New York Fed Discloses CDO Holdings Of Maiden Lane Portfolios

Tyler Durden's picture

In a surprising move, the FRBNY has just released the holdings of Maiden Lane I, II and III. Here is what the Fed is saying about this development:

The Federal Reserve Bank of New York today announced that it has
expanded the information that it makes available to the public related
to the Maiden Lane portfolios. The new information includes nearly all
of the holdings of Maiden Lane LLC (ML)—with the exception of
residential whole loans as that would violate individual borrowers’
privacy—and all of the holdings of Maiden Lane II LLC (MLII) and Maiden
Lane III LLC (ML III).

The additional information includes the CUSIP number, descriptor,
and the current principal balance or notional amount outstanding for
all of the positions in each of three Maiden Lane portfolios. The Federal Reserve recognizes the importance of transparency to its
financial stability efforts and will continue to review disclosure
practices with the goal of making additional information publicly
available when possible. The release of this information today comes
after reaching agreement on issues of confidentiality with JPMorgan
Chase with respect to the assets of ML and the American International
Group, Inc. (AIG) with respect to ML II and ML III.

As a reminder:

ML was formed to facilitate the merger of The Bear Stearns
Companies, Inc. and JPMorgan Chase. The New York Fed extended credit to
ML to acquire certain assets of Bear Stearns.ML II and ML III were formed to facilitate the restructuring of the
government’s financial support to AIG. The New York Fed extended credit
to ML II to purchase residential mortgage-backed securities from the
securities lending portfolio of several regulated U.S. insurance
subsidiaries of AIG. The New York Fed extended credit to ML III to
purchase multi-sector collateralized debt obligations from certain
counterparties of AIG Financial Products Corp.

Some preliminary observations:

  • ML 1, in addition to holding a boatload of CDOs, has quite a few Residential whole loans, a variety of single names CDS, of which the bulk is CMBX, AMBAC, MBIA, PMI, CDS on Commercial Real Estate, CDS on Munis, CDS on non-agency RMBS, CDS on Non-residential ABS, some treasuries, and just under $3 billion in Interest Rate Swaps.
  • ML 2, as noted, contains $35 billion of Non-Agency MBS. It also contains $280 million in cash, held with a Goldman Sachs account. (GOLDMAN SACHS FIN SQ GOVT FS)
  • ML 3 consists of a variety of CDOs whose notional value is given as $56 billion. Once again, the Fed parks its cash of $383 million in this account with Goldman Sachs.

We will dig through these in detail shortly.

Full listing of assets:

ML 1

ML 2

ML 3