25
Apr
10

Supongamos que… (Bis)

Alea tiene un breve y explicativo post sobre la estructura de la operación de Abacus (uno de los temas del momento), que vale leer.

First, a reference portfolio is constructed

Second, Paulson buys protection on the 45%/100% tranche (super senior) from Goldman Sachs, this is a bilateral trade with nothing to do with the Abacus SPV other than using the same reference portfolio.
This leaves Goldman Sachs short protection on the 45%/100% tranche.

Third, Goldman Sachs sells notes to IKB ($150 milion) and ACA ($42 million) => this leaves Goldman Sachs long protection (via purchase from the Abacus SPV) on the notes notional and short protection on the 45%/100% tranche.
Notes sold are well below what was expected in the “flipbook”.

Fourth, post-deal closing Goldman Sachs sells its long protection on the notes (acquired from the Abacus SPV) to Paulson => this puts back Goldman Sachs as short protection on the 45%/100% tranche

Fifth, more than a month after the deal closing, Goldman Sachs buys protection from ACA (through ABN/AMRO) on the 50%/100% tranche, this a bilateral trade with nothing to do with the Abacus SPV other than using the same reference portfolio => this leaves Goldman Sachs short protection on the 45%/50% tranche (5% of total notional).
The ACA deal (50% to 100% = 50%) is for $909 million notional, which implies a total notional of $1.8 billion for the deal, also below the level announced in the “flipbook”.

A pesar de llamarse Abacus for Dummies, Felix Salmon hace un mejor trabajo simplificando el tema:

Simplifying Alea even further, we have five steps here:

  1. The reference portfolio is put together.
  2. Goldman sells super-senior protection, Paulson buys it.
  3. IKB and ACA sell senior protection, Goldman buys it.
  4. Goldman takes the senior protection that it bought from IKB and ACA, and sells it on to Paulson.
  5. Goldman buys super-senior protection from ACA, through ABN Amro.

Por ultimo, el flipbook y el prospecto de Abacus 2007

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Update: A medida que hay más información, se ofrecen mejores análisis sobre los hechos:

Desconstructing Abacus de Interfluidity

Goldman Abacus illustrated de Bionic Turtle


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