CDOs

Moody's Investors Service will begin adding plus and minus gradients to its servicer ratings, the New York-based rating agency announced May 10. The change will take effect only on new ratings.

The parent of credit card issuer MBNA America Bank and no less than eight officers and directors of the company were hit with three separate shareholder class action lawsuits last week. Law firms Milberg Weiss Bershad & Shulman of New York, Schatz & Nobel of Hartford, Conn. and Schiffrin & Barroway of Radnor, Pa. all filed suits on behalf of investors in MBNA in the U.S. District Court for the District of Delaware.

The American Securitization Forum hopes to help issuers get up to speed on the implementation of the Securities & Exchange Commission's Regulation AB, the first rule tailored specifically for the ABS market, according to Michael Mitchell, partner with Orrick, Herrington & Sutcliffe who will moderate a five member panel on the new regulation at the ASF's Annual Meeting in New York on June 9.

The New York Yankees were not the only ones on a roll last week. The U.S. ABS primary market also had a stellar week, pricing nearly $20 billion in new issue supply. As the flailing Bombers rebounded to a five-game winning streak, the primary market bounced back from its own mini-slump. The week before last saw only $2 billion in issuance. Was the Phoenix-esque rise of America's team somehow linked to the revitalization of the ABS primary market? Probably not, but here is what hit the primary last week...

Representing a departure from the norm for the net interest margin sector, Lehman Brothers has begun marketing a NIM backed by loans to small businesses. While synonymous with the home equity sector, small business loans offer more reliable flows from prepayment penalties, according to a ratings analyst who worked on the deal. A Lehman syndicate official declined to comment on the transaction, as it has yet to close.

Likely a part of Fannie Mae's effort to meet capital requirements, the government sponsored entity unloaded a slew of asset-backed securities from its books last week through $9 billion total in private placement re-REMIC deals reportedly consisting entirely of subprime mortgage collateral.

Synthetic and investment grade cash CDOs referenced to corporate names may have taken a slight hit this week, while structured finance CDOs remained stable as investors reacted to the corporate credit downgrades to junk status for Ford Motor Co. and General Motors Corp. by Standard & Poor's.

Even though spreads for CDOs backed by structured finance and high yield loan collateral continue cranking tighter, the return is "more than fair" in the triple-B rated tranches of those deals, where tightening has not kept pace with higher-rated tranches, according to a recent UBS report. For example, while triple-A and double-A rated structured finance CDOs are at their tightest-ever spread levels, single-A and triple-B rated tranches are 20 and 65 basis points wider than historic tights, respectively, according to UBS.

Over the past year or so, nothing has grown faster than demand for synthetic collateralized debt obligations. In the past several weeks, a drumbeat of warnings has emanated from the likes of the International Monetary Fund, Standard & Poor's, and a top official at the U.S. Federal Reserve.

Year to date as of 05/11 Term (days) 05/05 05/06 05/09 05/10 05/11 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Deutsche Bank AG 4,207.7 1 15.5 8 Credit Suisse First Boston 3,449.5 2 12.7 7 Merrill Lynch & Co Inc 3,402.4 3 12.5 6 Citigroup 3,206.3 4 11.8 5 Barclays Capital 3,195.9 5 11.8 6 Banc of America Securities LLC 2,899.9 6 10.7 6 JP Morgan 2,268.8 7 8.4 4 Wachovia Corp 1,837.0 8 6.8 4 Goldman Sachs & Co 1,289.0 9 4.8 1 Lehman Brothers 780.3 10 2.9 1 Industry Total 27,153.5 - 100.0 26 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 7,149.5 1 19.8 11 Citigroup 4,165.6 2 11.5 10 Morgan Stanley 3,964.6 3 11.0 15 UBS 3,442.6 4 9.5 8 Lehman Brothers 2,714.2 5 7.5 9 Bear Stearns & Co Inc 2,530.2 6 7.0 6 Groupe Caisses d'Epargne 1,742.0 7 4.8 2 Goldman Sachs & Co 1,500.0 8 4.2 1 Wachovia Corp 1,241.9 9 3.4 3 Banc of America Securities LLC 1,058.3 10 2.9 10 Industry Total 36,181.1 - 100.0 96 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 4,025.0 1 34.7 9 Citigroup 2,874.8 2 24.8 6 Morgan Stanley 1,666.5 3 14.4 2 Barclays Capital 1,049.1 4 9.1 8 Deutsche Bank AG 534.8 5 4.6 6 Credit Suisse First Boston 413.3 6 3.6 2 Lehman Brothers 375.0 7 3.2 1 Banc of America Securities LLC 286.6 8 2.5 4 Merrill Lynch & Co Inc 262.6 9 2.3 3 UBS 46.3 10 0.4 1 Industry Total 11,587.5 - 100.0 25 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 1,191.7 1 21.4 2 Deutsche Bank AG 1,191.7 1 21.4 2 Lehman Brothers 725.8 3 13.0 1 JP Morgan 725.8 3 13.0 1 Barclays Capital 725.8 3 13.0 1 HSBC Holdings PLC 566.7 6 10.2 1 Citigroup 212.0 7 3.8 1 Industry Total 5,569.5 - 100.0 5 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 Bear Stearns & Co Inc 22,416.3 1 10.3 37 Lehman Brothers 20,672.3 2 9.5 51 Morgan Stanley 20,231.6 3 9.3 24 Countrywide Securities Corp 18,767.1 4 8.7 23 Royal Bank of Scotland Group 18,616.8 5 8.6 29 Credit Suisse First Boston 17,971.9 6 8.3 42 Deutsche Bank AG 16,796.8 7 7.8 33 Banc of America Securities LLC 11,998.7 8 5.5 25 Merrill Lynch & Co Inc 10,937.9 9 5.0 14 Citigroup 10,317.1 10 4.8 22 Industry Total 216,807.2 - 100.0 391 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 Banc of America Securities LLC 3,134.2 1 18.9 4 Morgan Stanley 2,757.6 2 16.6 3 Citigroup 2,230.0 3 13.4 4 Credit Suisse First Boston 2,196.2 4 13.2 3 Deutsche Bank AG 1,483.8 5 8.9 3 UBS 1,447.2 6 8.7 3 Lehman Brothers 1,012.4 7 6.1 1 JP Morgan 983.8 8 5.9 2 Goldman Sachs & Co 806.2 9 4.9 2 Merrill Lynch & Co Inc 550.3 10 3.3 1 Industry Total 16,601.7 - 100.0 13 Source: Thomson Financial

auto ABS 18% credit card ABS 5% global MBS 5% real estate ABS 60% student loan ABS 8% other 3%

From the Junk In The Trunk dept...

Bear Stearns plans to release an updated subprime performance model to its trading desk and the public by month's end, said Steven Bergantino, a managing director involved with updating the model.

The Structured Finance Committee of the Association of the Bar of the City of New York will hold its inaugural meeting next month, sources confirmed. The 32-member committee will meet on Wednesday, June 1, at the bar association's midtown Manhattan headquarters and will be presided over by committee chairman Craig Wolson, partner with Duane Morris in New York.