CDOs

by: Rob Kessel, managing partner, Compass Analytics, Thomas Warrack, managing director, and Brian Vonderhorst, director, at Standard & Poor's RMBS Ratings

Hit by rising interest rates, slowing home price appreciation and tightening underwriting standards, U.S. RMBS volume fell 5% to $248 billion in 1Q07 from $261 billion a year earlier, according to data for both agency and non-agency issuance maintained by 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 Securities Inc. 5,939.19 1 23% 7 Wachovia Securities 3,646.46 2 14% 4 Banc of America Securities LLC 3,350.65 3 13% 3 Barclays Capital 2,960.28 4 11% 3 ABN AMRO Incorporated 2,322.9 5 9% 2 Industry 14,244.27 16 totals Source: ASR Scorecard database

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 6,015.00 1 20% 11 JP Morgan Securities Inc. 5,670.00 2 19% 8 Citigroup Global Markets, Inc. 3,700.00 3 12% 5 Morgan Stanley & Co. Incorporated 3,068.42 4 10% 3 Credit Suisse Securities (USA) LLC 2,842.64 5 9% 4 Industry 23,446.06 34 totals Source: ASR Scorecard database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues LaSalle Financial Services Inc 9,070.46 1 24% 2 Deutsche Bank Securities, Inc. 6,652.82 2 17% 1 Citigroup Global Markets, Inc. 6,652.82 3 17% 1 Morgan Stanley & Co. Incorporated 3,972.16 4 10% 2 Lehman Brothers Inc. 3,746.63 5 10% 1 Industry 17,516.82 5 totals Source: ASR Scorecard database

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 15,736.90 1 14% 16 RBS Greenwich Capital 10,673.73 2 9% 12 Merrill Lynch, Pierce, Fenner & Smith Incorporated 10,304.96 3 9% 9 Citigroup Global Markets, Inc. 9,906.95 4 9% 10 Morgan Stanley & Co. Incorporated 9,128.24 5 8% 10 Industry 95,912.38 115 totals Source: ASR Scorecard database

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 10,488.97 1 15% 4 JP Morgan Securities Inc. 9,257.38 2 13% 3 Barclays Capital 8,536.00 3 12% 2 Credit Suisse Securities (USA) LLC 6,270.31 4 9% 2 Morgan Stanley & Co. Incorporated 6,270.31 5 9% 2 Industry 23,505.12 9 totals Source: ASR Scorecard database

auto ABS 8% credit card ABS 10% enterprise finance 0% equipment ABS 1% real estate ABS 70% student loan ABS 12% trade receivables 0%

If additional states - and potentially the federal government - follow in the footsteps of Ohio, financially stapped U.S. homeowners may have more options to refinance their mortgages. The state plans to issue municipal bonds in order to fund a mortgage refinance program for subprime borrowers, market participants said last week.

Wells Fargo Bank provided inaccurate monthly reports to investors regarding the level of delinquencies in loan pools it oversaw last year, according to a disclosure made by the bank inside a recent pooling and servicing agreement. Wells's disclosure will likely be the first in a number of such admissions as the Regulation AB servicer assessment and attestation reports become due, Fitch Ratings analysts said.

Lately Domino's Pizza is looking a lot like an overachiever. The quick-serve restaurant and delivery chain is doing more than $5 billion in global retail sales, which should go a long way to support its ambitions for rapid growth from its locations in more than 55 countries. The key component of its recapitalization plans is also chipping away at issuance records in the intellectual property securitization sector.

Dust and debris are beginning to clear from recent volatility in the subprime MBS market, as recent pricings attest. The mood seems better, and although participants do not think the market has reached bottom, they say conditions have stopped deteriorating, for the moment.

While the notion of Wall Street as the big, bad subprime mortgage vacuum gained steam in Congressional hearings and the popular press last week, some CDO managers say that they, along with other home equity loan buyers, are just as much a victim of irresponsible subprime lending as the little old lady pursued by the big bad wolf, er, mortgage broker.

Deutsche Bank is bringing to the market the first series of notes to be issued from asset manager State Street Global Advisors - Primoris CDO 2007-1, a long/short structure. Primoris obtained ratings for both seven-year and 10-year transactions to be issued by the entity, which consists of a long portfolio referencing primarily investment grade corporates and a short portfolio that references senior secured bank loans.

Running a commercial paper conduit is nothing new for the U.S. Central Federal Credit Union. This perhaps explains why the company debuted on the asset-backed commercial paper market with a flexible credit arbitrage vehicle that, unlike many similar vehicles, can issue extendible notes.

Calyon Americas, the corporate and investment banking arm of French bank Credit Agricole Group, announced the hire of Gary Herzog as head of its loan syndications group in the Americas. Herzog will report to Jerome Le Jamtel, managing director and head of the credit and debt markets division of Calyon Americas. He will also report to Carol Shymanski, managing director and global head of loan syndication.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 3,281.4 1 24.5 7 Wachovia Corp 2,198.8 2 16.4 3 HSBC Holdings PLC 1,458.7 3 10.9 2 Barclays Capital 1,348.8 4 10.1 2 Banc of America Securities LLC 1,347.1 5 10.1 3 ABN AMRO 1,117.0 6 8.4 2 Royal Bank of Scotland Group 1,085.3 7 8.1 2 Credit Suisse 550.0 8 4.1 1 Morgan Stanley 492.3 9 3.7 1 UBS 218.1 10 1.6 1 Industry Total 13,373.3 - 100.0 16 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 19,245.7 1 22.7 22 Citigroup 12,907.9 2 15.2 19 UBS 6,843.0 3 8.1 10 Barclays Capital 6,103.0 4 7.2 4 Deutsche Bank AG 5,707.4 5 6.7 10 JP Morgan 5,316.1 6 6.3 11 Banc of America Securities LLC 4,926.4 7 5.8 5 Morgan Stanley 4,847.4 8 5.7 18 Credit Suisse 3,605.5 9 4.3 4 Bear Stearns & Co Inc 3,497.6 10 4.1 7 Industry Total 84,795.7 - 100.0 132 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 5,769.9 1 23.6 7 Banc of America Securities LLC 5,302.4 2 21.7 9 Citigroup 3,525.0 3 14.4 4 Credit Suisse 1,968.6 4 8.0 3 Morgan Stanley 1,929.0 5 7.9 2 ABN AMRO 1,881.1 6 7.7 2 Deutsche Bank AG 1,425.0 7 5.8 8 Wachovia Corp 962.5 8 3.9 3 Barclays Capital 625.0 9 2.6 1 HSBC Holdings PLC 500.0 10* 2.0 1 Lehman Brothers 500.0 10* 2.0 4 Industry Total 24,476.0 - 100.0 35 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 275.0 1* 50.0 1 Citigroup 275.0 1* 50.0 1 Industry Total 550.0 - 100.0 1 Source: Thomson Financial