ABS

New York-based commercial finance and asset management company Churchill Financial completed its acquisition of Churchill Capital's Mezzanine Finance Business last week. Though the merger, which will solidify two business platforms that have long been converging, Churchill Financial hopes to take advantage of increasingly attractive market conditions for mezzanine lending.

Washington D.C.-based private equity firm The Carlyle Group announced the close of its tenth U.S. loan fund, Carlyle High Yield Partners X, Ltd, a $400 million CLO. Carlyle's U.S. leveraged finance group has closed three CLOs with a total of $1.2 billion of assets, over the last year. Its newest fund utilizes a traditional CLO structure including triple-A through double-B rated

Fitch Ratings last week said it expected to downgrade roughly 27% of the tranches of synthetic CDOs referencing U.S. subprime securities by an average 2.4 notches, given a recent stress test applied to the deals it's rated. The rating agency assumed a three-notch downgrade on each of the investment grade subprime RMBS within the CDO portfolios.

Last week both Fannie Mae and Freddie Mac announced stepped-up efforts to aid subprime borrowers who need to refinance into more affordable mortgages, as their representatives testified before Congress. Market participants expected that the effect of such initiatives on loan supply might curb HEL spread widening despite certain program criteria remaining hazy.

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 7,539.2 1 47.6 9 Banc of America Securities 3,350.7 2 21.1 3 Wachovia Securities 3,200.5 3 20.2 3 Barclays Capital 2,960.3 4 18.7 3 ABN AMRO Incorporated 2,322.9 5 14.7 2 HSBC Securities 2,058.0 6 13.0 2 Morgan Stanley & Co. 1,870.3 7 11.8 2 Deutsche Bank Securities 1,830.0 8 11.5 2 RBS Greenwich Capital 1,684.6 9 10.6 2 Lehman Brothers 1,500.0 10 9.5 1 Industry Total 15,844.3 - 100.0 18 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 23,251.4 1 22.5 27 Citigroup 14,057.9 2 13.6 21 Wachovia Corp 7,322.7 3 7.1 13 UBS 6,843.0 4 6.6 10 Deutsche Bank AG 6,824.1 5 6.6 14 JP Morgan 6,466.1 6 6.3 14 Morgan Stanley 5,463.2 7 5.3 29 Banc of America Securities 4,926.4 8 4.8 5 Bear Stearns & Co. 4,529.8 9 4.4 8 Credit Suisse 4,515.8 10 4.4 6 Industry Total 103,211.5 - 100.0 182 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 Banc of America Securities 6,765.0 1 27.4 12 JP Morgan Securities 5,920.0 2 24.0 9 Citigroup Global Markets 3,700.0 3 15.0 5 Morgan Stanley & Co. 3,068.4 4 12.4 3 Credit Suisse Securities 2,842.6 5 11.5 4 Deutsche Bank Securities 2,300.0 6 9.3 6 ABN AMRO 2,242.6 7 9.1 2 Wachovia Securities 1,275.0 8 5.2 3 Lehman Brothers 1,000.0 9 4.1 2 RBS Greenwich Capital 775.0 10 3.1 4 Industry Total 24,671.1 - 100.0 37 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 Countrywide Securities Corp. 15,736.9 1 14.6 16 RBS Greenwich Capital 13,380.5 2 12.4 15 Merrill Lynch, Pierce, Fenner & Smith 12,970.8 3 12.0 12 Citigroup Global Markets 10,988.3 4 10.2 11 Banc of America Securities 10,671.2 5 9.9 14 Morgan Stanley & Co. 10,313.3 6 9.5 11 Lehman Brothers 8,994.4 7 8.3 10 Bear Stearns & Co. 8,384.7 8 7.8 16 JP Morgan Securities 6,401.0 9 5.9 6 Deutsche Bank Securities 5,651.1 10 5.2 7 Industry Total 107,996.0 - 100.0 131 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 Banc of America Securities 11,558.4 1 49.2 4 JP Morgan Securities 9,557.4 2 40.7 3 Barclays Capital 8,836.0 3 37.6 2 Credit Suisse Securities 6,270.3 4 26.7 2 Morgan Stanley & Co. 6,270.3 4 26.7 2 Goldman Sachs & Co. 5,842.0 6 24.9 2 Deutsche Bank Securities 5,291.7 7 22.5 2 Wachovia Securities 4,806.0 8 20.4 1 Lehman Brothers 4,142.0 9 17.6 1 RBS Greenwich Capital 3,051.4 10 13.0 1 Industry Total 23,505.1 - 100.0 9 Source: Thomson Financial

auto ABS 7% credit card ABS 10% enterprise finance 0% equipment ABS 1% real estate ABS 71% student loan ABS 10% trade receivables 0% utilities ABS 0%

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. 7,539.2 1 47.6 9 Banc of America Securities LLC 3,350.7 2 21.1 3 Wachovia Securities 3,200.5 3 20.2 3 Barclays Capital 2,960.3 4 18.7 3 ABN AMRO Incorporated 2,322.9 5 14.7 2 HSBC Securities, Inc. 2,058.0 6 13.0 2 Morgan Stanley & Co. Incorporated 1,870.3 7 11.8 2 Deutsche Bank Securities, Inc. 1,830.0 8 11.5 2 RBS Greenwich Capital 1,684.6 9 10.6 2 Lehman Brothers, Inc. 1,500.0 10 9.5 1 Industry Total 15,844.3 - 100.0 18 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 21,255.8 1 21.5 25 Citigroup 14,057.9 2 14.2 21 Wachovia Corp 7,322.7 3 7.4 13 UBS 6,843.0 4 6.9 10 JP Morgan 6,466.1 5 6.5 14 Barclays Capital 6,424.0 6 6.5 6 Deutsche Bank AG 6,265.6 7 6.3 11 Morgan Stanley 5,022.6 8 5.1 23 Banc of America Securities LLC 4,926.4 9 5.0 5 Credit Suisse 4,065.5 10 4.1 5 Industry Total 98,898.4 - 100.0 161 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 Banc of America Securities LLC 6,765.0 1 27.4 12 JP Morgan Securities 5,920.0 2 24.0 9 Citigroup Global Markets, Inc. 3,700.0 3 15.0 5 Morgan Stanley & Co. Incorporated 3,068.4 4 12.4 3 Credit Suisse Securities (USA) LLC 2,842.6 5 11.5 4 Deutsche Bank Securities, Inc. 2,300.0 6 9.3 6 ABN AMRO Incorporated 2,242.6 7 9.1 2 Wachovia Securities 1,275.0 8 5.2 3 Lehman Brothers Inc. 1,000.0 9 4.1 2 RBS Greenwich Capital 775.0 10 3.1 4 Industry Total 24,671.1 - 100.0 37 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 Countrywide Securities Corporation 15,736.9 1 15.31 16 RBS Greenwich Capital 12,664.6 2 12.3 14 Merrill Lynch, Pierce, Fenner & Smith Inc. 11,052.1 3 10.8 11 Citigroup Global Markets, Inc. 10,988.3 4 10.7 11 Morgan Stanley & Co. Incorporated 10,313.3 5 10.0 11 Banc of America Securities LLC 9,955.2 6 9.7 13 Lehman Brothers Inc. 9,012.7 7 8.8 10 Bear Stearns & Co. Inc. 7,198.6 8 7.0 14 JP Morgan Securities 6,419.4 9 6.2 6 Deutsche Bank Securities, Inc. 5,651.1 10 5.5 7 Industry Total 102,788.6 - 100.0 124 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 Banc of America Securities LLC 11,558.4 1 49.2 4 JP Morgan Securities 9,557.4 2 40.7 3 Barclays Capital 8,836.0 3 37.6 2 Credit Suisse Securities (USA) LLC 6,270.3 4 26.7 2 Morgan Stanley & Co. Incorporated 6,270.3 5 26.7 2 Goldman Sachs & Co 5,842.0 6 24.9 2 Deutsche Bank Securities, Inc. 5,291.7 7 22.5 2 Wachovia Securities 4,806.0 8 20.4 1 Lehman Brothers Inc. 4,142.0 9 17.6 1 RBS Greenwich Capital 3,051.4 10 13.0 1 Industry Total 23,505.1 - 100.0 9 Source: Thomson Financial

auto ABS 8% credit card ABS 10% enterprise finance 0% equipment ABS 1% real estate ABS 70% student loan ABS 11% trade receivables 0% utilities ABS 0%

A prominent figure in student loan securitization, Paul B. Sheldon, left Citigroup Global Markets just over a week ago, sources confirmed last week. His departure came several days before the investment bank announced a massive cost-cutting campaign.

Some of the largest U.S. CDO managers in 2006 counted ABS CDOs as nearly their entire book of business, according to Standard & Poor's.

Mizuho Securities USA has several ABS CDOs and CLOs in its pipeline, according to the head of U.S. structured credit, Alexander Rekeda.

Last week, the New York Attorney General's office reminded Sallie Mae and Student Loan Express that they had no right to involve universities in underhanded tactics to generate business. The University of Pennsylvania also acknowledged that it received fees from Citibank to refer student loan borrowers to the institution.