The Hartford 2007 Annual Report Download - page 148
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148
ABS CDOs was primarily related to the investment of the cash collateral received from securities lending programs into AAA rated
CLOs that have underlying bank loan collateral. The increases in the financial services and municipal securities were due to the sectors
attractive risk/return profiles. The majority of the increase in the financial services sector occurred during the first nine months of the
year.
Deterioration in the U.S. housing market, tightened lending conditions and the market’ s flight to quality securities as well as the
increased likelihood of a U.S. recession has caused credit spreads to widened considerably. The sectors most significantly impacted
include residential and commercial mortgage backed investments, and other structured products, including consumer loan backed
investments and lenders and monoline insurers. The follows sections illustrate the Company’ s holdings and provides commentary of
the sectors identified above.
The remaining structured investment products other than ABS sub-prime and consumer loans and CMBS primarily relate to ABS CDOs
supported by senior secured bank loans. As of December 31, 2007, these CLOs represent 99% of ABS CDO holdings with
approximately 80% rated AAA.