E*trade deal implications

--Citadel bought the entire ABS portfolio from E*Trade, including CDO. Citadel paid an average of about 27 cents on the dollar for these assets. --In addition to our asset-backed CDO and second lien portfolio, ETRADE hold approximately $2.6 billion in amortized cost in other asset-backed securities, mainly securities backed by prime residential first-lien mortgages. net exposure to AB CDO and second-lien ast of Sept 2007 was approximately $450 mil (20%) --In a report released in October (10/18) by E*Trade that gave details on its holdings, the firm said that nearly 60% of the assets in its $3 billion portfolio were rated double-A or higher. Of these securities, $1.35 billion were residential-mortgage securities given to borrowers with good credit histories. (84% A or better) --Those aren't the kind of assets that usually sell at 27 cents on the dollar. "We were surprised at the large discount given the quality of the assets," Goldman Sachs analyst William Tanona said in a report. --The portion of the ABX index tracking double-A-rated subprime bonds that is used by many investors as a proxy for determining the value of similar mortgage securities recently traded at 45 cents on the dollar, according to data from Markit Group. That is up about six cents, or about 15%, from a week ago. But the Citadel average of 27 cents is at a more than 30% discount to even that lower price.