The first synthetic collateralized debt obligation to reference A-rated commercial mortgage-backed securities is in the pipeline. Goldman Sachs' Abacus 2006-10 references 70 A-rated CMBS, where previous deals solely referenced AAA CMBS. Going down the capital structure allows the firm to capture more spread, noted Michiko Whetten, quantitative credit analyst at Nomura Securities International. Goldman officials declined comment.
Earlier this year, Goldman pitched a leveraged CMBS super-senior deal that was one of the first structures to employ leverage to a portfolio of asset-backed securities. That offering referenced a portfolio of 30 AAA-rated U.S. CMBS and was returning 65 basis points over one-month LIBOR.
