CDOs

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

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 7,215.1 1 19.3 9 Deutsche Bank AG 6,216.7 2 16.7 9 Merrill Lynch & Co Inc 3,420.1 3 9.2 3 Credit Suisse 3,306.5 4 8.9 6 Goldman Sachs & Co 2,869.6 5 7.7 3 Lehman Brothers 2,834.1 6 7.6 2 Morgan Stanley 2,568.2 7 6.9 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 4.2 2 Industry Total 37,347.4 - 100.0 27 Source: Thomson Financial

auto ABS 9% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 71% structured settlements 0% student loan ABS 9% trade receivables 1%

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 18.4 12 JP Morgan 5,062.5 2 15.4 12 Wachovia Corp 4,683.5 3 14.3 9 Deutsche Bank AG 2,690.2 4 8.2 8 Royal Bank of Scotland Group 2,169.3 5 6.6 5 Banc of America Securities LLC 1,926.4 6 5.9 3 Merrill Lynch & Co Inc 1,847.5 7 5.6 4 Barclays Capital 1,603.4 8 4.9 3 Credit Suisse 1,550.0 9 4.7 3 HSBC Holdings PLC 1,329.2 10 4.1 2 Industry Total 32,834.7 - 100.0 41 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 13,920.3 1 14.2 24 Merrill Lynch & Co Inc 12,695.7 2 13.0 18 Deutsche Bank AG 11,740.1 3 12.0 14 Banc of America Securities LLC 9,548.4 4 9.8 22 Credit Suisse 7,376.2 5 7.5 13 UBS 6,354.0 6 6.5 18 Bear Stearns & Co Inc 5,211.1 7 5.3 11 Wachovia Corp 4,883.6 8 5.0 10 Morgan Stanley 4,590.0 9 4.7 17 Lehman Brothers 4,289.1 10 4.4 8 Industry Total 97,838.8 - 100.0 191 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 24.7 13 Banc of America Securities LLC 8,235.0 2 22.7 12 JP Morgan 7,824.7 3 21.5 18 Deutsche Bank AG 2,924.9 4 8.1 8 Barclays Capital 1,900.0 5 5.2 5 Morgan Stanley 1,829.0 6 5.0 2 Credit Suisse 1,375.0 7 3.8 7 ABN AMRO 1,000.0 8 2.8 5 HSBC Holdings PLC 1,000.0 8 2.8 1 Lehman Brothers 425.0 10 1.2 2 Industry Total 36,320.5 - 100.0 55 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 25,669.5 1 9.9 26 Lehman Brothers 25,500.4 2 9.8 61 Royal Bank of Scotland Group 25,262.2 3 9.7 48 Credit Suisse 22,957.6 4 8.8 53 Countrywide Securities Corp 20,442.3 5 7.9 29 Deutsche Bank AG 17,673.8 6 6.8 36 Merrill Lynch & Co Inc 17,216.9 7 6.6 28 Bear Stearns & Co Inc 16,677.1 8 6.4 48 JP Morgan 15,016.5 9 5.8 34 Citigroup 14,214.4 10 5.5 37 Industry Total 260,214.0 - 100.0 469 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 5,994.4 1 18.1 8 Citigroup 4,793.6 2 14.5 7 Merrill Lynch & Co Inc 3,420.1 3 10.3 3 Credit Suisse 3,306.5 4 10.0 6 Goldman Sachs & Co 2,922.9 5 8.8 3 Lehman Brothers 2,834.1 6 8.5 2 Banc of America Securities LLC 2,550.5 7 7.7 4 Morgan Stanley 2,538.2 8 7.7 3 RBC Capital Markets 1,553.0 9 4.7 2 UBS 998.7 10 3.0 2 Industry Total 33,170.4 - 100.0 24 Source: Thomson Financial

auto ABS 9% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 71% structured settlements 0% student loan ABS 9% trade receivables 1%

In a first, Lehman Brothers is acting as an administrator on an asset-backed commercial paper program. More accustomed to acting as a dealer for programs administered by others, the investment bank recently launched Aegis Finance, a partially supported and single-seller vehicle that will issue as much as $2.1 billion in secured liquidity notes (SLNs).

Last week the American Securitization Forum (ASF) expressed support for the revised guidance to complex structured finance transactions. The Office of the Comptroller of the Currency, the Office of Thrift Supervision, the board of governors of the Federal Reserve System, the Federal Deposit Insurance Corp., and the Securities and Exchange Commission issued the revised guidance jointly.

Year-over-year net losses on securitized prime and subprime auto loans fell in the first quarter, reversing recent trends in the underlying loans of auto ABS deals, and hinting at better days ahead for the sector.

Despite the fact that much of the asset securitization market was overseas for the Investment Management Network's conference in Barcelona, Spain, enough of the market showed up to price nearly $13 billion in primary issuance last week.