When Barclays Capital revealed details of its recent $12.3 billion Protium Finance transaction (see Credit exposures: Barclays pays up for Protium protection, Euromoney, October 2009), it was widely seen as an attempt to mitigate its exposure to monoline guarantor risk. Now we know why. The 10Q report filed by Ambac Assurance in early November makes for grim reading.
"Ambac’s liquidity is currently insufficient to fund its needs beyond the near term and failure to successfully execute on its current strategies could result in it running out of liquidity in the second quarter of 2011 or potentially sooner," the company warned. "As a result of Ambac Assurance’s deteriorating financial condition, regulators could commence delinquency proceedings."
Net inflow
The company is certainly flirting with disaster. It had a cushion of just $306 million above its minimum statutory capital limit at...
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