CDOs

Synthetic resecuritizations were issued in the domestic market in larger numbers this year that ever before. However, the models are so fresh they haven't exactly been reconciled with ISDA credit event definations.

Because defaults in ABS tend to be relatively recent, there is still a lot of uncertainty about the recovery characteristics, Standard & Poor's said in new study titled "Recovery Proxies for Defaulted U.S. Structured Finance Securities."

Year to date as of 11/07 Term (days) 11/03 11/04 11/05 11/06 11/07 1-week

2003 2002 2001 ABS (Public and 144A) 473,956 378,769 316,929 ABS (Public and 144A excluding CDOs) 437,645 336,761 276,530 ABS (Public Only) 381,235 304,008 238,491 ABS (144A Only) 92,722 74,761 78,438 Non-Agency MBS 278,753 209,038 156,077 Agency MBS 510,474 466,222 283,631 CMBS 58,394 42,491 51,478 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 9,560.6 1 16.8 13 Credit Suisse First Boston 6,864.1 2 12.1 12 Deutsche Bank AG 5,349.0 3 9.4 9 Citigroup 5,008.7 4 8.8 8 Morgan Stanley 4,823.9 5 8.5 8 BANK ONE Corp 4,734.7 6 8.3 8 Barclays Capital 4,186.0 7 7.4 10 Banc of America Securities LLC 3,747.9 8 6.6 8 Bear Stearns & Co Inc 2,856.5 9 5.0 1 Wachovia Corp 2,089.1 10 3.7 8 Industry Total 56,773.6 - 100.0 70 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 15.0 15 Deutsche Bank AG 3,455.4 2 9.5 9 Goldman Sachs & Co 3,450.3 3 9.5 7 Citigroup 3,155.6 4 8.7 9 Wachovia Corp 3,036.6 5 8.4 11 Bear Stearns & Co Inc 2,514.8 6 6.9 10 Merrill Lynch & Co Inc 2,340.7 7 6.5 8 Morgan Stanley 2,306.8 8 6.4 7 UBS 2,245.0 9 6.2 5 Lehman Brothers 1,493.4 10 4.1 5 Industry Total 36,311.1 - 100.0 103 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 1,665.0 1 24.0 6 Banc of America Securities LLC 922.7 2 13.3 2 JP Morgan 875.0 3 12.6 4 Barclays Capital 710.7 4* 10.3 1 Lehman Brothers 710.7 4* 10.3 1 Merrill Lynch & Co Inc 521.2 6* 7.5 2 Societe Generale 521.2 6* 7.5 2 Citigroup 500.0 8* 7.2 1 BANK ONE Corp 500.0 8* 7.2 1 Industry Total 6,926.5 - 100.0 10 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 13.3 81 Morgan Stanley 22,746.8 2 9.0 49 Royal Bank of Scotland Group 22,002.2 3 8.7 44 Citigroup 21,620.3 4 8.6 59 Credit Suisse First Boston 19,141.3 5 7.6 48 Deutsche Bank AG 18,645.5 6 7.4 41 Bear Stearns & Co Inc 18,384.1 7 7.3 40 JP Morgan 18,165.1 8 7.2 25 Banc of America Securities LLC 17,562.4 9 7.0 54 Countrywide Securities Corp 16,814.4 10 6.7 33 Industry Total 252,244.5 - 100.0 512 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

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

Fifteen months after acquiring the receivables of the Fingerhut Master Trust series 1998-2, CompuCredit Corp. plans to securitize roughly $130 million of liquidating accounts in a private transaction seen pricing in mid-November, sources said.

Last week in Japan, Standard & Poor's introduced its joint probability approach to bank liquidity support for ABCP conduits, allowing a duo of A-2' or A-3' rated Japanese banks to provide liquidity support at the A-1' level.

The U.S. ABS primary market slowed to roughly half of the previous week, pricing $8.8 billion of new-issue supply. With scant auto loan and credit card ABS making the rounds, the focus returned to the mortgage sectors of the market, which accounted for $6.5 billion of the week's total.

Trinity Industries Inc. priced its first-ever railcar lease securitization last week, a $177 million series 2003-1 transaction through the sole lead of Credit Suisse First Boston. Offered in the 144A market, the fixed-rate single-tranche offering, with an 11-year average life, priced to yield 80 basis points over interpolated swaps (see deal terms in scorecards p.38).

NEW YORK - GE Facilities Finance, an operating subsidiary of GE Commercial Finance, scored star billing at last week's Hot Topics seminar hosted by Standard & Poor's. GEFF was the primary originator for this year's $400 million GE Business Loan Trust 2003-1, which priced in June via Goldman Sachs and Wachovia Securities.

It appears CDO investors have moved in larger numbers toward a newer method for analyzing collateral - at least for high yield and leverage loan CDOs.

Market players can expect the pace to pick up on esoteric assets like intellectual property and insurance, by the indications at Standard & Poor's Third Annual New Assets Hot Topics Halloween Conference in New York last week. Analysts presented overviews of several asset classes, some with detailed case studies. They often hinted at more deals in the works - from music catalogs to the Triple X reserves on term life insurance.

Bank of America's acquisition of FleetBoston Financial will have no impact on the recent purchase of Circuit City's First North American National Bank Visa/MasterCard portfolio, analysts said. In fact, BofA's role as advisor in the FNANB purchase, combined with the fact that it acted as lead manager on all four of FNANB's term ABS, makes BofA the ideal fit, analysts said.

2003 2002 2001 ABS (Public and 144A) 452,871 364,309 307,776 ABS (Public and 144A excluding CDOs) 418,279 322,601 268,138 ABS (Public Only) 364,121 290,255 230,794 ABS (144A Only) 88,749 74,054 76,981 Non-Agency MBS 263,247 207,798 152,016 Agency MBS 481,809 452,282 279,080 CMBS 56,119 41,616 49,542 Source: Thomson Financial