Goldman Pitches Levered Super Senior On CMBS

Goldman Sachs is pitching a leveraged super senior transaction with an underlying of commercial mortgage backed securities. It is one of the first structures to apply leverage to a portfolio of asset-backed securities, credit officials noted, an innovation financers began toying with last month (DW, 11/7).

The transaction, called Abacus, references a portfolio of 30 AAA-rated U.S. CMBS. It is returning 65 basis points over one-month LIBOR and features a loss trigger. The portfolio is secured through a credit-default swap with a special purpose vehicle, which will issue USD100 million in credit-linked notes rated AAA by Fitch Ratings. Arranged by Goldman's U.S. desk, officials from the firm could not be reached by press time and further details of the structure could not be determined.