CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Banc One Capital Markets 2,625.0 1 27.8 3 JP Morgan 2,025.0 2 21.4 4 Citigroup 1,849.6 3 19.6 3 Lehman Brothers 1,400.0 4 14.8 4 Merrill Lynch & Co Inc 752.2 5 8.0 2 Goldman Sachs & Co 350.0 6 3.7 1 Banc of America Securities LLC 250.0 7 2.7 1 Deutsche Bank AG 100.0 8* 1.1 1 Wachovia Corp 100.0 8* 1.1 1 Industry Total 9,451.8 - 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 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 9,692.8 1 13.1 13 Lehman Brothers 8,745.3 2 11.9 18 Morgan Stanley 8,504.6 3 11.5 15 Credit Suisse First Boston 6,441.0 4 8.7 13 Citigroup 5,692.4 5 7.7 12 Merrill Lynch & Co Inc 4,804.0 6 6.5 7 Deutsche Bank AG 4,322.7 7 5.9 17 UBS 4,097.5 8 5.6 5 Bear Stearns & Co Inc 4,086.6 9 5.5 7 Countrywide Securities Corp 3,738.6 10 5.1 5 Industry Total 73,818.2 - 100.0 117 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 1,054.0 1 18.5 2 Morgan Stanley 1,012.6 2* 17.8 2 Lehman Brothers 1,012.6 2* 17.8 2 Merrill Lynch & Co Inc 564.1 4* 9.9 1 JP Morgan 564.1 4* 9.9 1 UBS 530.0 6 9.3 1 Deutsche Bank AG 489.9 7 8.6 1 RBC Capital Markets 462.0 8 8.1 1 Industry Total 5,689.2 - 100.0 6 Source: Thomson Financial

Year to date as of Mar 10 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 Auto Loans/Recs 18,391 15,500 2,891 15,994 2,397 9,044 6,562 2,785 Cash Commercial Loans Corp Bond/Note 103 103 103 103 Corporate Loans 1,836 47 1,789 1,836 1,117 226 493 Credit Card Rec 9,452 4,700 4,752 8,928 524 8,452 300 200 500 Equip Loans Equip. Leases 937 937 937 311 626 Floorplan Recs 1,350 1,350 1,350 1,000 350 Franchisee Loans Home Impr Loans Junk Bonds Leases Loans Mnfrd Housing Ct 200 200 200 200 Mutual Fund Fees Non-Jumbo Mtg Ln 24,067 10,334 13,622 23,681 386 12,992 1,398 9,589 47 40 Oil Receivables Preferred Sec 667 30 637 667 323 158 186 Prv Issued Sec 19 19 19 19 Rental Car Rec. 600 600 600 600 Rev Cred/Home Eq 49,752 26,621 23,064 43,561 6,190 37,859 6,229 5,204 440 20 Sm Business Loan Struc Fin Credit 4,647 1,948 2,700 4,647 1,560 601 2,280 206 Student Loans 5,689 378 4,849 4,541 1,148 4,710 980 Tax Liens Ticket Rec Timeshare Loans 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 42% Non-Jumbo Mtg Ln 20% Auto Loans/Recs 15% Credit Card Rec 8% Student Loans 5% Other 10%

Japanese investors are perusing what is believed to be the first-ever rated CDO that is entirely linked to equity default swaps.

Some CDO collateral managers have restructured their existing management fees to remove any performance-based compensation, so that they can avoid consolidation under Financial Interpretation No. 46-R.

Homestar Mortgage recently completed its first term securitization backed by $308 million of Alt-A mortgages and underwritten by Citigroup Global Markets, according to records filed with the Securities and Exchange Commission. This transaction is larger than the $200 million deal the company initially planned when it received regulatory approval last year (See ASR 8/11/03).

The U.S. ABS primary market had a respectable, if somewhat limited, week of new issue supply, pricing roughly $11 billion in primarily mortgage ABS. Aside from home equity, auto loan and student loan ABS were the only other options investors were given.

Downgrades in the term ABS market appear to be stabilizing, while upgrades have increased on a comparative basis, according to a new monthly ratings-action study published by Fitch Ratings. The inaugural edition of Fitch's Term ABS Credit Action Report incorporates commentary and analysis from Fitch's corporate and financial institutions group to keep investors informed of any recent rating actions that may impact their portfolios.

An Equity Default Swap (EDS) is a derivative contract between two parties - a protection buyer and a protection seller - whereby the former has the right, in exchange for the regular payment of a premium (fixed payment), to receive from the latter a protection amount (floating payment) in case of a "trigger" event.

CDO spreads are tight and a shortage of new issuance supply has helped drive investors into the secondary CDO market over the past year. But, according to market sources, a confluence of other events has helped spur that activity as well.

In what may be the next arena of expansion for the rating agencies, Moody's Investors Service has assigned its first servicer rating for a non-mortgage entity. As was the case when rival Standard & Poor's launched its non-mortgage servicer ratings last October (see ASR 10/6/03), Moody's views the credit card sector as where servicer ratings have value. Look for Moody's to move into other assets as well.

Merrill Lynch's Christopher Ricciardi, who heads the firm's global structured credit products group, had some choice words for dealers competing in the CDO market: put up or shut up.

A more mature market basking in the benefits of increased transparency. The birth of fluid, secondary trading. Fresh new asset types and improved structures. These were the mantras of IMN's annual New York-based CDO conference last week.

Investors in asset-backed securities have had a crash course in distressed scenarios over the past few years, beginning with, perhaps, the collapse of Heilig-Meyers in late 2000, the messy servicing transfer that followed and the ultimate disturbing recoveries to the once triple-A rated bonds.

S A well-bid and fast-paced session of primary supply was seen in the U.S. ABS market last week. Bolstered by a massive global RMBS deal, which accounted for roughly half of the volume, the market saw $21.5 billion of new-issue ABS price, with a multitude of asset classes represented.

In the wake of its long-awaited earnings restatement last week, The Metris Companies seems to have found a strategy to navigate the maturing ABS obligations that have worried analysts and investors throughout last year. By announcing the second defeasement of an outstanding ABS obligation - this time the $500 million series 1999-1 ABS that matures in June - more feel secure now that Metris will emerge from its liquidity crunch unscathed. Metris also lifted a measure of uncertainty via the completed restatement.

Reports "unreconciled" cash surplus, shortfall...