Freddie Mac 2008 Annual Report Download - page 106

Table 29 — Investments in Non-Agency Mortgage-Related Securities Backed by Alt-A Loans
Acquisition Date
Delinquency
Quartile
Unpaid
Principal
Balance
Collateral
Delinquency
(1)
Average
Credit
Enhancement
(2)
Minimum
Current
Subordination
(3)
Default
Rate 45% 55% 65%
Severity
Underlying Collateral
Performance Credit Enhancement Statistics Hypothetical Scenarios
(4)
December 31, 2008
(dollars in millions)
2004 & Prior. . . ....................................... 1 $1,230 3% 10% 6% 20% $ 11 $ 23 $ 41
35 73 114 158
50 156 218 281
65 243 326 409
2004 & Prior. . . ....................................... 2 1,214 5% 14% 8% 20% $ 1 $ 3 $ 14
35 38 77 121
50 119 187 257
65 214 306 398
2004 & Prior. . . ....................................... 3 1,253 9% 16% 10% 20% $ — $ 1 $ 5
35 19 43 87
50 83 150 223
65 178 273 369
2004 & Prior. . . ....................................... 4 1,196 15% 25% 12% 20% $ — $ — $ 2
35 10 30 58
50 56 100 147
65 118 182 252
2004 & Prior subtotal . . .................................. $4,893 8% 16% 6%
2005 ............................................... 1 $2,307 4% 8% 5% 20% $ 52 $ 92 $133
35 197 275 355
50 354 469 585
65 516 669 822
2005 ............................................... 2 2,049 10% 12% 6% 20% $ 13 $ 31 $ 55
35 105 176 249
50 246 352 459
65 394 535 676
2005 ............................................... 3 1,890 15% 13% 8% 20% $ 3 $ 16 $ 40
35 77 132 188
50 186 274 379
65 321 455 589
2005 ............................................... 4 2,406 25% 22% 11% 20% $ — $ — $ 2
35 11 24 43
50 46 104 163
65 135 226 337
2005 subtotal . . ....................................... $8,652 14% 14% 5%
2006 ............................................... 1 $1,058 5% 11% 5% 20% $ 20 $ 37 $ 56
35 86 122 158
50 159 211 265
65 234 303 373
2006 ............................................... 2 1,063 15% 15% 5% 20% $ 13 $ 24 $ 38
35 69 110 151
50 154 215 277
65 243 324 406
2006 ............................................... 3 1,062 29% 14% 5% 20% $ 4 $ 7 $ 11
35 22 37 56
50 62 97 137
65 120 176 232
2006 ............................................... 4 1,087 46% 11% 5% 20% $ — $ — $ —
35 — — 1
50 5 35 88
65 91 173 257
2006 subtotal . . ....................................... $4,270 24% 13% 5%
2007 ............................................... 1 $ 796 23% 6% 5% 20% $11 $19 $27
35 39 58 85
50 92 132 172
65 156 209 262
2007 ............................................... 2 541 28% 10% 8% 20% $— $— $ 1
35 10 21 32
50 40 58 79
65 77 107 138
2007 ............................................... 3 702 33% 12% 5% 20% $— $— $ 1
35 4 7 18
50 24 43 69
65 56 92 129
2007 ............................................... 4 620 40% 14% 3% 20% $— $— $—
35 — 1 7
50 11 19 39
65 36 65 96
2007 subtotal . . ....................................... $2,659 31% 10% 3%
Subtotal uninsured non-agency mortgage-related securities backed by Alt-A
loans . . ........................................... $20,474 17% 14% 3%
Non-agency mortgage-related securities, backed by Alt-A loans with monoline
bond insurance:
Non-investment grade monoline — no other-than-temporary impairments to
date . ........................................... $ 197
Non-investment grade monoline — other-than-temporary impairments taken . . 344
Subtotal non-agency mortgage-related securities, backed by Alt-A loans with
monoline bond insurance
(5)
................................ $ 541
Total non-agency mortgage-related securities, backed by Alt-A loans . . . ..... $21,015 17%
(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.
103 Freddie Mac