Swiss Re hit by sub-prime losses 1.07bn

news.bbc.co.uk/2/hi/business/7101225.stm

This lot are a reinsurance company who now say they are working to improve their financial risk taking they just got caughtfor $1.07bn

They marked the value of their subprime book to 62% of face value, and marked the value of their asset-backed CDOs to zero!

I wonder how many other places have marked their ABS CDOs to zero.

Crikey! CDOs lower than subprime. This must be some of the DOT.COM rubbish!

Not that i know what’s in these CDOs specifically, but it would make sense that even the top tranches of a subprime ABS pool are rated a lot higher than any CDOs made from the lower trances of the same ABS pool. If they expect to lose 38% on the top tranch ASB, the lower trances are long dead.

Still, it’s impressive to see a 100% capital write-down on what were likely AAA rated securities, and worth full or nearly value just 6 months ago.

Tell me are CDO’s level 3 assets? could this 100% right down be used by auditors using the FASB 157 to value other level 3 assets if it is?

I would think so.