Annual report pursuant to Section 13 and 15(d)

Securities - OTTI Significant Assumptions (Details)

v3.3.1.900
Securities - OTTI Significant Assumptions (Details) - Non-agency residential
Dec. 31, 2015
Weighted Average  
Significant Assumptions:  
Prepayment speed 12.60%
Loss severity 32.60%
Life default rate 26.00%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 29.20%
Life default rate 16.10%
Weighted Average | Alt-A  
Significant Assumptions:  
Loss severity 31.40%
Life default rate 28.00%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 42.90%
Life default rate 27.20%
10th Percentile  
Significant Assumptions:  
Prepayment speed 3.80%
Loss severity 12.90%
Life default rate 0.80%
90th Percentile  
Significant Assumptions:  
Prepayment speed 25.50%
Loss severity 34.80%
Life default rate 86.10%