CDOs

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 5,866.6 1 14.2 9 Merrill Lynch & Co Inc 5,835.5 2 14.2 7 Citigroup 5,171.7 3 12.5 7 Morgan Stanley 4,582.9 4 11.1 8 JP Morgan 3,881.5 5 9.4 7 Credit Suisse First Boston 3,657.4 6 8.9 5 Banc of America Securities LLC 3,467.2 7 8.4 4 UBS 2,782.5 8 6.7 6 Lehman Brothers 2,524.1 9 6.1 4 Goldman Sachs & Co 1,415.0 10 3.4 2 Industry Total 41,254.6 - 100.0 35 Source: Thomson Financial

Year to date as of Oct 20 Coupon Type Market Average Life Buckets Asset Class Volume Pub/144A Fixed Rate Floating Rate Public 144A 0.0 to 0.9 1.0 to 2.9 3.0 to 5.9 6.0 to 7.9 8.0 to 11.0 Aircraft Leases 126 126 126 126 Auto Loans/Recs 41,391 36,622 4,769 35,132 6,259 16,580 18,742 6,069 Comm. Mtg 2,899 1,294 1,605 2,899 1,261 229 829 540 Commercial Loans Corp Bond/Note 3,846 1,696 2,150 3,846 2,569 746 45 485 Corporate Loans 5,352 286 5,066 5,352 2,480 395 370 1,192 914 Credit Card Rec 28,632 10,299 18,333 24,659 3,974 19,334 1,400 5,749 900 1,249 Debentures 2,122 2,122 2,122 2,122 Equip Loans Equip. Leases 4,744 4,469 275 4,164 580 2,293 1,388 554 221 289 Floorplan Recs 8,026 840 7,186 7,902 124 4,014 830 3,182 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 501 331 170 501 501 Non-Jumbo Mtg Ln 68,520 31,864 33,291 65,728 2,793 41,621 14,956 10,760 849 319 Oil Receivables Preferred Sec 3,597 2,268 1,330 3,597 3,253 158 186 Prv Issued Sec 1,852 1,079 380 590 1,262 1,852 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 216,332 125,057 77,504 186,006 30,325 143,388 44,757 25,956 1,606 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 14,838 6,458 8,380 14,838 5,807 2,507 4,928 1,508 Student Loans 30,626 6,957 21,983 25,639 4,986 17,780 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 635 386 250 635 336 300 Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 48% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 6% Other 15%

BOCA RATON, FLA - With a record 2,600 delegates in attendance, Information Management Network hosted its tenth annual ABS East conference last week. While the rest of the country was gripped by the run-up to the election, securitization players descended on balmy Boca Raton to focus on issues particular to them. High on the agenda were persistently compressed spreads, the boom in alternative mortgage products in a rising interest rate environment, and tighter scrutiny from regulators.

Wisconsin is the latest state to hire financial advisor Saber Partners to oversee an upcoming public utility securitization program, in the hopes of reducing pricing levels for the proposed deals and to drive the underwriters it hires to go the extra mile when selling the bonds.

Moody's Investors Service is not going to let the promise of Russian future flows slip away. Absent from the blowout $1.25 billion export deal issued by oil giant Gazprom in July, the agency is now rating what looks to become the second future flows structure from the country, a $200 million credit-card backed deal originated by Rosbank. Merrill Lynch and Credit Suisse First Boston are leading the transaction. Fitch Ratings is reportedly assessing the deal as well.

Earlier this year, Origen Financial met the rating agencies' tough new stance on credit enhancement in the manufactured housing sector with a fresh infusion of equity capital. Since February, the lender has been in the market twice, and plans to maintain that pace going forward.

BOCA RATON, FLA. - Home price appreciation and the prevalence of IO loans and ARMs in subprime home equity ABS pools dominated the discussion throughout the Investing in Subordinates investor panel at Information Management Network's ABS East conference last week.

BOCA RATON, FLA. - Investors sounded off on the increasing amount of extendable paper being offered in the ABCP market during a morning panel discussion at Information Management Network's (IMN) third annual Investors' Conference on ABCP and SIVs, which coincided with ABS East.

BOCA RATON, FLA. - The subprime mortgage market has enjoyed a year of increased growth in the face of rising interest rates. But stringent new regulatory legislation threatens to undercut nearly all issuers in the sector. This is of particular concern in Massachusetts and New Jersey, said participants in the Dynamics of the Subprime Mortgage ABS Market panel at ABS East.

BOCA RATON, FLA. - Growth in the market, and the rise in market-value CDO issuance combined with some fund failures had many Information Management Network ABS East conference attendees discussing pricing transparency in the market. Although previously an overlooked piece of the structured finance puzzle, sources around the resort were keenly focused on this topic this year, thanks to concerns over pending regulation and transparency issues with valuation.

BOCA RATON, FLA. - In addition to searching for CDO collateral, asset managers are searching for word on the next trouble spot in the CDO market, panelists speaking at Information Management Network's ABS East said last week. While overall the market appears much more stable than just two years ago, sources agreed, in the wake of the now frenzied search for cheap collateral and rising interest rates, a lack of transparency across many metrics isn't exactly stopping investors from having market discipline.

BOCA RATON, FLA. - The double-digit yields and increasing liquidity of senior pooled aircraft tranches are turning heads in the ABS market. In fact, they may be attractive enough for investors to look the other way when it comes to the rather ugly headline risk associated with the airline sector.

In just under a decade since its inception, New York-based investment banking boutique Westwood Capital has managed to not only focus its business on traditional M&A and corporate finance transaction services, but also on more specialized market services - such as project finance, restructuring and structured finance underwriting in esoteric, novel asset classes. "Our corporate finance activities and structured finance activities provide liquidity to lenders and also to small-to-mid-sized businesses with novel or emerging assets," said Matthew Pechinski, managing director.

Year to date as of 10/21 Term (days) 10/15 10/18 10/19 10/20 10/21 1-week

For the second year running, the ABS hordes will descend upon Boca Raton, Fla., for four days of networking, panel discussions - and golf. Upwards of 2,500 delegates are expected to show up at the Boca Raton Resort & Club this week for Information Management Network's 10th annual ABS East Conference, according to an IMN spokesperson.

The second annual CDO Conference sponsored by The Bond Market Association served as the unofficial kickoff to conference season for the securitization markets. The day's platform documented growth in product types - namely trust preferred, synthetic, and ABS CDOs - and hashed out issues from CDO equity risk to structured models of credit risk.

Moody's Investors Service plans to release its first Transaction Governance Assessments report before the year is through.

The U.S. ABS market saw just over $11 billion in new-issue ABS supply last week, ahead of this week's ABS East conference, of which just $8.5 billion had priced as of Thursday's market close. While the home equity sector continued its year-long domination of the primary market, a large student loan offering and a rare aircraft-backed deal were the highlights of the week.

Leading CDO underwriter Merrill Lynch is bringing the inaugural CDO for a unit of New York-based Maxim Group LLC in the coming weeks, a $753 million high-grade structured finance deal, named Jupiter CDO I, sources reported. The transaction is expected to price before the end of October, with settlement in November.