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Commercial Mortgage Residual Interests | 9 Months Ended
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Sep. 30, 2012
Commercial Mortgage Residual Interests [Abstract] |
Commercial Mortgage Residual Interests | Commercial Mortgage Residual Interests: Orange Avenue Mortgage Investments, Inc. ("OAMI") holds the residual interests (“Residuals”) from seven commercial mortgage securitizations. Each of the Residuals is recorded at fair value based upon an independent valuation. Unrealized gains and losses are reported as other comprehensive income in stockholders' equity and other than temporary losses as a result of a change in the timing, or amount of estimated cash flows are recorded as an other than temporary valuation impairment. Due to the expected timing of future cash flows relating to the Residuals, the independent valuation adjusted certain of the valuation assumptions. The following table summarizes the key assumptions used in determining the value of the Residuals as of:
| September 30, 2012 |  | December 31, 2011
Discount rate | 25 | % |  | 25 | %
Average life equivalent CPR (1) speeds range | 0.80% to 20.42% CPR |  |  | 2.18% to 18.57% CPR |
Foreclosures: |  |  |
Frequency curve default model | 0.1% - 3.9% range |  |  | 0.2% - 4.7% 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. The following table summarizes the recognition of unrealized gains and/or losses recorded as other comprehensive income as well as other than temporary valuation impairments recorded in condensed consolidated statements of earnings (dollars in thousands):
| Nine Months Ended September 30,
| 2012 |  | 2011
Unrealized gains | $ | 213 |  |  | $ | 599 |
Other than temporary valuation impairment | 2,718 |  |  | 396 |
There were no other than temporary valuation impairments recorded in the quarters ended September 30, 2012 and 2011, respectively.

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- Definition Includes disclosures of retained interests, including fair value assumptions and realized and unrealized gains and losses. + References No definition available. + Details
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