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’A CDO-esque gold investment
Hinde Capital, the London-based gold hedge fund — with an objective to outperform gold — have put out a note about what they feel are the CDO-esque qualities of the GLD gold exchange traded fund.
And yes,
Goldman’s CMBS switch
Goldman Sachs — pioneers in whacky securitisation structures — have a new one:
Aug. 3 (Bloomberg) — Goldman Sachs Group Inc. is offering to give investors in the highest-rated portions of a bond sale backed by commercial mortgages control in the event the loans go bad as bankers attempt to revive the market.
Phantom European securitisation del día
Is Bloomberg trying to tell us something about the ICO’s new €23bn CLO?
July 26 (Bloomberg) — Instituto de Credito Oficial, a Spanish government agency that lends to businesses, plans to issue 14.8 billion euros ($19.22 billion) of bonds backed by company loans .
[Abacus] Goldman’s shares hit 52-week low
On a day when the S&P 500 index closed 3 per cent higher, Goldman Sachs’ shares touched a 52-week low of $131.30, a level not seen since May 14 2009.
And as the YTD chart below (via Google Finance) illustrates,
In praise of synthetic CDOs (not)
Here’s an argument you rarely see ventured forth nowadays:
Synthetic CDOs were good for everybody…
…Like any product, a synthetic CDO is only as good as the materials used to make it. Most synthetics exposed investors to investment grade corporate debt and resulted in light credit losses.
[Abacus] Fabrice Tourre goes underground
Want to check in on Fabrice Tourre’s Linked-in profile?
You can’t.
It looks like the Goldman Sachs man, who’s been accused of CDO fraud by the SEC and was de-registered from the FSA on Tuesday, has been busy removing his digital footprint.
Mangling Magnetar
The FT’s John Gapper has copy of the letter dispatched to Magnetar clients in the wake of the ProPublica investigation. In short, the hedge fund (as Gapper put it) has came out fighting against the accusations levelled against it.
That terrible, terrible 2007 vintage [Corrected]
Back in 2008, the great, good and downtrodden of the structured finance industry gathered in the desert — alright, the Las Vegas Venetian hotel — for an annual securitisation conference hosted by the American Securitization Forum.
AIG and the Fed, not above water but drowning?
Thursday’s story, that the Timothy Geithner-headed Federal Reserve Bank of New York tried to cover up certain details of mega-insurer AIG’s bailout in 2008, has finally prompted some responses from US Treasury — where Geithner is now head.
Goldman’s collateral damage
Cast your mind back to that SigTarp report, published last month.
Readers will recall there’s been a persistent stink over whether the efforts of the Federal Reserve and the US Treasury to prop up AIG had the effect of bailing out Goldman Sachs — its largest trading partner.
‘The Dr Evil Scenario’ in securitisation
Goldman Sachs may not be pure evil, but it looks to have inspired a fear of the “evil” in the securitisation market.
We hear that potential securitisation investors are asking City law firms to be on the look out for any “Dr Evil Scenario”
Weird waterfalls and the synthetic CDO stumper, part deux
Last week, the machinations of two Goldman Sachs synthetic CDOs made waves across the internet and structured finance industry.
In short, Goldman Sachs paid off (at face value) some junior tranches of two CDOs — Abacus 2006-13 and Abacus 2006-17 — at the expense of senior tranches.
How the Basel II capital cliff begets resecuritisation
Basel II banking regulations are sooooo boring.
But Basel II’s effects on securitisation are fascinating, right?
Let’s begin.
Rating agency Fitch is guiding us through the Basel II regulations,
No green shoots in structured finance
That’s according to ratings agency Fitch, who have just revised their outlook for European structured finance – ABS, CMBS, CDOs and the like.
Here’s the press release:
Fitch Ratings-London-15 July 2009:
Extreme leverage, broker fraud edition
Blithe investment in CDOs, it has come to be known, was generally a very bad idea.
Among their many failings, the instruments had huge built-in leverage: from the leverage inherent in the underlying mortgages themselves,
KBC and wild rumours
Err, this doesn’t look good:
KBC Group NV has requested to have its share suspended for today, Wednesday, 13 May. Yesterday, several wild rumours circulated the market. Since it is currently in its pre-earnings black-out period (the period prior to its earnings release when the group does not disclose any information),
L&G and the trouble with CDOs – revisted
When FT Alphaville’s Sam Jones recently attempted to get some more information from Legal & General on its £1bn CDO holdings, the insurer either wouldn’t or couldn’t answer his questions, which you can find here.
FICO those CDOs
Rortybomb has some fascinating data points on FICO scores, RMBS, CDOs and subprime lending.
FICO scores, which range from 300 to 850 and are provided by Fair Isaac Corp, were a key feature in the boom of subprime lending.
Haircut 100
BIS Committee on the Global Financial System estimated typical haircuts on debt securities. Note CDO haircuts, April 07 v. Aug 08:
Related link:
Switch to Fitch? – FT Alphaville
Haircut 100:
L&G and the trouble with CDOs
On Wednesday, UK insurer L&G’s preliminary annual results revealed the following clarification:
We have separately identified our CDO investments, which have previously been classified within ABS. Of the total £1,004m of CDO investments,
Switch to Fitch?
Percentage of CDOs registering events of default, by presence of agency rating:
(Chart reproduced with kind permission from a paper by Anna Katherine Barnett-Hart, Harvard)
Marking to Markowitz
Harry Markowitz – nobel laureate and father of Modern Portfolio Theory – has outlined a proposal for remedying the current financial crisis – a chief cause of which, he says, is a lack of transparency (H/T to Rolfe Winkler).
Moody bonds
Remember when Deutsche Bank decided not to call one of its LT2 bonds last month? The consequences are still filtering through the system.
This was from Bloomberg on Monday, citing a Moody’s statement putting a €153m CDO issued by Rosetta I SA on review for possible downgrade:
Synthetic CDOs: not saving anything
Felix Salmon at Portfolio’s market movers blog has a very thorough post on super-senior tranches of CDOs, following on from his exploration of synthetic CDOs a couple of days before. Here is his spot-on conclusion:
Vultures circle distressed debt
Since the credit crunch hit last year, the distressed debt industry has been undergoing a somewhat surprising shake-up. In recent months, bankers in distressed debt trading, research or proprietary investing have been quietly leaving long-held positions.