LIQUIDITY TALK. THE CDO PUT AT WORK?
[Latest Global Dollar Liquidity Measure: +14.6% annual growth rate; latest Endogenous Liquidity Index: -1.6%]

According to the Daily Institutional Investor, Wachovia has structured a synthetic collateralized debt obligation for PIMCO, the first deal the firm has led for the manager. "The $750 million CDO, called Bayshore Synthetic CDO 2007-01, is made up of 115 corporate credit-default swaps. Bayshore is being rated by Moody's Investors Service and Standard & Poor's ... The deal is being marketed globally, with the bulk of synthetic CDO liabilities generally now being placed in Asia".

According to Daily Institutional Investor, the deal is a remarkable one because PIMCO "does not issue into the CDO market as frequently as other large managers". I'd bet that Accrued Interest will reflect upon this piece and all the irony it contains. More to the point, could this be the start of the CDO Put? CDS spreads, after all, are rising.