ABS

NorthStar Realty Finance Corp. is preparing to issue at least two commercial real estate CDOs in the near future. The New York-based real estate investment trust in recent months has made arrangements for warehouse facilities with Banc of America Securities and Wachovia Securities in order to house assets for what will be the company's sixth and seventh CDOs, respectively, to come to the market.

GMAC-RFC disclosed last week data errors with respect to four RMBS deals it services from the RMAC series of RMBS deals. Fitch Ratings, Moody's Investors Service and Standard & Poor's responded by placing the ratings of the four RMAC transactions, totaling GBP3.4 billion ($4 billion), on review.

Year to date as of 11/09 Term (days) 11/03 11/04 11/07 11/08 11/09 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Deutsche Bank AG 8,969.1 1 12.2 16 Citigroup 8,299.9 2 11.3 14 JP Morgan 8,270.8 3 11.3 13 Merrill Lynch & Co Inc 7,943.7 4 10.8 10 Banc of America Securities LLC 7,695.8 5 10.5 12 Wachovia Corp 7,317.0 6 10.0 14 Barclays Capital 5,998.2 7 8.2 11 Credit Suisse First Boston 5,028.6 8 6.8 10 Goldman Sachs & Co 3,564.1 9 4.9 4 HSBC Holdings PLC 3,334.4 10 4.5 5 Industry Total 73,540.9 - 100.0 70 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 19,727.7 1 16.9 29 Citigroup 14,645.2 2 12.6 33 Wachovia Corp 10,491.1 3 9.0 19 Banc of America Securities LLC 9,143.0 4 7.9 28 Bear Stearns & Co Inc 8,941.3 5 7.7 22 Morgan Stanley 8,903.2 6 7.6 31 Deutsche Bank AG 7,080.6 7 6.1 17 UBS 6,056.8 8 5.2 14 Lehman Brothers 5,397.7 9 4.6 17 JP Morgan 5,308.0 10 4.6 14 Industry Total 116,505.9 - 100.0 275 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 11,945.4 1 24.8 23 Citigroup 9,022.0 2 18.7 21 Barclays Capital 5,140.8 3 10.7 15 Deutsche Bank AG 3,776.4 4 7.8 18 Banc of America Securities LLC 3,759.1 5 7.8 14 Morgan Stanley 3,058.6 6 6.3 5 Lehman Brothers 2,900.0 7 6.0 6 Credit Suisse First Boston 2,250.0 8 4.7 7 ABN AMRO 1,833.2 9 3.8 7 Royal Bank of Scotland Group 1,285.8 10 2.7 5 Industry Total 48,256.2 - 100.0 93 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 2,441.7 1 18.3 4 Deutsche Bank AG 2,418.6 2 18.1 4 ABN AMRO 1,643.6 3 12.3 3 Barclays Capital 1,492.5 4 11.2 2 Credit Suisse First Boston 1,243.6 5 9.3 2 Banc of America Securities LLC 750.0 6 5.6 1 Lehman Brothers 725.8 7 5.4 1 JP Morgan 725.8 7 5.4 1 HSBC Holdings PLC 566.7 9 4.2 1 Merrill Lynch & Co Inc 375.0 10 2.8 1 Societe Generale 375.0 10 2.8 1 Industry Total 13,350.2 - 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 Countrywide Securities Corp 60,689.4 1 10.6 73 Lehman Brothers 56,798.5 2 9.9 112 Bear Stearns & Co Inc 56,317.5 3 9.8 125 Royal Bank of Scotland Group 51,082.3 4 8.9 83 Credit Suisse First Boston 49,813.0 5 8.7 107 Morgan Stanley 39,899.8 6 7.0 52 Deutsche Bank AG 37,784.1 7 6.6 72 Citigroup 31,494.2 8 5.5 82 Merrill Lynch & Co Inc 30,216.6 9 5.3 47 Banc of America Securities LLC 27,085.6 10 4.7 63 Industry Total 573,099.0 - 100.0 1,140 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 11,296.2 1 23.9 15 Deutsche Bank AG 6,238.3 2 13.2 10 Banc of America Securities LLC 5,330.5 3 11.3 9 Merrill Lynch & Co Inc 4,261.6 4 9.0 4 Morgan Stanley 3,883.6 5 8.2 4 Credit Suisse First Boston 3,425.4 6 7.3 6 Goldman Sachs & Co 3,386.1 7 7.2 6 UBS 2,527.7 8 5.4 5 JP Morgan 2,367.4 9 5.0 5 Lehman Brothers 2,138.5 10 4.5 2 Industry Total 47,275.6 - 100.0 40 Source: Thomson Financial

auto ABS 8% credit card ABS 4% global MBS 2% real estate ABS 31% student loan ABS 5% other 50%

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Deutsche Bank AG 8,744.1 1 12.2 15 Citigroup 8,299.9 2 11.5 14 JP Morgan 8,270.8 3 11.5 13 Merrill Lynch & Co Inc 7,943.7 4 11.1 10 Banc of America Securities LLC 7,695.8 5 10.7 12 Wachovia Corp 7,317.1 6 10.2 14 Barclays Capital 5,531.6 7 7.7 10 Credit Suisse First Boston 4,561.9 8 6.3 9 Goldman Sachs & Co 3,564.1 9 5.0 4 HSBC Holdings PLC 3,334.4 10 4.6 5 Industry Total 71,916.0 - 100.0 68 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 19,472.7 1 17.1 28 Citigroup 14,645.2 2 12.8 33 Wachovia Corp 10,491.1 3 9.2 19 Bear Stearns & Co Inc 8,941.3 4 7.8 22 Morgan Stanley 8,824.2 5 7.7 31 Banc of America Securities LLC 7,452.5 6 6.5 24 Deutsche Bank AG 7,080.6 7 6.2 17 UBS 6,056.8 8 5.3 14 JP Morgan 5,308.0 9 4.7 14 Lehman Brothers 5,147.7 10 4.5 16 Industry Total 114,190.1 - 100.0 269 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 11,945.4 1 25.6 23 Citigroup 9,022.0 2 19.3 21 Barclays Capital 4,890.8 3 10.5 14 Deutsche Bank AG 3,776.4 4 8.1 18 Banc of America Securities LLC 3,759.1 5 8.1 14 Morgan Stanley 3,016.5 6 6.5 5 Credit Suisse First Boston 2,250.0 7 4.8 7 Lehman Brothers 2,000.0 8 4.3 5 ABN AMRO 1,833.2 9 3.9 7 Royal Bank of Scotland Group 1,285.8 10 2.8 5 Industry Total 46,694.1 - 100.0 90 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 2,441.7 1 18.3 4 Deutsche Bank AG 2,418.6 2 18.1 4 ABN AMRO 1,643.6 3 12.3 3 Barclays Capital 1,492.5 4 11.2 2 Credit Suisse First Boston 1,243.6 5 9.3 2 Banc of America Securities LLC 750.0 6 5.6 1 Lehman Brothers 725.8 7 5.4 1 JP Morgan 725.8 7 5.4 1 HSBC Holdings PLC 566.7 9 4.2 1 Merrill Lynch & Co Inc 375.0 10 2.8 1 Societe Generale 375.0 10 2.8 1 Industry Total 13,350.2 - 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 Countrywide Securities Corp 58,780.3 1 10.6 70 Lehman Brothers 53,802.1 2 9.7 106 Bear Stearns & Co Inc 53,138.0 3 9.6 119 Royal Bank of Scotland Group 48,608.1 4 8.8 79 Credit Suisse First Boston 45,554.6 5 8.2 97 Morgan Stanley 39,899.8 6 7.2 52 Deutsche Bank AG 37,638.7 7 6.8 71 Citigroup 31,218.1 8 5.6 80 Merrill Lynch & Co Inc 29,391.3 9 5.3 46 Banc of America Securities LLC 26,506.3 10 4.8 60 Industry Total 553,817.7 - 100.0 1,101 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 11,296.2 1 23.9 15 Deutsche Bank AG 6,238.3 2 13.2 10 Banc of America Securities LLC 5,330.5 3 11.3 9 Merrill Lynch & Co Inc 4,261.6 4 9.0 4 Morgan Stanley 3,883.6 5 8.2 4 Credit Suisse First Boston 3,425.4 6 7.3 6 Goldman Sachs & Co 3,386.1 7 7.2 6 UBS 2,527.7 8 5.4 5 JP Morgan 2,367.4 9 5.0 5 Lehman Brothers 2,138.5 10 4.5 2 Industry Total 47,275.6 - 100.0 40 Source: Thomson Financial

auto ABS 15% credit card ABS 8% global MBS 4% real estate ABS 60% student loan ABS 9% other 4%

New Century Financial Corp. does not intend to issue a securitization from its REIT portfolio during the quarter, Brad Morrice, the company's president and chief operating officer said last week during the lender's third quarter earnings conference call. The Irvine, Calif.-based subprime lender will instead sell the majority of its loans to the secondary market, although it may utilize off-balance sheet securitizations through its taxable REIT subsidiary.

As participants in the credit card ABS market anxiously watch trust performance in the wake of the recently enacted bankruptcy reform, several credit card issuers have given guidance on where they think charge-offs are headed. For now, the consensus still seems to be that the trusts will experience an increase in chargeoffs through the end of the year, followed by a return to normal levels in 1Q06. Meanwhile, issuers, analysts and rating agencies alike still believe most trusts have adequate excess spread to absorb the spike in chargeoffs.

The Structured Finance Committee of The Association of the Bar of the City of New York submitted a comment letter last week regarding proposed amendments to a Financial Accounting Standards Board rule on transfers of financial assets. The comment letter, the first from the newly formed committee, addresses proposed amendments to FASB's Statement of Financial Accounting Standards No. 140.