Mr Cooper Group Inc (COOP)

[hotmeat]

See pg 51 of the June, 2008 10Q, the figures quoted are already the Fair Value of these assets at that time. There was very little depreciation because the bulk of the AFSS was MBS's and of that the vast majority were rated AAA. Here is the breakdown.....

FV- Fair Value / BV- Book Value / PV- Par Value




Available for sale securities- Total MBS: $18.241B (all FV/BV)



AAA: $17.49B (BV as % of PV = 95%) loss in value = $920.53M

AA: $416M (BV as % of PV = 56%) loss in value = $326.86M

A: $108M (BV as % of PV = 41%) loss in value = $155.4M

BBB: $84M (BV as % of PV = 32%) loss in value = $178.5M

Below Investment Grade: $143M (BV as % of PV = 18%) loss in value = $651.4M


The total unrealized loss on the MBS portion of the AFSS was ~$2.23B (12.23%), once the assets were NOT sold.