Securities - Significant Assumptions (Details) - Non-agency residential |
Mar. 31, 2019 |
|---|---|
| Weighted Average | |
| Significant Assumptions: | |
| Prepayment speed | 12.10% |
| Loss severity | 20.50% |
| Life default rate | 17.30% |
| Weighted Average | Prime | |
| Significant Assumptions: | |
| Loss severity | 15.80% |
| Life default rate | 12.50% |
| Weighted Average | Alt-A | |
| Significant Assumptions: | |
| Loss severity | 16.10% |
| Life default rate | 16.20% |
| Weighted Average | Subprime | |
| Significant Assumptions: | |
| Loss severity | 25.30% |
| Life default rate | 20.60% |
| 10th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 3.00% |
| Loss severity | 8.60% |
| Life default rate | 1.20% |
| 90th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 21.00% |
| Loss severity | 38.50% |
| Life default rate | 65.60% |
| X | ||||||||||
- 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.
|
| X | ||||||||||
- Definition Represents the assumption related to severity of impairment used in the valuation of mortgage backed securities. No definition available.
|
| X | ||||||||||
- Definition Represents the annual constant prepayment speed. This is a significant assumption used in the valuation of mortgage backed securities. No definition available.
|
| X | ||||||||||
- References No definition available.
|
| X | ||||||||||
- Details
|
| X | ||||||||||
- Details
|
| X | ||||||||||
- Details
|
| X | ||||||||||
- Details
|
| X | ||||||||||
- Details
|
| X | ||||||||||
- Details
|
| X | ||||||||||
- Details
|