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Fair Value (Details 1) (USD $) In Thousands, unless otherwise specified |  |  | 9 Months Ended |  |  |
--- | --- | --- | --- | --- | --- | ---
Sep. 30, 2012 | Dec. 31, 2011 | Sep. 30, 2012 Cusip One [Member] | Sep. 30, 2012 Cusip Two [Member] | Sep. 30, 2012 Cusip Three [Member] | Sep. 30, 2012 Cusip Four [Member] | Sep. 30, 2012 Collateralized Debt Obligations [Member] | Dec. 31, 2011 Collateralized Debt Obligations [Member] | Sep. 30, 2012 Collateralized Debt Obligations [Member] Cusip One [Member] | Sep. 30, 2012 Collateralized Debt Obligations [Member] Cusip Two [Member] | Sep. 30, 2012 Collateralized Debt Obligations [Member] Cusip Three [Member] | Sep. 30, 2012 Collateralized Debt Obligations [Member] Cusip Four [Member]
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 | $ 187,533 | $ 183,131 |  |  |  |  |  |  |  |  | $ 5,207 | $ 5,214 | $ 1,256,972 | $ 1,296,077 | $ 1,302,536 | $ 1,351,903
Fair value | 192,279 | 186,962 |  |  |  |  |  |  |  |  | 1,355 | 1,361 | 240,065 | 232,824 | 562,650 | 319,538
Unrealized gains/(losses) | (3,864) | (3,858) |  |  |  |  |  |  |  |  | (3,852) | (3,853) | (1,016,907) | (1,063,253) | (739,886) | (1,032,365)
Lowest credit rating assigned |  |  | Caa3 |  | C |  | B2 |  | Ca |  |  |  |  |  |  |
Number of performing banks |  |  | 49 |  | 27 |  | 54 |  | 44 |  |  |  |  |  |  |
Number of performing insurance companies |  |  | 13 |  | 7 |  | 10 |  | 0 |  |  |  |  |  |  |
Number of issuers in default |  |  | 17 |  | 9 |  | 2 |  | 2 |  |  |  |  |  |  |
Number of issuers in deferral |  |  | 14 |  | 6 |  | 10 |  | 10 |  |  |  |  |  |  |
Defaults & deferrals as a % of performing collateral |  |  | 49.53% |  | 36.26% |  | 19.96% |  | 32.89% |  |  |  |  |  |  |
Subordination: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
As a % of performing collateral |  |  | (6.50%) |  | (20.14%) |  | 33.46% |  | 7.85% |  |  |  |  |  |  |
As a % of performing collateral - adjusted for projected future defaults |  |  | (13.66%) |  | (28.62%) |  | 28.30% |  | (1.60%) |  |  |  |  |  |  |
Other-than-temporary impairment model assumptions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Year 1 - issuer average |  |  | 2.10% |  | 2.20% |  | 2.40% |  | 3.10% |  |  |  |  |  |  |
Year 2 - issuer average |  |  | 2.10% |  | 2.20% |  | 2.40% |  | 3.10% |  |  |  |  |  |  |
Year 3 - issuer average |  |  | 2.10% |  | 2.20% |  | 2.40% |  | 3.10% |  |  |  |  |  |  |
> 3 Years - issuer average |  |  | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] | 0.00% | [1] |  |  |  |  |  |
Discount rate - 3 month Libor, plus implicit yield spread at purchase |  |  | 1.48% |  | 1.23% |  | 1.27% |  | 1.44% |  |  |  |  |  |  |
Recovery assumptions |  |  | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] | 0.00% | [2] |  |  |  |  |  |
Prepayments |  |  | 0.00% |  | 0.00% |  | 0.00% |  | 0.00% |  |  |  |  |  |  |
Other-than-temporary impairment | $ 271 | $ 265 | $ 41,100 |  | $ 132,000 |  | $ 36,600 |  | $ 61,950 |  |  |  |  |  |  |
[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.

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