Ambac dumps $1.4 billion CDO-squared, scraps Citi guarantee

Bond insurer Ambac has rid its books of exposure to a $1.4 billion CDO-squared transaction, by commuting a guarantee written on it for arranger Citi.

Commuting means scrapping insurance contracts under terms agreeable to both parties. In the case of the CDO-squared, Citi received a final cash payment of $850 million from the monoline.

The deal originally referenced double-A rated classes of CDOs of asset-backed securities, most of which have now been downgraded to sub-investment grade, according

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