Annual report pursuant to Section 13 and 15(d)

Securities - Significant Assumptions (Details)

v3.8.0.1
Securities - Significant Assumptions (Details) - Non-agency residential
Dec. 31, 2017
Weighted Average  
Significant Assumptions:  
Prepayment speed 12.40%
Loss severity 20.20%
Life default rate 20.90%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 17.50%
Life default rate 16.90%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 18.10%
Life default rate 21.40%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 29.00%
Life default rate 21.60%
10th Percentile  
Significant Assumptions:  
Prepayment speed 3.00%
Loss severity 9.10%
Life default rate 1.20%
90th Percentile  
Significant Assumptions:  
Prepayment speed 21.30%
Loss severity 36.70%
Life default rate 76.60%