CDOs/CLOs

Rev Cred/Home Eq 48% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 6% Other 15%

Lehman Brothers ABS research has added new tools to its LehmanLive online monitoring system, including enhancing its Lehman ABS Index. One of those is a new option-adjusted spread analysis tool for home equity securitizations, and the other is geared toward both auto and home equity deal surveillance. Additionally, Lehman is expected to introduce a floating-rate component to its ABS index sometime in early 2005.

The New York City Bar Association has created a Structured Finance committee. Craig Wolson, partner with Duane Morris in New York and the committee's first chairman, is currently recruiting prospective members from within the NYCBA's membership and expects to hold the first meeting in early March. The NYCBA is now the only municipal bar association with a committee focused completely on structured finance, Wolson said.

The U.S. ABS market had a solid week to price over $10 billion as investors rushed to spend money that has been sitting on the sidelines ahead of the New Year.

E*Trade, the consumer finance arm of E*Trade Bank, has priced a $300.5 million offering backed by both recreational and marine vehicle collateral originated by Ganis Credit Corp., which will be the first transaction from the issuer to contain both collateral types since E*Trade acquired Ganis in 2002.

Although General Motors Acceptance Corp.'s mortgage lending unit GMAC-RFC's percentage of the market share has dropped this year, it expects to return to its lofty issuance levels of years past.

Upscale fashion house BCBG Max Azria recently priced a $53 million securitization backed by trademarks on the company's portfolio of eight brands and the royalties associated with their licensing.

First Colony Life Insurance Company recently completed the first triple-X securitization off of its River Lake II special purpose insurance company. Lehman Brothers led the $300 million offering.

Cassa Depositi e Prestiti (CDP) is expected to launch its inaugural Italian covered bonds deal early next year, but it's unlikely to provide a satisfactory blueprint for Italian issuers who, for sometime, have been looking to edge into the European covered bonds arena.

Year to date as of 12/09 Term (days) 12/03 12/06 12/07 12/08 12/09 1-week