Annual report pursuant to Section 13 and 15(d)

Securities - Significant Assumptions (Details)

v3.19.3.a.u2
Securities - Significant Assumptions (Details) - Non-agency residential
Dec. 31, 2019
Weighted Average  
Significant Assumptions:  
Prepayment speed 16.60%
Loss severity 14.70%
Life default rate 11.90%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 12.90%
Life default rate 7.80%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 11.10%
Life default rate 11.60%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 18.80%
Life default rate 13.60%
10th Percentile  
Significant Assumptions:  
Prepayment speed 5.50%
Loss severity 8.00%
Life default rate 1.00%
90th Percentile  
Significant Assumptions:  
Prepayment speed 27.80%
Loss severity 30.70%
Life default rate 36.50%