CDOs

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 19.4 4 Deutsche Bank AG 1,668.6 2 13.2 3 ABN AMRO 1,643.6 3 13.0 3 Barclays Capital 1,492.5 4 11.8 2 Credit Suisse First Boston 1,243.6 5 9.9 2 Banc of America Securities LLC 750.0 6 6.0 1 Lehman Brothers 725.8 7 5.8 1 JP Morgan 725.8 7 5.8 1 HSBC Holdings PLC 566.7 9 4.5 1 Merrill Lynch & Co Inc 375.0 10 3.0 1 Societe Generale 375.0 10 3.0 1 Industry Total 12,600.2 - 100.0 12 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 55,069.1 1 10.5 62 Lehman Brothers 51,005.8 2 9.8 103 Bear Stearns & Co Inc 48,916.0 3 9.4 109 Royal Bank of Scotland Group 47,202.9 4 9.0 76 Credit Suisse First Boston 44,118.0 5 8.4 94 Morgan Stanley 36,673.4 6 7.0 49 Deutsche Bank AG 36,434.2 7 7.0 68 Citigroup 30,266.9 8 5.8 72 Merrill Lynch & Co Inc 28,270.0 9 5.4 43 Banc of America Securities LLC 26,021.5 10 5.0 59 Industry Total 522,555.8 - 100.0 967 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 10,698.2 1 23.5 14 Deutsche Bank AG 6,181.9 2 13.6 9 Banc of America Securities LLC 4,831.0 3 10.6 8 Merrill Lynch & Co Inc 4,261.6 4 9.4 4 Morgan Stanley 3,883.6 5 8.5 4 Goldman Sachs & Co 3,387.2 6 7.4 6 Credit Suisse First Boston 3,367.9 7 7.4 5 UBS 2,527.7 8 5.6 5 JP Morgan 2,368.5 9 5.2 5 Lehman Brothers 2,138.5 10 4.7 2 Industry Total 45,567.0 - 100.0 37 Source: Thomson Financial

auto ABS 16% credit card ABS 8% global MBS 4% real estate ABS 59% student loan ABS 9% other 4%

Countrywide Securities is once again at the top of the ABS issuance league tables, according to data tracked by Thomson Financial. As the market heads into the homestretch of what will most likely be yet another record-breaking year, 2005 could likely send issuance numbers near the $1 trillion mark.

The ABS primary market generated $11 billion in new issuance to open the final quarter of 2005, the same volume as the week before. The Jewish holidays may have served to dampen volume slightly, as many in the market observed the holiday, and next week may see a similar effect with the week shortened by Columbus Day and Yom Kippur.

After falling to third place at midyear, Bear Stearns is back atop the RMBS manager activity rankings year-to-date, according to data maintained by Thomson Financial. The strong showing throughout the quarter has Bear Stearns on pace to top the league tables for the second straight year.

For the past two years Citigroup Global Markets has occupied the top slot in the lead manager league tables, according to data maintained by Thomson Financial. However, this could be the year that a new champion emerges as Lehman Brothers is making a serious challenge to Citigroup's lead, trailing the perennial top dog by just over $1 billion. Not only has Lehman bulked up its bookrunning, but the field has grown more competitive, as only $10 billion separates top-ranked Citigroup from the fifth ranked bookrunner through the first nine months of the year, versus over $20 billion at this time last year.

Merrill Lynch again brought the largest share of CDOs to the U.S. primary market compared to its peers, bringing some $17.5 billion to the market to achieve an 18.1% market share in the first three quarters of the year, according to data maintained by Thomson Financial. Citigroup Global Markets, moving up from its number three spot in the second quarter, followed behind Merrill, with $12.1 billion of issuance and a 12.6% share of the market.

Private student loan ABS should experience lower default rates and spreads could potentially tighten on some deals as a result of the implementation of the Bankruptcy Reform Act next Monday, according to Morgan Stanley researchers. Changes to the law and an expected decline in bankruptcies should combine to keep more loans in private student loan pools paying.

As the Oct. 17 implementation date for the Bankruptcy Reform Act rapidly approaches, a second surge of bankruptcy filings has beset the ABS market as consumers continue rushing to file before the more stringent law takes effect. Though the increase in bankruptcy filings, a repeat of the one that took place this spring, is expected to cause a proportionate increase in chargeoffs, analysts report that most credit card ABS will be unaffected.

Pacific Gas & Electric Co. plans on issuing an additional $800 million energy recovery stranded cost ABS next month, according to a company official. PG&E Assistant Treasurer Nick Bijur confirmed the deal was imminent, and that Barclays Capital, Citigroup Global Markets and Morgan Stanley would jointly lead manage the offering.

For a rating agency whose analysts claim that a lack of market share is a competitive advantage, its growth would nearly prove counterintuitive. Dominion Bond Rating Service, the only private rating agency certified with NRSRO status in the U.S., is slowly brandishing its name on more and more deals within the asset-backed market, a development its top analysts say is due to quality service, relatively conservative ratings and transparency.

By Moody's Investors Service Associate Vice President, Wing Ng and Associate Analyst, Wei Hu

Subprime mortgage loans considered seriously delinquent began to increase in August, while prepayments slowed amid rising short-term interest rates, according to a Friedman Billings Ramsey report released last week. Further, head ABS analyst at FBR Michael Youngblood, who authored the report, identified slight tiering among loan default frequencies from various issuers.

According to Newport Beach, Calif.-based PIMCO's Bill Gross, the party of rapid home price appreciation should come to a fizzle within the next three-to-six months.

Year to date as of 09/29 Term (days) 09/23 09/26 09/27 09/28 09/29 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 8,270.8 1 12.7 13 Deutsche Bank AG 7,995.4 2 12.3 14 Citigroup 7,602.2 3 11.7 13 Merrill Lynch & Co Inc 7,246.0 4 11.1 9 Banc of America Securities LLC 5,947.1 5 9.1 10 Wachovia Corp 5,568.3 6 8.5 12 Barclays Capital 4,782.8 7 7.3 9 Credit Suisse First Boston 4,561.9 8 7.0 9 Goldman Sachs & Co 3,564.1 9 5.5 4 HSBC Holdings PLC 3,334.4 10 5.1 5 Industry Total 65,175.6 - 100.0 63 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 17,463.7 1 18.4 26 Citigroup 12,101.3 2 12.7 26 Bear Stearns & Co Inc 8,212.8 3 8.6 19 Morgan Stanley 7,534.7 4 7.9 28 Wachovia Corp 7,172.4 5 7.5 15 Banc of America Securities LLC 5,924.5 6 6.2 21 Deutsche Bank AG 5,279.6 7 5.6 14 Lehman Brothers 5,147.7 8 5.4 16 UBS 4,453.1 9 4.7 11 JP Morgan 3,659.6 10 3.9 10 Industry Total 95,109.9 - 100.0 227 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 11,469.1 1 27.6 22 Citigroup 7,198.2 2 17.3 18 Barclays Capital 4,724.0 3 11.4 12 Deutsche Bank AG 3,324.6 4 8.0 15 Banc of America Securities LLC 2,966.2 5 7.1 10 Morgan Stanley 2,216.5 6 5.3 4 Credit Suisse First Boston 2,088.2 7 5.0 8 Lehman Brothers 1,850.0 8 4.4 5 ABN AMRO 1,833.2 9 4.4 7 Royal Bank of Scotland Group 1,135.8 10 2.7 4 Industry Total 41,633.1 - 100.0 79 Source: Thomson Financial