MoneyGram 2008 Annual Report Download - page 117

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Table of Contents
MONEYGRAM INTERNATIONAL, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
Amortized Fair
(Amounts in thousands) Cost Value
After one year through five years 1,003 1,073
After five years through ten years 15,460 16,376
Mortgage-backed and other asset-backed securities 412,979 421,325
Total $ 429,442 $ 438,774
Exposure to Sub-prime Mortgages — As of December 31, 2008, the Company holds six securities with a fair value of $1.8 million in its
"Other asset-backed securities" that have direct exposure to sub-prime mortgages as collateral. Nearly all of these securities had
investment grade ratings at purchase. As of December 31, 2008, the Company holds 54 collateralized debt obligations with a fair value of
$12.8 million in its "Other asset-backed securities" which have indirect exposure to sub-prime mortgages through collateral pools that
may include sub-prime mortgages of various vintages.
Fair Value Determination — Following are the sources of pricing used by the Company for its fair value estimates as a result of its
valuation process as of December 31:
2008 2007
Number of Number of
(Amounts in thousands) Securities Fair Value Percent Securities Fair Value Percent
Third party pricing service 52 $ 405,955 93% 278 $ 2,203,371 53%
Broker pricing 43 15,195 3% 138 422,612 10%
Internal pricing 25 17,624 4% 39 87,805 2%
Sale price — — — 215 1,473,596 35%
Total 120 $ 438,774 100% 670 $ 4,187,384 100%
Assessment of Unrealized Losses — At December 31, 2008, the Company had nominal unrealized losses in its available-for-sale
portfolio, with no unrealized losses aged 12 months or more, after the recognition of other-than-temporary impairment charges. At
December 31, 2007, the available-for-sale investments had the following aged unrealized losses after the recognition of other-than-
temporary impairment charges:
Less than 12 months 12 months or More Total
Unrealized Unrealized Unrealized
(Amounts in thousands) Fair Value Losses Fair Value Losses Fair Value Losses
Residential mortgage-backed securities — agencies $ 30,720 $ (502) $ 153,919 $ (1,668) $ 184,639 $ (2,170)
U.S. government agencies — — 111,430 (88) 111,430 (88)
Total $ 30,720 $ (502) $ 265,349 $ (1,756) $ 296,069 $ (2,258)
The Company had determined that the unrealized losses as of December 31, 2007 represented temporary impairments. As of
December 31, 2007, 20 securities had unrealized losses for more than 12 months. All securities in an unrealized loss position are rated
AAA and either issued by U.S. government agencies or collateralized by securities issued by U.S. government agencies. The Company
believes that the unrealized losses are primarily caused by changes in interest rates from the date the securities were originally issued. In
2008, these securities either appreciated in value or were called in full.
F-31