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Commercial Mortgage Residual Interests (Tables) | 12 Months Ended
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Dec. 31, 2015
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):
| 2015 |  | 2014 |  | 2013
Unrealized gains (losses) | $ | (585 | ) |  | $ | 875 |  |  | $ | 511 |
Other than temporary valuation impairment | 531 |  |  | 256 |  |  | 1,185 |
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:
| 2015 |  | 2014
Discount rate | 20 | % |  | 20 | %
Average life equivalent CPR(1) speeds range | 0.87% to 21.73% CPR |  |  | 0.87% to 26.30% CPR |
Foreclosures: |  |  |
Frequency curve default model | 0.72% - 1.57% range |  |  | 0.70% - 2.45% 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
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, 2015 (dollars in thousands):
| Residuals
Carrying amount of retained interests | $ | 11,115 |
Discount rate assumption: |
Fair value at 25% discount rate | $ | 9,383 |
Fair value at 27% discount rate | $ | 8,777 |
Prepayment speed assumption: |
Fair value of 1% increases above the CPR Index | $ | 11,114 |
Fair value of 2% increases above the CPR Index | $ | 11,113 |
Expected credit losses: |
Fair value 2% adverse change | $ | 11,017 |
Fair value 3% adverse change | $ | 10,969 |
Yield Assumptions: |
Fair value of Prime/LIBOR spread contracting 25 basis points | $ | 11,331 |
Fair value of Prime/LIBOR spread contracting 50 basis points | $ | 11,553 |

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- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=51814546&loc=d3e107314-111719 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=51814546&loc=d3e107314-111719 + Details
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