Wednesday, January 16, 2008

Clarity Financial Strategy publishes white paper on spread-loss triggers

By: Daryl Ching, John Sokic, Clarity Financial Strategy

Please click here to view the white paper.

Mr. Crawford’s Committee issued a press release on December 23, 2007, outlining high level information on the Canadian ABCP restructure and the implications of that restructure on Leveraged Super Senior (“LSS”) CDOs. The Committee proposed to amalgamate all the CDOs into a jumbo fund and introduced the concept of spread-loss triggers, moving away from mark-to-market (“MTM”) triggers. But what does this really mean and what are the implications for investors?

Being in contact with numerous investors, it is apparent to us that this is a concept that has not been well understood. It is our mandate to provide education to investors so that they are making informed decisions. To facilitate a better understanding, we are providing an explanation for one of many key elements in the ABCP restructure proposal and how this directly impacts current noteholders when the restructure is complete.

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