CDOs/CLOs

Moody's Investors Service announced changes to its rating methodology on Alt-A RMBS transactions, including option ARM loans. Separately, Moody's also updated its methodology for rating option ARM loan securitizations.

C-BASS surprised an already jaded market last week when the company issued a statement acknowledging that it had received a substantial number of margin calls, which would hinder the liquidity of its business.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 7,948.09 1 16.98 11 JPMorgan Securities 5,503.0 2 11.757 12 Banc of America Securities 5,059.6 3 10.809 9 Citigroup Global Markets 3,342.4 4 7.141 7 Credit Suisse 3,319.7 5 7.092 6 ABN AMRO 2,783.0 6 5.946 5 Merrill Lynch 2,726.4 7 5.825 5 Deutsche Bank Securities 2,509.2 8 5.361 6 Barclays Capital 2,384.3 9 5.094 5 RBS Greenwich Capital 2,374.5 10 5.073 5 Industry Total 46,807.6 - 100.0 50 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 Global Markets 33,086.9 1 15.5 44 Merrill Lynch 31,645.6 2 14.8 38 Wachovia Securities 15,996.7 3 7.5 27 JPMorgan Securities 14,866.9 4 7.0 25 Banc of America Securities 13,816.0 5 6.5 17 Deutsche Bank Securities 13,609.7 6 6.4 29 Morgan Stanley 12,448.5 7 5.8 58 Bear Stearns 11,721.3 8 5.5 23 UBS 11,109.7 9 5.2 26 Lehman Brothers 9,197.0 10 4.3 21 Industry Total 214,055.5 - 100.0 383 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 JPMorgan Securities 14,752.5 1 27.317 25 Banc of America Securities 11,573.3 2 21.43 21 Citigroup Global Markets 8,425.0 3 15.6 13 Morgan Stanley 5,052.6 4 9.356 8 Credit Suisse 2,721.3 5 5.039 8 Deutsche Bank Securities 2,195.8 6 4.066 10 HSBC Securities 1,750.0 7 3.24 3 Barclays Capital 1,675.0 8 3.102 4 RBS Greenwich Capital 1,400.8 9 2.594 9 Wachovia Securities 1,337.5 10 2.477 4 Industry Total 54,005.3 - 100.0 85 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 Countrywide Securities 23,860.5 1 12.402 25 Merrill Lynch 19,188.39 2 9.974 20 RBS Greenwich Capital 16,382.0 3 8.515 30 Morgan Stanley 16,057.2 4 8.346 18 Lehman Brothers 15,156.9 5 7.878 24 Citigroup Global Markets 14,604.4 6 7.591 19 Bear Stearns 12,237.0 7 6.361 22 JPMorgan Securities 12,021.8 8 6.249 16 Barclays Capital 10,877.2 9 5.654 13 Banc of America Securities 8,140.2 10 4.231 22 Industry Total 192,388.7 - 100.0 242 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 6,928.2 1 19.2 7 JPMorgan Securities 5,973.5 2 16.6 6 Deutsche Bank Securities 3,551.49 3 9.9 5 Credit Suisse 3,423.1 4 9.5 4 Barclays Capital 2,544.83 5 7.1 2 RBC Capital Markets 2,531.0 6 7.0 3 Goldman Sachs 2,326.17 7 6.5 3 Citigroup Global Markets 2,107.4 8 5.8 3 Morgan Stanley 2,090.1 9 5.8 2 Lehman Brothers 1,380.67 10 3.8 1 Industry Total 36,035.2 - 100.0 18 Source: Thomson Financial

aircraft ABS 0% auto ABS 11% credit card ABS 8% catatrophe bonds 0% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%

Bad news from the housing and subprime MBS industries suppressed securitization productivity last week - and not just for mortgage-related fixed-income products.

The dislocation in the CDO market right now has posed a number of challenges for CDO managers trying to balance higher returns with palatable risk characteristics. However, there is slow to almost nonexistent activity in ABS CDO new issuance, and collateral is trading well below its intrinsic value. As a result, CDO managers have recently been confined to surveillance.