This excerpt taken from the ALL 10-Q filed Nov 6, 2008.
CMBS: Valuation is principally based on inputs including quoted prices for identical or similar assets in markets that are not active.
This excerpt taken from the ALL 10-Q filed Aug 6, 2008.
CMBS: Valuation is principally based on inputs including quoted prices for identical or similar assets in markets that are not active and are categorized as Level 2.
This excerpt taken from the ALL 10-Q filed May 8, 2008.
CMBS totaled $6.20 billion and 100.0% were rated investment grade at March 31, 2008. Approximately 82.4% of the CMBS investments are pools of commercial mortgages, broadly diversified across property types and geographical area. The CMBS portfolio is subject to credit risk, but unlike other structured products, is generally not subject to prepayment risk due to protections within the underlying commercial mortgages whereby borrowers are effectively restricted from prepaying their mortgages due to changes in interest rates. The following table shows CMBS by type and Moodys equivalent rating.
CRE CDO are investments secured primarily by commercial mortgage-backed securities and other commercial mortgage debt obligations. These securities are generally less liquid and have a higher risk profile than other commercial mortgage-backed securities. Fair value represents 61.5% of the amortized cost of these securities. As of March 31, 2008, CRE CDO had unrealized losses of $274 million. During the first quarter of 2008, we sold $9 million of these securities, recognizing a loss of $2 million. We also collected $1 million of principal repayments consistent with the expected cash flows.