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Fair Value (Details 1) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | |||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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Jun. 30, 2012
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Dec. 31, 2011
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Jun. 30, 2012
Cusip One [Member]
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Jun. 30, 2012
Cusip Two [Member]
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Jun. 30, 2012
Cusip Three [Member]
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Jun. 30, 2012
Cusip Four [Member]
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Jun. 30, 2012
Collateralized Debt Obligations [Member]
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Dec. 31, 2011
Collateralized Debt Obligations [Member]
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Jun. 30, 2012
Collateralized Debt Obligations [Member]
Cusip One [Member]
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Jun. 30, 2012
Collateralized Debt Obligations [Member]
Cusip Two [Member]
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Jun. 30, 2012
Collateralized Debt Obligations [Member]
Cusip Three [Member]
|
Jun. 30, 2012
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 | $ 189,057 | $ 183,131 | $ 5,207 | $ 5,214 | $ 1,256,972 | $ 1,296,077 | $ 1,302,536 | $ 1,351,903 | ||||||||||||
| Fair value | 192,705 | 186,962 | 1,247 | 1,361 | 217,756 | 186,525 | 544,350 | 298,791 | ||||||||||||
| Unrealized gains/(losses) | (4,004) | (3,858) | (3,960) | (3,853) | (1,039,215) | (1,109,552) | (758,186) | (1,053,112) | ||||||||||||
| Lowest credit rating assigned | Caa3 | C | B2 | C | ||||||||||||||||
| Number of performing banks | 50 | 26 | 53 | 43 | ||||||||||||||||
| Number of performing insurance companies | 13 | 7 | 10 | |||||||||||||||||
| Number of issuers in default | 17 | 9 | 2 | 1 | ||||||||||||||||
| Number of issuers in deferral | 13 | 7 | 11 | 12 | ||||||||||||||||
| Defaults & deferrals as a % of performing collateral | 48.89% | 39.16% | 22.16% | 37.46% | ||||||||||||||||
| Subordination: | ||||||||||||||||||||
| As a % of performing collateral | (6.42%) | (22.78%) | 31.65% | 0.89% | ||||||||||||||||
| As a % of performing collateral - adjusted for projected future defaults | (13.58%) | (32.31%) | 26.11% | (9.27%) | ||||||||||||||||
| Other-than-temporary impairment model assumptions: | ||||||||||||||||||||
| Year 1 - issuer average | 2.10% | 2.40% | 2.50% | 3.10% | ||||||||||||||||
| Year 2 - issuer average | 2.10% | 2.40% | 2.50% | 3.10% | ||||||||||||||||
| Year 3 - issuer average | 2.10% | 2.40% | 2.50% | 3.10% | ||||||||||||||||
| > 3 Years - issuer average | (1.00%) | [1] | (1.00%) | [1] | (1.00%) | [1] | (1.00%) | [1] | ||||||||||||
| Discount rate - 3 month Libor, plus implicit yield spread at purchase | 1.48% | 1.23% | 1.27% | 1.44% | ||||||||||||||||
| Recovery assumptions | (2.00%) | [2] | (2.00%) | [2] | (2.00%) | [2] | (2.00%) | [2] | ||||||||||||
| Prepayments | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||||||||
| Other-than-temporary impairment | $ 271 | $ 265 | $ 41,100 | $ 132,000 | $ 36,600 | $ 61,950 | ||||||||||||||
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