CDOs/CLOs

Although as of press time just $7.3 billion of new-issue ABS supply had priced, a slew of offerings were marketing and slated to price late last or early this week. While home equity supply led the way with $12 billion total making the rounds, much of that is seen pricing this week. Other than home equity, issuance was sporadic, as Capital One, The CIT Group, and G.E. Capital were seen in the primary market.

Metris Master Trust credit card ABS tightened following the news that parent The Metris Companies closed a portfolio sale and a new conduit facility. Metris sold $145 million in accounts and receivables from the Direct Merchants Credit Card Bank and $445 million of receivables from the Metris Master Trust. Metris also announced a new, private conduit facility totaling $610 million.

Rumored to have been in the works for nearly a year, the Bond Market Association announced it was indeed publishing outstanding CDO deal documentation via its new CDO Transaction Library. The confirmation arrived on the heels of the BMA's first annual CDO conference this week.

As far as CDOs go, there is a huge variance between traditional cash and synthetic transactions, although both have found keen interest from investors. The rise in single tranche, or customized, synthetic CDOs this year is a testament to the continuous innovation offered, uniquely, by this market.

As Hurricane Isabel hit land Thursday, it appeared unlikely that any catastrophe bonds would suffer damage.

Newcomer Fieldstone Capital Group, a broker dealer founded in 2001 by high yield veteran Jonathan Blatt, has spent the past year building up a CDO secondary trading effort. Last week the firm brought on Johnny Srivastava, who was most recently in the securitization origination group at RBC Capital Markets.

Year to date as of 09/24 Term (days) 09/18 09/19 09/22 09/23 09/24 1-week

2003 2002 2001 ABS (Public and 144A) 379,532 305,894 260,156 ABS (Public and 144A excluding CDOs) 352,673 270,681 226,813 ABS (Public Only) 312,529 242,664 193,467 ABS (144A Only) 67,003 63,230 66,689 Non-Agency MBS 226,607 156,559 126,695 Agency MBS 423,555 362,201 196,200 CMBS 49,169 34,592 43,956 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 7,871.8 1 17.3 11 Credit Suisse First Boston 5,805.2 2 12.8 10 Deutsche Bank AG 5,349.0 3 11.8 9 Citigroup 4,389.3 4 9.7 6 BANK ONE Corp 4,011.7 5 8.8 7 Morgan Stanley 3,873.9 6 8.5 7 Banc of America Securities LLC 3,512.5 7 7.7 7 Barclays Capital 3,068.8 8 6.8 8 Merrill Lynch & Co Inc 1,635.8 9 3.6 3 Goldman Sachs & Co 1,289.4 10 2.8 3 Industry Total 45,394.7 - 100.0 57 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 4,486.7 1 16.7 13 Deutsche Bank AG 3,455.4 2 12.9 9 Wachovia Corp 2,904.9 3 10.8 10 Citigroup 2,274.3 4 8.5 7 Bear Stearns & Co Inc 2,015.5 5 7.5 8 Banc of America Securities LLC 1,698.0 6 6.3 7 Morgan Stanley 1,531.8 7 5.7 5 UBS 1,520.0 8 5.7 4 Merrill Lynch & Co Inc 1,317.2 9 4.9 5 JP Morgan 1,197.6 10 4.5 3 Industry Total 26,859.4 - 100.0 84 Source: Thomson Financial