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Fair Value (Details 1) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |||||||||||||||||||
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Mar. 31, 2013
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Dec. 31, 2012
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Mar. 31, 2013
Cusip One [Member]
Numbers
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Mar. 31, 2013
Cusip Two [Member]
Numbers
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Mar. 31, 2013
Cusip Three [Member]
Numbers
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Mar. 31, 2013
Cusip Four [Member]
Numbers
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Mar. 31, 2013
Collateralized Debt Obligations [Member]
|
Dec. 31, 2012
Collateralized Debt Obligations [Member]
|
Mar. 31, 2013
Collateralized Debt Obligations [Member]
Cusip One [Member]
|
Mar. 31, 2013
Collateralized Debt Obligations [Member]
Cusip Two [Member]
|
Mar. 31, 2013
Collateralized Debt Obligations [Member]
Cusip Three [Member]
|
Mar. 31, 2013
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 | $ 187,903 | $ 183,945 | $ 5,208 | $ 5,208 | $ 1,257 | $ 1,296 | $ 1,303 | $ 1,352 | ||||||||||||
| Fair value | 190,462 | 187,475 | 1,587 | 1,392 | 320 | 288 | 615 | 364 | ||||||||||||
| Unrealized gains/(losses) | (3,814) | (3,866) | (3,621) | (3,816) | (937) | (1,008) | (688) | (988) | ||||||||||||
| Lowest credit rating assigned | CC | C | BB | C | ||||||||||||||||
| Number of performing banks | 51 | 28 | 53 | 44 | ||||||||||||||||
| Number of performing insurance companies | 13 | 7 | 10 | |||||||||||||||||
| Number of issuers in default | 17 | 9 | 2 | 2 | ||||||||||||||||
| Number of issuers in deferral | 12 | 5 | 11 | 10 | ||||||||||||||||
| Defaults & deferrals as a % of performing collateral | 47.06% | 33.47% | 21.05% | 32.67% | ||||||||||||||||
| Subordination: | ||||||||||||||||||||
| As a % of performing collateral | (2.61%) | (15.67%) | 33.57% | 10.55% | ||||||||||||||||
| As a % of performing collateral - adjusted for projected future defaults | (9.51%) | (24.24%) | 28.88% | 5.15% | ||||||||||||||||
| Other-than-temporary impairment model assumptions: | ||||||||||||||||||||
| Year 1 - issuer average | 2.10% | 2.30% | 2.20% | 1.90% | ||||||||||||||||
| Year 2 - issuer average | 2.10% | 2.30% | 2.20% | 1.90% | ||||||||||||||||
| Year 3 - issuer average | 2.10% | 2.30% | 2.20% | 1.90% | ||||||||||||||||
| > 3 Years - issuer average | [1] | [1] | [1] | [1] | ||||||||||||||||
| Discount rate - 3 month Libor, plus implicit yield spread at purchase | 1.48% | 1.23% | 1.27% | 1.44% | ||||||||||||||||
| Recovery assumptions | [2] | [2] | [2] | [2] | ||||||||||||||||
| Prepayments | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||||||||
| Other-than-temporary impairment | $ 271 | $ 271 | $ 41 | $ 132 | $ 36 | $ 62 | ||||||||||||||
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