CDOs/CLOs

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

auto ABS 8% credit card ABS 10% enterprise finance 0% equipment ABS 1% real estate ABS 70% student loan ABS 12% trade receivables 0%

If additional states - and potentially the federal government - follow in the footsteps of Ohio, financially stapped U.S. homeowners may have more options to refinance their mortgages. The state plans to issue municipal bonds in order to fund a mortgage refinance program for subprime borrowers, market participants said last week.