Annual report pursuant to Section 13 and 15(d)

Securities - Significant Assumptions (Details)

v3.10.0.1
Securities - Significant Assumptions (Details) - Non-agency residential
Dec. 31, 2018
Weighted Average  
Significant Assumptions:  
Prepayment speed 12.90%
Loss severity 19.80%
Life default rate 16.90%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 16.00%
Life default rate 14.70%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 16.60%
Life default rate 16.60%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 25.60%
Life default rate 19.10%
10th Percentile  
Significant Assumptions:  
Prepayment speed 3.30%
Loss severity 8.50%
Life default rate 1.40%
90th Percentile  
Significant Assumptions:  
Prepayment speed 21.50%
Loss severity 36.40%
Life default rate 64.40%