|
|
 | | | |
- close
- close
- close
- close
This excerpt taken from the ALL 10-Q filed Aug 6, 2008. Other asset-backed securities
consist primarily of investments secured by portfolios of credit card loans,
auto loans, student loans and other consumer and corporate obligations. As of June 30, 2008, the net unrealized
losses on these securities were $99 million. Additionally, 22.1% of the other
asset-backed securities that are rated Aaa, Aa, A and Baa were insured by five
bond insurers. During the second quarter
and first six months of 2008, we sold $4 million and $25 million of these
securities, respectively, recognizing a gain of $1 million and $2 million,
respectively. In addition, we acquired
$11 million of securities during the first six months of 2008. We also collected $5 million and $10 million
of principal repayments consistent with the expected cash flows during the
second quarter and first six months of 2008, respectively.
As of June 30, 2008, we hold $13.55 billion of fixed income securities that are insured by bond insurers, including approximately $12.64 billion or 51.7% of our municipal bond portfolio, $550 million of our ABS RMBS and $329 million of our other asset-backed securities. Additionally, we hold $4 million of corporate bonds and credit default swaps that were directly issued by these bond insurers. 51.7% of our municipal bond portfolio is insured by eight bond insurers and 55.4% have a Moody’s equivalent rating of Aaa or Aa. Our practices for acquiring and monitoring municipal bonds primarily are based on the quality of the underlying security. As of June 30, 2008, we believe the valuations already reflected a decline in the value of the insurance, and further such
62
declines if any, are not expected to be material. While the valuation of these holdings may be temporarily impacted by negative and rapidly changing market developments, we continue to have the intent and ability to hold the bonds and expect to receive all of the contractual cash flows. As of June 30, 2008, 32.8% of our insured municipal bond portfolio was insured by MBIA, 25.2% by AMBAC, 18.7% by FSA and 18.1% by FGIC.
Included in our municipal bond portfolio at June 30, 2008 are $2.01 billion of auction rate securities (“ARS”) that have long-term stated maturities, with the interest rate reset based on auctions that generally occur every 7, 28 or 35 days depending on the specific security. This is compared to a balance of ARS at December 31, 2007 of $2.56 billion, with the decline representing primarily redemptions during the second quarter of 2008. Our holdings primarily have a Moody’s equivalent rating of Aaa. We make our investment decisions based on the underlying credit of each security. Approximately $1.92 billion of our holdings are pools of student loans for which at least 85% of the collateral was insured by the U.S. Department of Education at the time we purchased the security. As of June 30, 2008, $1.3 billion of our ARS backed by student loans was 100% insured by the U.S. Department of Education, $383 million was 90% to 99% insured and $178 million was 80% to 89% insured. During the second quarter of 2008, all of our ARS holdings experienced failed auctions and we received the failed auction rate or, for those which contain maximum reset rate formulas, we received the contractual maximum rate. We anticipate that failed auctions may persist and most of our holdings will continue to pay the failed auction rate or, for those that contain maximum rate reset formulas, the maximum rate, as described below. Auctions continue to be conducted as scheduled for each of the securities.
We estimate that approximately one third of our student loan backed ARS include maximum rate reset formulas whereby when the failed auction rate exceeds an annual contractual maximum rate over a preceding stipulated period, the coupon interest rate is temporarily reset to the maximum rate, which can vary between zero and the failed auction rate. This maximum rate formula causes the reset interest rate on these securities to be lower than the failed auction rate in order to reduce the annual interest rate so that it does not exceed the annual contractual maximum rate. Generally, the annual contractual maximum rate is higher than the historical rates paid on these securities. During the second quarter of 2008, $291 million of our ARS reset using the maximum rate reset formula.
This excerpt taken from the ALL 10-Q filed May 8, 2008. Other asset-backed securities
consist primarily of investments secured by portfolios of credit card loans,
auto loans, student loans and other consumer and corporate obligations. As of March 31, 2008, the net unrealized
losses on these securities was $81 million. Additionally, 17.8% of the other asset-backed
securities that are rated Aaa were insured by five bond insurers.
This excerpt taken from the ALL 10-Q filed Oct 31, 2007. Other asset-backed securities consist primarily of investments secured by portfolios of credit card
loans, auto loans, student loans and other consumer and corporate obligations.
Included in our mortgage-backed fixed income securities are Alt-A mortgage-backed securities at fixed or variable rates. The following table presents information about the collateral in our Alt-A holdings.
| EXCERPTS ON THIS PAGE:
| ||||||||||||||||||||||||||||||||||||||||||||
| |||||||
