The Full Abacus CDO Pitchbook
- ABACUS 2007-AC1 is a $2 billion notional synthetic CDO (the “Transaction”) referencing a portfolio (the “Reference Portfolio”) consisting of RMBS obligations.
- ACA Management, LLC (“ACA”) will be acting as Portfolio Selection Agent in this Transaction.
- ACA currently manages 22 outstanding CDOs with underlying portfolios consisting of $15.7 billion of assets
- The 360 WARF target Reference Portfolio selected by ACA consists of 90 Baa2-rated mid-prime and subprime RMBS bonds issued over the past 18 months.
- The CDO tranches amortize principal using a full sequential amortization sequence, avoiding any reduction in the relative subordination of the CDO tranches.
- The CDO tranches will have a projected average life(2) of 3.9 to 4.9 years, which is shorter than the average life of most traditional ABS CDOs executed in the current market environment.
- The CDO tranches do not bear any available funds cap risk and other related interest shortfall risks.
- Goldman Sachs’ market-leading ABACUS program currently has $5.1 billion in outstanding CLNs with strong secondary trading desk support.