CDOs

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.

After unveiling plans in January to change the way it rates U.S. bank loans and bonds, last week Moody's Investors Service extended its 30-day comment period, which now ends March 31.

Year to date as of 03/02 Term (days) 02/24 02/27 02/28 03/01 03/02 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 3,665.5 1 39.7 5 JP Morgan 2,058.6 2 22.3 5 Wachovia Corp 939.0 3 10.2 2 Royal Bank of Scotland Group 781.9 4 8.5 1 Deutsche Bank AG 472.5 5 5.1 2 Merrill Lynch & Co Inc 450.0 6 4.9 1 Credit Suisse 450.0 6 4.9 1 Goldman Sachs & Co 411.2 8 4.5 1 Industry Total 9,228.7 - 100.0 10 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 21.8 4 Credit Suisse 3,107.4 2 17.0 4 Deutsche Bank AG 2,245.9 3 12.3 4 Morgan Stanley 2,007.5 4 11.0 10 Citigroup 1,839.0 5 10.0 3 Bear Stearns & Co Inc 1,488.3 6 8.1 4 Banc of America Securities LLC 1,453.4 7 7.9 4 Merrill Lynch & Co Inc 991.5 8 5.4 3 Goldman Sachs & Co 795.9 9 4.4 1 Lehman Brothers 300.0 10 1.6 1 Industry Total 18,316.3 - 100.0 39 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 2,700.0 1 29.1 5 Banc of America Securities LLC 2,198.3 2 23.7 3 Morgan Stanley 1,829.0 3 19.7 2 Deutsche Bank AG 1,250.0 4 13.5 3 JP Morgan 849.9 5 9.2 4 Wachovia Corp 249.9 6 2.7 1 Credit Suisse 200.0 7 2.2 1 Industry Total 9,277.1 - 100.0 14 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 Credit Suisse 8,784.5 1 12.8 15 Lehman Brothers 8,551.0 2 12.4 16 Morgan Stanley 5,593.1 3 8.1 8 Bear Stearns & Co Inc 5,392.7 4 7.8 9 Barclays Capital 5,336.5 5 7.8 10 Deutsche Bank AG 4,894.0 6 7.1 8 Citigroup 4,209.7 7 6.1 11 UBS 4,163.5 8 6.1 14 JP Morgan 4,117.3 9 6.0 7 Banc of America Securities LLC 3,184.9 10 4.6 10 Industry Total 68,853.8 - 100.0 115 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 6,894.8 1 79.8 4 Banc of America Securities LLC 743.0 2 8.6 2 Deutsche Bank AG 500.0 3 5.8 1 Credit Suisse 500.0 3 5.8 1 Industry Total 8,637.8 - 100.0 6 Source: Thomson Financial

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

The Financial Accounting Standards Board has amended earlier statements, Nos. 133 and 140, with a recently issued one, No. 155, that addresses the accounting treatment for hybrid financial instruments that contain derivatives.

Fewer subprime borrowers rolled into new loans during the first month of this year compared with December, despite lower interest rates offered by mortgage companies, according to a Friedman Billings Ramsey & Co. report released last week.

The average subprime mortgage rate was 7.73% last week, representing a nine basis point drop from the average in January but still higher than levels seen last summer, according to JPMorgan Securities Inc.