ABS

Rev Cred/Home Eq 38% Auto Loans/Recs 14% Non-Jumbo Mtg Ln 14% Credit Card Rec 11% Student Loans 7% Other 16%

Forget yanking the wishbone - two CDOs were reportedly yanked from the market just prior to the holiday break. Investors, however, were still able to devour the collateral pool of one of the pulled deals.

New-issue supply slowed to roughly $6 billion ahead of the Thanksgiving holiday, as offerings from the previous week exited the pipeline and only a few issuers tapped the market prior to Wednesday. The most visible names to price last week were Big-Three captive auto lender Daimler-Chrysler N.A. Holdings and MBNA America Bank, which bought its 12th triple-A credit card ABS of the year.

News that Warren Buffett's Berkshire Hathaway would purchase manufactured housing lender Oakwood Homes for $373 million left the market optimistic that the issuer - when combined with previously acquired Clayton Homes - would provide stability to the lagging sector. But the news did not persuade players that outstanding transactions would miraculously remedy themselves.

Spreads on collateralized loan obligations are unusually wide given currently lower default rates and improved recoveries, suggesting now might be a good opportunity to purchase CLO paper.

Credit risk manager The Murrayhill Company is looking to expand its presence in the consumer asset-backed and CDO markets next year with new product offerings. Murrayhill, which typically offers oversight for mortgage pools of all sorts, is set to launch an array of initiatives, including CDO collateral manager services and an independent mark-to-market valuation service.

Year to date as of 12/03 Term (days) 11/27 11/28 12/01 12/02 12/03 1-week

2003 2002 2001 ABS (Public and 144A) 513,613 407,877 334,884 ABS (Public and 144A excluding CDOs) 473,763 362,785 290,192 ABS (Public Only) 414,847 326,972 248,135 ABS (144A Only) 98,766 80,905 86,749 Non-Agency MBS 292,477 219,708 173,522 Agency MBS 516,574 497,762 315,166 CMBS 64,122 46,360 58,170 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 10,052.6 1 15.6 14 Credit Suisse First Boston 7,996.7 2 12.4 15 Morgan Stanley 6,681.3 3 10.4 9 Deutsche Bank AG 6,541.5 4 10.2 10 Citigroup 5,525.9 5 8.6 10 BANK ONE Corp 5,321.8 6 8.3 10 Banc of America Securities LLC 4,097.2 7 6.4 9 Barclays Capital 4,051.4 8 6.3 10 Bear Stearns & Co Inc 2,856.5 9 4.4 1 Wachovia Corp 2,728.1 10 4.2 10 Industry Total 64,281.9 - 100.0 81 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 5,447.8 1 13.7 15 Wachovia Corp 4,137.6 2 10.4 16 Deutsche Bank AG 3,616.3 3 9.1 10 Goldman Sachs & Co 3,450.3 4 8.7 7 Citigroup 3,321.7 5 8.3 10 Merrill Lynch & Co Inc 2,690.7 6 6.8 9 Bear Stearns & Co Inc 2,514.8 7 6.3 10 Morgan Stanley 2,306.8 8 5.8 7 UBS 2,245.0 9 5.6 5 Caisse des Depots et Consign. 1,600.0 10 4.0 2 Industry Total 39,850.2 - 100.0 113 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 14,670.9 1 23.5 21 BANK ONE Corp 11,756.6 2 18.9 22 JP Morgan 10,553.7 3 16.9 18 Barclays Capital 5,498.8 4 8.8 11 Morgan Stanley 3,954.5 5 6.3 5 Deutsche Bank AG 3,834.6 6 6.2 14 Banc of America Securities LLC 3,812.3 7 6.1 12 Credit Suisse First Boston 2,818.7 8 4.5 10 Lehman Brothers 2,048.1 9 3.3 7 Merrill Lynch & Co Inc 1,744.5 10 2.8 7 Industry Total 62,350.8 - 100.0 103 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 2,184.6 1 29.3 7 Banc of America Securities LLC 922.7 2 12.4 2 JP Morgan 875.0 3 11.8 4 Barclays Capital 710.7 4* 9.5 1 Lehman Brothers 710.7 4* 9.5 1 Merrill Lynch & Co Inc 521.2 6* 7.0 2 Societe Generale 521.2 6* 7.0 2 Citigroup 500.0 8* 6.7 1 BANK ONE Corp 500.0 8* 6.7 1 Industry Total 7,446.1 - 100.0 11 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 Lehman Brothers 34,198.4 1 12.6 85 Credit Suisse First Boston 25,025.4 2 9.3 59 Citigroup 24,308.4 3 9.0 63 Morgan Stanley 22,990.7 4 8.5 49 Royal Bank of Scotland Group 22,936.0 5 8.5 47 Bear Stearns & Co Inc 20,158.6 6 7.5 43 Deutsche Bank AG 19,582.4 7 7.2 47 Banc of America Securities LLC 18,659.3 8 6.9 57 JP Morgan 18,530.6 9 6.9 26 Countrywide Securities Corp 18,291.7 10 6.8 35 Industry Total 270,521.3 - 100.0 543 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 7,352.6 1 21.2 14 Merrill Lynch & Co Inc 5,143.5 2 14.8 11 Morgan Stanley 4,898.6 3 14.1 10 Credit Suisse First Boston 4,203.5 4 12.1 9 Deutsche Bank AG 3,841.8 5 11.1 7 UBS 2,368.0 6 6.8 5 JP Morgan 2,096.2 7 6.0 6 Banc of America Securities LLC 2,090.1 8 6.0 6 Lehman Brothers 956.3 9 2.8 2 BANK ONE Corp 507.6 10 1.5 1 Industry Total 34,713.0 - 100.0 36 Source: Thomson Financial

Year to date as of Nov 26 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 3,229 2,202 1,027 3,229 2,202 457 361 208 Auto Loans/Recs 74,217 57,538 16,680 70,473 3,744 22,339 37,673 13,945 125 113 Cash 599 249 350 599 599 Commercial Loans 311 188 123 311 311 Corp Bond/Note 5,073 1,743 3,297 5,073 2,710 750 468 1,144 Corporate Loans 7,769 574 7,160 7,769 2,095 1,206 161 2,392 1,891 Credit Card Rec 62,351 17,611 44,740 61,369 981 20,219 5,408 32,223 2,000 2,500 Equip Loans 177 177 177 177 Equip. Leases 9,128 5,167 3,960 6,684 2,443 3,230 4,743 1,080 75 Floorplan Recs 7,446 2,132 5,314 6,610 836 2,132 1,790 3,524 Franchisee Loans 228 228 228 109 Home Impr Loans 8 8 8 8 Junk Bonds 6,167 954 5,212 6,167 1,966 1,743 2,458 Leases 1,388 1,388 1,388 760 178 Loans 2,998 2,998 2,998 2,998 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 71,513 24,385 43,808 64,125 7,388 31,130 17,247 21,334 1,344 275 Oil Receivables 750 750 750 750 Preferred Sec 2,061 651 1,385 2,061 854 108 177 921 Prv Issued Sec 1,899 1,159 615 198 1,701 1,899 Rental Car Rec. 4,125 2,400 1,725 1,000 3,125 1,500 460 2,165 Rev Cred/Home Eq 203,334 82,754 109,397 183,141 20,193 86,694 64,196 46,263 4,030 1,925 Sm Business Loan 1,045 1,045 1,045 401 644 Struc Fin Credit 24,810 5,045 19,728 24,810 11,154 758 4,077 5,087 3,652 Student Loans 36,963 1,900 28,601 30,193 6,770 11,281 5,939 9,685 7,020 1,926 Tax Liens 86 86 86 86 Ticket Rec 220 10 210 220 220 Timeshare Loans 848 715 133 848 170 678 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 Unspecified/NA 667 542 125 667 667 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 38% Auto Loans/Recs 14% Non-Jumbo Mtg Ln 13% Credit Card Rec 12% Student Loans 7% Other 16%

Amid a shroud of secrecy and following numerous delays, U.S. Bank N.A. has won the servicing rights for DVI Inc.'s deteriorating portfolio of medical equipment finance receivables. The announcement likely clears the way for the servicer event of default to be honored, making those who bought senior DVI paper at a discount the big winners in the saga.

Volume in the ABCP market has hovered steadily in the $725 billion range by the Federal Reserve's count, down from last November's $740 billion area. Most players don't see a whole lot of growth over the next month or so - contrary to the typical year-end push - but believe activity will increase notably in the new year.

Holders of Academic Management Services student loan ABS were bailed out from the recent troubles surrounding the name (see ASR 7/28/03), following the closing of its acquisition by Sallie Mae last week. Sallie Mae is expected to pay down the two outstanding senior/subordinated transactions and add the loans in the pool to its own future securitizations.

New-issue ABS supply picked up last week, ahead of the Thanksgiving holiday and the three-day trading week that accompanies it. Roughly $25 billion was marketed last week, primarily in the form of large home equity deals, although there were numerous offerings in off-the-run assets such as shipping containers, time-share loans and insurance receivables.