Freddie Mac 2009 Annual Report Download - page 111

Ratings of Available-For-Sale Non-Agency Mortgage-Related Securities
Table 31 shows the ratings of available-for-sale non-agency mortgage-related securities backed by subprime, option
ARM and Alt-A and other loans held at December 31, 2009 based on their ratings as of December 31, 2009 as well as those
held at December 31, 2008 based on their ratings as of December 31, 2008. Tables 31 and 32 use the lowest rating available
for each security.
Table 31 — Ratings of Available-For-Sale Non-Agency Mortgage-Related-Securities backed by Subprime, Option
ARM and Alt-A and Other Loans at December 31, 2009 and 2008
Credit Rating as of December 31, 2009
Unpaid
Principal
Balance
Amortized
Cost
Gross
Unrealized
Losses
Monoline
Insurance
Coverage
(1)
(in millions)
Subprime loans:
AAA-rated . . . . . .................................................... $ 4,600 $ 4,597 $ (643) $ 34
Other investment grade . ................................................ 6,248 6,247 (1,562) 625
Below investment grade
(2)
............................................... 50,716 45,977 (18,897) 1,895
Total. . . . . . . . .................................................... $61,564 $56,821 $(21,102) $2,554
Option ARM loans:
AAA-rated . . . . . .................................................... $ — $ — $ — $ —
Other investment grade . ................................................ 350 345 (152) 166
Below investment grade
(2)
............................................... 17,337 13,341 (6,323) 163
Total. . . . . . . . .................................................... $17,687 $13,686 $ (6,475) $ 329
Alt-A and other loans:
AAA-rated . . . . . .................................................... $ 1,825 $ 1,844 $ (247) $ 9
Other investment grade . ................................................ 4,829 4,834 (1,051) 530
Below investment grade
(2)
............................................... 14,785 12,267 (4,249) 2,752
Total. . . . . . . . .................................................... $21,439 $18,945 $ (5,547) $3,291
Credit Rating as of December 31, 2008
Subprime loans:
AAA-rated . . . . . .................................................... $21,267 $21,224 $ (4,821) $ 40
Other investment grade . ................................................ 22,502 22,418 (6,302) 1,493
Below investment grade ................................................ 31,070 27,757 (8,022) 1,851
Total. . . . . . . . .................................................... $74,839 $71,399 $(19,145) $3,384
Option ARM loans:
AAA-rated . . . . . .................................................... $ 8,818 $ 5,803 $ (2,086) $ 57
Other investment grade . ................................................ 5,375 3,290 (1,423) 377
Below investment grade ................................................ 5,413 3,024 (1,230) 299
Total. . . . . . . . .................................................... $19,606 $12,117 $ (4,739) $ 733
Alt-A and other loans:
AAA-rated . . . . . .................................................... $11,293 $10,512 $ (3,567) $ 185
Other investment grade . ................................................ 8,521 6,488 (2,405) 2,950
Below investment grade ................................................ 5,253 3,032 (815) 1,138
Total. . . . . . . . .................................................... $25,067 $20,032 $ (6,787) $4,273
(1) Represents the amount of unpaid principal balance covered by monoline insurance coverage. This amount does not represent the maximum amount of
losses we could recover, as the monoline insurance also covers interest.
(2) Includes certain securities that are no longer rated.
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