CDOs/CLOs

Jan. 1, 2005 marks the implementation of modifications in the American Jobs Creation Act 2004 relating to REMIC rules permitting the securitization of HELOC loans and reverse mortgages. Analysts speculated that the recent changes are expected to increase the flow of funds to HELOC borrowers.

Having seen its standing in the U.S. ABS league tables dip in 2004, JPMorgan Securities has revamped its structured finance group, combining the asset-backed and mortgage backed teams under new management. The recent move to name Christine Cole and Bill King as co-heads of U.S. structured finance has the group set to return to the prominent pre-merger position JPMorgan enjoyed in recent years.

The week back from the Thanksgiving holiday proved to be a relatively slow one in the U.S. ABS primary market, leaving investors with just over $6.1 billion in new issues to digest as of last Thursday evening.

General Motors Acceptance Corp., completed last week a $2.5 billion auto ABS with an unusual feature: a below investment grade rated D-tranche via Credit Suisse First Boston, Lehman Brothers and SG Corporate & Invest-ment Banking, The $25.9 million D tranche of GMAC's Capital Auto Receivables Asset Trust 2004-2, was rated double-B and double-B plus by Standard & Poor's and Fitch Ratings, respectively. Moodys Investors Service, however, rated each tranche except the D-tranche. A Moodys spokesperson declined to comment on why it did not rate the tranche.

Fortis Investments has created a U.S. ABS team as part of its U.S. fixed-income and structured credit unit and plans to offer two CDOs before the end of the year, company sources said.

Capital Corp. is currently shopping its first term ABS transaction backed primarily by small ticket equipment leases, and originated through GE's vendor relationships rather than through GE's own financing operations.

Patrons' Legacy has quietly priced its sixth securitization of a pool backed by life insurance policies and life annuities. All of these transactions - dubbed LILACs - have been privately placed via UBS.

Investors in several Delta Airlines Inc. EETC and ETC transactions were successful in securing an additional rating from Fitch Ratings on several classes in five separate transactions, the rating agency announced last week.

Year to date as of 12/02 Term (days) 11/26 11/29 11/30 12/01 12/02 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 9,168.4 1 14.7 18 Citigroup 8,238.7 2 13.2 13 Deutsche Bank AG 8,139.0 3 13.0 15 Wachovia Corp 7,013.2 4 11.2 13 Banc of America Securities LLC 6,552.7 5 10.5 12 Credit Suisse First Boston 5,315.3 6 8.5 11 Morgan Stanley 3,703.3 7 5.9 8 Barclays Capital 3,524.5 8 5.6 9 Bear Stearns & Co Inc 2,456.4 9 3.9 2 Merrill Lynch & Co Inc 2,426.9 10 3.9 4 Industry Total 62,573.4 - 100.0 74 Source: Thomson Financial