SunTrust 2013 Annual Report Download - page 202
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Notes to Consolidated Financial Statements, continued
186
The valuation technique and range, including weighted average, of the unobservable inputs associated with the Company's
level 3 assets and liabilities are as follows:
Level 3 Significant Unobservable Input Assumptions
(Dollars in millions)
Fair value
December 31,
2013 Valuation Technique Unobservable Input 1Range
(weighted average)
Assets
Trading assets and derivatives:
CDO/CLO securities $54 Matrix pricing/
Discounted cash flow
Indicative pricing based on
overcollateralization ratio $50-$60 ($54)
Discount margin 4-6% (5%)
ABS 6 Matrix pricing Indicative pricing $55 ($55)
Derivative contracts, net 28 Internal model Pull through rate 1-99% (74%)
MSR value 42-222 bps (111 bps)
Securities AFS:
U.S. states and political subdivisions 34 Matrix pricing Indicative pricing $80-$111 ($95)
MBS - private 154 Third party pricing N/A
ABS 21 Third party pricing N/A
Corporate and other debt securities 5Cost N/A
Other equity securities 739 Cost N/A
Residential LHFS 3 Monte Carlo/Discounted
cash flow
Option adjusted spread 250-675 bps (277 bps)
Conditional prepayment rate 2-10 CPR (7 CPR)
Conditional default rate 0-4 CDR (0.5 CDR)
LHFI 292 Monte Carlo/Discounted
cash flow
Option adjusted spread 0-675 bps (307 bps)
Conditional prepayment rate 1-30 CPR (13 CPR)
Conditional default rate 0-7 CDR (2.5 CDR)
10 Collateral based pricing Appraised value NM 3
MSRs 1,300 Discounted cash flow Conditional prepayment rate 4-25 CPR (8 CPR)
Discount rate 9-28% (12%)
Liabilities
Other liabilities 423 Internal model Loan production volume 0-150% (92%)
3 Internal model Revenue run rate NM 3
1 For certain assets and liabilities that the Company utilizes third party pricing, the unobservable inputs and their ranges are not reasonably available to the
Company, and therefore, have been noted as "N/A."
2 Represents the net of IRLC assets and liabilities entered into by the Mortgage Banking segment to hedge its interest rate risk.
3 Not meaningful.
4 Input assumptions relate to the Company's contingent consideration obligations related to acquisitions. Excludes $3 million of Other Liabilities. See Note
17, "Guarantees," for additional information.