CDOs

Independent finance company AmeriCredit Corp. took a step into the prime lending world last week with the announcement that it would purchase Bay View Acceptance Corp., a prime and specialized auto loan originator.

The U.S. ABS primary market swelled to roughly $20 billion with only four full days of issuance due to the Veteran's Day holiday.

In what has come to be an annual event, J.G. Wentworth, a Bryn Mawr, Pa.-based specialty finance company, has issued its fifth private Rule 144A deal backed by structured settlement obligations in five years. The $227 million deal, tagged 321 Henderson Receivables I Trust 2005-A, is the largest of the company's four other deals and is led by Deutsche Bank Securities. Officials from Deutsche Bank could not be reached for comment, nor could officials from J.G. Wentworth.

First time issuer SBA Communications Corp. has a $405 million securitization in the market, led by Lehman Brothers, which is expected to close by the end of the week. The deal, though backed by leases on wireless communications towers, has a CMBS-like structure and is issued out of the SBA CMBS-1 Depositor LLC trust.

The latest rate reduction bond offering from Houston-based CenterPoint Energy Inc. was being shown throughout Southeast Asia last week in the hopes that bankers can drum-up demand for the deal and for future Texas RRB issuance. Representatives from joint-lead managers Credit Suisse First Boston, Lehman Brothers and RBS Greenwich Capital, as well as financial advisor Saber Partners were in the midst of a whirlwind tour that included Beijing, Hong Kong, Singapore and Tokyo last week, showing off CenterPoint's $1.85 billion offering that is due to hit the market before the end of the year.

The CDO community is the fastest growing customer base in line for a relatively new analytic system offered by Moody's Investors Service - so-called market-implied ratings. In short, the system tracks the gap between what the secondary market assesses as the chance of a security defaulting, versus the rating agency's own credit rating for the bond. And while the tool is only applicable to the cash and synthetic corporate bond sectors and it is not used by Moody's analysts as a precursor for ratings changes per se, the principle behind the system has "profound implications for the financial market," said Moody's Managing Director David Munves, who invented the system.

Displaying an increasingly bearish sentiment on the home equity ABS sector, JPMorgan Securities analysts last week, calling the mix of expected slowing home price appreciation and simultaneously heightened short-term borrowing costs an "indeed ugly" mix, lowered its bias last week to neutral on the asset class.

Because of the lower value investors are placing on subprime loans, New York-based real estate investment trust MortgageIT Inc. is in the process of scaling back earlier plans for a "heavy growth strategy" within the subprime lending market.

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