CDOs

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.

ECC Capital Corp. said last week that one of its units is suing a subsidiary of Bear Stearns, seeking more than $20 million for an alleged breach of contract over the sale of a residential mortgage loan portfolio.

While some CDO issuers have packed up and left the home equity loan space amid worsening credit performance, others say they plan to stay put. Perhaps the difference between the two camps depends on where, exactly, in the HEL space they've been camping out in recent months.

Specialty auto finance company Santander Consumer USA's buyout by Banco Santander Centro Hispano last December complemented its ongoing efforts to expand product offerings to dealers and compete more effectively with other lenders. The latter takes a lot of money.

New York City-based Columbus Nova formed a Special Opportunities Fund to invest in middle-market companies through all levels of their capital structures, and the firm recruited a team from Trimaran Capital Partners to manage the effort.

get an FHA loan, Barclays says

Sometimes, originators just want to handle their issues on their own terms - and from their own shelves. Such independent thinking, argue some, is what characterized a lot of securitization transactions in the first quarter and changed the lineup of top-ranked lead underwriters.

In a quarter punctuated by sharply deteriorating subprime mortgage collateral, some CDO underwriters, such as Merrill Lynch, posted substantial gains in year-over-year volume. Meanwhile, others took a noticeable turn in the opposite direction, according to Thomson Financial 1Q07 manager activity rankings.

After several weeks of reaping retribution for its scorching and somewhat precarious rise, subprime mortgage performance continues to inspire worries of spillover effects into other ABS sectors. While it is too early to definitely say whether subprime mortgage performance will affect the auto ABS (see story p.7) sector, market participants say, they point to a set of perfected practices that so far make credit card ABS deals immune to the recent volatility in mortgages.

The addition of subprime mortgage behemoth New Century Financial Corp. to the growing queue of bankrupt subprime lenders has a number of home equity ABS investors wondering where, exactly, issuance is going to come from this year.

The last thing ABS CDO managers want is to be compared to the TABX. For them, it is like being on par with a disowned relative. And one can only imagine how recent speculation that the price of new issue ABS CDO notes might fall in line with those of the TABX has further strained this relationship.

GSC Group recently announced the close of its 13th CDO fund since April 2000. The GSC CDO VIII, LTD is a $350 million collateralized loan obligation that will invest 30% in middle-market loans and 70% in broadly syndicated leveraged loans. The strategy stems from tight pricing in the market, particularly on broadly syndicated deals. The low spreads have made it hard to continue investing in some of these transactions with smaller buckets while still securing a satisfactory yield.

Prime auto ABS deals turned in weaker performance numbers in February, but analysts emphasized that the occurrence was more a result of seasonal factors than fundamental weakness in the auto sector. Meanwhile, performance in the subprime auto sector actually improved in the first quarter, the result of another technical fluke.