Pyxified, Merrill’s subprime sink

Have you ever heard of Merrill Lynch’s Pyxis CDO/SPV/Insert Structured Finance Acronym?

It’s confusing a lot of people this week, after the NYT’s Louise Story exhumed the deal, which she says was a way for the bank to shift its subprime exposure off-books.

The implication is that after the US Securities and Exchange Commission went after Citi for failing to adequately disclose its own subprime exposure in the run-up to the crisis, Merrill Lynch (now part of BofA) could be next.