Moody's Investors Service this week is releasing a report detailing historical ABS supply trends, breaking down issuance into several subsets, such as tranches per deal, ratings distribution, and collateral backing supply.
The study aims to put hard data behind well-known trends. For instance, not surprisingly, the market has become somewhat less top heavy from a ratings perspective since the late 1990s, reflecting, among other things, an increased bid for subordinate tranches, at least in part attributable to the ABS CDO phenomenon.
Moody's data reveals that in the 1990 to 1995 time frame, 70% of the market was Aaa', versus the 1996 to 2002 time period, when triple-A averaged 60% of the market. Further, in the past five years, 80% of the market has been multi-tranche deals, versus 54% multi-tranche in the early 1990s, and 11% multi-tranche in the late 1980s.
Among other trends, Moody's shows statistically the movement of the market away from external credit enhancement.
"The takeaway is the growth, not in dollars, but in the breadth of the market: the asset classes, the structures, the changes in the types of enhancement," commented report author Michael Xie, a vice president and senior analyst at Moody's.