Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2015

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 June 30, 2015
	Asset Derivatives
	Credit risk		Interest rate risk		Total
Credit derivatives	$	10,340	$	—	$	10,340
Interest rate lock commitments	—		1,459		1,459
TBA mortgage backed securities	—		53		53
Total	$	10,340	$	1,512	$	11,852
	Liability Derivatives
	Credit risk		Interest rate risk		Total
Interest rate swaps	$	—	$	2,754	$	2,754
Total	$	—	$	2,754	$	2,754
	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	$	—	$	2,913	$	2,913
Total	$	—	$	2,913	$	2,913

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 income for following periods:

	Three months ended June 30,						Six months ended June 30,
	2015			2014			2015			2014
Realized/unrealized (loss)/gain	$	(424	)	$	(1,021	)	$	(494	)	$	(1,013	)
Premium income	3,520			444			7,248			444
Premium (expense)	(3,540		)	(680		)	(7,288		)	(952		)
Net credit derivative (loss)	$	(444	)	$	(1,257	)	$	(534	)	$	(1,521	)

The following tables identify the unrealized gain/(loss) amounts, categorized by primary underlying risk, for the following periods:

Change in unrealized (depreciation)/appreciation - derivatives
	Three months ended June 30, 2015
	Credit risk			Interest rate risk			Total			Location in consolidated statements of operations
Credit derivatives	$	(424	)	$	—		$	(424	)	Net credit derivative losses
Interest rate lock commitments	—			291			291			Net realized and unrealized gains on investments
TBA mortgage backed securities	—			77			77			Net realized and unrealized gains on investments
Interest rate swaps	$	—		$	369		$	369		Net realized and unrealized gains on investments
	Three months ended June 30, 2014
	Credit risk			Interest rate risk			Total			Location in consolidated statements of operations
Credit derivatives	$	115		$	—		$	115		Net credit derivative losses
Interest rate lock commitments	—			132			132			Net realized and unrealized gains on investments
TBA mortgage backed securities	—			(27		)	(27		)	Net realized and unrealized gains on investments
Interest rate swaps	$	—		$	(415	)	$	(415	)	Net realized and unrealized gains on investments
	Six months ended June 30, 2015
	Credit risk			Interest rate risk			Total			Location in consolidated statements of operations
Credit derivatives	$	(494	)	$	—		$	(494	)	Net credit derivative losses
Interest rate lock commitments	—			572			572			Net realized and unrealized gains on investments
TBA mortgage backed securities	—			147			147			Net realized and unrealized gains on investments
Interest rate swaps	$	—		$	(116	)	$	(116	)	Net realized and unrealized gains on investments
	Six months ended June 30, 2014
	Credit risk			Interest rate risk			Total			Location in consolidated statements of operations
Credit derivatives	$	123		$	—		$	123		Net credit derivative loss
Interest rate lock commitments	—			206			206			Net realized and unrealized gains on investments
TBA mortgage backed securities	—			(16		)	(16		)	Net realized and unrealized gains on investments
Interest rate swaps	$	—		$	(724	)	$	(724	)	Net realized and unrealized gains on investments

Offsetting Assets [Table Text Block]

The following table present derivative instruments that are subject to offset by a master netting agreement:

	June 30, 2015			December 31, 2014
Derivatives subject to netting arrangements:
Credit default swap indices sold protection	$	45,696		$	52,513
Credit default swap indices bought protection	(33,811		)	(40,147		)
Gross assets recognized	11,885			12,366
Collateral payable	(1,632		)	(1,632		)
Net assets recognized	$	10,253		$	10,734