Freddie Mac 2008 Annual Report Download - page 110

Table 34 — Ratings of Available-For-Sale Non-Agency Mortgage-Related Securities backed by Alt-A and Other Loans
and MTA Loans at December 31, 2008
Credit Ratings as of December 31, 2008
Unpaid
Principal Balance Amortized Cost
Gross
Unrealized
Losses
Monoline
Insurance
Coverage
(1)
(in millions)
Alt-A and other loans:
AAA-rated ................................................. $11,293 $10,512 $(3,567) $ 185
Other investment grade . . . . ..................................... 8,521 6,488 (2,405) 2,950
Below investment grade . . . ..................................... 5,253 3,032 (815) 1,138
Total . . ................................................. $25,067 $20,032 $(6,787) $4,273
MTA loans:
AAA-rated ................................................. $ 8,818 $ 5,803 $(2,086) $ 57
Other investment grade . . . . ..................................... 5,375 3,290 (1,423) 377
Below investment grade . . . ..................................... 5,413 3,024 (1,230) 299
Total . . ................................................. $19,606 $12,117 $(4,739) $ 733
(1) 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.
Table 35 shows the percentage of unpaid principal balance at December 31, 2008 based on the rating of available-for-
sale non-agency mortgage-related securities backed by Alt-A and other loans and MTA loans as of December 31, 2008 and
March 2, 2009.
Table 35 — Ratings of Available-For-Sale Non-Agency Mortgage-Related Securities backed by Alt-A and Other Loans
and MTA Loans at December 31, 2008 and March 2, 2009
Percentage of Unpaid Principal Balance at December 31, 2008 December 31, 2008 March 2, 2009
Credit Rating as of
Alt-A and other loans:
AAA-rated ................................................................... 45% 28%
Other investment grade ........................................................... 34 25
Below investment grade . . . ....................................................... 21 47
Total. . .................................................................... 100% 100%
MTA loans:
AAA-rated ................................................................... 45% —%
Other investment grade ........................................................... 27 4
Below investment grade . . . ....................................................... 28 96
Total. . .................................................................... 100% 100%
Cash and Other Investments Portfolio
Table 36 provides detail regarding our cash and other investments portfolio.
Table 36 — Cash and Other Investments Portfolio
Fair
Value
Average
Maturity
(Months)
Fair
Value
Average
Maturity
(Months)
Fair
Value
Average
Maturity
(Months)
2008 2007 2006
December 31,
(dollars in millions)
Cash and cash equivalents .................................... $45,326 G3 $ 8,574 G3 $11,359 G3
Investments:
Available-for-sale securities:
Non-mortgage-related securities:
Commercial paper
(1)
................................... — N/A 18,513 G3 11,191 G3
Asset-backed securities
(2)
............................... 8,794 N/A 16,588 N/A 32,122 N/A
Obligations of states and political subdivisions
(2)
............... — N/A — N/A 2,273 363
Total available-for-sale non-mortgage-related securities
(3)
........ 8,794 35,101 45,586
Federal funds sold and securities purchased under agreements to resell:
Federal funds sold and Eurodollars . . . ......................... — N/A 162 G3 19,778 G3
Securities purchased under agreements to resell. ................... 10,150 G3 6,400 G3 3,250 G3
Subtotal ........................................... 10,150 6,562 23,028
Total cash and other investments portfolio ......................... $64,270 $50,237 $79,973
(1) Beginning in the second quarter 2008, all investments in commercial paper with maturities of less than 3 months were entered into for working capital
purposes and were classified as cash and cash equivalents.
(2) Consists primarily of securities that can be prepaid prior to their contractual maturity without penalty.
(3) Credit ratings for most securities are designated by no fewer than two nationally recognized statistical rating organizations. At December 31, 2008, 99%
of these securities were rated A or better. At December 31, 2007 and 2006, all of our available-for-sale non-mortgage-related securities were rated A or
better.
107 Freddie Mac