CDOs

With the deadline for compliance with the Securities & Exchange Commission's Regulation AB now less than four months away, speakers at IMN's recent ABS East conference voiced varied concerns about whether most issuers will be ready to comply by that time. One speaker even predicted the regulation's Jan. 1, 2006 deadline will cause an issuance rush in the fourth quarter of this year and a relative drought in the first quarter of next year.

Year to date as of 09/22 Term (days) 09/16 09/19 09/20 09/21 09/22 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 13.2 13 Deutsche Bank AG 7,263.3 2 11.6 13 Merrill Lynch & Co Inc 7,246.0 3 11.6 9 Citigroup 6,870.1 4 11.0 12 Banc of America Securities LLC 5,947.1 5 9.5 10 Wachovia Corp 5,005.3 6 8.0 11 Barclays Capital 4,782.8 7 7.6 9 Credit Suisse First Boston 4,561.9 8 7.3 9 Goldman Sachs & Co 3,564.1 9 5.7 4 HSBC Holdings PLC 2,771.4 10 4.4 4 Industry Total 62,639.2 - 100.0 61 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 17,037.7 1 18.5 25 Citigroup 11,695.8 2 12.7 25 Morgan Stanley 7,534.7 3 8.2 28 Wachovia Corp 6,951.2 4 7.6 15 Bear Stearns & Co Inc 6,821.5 5 7.4 17 Deutsche Bank AG 5,279.6 6 5.7 14 Banc of America Securities LLC 5,245.8 7 5.7 21 Lehman Brothers 5,147.7 8 5.6 16 UBS 4,453.1 9 4.8 11 JP Morgan 3,659.6 10 4.0 10 Industry Total 91,987.1 - 100.0 222 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 10,569.1 1 28.3 21 Citigroup 5,198.2 2 13.9 16 Barclays Capital 4,299.0 3 11.5 11 Deutsche Bank AG 3,324.6 4 8.9 15 Morgan Stanley 2,216.5 5 5.9 4 Credit Suisse First Boston 2,088.2 6 5.6 8 Banc of America Securities LLC 2,041.2 7 5.5 8 Lehman Brothers 1,850.0 8 5.0 5 ABN AMRO 1,833.2 9 4.9 7 Royal Bank of Scotland Group 1,135.8 10 3.1 4 Industry Total 37,290.6 - 100.0 74 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 Deutsche Bank AG 2,400.7 1 18.3 4 Morgan Stanley 2,041.7 2 15.6 3 Barclays Capital 1,492.5 3 11.4 2 Credit Suisse First Boston 1,243.6 4 9.5 2 ABN AMRO 1,243.6 4 9.5 2 Citigroup 944.1 6 7.2 2 Banc of America Securities LLC 750.0 7 5.7 1 Lehman Brothers 725.8 8 5.5 1 JP Morgan 725.8 8 5.5 1 HSBC Holdings PLC 566.7 10 4.3 1 Industry Total 13,114.5 - 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 51,409.4 1 10.9 95 Bear Stearns & Co Inc 42,834.4 2 9.0 94 Credit Suisse First Boston 41,322.3 3 8.7 87 Royal Bank of Scotland Group 38,855.9 4 8.2 64 Countrywide Securities Corp 37,390.7 5 7.9 46 Morgan Stanley 36,226.6 6 7.7 46 Deutsche Bank AG 35,289.6 7 7.5 67 Citigroup 30,268.2 8 6.4 61 Merrill Lynch & Co Inc 24,690.2 9 5.2 38 Banc of America Securities LLC 24,082.0 10 5.1 52 Industry Total 473,799.4 - 100.0 883 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 8,972.0 1 22.2 12 Deutsche Bank AG 5,121.9 2 12.7 7 Banc of America Securities LLC 4,831.0 3 11.9 8 Merrill Lynch & Co Inc 4,261.6 4 10.5 4 Morgan Stanley 3,883.6 5 9.6 4 Credit Suisse First Boston 3,367.9 6 8.3 5 UBS 2,527.7 7 6.3 5 Lehman Brothers 2,138.5 8 5.3 2 Goldman Sachs & Co 2,127.2 9 5.3 4 JP Morgan 1,808.5 10 4.5 4 Industry Total 40,460.7 - 100.0 33 Source: Thomson Financial

auto ABS 17% credit card ABS 8% global MBS 4% real estate ABS 59% student loan ABS 9% other 4%

BOCA RATON, FLA. -The opening panel discussion moderated by Moody's Investors Service Team Managing Director Gus Harris was an oftentimes rambling, though thoroughly substantive, Star Wars-themed discussion on the current state of the ABS market at Information Management Network's ABS East Conference last week. Although neither the Jedi Master (Harris), nor the Jedi Counsel of panelists could fix the audio problems or alter the time/space continuum in order to finish in the allotted time frame, a lively discussion was had, focusing primarily on one topic: what could potentially end the unprecedented prosperity that has valuations at all-time highs, despite supply being up 35% year-to-date.

BOCA RATON, FLA. - As more and more citizens - and non-citizens for that matter - have achieved the American dream of homeownership, the subprime lenders have been played like a fiddle, according to some panelists at Information Management Network's ABS East Conference last week.

BOCA RATON, FLA. - Predictions for 2006 ABS volume were all over the map at the ABS East conference last week, as evidenced by the panel entitled "What Lurks Around The Corner?" moderated by Fitch Ratings Managing Director Kevin Duignan. The panelists, many of whom were talking heads from previous years, discussed the general outlook for next year and tried to project the impact of such issues as interest rates, increasing fuel prices, home price appreciation and the wide-ranging effects of Hurricane Katrina on the market.

BOCA RATON, FLA. - If the pending regulatory and accounting changes have ABCP market participants worried, they did not show their concern at the opening panel

BOCA RATON, FLA. - Issuance out of single-seller ABCP conduits is expected to continue to rise this year, in large part due to the increase in extendible note issuance out of single-seller conduits. There was $15.9 billion in U.S. ABCP outstanding in single-seller programs as of the first quarter, and $17.6 billion as of last year.

BOCA RATON, FLA. - Credit card ABS market participants speaking at Information Management Network's ABS East conference held here last week forecast continued diminishing supply in the sector, with smaller issuers becoming more and more frequent. In addition, several large credit-card issuers predicted portfolio growth percentages in the low-to-mid single digits.

BOCA RATON, FLA. - At last week's Information Management Network ABS East conference held here, issuers and at least one rating agency discussed the ways they have changed their policies or deal structures in response to Hurricane Katrina.

BOCA RATON, FLA. - Despite the negative headlines surrounding the commercial airline industry, the pooled aircraft lease ABS sector is heating up, as evidenced by the pricing of recent transactions as well as one transaction scheduled for later this year. In anticipation of the pending supply, fresh money is coming into the sector from hedge funds and private equity, even though rising fuel costs and labor difficulties threaten to send more commercial airline carriers into bankruptcy.

BOCA RATON, FLA. - A crack team of leading ABS research analysts gathered last week at Information Management Network's ABS East conference to discuss the picture in the auto, credit card and student loan sectors. Consistent with the themes that ran throughout the conference, interest rates, employment, fuel prices and home price appreciation were seen as the key drivers of ABS performance.

BOCA RATON, FLA. - Those that take the view that there is a bubble in the U.S. housing market - within pockets therein or otherwise - have one burning question: will the fall be hard or soft? Most answer with the safe question, that there will likely be a little of both. But, in any case, experts agree it is likely to be painful.

BOCA RATON, FLA. - CDO equity investors are asking for larger chunks than ever before, Banc of America Securities Managing Director Dik Blewitt said during a panel discussion at this year's Information Management Network ABS East conference held here last week.