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Cdo Datapoint Of The Day

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by Felix Salmon
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Nov 20 2007 12:00am EDT

CDO Datapoint of the Day

Aaron Johnson of Total Securitization reports:

  • The first CDO-squared (a CDO of CDOs) has now defaulted. Lancer Funding II was issued by ACA Capital, an insurance company you've never heard of but which still managed to record a $1.7 billion third-quarter structured credit market-to-market loss.
  • "Under current market conditions, the high-grade super seniors can expect a 55% recovery rate while mezzanine super seniors can expect just a 32% recovery rate."
  • A CDO called Broderick CDO III defaulted last week; it was $1.5 billion alone.
  • Eight CDOs underwritten by UBS have defaulted so far.

(Via Matthew Tubin)

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