XML 95 R79.htm IDEA: XBRL DOCUMENT v3.6.0.2
Fair Value Measurements - Summary of Information about Described Model Inputs Used to Determine Fair Value of Each Class of Credit Derivatives (Detail) - USD ($)
$ / shares in Units, $ in Thousands
12 Months Ended
Dec. 31, 2016
Dec. 31, 2015
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Notional outstanding $ 737,380 $ 970,883
Fair Value Measurement Process Description For Credit Derivatives Revised Relative Change Ratio 73.20%  
Successor [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Notional outstanding $ 737,380 970,883
Successor [Member] | CLO [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Notional outstanding $ 123,052 $ 295,253
Weighted average reference obligation price $ 99.5 $ 98.4
Weighted average life (WAL) in years 1 year 9 months 1 year 1 month
Weighted average credit rating AA AA
Weighted average relative change ratio 36.60% 36.30%
CVA percentage 7.47% 8.34%
Fair value of derivative liabilities $ 213 $ 1,837
Successor [Member] | Other [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Notional outstanding $ 614,328 $ 617,148
Weighted average reference obligation price $ 92.3 $ 85.2
Weighted average life (WAL) in years 5 years 11 months 6 years 1 month
Weighted average credit rating A- BBB+
Weighted average relative change ratio 30.60% 33.30%
CVA percentage 11.19% 23.34%
Fair value of derivative liabilities $ 15,136 $ 32,697
Minimum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value Measurement Process Description For Credit Derivatives Base Relative Change Ratio 25.00%  
Maximum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value Measurement Process Description For Credit Derivatives Revised Hypothetical Fee With Credit Down Grade 35.00%  
Internal Credit Assessment [Domain] | Minimum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value Measurement Process Description For Credit Derivatives Revised Relative Change Ratio   33.00%
Internal Credit Assessment [Domain] | Maximum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value Measurement Process Description For Credit Derivatives Full Relative Change Ratio   100.00%
Credit Derivatives [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
CVA percentage 11.10% 22.70%