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 6 Months Ended
Jun. 30, 2013
Jun. 30, 2013
Jun. 30, 2014
CDO Securities [Member]
Jun. 30, 2014
Measured on a Recurring Basis [Member]
Internal Pricing Models [Member]
Jun. 30, 2014
Measured on a Recurring Basis [Member]
Internal Pricing Models [Member]
CDO Securities [Member]
Amortized Cost Basis     $ 6,368 [1]    
Fair Value       5,973 5,973
Impairment recorded in current period 3,910 4,449      
Unrealized Gains (Losses) in Accumulated OCI     $ 6,349 $ 5,973 $ 5,973
Weighted Average - Discount Rate         10.00%
Weighted Average - Prepayment Speed         3.60%
Cumulative Default Rate         25.40%
Loss Severity         73.70%
[1] Net of discounts (or gross of premiums) and after OTTI, including impairment taken during the period ended June 30, 2014.