CDOs/CLOs

The CIT Group priced $1 billion of FFELP-guaranteed student loan-backed notes last week, in a five-tranche deal led by Citigroup Global Markets and Credit Suisse First Boston, its first transaction in the sector.

Despite Personal bankruptcy filings having climbed to record numbers for the second month in a row with 170,130 filings in April, credit card chargeoffs seem to be holding stable, according to a report from Fitch Ratings. April's numbers represent a 3% increase over March 2005 and are seen as the continued fallout of the April 20, enactment of the Bankruptcy Reform Act.

Michael Youngblood, head of ABS research at Friedman Billings Ramsey, said last week that investors should be more concerned about the general prospect of payment shock to be experienced by all adjustable rate subprime borrowers - either with a hybrid ARM or an interest-only ARM - than with those loans' form of amortization. Youngblood said the general characteristics of IO ARMs and hybrid ARMs are nearly indistinguishable, and where there are material differences - such as the borrower's credit score - the IO loans actually come out looking better, contrary to the skeptical views of the subprime IO loan by many market participants.

ABN AMRO plans to raise the bar for Australia's so-called socially responsible fixed interest rate investment vehicles with its newest CDO issuance set for Friday.

As if the high-yield bond market hasn't treated private equity firms well enough already, some financial sponsors are now pushing for more flexibility in the covenants - or the restrictions around a company's capital structure - that govern their high-yield borrowings.

Year to date as of 06/02 Term (days) 05/27 05/30 05/31 06/01 06/02 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 5,135.9 1 13.4 9 Deutsche Bank AG 4,741.0 2 12.4 9 JP Morgan 4,289.5 3 11.2 7 Merrill Lynch & Co Inc 4,114.9 4 10.7 7 Barclays Capital 3,870.9 5 10.1 7 Credit Suisse First Boston 3,449.5 6 9.0 7 Banc of America Securities LLC 3,433.1 7 9.0 7 Wachovia Corp 3,362.5 8 8.8 7 Goldman Sachs & Co 1,841.0 9 4.8 2 Lehman Brothers 1,455.3 10 3.8 2 Industry Total 38,365.5 - 100.0 36 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 8,615.4 1 19.6 13 Citigroup 6,047.7 2 13.7 15 Morgan Stanley 3,984.6 3 9.1 16 UBS 3,442.6 4 7.8 8 Lehman Brothers 3,418.9 5 7.8 11 Bear Stearns & Co Inc 2,530.2 6 5.8 6 Goldman Sachs & Co 2,007.0 7 4.6 2 Groupe Caisses d'Epargne 1,742.0 8 4.0 2 Credit Suisse First Boston 1,589.0 9 3.6 4 Banc of America Securities LLC 1,488.1 10 3.4 11 Industry Total 44,006.8 - 100.0 116 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 4,974.9 1 38.1 11 Citigroup 2,874.8 2 22.0 6 Morgan Stanley 1,666.5 3 12.8 2 Barclays Capital 1,049.1 4 8.0 8 Deutsche Bank AG 959.8 5 7.4 8 Credit Suisse First Boston 488.3 6 3.7 3 Lehman Brothers 375.0 7 2.9 1 Banc of America Securities LLC 286.6 8 2.2 4 Merrill Lynch & Co Inc 212.6 9 1.6 2 Societe Generale 100.0 10 0.8 1 Industry Total 13,062.4 - 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 Morgan Stanley 1,191.7 1 18.9 2 Deutsche Bank AG 1,191.7 1 18.9 2 Banc of America Securities LLC 750.0 3 11.9 1 Lehman Brothers 725.8 4 11.5 1 JP Morgan 725.8 4 11.5 1 Barclays Capital 725.8 4 11.5 1 HSBC Holdings PLC 566.7 7 9.0 1 Citigroup 212.0 8 3.4 1 Industry Total 6,319.5 - 100.0 6 Source: Thomson Financial