CDO Rap From Former Deutsche Bank Bond Trader

CDO graphic (FCIC)
I randomly came across this internal Deutsche Bank email from November 8, 2005, which was part of FCIC's report on the financial crisis, with former Deutsche Bank bond trader Rocky Kurita rapping about the CDO market. Deutsche Bank was a huge player in RMBS and CDOs, and Kurita was on Greg Lippmann's trading desk that built a $5 billion short position against the subprime mortgage market with credit default swaps.

The funny thing is, Kurita and Lippmann both had conversations with former hedge fund manager Michael Burry because he was originally a corporate CDS client and he purchased $60 million worth of CDS referencing six subprime mortgage bonds on May 19, 2005. Burry and Lippmann were featured in Michael Lewis' book 'The Big Short'.

If you listen to Michael Burry's FCIC interview, Burry said Deutsche Bank fired his hedge fund (Scion Capital) as a client because he was so strict with marks. He had a conversation with Rocky once about a potential non-standardized ("not freely tradable amongst counterparties") RMBS CDS offering, which he declined. And Greg Lippmann called Burry and asked if he could buy back some of his CDS positions, but he wasn't interested (transcript). Interesting set of events between two of the original subprime shorts. I'm not sure when Burry closed out his positions with the firm. So here's the rap. Kurita will go down in financial rap history.

"---- Original Msg from: ROCKY KURITA, DEUTSCHE BANK SECURI At: 11/ 8 8:0=

"CDO Oh Baby" by Vanilla Ice

Yo vip let's kick it!
C D O oh baby, C D O oh baby
All right, stop, collaborate and listen
Spreads are wide with a technical invasion
Home Eq Subs were trading so tightly
Until Hedge Funds Bot Protection daily and nightly
Will they stop? Yo I don't know

Turn up the Arb and let's go
To the extreme Macro Funds do damage like a vandal
Now, BBBs are trading with a new handle
Print, even if the housing bubble looms
There are never ends to real estate booms
If there is a problem, yo, we'll solve it

Check out the spreads while my structurer revolves it
C D O oh baby, C D O oh baby"

Source: Wikipedia

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