CDOs/CLOs

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 Securities 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%

Pricing guidance on auto and credit card transactions became more snug last week, as a pronounced liquidity dearth all but forced the RMBS-driven securitization market into a hiatus.

Hoping to duplicate its successful transformation into a major franchise brand, IHOP Corp. is using familiar securitization techniques to finance its $2.1 billion buyout and subsequent revamping of Applebee's International.

Troubles in subprime have begun to creep up the credit spectrum. As expected, after the bloodbath of recent subprime downgrades, the Alt-A RMBS sector took a hit last week.

Structured finance products show no signs of becoming simpler, so learning how to define these instruments is equally as important as understanding how to get the best value out of them.

Bond insurers have built a business on paying close attention to risk. For the most part, these monolines have earned their esteem by establishing triple-A portfolios. However, recent drops in the ABX index and the widening of CDO spreads, as well as subprime downgrades, have turned the scrutiny back on these insurers, with market participants questioning the security of their highly rated RMBS exposure.

The ABX.07-2 index began trading last Thursday, but after a fresh spate of bad news about the subprime mortgage market forced the market into a general slowdown, and with a typical summer Friday looming, the index was not expected to see much action for the week.

After Bear Stearns sent a letter to investors regarding the essential collapse of two of its hedge funds, stating that "there is effectively no value left for the investors in the Enhanced Leverage Fund and very little value left for the investors in the High Grade Fund," several insiders say the losses were worse than expected.

Last week continued the plethora of rating movements - both positive and negative - for the RMBS and CDO sectors. The different rating agencies not only made several rating changes but altered their rating methodologies as well.