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December 1st, 2009 at 8:06 pm
What document is this from? It looks like there aren’t going to be many losses on these swaps, or am I misreading this?
December 1st, 2009 at 8:17 pm
From the latest 10-q.
You are reading right, the losses are no way near reaching the AIG attachment points and the swaps have a very short life left, so nothing there to worry about, contrary to popular opinion.
December 1st, 2009 at 10:00 pm
That’s what I thought, but the ZH piece kinda wrongfooted me, pointing to an 8K filed in June. Marla is supposedly the old finem respice, or equity private… her stuff is supposed to be better than that. Too bad.
December 1st, 2009 at 10:32 pm
well, i have no idea who she is, but the 10-q shows that collateral calls have reversed since the first quarter, that is AIG is getting collateral back not surprising given the improvements in credit markets. any way the calls on the regulatory capital CDS were small vs the notional exposure, maximum was around $1287 million now down to $335 million.
December 3rd, 2009 at 4:33 pm
hmm… what are the “trades” in these regulatory capital deals? or rather, what is the underlying collateral? the corporate loan portfolio looks a little like the underlying collateral is CLOs, but the initial attachment point is too low for AAA levels.
so that could mean that they were individually tailored “baskets” of underlying corporate exposures or just straight protection written against the investment grade CDX.
how about the “prime mortgage portfolio”? what were the referenced deals? based on some of the deal sizes ($32 billion, $24 billion, $11 billion…) i would assume that this means they can’t be individual MBS deals or CDOs. which would leave large portfolios of whole loans or MBS bonds. how were these structured and how were the attachment points set? what was this particular business, since i have never seen it described anywhere…
December 3rd, 2009 at 4:44 pm
also, look at deal 11 in the prime mortgage portfolio: $32 billion gross notional, with an $18.9 bn net notional, which represents 59% of the gross. the attachment point is 18.25% (that’s how much is below AIG). but 22.75% is still missing (the difference between the gross and the net). this would appear to mean that the $18.9 bn net notional is a mezzanine position, and there is a 22.75% position senior to AIG. this sounds like the “Smart Home” credit linked note structure that Radian did. I wonder who the counterparty was for this portfolio and what impact this deal had on their portfolio.
December 3rd, 2009 at 5:27 pm
there is a link to the 10-q in my first comment.
we are talking (tranched) pools of whole loans and mortgages from the banking book for these CDS, not structured products, so the AIG position is straight forward second loss, or so they say.
w.r.t. deal 11, note a applies: “As a result of participation ratios and replenishment rights, the attachment point may not always be computed by dividing net notional amount by gross transaction notional amount.”
it needs not be a mezzanine, could be straight share with some other entity.