CDO Fallen Angels Surpass Other Sectors

Downgrades of collateralized debt obligations to sub-investment grade from investment grade in 2007 have surpassed the fallen angels in all asset-backed securities in any previous year, according to rating agency data compiled by Deutsche Bank.

  • 16 Nov 2007
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--Aaron Johnson

Downgrades of collateralized debt obligations to sub-investment grade from investment grade in 2007 have surpassed the fallen angels in all asset-backed securities in any previous year, according to rating agency data compiled by Deutsche Bank. And it is still only half of what can be expected this year, according to Anthony Thompson, head of global CDO research at Deutsche Bank.

So far, $55 billion of ABS has been downgraded to BB from investment grade this year, with $24.3 billion of that coming from CDOs and $26.7 billion from subprime residential mortgage-backed securities. The majority of those drops were to BB from BBB, Thompson said. “There’s been a lot more activity in CDO downgrades on a relative basis than there has been in mortgages,” he said. “We haven’t seen all the losses come through the system yet, and [even in] subprime mortgages there is a lot more reset risk that’s coming through in the next 12 months.”

Previously, the largest amount of ABS fallen angels occurred in 2002-2004, when $20 billion of ABS, mostly aircraft securitizations, were downgraded each year. This year aircraft securitizations totaled a mere $1.7 billion.

  • 16 Nov 2007

GlobalCapital European securitization league table

Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 BNP Paribas 5,997 17 15.40
2 Citi 4,679 16 12.02
3 Lloyds Bank 3,158 6 8.11
4 Bank of America Merrill Lynch (BAML) 3,104 10 7.97
5 Morgan Stanley 3,066 8 7.88

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 69,085.90 230 10.56%
2 JPMorgan 63,371.79 193 9.69%
3 Wells Fargo Securities 50,770.30 154 7.76%
4 Bank of America Merrill Lynch 50,061.19 163 7.66%
5 Credit Suisse 45,499.96 141 6.96%