Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE - Internal Pricing Models (Details 6)

v2.4.0.8
FAIR VALUE - Internal Pricing Models (Details 6) (USD $)
In Thousands, unless otherwise specified
 3 Months Ended
Mar. 31, 2014
Mar. 31, 2013
Amortized Cost Basis $ 354,361 [1]  
Impairment recorded in current year   539
Gains - Gross Unrealized 84,783  
CDOs [Member]
    
Amortized Cost Basis 55,851 [1],[2],[3]  
Gains - Gross Unrealized 4,350  
Measured on a Recurring Basis [Member] | Internal Pricing Models [Member]
    
Fair Value 3,278  
Gains - Gross Unrealized 3,278  
Measured on a Recurring Basis [Member] | Internal Pricing Models [Member] | CDOs [Member]
    
Fair Value 3,278  
Gains - Gross Unrealized $ 3,278  
Weighted Average - Discount Rate 20.00%  
Weighted Average - Prepayment Speed 3.50% [4]  
Cumulative Default Rate 21.00%  
Loss Severity 73.60%  
[1] Net of discounts (or gross of premiums) and after OTTI, including impairment taken during the period ended March 31, 2014.
[2] Represents non-consolidated CDO securities, excluding nine securities with a zero value, which had an aggregate face amount of $115.3 million.
[3] Represents non consolidated CDO securities, excluding nine securities with a zero value, which had an aggregate face amount of $115.3 million.
[4] Projected annualized average prepayment rate.