		$123,020		$122,895		7		$202,033		$201,863
	4 - 5		—		—		—		1		1,942		1,942
	6 - 8		4		105,694		30,039		5		209,194		125,828
	N/A		—		—		—		1		9,500		9,500

Total			8		$228,714		$152,934		14		$422,669		$339,133

	December 31, 2011
Impaired Loans	Principal Balance		Provision for Loan Loss		Loss Severity
Subordinate interests in mortgages		$108,607		$102,582		94%
Mezzanine & other loans		96,193		75,654		79
Senior mortgages		33,234		16,307		49
Unallocated (1)		117,762		7,431		6
Total/Weighted Average		$355,796		$201,974		57%

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, our consolidated securitization vehicles had two loans with an aggregate net book value of $40.6 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.

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 nonperforming loans as of December 31, 2011.

During the year ended December 31, 2011, four modifications of loans in consolidated securitization vehicles 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 28-month extension of a $33.0 million subordinate mortgage interest, (ii) a four-month extension of a $6.6 million subordinate mortgage interest, (iii) a two-year extension of a $13.7 million subordinate mortgage interest coupled with a 2% increase in rate on a deferred basis, and (iv) a two-year forbearance of a $15.0 million subordinate mortgage interest coupled with a 1% decrease in rate. All four of these loans have been individually assessed for impairment, and other than a $3.3 million impairment previously recorded against the $6.6 million subordinate mortgage interest and a 100% impairment previously recorded against the $15.0 million subordinate mortgage interest, no additional impairment was necessary.

As of December 31, 2011 and 2010, our consolidated securitization vehicles had $1.2 billion and $3.6 billion of total non-recourse securitized debt obligations outstanding, respectively. The balances of each entity’s outstanding securitized debt obligations, 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
Non-Recourse Securitized Debt Obligations	Principal Balance		Book Value		Book Value		Coupon(1)			All-In Cost(1)			Maturity Date(2)
CT CDOs
CT CDO I		$121,409		$121,409		$199,573		1.19	%		1.19	%	July 2039
CT CDO II		199,751		199,751		262,281		0.91	%		1.22	%	March 2050
CT CDO III		199,138		199,553		239,911		5.26	%		5.17	%	June 2035
CT CDO IV (3)		221,540		221,540		280,820		1.07	%		1.21	%	October 2043
Total CT CDOs		741,838		742,253		982,585		2.17	%		2.27	%	July 2042

Other securitization vehicles
GMACC 1997-C1		83,672		83,672		98,154		7.09	%		7.09	%	July 2029
GECMC 00-1 H		24,847		24,847		N/A		5.50	%		5.50	%	August 2027
GSMS 2006-FL8A		50,552		50,552		125,598		1.43	%		1.43	%	June 2020
JPMCC 2005-FL1A		—		—		95,695		N/A			N/A			N/A
MSC 2007-XLFA		—		—		751,131		N/A			N/A			N/A
MSC 2007-XLCA		310,083		310,083		522,137		2.44	%		2.44	%	July 2017
CSFB 2006-HC1		—		—		1,045,929		N/A			N/A			N/A
Total other securitization vehicles		469,154		469,154		2,638,644		3.33	%		3.33	%	June 2020

Total/Weighted Average		$1,210,992		$1,211,407		$3,621,229		2.62	%		2.68	% (4)	December 2033


(1)	Represents a weighted average for each respective facility, assuming LIBOR of 0.30% at December 31, 2011 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 data above.
(3)	Comprised, at December 31, 2011, of $208.2 million of floating rate notes sold and $13.3 million of fixed rate notes sold.
(4)	Including the impact of interest rate hedges with an aggregate notional balance of $296.6 million as of December 31, 2011, the effective all-in cost of our consolidated securitization vehicles’ debt obligations would be 3.98% per annum.

As discussed above in the introduction to this Note 11, our consolidated securitization vehicles generally include two categories of entities: (i) collateralized debt obligations sponsored and issued by us, which we refer to as CT CDOs and (ii) other consolidated securitization vehicles which were not issued or sponsored by us. We have historically consolidated the CT CDOs; however we began consolidating the additional securitization vehicles as of January 1, 2010.

As of December 31, 2011, our outstanding CT CDOs included four separate issuances with a total face value of $741.8 million. As of December 31, 2011, loans receivable and securities with a book balance of $208.3 million and $359.0 million, respectively, were financed by our CT CDOs. As of December 31, 2010, loans receivable and securities with a book balance of $299.9 million and $504.3 million, respectively, were financed by our CT CDOs.

CT CDO I and CT CDO II each have interest coverage and overcollateralization tests, which, when breached, provide for hyper-amortization of the senior notes sold by a redirection of cash flow that would otherwise have been paid to the subordinate classes, some of which are owned by us. Furthermore, all four of our CT CDOs provide for the re-classification of interest proceeds from impaired collateral as principal proceeds, which also serve to hyper-amortize the senior notes sold.

During 2009, we were informed by our CDO trustee of impairments due to rating agency downgrades of certain of the securities which serve as collateral in all of our CT CDOs. These impairments, combined with the non-performance of certain loan collateral, resulted in breaches of interest coverage and overcollateralization tests at CT CDO I and CT CDO II, as well as the reclassification of interest proceeds from the impaired collateral as principal proceeds in all four of our CT CDOs. Other than collateral management fees, we currently do not receive any cash payments from CT CDO I, CT CDO II, and CT CDO IV, and receive irregular cash payments from CT CDO III.

Further, due to the hyper-amortization of senior notes, certain subordinate classes are accruing unpaid interest, resulting in an increased liability to these classes. As senior notes which carry a lower rate of interest continue to hyper-amortize, and certain subordinate notes continue to accrue deferred interest, the weighted-average cost of debt for our CT CDOs has and will continue to increase.

When we formed (and reinvested) our four CT CDOs, we made certain representations and warranties with respect to Capital Trust, Inc. and the loans and securities that we contributed as collateral to these CT CDOs. In the event that these representations or warranties are proved to have been untrue at the time that the respective collateral was contributed, we may be required to repurchase certain of those loans and securities. These representations and warranties generally relate to specific corporate and asset related subjects, including, among other things, proper corporate authorization; compliance with laws and regulations; ownership of the assets; title to, lack of liens encumbering, and adequate insurance covering the underlying collateral properties; and the lack of existing loan defaults.

The maximum potential amount of future payment we may be required to make to repurchase assets is $855.2 million, the current face amount of all loans and securities in our four CT CDOs. In certain cases, we may be able to reduce the impact of any such purchase obligation through recoveries from the exercise of remedies against the institution from which we acquired the asset and received substantially the same representations and warranties. This potential recoverable amount is not currently estimable and would depend on the nature of the representation and warranty breached and the circumstances under which each asset was transferred to the CT CDO. Since inception, we have not been required to repurchase any assets nor have we received any notice of assertion of a potential breach of any representation or warranty. Any payment required to repurchase a loan or security could materially impact our liquidity.

In addition to the CT CDOs sponsored by us, which are discussed above, we also have consolidated other securitization vehicles beginning on January 1, 2010, as discussed in Note 2. The debt obligations of these entities are separately presented on our consolidated balance sheet along with the CT CDOs issued by us, as they are also securitized, non-recourse obligations. These obligations will generally be satisfied with the repayment of assets in each such entity’s collateral pool, or will be discharged when losses are realized. As of December 31, 2011, loans receivable with an aggregate book value of $404.3 million serve as collateral for the securities issued by these other consolidated securitization vehicles.

The following table summarizes the notional amounts and fair values of our consolidated securitization vehicles’ 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
Swiss RE Financial		$236,355		5.10	%		2015		($20,540	)		($24,037	)
Bank of America		44,562		4.58	%		2014		(2,368	)		(3,331	)
Morgan Stanley		—		3.95	%		2011		—			(398	)
Bank of America		10,535		5.05	%		2016		(1,461	)		(1,267	)
Bank of America		5,104		4.12	%		2016		(573	)		(422	)
Morgan Stanley		—		5.31	%		2011		—			(7	)
Total/Weighted Average		$296,556		5.00	%		2015		($24,942	)		($29,462	)


(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.

All of our consolidated securitization vehicles’ interest rate swaps were classified as highly effective for all of the periods presented. Over the next twelve months, as we make payments under our hedge agreements, we expect approximately $12.4 million to be reclassified from other comprehensive income to interest expense. This amount is generally equal to the present value of expected payments under the respective derivative contracts.