ABS

A number of employees, including two partners, have recently left residential mortgage financing and asset management firm The Winter Group. Sources close to the company adamantly deny the departures are related to any financial trouble whatsoever, although rumors are circulating that the firm is clamoring to keep up on high salary and office space expenses amid losses stemming primarily from its subprime second mortgage portfolio.

NovaStar Financial is planning to issue its first CDO next year, according to company executives. The move appears to shift the Kansas City-based subprime lender into a growing trend of subprime lenders and Wall Street investment banks seeking growth and cost efficiency through vertical integration.

It seemed like back to school time last week in the securitization sector, as no less than three student loan ABS issuers came to market with deals totaling about $3.5 billion. That accounted for almost one third of the total $15 billion expected from issuers last week.

Last week, Investment Dealers' Digest, a sister publication to ASR, published its

With many portfolio managers primarily focused on one type of capital, CDO manager Friedberg Milstein maintains that not every debt package calls for the same type of investment.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 10,940.0 1 14.4 18 JP Morgan 10,765.7 2 14.2 22 Wachovia Corp 10,448.2 3 13.7 18 Barclays Capital 8,026.2 4 10.6 13 Deutsche Bank AG 6,768.3 5 8.9 15 Banc of America Securities LLC 5,021.6 6 6.6 9 Credit Suisse 4,066.8 7 5.3 8 Royal Bank of Scotland Group 3,644.0 8 4.8 8 Merrill Lynch & Co Inc 3,290.4 9 4.3 6 HSBC Holdings PLC 3,227.9 10 4.2 4 Industry Total 76,024.1 - 100.0 81 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 41,073.0 1 14.4 58 Citigroup 32,460.9 2 11.4 57 Deutsche Bank AG 26,581.0 3 9.3 54 UBS 20,852.1 4 7.3 58 Credit Suisse 20,453.3 5 7.2 30 Bear Stearns & Co Inc 17,688.6 6 6.2 36 Wachovia Corp 17,345.4 7 6.1 42 Banc of America Securities LLC 16,965.1 8 6.0 36 Morgan Stanley 16,376.1 9 5.7 63 JP Morgan 14,909.1 10 5.2 36 Industry Total 285,045.3 - 100.0 566 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 18,719.8 1 30.4 27 Citigroup 10,982.0 2 17.8 16 JP Morgan 9,874.7 3 16.0 22 Morgan Stanley 4,055.3 4 6.6 5 Deutsche Bank AG 3,924.9 5 6.4 12 Barclays Capital 3,373.8 6 5.5 8 HSBC Holdings PLC 2,749.9 7 4.5 3 Credit Suisse 2,285.0 8 3.7 10 Merrill Lynch & Co Inc 1,375.0 9 2.2 5 Wachovia Corp 1,124.9 10 1.8 4 Industry Total 61,622.9 - 100.0 93 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 & Co Inc 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 61,568.9 1 11.3 136 Royal Bank of Scotland Group 58,496.5 2 10.7 108 Countrywide Securities Corp 49,152.7 3 9.0 83 Citigroup 40,708.3 4 7.5 89 Deutsche Bank AG 39,018.8 5 7.2 90 Credit Suisse 36,107.6 6 6.6 86 Morgan Stanley 31,007.1 7 5.7 33 Merrill Lynch & Co Inc 30,201.8 8 5.5 50 JP Morgan 29,557.5 9 5.4 67 Bear Stearns & Co Inc 28,447.2 10 5.2 86 Industry Total 544,938.9 - 100.0 1,005 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 11,358.1 1 19.1 13 Deutsche Bank AG 8,562.5 2 14.4 12 Credit Suisse 6,548.1 3 11.0 10 Wachovia Corp 4,871.9 4 8.2 4 Banc of America Securities LLC 4,720.6 5 8.0 6 Morgan Stanley 4,248.4 6 7.2 6 Lehman Brothers 3,873.7 7 6.5 3 Merrill Lynch & Co Inc 3,819.9 8 6.4 4 Goldman Sachs & Co 3,809.3 9 6.4 5 RBC Capital Markets 2,179.0 10 3.7 4 Industry Total 59,340.9 - 100.0 42 Source: Thomson Financial

auto ABS 11% 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%

Florham Park, N.J.-based GSC Group, an alternative asset investment manager, recruited Robert P. Seery as senior vice president in its structured finance group, to spearhead the development of funding vehicles for the company's structured finance business. Previously, Seery worked for International Asset Transactions, a privately held capital markets specialist, where he was COO since 2003. He also directed the planning and rollout of the firm's asset management strategy, which was partially funded with asset-backed commercial paper. Before joining International Asset Transactions, Seery, 52, was a vice president and controller for Commerzbank Capital Markets Corp.

Judging by the types of loans it is no longer originating, subprime lender Fremont Investment & Loan may have a house recipe sure to provide a healthy portion of early payment defaults: begin with a stated income 80/20 combo loan, mix in a purchase money home buyer with a FICO score below 640 and then bake in a low home price appreciation environment. Cooking times vary by geographic area.

You knew it was coming. Several CPDOs that reference the ABX.HE indices are in the oven, according to industry sources. Just a short time after this type of deal's debut, the CPDO structure - a new spin on CPPI - is garnering a lot of attention.

Investors synthetically referencing the recently bankrupt U.S. auto parts manufacturer Dura Automotive Systems, for the first time this week, will use the International Swaps and Derivatives Association's (ISDA) revamped auction protocol. Tuesday will bring the first auction protocol that opens up the cash settlement option to a much wider range of derivative instruments - including single-name CDS, first-to-default baskets and constant maturity swaps - along with the traded indices. Cash settlement will take place on Dec.12.

Structured Finance Advisors, one of the industry's earliest CDO pioneers, is soliciting equity buyers for a $1 billion high-grade ABS CDO that it is putting together.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 10,940.0 1 15.0 18 JP Morgan 10,765.7 2 14.8 22 Wachovia Corp 9,764.8 3 13.4 16 Barclays Capital 7,412.3 4 10.2 11 Deutsche Bank AG 6,768.3 5 9.3 15 Banc of America Securities LLC 5,021.6 6 6.9 9 Credit Suisse 4,066.8 7 5.6 8 Royal Bank of Scotland Group 3,644.0 8 5.0 8 Merrill Lynch & Co Inc 3,290.4 9 4.5 6 HSBC Holdings PLC 3,227.9 10 4.4 4 Industry Total 72,905.3 - 100.0 78 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 37,955.7 1 13.9 54 Citigroup 30,106.9 2 11.1 53 Deutsche Bank AG 25,681.0 3 9.4 52 UBS 20,852.1 4 7.7 58 Credit Suisse 18,707.8 5 6.9 28 Wachovia Corp 17,345.4 6 6.4 42 Banc of America Securities LLC 16,965.1 7 6.2 36 Bear Stearns & Co Inc 16,512.0 8 6.1 33 Morgan Stanley 15,399.0 9 5.7 60 JP Morgan 12,904.1 10 4.7 34 Industry Total 272,309.8 - 100.0 546 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 18,719.8 1 30.7 27 Citigroup 10,982.0 2 18.0 16 JP Morgan 9,874.7 3 16.2 22 Morgan Stanley 4,055.3 4 6.7 5 Deutsche Bank AG 3,924.9 5 6.4 12 Barclays Capital 3,373.8 6 5.5 8 HSBC Holdings PLC 2,749.9 7 4.5 3 Credit Suisse 2,285.0 8 3.8 10 Merrill Lynch & Co Inc 1,375.0 9 2.3 5 Goldman Sachs & Co 1,100.0 10 1.8 4 Industry Total 60,997.9 - 100.0 91 Source: Thomson Financial