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The Full Abacus CDO Pitchbook

Tyler Durden's picture




 
  • ABACUS 2007-AC1 is a $2 billion notional synthetic CDO (the “Transaction”) referencing a portfolio (the “Reference Portfolio”) consisting of RMBS obligations.
  • ACA Management, LLC (“ACA”) will be acting as Portfolio Selection Agent in this Transaction.
  • ACA currently manages 22 outstanding CDOs with underlying portfolios consisting of $15.7 billion of assets
  • The 360 WARF target Reference Portfolio selected by ACA consists of 90 Baa2-rated mid-prime and subprime RMBS bonds issued over the past 18 months.
  • The CDO tranches amortize principal using a full sequential amortization sequence, avoiding any reduction in the relative subordination of the CDO tranches.
  • The CDO tranches will have a projected average life(2) of 3.9 to 4.9 years, which is shorter than the average life of most traditional ABS CDOs executed in the current market environment.
  • The CDO tranches do not bear any available funds cap risk and other related interest shortfall risks.
  • Goldman Sachs’ market-leading ABACUS program currently has $5.1 billion in outstanding CLNs with strong secondary trading desk support.

Full Pitchbook

 

ABACUS

 

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Fri, 04/16/2010 - 15:18 | 304502 DavidC
DavidC's picture

8 pages of Disclaimers and Risk Factors in a 66 page document...I'd have read it through more than once...

DavidC

Fri, 04/16/2010 - 19:08 | 304904 Captain Obviousness
Captain Obviousness's picture

Look at this from the conflict of interest section:

Goldman Sachs may, by virtue of its status as an underwriter, advisor or otherwise, possess or have access to non-publicly available information relating to the Reference Obligations, the Reference Entities and/or other obligations of the Reference Entities and has not undertaken, and does not intend, to disclose, such status or non-public information in connection with the Transaction. Accordingly, this presentation may not contain all information that would be material to the evaluation of the merits and risks of purchasing the Notes.

So basically, if the prospectus says Goldman might be sitting on material information, namely their (or Paulson's) "non-public" analysis that the underlying RMBS's are crap, it's not fraud if they fail to disclose?  BS

Sat, 04/17/2010 - 08:51 | 305435 chindit13
chindit13's picture

Sure does seem like BS.  It also might force a precedent.  On the other hand, the multiple pages championing ACA as the Portfolio Selection Agent might obviate or overrule the disclaimer.

This is a thing of beauty (p27):  "ACA Management will utilize proprietary models to stress and confirm the adequacy of cash flows"

Sat, 04/17/2010 - 10:47 | 305587 McGriffen
McGriffen's picture

Among several factors, one appealing factor of purchasing the CDO AA-rated or AAA-rated tranche was gaining access to managers like ACA (and being senior in the capital structure offered some supposed peace of mind).  These managers might've invested many $millions into the research models (which obviously were not accurate or foresighted).

On apples/apples basis though, ask yourself: is management at ACA any worse or more deeply flawed than the management previously in place at Fannie Mae or Freddie Mac?

I never traded CDO's, but on occasion would review or once-over a pitchbook.  What I can not understand...if I want this exposure why not hire an analyst, get Intex and build the portfolio in-house ?  

An investor could get exposure to AA or AAA rated tranches just as easy (still gets bad, but better than an aggregated portfolio holdings rated, on average Baa2 when-issued).

 

Fri, 04/16/2010 - 22:49 | 305181 McGriffen
McGriffen's picture

Gotta love that FFML & LBMLT flavor...mighty fine.

The holy grail is presented on Page 14, detailing the capital structure:  Rated by Moody's and S&P.  Now, quite obviously, that's just an opinion.  But absent that opinion the issuing party might've encountered lesser luck in soliciting buyer interest on a 144A deal.

Any reason to throw those NRSRO a*holes under the bus is a good enough reason. Worthless opinions on both synthetic & non-synthetic mortgage securities.

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