Standard & Poor's issued monthly statement on asset-backed securities

NEW YORK, November 8, 2004 – Standard & Poor’s Securities Evaluations has issued its monthly statement regarding the asset-backed securities market. According to Ian Moraino, Evaluator for Asset-Backed Securities at Standard & Poor’s, the asset-backed bond (ABS) primary market was strong in October across most sub-sectors. Weekly ABS issuance topped $10 billion during three of the four weeks of the month. The exception came during the week of the annual ABS East Conference in Boca Raton, Florida when market activity slowed substantially, resulting in less than $ 2billion in new supply during the week of October 11th.

In auto ABS, prime collateral benchmark issuer Honda issued 2 and 3 year weighted average life (WAL) fixed rate bonds priced as swaps + 3 and swaps + 4 respectively. This pricing is equivalent to that of Honda’s last auto ABS deal in June 2004. Elsewhere, in auto ABS, spreads on General Motors ABS bonds remained unchanged after S&P downgraded the corporate credit rating on GM to BBB- from BBB. Currently, we believe the marketplace sees little additional servicer risk as a result of the downgrade, however the long-term effects of this rating action are yet to be determined.

The credit card sector saw its first public new deal from sub-prime issuer Metris in nearly three years. Metris’ trusts historically have suffered from poor collateral performance including high charge-offs and low excess spread. Recently, however, Metris collateral has shown improved performance, opening the door to this new deal. The floating-rate 2 year WAL AAA rated bonds priced at Libor + 15, floating rate 2 year AAs priced at Libor +39, and the BBBs priced at Libor + 135. These spreads are significantly wider than comparably rated prime collateral deals with historically strong collateral performance measures.

Standard & Poor’s is a leading provider of independent fixed-income evaluations in including 1.3 million hard-to-price securities including high yield, high grade, mortgage-backed and asset-backed securities.

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