Posts Tagged ‘GS

10
Jul
11

Finanzas 101: CDO sintéticos

Expected Loss tiene un breve y explicativo post sobre los CDO sintéticos, motivado por lo sucedido con Abacus-Paulson el año pasado.

Para algunos todo es Location Location Location y para otros Incentives Incentives incentives

 

04
Jul
10

Infograma du Jour: Contraparte de GS

(Fuente: FCIC, via Zero Hedge)

FCIC tiene otros infogramas explicativos:

ABACUS

Creación de Activos Triple A utilizando hipotecas


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

_______________________________________________________________

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

Desconstructing Abacus de Interfluidity

Goldman Abacus illustrated de Bionic Turtle

19
Apr
10

Supongamos que….

En un postInterfluidity, describe al actual affaire Goldman Abacus, como un caso hipotético. Una interesante forma de analizar los hechos, que empieza asi:

Let’s suppose there is a trader, whom we’ll call “Trader X”. Trader X wishes to take a very large position on a bunch of related and correlated financial instruments. But Trader X has a problem. The size of the trade he wants to make is large relative to ordinary turnover in the asset. The market would almost surely move against him before he executed more than a fraction of his trades. Market-makers are very sensitive to the balance of order flow. If Trader X starts calling dealers and executing trades, they would observe one-sided flow and quickly adjust the price until trades on the other side were attracted and the flow returned to balance. This “adverse price action” would significantly reduce the profitability and increase the risk of X’s trade. It would also reveal his information or belief about future price movement to the market, enhancing market efficiency perhaps, but reducing his edge.

(…)

Bank Y considers for a moment, and comes up with an idea. “Suppose we start a little investment company up, something like a mutual fund devoted to the kind of positions you want to trade. Since you want to take a ’short’ position, we’ll find a manager enthusiastic about the prospects of the ‘long’ side and help him start this little fund. There are lots of reputable money managers in the world, with a wide variety of views, so we can find somebody excited and capable of running this fund. We have lots of connections among investors, and we are in the business of drumming up interest in new investment vehicles, so there’s a reasonable chance we’ll find people to fund the strategy at a scale large enough to match your trade. Once we do, there will be a natural buyer of what you want to sell, and you can enter the market without impacting prices. In fact, since both you and this fund will use us as market makers, we’ll just cross the trades internally at prevailing prices, and neither you nor the fund will have to worry about adverse price action.”

(…)

09
Nov
09

Goldman Sachs y HFT: otra campana

John Hempton explica que el High Frequency front running no explica la totalidad de los ingresos de GS (De paso, le tira un palo al New York Times).

Ver nota.

PD: más alla de los sesgos, tiene una explicacion didactica del HF front running




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