Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.10.0.1
Securities - Significant Assumptions (Details) - Non-agency residential
Sep. 30, 2018
Weighted Average  
Significant Assumptions:  
Prepayment speed 12.00%
Loss severity 18.10%
Life default rate 20.10%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 16.20%
Life default rate 16.10%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 16.40%
Life default rate 21.90%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 22.20%
Life default rate 22.70%
10th Percentile  
Significant Assumptions:  
Prepayment speed 3.10%
Loss severity 8.40%
Life default rate 0.70%
90th Percentile  
Significant Assumptions:  
Prepayment speed 23.30%
Loss severity 31.00%
Life default rate 73.50%