Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2012

Fair Value Measurements [Abstract]

Fair value of assets and liabilities measured on a recurring basis

	Level 2					Level 3
	AFS (1)		IR swaps (2)			TRR swaps (3)			TRR debt (4)			Total
Fair value at December 31, 2010	$	—	$	(2,746	)	$	(19,542	)	$	19,542		$	(2,746	)
Unrealized gains (losses) included in earnings (5)		—		(12	)		3,478			(3,478	)		(12	)
Realized gains (losses) included in earnings		—		—			—			—			—
Unrealized gains (losses) included in equity and partners’ capital		—		57			—			—			57
Fair value at March 31, 2011	$	—	$	(2,701	)	$	(16,064	)	$	16,064		$	(2,701	)
Fair value at December 31, 2011	$	51,693	$	(7,012	)	$	(5,841	)	$	5,841		$	44,681
Investment accretion		748		—			—			—			748
Unrealized gains (losses) included in earnings (5)		—		(12	)		936			(936	)		(12	)
Realized gains (losses) included in earnings		—		—			—			—			—
Unrealized gains (losses) included in equity and partners’ capital		2,573		291			—			—			2,864
Fair value at March 31, 2012	$	55,014	$	(6,733	)	$	(4,905	)	$	4,905		$	48,281

(1) We estimate the fair value of our investments classified as AFS using an income and market approach with primarily observable inputs, including yields and other information regarding similar types of investments, and adjusted for certain unobservable inputs specific to these investments. We are accreting the discount to the $100.9 million face value of the investments into interest income over the remaining expected term of the investments, or approximately nine years. Our amortized cost basis for these investments, which represents the original cost adjusted for interest accretion less interest payments received, was $54.0 million and $53.2 million at March 31, 2012 and December 31, 2011, respectively.

(2) The fair value of IR swaps is estimated using an income approach with primarily observable inputs including information regarding the hedged variable cash flows and forward yield curves relating to the variable interest rates on which the hedged cash flows are based.

(3) TRR swaps have contractually-defined termination values generally equal to the difference between the fair value and the counterparty’s purchased value of the underlying borrowings. We calculate the termination value, which we believe is representative of the fair value, of total rate of return swaps using a market approach by reference to estimates of the fair value of the underlying borrowings, which are discussed below, and an evaluation of potential changes in the credit quality of the counterparties to these arrangements.

(4) This represents changes in fair value of debt subject to TRR swaps. We estimate the fair value of debt instruments using an income and market approach, including comparison of the contractual terms to observable and unobservable inputs such as market interest rate risk spreads, contractual interest rates, remaining periods to maturity, collateral quality and loan-to-value ratios on similarly encumbered assets within our portfolio. We handle a large volume of financing transactions annually and use pricing information obtained during the financing process to evaluate market pricing information for reasonableness.

(5) Unrealized gains (losses) for the TRR swaps and TRR debt relate to periodic revaluations of fair value, including revaluations resulting from repayment of the debt at par, and have not resulted from the settlement of a swap position as we have not historically incurred any termination payments upon settlement. These unrealized gains (losses) are included in interest expense in the accompanying condensed consolidated statements of operations.

Weighted average unobservable inputs for real estate properties impaired and nonrecourse property debt measured at fair value

	2012			2011
Number of properties encumbered by nonrecourse property debt measured at fair value during period		4			8
Weighted average interest rate		5.84	%		6.40	%
Weighted average maturity		24.7 years			24.0 years
Weighted average loan-to-value ratio		80.2	%		80.1	%