Finance

Privately held ACC Capital Holdings, the parent company of Ameriquest Mortgage Co., last week announced the closure of 229 retail branches, resulting in job loss for roughly 3,800 of its employees - representing about 70% of its retail staff. The move constitutes the third round of layoffs at the company since November.

Bear Stearns this month will bring to market a $300 million commercial real estate CDO. The deal, Vertical CRE CDO 2006-1, will be the first CRE CDO managed by Banc of America subsidiary Vertical Capital, which has six deals in the market totaling $4 billion. The most recent offering was the Vertical ABS CDO 2006-1, which closed last month, according to Standard and Poor's.

Volatile prepayment speeds on student loans have made it difficult for investors to assess how ABS bonds will respond to prepayments. This is why Lehman Brothers created an interactive tool called SPREE that takes an investor's loan-level prepayment assumptions and translates them into deal-level prepayment speeds, which are also based on Bloomberg estimates.

The U.S. primary ABS market ground through another week of moderate issuance, as volume came to a moderate $4 billion by press time. Another $300 million or so was expected to price by Friday, bringing production in line with estimates.

Moody's Investors Service said last week it will begin providing monthly reports on the individual asset exposures by CDO category and vintage within 650 U.S. cash flow transactions issued between 1996 and 2005. While the rating agency is initially tracking the five primary deal types - arbitrage cash flow CBOs, arbitrage cash flow CLOs, emerging market CDOs, investment-grade arbitrage cash flow CBOs and resecuritizations - it intends to add to its list static synthetic CDOs, trust preferred security CDOs and small and middle entity CDOs.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 5,440.0 1 22.5 11 JP Morgan 3,828.6 2 15.8 10 Wachovia Corp 2,286.4 3 9.4 5 Deutsche Bank AG 2,020.4 4 8.3 7 Merrill Lynch & Co Inc 1,847.5 5 7.6 4 Barclays Capital 1,705.7 6 7.0 4 Credit Suisse 1,550.0 7 6.4 3 Royal Bank of Scotland Group 1,479.3 8 6.1 3 Banc of America Securities LLC 1,374.9 9 5.7 1 Bear Stearns & Co Inc 824.9 10 3.4 1 Industry Total 24,229.9 - 100.0 29 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 9,933.7 1 14.4 19 Merrill Lynch & Co Inc 8,676.4 2 12.6 11 Deutsche Bank AG 6,810.1 3 9.9 11 Banc of America Securities LLC 6,806.9 4 9.9 17 UBS 4,779.0 5 6.9 12 Bear Stearns & Co Inc 4,685.3 6 6.8 10 Credit Suisse 4,179.4 7 6.1 7 Morgan Stanley 3,006.3 8 4.4 14 JP Morgan 2,600.9 9 3.8 11 Wachovia Corp 2,557.3 10 3.7 7 Industry Total 69,000.7 - 100.0 142 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 JP Morgan 6,149.7 1 27.5 12 Citigroup 5,646.1 2 25.2 9 Banc of America Securities LLC 4,410.0 3 19.7 8 Deutsche Bank AG 2,549.9 4 11.4 7 Morgan Stanley 1,829.0 5 8.2 2 Credit Suisse 625.0 6 2.8 2 Barclays Capital 500.0 7 2.2 1 Lehman Brothers 250.0 8 1.1 1 Wachovia Corp 249.9 9 1.1 1 Royal Bank of Scotland Group 175.0 10 0.8 1 Industry Total 22,384.5 - 100.0 35 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 Lehman Brothers 20,105.2 1 11.3 47 Credit Suisse 18,595.0 2 10.4 37 Morgan Stanley 15,306.7 3 8.6 19 Countrywide Securities Corp 15,001.3 4 8.4 17 Deutsche Bank AG 12,705.6 5 7.1 23 Merrill Lynch & Co Inc 11,781.7 6 6.6 16 Bear Stearns & Co Inc 11,735.6 7 6.6 32 JP Morgan 11,358.4 8 6.4 22 Royal Bank of Scotland Group 11,241.3 9 6.3 16 Citigroup 8,663.0 10 4.9 24 Industry Total 178,665.3 - 100.0 347 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 4,793.6 1 23.1 7 Deutsche Bank AG 2,801.0 2 13.5 3 Credit Suisse 2,466.6 3 11.9 4 Merrill Lynch & Co Inc 2,301.0 4 11.1 2 Banc of America Securities LLC 2,027.7 5 9.8 3 Goldman Sachs & Co 1,803.8 6 8.7 2 Lehman Brothers 1,284.7 7 6.2 1 UBS 998.7 8 4.8 2 Morgan Stanley 768.2 9 3.7 1 SunTrust Banks 382.5 10 1.8 1 Industry Total 20,733.7 - 100.0 15 Source: Thomson Financial

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 72% structured settlements 0% student loan ABS 8% trade receivables 1%

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 5,077.2 1 22.1 11 JP Morgan 3,956.1 2 17.2 10 Wachovia Corp 2,313.9 3 10.1 4 Deutsche Bank AG 2,020.4 4 8.8 7 Merrill Lynch & Co Inc 1,847.5 5 8.0 4 Barclays Capital 1,725.5 6 7.5 4 Royal Bank of Scotland Group 1,606.8 7 7.0 3 Banc of America Securities LLC 1,374.9 8 6.0 1 Credit Suisse 950.0 9 4.1 2 Bear Stearns & Co Inc 824.9 10 3.6 1 Industry Total 22,969.4 - 100.0 27 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 8,676.4 1 14.0 11 Citigroup 8,319.0 2 13.4 16 Banc of America Securities LLC 6,161.5 3 9.9 16 UBS 4,779.0 4 7.7 12 Deutsche Bank AG 4,716.5 5 7.6 8 Bear Stearns & Co Inc 4,301.6 6 6.9 9 Credit Suisse 3,779.4 7 6.1 6 Morgan Stanley 2,622.5 8 4.2 13 Wachovia Corp 2,557.3 9 4.1 7 Goldman Sachs & Co 2,280.9 10 3.7 4 Industry Total 62,179.5 - 100.0 129 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 JP Morgan 6,149.7 1 29.6 12 Citigroup 4,447.1 2 21.4 7 Banc of America Securities LLC 3,973.2 3 19.2 7 Deutsche Bank AG 2,549.9 4 12.3 7 Morgan Stanley 1,829.0 5 8.8 2 Credit Suisse 625.0 6 3.0 2 Barclays Capital 500.0 7 2.4 1 Lehman Brothers 250.0 8 1.2 1 Wachovia Corp 249.9 9 1.2 1 Royal Bank of Scotland Group 175.0 10 0.8 1 Industry Total 20,748.8 - 100.0 32 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 17,143.3 1 10.5 33 Lehman Brothers 15,130.9 2 9.3 34 Countrywide Securities Corp 15,001.3 3 9.2 17 Morgan Stanley 13,244.8 4 8.1 17 Deutsche Bank AG 12,377.3 5 7.6 22 Merrill Lynch & Co Inc 11,121.3 6 6.8 15 JP Morgan 10,634.7 7 6.5 18 Royal Bank of Scotland Group 10,564.5 8 6.5 14 Bear Stearns & Co Inc 10,364.3 9 6.3 30 Citigroup 8,663.0 10 5.3 24 Industry Total 163,446.2 - 100.0 320 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 4,462.2 1 21.9 6 Deutsche Bank AG 2,801.0 2 13.7 3 Credit Suisse 2,466.6 3 12.1 4 Merrill Lynch & Co Inc 2,301.0 4 11.3 2 Banc of America Securities LLC 2,027.7 5 9.9 3 Goldman Sachs & Co 1,803.8 6 8.8 2 Lehman Brothers 1,284.7 7 6.3 1 UBS 998.7 8 4.9 2 Morgan Stanley 768.2 9 3.8 1 SunTrust Banks 382.5 10 1.9 1 Industry Total 20,402.3 - 100.0 14 Source: Thomson Financial

auto ABS 9% credit card ABS 9% enterprise finance 0% equipment ABS 2% real estate ABS 72% structured settlements 0% student loan ABS 9% trade receivables 0%

As the implications of Hurricane Katrina start to crystallize, the insurance sector is emerging as one of the hardest hit industries, while the RMBS and non-mortgage ABS sectors have not withstood sharp significant losses as well. Katrina-induced losses to the insurance sector were the steepest in history, more than those suffered from 9/11, Hurricane Andrew or the 1994 Northridge earthquake in California, according to Laura Porter, an analyst at Fitch Ratings.

Dubai is set to become the gateway into Middle Eastern securitizations as a number of European-based firms take up residence in the emirate, eagerly exploring the capital market opportunities in that region.

The $1 trillion ABCP market shows no signs of slowing down, with its low cost of financing and short-term flexibility. Still, professionals in the sector wonder if the surging repurchase agreement market, also known as repos, might one day take a significant bite out of commercial paper business.