CT Legacy REIT (Tables)

9 Months Ended

Sep. 30, 2012

Ct Legacy Reit Tables

CT Legacy REIT's securities portfolio activity

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

	CMBS			CDOs & Other			Total Book Value
December 31, 2011		$1,346			$1,256			$2,602
Principal paydowns		(17	)		—			(17	)
Discount/premium amortization & other		18			7			25
Deconsolidation of CT Legacy Asset (1)		(1,347	)		(1,263	)		(2,610	)
September 30, 2012		$—			$—			$—

(1) As further described above, we deconsolidated CT Legacy Asset in the first quarter of 2012. As a result, the securities owned by CT Legacy REIT are no longer included in our consolidated financial statements.

Overall statistics for CT Legacy REIT's securities portfolio

The following table details overall statistics for CT Legacy REIT’s securities portfolio as of September 30, 2012 and December 31, 2011:

	September 30, 2012	December 31, 2011
Number of securities	─	6
Number of issues	─	5
Rating (1) (2)	N/A	CCC+
Fixed / Floating (in millions) (3)	$─ / $─	$2 / $1
Coupon (1) (4)	N/A	5.43%
Yield (1) (4)	N/A	3.31%
Life (years) (1) (5)	N/A	4.9

(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.

Ratings and vintage distribution of CT Legacy REIT's securities

The table below details the ratings and vintage distribution of CT Legacy REIT’s securities as of December 31, 2011 (in thousands):

	Rating as of December 31, 2011
			CCC and
Vintage		B	Below		Total
2003		$—		$1,256		$1,256
1997		179		—		179
1996		—		1,167		1,167
Total		$179		$2,423		$2,602

Other-than-temporary impairments of CT Legacy REIT

The following table summarizes activity related to the other-than-temporary impairments of CT Legacy REIT’s securities during the nine months ended September 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		$26,557			$26,105			$452
Amortization of other-than-temporary impairments		(24	)		(11	)		(13	)
Deconsolidation of CT Legacy Asset (1)		(26,533	)		(26,094	)		(439	)
September 30, 2012		$—			$—			$—

(1) As further described in Note 1 above, we deconsolidated CT Legacy Asset in the first quarter of 2012. As a result, the securities owned by CT Legacy REIT, 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 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		$—		$—		$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.

Activity relating to CT Legacy REIT's loans receivable

Activity relating to CT Legacy REIT’s loans receivable for the nine months ended September 30, 2012 was as follows (in thousands):

	Gross Book  Value			Provision for  Loan Losses			Net Book Value (1)
December 31, 2011		$436,314			($229,800	)		$206,514
Principal paydowns		(254	)		—			(254	)
Discount/premium amortization & other		28			—			28
Deconsolidation of CT Legacy Asset (2)		(436,088	)		229,800			(206,288	)
September 30, 2012		$—			$—			$—

(1)	Includes loans with a total principal balance of $436.0 million as of December 31, 2011.
(2)	As further described above, we deconsolidated CT Legacy Asset in the first quarter of 2012. As a result, the loans owned by CT Legacy REIT are no longer included in our consolidated financial statements.

Overall Statics for CT Legacy REIT's loans receivable portfolio

The following table details overall statistics for CT Legacy REIT’s loans receivable portfolio as of September 30, 2012 and December 31, 2011:

	September 30, 2012	December 31, 2011
Number of investments	─	17
Fixed / Floating (in millions) (1)	$─ / $─	$56 / $151
Coupon (2) (3)	N/A	4.59%
Yield (2) (3)	N/A	5.21%
Maturity (years) (2) (4)	N/A	1.4

(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.

Types of loans in CT Legacy REIT's 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 CT Legacy REIT’s portfolio, as well as the property type and geographic distribution of the properties securing these loans, as of September 30, 2012 and December 31, 2011 (in thousands):

	September 30, 2012					December 31, 2011
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	%

Loans receivable based on our internal risk ratings, CT Legacy REIT

The following table allocates the net book value and principal balance of CT Legacy REIT’s loans receivable based on our internal risk ratings as of September 30, 2012 and December 31, 2011 (dollars in thousands):

		Loans Receivable as of September 30, 2012						Loans Receivable as of December 31, 2011
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

Loans receivable by both loan type and risk ratings

The following tables further allocate CT Legacy REIT’s loans receivable by both loan type and our internal risk ratings as of September 30, 2012 and December 31, 2011 (dollars in thousands):

		Senior Mortgage Loans
		as of September 30, 2012						as of December 31, 2011
Risk Rating		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net 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 September 30, 2012						as of December 31, 2011
Risk Rating		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net 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 September 30, 2012						as of December 31, 2011
Risk Rating		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net 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

 

Activity of loans held-for-sale - Ct Legacy REIT

Activity relating to CT Legacy REIT’s loans held-for-sale for the nine months ended September 30, 2012 was as follows (in thousands):

	Gross Book Value			Valuation Allowance			Net Book Value
December 31, 2011		$32,331			($1,456	)		$30,875
Deconsolidation of CT Legacy Asset (1)		(32,331	)		1,456			(30,875	)
September 30, 2012		$—			$—			$—

(1) As further described above, we deconsolidated CT Legacy Asset in the first quarter of 2012. As a result, the loans held-for-sale owned by CT Legacy REIT are no longer included in our consolidated financial statements.

Debt obligations outstanding; balances of each category of debt

The balances of each category of debt were as follows (in thousands):

	September 30,				December 31,
	2012				2011
Debt Obligations	Principal Balance (1)		Book Value (1)		Principal Balance		Book Value
Repurchase obligation (JPMorgan)		$—		$—		$58,464		$58,464
Mezzanine loan		—		—		65,275		55,111
Total/Weighted Average		$—		$—		$123,739		$113,575

(1) As further described above, we deconsolidated CT Legacy Asset in the first quarter of 2012. As a result, the debt obligations of CT Legacy REIT are no longer included in our consolidated financial statements.

Participations sold assets and liabilities of CT Legacy REIT

The following table describes CT Legacy REIT’s participations sold assets and liabilities as of December 31, 2011 (in thousands):

	September 30,		December 31,
	2012		2011
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	)

Summarized financial information for CT Legacy Asset

The following table represents summarized financial information for CT Legacy Asset (in thousands):

	For the Period from February 11, 2012
	through September 30, 2012 (1)
Income Statement
Total revenues (2)		$140,741
Total expenses (3)		(12,001	)
Net gain		$128,740
	As of September 30, 2012
Balance Sheet
Total assets		$615,720

(1)	Includes activity and balances of VIEs consolidated by CT Legacy Asset.
(2)	Includes interest income and gain on extinguishment of debt.
(3)	Includes interest expense, general and administrative expenses, provisions and impairments.