Question-and-Answer Session
Operator
(Operator Instructions) Your first question comes from the line of [Daniel Kim] – JP Morgan.
[Daniel Kim] – JP Morgan
I guess my question is about the $1.1 million refund. Who are the counterparties? The estimated refund that recovery.
Edward Chaplin
We have made public some of the names of the seller/servicers that we do business with. Countrywide is the largest of the seller/servicers with whom we have put backs. We have also disclosed that ResCap is one of the players. The two of them account for the lion's share of the put back rights that we have at this time.
[Daniel Kim] – JP Morgan
Is this estimate based on your conversation with them or just based on your assumptions on the performance of their collaterals?
Edward Chaplin
No, it's based on an evaluation of the mortgage loan files themselves related to the underwriting and compliance guidelines that the seller/servicers [inaudible] to us at the time of the securitization.
[Daniel Kim] – JP Morgan
Am I correct in understanding that to date you haven't actually received any recoveries yet?
Edward Chaplin
We have received some recoveries, yes.
[Daniel Kim] – JP Morgan
How much would that be?
Edward Chaplin
The recoveries that we've received is not material at this point relative to the amount of the recovery that we're taking into the income statement this quarter.
[Daniel Kim] – JP Morgan
In the CMBS synthetic CDO obligations, are they all pay as you go?
Edward Chaplin
Our synthetic CDO transactions including the CMBS pulls all have the characteristic where, as credit events occur and are reported to us, we count those credit events against a deductible. And then when the credit events get to be in excess of the deductible or if they become in excess of the deductible, we would pay on each then subsequent credit event.
[Daniel Kim] – JP Morgan
So are they all like that or only some of them?
Edward Chaplin
I'd say the lion's share have that characteristic, yes.
[Daniel Kim] – JP Morgan
And of the about $35 billion of synthetic CMBS you mentioned, what was the average attachment point on those deals?
Edward Chaplin
In our disclosure, we do provide some information on that and I believe what we show is that the range of attachment points is 5% to about 80%.
Unidentified Corporate Participant
Depends on the underlying collateral attachment point, so for lower investment grade collateral, you'll have much higher attachment points, 30% to 80%. For triple A type collateral underlying, you'll have your high single-digit type collateral.
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