Freddie Mac 2008 Annual Report Download - page 99

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Table 25 provides an analysis of investments in available-for-sale non-agency mortgage-related securities backed by
subprime loans, Alt-A and other loans and MTA loans in our mortgage-related investments portfolio at December 31, 2008.
Table 25 — Investments in Available-For-Sale Non-Agency Mortgage-Related Securities backed by Subprime Loans,
Alt-A and Other Loans and MTA Loans in our Mortgage-Related Investments Portfolio
Non-agency mortgage-related securities backed by:
Unpaid
Principal
Balance
Amortized
Cost
Gross
Unrealized
Losses
Collateral
Delinquency
(1)
Original
% AAA
(2)
December 31, 2008
% AAA
Current
% AAA
(3)
Current
Investment
Grade
(4)
As of December 31, 2008
(dollars in millions)
Subprime loans:
First lien . . . . . . . . . . . . . . . . ....... $74,070 $70,957 $(18,934) 38% 100% 29% 28% 56%
Second lien . . . . . . . . . . . . . . ....... 769 442 (211) 13% 100% —% —% 10%
Total non-agency mortgage-related
securities, backed by subprime loans . . . . $74,839 $71,399 $(19,145) 38% 100% 28% 28% 55%
Alt-A and other loans and MTA loans:
Alt-A . . . . . . . . . . . . . . . . . . ....... $21,015 $17,241 $ (5,448) 17% 100% 51% 31% 48%
MTA.......................... 19,606 12,117 (4,739) 30% 100% 45% —% 4%
Other
(5)
........................ 4,052 2,791 (1,339) 100% 12% 12% 80%
Total non-agency mortgage-related
securities, backed by Alt-A and other
loans and MTA loans . . . . . . . . ....... $44,673 $32,149 $(11,526) 100% 45% 16% 32%
(1) Determined based on loans that are 60 days or more past due that underlie the securities and based on the unpaid principal balance and servicing data
reported for December 31, 2008.
(2) Reflects the composition of the portfolio that was AAA-rated as of the date of acquisition of the security based on the unpaid principal balance and the
lowest rating available.
(3) Reflects the AAA-rated composition of the securities as of March 2, 2009, based on the unpaid principal balance and the lowest rating available.
(4) Reflects the composition of these securities with credit ratings BBB– or above as of March 2, 2009, based on the unpaid principal balance and the
lowest rating available.
(5) Includes securities backed by FHA/VA mortgages, home equity lines of credit and other residential loans.
96 Freddie Mac