CDOs

The market was pleasantly surprised by last week's series 2004-A pricing from the Providian Financial Gateway Master Trust. The transaction was also Providian's first-ever Gateway offering with a senior/subordinate structure - and it featured the first natural double-A rated class ever in the credit card sector. While many gauged the market reception, particularly the double-A rated B class, the phenomenon is unlikely to spread throughout the sector, sources said.

With $32 billion in assets under management, 25% of which is held in ABCP, the short-term portfolio at Oppenheimer Funds controls a little over 1% of the roughly $700 billion U.S. ABCP market.

The typical quarter-end rush was in full effect last week, with more than $20 billion of U.S. ABS new-issue supply. In all, the market saw offerings in the auto, credit card, home equity and foreign MBS sectors, with more than half of the supply in the mortgage-related sector. In an unprecedented sign, investors saw multiple transactions from three issuers, as well as a pair of different dealer shelves offering bonds backed by the same originator.

Thus far this year, new-issue auto rental fleet lease ABS is picking up as anticipated. With Hertz Rent-A-Car having completed its inaugural term securitization last week, the market has seen three issuers price deals. At least three more deals are still ahead.

Credit Suisse First Boston is marketing an innovative repackaging of single-tranche CDOs in a deal called Cheyne Correlation CDO I. While the portfolio will be static, once ramped up, Cheyne Capital will be able to short the underlying credits as a way to manage the portfolio.

This time last year AmeriCredit Corp. was in the middle of a liquidity crisis brought on by unanticipated economic factors and strategic bungles.

Citigroup Global Markets, the leading ABS underwriter last year, has sprung off the blocks on the right foot, as it has bolted to an early first-quarter lead in the league tables, according to preliminary numbers maintained by Thomson Financial. With more than $20 billion of ABS counted through last Wednesday, it is unlikely that the current second-place underwriter will overcome Citi's $7 billion cushion.

Year to date as of 03/25 Term (days) 03/19 03/22 03/23 03/24 03/25 1-week

2004 2003 2002 ABS (Public and 144A) 150,845 121,339 99,613 ABS (Public and 144A excluding CDOs) 134,225 115,104 90,735 ABS (Public Only) 123,719 104,380 81,926 ABS (144A Only) 27,126 16,959 17,688 Non-Agency MBS 41,804 63,234 40,478 Agency MBS 46,451 215,452 127,204 CMBS 10,773 11,957 9,170 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 4,497.4 1 26.4 5 Deutsche Bank AG 3,292.0 2 19.3 5 JP Morgan 2,892.7 3 17.0 4 Banc of America Securities LLC 1,263.5 4 7.4 2 Goldman Sachs & Co 1,256.2 5 7.4 1 Credit Suisse First Boston 1,242.7 6 7.3 3 Barclays Capital 977.7 7 5.7 2 Merrill Lynch & Co Inc 815.0 8 4.8 1 Banc One Capital Markets 675.0 9 4.0 2 Royal Bank of Scotland Group 133.0 10 0.8 1 Industry Total 17,045.2 - 100.0 16 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 UBS 2,172.0 1 20.5 3 Merrill Lynch & Co Inc 1,614.9 2 15.2 4 Citigroup 1,516.0 3 14.3 4 BNP Paribas SA 919.5 4 8.7 1 Bear Stearns & Co Inc 658.9 5 6.2 2 Royal Bank of Scotland Group 603.8 6 5.7 2 Wachovia Corp 510.0 7 4.8 4 First Tennessee Bank 492.3 8 4.6 1 Deutsche Bank AG 435.4 9 4.1 1 Banc of America Securities LLC 380.9 10 3.6 2 Industry Total 10,603.6 - 100.0 26 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 3,100.4 1 24.6 4 Banc One Capital Markets 2,775.0 2 22.0 4 JP Morgan 2,025.0 3 16.1 4 Lehman Brothers 1,400.0 4 11.1 4 Barclays Capital 1,125.0 5 8.9 2 Merrill Lynch & Co Inc 752.2 6 6.0 2 Morgan Stanley 375.0 7 3.0 1 Goldman Sachs & Co 350.0 8 2.8 1 Credit Suisse First Boston 250.0 9* 2.0 1 Banc of America Securities LLC 250.0 9* 2.0 1 Industry Total 12,602.6 - 100.0 19 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 1,000.0 1 74.1 1 Credit Suisse First Boston 350.0 2 25.9 1 Industry Total 1,350.0 - 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 Royal Bank of Scotland Group 11,412.0 1 12.0 17 Lehman Brothers 10,094.4 2 10.6 22 Citigroup 8,755.9 3 9.2 22 Morgan Stanley 8,445.7 4 8.9 15 Deutsche Bank AG 7,180.6 5 7.6 22 Merrill Lynch & Co Inc 7,168.6 6 7.6 10 Credit Suisse First Boston 7,096.2 7 7.5 15 UBS 6,018.5 8 6.3 7 Countrywide Securities Corp 5,335.2 9 5.6 5 Banc of America Securities LLC 4,843.1 10 5.1 15 Industry Total 94,926.0 - 100.0 150 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 Credit Suisse First Boston 1,869.4 1 18.3 3 Banc of America Securities LLC 1,531.4 2 15.0 2 Merrill Lynch & Co Inc 1,266.2 3* 12.4 2 JP Morgan 1,266.2 3* 12.4 2 Morgan Stanley 1,012.6 5* 9.9 2 Lehman Brothers 1,012.6 5* 9.9 2 Citigroup 781.4 7 7.6 1 UBS 530.0 8 5.2 1 Deutsche Bank AG 489.9 9 4.8 1 RBC Capital Markets 462.0 10 4.5 1 Industry Total 10,221.5 - 100.0 9 Source: Thomson Financial

The cheapness in five-year fixed-rate home equity ABS has narrowed early this year, sparking debate as to whether any potential extension risk is worth the spread pickup. Since five-year home equities widened to over 90 basis points over Libor in 4Q03, investors have bid spreads into roughly 70 basis points over, but the pickup between the two sectors remains well outside of historical levels.

Shrugging off a year of relative inactivity, ABCP market participants are hopeful, if not optimistic, that the sector will begin growing again in 2004, now that many of the past year's concerns are being flushed through the market.

Despite ratings volatility and concerns over near-term ABS coming due, the outlook on Mitsubishi Motors Credit of America (MMCA) retail auto ABS is not as grim as it appeared a year ago, according to research from Barclays Capital.

Legacy Benefits Corp. recently closed what may be the first true senior settlements securitization, a $70 million transaction led by Merrill Lynch.

Primary U.S. ABS issuance slowed last week, to the tune of $8.3 billion, as the focus on mortgage ABS continued. With the credit card sector accounting for under $1 billion and auto-related supply just topping $1 billion, the home equity sector once again led the way, with a little help from the student loan sector.