Quarterly report pursuant to Section 13 or 15(d)

Securities - OTTI Significant Assumptions (Details)

v3.2.0.727
Securities - OTTI Significant Assumptions (Details) - Non-agency residential
Jun. 30, 2015
Weighted Average  
Significant Assumptions:  
Annual prepayment speed 12.00%
Loss severity 38.90%
Life default rate 34.60%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 35.60%
Life default rate 21.50%
Weighted Average | Alt-A Loan  
Significant Assumptions:  
Loss severity 37.40%
Life default rate 36.90%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 50.40%
Life default rate 38.20%
10th Percentile  
Significant Assumptions:  
Annual prepayment speed 3.70%
Loss severity 13.20%
Life default rate 1.30%
90th Percentile  
Significant Assumptions:  
Annual prepayment speed 24.20%
Loss severity 48.00%
Life default rate 97.50%