Consolidated Securitization Vehicles (Tables)

9 Months Ended

Sep. 30, 2012

Securitization Vehicles Tables

Consolidated Securitization Vehicles' Securities Portfolio

Activity relating to these securities for the nine months ended September 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		(38,393	)		(1,935	)		(40,328	)
Discount/premium amortization & other (2)		(259	)		202			(57	)
Other-than-temporary impairments:
Recognized in earnings		(160	)		—			(160	)
Recognized in accumulated other comprehensive income		160			—			160
Deconsolidation of CT Legacy Asset (3)		(193,737	)		29,998			(163,739	)
September 30, 2012		$124,648			$30,200			$154,848

(1)	Includes securities with a total face value of $236.4 million and $490.9 million as of September 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 Asset 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 Asset.

Book value consolidated securitization vehicles' securities

The following table allocates the book value of our consolidated securitization vehicles’ securities as of September 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		$136,933			$30,200		$167,133
Mark-to-market adjustments on securities     previously classified as available-for-sale		6			—		6
Other-than-temporary impairments recognized in    accumulated other comprehensive income		(12,291	)		—		(12,291	)
Total book value as of September 30, 2012		$124,648			$30,200		$154,848

Overall statistics for consolidated securitization vehicles' securities portfolio

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

	September 30, 2012	December 31, 2011
Number of securities	33	52
Number of issues	23	36
Rating (1) (2)	B+	BB+
Fixed / Floating (in millions) (3)	$154 / $1	$358 / $1
Coupon (1) (4)	6.15%	6.49%
Yield (1) (4)	6.32%	7.41%
Life (years) (1) (5)	3.1	2.5

(1)	Represents a weighted average as of September 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 0.21% and 0.30% as of September 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 September 30, 2012 (in thousands):

	Rating as of September 30, 2012
Vintage	AAA		AA		A	BBB		BB		B	CCC and Below		Total
2006		$—		$—	$—		$—		$—	$—		$15,130		$15,130
2005		—		—	—		—		—	—		36,672		36,672
2004		—		—	—		24,753		—	—		—		24,753
2003		—		—	—		3,005		1,977	—		—		4,982
2002		—		—	—		—		6,729	—		2,384		9,113
2001		—		—	—		—		—	5,426		2,557		7,983
2000		2,894		—	—		—		19,056	—		3,997		25,947
1999		—		—	4,000		—		15,023	—		—		19,023
1998		—		2,160	7,397		—		151	—		1,537		11,245
Total		$2,894		$2,160	$11,397		$27,758		$42,936	$5,426		$62,277		$154,848

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 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		$130,360			$114,223			$16,137
Additions due to change in expected      cash flows		—			160			(160	)
Amortization of other-than-temporary      impairments		(373	)		(128	)		(245	)
Reductions due to realized losses		(26,263	)		(26,263	)		—
Deconsolidation of CT Legacy Asset (1)		(25,567	)		(22,126	)		(3,441	)
September 30, 2012		$78,157			$65,866			$12,291

(1) As further described in Note 1, we deconsolidated CT Legacy Asset in the first quarter of 2012. As a result, the securities owned by its consolidated securitization vehicles, 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 September 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		18.6		(11.6	)		57.6		(5.8	)		76.2		(17.4	)		93.6
Total		$18.6		($11.6	)		$57.6		($5.8	)		$76.2		($17.4	)		$93.6

(1) Excludes, as of September 30, 2012, $61.2 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 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		$814,572			($201,974	)		$612,598
Satisfactions (2)		(62,950	)		—			(62,950	)
Principal paydowns		(1,816	)		—			(1,816	)
Discount/premium amortization & other		156			—			156
Recovery of provision for loan losses		—			2,819			2,819
Realized loan losses		(22,001	)		22,001			—
Deconsolidation of CT Legacy Asset (3)		(435,744	)		99,394			(336,350	)
September 30, 2012		$292,217			($77,760	)		$214,457

(1)	Includes loans with a total principal balance of $292.8 million and $815.7 million as of September 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 Asset in the first quarter of 2012. As a result, the loans owned by its consolidated securitization vehicles 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 September 30, 2012 and December 31, 2011:

	September 30, 2012	December 31, 2011
Number of investments	14	71
Fixed / Floating (in millions) (1)	$44 / $170	$280 / $333
Coupon (2) (3)	4.34%	5.11%
Yield (2) (3)	4.63%	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 September 30, 2012 and December 31, 2011, respectively.
(3)	Calculations for floating rate loans are based on LIBOR of 0.21% and 0.30% as of September 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 September 30, 2012 and December 31, 2011 (in thousands):

	September 30, 2012					December 31, 2011
Asset Type	Book Value		Percentage			Book Value			Percentage
Subordinate interests in     mortgages		$129,509		60	%		$225,773			36	%
Senior mortgages		65,000		30			241,323			39
Mezzanine loans		19,948		10			152,934			25
Total		$214,457		100	%		$620,030			100	%
Property Type	Book Value		Percentage			Book Value			Percentage
Office		$185,006		86	%		$317,940			51	%
Hotel		27,322		13			174,419			28
Retail		—		—			72,701			12
Healthcare		—		—			18,837			3
Other		2,129		1			36,133			6
Total		$214,457		100	%		$620,030			100	%
Geographic Location	Book Value		Percentage			Book Value			Percentage
Northeast		$98,757		46	%		$199,361			32	%
West		78,700		37			152,774			25
Southeast		21,707		10			124,456			20
Southwest		15,293		7			57,046			9
Midwest		—		—			24,957			4
Diversified		—		—			61,436			10
Total		$214,457		100	%		$620,030			100	%
Unallocated loan loss provision (1)		—					(7,432	)
Net book value		$214,457					$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 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 (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		5		$118,333		$118,006		22		$416,032		$415,661
	4 - 5		2		78,700		78,622		3		44,057		43,945
	6 - 8		7		95,795		17,829		17		271,988		76,784
	N/A		—		—		—		29		83,639		83,640
Total			14		$292,828		$214,457		71		$815,716		$620,030
Unallocated loan loss provision:							—						(7,432	)
Net book value							$214,457						$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 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 (1)		Number of Loans		Principal Balance		Net Book Value		Number of Loans		Principal Balance		Net Book Value
	1 - 3		—		$—		$—		10		$117,452		$117,452
	4 - 5		1		65,000		65,000		1		12,551		12,551
	6 - 8		—		—		—		4		43,988		27,680
	N/A		—		—		—		29		83,639		83,640
Total			1		$65,000		$65,000		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 September 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		4		$98,295		$98,058		8		$175,560		$175,314
	4 - 5		1		13,700		13,622		2		31,506		31,394
	6 - 8		7		95,795		17,829		9		122,306		19,065
	N/A		—		—		—		—		—		—
Total			12		$207,790		$129,509		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 September 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		$20,038		$19,948		4		$123,020		$122,895
	4 - 5		—		—		—		—		—		—
	6 - 8		—		—		—		4		105,694		30,039
	N/A		—		—		—		—		—		—
Total			1		$20,038		$19,948		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 September 30, 2012, including impaired loans that are current in their interest payments and those that are delinquent on contractual payments (dollars in thousands):

	September 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		5		66,828		(62,698	)		4,130
Total impaired loans		6		$81,890		($77,760	)		$4,130

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 September 30, 2012 (in thousands):

	September 30, 2012
Impaired Loans	Principal Balance		Provision for Loan Loss		Loss Severity
Subordinate interests in mortgages		$82,094		$77,760		95	%
Total/Weighted Average		$82,094		$77,760		95	%

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 nine months ended September 30, 2012 (in thousands):

Income on Impaired Loans for the Nine Months ended September 30, 2012
Asset Type	Average Net Book Value		Income Recorded (1)
Senior Mortgage Loans		$4,232		$168
Subordinate Interests in Mortgages		5,097		404
Mezzanine & Other Loans		5,135		210
Total		$14,464		$782

(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 September 30, 2012 (in thousands):

Nonaccrual Loans Receivable as of September 30, 2012
Asset Type	Principal Balance		Net Book Value
Subordinate Interests in Mortgages		$82,094		$4,130
Total		$82,094		$4,130

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

Activity relating to our consolidated securitization vehicles’ real estate held-for-sale for the nine months ended September 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 Asset (1)		(24,960	)		14,618			(10,342	)
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 real estate held-for-sale owned by its consolidated securitization vehicles 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):

	September 30, 2012				December 31, 2011		September 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		$91,044		$91,044		$121,409		1.26	%		1.28	%		July 2039
CT CDO II		156,900		156,900		199,751		0.92	%		1.21	%		March 2050
CT CDO III		—		—		199,553		N/A			N/A				N/A
CT CDO IV (3)		198,927		198,927		221,540		1.07	%		1.23	%		October 2043
Total CT CDOs		446,871		446,871		742,253		1.06	%		1.23	%		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		1.06	%		1.06	%		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		1.06	%		1.06	%		June 2020
Total/Weighted Average		$497,423		$497,423		$1,211,407		1.06	%		1.21	%	(4)	August 2042

(1)	Represents a weighted average for each respective facility, assuming LIBOR of 0.21% at September 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 September 30, 2012, of $184.9 million of floating rate notes sold and $14.0 million of fixed rate notes sold.
(4)	Including the impact of interest rate hedges with an aggregate notional balance of $273.7 million as of September 30, 2012, the effective all-in cost of our consolidated securitization vehicles’ debt obligations would be 4.09% 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 September 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.

Counterparty	September 30, 2012 Notional Amount		Interest Rate (1)			Maturity		September 30, 2012 Fair Value			December 31, 2011 Fair Value
Swiss RE Financial		$223,802		5.10	%		2015		($15,631	)		($20,540	)
Bank of America		34,270		4.58	%		2014		(1,499	)		(2,368	)
Bank of America		10,535		5.05	%		2016		(1,387	)		(1,461	)
Bank of America		5,104		4.12	%		2016		(572	)		(573	)
Total/Weighted Average		$273,711		5.01	%		2015		($19,089	)		($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 nine months ended September 30, 2012 and 2011 (in thousands):

	Amount of net loss recognized					Amount of loss reclassified from OCI
	in OCI for the nine months ended (1)					to income for the nine months ended (2)
Hedge	September 30, 2012			September 30, 2011		September 30, 2012			September 30, 2011
Interest rate swaps		($5,853	)		$1,980		($10,182	)		($11,512	)

(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.