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’Eternal sunshine of the securitisation mind
It’s conference time!
The 2010 Global ABS meet is currently taking place at the Hilton Metropole, just across from the Marks & Spencer on Edgware Road in London. This is rather a fall from grace,
Ambaaaac! Trouble in mezzanine tranches of CDOs, that is
Here’s a structured finance blast from the past; some trouble in mezzanine tranches of ABS CDOs.
Last week the ailing (in fact, almost dead) bond insurer Ambac announced it would commute its remaining $16.4bn of of exposure to Collateralised Debt Obligations of Asset-Backed Securities.
Goldman’s Hudson CDO – What lay beneath
Savvy readers may have spotted some confusion over Goldman Sachs’ Hudson CDO.
Specifically on the subject of whether the bank used its own assets for the deal.
The FT seems to suggest yes:
The bank created and sold Hudson Mezzanine,
A Hudson CDO primer
Will the SEC be going after every CDO named in this 2009 New York Times article?
After taking on Goldman’s Abacus, with US prosecutors going after Morgan Stanley’s Dead Presidents deals, the FT reports that the SEC is now pursuing another CDO — Hudson Mezzanine Funding 2006-1.
All TruPSed up
Here’s something suddenly hitting the headlines — the war on TruPS.
That’s Trust Preferred Securities, which have been mentioned on this blog as a major structured finance oops before. And they are now coming under the scrutiny of US regulators.
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.
Dead Presidents in detail
Want to know more about Dead Presidents?
Detail on Morgan Stanley’s Dead Presidents deals, the synthetic CDOs reportedly being investigated by US prosecutors, are slightly more difficult to come by than Goldman Sachs’ Abacus.
The dismal performance of Dead Presidents
A structured finance curio for you on Wednesday morning.
The Wall Street Journal reports that US prosecutors are investigating some Morgan Stanley-arranged synthetic subprime CDOs. The WSJ doesn’t give specific names/Cusips or tranches,
A sticky CDO situation for Morgan Stanley
James Buchanan and Andrew Jackson are two dead American presidents.
They are also two Morgan Stanley-arranged synthetic CDOs, for which the bank is reportedly now being investigated by US prosecutors.
[Abacus] Tail risk in the Rhineland
IKB, the bailed-out German bank, has been thrust ignominiously into headlines once again.
IKB was one of the investors in Goldman Sachs’ now-infamous Abacus CDO, which lies at the heart of an SEC law suit against the American bank.
Subprime sushi
Oh, Greg Lippmann, you,
Who love sushi, hate subprime,
What is Fred up to?
That’s an FT Alphaville haiku in commemoration of Greg Lippmann’s time at Deutsche Bank. Bloomberg reports the avid raw-fish eater,
[Abacus] The exemplary Magnetar CDOs
What’s the proper way to disclose that someone going short on a CDO is also selecting its assets?
The SEC seems to have had some idea.
In Part II of its defence documents, Goldman talks of the following suggestion made by SEC staff at a September 2009 meeting — before the regulator filed its CDO fraud suit against the bank:
[Abacus] The experience of Laura Schwartz
Laura Schwartz is a name that appears in Goldman Sachs’ defence documents — the bank’s counter-arguments against the SEC’s allegations of civil fraud in its Abacus CDO — and the pitch-book for the deal.
[Abacus] Der Abakus
Alternate title: How Mitteleuropa led to the creation of the Abacus CDOs.
The German bank IKB, together with ACA, was one of the investors in Abacus 2007-ACI, the subprime-referencing synthetic CDO at the heart of the SEC’s civil fraud suit against Goldman Sachs.
[Abacus] Fisking Goldman’s latest rebuttal
Goldman doth protest too much, we think, in the statement it issued on Sunday on the SEC’s complaint against it and its trader Fabrice Tourre. We note that Goldman is already on its third rebuttal since Friday.
[Abacus] A Goldman blogger round-up
The weekend produced a veritable Eyjafjallajökull ash cloud of blogging and bloviating on the SEC’s filing on Friday against Goldman Sachs and its structured products trader Fabrice Tourre. Here’s the best we’ve read.
[Abacus] ACA’s rather disastrous CDO forays
In addition to being your run-of-the-mill (disastrous) monoline insurer and at the heart of the SEC complaint against Goldman Sachs’ alleged fraud — ACA was something else: a very unsuccessful CDO manager.
Citi’s super-safe CDOs? Puh-lease
Reading the testimony of former Citi heads, at Wednesday’s FCIC hearing, could make one feel all warm and fuzzy inside. Citi, like so many others, was simply caught unaware by the sheer scale of the crisis.
Citi’s CDO woe: it’s all the consultants’ fault
Accountants and auditors – you can relax (though not for too long, because Repo 105 can’t just be shrugged off).
For a moment at least, the spotlight will turn to the consultants. As the FT reported on Wednesday:
In the Fed we TruPS
Wading through 161-pages of CUSIPS takes a while.
But here’s something that caught our eye from the Federal Reserve’s Maiden Lane I portfolio — the special purpose vehicle it created to buy up assets from the failed Bear Stearns:
Maiden Lane goes public
Here’s something to keep you busy over Easter break — 161-pages of CUSIPS and principal balances for the securities held by the Federal Reserve’s three Maiden Lane special purpose vehicles.
As a reminder,
CDO? CD-Ooooooh…
The monoline moan du jour comes courtesy of MBIA.
The bond insurer published fourth-quarter results on Tuesday, showing a net loss of $1.2bn.
Monoline-watchers will remember that the company’s been in something of a death spiral since the financial crisis,
In CDOs we TruPS
Your daily dose of structured finance acronymic hindsight available right here, in a TruPS CDO edition.
From Fitch Ratings on February 12:
Fitch Ratings has placed 179 notes from 72 bank trust preferred (TruPS) collateralized debt obligations (CDOs) on Rating Watch Negative to reflect the increased default and deferral activity in bank TruPS assets.
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.
The Maiden (Lanes) beauty contest
Compare and contrast.
From the FT — one maiden (I):
The US Federal Reserve is sitting on significant paper losses on the real estate assets it acquired in the Bear Stearns rescue, with much of the red ink coming from debt used to back some of the most highprofile buy-out deals of the bubble years.
Dead deals, or, AIG in pics
Schedule A to the Amended Shortfall Agreement, once redacted to the nines, now unveiled, means we don’t have to wait until 2018 to get an inside peak into just which CDO deals, and banks, the US government helped via its bail-out of mega-insurerer AIG.
Did foreigners cause the financial crisis?
That’s foreigners, as in non-United States. And it’s the thesis of MIT economist Ricardo Caballero that’s already setting the blogosphere aflame after it was highlighted by Time Magazine over the weekend.
[Redacted]
Using the word `Redacted’ about 840 times in a single 16-page document is begging for trouble.
The above is an excerpt from the Shortfall Agreement between AIG and Maiden Lane III, filed to the SEC in March 2009.