Consolidated Securitization Vehicles (Tables)

12 Months Ended

Dec. 31, 2012

Securitization Vehicles Tables

Overall statistics for Consolidated Securization Vehicles' loan receivables portfolio

The following table details overall statistics for our consolidated securitization vehicles’ loans receivable portfolio as of December 31, 2012 and 2011 (dollars in thousands):

	December 31, 2012			December 31, 2011
Number of investments		7			12
Principal balance		$164,180			$228,151
Net book value		$141,500			$145,491
Coupon (1) (2)		4.73	%		3.40	%
Yield (1) (2)		4.74	%		3.28	%
Maturity (years) (1) (3)		0.7			1.0

(1)	Represents a weighted average as of December 31, 2012 and 2011, respectively.
(2)	All loans are floating rate loans as of both December 31, 2012 and 2011. Calculations are based on LIBOR of 0.21% and 0.30% as of December 31, 2012 and 2011, respectively.
(3)	For loans in CT CDO I, assumes all extension options are executed. For loans in GSMS 2006-FL8A, maturity is based on information provided by its trustee.

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 December 31, 2012 and 2011 (in thousands):

	December 31, 2012					December 31, 2011
Asset Type	Book Value		Percentage			Book Value		Percentage
Subordinate interests in mortgages		$79,000		56	%		$80,491		55	%
Senior mortgages		62,500		44			65,000		45
Total		$141,500		100	%		$145,491		100	%
Property Type	Book Value		Percentage			Book Value		Percentage
Office		$111,500		79	%		$139,789		96	%
Hotel		30,000		21			5,702		4
Total		$141,500		100	%		$145,491		100	%
Geographic Location	Book Value		Percentage			Book Value		Percentage
West		$92,500		65	%		$89,500		62	%
Northeast		27,000		19			27,000		19
Southeast		12,404		9			15,142		10
Southwest		9,596		7			13,350		9
Midwest		—		—			499		—
Total		$141,500		100	%		$145,491		100	%

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 December 31, 2012 and 2011 (dollars in thousands):

		Loans Receivable as of December 31, 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		2		$47,000		$47,000		5		$142,202		$142,202
	4 - 5		2		92,500		92,500		—		—		—
	6 - 8		3		24,680		2,000		7		85,949		3,289
Total			7		$164,180		$141,500		12		$228,151		$145,491

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 December 31, 2012 and 2011 (dollars in thousands):

		Senior Mortgage Loans
		as of December 31, 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		$65,000		$65,000
	4 - 5		1		62,500		62,500		—		—		—
	6 - 8		—		—		—		—		—		—
Total			1		$62,500		$62,500		1		$65,000		$65,000

		Subordinate Interests in Mortgages
		as of December 31, 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		2		$47,000		$47,000		4		$77,202		$77,202
	4 - 5		1		30,000		30,000		—		—		—
	6 - 8		3		24,680		2,000		7		85,949		3,289
Total			6		$101,680		$79,000		11		$163,151		$80,491

Schedule of consolidated securitization vehicles' impaired loans

The following table describes our consolidated securitization vehicles’ impaired loans as of December 31, 2012, including impaired loans that are current in their interest payments and those that are delinquent on contractual payments (dollars in thousands):

	December 31, 2012
Impaired Loans	No. of Loans		Gross Book Value		Provision for Loan Loss (1)			Net Book Value
Performing loans		1		$7,531		($7,531	)		$—
Non-performing loans		2		17,149		(15,149	)		2,000
Total impaired loans		3		$24,680		($22,680	)		$2,000

(1) Provision for loan loss represents a 92% loss severity against three subordinate interests in mortgages with an aggregate principal balance of $24.7 million as of December 31, 2012.

 

The following table describes our consolidated securitization vehicles’ 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 (dollars in thousands):

	December 31, 2011
Impaired Loans	No. of Loans		Gross Book Value		Provision for Loan Loss (1)			Net Book Value
Performing loans		2		$37,531		($37,531	)		$—
Non-performing loans		5		48,014		(44,725	)		3,289
Total impaired loans		7		$85,545		($82,256	)		$3,289

(1) Provision for loan loss represents a 96% loss severity against seven subordinate interests in mortgages with an aggregate principal balance of $85.9 million as of December 31, 2011.

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 year ended December 31, 2012 (in thousands):

Income on Impaired Loans for the Year ended December 31, 2012
Asset Type	Average Net Book Value		Income Recorded (1)
Senior Mortgage Loans		$—		$—
Subordinate Interests in Mortgages		2,773		290
Mezzanine & Other Loans		—		—
Total		$2,773		$290

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

 

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 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		$—		$—
Subordinate Interests in Mortgages		3,289		1,546
Mezzanine & Other Loans		—		—
Total		$3,289		$1,546

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

Schedule of consolidated securitization vehicles' loans receivable nonaccrual status

The following table details our consolidated securitization vehicles’ loans receivable which are on nonaccrual status as of December 31, 2012 (in thousands):

Nonaccrual Loans Receivable as of December 31, 2012
Asset Type	Principal Balance		Net Book Value
Subordinate Interests in Mortgages		$24,680		$2,000
Total		$24,680		$2,000

The following table details our consolidated securitization vehicles’ loans receivable which are on nonaccrual status as of December 31, 2011 (in thousands):

Nonaccrual Loans Receivable as of December 31, 2011
Asset Type	Principal Balance		Net Book Value
Subordinate Interests in Mortgages		$80,449		$27,789
Total		$80,449		$27,789

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 of our consolidated securitization vehicles’ 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, 2012				December 31, 2011		December 31, 2012
Non-Recourse Securitized Debt Obligations	Principal Balance		Book Value		Book Value		Coupon(1)			All-In Cost(1)			Maturity Date(2)
CT CDO I		$91,131		$91,131		$121,409		1.61	%		1.63	%	July 2039
GSMS 2006-FL8A		$48,053		$48,053		$50,552		1.07	%		1.07	%	June 2020
Total/Weighted Average		$139,184		$139,184		$171,961		1.42	%		1.44	%	November 2032

(1)	Represents a weighted average for each respective facility, assuming LIBOR of 0.21% at December 31, 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.