Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.7.0.1
Securities - Significant Assumptions (Details) - Non-agency residential
Mar. 31, 2017
Weighted Average  
Significant Assumptions:  
Prepayment speed 11.40%
Loss severity 21.30%
Life default rate 22.90%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 17.80%
Life default rate 16.30%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 19.90%
Life default rate 23.90%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 31.90%
Life default rate 24.30%
10th Percentile  
Significant Assumptions:  
Prepayment speed 2.80%
Loss severity 9.50%
Life default rate 1.30%
90th Percentile  
Significant Assumptions:  
Prepayment speed 20.00%
Loss severity 39.20%
Life default rate 80.40%