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 19.6 4 Deutsche Bank AG 1,668.6 2 13.4 3 ABN AMRO 1,643.6 3 13.2 3 Barclays Capital 1,492.5 4 12.0 2 Credit Suisse First Boston 1,243.6 5 10.0 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 4.6 1 Merrill Lynch & Co Inc 375.0 10 3.0 1 Societe Generale 375.0 10 3.0 1 Industry Total 12,450.2 - 100.0 11 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 Lehman Brothers 51,729.2 1 10.7 102 Bear Stearns & Co Inc 43,189.6 2 8.9 97 Credit Suisse First Boston 42,059.3 3 8.7 89 Royal Bank of Scotland Group 39,994.6 4 8.2 66 Countrywide Securities Corp 38,085.7 5 7.9 47 Deutsche Bank AG 36,772.0 6 7.6 68 Morgan Stanley 36,725.7 7 7.6 47 Citigroup 31,257.5 8 6.4 64 Banc of America Securities LLC 26,112.8 9 5.4 56 Merrill Lynch & Co Inc 25,189.4 10 5.2 39 Industry Total 485,386.9 - 100.0 914 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 10,464.9 1 23.5 14 Deutsche Bank AG 5,681.9 2 12.8 8 Banc of America Securities LLC 4,831.0 3 10.8 8 Merrill Lynch & Co Inc 4,261.6 4 9.6 4 Morgan Stanley 3,883.6 5 8.7 4 Credit Suisse First Boston 3,367.9 6 7.6 5 Goldman Sachs & Co 3,153.8 7 7.1 6 UBS 2,994.3 8 6.7 6 JP Morgan 2,368.5 9 5.3 5 Lehman Brothers 2,138.5 10 4.8 2 Industry Total 44,567.0 - 100.0 36 Source: Thomson Financial

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

Irvine, Calif.-based subprime mortgage lender New Century Financial Corp., one of the largest issuers of subprime mortgage ABS in the market, last week announced that it's having difficulty selling loans to secondary market investors. Pointing to market conditions, company representatives during a conference call said whole loan bids were substantially lower than expectations - while some sources say bids for the company's loan pools are well below those of its competitors, forcing it to sell at least one recent pool of loans at a loss.

Moody's Investors Service has enhanced its analysis of highly concentrated structured finance CDOs - largely as a result of the ever-increasing exposure to RMBS in recent deals. As the largest sector of the ABS market, it's not uncommon to see RMBS concentrations to top 50%, of a CDO's collateral, but concentrations have trended upward to 75% and even 85%, according to Moody's.

The Florida Public Service Commission announced last week it selected New York-based advisor Saber Partners to be advisor for a program of hurricane recovery stranded cost ABS issuance to help Florida utility companies fund repairs to power lines and facilities after last year's brutal hurricane season.

An American Bankers Association report that credit card delinquencies rose for the second quarter in a row raised some eyebrows in the ABS market last week. However, sources say the news may be much ado about nothing, and poses no immediate threat to credit card ABS performance.

The U.S. ABS primary market generated $11 billion in new issues last week as the market digested the impact of the milder-than-expected Hurricane Rita.

CenterPoint Energy's 2001 rate-reduction bond deal will likely not be affected by power outages to nearly half of the company's customers due to Hurricane Rita. Rating agency officials say the disaster likely falls within the credit enhancement cushions structured into the deal, and, at most, a slight adjustment to the deal's true-up mechanism will be required. "Overall I do not think it is a credit concern," said Weili Chen director in structured finance ratings at Standard & Poor's.

As not only Hurricane Katrina, but pockets of rapid home price appreciation have made "geographic concentration" a popular term lately among concerned secondary market participants, another factor - borrower type - has entered into the equation as areas where the non-traditional buyer prevails have, on average, become more pronounced. Subprime and Alt-A borrowers have become increasingly concentrated by geographic region in the last five years, and the top 10 MSAs with the highest concentration of non-agency borrowers has refreshed itself by half, according to RBS Greenwich Capital head of ABS and mortgage credit strategy Peter DiMartino.

Now that the first of the subprime ARM pools have reset into the heart of the Federal Reserve Board's quarter point rate increases, preliminary studies are showing them to be performing relatively well.

Following on the heels of the booming synthetic subprime mortgage market, CMBS are picking up steam within the synthetic sector. The collateral type is no longer just an afterthought in synthetic CDOs of asset-backed securities, as CMBS now constitutes larger portions, and at times the entirety, of synthetic CDO collateral in some deals, according to Richard Hrvatin, a senior analyst at Fitch Ratings.

West Penn Power Co. priced a $115 million Rule 144A stranded cost ABS last week with a structure never before used in the sector. The deal is structured so that bondholders are not paid interest or principal for three years, allowing West Penn to pay down outstanding Series 1999-A stranded cost securitization. Interest and principal will accrete, or accrue, during that time, and be paid over the remaining 18 months of the deal's life.

The American Securitization Forum last week selected the co-chairs of its program advisory committees for its ASF 2006 conference to be held this winter in Las Vegas. The six committees are in charge of planning the conference's agenda and content as well as picking speakers from among the industry. ASF Executive Director George Miller said he expects the full conference agenda to be available by mid-October.

Last week, as market participants returned full-force after the ABS East conference, the primary market generated a healthy $17 billion of new issuance. The board was populated with a fair mix of deals, including a stranded cost deal, in the robust week, even as the Federal Open Market Committee meeting and a new hurricane loomed.

In the immediate aftermath of Hurricane Katrina, home equity ABS may go through a short-term decrease in prepayments and delinquencies, according to researchers with Morgan Stanley. The researchers, using hurricane-ravaged Florida in 2004 as a guide, also plotted out four different scenarios based on the extent of the damage, which is not fully known, and its effect on subprime pools.

Dominion Bond Rating Service just released the final beta version of an advanced modeling tool designed to evaluate the future performance of synthetic CDO structures. DBRS unveiled the tool at IMN's ABS East conference the preceding week in Boca Raton, Fla. A final version has yet to be publicly released.

CDOs are not expected to take a substantial hit from the preceding week's dual bankruptcy filings of Delta Air Lines and Northwest Airlines, according to a report by Fitch Ratings.

Rules for the first tradable ABS index, released Sept. 14 by Markit, which serves as the administrator of the index, will include 20 RMBS issuers and have five sub-indexes consisting of one security from each issuer. The sub-indexes will include an "Aaa Sub-index," an "Aa2 Sub-index," an "A2 Sub-index, a "Baa2 Sub-index" and a "Baa3 Sub-index." As of last week, eight institutions had signed up as market makers, according to Nomura Securities.