Allstate 2012 Annual Report Download - page 163

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, 2011
($ in millions)
With other-than-temporary Without other-than-temporary
impairments recorded impairments recorded
in earnings in earnings
Caa or Caa or
B lower Total Ba B lower Total Total
Trust-level
Actual cumulative collateral losses
incurred to date (1) 14.6% 19.1% 18.8% 3.8% 6.6% 13.2% 8.8% n/a
Projected additional collateral losses
to be incurred (2) 40.0% 42.9% 42.8% 32.6% 31.6% 40.2% 35.7% n/a
Class-level
Average remaining credit
enhancement (3) 28.7% 19.7% 20.2% 46.8% 43.9% 46.9% 46.0% n/a
Security-specific
Number of positions 5 66 71 9 15 24 48 119
Par value $ 41 $ 728 $ 769 $ 84 $ 78 $ 132 $ 294 $ 1,063
Amortized cost $ 34 $ 469 $ 503 $ 84 $ 78 $ 132 $ 294 $ 797
Fair value $ 26 $ 301 $ 327 $ 60 $ 45 $ 67 $ 172 $ 499
Gross unrealized losses
Total $ (8) $ (168) $ (176) $ (24) $ (33) $ (65) $ (122) $ (298)
12-24 months $ — $ — $ — $ — $ — $ — $ — $ —
Over 24 months (4) $ (8) $ (167) $ (175) $ (24) $ (33) $ (65) $ (122) $ (297)
Cumulative write-downs recognized $ (7) $ (249) $ (256) $ — $ — $ — $ — $ (256)
Principal payments received during
the period $67
December 31, 2010
With other-than-temporary Without other-than-temporary
impairments recorded impairments recorded
in earnings in earnings
Caa or Caa or
B lower Total Ba B lower Total Total
Trust-level
Actual cumulative collateral losses
incurred to date 12.0% 16.1% 16.0% 13.2% 12.5% 12.6% 12.7% n/a
Projected additional collateral losses
to be incurred 38.2% 43.2% 43.0% 46.5% 42.7% 40.8% 42.1% n/a
Class-level
Average remaining credit
enhancement 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 $ — $ (9) $ (9) $ — $ — $ — $ — $ (9)
Over 24 months (4) $ (12) $ (216) $ (228) $ (11) $ (15) $ (107) $ (133) $ (361)
Cumulative write-downs recognized $ (9) $ (293) $ (302) $ — $ — $ — $ — $ (302)
Principal payments received during
the period $99
(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
losses on the securities we hold are less than the losses on the underlying collateral as presented in this table. Actual cumulative realized principal
losses on the below investment grade Subprime securities we own, as reported by the trust servicers, were $16 million as of December 31, 2011.
(2) Weighted average projected additional collateral losses to be incurred as of period end are based on our projections of future losses to be incurred
by the trust, taking into consideration the actual cumulative collateral losses incurred to date, as a percentage of the remaining principal amount of
the loans in the trust. Our projections are developed internally and customized to our specific holdings and are informed by and benchmarked
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