Some of the largest U.S. CDO managers in 2006 counted ABS CDOs as nearly their entire book of business, according to Standard & Poor's.
ABS CDO transactions accounted for more than two-thirds of outstanding issuance for 17 of the top 25 CDO managers last year, according to the rating agency's annual tally. Perhaps not surprising, as overall ABS CDO issuance increased threefold year over year from 2005. Cash flow CLO issuance, meanwhile, doubled from 2005 to 2006.
S&P ranks CDO managers annually based on the outstanding volume of rated U.S. cash flow liabilities each maintains during the year. Reflecting the large issuance in 2006, at least 30% of rated issuance for 17 of the top 25 CDO managers occurred last year. In fact, at roughly $294 billion, U.S. cash flow CDO issuance in 2006 accounted for more than 40% of outstanding cash-flow volume to date, according to S&P.
TCW Group Inc. once again was the largest CDO manager at year end, with 46 deals totaling $33.8 billion. Los Angeles-based TCW had $27.5 billion in outstanding ABS CDOs and $2.5 billion in outstanding CLOs, according to the S&P figures. Total issuance last year for TCW was $11.1 billion - nearly equivalent to the second-, third- and fourth-largest managers' combined issuance in 2006.
Duke Funding Management had 12 deals totaling $16.8 billion, all of which was in the ABS CDO sector. Total issuance last year for Duke was $4.8 billion. Bear Stearns Asset Management, which also managed deals solely in the ABS CDO space, had 12 deals totaling $14.7 billion. Bear's total issuance last year was $2.6 billion, according to the S&P figures.
BlackRock Financial Management had 24 deals totaling $16.1 billion outstanding. Roughly $14 billion of that amount was in the ABS CDO sector, while CLOs totaled $1.3 billion; BlackRock managed $4.2 billion in deals last year. Rounding out the top five, Credit Suisse Alternative Capital had 25 deals totaling $14.9 billion last year. Credit Suisse had $2.5 billion in rated outstanding ABS CDO liabilities and $8.7 billion in CLOs; its 2006 issuance was roughly $5 billion.
As of year end, the largest managers had been in the CDO market an average of 2.83 years. This is based on when the manager first entered the CDO market, regardless of asset type. On average, the top 25 ABS CDO managers have been in the market for 4.5 years. TCW has been in the sector since 2001, while No. 11-ranked ABS CDO manager ICP Asset Management first produced an S&P rated deal in 2006. Among the oldest ABS CDO managers, based on the S&P figures, are No. 12 and No. 13 placers Declaration Management and Research and Deerfield Capital Management, which both entered the market in 2000.
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