Previously Consolidated Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2012

Previously Consolidated Variable Interest Entities Tables

Overall statistics for our previously consolidated VIEs' securities portfolio

The following table details overall statistics for our previously consolidated VIEs’ securities portfolio as of December 31, 2011:

	December 31, 2011
Number of securities	57
Number of issues	40
Rating (1) (2)	BB+
Fixed / Floating (in millions) (3)	$360 / $2
Coupon (1) (4)	6.48%
Yield (1) (4)	7.37%
Life (years) (1) (5)	2.5

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

Schdeule of the details the ratings and vintage distribution of our previously consolidated securitization vehicles' securities

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

	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	—		1,257		16,142
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		11,900	—		5,000		190,358
1997		4,434		—	16,159		—		5,223	2,941		3,502		32,259
1996		—		—	—		—		—	—		1,167		1,167
Total		$63,189		$71,095	$66,907		$48,032		$63,116	$8,367		$40,868		$361,574

Schedule of the activity related to the other-than-temporary impairments of our previously consolidated VIEs' securities

The following table summarizes activity related to the other-than-temporary impairments of our previously consolidated VIEs’ securities during the year ended December 31, 2012 (in thousands):

	Gross Other-Than- Temporary Impairments			Credit Related Other-Than-Temporary Impairments			Non-Credit Related Other-Than-Temporary Impairments
December 31, 2011		$146,917			$130,328			$16,589
Additions due to change in expected cash flows		—			160			(160	)
Amortization of other-than-temporary impairments		(257	)		270			(527	)
Reductions due to realized losses		(19,560	)		(19,560	)		—
Deconsolidation of CT Legacy Asset (1)		(53,100	)		(49,220	)		(3,880	)
Deconsolidation of CDOs (1)		(74,000	)		(61,978	)		(12,022	)
December 31, 2012		$—			$—			$—

(1) As further described in Note 1, we deconsolidated CT Legacy Asset and CT CDOs II and IV in 2012. As a result, the securities owned by these entities’ consolidated securitization vehicles, some of which were other-than-temporarily impaired, are no longer included in our consolidated financial statements.

Schedule of the gross unrealized losses and fair value of our previously consolidated VIEs' securities

The following table shows the gross unrealized losses and fair value of our previously consolidated VIEs’ 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
	Estimated Fair Value		Gross Unrealized Loss			Estimated Fair Value		Gross Unrealized Loss			Estimated Fair Value		Gross Unrealized Loss			Book Value (1)
Floating Rate		$—		$—			$0.2		($1.1	)		$0.2		($1.1	)		$1.3
Fixed Rate		155.2		(4.7	)		130.1		(11.1	)		285.3		(15.8	)		301.1
Total		$155.2		($4.7	)		$130.3		($12.2	)		$285.5		($16.9	)		$302.4

(1) Excludes, as of December 31, 2011, $59.2 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.

Overall statistics for our previously consolidated VIEs' loans receivable portfolio

The following table details overall statistics for our previously consolidated VIEs’ loans receivable portfolio as of December 31, 2011:

	December 31, 2011
Number of investments	76
Fixed / Floating (in millions) (1)	$336 / $338
Coupon (2) (3)	5.06%
Yield (2) (3)	5.99%
Maturity (years) (2) (4)	3.5

(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)	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.

Schedule of detail the types of loans in our previously consolidated VIEs' loan portfolio

The tables below detail the types of loans in our previously consolidated VIEs’ loan portfolio, as well as the property type and geographic distribution of the properties securing these loans, as of December 31, 2011 (in thousands):

	December 31, 2011
Asset Type	Book Value			Percentage
Senior mortgages		$254,309			38	%
Subordinate interests in mortgages		203,360			30
Mezzanine and other loans		223,384			32
Total		$681,053			100	%
Property Type	Book Value			Percentage
Office		$262,669			39	%
Hotel		243,958			36
Retail		72,701			11
Multifamily		25,629			4
Healthcare		18,837			3
Other		57,259			7
Total		$681,053			100	%
Geographic Location	Book Value			Percentage
Northeast		$236,400			35	%
Southeast		129,390			19
West		101,453			15
Southwest		84,049			12
Other		33,822			5
International		34,502			5
Diversified		61,437			9
Total		$681,053			100	%
Unallocated loan loss provision (1)		(7,432	)
Net book value		$673,621

(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.

Schedule of allocation of the net book value and principal balance of our previously consolidated VIEs' loans receivable based on our internal risk ratings

The following table allocates the net book value and principal balance of our previously consolidated VIEs’ loans receivable based on our internal risk ratings as of December 31, 2011 (dollars in thousands):

		Loans Receivable as of December 31, 2011
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value
	1 - 3		22		$365,770		$365,792
	4 - 5		8		108,208		108,072
	6 - 8		17		465,921		123,549
	N/A		29		83,639		83,640
Total			76		$1,023,538		$681,053
Unallocated loan loss provision:							(7,432	)
Net book value							$673,621

(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.

 

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 previously consolidated VIEs’ loans receivable by both loan type and our internal risk ratings as of December 31, 2011 (dollars in thousands):

Senior Mortgage Loans
		as of December 31, 2011
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value
	1 - 3		10		$79,955		$79,955
	4 - 5		3		33,551		33,527
	6 - 8		6		86,557		57,187
	N/A		29		83,639		83,640
Total			48		$283,702		$254,309

(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.

Subordinate Interests in Mortgages
		as of December 31, 2011
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value
	1 - 3		5		$111,358		$111,112
	4 - 5		3		56,037		55,925
	6 - 8		6		121,381		36,323
Total			14		$288,776		$203,360

(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.

Mezzanine & Other Loans
		as of December 31, 2011
Risk Rating (1)		Number of Loans		Principal Balance		Net Book Value
	1 - 3		7		$174,457		$174,725
	4 - 5		2		18,620		18,620
	6 - 8		5		257,983		30,039
Total			14		$451,060		$223,384

(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.

Schedule of previously consolidated VIEs' impaired loans

The following table describes our previously consolidated VIEs’ 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			Net Book Value
Performing loans		4		$237,622		($211,331	)		$26,291
Non-performing loans		5		175,034		(130,756	)		44,278
Total impaired loans		9		$412,656		($342,087	)		$70,569

Schedule of the allocation of our previously consolidated VIEs' provision for loan losses

The following table details the allocation of our previously consolidated VIEs’ provision for loan losses as of December 31, 2011 (in thousands):

	December 31, 2011
Impaired Loans	Principal Balance		Provision for Loan Loss		Loss Severity
Mezzanine & other loans		$248,483		$227,944		92%
Subordinate interests in mortgages		106,470		84,774		80
Senior mortgages		57,934		29,369		51
Unallocated (1)		117,762		7,431		6
Total/Weighted Average		$530,649		$349,518		66%

(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.

 

Schedule of previously consolidated VIEs' average balance of impaired loans by loan type, and the income recorded on such loans subsequent to their impairment

The following table details our previously consolidated VIEs’ 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		$5,713		$233
Subordinate Interests in Mortgages		5,571		142
Mezzanine & Other Loans		4,108		893
Total		$15,392		$1,268

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

The following table details our previously consolidated VIEs’ 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		$62,461		$3,927
Subordinate Interests in Mortgages		33,508		817
Mezzanine & Other Loans		93,470		9,521
Total		$189,439		$14,265

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

Schedule of previously consolidated VIEs' loans receivable which are on nonaccrual status

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

Non-Accrual Loans Receivable as of December 31, 2011
Asset Type	Principal Balance		Net Book Value
Senior Mortgage Loans		$24,700		$11,638
Subordinate Interests in Mortgages		111,776		31,177
Mezzanine & Other Loans		248,483		20,539
Total		$384,959		$63,354

Schedule of outstanding debt obligations, their respective coupons and all-in effective costs, including the amortization of fees and expense

The balances of each class of entity’s outstanding 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
Debt Obligations	Principal Balance		Book Value		Coupon(1)			All-In Cost(1)			Maturity Date(2)
CT Legacy REIT
Repurchase obligation (JPMorgan)		$58,464		$58,464		2.80	%		2.80	%	December 2014
Mezzanine loan (3)		65,275		55,111		15.00	%		18.61	%	March 2016
Subtotal		$123,739		$113,575		9.24	%		10.47	%	August 2015
Securitized Debt Obligations
CT CDO II		$199,751		$199,751		0.91	%		1.22	%	March 2050
CT CDO III		199,138		199,553		5.26	%		5.17	%	June 2035
CT CDO IV		221,540		221,540		1.07	%		1.21	%	October 2043
JPMCC 2004-FL1A (4)		—		—		1.25	%		1.25	%	April 2019
GMACC 1997-C1		83,672		83,672		7.09	%		7.09	%	July 2029
GECMC 00-1 H		24,847		24,847		5.50	%		5.50	%	August 2027
MSC 2007-XLCA		310,083		310,083		2.44	%		2.44	%	July 2017
Subtotal		$1,039,031		$1,039,446		2.84	%		2.92	%	January 2034
Total/Weighted Average		$1,162,770		$1,153,021		3.52	%		3.66	%	January 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 debt obligation. 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)	The mezzanine loan carries a 10.50% per annum interest rate, of which 7.0% per annum may be deferred. The all-in cost of the mezzanine loan includes the amortization of deferred fees and expenses.
(4)	As of December 31, 2011, all outstanding debt obligations of JPMCC 2004-FL1A were eliminated in consolidation.
(5)	Including the impact of interest rate hedges with an aggregate notional balance of $357.4 million as of December 31, 2011, the effective all-in cost of our previously consolidated VIEs’ debt obligations would be 5.30% per annum.

Schedule of the notional amounts and fair values of interest rate swaps

The following table summarizes the notional amounts and fair values of our previously consolidated securitization vehicles’ interest rate swaps as of 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.

								December 31,
	December 31, 2011							2011
Counterparty	Notional Amount		Interest Rate (1)			Maturity		Fair Value
Swiss RE Financial		$236,355		5.10	%		2015		($20,540	)
Bank of America		44,562		4.58	%		2014		(2,368	)
Bank of America		10,535		5.05	%		2016		(1,461	)
Bank of America		5,104		4.12	%		2016		(573	)
Total/Weighted Average		$296,556		5.00	%		2015		($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.

The following table summarizes the notional amounts and fair values of CT Legacy Asset’s interest rate swaps as of 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.

								December 31,
	December 31, 2011							2011
Counterparty	Notional Amount		Interest Rate (1)			Maturity		Fair Value
JPMorgan Chase		$17,574		5.14	%		2014		($1,887	)
JPMorgan Chase		16,565		4.83	%		2014		(1,889	)
JPMorgan Chase		16,441		5.52	%		2018		(3,321	)
JPMorgan Chase		7,062		5.11	%		2016		(1,189	)
JPMorgan Chase		3,164		5.45	%		2015		(531	)
Total/Weighted Average		$60,806		5.17	%		2015		($8,817	)

(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.

Schedule of amounts recorded to other comprehensive income and amounts recorded to interest expense from other comprehensive income related to interest rate swaps

The table below shows amounts recorded to other comprehensive income and amounts recorded to interest expense from other comprehensive income related to interest rate swaps held by our previously consolidated securitization vehicles for the years ended December 31, 2012 and 2011 (in thousands):

	Amount of net loss recognized						Amount of loss reclassified from OCI
	in OCI for the year ended (1)						to income for the year ended (2)
Hedge	December 31, 2012			December 31, 2011			December 31, 2012			December 31, 2011
Interest rate swaps		($10,449	)		($3,587	)		($15,066	)		($15,593	)

(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.