XML 93 R82.htm IDEA: XBRL DOCUMENT v3.20.2
Fair Value Measurements - Quantitative Inputs and Assumptions Used to Determine Fair Value for Private Label CMOs and Asset-backed Securities Available-for-sale (Details) - Level 3 - Fair Value, Measurements, Recurring
6 Months Ended
Jun. 30, 2020
Measurement Input, Prepayment Rate | Minimum | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.061
Measurement Input, Prepayment Rate | Minimum | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.10
Measurement Input, Prepayment Rate | Maximum | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.1770
Measurement Input, Prepayment Rate | Maximum | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.15
Measurement Input, Prepayment Rate | Weighted Average | Covered Private Label Collateralized Mortgage Obligations Member [Domain]  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.117 [1]
Measurement Input, Prepayment Rate | Weighted Average | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.117
Measurement Input, Prepayment Rate | Weighted Average | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.120 [2]
Measurement Input, Default Rate | Minimum | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.003 [3]
Measurement Input, Default Rate | Minimum | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.02
Measurement Input, Default Rate | Maximum | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.3550 [3]
Measurement Input, Default Rate | Maximum | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.02
Measurement Input, Default Rate | Weighted Average | Covered Private Label Collateralized Mortgage Obligations Member [Domain]  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.022 [1],[3]
Measurement Input, Default Rate | Weighted Average | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.022 [3]
Measurement Input, Default Rate | Weighted Average | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.020 [2],[3]
Measurement Input, Loss Severity | Minimum | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.023 [3]
Measurement Input, Loss Severity | Minimum | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.60
Measurement Input, Loss Severity | Maximum | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 2.4270 [3]
Measurement Input, Loss Severity | Maximum | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.60
Measurement Input, Loss Severity | Weighted Average | Covered Private Label Collateralized Mortgage Obligations Member [Domain]  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.538 [1],[3]
Measurement Input, Loss Severity | Weighted Average | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.538 [3]
Measurement Input, Loss Severity | Weighted Average | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.600 [2],[3]
Measurement Input, Discount Rate | Minimum | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.021
Measurement Input, Discount Rate | Minimum | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.030
Measurement Input, Discount Rate | Maximum | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.0990
Measurement Input, Discount Rate | Maximum | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.051
Measurement Input, Discount Rate | Weighted Average | Covered Private Label Collateralized Mortgage Obligations Member [Domain]  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.068 [1]
Measurement Input, Discount Rate | Weighted Average | Private label collateralized mortgage obligations  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Private Label Collateralized Mortgage Obligations, Measurement Input 0.068
Measurement Input, Discount Rate | Weighted Average | Asset-backed Securities  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Asset-Backed Securities, Measurement Input 0.037 [2]
[1] Unobservable inputs for private label residential CMOs were weighted by the relative fair values of the instruments.
[2] Voluntary annual prepayment speeds and discount rates for asset-backed securities were weighted by the relative fair values of the instruments.
[3] Annual default rates and loss severity rates were the same for all of the asset-backed securities.