SunTrust 2011 Annual Report Download - page 135
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Notes to Consolidated Financial Statements (Continued)
119
The following is a rollforward of credit losses recognized in earnings for the years ended December 31, 2011, 2010, and 2009
related to securities for which some portion of the OTTI loss remains in AOCI:
(Dollars in millions)
Balance, as of January 1, 2011
Additions:
OTTI credit losses on previously impaired securities
Reductions:
Increases in expected cash flows recognized over the remaining life of the securities
Balance, as of December 31, 2011
Balance, as of January 1, 2010
Additions/Reductions:1
Increases in expected cash flows recognized over the remaining life of the securities
Balance, as of December 31, 2010
$20
6
(1)
$25
$22
(2)
$20
Balance, as of April 1, 2009, effective date
Additions:
OTTI credit losses on securities not previously impaired
Reductions:
Credit impaired securities sold, matured, or written off
Balance, as of December 31, 2009 2
$8
18
(4)
$22
1During the year ended December 31, 2010, the Company recognized $2 million of OTTI through earnings on debt securities in which no portion of the OTTI
loss was included in OCI at any time during the period. OTTI related to these securities are excluded from this amount.
2During the year ended December 31, 2009, the Company recognized $2 million of OTTI through earnings on debt securities in which no portion of the OTTI
loss was included in OCI at any time during the period. OTTI related to these securities are excluded from this amount.
The following table presents a summary of the significant inputs used in determining the measurement of credit losses recognized
in earnings for private MBS for the years ended December 31, 2011, 2010, and 2009:
Current default rate
Prepayment rate
Loss severity
December 31, 2011
4 - 8%
12 - 22%
39 - 46%
December 31, 2010
2 - 7%
14 - 22%
37 - 46%
December 31, 2009
2 - 17%
6 - 21%
35 - 52%
As noted in the table, during 2010, there was generally an improvement or stabilization in all of the major assumptions used to
evaluate the private MBS for credit impairment and there were no material changes in the assumptions used to evaluate the private
MBS for credit impairment during 2011.