Comment by: Anonymous. Posted 11 years ago [2012-12-08 13:27:41]

I wonder if they'll try this case in front of a jury. Is there a lawyer in the world who could explain CAD-USD quanto risk entwined with synthetic LSS exposure??!!

Comment by: Fishknife -. Posted 11 years ago [2012-12-07 09:20:28]

Specifically, according to further reporting in the FT yesterday, Berkshire Hathaway was taking the US-Canadian dollar quanto risk on the leveraged super seniors. If this is correct, then Deutsche Bank is accusing of mispricing the protection provided against the possibility of the Canada-US exchange rate moving against the bank in the eventuality of the market value of the senior tranche (or the portfolio, depending on the structure of the leveraged super senior) triggering losses that require the Canadian investors to stump up cash, and where the investors either fail to make their margin payments or where the payments are insufficient to cover Deutsche Bank’s losses. I just wanted to clear that up.

Comment by: Anonymous. Posted 11 years ago [2012-12-06 23:00:07]

Sounds like a good story - I hope we hear more! And what in the world is Warren Buffett doing guaranteeing LSS tranches?! Does he now like "weapons of mass destruction"?