CDOs

Ohio looks to be next on the list of state governments securitizing their share of the $200 billion national tobacco settlement. The Buckeye State is considering a deal that, if approved, could provide a massive payday to underwriters and a large chunk of new tobacco-related ABS.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JPMorgan Securities 8,539.2 1 31.5 10 Wachovia Securities 8,416.4 2 31.0 8 Banc of America Securities 6,760.7 3 24.9 6 ABN AMRO 5,149.8 4 19.0 4 Barclays Capital 4,837.2 5 17.8 4 RBS Greenwich Capital 4,561.5 6 16.8 4 Deutsche Bank Securities 3,706.9 7 13.7 3 Credit Suisse Securities 3,631.1 8 13.4 3 Morgan Stanley 2,870.3 9 10.6 3 HSBC Securities 2,058.0 10 7.6 2 Industry Total 27,115.7 - 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 Merrill Lynch 27,602.0 1 19.9 31 Citigroup Global Markets 17,752.5 2 12.8 25 JPMorgan Securities 10,756.0 3 7.8 19 Wachovia Securities 9,636.8 4 7.0 17 Morgan Stanley 9,493.8 5 6.8 38 UBS 8,134.0 6 5.9 14 Barclays Capital 8,133.7 7 5.9 10 Deutsche Bank Securities 7,546.6 8 5.4 17 Banc of America Securities 7,166.7 9 5.2 8 Bear Stearns 6,767.9 10 4.9 13 Industry Total 138,704.3 - 100.0 239 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 JPMorgan Securities 10,405.0 1 26.8 17 Banc of America Securities 9,415.0 2 24.3 16 Citigroup Global Markets 7,500.0 3 19.3 9 Morgan Stanley 5,252.6 4 13.5 6 Credit Suisse 2,842.6 5 7.3 4 Deutsche Bank Securities 2,575.0 6 6.6 8 Barclays Capital 2,350.0 7 6.1 4 ABN AMRO 2,242.6 8 5.8 2 RBS Greenwich Capital 2,075.0 9 5.3 6 Wachovia Securities 2,025.0 10 5.2 4 Industry Total 38,815.3 - 100.0 58 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 21,586.4 1 13.8 20 RBS Greenwich Capital 21,197.3 2 13.5 24 Merrill Lynch 18,763.7 3 12.0 17 Morgan Stanley 15,557.6 4 9.9 15 Lehman Brothers 14,573.7 5 9.3 18 Banc of America Securities 14,389.0 6 9.2 15 Bear Stearns 13,052.8 7 8.3 14 Citigroup Global Markets 13,026.8 8 8.3 20 Deutsche Bank Securities 10,264.8 9 6.5 12 JPMorgan Securities 8,011.0 10 5.1 9 Industry Total 156,888.8 - 100.0 194 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 JPMorgan Securities 11,994.9 1 45.7 4 Banc of America Securities 11,558.4 2 44.0 4 Barclays Capital 8,836.0 3 33.7 2 Credit Suisse 8,707.8 4 33.2 3 Deutsche Bank Securities 7,729.2 4 29.4 3 Morgan Stanley 6,270.3 6 23.9 2 Goldman Sachs 5,842.0 7 22.3 2 Wachovia Securities 4,806.0 8 18.3 1 Lehman Brothers 4,142.0 9 15.8 1 RBS Greenwich Capital 3,051.4 10 11.6 1 Industry Total 26,248.6 - 100.0 11 Source: Thomson Financial

auto ABS 8% credit card ABS 12% equipment ABS 1% real estate ABS 70% student loan ABS 9% trade receivables 0% utilities ABS 0%

Investors poured into the LCDX index during its first days of trading last week, as hedge funds jumped at the opportunity to short the leveraged loan market and dealers looked to hedge exposure. Trading volume in the LCDX index reached $11.1 billion on Tuesday, when it was unveiled, according to Markit Group.

Three months after six of its structured finance executives resigned to launch a CDO asset management company and hedge fund, BMO Capital Markets has replenished the team with eight new hires.

The ABS market was a lot kinder toward the subprime MBS sector last week. Perhaps it sprang from indications that, for the first time, agency buy-side participants bought subprime MBS bonds with ratings expected to be below triple-A.

For a long while during the recent spate of subprime MBS volatility, the most ardent proponents of credit card ABS told the industry that there was no discernible risk of contagion from troubled mortgage-backed securities products.

New York Attorney General Andrew Cuomo's investigation into mortgage broker influence on property values continued to grab headlines last week when he issued a subpoena to First American Corp.'s real estate appraisal unit eAppraiseIT. The attorney general ordered an inquiry about appraisals the unit performed in the state.

As a number of the nation's largest subprime mortgage companies parcel off servicing rights, investors are becoming increasingly concerned over the ability for the lenders to provide seamless servicing transitions.

Shares of troubled bank Fremont General Corp. rose more than 40% last week amid a flurry of news that took a number of market participants by surprise and roiled those with a short interest in the business. Fremont announced iStar Financial planned to buy its commercial real estate unit for $1.9 billion;

As collateral warehouse lines tightened and deals unwound amid subprime performance fears, the mezzanine ABS CDO sector saw its slowest monthly volume in April since November 2005. The volume dropped 75% to $3.5 billion from $13.5 billion in March, according to Lehman Brothers.

As many HEL investors might suspect, a borrower's loan-to-value ratio is perhaps the leading factor in a given loan's loss severity. Studies show that borrowers are far less likely to abandon their homes - instead attempting to refinance or find a way to pay their monthly mortgage payment - when they have built substantial equity in them.

The pricing of Nelnet Inc.'s $2.4 billion transaction went exceptionally well last week, say market players. This is understandable. Secured wholly by FFELP loans and carrying triple-A to single-A ratings from the three major credit rating agencies, the deal had a lot in its favor.

Whether it be interest-only, high LTV, high DTI or a 50-year-mortgage, for years subprime mortgage investors have weeded out one type of loan or another fearing borrower default. But the one wild card that continues to rear its ugly head - fraud - is not always found in the expected places.

NEW YORK - Borrowers would benefit from loan modifications that are implemented properly. While this would also maximize deal cashflow and thus benefiting investors, industry experts roundly rejected the notion of loan modification imposed by Congress.

For those familiar with the sector, the name structured investment vehicles (SIV) can suggest a fairly generalist, diverse investment strategy, and for much of the industry's history, that was true. These days, however, newer SIV managers are targeting structured finance assets to bolster their vehicles.