CDOs/CLOs

The recent Boston Edison Co. $675 million rate reduction bond deal priced to record tight spreads for the sector, coming on the heels of a $1.9 billion rate reduction bond deal from Pacific Gas and Electric Co. last month that also re-priced the sector (see ASR, 2/7/05). Goldman Sachs and Lehman Brothers led the four-tranche deal tagged Massachusetts RRB 2005-1.

Securitization professionals Tom Capasse and Jack Ross entered into a partnership with long-time asset manager M.D. Sass to start a new distressed ABS opportunity hedge fund.

A barrage of ratings actions assaulted the harrowed manufactured housing sector with all three major rating agencies taking action on transactions from seven different issuers in the past three weeks. Six of the seven issuers had deals downgraded, mostly due to higher-than-expected defaults and loss severities. Only one issuer, Vanderbilt Mortgage, actually had its deals upgraded. "This is likely the result of the agencies doing their yearly reviews and realizing that many existing transactions are still on a trend of poor performance," speculated one rating analyst, who didn't want to be named commenting on competitor's activity.

Cashflows servicing outstanding ABS backed by tobacco litigation fees could still be in jeopardy should the Department of Justice be successful in its efforts to appeal a recent federal appellate court ruling.

Rating agencies have always had different views of asset correlation assumptions, so when it comes to rating synthetic CDOs, methodologies vary so widely investors have felt less than concrete with the guidance given.

Year to date as of 02/24 Term (days) 02/18 02/21 02/22 02/23 02/24 1-week

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 2,663.9 1 20.3 4 Deutsche Bank AG 2,027.7 2 15.4 3 Merrill Lynch & Co Inc 2,022.8 3 15.4 3 Barclays Capital 1,388.5 4 10.6 3 Citigroup 1,378.1 5 10.5 3 Goldman Sachs & Co 1,289.0 6 9.8 1 JP Morgan 1,096.0 7 8.3 3 Wachovia Corp 996.0 8 7.6 3 BNP Paribas SA 146.0 9 1.1 1 ABN AMRO 146.0 9 1.1 1 Industry Total 13,153.9 - 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 Merrill Lynch & Co Inc 1,502.0 1 41.9 2 Morgan Stanley 900.9 2 25.1 3 JP Morgan 685.0 3 19.1 1 Wachovia Corp 300.0 4 8.4 1 Credit Suisse First Boston 100.0 5 2.8 1 Lehman Brothers 98.0 6 2.7 1 Industry Total 3,585.9 - 100.0 9 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 Morgan Stanley 1,579.0 1 96.8 1 Deutsche Bank AG 17.6 2 1.1 1 Barclays Capital 17.6 2 1.1 1 Banc of America Securities LLC 17.6 2 1.1 1 Industry Total 1,631.8 - 100.0 2 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 - - - - - Industry Total - - - - Source: Thomson Financial