CDOs/CLOs

Calabasas, Calif.-based Countrywide Securities Corp., from about as far from Wall Street as you can get, was the leading underwriter of new-issue ABS at the halfway mark of the year - the first time a captive broker-dealer underwriter has been top-ranked in the modern era of ABS. In a not-so-surprising twist, its lending unit, Countrywide Home Loans, is the leading issuer as well.

Sunterra Corp., which had been a dominant timeshare player prior to filing for bankruptcy in 2000, is hoping to present the ABS market with its first term transaction in almost five years. The deal is scheduled for this month.

In its final iteration of its ABCP risk-based capital guidelines, the Federal Deposit Insurance Corp. lowered the eligible liquidity conversion factor to 10% from the 20% it proposed last fall. Industry pundits were pushing for 7%. Also, the FDIC has decided not to include final guidance on capital against securitized revolving credits with early amortization provisions (such as credit cards), but will readdress this issue through the implementation of Basel II.

After setting a vigorous pace to close out the second quarter, the U.S. ABS primary market slowed considerably last week, pricing just under $5.3 billion. Slowed by issuers' desire to complete quarter-end funding before the Fed's 25 basis point rate hike last week, issuance slowed to $5 billion total volume, of which real estate ABS accounted for about $4.2 billion. The Independence Day holiday likely did not help the cause.

Northwest Farm Credit Services recently closed a $57 million synthetic CLO, referenced to U.S. government agency subsidized loan payments to farming operations in the Pacific Northwest. The structure of the deal offered investors a wide array of credit risk, from super-senior down through speculative-grade classes, which priced with a four-digit spread to Libor.

Several aircraft deals took further punishment last week, with Moody's Investors Services doling out downgrades on 23 classes from four separate trusts. The deals were placed on review several months before United Airlines made headlines with its failure to secure federal loan guarantees last week. However, the airline's misfortune does not bode well for aircraft ABS in general.

Investors in the European marketplace will be able to reference an equity index through a newly unveiled index-linked synthetic CDO structure, which Standard & Poor's has branded a first in the industry.

The personnel shakeup at Moody's Investors Service is seemingly over, as last week the rating agency promoted Michael Kanef to new group managing director of U.S. asset finance ratings. Kanef takes over for Andy Silver, who announced his resignation to accept a lecturing position at Rutgers University. Silver's departure, effective in mid-July, marks the second high-ranking managing director to leave the rating agency in June, following Ed Bankole's resignation the previous month.

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 5,289.7 1 19.7 6 Deutsche Bank AG 3,616.4 2 13.5 5 Morgan Stanley 3,275.2 3 12.2 6 JP Morgan 3,207.9 4 12.0 6 Citigroup 2,986.6 5 11.2 4 Credit Suisse First Boston 2,745.6 6 10.3 4 UBS 2,420.0 7 9.0 5 Banc of America Securities LLC 1,781.4 8 6.7 2 Lehman Brothers 1,012.6 9 3.8 2 RBC Capital Markets 462.0 10 1.7 1 Industry Total 26,797.3 - 100.0 23 Source: Thomson Financial

Year to date as of Jun 30 Coupon Type Market Average Life Buckets Asset Class Volume Pub/144A Fixed Rate Floating Rate Public 144A 0.0 to 0.9 1.0 to 2.9 3.0 to 5.9 6.0 to 7.9 8.0 to 11.0 Aircraft Leases 126 126 126 126 Auto Loans/Recs 34,972 31,354 3,618 30,576 4,397 11,996 17,602 5,375 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 3,116 966 2,150 3,116 1,839 746 45 485 Corporate Loans 4,054 194 3,860 4,054 1,987 395 370 830 471 Credit Card Rec 26,157 10,099 16,058 22,294 3,864 18,819 650 4,739 700 1,249 Debentures 1,588 1,588 1,588 1,588 Equip Loans Equip. Leases 4,414 4,164 250 4,164 250 1,988 1,387 529 221 289 Floorplan Recs 4,186 4,186 4,062 124 3,836 350 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,381 7 1,374 1,381 1,000 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 331 331 331 331 Non-Jumbo Mtg Ln 47,204 21,294 23,582 44,944 2,261 28,083 9,686 8,920 218 284 Oil Receivables Preferred Sec 2,382 1,053 1,330 2,382 2,038 158 186 Prv Issued Sec 865 391 380 865 865 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 168,626 94,788 64,834 147,024 21,602 106,430 41,144 18,959 1,467 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 11,165 4,697 6,468 11,165 3,458 1,496 4,730 1,392 Student Loans 23,797 454 21,858 19,344 4,453 11,151 3,239 3,844 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 621 386 236 621 471 150 Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial