Securitization

Little is known about the fate of the equity buyers in Eureka Securitization - though, through non-confirmable market buzz, it appears the Parmalat receivables have been written down to some extent, and that Citigroup Inc. does not intend to pass the loss on to the expected loss investors. Again, non-confirmable.

For the second consecutive week the U.S. ABS primary market was sluggish and transactions marketed throughout the week looked as though they may be held over to this week. Total supply offered was $12.2 billion, but just $6.9 billion had priced as of late Thursday. While the supply overhang was concentrated in the mortgage ABS sector, transactions in consumer assets went quickly, pricing within one day of being announced.

F inancial Pacific Leasing, the small-ticket leasing company that brought its lone term securitization to market last July, is preparing for an $80.5 million IPO, according to an S-1 filing submitted to the Securities and Exchange Commission on April 9.

By Erkan Erturk, Ph.D., director, and Tom Gillis, managing director, Standard & Poor's Ratings Services

Year to date as of 04/15 Term (days) 04/09 04/12 04/13 04/14 04/15 1-week

A flurry of CDOs priced during the last few days of March and the first few days of April, for about $9.5 billion in proceeds in a single Monday-to-Friday period - a tally that includes one rather massive euro-denominated deal.

The aircraft sector of the ABS market is still grasping at straws when it comes to mapping out its future and deciding on what changes should be implemented, panelists said at a recent gathering hosted by UBS. As a result, differences in valuations and rating methodologies offer structurally savvy investors opportunities for incremental yield in the tight credit environment.

The Metris Companies returns to the ABS primary market this week with a $200 million, three-year MBIA-wrapped series 2004-1, led by Banc of America Securities and Deutsche Bank Securities. This is another positive step for the issuer following recent defeasement of outstanding transactions and public backing from MBIA in its efforts to access the capital markets.

The U.S. ABS primary market sprinted to a holiday dampened $9.25 billion of new-issue supply, the overwhelming majority of which - $7.5 billion - came in the home equity sector. While the credit card sector did enjoy an active week of new issuance, volume totaled just $1.75 billion.

The aircraft finance industry, in a rut unlike any seen in the last 10 years, needs more than structural changes to right itself, according to U.S. regional airlines equity analyst Robert Ashcroft, a director at UBS, offering his conference summation remarks. Rather than focusing on structural topics that dominated the day, Ashcroft provided his thoughts on disclosure regarding aircraft values, fleet-lease rates and aircraft re-marketability that pose risks that structure has proven unable to mitigate.

While ratings methodology has remained the same for aircraft-lease ABS, all three rating agencies have altered their underlying assumptions, panelists said at UBS' Opportunities in Structured Aircraft Debt conference. Assumptions that have been tweaked relate primarily to asset residual values and lease rates, while diversity and asset life are viewed as being still-viable assumptions for rating aircraft lease transactions.

The five most visible and liquid aircraft lease ABS are all very similar in nature, but offer differing levels of value, according to Gus Kelly, senior vice president of debis AirFinance. Each of the five selected transactions were issued prior to Sept. 11, 2001, near or above one billion dollars in size and had similar loan-to-value ratios - approximately 90% - upon pricing.

Former triple-As downgraded to junk...

In its new bi-weekly market wrap called CDOpinions, Fitch Ratings notes that some CDO issuers are exploring funding in the MTN market. While it's been limited so far, the use of MTNs has become another option for issuers.

Second lien bank loans have been more frequently appearing in new CLOs, especially as managers look for higher yielding collateral during this period of historic tights.

Year to date as of 04/07 Term (days) 04/01 04/02 04/05 04/06 04/07 1-week

2004 2003 2002 ABS (Public and 144A) 188,538 141,026 111,092 ABS (Public and 144A excluding CDOs) 167,341 133,662 100,458 ABS (Public Only) 154,189 118,297 90,807 ABS (144A Only) 34,349 22,729 20,284 Non-Agency MBS 59,890 79,988 51,295 Agency MBS 80,505 219,571 135,436 CMBS 16,270 16,553 11,100 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 25.1 5 Deutsche Bank AG 3,742.0 2 20.9 6 JP Morgan 2,892.7 3 16.1 4 Banc of America Securities LLC 1,263.5 4 7.0 2 Goldman Sachs & Co 1,256.2 5 7.0 1 Credit Suisse First Boston 1,242.7 6 6.9 3 Barclays Capital 977.7 7 5.5 2 Merrill Lynch & Co Inc 815.0 8 4.5 1 Banc One Capital Markets 675.0 9 3.8 2 Lehman Brothers 450.0 10 2.5 1 Industry Total 17,945.2 - 100.0 17 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 Merrill Lynch & Co Inc 3,531.1 1 22.2 6 UBS 2,172.0 2 13.6 3 Deutsche Bank AG 1,619.7 3 10.2 4 Citigroup 1,516.0 4 9.5 4 RBS Greenwich Capital 1,005.8 5 6.3 3 BNP Paribas SA 919.5 6 5.8 1 Goldman Sachs & Co 825.0 7 5.2 1 Banc of America Securities LLC 800.9 8 5.0 6 Wachovia Corp 728.5 9 4.6 6 Bear Stearns & Co Inc 658.9 10 4.1 2 Industry Total 15,930.7 - 100.0 40 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 3,449.3 1 25.2 5 Banc One Capital Markets 3,100.0 2 22.6 4 JP Morgan 1,700.0 3 12.4 3 Lehman Brothers 1,400.0 4 10.2 4 Barclays Capital 1,125.0 5 8.2 2 Deutsche Bank AG 849.7 6 6.2 2 Merrill Lynch & Co Inc 752.2 7 5.5 2 Morgan Stanley 375.0 8 2.7 1 Goldman Sachs & Co 350.0 9 2.6 1 Credit Suisse First Boston 250.0 10* 1.8 1 Banc of America Securities LLC 250.0 10* 1.8 1 Industry Total 13,701.2 - 100.0 21 Source: Thomson Financial