CDOs

When it comes to the future of supply, spreads and credit, three leading ABS researchers were mostly in agreement at last week's American Securitization Forum-hosted conference. On issues ranging from relative value to research conflicts (see related story), panelists showed little variance of opinion.

Hartford Investment Management, the asset management division of The Hartford Financial Services Group, has hit the ground running with its new leveraged loan team. In April, the Hartford-based firm, which was already established in managing other fixed income products, signed on a team of five ex-CIGNA Investment Management loan professionals to spearhead the firm's first-ever stint into leveraged loan investment management. Now Hartford has some $750 million in assets under management through two collateralized loan obligations (CLOs), with even more structured loan vehicles on the horizon.

Year to date as of 06/09 Term (days) 06/03 06/04 06/07 06/08 06/09 1-week

2004 2003 2002 ABS (Public and 144A) 320,840 253,931 195,970 ABS (Public and 144A excluding CDOs) 293,315 236,378 173,389 ABS (Public Only) 253,829 209,646 156,142 ABS (144A Only) 67,012 44,284 39,828 Non-Agency MBS 120,598 144,452 87,419 Agency MBS 160,421 318,589 200,691 CMBS 32,131 29,451 19,238 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 5,974.8 1 20.9 7 JP Morgan 4,588.9 2 16.1 7 Deutsche Bank AG 4,467.4 3 15.7 8 Banc of America Securities LLC 3,105.2 4 10.9 6 Credit Suisse First Boston 2,214.3 5 7.8 6 Barclays Capital 1,449.3 6 5.1 5 Merrill Lynch & Co Inc 1,265.0 7 4.4 2 Goldman Sachs & Co 1,256.2 8 4.4 1 Lehman Brothers 870.7 9 3.1 2 Morgan Stanley 820.1 10 2.9 2 Industry Total 28,528.1 - 100.0 32 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 4,395.8 1 16.0 8 UBS 3,917.0 2 14.2 6 Wachovia Corp 3,282.6 3 11.9 12 Deutsche Bank AG 2,255.2 4 8.2 6 Credit Suisse First Boston 1,772.4 5 6.4 4 Bear Stearns & Co Inc 1,549.8 6 5.6 5 Citigroup 1,457.7 7 5.3 8 Banc of America Securities LLC 1,391.9 8 5.1 9 Royal Bank of Scotland Group 1,005.8 9 3.7 3 BNP Paribas SA 919.5 10 3.3 1 Industry Total 27,525.3 - 100.0 76 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 5,025.0 1 22.6 7 Citigroup 4,698.4 2 21.1 10 BANK ONE Corp 3,350.0 3 15.1 5 Barclays Capital 2,349.4 4 10.6 6 Lehman Brothers 2,324.4 5 10.4 6 Deutsche Bank AG 1,324.7 6 6.0 6 Banc of America Securities LLC 818.0 7 3.7 4 Merrill Lynch & Co Inc 752.2 8 3.4 2 Credit Suisse First Boston 718.0 9 3.2 3 Goldman Sachs & Co 425.0 10 1.9 2 Industry Total 22,260.1 - 100.0 38 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 1,708.0 1 40.8 3 Credit Suisse First Boston 1,058.0 2 25.3 3 HSBC Holdings PLC 708.0 3 16.9 2 Morgan Stanley 250.0 4* 6.0 1 ABN AMRO 250.0 4* 6.0 1 Banc of America Securities LLC 212.0 6 5.1 1 Industry Total 4,186.0 - 100.0 6 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 Corp 24,327.9 1 12.0 24 Lehman Brothers 21,884.6 2 10.8 49 Royal Bank of Scotland Group 21,140.1 3 10.4 41 Credit Suisse First Boston 16,735.6 4 8.3 32 Morgan Stanley 16,564.9 5 8.2 37 Bear Stearns & Co Inc 14,241.1 6 7.0 31 Deutsche Bank AG 13,806.0 7 6.8 40 Citigroup 13,294.8 8 6.6 39 Merrill Lynch & Co Inc 12,616.4 9 6.2 23 Banc of America Securities LLC 11,669.2 10 5.8 36 Industry Total 202,532.8 - 100.0 369 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 4,289.7 1 18.1 5 JP Morgan 3,207.9 2 13.5 6 Citigroup 2,986.6 3 12.6 4 Credit Suisse First Boston 2,745.6 4 11.6 4 Deutsche Bank AG 2,616.4 5 11.0 4 UBS 2,345.0 6 9.9 4 Morgan Stanley 2,275.2 7 9.6 5 Banc of America Securities LLC 1,781.4 8 7.5 2 Lehman Brothers 1,012.6 9 4.3 2 RBC Capital Markets 462.0 10 2.0 1 Industry Total 23,722.3 - 100.0 21 Source: Thomson Financial

Year to date as of Jun 9 Coupon Type Market Average Life Buckets Asset Class Volume Pub/144A Fixed Rate Floating Rate Public 144A 0.0 to 0.9 1.0 to 2.9 3.0 to 5.9 6.0 to 7.9 8.0 to 11.0 Aircraft Leases Auto Loans/Recs 28,528 24,910 3,618 24,571 3,957 10,503 13,265 4,761 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 3,116 966 2,150 3,116 1,839 746 45 485 Corporate Loans 3,289 194 3,095 3,289 1,987 830 471 Credit Card Rec 22,260 10,099 12,161 19,816 2,444 15,874 650 3,787 700 1,249 Debentures 1,296 1,296 1,296 1,296 Equip Loans Equip. Leases 3,978 3,728 250 3,728 250 1,847 1,091 528 223 289 Floorplan Recs 4,186 4,186 4,062 124 3,836 350 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,381 7 1,374 1,381 1,000 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 331 331 331 331 Non-Jumbo Mtg Ln 47,986 21,294 25,012 45,725 2,261 29,512 9,259 8,748 169 284 Oil Receivables Preferred Sec 2,382 1,053 1,330 2,382 2,038 158 186 Prv Issued Sec 484 159 325 484 484 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 154,546 87,335 60,313 133,252 21,294 100,297 37,332 15,055 1,303 488 Sm Business Loan 828 828 828 828 Struc Fin Credit 11,305 4,836 6,468 11,305 3,598 1,496 4,730 1,392 Student Loans 23,722 378 21,858 19,344 4,378 11,076 3,239 3,844 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 621 386 236 621 471 150 Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 48% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 14%

The improving economy combined with investor demand for yield is allowing some of the more headline-laden issuers, who had needed surety wraps to bring offerings over the past two years, the ability to sell senior/subordinated structures once again. Strong receptions for recent transactions from Providian Financial and AmeriCredit Corp. are evidence of the changed economics that has other issuers, including The Metris Companies, assessing the possibility of issuing unwrapped ABS, sources said.

Municipal bond buyers are getting their first taste of stranded cost ABS, as the state of Connecticut is in the market with the first stranded cost securitization marketed to municipal bond buyers. The bonds, the proceeds for which are being used to fill a projected budget deficit, achieved tax-exempt status - thanks to funding utilities payments toward state-sponsored conservation spending, sources said.

In the short week following Memorial Day, the ABS market eased into the summer months at a languid pace with $10.19 billion in new issuance as of press time Thursday night. Real estate ABS once again reigned supreme, accounting for about half of the total volume.

Fleetwood Enterprises, a longtime producer of manufactured housing and recreational vehicles, will be venturing into the consumer finance arena to help move its inventory, the company indicated in a filing with the Securities and Exchange Commission last week tied to an equity offering.

After completing its first asset purchase, alternative conduit vehicle Freedom Park is set to take the Street by storm. Administered by Promontory Asset Finance Co., Freedom Park - which was designed to complement the changing risk appetite of investment banks in the evolving accounting and regulatory landscape - has already used one-fourth of its capacity and is planning to expand.

Overseas investors are increasingly providing funding for senior settlement securitizations backed by pools originated in the U.S., where issuers have had a hard time lining up financing.

At just shy of $3.5 billion, volume in equipment ABS is notably behind where it was at this time last year. Recent events, including the DVI Inc. debacle and the acquisition of several programmatic issuers, could put downward pressure on issuance for the year.

Moody's Investors Service announced that it has modified its approach for rating synthetic collateralized debt obligations, moving to Monte Carlo simulation-based models from binomial approaches. In many circles, particularly Europe, the change is a significant one.