Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.19.3
Securities - Significant Assumptions (Details) - Non-agency residential
Sep. 30, 2019
Weighted Average  
Significant Assumptions:  
Prepayment speed 16.20%
Loss severity 15.50%
Life default rate 12.60%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 12.50%
Life default rate 8.80%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 11.50%
Life default rate 11.30%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 20.20%
Life default rate 15.40%
10th Percentile  
Significant Assumptions:  
Prepayment speed 4.90%
Loss severity 8.00%
Life default rate 0.80%
90th Percentile  
Significant Assumptions:  
Prepayment speed 28.10%
Loss severity 32.30%
Life default rate 41.10%