Beruflich Dokumente
Kultur Dokumente
abx price movements ABX tranche change: from time of CBS memo to AIG bailout
via JPM abs CDO weekly 5/23/08 via JPM abs CDO weekly 5/23/08 via markit 12/07 to 9/08 9/08 to 1/10 12/07 to 1/10
abx 06-1 price11/07 price 12/20/07 price 9/18/08 price 1/15/10 points % points % points %
AAA 93.5 88.78 82.56 4.72 5% 6.22 7% 10.94 12%
AA 85.29 52.29 35 33.00 39% 17.29 33% 50.29 59%
A 62.25 18.01 10.63 44.24 71% 7.38 41% 51.62 83%
BBB 34.54 9.03 4.28 25.51 74% 4.75 53% 30.26 88%
total ABX marked par $ 52,937.1 total marked par plus 2002-03 deals $ 55,084.5
% of total AIG portfolio 79.3% 82.6% 17.3%
2002-03 deals
CBS mark 11/07 $ 2,086.217
ABX mark 12/07 $ 2,147.324
ABX mark 9/08 $ 2,147.324
ABX mark 1/10 $ 2,147.324
total HG FMV as % of par (incl. 02-03 deals) total Mezz FMV as % of par
CBS mark 11/07 85% CBS mark 11/07 79%
ABX mark 12/07 92% ABX mark 12/07 51%
ABX mark 9/08 45% ABX mark 9/08 13%
ABX mark 1/10 31% ABX mark 1/10 7%
total implied FMV % of par iextrapolating marked portfolio to total portfolio (marked portfolio/%of total portfolio)
CBS mark 11/07 $ 45,915.763 86.7% $ 57,877.47 86.7%
ABX mark 12/07 $ 45,482.550 85.9% $ 57,331.40 85.9%
ABX mark 9/08 $ 20,819.318 39.3% $ 26,243.04 39.3%
ABX mark 1/10 $ 14,053.601 26.5% $ 17,714.76 26.5%
notes: 14/01/2010
General:
1 Abacus deal info very incomplete and inconsistent. AIG memo indicates $5.2 bn of abacus exposure;
public data indicates total deal size of referenced deals as $4.1 bn
2 As of 1/14, deal info available on about 83% of deals. 6 deals have missing info on the non-listed CP
classes. Based on the average CP class size in other deals (typically over $1 bn), these 6 missing
classes, if completed, could bring completed deal amounts to over 90%
3 List gives full credit to amount of class indicated in AIG memo. It is possible AIG did not insure the
full class
4 Based on offering document information, in several instances, the bank for the deal is different from
the counterparties on AIG's list. This indicates that the counterparty bought the bonds on the open
market. Note the Soc Gen deals - where Goldman was often the banker. goldman often "bought"
deals from other banks.
5 The spreadsheet note "double count" indicates that the full class size is being allocated to one
counterparty. Iin reality, it was sold to a number of counterparties. I can't determine how this would
have been allocated.
6 AIG memo does not mention amount of Soc Gen collateral call as of 11/07
7 Collateral calls indicated by AIG are generally less than the amounts indicated by the marks on the
memo; may indicate that the numbers were being negotiated by the parties
8 Deal managers: TCW, ICP, Vanderbilt and Goldman were the biggest users of AIG insurance. TCW's
amount is 2x next largest manager
9 Class and deal par amounts are based on origination values. Some amortization of principal may
have occurred