XML 69 R53.htm IDEA: XBRL DOCUMENT v2.4.1.9
Financial instruments with off-balance sheet risk or concentrations of credit risk (Tables)
 9 Months Ended 12 Months Ended
Sep. 30, 2014
Dec. 31, 2013
Guarantees [Abstract]    
Schedule of certain information related to the Company’s written credit derivatives
The following table sets forth certain information related to the Company’s written credit derivatives as of September 30, 2014 and December 31, 2013:
September 30, 2014
 
Maximum Payout/ Notional Amount (by period of expiration)
 
Fair Value of Written Credit Derivatives (2)
Credit Spreads on
underlying (basis
points)
 
0-5 years
 
5 years or
Greater Expiring Through 2047
 
Total Written
Credit Default
Swaps (1)
 
Asset
 
Liability
 
Net Asset/(Liability)
 
 
($ in thousands)
Single name (0 - 250)
 
$
—

 
$
5,437

 
$
5,437

 
$
—

 
$
1,503

 
$
(1,503
)
Single name (251-500)
 
—

 
2,318

 
2,318

 
158

 
—

 
158

 
 
$
—

 
$
7,755

 
$
7,755

 
$
158

 
$
1,503

 
$
(1,345
)
December 31, 2013
 
Maximum Payout/ Notional Amount (by period of expiration)
 
Fair Value of Written Credit Derivatives (2)
Credit Spreads on
underlying (basis
points)
 
0-5 years
 
5 years or
Greater Expiring Through 2046
 
Total Written
Credit Default
Swaps (1)
 
Asset
 
Liability
 
Net Asset/(Liability)
 
 
($ in thousands)
Single name (0 - 250)
 
$
368

 
$
—

 
$
368

 
$
—

 
$
(104
)
 
$
(104
)
Single name (251-500)
 
9,514

 
—

 
9,514

 
1,136

 
—

 
1,136

 Index (0-250)
 
—

 
550

 
550

 
21

 
(244
)
 
(223
)
 
 
$
9,882

 
$
550

 
$
10,432

 
$
1,157

 
$
(348
)
 
$
809

(1)
As of September 30, 2014 and December 31, 2013, the Company did not hold any offsetting buy protection credit derivatives with the same underlying reference obligation.
(2)
Fair value amounts of derivative contracts are shown on a gross basis prior to cash collateral or counterparty netting.
The following table sets forth certain information related to the Company’s written credit derivatives as of December 31, 2013:
 
 
Maximum Payout/ Notional Amount (by period of expiration)
 
Fair Value of Written Credit Derivatives (2)
Credit Spreads on
underlying (basis
points)
 
0-5 years
 
5 years or
Greater Expiring Through 2046
 
Total Written
Credit Default
Swaps (1)
 
Asset
 
Liability
 
Net Asset/(Liability)
 
 
($ in thousands)
Single name (0 - 250)
 
$
368

 
$
—

 
$
368

 
$
—

 
(104
)
 
(104
)
Single name (251-500)
 
9,514

 
—

 
9,514

 
1,136

 
—

 
1,136

 Index (0-250)
 
—

 
550

 
550

 
21

 
(244
)
 
(223
)
 
 
$
9,882

 
$
550

 
$
10,432

 
$
1,157

 
$
(348
)
 
$
809

(1)
As of December 31, 2013, the Company did not hold any offsetting buy protection credit derivatives with the same underlying reference obligation.
(2)
Fair value amounts of derivative contracts are shown on a gross basis prior to cash collateral or counterparty netting.