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Ambac Commutes CDO Exposure

November 20, 2008

Ambac Financial Group said yesterday that it has commuted two CDO of CDO of ABS exposures and two high grade CDO of ABS exposures.

The four deals, with a combined worth of roughly $3.5 billion notional outstanding at Sept. 30 were settled with counterparties in exchange for a total cash payment by Ambac Assurance Corp. of $1.0 billion.

The two CDO-squared transactions originally comprised collateral consisting of A-rated CDO of ABS tranches, and the two high grade CDO of ABS exposures that were intially made up of collateral consisting of ABS deals rated A- or higher. Most of the collateral had been downgraded to below investment grade since the start of the transactions. All four of the transactions had been internally downgraded to below investment grade.

For more information on related topics, visit the following:

• ABS