CDOs

PHOENIX - David Heike, head of ABS research at Lehman Brothers, started off last week's non-mortgage ABS research roundtable by likening the ABS sector to a Starbucks Frappuccino - frothy, steamy and rich.

PHOENIX - With ABS spreads grinding ever tighter and investors showing no signs of getting up from the table, one trader gave his opinion of where investors can satisfy their cravings during a preconference workshop at Information Management Network ABS West 2005 conference held here last week.

PHOENIX - The proliferation of IO mortgage product and adjustable rate mortgages over the past year was fodder for a lively debate about the future performance of such innovations in the mortgage market. Investors at Information Management Network ABS West 2005 conference held here last week, had varied opinions about the severity of the situation, but on the whole, no one seemed overjoyed.

PHOENIX - Delegates lined the walls for a standing room only session dedicated to CDOs, credit derivatives and synthetics at Information Management Network ABS West 2005 conference held here last week.

PHOENIX - Insurance product securitization is leading the pack in new asset classes seen throughout late last year and early this year, noted panelists at last week's Information Management Network ABS West 2005 opening panel discussion.

With the finalized numbers now in, it appears the market for collateralized debt obligations in Japan cooled its heels when it came to new issuance last year.

Year to date as of 02/09 Term (days) 02/03 02/04 02/07 02/08 02/09 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 2,283.9 1 19.7 3 Deutsche Bank AG 2,027.7 2 17.5 3 Merrill Lynch & Co Inc 1,642.8 3 14.2 2 JP Morgan 1,545.0 4 13.3 3 Goldman Sachs & Co 1,259.0 5 10.9 1 Citigroup 1,232.1 6 10.6 2 Barclays Capital 1,154.4 7 10.0 2 Wachovia Corp 450.0 8 3.9 1 Industry Total 11,594.8 - 100.0 8 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 807.9 1 40.6 2 JP Morgan 685.0 2 34.4 1 Merrill Lynch & Co Inc 497.5 3 25.0 1 Industry Total 1,990.4 - 100.0 4 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 96.8 1 Deutsche Bank AG 17.6 2 1.1 1 Barclays Capital 17.6 2 1.1 1 Banc of America Securities LLC 17.6 2 1.1 1 Industry Total 1,631.8 - 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 - - - - - Industry Total - - - - 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 Deutsche Bank AG 8,004.6 1 13.5 12 Royal Bank of Scotland Group 6,561.8 2 11.1 11 Credit Suisse First Boston 5,896.1 3 9.9 11 Morgan Stanley 5,164.6 4 8.7 8 Merrill Lynch & Co Inc 4,605.4 5 7.8 5 Lehman Brothers 4,542.6 6 7.7 13 Citigroup 4,202.9 7 7.1 6 Countrywide Securities Corp 4,078.3 8 6.9 4 Bear Stearns & Co Inc 3,637.0 9 6.1 9 Goldman Sachs & Co 2,878.1 10 4.9 4 Industry Total 59,399.5 - 100.0 79 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 Citigroup 1,980.0 1 23.4 3 UBS 1,583.3 2 18.7 3 Morgan Stanley 1,540.6 3 18.2 1 Credit Suisse First Boston 1,012.4 4 12.0 1 Lehman Brothers 1,012.4 4 12.0 1 Banc of America Securities LLC 700.0 6 8.3 1 Deutsche Bank AG 303.3 7 3.6 1 JP Morgan 303.3 7 3.6 1 Goldman Sachs & Co 40.0 9 0.5 1 Industry Total 8,475.5 - 100.0 6 Source: Thomson Financial

Year to date as of Feb 9 Coupon Type Market Average Life Buckets Asset Class Volume Pub/144A Fixed Rate Floating Rate Public 144A 0.0 to 0.9 1.0 to 2.9 3.0 to 5.9 6.0 to 7.9 8.0 to 11.0 Aircraft Leases 126 126 126 126 Auto Loans/Recs 41,391 36,622 4,769 35,132 6,259 16,580 18,742 6,069 Comm. Mtg 2,899 1,294 1,605 2,899 1,261 229 829 540 Commercial Loans Corp Bond/Note 3,846 1,696 2,150 3,846 2,569 746 45 485 Corporate Loans 5,352 286 5,066 5,352 2,480 395 370 1,192 914 Credit Card Rec 28,632 10,299 18,333 24,659 3,974 19,334 1,400 5,749 900 1,249 Debentures 2,122 2,122 2,122 2,122 Equip Loans Equip. Leases 4,744 4,469 275 4,164 580 2,293 1,388 554 221 289 Floorplan Recs 8,026 840 7,186 7,902 124 4,014 830 3,182 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 501 331 170 501 501 Non-Jumbo Mtg Ln 68,520 31,864 33,291 65,728 2,793 41,621 14,956 10,760 849 319 Oil Receivables Preferred Sec 3,597 2,268 1,330 3,597 3,253 158 186 Prv Issued Sec 1,852 1,079 380 590 1,262 1,852 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 216,332 125,057 77,504 186,006 30,325 143,388 44,757 25,956 1,606 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 14,838 6,458 8,380 14,838 5,807 2,507 4,928 1,508 Student Loans 30,626 6,957 21,983 25,639 4,986 17,780 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 635 386 250 635 336 300 Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 48% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 6% Other 15%

Close to three thousand ABS participants, mostly tender-foots looking forward to a reprieve from the deep freeze along the eastern seaboard, are expected to attend Information Management Network's tenth annual ABS West conference at the J.W. Marriot Desert Ridge Resort & Spa in Phoenix. As of last week 2,759 participants had been registered.

Pacific Gas & Electric Co., the San Francisco-based energy supplier, is back into the ABS market after an eight year absence and an historic plunge into and out of bankruptcy, but its bonds are none the worse for wear and are pricing at record tight levels. The $1.9 billion series 2005-1 deal, which priced last week, was led by Citigroup Global Markets, Lehman Brothers and Morgan Stanley and may serve to draw other issuers out of the woodwork after last year's low volume output.

Investment manager Aladdin Capital Management, which has issued four CLOs, a high-grade CDO and one synthetic transaction to date, will soon begin purchasing structured finance product in order to start a relative value opportunity fund as well as begin issuing CDOs backed by ABS and CMBS.

Dominion Bond Rating Service is poised to begin rating more auto deals in 2005. Chris O'Connell, vice president at DBRS, said a number of different auto ABS issuers have been sending pool data for the company to run through its auto credit enhancement tool, and he expects that will result in an increased number of auto deal ratings. O'Connell declined to name specific issuers, but DBRS has rated two auto deals so far, a $2 billion offering from General Motors Acceptance Corp. last year and a $1.5 billion DaimlerChrysler N.A. Holdings deal last month.

The U.S. ABS primary market kept pace in between conferences to price close to $11 billion last week as of Thursday's market close, as real estate ABS accounted for $4.5 billion of the total volume.