Exhibit 99.1
Additional Information on Investments Backed by Sub-prime Mortgage Loans
Mortgage-backed and Asset-backed Securities Collateralized by Sub-prime Mortgage Loans as of June 30, 2007:
(Amounts in Millions) | Estimated Fair Value by Year of Loan Origination | |||||||||||||||||
2004 and Prior | 2005 | 1st Half 2006 | 2nd Half 2006 | 2007 | Total | |||||||||||||
Rating | ||||||||||||||||||
AAA | $ | 200 | $ | 223 | $ | 104 | $ | 219 | $ | 129 | $ | 875 | ||||||
AA | 84 | 119 | 83 | 40 | 191 | 517 | ||||||||||||
Subtotal | 284 | 342 | 187 | 259 | 320 | 1,392 | ||||||||||||
A | 137 | 262 | 219 | — | — | 618 | ||||||||||||
BBB | 49 | 63 | 3 | — | — | 115 | ||||||||||||
Total mortgage-backed and asset-backed securities collateralized by sub-prime mortgage loans | $ | 470 | $ | 667 | $ | 409 | $ | 259 | $ | 320 | $ | 2,125 | ||||||
Additional Information on Investments Backed by Alt-A Mortgage Loans
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Mortgage-backed and Asset-backed Securities Collateralized by Alt-A Mortgage Loans as of June 30, 2007: | ||||||||||||||||||
(Amounts in Millions) | Estimated Fair Value by Year of Loan Origination | |||||||||||||||||
Rating | 2004 and Prior | 2005 | 1st Half 2006 | 2nd Half 2006 | 2007 | Total | ||||||||||||
AAA | $ | 259 | $ | 278 | $ | 141 | $ | 43 | $ | 90 | $ | 811 | ||||||
AA | 54 | 288 | 111 | — | 19 | 472 | ||||||||||||
Subtotal | 313 | 566 | 252 | 43 | 109 | 1,283 | ||||||||||||
A | 63 | 149 | 78 | 7 | 3 | 300 | ||||||||||||
BBB | 9 | 18 | 20 | — | — | 47 | ||||||||||||
Total mortgage-backed and asset-backed securities collateralized by Alt-A mortgage loans | $ | 385 | $ | 733 | $ | 350 | $ | 50 | $ | 112 | $ | 1,630 | ||||||