CDOs/CLOs

A $10 billion week of U.S new issue ABS supply was cut short last Thursday, as the eastern seaboard was rendered lifeless by a blackout. Many areas in New York were still without electricity as of Friday afternoon's close. The deals that did price experienced some widening, particularly fixed-rate home equity deals, as investors are starting to show their full up on mortgage product. Ironically, arguably the most successful transaction of last week came from electricity provider ONCOR Energy, which priced its stranded cost ABS at the tightest levels the sector has seen to date.

The consolidation trend in credit card issuers continues. Citing decreased profitability and a desire to focus on its core retailing business, Circuit City is shopping $1.5 billion of its direct-mail originated bankcard accounts. The retail giant is open to selling its private label and co-branded Visa portfolios as well, although the strategic role they play in its core retail business makes that less likely.

UCC Capital Corp. expects to wrap up its first deal of the year this week, with funding scheduled for Tuesday. If all goes as planned, the firm will announce details within the next few days, although these transactions - private and largely esoteric - are notorious for taking time.

As expected, specialty medical equipment finance company DVI Inc. announced it intended to file for Chapter 11 bankruptcy protection last week. DVI also placed its CFO Steven Garfinkel on administrative leave. Anthony Turek and John Boyle will assume Garfinkel's responsibilities.

With the completion of the most recent prepayment study, Banc One Capital Markets is ready to go live with its loan-level performance database - becoming the first sell-side shop to offer such a product. After two and a half years of building the database and roughly 2.5 million loans from the lion's share of subprime mortgage lenders, the product is scheduled for a mid-September launch on BOCM's client website.

If things feel a little slower than last year in terms of U.S. market CDO pricings, that's because they are. While the European market continues to churn out deals, the current status of the U.S. market is, in a word, sluggish.

Year to date as of 09/02 Term (days) 08/27 08/28 08/29 09/01 09/02 1-week

2003 2002 2001 ABS (Public and 144A) 332,265 263,451 231,784 ABS (Public and 144A excluding CDOs) 309,223 232,001 200,830 ABS (Public Only) 274,839 205,914 169,497 ABS (144A Only) 57,426 57,537 62,288 Non-Agency MBS 195,174 131,686 109,007 Agency MBS 361,539 310,815 164,752 CMBS 41,975 31,673 41,547 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 6,812.9 1 17.2 9 Credit Suisse First Boston 5,804.9 2 14.7 10 Deutsche Bank AG 4,434.1 3 11.2 8 BANK ONE Corp 4,011.7 4 10.1 7 Citigroup 3,705.3 5 9.4 5 Morgan Stanley 2,815.2 6 7.1 5 Barclays Capital 2,688.1 7 6.8 7 Banc of America Securities LLC 2,447.8 8 6.2 5 Merrill Lynch & Co Inc 1,635.4 9 4.1 3 Goldman Sachs & Co 1,289.4 10 3.3 3 Industry Total 39,578.8 - 100.0 51 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 4,110.7 1 17.8 12 Deutsche Bank AG 3,003.6 2 13.0 7 Wachovia Corp 2,937.9 3 12.8 10 Citigroup 2,274.3 4 9.9 7 Bear Stearns & Co Inc 1,794.7 5 7.8 7 UBS 1,520.0 6 6.6 4 Morgan Stanley 1,511.3 7 6.6 5 Merrill Lynch & Co Inc 1,400.9 8 6.1 4 Goldman Sachs & Co 1,178.5 9 5.1 4 Banc of America Securities LLC 884.6 10 3.8 4 Industry Total 23,042.2 - 100.0 72 Source: Thomson Financial