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
| ||||||||||||||||||
| 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 | ||||||