Quarterly report pursuant to Section 13 or 15(d)

Securities - OTTI Significant Assumptions (Details)

v3.4.0.3
Securities - OTTI Significant Assumptions (Details) - Non-agency residential
Mar. 31, 2016
Weighted Average  
Significant Assumptions:  
Annual prepayment speed 13.10%
Loss severity 29.90%
Life default rate 23.10%
Weighted Average | Prime  
Significant Assumptions:  
Loss severity 26.90%
Life default rate 14.80%
Weighted Average | Alt-A Loan  
Significant Assumptions:  
Loss severity 28.70%
Life default rate 24.90%
Weighted Average | Subprime  
Significant Assumptions:  
Loss severity 40.20%
Life default rate 24.10%
10th Percentile  
Significant Assumptions:  
Annual prepayment speed 4.20%
Loss severity 12.20%
Life default rate 0.70%
90th Percentile  
Significant Assumptions:  
Annual prepayment speed 26.40%
Loss severity 30.50%
Life default rate 81.70%