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Citi sues Morgan Stanley over CDO CDS
Monday, September 28, 2009
Citi has sued Morgan Stanley over a credit default swap written on the senior tranche of a CDO of ABS. Citi is seeking damages in a federal court in Manhattan for the $245 million it says Morgan Stanley owes it under the swap. Citi arranged the Capmark VI CDO in 2006 and provided the $366 million senior tranche in the form of a revolving loan. It then bought protection on that tranche from Morgan Stanley.
Citi claims the credit default swap contract was triggered when Capmark VI defaulted last year.
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CLO index levels:
| Index | 21 May |
|
| CFlux USD AAA | ↑ | 96.2 |
| CFlux USD AA | ↑ |
88.3 |
| CFlux USD A | ↓ | 84.1 |
| CFlux USD BBB | ↓ | 75.3 |
| CFlux USD BB | ↓ |
74.1 |
| CFlux USD EQ | ↑ | 77.5 |
A default would seem like a reasonable trigger...what's Mr. Mack saying?