Scottish Re Group Ltd (fka SKRRF)

[Enterprising Investor]

Continued recovery in the investment portfolio is crucial.

SKRRF held $2.028 billion in mortgage and asset-backed securities at 12/31/08 with significant exposure to sub-prime and Alt-A mortgage-backed securities. The investment portfolio continued to deteriorate during the first quarter of 2009, declining $144.2 million since year end.

The MBS market has really turned around since the March lows:

"Typical prices for the most-senior prime-jumbo securities rose 2 cents on the dollar last week to 84 cents, according to Barclays Capital data. Similar bonds backed by Alt-A loans with a few years of fixed rates increased 2 cents to 60 cents. The jumbo bonds are up from about 75 cents three months earlier, while the Alt-A bonds have climbed from 47 cents."

"The debt has jumped from 63 cents for the jumbos and 35 cents for Alt-As in mid-March, as investors accept lower potential yields amid a rally across debt markets and traders anticipate demand from the U.S. Public-Private Investment Program. Investment funds, banks, insurers and Wall Street brokers have been among buyers, according to Scott Buchta, head of investment strategy at Guggenheim Capital Markets LLC in Chicago." [Bloomberg 10/05/09]

http://www.bloomberg.com/apps/news?pid=20601087&sid=aWZHVsw.oK90

The value of mortgage and asset-back securities was $4.617 billion at 12/31/07.

A large portion of those net realized and unrealized losses are primarily held in the securitization structures, Orkney Re and Orkney Re II. It is important to remember that Cerberus recently purchased $700 million of the $850 million Orkney notes outstanding.