CDO Datapoint of the Day


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


  • Eight CDOs underwritten by UBS have defaulted so far.

(Via Matthew Tubin)

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