Commercial Mortgage Residual Interests (Tables)

9 Months Ended

Sep. 30, 2016

Investments, Debt and Equity Securities [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 (dollars in thousands):

	Quarter Ended September 30,					Nine Months Ended September 30,
	2016			2015		2016			2015
Unrealized gains (losses)	$	(4,561	)	$	116	$	(4,454	)	$	(268	)
Other than temporary valuation impairment	5,978			53		6,830			481

Fair Value Inputs, Assets, Quantitative Information

The following table summarizes the key assumptions used in determining the value of three remaining securitizations as of September 30, 2016:

Discount rate	20	%
Average life equivalent CPR(1) speeds range	0.87% to 21.56% CPR
Foreclosures:
Frequency curve default model	0% - 1.33% range
Loss severity of loans in foreclosure	20	%
Yield:
LIBOR	Forward 3-month curve
Prime	Forward curve

⁽¹⁾  Conditional prepayment rate