ABS

Three years ago, fraudulent behavior related to a few deals in the structured finance market turned a spotlight on the role of the trustee, and the obscure world of deal document management has never been the same since. "We had to go out and do a better job of explaining the role of the trustee," said Joseph Giordano, senior vice president and head of JPMorgan Chase's Worldwide Securities Services.

Year to date as of 05/05 Term (days) 04/29 05/02 05/03 05/04 05/05 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 4,207.7 1 15.5 8 Credit Suisse First Boston 3,449.5 2 12.7 7 Merrill Lynch & Co Inc 3,402.4 3 12.5 6 Citigroup 3,206.3 4 11.8 5 Barclays Capital 3,195.9 5 11.8 6 Banc of America Securities LLC 2,899.9 6 10.7 6 JP Morgan 2,268.8 7 8.4 4 Wachovia Corp 1,837.0 8 6.8 4 Goldman Sachs & Co 1,289.0 9 4.8 1 Lehman Brothers 780.3 10 2.9 1 Industry Total 27,153.5 - 100.0 26 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 6,848.8 1 19.4 10 Citigroup 4,165.6 2 11.8 10 Morgan Stanley 3,959.6 3 11.2 14 UBS 3,442.6 4 9.7 8 Lehman Brothers 2,714.2 5 7.7 9 Bear Stearns & Co Inc 2,271.2 6 6.4 5 Groupe Caisses d'Epargne 1,742.0 7 4.9 2 Goldman Sachs & Co 1,500.0 8 4.2 1 Wachovia Corp 1,241.9 9 3.5 3 JP Morgan 987.3 10 2.8 2 Industry Total 35,338.0 - 100.0 90 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 36.4 9 Morgan Stanley 1,666.5 2 15.1 2 Citigroup 1,624.8 3 14.7 5 Barclays Capital 1,049.1 4 9.5 8 Deutsche Bank AG 748.9 5 6.8 6 Lehman Brothers 625.0 6 5.7 2 Merrill Lynch & Co Inc 512.6 7 4.6 4 Credit Suisse First Boston 413.3 8 3.7 2 Banc of America Securities LLC 286.6 9 2.6 4 UBS 46.3 10 0.4 1 Industry Total 11,051.6 - 100.0 23 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 Bear Stearns & Co Inc 20,955.1 1 10.0 33 Morgan Stanley 19,280.0 2 9.2 23 Countrywide Securities Corp 18,744.7 3 8.9 22 Royal Bank of Scotland Group 18,616.8 4 8.9 29 Lehman Brothers 17,297.8 5 8.2 43 Credit Suisse First Boston 16,999.2 6 8.1 40 Deutsche Bank AG 16,768.8 7 8.0 32 Banc of America Securities LLC 11,975.0 8 5.7 23 Merrill Lynch & Co Inc 10,937.9 9 5.2 14 Citigroup 10,027.4 10 4.8 21 Industry Total 210,222.3 - 100.0 374 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 18.9 4 Morgan Stanley 2,757.6 2 16.6 3 Citigroup 2,230.0 3 13.4 4 Credit Suisse First Boston 2,196.2 4 13.2 3 Deutsche Bank AG 1,483.8 5 8.9 3 UBS 1,447.2 6 8.7 3 Lehman Brothers 1,012.4 7 6.1 1 JP Morgan 983.8 8 5.9 2 Goldman Sachs & Co 806.2 9 4.9 2 Merrill Lynch & Co Inc 550.3 10 3.3 1 Industry Total 16,601.7 - 100.0 13 Source: Thomson Financial

auto ABS 9% credit card ABS 3% global MBS 3% real estate ABS 30% student loan ABS 4% other 2% Sector Total 50%

The global expansion of securitization markets continues with the first-ever Dubai, United Arab Emirates-originated loan backed offering hitting U.S. investors' desks this month, as well as the recent pricing of a transaction backed by commercial property payments originated in Dubai. Last Wednesday saw the completion of a $200 million Gold Sukuk DMCC transaction, which will be followed by a $350 million deal from Emirates National Securitisation Corp., which is scheduled to price this month.

Credit card issuer The Metris Companies will give a presentation for the Turnaround Management Association, an organization that studies corporate turnarounds, representing Metris' successful climb back from the edge of the financial abyss.

Home equity deals dominated a sluggish U.S. primary market that priced $10.4 billion last week. Three credit card deals and one auto deal also found their way to the fore while other sectors, such as student loans, equipment and auto leases, and rate reduction bonds sat on the bench.

Two prominent ABS research teams tackled the credit card sector last week as Lehman Brothers touted Discover Bank's ABS as a refuge of value after its spreads widened on reports of a corporate spinoff, and Morgan Stanley dissected various issues at credit card issuers GE Capital, Capital One Financial and the Bank of America-owned Fleet trust.

Personal bankruptcy filings in the U.S. totaled a whopping 165,459 in March, reportedly the largest number on record, but so far credit card ABS performance trends have remained stable and are expected to stay that way, according to Fitch Ratings. The spike represents an 8.5% increase over March 2004, but is only 0.2% higher, year-to-date, than last year. The March increase is largely due to the enactment of the Bankruptcy Reform Act, signed by President George W. Bush on April 20.

NEW YORK - Although Basel II and U.S. regulatory changes continue to have an impact on the conduit market, growth in asset-backed commercial paper issuance is expected to continue, said Deborah Seife, managing director at Fitch Ratings at a briefing the ratings agency hosted here last week.

Pacific Investment Management Co. is scaling back its investment in structured finance CDOs this year due to performance concerns. The move could be the "catalyst for concern in the entire market," said Steven Finnk, an analyst at United Capital Markets.

CDOs stand as "about the only market with spreads at or near all-time tights," according to a JPMorgan Securities report. "This performance cannot continue indefinitely," analysts wrote.

Zoe (Jinyang) Wang, analyst; Julia Tung, vice president and senior analyst, Moody's Investors Service

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 4,207.7 1 16.5 8 Credit Suisse First Boston 3,449.5 2 13.6 7 Citigroup 3,206.3 3 12.6 5 Barclays Capital 3,195.9 4 12.6 6 Merrill Lynch & Co Inc 2,502.4 5 9.8 4 JP Morgan 2,270.2 6 8.9 4 Banc of America Securities LLC 2,001.3 7 7.9 4 Wachovia Corp 1,837.0 8 7.2 4 Goldman Sachs & Co 1,289.0 9 5.1 1 Lehman Brothers 780.3 10 3.1 1 Industry Total 25,433.4 - 100.0 25 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 6,848.8 1 21.4 10 Morgan Stanley 3,864.6 2 12.0 13 Citigroup 3,526.6 3 11.0 8 UBS 3,142.6 4 9.8 7 Lehman Brothers 2,714.2 5 8.5 9 Bear Stearns & Co Inc 2,271.2 6 7.1 5 Groupe Caisses d'Epargne 1,742.0 7 5.4 2 Banc of America Securities LLC 1,454.9 8 4.5 6 Wachovia Corp 1,241.9 9 3.9 3 JP Morgan 987.3 10 3.1 2 Industry Total 32,085.1 - 100.0 80 Source: Thomson Financial