CDOs

The trend toward financing CDO senior tranches in the short-term market has led to classification challenges, especially for this league table-savvy market. The Bond Market Association has been assessing the situation and plans to release guidelines and commentary, sources said.

While spreads are tightening across the board for structured finance CDOs, Credit-Based Asset Servicing and Securitization, or C-BASS, stumped the whole sector with its most recent real estate-backed deal, a unique repackaging of double-B and triple-B home equity bonds and structured finance assets, 75% of which is serviced by C-BASS parent Litton Loan Servicing.

By Natasha Chen, vice president/senior analyst, Moody's Investors Service

Year to date as of 03/04 Term (days) 02/27 03/01 03/02 03/03 03/04 1-week

2004 2003 2002 ABS (Public and 144A) 98,312 79,339 51,195 ABS (Public and 144A excluding CDOs) 92,536 74,742 45,786 ABS (Public Only) 82,162 67,866 41,604 ABS (144A Only) 16,150 11,473 9,591 Non-Agency MBS 35,986 45,802 26,985 Agency MBS 36,208 155,916 76,225 CMBS 7,128 5,612 5,427 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 5,750.7 1 36.0 6 Deutsche Bank AG 2,830.3 2 17.7 4 Credit Suisse First Boston 1,592.7 3 10.0 4 JP Morgan 1,292.7 4 8.1 3 Goldman Sachs & Co 1,256.4 5 7.9 1 Banc of America Securities LLC 928.5 6 5.8 1 Barclays Capital 851.0 7 5.3 2 Merrill Lynch & Co Inc 815.0 8 5.1 1 Banc One Capital Markets 675.0 9 4.2 2 Industry Total 15,992.3 - 100.0 15 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 1,516.5 1 26.3 3 Citigroup 1,098.0 2 19.0 2 BNP Paribas SA 919.5 3 15.9 1 Merrill Lynch & Co Inc 898.8 4 15.6 2 Bear Stearns & Co Inc 658.9 5 11.4 2 Royal Bank of Scotland Group 303.8 6 5.3 1 Banc One Capital Markets 300.0 7 5.2 1 Banc of America Securities LLC 80.2 8 1.4 1 Industry Total 5,775.6 - 100.0 13 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 One Capital Markets 2,625.0 1 29.7 3 Citigroup 1,849.6 2 20.9 3 JP Morgan 1,525.0 3 17.2 2 Lehman Brothers 1,400.0 4 15.8 4 Merrill Lynch & Co Inc 752.2 5 8.5 2 Goldman Sachs & Co 350.0 6 4.0 1 Banc of America Securities LLC 250.0 7 2.8 1 Wachovia Corp 100.0 8 1.1 1 Industry Total 8,851.8 - 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 - - - - - 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 Royal Bank of Scotland Group 8,384.1 1 13.8 11 Morgan Stanley 6,945.1 2 11.4 13 Lehman Brothers 6,276.1 3 10.3 15 Credit Suisse First Boston 5,632.2 4 9.2 12 Countrywide Securities Corp 4,360.7 5 7.2 4 Deutsche Bank AG 4,261.3 6 7.0 15 Merrill Lynch & Co Inc 4,204.4 7 6.9 6 Bear Stearns & Co Inc 4,086.6 8 6.7 7 Citigroup 3,547.7 9 5.8 10 JP Morgan 3,136.4 10 5.1 6 Industry Total 60,978.1 - 100.0 101 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 3 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 15,992 12,422 3,571 13,595 2,397 7,191 6,224 2,577 Cash Commercial Loans Corp Bond/Note 103 103 103 103 Corporate Loans 1,440 20 1,420 1,440 1,022 226 192 Credit Card Rec 8,852 4,700 4,152 8,328 524 8,152 200 500 Equip Loans Equip. Leases Floorplan Recs Franchisee Loans Home Impr Loans Junk Bonds Leases Loans Mnfrd Housing Ct 200 200 200 200 Mutual Fund Fees Non-Jumbo Mtg Ln 12,270 6,352 5,808 11,884 386 7,423 776 3,983 47 40 Oil Receivables Preferred Sec 344 30 314 344 158 186 Prv Issued Sec 19 19 19 19 Rental Car Rec. 600 600 600 600 Rev Cred/Home Eq 48,708 29,724 18,918 42,809 5,900 38,505 5,149 4,594 440 20 Sm Business Loan Struc Fin Credit 3,992 1,948 2,044 3,992 1,560 601 1,624 206 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 50% Auto Loans/Recs 16% Non-Jumbo Mtg Ln 12% Credit Card Rec 9% Student Loans 6% Other 7%

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The fates of the two U.S. ABCP conduits administered by CIBC World Markets are still in question, though apparently CIBC is retaining the staff necessary to keep the conduits on course for natural amortization as the underlying facilities expire.

Despite reports that beleaguered pop star Michael Jackson may attempt to securitize his song catalog in a "Bowie Bond" like offering in last week's New York Daily News, sources see the culmination of such an offering unlikely. Citing an over-leveraging of the catalog, as well as the lengthy process to complete such an offering, both a rating and a buyer would be difficult to obtain.

A mountain of ABS supply hit the U.S. primary market last week, following the holiday-shortened session of trading the prior week. As of last Thursday's close, with $16.5 billion having priced on the week, the market was awaiting a few more pricings - including a massive global U.K. MBS - that could send the weekly total to more than $24 billion.

Since mid-January, Oncor Electric has been in the planning stages for its second-ever stranded cost ABS, following its successful series 2003-1 transaction that priced last August. But despite its previous transaction setting the benchmark for reporting standards, underwriting fees, yield spreads and distribution/allocation, it has taken longer than anticipated to line up the selling group and bring the deal to market.

Despite reports of increased origination activity, outstanding asset-backed commercial paper continued to slide last week, declining to just $1.4 billion above the $700 billion threshold, according to Wednesday numbers provided by the Federal Reserve.

Rating agencies are reporting increased chatter from bankers concerning the franchise sector.