Quarterly report pursuant to Section 13 or 15(d)

Securities - Significant Assumptions (Details)

v3.19.1
Securities - Significant Assumptions (Details) - Non-agency residential
Mar. 31, 2019
Weighted Average  
Significant Assumptions:  
Prepayment speed 12.10%
Loss severity 20.50%
Life default rate 17.30%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 15.80%
Life default rate 12.50%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 16.10%
Life default rate 16.20%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 25.30%
Life default rate 20.60%
10th Percentile  
Significant Assumptions:  
Prepayment speed 3.00%
Loss severity 8.60%
Life default rate 1.20%
90th Percentile  
Significant Assumptions:  
Prepayment speed 21.00%
Loss severity 38.50%
Life default rate 65.60%