Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Details 1)

v3.3.0.814
Fair Value (Details 1)
$ in Thousands
 6 Months Ended
Jun. 30, 2015
USD ($)
Number
Sep. 30, 2015
USD ($)
Dec. 31, 2014
USD ($)
Other-than-temporary impairment model assumptions:      
Other-than-temporary impairment | $   $ 271 $ 271
Cusip One [Member]      
Fair Value Pooled Trust Preferred Securities [Line Items]      
Class B-1    
Lowest credit rating assigned CC    
Number of performing banks 55    
Number of performing insurance companies 13    
Number of issuers in default 19    
Number of issuers in deferral 6    
Defaults & deferrals as a % of performing collateral 39.90%    
Subordination:      
As a % of performing collateral 7.23%    
As a % of performing collateral - adjusted for projected future defaults 2.25%    
Other-than-temporary impairment model assumptions:      
Year 1 - issuer average 1.70%    
Year 2 - issuer average 1.70%    
Year 3 - issuer average 1.70%    
> 3 Years - issuer average [1]    
Discount rate - 3 month Libor, plus implicit yield spread at purchase 1.48%    
Recovery assumptions [2]    
Prepayments 0.00%    
Other-than-temporary impairment | $ $ 41    
Cusip Two [Member]      
Fair Value Pooled Trust Preferred Securities [Line Items]      
Class C-1    
Lowest credit rating assigned C    
Number of performing banks 30    
Number of performing insurance companies 7    
Number of issuers in default 8    
Number of issuers in deferral 4    
Defaults & deferrals as a % of performing collateral 29.34%    
Subordination:      
As a % of performing collateral (5.34%)    
As a % of performing collateral - adjusted for projected future defaults (13.14%)    
Other-than-temporary impairment model assumptions:      
Year 1 - issuer average 2.30%    
Year 2 - issuer average 2.30%    
Year 3 - issuer average 2.30%    
> 3 Years - issuer average [1]    
Discount rate - 3 month Libor, plus implicit yield spread at purchase 1.23%    
Recovery assumptions [2]    
Prepayments 0.00%    
Other-than-temporary impairment | $ $ 132    
Cusip Three [Member]      
Fair Value Pooled Trust Preferred Securities [Line Items]      
Class A-2A    
Lowest credit rating assigned BB    
Number of performing banks 58    
Number of performing insurance companies 10    
Number of issuers in default 1    
Number of issuers in deferral 7    
Defaults & deferrals as a % of performing collateral 8.28%    
Subordination:      
As a % of performing collateral 45.64%    
As a % of performing collateral - adjusted for projected future defaults 42.53%    
Other-than-temporary impairment model assumptions:      
Year 1 - issuer average 1.80%    
Year 2 - issuer average 1.80%    
Year 3 - issuer average 1.80%    
> 3 Years - issuer average [1]    
Discount rate - 3 month Libor, plus implicit yield spread at purchase 1.27%    
Recovery assumptions [2]    
Prepayments 0.00%    
Other-than-temporary impairment | $ $ 36    
Cusip Four [Member]      
Fair Value Pooled Trust Preferred Securities [Line Items]      
Class B    
Lowest credit rating assigned CCC    
Number of performing banks 48    
Number of performing insurance companies 0    
Number of issuers in default 4    
Number of issuers in deferral 4    
Defaults & deferrals as a % of performing collateral 16.96%    
Subordination:      
As a % of performing collateral 25.85%    
As a % of performing collateral - adjusted for projected future defaults 21.62%    
Other-than-temporary impairment model assumptions:      
Year 1 - issuer average 1.80%    
Year 2 - issuer average 1.80%    
Year 3 - issuer average 1.80%    
> 3 Years - issuer average [1]    
Discount rate - 3 month Libor, plus implicit yield spread at purchase 1.44%    
Recovery assumptions [2]    
Prepayments 0.00%    
Other-than-temporary impairment | $ $ 62    
[1] Default rates > 3 years are evaluated on a issuer by issuer basis and range from 0.25% to 5.00%.
[2] Recovery assumptions are evaluated on a issuer by issuer basis and range from 0% to 15% with a five year lag.