Quarterly report pursuant to Section 13 or 15(d)

Securities - OTTI Significant Assumptions (Details)

v3.3.0.814
Securities - OTTI Significant Assumptions (Details) - Non-agency residential
Sep. 30, 2015
Weighted Average  
Significant Assumptions:  
Annual prepayment speed 12.00%
Loss severity 33.40%
Life default rate 27.30%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 29.90%
Life default rate 16.80%
Weighted Average | Alt-A Loan  
Significant Assumptions:  
Loss severity 32.20%
Life default rate 29.50%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 43.80%
Life default rate 28.20%
10th Percentile  
Significant Assumptions:  
Annual prepayment speed 3.60%
Loss severity 13.40%
Life default rate 0.90%
90th Percentile  
Significant Assumptions:  
Annual prepayment speed 24.50%
Loss severity 36.40%
Life default rate 86.70%