Posts tagged 'Super Senior'

It’s leveraged super senior, Jim, but not as we know it

They’re baa-ack.

Euromoney reports on Wednesday that Citigroup is attempting to revive “leveraged super seniors,” a type of synthetic CDO not seen seen the financial crisis. We take a (no doubt unhealthy) interest in all things LSS, given our previous experience helping out on this series of Financial Times stories. The stories involved three former Deutsche Bank staff who blew the whistle on the way the German bank was allegedly valuing so-called “gap risk” on $130bn worth of LSS of trades. Read more

The ghost of the leveraged super senior

Debates about asset valuation can quickly turn philosophical. The FT’s story on Deutsche Bank on Thursday provides fresh fodder, carrying allegations from three ex-employees that the bank failed to properly value certain credit derivative positions and thereby created a misleading impression of its health.

At first we thought, ‘umm, yeah, Deutsche Bank and others, no?’ But the mention of Berkshire Hathaway seemed an interesting twist. Read more

Super senior moments at RBS

It’s the middle of 2007. Executives at RBS are joining the dots about how even super senior tranches of CDOs offer scant protection in the face of a tsunami of subprime defaults.

A structure which would become commonly understood by many, had some that should have been in the know scratching their heads. Given that CDO structures seem to be the answer to everything these days, it beggars belief that the captains of the industry had trouble grasping the problem. Read more

Isda has a bone to pick with you (and so can we!)

Alright, you lot, stop it with the ridiculous CDS posts. Stop it! We mean it. And Isda means it too:

It’s hard to overstate the amount of nonsensical chatter on credit default swaps (CDS) in the past few days. Read more

The CDO at the heart of the eurozone

You know, a certain FT reporter took a lot of shtick for a this article.

The gist — European sovereigns were increasingly turning to the kind of pre-crisis financial engineering to shift them out of crisis. The European Financial Stability Facility, you’ll remember, was often likened in principal to a giant Collateralised Debt Obligation, with its emphasis on credit enhancement. Read more

A risk management review of Citi, revealed

That’s an old Valentine’s day letter — sent on February 14, 2008 — from John Lyons at the Office of the Comptroller (OCC) to Citigroup CEO Vikram Pandit. We bring it up because it’s the subject of a new column by Bloomberg’s Jonathan Weil, provocatively titled; “What Vikram Pandit Knew, and When He Knew it.” The document itself was released recently by the the Financial Crisis Inquiry Commission. Read more

UBSoiled all over again

Because the first 50-page report into shareholders’ subprime losses, released in April 2008, was not enough. UBS have now published a 76-page “Transparency report to the shareholders of UBS.”

This Swiss bank is a sucker for subprime pain. Read more

The FSA’s finance fix (Part III): dampening profits

Continued from Part II.

A valuation-based approach may be the FSA’s preferred option for fixing banks’ trading books and fortifying them against future risk, but it’s difficult, to say the least. The very thing the FSA is trying to remedy — inconsistent valuations — seem endemic in the financial system: Read more

Pyxified, Merrill’s subprime sink

Have you ever heard of Merrill Lynch’s Pyxis CDO/SPV/Insert Structured Finance Acronym?

It’s confusing a lot of people this week, after the NYT’s Louise Story exhumed the deal, which she says was a way for the bank to shift its subprime exposure off-books. Read more

Citi pays $75m in subprime settlement

Citigroup has settled SEC charges that it failed to disclose its full subprime exposure before investors in 2007 with a $75bn bill, Reuters reports. The SEC had accused Citi of understating its exposure by $40bn, after the bank’s eventual disclosure shocked investors and led to the resignation of its chief executive Chuck Prince. In reality, the bank’s subprime exposure stank from the beginning, FT Alphaville notes, with the SEC settlement closing a chapter on Citi’s failure to report its super senior holdings of debt exposed to subprime. At any rate, the size of this settlement amounts to a mere slap on the wrist, writes Yves Smith at Naked Capitalism.

Citi’s super senior subprime SEC slip

One of these is a draft version of a third-quarter pre-earnings announcement Citigroup considered making in the credit-crunched October of 2007, in reference to its subprime exposure. The other is what actually went out.

Exhibit A : Read more