CDOs/CLOs

Spreads for The Metris Companies series 2004-1 credit card ABS tightened on last week's news that it had finalized terms on a $300 million three-year unsecured Libor floater via Goldman Sachs. This completes a funding plan that injects $500 million into the company's coffers and allows it access to a previously announced $800 million conduit facility.

Though talked up for several years, project finance CDOs have yet to make the dent once anticipated, considering the size of the potential collateral market and the drive of structurers into new products.

The new-issue malaise in the U.S. ABS primary market continued last week, with just $8.5 billion marketing, $7.1 billion of which had priced as of press time. For the first time this year, however, the auto sector led the way, with $3.9 billion of supply, edging the $3.8 billion seen in the mortgage ABS sector.

Recent trends in the mortgage sector of the ABS market have had positive impacts to date, but presenters at last week's Moody's Investors Service RBMS Investor Briefing raised red flags over recent vintage transactions. In particular, the increase in interest-only products and modified loans, combined with the decline in applicant documentation, may spell trouble for the sector going forward, Moody's analysts said.

In addition to increasing its own direct originations of subprime credit cards, CompuCredit Corp. announced last week that it will acquire a lender specializing in the subprime sphere for $106 million, a deal that should close late this quarter, according to Chief Executive Officer David Hanna.

Year to date as of 05/06 Term (days) 04/30 05/03 05/04 05/05 05/06 1-week

2004 2003 2002 ABS (Public and 144A) 243,529 186,906 144,286 ABS (Public and 144A excluding CDOs) 216,000 175,838 130,029 ABS (Public Only) 192,954 152,659 117,339 ABS (144A Only) 50,575 34,248 26,948 Non-Agency MBS 87,237 107,779 69,135 Agency MBS 129,490 272,606 168,684 CMBS 27,245 21,559 16,364 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 4,588.9 1 20.1 7 Citigroup 4,497.4 2 19.7 6 Deutsche Bank AG 4,467.4 3 19.6 8 Banc of America Securities LLC 2,642.5 4 11.6 5 Credit Suisse First Boston 1,427.0 5 6.3 4 Goldman Sachs & Co 1,256.2 6 5.5 1 Barclays Capital 1,162.0 7 5.1 4 Merrill Lynch & Co Inc 815.0 8 3.6 1 BANK ONE Corp 675.0 9 3.0 2 Lehman Brothers 408.0 10 1.8 1 Industry Total 22,817.8 - 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 3,946.6 1 17.7 7 UBS 3,272.0 2 14.7 4 Wachovia Corp 2,682.6 3 12.0 9 Deutsche Bank AG 1,968.7 4 8.8 5 Citigroup 1,457.7 5 6.5 8 Bear Stearns & Co Inc 1,194.3 6 5.4 4 Royal Bank of Scotland Group 1,005.8 7 4.5 3 BNP Paribas SA 919.5 8 4.1 1 Goldman Sachs & Co 825.0 9 3.7 1 Banc of America Securities LLC 800.9 10 3.6 6 Industry Total 22,275.4 - 100.0 57 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 3,449.3 1 21.7 5 BANK ONE Corp 3,100.0 2 19.5 4 Lehman Brothers 2,324.4 3 14.6 6 JP Morgan 1,950.0 4 12.3 4 Barclays Capital 1,799.4 5 11.3 3 Deutsche Bank AG 1,024.7 6 6.4 4 Merrill Lynch & Co Inc 752.2 7 4.7 2 Goldman Sachs & Co 425.0 8 2.7 2 Morgan Stanley 375.0 9 2.4 1 Banc of America Securities LLC 350.0 10 2.2 2 Industry Total 15,900.1 - 100.0 25 Source: Thomson Financial