CDOs/CLOs

Accredited Home Lenders, which plays in both the debt and equity courts, is pumped for the fourth quarter. Perhaps that's because co-founder Ray McKewon is betting his firm, a subprime lender, will grow despite a rising interest rate environment (see ASR 6/30/03). Or it may have to do with rumors of a sixth mortgage securitization in the works.

The long-awaited securitization of 100 Boeing 767 aircraft leased to the U.S. Air Force is currently in the structuring process and preliminary details could emerge sometime in October, sources said. The $10 billion-plus transaction needs Congressional approval, however, and while it could very well be three years until the bonds actually hit the market, the structure will be firmed up well in advance, sources said.

As reported in last week's ASR, the second-ever life-insurance commission securitization from Clark Consulting Inc. is out in the Rule 144A market, with pricing seen in the coming weeks, sources said. Led by Banc One Capital Markets' Dallas branch, with help from co-manager Bear Stearns, CBC Insurance Revenue Securitization LLC 2003-A could close by late September, although some speculated it could be pushed to next month.

Wachovia Securities' Structured Products research team just issued its inaugural CDO Performance Report, a new information tool that incorporates regular updates.

CDO investors and bankers who subscribe to Standard & Poor's proprietary CDO Evaluator are in for a nice surprise. Version 2.2 is set to debut in the coming weeks, the rating agency said.

Year to date as of 09/16 Term (days) 09/10 09/11 09/12 09/15 09/16 1-week

2003 2002 2001 ABS (Public and 144A) 366,423 297,882 260,156 ABS (Public and 144A excluding CDOs) 340,904 263,172 226,813 ABS (Public Only) 301,338 235,219 193,467 ABS (144A Only) 65,085 62,663 66,689 Non-Agency MBS 225,377 151,996 126,695 Agency MBS 428,080 343,152 188,373 CMBS 47,801 33,329 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 17.6 11 Credit Suisse First Boston 5,805.2 2 13.0 10 Deutsche Bank AG 5,349.0 3 12.0 9 Citigroup 4,389.3 4 9.8 6 Banc One Capital Markets 4,011.7 5 9.0 7 Morgan Stanley 3,873.9 6 8.7 7 Banc of America Securities LLC 3,131.7 7 7.0 6 Barclays Capital 2,688.1 8 6.0 7 Merrill Lynch & Co Inc 1,635.8 9 3.7 3 Goldman Sachs & Co 1,289.4 10 2.9 3 Industry Total 44,633.3 - 100.0 56 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 4,503.7 1 17.7 13 Deutsche Bank AG 3,425.4 2 13.4 8 Wachovia Corp 2,937.9 3 11.5 10 Citigroup 2,274.3 4 8.9 7 Bear Stearns & Co Inc 2,015.5 5 7.9 8 UBS 1,520.0 6 6.0 4 Morgan Stanley 1,511.3 7 5.9 5 Banc of America Securities LLC 1,504.6 8 5.9 6 Merrill Lynch & Co Inc 1,317.1 9 5.2 5 JP Morgan 1,197.6 10 4.7 3 Industry Total 25,519.4 - 100.0 80 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 11,670.9 1 24.6 18 Banc One Capital Markets 9,081.6 2 19.1 17 JP Morgan 6,328.6 3 13.3 12 Barclays Capital 5,373.7 4 11.3 10 Morgan Stanley 3,954.5 5 8.3 5 Deutsche Bank AG 2,909.6 6 6.1 10 Banc of America Securities LLC 2,787.3 7 5.9 9 Credit Suisse First Boston 1,819.1 8 3.8 6 Merrill Lynch & Co Inc 1,245.0 9 2.6 5 Wachovia Corp 1,153.0 10 2.4 5 Industry Total 47,471.3 - 100.0 80 Source: Thomson Financial