AMBAC Fincl responds to Moody's comment on second lien RMBS
Briefing.com
Posted: 2008-05-14 15:19:00
Co responded to Moody's May 13, 2008 announcement about the poor performance of certain second lien RMBS and its impact on financial guarantor ratings. In response to the reports, Ambac states the following "(all amounts as of March 31, 2008): -- As reported on its web site, Ambac has closed end second lien ("CES") exposure amounting to approximately $0.1 bln, $3.5 bln and $1.0 bln in vintage years 2005, 2006 and 2007, respectively. -- Ambac has home equity line of credit ("HELOC") exposure amounting to approximately $2.0 bln, $2.7 bln and $4.1 bln in vintage years 2005, 2006 and 2007, respectively (similarly reported on its web site). -- Ambac has no material exposure to subprime borrowers in either asset class. The estimated range of average FICO scores for borrowers within pools we've insured in these asset classes is 695 - 745. -- Ambac analyzes these portfolios on a transaction by transaction basis using the most recent actual performance data and projecting future performance using "roll rate" analysis..."
