CDOs

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.

Loss severities in auto deals with high concentrations of trucks and SUVs could soon rise if demand for those vehicles continues weakening, according to Fitch Ratings analysts. In fact, recovery rates on defaulted truck and SUV loans are already starting to decline, thanks to high fuel prices and increased dealer incentives that have conspired to dampen used vehicle prices.

For the third week in a row, the U.S. ABS primary market has generated around $13 billion in new issues, as the market seems to have hit a robust autumn issuance pace.

San Francisco-based Pacific Gas & Electric Co. last week priced its second rate reduction transaction of the year, an $845 million offering via Barclays Capital, Citigroup Global Markets and Morgan Stanley as joint-lead underwriters. The deal is the second part of the company's $3 billion rate reduction bond, also called energy recovery bonds or stranded assets, issuance program authorized by the California Public Utility Commission last year.

Following a nearly one-year hiatus, Aames Investment Corp. will resume selling the majority of its mortgage originations to the secondary whole-loan market. The Los Angeles-based subprime mortgage lender last November reorganized under a REIT platform - a shift which required the accumulation of its now $4.2 billion investment portfolio in order to achieve its desired leverage.

In this era of ultra-tight spreads, a first lien loan with a 650 basis point over Libor coupon is like a diamond in the rough. This is why Delphi Corp.'s $1 billion term loan - which not only priced at Libor plus 650 basis points, but it was also sold at an original issue discount of 99.5 - broke to trade in the 103 context and traded up after the company filed for bankruptcy, as loan investors were expected to net a full recovery.

Fitch Ratings is in the process of changing its collateralized debt obligation asset manager rating approach, otherwise known as CAM, to incorporate synthetic CDO asset managers, the rating agency announced last week. The move comes as a result of increasing U.S. issuance of managed synthetic CDOs, as well as the occurrence of larger synthetic buckets within cashflow CDOs.

Another first-time commercial real estate CDO issuer has come to the market, with a $416 million deal expected to close Nov. 10. JER Investors Trust Inc., a publicly traded REIT, primarily buys and originates commercial mortgage-backed securities and loans, mezzanine loans, mortgage loan B-notes and net leased real estate investments.

Year to date as of 11/03 Term (days) 10/28 10/31 11/01 11/02 11/03 1-week

MBIA Insurance Corp. may still have to pay some insurance claims on ABS deals it wrapped for now-bankrupt student loan lender Student Finance Corp. after hundreds of millions of dollars of that company's student loans defaulted as a result of alleged fraud.

For the second week in a row, the U.S. ABS primary market has generated $13 billion in new issuance. As usual, the calendar was dominated by real estate related deals, with three credit card deals, an auto deal, a student loan deal and an insurance receivables deal sneaking their way into the market.

Atlantic & Western Re Limited was set to price a $300 million catastrophe bond private placement last week on the heels of two vicious hurricane seasons that saw eight storms ravage the U.S. Gulf Coast and Florida regions in the past 15 months. The deal marks the sixth issuance this year in the under-the-radar sector.

Almost one year to the date of its first-ever CDO issuance, Maxim Advisory last week brought to the market its first CDO backed by mezzanine-grade RMBS collateral. The deal is the fourth for Maxim, a unit of broker-dealer Maxim Group LLC.