ABS

In its new bi-weekly market wrap called CDOpinions, Fitch Ratings notes that some CDO issuers are exploring funding in the MTN market. While it's been limited so far, the use of MTNs has become another option for issuers.

Second lien bank loans have been more frequently appearing in new CLOs, especially as managers look for higher yielding collateral during this period of historic tights.

Year to date as of 04/07 Term (days) 04/01 04/02 04/05 04/06 04/07 1-week

2004 2003 2002 ABS (Public and 144A) 188,538 141,026 111,092 ABS (Public and 144A excluding CDOs) 167,341 133,662 100,458 ABS (Public Only) 154,189 118,297 90,807 ABS (144A Only) 34,349 22,729 20,284 Non-Agency MBS 59,890 79,988 51,295 Agency MBS 80,505 219,571 135,436 CMBS 16,270 16,553 11,100 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 4,497.4 1 25.1 5 Deutsche Bank AG 3,742.0 2 20.9 6 JP Morgan 2,892.7 3 16.1 4 Banc of America Securities LLC 1,263.5 4 7.0 2 Goldman Sachs & Co 1,256.2 5 7.0 1 Credit Suisse First Boston 1,242.7 6 6.9 3 Barclays Capital 977.7 7 5.5 2 Merrill Lynch & Co Inc 815.0 8 4.5 1 Banc One Capital Markets 675.0 9 3.8 2 Lehman Brothers 450.0 10 2.5 1 Industry Total 17,945.2 - 100.0 17 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 3,531.1 1 22.2 6 UBS 2,172.0 2 13.6 3 Deutsche Bank AG 1,619.7 3 10.2 4 Citigroup 1,516.0 4 9.5 4 RBS Greenwich Capital 1,005.8 5 6.3 3 BNP Paribas SA 919.5 6 5.8 1 Goldman Sachs & Co 825.0 7 5.2 1 Banc of America Securities LLC 800.9 8 5.0 6 Wachovia Corp 728.5 9 4.6 6 Bear Stearns & Co Inc 658.9 10 4.1 2 Industry Total 15,930.7 - 100.0 40 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 25.2 5 Banc One Capital Markets 3,100.0 2 22.6 4 JP Morgan 1,700.0 3 12.4 3 Lehman Brothers 1,400.0 4 10.2 4 Barclays Capital 1,125.0 5 8.2 2 Deutsche Bank AG 849.7 6 6.2 2 Merrill Lynch & Co Inc 752.2 7 5.5 2 Morgan Stanley 375.0 8 2.7 1 Goldman Sachs & Co 350.0 9 2.6 1 Credit Suisse First Boston 250.0 10* 1.8 1 Banc of America Securities LLC 250.0 10* 1.8 1 Industry Total 13,701.2 - 100.0 21 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 1,000.0 1 54.1 1 Credit Suisse First Boston 350.0 2 18.9 1 Morgan Stanley 250.0 3* 13.5 1 ABN AMRO 250.0 3* 13.5 1 Industry Total 1,850.0 - 100.0 3 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 Countrywide Securities Corp 14,584.2 1 11.8 12 Lehman Brothers 14,377.1 2 11.6 26 RBS Greenwich Capital 14,160.1 3 11.4 23 Citigroup 9,764.1 4 7.9 26 Credit Suisse First Boston 9,408.9 5 7.6 20 Deutsche Bank AG 9,150.9 6 7.4 27 Morgan Stanley 8,461.5 7 6.8 16 Merrill Lynch & Co Inc 8,433.6 8 6.8 13 Bear Stearns & Co Inc 7,123.7 9 5.8 16 UBS 6,517.1 10 5.3 9 Industry Total 123,869.9 - 100.0 196 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 1,876.0 1 17.9 3 Banc of America Securities LLC 1,781.4 2 17.0 2 Merrill Lynch & Co Inc 1,272.8 3* 12.1 2 JP Morgan 1,272.8 3* 12.1 2 Morgan Stanley 1,012.6 5* 9.7 2 Lehman Brothers 1,012.6 5* 9.7 2 Citigroup 781.4 7 7.5 1 UBS 530.0 8 5.1 1 Deutsche Bank AG 489.9 9 4.7 1 RBC Capital Markets 462.0 10 4.4 1 Industry Total 10,491.5 - 100.0 9 Source: Thomson Financial

Year to date as of Apr 7 Coupon Type Market Average Life Buckets Asset Class Volume Pub/144A Fixed Rate Floating Rate Public 144A 0.0 to 0.9 1.0 to 2.9 3.0 to 5.9 6.0 to 7.9 8.0 to 11.0 Aircraft Leases Auto Loans/Recs 17,945 15,054 2,891 15,415 2,530 7,678 7,258 3,009 Comm. Mtg 1,654 1,069 585 922 732 922 229 212 290 Commercial Loans Corp Bond/Note 633 633 633 363 168 103 Corporate Loans 1,543 20 1,523 1,543 1,228 226 89 Credit Card Rec 13,701 6,449 7,252 12,427 1,274 10,853 1,800 200 849 Debentures 835 835 835 835 Equip Loans Equip. Leases 1,537 1,537 1,537 911 626 Floorplan Recs 1,850 1,850 1,850 1,500 350 Franchisee Loans Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 404 27 377 404 404 Mixed Collateral 1,381 7 1,374 1,381 1,000 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 625 625 625 625 Mutual Fund Fees Non-Jumbo Mtg Ln 37,466 16,333 21,023 36,539 927 24,276 6,115 6,987 47 40 Oil Receivables Preferred Sec 1,159 522 637 1,159 815 158 186 Prv Issued Sec 326 152 175 326 326 Rental Car Rec. 1,200 600 600 1,200 600 600 Rev Cred/Home Eq 86,404 53,576 32,828 75,496 10,908 63,658 13,637 8,328 617 164 Sm Business Loan Struc Fin Credit 8,328 3,791 4,537 8,328 2,652 1,111 3,930 635 Student Loans 10,492 378 9,401 8,343 2,148 6,168 1,295 1,122 639 1,268 Tax Liens Ticket Rec Timeshare Loans Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 46% Non-Jumbo Mtg Ln 20% Auto Loans/Recs 10% Credit Card Rec 7% Student Loans 6% Other 12%

With the slowdown in new issue ABS supply ahead of quarter-end, secondary trading - particularly for higher-yielding alternatives - picked up significantly last week. At least one bid list per day circulated from both smart-money profit takers and forced sellers, sources reported. Most of the bonds to hit the street, noted sources, were backed by manufactured housing.

While Citigroup Global Markets maintained its first quarter lead in the ABS league tables, two through five was tossed like a salad in the busy final week of the quarter, according to numbers officially released by Thomson Financial (see full league tables, p. 26-34). When the croutons landed, however, Lehman Brothers had separated itself from the pack as the clear No. 2 behind Citigroup, having claimed about $6 billion of credit on March 30.

The recently launched Freedom Park conduit makes use of just about every bell and whistle available to the ABCP market. According to Promontory Group, the parent company of Freedom's administrator, the vehicle is structured to address today's most notable challenges, including changing accounting rules, disappearing liquidity and evolving regulatory capital adequacy guidelines.

The public markets' equity researchers may garner more television appearances, but there's no shortage of commentary swirling from fixed-income CDO think tanks. Equity tranches within CDOs are the new hot topic for the CDO market, as one bank's research group claims some market documentation is more worthy of the trash can than investors' attention.

Mellon Bank is gearing up to issue its fourth transaction backed by insurance premium finance loans originated by its AFCO subsidiary, according to an S-1 filing with the Securities and Exchange Commission.

After the heaviest quarter the U.S. ABS market has ever seen, players loosened their belts last week for a collective breather. With more than $175 billion of new issue supply pricing during the first three months - an average of $13.5 billion a week and an unbelievable $700 billion annualized pace - transaction volume last week totaled just $6.7 billion, not surprisingly weighted heavily towards the mortgage sector.

The interest-only loan - a product that used to be the exclusive province of prime borrowers and wealthy homeowners looking to manage their finances - has begun to make inroads in the subprime market, according to a recent report from UBS.

Year to date as of 04/01 Term (days) 03/26 03/29 03/30 03/31 04/01 1-week