Wednesday, Nov 21, 2007
Tick, Tick, Tick
FT: The $25bn Citi CDO liquidity put and who else has one
Several CDOs were created by Citi in 2005 that borrowed from technology used in designing SIVs- another market in which Citi was a leader. The rationale was that a CDO which could issue short-term commercial debt (alongside its traditional issuance) would have access to a broader funding market and would be able to more dynamically manage its funding portfolio. To mitigate any CP rollover risk, Citi entered into a series of “agreements” which forced it to buy the CDO CP if no one else would. As Mr Rubin calls them, “liquidity puts”.
Posted by alan @ 05:27 PM (227 views) Add Comment
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