Swiss Re taking 1.1 bn USD writedown

[Late Registration]

Swiss Re had written protection on a 5.3 bn CHF portfolio consisting mainly of mortgage backed securities. The ABS CDO portion of the portfolio that was initially valued at nearly 1 bn CHF is now worth 0.

A link to Swiss Re's presentation about the new writedown can be found at: http://www.swissre.com/resources/5cb...1119_Final.pdf

[axjoke]

Originally Posted by Late Registration

Swiss Re had written protection on a 5.3 bn CHF portfolio consisting mainly of mortgage backed securities. The ABS CDO portion of the portfolio that was initially valued at nearly 1 bn CHF is now worth 0.

A link to Swiss Re's presentation about the new writedown can be found at: http://www.swissre.com/resources/5cb...1119_Final.pdf

Notice the Wrapped ABS is only trading at 94 cents on the dollar. Is this a function of decreased faith that the Monolines will be able to pay up?

[Oliver Klozov]

I read on article detailing the analyst conference-call regarding this write-down. One analyst pointed out that these securities were in the AAA tranches, and that they were only earning an extra 12 bps over treasuries. The analyst further pointed out that the European insurance sector fell 2% as a result of this write-down for an extra 5 million in Swiss francs.

[axjoke]

Originally Posted by Oliver Klozov

I read on article detailing the analyst conference-call regarding this write-down. One analyst pointed out that these securities were in the AAA tranches, and that they were only earning an extra 12 bps over treasuries. The analyst further pointed out that the European insurance sector fell 2% as a result of this write-down for an extra 5 million in Swiss francs.

Any links? 12bps is pretty crazy for only like 3% subordination.