CDOs/CLOs

The whole-business securitization sector makes a relatively minor impact on the capital markets, in terms of volume. Just a handful of the deals come to market each year. Yet the asset class has given the capital markets a lot to talk about lately. In one year, both the DB Master Trust - better known as the Dunkin' Brands transaction from May 2006 - and the Domino's Pizza deal from last April pushed about $3.5 billion of asset-backed paper onto the market.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 11,161.4 1 27.1 11 JP Morgan Securities Inc. 10,460.2 2 25.4 10 Banc of America Securities LLC 10,288.9 3 25.0 8 ABN AMRO Incorporated 7,181.7 4 17.4 5 Credit Suisse Securities (USA) LLC 6,816.6 5 16.5 5 Citigroup Global Markets, Inc. 6,747.9 6 16.4 6 Deutsche Bank Securities, Inc. 5,206.9 7 12.6 5 RBS Greenwich Capital 4,881.5 8 11.8 5 Barclays Capital 4,837.2 9 11.7 4 Merrill Lynch, Pierce, Fenner & Smith Inc 4,357.7 10 10.6 4 Industry Total 41,199.8 - 100.0 42 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 30,515.3 1 18.2 34 Citigroup Global Markets, Inc. 23,736.1 2 14.1 34 JP Morgan 12,804.9 3 7.6 22 Morgan Stanley 11,476.6 4 6.8 49 Wachovia Corp 10,323.9 5 6.2 20 UBS 9,760.8 6 5.8 19 Deutsche Bank AG 8,846.6 7 5.3 19 Banc of America Securities LLC 8,393.1 8 5.0 11 Bear Stearns & Co Inc 8,389.0 9 5.0 15 Barclays Capital 8,133.7 10 4.8 10 Industry Total 167,960.2 - 100.0 294 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 Securities 11,405.0 1 26.0 18 Banc of America Securities LLC 10,090.0 2 23.0 17 Citigroup Global Markets, Inc. 8,750.0 3 19.9 12 Morgan Stanley & Co. Incorporated 5,252.6 4 12.0 6 Deutsche Bank Securities, Inc. 3,175.0 5 7.2 9 ABN AMRO Incorporated 2,878.1 6 6.6 4 Credit Suisse Securities (USA) LLC 2,842.6 7 6.5 8 RBS Greenwich Capital 2,475.0 8 5.6 4 Barclays Capital 2,350.0 9 5.4 2 Wachovia Securities 2,025.0 10 4.6 4 Industry Total 43,875.8 - 100.0 68 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 Corporation 22,769.0 1 12.9 22 RBS Greenwich Capital 22,401.2 2 12.7 28 Merrill Lynch, Pierce, Fenner & Smith Inc 20,927.0 3 11.8 20 Morgan Stanley & Co. Incorporated 16,597.8 4 9.4 17 Citigroup Global Markets, Inc. 16,294.0 5 9.2 19 Lehman Brothers Inc. 16,116.2 6 9.1 21 Banc of America Securities LLC 15,106.0 7 8.5 22 Bear Stearns & Co. Inc. 13,105.5 8 7.4 21 Deutsche Bank Securities, Inc. 10,662.8 9 6.0 14 JP Morgan Securities 9,671.9 10 5.5 11 Industry Total 176,736.8 - 100.0 220 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 13,883.7 1 41.5 6 JP Morgan Securities 13,216.6 2 39.5 5 Deutsche Bank Securities, Inc. 10,054.5 3 30.1 5 Credit Suisse Securities (USA) LLC 9,748.8 4 29.1 4 Barclays Capital 8,836.0 5 26.4 2 Goldman Sachs & Co 6,883.0 6 20.6 3 Morgan Stanley & Co. Incorporated 6,270.3 7 18.7 2 Wachovia Securities 4,806.0 8 14.4 1 Lehman Brothers Inc. 4,142.0 9 12.4 1 Citigroup Global Markets, Inc. 4,132.6 10 12.4 3 Industry Total 33,443.9 - 100.0 17 Source: Thomson Financial

auto ABS 8% credit card ABS 12% equipment ABS 1% real estate ABS 70% student loan ABS 9% trade receivables 0% utilities ABS 0%

Securitization professionals last week had a lot to celebrate - and bemoan. Just when it looked like the subprime MBS market was emerging from its early-year volatility, the sector destabilized again, triggering an investor rush to sell off CDO and MBS holdings in two Bear Stearns hedge funds (see next page). The overall market, however, generally escaped the volatility that began on midweek in CDOs and which is probably still going on.

While market participants remained glued to the topic of subprime and the future of the mortgage market, international influence on the sector also jumped onto the agenda at the International Quality & Productivity Center's Residential Mortgage-Backed Securities Forum in New York last week.

Second-lien loans, especially in the subprime market, have always been a more questionable investment as of result of their layered risk and second priority payouts. But with the lack of homeowner equity and less home price appreciation, especially in the 2006 vintage, market participants are even more pessimistic about the value that will be extracted from the collateral.