CDOs/CLOs

The middle market CLO sector has seen a rash of rating agency upgrades this year. And while credit quality is expected to remain strong despite new managers and collateral choices, the rosy performance can be attributed largely to structural development. The sector only in the last several years has begun to diverge from traditional sequential-pay structures and static portfolios, and continued innovation is expected.

New Jersey-based Principia Partners, which provides data processing solutions for structured finance and capital markets companies, launched a product that will help structured finance entities handle compliance reporting and accounting.

At $182.4 million, the Jersey Central Power & Light stranded cost transaction was not expected to make an enormous splash on the ABS primary issuance market last week. Still, it attracted attention from some traders simply because of the diminishing presence of stranded cost ABS issuances in the lineup of deals.

Fitch Ratings is asking investors for a little feedback. On Aug. 3, the rating agency rolled out a plan to add surveillance, metrics, analytics, research and tools to its ratings of structured finance deals on a monthly or quarterly basis. The exercise aims to assure bondholders that the rating agency is actively monitoring each deal.

Morgan Stanley has joined the growing list of investment banks making major investments in their mortgage securitization businesses by buying originators, servicers, or both.

Background

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 6,351.4 1 14.9 14 Wachovia Corp 6,106.4 2 14.3 11 Citigroup 6,027.5 3 14.1 12 Deutsche Bank AG 5,729.1 4 13.4 10 Barclays Capital 3,626.9 5 8.5 6 HSBC Holdings PLC 2,389.3 6 5.6 3 Royal Bank of Scotland Group 2,169.3 7 5.1 5 Banc of America Securities LLC 1,925.9 8 4.5 3 Merrill Lynch & Co Inc 1,847.5 9 4.3 4 Goldman Sachs & Co 1,701.7 10 4.0 3 Industry Total 42,728.3 - 100.0 50 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Merrill Lynch & Co Inc 20,959.6 1 12.5 28 Citigroup 20,259.6 2 12.0 35 Deutsche Bank AG 16,531.1 3 9.8 22 Bear Stearns & Co Inc 11,863.4 4 7.1 22 Banc of America Securities LLC 11,809.6 5 7.0 27 Wachovia Corp 11,279.8 6 6.7 28 Credit Suisse 10,506.7 7 6.2 19 UBS 9,676.6 8 5.8 40 Morgan Stanley 6,761.8 9 4.0 30 Royal Bank of Scotland Group 6,499.7 10 3.9 8 Industry Total 168,273.9 - 100.0 321 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Banc of America Securities LLC 11,108.3 1 26.5 15 Citigroup 8,982.0 2 21.4 13 JP Morgan 7,824.7 3 18.7 18 Deutsche Bank AG 2,924.9 4 7.0 8 Barclays Capital 2,860.1 5 6.8 7 Morgan Stanley 2,289.1 6 5.5 4 Credit Suisse 1,735.1 7 4.1 8 ABN AMRO 1,000.0 8 2.4 5 HSBC Holdings PLC 1,000.0 8 2.4 1 Merrill Lynch & Co Inc 875.0 10 2.1 3 Industry Total 41,924.1 - 100.0 62 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Deutsche Bank AG 1,750.0 1 23.8 3 ABN AMRO 1,250.0 2* 17.0 2 Lehman Brothers 1,250.0 2* 17.0 2 Royal Bank of Scotland Group 1,000.0 4* 13.6 2 Banc of America Securities LLC 1,000.0 4* 13.6 2 JP Morgan 500.0 6 6.8 1 Merrill Lynch & Co Inc 300.0 7* 4.1 1 Citigroup 300.0 7* 4.1 1 Industry Total 7,350.0 - 100.0 6 Source: Thomson Financial