CDOs/CLOs

Third-party bids to take over the servicing platform of bankrupt equipment leasing firm DVI Inc. have been submitted and, as of press time, were being reviewed by DIP provider Goldman Sachs. Meanwhile, as DVI fought to retain the servicing rights for its portfolio, collateral performance continued deteriorating.

On Thursday the Emerging Issues Task Force will discuss whether - or, perhaps, to what extent - CDOs with trading constraints should be eligible for sale treatment under existing Financial Accounting Standard 140, assuming the CDO is not structured as a QSPE.

The U.S. ABS primary market sprang back to life last week, following two comparably slow weeks of issuance. New-issue supply in the market totaled over $19 billion, with $13 billion having priced as of Thursday's market close, with the remaining $6 billion seen bleeding into this week. After lagging for most of the year, auto deals are making a late push in the fourth quarter with another strong week of supply. Home equities, meanwhile, priced $5.8 billion of the $11 billion total shopped around, boosted by a pair of $3 billion-plus transactions.

Synthetic resecuritizations were issued in the domestic market in larger numbers this year that ever before. However, the models are so fresh they haven't exactly been reconciled with ISDA credit event definations.

Because defaults in ABS tend to be relatively recent, there is still a lot of uncertainty about the recovery characteristics, Standard & Poor's said in new study titled "Recovery Proxies for Defaulted U.S. Structured Finance Securities."

Year to date as of 11/07 Term (days) 11/03 11/04 11/05 11/06 11/07 1-week

2003 2002 2001 ABS (Public and 144A) 473,956 378,769 316,929 ABS (Public and 144A excluding CDOs) 437,645 336,761 276,530 ABS (Public Only) 381,235 304,008 238,491 ABS (144A Only) 92,722 74,761 78,438 Non-Agency MBS 278,753 209,038 156,077 Agency MBS 510,474 466,222 283,631 CMBS 58,394 42,491 51,478 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 9,560.6 1 16.8 13 Credit Suisse First Boston 6,864.1 2 12.1 12 Deutsche Bank AG 5,349.0 3 9.4 9 Citigroup 5,008.7 4 8.8 8 Morgan Stanley 4,823.9 5 8.5 8 BANK ONE Corp 4,734.7 6 8.3 8 Barclays Capital 4,186.0 7 7.4 10 Banc of America Securities LLC 3,747.9 8 6.6 8 Bear Stearns & Co Inc 2,856.5 9 5.0 1 Wachovia Corp 2,089.1 10 3.7 8 Industry Total 56,773.6 - 100.0 70 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 5,447.8 1 15.0 15 Deutsche Bank AG 3,455.4 2 9.5 9 Goldman Sachs & Co 3,450.3 3 9.5 7 Citigroup 3,155.6 4 8.7 9 Wachovia Corp 3,036.6 5 8.4 11 Bear Stearns & Co Inc 2,514.8 6 6.9 10 Merrill Lynch & Co Inc 2,340.7 7 6.5 8 Morgan Stanley 2,306.8 8 6.4 7 UBS 2,245.0 9 6.2 5 Lehman Brothers 1,493.4 10 4.1 5 Industry Total 36,311.1 - 100.0 103 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 12,170.9 1 20.9 20 BANK ONE Corp 11,756.6 2 20.2 22 JP Morgan 10,553.7 3 18.1 18 Barclays Capital 5,498.8 4 9.4 11 Morgan Stanley 3,954.5 5 6.8 5 Deutsche Bank AG 3,434.6 6 5.9 13 Banc of America Securities LLC 3,312.3 7 5.7 10 Credit Suisse First Boston 2,318.7 8 4.0 8 Lehman Brothers 2,048.1 9 3.5 7 Merrill Lynch & Co Inc 1,744.5 10 3.0 7 Industry Total 58,320.6 - 100.0 98 Source: Thomson Financial