Securities - Significant Assumptions (Details) - Non-agency residential |
Sep. 30, 2018 |
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| Weighted Average | |
| Significant Assumptions: | |
| Prepayment speed | 12.00% |
| Loss severity | 18.10% |
| Life default rate | 20.10% |
| Weighted Average | Prime | |
| Significant Assumptions: | |
| Loss severity | 16.20% |
| Life default rate | 16.10% |
| Weighted Average | Alt-A | |
| Significant Assumptions: | |
| Loss severity | 16.40% |
| Life default rate | 21.90% |
| Weighted Average | Subprime | |
| Significant Assumptions: | |
| Loss severity | 22.20% |
| Life default rate | 22.70% |
| 10th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 3.10% |
| Loss severity | 8.40% |
| Life default rate | 0.70% |
| 90th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 23.30% |
| Loss severity | 31.00% |
| Life default rate | 73.50% |
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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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