The August 2011 working paper had the following ditty in it’s abstract (Link):
“show how some 5,500 BBB-rated subprime bonds were placed or referenced into these CDOs some 37,000 times, transforming $64 billion of BBB subprime bonds into $140 billion of CDO assets.”
Both highlight that the 1999-2007 CDO market was only a $641 billion.
With a 75% loss rate (wow, way wrong I was), wouldn’t it have been a lot cheaper to just backstop the loss.