Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Details 1)

v3.5.0.2
Fair Value (Details 1)
$ in Thousands
 6 Months Ended
Jun. 30, 2016
USD ($)
Number
Dec. 31, 2015
USD ($)
Other-than-temporary impairment model assumptions:    
Other-than-temporary impairment | $ $ 271 $ 271
Cusip One [Member]    
Fair Value Pooled Trust Preferred Securities [Line Items]    
Cusip 74043CAC1  
Deal name PreTSL XXIV  
Class B-1  
Lowest credit rating assigned CC  
Number of performing banks 57  
Number of performing insurance companies 13  
Number of issuers in default 19  
Number of issuers in deferral 4  
Defaults & deferrals as a % of performing collateral 35.76%  
Subordination:    
As a % of performing collateral 9.98%  
As a % of performing collateral - adjusted for projected future defaults 4.84%  
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 1.48%  
Recovery assumptions [2]  
Prepayments 0.00%  
Other-than-temporary impairment | $ $ 41  
Cusip Two [Member]    
Fair Value Pooled Trust Preferred Securities [Line Items]    
Cusip 74042TAJ0  
Deal name PreTSL XXVII  
Class C-1  
Lowest credit rating assigned CC  
Number of performing banks 32  
Number of performing insurance companies 7  
Number of issuers in default 7  
Number of issuers in deferral 3  
Defaults & deferrals as a % of performing collateral 23.23%  
Subordination:    
As a % of performing collateral (0.36%)  
As a % of performing collateral - adjusted for projected future defaults (8.15%)  
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 1.23%  
Recovery assumptions [2]  
Prepayments 0.00%  
Other-than-temporary impairment | $ $ 132  
Cusip Three [Member]    
Fair Value Pooled Trust Preferred Securities [Line Items]    
Cusip 01449TAB9  
Deal name Alesco IX  
Class A-2A  
Lowest credit rating assigned BB  
Number of performing banks 61  
Number of performing insurance companies 10  
Number of issuers in default 2  
Number of issuers in deferral 3  
Defaults & deferrals as a % of performing collateral 4.38%  
Subordination:    
As a % of performing collateral 47.59%  
As a % of performing collateral - adjusted for projected future defaults 43.89%  
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]    
Fair Value Pooled Trust Preferred Securities [Line Items]    
Cusip 01450NAC6  
Deal name Alesco XVII  
Class B  
Lowest credit rating assigned CCC  
Number of performing banks 48  
Number of issuers in default 4  
Number of issuers in deferral 4  
Defaults & deferrals as a % of performing collateral 15.27%  
Subordination:    
As a % of performing collateral 26.92%  
As a % of performing collateral - adjusted for projected future defaults 22.99%  
Other-than-temporary impairment model assumptions:    
Year 1 - issuer average 1.70%  
Year 2 - issuer average 1.70%  
Year 3 - issuer average 1.70%  
> 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.