STI 2018 Annual Report

Notes to Consolidated Financial Statements, continued 158 The valuation technique and range, including weighted average, of the unobservable inputs associated with the Company's level 3 assets and liabilities are as follows: Level 3 Significant Unobservable Input Assumptions (Dollars in millions) Fair value December 31, 2018 Valuation Technique Unobservable Input Range (Weighted Average) 1 Assets Trading assets and derivative instruments: Derivative instruments, net 2 $13 Internal model Pull through rate 41-100% (81%) MSR value 11-165 bps (108 bps) LHFI 158 Monte Carlo/ Discounted cash flow Option adjusted spread 0-250 bps (164 bps) Conditional prepayment rate 7-22 CPR (12 CPR) Conditional default rate 0-1 CDR (0.6 CDR) 5 Collateral based pricing Appraised value NM 3 Residential MSRs 1,983 Monte Carlo/ Discounted cash flow Conditional prepayment rate 6-30 CPR (13 CPR) Option adjusted spread 0-116% (2%) 1 Unobservable inputs were weighted by the relative fair value of the financial instruments. 2 Amount represents the net of IRLC assets and liabilities and includes the derivative liability associated with the Company’s sale of Visa shares. Refer to the “Trading Liabilities and Derivative Instruments” section in this Note for a discussion of valuation assumptions related to the Visa derivative liability. 3 Not meaningful. Level 3 Significant Unobservable Input Assumptions (Dollars in millions) Fair value December 31, 2017 Valuation Technique Unobservable Input 1 Range (Weighted Average) 2 Assets Trading assets and derivative instruments: Derivative instruments, net 3 $— Internal model Pull through rate 41-100% (81%) MSR value 41-190 bps (113 bps) Securities AFS: MBS - non-agency residential 59 Third party pricing N/A ABS 8 Third party pricing N/A Corporate and other debt securities 5 Cost N/A LHFI 192 Monte Carlo/ Discounted cash flow Option adjusted spread 62-784 bps (215 bps) Conditional prepayment rate 2-34 CPR (11 CPR) Conditional default rate 0-5 CDR (0.7 CDR) 4 Collateral based pricing Appraised value NM 4 Residential MSRs 1,710 Monte Carlo/ Discounted cash flow Conditional prepayment rate 6-30 CPR (13 CPR) Option adjusted spread 1-125% (4%) 1 For certain assets and liabilities where the Company utilizes third party pricing, the unobservable inputs and their ranges are not reasonably available, and therefore, have been noted as not applicable (“N/A”). 2 Unobservable inputs were weighted by the relative fair value of the financial instruments. 3 Amount represents the net of IRLC assets and liabilities and includes the derivative liability associated with the Company’s sale of Visa shares. Refer to the “Trading Liabilities and Derivative Instruments” section in this Note for a discussion of valuation assumptions related to the Visa derivative liability. 4 Not meaningful.