CDOs/CLOs

Former Wachovia Securities CDO analyst Arturo Cifuentes, allegedly fired for not signing off on an important Sarbanes-Oxley Act disclosure document, presented his case to U.S. Department of Labor's Occupational Safety and Health Administration last week, offering e-mail evidence he contends proves his case. OSHA handles such complaints under SarbOx guidelines.

A deal backed by toll receivables on an eight-mile stretch of highway in Illinois, called the Chicago Skyway Bridge, hit the U.S. ABS market last week. Though toll road-backed deals are somewhat rare in the U.S. market, the deal priced at aggressive levels resembling those of even shorter-dated home equity deals. Chicago-based Skyway Concession Co. issued the Rule 144A transaction, with Citigroup Global Markets and Goldman Sachs as joint leads.

The ABS primary market is back on track with another solid summer week of nearly $14 billion of new issues priced and circulating in the market.

After years with astronomical leverage levels and ratings at the lower end of the speculative grade scale, wireless tower companies across the board are looking up, as they are reaping the benefits of currently predictable cashflows and growing demand for services in a market with high barriers of entry.

Spurred by the rapidly growing credit derivatives market, both Fitch Ratings and Standard & Poor's last week announced sizable enhancements to their credit default swap data offerings. The intention of both moves was to provide more information regarding the sometimes opaque world of corporate CDS pricing.

Home equity loan performance in the U.S. continues to chug along at historically low delinquency and chargeoff rates, according to Moody's Investors Service's Home Equity Index Composite.

Year to date as of 08/11 Term (days) 08/05 08/08 08/09 08/10 08/11 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 7,759.0 1 14.4 13 Merrill Lynch & Co Inc 7,246.0 2 13.5 9 Citigroup 6,220.1 3 11.6 11 Banc of America Securities LLC 5,684.6 4 10.6 9 Deutsche Bank AG 5,532.7 5 10.3 11 Credit Suisse First Boston 4,561.9 6 8.5 9 Barclays Capital 4,302.5 7 8.0 8 Wachovia Corp 3,712.5 8 6.9 8 Goldman Sachs & Co 2,293.6 9 4.3 3 HSBC Holdings PLC 2,063.0 10 3.8 4 Industry Total 53,799.7 - 100.0 53 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 16,181.8 1 20.7 23 Citigroup 10,853.2 2 13.9 22 Wachovia Corp 6,669.9 3 8.5 13 Lehman Brothers 4,715.7 4 6.0 15 Morgan Stanley 4,714.8 5 6.0 21 UBS 4,003.1 6 5.1 10 Bear Stearns & Co Inc 3,878.5 7 5.0 11 Deutsche Bank AG 3,821.1 8 4.9 12 Credit Suisse First Boston 3,293.0 9 4.2 8 Goldman Sachs & Co 3,107.0 10 4.0 4 Industry Total 78,074.7 - 100.0 187 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 6,758.1 1 25.1 16 Citigroup 4,398.7 2 16.3 14 Barclays Capital 2,999.0 3 11.1 11 Banc of America Securities LLC 2,241.2 4 8.3 9 Morgan Stanley 2,216.5 5 8.2 4 Credit Suisse First Boston 2,038.2 6 7.6 7 Deutsche Bank AG 1,959.8 7 7.3 12 ABN AMRO 1,833.2 8 6.8 7 Merrill Lynch & Co Inc 809.8 9 3.0 6 Lehman Brothers 550.0 10 2.0 3 Industry Total 26,979.5 - 100.0 58 Source: Thomson Financial