Commercial Mortgage Residual Interests (Tables)

12 Months Ended

Dec. 31, 2015

Commercial Mortgage Residual Interests [Abstract]

Schedule of Amounts Recognized as Unrealized Gains and/or Losses Recorded as Other Comprehensive Income And Other Than Temporary Valuation Impairments Recorded in Earnings

The following table summarizes the recognition of unrealized gains and/or losses recorded as other comprehensive income as well as other than temporary valuation impairment as of December 31 (dollars in thousands):

	2015			2014		2013
Unrealized gains (losses)	$	(585	)	$	875	$	511
Other than temporary valuation impairment	531			256		1,185

Retained Interest, Fair Value Disclosure, Significant Assumptions

The following table summarizes the key assumptions used in determining the value of the Residuals as of December 31:

	2015		2014
Discount rate	20	%	20	%
Average life equivalent CPR(1) speeds range	0.87% to 21.73% CPR		0.87% to 26.30% CPR
Foreclosures:
Frequency curve default model	0.72% - 1.57% range		0.70% - 2.45% range
Loss severity of loans in foreclosure	20	%	20	%
Yield:
LIBOR	Forward 3-month curve		Forward 3-month curve
Prime	Forward curve		Forward curve

⁽¹⁾ Conditional prepayment rate

Schedule of Key Assumptions used in Determining the Value of the Residuals

The following table shows the effects on the key assumptions affecting the fair value of the Residuals at December 31, 2015 (dollars in thousands):

	Residuals
Carrying amount of retained interests	$	11,115
Discount rate assumption:
Fair value at 25% discount rate	$	9,383
Fair value at 27% discount rate	$	8,777
Prepayment speed assumption:
Fair value of 1% increases above the CPR Index	$	11,114
Fair value of 2% increases above the CPR Index	$	11,113
Expected credit losses:
Fair value 2% adverse change	$	11,017
Fair value 3% adverse change	$	10,969
Yield Assumptions:
Fair value of Prime/LIBOR spread contracting 25 basis points	$	11,331
Fair value of Prime/LIBOR spread contracting 50 basis points	$	11,553