CDOs/CLOs

ABS issuance last week may have reflected a market preoccupied with the pending gathering in Barcelona as well as the American Securitization Forum's annual meeting, which took place mid-week in New York. With roughly $4.6 billion in new-issue transactions, upwards of $884 million of which was still marketing as of Thursday, primary ABS volume was at low ebb.

Legal & General America is the company behind the next "Triple X" securitization - one of several life insurance deals slated for this year.

The debate over appropriate risk weighting for ABCP liquidity lines may prove next to meaningless, should the cost to qualify for the better treatment outweigh the capital savings.

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