ABS

Citigroup Global Markets managed to claim the top position among U.S. ABS CDO managers, according to Thomson Financial, despite a recent announcement that the bank is facing losses on $1.3 billion in pretax subprime MBS collateral, CDO positions and leveraged loans warehoused for future CDOs.

Outstanding paper in the asset-backed commercial paper market might have pulled back since August, but new vehicles are still cropping up. Deutsche Bank, for one, launched a so-called feeder conduit called Montage Funding recently.

Everyone needs a helping hand at some point in life. Such was the case with me when, at four or five years old, I managed to topple a freestanding, double-sided chalkboard on myself while playing in an empty classroom at my local school. I do not know how long I lay under the chalkboard before my excellent aunt lifted that weight off of me, but I recall having just enough lung capacity and strength to belt out the loud, long screams it took to summon her to my aid.

Largely on the strength of consumer ABS assets, the securitization market slowly cranked out several more transactions last week. Also, while some traders reported better demand across the credit spectrum for ABS paper, a trend developing in both the secondary and primary markets, most expected deal volume to slow down considerably as the third quarter comes to a close.

For several months now, the capital markets have been bracing for layoffs stemming from the downturn in the subprime MBS, CDO and broader ABS markets. Last week, a wave of at least a couple hundred layoffs moved through the MBS businesses at Credit Suisse and HSBC Securities, leaving much of the industry nervously awaiting more.

The current joke on the street goes something like this: Do you know what a cov-lite rating is? Well, just the kind of rating the rating agencies were giving - no verification, no due diligence.

Industry observers have been bracing for October, when an estimated $50 billion worth of adjustable rate mortgages are going to reset to higher rates.

The September remittance reports revealed that conditions in the mortgage market are worsening, although the rate of credit performance dislocation is mostly slowing, according to a UBS report.

For all the dread the collapse of the subprime market has brought to the economy, those looking for a bit of good news have projected a stronger mortgage market on the assumption that lenders have begun tightening their underwriting standards.

As if the structured finance CDO market has not been dragged through the mud already, market-value CDOs appear to be the latest investment vehicle wounded by the lack of liquidity in the mortgage sector.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 9,248.1 1 16.821 14 JPMorgan Securities 6,893.32 2 12.538 15 Banc of America Securities 5,461.4 3 9.934 10 Citigroup Global Markets 5,070.9 4 9.223 10 Credit Suisse 3,653.0 5 6.644 7 Deutsche Bank Securities 2,911.1 6 5.295 7 Barclays Capital 2,834.3 7 5.155 6 ABN AMRO 2,783.0 8 5.062 5 Merrill Lynch 2,726.4 9 4.959 5 HSBC Securities 2,713.2 10 4.935 4 Industry Total 54,978.6 - 100.0 58 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 Citigroup Global Markets 35,900.4 1 15.1 50 Merrill Lynch 32,509.3 2 13.6 40 Wachovia Securities 19,435.3 3 8.2 34 JPMorgan Securities 15,666.9 4 6.6 27 Banc of America Securities 14,629.0 5 6.1 19 Deutsche Bank Securities 14,471.0 6 6.1 31 Lehman Brothers 14,343.1 7 6.0 29 Morgan Stanley 13,926.2 8 5.8 70 Bear Stearns 11,721.3 9 4.9 23 UBS 11,547.1 10 4.8 27 Industry Total 238,421.7 - 100.0 434 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 JPMorgan Securities 15,980.0 1 25.691 27 Citigroup Global Markets 14,165.0 2 22.773 15 Banc of America Securities 11,573.3 3 18.607 21 Morgan Stanley 5,052.6 4 8.123 8 Credit Suisse 2,721.3 5 4.375 8 Deutsche Bank Securities 2,195.8 6 3.53 10 Barclays Capital 2,175.0 7 3.497 5 RBS Greenwich Capital 2,128.3 8 3.422 10 HSBC Securities 1,750.0 9 2.813 3 Wachovia Securities 1,337.5 10 2.15 4 Industry Total 62,200.3 - 100.0 89 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 24,396.8 1 12.333 26 Merrill Lynch 19,769.4 2 9.993 22 RBS Greenwich Capital 16,382.0 3 8.281 30 Morgan Stanley 16,051.0 4 8.114 18 Lehman Brothers 15,594.4 5 7.883 25 Citigroup Global Markets 14,604.4 6 7.383 19 Bear Stearns 13,663.4 7 6.907 26 JPMorgan Securities 12,445.1 8 6.291 17 Barclays Capital 10,877.2 9 5.498 13 Banc of America Securities 8,563.4 10 4.329 23 Industry Total 198,177.9 - 100.0 254 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 8,428.2 1 22.335 8 JPMorgan Securities 5,973.5 2 15.83 6 Deutsche Bank Securities 3,551.49 3 9.412 5 Credit Suisse 3,423.1 4 9.071 4 Barclays Capital 2,544.83 5 6.744 2 RBC Capital Markets 2,531.0 6 6.707 3 Goldman Sachs 2,326.17 7 6.164 3 Citigroup Global Markets 2,107.4 8 5.585 3 Morgan Stanley 2,090.1 9 5.539 2 Lehman Brothers 1,380.67 10 3.659 1 Industry Total 37,735.2 - 100.0 20 Source: ASR Scorecard database

aircraft ABS 1% auto ABS 11% credit card ABS 12% equipment ABS 1% real estate ABS 67% student loan ABS 8% trade receivables 0% utilities ABS 0%

A lot of talk centered around the securitization market this week, from former Federal Reserve chairman Alan Greenspan's gloomy remarks about the sector, to a midweek summit that attracted more than 900 industry delegates. What spoke volumes, however, was the uptick in securitization activity from various asset classes, including a small mortgage transaction from Yale.

The Hyundai Auto Receivables Trust finally came to market last week, with key changes that boosted its ratings and lowered initial and target credit enhancement for its class A notes.

With an MBS market painfully parched from a lack of liquidity, and expected to stay that way well into next year, several large, well-known asset management firms and smaller alternative investment shops are planning to launch distressed-debt funds.

Leveraged loan market players made the optimistic prediction last week that CLOs would return to the loan market stage by January or February of 2008. The topic was one of many discussed by market participants at the 13th annual Reuters Loan Pricing Corporation Gold Sheets conference.