ABS

While the European non-CDO market appears to slowing in August, the U.S. ABS primary market is seeing plenty of activity, pricing $11.7 billion in new-issue supply. For once this year, the high-quality auto and credit card names left little room for home equity issuers to tap investor demand, which by week's end was strong for the pair of mortgage-related offerings in the market.

Spreads for DVI medical equipment ABS once again widened last week after the company missed a $7.7 million coupon payment for its only outstanding unsecured bond obligation. Described as having "one foot in the grave and the other on a banana peel," market participants see only two ways for DVI to continue as an ongoing concern - through bankruptcy or by obtaining a covenant waiver - the latter being viewed as unlikely.

After securitizing both dealer floorplan and business loan collateral this year, GE Capital is prepping an entrance into the credit card sector of the ABS market. While still in the preliminary stages, GE Capital unit Monogram Credit Card Bank of Georgia filed a preliminary prospectus with the Securities and Exchange Commission to securitize its private label and retail credit card originations.

New-issue supply totaled just $4.4 billion as early-week Treasury declines stole the focus, delaying transactions in the market. A pair of de-linked credit card offerings came and went quickly, but the largest offering last week was brought by student lender Sallie Mae, continuing the deluge of student loan supply this year. Also, a pair of NIMs priced, from two of the large mortgage lenders in the market.

The ABS/CMBS secondary markets moved hot and heavy last week, according to traders, while mortgages suffered. Amid semi-decent economic news, one trader called the action a "reverse flight to quality" trend, as structured finance triple-As, similarly to Treasurys, may experience a slight sell-off.

It's better to be a subprime lender than a prime one these days, according to the chairman and chief executive of New Century Financial Corp.

After months of marketing, the $225 million pharmaceutical patent royalty securitization from Royalty Pharma Finance Trust, just the second ever such transaction, closed last week after having been placed into an undisclosed conduit. Structured and underwritten by Credit Suisse First Boston, structural changes and additional credit enhancement were added to the trade to mitigate the risks that led to the 2000 transaction, BioPharma Royalty Trust I, entering into early amortization late last year.

Securitization has been a boon to banks looking to manage their loan exposures and free up capital, and Jeffrey Stern has played a significant role in the development of that market over the last 10 years.

Year to date as of Jul 30 Term (days) 07/24 07/25 07/28 07/29 07/30 1-week

2003 2002 2001 ABS (Public and 144A) 309,811 253,750 221,184 ABS (Public and 144A excluding CDOs) 289,568 223,948 191,345 ABS (Public Only) 256,557 199,555 162,324 ABS (144A Only) 53,255 54,195 58,860 Non-Agency MBS 180,696 125,941 103,689 Agency MBS 351,281 290,303 155,834 CMBS 38,537 28,371 36,228 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 5,831.6 1 16.7 8 Deutsche Bank AG 4,434.1 2 12.7 8 BANK ONE Corp 4,011.7 3 11.5 7 Citigroup 3,705.3 4 10.6 5 Credit Suisse First Boston 3,449.0 5 9.9 8 Morgan Stanley 2,815.2 6 8.0 5 Barclays Capital 2,603.6 7 7.4 6 Banc of America Securities LLC 2,447.8 8 7.0 5 Merrill Lynch & Co Inc 1,635.4 9 4.7 3 Goldman Sachs & Co 1,289.4 10 3.7 3 Industry Total 35,020.6 - 100.0 47 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 3,726.7 1 18.4 11 Wachovia Corp 3,164.9 2 15.6 10 Deutsche Bank AG 2,703.6 3 13.4 6 Citigroup 1,727.6 4 8.5 5 Bear Stearns & Co Inc 1,673.2 5 8.3 6 Morgan Stanley 1,511.3 6 7.5 5 Goldman Sachs & Co 1,178.5 7 5.8 4 UBS 900.0 8 4.5 2 Banc of America Securities LLC 884.6 9 4.4 4 Merrill Lynch & Co Inc 700.8 10 3.5 2 Industry Total 20,243.3 - 100.0 62 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 10,421.7 1 24.9 16 BANK ONE Corp 8,326.6 2 19.9 15 JP Morgan 6,078.6 3 14.5 11 Morgan Stanley 3,954.5 4 9.4 5 Barclays Capital 3,834.7 5 9.2 7 Banc of America Securities LLC 2,537.3 6 6.1 8 Deutsche Bank AG 2,209.6 7 5.3 8 Credit Suisse First Boston 1,669.2 8 4.0 5 Merrill Lynch & Co Inc 1,245.0 9 3.0 5 Lehman Brothers 948.1 10 2.3 4 Industry Total 41,898.2 - 100.0 69 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 39.7 5 JP Morgan 875.0 2 25.3 4 Citigroup 500.0 3* 14.4 1 BANK ONE Corp 500.0 3* 14.4 1 Banc of America Securities LLC 212.0 5 6.1 1 Industry Total 3,462.1 - 100.0 6 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 24,965.7 1 14.7 58 Countrywide Securities Corp 15,707.2 2 9.2 26 Morgan Stanley 15,209.4 3 8.9 33 Royal Bank of Scotland Group 13,321.9 4 7.8 31 Citigroup 12,977.4 5 7.6 33 Credit Suisse First Boston 12,247.5 6 7.2 29 JP Morgan 12,079.0 7 7.1 17 Deutsche Bank AG 11,749.9 8 6.9 27 Banc of America Securities LLC 11,135.4 9 6.5 32 Bear Stearns & Co Inc 8,603.8 10 5.1 18 Industry Total 170,358.7 - 100.0 315 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 3,746.1 1 20.0 7 Morgan Stanley 3,483.9 2 18.6 7 Deutsche Bank AG 2,740.7 3 14.6 5 Credit Suisse First Boston 2,437.7 4 13.0 5 Merrill Lynch & Co Inc 2,238.3 5 11.9 4 JP Morgan 1,398.0 6 7.5 4 Banc of America Securities LLC 1,186.3 7 6.3 3 BANK ONE Corp 507.6 8* 2.7 1 Lehman Brothers 507.6 8* 2.7 1 UBS 503.0 10 2.7 2 Industry Total 18,749.1 - 100.0 18 Source: Thomson Financial

Year to date as of Jul 30 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 1,365 1,365 1,365 1,365 Asset-Back Certs Auto Loans/Recs 41,350 33,382 7,968 38,846 2,505 10,983 22,056 8,128 125 35 Cash Catastrophe Bond Commercial Loans 311 188 123 311 311 Corp Bond/Note 2,246 419 1,794 2,246 1,300 348 598 Corporate Loans 4,734 422 4,277 4,734 1,392 774 161 906 1,501 Credit Card Rec 41,898 11,332 30,566 41,047 851 9,087 3,909 26,503 1,500 900 Debentures 2,104 2,104 2,104 2,104 Equip Loans Equip. Leases 6,288 4,318 1,970 4,591 1,697 2,016 3,530 668 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 4,756 2,757 1,999 4,756 3,390 1,002 221 144 Floorplan Recs 3,462 3,462 3,436 26 750 2,712 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 622 622 622 622 Junk Bonds 2,293 233 2,060 2,293 734 490 1,069 Legal Fees Loans 3,175 3,175 3,175 3,175 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Motorcycle Loans 975 975 975 975 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 38,654 12,884 25,429 33,837 4,816 15,465 6,899 14,763 1,173 203 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 1,626 984 517 87 1,539 1,626 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 134,818 58,268 75,236 123,458 11,360 63,869 37,360 30,645 2,134 667 Sm Business Loan 645 645 645 391 254 Stranded Costs Struc Fin Credit 14,791 2,692 12,063 14,791 7,571 352 2,304 2,659 1,824 Student Loans 20,215 816 16,647 18,479 1,736 3,864 3,955 6,530 4,937 218 Swap Agreement Tax Liens Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 Truck Loans Leases 450 450 450 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 41% Credit Card Rec 13% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 12% Student Loans 6% Other 15%

Yet another scandal hit the ABS market last week, as Academic Management Services Corp., a unit of financial services and insurance conglomerate UICI, announced inaccuracies and collateral shortfalls within its single-seller ABCP conduit, EFG Finding III. The situation was seemingly resolved, however, thanks to MBIA, which had UICI inject federally insured collateral into and rotate non-conforming loans out of the trust. MBIA had surety exposure to $839 million of term and auction-rate securities as well as having wrapped the $663 million EFG III conduit facility.

The martini of CDO maturation was shaken and stirred last week when Credit Suisse First Boston announced it had undertaken a major transition toward CDO transparency, joining other top-ranked firms that are now disseminating deal structure and collateral information to third-party analytic provider Intex.