Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.7.0.1
Securities - Significant Assumptions (Details) - Non-agency residential
Jun. 30, 2017
Weighted Average  
Significant Assumptions:  
Prepayment speed 11.50%
Loss severity 20.30%
Life default rate 22.00%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 17.20%
Life default rate 15.80%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 18.90%
Life default rate 22.80%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 30.40%
Life default rate 23.00%
10th Percentile  
Significant Assumptions:  
Prepayment speed 2.90%
Loss severity 9.20%
Life default rate 1.20%
90th Percentile  
Significant Assumptions:  
Prepayment speed 20.00%
Loss severity 37.40%
Life default rate 79.20%