Update: Unredacted AIG Schedule A Released And Initial Data Spread
Update: here is a first run of the data, with a focus on Goldman Sachs.
It appears that of the roughly 38 Goldman CUSIPs which have data available, there are exactly zero rated A or higher by Moody's (we ignore the rating from the other rating agency as they apparently have long stopped rating most of these securities). There are 9 CUSIP issued after 2006, 21 between 2005 and 2006, and 8 issued before 2005. As Matt Goldstein points out, of the 25 or so deals that had CDS written on them after January 1, 2006, Goldman accounts for 40% of this late (post 2005) issuance. Goldstein notes: "that’s critical because in December 2007, former AIG Financial Products
head Joseph Cassano had said AIG largely got out of the CDS business by
the end of 2005." Some more reasons to finally indict the man who, more so than anyone, cost taxpayers hundreds of billions with horrendous risk management practices.
Another observation is that of Goldman's roughly $15.7 billion in original issues, the current amount outstanding on the underlying securities is only $11.7 billion as of January 2010, a factor of about 75%. Yet, based on paid down amounts, Goldman had the benefit of having almost the full contractual notional on the CDS: recall per BlackRock the firm had exposure of roughly $14.5 billion. In other words: even though Goldman was on the hook for about $11.7 billion in actual outstandings (as of January 2010, the current amount in November 2008 was likely higher), the amount that it received between collateral and ML III presumed almost an unamortized exposure. We are backing into the data to determine what the actual amount as of November 2008 was: we estimate it was about ~$13 billion, which unless we are misreading the data, means that Goldman likely got the extra benefit of amortization on the underlying, which could have amounted to over $1.5 billion.
Yet the critical question is: since there is not one security rated A, and in fact the median rating is a high C, and since we know that Soc Gen had parked its securities with the Fed in November 2008, just what standards does the Federal Reserve have when accepting securities in the discount window to lend against? And the implication is that Bernanke will allow any toxic crap to be eligible collateral, likely at par.
We will continue analyzing the other firms' securities as well, and solicit reader input in ideas on how to steer this analysis.
The previously top-secret Schedule A has been released and is attached. We are currently going through the data, focusing on prices, ratings, LTVs and other taxpayer critical data. Stephen Friedman saying, as we type, that revealing Schedule A will injure the taxpayer interest, as when the Fed will try to sell these CUSIPs, sophisticated buyers will have an advantage. Of course, we note, these sophisticated buyers will exist only because this list was offloaded to the taxpayers in the first place.
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