Securitization

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 2% real estate ABS 73% structured settlements 0% student loan ABS 8% trade receivables 0%

MBIA has made a debut placement off its Mexican shelf, the first issuance program a guarantor has set up in pesos. The kickoff deal, for toll road operator Promotora y Administradora de Carreteras (Pacsa), came to 1.5 billion UDIS ($500 million), with 1.1 billion in senior notes wrapped by MBIA. That's just a nick in the five-year shelf, which is capped at Ps25 billion ($2.3 billion).

Last week Black Diamond Capital Management joined the growing list of U.S. firms looking for opportunities in the burgeoning European leveraged loan market. The firm announced it hired Peter Cannon as a managing director of its new European shop, Black Diamond GB, which will open June 1. Cannon most recently worked as a senior portfolio manager at RMF Investment Management (a subsidiary of Man Group), where he played a key role developing the firm's CDO business. He has also worked as a senior fund manager for Merrill Lynch Investment Management and as director of acquisition finance at Lloyds TSB. "We see the leveraged loan market in Europe as very robust with excellent growth prospects for us, and we believe that Peter Cannon is uniquely qualified to help us take our presence there to the next level," said Bill Bokos, senior managing director of Black Diamond, an alternative asset management firm with about $8 billion in assets under management. "We expect to be adding staff to build-out our effort in London in the near-term future."

The Public Service Commission of West Virginia recently approved a plan that would allow Allegheny Power to use ABS to finance an emissions control facility at a West Virginia plant.

The Bank of New York expects to take its share of the corporate trust market to number one by acquiring JPMorgan Chase's corporate trust business, in a combination projected to total $8 trillion of debt issues. And, according to Karen Peetz, executive vice president and head of corporate trust at BNY, the purchase will sharply boost BNY's client base, particularly within the CDO sector, where the bank will press towards a near-term goal of 60% market share.

As increasing demand ground CLO spreads tighter and tighter in 2005 - so much so that a number of deals were at risk of breaching spread requirements - more managers looked to middle market loan collateral as a higher yielding alternative.

Spring break and observances of major religious holidays suppressed the primary ABS market for the second consecutive week, resulting in a mere $5.7 billion in issuance by Wednesday afternoon. That fell short of trader estimates, which put issuance between $8 billion and $10 billion.

The top 10 most widely referenced entities within the burgeoning U.S. credit default swap market accounted for 43% of all trades last year, excluding the indices. This is compared with only 27% in 2004, according to Fitch Ratings.

Recent legislative changes to government student loan programs might open doors for more borrowers, but they could also increase the likelihood of borrower defaults, said Fitch Ratings last week.

In a very busy week, bond insurer XL Capital created a holding company to oversee its financial guaranty insurance and reinsurance businesses, and launched an initial public offering to fund its growth.

Look for the U.S. structured finance team at Deutsche Asset Man-agement - a large investor in the ABS market - to grow its portfolio even more over the coming year.

Year to date as of 04/12 Term (days) 04/06 04/07 04/10 04/11 04/12 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 5,077.2 1 26.7 11 JP Morgan 3,956.1 2 20.8 10 Deutsche Bank AG 2,020.4 3 10.6 7 Barclays Capital 1,725.5 4 9.1 4 Royal Bank of Scotland Group 1,606.8 5 8.5 3 Merrill Lynch & Co Inc 1,250.0 6 6.6 3 Credit Suisse 950.0 7 5.0 2 Wachovia Corp 939.0 8 4.9 3 Bear Stearns & Co Inc 824.9 9 4.3 1 Goldman Sachs & Co 411.2 10 2.2 1 Industry Total 19,024.6 - 100.0 25 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 8,676.4 1 17.8 11 Citigroup 6,807.5 2 13.9 14 UBS 4,764.0 3 9.8 11 Banc of America Securities LLC 4,403.4 4 9.0 13 Deutsche Bank AG 4,304.0 5 8.8 7 Credit Suisse 3,621.4 6 7.4 5 Bear Stearns & Co Inc 3,551.6 7 7.3 8 Goldman Sachs & Co 2,280.9 8 4.7 4 Morgan Stanley 2,107.5 9 4.3 11 Wachovia Corp 1,857.3 10 3.8 6 Industry Total 48,866.1 - 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 5,974.7 1 29.8 11 Citigroup 4,447.1 2 22.2 7 Banc of America Securities LLC 3,723.3 3 18.6 6 Deutsche Bank AG 2,300.0 4 11.5 6 Morgan Stanley 1,829.0 5 9.1 2 Credit Suisse 625.0 6 3.1 2 Barclays Capital 500.0 7 2.5 1 Lehman Brothers 250.0 8 1.3 1 Wachovia Corp 249.9 9 1.2 1 Royal Bank of Scotland Group 175.0 10 0.9 1 Industry Total 20,074.0 - 100.0 30 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 Credit Suisse 16,570.0 1 11.0 32 Lehman Brothers 15,130.9 2 10.0 34 Countrywide Securities Corp 15,001.3 3 9.9 17 Morgan Stanley 13,244.8 4 8.8 17 Deutsche Bank AG 11,006.7 5 7.3 19 Bear Stearns & Co Inc 10,364.3 6 6.9 30 Merrill Lynch & Co Inc 10,045.8 7 6.6 13 JP Morgan 9,863.4 8 6.5 15 Royal Bank of Scotland Group 9,348.1 9 6.2 12 Citigroup 8,276.2 10 5.5 23 Industry Total 151,304.3 - 100.0 251 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 2,915.8 1 18.0 4 Deutsche Bank AG 2,801.0 2 17.3 3 Merrill Lynch & Co Inc 2,301.0 3 14.2 2 Banc of America Securities LLC 2,027.7 4 12.5 3 Credit Suisse 1,698.4 5 10.5 3 Lehman Brothers 1,284.7 6 7.9 1 Goldman Sachs & Co 1,255.5 7 7.7 1 UBS 450.4 8 2.8 1 SunTrust Banks 382.5 9 2.4 1 Industry Total 16,222.9 - 100.0 11 Source: Thomson Financial

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 2% real estate ABS 74% structured settlements 0% student loan ABS 7% trade receivables 0%

Citigroup Global Markets grabbed the top slot on the lead managers league table for the first quarter, surging ahead from its ninth place finish in the same period last year, according to data from Thomson Financial. The investment bank underwrote $29 billion in domestic ABS deals through March 31, which was $5 billion more over second-place finisher Credit Suisse, and enough activity to open a comfortable lead ahead of its competitors.

The CLO/CDO and derivatives market has been heating up for well over a year now, with CDO issuance alone hitting $40 billion year to date, nearly half of total volume in 2005, according to Lehman Brothers. While this is exciting news, several market sources warn that too many risk managers lack the know-how to anticipate shaky deal structures and they warn that it might take a credit meltdown to get banks to polish their risk teams.