Securitization

The U.S. primary ABS market came to life last week to price roughly $13 billion in a pre-holiday rush. Several deals were still making the rounds as of press time Thursday. Home equity volume surged to over $10 billion, more than double last week's volume in the sector.

US Airways' recent decision to continue flying all but 36 of its 282-plane mainline fleet is good news for investors in pooled lease aircraft ABS.

Taking on corporate exposure through the credit derivatives market has become one strategy a growing number of CDO investors are embracing. Yet while the credit derivatives market continues expanding, how liquidity performs for single names is a phenomenon CDO investors may not fully understand when exploring new CDO deals that harness credit derivative swaps.

The city of New York is selling $496.2 million in triple-A rated taxable muni bonds via the Fiscal Year 2005 Securitization Corp. vehicle, a one-off transaction for the city being led by Merrill Lynch.

The best opportunity in the ABS market can be found in the triple-A home equity sector as spreads have widened to the mid-30 basis point to Libor range. The trend to wider home equity spreads bucks the general tightening trend of other asset classes such as credit card and three-year U.K. MBSs. "With the recent positive economic news, especially the employment pick-up, most consumer credit card spreads have continued to ratchet in," writes Thomas Zimmerman, head of ABS research for UBS. "But home [equities] are the exception."

Due to a flurry of post-deadline submissions, ASR has extended the deadline for Deal of the Year nominations through Nov. 30, 2004. Qualifications for entry remain the same, with the exception of the transaction closing date, which has also been moved to Nov. 30. To be eligible, a deal must have closed between Nov. 1, 2003 and Nov. 30, 2004.

Pacific Gas & Electric Co., the electric utility company that was forced into a Chapter 11 bankruptcy in 2001, in the wake of the California energy crisis, is looking to bring its first stranded cost securitization in seven years to the market before year-end. PG&E hopes to price the offering sooner rather than later, according to records, and currently plans to forge ahead despite having yet to receive Internal Revenue Service clearance to price the deal.

Equipment leasing investment company ATEL Capital Group is ready to launch the latest iteration of its equity fund, ATEL Capital Equipment Fund XI, according to a recent S-1 filing with the Securities and Exchange Commission.

With its biggest push in the U.S. ABS market this year, monoline surety provider XLCA wrapped its first-ever HELOC offering last week, a $1 billion series 2004-Q offering from Countrywide Home Loans Inc. XLCA plans to be aggressive in the HELOC sector going forward as part of the guarantor's broader

The U.S. primary ABS market was relatively slow last week as the bond market took the day off on Thursday in observance of Veteran's Day. As of the market's close on Wednesday, total new issue volume was at roughly $5.2 billion but several deals were expected to price on Friday.

The deal flow in structured settlements is expected to maintain a steady pace, and the market could see another public term transaction before year end, sources said.

It's as if the holidays have come early for CDOs, with market constituents reporting outstanding levels of issuance both domestically and globally - and the year still has over a month to go.

By Ron Borod, Esq., partner and the head of, the Structured Finance Group of Brown Rudnick Berlack Israels LLP

Year to date as of 11/18 Term (days) 11/12 11/15 11/16 11/17 11/18 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 10,068.4 1 15.8 20 Citigroup 8,538.7 2 13.4 14 Deutsche Bank AG 8,139.0 3 12.8 15 Wachovia Corp 7,013.2 4 11.0 13 Banc of America Securities LLC 6,552.7 5 10.3 12 Credit Suisse First Boston 5,315.3 6 8.3 11 Morgan Stanley 3,703.3 7 5.8 8 Barclays Capital 3,524.5 8 5.5 9 Bear Stearns & Co Inc 2,456.4 9 3.9 2 Merrill Lynch & Co Inc 2,426.9 10 3.8 4 Industry Total 63,764.4 - 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 Merrill Lynch & Co Inc 11,287.7 1 17.0 25 Morgan Stanley 6,696.4 2 10.1 19 Citigroup 6,115.5 3 9.2 23 Credit Suisse First Boston 4,869.1 4 7.3 12 Wachovia Corp 4,739.4 5 7.1 18 UBS 4,605.1 6 6.9 8 Deutsche Bank AG 4,429.6 7 6.7 11 Goldman Sachs & Co 4,297.5 8 6.5 8 JP Morgan 3,779.6 9 5.7 10 Lehman Brothers 3,343.0 10 5.0 11 Industry Total 66,486.9 - 100.0 186 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 15,071.6 1 31.3 28 Citigroup 9,514.0 2 19.8 20 Lehman Brothers 4,662.1 3 9.7 10 Barclays Capital 3,978.4 4 8.3 14 Deutsche Bank AG 3,440.0 5 7.2 14 Credit Suisse First Boston 3,050.3 6 6.3 11 Banc of America Securities LLC 2,895.6 7 6.0 13 Morgan Stanley 2,515.8 8 5.2 7 Merrill Lynch & Co Inc 1,210.5 9 2.5 4 Wachovia Corp 775.0 10 1.6 4 Industry Total 48,110.7 - 100.0 87 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

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Countrywide Securities Corp 64,376.9 1 14.1 64 Royal Bank of Scotland Group 50,478.5 2 11.1 91 Lehman Brothers 45,532.6 3 10.0 88 Morgan Stanley 39,804.9 4 8.7 71 Bear Stearns & Co Inc 35,920.0 5 7.9 69 Credit Suisse First Boston 35,891.9 6 7.9 67 Deutsche Bank AG 27,502.0 7 6.0 70 Banc of America Securities LLC 26,420.4 8 5.8 70 Citigroup 24,070.6 9 5.3 67 Merrill Lynch & Co Inc 18,605.0 10 4.1 39 Industry Total 455,313.0 - 100.0 845 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 7,123.6 1 15.7 9 Merrill Lynch & Co Inc 5,875.0 2 12.9 8 Deutsche Bank AG 5,239.3 3 11.5 8 Morgan Stanley 4,582.9 4 10.1 8 Credit Suisse First Boston 4,463.9 5 9.8 7 Banc of America Securities LLC 3,982.1 6 8.8 5 JP Morgan 3,881.5 7 8.6 7 UBS 3,306.7 8 7.3 8 Lehman Brothers 2,524.1 9 5.6 4 Goldman Sachs & Co 1,927.1 10 4.2 5 Industry Total 45,407.8 - 100.0 40 Source: Thomson Financial