FAIR VALUE (Details 4) (Discount cash flow)
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6 Months Ended |
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Jun. 30, 2012
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Derivative Payable | Low end of range
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Quantitative unobservable assumptions | |
Credit Risk Adjustment | 0.95% |
Derivative Payable | High end of range
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Quantitative unobservable assumptions | |
Credit Risk Adjustment | 2.81% |
Trust Preferred Securities
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Quantitative unobservable assumptions | |
Constant prepayment rate for year 1-5 | 0.00% |
Constant prepayment rate, thereafter | 1.00% |
Constant default rate for year 1-5 | 1.20% |
Constant default rate, thereafter | 0.75% |
Recovery Rate, existing deferral/defaults | 0.00% |
Recovery Rate, future deferral | 15.00% |
Recovery period, future deferral (in months) | 60 |
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- Definition
Credit risk adjustment rate used as an input to measure fair value. No definition available.
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- Definition
Percentage of likelihood the underlying collateral will not be repaid and instead default, used as an input to measure fair value after five years. No definition available.
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- Definition
Percentage of likelihood the underlying collateral will not be repaid and instead default, used as an input to measure fair value for first five years. No definition available.
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- Definition
Rate at which the underlying collateral is expected to prepay, used as an input to measure fair value after five years. No definition available.
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- Definition
Rate at which the underlying collateral is expected to prepay, used as an input to measure fair value for first five years. No definition available.
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- Definition
Period at which the underlying collateral is expected to recover, used as an input to measure fair value. No definition available.
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- Definition
Rate at which the underlying collateral is expected to recover for the existing deferrals, used as an input to measure fair value. No definition available.
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- Definition
Rate at which the underlying collateral is expected to recover for future deferrals, used as an input to measure fair value. No definition available.
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- Details
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