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
- "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)