Annual report pursuant to Section 13 and 15(d)

Fair Values of Financial Instruments (Details 1)

v2.4.0.8
Fair Values of Financial Instruments (Details 1) (USD $)
In Thousands, unless otherwise specified
 12 Months Ended
Dec. 31, 2013
Dec. 31, 2012
Book value $ 199,125 $ 183,945
Fair value 194,296 187,475
Unrealized gains/(losses) (7,509) (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 421  
Unrealized gains/(losses) (836)  
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 (2.11%)  
As a % of performing collateral - adjusted for projected future defaults (11.11%)  
Other-than-temporary impairment model assumptions:    
Year 1 - issuer average 2.70%  
Year 2 - issuer average 2.70%  
Year 3 - issuer average 2.70%  
> 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]
    
Cusip 74042TAJ0  
Deal name PreTSL XXVII  
Class C-1  
Book value 1,296  
Fair value 374  
Unrealized gains/(losses) (922)  
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 (10.04%)  
As a % of performing collateral - adjusted for projected future defaults (19.74%)  
Other-than-temporary impairment model assumptions:    
Year 1 - issuer average 2.70%  
Year 2 - issuer average 2.70%  
Year 3 - issuer average 2.70%  
> 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 716  
Unrealized gains/(losses) (587)  
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 30.75%  
Other-than-temporary impairment model assumptions:    
Year 1 - issuer average 2.20%  
Year 2 - issuer average 2.20%  
Year 3 - issuer average 2.20%  
> 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 457  
Unrealized gains/(losses) (895)  
Lowest credit rating assigned CC  
Number of performing banks 45  
Number of performing insurance companies 0  
Number of issuers in default 3  
Number of issuers in deferral 8  
Defaults & deferrals as a % of performing collateral 27.59%  
Subordination:    
As a % of performing collateral 18.23%  
As a % of performing collateral - adjusted for projected future defaults 13.56%  
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.