Freddie Mac 2008 Annual Report Download - page 105
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Investments in Non-Agency Mortgage-Related Securities Backed by Alt-A Loans
The hypothetical scenarios for our non-agency mortgage-related securities backed by Alt-A loans use cumulative default
rates of 20% to 65% and severities of 45% to 65%. Since different market participants could arrive at materially different
conclusions regarding the likelihood of various default and severity outcomes, we have provided a range of possible
outcomes. Current collateral delinquency rates presented in Table 29 averaged 17%.
102 Freddie Mac