Commercial Mortgage Residual Interests (Tables)

12 Months Ended

Dec. 31, 2016

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 (dollars in thousands):

	2016			2015			2014
Unrealized gains (losses), net	$	(182	)	$	(585	)	$	875
Other than temporary valuation impairment	6,830			531			256

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 (dollars in thousands):

	2016			2015
Discount rate	20		%	20		%
Average life equivalent CPR(1) speeds range	0.87% to 21.56% CPR			0.87% to 21.73% CPR
Foreclosures:
Frequency curve default model	0% - 1.33% range			0.72% - 1.57% range
Loss severity of loans in foreclosure	20		%	20		%
Yield:
LIBOR	Forward 3-month curve			Forward 3-month curve
Prime	Forward curve			Forward curve
Fair value at December 31	$	36		$	11,115

⁽¹⁾ Conditional prepayment rate