Annual report pursuant to Section 13 and 15(d)

Securities - Significant Assumptions (Details)

v3.6.0.2
Securities - Significant Assumptions (Details) - Non-agency residential
Dec. 31, 2016
Weighted Average  
Significant Assumptions:  
Prepayment speed 13.80%
Loss severity 20.10%
Life default rate 20.40%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 17.00%
Life default rate 13.90%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 18.80%
Life default rate 21.70%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 30.40%
Life default rate 20.90%
10th Percentile  
Significant Assumptions:  
Prepayment speed 4.60%
Loss severity 8.80%
Life default rate 0.70%
90th Percentile  
Significant Assumptions:  
Prepayment speed 27.00%
Loss severity 36.50%
Life default rate 77.40%