(2007-12-04) Citibank Losses

CitiBank has taken big losses, and its CEO had to resign.

A big source of their Sub-Prime loss was the use of Liquidity Put-s

• this came up during Robert Rubin interview Nov09

• Nov12 PaulHodges showed the size and variety of Off Balance Sheet numbers.

• Robert Ehrenberg says it's not really anything new, and questions whether lots of securitized loans should really be Off Balance Sheet.

• Nov21 SamJones piece linked to various people

• Felix Salmon summarizes the SamJones pieces and goes a bit further. The problem with these CDO-s is exactly the same as the problem with SIV-s (or, for that matter, with banks in general): that the structure's assets have a much longer duration than its liabilities. If the CDO or the SIV can't roll over its ABCP, then the sponsoring bank is in trouble, since it invariably has agreed to buy that CP if no one else will do so.

• Felix Salmon gives more follow-up Nov23.

Are there other "conduit" financing risks that haven't been recognized yet?