CDOs

NEW YORK - Despite regulatory uncertainty, the ABCP market is currently showing a record $775 billion in outstandings, according to statistics from the Federal Reserve. Growth in the whole loan mortgage sector and increased interest on the part of CDO managers in conduit funding are expected to fuel the creation of new ABCP programs in 2005, market sources said.

NEW YORK - Investment banks providing repo - or repurchase - funding to clients via the ABCP market are looking for novel structures in order to take these transactions off balance sheet, sources said.

Partially enhanced ABCP outstandings grew 4.3% from the 3Q04 to $601 billion at the end of 2004, consistent with amounts recorded at year-end in 2002 and 2003, according to a new report from Standard & Poor's. This figure has remained constant for the past three years, after growing an average 36% annually during the preceding 10 years.

The U.S. primary ABS market priced upwards of $7 billion during the abbreviated week leading into the Easter weekend. Volume was slightly down relative to the three weeks prior, which all saw volume of over $10 billion. The real estate sector comprised over $4.1 billion in total volume last week.

The available funds cap was the topic of discussion by analysts at Citigroup Global Markets and Morgan Stanley last week, as it has come into focus recently as short-term rates have risen steadily and excess spread on new deals has diminished.

A pending Congressional bill to reform liability laws for automobile rental and leasing companies could boost commercial activity in those sectors and possibly raise ABS issuance volumes as well. The bill may repeal existing vicarious tort liability laws, in which the leasing company of a vehicle can be held liable for damages or injury caused by the operator of the vehicle, or lessee, lifting a substantial cost burden for leasing and rental companies. The bill passed through the U.S. House of Representatives earlier this month and is awaiting consideration by the Senate.

Moody's Investors Service highlighted its expanded method of calculating net losses in auto loan pools, in a report issued last week. The calculation Moody's uses is an expansion on the traditional method of calculating cumulative net losses, and involves calculating a new statistic called cumulative net loss to liquidation, which Moody's claims is an indicator of the standard net loss statistic.

New York-based UCC Capital Corp. added its first foreign correspondent office last week, Toronto-based Lamerac Financial Corp., to focus on originating second-lien loan transactions and whole-company securitizations across all industry sectors.

Year to date as of 03/24 Term (days) 03/18 03/21 03/22 03/23 03/24 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Credit Suisse First Boston 3,143.5 1 18.4 5 Merrill Lynch & Co Inc 2,502.4 2 14.6 4 Citigroup 2,477.0 3 14.5 4 Barclays Capital 2,116.5 4 12.4 4 Deutsche Bank AG 2,027.7 5 11.8 3 Wachovia Corp 1,580.0 6 9.2 3 Goldman Sachs & Co 1,289.0 7 7.5 1 JP Morgan 989.9 8 5.8 2 Banc of America Securities LLC 515.0 9 3.0 1 ABN AMRO 479.6 10 2.8 1 Industry Total 17,120.6 - 100.0 14 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 4,149.8 1 21.4 6 Morgan Stanley 3,007.6 2 15.5 11 Citigroup 2,614.8 3 13.5 6 UBS 2,326.6 4 12.0 5 Bear Stearns & Co Inc 2,271.2 5 11.7 5 Lehman Brothers 1,694.3 6 8.7 5 Credit Suisse First Boston 889.0 7 4.6 3 Royal Bank of Scotland Group 866.1 8 4.5 2 JP Morgan 685.0 9 3.5 1 Wachovia Corp 681.0 10 3.5 2 Industry Total 19,399.2 - 100.0 47 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 31.2 1 JP Morgan 1,400.0 2 27.7 6 Citigroup 875.0 3 17.3 1 Barclays Capital 617.6 4 12.2 5 Lehman Brothers 375.0 5 7.4 1 Merrill Lynch & Co Inc 174.3 6 3.5 1 Deutsche Bank AG 17.6 7 0.4 1 Banc of America Securities LLC 17.6 7 0.4 1 Industry Total 5,056.1 - 100.0 10 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 Morgan Stanley 13,195.0 1 12.0 15 Deutsche Bank AG 12,769.1 2 11.6 22 Royal Bank of Scotland Group 9,806.0 3 8.9 18 Lehman Brothers 9,160.4 4 8.3 25 Bear Stearns & Co Inc 9,129.3 5 8.3 17 Credit Suisse First Boston 8,835.1 6 8.0 22 Countrywide Securities Corp 8,136.0 7 7.4 8 Merrill Lynch & Co Inc 7,976.1 8 7.3 9 Citigroup 6,910.8 9 6.3 16 Banc of America Securities LLC 4,862.7 10 4.4 11 Industry Total 110,059.6 - 100.0 167 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

auto ABS 17% credit card ABS 4% enterprise finance ABS 0% equipment ABS 2% global MBS 7% real estate ABS 60% stranded cost ABS 2% student loan ABS 8%

General Motors Acceptance Corp.'s dealer floorplan ABS saw some slight widening in the secondary ABS market last week on the heels of a corporate debt downgrade of both the company and its parent, General Motors. Sources around the market saw GMAC floorplan deals up to two basis points wider after the downgrade, much less than many had expected, while its auto loan deals were unchanged.

The U.S. primary ABS market maintained momentum last week pricing close to $10 billion for the third consecutive week. Real estate ABS accounted for roughly one-third of total new issuance. Additionally, as of Thursday's market close, just over $3 billion remained in the pipeline slated for a Friday session pricing.

Fitch Ratings is in talks with a large student-loan servicer in preparation for issuing its first servicer rating by the middle of 2005, although Fitch analyst David Hartung declined to name the servicer, saying only that it is one of the largest in the business.

Continuing upward pressure on oil prices coupled with disheartening news from Delta Airlines in its 10-k dinged aircraft ABS bonds in the secondary market last week, a source reported.