CDOs/CLOs

Nomura Securities, for practical purposes, closed its fixed-income research department when it dismissed its six-member team over the course of several weeks, culminating in the departures of three major securitization researchers last week.

The subprime mortgage market is in a tailspin - even the Alt-A and prime markets are showing signs of strain. However, GMAC Mortgage is moving ahead with plans to finance a variety of mortgage loans. The company is sponsoring another loan warehouse program under the name Mortgage Interest Network Trust (MINT).

As investors anxiously waited last week for Standard & Poor's conference call about rating methodology alterations to closed-end second-lien RMBS, Starship's 1987 hit "Nothing's Gonna Stop Us Now" played over the conference call lines. The song seems very appropriate in light of the endless amount of rating activities and methodology alterations that have hit the market from S&P, Moody's Investors Service and Fitch Ratings. Whether these rating adjustments are sufficient, however, remains to be seen as market players cite little to no activity in the second-lien market.

The July remittance data brought more bad news to an already down and out market, including the deterioration of credit performance for all indices at a faster pace than the previous two months, according to a report from Lehman Brothers.

With heightened risk aversion sending spreads in the CDO market to gaping widths, the CLO market has seemed to remain intact. However, spillover from the subprime turmoil and hedge funds' recent attempts to divest their loan positions will push CLO liability spreads wider, market participants predict.

Susquehanna Bancshares in Lititz, Pa., has scrapped its plan to do a commercial loan securitization this year.

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 17.9 11 JPMorgan Securities 4,633.0 2 10.4 10 Banc of America Securities 4,559.57 3 10.3 8 Credit Suisse 3,319.7 4 7.5 6 Citigroup Global Markets 2,797.36 5 6.3 6 ABN AMRO 2,782.95 6 6.3 5 Deutsche Bank Securities 2,509.2 7 5.7 6 Barclays Capital 2,384.3 8 5.4 5 RBS Greenwich Capital 2,374.5 9 5.3 5 Merrill Lynch 2,226.4 10 5.0 4 Industry Total 44,392.5 - 100.0 47 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 31,645.6 1 15.8 38 Citigroup Global Markets 26,935.1 2 13.4 38 Wachovia Securities 15,996.7 3 8.0 27 JPMorgan Securities 15,016.9 4 7.5 25 Morgan Stanley 12,413.5 5 6.2 56 Banc of America Securities 12,380.4 6 6.2 14 Deutsche Bank 11,584.1 7 5.8 26 UBS 11,109.7 8 5.5 26 Bear Stearns 9,685.5 9 4.8 17 Lehman Brothers 8,402.0 10 4.2 16 Industry Total 200,422.4 - 100.0 354 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 28.313 25 Banc of America Securities 11,173.3 2 21.444 20 Citigroup Global Markets 8,425.0 3 16.169 13 Morgan Stanley 5,052.6 4 9.697 8 Credit Suisse Securities 2,646.3 5 5.079 7 Deutsche Bank Securities 2,095.8 6 4.022 9 Barclays Capital 1,675.0 7 3.215 4 RBS Greenwich Capital 1,400.8 8 2.688 9 Wachovia Securities 1,337.5 9 2.567 4 ABN AMRO 1,121.3 10 2.152 2 Industry Total 52,105.3 - 100.0 80 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 12.543 25 Merrill Lynch 19,188.39 2 10.087 20 RBS Greenwich Capital 16,382.0 3 8.612 30 Lehman Brothers 15,156.9 4 7.968 24 Morgan Stanley 14,738.76 5 7.748 17 Citigroup Global Markets 14,604.4 6 7.677 19 Bear Stearns 12,237.0 7 6.433 22 JPMorgan Securities 11,653.5 8 6.126 15 Barclays Capital 10,877.2 9 5.718 13 Banc of America Securities 8,140.2 10 4.279 22 Industry Total 190,231.8 - 100.0 238 Source: Thomson Financial