Securitization

As if the structured finance CDO market has not been dragged through the mud already, market-value CDOs appear to be the latest investment vehicle wounded by the lack of liquidity in the mortgage sector.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 9,248.1 1 16.821 14 JPMorgan Securities 6,893.32 2 12.538 15 Banc of America Securities 5,461.4 3 9.934 10 Citigroup Global Markets 5,070.9 4 9.223 10 Credit Suisse 3,653.0 5 6.644 7 Deutsche Bank Securities 2,911.1 6 5.295 7 Barclays Capital 2,834.3 7 5.155 6 ABN AMRO 2,783.0 8 5.062 5 Merrill Lynch 2,726.4 9 4.959 5 HSBC Securities 2,713.2 10 4.935 4 Industry Total 54,978.6 - 100.0 58 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 Citigroup Global Markets 35,900.4 1 15.1 50 Merrill Lynch 32,509.3 2 13.6 40 Wachovia Securities 19,435.3 3 8.2 34 JPMorgan Securities 15,666.9 4 6.6 27 Banc of America Securities 14,629.0 5 6.1 19 Deutsche Bank Securities 14,471.0 6 6.1 31 Lehman Brothers 14,343.1 7 6.0 29 Morgan Stanley 13,926.2 8 5.8 70 Bear Stearns 11,721.3 9 4.9 23 UBS 11,547.1 10 4.8 27 Industry Total 238,421.7 - 100.0 434 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 JPMorgan Securities 15,980.0 1 25.691 27 Citigroup Global Markets 14,165.0 2 22.773 15 Banc of America Securities 11,573.3 3 18.607 21 Morgan Stanley 5,052.6 4 8.123 8 Credit Suisse 2,721.3 5 4.375 8 Deutsche Bank Securities 2,195.8 6 3.53 10 Barclays Capital 2,175.0 7 3.497 5 RBS Greenwich Capital 2,128.3 8 3.422 10 HSBC Securities 1,750.0 9 2.813 3 Wachovia Securities 1,337.5 10 2.15 4 Industry Total 62,200.3 - 100.0 89 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 24,396.8 1 12.333 26 Merrill Lynch 19,769.4 2 9.993 22 RBS Greenwich Capital 16,382.0 3 8.281 30 Morgan Stanley 16,051.0 4 8.114 18 Lehman Brothers 15,594.4 5 7.883 25 Citigroup Global Markets 14,604.4 6 7.383 19 Bear Stearns 13,663.4 7 6.907 26 JPMorgan Securities 12,445.1 8 6.291 17 Barclays Capital 10,877.2 9 5.498 13 Banc of America Securities 8,563.4 10 4.329 23 Industry Total 198,177.9 - 100.0 254 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 8,428.2 1 22.335 8 JPMorgan Securities 5,973.5 2 15.83 6 Deutsche Bank Securities 3,551.49 3 9.412 5 Credit Suisse 3,423.1 4 9.071 4 Barclays Capital 2,544.83 5 6.744 2 RBC Capital Markets 2,531.0 6 6.707 3 Goldman Sachs 2,326.17 7 6.164 3 Citigroup Global Markets 2,107.4 8 5.585 3 Morgan Stanley 2,090.1 9 5.539 2 Lehman Brothers 1,380.67 10 3.659 1 Industry Total 37,735.2 - 100.0 20 Source: ASR Scorecard database

aircraft ABS 1% auto ABS 11% credit card ABS 12% equipment ABS 1% real estate ABS 67% student loan ABS 8% trade receivables 0% utilities ABS 0%

A lot of talk centered around the securitization market this week, from former Federal Reserve chairman Alan Greenspan's gloomy remarks about the sector, to a midweek summit that attracted more than 900 industry delegates. What spoke volumes, however, was the uptick in securitization activity from various asset classes, including a small mortgage transaction from Yale.

The Hyundai Auto Receivables Trust finally came to market last week, with key changes that boosted its ratings and lowered initial and target credit enhancement for its class A notes.

With an MBS market painfully parched from a lack of liquidity, and expected to stay that way well into next year, several large, well-known asset management firms and smaller alternative investment shops are planning to launch distressed-debt funds.

Leveraged loan market players made the optimistic prediction last week that CLOs would return to the loan market stage by January or February of 2008. The topic was one of many discussed by market participants at the 13th annual Reuters Loan Pricing Corporation Gold Sheets conference.

Market participants welcomed the ninth series of the North American Investment Grade CDX index (CDX.IG.NA series 9) last Thursday with high expectations, specifically with the addition of better quality and retail-heavy names.

With a growing number of both mortgage originators and MBS issuers crumbling amid subprime market distress, loan servicers are seeing very little new volume come their way.

Home value inflation by appraisers as a result of employment pressures from mortgage originators has long been a problematic issue for the mortgage market.

Even as the global financial markets try to stem the bleeding and lick their wounds, some in the securitization industry are predicting not only that the subprime mortgage industry will recover, but also that it will actually grow.

If one thought that a conference addressing the prospects of the subprime mortgage market would be mostly doom and gloom, one would be right.

The securitization market's mood remains palpably apprehensive, but last week several issuers resigned themselves to the reality of having to accept wider spreads. So, they completed a handful of student loan, credit card, equipment and subprime auto loan deals. Granted, issuance failed to amount to more than $4 billion, among those deals, but several market participants withstood market conditions to get things done.

You might think hosting a conference in a building that's a throwback to the quiet elegance of Belle Epoque New York would give beleaguered finance types respite from the hostile markets outside.

The breadth of downgrades - and the resulting liquidations and margin calls - upended the U.S. subprime RMBS market in July. But the downgrades are far from over, market participants say, and many expect a repeat of the July experience.

Don't let the plainness fool you. Although MRU Holdings, known as MyRichUncle, made its securitization debut with a deal that had no innovations or special features outside of up-to-the-minute SLABS techniques, the student loan firm is making a huge splash in its core industry.