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Commercial Mortgage Residual Interests | 12 Months Ended
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Dec. 31, 2012
Commercial Mortgage Residual Interests [Abstract] |
Commercial Mortgage Residual Interests | Commercial Mortgage Residual Interests: NNN holds the commercial mortgage residual interests (“Residuals”) from seven 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. 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):
| 2012 |  | 2011 |  | 2010
Unrealized gains | $ | 1,132 |  |  | $ | — |  |  | $ | 1,272 |
Unrealized losses | — |  |  | 246 |  |  | — |
Other than temporary valuation impairment | 2,812 |  |  | 1,024 |  |  | 3,995 |
Due to the expected timing of future cash flows relating to the Residuals, the independent valuation adjusted certain of the valuation assumptions. In connection with the independent valuations of the Residuals’ fair value, during the years ended December 31, 2012, 2011 and 2010, NNN recorded an other than temporary valuation adjustment as a reduction of earnings from operations. The following table summarizes the key assumptions used in determining the value of the Residuals as of December 31:
| 2012 |  | 2011
Discount rate | 25 | % |  | 25 | %
Average life equivalent CPR speeds range | 0.80% to 24.31% CPR |  |  | 2.18% to 18.57% CPR |
Foreclosures: |  |  |
Frequency curve default model | 0.09% - 4.49% range |  |  | 0.20% - 4.70% range |
Loss severity of loans in foreclosure | 20 | % |  | 20 | %
Yield: |  |  |
LIBOR | Forward 3-month curve |  |  | Forward 3-month curve |
Prime | Forward curve |  |  | Forward curve |
The following table shows the effects on the key assumptions affecting the fair value of the Residuals at December 31, 2012 (dollars in thousands):
| Residuals
Carrying amount of retained interests | $ | 13,096 |
Discount rate assumption: |
Fair value at 27% discount rate | $ | 12,546 |
Fair value at 30% discount rate | $ | 11,783 |
Prepayment speed assumption: |
Fair value of 1% increases above the CPR Index | $ | 13,107 |
Fair value of 2% increases above the CPR Index | $ | 13,106 |
Expected credit losses: |
Fair value 2% adverse change | $ | 12,844 |
Fair value 3% adverse change | $ | 12,715 |
Yield Assumptions: |
Fair value of Prime/LIBOR spread contracting 25 basis points | $ | 13,326 |
Fair value of Prime/LIBOR spread contracting 50 basis points | $ | 13,555 |
These sensitivities are hypothetical and should be used with caution. As the figures indicate, changes in fair value based on variations in assumptions generally cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. Also, in this table, the effect of a variation of a particular assumption on the fair value of the retained interest is calculated without changing any other assumptions; in reality, changes in one factor may result in changes in another, which might magnify or counteract the sensitivities.

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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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