Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.19.2
Securities - Significant Assumptions (Details) - Non-agency residential
Jun. 30, 2019
Weighted Average  
Significant Assumptions:  
Prepayment speed 16.10%
Loss severity 15.90%
Life default rate 12.70%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 12.60%
Life default rate 8.60%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 11.90%
Life default rate 11.50%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 20.70%
Life default rate 15.50%
10th Percentile  
Significant Assumptions:  
Prepayment speed 4.80%
Loss severity 8.00%
Life default rate 0.90%
90th Percentile  
Significant Assumptions:  
Prepayment speed 27.90%
Loss severity 33.10%
Life default rate 41.70%