| A shadow of its former self? | ||
| US mezz ABS CDO pipeline as at 21/05/07 | ||
| Issuer | Size ($mln) | Lead |
| Ischus Mezz CDO IV | 507 | Citi |
| Kilts CDO 07-1 | 1,000 | RBS GC* |
| Nordic Valley 07-1 | 1,000 | CS |
| Pine Mountain | 500 | Lehman |
| RFC CDO 5 | 501 | Deutsche |
| Stockton | 1,000 | WS |
| *Synthetic | ||
| Source: Dresdner Kleinwort | ||
In mid-April, Lehman Brothers reckoned that there were $18 billion to $25 billion of mark-to-market losses residing in ABS CDOs – both deals that had already closed and those still in the works. It is therefore not surprising that activity in the ABS CDO market seemed to dry up overnight; and appetite for home equity loan ABS dried up along with it. But within a few weeks the underlying market seemed to have staged a remarkable recovery; spreads in HEL ABS were tightening by eye-watering increments thanks to buying by those same ABS CDOs – happily ramping up as before.
