The asset-backed commercial paper market, which is still less than a third of the size it was before the financial crisis, may be set to shrink even further.

ABCP looms large among the victims of Moody's bank downgrades on June 21. Some of these banks support ABCP conduits, which, in turn, saw their ratings drop. And in ABCP land, that single grade difference can make or break a conduit. It's because money market funds - ABCP's biggest investors - can only buy 'P-1' paper.

The handful of future flow securitizations, particularly diversified payment rights (DPR) securitizations, originated in Russia over the years have all been done as secured loan structures, typically by an offshore SPV issuing notes backed by a secured loan made to the originator.

In the ASR Scorecards database's preliminary public lead manager rankings for 2Q12, JPMorgan Securities grabbed the top slot with $14.5 billion sold and an 18.9% market share. It climbed one spot from 2Q11 with a 16.0% market share and $5.2 billion sold. ASR's 2Q12 numbers are as of June 26, while its 2Q11 numbers are as of June 30, 2011.

>Officially launched during the Global ABS confrence in mid-June, the initiative of prime collateralized securities (PCS) could provide the stimulus to issuance for which European players have been waiting.

Manager Activity: Autos Book Runner Amount (US$ Mil) Rank Mkt.

2012 2011 2010 ABS (Public + 144A) 125,663.5 80,299.7 72,572.4 ABS (Public + 144A excluding CDOs) 115,294.8 75,870.7 71,322.1 ABS (Public Only) 72,451.6 42,525.1 32,105.4 ABS (144A Only) 53,211.9 37,774.5 40,466.9 Non-Agency MBS 27,204.5 35,183.0 10,878.9 Agency MBS 167,213.0 221,786.7 241,267.6 CMBS 16,916.1 20,433.2 10,566.6

Prudential Investment Management has priced a $423 million collateralized loan obligation.

Proposed bank capital rules are likely to both benefit and crimp the securitization market, potentially making highly rated transactions less attractive while having uneven effects on different asset classes.

MORTGAGE DATA 30-yr. Fixed 15-yr. Fixed 5-yr Treasury 1-yr Treasury- MBA Refi Home Purchase Rate Mortgage Rate Mortgage Indexed ARMs Indexed ARMs Index Index Week ending 08/02/12 3.55%

Investors appeared very much to play the range this final week of June - and a tight range it is. In the last half of June, the 30-year current coupon spread to 10-year notes has ranged between 106 and 109 basis points.

Lehman Brothers Holdings has completed the sale of its Aurora Bank unit, which concludes "a process that successfully avoided a potentially costly government resolution process of Lehman's two banks and that will ultimately yield significant recovery value for the Lehman creditors," a release from the bank said.