Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.10.0.1
Securities - Significant Assumptions (Details) - Non-agency residential
Jun. 30, 2018
Weighted Average  
Significant Assumptions:  
Prepayment speed 13.00%
Loss severity 19.90%
Life default rate 17.90%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 16.80%
Life default rate 15.60%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 17.10%
Life default rate 17.30%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 26.90%
Life default rate 20.00%
10th Percentile  
Significant Assumptions:  
Prepayment speed 3.20%
Loss severity 9.00%
Life default rate 1.50%
90th Percentile  
Significant Assumptions:  
Prepayment speed 21.40%
Loss severity 36.90%
Life default rate 67.10%