CDOs/CLOs

Whether it be interest-only, high LTV, high DTI or a 50-year-mortgage, for years subprime mortgage investors have weeded out one type of loan or another fearing borrower default. But the one wild card that continues to rear its ugly head - fraud - is not always found in the expected places.

NEW YORK - Borrowers would benefit from loan modifications that are implemented properly. While this would also maximize deal cashflow and thus benefiting investors, industry experts roundly rejected the notion of loan modification imposed by Congress.

For those familiar with the sector, the name structured investment vehicles (SIV) can suggest a fairly generalist, diverse investment strategy, and for much of the industry's history, that was true. These days, however, newer SIV managers are targeting structured finance assets to bolster their vehicles.

Conversation surrounding the U.S. loan credit default swap index (LCDX) was buzzing last week as both investors and traders at The Loan Syndications and Trading Association's Loan Only Credit Default Swaps conference in New York on Wednesday, geared up for the index's May 22 launch. And despite initial skepticism about the product's success, market players were optimistic about its acceptance.

Fitch Ratings last week issued its first presale report for subprime RMBS. The rating agency plans to issue the reports for subprime deals initially, and may eventually draw them up for Alt-A and prime deals, said Glenn Costello, managing director and co-head of RMBS at Fitch.

Cigarette consumption in the U.S. is declining, according to industry statistics, which suggests a shortfall in available revenue to secure tobacco ABS deals. As Louisiana and Virginia prepare to issue their own tobacco settlement bonds, however, securitization professionals say there is still plenty of room for growth in the unique asset class.

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 8,539.2 1 33.9 10 Wachovia Securities 8,416.4 2 33.4 8 Banc of America Securities 6,110.7 3 24.3 5 ABN AMRO 5,149.8 4 20.5 4 Barclays Capital 4,837.2 5 19.2 4 Deutsche Bank Securities 3,706.9 6 14.7 3 Credit Suisse 3,631.1 7 14.4 3 RBS Greenwich Capital 3,561.5 8 14.2 3 HSBC Securities 2,058.0 9 8.2 2 Citigroup Global Markets 2,055.1 10 8.2 3 Industry Total 25,162.7 - 100.0 27 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 26,501.4 1 20.1 30 Citigroup Global Markets 14,489.4 2 11.0 23 JPMorgan Securities 10,756.0 3 8.2 19 Wachovia Securities 9,636.8 4 7.3 17 Morgan Stanley 9,493.8 5 7.2 38 UBS 8,134.0 6 6.2 14 Barclays Capital 8,133.7 7 6.2 10 Banc of America Securities 7,166.7 8 5.4 8 Bear Stearns 6,767.9 9 5.1 13 Deutsche Bank Securities 6,546.6 10 5.0 15 Industry Total 131,865.7 - 100.0 233 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 10,405.0 1 26.8 17 Banc of America Securities 9,415.0 2 24.3 16 Citigroup Global Markets 7,500.0 3 19.3 9 Morgan Stanley 5,252.6 4 13.5 6 Credit Suisse Securities 2,842.6 5 7.3 4 Deutsche Bank Securities 2,575.0 6 6.6 8 Barclays Capital 2,350.0 7 6.1 4 ABN AMRO 2,242.6 8 5.8 2 RBS Greenwich Capital 2,075.0 9 5.3 6 Wachovia Securities 2,025.0 10 5.2 4 Industry Total 38,815.3 - 100.0 58 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 20,686.4 1 14.0 20 RBS Greenwich Capital 18,881.3 2 12.8 24 Merrill Lynch 16,905.5 3 11.4 17 Morgan Stanley 14,377.0 4 9.7 15 Banc of America Securities 13,319.4 5 9.0 18 Lehman Brothers 12,783.9 6 8.6 15 Citigroup Global Markets 12,302.7 7 8.3 14 Bear Stearns 11,872.1 8 8.0 20 Deutsche Bank Securities 8,894.1 9 6.0 12 JPMorgan Securities 8,011.0 10 5.4 9 Industry Total 147,923.4 - 100.0 185 Source: Thomson Financial