CDOs/CLOs

Though some argue the "no brainer" buys in the relatively new secondary CDO market disappeared six months ago, structural features of securitization have, in some cases, created a timing/rating arbitrage, whereby savvy investors can pick up downgraded mezzanine tranches of CDOs just before the notes start paying down.

A new research product from Credit Suisse First Boston, focusing on non-prime auto loan ABS issuers, was unveiled last week. The inaugural Auto ABS Issuer Profile, offering a peek at what the team plans to publish multiple times throughout the year, takes a look at WFS Financial.

Although mutual fund fees have come under heavy scrutiny from Wall Street's favorite Attorney General, it is unlikely to have a negative impact on the credit quality of any outstanding transactions, sources said. New supply, however, may become sparse, after seemingly reinventing itself at the start of 2003. At the very least, one of the remaining two issuers will not likely be securitizing its 12b-1 fees going forward.

The U.S. ABS market's first full trading week of 2004 was, while slow, eventful nonetheless. Although just four new issues had priced as of Thursday's market close, for a total of $3.08 billion, market clearing spread levels showed the impact of pent-up demand, resulting from more than two weeks of relative inactivity. Activity is expected to pick up in the next two weeks - particularly on the home equity front - ahead of the winter conferences.

Harris Nesbitt, a unit of the Bank of Montreal, intends to bulk up its presence in the term ABS market with its acquisition of a six-person asset finance team from competitor RBC Dain Rauscher.

Although an agreement between all creditors of DVI Inc. has been reached and the servicing transfer has been set for weeks, the proposal is currently being held up by bankruptcy court, sources said, which, for unknown reasons, refuses to hold further hearings until next month. Performance, meanwhile, continues to deteriorate, with total delinquencies nearing 40% in some transactions.

Year to date as of 01/15 Term (days) 01/09 01/12 01/13 01/14 01/15 1-week

2003 2002 2001 ABS (Public and 144A) 579,549 453,084 370,807 ABS (Public and 144A excluding CDOs) 526,357 398,162 319,006 ABS (Public Only) 461,613 356,994 269,520 ABS (144A Only) 117,936 96,091 101,288 Non-Agency MBS 340,701 266,562 214,280 Agency MBS 559,872 538,773 382,765 CMBS 73,070 55,599 68,086 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 11,840.7 1 17.2 18 Credit Suisse First Boston 7,997.0 2 11.6 15 Morgan Stanley 7,181.6 3 10.4 10 Deutsche Bank AG 7,041.4 4 10.2 11 Citigroup 5,750.3 5 8.3 11 BANK ONE Corp 5,321.8 6 7.7 10 Banc of America Securities LLC 4,854.7 7 7.0 11 Barclays Capital 4,808.9 8 7.0 12 Wachovia Corp 2,978.1 9 4.3 11 Bear Stearns & Co Inc 2,856.5 10 4.1 1 Industry Total 69,060.0 - 100.0 87 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 Credit Suisse First Boston 6,494.3 1 12.2 18 Deutsche Bank AG 6,008.6 2 11.3 15 Wachovia Corp 4,874.9 3 9.2 18 Merrill Lynch & Co Inc 4,839.3 4 9.1 12 Citigroup 4,557.7 5 8.6 14 Goldman Sachs & Co 3,450.3 6 6.5 7 Bear Stearns & Co Inc 3,294.8 7 6.2 13 Lehman Brothers 3,233.4 8 6.1 8 Morgan Stanley 2,785.2 9 5.2 9 JP Morgan 2,540.9 10 4.8 6 Industry Total 53,191.7 - 100.0 143 Source: Thomson Financial