ABS

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 4,793.6 1 17.9 7 Deutsche Bank AG 4,445.0 2 16.6 7 Credit Suisse 3,306.5 3 12.4 6 Banc of America Securities LLC 2,550.5 4 9.5 4 Morgan Stanley 2,507.4 5 9.4 3 Merrill Lynch & Co Inc 2,301.0 6 8.6 2 Goldman Sachs & Co 1,803.8 7 6.7 2 Lehman Brothers 1,284.7 8 4.8 1 UBS 998.7 9 3.7 2 JP Morgan 769.3 10 2.9 1 Industry Total 26,771.8 - 100.0 21 Source: Thomson Financial

auto ABS 9% credit card ABS 10% enterprise finance 0% equipment ABS 1% real estate ABS 70% structured settlements 0% student loan ABS 9% trade receivables 1%

The subprime RMBS from the 2005 vintage are turning into a puzzle for market professionals, because although the adjustable-rate loans are experiencing significant default rates, the fixed-rate deals have performed well. Out of all this confusion, however, lenders and issuers say the big picture offers ample opportunity for them to sustain business growth.

Dominion Bond Rating Service is expanding its presence in the EMEA region as well as growing its CDO business with several new hires in those areas.

Primary issuance in the ABS market chugged along last week and cleared about $9 billion in new deals by press time Thursday, continuing a push to circle transactions before the end of May. Judging by the amount of deals in the market on Thursday, some professionals expected issuance to go as high as $20 billion by the close of business on Friday.

Dealers are becoming increasingly interested in extending repo financing - a form of leveraged investment common in a number of asset classes - to would-be CDO investors, according to JPMorgan Securities.

As the International Swaps and Derivatives Association prepares to release standards for trading leveraged loan credit default swaps - the market is expected to skyrocket just as the CDS of ABS market has thrived under increased standardization and liquidity. Syndicated loan volume alone has boomed over the past several years - reaching more than $3 trillion globally and constituting more than a third of all syndicated lending within the U.S., according to Fitch Ratings.

This year's T-Bill auction will boost student loan rates by 184 basis points, pushing the variable rate on FFELP loans to 4.84%, and Stafford loans originated to 6.54% during the in-school, deferment and grace periods, and to 7.14% during repayment status. Market watchers say the new rates will prompt a consolidation rush, and cause sharp prepayment speeds on outstanding FFELP deals in 2H06.

The merger of Aames Financial Corp. and Accredited Home Lenders - a move that is expected to create the sixth-largest subprime retail lender - is being called the first in an anticipated string of consolidations within the U.S. subprime mortgage lending industry, where participants continue to battle the higher cost of doing business. San Diego-based Accredited late last month announced plans to acquire Aames, a Los Angeles-based real estate investment trust for $340 million in cash and stock.

Mention of the latest developments in credit default swaps, whether on CDOs or ABS, usually calls to mind an ever-swelling notional market value and customized deal structures. But the call for a standardized trading framework has prompted several leading industry professionals to refine plans to create standardized frameworks for documenting and tracking credit default swaps trades to make sure they are in keeping with the spirit of their original contracts.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,627.6 1 23.6 13 JP Morgan 3,828.6 2 13.6 10 Wachovia Corp 3,139.5 3 11.2 7 Deutsche Bank AG 2,602.6 4 9.3 8 Merrill Lynch & Co Inc 1,847.5 5 6.6 4 Barclays Capital 1,705.7 6 6.1 4 Banc of America Securities LLC 1,682.4 7 6.0 2 Credit Suisse 1,550.0 8 5.5 3 Royal Bank of Scotland Group 1,479.3 9 5.3 3 Goldman Sachs & Co 868.7 10 3.1 2 Industry Total 28,093.3 - 100.0 34 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 12,433.7 1 15.2 20 Merrill Lynch & Co Inc 11,825.8 2 14.5 16 Banc of America Securities LLC 7,488.4 3 9.2 19 Deutsche Bank AG 6,810.1 4 8.3 11 UBS 5,489.0 5 6.7 15 Bear Stearns & Co Inc 4,922.6 6 6.0 10 Credit Suisse 4,317.9 7 5.3 8 Morgan Stanley 4,165.0 8 5.1 16 Royal Bank of Scotland Group 3,245.9 9 4.0 6 Wachovia Corp 3,213.6 10 3.9 8 Industry Total 81,714.2 - 100.0 162 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 8,982.0 1 29.9 13 JP Morgan 7,239.0 2 24.1 11 Deutsche Bank AG 6,228.7 3 20.8 13 Morgan Stanley 2,549.9 4 8.5 7 Barclays Capital 1,829.0 5 6.1 2 Credit Suisse 1,209.0 6 4.0 4 ABN AMRO 625.0 7 2.1 2 Wachovia Corp 500.0 8 1.7 1 Lehman Brothers 328.9 9 1.1 2 250.0 10 0.8 1 Industry Total 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 Morgan Stanley 24,392.3 1 12.0 24 Lehman Brothers 20,449.8 2 10.0 48 Credit Suisse 19,161.9 3 9.4 39 Countrywide Securities Corp 15,001.3 4 7.4 17 Deutsche Bank AG 13,951.3 5 6.8 25 Bear Stearns & Co Inc 13,558.5 6 6.7 36 JP Morgan 12,984.4 7 6.4 27 Citigroup 12,877.1 8 6.3 33 Royal Bank of Scotland Group 12,487.1 9 6.1 18 Merrill Lynch & Co Inc 11,781.7 10 5.8 16 Industry Total 203,975.5 - 100.0 386 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 4,793.6 1 18.1 7 Deutsche Bank AG 4,163.7 2 15.7 6 Credit Suisse 3,306.5 3 12.5 6 Banc of America Securities LLC 2,550.5 4 9.6 4 Morgan Stanley 2,507.4 5 9.5 3 Merrill Lynch & Co Inc 2,301.0 6 8.7 2 Goldman Sachs & Co 1,803.8 7 6.8 2 Lehman Brothers 1,284.7 8 4.9 1 UBS 998.7 9 3.8 2 JP Morgan 769.3 10 2.9 1 Industry Total 26,490.5 - 100.0 20 Source: Thomson Financial

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

Early estimates for the first quarter indicate substantial downturns in a number of hot real estate markets, leading many to speculate as to how far prices will fall, and how severe losses in the price-sensitive subprime sector will be.

Dominion Bond Rating Service says it is inching into the U.S. synthetic RMBS and ABS sectors. Bank of America Corp. recently commissioned the Canadian rating agency to supply ratings to a pair of U.S. synthetic RMBS deals. These transactions constitute the first public ratings the rating agency has assigned to synthetics in the U.S. market. DBRS is currently preparing ratings for several other deals, according to Michael Nelson, managing director of U.S. structured finance.

As economists accurately predicted, existing home sales in April slipped to a 6.76 million unit pace. Although this is approximately off 5% from the 2005 pace, it is near the 6.72 million unit pace for all of 2004, making the current reading stronger than it initially appears.

From start to finish, the ABS market had an ambitious week, as dealers rushed to get deals out the door before a long, if not leisurely, weekend. The market produced a respectable $13.6 billion in new issuances by press time.