ABS

A standard recently issued by the Financial Accounting Standards Board is expected to increase the volume of synthetic CDO issuance.

NEW YORK - Credit default swaps are being used on a rapidly growing number of asset securitization deals, a performance matched only by the innovations that are emerging to make the most of the market's growth. That was the message delivered last week by panelists at the "CDS of ABS - Securitization's New Frontier" seminar.

Sometimes the toughest decision for a risk taker to make is whether to end a successful performance early and go out on top. The money managers at GoldenTree Asset Management announced such a decision last week regarding its $750 million collateralized debt obligation, High Yield Opportunities I.

While traditional private placement volume recorded a 6.8% decrease in 2005, totaling $35.5 billion compared to $38.1 billion for the same period the previous year, securitized private placements underwent a dramatic increase. They amounted to $364 billion in proceeds, up from $253 billion in 2004, representing a 43.9% increase, according to the latest Thomson Financial league tables.

JPMorgan Chase has amended its Ivory Funding Corp. arbitrage program, allowing it to issue secured liquidity notes up to a total of $10 billion. The flexible instrument can be issued in dollars or euros. In Ivory's case, it will have either a call or an extendible feature.

Year to date as of 03/09 Term (days) 03/03 03/06 03/07 03/08 03/09 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 3,629.7 1 23.015 8 JP Morgan 2,519.3 2 15.974 7 Bear Stearns & Co Inc 2,474.6 3 15.691 1 Deutsche Bank AG 1,720.4 4 10.909 6 Merrill Lynch & Co Inc 1,250.0 5 7.926 3 Barclays Capital 1,094.9 6 6.942 3 Credit Suisse 950.0 7 6.024 2 Wachovia Corp 939.0 8 5.954 3 Royal Bank of Scotland Group 781.9 9 4.958 2 Goldman Sachs & Co 411.2 10 2.607 1 Industry Total 15,771.0 - 100.0 17 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 UBS 3,995.5 1 19.5 4 Credit Suisse 3,107.4 2 15.2 4 Deutsche Bank AG 2,245.9 3 11.0 4 Citigroup 2,240.0 4 10.9 4 Morgan Stanley 2,107.5 5 10.3 11 Bear Stearns & Co Inc 1,990.4 6 9.7 5 Banc of America Securities LLC 1,453.4 7 7.1 4 Merrill Lynch & Co Inc 991.5 8 4.8 3 Goldman Sachs & Co 795.9 9 3.9 1 Wachovia Corp 739.5 10 3.6 2 Industry Total 20,487.9 - 100.0 45 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 6,108.3 1 35.713 10 Citigroup 3,483.3 2 20.366 6 Banc of America Securities LLC 2,750.0 3 16.078 4 Morgan Stanley 1,829.0 4 10.693 2 Deutsche Bank AG 1,825.0 5 10.67 5 Barclays Capital 500.0 6 2.923 1 Wachovia Corp 250.0 7 1.462 1 Merrill Lynch 225.0 8 1.315 2 Lehman Brothers 133.3 9 0.779 1 Industry Total 17,103.9 - 100.0 21 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

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 11,508.4 1 12.3 24 Credit Suisse 9,560.5 2 10.2 18 Bear Stearns & Co Inc 7,904.3 3 8.5 19 Deutsche Bank AG 7,342.6 4 7.9 9 Morgan Stanley 6,968.4 5 7.5 9 Merrill Lynch & Co Inc 6,910.8 6 7.4 8 Barclays Capital 6,061.1 7 6.5 13 Countrywide Securities Corp 5,571.4 8 6.0 6 Royal Bank of Scotland Group 5,381.2 9 5.8 9 UBS 4,357.3 10 4.7 14 Industry Total 93,399.8 - 100.0 156 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 2,915.8 1 22.7 4 Deutsche Bank AG 2,053.0 2 16.0 2 Banc of America Securities LLC 2,027.7 3 15.8 3 Merrill Lynch & Co Inc 1,553.0 4 12.1 1 Lehman Brothers 1,284.7 5 10.0 1 Goldman Sachs & Co 1,255.5 6 9.8 1 Credit Suisse 950.4 7 7.4 2 UBS 450.4 8 3.5 1 SunTrust Banks 382.5 9 3.0 1 Industry Total 12,872.9 - 100.0 9 Source: Thomson Financial

auto ABS 10% credit card ABS 11% enterprise finance 0% equipment ABS 1% real estate ABS 70% student loan ABS 7%

Asset Securitization Report recently spoke with Armand Pastine, a managing director and newly promoted fixed income group head for Maxim Group LLC, about his thoughts on the CDO market. Maxim Group, a 400-person boutique investment bank, is an underwriter and issuer of ABS CDOs. Maxim's affiliated company, Maxim Advisory, has more than $4 billion in assets under management.

More than $3 billion in utility deals are in the works, including four that will expand the use of securitization beyond stranded costs.

Moody's Investors Service last week announced it will be the first U.S.-based rating agency to move into the Canadian asset-backed commercial paper market, a sector dominated by Dominion Bond Rating Service.

Asset managers are scurrying to bring new CLOs to the market to capitalize on the healthy appetite for the structured product while a previous generation of CLOs is winding down.

Fitch Ratings last week gave General Motors Corp.'s senior unsecured debt a 41% recovery rating, a number in line with estimates from the derivatives market.

DaimlerChrysler, which came to market with its DaimlerChrysler Auto Trust 2006-A last week, was the first major auto ABS issuer to have a deal carrying ratings from Fitch Ratings and only one other rating agency, in this case Standard & Poor's.

Standard & Poor's has unveiled prototypes for its new benchmarking tool and has been collecting proprietary performance data from the residential mortgage servicing industry through the use of its Servicer Evaluation Analytical Model.