Unhinged Fund Alert!

18

Funds: Macquarie Fortress Fund.
Affiliation: Macquarie Bank
Size: $186 M combined
Leverage: 6x
Losses: 25% +
Status: liquidating

The most telling thing about this is that the fund "has no direct exposure to US sub-prime mortgages" instead, the fund invests in "senior loans" of which "there have been no defaults in the portfolio" but which have declined "four percentage points" since June 29. That's great! Throw in 6x leverage and you get "deterioration in NAV for 31 July 2007 of approximately 20-25 cents" (out of $1.02).

p.s. Everyone is still calling this a "subprime mortgage" problem. It's not. It's a systemic problem with most mortgages written from 2005-2007, prime included.