Holders of the"Bailed-Out" ABCP Could Lose 50%

The Financial Post reported that the majority (about two thirds) of the $35B of non-bank ABCP in Canada is backed by risky bets on credit default rates that are very far underwater. The losses could be 50C on the dollar (quote from ED Devlin from PIMCO). He says the situation is worse in Canada than in the US. The issuers were leveraged so losses are amplified. They are "leveraged up 10 times and then leveraged again".

The so-called Montreal bailout is in doubt because of this levegage, but it seesm the banks involved in the bailout were the ones who would benefit, by forcing the holders of very short term debt to swap it for long term debt. May be not.

http://www.canada.com/nationalpost/financialpost/story.html?id=95b0a712-122c-4d01-a1bb-8aa44eb746ff&k=10317

Altamira Releases Updated Financial Statements, Plenty of ABCP.

Altamira has released its June 30 2007 financial statements. A quick search reveals some astonishing finds. For example, the Precision European RSP Index Fund had 37%.

The Precision U.S. RSP Index fund had 44.91% of its assets in commercial paper (including Comet, Planet, Aurora, Apsley, Silverstone, etc.). THe web site (today August 30) mentions the fund's objective as:

"The Fund is ideal for the investor who is looking to match the returns of the S&P 500 Index (in $US returns) with a hedge against currency fluctuations and who is willing to endure an above average degree of volatility."

The Precision European RSP Index fund's objectives were: "The Fund seeks long-term growth of capital by tracking the performance of the FTSE Eurotop 100 Index*." This fund had 38.05% of its assets in commercial paper, including Zeus, Planet Trust, Silverstone, Ironstone and others.

The Altamira Precision International RSP Index Fund had 44.91% of its holdings in commercial paper, see contents below.

Comet Trust 4.40%, due July 3, 2007 3,000,000 Skeena Trust 4.40%, due July 3, 2007 2,500,000 Symphony Trust 4.49%, due July 3, 2007 3,000,000 Zeus Receivable Trust 4.38%, due July 4, 2007 4,000,000 Planet Trust 4.37%, due July 5, 2007 700,000 4.50%, due July 6, 2007 3,000,000 Opus Trust 4.50%, due July 6, 2007 3,000,000 Structured Investment Trust 4.50%, due July 6, 2007 3,100,000 Sound Trust 4.37%, due July 9, 2007 5,000,000 Silverstone Trust 4.39%, due July 12, 2007 3,000,000 White Hall Trust 4.39%, due July 12, 2007 3,000,000 Apsley Trust 4.50%, due July 26, 2007 3,000,000 Encore Trust 4.67%, due September 19, 2007 3,000,000 Aurora Trust 4.68%, due September 19, 2007 3,600,000 Great North Trust 4.68%, due September 19, 2007 3,000,000 Ironstone Trust 4.68%, due September 19, 2007 3,000,000 Opus Trust 4.68%, due September 19, 2007 600,000 Comet Trust 4.72%, due September 24, 2007 2,000,000 Opus Trust 4.63%, due September 27, 2007 3,000,000 Depfa Bank 4.64%, due September 28, 2007 2,500,000

Source: http://altamira.com/resources/e_seminannuals.pdf