Freddie Mac 2009 Annual Report Download - page 112

Table 32 shows (i) the percentage of unpaid principal balance 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 the ratings of
such securities as of December 31, 2009 and February 11, 2010 and (ii) the percentage of unpaid principal balance of such
securities at December 31, 2008 based on their December 31, 2008 ratings.
Table 32 — Ratings Trend of Available-For-Sale Non-Agency Mortgage-Related Securities backed by Subprime,
Option ARM, Alt-A and Other Loans
February 11, 2010 December 31, 2009 December 31, 2008
Credit Rating as of
Percentage of Unpaid
Principal Balance at
December 31, 2009
Percentage of Unpaid
Principal Balance at
December 31, 2008
Subprime loans:
AAA-rated .................................................. 7% 7% 28%
Other investment grade . . . ...................................... 10 10 30
Below investment grade
(1)
....................................... 83 83 42
Total . ................................................... 100% 100% 100%
Option ARM loans:
AAA-rated .................................................. —% —% 45%
Other investment grade . . . ...................................... 2 2 27
Below investment grade
(1)
....................................... 98 98 28
Total . ................................................... 100% 100% 100%
Alt-A and other loans:
AAA-rated .................................................. 9% 9% 45%
Other investment grade . . . ...................................... 23 23 34
Below investment grade
(1)
....................................... 68 68 21
Total . ................................................... 100% 100% 100%
(1) Includes certain securities that are no longer rated.
Although non-agency mortgage-related securities backed by subprime, option ARM and Alt-A and other loans
experienced significant ratings downgrades during 2009, we currently believe the economic factors leading to these
downgrades are already appropriately considered in our other-than-temporary impairment decisions and valuations.
Issuers Greater than 10% of Total Equity (Deficit)
We held investments in Fannie Mae securities with a fair value of $69.9 billion at December 31, 2009. In addition, we
held investments in securities issued by the following:
• American Home Mortgage Investment Trust 2005-2 with a fair value of $370 million and a book value of
$548 million;
• Argent Securities, Inc. 2006-M1 with a fair value of $252 million and a book value of $476 million;
• Countrywide Commercial Real Estate Financial 2007-MF1 with a fair value of $323 million and a book value of
$585 million;
• CIT Mortgage Loan Trust 2007-1 with a fair value of $1.5 billion and a book value of $2.6 billion;
• Citigroup/Deutsche Bank Commercial Mortgage 2007-CD4 with a fair value of $436 million and a book value of
$497 million;
• Commercial Mortgage Pass-Through Certificate 2005-C6 with a fair value of $466 million and a book value of
$494 million;
• Countrywide Home Equity Loan Trust 2006-RES with a fair value of $412 million and book value of $1.2 billion;
• Credit Suisse Mortgage Capital Certificates: (i) 2007-C2 with a fair value of $614 million and a book value of
$764 million, (ii) 2007-C1 with a fair value of $566 million and a book value of $662 million, (iii) 2006-C1 with a
fair value of $504 million and book value of $553 million and (iv) 2006-C2 with a fair value of $463 million and a
book value of $510 million;
• Credit Suisse Securities (USA) LLC: (i) 2005-C6 with a fair value of $493 million and a book value of $528 million
and (ii) 2005-C5 with a fair value of $494 million and a book value of $512 million;
• GE Capital Commercial Mortgage Corporation: (i) 2007-C1 with a fair value of $455 million and a book value of
$520 million and (ii) 2005-C3 with a fair value of $422 million and a book value of $437 million;
• Harborview Mortgage Loan Trust 2006-12 with a fair value of $332 million and a book value of $667 million;
• JP Morgan Chase Commercial Mortgage Securities: (i) 2006-LDP8 with a fair value of $510 million and a book value
of $582 million, (ii) 2007-LD11 with a fair value of $505 million and a book value of $576 million, (iii) 2005-LDP2
109 Freddie Mac