Securities - Significant Assumptions (Details) - Non-agency residential |
Sep. 30, 2017 |
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| Weighted Average | |
| Significant Assumptions: | |
| Prepayment speed | 12.00% |
| Loss severity | 19.80% |
| Life default rate | 21.00% |
| Weighted Average | Prime | |
| Significant Assumptions: | |
| Loss severity | 17.50% |
| Life default rate | 15.60% |
| Weighted Average | Alt-A | |
| Significant Assumptions: | |
| Loss severity | 18.40% |
| Life default rate | 21.70% |
| Weighted Average | Subprime | |
| Significant Assumptions: | |
| Loss severity | 29.50% |
| Life default rate | 22.10% |
| 10th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 3.00% |
| Loss severity | 9.10% |
| Life default rate | 1.20% |
| 90th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 20.60% |
| Loss severity | 36.50% |
| Life default rate | 77.70% |
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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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