Securitization

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.

Year to date as of 03/03 Term (days) 02/26 02/27 03/01 03/02 03/03 1-week

2004 2003 2002 ABS (Public and 144A) 76,802 62,534 45,634 ABS (Public and 144A excluding CDOs) 71,906 58,987 42,076 ABS (Public Only) 64,035 54,806 38,247 ABS (144A Only) 12,766 7,728 7,387 Non-Agency MBS 20,102 30,699 22,456 Agency MBS 22,584 152,692 70,682 CMBS 5,361 4,220 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 4,717.5 1 33.7 4 Deutsche Bank AG 2,222.1 2 15.9 2 Credit Suisse First Boston 1,592.7 3 11.4 4 JP Morgan 1,292.7 4 9.2 3 Goldman Sachs & Co 1,256.4 5 9.0 1 Banc of America Securities LLC 928.5 6 6.6 1 Merrill Lynch & Co Inc 815.0 7 5.8 1 BANK ONE Corp 675.0 8 4.8 2 Barclays Capital 492.7 9 3.5 1 Industry Total 13,992.5 - 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 UBS 1,516.5 1 31.0 3 BNP Paribas SA 919.5 2 18.8 1 Merrill Lynch & Co Inc 898.8 3 18.4 2 Bear Stearns & Co Inc 658.9 4 13.5 2 Royal Bank of Scotland Group 303.8 5 6.2 1 BANK ONE Corp 300.0 6 6.1 1 Citigroup 218.0 7 4.5 2 Banc of America Securities LLC 80.2 8 1.6 1 Industry Total 4,895.6 - 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 BANK ONE Corp 2,625.0 1 37.8 3 Citigroup 1,849.6 2 26.6 3 Lehman Brothers 1,050.0 3 15.1 3 Merrill Lynch & Co Inc 752.2 4 10.8 2 JP Morgan 325.0 5 4.7 1 Banc of America Securities LLC 250.0 6 3.6 1 Wachovia Corp 100.0 7 1.4 1 Industry Total 6,951.8 - 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 - - - - - 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 6,910.7 1 15.0 8 Morgan Stanley 5,547.2 2 12.1 10 Credit Suisse First Boston 4,622.7 3 10.1 10 Lehman Brothers 4,389.7 4 9.6 6 Deutsche Bank AG 3,607.2 5 7.9 12 Citigroup 3,207.0 6 7.0 8 Banc of America Securities LLC 2,894.9 7 6.3 7 JP Morgan 2,838.4 8 6.2 4 Merrill Lynch & Co Inc 2,834.8 9 6.2 4 Bear Stearns & Co Inc 2,368.5 10 5.2 3 Industry Total 45,940.0 - 100.0 69 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 Morgan Stanley 1,012.6 1* 25.3 2 Lehman Brothers 1,012.6 1* 25.3 2 UBS 530.0 3 13.3 1 Deutsche Bank AG 489.9 4* 12.3 1 Credit Suisse First Boston 489.9 4* 12.3 1 RBC Capital Markets 462.0 6 11.6 1 Industry Total 3,996.9 - 100.0 5 Source: Thomson Financial

Year to date as of Feb 25 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 13,992 10,422 3,571 11,595 2,397 6,667 5,190 2,135 Cash Commercial Loans Corp Bond/Note 103 103 103 103 Corporate Loans 1,640 50 1,590 1,640 1,052 396 192 Credit Card Rec 6,952 4,000 2,952 6,428 524 6,252 200 500 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 9,658 3,942 5,714 9,652 6 4,989 748 3,885 20 17 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 36,282 20,335 15,880 32,506 3,776 27,615 4,547 3,748 352 20 Sm Business Loan Struc Fin Credit 2,912 1,038 1,874 2,912 650 601 1,454 206 Student Loans 3,997 378 3,156 2,849 1,148 3,017 980 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 47% Auto Loans/Recs 18% Non-Jumbo Mtg Ln 13% Credit Card Rec 9% Student Loans 5% Other 8%

The Andersons Inc., an Ohio-based agribusiness, raised roughly $86.4 million through a railcar lease securitization. The deal funds the acquisition of three fleets of railcars operated in three countries - Mexico, Canada and the U.S. - by three corresponding newly created subsidiaries of the Andersons Rail Group. The Andersons will act as servicer.

Starbird Funding Corp., an ABCP conduit sponsored by BNP Paribas, financed $900 million of the $1 billion Camber I ABS-backed CDO that priced on Jan. 31, according to market sources.

New issue volume totaled just $7.9 billion in last week's holiday- shortened trading week, but demand - particularly for auto loan ABS - remains strong. Spreads for the two retail auto loan deals to hit last week cleared in the low single-digit levels versus underlying benchmarks and could be playing limbo versus swaps and Libor before the first quarter is through.

Following a last-minute adjustment, the $296 million Glacier CDO I pushed the spread boundaries for structured finance-backed CDO product, sources said. The deal's 4.1-year $190 million super-senior tranche priced at 41 basis points over three-month Libor, one basis point behind the all-time tight levels.

First Tennessee Capital Markets is shopping the second-ever auto ABS backed by loans originated and serviced by a federal credit union, sources confirmed. The deal, which pools loans from Security Service Federal Credit Union, is coming off of First Tennessee's FTN Financial Auto Securitization Trust shelf, dubbed FFAST for short.