ABS

The Federal Reserve recently released its quarterly Senior Loan Officer Opinion Survey on Bank Lending Practices. Results show that there was some easing on lending standards and terms for C&I loans to large and middle market firms. Regarding all respondents, the percentage where standards remained basically unchanged slipped to 75.9% versus 76.4% in the January survey. The percentage that eased slightly rose to 24.1% from 23.6%. Banks that eased lending standards cited increased competition from other business credit sources along with a more favorable economic outlook.

Year to date as of 05/18 Term (days) 05/12 05/13 05/16 05/17 05/18 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 16.4 9 Credit Suisse First Boston 3,449.5 2 11.9 7 Banc of America Securities LLC 3,433.2 3 11.9 7 Merrill Lynch & Co Inc 3,402.4 4 11.8 6 Citigroup 3,206.3 5 11.1 5 Barclays Capital 3,195.9 6 11.1 6 JP Morgan 2,802.1 7 9.7 5 Wachovia Corp 2,012.5 8 7.0 5 Goldman Sachs & Co 1,289.0 9 4.5 1 Lehman Brothers 780.3 10 2.7 1 Industry Total 28,929.0 - 100.0 28 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 7,149.5 1 17.9 11 Citigroup 5,097.2 2 12.8 12 Morgan Stanley 3,984.6 3 10.0 16 UBS 3,442.6 4 8.6 8 Lehman Brothers 3,418.9 5 8.6 11 Bear Stearns & Co Inc 2,530.2 6 6.3 6 Goldman Sachs & Co 2,007.0 7 5.0 2 Groupe Caisses d'Epargne 1,742.0 8 4.4 2 Royal Bank of Scotland Group 1,479.1 9 3.7 3 Wachovia Corp 1,241.9 10 3.1 3 Industry Total 39,988.6 - 100.0 106 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 21.4 2 Deutsche Bank AG 1,191.7 1 21.4 2 Lehman Brothers 725.8 3 13.0 1 JP Morgan 725.8 3 13.0 1 Barclays Capital 725.8 3 13.0 1 HSBC Holdings PLC 566.7 6 10.2 1 Citigroup 212.0 7 3.8 1 Industry Total 5,569.5 - 100.0 5 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 4,025.0 1 33.2 9 Citigroup 2,874.8 2 23.7 6 Morgan Stanley 1,666.5 3 13.8 2 Barclays Capital 1,049.1 4 8.7 8 Deutsche Bank AG 784.8 5 6.5 8 Credit Suisse First Boston 488.3 6 4.0 3 Merrill Lynch & Co Inc 387.6 7 3.2 4 Lehman Brothers 375.0 8 3.1 1 Banc of America Securities LLC 286.6 9 2.4 4 Societe Generale 100.0 10 0.8 1 Industry Total 12,112.5 - 100.0 28 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 10.0 38 Morgan Stanley 22,335.2 2 9.8 26 Lehman Brothers 21,589.0 3 9.5 52 Royal Bank of Scotland Group 20,390.4 4 8.9 32 Credit Suisse First Boston 19,211.2 5 8.4 45 Countrywide Securities Corp 18,767.1 6 8.2 23 Deutsche Bank AG 16,796.8 7 7.4 33 Banc of America Securities LLC 12,022.0 8 5.3 26 Merrill Lynch & Co Inc 11,854.6 9 5.2 15 Citigroup 10,317.1 10 4.5 22 Industry Total 228,206.8 - 100.0 404 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 18.5 4 Morgan Stanley 2,757.6 2 16.2 3 Citigroup 2,230.0 3 13.1 4 Credit Suisse First Boston 2,196.2 4 12.9 3 UBS 1,827.7 5 10.8 4 Deutsche Bank AG 1,483.8 6 8.7 3 Lehman Brothers 1,012.4 7 6.0 1 JP Morgan 983.8 8 5.8 2 Goldman Sachs & Co 806.2 9 4.8 2 Merrill Lynch & Co Inc 550.3 10 3.2 1 Industry Total 16,982.2 - 100.0 14 Source: Thomson Financial

auto ABS 18% credit card ABS 6% global MBS 5% real estate ABS 60% student loan ABS 8% other 4%

Capital One is roadshowing its first ever senior/subordinated non-prime auto deal this week, a Capital One official confirmed. The transaction will be led by Citigroup Global Markets and Wachovia Securities and will be structured down to the triple-B level. The official said the deal is expected to hit the market next week, but was unable to comment on the deal's size.

United Capital Markets priced the first aircraft lease repackage deal of the year last week, according to sources. There are potentially more restructurings on the way, as well as up to three new-issue pooled aircraft lease transactions - bringing a resurgence of liquidity to the sector, and satisfying investors looking to diversify ABS holdings outside of home equity ABS.

On the heels of Moody's Investors Service following suit last week and downgrading the corporate unsecured ratings of Ford Motor Co. and Ford Motor Credit, the auto ABS sector is primed and ready to receive the tidal wave of issuance expected from the beleaguered Big-Two as those companies are forced to turn away from the corporate debt markets for funding.

Moody's Investors Service will begin adding plus and minus gradients to its servicer ratings, the New York-based rating agency announced May 10. The change will take effect only on new ratings.

The parent of credit card issuer MBNA America Bank and no less than eight officers and directors of the company were hit with three separate shareholder class action lawsuits last week. Law firms Milberg Weiss Bershad & Shulman of New York, Schatz & Nobel of Hartford, Conn. and Schiffrin & Barroway of Radnor, Pa. all filed suits on behalf of investors in MBNA in the U.S. District Court for the District of Delaware.

The American Securitization Forum hopes to help issuers get up to speed on the implementation of the Securities & Exchange Commission's Regulation AB, the first rule tailored specifically for the ABS market, according to Michael Mitchell, partner with Orrick, Herrington & Sutcliffe who will moderate a five member panel on the new regulation at the ASF's Annual Meeting in New York on June 9.

The New York Yankees were not the only ones on a roll last week. The U.S. ABS primary market also had a stellar week, pricing nearly $20 billion in new issue supply. As the flailing Bombers rebounded to a five-game winning streak, the primary market bounced back from its own mini-slump. The week before last saw only $2 billion in issuance. Was the Phoenix-esque rise of America's team somehow linked to the revitalization of the ABS primary market? Probably not, but here is what hit the primary last week...

Representing a departure from the norm for the net interest margin sector, Lehman Brothers has begun marketing a NIM backed by loans to small businesses. While synonymous with the home equity sector, small business loans offer more reliable flows from prepayment penalties, according to a ratings analyst who worked on the deal. A Lehman syndicate official declined to comment on the transaction, as it has yet to close.

Likely a part of Fannie Mae's effort to meet capital requirements, the government sponsored entity unloaded a slew of asset-backed securities from its books last week through $9 billion total in private placement re-REMIC deals reportedly consisting entirely of subprime mortgage collateral.

Synthetic and investment grade cash CDOs referenced to corporate names may have taken a slight hit this week, while structured finance CDOs remained stable as investors reacted to the corporate credit downgrades to junk status for Ford Motor Co. and General Motors Corp. by Standard & Poor's.

Even though spreads for CDOs backed by structured finance and high yield loan collateral continue cranking tighter, the return is "more than fair" in the triple-B rated tranches of those deals, where tightening has not kept pace with higher-rated tranches, according to a recent UBS report. For example, while triple-A and double-A rated structured finance CDOs are at their tightest-ever spread levels, single-A and triple-B rated tranches are 20 and 65 basis points wider than historic tights, respectively, according to UBS.