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’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.
Finra probing subprime RMBS offerings
Finra, a regulator with an impressive track record of investigatory failures, is looking into the accuracy of disclosures linked to subprime RMBS offerings, according to a Reuters report on Thursday.
According to the Reuters report,
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.
Birth of a(nother) synthetic mortgage index
Subprime is indeed back in the headlines and with it, the ABX index.
Readers may recall the ABX index, which was created in January 2006, partially at the behest of people like Greg Lippmann. Consisting of baskets of CDS tied to subprime mortgages,
The van Praag exchanges, an exercise in Goldman imagery
Want some insight into the (erstwhile) self-image of Goldman Sachs — as expounded by some senior execs?
Look no further than the below, sourced from the 900-page compendium of evidence corralled as part of the US senate investigation into the role of investment banks in the financial crisis.
[Abacus] ‘My name is Fabrice Tourre’
Just in case you can’t wait for the live testimony before a Senate sub-committee later on Tuesday…
We present the prepared remarks of Fabrice Tourre, the Goldman trader accused of subprime fraud in the SEC’s complaint against his bank.
[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,
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.
[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.
Michael Burry’s premier primer
Michael Burry is having a moment. The one-eyed hedgie, who seems to have spotted the subprime problem before anyone else, has shot to fame in the wake of his starring role in the new Michael Lewis tome,
Subprime: it’s back in the headlines
A pair of subprime mentions caught FT Alphaville’s collective eyes on Wednesday.
First up, Alan Greenspan, who testified to the US Financial Crisis Inquiry Commission that ‘it was the global proliferation of securitized US subprime mortgages that was the immediate trigger of the current crisis’.
Debunking subprime contagion
Flashback alert!
Fears raised that subprime crisis could spread – The London Times, April 2007
Sub-prime crisis could spread to other markets, IMF warns – The Independent, April 2007
The credit crisis spreads to Europe – Time Magazine,
Greenspan says, je regrette quelque chose
The Crisis, by Alan Greenspan.
It sounds like an airport novel. But the 66-page paper is the closest we’ve ever gotten to a mea culpa from the former Fed chief, who chaired the US central bank in the midst of a growing housing bubble.
Not even your AAA-ABX is safe anymore…
An implied writedown is a type of monthly floating payment that is unique to CDS on ABS. These payments are intended to standardize writedown payments across CDS of ABS by creating a mechanism for the swap to writedown,
Subprime short, from the beginning
Go here for the superb tale of a Milton Friedman-reading , subprime-shorting, one-eyed hedge fund manager, as excerpted by Vanity Fair.
Michael Burry, one of the subjects of Liar’s Poker-playing Michael Lewis’ new book,
Goldman asks, is sovereign strain Europe’s subprime?
We’ll spare you the suspense.
The answer, according to Goldman Sachs analysts Ben Broadbent and Nick Kojucharov, is no, it probably isn’t. Or, at least it won’t be as long as defaults stay below a certain threshold.
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.
Remember New Century? The SEC sure does
The US Securities and Exchange Commission on Monday charged three former top executives of New Century Financial Corporation — the bankrupt subprime lender – with securities fraud.
The SEC said the defendants — former chief executive and co-founder Brad Morrice,
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.
Synthetic CDO stumper
There are more questions than answers in the below — but here are two ratings actions that look set to light the blogosphere on fire:
Fitch Downgrades Abacus 2006-17; Removed from Watch Negative
Majority of current RMBS borrowers underwater, Fitch says
How’s this for a negative equity data point: the majority of borrowers whose home loans have been wrapped into a US residential mortgage backed securities transaction owe more on their mortgages than their homes are currently worth,
Securitisation and subprime mortgages – a contrarian view
Ronel Elul, a senior economist at the Federal Reserve Bank of Philadelphia, has penned a working paper that should be required reading for anyone interested in – or pontificating upon – the dynamics of securitisation and the mortgage market.
Prime crisis
We’ve written about the morphing of the subprime crisis into a prime mortgage one before, but it’s a point really driven home by the Mortgage Bankers Association’s latest US delinquency report.
Here,
Citi subprime snapshot
Citi is surprisingly transparent about its accounting for mortgage holdings and investments in its recent Q2 results.
Of particular interest in the tables below, is the rather remarkable turn around in subprime exposures — which have turned from a $2.3bn mark-to-market loss in Q1 2009 to a $613m gain in the most recent quarter.