Goldman sues Natixis over super senior CDO swap

The Financial Times reports that Goldman Sachs is suing Natixis in London over the French bank’s decision to terminate three credit default swaps. According to the article, Natixis cancelled the swaps on the grounds that Goldman had failed to comply with its instructions, though the article does not say what those instructions were.

According to the FT, the swaps were written on Altius IV Funding. This, according to Creditflux data, is a $1.5 billion “cashflow” CDO of ABS which has a senior tranche in synthetic form. Presumably, Natixis is the seller of protection on the $1.3 billion super senior tranche. That tranche was originally rated triple A and is now rated C by Moody’s, indicating it has lost most of its value.