Concentration of Credit Risk |
6 Months Ended |
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Jun. 30, 2015 | |
Risks and Uncertainties [Abstract] | |
Concentration of Credit Risk | Concentration of Credit Risk Counterparties The Company is subject to certain inherent credit risks arising from its transactions involving counterparties to CDS, CDX and IRS positions. As of June 30, 2015, the CDS and CDX positions have a notional amount of $2,397 and notional amount of $595,785 ($297,612 of sold protection and $298,173 of bought protection) and a fair value of $87 and $10,252. The counterparty for the CDS and CDX positions are Bank of America, N.A. and Morgan Stanley, respectively. As of June 30, 2015, the IRS positions have an aggregate notional amount of $78,988 and a fair value of $(2,754). The counterparties for the IRS positions are First Niagara Bank and Wells Fargo Bank, N.A. The Company’s policy is to monitor its market exposure and counterparty risk through the use of various credit exposure reporting and control procedures. See Note 14—Derivative Financial Instruments and Hedging, for further details. |