CDOs

U.S. investors gobbled up $4.6 billion in U.K. mortgages last week, with demand high enough to support upsizing the dollar-denominated tranches almost $1 billion from the original amount.

Despite significant tightening over last few weeks, many banks still see relative value in subordinate and mezzanine home equity ABS.

Ford Motor Co.'s unsecured corporate debt actually tightened on the news that Standard & Poor's downgraded it to BBB-'. According to bank analysts, removing Ford from negative watch was more significant than the downgrade, as it wiped out the fear that Ford would slip below investment grade, at least for the near term.

HPSC Inc. and GE Healthcare Financial Services last week announced that GE would acquire HPSC for about $72 million in an all-stock transaction, working out to $14.50 per share, according to an 8-K filed with the Securities and Exchange Commission.

Standard & Poor's unveiled a new methodology to assess the risk of loss to investors in synthetic CDOs last week. The announcement came at the agency's CDO conference, which drew more than 400 attendees.

Last week's ABS market got off to a slow start, mainly due to the holiday-shortened week. About $7 billion in U.S. dollar ABS priced through Thursday, though $4.6 billion of that came from the king-sized Permanent Financing No. 3, Halifax Plc's U.K. RMBS issuance vehicle, which had been floating in the pipeline since late October.

Guess? Inc. is known for its sexy ads, which, over the years, featured models like Naomi Campbell and Claudia Schiffer.

Year to date as of 11/19 Term (days) 11/13 11/14 11/17 11/18 11/19 1-week

2003 2002 2001 ABS (Public and 144A) 488,694 386,112 322,593 ABS (Public and 144A excluding CDOs) 450,836 342,198 281,091 ABS (Public Only) 395,256 309,380 240,765 ABS (144A Only) 93,438 76,732 81,828 Non-Agency MBS 280,469 209,094 159,079 Agency MBS 511,179 476,018 288,773 CMBS 58,394 42,547 52,592 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 JP Morgan 10,052.6 1 16.1 14 Credit Suisse First Boston 7,701.2 2 12.3 14 Morgan Stanley 6,681.3 3 10.7 9 Deutsche Bank AG 6,541.5 4 10.5 10 Citigroup 5,300.4 5 8.5 9 BANK ONE Corp 5,026.3 6 8.0 9 Barclays Capital 4,051.4 7 6.5 10 Banc of America Securities LLC 3,747.9 8 6.0 8 Bear Stearns & Co Inc 2,856.5 9 4.6 1 Wachovia Corp 2,589.1 10 4.1 9 Industry Total 62,628.0 - 100.0 77 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 5,447.8 1 14.4 15 Wachovia Corp 3,555.1 2 9.4 14 Deutsche Bank AG 3,455.4 3 9.1 9 Goldman Sachs & Co 3,450.3 4 9.1 7 Citigroup 3,184.3 5 8.4 9 Bear Stearns & Co Inc 2,514.8 6 6.6 10 Merrill Lynch & Co Inc 2,340.7 7 6.2 8 Morgan Stanley 2,306.8 8 6.1 7 UBS 2,245.0 9 5.9 5 Lehman Brothers 1,493.4 10 3.9 5 Industry Total 37,858.4 - 100.0 107 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 12,170.9 1 20.9 20 BANK ONE Corp 11,756.6 2 20.2 22 JP Morgan 10,553.7 3 18.1 18 Barclays Capital 5,498.8 4 9.4 11 Morgan Stanley 3,954.5 5 6.8 5 Deutsche Bank AG 3,434.6 6 5.9 13 Banc of America Securities LLC 3,312.3 7 5.7 10 Credit Suisse First Boston 2,318.7 8 4.0 8 Lehman Brothers 2,048.1 9 3.5 7 Merrill Lynch & Co Inc 1,744.5 10 3.0 7 Industry Total 58,320.6 - 100.0 98 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 2,184.6 1 29.3 7 Banc of America Securities LLC 922.7 2 12.4 2 JP Morgan 875.0 3 11.8 4 Barclays Capital 710.7 4* 9.5 1 Lehman Brothers 710.7 4* 9.5 1 Merrill Lynch & Co Inc 521.2 6* 7.0 2 Societe Generale 521.2 6* 7.0 2 Citigroup 500.0 8* 6.7 1 BANK ONE Corp 500.0 8* 6.7 1 Industry Total 7,446.1 - 100.0 11 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 33,462.9 1 13.0 81 Morgan Stanley 22,990.7 2 8.9 49 Royal Bank of Scotland Group 22,201.7 3 8.6 45 Citigroup 21,997.4 4 8.5 60 Credit Suisse First Boston 21,470.0 5 8.3 52 Bear Stearns & Co Inc 19,290.6 6 7.5 42 Deutsche Bank AG 18,699.5 7 7.2 43 Countrywide Securities Corp 18,291.7 8 7.1 35 JP Morgan 18,165.1 9 7.0 25 Banc of America Securities LLC 17,562.4 10 6.8 54 Industry Total 258,357.4 - 100.0 524 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 6,332.8 1 19.8 11 Morgan Stanley 4,898.6 2 15.3 10 Merrill Lynch & Co Inc 4,523.7 3 14.2 9 Deutsche Bank AG 3,841.8 4 12.0 7 Credit Suisse First Boston 3,583.8 5 11.2 7 UBS 2,368.0 6 7.4 5 JP Morgan 1,846.7 7 5.8 5 Banc of America Securities LLC 1,840.6 8 5.8 5 Lehman Brothers 956.3 9 3.0 2 BANK ONE Corp 507.6 10 1.6 1 Industry Total 31,954.7 - 100.0 32 Source: Thomson Financial

Year to date as of Nov 12 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 3,229 2,202 1,027 3,229 2,202 457 361 208 Auto Loans/Recs 65,301 50,174 15,127 61,696 3,605 18,375 34,275 12,468 125 35 Cash 599 249 350 599 599 Commercial Loans 311 188 123 311 311 Corp Bond/Note 4,923 1,743 3,147 4,923 2,560 750 468 1,144 Corporate Loans 6,668 554 6,080 6,668 1,725 774 161 2,150 1,835 Credit Card Rec 58,321 17,892 40,429 57,469 851 18,075 5,408 30,337 2,000 2,500 Equip Loans 177 177 177 177 Equip. Leases 8,001 4,614 3,388 5,558 2,443 2,996 4,098 832 75 Floorplan Recs 6,926 2,132 4,794 6,610 316 2,132 1,271 3,524 Franchisee Loans 228 228 228 109 Home Impr Loans 8 8 8 8 Junk Bonds 4,429 450 3,980 4,429 1,066 1,743 1,621 Leases 628 628 628 178 Loans 2,998 2,998 2,998 2,998 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 63,188 24,258 36,436 55,932 7,256 29,645 13,419 18,443 1,256 275 Oil Receivables 750 750 750 750 Preferred Sec 2,061 651 1,385 2,061 854 108 177 921 Prv Issued Sec 1,863 1,123 615 162 1,701 1,863 Rental Car Rec. 3,625 2,400 1,225 500 3,125 1,500 230 1,895 Rev Cred/Home Eq 192,281 78,178 104,348 171,360 20,921 82,524 60,105 43,786 3,741 1,898 Sm Business Loan 1,045 1,045 1,045 401 644 Struc Fin Credit 24,259 4,976 19,246 24,259 11,154 758 3,821 4,860 3,584 Student Loans 34,205 1,900 26,043 27,933 6,272 10,382 5,691 9,032 6,636 1,352 Tax Liens 86 86 86 86 Ticket Rec 210 210 210 210 Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 Unspecified/NA 667 542 125 667 667 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 39% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 13% Credit Card Rec 12% Student Loans 7% Other 16%

Third-party bids to take over the servicing platform of bankrupt equipment leasing firm DVI Inc. have been submitted and, as of press time, were being reviewed by DIP provider Goldman Sachs. Meanwhile, as DVI fought to retain the servicing rights for its portfolio, collateral performance continued deteriorating.

On Thursday the Emerging Issues Task Force will discuss whether - or, perhaps, to what extent - CDOs with trading constraints should be eligible for sale treatment under existing Financial Accounting Standard 140, assuming the CDO is not structured as a QSPE.

The U.S. ABS primary market sprang back to life last week, following two comparably slow weeks of issuance. New-issue supply in the market totaled over $19 billion, with $13 billion having priced as of Thursday's market close, with the remaining $6 billion seen bleeding into this week. After lagging for most of the year, auto deals are making a late push in the fourth quarter with another strong week of supply. Home equities, meanwhile, priced $5.8 billion of the $11 billion total shopped around, boosted by a pair of $3 billion-plus transactions.