ABS

Tales of challenging pricing for home equity loan deals continued to circulate last week, as yet another subprime lender filed for bankruptcy and market participants were left questioning which securities were safe.

Given the building momentum behind the credit derivative counterparty and structured investment vehicle craze, one would think it were only a matter of time until the two structures merged, right? According to several sources close to the matter, at least five of the sector's participants are looking into creating companies, or branching out from current operations, to incorporate functions of both CDPCs and SIVs.

Student loan lender SLM Corp. is coming to market with a $2.2 billion transaction that, in a first for the lender, is secured by consolidated private student loans and direct-to-consumer (DTC) loans.

Canada is getting closer to the total elimination of the withholding tax on payments of interest to most non-residents of Canada. The Canadian federal government in its annual budget speech last Monday said that its on-going negotiations to amend the Canada/U.S. tax treaty are almost complete.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 3,281.4 1 29.3 7 HSBC Holdings PLC 1,458.7 2 13.0 2 Barclays Capital 1,348.8 3 12.1 2 Banc of America Securities LLC 1,347.1 4 12.0 3 ABN AMRO 1,117.0 5 10.0 2 Wachovia Corp 998.8 6 8.9 2 Royal Bank of Scotland Group 599.3 7 5.4 1 Credit Suisse 550.0 8 4.9 1 Morgan Stanley 492.3 9 4.4 1 Industry Total 11,193.2 - 100.0 12 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 15,571.9 1 20.9 17 Citigroup 14,010.8 2 18.8 16 UBS 6,873.0 3 9.2 10 Barclays Capital 6,103.0 4 8.2 4 Banc of America Securities LLC 4,886.4 5 6.6 4 Morgan Stanley 4,807.4 6 6.4 16 Deutsche Bank AG 4,567.3 7 6.1 7 JP Morgan 4,291.6 8 5.8 9 Bear Stearns & Co Inc 3,497.6 9 4.7 7 Wachovia Corp 2,872.9 10 3.9 6 Industry Total 74,641.8 - 100.0 110 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 5,769.9 1 28.7 7 Banc of America Securities LLC 5,127.4 2 25.5 8 Citigroup 3,125.0 3 15.5 3 Morgan Stanley 1,929.0 4 9.6 2 Deutsche Bank AG 1,425.0 5 7.1 8 Wachovia Corp 962.5 6 4.8 3 Barclays Capital 625.0 7 3.1 1 HSBC Holdings PLC 500.0 8* 2.5 1 Lehman Brothers 500.0 8* 2.5 4 Royal Bank of Scotland Group 87.5 10* 0.4 1 Credit Suisse 87.5 10* 0.4 1 Industry Total 20,138.8 - 100.0 31 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 275.0 1* 50.0 1 Citigroup 275.0 1* 50.0 1 Industry Total 550.0 - 100.0 1 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 13,847.2 1 15.0 21 Merrill Lynch 8,188.2 2 8.9 8 Countrywide Securities Corp 8,181.0 3 8.9 6 Deutsche Bank AG 7,349.9 4 8.0 14 Royal Bank of Scotland Group 6,923.5 5 7.5 11 Barclays Capital 6,061.1 6 6.6 12 Lehman Brothers 5,805.0 7 6.3 13 Morgan Stanley 5,741.6 8 6.2 5 Credit Suisse 5,106.2 9 5.5 8 JP Morgan 4,781.1 10 5.2 6 Industry Total 92,202.3 - 100.0 127 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 3,895.2 1 22.2 4 Credit Suisse 1,768.3 2 10.1 2 JP Morgan 1,733.3 3 9.9 3 Goldman Sachs & Co 1,555.7 4 8.9 2 Deutsche Bank AG 1,392.2 5 7.9 2 Lehman Brothers 1,380.7 6 7.9 1 Barclays Capital 1,343.3 7* 7.7 1 Morgan Stanley 1,343.3 7* 7.7 1 UBS 1,132.7 9 6.5 3 Royal Bank of Scotland Group 1,017.1 10 5.8 1 Industry Total 17,534.5 - 100.0 10 Source: Thomson Financial

auto ABS 10% credit card ABS 10% equipment ABS 1% real estate ABS 68% student loan ABS 12% trade receivables 0%

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 3,281.4 1 29.3 7 HSBC Holdings PLC 1,458.7 2 13.0 2 Barclays Capital 1,348.8 3 12.1 2 Banc of America Securities LLC 1,347.1 4 12.0 3 ABN AMRO 1,117.0 5 10.0 2 Wachovia Corp 998.8 6 8.9 2 Royal Bank of Scotland Group 599.3 7 5.4 1 Credit Suisse 550.0 8 4.9 1 Morgan Stanley 492.3 9 4.4 1 Industry Total 11,193.2 - 100.0 12 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 12,297.4 1 20.5 13 Citigroup 10,420.5 2 17.4 12 UBS 6,086.0 3 10.2 8 Barclays Capital 5,703.0 4 9.5 3 Banc of America Securities LLC 4,886.4 5 8.2 4 Deutsche Bank AG 4,567.3 6 7.6 7 Bear Stearns & Co Inc 3,497.6 7 5.8 7 JP Morgan 2,847.5 8 4.8 6 Morgan Stanley 2,603.6 9 4.3 12 Wachovia Corp 2,564.4 10 4.3 5 Industry Total 59,958.6 - 100.0 84 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 5,769.9 1 28.7 7 Banc of America Securities LLC 5,127.4 2 25.5 8 Citigroup 3,125.0 3 15.5 3 Morgan Stanley 1,929.0 4 9.6 2 Deutsche Bank AG 1,425.0 5 7.1 8 Wachovia Corp 962.5 6 4.8 3 Barclays Capital 625.0 7 3.1 1 HSBC Holdings PLC 500.0 8* 2.5 1 Lehman Brothers 500.0 8* 2.5 4 Royal Bank of Scotland Group 87.5 10* 0.4 1 Credit Suisse 87.5 10* 0.4 1 Industry Total 20,138.8 - 100.0 31 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 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 9,097.9 1 12.3 14 Deutsche Bank AG 7,349.9 2 9.9 14 Merrill Lynch 7,066.4 3 9.6 7 Barclays Capital 6,061.1 4 8.2 12 Royal Bank of Scotland Group 4,879.6 5 6.6 9 Lehman Brothers 4,868.2 6 6.6 11 Countrywide Securities Corp 4,742.0 7 6.4 3 Bear Stearns & Co Inc 4,475.3 8 6.1 13 Morgan Stanley 4,342.5 9 5.9 4 Goldman Sachs & Co 4,251.7 10 5.8 5 Industry Total 73,982.5 - 100.0 106 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 3,504.0 1 25.6 4 Goldman Sachs & Co 1,555.7 2 11.4 2 Lehman Brothers 1,380.7 3 10.1 1 Barclays Capital 1,343.3 4* 9.8 1 Morgan Stanley 1,343.3 4* 9.8 1 Credit Suisse 1,343.3 4* 9.8 1 UBS 1,132.7 7 8.3 3 JP Morgan 716.2 8 5.2 2 Citigroup 550.1 9 4.0 2 Merrill Lynch 422.5 10 3.1 1 Industry Total 13,666.9 - 100.0 8 Source: Thomson Financial

auto ABS 10% credit card ABS 10% equipment ABS 1% real estate ABS 68% student loan ABS 12% trade receivables 0%

As regulators, members of Congress and Wall Street begin to clamp down on so-called risky mortgage products within the subprime lending sector, market participants are growing increasingly concerned about the ability of borrowers currently locked into those products to refinance.

With major investment banks testing the waters, Intellectual Property (IP) securitizations have been seeing a lot of activity lately.