Thank You, MSI...
…for using crappy capacitors for the CPU voltage stabilization on my (now former) MSI P965 Neo2 v2 mainboard. This cost me a couple of hours of error-analysis plus ~ 80 EUR for a new mainboard (as I can’t just wait a couple of weeks for the repair of the RMA’d one)… What complicated the error analysis was the fact that all of the affected capacitors were installed so close to the CPU socket that they were hidden below the CPU’s heat sink, so I tried to rule out other alternatives such as a bad PSU or bad RAM before I started disassembling the mainboard as the symptom was rather unspecific (the system sporadically turned off when the CPU load increased).
JFTR: More than 80% of the 11 installed capacitors were bad (i.e., baggy or lifted off from the circuit board).