CDOs/CLOs

Robert R. Malin, the co-head of Citigroup Global Market's U.S. asset-backed securities business died Friday, June 23. Malin, who passed while on vacation with his family in Rome, was 46.

At a time when the demand for timeshare ABS is on the rise and the sector appears relatively stable, Standard & Poor's has introduced its U.S. Timeshare Securitization Performance Index (TSPI), a report that will highlight the performance of all timeshare term issuance rated by S&P since 2001.

The Public Utility Commission of Texas on June 21 approved a $1.7 billion stranded cost securitization order for the AEP Texas Central Co., the last of such deals expected from the state.

In a conference call last Wednesday, The Bond Market Association (BMA) and the Securities Industry Association (SIA) announced that their boards of directors voted to merge the two organizations, creating the Securities Industry and Financial Markets Association (SIFMA). As for the American Securitization Forum (ASF) and the European Securitization Forum (ESF), both affiliates of the BMA, the merger simply means that these organizations will become affiliates of the new organization, which goes for all other affiliate divisions of the merged entities.

Home equity ABS issuers continued to bombard the market last week - nudging spreads and pushing volume expectations to an amount more than May's $71.8 billion as well as last year's issuance over the same time period. The impressive number, however, was more likely the result of issuers itching to complete deals before quarter-end than a strategic move to sweep under a July 1 deadline before Standard and Poor's applies steepened credit enhancement requirements for most deals.

Barclays Capital marked its dedication to the home equity ABS market late last month through its plans to acquire HomeEq Servicing Corp. from Wachovia Corp. for $469 million. The acquisition will help ensure that Barclays will have a relatively low servicing cost, aside from pools that are purchased with retained servicing rights, despite the consolidation that is happening within the loan servicing sector.

Princeton, New Jersey-based asset manager Princeton Advisory Group (PAG) has been gearing up to act as investment advisor to the synthetic CLO Canal Point I, which is closing at least $30.5 million of Class A notes this month. Citibank is the swap counterparty for the deal, which references primarily double and single-B rated high-yield senior-secured bank loans.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,027.5 1 17.8 12 Wachovia Corp 5,433.5 2 16.1 10 JP Morgan 5,062.5 3 15.0 12 Deutsche Bank AG 2,690.2 4 8.0 8 Royal Bank of Scotland Group 2,169.3 5 6.4 5 Banc of America Securities LLC 1,926.4 6 5.7 3 Merrill Lynch & Co Inc 1,847.5 7 5.5 4 Barclays Capital 1,603.4 8 4.7 3 Credit Suisse 1,550.0 9 4.6 3 HSBC Holdings PLC 1,329.2 10 3.9 2 Industry Total 33,811.2 - 100.0 43 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 17,350.9 1 14.9 23 Citigroup 16,176.5 2 13.9 29 Deutsche Bank AG 13,479.1 3 11.6 16 Banc of America Securities LLC 9,548.4 4 8.2 22 Bear Stearns & Co Inc 8,063.9 5 6.9 16 Credit Suisse 7,376.2 6 6.3 13 UBS 7,224.1 7 6.2 37 Royal Bank of Scotland Group 6,211.9 8 5.3 7 Morgan Stanley 5,216.0 9 4.5 21 Wachovia Corp 4,883.6 10 4.2 10 Industry Total 116,648.6 - 100.0 237 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 8,982.0 1 24.5 13 Banc of America Securities LLC 8,235.0 2 22.5 12 JP Morgan 7,824.7 3 21.4 18 Deutsche Bank AG 2,924.9 4 8.0 8 Morgan Stanley 1,929.0 5 5.3 3 Barclays Capital 1,900.0 6 5.2 5 Credit Suisse 1,375.0 7 3.8 7 ABN AMRO 1,000.0 8 2.7 5 HSBC Holdings PLC 1,000.0 8 2.7 1 Merrill Lynch & Co Inc 500.0 10 1.4 2 Industry Total 36,620.5 - 100.0 56 Source: Thomson Financial