CDOs/CLOs

The new ABX index rollout last Monday might have been the highlight of an otherwise quiet week, but it did not do much to elevate the amount of paper issued. Although $13 billion in deals were in the market last week, just $2.4 billion priced by Thursday.

If First Marblehead Corp., the Boston-based private student loan finance company, succeeds in buying Union Federal Savings Bank as it announced last week, there is a chance that it could scale back its securitization program.

Fitch Ratings last week introduced what it is calling a first-of-its-kind synthetic CDO risk modeling tool. The program - called RAP CD - is the result of a year's worth of work by a London-based team of analysts led by Group Managing Director Kimberly Slawek. It is said to be unique because it allows investors a better means at which to anticipate and manage portfolio volatility. So far, the product only works for CDOs that use corporate credit default swaps, although the ability to assess risk with asset-backed derivatives is on the way, according to the rating agency.

The International Swaps and Derivatives Association (ISDA), along with 14 major credit derivatives dealers and two other industry groups, have joined together to push the industry to continue efforts to improve credit derivatives processing.

In ASR's July 17, 2006 issue, the story "$30M Deal May Reshape Consumer Industries" incorrectly stated that CAK Universal Credit Corp. had structured the Bowie Bonds. Additionally, in the market story, Barclays Capital was incorrectly identified as the lead manager on the CNH Equipment Trust 2006-1 transaction. ABN AMRO was sole lead manager on the deal.

As National City Corp. contemplates offers for its subprime lending subsidiary First Franklin Loan Corp., many in the industry are wondering if one of those suitors could be a Wall Street investment bank. Spurred by visions of more profitable and streamlined home equity ABS businesses, many dealers have recently scooped up sometimes - and now more frequently - ailing subprime lenders.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Corp 6,106.4 1 17.1 11 Citigroup 6,027.5 2 16.9 12 JP Morgan 5,062.5 3 14.2 12 Barclays Capital 2,877.0 4 8.1 5 Deutsche Bank AG 2,690.2 5 7.5 8 Royal Bank of Scotland Group 2,169.3 6 6.1 5 Banc of America Securities LLC 1,925.9 7 5.4 3 Merrill Lynch & Co Inc 1,847.5 8 5.2 4 Credit Suisse 1,550.0 9 4.3 3 HSBC Holdings PLC 1,329.2 10 3.7 2 Industry Total 35,757.2 - 100.0 45 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 20,899.6 1 15.9 26 Citigroup 19,200.4 2 14.6 32 Deutsche Bank AG 14,791.1 3 11.2 19 Banc of America Securities LLC 9,548.4 4 7.3 22 UBS 8,224.1 5 6.3 38 Credit Suisse 8,129.2 6 6.2 14 Bear Stearns & Co Inc 8,063.9 7 6.1 16 Wachovia Corp 6,954.0 8 5.3 15 Royal Bank of Scotland Group 6,499.7 9 4.9 8 Morgan Stanley 5,877.5 10 4.5 26 Industry Total 131,566.4 - 100.0 264 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 10,235.0 1 25.8 13 Citigroup 8,982.0 2 22.6 13 JP Morgan 7,824.7 3 19.7 18 Deutsche Bank AG 2,924.9 4 7.4 8 Morgan Stanley 2,289.8 5 5.8 4 Barclays Capital 2,260.8 6 5.7 6 Credit Suisse 1,735.8 7 4.4 8 ABN AMRO 1,000.0 8 2.5 5 HSBC Holdings PLC 1,000.0 8 2.5 1 Merrill Lynch & Co Inc 500.0 10 1.3 2 Industry Total 39,703.0 - 100.0 58 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 Lehman Brothers 34,359.3 1 11.0 78 Royal Bank of Scotland Group 30,141.7 2 9.6 74 Countrywide Securities Corp 30,076.9 3 9.6 47 Morgan Stanley 27,201.9 4 8.7 27 Credit Suisse 24,874.9 5 7.9 66 Deutsche Bank AG 20,921.2 6 6.7 49 Bear Stearns & Co Inc 20,267.0 7 6.5 64 Merrill Lynch & Co Inc 19,940.2 8 6.4 32 Goldman Sachs & Co 17,232.8 9 5.5 32 Citigroup 15,769.7 10 5.0 46 Industry Total 313,421.9 - 100.0 615 Source: Thomson Financial