Quarterly report pursuant to Section 13 or 15(d)

Securities - OTTI Significant Assumptions (Details)

v2.4.0.8
Securities - OTTI Significant Assumptions (Details) (Non-agency residential)
Sep. 30, 2014
Weighted Average
  
Significant Assumptions:  
Annual prepayment speed 14.80%
Loss severity 38.40%
Life default rate 41.10%
Weighted Average | Prime
  
Significant Assumptions:  
Loss severity 33.60%
Life default rate 28.60%
Weighted Average | Alt-A Loan
  
Significant Assumptions:  
Loss severity 34.90%
Life default rate 41.80%
Weighted Average | Subprime
  
Significant Assumptions:  
Loss severity 46.10%
Life default rate 46.10%
Minimum
  
Significant Assumptions:  
Annual prepayment speed 3.30% [1],[2]
Loss severity 12.10% [1],[2]
Life default rate 1.90% [1],[2]
Maximum
  
Significant Assumptions:  
Annual prepayment speed 28.40% [1],[2]
Loss severity 48.40% [1],[2]
Life default rate 98.70% [1],[2]
[1] The value of a variable below which the indicated percentile of observations will fall.
[2] Represents the range of inputs/assumptions based upon the underlying collateral.