Allstate 2011 Annual Report Download - page 157

The following tables show trust-level, class-level and security-specific detailed information for our below
investment grade Alt-A securities with gross unrealized losses, 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) 0.5% 0.7% 8.1% 8.0% 0.1% 3.1% 3.7% 3.0% n/a
Projected additional collateral losses to be
incurred (2) 9.9% 22.5% 24.6% 24.5% 4.8% 16.6% 17.8% 15.4% n/a
Class-level
Average remaining credit enhancement (3) 9.9% 19.0% 6.8% 6.9% 5.3% 27.1% 23.9% 20.7% n/a
Security-specific
Number of positions 1 1 27 29 2 2 8 12 41
Par value $ 4 $ 3 $ 439 $ 446 $ 16 $ 4 $ 68 $ 88 $ 534
Amortized cost $ 4 $ 2 $ 316 $ 322 $ 16 $ 4 $ 62 $ 82 $ 404
Fair value $ 1 $ 1 $ 220 $ 222 $ 13 $ 2 $ 51 $ 66 $ 288
Gross unrealized losses
Total $ (3) $ (1) $ (96) $ (100) $ (3) $ (2) $ (11) $ (16) $ (116)
12-24 months (4) $—$—$—$—$—$—$—$—$—
Over 24 months (5) $ (3) $ (1) $ (90) $ (94) $ (3) $ (2) $ (10) $ (15) $ (109)
Cumulative write-downs recognized (6) $ — $ (1) $ (92) $ (93) $ — $ — $ — $ — $ (93)
Principal payments received during the
period (7) $—$—$59$59$1$1$6$8$67
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) 0.2% 4.3% 4.2% 4.2% 0.8% 1.4% 2.5% 1.6% n/a
Projected additional collateral losses to be
incurred (2) 12.1% 26.1% 25.7% 25.6% 3.9% 23.8% 16.1% 10.6% n/a
Class-level
Average remaining credit enhancement (3) 11.3% 24.7% 7.6% 9.7% 7.1% 29.2% 16.6% 12.8% n/a
Security-specific
Number of positions 1 4 24 29 6 5 5 16 45
Par value $ 4 $ 56 $ 413 $ 473 $ 90 $ 12 $ 79 $ 181 $ 654
Amortized cost $ 4 $ 52 $ 289 $ 345 $ 88 $ 12 $ 78 $ 178 $ 523
Fair value $ 1 $ 32 $ 158 $ 191 $ 62 $ 5 $ 53 $ 120 $ 311
Gross unrealized losses
Total $ (3) $ (20) $ (131) $ (154) $ (26) $ (7) $ (25) $ (58) $ (212)
12-24 months (4) $ (3) $ (4) $ (33) $ (40) $ (20) $ — $ (24) $ (44) $ (84)
Over 24 months (5) $ — $ (16) $ (98) $ (114) $ (6) $ (7) $ (1) $ (14) $ (128)
Cumulative write-downs recognized (6) $ — $ (4) $ (92) $ (96) $ — $ — $ — $ — $ (96)
Principal payments received during the
period (7) $—$5$43$48$9$ 2$23$34$82
(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 Alt-A securities we own, as reported by the trust servicers, were $3 million as of December 31, 2010.
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MD&A