CDOs/CLOs

The sale of General Motors Acceptance Corp. relieved a number of ABS investors from wondering when the transaction would ever take place, but the sale is anticipated to have a somewhat minimal effect on the troubled U.S. automaker's securitizations. Market players noted tightening within certain GMAC transactions, and some speculated as to whether a new secured liquidity facility made available to the company could lower future securitization volume.

Americans ran up significant levels of debt between 2001 and 2004, according to a government survey. In this light, Citigroup Global Markets analysts warned investors to avoid subprime unsecured debt, although they did acknowledge that U.S. consumers were able to afford their debt loads.

Mortgages are off to an okay start in April after a disastrous March. The MBS Index has returned plus seven basis points in excess return versus Treasurys in the first three trading days of April, according to Lehman Brothers.

The U.S. RMBS market showed signs of slowing in the first quarter from last year's torrid pace - when year-over-year issuance increased by more than $200 billion, according to data maintained by Thomson Financial. Issuance in the first quarter reached $234.5 billion, a 15% increase over the fourth quarter's $204.4 billion, and only one more deal was completed in the first quarter than the final quarter of last year - 286 instead of 285.

Year to date as of 04/06 Term (days) 03/31 04/03 04/04 04/05 04/06 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 4,260.2 1 23.4 9 JP Morgan 3,956.1 2 21.8 10 Deutsche Bank AG 2,020.4 3 11.1 7 Barclays Capital 1,725.5 4 9.5 4 Royal Bank of Scotland Group 1,606.8 5 8.8 3 Merrill Lynch & Co Inc 1,250.0 6 6.9 3 Credit Suisse 950.0 7 5.2 2 Wachovia Corp 939.0 8 5.2 3 Bear Stearns & Co Inc 824.9 9 4.5 1 Goldman Sachs & Co 411.2 10 2.3 1 Industry Total 18,189.0 - 100.0 21 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 & Co Inc 8,676.4 1 18.1 11 Citigroup 6,807.5 2 14.2 14 UBS 4,764.0 3 10.0 11 Banc of America Securities LLC 4,403.4 4 9.2 13 Deutsche Bank AG 4,304.0 5 9.0 7 Credit Suisse 3,621.4 6 7.6 5 Bear Stearns & Co Inc 3,551.6 7 7.4 8 Goldman Sachs & Co 2,280.9 8 4.8 4 Morgan Stanley 2,107.5 9 4.4 11 Wachovia Corp 1,857.3 10 3.9 6 Industry Total 47,856.2 - 100.0 106 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 5,974.7 1 29.8 11 Citigroup 4,447.1 2 22.2 7 Banc of America Securities LLC 3,723.3 3 18.6 6 Deutsche Bank AG 2,075.0 4 10.4 6 Morgan Stanley 1,829.0 5 9.1 2 Credit Suisse 625.0 6 3.1 2 Barclays Capital 500.0 7 2.5 1 Lehman Brothers 250.0 8 1.3 1 Wachovia Corp 249.9 9 1.3 1 Merrill Lynch & Co Inc 225.0 10 1.1 1 Industry Total 20,049.0 - 100.0 30 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 Lehman Brothers 15,130.9 1 10.6 34 Countrywide Securities Corp 15,001.3 2 10.5 17 Credit Suisse 14,874.1 3 10.4 29 Morgan Stanley 13,244.8 4 9.3 17 Deutsche Bank AG 10,553.1 5 7.4 18 Bear Stearns & Co Inc 10,364.3 6 7.3 30 Merrill Lynch & Co Inc 10,045.8 7 7.0 13 Citigroup 8,235.2 8 5.8 22 Royal Bank of Scotland Group 7,931.6 9 5.6 11 JP Morgan 7,355.2 10 5.1 12 Industry Total 142,977.6 - 100.0 240 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 Citigroup 2,915.8 1 18.0 4 Deutsche Bank AG 2,801.0 2 17.3 3 Merrill Lynch & Co Inc 2,301.0 3 14.2 2 Banc of America Securities LLC 2,027.7 4 12.5 3 Credit Suisse 1,698.4 5 10.5 3 Lehman Brothers 1,284.7 6 7.9 1 Goldman Sachs & Co 1,255.5 7 7.7 1 UBS 450.4 8 2.8 1 SunTrust Banks 382.5 9 2.4 1 Industry Total 16,222.9 - 100.0 11 Source: Thomson Financial