Loan Securitization/Sale Activities

9 Months Ended

Sep. 30, 2011

Loan Securitization/Sale Activities

Loan Securitization/Sale Activities

7. Loan Securitization/Sale Activities

As more fully discussed in our Annual Report on Form 10-K for the year ended December 31, 2010, the collateralized debt obligation in securitization trust in the condensed consolidated balance sheets relates to two contributed loans that we securitized in a structure that did not qualify for sale treatment under GAAP. As of September 30, 2011, the balance of the loans pledged to the securitization trust was $50.3 million and the related liability of the securitization trust was $53.4 million.

During the three months ended September 30, 2011, we sold loans with a carrying value of $154.4 million into a securitization resulting in proceeds, net of financing repayments, of $69.7 million.  Effective control of the loans was surrendered in the loan transfer and it was therefore treated as a sale under GAAP, resulting in a realized gain of $5.1 million.  However, we effectively broke even on this transaction considering the realized gains on the credit hedges of $2.2 million and realized losses on the interest rate hedges of $7.4 million that were terminated in connection with the loans being sold.

During the second quarter of 2011, we sold a loan to an independent third party for gross proceeds of $78.4 million.  Effective control of the loan was surrendered in the transaction and it was therefore treated as sale under GAAP, resulting in a gain of $3.4 million.  We effectively realized a net gain of $2.9 million on this transaction considering the realized loss on the interest rate hedge of $0.5 million that was terminated in connection with the loan being sold.

During the first quarter of 2011, we contributed three loans to a securitization trust for approximately $56 million in gross proceeds.  Effective control of the loans was surrendered in the loan transfer and it was therefore treated as a sale under GAAP, resulting in a gain of $1.9 million.  We effectively realized a net gain of $1.8 million on this transaction considering the realized losses on the interest rate hedges of $0.1 million that was terminated in connection with the loans being sold.