Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Details 1)

v2.4.0.8
Fair Value (Details 1) (USD $)
In Thousands, unless otherwise specified
 9 Months Ended 12 Months Ended
Sep. 30, 2013
Dec. 31, 2012
Book value $ 189,279 $ 183,945
Fair value 186,307 187,475
Unrealized gains/(losses) (6,476) (3,866)
Other-than-temporary impairment model assumptions:    
Other-than-temporary impairment 271 271
Cusip One [Member]
    
Cusip 74043CAC1  
Deal name PreTSL XXIV  
Class B-1  
Book value 1,257  
Fair value 430  
Unrealized gains/(losses) (827)  
Lowest credit rating assigned CC  
Number of performing banks 50  
Number of performing insurance companies 13  
Number of issuers in default 17  
Number of issuers in deferral 13  
Defaults & deferrals as a % of performing collateral 49.14%  
Subordination:    
As a % of performing collateral (2.52%)  
As a % of performing collateral - adjusted for projected future defaults (10.47%)  
Other-than-temporary impairment model assumptions:    
Year 1 - issuer average 2.40%  
Year 2 - issuer average 2.40%  
Year 3 - issuer average 2.40%  
> 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]
    
Cusip 74042TAJ0  
Deal name PreTSL XXVII  
Class C-1  
Book value 1,296  
Fair value 385  
Unrealized gains/(losses) (911)  
Lowest credit rating assigned C  
Number of performing banks 28  
Number of performing insurance companies 7  
Number of issuers in default 9  
Number of issuers in deferral 5  
Defaults & deferrals as a % of performing collateral 33.47%  
Subordination:    
As a % of performing collateral (9.86%)  
As a % of performing collateral - adjusted for projected future defaults (18.00%)  
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]
    
Cusip 01449TAB9  
Deal name Alesco IX  
Class A-2A  
Book value 1,303  
Fair value 721  
Unrealized gains/(losses) (582)  
Lowest credit rating assigned BB  
Number of performing banks 53  
Number of performing insurance companies 10  
Number of issuers in default 1  
Number of issuers in deferral 12  
Defaults & deferrals as a % of performing collateral 19.11%  
Subordination:    
As a % of performing collateral 35.32%  
As a % of performing collateral - adjusted for projected future defaults 30.97%  
Other-than-temporary impairment model assumptions:    
Year 1 - issuer average 2.10%  
Year 2 - issuer average 2.10%  
Year 3 - issuer average 2.10%  
> 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]
    
Cusip 01450NAC6  
Deal name Alesco XVII  
Class B  
Book value 1,352  
Fair value 466  
Unrealized gains/(losses) (886)  
Lowest credit rating assigned CC  
Number of performing banks 45  
Number of performing insurance companies 0  
Number of issuers in default 2  
Number of issuers in deferral 9  
Defaults & deferrals as a % of performing collateral 30.51%  
Subordination:    
As a % of performing collateral 16.11%  
As a % of performing collateral - adjusted for projected future defaults 9.02%  
Other-than-temporary impairment model assumptions:    
Year 1 - issuer average 2.60%  
Year 2 - issuer average 2.60%  
Year 3 - issuer average 2.60%  
> 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.