Monday, December 20, 2010

RAM Model

(Link added to model at bottom of page 1/16/11.)
https://spreadsheets.google.com/pub?key=0AlFMaAd3v9o0dGtoeFp3bGw3VmlBSXdQbWc1amowcFE&output=html

This is a very rough model for looking at what type of quarter Ram Holdings will report. The culmination is a poor expectation of statutory losses for the quarter. A similar model for Q2 produced a Stat number that was $1.5mm away from the reported gap number ($3mm vs. $1.5mm). Jefferson Co. Swr had a favorable court ruling/receivership appointment sometime around the end of the 3rd  but maybe in the 4th quarter. Improvement in expected recoveries on those deals (ceding from FGIC and SGI I believe) could make for a slight to meaningfully better number.

Units 9/30/2010                FGIC AGM AGC SGI         Total
mm Primary NPO                        $58,347 $351,494 $123,500 $19,500
mm Predicted RAM Ceded NPO* $1,366 $10,500 $3,132 $4,002 $19,000
m Stat Losses Incurred        -$720 $36,003 $21,849 $14,666
m Losses Ceded Total        $8,687 $17,782 $2,291
m YTD Stat Losses Incurred $448,923 $286,245 $189,053 -$25,465
m YTD Losses Ceded         $145,653 $61,237 $13,204
mm NPO Change 4Q09
mm NPO Change 3Q09
% RAM/Total Ceded Rate             n/a 4.20% 24.42% n/a
m Predicted RAM Ceded Loss -$17   $365 $4,342 $1,375 $6,065















Units 6/30/2010 FGIC AGM AGC SGI Total
mm Primary NPO $64,585 $358,700 $124,600 $19,909
mm Predicted RAM Ceded NPO* $1,524 $11,150 $3,096 $3,910 $19,680
mm NPO Muni $525
mm MBS $112
mm CDO HY                          $177
mm Other ABS $239
mm Intl $472
m Stat Losses Incurred $86,428 $238 $1,883 -$40,131 $48,418
m Losses Ceded Total $2,040 -$7,213 $6,269 $3,430 $4,526
m YTD Stat Losses Incurred $444,096 $250,242 $167,204 -$56,533 $805,009
m YTD Losses Ceded $136,966 $43,455 $10,913 $191,334
mm NPO Change 4Q09 -$84 -$456 -$141 -$681
mm NPO Change 1Q10 -$23 $245 -$49 $173
m Loss/Ram Ceded Rate $2,040 -$593 $404 -$2,536 -$685
Predicted RAM Ceded Loss $2,040 -$1,154 $5,391 -$2,536 $3,056



https://spreadsheets.google.com/pub?key=0AlFMaAd3v9o0dGtoeFp3bGw3VmlBSXdQbWc1amowcFE&output=html

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