Freddie Mac 2008 Annual Report Download - page 104

Table 28 — Investments in Available-For-Sale Non-agency Mortgage-Related Securities Backed by First Lien
Subprime Loans
Acquisition Date
Delinquency
Quartile
Unpaid
Principal
Balance
Collateral
Delinquency
(1)
Average
Credit
Enhancement
(2)
Minimum
Current
Subordination
(3)
Default
Rate 60% 70% 80%
Severity
Underlying Collateral
Performance Credit Enhancement Statistics Hypothetical Scenarios
(4)
December 31, 2008
(dollars in millions)
2004 & Prior . ......................... 1 $ 314 12% 52% 33% 60% $12 $ 12 $ 15
70 12 20 30
80 21 32 56
2004 & Prior . ......................... 2 329 17% 47% 23% 60% $— $ — $ 9
70 —1328
80 13 30 49
2004 & Prior . ......................... 3 278 22% 64% 29% 60% $— $ 1 $ 2
70 135
80 3 5 20
2004 & Prior . ......................... 4 319 29% 63% 19% 60% $ 1 $ 4 $ 8
70 4 10 17
80 10 18 33
2004 & Prior subtotal . .................... $1,240 20% 56% 19%
2005 . .............................. 1 $3,190 26% 55% 34% 60% $ — $ — $ 9
70 —1787
80 19 121 283
2005 . .............................. 2 3,106 34% 59% 41% 60% $ — $ — $ —
70 — — 9
80 — 29 159
2005 . .............................. 3 3,190 40% 55% 23% 60% $ — $ 2 $ 8
70 3 14 60
80 17 85 223
2005 . .............................. 4 3,096 47% 53% 30% 60% $ — $ 1 $ 8
70 2 23 57
80 26 73 169
2005 subtotal . ......................... $12,582 37% 56% 23%
2006 . .............................. 1 $7,222 34% 32% 17% 60% $ 22 $ 129 $ 317
70 188 460 805
80 506 900 1,368
2006 . .............................. 2 7,296 42% 30% 15% 60% $ 18 $ 132 $ 329
70 205 496 887
80 571 1,018 1,491
2006 . .............................. 3 7,434 47% 29% 16% 60% $ 7 $ 88 $ 308
70 159 500 901
80 564 1,011 1,469
2006 . .............................. 4 6,955 54% 29% 10% 60% $ 10 $ 70 $ 239
70 124 390 753
80 451 863 1,302
2006 subtotal . ......................... $28,907 44% 30% 10%
2007 . .............................. 1 $7,282 24% 31% 21% 60% $ 16 $ 119 $ 451
70 206 611 996
80 635 1,061 1,482
2007 . .............................. 2 6,803 31% 28% 19% 60% $ 31 $ 200 $ 485
70 299 642 983
80 678 1,060 1,441
2007 . .............................. 3 7,259 38% 28% 15% 60% $ 43 $ 195 $ 461
70 295 637 1,019
80 707 1,134 1,582
2007 . .............................. 4 7,114 46% 26% 14% 60% $ 6 $ 109 $ 412
70 233 603 971
80 665 1,075 1,483
2007 subtotal . ......................... $28,458 35% 28% 14%
Subtotal uninsured non-agency mortgage-related
securities backed by first lien subprime loans...... $71,187 39% 34% 10%
Non-agency mortgage-related securities, backed by first
lien subprime loans with monoline bond insurance:
Non-investment grade monoline — no
other-than-temporary impairments to date ..... $1,762
Non-investment grade monoline —
other-than-temporary impairments taken ...... 1,121
Subtotal non-agency mortgage-related securities, backed
by first lien subprime loans with monoline bond
insurance
(5)
.......................... $2,883
Total non-agency mortgage-related securities, backed by
first lien subprime loans . . ................ $74,070 38%
(1) Determined based on loans that are 60 days or more past due that underlie the securities. Collateral delinquency percentages are calculated based on the
unpaid principal balance and information provided primarily by Intex.
(2) Consists of subordination, financial guarantees and other credit enhancements. Does not include the benefit of excess interest.
(3) Reflects the current subordination credit enhancement of the lowest security in each quartile.
(4) Reflects the present value of projected principal losses based on the disclosed hypothetical cumulative default and loss severity rates against the
outstanding collateral balance.
(5) 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.
101 Freddie Mac