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MBIA Inc. Message Board

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  • nilsdegraaf nilsdegraaf Feb 18, 2010 6:40 AM Flag


    ... and the 400m Credit Suisse put backs to be booked last quarter.

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    • I feel sorry but can you post the link showing 400m credit suisse ?

      • 1 Reply to tscottrade
      • That was a quick conservative estimate of the expected revoveries on the Credit Suisse deal. However, I must admit that I don't expect these recoveries to be booked over Q4 unless MBIA opts for booking put back recoveries based on "extrapolation" (similar to what Ambac did over Q3).

        Below the maths:

        First a gestimate of the expected losses on the CS deal (based on the lawsuit information):

        * "a total of $464m of loans have already defaulted"
        * "MBIA made $296m of payments already"
        * I guess the difference between the two being the attachment point, i.e. $168m, ca. 19%
        * "from a random sample of defaulted loan files, 79% breached reps & warranties"
        * "51.5% of the pool already has defaulted"

        Let's assume MBIA made reservations based on another 50% losses on the remaining outstanding pool:
        * 50% over 436 of loans = $218m

        Total losses: $464 + $218 = $682m (over a 900m deal)

        Loss threshold: 168m

        Total losses and loss estimates booked by MBIA:

        * $682m - $168 = $514m

        Total put back recoveries to be expected:
        * Assume 79% put backs: 79%* 682m = $539m
        * Since the $539m is larger than the expected losses, MBIA will book, some day, a recovery of $514m minus
        the $78m already reported, i.e. $436m (514-78)

        This $436m recovery is the number they

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