Transcript 0000-00-00 FCIC CDO Market Charts

Selected Charts regarding CDO
Market
February 2011
FCIC
Characteristics of the sample of Asset
Backed Securities (ABS) CDOs
• The sample includes 793 deals that were
originated between October 1998 and
February 2009
• The sample is drawn from the population of
active deals in the Moody’s CDO Enhanced
Monitoring Service database
ABS CDO Deal Origination Volume, 2003-2007
250
200
150
100
50
0
2003
2004
2005
Total Origination ($billions)
2006
2007
ABS CDO Collateral Composition at Origination,
2003-2007
250
200
$billions
150
100
50
0
2003
2004
Share of synthetic collateral
2005
2006
Share of cash collateral
2007
Proportion of ABS CDO collateral composed of
other ABS CDOs, 2003-2007
250
200
$billions
150
100
50
0
2003
2004
2005
Tranches of ABS CDOs
2006
Other collateral
2007
Share of ABS CDO mezzanine tranches
purchased by other ABS CDOs, 2003-2007
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
2003
2004
2005
Aa, A, and Baa tranche origination
2006
2007