Let me preface my comments with the following: I dont have ANY insight into this particular trade and I am NOT an expert in the credit derivatives. My portfolio management experience was fixed income arbitrage - and my psoitons were mostly in the cash and futures market.
From the little info I know I hear the trades have notional values in excess of $100bil - the losses are 2% if that is accurate. Because they said they were marked improperly (mark to market - there is not "close" per se like stocks - it's model driven estimate) it implies that the positions are still open and they are marked correctly now.
That being said I dont know how much is unwound - but I will guarantee that others will press these trades lower - short more EU credit and buy US credit widening these spreads. It wouldn't be hard given the gloomy EU prospects. I would think that losses of up to 10%+ are reasonable if they are forced to unwind them.
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