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This excerpt taken from the ALL 10-Q filed Oct 31, 2007. Alt-A mortgage-backed securities include certain securities that are
collateralized by residential mortgage loans issued to borrowers with stronger
credit profiles than sub-prime borrowers, but who do not qualify for prime
financing terms due to high loan-to-value ratios or limited supporting
documentation. At September 30, 2007, the Alt-A portfolio had net unrealized
losses of $10 million, which were comprised of $8 million of unrealized gains
and $18 million of unrealized losses. At June 30, 2007, these securities had
net unrealized losses of $5 million, which were comprised of $2 million of
unrealized gains and $7 million of unrealized losses. $734 million or 55.0% of
these securities were issued during 2006 and 2007. During the third quarter of
2007, we opportunistically acquired $233 million of Alt-A securities below par,
which are rated Aaa, and separately sold $72 million of Alt-A securities
recognizing a loss of $1 million.
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