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# MBIA Inc. Message Board

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

## FREAKING MATH HELPS

... 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 ?

• 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"
* 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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