Consolidated Securitization Vehicles (Tables)

6 Months Ended

Jun. 30, 2012

Securitization Vehicles Tables

Consolidated Securitization Vehicles' Securities Portfolio

Activity relating to these securities for the six months ended June 30, 2012 was as follows (in thousands):

	CMBS			CDOs & Other			Total Book Value (1)
December 31, 2011		$357,037			$1,935			$358,972
Principal paydowns		(26,161	)		(1,935	)		(28,096	)
Discount/premium amortization & other (2)		(647	)		140			(507	)
Other-than-temporary impairments:
Recognized in earnings		(160	)		—			(160	)
Recognized in accumulated other     comprehensive income		160			—			160
Deconsolidation of CT Legacy Assets (3)		(193,737	)		29,998			(163,739	)
June 30, 2012		$136,492			$30,138			$166,630

(1)	Includes securities with a total face value of $248.9 million and $490.9 million as of June 30, 2012 and December 31, 2011, respectively.
(2)	Includes mark-to-market adjustments on securities previously classified as available-for-sale, amortization of other-than-temporary impairments, and losses, if any
(3)	As further described above, we deconsolidated CT Legacy Assets in the first quarter of 2012. As a result, the securities owned by its consolidated securitization vehicle are no longer included in our consolidated financial statements. Also, certain securities which are owned by our consolidated securitization vehicles, that had previously been eliminated in consolidation, are now included in our consolidated financial statements. See Note 6 for additional discussion on CT Legacy Assets.

Book value consolidated securitization vehicles' securities

The following table allocates the book value of our consolidated securitization vehicles’ securities as of June 30, 2012 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		$148,978			$30,138		$179,116
Mark-to-market adjustments on securities     previously classified as available-for-sale		11			—		11
Other-than-temporary impairments recognized in    accumulated other comprehensive income		(12,497	)		—		(12,497	)
Total book value as of June 30, 2012		$136,492			$30,138		$166,630

Overall statistics for consolidated securitization vehicles' securities portfolio

The following table details overall statistics for our consolidated securitization vehicles’ securities portfolio as of June 30, 2012 and December 31, 2011:

	June 30, 2012	December 31, 2011
Number of securities	34	52
Number of issues	24	36
Rating (1) (2)	B+	BB+
Fixed / Floating (in millions) (3)	$166 / $1	$358 / $1
Coupon (1) (4)	6.10%	6.49%
Yield (1) (4)	6.61%	7.41%
Life (years) (1) (5)	3.1	2.5

(1)	Represents a weighted average as of June 30, 2012 and December 31, 2011, 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 0.25% and 0.30% as of June 30, 2012 and December 31, 2011, 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.

Ratings and vintage distribution of consolidated securitization vehicles' securities

The table below details the ratings and vintage distribution of our consolidated securitization vehicles’ securities as of June 30, 2012 (in thousands):

	Rating as of June 30, 2012
Vintage	AAA		AA		A	BBB		BB		B	CCC and Below		Total
2006		$—		$—	$—		$—		$—	$—		$15,098		$15,098
2005		—		—	—		—		—	—		36,700		36,700
2004		—		—	24,762		—		—	—		—		24,762
2003		9,909		—	—		3,007		1,973	—		—		14,889
2002		—		—	—		—		6,724	—		2,371		9,095
2001		—		—	—		—		—	5,427		2,264		7,691
2000		2,893		—	—		—		19,354	—		3,992		26,239
1999		—		—	5,155		—		15,022	—		—		20,177
1998		—		2,277	8,019		—		220	—		1,463		11,979
Total		$12,802		$2,277	$37,936		$3,007		$43,293	$5,427		$61,888		$166,630

The table below details the ratings and vintage distribution of our consolidated securitization vehicles’securities as of December 31, 2011 (in thousands):

	Rating as of December 31, 2011
											CCC and
Vintage	AAA		AA		A	BBB		BB		B	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

Other-than-temporary impairments of consolidated securitization vehicles' securities

The following table summarizes activity related to the other-than-temporary impairments of our consolidated securitization vehicles’ securities during the six months ended June 30, 2012 (in thousands):

	Gross Other-Than-Temporary Impairments			Credit Related Other-Than-Temporary Impairments			Non-Credit Related Other-Than-Temporary Impairments
December 31, 2011		$130,360			$114,223			$16,137
Additions due to change in expected      cash flows		—			160			(160	)
Amortization of other-than-temporary      impairments		106			145			(39	)
Reductions due to realized losses		(26,022	)		(26,022	)		—
Deconsolidation of CT Legacy Assets (1)		(25,567	)		(22,126	)		(3,441	)
June 30, 2012		$78,877			$66,380			$12,497

(1) As further described in Note 1, we deconsolidated CT Legacy Assets in the first quarter of 2012. As a result, these securities, some of which were other-than-temporarily impaired, are no longer included in our consolidated financial statements.

Unrealized losses and fair value of securities

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 June 30, 2012 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		25.5		(10.6	)		86.3		(10.1	)		111.8		(20.7	)		132.5
Total		$25.5		($10.6	)		$86.3		($10.1	)		$111.8		($20.7	)		$132.5

(1) Excludes, as of June 30, 2012, $34.1 million 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.

The following table shows the gross unrealized losses and fair value of our consolidated securitization vehicles’ securities for which the fair value is lower than our 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
			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		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

(1) Excludes, as of December 31, 2011, $59.0 million 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.

Activity relating to consolidated securitization vehicles' loans receivable

Activity relating to our consolidated securitization vehicles’ loans receivable for the six months ended June 30, 2012 was as follows (in thousands):

	Gross Book Value			Provision for Loan Losses			Net Book Value (1)
December 31, 2011		$814,572			($201,974	)		$612,598
Satisfactions (2)		(33,000	)		—			(33,000	)
Principal paydowns		(1,741	)		—			(1,741	)
Discount/premium amortization & other		129			—			129
Recovery of provision for loan losses		—			8			8
Realized loan losses		(5,450	)		5,450			—
Deconsolidation of CT Legacy Assets (3)		(435,744	)		99,394			(336,350	)
June 30, 2012		$338,766			($97,122	)		$241,644

(1)	Includes loans with a total principal balance of $339.8 million and $815.7 million as of June 30, 2012 and December 31, 2011, respectively.
(2)	Includes final maturities and full repayments.
(3)	As further described in Note 1, we deconsolidated CT Legacy Assets in the first quarter of 2012. As a result, these loans are no longer included in our consolidated financial statements

Overall statistics for consolidated securitization vehicles' loans receivable portfolio

The following table details overall statistics for our consolidated securitization vehicles’ loans receivable portfolio as of June 30, 2012 and December 31, 2011:

	June 30, 2012	December 31, 2011
Number of investments	18	71
Fixed / Floating (in millions) (1)	$44 / $198	$280 / $333
Coupon (2) (3)	4.40%	5.11%
Yield (2) (3)	4.80%	5.72%
Maturity (years) (2) (4)	3.0	3.6

(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 June 30, 2012 and December 31, 2011, respectively.
(3)	Calculations for floating rate loans are based on LIBOR of 0.25% and 0.30% as of June 30, 2012 and December 31, 2011, 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.

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 June 30, 2012 and December 31, 2011 (in thousands):

	June 30, 2012					December 31, 2011
Asset Type	Book Value		Percentage			Book Value			Percentage
Subordinate interests in mortgages		$152,247		63	%		$225,773			36	%
Senior mortgages		69,383		29			241,323			39
Mezzanine loans		20,014		8			152,934			25
Total		$241,644		100	%		$620,030			100	%
Property Type	Book Value		Percentage			Book Value			Percentage
Office		$186,442		77	%		$317,940			51	%
Hotel		48,689		20			174,419			28
Retail		—		—			72,701			12
Healthcare		—		—			18,837			3
Other		6,513		3			36,133			6
Total		$241,644		100	%		$620,030			100	%
Geographic Location	Book Value		Percentage			Book Value			Percentage
Northeast		$98,893		41	%		$199,361			32	%
West		78,697		33			152,774			25
Southeast		34,747		14			124,456			20
Southwest		27,434		11			57,046			9
Midwest		1,873		1			24,957			4
Diversified		—		—			61,436			10
Total		$241,644		100	%		$620,030			100	%
Unallocated loan loss provision (1)		—					(7,432	)
Net book value		$241,644					$612,598

(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.

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 June 30, 2012 and December 31, 2011 (in thousands):

		Loans Receivable as of June 30, 2012						Loans Receivable as of December 31, 2011
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		7		$142,651		$142,309		22		$416,032		$415,661
	4 - 5		2		78,700		78,610		3		44,057		43,945
	6 - 8		9		118,457		20,725		17		271,988		76,784
	N/A		—		—		—		29		83,639		83,640
Total			18		$339,808		$241,644		71		$815,716		$620,030
Unallocated loan loss provision:							—						(7,432	)
Net book value							$241,644						$612,598

(1) We have recorded a general provision for loan losses against certain pools of smaller loans in our consolidated securitization vehicles. These loans have not been individually risk-rated, but have been assessed for loss based on macroeconomic factors. See Note 2 for additional information.

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 June 30, 2012 and December 31, 2011 (in thousands):

		Senior Mortgage Loans
		as of June 30, 2012						as of December 31, 2011
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		1		$2,774		$2,774		10		$117,452		$117,452
	4 - 5		1		65,000		65,000		1		12,551		12,551
	6 - 8		1		1,609		1,609		4		43,988		27,680
	N/A		—		—		—		29		83,639		83,640
Total			3		$69,383		$69,383		44		$257,630		$241,323

(1) We have recorded a general provision for loan losses against certain pools of smaller loans in our consolidated securitization vehicles. These loans have not been individually risk-rated, but have been assessed for loss based on macroeconomic factors. See Note 2 for additional details.

		Subordinate Interests in Mortgages
		as of June 30, 2012						as of December 31, 2011
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		5		$119,761		$119,521		8		$175,560		$175,314
	4 - 5		1		13,700		13,610		2		31,506		31,394
	6 - 8		8		116,848		19,116		9		122,306		19,065
	N/A		—		—		—		—		—		—
Total			14		$250,309		$152,247		19		$329,372		$225,773

(1) We have recorded a general provision for loan losses against certain pools of smaller loans in our consolidated securitization vehicles. These loans have not been individually risk-rated, but have been assessed for loss based on macroeconomic factors. See Note 2 for additional details.

		Mezzanine & Other Loans
		as of June 30, 2012						as of December 31, 2011
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		1		$20,116		$20,014		4		$123,020		$122,895
	4 - 5		—		—		—		—		—		—
	6 - 8		—		—		—		4		105,694		30,039
	N/A		—		—		—		—		—		—
Total			1		$20,116		$20,014		8		$228,714		$152,934

(1) We have recorded a general provision for loan losses against certain pools of smaller loans in our consolidated securitization vehicles. These loans have not been individually risk-rated, but have been assessed for loss based on macroeconomic factors. See Note 2 for additional details.

Consolidated securitization vehicles' impaired loans

The following table describes our consolidated securitization vehicles’ impaired loans as of June 30, 2012, including impaired loans that are current in their interest payments and those that are delinquent on contractual payments (in thousands):

	June 30, 2012
Impaired Loans	No. of Loans		Gross Book Value		Provision for Loan Loss			Net Book Value
Performing loans		1		$15,062		($15,062	)		$—
Non-performing loans		6		87,479		(82,060	)		5,419
Total impaired loans		7		$102,541		($97,122	)		$5,419

Allocation of consolidated securitization vehicles' provision for loan losses

The following table details the allocation of our consolidated securitization vehicles’ provision for loan losses as of June 30, 2012 (in thousands):

	June 30, 2012
Impaired Loans	Principal Balance		Provision for Loan Loss		Loss Severity
Subordinate interests in mortgages		$103,149		$97,122		94%
Total/Weighted Average		$103,149		$97,122		94%

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 six months ended June 30, 2012 (in thousands):

Income on Impaired Loans for the Six Months ended June 30, 2012
Asset Type	Average Net Book Value		Income Recorded (1)
Senior Mortgage Loans		$5,642		$168
Subordinate Interests in Mortgages		5,419		328
Mezzanine & Other Loans		6,846		210
Total		$17,907		$706

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

Consolidated securitization vehicles' loans receivable nonaccrual status

The following table details our consolidated securitization vehicles’ loans receivable which are on nonaccrual status as of June 30, 2012 (in thousands):

Nonaccrual Loans Receivable as of June 30, 2012
Asset Type	Principal Balance		Net Book Value
Subordinate Interests in Mortgages		$103,149		$5,419
Total		$103,149		$5,419

Activity of consolidated securitization vehicles' real estate held-for-sale

Activity relating to our consolidated securitization vehicles’ real estate held-for-sale for the six months ended June 30, 2012 was as follows (in thousands):

	Gross Book Value			Other-Than-Temporary Impairment			Net Book Value
December 31, 2011		$24,960			($14,618	)		$10,342
Deconsolidation of CT Legacy Assets (1)		(24,960	)		14,618			(10,342	)
June 30, 2012		$—			$—			$—

(1) As further described in Note 1 above, we deconsolidated CT Legacy Assets in the first quarter of 2012. As a result, the real estate held-for-sale is no longer included in our consolidated financial statements.

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 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):

	June 30, 2012			December 31, 2011		June 30, 2012
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	$95,088		$95,088		$121,409		1.26	%		1.28	%	July 2039
CT CDO II	160,743		160,743		199,751		0.94	%		1.21	%	March 2050
CT CDO III	—		—		199,553		N/A			N/A			N/A
CT CDO IV (3)	211,757		211,757		221,540		1.05	%		1.20	%	October 2043
Total CT CDOs	467,588		467,588		742,253		1.06	%		1.22	%	February 2045
Other securitization vehicles
GMACC 1997-C1	—		—		83,672		N/A			N/A			N/A
GECMC 00-1 H	—		—		24,847		N/A			N/A			N/A
GSMS 2006-FL8A	50,552		50,552		50,552		1.09	%		1.09	%	June 2020
MSC 2007-XLCA	—		—		310,083		N/A			N/A			N/A
JPMCC 2004-FL1A	—		—		—		N/A			N/A			N/A
Total other securitization vehicles	50,552		50,552		469,154		1.09	%		1.09	%	June 2020
Total/Weighted Average	$518,140		$518,140		$1,211,407		1.06	%		1.21	% (4)	September 2042

(1)	Represents a weighted average for each respective facility, assuming LIBOR of 0.25% at June 30, 2012 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.
(3)	Comprised, at June 30, 2012, of $198.0 million of floating rate notes sold and $13.8 million of fixed rate notes sold.
(4)	Including the impact of interest rate hedges with an aggregate notional balance of $282.0 million as of June 30, 2012, the effective all-in cost of our consolidated securitization vehicles’ debt obligations would be 4.07% per annum.

The notional amounts and fair values of consolidated securitization vehicles interest rate swaps

The following table summarizes the notional amounts and fair values of our consolidated securitization vehicles’ interest rate swaps as of June 30, 2012 and December 31, 2011 (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.

	June 30, 2012							June 30, 2012			December 31, 2011
Counterparty	Notional Amount		Interest Rate (1)			Maturity		Fair Value			Fair Value
Swiss RE Financial		$230,845		5.10	%		2015		($17,411	)		($20,540	)
Bank of America		35,502		4.58	%		2014		(1,788	)		(2,368	)
Bank of America		10,535		5.05	%		2016		(1,419	)		(1,461	)
Bank of America		5,104		4.12	%		2016		(575	)		(573	)
Total/Weighted Average		$281,986		5.01	%		2015		($21,193	)		($24,942	)

(1) Represents the gross fixed interest rate we pay to our counterparties under these derivative instruments. We receive an amount of interest indexed to one-month LIBOR on all of our interest rate swaps.

Table of amounts recorded to other comprehensive income and amounts recorded to interest expense from other comprehensive income

The table below shows amounts recorded to other comprehensive income and amounts recorded to interest expense from other comprehensive income for the six months ended June 30, 2012 and 2011 (in thousands):

	Amount of net loss recognized					Amount of loss reclassified from OCI
	in OCI for the six months ended (1)					to income for the six months ended (2)
Hedge	June 30, 2012			June 30, 2011		June 30, 2012			June 30, 2011
Interest rate swaps		($3,749	)		$2,613		($6,855	)		($7,837	)

(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.