CDOs

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.

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.