ABS

With collateral spreads historically rich, some ABS CDOs might never make it through the starting gate, especially if nearing the end of their investment periods, industry sources said. At the very least, the market is less likely to see upsized deals in early 2004, which was a frequent occurrence in the sector throughout 2003. In fact, it is possible some deals will reduce in size.

The anticipated post-conference explosion in ABS new-issue supply lived up to its billing last week, pricing over $10 billion as of Thursday's close and nearly $3 billion slated for Friday. The auto loan sector finally came out of hibernation, pricing more supply last week than it had seen throughout January. Additionally, there were notable lead manager dynamics throughout the week, including a sneak preview of how execution might play out after the completed merger of JPMorgan Chase and Bank One Corp.

Since de-linked issuance trusts radically changed the credit card sector three years ago, larger, more liquid tranches have led the card ABS to become increasingly corporate bond-like, with Citibank pricing a 12-year deal last year, aimed specifically at corporate investors. As the de-linked structure was adapted to the other major issuers in the sector, the next evolutionary step - medium-term notes - may also be born from the corporate market, said one banking pro.

A positive credit trend occurred in European CDOs in 2003 compared to 2002, according to Standard & Poor's latest transition study. Despite a higher overall percentage of downgrades last year, analysts say the increased number of upgrades should be an indicator of an improving ratings environment for European CDOs.

Year to date as of 02/12 Term (days) 02/06 02/09 02/10 02/11 02/12 1-week

2003 2002 2001 ABS (Public and 144A) 50,006 39,418 31,949 ABS (Public and 144A excluding CDOs) 47,348 38,095 28,692 ABS (Public Only) 40,114 34,345 25,639 ABS (144A Only) 9,893 5,074 6,310 Non-Agency MBS 14,655 19,111 11,494 Agency MBS 11,552 121,734 41,854 CMBS 1,962 2,775 946 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 2,647.1 1 46.4 2 Credit Suisse First Boston 1,009.0 2 17.7 3 Citigroup 1,000.0 3 17.5 1 BANK ONE Corp 675.0 4 11.8 2 JP Morgan 375.0 5 6.6 1 Industry Total 5,706.0 - 100.0 7 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 UBS 1,022.0 1 38.4 1 BNP Paribas SA 919.5 2 34.6 1 Merrill Lynch & Co Inc 602.0 3 22.6 1 Citigroup 115.0 4 4.3 1 Industry Total 2,658.5 - 100.0 4 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 1,599.6 1 66.6 2 Merrill Lynch & Co Inc 452.2 2 18.8 1 Lehman Brothers 250.0 3 10.4 1 Wachovia Corp 100.0 4 4.2 1 Industry Total 2,401.8 - 100.0 4 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 - - - - - Industry Total - - - - 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 Royal Bank of Scotland Group 6,605.4 1 18.9 7 Morgan Stanley 4,815.8 2 13.8 8 Lehman Brothers 3,825.7 3 10.9 5 Credit Suisse First Boston 3,546.2 4 10.2 7 Bear Stearns & Co Inc 2,368.5 5 6.8 3 Deutsche Bank AG 2,340.9 6 6.7 5 Merrill Lynch & Co Inc 2,069.6 7 5.9 3 Banc of America Securities LLC 1,660.4 8 4.8 4 Citigroup 1,585.1 9 4.5 4 JP Morgan 1,342.3 10 3.8 2 Industry Total 34,954.8 - 100.0 48 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 1,012.6 1* 29.2 2 Lehman Brothers 1,012.6 1* 29.2 2 Deutsche Bank AG 489.9 3* 14.1 1 Credit Suisse First Boston 489.9 3* 14.1 1 RBC Capital Markets 462.0 5 13.3 1 Industry Total 3,466.9 - 100.0 4 Source: Thomson Financial

Year to date as of Feb 11 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 5,797 3,546 2,251 3,400 2,397 4,186 666 945 Cash Commercial Loans Corp Bond/Note Corporate Loans 1,022 1,022 1,022 1,022 Credit Card Rec 2,402 1,950 452 1,950 452 2,202 200 Equip Loans Equip. Leases Floorplan Recs Franchisee Loans Home Impr Loans Junk Bonds Leases Loans Mnfrd Housing Ct 200 200 200 200 Mutual Fund Fees Non-Jumbo Mtg Ln 7,893 3,244 4,648 7,887 6 3,356 725 3,812 Oil Receivables Preferred Sec Prv Issued Sec 19 19 19 19 Rental Car Rec. 600 600 600 600 Rev Cred/Home Eq 28,247 15,230 12,950 25,454 2,793 23,164 2,871 1,900 291 20 Sm Business Loan Struc Fin Credit 1,636 717 920 1,636 222 411 1,004 Student Loans 3,467 378 2,626 2,319 1,148 2,487 980 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 55% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 11% Student Loans 7% Credit Card Rec 5% Other 7%

Year to date as of 02/11 Term (days) 02/05 02/06 02/09 02/10 02/11 1-week

2003 2002 2001 ABS (Public and 144A) 41,857 37,382 30,062 ABS (Public and 144A excluding CDOs) 40,336 36,113 27,960 ABS (Public Only) 34,134 32,500 25,639 ABS (144A Only) 7,724 4,882 4,423 Non-Agency MBS 11,657 19,111 11,402 Agency MBS 11,136 120,387 40,933 CMBS 2,018 2,775 946 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 2,647.1 1 66.2 2 Citigroup 1,000.0 2 25.0 1 Credit Suisse First Boston 350.0 3 8.8 1 Industry Total 3,997.1 - 100.0 4 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 BNP Paribas SA 919.5 1 60.4 1 Merrill Lynch & Co Inc 602.0 2 39.6 1 Industry Total 1,521.5 - 100.0 2 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 1,599.6 1 66.6 2 Merrill Lynch & Co Inc 452.2 2 18.8 1 Lehman Brothers 250.0 3 10.4 1 Wachovia Corp 100.0 4 4.2 1 Industry Total 2,401.8 - 100.0 4 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 - - - - - Industry Total - - - - Source: Thomson Financial