Fitch: As of July 2007: Industry gross insured ****tfolio =
$2.5trillion; industry shareholder equity = $24.5bn.
The industry guarantees $1.2trillion municipal bonds and around
$800-900bn in structured finance products. CDS ****tfolio is $463bn
(net seller). $287bn (or 61%) of CDS written on cor****ate bonds; 14%
on RMBS.
Ackman from Per****ng: detailed data show that MBIA, Ambac may each
lose $11.6bn ("Open Source Model"); $15bn bail-out envisaged by
regulators insufficient.
Thain, Egan-Jones, Independent Strategy: Private-sector financed
solution unlikely, need capital themselves, asymmetric exposure
Egan-Jones: insurers probably need more than $200 billion to keep
their "AAA" ratings in the face of the $80bn expected losses in the
industry, not $15bn.
JPMorgan: insurers are sitting on $41bn of losses
Oppenheim: Citigroup, Merrill Lynch and UBS together stand to lose 45
percent of the total if insurers are downgraded--> risks are
concentrated among those banks, not systemic. ACA Capital Holdings
downgrade to CCC provoked $1.9bn counterparty writedown at Merrill
Lynch. If we multiply that by 8 monoliners we are close to $15bn
Davies: The average ratio of monoline equity to total net exposure is
about 1%, so a new vehicle operating on a similar basis would need
more than $21bn to take on the full $2,400bn in existing industry
liabilities.
Also: six biggest insurers' most toxic exposures amount to about
$130.7bn, suggesting starting point for equity of only about $1.3bn
for a new vehicle.
nc: Banks and securities firms posted ***ulative $133 billion of
writedowns and credit losses tied to mortgage securities in Q4, may
need $143bn additional capital if monoline downgrades worsen
(Barclay's).
(from RGE Monitor)
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