Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.8.0.1
Securities - Significant Assumptions (Details) - Non-agency residential
Mar. 31, 2018
Weighted Average  
Significant Assumptions:  
Prepayment speed 11.70%
Loss severity 21.60%
Life default rate 20.10%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 16.40%
Life default rate 15.10%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 17.60%
Life default rate 20.00%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 27.90%
Life default rate 22.40%
10th Percentile  
Significant Assumptions:  
Prepayment speed 2.90%
Loss severity 9.10%
Life default rate 1.30%
90th Percentile  
Significant Assumptions:  
Prepayment speed 20.90%
Loss severity 40.60%
Life default rate 72.30%