ljm vince / stinson :
the following is an update on ljm deal :
1 ) i participated on a conference call with aa ( jitendra and others ) and our
accounting / credit group ( wes , bill bradford and others ) yesturday , in which
we discussed the best approach for definining credit reserves at year - end for
the puts we own .
2 ) a big chunck of the meeting was dedicated to explain aa the details of the
deal . little progress was made on achieving the meeting ' s goal .
3 ) apparently , accounting did want to expose the calculation we made for puts
value that considers credit risk - the two factor model we developed . that
line of action was implied on a pre - meeting we had early that morning . from
my understanding , accounting argues that we should not make any credit
reserve because we could not liquidate our position by year - end .
4 ) at a certain point jintendra suggested me to use a two factor
mc - simulation for calculating the position with credit risk . the approach is
actually a more simplified version of the model we have . i and nobody
mentioned the results we got from our 2 - factor model .
5 ) at that same afternoon i knew from accounting that we are in a process of
unwinding our position .
these are the main points . please let me know if need more details .
paulo issler
ljm
vince / stinson :
the following is an update on ljm deal :
1 ) i participated on a conference call with aa ( jitendra and others ) and our
accounting / credit group ( wes , bill bradford and others ) yesturday , in which
we discussed the best approach for definining credit reserves at year - end for
the puts we own .
2 ) a big chunck of the meeting was dedicated to explain aa the details of the
deal . little progress was made on achieving the meeting ' s goal .
3 ) apparently , accounting did want to expose the calculation we made for puts
value that considers credit risk - the two factor model we developed . that
line of action was implied on a pre - meeting we had early that morning . from
my understanding , accounting argues that we should not make any credit
reserve because we could not liquidate our position by year - end .
4 ) at a certain point jintendra suggested me to use a two factor
mc - simulation for calculating the position with credit risk . the approach is
actually a more simplified version of the model we have . i and nobody
mentioned the results we got from our 2 - factor model .
5 ) at that same afternoon i knew from accounting that we are in a process of
unwinding our position .
these are the main points . please let me know if need more details .
paulo issler