If either of these conditions are met, management will recog- nize other-than-temporary impairment. If, in management’s judgment, an other-than-temporary impairment exists, the cost basis of the security will be written down for the credit loss, and the unrealized loss will be transferred from accumu- lated other comprehensive loss as an immediate reduction of current earnings. For the period ended December 31, 2010, the Bancorp’s management utilized a specialist to perform an other-than-temporary impairment analysis for each of its four pooled trust preferred securities. The analysis utilizes analytical models used to project future cash flows for the pooled trust preferred securities based on current assump- tions for prepayments, default and deferral rates, and recoveries. The projected cash flows are than tested for impairment consistent with the Investments – Other Topic and the Investments – Debt and Equity Securities Topic. The other-than-temporary impairment testing compares the present value of the cash flows from quarter to quarter to determine if there is a “favorable” or “adverse” change. Other-than-temporary impairment is recorded if the projected present value of cash flows is lower than the book value of the security. To perform the quarterly other-than- temporary impairment analysis, management utilizes current reports issued by the trustee, which contains principal and interest tests, waterfall distributions, note valuations, collec- tion detail and credit ratings for each pooled trust preferred security. In addition, a detailed review of the performing collateral was performed. The review of the collateral began with a review of financial information provided by SNL Financial, a comprehensive database, widely used in the industry, which gathers financial data on banks and thrifts from U.S. GAAP financial statements for public companies (annual and quarterly reports on Forms 10-K and 10-Q),  as well as regulatory reports for private companies, including consolidated financial statements for bank holding compa- nies (FR Y-9C reports) and parent company-only financial statements for bank holding companies (FR Y-9LP reports) filed with the Federal Reserve, bank call reports filed with the FDIC and thrift financial reports provided by the  Office of Thrift Supervision. Using the information sources described above, for each bank and thrift examined, the following items were examined: nature of the issuer’s  business, years of operating history, corporate structure, loan composition and loan concentrations, deposit mix, asset growth rates, geographic footprint and local economic  environment. The issuers’ historical financial performance was reviewed and their financial ratios were compared to appropriate peer groups of regional banks or thrifts with similar asset sizes. The analysis focused on six broad cate- gories: profitability (revenue streams and earnings quality, return on assets and shareholder’s equity, net interest margin and interest rate sensitivity), credit quality (charge-offs and recoveries, non-current loans and total non-performing assets as a percentage of total loans, loan loss reserve coverage and the adequacy of the loan loss provision), operating efficiency (non-interest expense compared to total revenue), capital adequacy (Tier-1, total capital and leverage ratios and equity capital growth), leverage (tangible equity as a percentage of tangible assets, short-term and long-term borrowings and double leverage at the holding company) and liquidity  (the nature and availability of funding sources, net non-core funding dependence and quality of deposits). In addition,  for publicly traded companies, stock price movements were reviewed and the market price of publicly traded debt  instruments was examined. The other-than-temporary impairment analysis indicated that the Bancorp’s four  pooled trust preferred securities had aggregate other-than- temporary impairment in the amount of $128,000, as of December 31, 2010.  The table below shows the credit loss roll forward for the Bancorp’s pooled trust preferred securities that have been classified with other-than-temporary impairment: Below is a table containing information regarding the Bancorp’s pooled trust preferred securities as of December 31, 2010: (1) Default rates > 3 years are evaluated on an issuer by issuer basis and range from 0.25% to 5.00%. (2) Recovery assumptions are evaluated on an issuer by issuer basis and range from 0% to 15% with a  five year lag. 39 74073CAC1 74042TAJ0 01449TAB9 01450NAC6 Deal name............................... PreTSL XXIV PreTSL XXVII Alesco IX Alesco XVII Class ................................... B-1 C-1 A-2A B Book value .............................. 1,256,972 1,296,077 1,309,886 1,351,903 Fair value ................................ 262,827 220,945 637,050 257,790 Unrealized gains/(losses).......... (994,145) (1,075,133) (672,836) (1,094,113) Lowest credit rating assigned... CC C BB CCC Number of performing banks.. 47 27 44 36 Number of performing insurance companies ............. 12 7 10 n/a Number of issuers in default.... 14 6 8 7 Number of issuers in deferral... 20 9 14 13 Defaults & deferrals as a % of performing collateral......... 59.84% 37.12% 46.63% 63.27% Subordination: As a % of performing collateral -22.67% -21.45% 14.91% -18.76% As a % of performing  collateral - adjusted for projected future defaults...... -28.86% -28.51% 9.86% -24.36% Other-than-temporary impairment model assumptions: Defaults: Year 1 - issuer average........ 2.60% 2.70% 3.00% 2.70% Year 2 - issuer average........ 1.10% 1.40% 1.30% 0.90% Year 3 - issuer average........ 1.10% 1.40% 1.30% 0.90% > 3 Years- issuer average .... (1) (1) (1) (1) Discount rate - 3-month LIBOR plus implicit yield spread at purchase......................... 1.48% 1.23% 1.27% 1.44% Recovery assumptions ......... (2) (2) (2) (2) Prepayments........................ 0.00% 0.00% 0.00% 0.00% Other-than-temporary impairment ........................... 41,100 132,000 29,250 61,950 (Dollars in thousands) Collateralized debt  obligations other- than-temporarily  impairment _____________ Ending balance - December 31, 2009............................... $ 136 Additions not previously recognized ................................ 128 ________ Ending balance - December 31, 2010............................... $ 264 ________