What ties the SIGTARP report, Goldman Sachs CDOs and the mounting concern that is US commercial real estate altogether?
The most recent breakdown of the Federal Reserve’s Maiden Lane III portfolio. That is, of course, the SPV created by the central bank to bail-out AIG by buying up the underlying collateral (those asset-backed CDOs) from some of the stricken insurer’s counterparties.
Here’s the third-quarter snapshot:
Watch that commercial real estate CDO bit carefully. It’s a big change from the last update on the portfolio:
Which means that the percentage of the Maiden Lane III CRE CDO portfolio rated AAA has fallen dramatically from 16.7 to 1.9 per cent in just three months. Most of that looks to have shifted to the A+ to A- bucket — still investment grade, but sliding steadily down the ratings table. And very quickly.
(H/T ZeroHedge).
Related links:
Maiden losses for the Fed – FT Alphaville
A walk down Maiden Lane – Willem Buiter’s Maverecon