John Carney has published a marketing presentation put together by the other investor Goldman Sachs allegedly swindled, IKB.
Now, if Goldman misrepresented something or lied, the sophistication of its “victims” is no defence. But a brief scan of this document should put to rest any concerns that the investors Goldman allegedly bilked weren’t sophisticated enough to look out for themselves.
Here’s a taste:
Initial Analysis – Key Principles:
• Overall asset selection is within strict parameters defined by the Rating Agencies in the transaction termsheet described in the final offering memorandum
• Macro-perspective on various markets is developed by IKB CAM’s research department • Each transaction is individually considered with a deal by deal write-up by IKB CAM • Servicer/manager selection :
– HEL assets are filtered with a specific emphasis on servicer selection
– CDO managers are fully analysed with due diligence carried out by IKB CAM through site visits and annual meetings
• Pool analysis :
– A HEL’s underlying pool is analysed using servicer specific curves in INTEX for stress testing according to key internally developed ratios
– CDO pools are examined with a drill down to underlying assets and stress testing of the underlying asset pools • Relative value :
– Assets are compared in terms of their relative value vis-à-vis peers and individual pool characteristics – Asset classes are compared according to spread development and potential
• Weekly mark to market of the entire portfolio (bid side) prepared by QSR and sent to the Rating Agencies
• Measurement and monitoring of underlying Available Funds Cap risk within HEL portfolio is captured and managed within limits agreed with the Rating Agencies
• The CPR of the portfolio is captured on a macro and micro basis within the portfolio pool based on reporting monthly or quarterly reporting periods
• Individual reviews of each trustee report with comparison to initial transaction expectation and key tests as soon as it is published
The full IKB presentation is embedded below. Read John Carney’s story at the Daily Beast here >
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