The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site. Please see our Subscription Terms and Conditions.


All material subject to strictly enforced copyright laws. © 2021 Euromoney, a part of the Euromoney Institutional Investor PLC.
Capital Markets

ABS CDOs: False dawn for ABS CDOs

ABS CDOs are back buying sub-prime ABS but all remains far from well in the asset class.

A shadow of its former self?
US mezz ABS CDO pipeline as at 21/05/07
Issuer Size ($mln) Lead
Ischus Mezz CDO IV 507 Citi
Kilts CDO 07-1 1,000 RBS GC*
Nordic Valley 07-1 1,000 CS
Pine Mountain 500 Lehman
RFC CDO 5 501 Deutsche
Stockton 1,000 WS
*Synthetic
Source: Dresdner Kleinwort

In mid-April, Lehman Brothers reckoned that there were $18 billion to $25 billion of mark-to-market losses residing in ABS CDOs – both deals that had already closed and those still in the works. It is therefore not surprising that activity in the ABS CDO market seemed to dry up overnight; and appetite for home equity loan ABS dried up along with it. But within a few weeks the underlying market seemed to have staged a remarkable recovery; spreads in HEL ABS were tightening by eye-watering increments thanks to buying by those same ABS CDOs – happily ramping up as before.

It is hard to believe that the CDO market can shrug off a problem as large as the US sub-prime mortgage mess as easily as this.

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.

SUBSCRIBE ONLINE TODAY

Unlimited access to Euromoney.com and Asiamoney.com

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually

FREE 7 DAY TRIAL

Unlimited access to Euromoney.com and Asiamoney.com, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors

LOGIN NOW

Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree