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
Sep. 30, 2016
Weighted Average  
Significant Assumptions:  
Annual prepayment speed 14.20%
Loss severity 20.10%
Life default rate 20.60%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 17.30%
Life default rate 14.20%
Weighted Average | Alt-A Loan  
Significant Assumptions:  
Loss severity 18.80%
Life default rate 21.80%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 30.60%
Life default rate 21.50%
10th Percentile  
Significant Assumptions:  
Annual prepayment speed 4.90%
Loss severity 8.70%
Life default rate 0.70%
90th Percentile  
Significant Assumptions:  
Annual prepayment speed 28.00%
Loss severity 36.80%
Life default rate 78.20%