Securities - Significant Assumptions (Details) - Non-agency residential |
Sep. 30, 2019 |
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| Weighted Average | |
| Significant Assumptions: | |
| Prepayment speed | 16.20% |
| Loss severity | 15.50% |
| Life default rate | 12.60% |
| Weighted Average | Prime | |
| Significant Assumptions: | |
| Loss severity | 12.50% |
| Life default rate | 8.80% |
| Weighted Average | Alt-A | |
| Significant Assumptions: | |
| Loss severity | 11.50% |
| Life default rate | 11.30% |
| Weighted Average | Subprime | |
| Significant Assumptions: | |
| Loss severity | 20.20% |
| Life default rate | 15.40% |
| 10th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 4.90% |
| Loss severity | 8.00% |
| Life default rate | 0.80% |
| 90th Percentile | |
| Significant Assumptions: | |
| Prepayment speed | 28.10% |
| Loss severity | 32.30% |
| Life default rate | 41.10% |
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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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