CDOs/CLOs

Moody's Investors Service plans to release its first Transaction Governance Assessments report before the year is through.

The U.S. ABS market saw just over $11 billion in new-issue ABS supply last week, ahead of this week's ABS East conference, of which just $8.5 billion had priced as of Thursday's market close. While the home equity sector continued its year-long domination of the primary market, a large student loan offering and a rare aircraft-backed deal were the highlights of the week.

Leading CDO underwriter Merrill Lynch is bringing the inaugural CDO for a unit of New York-based Maxim Group LLC in the coming weeks, a $753 million high-grade structured finance deal, named Jupiter CDO I, sources reported. The transaction is expected to price before the end of October, with settlement in November.

CDO spreads are tight and it appears major U.S. insurance companies have sold all the distressed collateral they care to let go of at this point, according to the industry's secondary traders last week. Yet, what sounds like a dour situation is anything but for a market that feeds on innovation. Traders believe more sophisticated analysis will lead to a more liquid secondary market for various types of CDO collateral, with some traders nodding towards ABS CDOs.

Underwriter DZ Financial Markets recently completed a $71 million term securitization for Settlement Capital Corp., marking this as the first term securitization executed by DZ Bank's U.S. subsidiary, said Dominick Ruggiero, vice president of the asset securitization group at DZ Financial.

Despite Friday's looming payrolls report, money managers, banks, insurance companies, dealers, and others were active buyers of mortgages. This was due in part to the recent cheapening, the beginning of a new quarter, and substantial cash positions. Technicals are also playing a part in the favorable performance. Originator supply remains modest at about $1 billion per day on average.

Year to date as of 10/14 Term (days) 10/08 10/11 10/12 10/13 10/14 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 8,539.9 1 16.1 17 Citigroup 7,482.7 2 14.1 12 Deutsche Bank AG 6,828.5 3 12.9 12 Wachovia Corp 6,459.3 4 12.2 12 Banc of America Securities LLC 5,117.3 5 9.6 10 Credit Suisse First Boston 4,568.7 6 8.6 9 Barclays Capital 3,498.5 7 6.6 9 Morgan Stanley 3,023.9 8 5.7 7 Merrill Lynch & Co Inc 1,824.4 9 3.4 3 Lehman Brothers 1,255.7 10 2.4 3 Industry Total 53,085.2 - 100.0 65 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 9,246.5 1 17.4 17 Morgan Stanley 4,808.0 2 9.1 13 Citigroup 4,610.0 3 8.7 18 Deutsche Bank AG 4,279.6 4 8.1 10 UBS 4,279.1 5 8.1 7 Credit Suisse First Boston 3,912.8 6 7.4 9 Wachovia Corp 3,810.7 7 7.2 16 Bear Stearns & Co Inc 3,218.0 8 6.1 10 Lehman Brothers 2,943.0 9 5.6 10 Banc of America Securities LLC 2,571.3 10 4.9 15 Industry Total 53,031.2 - 100.0 147 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 14,292.5 1 34.4 24 Citigroup 9,447.3 2 22.8 19 Lehman Brothers 4,595.5 3 11.1 9 Barclays Capital 3,184.2 4 7.7 9 Credit Suisse First Boston 2,550.4 5 6.2 9 Banc of America Securities LLC 2,468.1 6 6.0 10 Deutsche Bank AG 1,875.0 7 4.5 8 Morgan Stanley 950.0 8 2.3 5 Merrill Lynch & Co Inc 827.2 9 2.0 3 Wachovia Corp 775.0 10 1.9 4 Industry Total 41,500.1 - 100.0 75 Source: Thomson Financial