CDOs/CLOs

Almost one year after closing, 2002 ASR Breakthrough Deal of the Year (see ASR 1/6/03) Pass-Through Account Credit Card Trust (PACCT) is in relatively good shape, performing in line with base-case forecasts used to structure the transaction. Citigroup, which co-led the deal with Goldman Sachs, chronicled the progress in a report last week, noting specifics have been mixed, with chargeoffs below estimates but portfolio yield and purchase rates slightly below initial forecasts.

If a proposed lease between Boeing Co. and the U.S. Air Force for 100 Boeing 767 refueling tanker jets goes through, the Street could find itself distributing a windfall $17 billion in aircraft lease ABS, reports Investment Dealers Digest, a sister publication of ASR.

As promised, non-prime auto lender AmeriCredit Corp. brought an auto loan ABS last week, backed by a wrap from guarantor XL Capital, albeit three months after initially thought (see ASR 2/24/03).

While it's always been along for the ride, high yield collateral was all but relegated to the back seat as CDO investors experienced a bumpy ride, thanks to record downgrades over the last 18 months. Although most investors are aware that loan deals have performed better than bond deals, analysts are now comparing loan performance to investment grade-backed CDOs, a finding that says CLOs have found paradise by the dashboard light.

J.P. Morgan recently announced that it would be redeploying its corporate finance team, responsible for whole business transactions, into the more profitable areas of securitization business. Sources at the bank said the move does not mean the bank plans to cease its corporate securitization activity; instead it aims to provide more efficient coverage of the market.

Year to date as of May 14 Term (days) 05/08 05/09 05/12 05/13 05/14 1-week

2003 2002 2001 ABS (Public and 144A) 189,251 148,171 135,737 ABS (Public and 144A excluding CDOs) 178,689 132,428 116,224 ABS (Public Only) 157,459 120,090 99,375 ABS (144A Only) 31,792 28,081 36,362 Non-Agency MBS 108,956 72,177 56,123 Agency MBS 221,652 183,931 84,955 CMBS 21,486 17,643 21,385 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 3,424.4 1 16.9 4 Credit Suisse First Boston 2,790.1 2 13.8 6 JP Morgan 2,618.8 3 12.9 4 Deutsche Bank AG 2,234.8 4 11.0 4 BANK ONE Corp 2,112.3 5 10.4 4 Morgan Stanley 1,781.2 6 8.8 3 Goldman Sachs & Co 1,289.4 7 6.4 3 Barclays Capital 1,180.4 8 5.8 2 Banc of America Securities LLC 841.5 9 4.2 2 Wachovia Corp 833.9 10 4.1 3 Merrill Lynch & Co Inc 744.5 11 3.7 2 Royal Bank of Scotland Group 287.5 12 1.4 2 Westdeutsche Landesbank Giro 120.2 13 0.6 1 Industry Total 20,258.8 - 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 Credit Suisse First Boston 1,650.9 1 15.6 5 Deutsche Bank AG 1,461.5 2 13.8 3 Morgan Stanley 1,378.4 3 13.1 3 Bear Stearns & Co Inc 1,270.7 4 12.0 5 Citigroup 1,047.6 5 9.9 3 Wachovia Corp 950.0 6 9.0 2 Banc of America Securities LLC 579.8 7 5.5 2 Westdeutsche Landesbank Giro 545.0 8 5.2 1 Lehman Brothers 368.4 9 3.5 3 JP Morgan 347.6 10 3.3 1 Merrill Lynch & Co Inc 300.8 11 2.9 1 Royal Bank of Scotland Group 283.9 12 2.7 1 UBS Warburg 200.0 13 1.9 1 Jefferies & Co Inc 161.4 14 1.5 1 First Republic Bank Corp 16.0 15 0.2 1 Industry Total 10,561.9 - 100.0 31 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 8,494.6 1 28.5 11 BANK ONE Corp 4,851.9 2 16.3 8 JP Morgan 4,429.8 3 14.9 8 Morgan Stanley 3,579.5 4 12.0 4 Barclays Capital 2,834.7 5 9.5 6 Banc of America Securities LLC 2,000.6 6 6.7 6 Deutsche Bank AG 1,507.6 7 5.1 4 Credit Suisse First Boston 969.3 8 3.3 3 Merrill Lynch & Co Inc 462.5 9 1.6 2 Wachovia Corp 461.3 10 1.6 2 Lehman Brothers 200.0 11 0.7 1 Industry Total 29,791.5 - 100.0 44 Source: Thomson Financial