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Whispers: July 9, 2007

Wachovia Securities hired Glen McDermott as a managing director and head of structured credit product distribution for Asia-Pacific. McDermott will work to increase multiple distribution channels as well sales of SCP products into Asia-Pacific, including Australia and Japan. Based in Hong Kong, he will report to Yu-Ming Wang, Wachovia's managing director and head of fixed income, Asia. Previously, McDermott was a salesperson in the structured credit sales group at Citigroup Global Markets, selling credit derivatives and CDOs, as well as a research analyst and global head of CDO research and strategy. Prior to Citigroup, McDermott worked for six years at Standard & Poor's as a structured finance analyst.

Deutsche Bank hired Michael Leung to head ABS trading for Asia excluding Japan. Based in Singapore, he reports to Greg Park, head of securitization for Asia excluding Japan, Chetankumar Shah, head of credit trading, CDOs and credit structuring for Asia, and Hyung Peak, managing director of RMBS in New York. Leung was formerly at UBS, where he was executive director in the fixed-income division.

Dominion Bond Rating Service announced the appointment of Eszter Csibi as an analyst in its structured finance group based in London. Csibi joins from K&H Nyrt, a Hungarian subsidiary of KBC Group, and will be involved in rating transactions with a focus on structured corporate, operating and infrastructure assets across Europe. She will report to Adele Archer, senior vice president of corporate securitization and infrastructure for Europe, the Middle East and Africa. Csibi has eight years of deal origination and structuring experience in various asset classes, including toll roads and real estate.

Mayer, Brown, Rowe & Maw hired Elana Hahn, a structured finance and capital markets lawyer specializing in securitization, as a partner in its London finance group. Hahn, who joined Mayer Brown's team on July 2, was previously part of the London office of Milbank, Tweed, Hadley & McCloy. She advises banks and financial institutions as arrangers and represents originators and investment managers in English and international structured financings and public and private bond deals. She also advises on securitization and other structured finance deals across a wide range of asset classes involving master trust, structured investment vehicle, secured loan, true sale, conduit financing and warehousing structures. Her practice focuses primarily on CLOs, CDOs and specialized funds-related structured finance transactions, whole-business securitizations and mortgage- and other real estate-based transactions. Before Milbank in London, Hahn worked at Clifford Chance.

Derivative Fitch hired Damiano Brigo as managing director in its quantitative financial research (QFR) group. Based in London, Brigo will lead the team's CDO risk modeling efforts. Previously, Brigo headed the credit models department at Banca IMI and, prior to that, worked on cross-currency and interest-rate derivatives and smile modeling. He teaches post-university and master courses in Milan and for professional training companies in London. Fitch QFR develops research and analytics for CDO, ABS, CMBS, RMBS and covered bonds and for fundamental credit analysis groups that include financial institutions, corporates, sovereigns, public finance and global power.

Emirates National Securiti-zation Corp. (Ensec), a specialized structuring and advisory boutique, launched the United Arab Emirates' debut asset-backed securitization for Tamweel. The transaction currently has high prospective ratings, Ensec said, with the offering's most senior class expected to receive Aa2' and AA' ratings from Moody's Investors Service and Fitch Ratings, respectively. The International Finance Corp. has also expressed a desire to invest in the mezzanine and junior tranches. The transaction is Ensec's second securitization and its first to cover residential and commercial real estate and future operating cash flow. Morgan Stanley and Standard Chartered Bank are joint managers and bookrunners on the deal. Ensec was created to facilitate the development of the securitization markets in the UAE and the broader Gulf region.

Fitch Ratings last week introduced a new suite of Market Implied Ratings based on credit default swap spreads and equity prices. The new suite is designed to summarize the market's perspective on an entity's credit risk. The suite distills market information into the common language of credit ratings and can be used as a primary input for many portfolio management and optimization, valuation and risk management purposes, it says. The current offering of the market implied ratings consists of a CDS implied ratings model, an equity implied ratings and an equity implied PD model. The Market Implied Ratings suite will help investors monitor signals from equity and derivatives markets, to quantify credit risks and anticipate ratings and price migrations to identify trading opportunities, Fitch said.

New Century Financial Corp. took a hit last week when Fitch Ratings downgraded eight classes of New Century Home Equity Loan Trust 2006-S1, of which four were placed on rating watch negative. The rating agency also placed three additional classes rated AAA' on rating watch negative. The downgrades reflect the deteroriation of credit enhancement relative to future expected losses and affects approximately $217 million of oustanding cetificates as of the June 2007 distribution date, Fitch said. At the end of June, the trust's overcollateralization was $15,834,192, which represented 6.81% of its current collateral balance. The target overcollateralization level is $21,103,260. The 60-plus delinquencies are at 23.78% of current collateral balance and out of these, the loans that are delinquent more than six months - including loans in bankruptcy, foreclosures and real estate owned - are approximately 16.15% of current collateral balance. While non-performing second lien loans are typically charged off at six months, this has not yet occurred. If the loans are charged off, Fitch expected not only that the OC would be fully depleted but also that some of the subordinate classes would incur significant write downs.

The National Association of Realtors (NAR) released its latest data from its Pending Home Sales Index (PSHI) last week. In the month of May, pending sales rose in the West and Northeast but fell in the Midwest and South. The housing market continues to be hampered by tighter lending criteria and lack of buyer confidence, the NAR said.

To be sure, the PHSI in the West rose 5.6% in May but was 13.7% lower than a year ago. The index increased 3.8% in the Northeast from April to 93.1% but was 9.6% lower than in May 2006. The South fell 7.6% to 107.2 and was 15.4% below a year ago. In the Midwest, the index fell to 8.9% in May to 89.4 and was 11.7% below May 2006.

The national index stood at 97.7 for the month, down 3.5% from the April reading of 101.2 and 13.3% lower than May 2006, when it came in at 112.7. The forecast will be revised July 11, and existing home sales for June will be released on July 25. The next Pending Home Sales Index will come out on Aug.1.

American Securitization Forum (ASF) and the Securities Industry and Financial Markets Association filed a letter with the Massachusetts Attorney General in response to a request for comments on potential amendments to regulations for mortgage brokers and mortgage lenders. The organizations zeroed in on two major points. First, they stated that the attorney general should distinguish between the sales and marketing of mortgage loans, which includes issues such as disclosure and fraud, and the product types and transactional features of mortgage loans. The groups also recommended that the attorney general consider prior actions of the state's legislature and banking department, since several of the issues under discussion have been previously addressed by the Massachusetts legislature, and an evaluation of other state and federal guidance before enacting additional regulation for the mortgage industry. "Any legislative or regulatory response relating to the subprime mortgage finance market must strike a balance between protecting consumers and maintaining the industry's ability to innovate and provide flexible approaches that meet the needs of borrowers," said George Miller, executive director of the ASF.

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