CDOs/CLOs

BellaVista Capital, a real estate finance company in Santa Monica, Calif., has registered with the Securities and Exchange Commission for $1 billion in asset-backed securities, signaling the imminent arrival of a new player in the ABS market.

The second quarter of 2004 saw a 30% spike in U.S. CDO volume and a smaller number of downgrades compared to years past, noted Moody's Investors Service. The rating agency issued 43 downgrades in the quarter, a sizeable improvement compared with the 80-downgrade-per-quarter average in 2003.

The SEC received more than 40 comment letters in response to its proposal. In addition, the SEC included a number of older letters in the file. The letters are available on the SEC's website.

Year to date as of 08/05 Term (days) 07/30 08/02 08/03 08/04 08/05 1-week

NEW YORK - The U.S. regulator's eligibility criteria for ABCP liquidity may be less of a minefield for arbitrage conduits than previously anticipated, depending largely on the U.S. regulators' implementation of Basel II, according to speakers and chatter among attendees at last week's seminar on the topic, hosted by the ABCP group at Credit Suisse First Boston.

Fresh off the heels of the second-quarter synthetic auto loan securitization, CARSS Finance 2004-A, Banc of America Securities structured the next step of auto loan ABS, although it's unlikely to be copied by The Street. With the inaugural Global Execution Auto Receivables Securitization (GEARS) trust, BofA is offering - almost exclusively to European investors - the double-A through double-B plus rated cashflows of $2 billion in prime auto loans, originated by Bank of America, N.A.

The criteria for CDO league tables will change this month as Thomson Financial unveils six new tables in its second quarter wrap-up, anticipated this week or next. Not since their inception have CDO league tables garnered such attention and the speculation is that a shakeup in the underwriter rankings will follow.

Despite concerns over rising interest rates and the pervasive threat of another terrorist attack, analysts at Fitch Ratings outlined a broadly favorable view of ABS performance in 2Q04, and are forecasting continued growth in several sectors for the remainder of the year.

The U.S ABS primary market had another solid week pricing close to $10 billion in new issue as of press time Thursday evening. Real estate ABS made up roughly half of that volume.

An interesting and unexpected provision included in the Basel II guidelines could effectively nullify previously recognized synthetic risk transfers, if the protection seller is a special purpose entity.