BB&T 2015 Annual Report Download - page 114

TableofContents
  
     
      

AFS securities:
Agency MBS $ 2,285 $ 19 $ 6,878 $ 278 $ 9,163 $ 297
States and political subdivisions 13 ― 449 59 462 59
Total $ 2,298 $ 19 $ 7,327 $ 337 $ 9,625 $ 356
HTM securities:
GSE $ 896 $ 5 $ 3,968 $ 103 $ 4,864 $ 108
Agency MBS 1,329 5 800 7 2,129 12
Total $ 2,225 $ 10 $ 4,768 $ 110 $ 6,993 $ 120
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 agency MBS 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, 2015, one non-agency MBS had an immaterial amount of other than temporary credit impairment.
At December 31, 2015, $39 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. At December 31, 2015, the evaluation of municipal securities did not indicate any municipal securities with other than
temporary credit impairment.
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Source: BB&T CORP, 10-K, February 25, 2016 Powered by Morningstar® Document Research℠
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