Securities - Significant Assumptions (Details) - Non-agency residential |
Dec. 31, 2016 |
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| Weighted Average | |
| Significant Assumptions: | |
| Prepayment speed | 13.80% |
| Loss severity | 20.10% |
| Life default rate | 20.40% |
| Weighted Average | Prime | |
| Significant Assumptions: | |
| Loss severity | 17.00% |
| Life default rate | 13.90% |
| Weighted Average | Alt-A | |
| Significant Assumptions: | |
| Loss severity | 18.80% |
| Life default rate | 21.70% |
| Weighted Average | Subprime | |
| Significant Assumptions: | |
| Loss severity | 30.40% |
| Life default rate | 20.90% |
| 10th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 4.60% |
| Loss severity | 8.80% |
| Life default rate | 0.70% |
| 90th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 27.00% |
| Loss severity | 36.50% |
| Life default rate | 77.40% |
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- Definition Represents the life default rate on mortgage backed securities. This is a significant assumption used in the valuation of mortgage backed securities. No definition available.
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- Definition Represents the assumption related to severity of impairment used in the valuation of mortgage backed securities. No definition available.
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- Definition Represents the annual constant prepayment speed. This is a significant assumption used in the valuation of mortgage backed securities. No definition available.
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- References No definition available.
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