Allstate 2011 Annual Report Download - page 162

CMBS with higher original ratings typically have priority in receiving the principal repayments on the underlying
collateral compared to those with lower original ratings. Tight credit markets and conservative underwriting standards
continue to stress commercial mortgage borrowers’ ability to refinance obligations. While the projected cash flow
assumptions for our below investment grade CMBS with gross unrealized losses have deteriorated since the securities
were originated, as reflected by their current credit ratings, these securities continue to retain the payment priority
features that existed at the origination of the securitization trust.
The following tables show trust-level, class-level and security-specific detailed information for our below
investment grade CMBS 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) 0.6% 3.2% 2.5% 2.3% 1.1% 0.3% 0.4% 0.9% n/a
Projected additional collateral losses to be
incurred (2) 12.2% 7.0% 38.1% 29.2% 7.0% 4.4% 7.2% 6.4% n/a
Class-level
Average remaining credit enhancement (3) 12.5% 7.0% 25.5% 20.7% 9.1% 7.5% 9.0% 8.7% n/a
Security-specific
Number of positions 2 1 5 8 14 5 2 21 29
Par value $ 22 $ 16 $ 79 $ 117 $ 138 $ 46 $ 7 $ 191 $ 308
Amortized cost $ 17 $ 15 $ 39 $ 71 $ 143 $ 47 $ 8 $ 198 $ 269
Fair value $ 13 $ 6 $ 13 $ 32 $ 75 $ 25 $ 3 $ 103 $ 135
Gross unrealized losses
Total $ (4) $ (9) $ (26) $ (39) $ (68) $ (22) $ (5) $ (95) $ (134)
12-24 months (4) $—$—$—$—$—$—$—$—$—
Over 24 months (5) $ (4) $ (9) $ (26) $ (39) $ (68) $ (22) $ (5) $ (95) $ (134)
Cumulative write-downs recognized (6) $ (5) $ (2) $ (41) $ (48) $ — $ — $ — $ — $ (48)
Principal payments received during the
period (7) $—$—$1$1$—$1$—$1$2
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MD&A