Several synthetic asset-backed collateralized debt obligations referencing other ABS CDOs are in the market, signaling that liquidity for credit-default swaps on ABS CDOs has reached a critical mass. Previously, such deals tended to be structured more laboriously using total-return swaps. Goldman Sachs, UBS andCredit Suisse are all at various stages of marketing.
Goldman's USD900 million deal from its Abacus series of issues, HGS1, is being managed by Bear Stearns Asset Management. It references a mix of CDS on A-rated bonds and synthetic ABS. "[A-rated] spreads are really in a sweet spot right now," said one CDO trader.
UBS has a USD300 million deal called Tasman being managed by London-based credit fund Credaris. Details of the deal could not be determined. Credit Suisse is in the market with a deal managed by TCW Asset Management. The USD400 million issue is a followon to a deal launched in July that used total-return swaps to reference at least 40 tranches.
Firm officials declined comment ahead of close.
