CDOs/CLOs

From start to finish, the ABS market had an ambitious week, as dealers rushed to get deals out the door before a long, if not leisurely, weekend. The market produced a respectable $13.6 billion in new issuances by press time.

With the ever-expanding ABS market, the growth of new ABS products and asset classes will always be an important topic. At the American Securitization Forum annual meeting to be held next week, there would be a session devoted entirely to emerging markets and products. Paul Burke, a managing director at Ambac Assurance Corp., will be moderating the discussion that would focus on such emerging assets as life insurance or triple-X transactions as well as the growth of securitization in Latin America, Asia and Eastern Europe.

AEP Texas Central Co., which is looking to raise as much as $1.7 billion through securitization, filed what it called a unanimous settlement agreement with the Public Utility Commission of Texas. The accord will hold them - and all other affected parties - to any securitization financing order that the commissioners decide on later this year.

A bit of ageing becomes the prime auto ABS sector, according to Fitch Ratings. With 11 upgrades, the asset class dominated positive ratings movement activity for U.S. term ABS in April.

Overcollateralization, excess spread and the presence of cash capitalization accounts (CCAs) on certain deals provide ample protection against prepayment losses on private student loan ABS deals, Lehman Brothers found after a test analysis on a Sallie Mae transaction.

Fitch Ratings upgraded one class of notes issued by collateralized bond obligation CAM CBO I last week. The class B notes totaling approximately $20.8 million were upgraded to BB from B+; the approximately $32.2 million in C notes remain rated at C.

Swap counterparties in deals rated by Moody's Investors Service may see the amount of collateral they're required to post decrease, thanks to new guidelines the rating agency plans to adopt.

Having gotten an earful from Wall Street about a proposal that, if implemented, could massively increase financial institutions' regulatory obligations for any structured deal that fits under a broad umbrella category of "complex structured finance transactions" (CSFTs), five federal agencies announced earlier this month that they had greatly revised their proposed criteria.

With the launch of its third CDO of CDOs, the $400 million Connecticut Value Structured Credit CDO III, Babson Capital Management has made yet another mark in what remains a niche market of the structured finance universe.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,627.6 1 24.1 13 JP Morgan 3,828.6 2 13.9 10 Wachovia Corp 2,832.0 3 10.3 6 Deutsche Bank AG 2,602.6 4 9.5 8 Merrill Lynch & Co Inc 1,847.5 5 6.7 4 Barclays Capital 1,705.7 6 6.2 4 Credit Suisse 1,550.0 7 5.6 3 Royal Bank of Scotland Group 1,479.3 8 5.4 3 Banc of America Securities LLC 1,374.9 9 5.0 1 Goldman Sachs & Co 868.7 10 3.2 2 Industry Total 27,478.3 - 100.0 33 Source: Thomson Financial