Allstate 2011 Annual Report Download - page 159

collateral and securitization trust financial positions, and demonstrate our recorded impairments and that the remaining
unrealized losses on these positions are temporary.
The following tables show trust-level, class-level and security-specific detailed information for our below
investment grade Subprime securities with gross unrealized losses that are not reliably insured, by credit rating.
December 31, 2010
($ in millions)
With other-than-temporary Without other-than-temporary
impairments recorded in impairments recorded in
earnings earnings
Caa or Caa or
Ba B lower Total Ba B lower Total Total
Trust-level
Actual cumulative collateral losses incurred
to date (1) —% 12.0% 16.1% 16.0% 13.2% 12.5% 12.6% 12.7% n/a
Projected additional collateral losses to be
incurred (2) —% 38.2% 43.2% 43.0% 46.5% 42.7% 40.8% 42.1% n/a
Class-level
Average remaining credit enhancement (3) —% 26.0% 22.6% 22.8% 72.7% 63.6% 50.5% 56.7% n/a
Security-specific
Number of positions — 5 81 86 11 10 35 56 142
Par value $ — $ 42 $ 952 $ 994 $ 73 $ 69 $ 265 $ 407 $ 1,401
Amortized cost $ — $ 33 $ 650 $ 683 $ 73 $ 69 $ 265 $ 407 $ 1,090
Fair value $ — $ 21 $ 425 $ 446 $ 62 $ 54 $ 158 $ 274 $ 720
Gross unrealized losses
Total $ — $ (12) $ (225) $ (237) $ (11) $ (15) $ (107) $ (133) $ (370)
12-24 months (4) $ — $ — $ (9) $ (9) $ — $ — $ — $ — $ (9)
Over 24 months (5) $ — $ (12) $ (216) $ (228) $ (11) $ (15) $ (107) $ (133) $ (361)
Cumulative write-downs recognized (6) $ — $ (9) $ (293) $ (302) $ — $ — $ — $ — $ (302)
Principal payments received during the
period (7) $—$4$62$66$18$ 4$11$33$ 99
December 31, 2009
With other-than-temporary Without other-than-temporary
impairments recorded in impairments recorded in
earnings earnings
Caa or Caa or
Ba B lower Total Ba B lower Total Total
Trust-level
Actual cumulative collateral losses
incurred to date (1) 15.0% 13.8% 17.2% 16.9% 8.8% 8.1% 9.5% 9.1% n/a
Projected additional collateral losses to
be incurred (2) 41.2% 33.5% 46.2% 45.2% 36.5% 35.3% 40.0% 38.2% n/a
Class-level
Average remaining credit enhancement (3) 38.1% 30.1% 38.6% 38.0% 49.6% 45.4% 42.6% 45.4% n/a
Security-specific
Number of positions 1 4 53 58 20 13 37 70 128
Par value $ 30 $ 52 $ 798 $ 880 $ 213 $ 59 $ 315 $ 587 $ 1,467
Amortized cost $ 24 $ 48 $ 581 $ 653 $ 213 $ 59 $ 314 $ 586 $ 1,239
Fair value $ 10 $ 28 $ 230 $ 268 $ 112 $ 32 $ 144 $ 288 $ 556
Gross unrealized losses
Total $ (14) $ (20) $ (351) $ (385) $ (101) $ (27) $ (170) $ (298) $ (683)
12-24 months (4) $ — $ (4) $ (53) $ (57) $ (2) $ (1) $ — $ (3) $ (60)
Over 24 months (5) $ (14) $ (12) $ (294) $ (320) $ (99) $ (26) $ (170) $ (295) $ (615)
Cumulative write-downs recognized (6) $ (6) $ (4) $ (217) $ (227) $ — $ — $ — $ — $ (227)
Principal payments received during the
period (7) $ — $ 13 $ 40 $ 53 $ 17 $ 11 $ 33 $ 61 $ 114
(1) Weighted average actual cumulative collateral losses incurred to date as of period end are based on the actual principal losses incurred as a
percentage of the remaining principal amount of the loans in the trust. The weighting calculation is based on the par value of each security. Actual
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MD&A