ABS

Newcastle Investment Corp., a real estate investment and finance company, is planning its debut in the ABCP arena with an extendible note asset-backed commercial paper program that will execute repurchase agreements (repos) for its high quality portfolio of agency mortgages, ARMs and hybrid mortgage securities. Furthermore, it introduces a credit enhancement technique that differs distinctly from existing SLN programs.

While Ownit Mortgage chief executive Bill Dallas reportedly filed for Chapter 11 bankruptcy in order to shelter his employees, buyers of the subprime lender's mortgage-backed bonds that want compensation for poorly performing loans appear as though they will get the short end of the stick. Nearly all of the company's unsecured creditors are investors holding Ownit loans they say need to be repurchased for one reason or another, but it's unlikely the companies will see much compensation from Ownit, according to sources familiar with the matter.

With CLO managers ramping up funds in record numbers, investors have been scrambling to cash in on the diverse investment strategies that make these vehicles a safe choice for yield. However, a recent survey from Fitch Ratings found that these funds may not be as diversified and low risk as their definition would suggest. In fact, CLOs as a whole have been acquiring a high proportion of leveraged loans that are used to fund "shareholder friendly-activities," as well as loans that are light on covenants, and this could mean very unsteady investment platform in the event of a downturn.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 11,324.6 1 13.3 20 JP Morgan 11,150.3 2 13.1 23 Wachovia Corp 10,658.0 3 12.4 18 Barclays Capital 9,681.6 4 11.4 15 Deutsche Bank AG 7,784.8 5 9.2 17 Banc of America Securities LLC 6,637.5 6 7.8 10 Credit Suisse 4,066.8 7 4.8 8 HSBC Holdings PLC 3,971.7 8 4.7 5 Royal Bank of Scotland Group 3,644.0 9 4.3 8 Morgan Stanley 3,554.6 10 4.2 7 Industry Total 85,059.8 - 100.0 90 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 50,073.6 1 14.9 65 Citigroup 36,607.6 2 10.9 66 Deutsche Bank AG 30,674.1 3 9.2 63 Wachovia Corp 23,697.9 4 7.1 54 Credit Suisse 22,623.0 5 6.8 34 UBS 22,303.8 6 6.7 65 Bear Stearns & Co Inc 21,557.6 7 6.4 41 Banc of America Securities LLC 20,730.3 8 6.2 52 Morgan Stanley 19,666.3 9 5.9 71 JP Morgan 15,359.1 10 4.6 37 Industry Total 335,048.1 - 100.0 671 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 20,720.6 1 30.9 29 Citigroup 11,982.0 2 17.8 18 JP Morgan 11,859.7 3 17.7 25 Deutsche Bank AG 4,624.9 4 6.9 13 Morgan Stanley 4,055.3 5 6.0 5 Barclays Capital 3,373.8 6 5.0 8 HSBC Holdings PLC 2,749.9 7 4.1 3 Credit Suisse 2,285.0 8 3.4 10 Merrill Lynch 1,645.0 9 2.5 6 Wachovia Corp 1,124.9 10 1.8 4 Industry Total 67,148.7 - 100.0 101 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 2,125.0 1 18.4 3 Deutsche Bank AG 1,750.0 2 15.1 3 Banc of America Securities LLC 1,554.5 3 13.4 3 Barclays Capital 1,409.5 4 12.2 2 ABN AMRO 1,250.0 5* 10.8 2 Lehman Brothers 1,250.0 5* 10.8 2 Royal Bank of Scotland Group 1,000.0 7 8.7 2 Merrill Lynch 925.0 8 8.0 2 Citigroup 300.0 9 2.6 1 Industry Total 11,564.0 - 100.0 10 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 68,450.3 1 11.0 166 Countrywide Securities Corp 66,904.1 2 10.8 109 Royal Bank of Scotland Group 63,037.2 3 10.2 114 Citigroup 40,622.2 4 6.6 91 Deutsche Bank AG 40,551.2 5 6.5 95 Bear Stearns & Co Inc 38,958.3 6 6.3 98 Credit Suisse 37,228.5 7 6.0 89 Merrill Lynch 37,120.4 8 6.0 55 Morgan Stanley 35,061.6 9 5.7 36 JP Morgan 32,214.8 10 5.2 72 Industry Total 619,892.6 - 100.0 1,133 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 14,994.0 1 22.6 15 Deutsche Bank AG 9,079.8 2 13.7 13 Credit Suisse 6,548.1 3 9.9 10 Banc of America Securities LLC 5,301.7 4 8.0 7 Wachovia Corp 4,871.9 5 7.3 4 Morgan Stanley 4,248.4 6 6.4 6 Goldman Sachs & Co 4,150.9 7 6.2 6 Lehman Brothers 3,873.7 8 5.8 3 Merrill Lynch 3,819.9 9 5.8 4 RBC Capital Markets 2,179.0 10 3.3 4 Industry Total 66,469.7 - 100.0 47 Source: Thomson Financial

auto ABS 10% credit card ABS 8% catatrophe bonds 0% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%

The U.S. ABS market spent a lot of time in 2006 absorbing major shocks, whether it was sweeping reforms for disclosure under Regulation AB, or changes to the Higher Education Act. Next year, according to several market players, the asset-backed securitization business will deliver a few punches of its own.

The U.S. CDO sector, fueled by residential mortgage and leveraged loan collateral, grew by leaps and bounds in 2006 to an estimated $480 billion - posting a gain of roughly 57% over last year and establishing itself as a staple within fixed income.

Calyon last week announced plans to grow its global CDO staff by one-third. The news came amid a shake-up that left the investment bank without several key members of its U.S. CDO team, including cash CDO head Alexander Rekeda.

Back in January, CapitalSource made its REIT status official, and thus made a lot of progress toward lowering its cost of funds and separating its real estate securitization activities from the rest of its securitization program. After pricing the CapitalSource Real Estate Loan Trust 2006-A just over a week ago, the separation is complete.

Tis the season to be ... shopping,' and not to be outdone by mere retailers this time of year, credit card ABS issuers rolled out the merchandise for their customers.

Life settlement ABS deals have been gaining traction in the securitization market in recent years, but some experts worry that recent proposals by the National Association of Insurance Commissioners (NAIC) will restrict the flow of underlying assets for premium financings, which fall under the same category, and cause that market to slip.

Mizuho Securities USA is positioning itself to become a familiar name in U.S. CDO-ville, with former Calyon cash CDO head Alexander Rekeda leading the Japanese bank's foray into CDO issuance out of New York. Rekeda was a driving force behind Calyon's growth as a U.S. CDO underwriter, according to Mizuho. Now as Mizuho's head of U.S. structured credit, Americas, Rekeda said the company's sizable balance sheet, its flexibility and its presence as a global distributor position the bank for growth within the sector.

The subprime RMBS market in 2006 arguably boiled down to a game of tug-of-war. On one side, hedge funds were eager to capitalize on a perceived gloom-and-doom scenario fraught with a busted housing bubble and empty-pocketed subprime borrowers. CDO managers, ever the real estate bulls, were on the other. And while these two sides are expected to continue their dance of supply and demand through yearend, a crop of subprime lenders - no longer able to carry the weight of investor buy-back requests - appeared to become the losers, at least for now.

Tom Finke is used to juggling multiple responsibilities. Not only at the office, with eight CLOs currently under management, but also at home keeping track of five kids. Though he is highly organized during the week, come Friday afternoon, Finke turns the reigns over to his wife, Heather, who arranges his soccer, basketball, baseball, birthday party and play date carpool agenda. And don't worry about his personal health. "With five kids there is no lack of physical activity," he said.

Pending implementation of Basel II in Europe and an unwavering confidence in the mortgage market marked substantial changes to two ABCP conduits in recent weeks.