MoneyGram 2007 Annual Report Download - page 98

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Table of Contents
MONEYGRAM INTERNATIONAL, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
As a result of these developments, the Company recognized $1.2 billion of other-than-temporary impairments in December 2007 as
shown below:
(Amounts in thousands)
Other asset-backed securities
Direct exposure to sub-prime $ (76,282)
Indirect exposure to sub-prime — high grade (170,386)
Indirect exposure to sub-prime — mezzanine (393,137)
Other (401,766)
Total other asset-backed securities (1,041,571)
Obligations of states and political subdivisions (115)
Commercial mortgage-backed securities (93,257)
Residential mortgage-backed securities (38,751)
U.S. government agencies —
Corporate debt securities (5,989)
Preferred and common stock (7,404)
Total $ (1,187,087)
Impairments in 2006 related to investments backed by automobile, aircraft, manufactured housing, bank loans and insurance securities
collateral. Impairments in 2005 related primarily to investments backed by aircraft and manufactured housing collateral.
Exposure to Sub-prime Mortgages: The Company holds securities classified in "Other asset-backed securities" that are collateralized by
sub-prime mortgages. At December 31, 2007, $273.0 million, or less than 7 percent of the fair value of the Company's $4,187.4 million
investment portfolio, had direct exposure to sub-prime mortgages as collateral. Nearly all of these securities had investment grade ratings.
In considering securities collateralized by sub-prime mortgages, it is important to note the vintage, or year of origination, of the
mortgages as the industry loss experience in pre-2006 vintages appears to be much lower than the 2006 and 2007 vintages. Of the
Company's $273.0 million direct exposure to sub-prime mortgages, $247.5 million relates to sub-prime mortgages originated prior to
2006. Following is the fair value of securities collateralized by sub-prime mortgages at December 31, 2007 by vintage (based on the
original security issuance date) and rating:
Direct exposure to subprime mortgages
Vintage Percent
2003 and of Total
(Amounts in thousands) 2007 2006 2005 2004 Earlier Total Portfolio
AAA, including U.S. agencies $ 10,169 $ 29,928 $ 40,097 0.9%
AA $ 3,025 $ 16,347 17,089 $ 35,078 49,404 120,943 2.9%
A 6,194 14,880 72,559 14,317 107,950 2.6%
BBB 3,199 3,199 0.1%
Below investment grade 136 704 840 0.0%
Total $ 3,025 $ 22,541 $ 45,473 $ 108,341 $ 93,649 $ 273,029 6.5%
Vintage as a percent of total direct exposure 1% 8% 17% 40% 34% 100%
F-24