CDOs

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 2 11.3 4 Deutsche Bank AG 3,042.0 3 10.9 5 Morgan Stanley 2,757.6 4 9.9 3 Credit Suisse First Boston 2,696.2 5 9.7 4 Goldman Sachs & Co 2,127.2 6 7.6 4 Merrill Lynch & Co Inc 1,839.8 7 6.6 2 UBS 1,827.7 8 6.6 4 JP Morgan 1,158.5 9 4.2 3 Lehman Brothers 1,012.4 10 3.6 1 Industry Total 27,867.5 - 100.0 22 Source: Thomson Financial

auto ABS 19% credit card ABS 7% global MBS 5% real estate ABS 58% student loan ABS 8% other 4%

Dominion Bond Rating Service is expecting Canadian conduits to become an increasingly larger player in the CDO market. The rating agency is projecting conduit CDO purchases to grow to 15% to 20% of conduit outstandings next year, up from a currently estimated 7% to 8% share. But, that growth will depend, in part, on conduit and ABCP investor support of the products, which Dominion is trying to drum up.

Friedman Billings Ramsey released another positive report on the state of underwriting in residential mortgage loans in which its author, Michael Youngblood, FBR's head of ABS research, is sure will be controversial. Youngblood said the concept of deteriorating mortgage loan underwriting is generally unfounded and "a source of some wonderment that at least a significant part of the media world has grasped onto." (See related story p. 14).

The ABS primary market steamed onward into the first official week of summer as $25 billion in new issues were in the market. By some calculations the market has already outpaced 2004 year-to-date by nearly $150 billion in issuance, and no one seems to be expecting a slowdown anytime soon.

The auto fleet lease sector witnessed the coming of a first-time entrant last week as Chicago-based leasing company Wheels, Inc. priced a private, $500 million deal led by JPMorgan Securities, its first ever term securitization. Wheels had previously issued discreetly into the conduit market.

The state utility boards of Florida and New Jersey last week helped clear the way for power companies within their states to issue utility ratepayer-backed bonds.

Two first-time CDO managers are closing a pair of separate deals in the coming weeks, both backed predominantly by CMBS. Real estate investment trust Gramercy Capital Corp. priced a $1 billion CDO last week, and SCFFI GP LLC, an affiliate of hedge fund manager Five Mile Capital Partners, is planning to close a $467 million deal.

BARCELONA - For every good party, there are swarms of uninvited just waiting to crash it. And as one participant at Information Management Network's ninth annual Global ABS Conference' held here said last week, "the party has been crashed."

In a research report last week, Morgan Stanley's ABS research team examined the relative value of combining a double-A/double-B plus trade, versus a standalone triple-B minus trade in the home equity sector, showing that on both a credit adjusted and option adjusted spread basis, the double-A/double-B plus combination enhances yield and improves the default risk profile compared to buying triple-B minus bonds alone.

MBNA Corp. announced a $370 million fixed-rate deal backed by equipment loans to dental practices through its subsidiary MBNA Practice Solutions, Inc., formerly Sky Financial Solutions, Inc. Sky Financial had been a regular issuer of such deals before it was acquired by MBNA last April, and this is the first securitization from the entity since.

Navistar Financial Corp. was back was in the market last week with $600 million in a truck loan- and lease-backed private placement. The deal represents a refinancing of the $500 million series 2000-1 deal out of Navistar's Truck Retail Installment Paper trust. Navistar Vice President and Treasurer, A.J. Cederoth, said the company does not have plans to enter with another TRIP offering until its 2005-1 deal nears maturity. "Our plans will be to refinance in five years," he said.

Not even the Global ABS Conference' could stop the heady U.S. ABS primary market from pricing and marketing nearly $15 billion in yet another strong spring week ahead of the end of the second quarter. As the conference raged in Barcelona last week, the auto, credit card and real estate sectors all saw healthy amounts of issuance and a student loan deal snuck its way into the market, but had not priced as of press time.

Merrill Lynch priced a $1.8 billion deal backed largely by prime retail auto loans purchased wholesale from Capital One Financial, Ford Motor Credit Co., E-Loan Inc. and Onyx Acceptance Corp. The deal represents the first auto loan securitization issued by the Merrill Auto Trust Securitization, named MATS 2005-1 and is also Merrill's first auto whole loan deal issued on its own behalf.

BARCELONA - Alas, a multinational residential mortgage securitizations still only exists in the dreams of nail-biting-real-estate-bubble-phobes in search of the ultimate in geographically diverse loan pools. Such a concept may only be a pipe dream, despite anticipated growth in pan-European lenders, as the concept of cross-jurisdictional securitization is "fraught with difficulty," primarily because of numerous legal and regulatory hurdles that stretch from borrower, to issuer, to investor and back again several times over, according to panelists at this year's Global ABS Conference' held here last week.

BARCELONA - A number of conference participants last week said they anticipate the asset-backed commercial paper market, particularly in the single-seller and extendible paper arenas, to experience growth this year as companies look to diversify funding sources.

BARCELONA - Market players are coordinating to create both in-house and publicly available ABS credit default swap indices - a much needed reference point for the rapidly growing market, they said. A pricing index for CMBS could be available by September, and a more encompassing ABS CDS index may be rolled out by the second half of the year.

Year to date as of 06/16 Term (days) 06/10 06/13 06/14 06/15 06/16 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,499.6 1 15.0 11 JP Morgan 6,391.9 2 14.7 9 Deutsche Bank AG 5,641.7 3 13.0 10 Barclays Capital 4,302.5 4 9.9 8 Merrill Lynch & Co Inc 4,114.9 5 9.5 7 Credit Suisse First Boston 4,111.9 6 9.5 8 Banc of America Securities LLC 3,433.1 7 7.9 7 Wachovia Corp 3,362.5 8 7.7 7 Goldman Sachs & Co 1,841.0 9 4.2 2 Lehman Brothers 1,504.9 10 3.5 2 Industry Total 43,478.6 - 100.0 41 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 12,174.2 1 22.7 17 Citigroup 6,085.2 2 11.3 15 Lehman Brothers 4,168.9 3 7.8 12 Morgan Stanley 4,049.6 4 7.5 17 UBS 3,802.6 5 7.1 10 Bear Stearns & Co Inc 2,715.2 6 5.1 7 Goldman Sachs & Co 2,607.0 7 4.9 3 Wachovia Corp 2,359.9 8 4.4 6 Credit Suisse First Boston 2,239.0 9 4.2 5 Deutsche Bank AG 2,052.1 10 3.8 7 Industry Total 53,742.1 - 100.0 135 Source: Thomson Financial