why continually ramp anz down??, page-24

ctindale,

Interestingly, these are all bought protection deals where ANZ has bought insurance on various reference credits. The $1,140m would be the MTM profit ANZ has made on the deals (due to risk of reference credits defaulting & general credit spread blow out), but it has then provisioned some of this due to crappy counterparties including monolines. Presumably ANZ lost a similar $1,140m on the sold protection side. Thus to lose money not only do the underlying reference credits need to default, but the counterparty to the bought protection also has to default. Most of the MTM is to AAA rated counterparties - this would seem pretty safe to me, assuming real AAA and not dodgy rating agency AAA :--))