SunTrust 2013 Annual Report Download - page 203
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Notes to Consolidated Financial Statements, continued
187
Level 3 Significant Unobservable Input Assumptions
(Dollars in millions)
Fair value
December 31,
2012 Valuation Technique Unobservable Input 1Range
(weighted average)
Assets
Trading assets and derivatives:
CDO/CLO securities $52 Matrix pricing Indicative pricing based on
overcollateralization ratio $33-$45 ($40)
Estimated collateral losses 34-45% (39%)
ABS 5 Matrix pricing Indicative pricing $45 ($45)
Derivative contracts, net 2132 Internal model Pull through rate 9-98% (71%)
MSR value 6-244 bps (104 bps)
Corporate and other debt securities 1 Third party pricing N/A
Securities AFS:
U.S. states and political subdivisions 46 Matrix pricing Indicative pricing $72-$115 ($92)
MBS - private 209 Third party pricing N/A
ABS 21 Third party pricing N/A
Corporate and other debt securities 5 Cost N/A
Other equity securities 633 Cost N/A
Residential LHFS 8 Monte Carlo/Discounted
cash flow
Option adjusted spread 0-622 bps (251 bps)
Conditional prepayment rate 5-30 CPR (15 CPR)
Conditional default rate 0-20 CDR (3.5 CDR)
LHFI 369 Monte Carlo/Discounted
cash flow
Option adjusted spread 0-622 bps (251 bps)
Conditional prepayment rate 5-30 CPR (15 CPR)
Conditional default rate 0-20 CDR (3.5 CDR)
10 Collateral based pricing Appraised value NM 3
MSRs 899 Discounted cash flow Conditional prepayment rate 6-31 CPR (16 CPR)
Discount rate 9-28% (11%)
Liabilities
Other liabilities 424 Internal model Loan production volume 0-150% (92%)
7 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. See Note 17, "Guarantees," for additional information.