CDOs/CLOs

The martini of CDO maturation was shaken and stirred last week when Credit Suisse First Boston announced it had undertaken a major transition toward CDO transparency, joining other top-ranked firms that are now disseminating deal structure and collateral information to third-party analytic provider Intex.

Large offerings in the auto loan, home equity and aircraft lease sectors pushed the US ABS primary market over the $10 billion mark for the first time since mid June. AmeriQuest Mortgage, Chase Manhattan Bank, and aircraft leasing firm Aviation Capital Group all combined for $6 billion of the $10.7 billion that priced throughout the week, joined by a smattering of deals coming in at a billion or less.

Amid a slowdown in the auto sector of the ABS market, at least five somewhat programmatic, but off-the-run auto lenders are prepping transactions for the near term. The group of issuers, which have recently filed with the Securities and Exchange Commission to bring deals, includes two midsized regional banks, two small non-prime lenders and one large independent non-prime issuer.

Synthetic CDOs, those funny-sounding transactions that ride the roller coaster credit derivatives market, have found an increasing number of friends in the U.S. While the volume of synthetic transactions has risen globally, the real story lies closer to home, as U.S. investors turned toward these transactions in large number this year.

Reports from abroad show that while funded note issuance and unfunded credit default swap volume is down, the European CDO market has maintained a strong level of growth. According to Standard & Poor's, continued support of these CDOs is due mostly to more flexible structures and managed transactions.

Year to date as of Jul 23 Term (days) 07/10 07/11 07/14 07/15 07/16 1-week

2003 2002 2001 ABS (Public and 144A) 298,130 246,202 212,939 ABS (Public and 144A excluding CDOs) 278,518 217,103 184,827 ABS (Public Only) 245,955 193,465 156,313 ABS (144A Only) 52,176 52,737 56,626 Non-Agency MBS 176,176 114,752 95,622 Agency MBS 325,511 286,711 154,398 CMBS 37,647 27,030 33,121 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 4,632.8 1 13.9 7 Deutsche Bank AG 4,434.1 2 13.3 8 BANK ONE Corp 4,011.7 3 12.1 7 Citigroup 3,705.3 4 11.1 5 Credit Suisse First Boston 3,129.1 5 9.4 7 Morgan Stanley 2,815.2 6 8.5 5 Banc of America Securities LLC 2,447.8 7 7.4 5 Barclays Capital 2,400.8 8 7.2 5 Merrill Lynch & Co Inc 1,635.4 9 4.9 3 Goldman Sachs & Co 1,289.4 10 3.9 3 Industry Total 33,298.9 - 100.0 44 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 3,726.7 1 19.0 11 Deutsche Bank AG 2,703.6 2 13.8 6 Wachovia Corp 2,534.4 3 12.9 8 Citigroup 1,727.6 4 8.8 5 Bear Stearns & Co Inc 1,673.2 5 8.5 6 Morgan Stanley 1,511.3 6 7.7 5 Goldman Sachs & Co 1,178.5 7 6.0 4 UBS 900.0 8 4.6 2 Banc of America Securities LLC 884.6 9 4.5 4 Merrill Lynch & Co Inc 700.8 10 3.6 2 Industry Total 19,612.8 - 100.0 60 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 Deutsche Bank AG 1,375.0 1 39.7 5 JP Morgan 875.0 2 25.3 4 Citigroup 500.0 3* 14.4 1 BANK ONE Corp 500.0 3* 14.4 1 Banc of America Securities LLC 212.0 5 6.1 1 Industry Total 3,462.1 - 100.0 6 Source: Thomson Financial