ABS

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

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 32,794.1 1 10.8 74 Countrywide Securities Corp 30,032.0 2 9.9 38 Royal Bank of Scotland Group 29,648.6 3 9.8 62 Morgan Stanley 27,201.9 4 9.0 27 Credit Suisse 24,514.6 5 8.1 58 Deutsche Bank AG 19,902.4 6 6.6 43 Merrill Lynch & Co Inc 19,640.2 7 6.5 31 Bear Stearns & Co Inc 19,068.3 8 6.3 54 Goldman Sachs & Co 15,919.6 9 5.3 24 JP Morgan 15,553.2 10 5.1 37 Industry Total 303,026.2 - 100.0 541 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 7,319.1 1 19.5 9 Deutsche Bank AG 6,320.7 2 16.8 9 Merrill Lynch & Co Inc 3,420.1 3 9.1 3 Credit Suisse 3,306.5 4 8.8 6 Goldman Sachs & Co 2,869.6 5 7.6 3 Lehman Brothers 2,834.1 6 7.6 2 Morgan Stanley 2,568.2 7 6.8 3 Banc of America Securities LLC 2,550.5 8 6.8 4 Wachovia Corp 1,610.0 9 4.3 1 RBC Capital Markets 1,553.0 10 4.1 2 Industry Total 37,555.5 - 100.0 27 Source: Thomson Financial

auto ABS 9% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 72% structured settlements 0% student loan ABS 9% trade receivables 1%

In terms of dollar volume, the East Cameron Gas Co. Sukuk Trust is not exactly a big deal, at $165.6 million. Yet those involved with the transaction are billing it as the first true U.S.-based future-flow securitization backed by overriding royalty interests in gas resources, which also comply with shari'ah laws.

Credit Suisse last week ushered in another first-time CDO manager to the market when it closed the $1 billion Harp High Grade CDO I, a high-grade portfolio of RMBS assets to be managed by New York-based Annaly Mortgage Management subsidiary FIDAC. The deal comes at a time when a wave of new managers - particularly those like Annaly that operate as REITs - have opted to dip a toe into the rapidly growing CDO market.

Industry-level trends and manufacturer performance affect prepayment speeds on prime auto ABS deals, and Detroit-based manufacturers exhibit the strongest link between the two occurrences, according to Lehman Brothers analysts.

The repeal of the single-holder rule for higher education loan borrowers is translating to a boost in prepayment speeds on student loan ABS, according to several market sources.

The asset securitization market juggled three significant market events last week. The Federal Reserve tightened credit by raising its federal funds rate to 5.25% on Thursday, but ABS professionals noted that the increase had already been priced into several deals; interest rate increases on higher education loans were slated to take effect on July 1; and Standard & Poor's new LEVELs credit enhancement requirements (see story on p. 11) on certain home equity loans, including so-called piggy-back loans, also went into effect on the first of July.

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

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 32,730.9 1 11.2 72 Royal Bank of Scotland Group 28,925.7 2 9.9 60 Morgan Stanley 27,201.9 3 9.3 27 Countrywide Securities Corp 25,340.8 4 8.7 33 Credit Suisse 23,328.2 5 8.0 55 Merrill Lynch & Co Inc 19,640.1 6 6.7 31 Deutsche Bank AG 19,409.7 7 6.6 42 Bear Stearns & Co Inc 18,762.0 8 6.4 54 Goldman Sachs & Co 15,921.6 9 5.4 24 JP Morgan 15,524.0 10 5.3 35 Industry Total 292,778.3 - 100.0 525 Source: Thomson Financial