XML 75 R64.htm IDEA: XBRL DOCUMENT v3.4.0.3
Derivative Instruments (Exposure from Credit Derivatives by Rating of the Underlying Credits) (Details) - USD ($)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2016
Dec. 31, 2015
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] $ 985 $ (4,003)
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] $ 855,700 $ 893,700
Derivative Average Remaining Maturity [1],[3] 4 years 8 months 4 years 6 months
Standard Poors AAA To A Minus Ratings [Member] | Single Name Credit Default Swaps [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] $ 1,351 $ 1,689
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] $ 130,000 $ 152,500
Derivative Average Remaining Maturity [1],[3] 4 years 1 month 3 years 11 months
Standard Poors AAA To A Minus Ratings [Member] | Credit Default Swaps Referencing Indices [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] $ 0 $ 0
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] 0 0
Standard Poors AAA To A Minus Ratings [Member] | Credit Default Subtotal [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] 1,351 1,689
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] $ 130,000 $ 152,500
Derivative Average Remaining Maturity [1],[3] 4 years 1 month 3 years 11 months
Standard Poors BBB Rating [Member] | Single Name Credit Default Swaps [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] $ (4,570) $ (5,066)
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] $ 304,700 $ 315,200
Derivative Average Remaining Maturity [1],[3] 4 years 1 month 4 years 2 months
Standard Poors BBB Rating [Member] | Credit Default Swaps Referencing Indices [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] $ 4,423 $ 2,274
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] $ 416,000 $ 416,000
Derivative Average Remaining Maturity [1],[3] 5 years 2 months 5 years
Standard Poors BBB Rating [Member] | Credit Default Subtotal [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] $ (147) $ (2,792)
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] $ 720,700 $ 731,200
Derivative Average Remaining Maturity [1],[3] 4 years 9 months 4 years 7 months
Standard & Poor's, BB Rating [Member]    
Credit Derivatives [Line Items]    
Derivative Average Remaining Maturity [1],[2] 3 years 2 months 4 years 1 month
Standard & Poor's, BB Rating [Member] | Single Name Credit Default Swaps [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] $ (219) $ (2,900)
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] 5,000 10,000
Standard & Poor's, BB Rating [Member] | Credit Default Swaps Referencing Indices [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] 0 0
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] 0 0
Standard & Poor's, BB Rating [Member] | Credit Default Subtotal [Member]    
Credit Derivatives [Line Items]    
Credit Derivative Current Fair Value [1] (219) (2,900)
Maximum Potential Future Exposure on Credit Risk Derivatives [1],[2] $ 5,000 $ 10,000
[1] The rating agency designations are based on ratings from Standard and Poor’s (“S&P”).
[2] Assumes the value of the referenced credit obligations is zero.
[3] The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.