CDOs

As the end-of-August slump begins engulfing Wall Street, many asset-backed players go on vacation - a seasonal flight that is even more pervasive this year.

Damage estimates have hit the $15 to $20 billion range in the wake of Hurricane Charley. Miles of manufactured houses were destroyed, thousands of residents were displaced and businesses caught in the path remained shuttered up at press time, sidetracked from normal operations by an extensive cleaning-up effort and repair work.

Market sources report that Nomura Securities is structuring its first term offering backed by life settlements, although it is unclear when the transaction might be completed.

Accredited Home Lenders, Inc. priced a $1 billion senior/subordinate deal last week via lead agent Lehman Brothers, marking the home equity lender's largest ABS to date and its first transaction offering yieldier subordinate bonds.

The U.S. ABS primary market snapped to attention last week with close to $11 billion priced as of Thursday's market close. Real estate ABS alone was good for roughly $5 billion of the total, as the auto sector also showed strength.

Irvine, Calif.-based ECC Capital Corp. has filed with the Securities and Exchange Commission for its initial public offering as a real estate investment trust (REIT).

The Financial Accounting Standards Board staff issued a proposed position Tuesday, dubbed Proposed FSP FAS 140-b, outlining its concerns over whether 12b-1 fees are a sellable asset or a future flow. The Board calls into question the current practice of treating sold fee collection rights as sold assets as opposed to deferred income. It is unlikely, however, to have much of a negative impact on mutual fund fee ABS due to the small chance that mutual fund managers would suspend broker fees because of the changed accounting status, sources said.

From: Terry McGraw

Year to date as of 09/09 Term (days) 09/03 09/06 09/07 09/08 09/09 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 7,482.7 2 17.9 12 Deutsche Bank AG 6,008.5 3 14.4 10 Credit Suisse First Boston 3,818.7 4 9.2 8 Barclays Capital 3,498.5 5 8.4 9 Banc of America Securities LLC 3,105.2 6 7.4 6 Wachovia Corp 2,631.4 7 6.3 4 Merrill Lynch & Co Inc 1,824.4 8 4.4 3 Morgan Stanley 1,802.0 9 4.3 5 Lehman Brothers 1,255.7 10 3.0 3 Industry Total 41,710.3 - 100.0 51 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 4,423.0 2 9.6 15 Wachovia Corp 4,379.9 3 9.5 15 Morgan Stanley 4,008.5 4 8.7 11 Deutsche Bank AG 3,629.6 5 7.9 9 Credit Suisse First Boston 3,570.3 6 7.8 8 UBS 3,261.5 7 7.1 6 Bear Stearns & Co Inc 2,918.0 8 6.3 9 Lehman Brothers 2,519.0 9 5.5 9 Banc of America Securities LLC 2,076.8 10 4.5 12 Industry Total 46,041.0 - 100.0 127 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 6,548.3 2 20.3 15 Lehman Brothers 4,119.2 3 12.8 8 Barclays Capital 2,349.4 4 7.3 6 Banc of America Securities LLC 2,268.3 5 7.0 9 Deutsche Bank AG 1,875.0 6 5.8 8 Credit Suisse First Boston 1,194.3 7 3.7 4 Merrill Lynch & Co Inc 827.2 8 2.6 3 Morgan Stanley 550.0 9 1.7 3 Goldman Sachs & Co 425.0 10 1.3 2 Industry Total 32,207.8 - 100.0 57 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 Banc of America Securities LLC 1,882.0 2 17.9 4 Morgan Stanley 1,250.0 3 11.9 2 Credit Suisse First Boston 1,058.0 4 10.1 3 Merrill Lynch & Co Inc 1,000.0 5 9.5 1 HSBC Holdings PLC 708.0 6 6.7 2 Wachovia Corp 420.0 7 4.0 1 ABN AMRO 250.0 8 2.4 1 Industry Total 10,526.0 - 100.0 10 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 34,070.7 2 11.1 65 Royal Bank of Scotland Group 33,515.5 3 10.9 67 Credit Suisse First Boston 27,541.9 4 9.0 51 Morgan Stanley 26,410.6 5 8.6 54 Bear Stearns & Co Inc 24,076.1 6 7.8 49 Citigroup 17,664.5 7 5.8 49 Deutsche Bank AG 16,418.9 8 5.3 48 Banc of America Securities LLC 15,750.0 9 5.1 47 Merrill Lynch & Co Inc 14,537.5 10 4.7 31 Industry Total 307,358.1 - 100.0 583 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 4,299.9 2 14.0 5 Citigroup 3,489.8 3 11.3 5 Morgan Stanley 3,285.4 4 10.7 6 JP Morgan 3,207.9 5 10.4 6 UBS 2,782.5 6 9.0 6 Credit Suisse First Boston 2,745.6 7 8.9 4 Banc of America Securities LLC 2,458.9 8 8.0 3 Lehman Brothers 1,515.8 9 4.9 3 KeyCorp/McDonald Investments 600.0 10 2.0 1 Industry Total 30,825.6 - 100.0 28 Source: Thomson Financial

Year to date as of Aug 18 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%

GE Consumer Finance is poised to become a much larger player in the credit card sector, as it pockets the receivables of two U.S. retailers and stakes out more business overseas, following last week's announced plans to gobble up the credit card arm of Dillard's Inc., the sixth-largest in-house card program in the U.S., for about $1.25 billion. This amount includes $400 million of securitization.

Greenwich Capital entered the ABS primary market last month with a $300 million security backed by originations from Centex Corp. - the first time the Dallas-based home builder has made up the entirety of a principal finance shelf - and it hardly went unnoticed.

Last week marked another slow session in the U.S. ABS primary market, as August rolled on and the Republican National Convention neared. As of Thursday evening, roughly $4.8 billion in new-issue ABS had priced, while close to $2 billion in mortgage ABS was still making the rounds.