Commercial Mortgage Residual Interests (Tables)

12 Months Ended

Dec. 31, 2011

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):

	2011		2010		2009
Unrealized gains	$	—	$	1,272	$	—
Unrealized losses	246		—		1,744
Other than temporary valuation impairment	1,024		3,995		498

Retained Interest, Fair Value Disclosure, Significant Assumptions

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

	2011		2010
Discount rate	25	%	25	%
Average life equivalent CPR speeds range	2.18% to 18.57% CPR		4.35% to 20.37% CPR
Foreclosures:
Frequency curve default model	0.2% - 4.7% range		0.1% - 15.0% range
Loss severity of loans in foreclosure	20	%	20	%
Yield:
LIBOR	Forward 3-month curve		Forward 3-month curve
Prime	Forward curve		Forward curve

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, 2011 (dollars in thousands):

	Residuals
Carrying amount of retained interests	$	15,299
Discount rate assumption:
Fair value at 27% discount rate	$	14,735
Fair value at 30% discount rate	$	13,942
Prepayment speed assumption:
Fair value of 1% increases above the CPR Index	$	15,293
Fair value of 2% increases above the CPR Index	$	15,291
Expected credit losses:
Fair value 2% adverse change	$	15,068
Fair value 3% adverse change	$	14,928
Yield Assumptions:
Fair value of Prime/LIBOR spread contracting 25 basis points	$	15,447
Fair value of Prime/LIBOR spread contracting 50 basis points	$	15,633