XML 55 R44.htm IDEA: XBRL DOCUMENT v3.4.0.3
Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-Agency RMBS [Member]
3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Weighted Average [Member]    
Investment Holdings [Line Items]    
Loss Severity 58.00% 69.00%
60+ days delinquent 20.00% 22.00%
Credit Enhancement [1] 28.00% 10.00%
3 Month CPR 5.00% 8.00%
12 Month CPR 4.00% 8.00%
Minimum [Member]    
Investment Holdings [Line Items]    
Loss Severity 44.00% 51.00%
60+ days delinquent 0.00% 15.00%
Credit Enhancement [1] 0.00% 0.00%
3 Month CPR 0.00% 5.00%
12 Month CPR 4.00% 3.00%
Maximum [Member]    
Investment Holdings [Line Items]    
Loss Severity 79.00% 78.00%
60+ days delinquent 40.00% 33.00%
Credit Enhancement [1] 100.00% 18.00%
3 Month CPR 19.00% 15.00%
12 Month CPR 21.00% 16.00%
[1] Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.