Wednesday, August 21, 2013

LBUBS 2007-C2 AM Shortfall, AJ losses

You'll recall this deal is the one where Orix liquidated a large portion of problem loans at one time last month, creating a boon for credit IOs, but wiping out all the bonds up to the AJ, and 10% of the AJ itself.

This month, shortfalls were back (obviously) and ate into the AM class and undercollateralization led to additional losses to the AJ. Barclays was out with a note that highlighted that the AJ interest shortfall was likely to be permanent at this point.

1 comment:

crabsofsteel said...

I'ld like to buy that AJ now. It should start receiving interest again next month, and most of what's left in the pool doesn't mature for another 3-4 years. Unfortunately I can't.