CDOs/CLOs

Largely on the strength of consumer ABS assets, the securitization market slowly cranked out several more transactions last week. Also, while some traders reported better demand across the credit spectrum for ABS paper, a trend developing in both the secondary and primary markets, most expected deal volume to slow down considerably as the third quarter comes to a close.

For several months now, the capital markets have been bracing for layoffs stemming from the downturn in the subprime MBS, CDO and broader ABS markets. Last week, a wave of at least a couple hundred layoffs moved through the MBS businesses at Credit Suisse and HSBC Securities, leaving much of the industry nervously awaiting more.

The current joke on the street goes something like this: Do you know what a cov-lite rating is? Well, just the kind of rating the rating agencies were giving - no verification, no due diligence.

Industry observers have been bracing for October, when an estimated $50 billion worth of adjustable rate mortgages are going to reset to higher rates.

The September remittance reports revealed that conditions in the mortgage market are worsening, although the rate of credit performance dislocation is mostly slowing, according to a UBS report.

For all the dread the collapse of the subprime market has brought to the economy, those looking for a bit of good news have projected a stronger mortgage market on the assumption that lenders have begun tightening their underwriting standards.

As if the structured finance CDO market has not been dragged through the mud already, market-value CDOs appear to be the latest investment vehicle wounded by the lack of liquidity in the mortgage sector.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 9,248.1 1 16.821 14 JPMorgan Securities 6,893.32 2 12.538 15 Banc of America Securities 5,461.4 3 9.934 10 Citigroup Global Markets 5,070.9 4 9.223 10 Credit Suisse 3,653.0 5 6.644 7 Deutsche Bank Securities 2,911.1 6 5.295 7 Barclays Capital 2,834.3 7 5.155 6 ABN AMRO 2,783.0 8 5.062 5 Merrill Lynch 2,726.4 9 4.959 5 HSBC Securities 2,713.2 10 4.935 4 Industry Total 54,978.6 - 100.0 58 Source: ASR Scorecard database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup Global Markets 35,900.4 1 15.1 50 Merrill Lynch 32,509.3 2 13.6 40 Wachovia Securities 19,435.3 3 8.2 34 JPMorgan Securities 15,666.9 4 6.6 27 Banc of America Securities 14,629.0 5 6.1 19 Deutsche Bank Securities 14,471.0 6 6.1 31 Lehman Brothers 14,343.1 7 6.0 29 Morgan Stanley 13,926.2 8 5.8 70 Bear Stearns 11,721.3 9 4.9 23 UBS 11,547.1 10 4.8 27 Industry Total 238,421.7 - 100.0 434 Source: ASR Scorecard database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JPMorgan Securities 15,980.0 1 25.691 27 Citigroup Global Markets 14,165.0 2 22.773 15 Banc of America Securities 11,573.3 3 18.607 21 Morgan Stanley 5,052.6 4 8.123 8 Credit Suisse 2,721.3 5 4.375 8 Deutsche Bank Securities 2,195.8 6 3.53 10 Barclays Capital 2,175.0 7 3.497 5 RBS Greenwich Capital 2,128.3 8 3.422 10 HSBC Securities 1,750.0 9 2.813 3 Wachovia Securities 1,337.5 10 2.15 4 Industry Total 62,200.3 - 100.0 89 Source: ASR Scorecard database