Securitization

auto ABS 17% credit card ABS 8% global MBS 4% real estate ABS 58% student loan ABS 9% other 4%

Former Wachovia Securities CDO analyst Arturo Cifuentes, allegedly fired for not signing off on an important Sarbanes-Oxley Act disclosure document, presented his case to U.S. Department of Labor's Occupational Safety and Health Administration last week, offering e-mail evidence he contends proves his case. OSHA handles such complaints under SarbOx guidelines.

A deal backed by toll receivables on an eight-mile stretch of highway in Illinois, called the Chicago Skyway Bridge, hit the U.S. ABS market last week. Though toll road-backed deals are somewhat rare in the U.S. market, the deal priced at aggressive levels resembling those of even shorter-dated home equity deals. Chicago-based Skyway Concession Co. issued the Rule 144A transaction, with Citigroup Global Markets and Goldman Sachs as joint leads.

The ABS primary market is back on track with another solid summer week of nearly $14 billion of new issues priced and circulating in the market.

After years with astronomical leverage levels and ratings at the lower end of the speculative grade scale, wireless tower companies across the board are looking up, as they are reaping the benefits of currently predictable cashflows and growing demand for services in a market with high barriers of entry.

Spurred by the rapidly growing credit derivatives market, both Fitch Ratings and Standard & Poor's last week announced sizable enhancements to their credit default swap data offerings. The intention of both moves was to provide more information regarding the sometimes opaque world of corporate CDS pricing.

Home equity loan performance in the U.S. continues to chug along at historically low delinquency and chargeoff rates, according to Moody's Investors Service's Home Equity Index Composite.

Year to date as of 08/11 Term (days) 08/05 08/08 08/09 08/10 08/11 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 7,759.0 1 14.4 13 Merrill Lynch & Co Inc 7,246.0 2 13.5 9 Citigroup 6,220.1 3 11.6 11 Banc of America Securities LLC 5,684.6 4 10.6 9 Deutsche Bank AG 5,532.7 5 10.3 11 Credit Suisse First Boston 4,561.9 6 8.5 9 Barclays Capital 4,302.5 7 8.0 8 Wachovia Corp 3,712.5 8 6.9 8 Goldman Sachs & Co 2,293.6 9 4.3 3 HSBC Holdings PLC 2,063.0 10 3.8 4 Industry Total 53,799.7 - 100.0 53 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 16,181.8 1 20.7 23 Citigroup 10,853.2 2 13.9 22 Wachovia Corp 6,669.9 3 8.5 13 Lehman Brothers 4,715.7 4 6.0 15 Morgan Stanley 4,714.8 5 6.0 21 UBS 4,003.1 6 5.1 10 Bear Stearns & Co Inc 3,878.5 7 5.0 11 Deutsche Bank AG 3,821.1 8 4.9 12 Credit Suisse First Boston 3,293.0 9 4.2 8 Goldman Sachs & Co 3,107.0 10 4.0 4 Industry Total 78,074.7 - 100.0 187 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 6,758.1 1 25.1 16 Citigroup 4,398.7 2 16.3 14 Barclays Capital 2,999.0 3 11.1 11 Banc of America Securities LLC 2,241.2 4 8.3 9 Morgan Stanley 2,216.5 5 8.2 4 Credit Suisse First Boston 2,038.2 6 7.6 7 Deutsche Bank AG 1,959.8 7 7.3 12 ABN AMRO 1,833.2 8 6.8 7 Merrill Lynch & Co Inc 809.8 9 3.0 6 Lehman Brothers 550.0 10 2.0 3 Industry Total 26,979.5 - 100.0 58 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 45,141.4 1 11.5 83 Bear Stearns & Co Inc 36,779.6 2 9.4 79 Royal Bank of Scotland Group 33,836.8 3 8.6 56 Countrywide Securities Corp 32,034.0 4 8.2 39 Morgan Stanley 31,933.7 5 8.1 41 Credit Suisse First Boston 29,143.9 6 7.4 63 Deutsche Bank AG 28,399.1 7 7.2 53 Citigroup 21,633.4 8 5.5 45 Banc of America Securities LLC 20,787.4 9 5.3 45 Merrill Lynch & Co Inc 20,381.9 10 5.2 30 Industry Total 393,203.7 - 100.0 765 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 8,572.0 1 23.0 11 Banc of America Securities LLC 4,689.0 2 12.6 7 Morgan Stanley 3,883.6 3 10.4 4 Deutsche Bank AG 3,826.2 4 10.3 6 Credit Suisse First Boston 3,367.9 5 9.0 5 Merrill Lynch & Co Inc 2,965.8 6 8.0 3 UBS 2,527.7 7 6.8 5 Lehman Brothers 2,138.5 8 5.7 2 Goldman Sachs & Co 2,127.2 9 5.7 4 JP Morgan 1,808.5 10 4.8 4 Industry Total 37,327.3 - 100.0 30 Source: Thomson Financial

auto ABS 17% credit card ABS 8% global MBS 4% real estate ABS 58% student loan ABS 9% other 4%

HSBC Finance Corp.'s acquisition of once-harrowed credit card issuer The Metris Companies, makes Metris the latest in a long line of consolidation moves in the credit card sector. The consolidation streak has become so hot in recent months that further consolidation has become more of a question of when,' rather than if.' "This was kind of anticipated," said an ABS strategist.

CLOs remain a hot commodity in Europe, as both veteran and first-time managers have launched or are gearing up new vehicles for this year. This is in large part due to the positive credit risk profile and strong availability of leveraged loans in the European market. Also, the reasonably stable spreads offered by CLOs are attractive to fund managers, notes a recent report by Standard & Poor's.

Providian Financial Corp. launched four deals from its new de-linked credit card ABS trust last week, the first since Washington Mutual Inc. announced it would take over the company and its $18 billion credit card portfolio. All four single tranche were upsized and priced in-line with guidance.

Moody's Investors Service last week unveiled one in a series of CDO research and monitoring tools it plans to roll out this year. The tool - called Performance Data Services for CDOs - is an internet-based platform designed for investors to conduct trend and performance analysis on both individual CDOs and pools, according to the rating agency.

The U.S. ABS primary market hit the first week of August like a wall, generating only $7 billion in new issue supply. The market had been cruising along at a pace in the $13 to $14 billion range for most of July, but the summer doldrums just kicked in.