CDOs/CLOs

Dominion Bond Rating Service just released the final beta version of an advanced modeling tool designed to evaluate the future performance of synthetic CDO structures. DBRS unveiled the tool at IMN's ABS East conference the preceding week in Boca Raton, Fla. A final version has yet to be publicly released.

CDOs are not expected to take a substantial hit from the preceding week's dual bankruptcy filings of Delta Air Lines and Northwest Airlines, according to a report by Fitch Ratings.

Rules for the first tradable ABS index, released Sept. 14 by Markit, which serves as the administrator of the index, will include 20 RMBS issuers and have five sub-indexes consisting of one security from each issuer. The sub-indexes will include an "Aaa Sub-index," an "Aa2 Sub-index," an "A2 Sub-index, a "Baa2 Sub-index" and a "Baa3 Sub-index." As of last week, eight institutions had signed up as market makers, according to Nomura Securities.

With the deadline for compliance with the Securities & Exchange Commission's Regulation AB now less than four months away, speakers at IMN's recent ABS East conference voiced varied concerns about whether most issuers will be ready to comply by that time. One speaker even predicted the regulation's Jan. 1, 2006 deadline will cause an issuance rush in the fourth quarter of this year and a relative drought in the first quarter of next year.

Year to date as of 09/22 Term (days) 09/16 09/19 09/20 09/21 09/22 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 8,270.8 1 13.2 13 Deutsche Bank AG 7,263.3 2 11.6 13 Merrill Lynch & Co Inc 7,246.0 3 11.6 9 Citigroup 6,870.1 4 11.0 12 Banc of America Securities LLC 5,947.1 5 9.5 10 Wachovia Corp 5,005.3 6 8.0 11 Barclays Capital 4,782.8 7 7.6 9 Credit Suisse First Boston 4,561.9 8 7.3 9 Goldman Sachs & Co 3,564.1 9 5.7 4 HSBC Holdings PLC 2,771.4 10 4.4 4 Industry Total 62,639.2 - 100.0 61 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 17,037.7 1 18.5 25 Citigroup 11,695.8 2 12.7 25 Morgan Stanley 7,534.7 3 8.2 28 Wachovia Corp 6,951.2 4 7.6 15 Bear Stearns & Co Inc 6,821.5 5 7.4 17 Deutsche Bank AG 5,279.6 6 5.7 14 Banc of America Securities LLC 5,245.8 7 5.7 21 Lehman Brothers 5,147.7 8 5.6 16 UBS 4,453.1 9 4.8 11 JP Morgan 3,659.6 10 4.0 10 Industry Total 91,987.1 - 100.0 222 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 JP Morgan 10,569.1 1 28.3 21 Citigroup 5,198.2 2 13.9 16 Barclays Capital 4,299.0 3 11.5 11 Deutsche Bank AG 3,324.6 4 8.9 15 Morgan Stanley 2,216.5 5 5.9 4 Credit Suisse First Boston 2,088.2 6 5.6 8 Banc of America Securities LLC 2,041.2 7 5.5 8 Lehman Brothers 1,850.0 8 5.0 5 ABN AMRO 1,833.2 9 4.9 7 Royal Bank of Scotland Group 1,135.8 10 3.1 4 Industry Total 37,290.6 - 100.0 74 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 2,400.7 1 18.3 4 Morgan Stanley 2,041.7 2 15.6 3 Barclays Capital 1,492.5 3 11.4 2 Credit Suisse First Boston 1,243.6 4 9.5 2 ABN AMRO 1,243.6 4 9.5 2 Citigroup 944.1 6 7.2 2 Banc of America Securities LLC 750.0 7 5.7 1 Lehman Brothers 725.8 8 5.5 1 JP Morgan 725.8 8 5.5 1 HSBC Holdings PLC 566.7 10 4.3 1 Industry Total 13,114.5 - 100.0 11 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 Lehman Brothers 51,409.4 1 10.9 95 Bear Stearns & Co Inc 42,834.4 2 9.0 94 Credit Suisse First Boston 41,322.3 3 8.7 87 Royal Bank of Scotland Group 38,855.9 4 8.2 64 Countrywide Securities Corp 37,390.7 5 7.9 46 Morgan Stanley 36,226.6 6 7.7 46 Deutsche Bank AG 35,289.6 7 7.5 67 Citigroup 30,268.2 8 6.4 61 Merrill Lynch & Co Inc 24,690.2 9 5.2 38 Banc of America Securities LLC 24,082.0 10 5.1 52 Industry Total 473,799.4 - 100.0 883 Source: Thomson Financial