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Derivative Financial Instruments (Tables)
12 Months Ended
Dec. 31, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Fair Value Amounts of Derivative Instruments
The following tables identify the fair value amounts of the Company’s stand-alone derivative instruments, categorized by primary underlying risk:
 
As of December 31, 2014
 
Asset Derivatives
 
Credit
risk
 
Interest rate
risk
 
Total
Credit derivatives
$
10,833

 
$

 
$
10,833

Interest rate lock commitments

 
793

 
793

Total
$
10,833


$
793


$
11,626

 
 
 
 
 
 
 
Liability Derivatives
 
Credit
risk
 
Interest rate
risk
 
Total
Interest rate swaps
$

 
$
833

 
$
833

Total
$

 
$
833

 
$
833

 
As of December 31, 2013
 
Asset Derivatives
 
Credit
risk
 
Interest rate
risk
 
Total
Interest rate swaps
$

 
$
52

 
$
52

Total
$

 
$
52

 
$
52

 
 
 
 
 
 
 
Liability Derivatives
 
Credit
risk
 
Interest rate
risk
 
Total
Credit derivatives
598

 

 
598

Total
598

 

 
598

Schedule of Derivative Instruments, Effect on Net Income (Loss)
Below is a table identifying the components of the net credit derivative revenue/(loss) as shown on the Company’s consolidated statements of operations for following periods:
 
Year Ended December 31,
 
2014
 
2013
Realized (loss)
$
(1,136
)
 
$

Unrealized gain/(loss)
75

 
(1,582
)
Premium income
6,699

 

Premium (expense)
(7,244
)
 
(246
)
Net credit derivative revenue/(loss)
$
(1,606
)
 
$
(1,828
)
The following tables identify the unrealized gain/(loss) amounts, categorized by primary underlying risk, for the following periods:
Change in unrealized (depreciation)/appreciation - derivatives
 
December 31, 2014
 
 
 
Credit
risk
 
Interest rate
risk
 
Total
 
Location in consolidated statements of operations
Credit derivatives
$
75

 
$

 
$
75

 
net credit derivative loss
Interest rate lock commitments

 
364

 
364

 
net realized and unrealized gains on investments
Interest rate swaps

 
(885
)
 
(885
)
 
net realized and unrealized gains on investments
Total
$
75

 
$
(521
)
 
$
(446
)
 
 
 
December 31, 2013
 
 
 
Credit
risk
 
Interest rate
risk
 
Total
 
Location in consolidated statements of operations
Credit derivatives
$
(1,582
)
 
$

 
$
(1,582
)
 
net credit derivative loss
Interest rate swaps

 
3,222

 
3,222

 
net realized and unrealized gains on investments
Total
$
(1,582
)
 
$
3,222

 
$
1,640

 
 
Offsetting Assets [Table Text Block]
The following table present derivative instruments that are subject to offset by a master netting agreement as of:
Offsetting of derivative assets
December 31, 2014
Derivatives subject to netting arrangements:
 
Credit default swap indices sold protection
$
52,513

Credit default swap indices bought protection
(40,147
)
Gross assets recognized
12,366

Collateral payable
(1,632
)
Net assets recognized
$
10,734