Exhibit 99.1
Additional Information on Investments Backed by Alt-A Mortgage Loans
Mortgage-backed and Asset-backed Securities Collateralized by Alt-A Mortgage Loans as of June 30, 2007:
| Estimated Fair Value by Year of Loan Origination | |||||||||||||||
| Rating |
2005 and Prior |
First Half 2006 |
Second Half 2006 |
2007 |
Total | ||||||||||
| AAA |
$ | 537 | $ | 141 | $ | 43 | $ | 90 | $ | 811 | |||||
| AA |
342 | 111 | — | 19 | 472 | ||||||||||
| Subtotal |
879 | 252 | 43 | 109 | 1,283 | ||||||||||
| A |
212 | 78 | 7 | 3 | 300 | ||||||||||
| BBB |
27 | 20 | — | — | 47 | ||||||||||
| Total mortgage-backed and asset-backed securities collateralized by Alt-A loans |
$ | 1,118 | $ | 350 | $ | 50 | $ | 112 | $ | 1,630 | |||||