Moody's Investors Service said last week it will begin providing monthly reports on the individual asset exposures by CDO category and vintage within 650 U.S. cash flow transactions issued between 1996 and 2005. While the rating agency is initially tracking the five primary deal types - arbitrage cash flow CBOs, arbitrage cash flow CLOs, emerging market CDOs, investment-grade arbitrage cash flow CBOs and resecuritizations - it intends to add to its list static synthetic CDOs, trust preferred security CDOs and small and middle entity CDOs.
The move to provide the data to the CDO community comes on the heels of a decision to begin publicly tracking the performance of CDO equity on a monthly basis. Both decisions, rating agency representatives said, were a result of client requests for more information on the relatively opaque, but rapidly growing, CDO market.
The largest single exposure within the ACF-CBO sector accounted for less than 1.5% of all assets backing the transactions, Moody's found. Only a few names accounted for more than a 1% exposure and the 10th largest exposure landing at just under 0.7%. Each of the top six names within the sector were held by about half of the CBO transactions monitored. Unfortunately for investors, there is a higher portion of collateral concentrated within both the ACF-CBO sector and the IG-CBO sector that is on watch for a downgrade by Moody's than those on a watch list for an upgrade. However, exposure to the top six industries among the deals only landed between 5% and 6.3%.
Similarly, the range of aggregate exposures to the most commonly referenced industries within the CLO sector ranged from 4% to 6%. The top exposures in the sector landed around 1.2% of the aggregate - and only three exposures exceeded 1%. But because of a limited number of emerging market issuers, individual name exposures within EM CDOs run relatively high. Brazil came in first with a 5.5% concentration, followed by Columbia, which has more than a 4% concentration. Just three credits dominated individual name exposure within the resecuritization category, led by Park Place Securities at 2.3%, but no other exposure outside of the top three exceeded a 1% concentration level.
And interestingly, only two of the top 10 names concentrated within IG-CBOs were actually investment grade, and two of the top 10 have had their senior unsecured ratings removed. The exposures top out at Ford Motor Credit's 1.7% concentration.
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