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Fair Value (Details 1) (USD $)
In Thousands, unless otherwise specified |
9 Months Ended | |||||||||||||||||||
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Sep. 30, 2012
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Dec. 31, 2011
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Sep. 30, 2012
Cusip One [Member]
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Sep. 30, 2012
Cusip Two [Member]
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Sep. 30, 2012
Cusip Three [Member]
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Sep. 30, 2012
Cusip Four [Member]
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Sep. 30, 2012
Collateralized Debt Obligations [Member]
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Dec. 31, 2011
Collateralized Debt Obligations [Member]
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Sep. 30, 2012
Collateralized Debt Obligations [Member]
Cusip One [Member]
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Sep. 30, 2012
Collateralized Debt Obligations [Member]
Cusip Two [Member]
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Sep. 30, 2012
Collateralized Debt Obligations [Member]
Cusip Three [Member]
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Sep. 30, 2012
Collateralized Debt Obligations [Member]
Cusip Four [Member]
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| Cusip | 74043CAC1 | 74042TAJ0 | 01449TAB9 | 01450NAC6 | ||||||||||||||||
| Deal name | PreTSL XXIV | PreTSL XXVII | Alesco IX | Alesco XVII | ||||||||||||||||
| Class | B-1 | C-1 | A-2A | B | ||||||||||||||||
| Book value | $ 187,533 | $ 183,131 | $ 5,207 | $ 5,214 | $ 1,256,972 | $ 1,296,077 | $ 1,302,536 | $ 1,351,903 | ||||||||||||
| Fair value | 192,279 | 186,962 | 1,355 | 1,361 | 240,065 | 232,824 | 562,650 | 319,538 | ||||||||||||
| Unrealized gains/(losses) | (3,864) | (3,858) | (3,852) | (3,853) | (1,016,907) | (1,063,253) | (739,886) | (1,032,365) | ||||||||||||
| Lowest credit rating assigned | Caa3 | C | B2 | Ca | ||||||||||||||||
| Number of performing banks | 49 | 27 | 54 | 44 | ||||||||||||||||
| Number of performing insurance companies | 13 | 7 | 10 | 0 | ||||||||||||||||
| Number of issuers in default | 17 | 9 | 2 | 2 | ||||||||||||||||
| Number of issuers in deferral | 14 | 6 | 10 | 10 | ||||||||||||||||
| Defaults & deferrals as a % of performing collateral | 49.53% | 36.26% | 19.96% | 32.89% | ||||||||||||||||
| Subordination: | ||||||||||||||||||||
| As a % of performing collateral | (6.50%) | (20.14%) | 33.46% | 7.85% | ||||||||||||||||
| As a % of performing collateral - adjusted for projected future defaults | (13.66%) | (28.62%) | 28.30% | (1.60%) | ||||||||||||||||
| Other-than-temporary impairment model assumptions: | ||||||||||||||||||||
| Year 1 - issuer average | 2.10% | 2.20% | 2.40% | 3.10% | ||||||||||||||||
| Year 2 - issuer average | 2.10% | 2.20% | 2.40% | 3.10% | ||||||||||||||||
| Year 3 - issuer average | 2.10% | 2.20% | 2.40% | 3.10% | ||||||||||||||||
| > 3 Years - issuer average | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | ||||||||||||
| Discount rate - 3 month Libor, plus implicit yield spread at purchase | 1.48% | 1.23% | 1.27% | 1.44% | ||||||||||||||||
| Recovery assumptions | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | ||||||||||||
| Prepayments | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||||||||
| Other-than-temporary impairment | $ 271 | $ 265 | $ 41,100 | $ 132,000 | $ 36,600 | $ 61,950 | ||||||||||||||
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