Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.8.0.1
Securities - Significant Assumptions (Details) - Non-agency residential
Sep. 30, 2017
Weighted Average  
Significant Assumptions:  
Prepayment speed 12.00%
Loss severity 19.80%
Life default rate 21.00%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 17.50%
Life default rate 15.60%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 18.40%
Life default rate 21.70%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 29.50%
Life default rate 22.10%
10th Percentile  
Significant Assumptions:  
Prepayment speed 3.00%
Loss severity 9.10%
Life default rate 1.20%
90th Percentile  
Significant Assumptions:  
Prepayment speed 20.60%
Loss severity 36.50%
Life default rate 77.70%