Securitization

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...

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.