CDOs/CLOs

S A well-bid and fast-paced session of primary supply was seen in the U.S. ABS market last week. Bolstered by a massive global RMBS deal, which accounted for roughly half of the volume, the market saw $21.5 billion of new-issue ABS price, with a multitude of asset classes represented.

In the wake of its long-awaited earnings restatement last week, The Metris Companies seems to have found a strategy to navigate the maturing ABS obligations that have worried analysts and investors throughout last year. By announcing the second defeasement of an outstanding ABS obligation - this time the $500 million series 1999-1 ABS that matures in June - more feel secure now that Metris will emerge from its liquidity crunch unscathed. Metris also lifted a measure of uncertainty via the completed restatement.

Reports "unreconciled" cash surplus, shortfall...

The trend toward financing CDO senior tranches in the short-term market has led to classification challenges, especially for this league table-savvy market. The Bond Market Association has been assessing the situation and plans to release guidelines and commentary, sources said.

While spreads are tightening across the board for structured finance CDOs, Credit-Based Asset Servicing and Securitization, or C-BASS, stumped the whole sector with its most recent real estate-backed deal, a unique repackaging of double-B and triple-B home equity bonds and structured finance assets, 75% of which is serviced by C-BASS parent Litton Loan Servicing.

By Natasha Chen, vice president/senior analyst, Moody's Investors Service

Year to date as of 03/04 Term (days) 02/27 03/01 03/02 03/03 03/04 1-week

2004 2003 2002 ABS (Public and 144A) 98,312 79,339 51,195 ABS (Public and 144A excluding CDOs) 92,536 74,742 45,786 ABS (Public Only) 82,162 67,866 41,604 ABS (144A Only) 16,150 11,473 9,591 Non-Agency MBS 35,986 45,802 26,985 Agency MBS 36,208 155,916 76,225 CMBS 7,128 5,612 5,427 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 Citigroup 5,750.7 1 36.0 6 Deutsche Bank AG 2,830.3 2 17.7 4 Credit Suisse First Boston 1,592.7 3 10.0 4 JP Morgan 1,292.7 4 8.1 3 Goldman Sachs & Co 1,256.4 5 7.9 1 Banc of America Securities LLC 928.5 6 5.8 1 Barclays Capital 851.0 7 5.3 2 Merrill Lynch & Co Inc 815.0 8 5.1 1 Banc One Capital Markets 675.0 9 4.2 2 Industry Total 15,992.3 - 100.0 15 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 UBS 1,516.5 1 26.3 3 Citigroup 1,098.0 2 19.0 2 BNP Paribas SA 919.5 3 15.9 1 Merrill Lynch & Co Inc 898.8 4 15.6 2 Bear Stearns & Co Inc 658.9 5 11.4 2 Royal Bank of Scotland Group 303.8 6 5.3 1 Banc One Capital Markets 300.0 7 5.2 1 Banc of America Securities LLC 80.2 8 1.4 1 Industry Total 5,775.6 - 100.0 13 Source: Thomson Financial