ABS

Fitch Ratings last week released its inaugural crop of credit card ABS seller/servicer ratings, making it the third rating agency to use formalized assessments of credit card issuers' servicing capabilities. Fitch released ratings on First National Bank of Omaha, and sister company InfiCorp Holdings, HSBC Finance, MBNA America Bank, The Metris Companies and Providian National Bank.

Research analyst Arturo Cifuentes filed a Sarbanes-Oxley complaint with OSHA last week alleging that his former employer, Wachovia Securities, attempted to influence and in some instances stop the publishing of fixed-income research reports.

Greenwich NatWest and National Westminster Bank, subsidiaries of The Royal Bank of Scotland, are suing a law firm for its role in the structuring and documentation of a CDO for them some six years ago.

Anthracite Capital priced a $249.5 million CDO last week to serve as a matched term funding source for a $478 million portfolio of two recently purchased CMBS deals and REIT debt. The CDO is the fifth for Anthracite, a REIT that invests in high-yield CMBS and is managed by BlackRock Financial Management.

The U.S. ABS primary market priced a trim $7 billion in the holiday shortened week. Last week's hawkish statement by the Federal Open Market Committee and a mild case of the summer doldrums may have conspired to keep the ABS market in decline for the second week in a row. But as the ABS market simmered, tensions raged overseas as rioters protested the G-8 summit and the week ended in tragedy for many Londoners as explosions rocked the city's citizenry.

The Bank for International Settlements warned in its 75th annual report that despite the flurry of events triggered by the General Motors and Ford Motor Co. corporate credit rating downgrades this spring, it remains to be seen how the credit default swap and CDO markets could handle a string of credit blow-ups or an abrupt turn in the credit cycle. Because the ratings downgrades of the auto giants were somewhat anticipated among investors, the rather "orderly fashion" in which the credit markets adjusted themselves post-ratings action "might not be a true reflection of how these markets would function under stress," according to the BIS.

The percent of home equity loans characterized as seriously delinquent continued declining in March, according to data released by Moody's Investors Service. Although, the rating agency pointed out the percent of overall delinquencies were watered down by a roughly 20% increase of new home equity issuance over the same month last year, essentially freshening up the pool with new loans. The percentage of loans more than 60 days delinquent stood at 5.19%, marking a 21% decrease from the same time last year, when the amount of loans delinquent stacked up at 6.59%, according to Moody's. The rating agency tracks the aggregate performance of home equity loans backing the securities it rates.

Year to date as of 07/07 Term (days) 07/01 07/04 07/05 07/06 07/07 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 6,891.9 1 14.1 10 Citigroup 6,499.6 2 13.3 11 Deutsche Bank AG 6,028.7 3 12.4 11 Merrill Lynch & Co Inc 5,884.5 4 12.1 8 Banc of America Securities LLC 4,323.1 5 8.9 8 Barclays Capital 4,302.5 6 8.8 8 Credit Suisse First Boston 4,111.9 7 8.4 8 Wachovia Corp 3,712.5 8 7.6 8 Goldman Sachs & Co 1,841.0 9 3.8 2 HSBC Holdings PLC 1,826.8 10 3.8 3 Industry Total 48,759.9 - 100.0 47 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 12,676.0 1 20.3 19 Citigroup 8,961.8 2 14.4 19 Lehman Brothers 4,687.7 3 7.5 15 Morgan Stanley 4,049.6 4 6.5 17 Wachovia Corp 3,785.0 5 6.1 9 UBS 3,673.9 6 5.9 9 Goldman Sachs & Co 3,107.0 7 5.0 4 Credit Suisse First Boston 2,943.0 8 4.7 7 Bear Stearns & Co Inc 2,915.2 9 4.7 7 Groupe Caisses d'Epargne 2,442.0 10 3.9 3 Industry Total 62,359.1 - 100.0 152 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 6,508.1 1 30.0 14 Citigroup 3,973.7 2 18.3 12 Barclays Capital 2,799.0 3 12.9 10 Morgan Stanley 2,216.5 4 10.2 4 ABN AMRO 1,833.2 5 8.5 7 Deutsche Bank AG 1,513.9 6 7.0 11 Banc of America Securities LLC 836.2 7 3.9 6 Credit Suisse First Boston 779.9 8 3.6 5 Merrill Lynch & Co Inc 624.7 9 2.9 4 Lehman Brothers 416.7 10 1.9 2 Industry Total 21,677.0 - 100.0 47 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 Deutsche Bank AG 1,686.3 1 15.5 4 Barclays Capital 1,492.5 2 13.8 2 Credit Suisse First Boston 1,261.3 3 11.6 3 ABN AMRO 1,261.3 3 11.6 3 Morgan Stanley 1,191.7 5 11.0 2 Banc of America Securities LLC 750.0 6 6.9 1 Lehman Brothers 725.8 7 6.7 1 JP Morgan 725.8 7 6.7 1 HSBC Holdings PLC 566.7 9 5.2 1 Merrill Lynch & Co Inc 375.0 10 3.5 1 Societe Generale 375.0 10 3.5 1 Industry Total 10,853.4 - 100.0 10 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 40,735.0 1 11.7 77 Bear Stearns & Co Inc 34,945.0 2 10.1 73 Countrywide Securities Corp 30,894.9 3 8.9 38 Royal Bank of Scotland Group 28,964.0 4 8.3 51 Morgan Stanley 28,428.7 5 8.2 37 Deutsche Bank AG 26,461.7 6 7.6 46 Credit Suisse First Boston 26,373.8 7 7.6 57 Citigroup 21,524.7 8 6.2 41 Banc of America Securities LLC 18,457.8 9 5.3 38 Merrill Lynch & Co Inc 17,734.4 10 5.1 25 Industry Total 347,865.5 - 100.0 586 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 7,522.0 1 26.9 9 Banc of America Securities LLC 3,233.2 2 11.6 5 Deutsche Bank AG 3,042.0 3 10.9 5 Morgan Stanley 2,757.6 4 9.9 3 Credit Suisse First Boston 2,696.2 5 9.6 4 Goldman Sachs & Co 2,127.2 6 7.6 4 Merrill Lynch & Co Inc 1,839.8 7 6.6 2 UBS 1,827.7 8 6.5 4 JP Morgan 1,158.5 9 4.1 3 Lehman Brothers 1,012.4 10 3.6 1 Industry Total 27,966.5 - 100.0 23 Source: Thomson Financial

auto ABS 18% credit card ABS 6% global MBS 5% real estate ABS 59% student loan ABS 8% other 4%

The acquisition of monoline credit card issuer MBNA Corp. by banking mammoth Bank of America likely means MBNA credit card ABS issuance volume will decline significantly, pulling precious volume out of an already floundering sector, sources say. Last Thursday, Charlotte, N.C.-based BofA announced it would acquire MBNA for $35 billion in cash and stock.

If half-year numbers are any indication, the ABS market is on its way to another record-breaking year, with $520 billion priced so far, versus $394 billion priced last year at this time, according to preliminary data maintained by Thomson Financial. All the market has to do is hold its sizzling pace to reach the $1 trillion mark for the first time and best last year's $858 mark, a number many predicted was unreachable two years in a row. In the thick of the hottest year in ABS history, the manager landscape has shifted slightly, but Citigroup Global Markets refuses to be knocked out of the top slot.

Asset management firm Cremac is seeking so-called strategic alternatives to sole ownership for its third-party credit risk management subsidiary Risk Management Group, according to Cremac President Joe Cafiero. Cypress Advisors is in the process of conducting a bidding process for the company, the second-largest credit risk manager, behind Clayton Holdings Inc.

As a testament to growing demand from investors for U.S. CDO product, total issuance in the first half of this year totaled $60.4 billion - nearly double the $35.5 billion under management in the first half of last year, according to data maintained by Thomson Financial. And Merrill Lynch & Co. held onto the top spot among CDO managers, bringing $12.7 billion to the market and maintaining more than one-fifth of the market with a 21% share. In the first half of last year, Merrill had placed $5.7 billion, good for a 16% market share.

Only in the hottest ABS market in recent history would $9 billion be considered a slow week, but compared to the rest of the month, it seems as if the market slowed a bit last week. The Federal Open Market Committee meeting resulted in another quarter-point increase in the target federal funds rate to 3.25% and, while expected, when combined with an upcoming holiday weekend, it may have been enough to keep issuers out of the market.