Mortgages and Notes Receivable Commercial Mortgage Residual Interests Business Combination  38 Mortgage notes are secured by real estate, real estate securities or other assets. Mortgages and notes receivable consisted of the  following at December 31 (dollars in thousands): In connection with the independent specialist's valuations of the Residuals’ fair value, NNN adjusted the carrying value of the  Residuals to reflect such fair value as of December 31, 2013. Due to changes in market conditions relating to residual assets,  the independent valuation changed several valuation assumptions. The following table summarizes the changes to the key  assumptions used in determining the value of the Residuals at December 31: 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 for the years ended December 31 (dollars in thousands): In connection with the default of a note receivable and certain lease agreements between NNN and one of its tenants, in June  2009, NNN acquired the operations of an auto service business that operated certain Properties. The note foreclosure resulted in  a loss of $7,816,000. NNN recorded the value of the assets received at fair value. No liabilities were assumed. The fair value of  the assets resulted in goodwill of $3,400,000. In connection with the annual review of goodwill for impairment, NNN  recognized a noncash impairment charge of $1,500,000 included in Impairment losses and other charges, net of recoveries in  the Consolidated Statements of Earnings during the year ended December 31, 2011. 2013 2012 Mortgages and notes receivable $ 16,942 $ 26,952 Accrued interest receivable 177 858 Unamortized discount — (40) $ 17,119 $ 27,770 2013 2012 2011 Unrealized gains $ 511 $ 1,132 $ — Unrealized losses — — 246 Other than temporary valuation impairment 1,185 2,812 1,024 2013 2012 Discount rate 20% 25% Average life equivalent CPR$^{(1)}$ speeds range 0.80% to 20.76% CPR 0.80% to 24.31% CPR Foreclosures: Frequency curve default model 0.07% - 2.43% range 0.09% - 4.49% 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