ABS

Rev Cred/Home Eq 41% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 12% Credit Card Rec 12% Student Loans 6% Other 16%

BOCA RATON, FLA. - The ABS research roundtable discussion at Information Management Network's ABS East conference last week centered primarily on the valuation of triple-B credit card ABS versus comparably rated corporate unsecured debt. The precise valuations, researchers opined, depend upon an investor's view of corporate risk. Other dynamics do come into play. However, what drives valuation is the vantage point - what someone thinks of the placement of a securitized revenue stream in an issuer's capital structure compared with senior unsecured debt holders.

The ABS investor has seemingly evolved into a credit-savvy creature wary that structure does not always protect investments. Speaking at Information Management Network's ABS East, the Uncovering Relative Value in the Public Markets panel discussion showed how far institutional money managers have come in recent years.

Fitch Ratings took action last week on E*TRADE when it added E*TRADE Global Asset Management Inc. to the list of CDO managers it has reviewed and for which it has issued manager ratings.

BOCA RATON, FLA. - The once-rapidly growing auto lease sector of the ABS market has likely reached maturity and growth will be limited for the foreseeable future, panelists speaking at Information Management Network's ABS East gathering said. The seemingly infinite use of subvention loans as well as a lack of new issuers mean that auto lease volume has likely peaked and is seen leveling off from here on out.

Setting a new standard for the industry, MBNA America Bank received a servicer rating of "strong" last week by Standard & Poor's with a "stable" outlook - the first servicer rating assigned to a non-real estate consumer asset class. The move, prompted by investor inquiries, offers investors an independent view of servicing operations for a sector that, over the past two years, has shown the importance of maintaining a high quality of servicing.

As anticipated, issuance in the equipment sector is significantly ahead of last year's pace, with close to $9 billion so far in 2003, including truck and equipment wholesale financing. At about $7 billion, small-, mid-ticket and A&G sectors combined have already met the $6.9 billion seen for all of 2002, and there's still a quarter to go.

Say hello to the new ANC Rental Corp. - or rather, say hello to Vanguard Car Rental USA, the freshly formed entity that bought ANC's assets, including its subsidiary brands Alamo Rent a Car and National Car Rental, out of bankruptcy.

California sunlight, sweet Calcutta rain, Honolulu starbright - the song remains the same. Citigroup Global Market's fast start this year remained insurmountable throughout the third quarter this year, as it remained atop the league tables for the third straight quarter. Competition is fierce, however, as positions two through six are separated by just $7 billion.

Thanks to its mortgage-lending unit, General Motors Acceptance Corp. is the leading issuer of ABS through the first three quarters of the year, according to Thomson Financial. With GMAC-RFC accounting for the bulk of its $44.2 billion in total securitized assets, GMAC has sold more than twice the ABS supply than the second-leading seller this year.

The U.S. ABS primary market remained hot, with $14.5 billion marketed throughout the week. For a change, the auto sector saw the most supply, pricing over $6 billion, including a pair of firsts as well as some familiar names. Home equity supply dipped, however, pricing only $2 billion as of press time. The credit card and student loan sectors, meanwhile, had a pair of deals each.

Downgrades in Q303 were down sharply from Q103, with the exception of CDOs and equipment leases, according to Moody's Investors Service, which is expected to release these findings in its report detailing upgrade/downgrade activity for the third quarter. The report is due out in the coming days.

Year to date as of 10/08 Term (days) 10/02 10/03 10/06 10/07 10/08 1-week

2003 2002 2001 ABS (Public and 144A) 408,918 332,455 278,350 ABS (Public and 144A excluding CDOs) 379,506 294,857 242,859 ABS (Public Only) 334,461 264,504 208,045 ABS (144A Only) 74,458 67,950 70,305 Non-Agency MBS 255,311 186,423 140,905 Agency MBS 466,500 425,097 250,126 CMBS 53,325 39,373 47,171 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 7,871.8 1 16.3 11 Credit Suisse First Boston 5,805.2 2 12.0 10 Deutsche Bank AG 5,349.0 3 11.1 9 Citigroup 4,389.3 4 9.1 6 BANK ONE Corp 4,011.7 5 8.3 7 Morgan Stanley 3,873.9 6 8.0 7 Banc of America Securities LLC 3,512.5 7 7.3 7 Barclays Capital 3,068.8 8 6.4 8 Bear Stearns & Co Inc 2,856.5 9 5.9 1 Merrill Lynch & Co Inc 1,635.8 10 3.4 3 Industry Total 48,338.7 - 100.0 59 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 4,898.5 1 16.7 14 Deutsche Bank AG 3,455.4 2 11.8 9 Wachovia Corp 2,886.6 3 9.8 10 Citigroup 2,755.6 4 9.4 8 Bear Stearns & Co Inc 2,209.8 5 7.5 9 Morgan Stanley 2,156.8 6 7.3 6 Merrill Lynch & Co Inc 1,771.7 7 6.0 7 UBS 1,520.0 8 5.2 4 Lehman Brothers 1,493.4 9 5.1 5 Goldman Sachs & Co 1,362.5 10 4.6 5 Industry Total 29,412.3 - 100.0 88 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 11,920.9 1 23.7 19 BANK ONE Corp 9,606.6 2 19.1 19 JP Morgan 8,253.7 3 16.4 15 Barclays Capital 5,373.8 4 10.7 10 Morgan Stanley 3,954.5 5 7.9 5 Deutsche Bank AG 3,059.6 6 6.1 11 Banc of America Securities LLC 2,787.3 7 5.5 9 Credit Suisse First Boston 1,819.1 8 3.6 6 Merrill Lynch & Co Inc 1,245.0 9 2.5 5 Wachovia Corp 1,153.0 10 2.3 5 Industry Total 50,321.6 - 100.0 86 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 1,375.0 1 20.7 5 Merrill Lynch & Co Inc 1,042.4 2 15.7 2 Banc of America Securities LLC 922.7 3 13.9 2 JP Morgan 875.0 4 13.2 4 Barclays Capital 710.7 5* 10.7 1 Lehman Brothers 710.7 5* 10.7 1 Citigroup 500.0 7* 7.5 1 BANK ONE Corp 500.0 7* 7.5 1 Industry Total 6,636.5 - 100.0 9 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 29,235.1 1 13.3 71 Royal Bank of Scotland Group 20,618.8 2 9.4 42 Citigroup 20,483.3 3 9.3 53 Morgan Stanley 19,624.2 4 8.9 43 Countrywide Securities Corp 18,137.5 5 8.2 33 JP Morgan 17,469.1 6 7.9 22 Credit Suisse First Boston 15,794.3 7 7.2 42 Banc of America Securities LLC 15,385.7 8 7.0 49 Deutsche Bank AG 15,169.6 9 6.9 35 Bear Stearns & Co Inc 12,924.5 10 5.9 30 Industry Total 220,637.4 - 100.0 425 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 5,332.8 1 21.0 10 Morgan Stanley 4,244.2 2 16.7 8 Deutsche Bank AG 3,841.8 3 15.1 7 Credit Suisse First Boston 3,583.8 4 14.1 7 Merrill Lynch & Co Inc 3,420.7 5 13.4 6 JP Morgan 1,398.0 6 5.5 4 UBS 1,368.0 7 5.4 4 Banc of America Securities LLC 1,186.3 8 4.7 3 BANK ONE Corp 507.6 9* 2.0 1 Lehman Brothers 507.6 9* 2.0 1 Industry Total 25,450.8 - 100.0 25 Source: Thomson Financial