ABS

Last week, LatAm players assembled for what's become a requisite chatfest for anyone who's serious about this market. Euromoney and LatinFinance held their sixth annual Securitization in Latin America Summit in Miami, attracting more than 300 attendants, more than at any other time, and over triple the number of a few years ago.

The use of loans backed by commercial real estate (CRE) as collateral for asset-backed CDOs in Europe might not have completely revived a rather dull market, but it has nonetheless added a sparkle that market participants believe has been missing for a while in European asset-backeds.

CIFG is expanding its European presence with the hiring of Richard Lumley as director and Louise van der Boon as an associate for its European structured finance team. This is a response to the growing European asset-backed market, specifically in the consumer and mortgage-backed arena.

Russia-based MDM Bank priced a $350 million diversified payment rights (DPR) deal last week via Dresdner Kleinwort.

Pan-European deals are expected to be a major growth driver for CMBS volumes this year. However, critics argue that there is still much in the way of developing a true Pan-European market that looks across more than the handful of jurisdictions included in the deals seen to date.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan Securities 8,539.2 1 33.9 10 Wachovia Securities 8,416.4 2 33.4 8 Banc of America Securities 6,110.7 3 24.3 5 ABN AMRO 5,149.8 4 20.5 4 Barclays Capital 4,837.2 5 19.2 4 Deutsche Bank Securities 3,706.9 6 14.7 3 Credit Suisse 3,631.1 7 14.4 3 RBS Greenwich Capital 3,561.5 8 14.2 3 HSBC Securities 2,058.0 9 8.2 2 Citigroup Global Markets 2,055.1 10 8.2 3 Industry Total 25,162.7 - 100.0 27 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 26,501.4 1 20.1 30 Citigroup Global Markets 14,489.4 2 11.0 23 JPMorgan Securities 10,756.0 3 8.2 19 Wachovia Securities 9,636.8 4 7.3 17 Morgan Stanley 9,493.8 5 7.2 38 UBS 8,134.0 6 6.2 14 Barclays Capital 8,133.7 7 6.2 10 Banc of America Securities 7,166.7 8 5.4 8 Bear Stearns 6,767.9 9 5.1 13 Deutsche Bank Securities 6,546.6 10 5.0 15 Industry Total 131,865.7 - 100.0 233 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 JPMorgan Securities 10,405.0 1 26.8 17 Banc of America Securities 9,415.0 2 24.3 16 Citigroup Global Markets 7,500.0 3 19.3 9 Morgan Stanley 5,252.6 4 13.5 6 Credit Suisse Securities 2,842.6 5 7.3 4 Deutsche Bank Securities 2,575.0 6 6.6 8 Barclays Capital 2,350.0 7 6.1 4 ABN AMRO 2,242.6 8 5.8 2 RBS Greenwich Capital 2,075.0 9 5.3 6 Wachovia Securities 2,025.0 10 5.2 4 Industry Total 38,815.3 - 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 Countrywide Securities 20,686.4 1 14.0 20 RBS Greenwich Capital 18,881.3 2 12.8 24 Merrill Lynch 16,905.5 3 11.4 17 Morgan Stanley 14,377.0 4 9.7 15 Banc of America Securities 13,319.4 5 9.0 18 Lehman Brothers 12,783.9 6 8.6 15 Citigroup Global Markets 12,302.7 7 8.3 14 Bear Stearns 11,872.1 8 8.0 20 Deutsche Bank Securities 8,894.1 9 6.0 12 JPMorgan Securities 8,011.0 10 5.4 9 Industry Total 147,923.4 - 100.0 185 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 JPMorgan Securities 11,994.9 1 45.7 4 Banc of America Securities 11,558.4 2 44.0 4 Barclays Capital 8,836.0 3 33.7 2 Credit Suisse Securities 8,707.8 4 33.2 3 Deutsche Bank Securities 7,729.2 4 29.4 3 Morgan Stanley 6,270.3 6 23.9 2 Goldman Sachs 5,842.0 7 22.3 2 Wachovia Securities 4,806.0 8 18.3 1 Lehman Brothers 4,142.0 9 15.8 1 RBS Greenwich Capital 3,051.4 10 11.6 1 Industry Total 26,248.6 - 100.0 11 Source: Thomson Financial

auto ABS 8% credit card ABS 12% equipment ABS 1% real estate ABS 70% student loan ABS 9% trade receivables 0% utilities ABS 0%

Merrill Lynch's collateralized FX obligation (CFXO) structure is the subject of quite a bit of chatter.

A number of market players are counting on newly issued subprime mortgages to perform better than those originated six months or even three months ago, as marginal issuers are weeded out along with the type of borrowers that they sought.

The U.S. House of Representatives' approval of tighter restrictions on the preferred lender relationships between student loan providers and universities is not expected to adversely affect the securitization industry. However, market professionals are already awaiting further Congressional actions that could significantly impact the SLABS sector.

The gush of issuance from the subprime MBS sector has slowed significantly since the overall ABS market kicked off in January and it is beginning to drag down overall issuance numbers, too. No doubt, this is sobering news for the ABS industry.

U.S. rating agencies are coming under scrutiny in the public eye, as the severity of negative subprime mortgage performance - and its ultimate impact on structured finance CDOs - has renewed the attention paid to credit ratings. Some on Wall Street are privately chuckling at the triple-A ratings assigned to certain deals in recent months, and expect that it's only a matter of time before regulators turn more attention to the agencies.

Calyon New York plans to roll out its first credit arbitrage ABCP program this week, a conduit designed to support its growing asset- and mortgage-backed securities endeavors, specifically its non-multiseller ABS CDO business.

Moody's Investors Service predicted CMBS growth in 2007 in the EMEA market at its investor briefing held May 10 in London. Analysts at the ratings agency said the market is diversifying as more pan-European deals become intertwined with CMBS in Africa and the Middle East.

At press time, Russia's second-largest bank, VTB Group, was in the midst of an IPO that had apparently whipped throngs of locals into a financial mania. Ahead of last week's deadline for the sale - extended by popular demand - Russian retail investors had packed the bank's branches, lugging wads of rubles in heavy bags, according to news reports. The plan was to float about 22.5% of the bank's shares, which are currently controlled by the government.

Punch Taverns took a step back from the U.K. real estate investment trust frontline and joined other U.K. pubs that remain sidelined on the benefits of converting to REIT status.