ABS

BOCA RATON, FLA. - Investors sounded off on the increasing amount of extendable paper being offered in the ABCP market during a morning panel discussion at Information Management Network's (IMN) third annual Investors' Conference on ABCP and SIVs, which coincided with ABS East.

BOCA RATON, FLA. - The subprime mortgage market has enjoyed a year of increased growth in the face of rising interest rates. But stringent new regulatory legislation threatens to undercut nearly all issuers in the sector. This is of particular concern in Massachusetts and New Jersey, said participants in the Dynamics of the Subprime Mortgage ABS Market panel at ABS East.

BOCA RATON, FLA. - Growth in the market, and the rise in market-value CDO issuance combined with some fund failures had many Information Management Network ABS East conference attendees discussing pricing transparency in the market. Although previously an overlooked piece of the structured finance puzzle, sources around the resort were keenly focused on this topic this year, thanks to concerns over pending regulation and transparency issues with valuation.

BOCA RATON, FLA. - In addition to searching for CDO collateral, asset managers are searching for word on the next trouble spot in the CDO market, panelists speaking at Information Management Network's ABS East said last week. While overall the market appears much more stable than just two years ago, sources agreed, in the wake of the now frenzied search for cheap collateral and rising interest rates, a lack of transparency across many metrics isn't exactly stopping investors from having market discipline.

BOCA RATON, FLA. - The double-digit yields and increasing liquidity of senior pooled aircraft tranches are turning heads in the ABS market. In fact, they may be attractive enough for investors to look the other way when it comes to the rather ugly headline risk associated with the airline sector.

In just under a decade since its inception, New York-based investment banking boutique Westwood Capital has managed to not only focus its business on traditional M&A and corporate finance transaction services, but also on more specialized market services - such as project finance, restructuring and structured finance underwriting in esoteric, novel asset classes. "Our corporate finance activities and structured finance activities provide liquidity to lenders and also to small-to-mid-sized businesses with novel or emerging assets," said Matthew Pechinski, managing director.

Year to date as of 10/21 Term (days) 10/15 10/18 10/19 10/20 10/21 1-week

For the second year running, the ABS hordes will descend upon Boca Raton, Fla., for four days of networking, panel discussions - and golf. Upwards of 2,500 delegates are expected to show up at the Boca Raton Resort & Club this week for Information Management Network's 10th annual ABS East Conference, according to an IMN spokesperson.

The second annual CDO Conference sponsored by The Bond Market Association served as the unofficial kickoff to conference season for the securitization markets. The day's platform documented growth in product types - namely trust preferred, synthetic, and ABS CDOs - and hashed out issues from CDO equity risk to structured models of credit risk.

Moody's Investors Service plans to release its first Transaction Governance Assessments report before the year is through.

The U.S. ABS market saw just over $11 billion in new-issue ABS supply last week, ahead of this week's ABS East conference, of which just $8.5 billion had priced as of Thursday's market close. While the home equity sector continued its year-long domination of the primary market, a large student loan offering and a rare aircraft-backed deal were the highlights of the week.

Leading CDO underwriter Merrill Lynch is bringing the inaugural CDO for a unit of New York-based Maxim Group LLC in the coming weeks, a $753 million high-grade structured finance deal, named Jupiter CDO I, sources reported. The transaction is expected to price before the end of October, with settlement in November.

CDO spreads are tight and it appears major U.S. insurance companies have sold all the distressed collateral they care to let go of at this point, according to the industry's secondary traders last week. Yet, what sounds like a dour situation is anything but for a market that feeds on innovation. Traders believe more sophisticated analysis will lead to a more liquid secondary market for various types of CDO collateral, with some traders nodding towards ABS CDOs.

Underwriter DZ Financial Markets recently completed a $71 million term securitization for Settlement Capital Corp., marking this as the first term securitization executed by DZ Bank's U.S. subsidiary, said Dominick Ruggiero, vice president of the asset securitization group at DZ Financial.

Despite Friday's looming payrolls report, money managers, banks, insurance companies, dealers, and others were active buyers of mortgages. This was due in part to the recent cheapening, the beginning of a new quarter, and substantial cash positions. Technicals are also playing a part in the favorable performance. Originator supply remains modest at about $1 billion per day on average.

Year to date as of 10/14 Term (days) 10/08 10/11 10/12 10/13 10/14 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 8,539.9 1 16.1 17 Citigroup 7,482.7 2 14.1 12 Deutsche Bank AG 6,828.5 3 12.9 12 Wachovia Corp 6,459.3 4 12.2 12 Banc of America Securities LLC 5,117.3 5 9.6 10 Credit Suisse First Boston 4,568.7 6 8.6 9 Barclays Capital 3,498.5 7 6.6 9 Morgan Stanley 3,023.9 8 5.7 7 Merrill Lynch & Co Inc 1,824.4 9 3.4 3 Lehman Brothers 1,255.7 10 2.4 3 Industry Total 53,085.2 - 100.0 65 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 Merrill Lynch & Co Inc 9,246.5 1 17.4 17 Morgan Stanley 4,808.0 2 9.1 13 Citigroup 4,610.0 3 8.7 18 Deutsche Bank AG 4,279.6 4 8.1 10 UBS 4,279.1 5 8.1 7 Credit Suisse First Boston 3,912.8 6 7.4 9 Wachovia Corp 3,810.7 7 7.2 16 Bear Stearns & Co Inc 3,218.0 8 6.1 10 Lehman Brothers 2,943.0 9 5.6 10 Banc of America Securities LLC 2,571.3 10 4.9 15 Industry Total 53,031.2 - 100.0 147 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 14,292.5 1 34.4 24 Citigroup 9,447.3 2 22.8 19 Lehman Brothers 4,595.5 3 11.1 9 Barclays Capital 3,184.2 4 7.7 9 Credit Suisse First Boston 2,550.4 5 6.2 9 Banc of America Securities LLC 2,468.1 6 6.0 10 Deutsche Bank AG 1,875.0 7 4.5 8 Morgan Stanley 950.0 8 2.3 5 Merrill Lynch & Co Inc 827.2 9 2.0 3 Wachovia Corp 775.0 10 1.9 4 Industry Total 41,500.1 - 100.0 75 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 3,958.0 1 30.8 6 Morgan Stanley 2,249.7 2 17.5 3 Banc of America Securities LLC 2,190.6 3 17.0 4 Merrill Lynch & Co Inc 1,728.6 4 13.4 2 Credit Suisse First Boston 1,058.0 5 8.2 3 JP Morgan 728.6 6 5.7 1 HSBC Holdings PLC 708.0 7 5.5 2 ABN AMRO 250.0 8 1.9 1 Industry Total 12,871.5 - 100.0 11 Source: Thomson Financial