Cash Investors Lead Flight To Synthetic ABS

The growth of the structured synthetic asset-backed securities market is being driven by the entrance of cash ABS investors crossing over to derivatives, rather than corporate credit-default swap players adding ABS to their mix.

  • 07 Jul 2006
Email a colleague
Request a PDF

The growth of the structured synthetic asset-backed securities market is being driven by the entrance of cash ABS investors crossing over to derivatives, rather than corporate credit-default swap players adding ABS to their mix.

Marketers say inquiries from cash managers are swamping them, as these investors are lured by the superior liquidity, greater historical rating stability and higher returns of the underlying. A seven-year synthetic collateralized debt obligation of high-grade ABS is returning a pickup of roughly 325 basis points, for example, compared with 290 bps in a cash CDO and 210 bps in a corporate synthetic. Reasons offered for traditional CDS investors lagging behind were varied, but salesmen noted it can take longer for these investors to get comfortable with the ABS market.

Structurers say they are packaging exposure to spread risk in a variety of ways. These include constant proportion portfolio insurance written on synthetic ABS indices and single names (DW, 3/3), as well as default risk in the form of tranches of CDOs referencing portfolios of synthetic ABS. The week of June 22, for example, of the EUR22 billion in ABS CDOs issued in London, one quarter was synthetic.

  • 07 Jul 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 317,691.74 1201 8.90%
2 JPMorgan 291,227.96 1326 8.16%
3 Bank of America Merrill Lynch 285,088.11 991 7.99%
4 Goldman Sachs 217,749.25 714 6.10%
5 Barclays 209,291.80 811 5.87%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 32,320.82 147 6.67%
2 Deutsche Bank 32,259.50 104 6.66%
3 Bank of America Merrill Lynch 28,890.43 85 5.96%
4 BNP Paribas 25,663.29 144 5.30%
5 Credit Agricole CIB 22,617.86 130 4.67%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 18,160.85 71 9.15%
2 Morgan Stanley 15,215.44 76 7.67%
3 UBS 14,195.29 55 7.15%
4 Citi 14,014.57 86 7.06%
5 Goldman Sachs 12,113.98 67 6.10%