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
 9 Months Ended
Sep. 30, 2013
Sep. 30, 2014
CDO Securities [Member]
Sep. 30, 2014
Measured on a Recurring Basis [Member]
Internal Pricing Models [Member]
Sep. 30, 2014
Measured on a Recurring Basis [Member]
Internal Pricing Models [Member]
CDO Securities [Member]
Amortized Cost Basis   $ 6,394 [1],[2]    
Fair Value     7,013 7,013
Impairment recorded in current period 4,449      
Unrealized Gains (Losses) in Accumulated OCI   $ 7,327 $ 7,013 $ 7,013
Weighted Average - Discount Rate       10.50%
Weighted Average - Prepayment Speed       5.00% [3]
Cumulative Default Rate       19.30%
Loss Severity       72.50%
[1] Represents non-consolidated CDO securities, excluding eight securities with a zero value, which had an aggregate face amount of $112.5 million.
[2] Net of discounts (or gross of premiums) and after OTTI.
[3] Projected annualized average prepayment rate.