CDO-Squared

Financial product backed by tranches from other CDOs

CDO-Squared is a collateralized debt obligation backed primarily by the tranches issued by other CDOs.[1] These instruments became popular before the financial crisis of 2007–08. There were 36 CDO-Squared deals made in 2005, 48 in 2006 and 41 in 2007. Merrill Lynch was a big producer, creating and selling 11 of them.[2]

The collapse of the market for collateralized debt obligations and CDO-Squared contributed to the 2008 subprime mortgage crisis.[3] Goldman Sachs appears to be the last bank to hold CDOs-Squared, holding $50 million (~$59.8 million in 2023) in June 2018.[4]

2004

  • Abacus 2004-2
  • Abacus 2004-3
  • ACA 2004-1
  • Cascade Funding I
  • Crystal Cove
  • Davis Square Funding III
  • Dunhill
  • E-Trade III
  • Glacier Funding I
  • Glacier Funding II
  • Independence V
  • Jupiter High Grade
  • Lakeside II
  • Sierra Madre Funding

2005

  • Abacus 2005-1
  • Abacus 2005-2
  • Abacus 2005-3
  • Abacus 2005-5
  • Adirondack 2005-1
  • Altius I Funding
  • Broderick 1
  • Camber 3 Plc
  • Class V Funding
  • Coolidge Funding
  • Davis Square Funding IV
  • E-Trade IV
  • Fort Sheridan
  • Glacier Funding III
  • G Street Finance
  • Huntington
  • Independence VI
  • Jupiter High Grade I
  • Jupiter High Grade II
  • Jupiter High Grade III
  • Khaleej II
  • Kleros Preferred Funding
  • Lenox
  • Lexington Capital Funding

2006

  • Auriga
  • Bernoulli High Grade I
  • Broadwick Funding
  • Broderick 2
  • Class V Funding II
  • Commodore V
  • Davis Square Funding VI
  • Fortius II Funding
  • GSC 2006-2m
  • Hout Bay 2006-1
  • Hudson High Grade Funding 2006-1
  • Hudson Mezzanine Funding 2006-1
  • Independence VII
  • Ipswich Street
  • Jupiter High Grade IV
  • Kleros Preferred Funding II
  • Kleros Preferred Funding III
  • Kleros Real Estate I
  • Kleros Real Estate II
  • Kleros Real Estate III
  • Libertas Preferred Funding I
  • Octans I
  • Pampelonne I
  • West Coast Funding I

2007

  • Abacus 2007-AC1
  • Glacier Funding V
  • Newbury Street
  • Norma I
  • Point Pleasant 2007-1
  • Timberwolf 1
  • Vertical 2007-1
  • Volans

[5]

References

  1. ^ "CDOs-Squared Demystified" (PDF). Nomura Fixed Income Research. 2005. Retrieved 2018-10-04.
  2. ^ The Financial Crisis Inquiry Report, 2011, p.203
  3. ^ "Collateralized Debt Obligation Squared - CDO-Squared". Investopedia. Retrieved 2018-10-04.
  4. ^ Woodall, Louie (2018-10-03). "Goldman Sachs is last major bank holding CDO squared". Risk Quantum.
  5. ^ "CDO Library : Financial Crisis Inquiry Commission".

Sources

  • Adams, Andrew; Bhatt, Rajiv; Clunie, James (1 June 2009). "The Risks in CDO-Squared Structures" (PDF). Multinational Finance Journal. 13 (1/2): 55–74. doi:10.17578/13-1/2-3. ISSN 1096-1879.
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