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 ($)
Number
Sep. 30, 2016
USD ($)
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.