Quarterly report pursuant to Section 13 or 15(d)

Securities - OTTI Significant Assumptions (Details)

v3.5.0.2
Securities - OTTI Significant Assumptions (Details) - Non-agency residential
Jun. 30, 2016
Weighted Average  
Significant Assumptions:  
Annual prepayment speed 12.70%
Loss severity 31.30%
Life default rate 20.50%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 26.00%
Life default rate 15.30%
Weighted Average | Alt-A Loan  
Significant Assumptions:  
Loss severity 27.60%
Life default rate 23.30%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 38.90%
Life default rate 23.20%
10th Percentile  
Significant Assumptions:  
Annual prepayment speed 1.90%
Loss severity 15.50%
Life default rate 0.60%
90th Percentile  
Significant Assumptions:  
Annual prepayment speed 27.30%
Loss severity 29.10%
Life default rate 78.30%