CDO-Squared

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 (~$53.6 million in 2021) 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

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

[2] The Financial Crisis Inquiry Report, 2011, p.203

[Investopedia-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".