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Primus unwinds $300 million of CSOs
Friday, February 12, 2010
Credit derivative products company Primus Financial has offloaded another chunk of its portfolio of bespoke CSO tranches. It says it paid counterparties $35 million to tear up three contracts with a total notional of $300 million. This is the fourth such “repositioning” trade the company has carried out since August, as it seeks to reduce the risk of its credit portfolio.
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CFlux secondary
CLO index levels:
| Index | 6 Feb |
|
| CFlux USD AAA | ↑ | 94.9 |
| CFlux USD AA | ↓ | 81.3 |
| CFlux USD A | ↓ | 75.0 |
| CFlux USD BBB | ↑ | 74.8 |
| CFlux USD BB | ↑ |
72.1 |
| CFlux USD EQ | ↑ | 67.6 |
I imagine "good" if the mark to market on the swaps is a lot greater than $35MM; possibly the same way that AMBAC shareholders feel when AMBAC rips up some of its swaps with its counterparties
...and how do the shareholders feel about all this cash going out the door?