BB&T 2013 Annual Report Download - page 103
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103
Less than 12 months 12 months or more Total
Fair Unrealized Fair Unrealized Fair Unrealized
December 31, 2012 Value Losses Value Losses Value Losses
(Dollars in millions)
AFS securities:
MBS issued by GSE $ 2,662 $ 18 $ — $ — $ 2,662 $ 18
States and political subdivisions 52 1 478 89 530 90
N
on-agency MBS — — 113 11 113 11
Total $ 2,714 $ 19 $ 591 $ 100 $ 3,305 $ 119
HTM securities:
GSE $ 805 $ 1 $ — $ — $ 805 $ 1
MBS issued by GSE 593 1 — — 593 1
States and political subdivisions 22 1 — — 22 1
Other 266 3 — — 266 3
Total $ 1,686 $ 6 $ — $ — $ 1,686 $ 6
Periodic reviews are conducted to identify and evaluate each investment with an unrealized loss for OTTI. An unrealized loss
exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are
determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. The unrealized losses on GSE
securities and MBS issued by GSE were the result of increases in market interest rates compared to the date the securities
were acquired rather than the credit quality of the issuers.
Cash flow modeling is used to evaluate non-agency MBS in an unrealized loss position for potential credit impairment. These
models give consideration to long-term macroeconomic factors applied to current security default rates, prepayment rates and
recovery rates and security-level performance. At December 31, 2013, one non-agency MBS reflected an immaterial
unrealized loss and was below investment grade.
At December 31, 2013, $60 million of the unrealized loss on municipal securities was the result of fair value hedge basis
adjustments that are a component of amortized cost. Municipal securities in an unrealized loss position are evaluated for
credit impairment through a qualitative analysis of issuer performance and the primary source of repayment. The evaluation
of municipal securities indicated there were no credit losses evident.