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
 6 Months Ended 12 Months Ended
Jun. 30, 2013
Dec. 31, 2012
Book value $ 187,765 $ 183,945
Fair value 184,791 187,475
Unrealized gains/(losses) (6,566) (3,866)
Other-than-temporary impairment model assumptions:    
Other-than-temporary impairment 271 271
Cusip One [Member]
    
Cuisp 74043CAC1  
Deal name PreTSL XXIV  
Class B-1  
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 (2.91%)  
As a % of performing collateral - adjusted for projected future defaults (10.19%)  
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 1.48%  
Recovery assumptions    [2]  
Prepayments 0.00%  
Other-than-temporary impairment 41  
Cusip Two [Member]
    
Cuisp 74042TAJ0  
Deal name PreTSL XXVII  
Class C-1  
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 (10.74%)  
As a % of performing collateral - adjusted for projected future defaults (19.33%)  
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]
    
Cuisp 01449TAB9  
Deal name Alesco IX  
Class A-2A  
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 34.99%  
As a % of performing collateral - adjusted for projected future defaults 30.61%  
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]
    
Cuisp 01450NAC6  
Deal name Alesco XVII  
Class B  
Lowest credit rating assigned C  
Number of performing banks 44  
Number of issuers in default 2  
Number of issuers in deferral 10  
Defaults & deferrals as a % of performing collateral 32.67%  
Subordination:    
As a % of performing collateral 14.10%  
As a % of performing collateral - adjusted for projected future defaults 9.48%  
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  
Collateralized Debt Obligations [Member]
    
Book value 5,208 5,208
Fair value 1,716 1,392
Unrealized gains/(losses) (3,492) (3,816)
Collateralized Debt Obligations [Member] | Cusip One [Member]
    
Book value 1,257  
Fair value 351  
Unrealized gains/(losses) (906)  
Collateralized Debt Obligations [Member] | Cusip Two [Member]
    
Book value 1,296  
Fair value 303  
Unrealized gains/(losses) (993)  
Collateralized Debt Obligations [Member] | Cusip Three [Member]
    
Book value 1,303  
Fair value 659  
Unrealized gains/(losses) (644)  
Collateralized Debt Obligations [Member] | Cusip Four [Member]
    
Book value 1,352  
Fair value 403  
Unrealized gains/(losses) $ (949)  
[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.