CDOs/CLOs

The last thing ABS CDO managers want is to be compared to the TABX. For them, it is like being on par with a disowned relative. And one can only imagine how recent speculation that the price of new issue ABS CDO notes might fall in line with those of the TABX has further strained this relationship.

GSC Group recently announced the close of its 13th CDO fund since April 2000. The GSC CDO VIII, LTD is a $350 million collateralized loan obligation that will invest 30% in middle-market loans and 70% in broadly syndicated leveraged loans. The strategy stems from tight pricing in the market, particularly on broadly syndicated deals. The low spreads have made it hard to continue investing in some of these transactions with smaller buckets while still securing a satisfactory yield.

Prime auto ABS deals turned in weaker performance numbers in February, but analysts emphasized that the occurrence was more a result of seasonal factors than fundamental weakness in the auto sector. Meanwhile, performance in the subprime auto sector actually improved in the first quarter, the result of another technical fluke.

by: Rob Kessel, managing partner, Compass Analytics, Thomas Warrack, managing director, and Brian Vonderhorst, director, at Standard & Poor's RMBS Ratings

Hit by rising interest rates, slowing home price appreciation and tightening underwriting standards, U.S. RMBS volume fell 5% to $248 billion in 1Q07 from $261 billion a year earlier, according to data for both agency and non-agency issuance maintained by 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 Inc. 5,939.19 1 23% 7 Wachovia Securities 3,646.46 2 14% 4 Banc of America Securities LLC 3,350.65 3 13% 3 Barclays Capital 2,960.28 4 11% 3 ABN AMRO Incorporated 2,322.9 5 9% 2 Industry 14,244.27 16 totals Source: ASR Scorecard database

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 6,015.00 1 20% 11 JP Morgan Securities Inc. 5,670.00 2 19% 8 Citigroup Global Markets, Inc. 3,700.00 3 12% 5 Morgan Stanley & Co. Incorporated 3,068.42 4 10% 3 Credit Suisse Securities (USA) LLC 2,842.64 5 9% 4 Industry 23,446.06 34 totals Source: ASR Scorecard database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues LaSalle Financial Services Inc 9,070.46 1 24% 2 Deutsche Bank Securities, Inc. 6,652.82 2 17% 1 Citigroup Global Markets, Inc. 6,652.82 3 17% 1 Morgan Stanley & Co. Incorporated 3,972.16 4 10% 2 Lehman Brothers Inc. 3,746.63 5 10% 1 Industry 17,516.82 5 totals Source: ASR Scorecard database

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 15,736.90 1 14% 16 RBS Greenwich Capital 10,673.73 2 9% 12 Merrill Lynch, Pierce, Fenner & Smith Incorporated 10,304.96 3 9% 9 Citigroup Global Markets, Inc. 9,906.95 4 9% 10 Morgan Stanley & Co. Incorporated 9,128.24 5 8% 10 Industry 95,912.38 115 totals Source: ASR Scorecard database

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 10,488.97 1 15% 4 JP Morgan Securities Inc. 9,257.38 2 13% 3 Barclays Capital 8,536.00 3 12% 2 Credit Suisse Securities (USA) LLC 6,270.31 4 9% 2 Morgan Stanley & Co. Incorporated 6,270.31 5 9% 2 Industry 23,505.12 9 totals Source: ASR Scorecard database