Substantially all of the Company’s debt investments and CMBS investments are owned in one or more of the Company’s three CDOs. As of March 31, 2012, debt investments owned by Gramercy Finance had a carrying value of approximately $1.0 billion, net of loan loss reserves, impairments, unamortized fees and discounts totaling approximately $266.9 million. CMBS investments had an aggregate carrying value of approximately $872.7 million as of March 31, 2012, net of impairments, unamortized fees, fair value adjustments and discounts of approximately $354.7 million. The Company’s CMBS investments are classified as available-for-sale and accordingly, such CMBS are carried at fair value. Changes in fair value are not necessarily indicative of current or future changes in cash flow, which are based on actual delinquencies, defaults and sales of the underlying collateral, and therefore are not recognized in earnings. Changes in fair value are reflected in accumulated other comprehensive loss in the equity section of the Condensed Consolidated Balance Sheet. The Company continues to monitor all of its CMBS investments for other-than-temporary impairments. The fair value adjustment for the Company’s CMBS as of March 31, 2012 was approximately $138.7 million as compared to a fair value adjustment of $258.8 million in the preceding quarter.

Loan prepayments, partial repayments and scheduled amortization payments in Gramercy Finance’s portfolio aggregated $59.5 million for the three months ended March 31, 2012. As of March 31, 2012, there are no unfunded commitments associated with existing loans.

First mortgage loans remain the majority of Gramercy Finance’s debt portfolio, increasing to 83.7% at March 31, 2012, compared to 82.5% as of December 31, 2011. The weighted average remaining term of Gramercy Finance's debt investment portfolio remained unchanged as of March 31, 2012 at 2.3 years and the weighted average remaining term of Gramercy Finance's combined debt and CMBS portfolio remained unchanged as of March 31, 2012 at 3.3 years.

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