ABS

Capital One Financial's first senior/subordinated non-prime auto deal hit the market last week with a big splash as it priced through guidance, likely increasing the chances Capital One will issue that particular type of deal again.

By American Securitization Forum (abridged)

Year to date as of 05/26 Term (days) 05/20 05/23 05/24 05/25 05/26 1-week

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 4,741.1 1 15.3 9 Citigroup 3,758.3 2 12.1 6 Credit Suisse First Boston 3,449.5 3 11.1 7 Banc of America Securities LLC 3,433.2 4 11.1 7 Merrill Lynch & Co Inc 3,402.4 5 11.0 6 Barclays Capital 3,195.9 6 10.3 6 Wachovia Corp 3,012.5 7 9.7 6 JP Morgan 2,802.1 8 9.0 5 Goldman Sachs & Co 1,841.0 9 5.9 2 Lehman Brothers 780.3 10 2.5 1 Industry Total 31,033.0 - 100.0 30 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 8,156.5 1 19.7 12 Citigroup 5,097.2 2 12.3 12 Morgan Stanley 3,984.6 3 9.6 16 UBS 3,442.6 4 8.3 8 Lehman Brothers 3,418.9 5 8.2 11 Bear Stearns & Co Inc 2,530.2 6 6.1 6 Goldman Sachs & Co 2,007.0 7 4.8 2 Groupe Caisses d'Epargne 1,742.0 8 4.2 2 Royal Bank of Scotland Group 1,479.1 9 3.6 3 Wachovia Corp 1,241.9 10 3.0 3 Industry Total 41,497.6 - 100.0 110 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 4,974.9 1 38.1 11 Citigroup 2,874.8 2 22.0 6 Morgan Stanley 1,666.5 3 12.8 2 Barclays Capital 1,049.1 4 8.0 8 Deutsche Bank AG 959.8 5 7.4 8 Credit Suisse First Boston 488.3 6 3.7 3 Lehman Brothers 375.0 7 2.9 1 Banc of America Securities LLC 286.6 8 2.2 4 Merrill Lynch & Co Inc 212.6 9 1.6 2 Societe Generale 100.0 10 0.8 1 Industry Total 13,062.4 - 100.0 30 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 1,191.7 1 18.9 2 Deutsche Bank AG 1,191.7 1 18.9 2 Banc of America Securities LLC 750.0 3 11.9 1 Lehman Brothers 725.8 4 11.5 1 JP Morgan 725.8 4 11.5 1 Barclays Capital 725.8 4 11.5 1 HSBC Holdings PLC 566.7 7 9.0 1 Citigroup 212.0 8 3.4 1 Industry Total 6,319.5 - 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 Bear Stearns & Co Inc 22,792.0 1 9.8 38 Morgan Stanley 22,335.2 2 9.6 26 Lehman Brothers 21,740.6 3 9.3 52 Royal Bank of Scotland Group 21,111.4 4 9.1 34 Credit Suisse First Boston 19,809.1 5 8.5 46 Countrywide Securities Corp 18,767.1 6 8.0 23 Deutsche Bank AG 16,796.8 7 7.2 33 Banc of America Securities LLC 12,854.4 8 5.5 28 Merrill Lynch & Co Inc 12,018.7 9 5.2 15 Citigroup 11,312.1 10 4.9 24 Industry Total 233,334.8 - 100.0 413 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 Banc of America Securities LLC 3,134.2 1 15.8 4 Deutsche Bank AG 2,773.3 2 14.0 4 Morgan Stanley 2,757.6 3 13.9 3 Citigroup 2,482.7 4 12.5 5 Credit Suisse First Boston 2,196.2 5 11.1 3 Merrill Lynch & Co Inc 1,839.8 6 9.3 2 UBS 1,827.7 7 9.2 4 Lehman Brothers 1,012.4 8 5.1 1 JP Morgan 983.8 9 5.0 2 Goldman Sachs & Co 806.2 10 4.1 2 Industry Total 19,813.8 - 100.0 16 Source: Thomson Financial

auto ABS 19% credit card ABS 6% global MBS 5% real estate ABS 59% student loan ABS 7% other 3%

Textron Financial Corp. returned to the ABS market last week for the first time in three and a half years to a cool reception as its scheduled $1 billion private dealer floorplan deal was downsized to $750 million and saw its spreads widened at the last minute. The Banc of America Securities led deal, priced its three-year senior tranche at 12 basis points over one-month Libor last Wednesday, three basis points outside of talk set in the nine basis point area over Libor. The single-A rated subordinated class, meanwhile, priced inside of expectations at 32 basis points over Libor, versus talk in the mid 30 basis point area over Libor.

Crown Castle International is prepping a $1.9 billion private placement backed by cellular tower lease receivables via Morgan Stanley, the proceeds for which will be used to fund a tender offer for $1.4 billion in outstanding high-yield debt, the company announced last week. Should the transaction go as planned, Crown Castle will be the second issuer to securitize its tower lease revenues, following the pair of offerings Global Signal priced last year.

Capital One Financial is poised to offer its first-ever nonprime auto deal without a wrap this week, a Capital One official said. The deal was on a roadshow, to investors last week and is scheduled to be announced formally this week, sources confirmed.

Citigroup Global Markets has developed a credit card ABS index that compares deal data from 13 of the most prominent issuers in the sector such as American Express, Bank of America, Capital One Financial, Citibank, Discover, JPMorgan Chase, MBNA America Bank and The Metris Companies. Using one deal from each issuer as a benchmark, the index weights issuers by master trust balances and will also feature individual issuer comparisons against each other and against the index.

The U.S. ABS primary market priced $12 billion in new issues having priced as of press time Thursday and more were seen pricing in Friday's session, as mixed feedback from various economic indicators pushed the market along to a solid, but by no means stellar week.

NEW YORK - In a panel on the effect of CDOs on the fixed-income market, Bear Stearns traders said mortgage issuers and CDO managers are playing off one another. While one group provides the fuel - borrowers induced by new mortgage products to buy a new home or refinance - the other supplies the structure as well as the investors, replenishing liquidity through securitization. Whether that cycle is a so-called "shell game" was a bone of contention among the traders, but all seemed to agree that as long as investors are willing to pay, there will be managers willing to do deals.

NEW YORK - Investors, emphasizing the separation between credit and structured finance markets, reiterated that the Ford Motor Credit Co. and General Motors Co. corporate credit downgrades are a non-issue in the cash CDO market. In fact, some portfolio managers are loading up on Ford and GM securities now - effectively increasing their exposure - in order to benefit from the wide spreads and low prices.

NEW YORK - With home prices skyrocketing, Deutsche Bank Securities analysts warned that there is more of a downside risk in this cycle than at any other time in recent history at the investor gathering held here last week. Specifically, analysts expressed concern over California, which has seen a housing mega-boom' and is the epicenter of mortgage innovation.'

NEW YORK - With the demand and price of higher education climbing skyward, student loan ABS is expected to be the next hot growth sector, noted a panel of representatives from the three largest student loan issuers - Sallie Mae, Nelnet and First Marblehead Corp. - speaking at Deutsche Bank Securities' 2005 ABS Conference last week.

NEW YORK - The average secondary spread on institutional cashflow loans is much more volatile in the U.S. than in Europe, with U.S. rates swinging by as much as 150 basis points in a quarter, compared with European spreads that have barely moved in the past eight years, according to panelists speaking at the Bear Stearns Global Credit Conference last week.