CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Countrywide Securities Corp 17,674.8 1 11.6 17 Bear Stearns & Co Inc 17,149.0 2 11.2 24 Lehman Brothers 14,916.3 3 9.8 36 Morgan Stanley 14,097.8 4 9.2 16 Royal Bank of Scotland Group 13,760.5 5 9.0 22 Deutsche Bank AG 12,915.7 6 8.4 24 Credit Suisse First Boston 12,357.6 7 8.1 28 Merrill Lynch & Co Inc 8,743.8 8 5.7 10 Goldman Sachs & Co 6,815.0 9 4.5 11 Citigroup 6,372.2 10 4.2 16 Industry Total 153,004.8 - 100.0 222 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 24.2 4 Citigroup 2,230.0 2 17.2 4 Credit Suisse First Boston 1,645.9 3 12.7 2 Morgan Stanley 1,540.6 4 11.9 1 UBS 1,447.2 5 11.2 3 Lehman Brothers 1,012.4 6 7.8 1 Deutsche Bank AG 817.2 7 6.3 2 Goldman Sachs & Co 806.2 8 6.2 2 JP Morgan 317.2 9 2.5 1 Industry Total 12,950.9 - 100.0 11 Source: Thomson Financial

auto ABS 18% credit card ABS 4% global MBS 6% real estate ABS 61% student loan ABS 8% Other 3%

The State of Texas filed an administrative appeal last week against the Public Utility Commission of Texas' decision to give CenterPoint Energy the green light to issue $1.8 billion in rate reduction bonds, delaying the issue that CenterPoint was planning for the near term (see ASR 3/14/05). The appeal was filed last Wednesday in the District Court of Travis County, Texas, where the state capital of Austin is located, and could derail the deal indefinitely. Tom Kelly, spokesman for the Texas State Attorney General's office, declined to comment, saying it does not comment on pending legal matters.

After a shaky three-year period characterized by low issuance, corporate bankruptcies and consolidation, dubbed the perfect storm,' the equipment-least sector is ripe for a comeback, say market observers. Buoyed by strong demand for agricultural equipment, more experienced issuers and higher lease origination volumes in general, the sector is expected to see up to $10 billion in issuance this year, compared to $7.6 billion in 2004, and an even greater increase in the years to follow.

Volume in the primary U.S. ABS market was relatively light last week, coming in just under $5 billion as of Thursday's market close. Real estate ABS accounted for $1.6 billion in total new issues, and was comprised of several smaller deals with just one breaking the $500 million mark. Subprime collateral dominated the home-equity calendar.

In a 45-page report on General Motors and General Motors Acceptance Corp., a team of Merrill Lynch analysts from the unsecured debt and ABS groups highlighted the benefits and drawbacks of GMAC's increased reliance on securitization as its corporate rating heads south. GMAC has already started to change its funding strategy to rely more on secured financing and is likely to be forced to turn to the securitization markets even more if its corporate debt falls below investment-grade status.

NEW YORK - The CDO market is embroiled in an ongoing battle for collateral, and to the consternation of investors, the food fight has forced some managers to seek out alternative solutions, according to delegates at Information Management Network's CDO and Credit Derivatives conference held here last week.

NEW YORK - Few deny that the advent of non-proprietary analytical software programs during the past several years has paved the way for smaller participants in the CDO market by hastening the bid process with faster analytical turnaround. However, delegates questioned how level the playing field really is.

The scene opens with John Smith, a partner with a major New York law firm representing clients in exotic asset securitizations, and David Jones, a partner with another major New York law firm representing clients in more mainline securitizations, were standing at the back of the conference room waiting for their panel discussion about the recently adopted SEC ABS Rules to begin.

By Erkan Erturk, Ph.D., director, and Tom Gillis, managing director, Standard & Poor's

Year to date as of 03/30 Term (days) 03/24 03/25 03/28 03/29 03/30 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 3,206.3 1 16.8 5 Credit Suisse First Boston 3,143.5 2 16.5 5 Merrill Lynch & Co Inc 2,502.4 3 13.1 4 Barclays Capital 2,445.9 4 12.8 5 Deutsche Bank AG 2,027.7 5 10.7 3 Wachovia Corp 1,580.0 6 8.3 3 Goldman Sachs & Co 1,289.0 7 6.8 1 Banc of America Securities LLC 1,244.3 8 6.5 2 JP Morgan 989.9 9 5.2 2 ABN AMRO 479.6 10 2.5 1 Industry Total 19,045.8 - 100.0 17 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 5,840.3 1 24.0 8 Morgan Stanley 3,064.6 2 12.6 12 Citigroup 2,965.7 3 12.2 7 UBS 2,632.6 4 10.8 6 Bear Stearns & Co Inc 2,271.2 5 9.3 5 Lehman Brothers 2,034.2 6 8.4 7 Groupe Caisses d'Epargne 1,742.0 7 7.2 2 Credit Suisse First Boston 889.0 8 3.7 3 Royal Bank of Scotland Group 866.1 9 3.6 2 JP Morgan 685.0 10 2.8 1 Industry Total 24,315.5 - 100.0 59 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 1,579.0 1 29.8 1 JP Morgan 1,400.0 2 26.4 6 Citigroup 1,125.0 3 21.2 3 Barclays Capital 617.6 4 11.6 5 Lehman Brothers 375.0 5 7.1 1 Merrill Lynch & Co Inc 174.3 6 3.3 1 Deutsche Bank AG 17.6 7 0.3 1 Banc of America Securities LLC 17.6 7 0.3 1 Industry Total 5,306.1 - 100.0 12 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 16,254.1 1 12.8 22 Morgan Stanley 13,297.8 2 10.5 16 Royal Bank of Scotland Group 12,523.2 3 9.9 20 Deutsche Bank AG 11,255.6 4 8.9 21 Credit Suisse First Boston 11,248.8 5 8.9 24 Countrywide Securities Corp 10,435.9 6 8.2 11 Lehman Brothers 9,393.5 7 7.4 27 Merrill Lynch & Co Inc 7,976.3 8 6.3 9 Citigroup 6,215.2 9 4.9 15 Banc of America Securities LLC 4,685.6 10 3.7 11 Industry Total 126,834.7 - 100.0 188 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 Lehman Brothers 725.8 1 30.4 1 JP Morgan 725.8 1 30.4 1 Barclays Capital 725.8 1 30.4 1 Citigroup 212.0 4 8.9 1 Industry Total 2,389.5 - 100.0 2 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 2,368.0 1 21.5 3 Citigroup 1,830.0 2 16.6 3 Credit Suisse First Boston 1,645.9 3 14.9 2 Morgan Stanley 1,540.6 4 14.0 1 UBS 1,447.2 5 13.1 3 Lehman Brothers 1,012.4 6 9.2 1 Deutsche Bank AG 817.2 7 7.4 2 JP Morgan 317.2 8 2.9 1 Goldman Sachs & Co 40.0 9 0.4 1 Industry Total 11,018.5 - 100.0 9 Source: Thomson Financial

The ABS market experienced its first early amortization of the year last week, when Mellon Bank Premium Finance Loan Master Trust, Series 2002-1 breached its 5% transferor interest 10-day average trigger, according to records filed with the Securities and Exchange Commission. In the filing, issuer Mellon Financial Markets, reported that the event occurred on March 7, and that funds were in the process of being deposited with the trustee, Wells Fargo Bank, and monthly principal distributions would begin with the April 15 payment.

The seemingly endless supply of interest in real estate investments struck an opportunistic chord with the creative forces in the structured-finance market, resulting in a brand new CDO that taps REITs. Small and mid-sized REITs, which generally have trouble accessing the capital markets due to cost concerns, were able to raise funding through a new structure in the CDO market.