Twas the night before Christmas(2006), and all through the bond house

No investors were selling not even one foreclosed house

The allocations were distributed with the utmost care,

In the hopes that new issue mandates would soon be there

The CDO managers were all snuggled in their beds

With visions of annual fees dancing through their heads

And dealers with residuals and interest rate caps

Had just paid up for a pool with a MBIA wrap

When out in the market there arose such a clatter

They sprang from their desks to see what was the matter

Away to the desk they flew like a flash,

As head hunters were calling offering huge cash

The contracts offers were to manage ABS and CDO flow

But the multiyear offers were simply far too low

When, what do their wondering eyes should appear,

But an ABX Index and Macro Hedge Funds sellers I fear

With little option cost so very cheap and slick

They knew at that moment that the optionality was sick

More rapid than coursers they came

All the macro hedgies you know them by name

Now Dasher Capital, Dancer LLP, Prancer Point, Vixenview!

On Comet Short Only! On DonderCap and Blitzenew!

To the top of the capital structure!

To the Super Senior holders we rapture!

Merry Christmas to all

And to the Subprime Market Goodnight