Asf 2006 extendible abcp market overview
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ASF 2006 Extendible ABCP Market Overview. January 2006. The Extendible ABCP market continued to grow in 2005 with the market ending with over $100 billion in outstandings and accounting for approximately 11% of the total ABCP market

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ASF 2006 Extendible ABCP Market Overview

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Asf 2006 extendible abcp market overview

ASF 2006Extendible ABCP Market Overview

January 2006


Extendible abcp market overview

The Extendible ABCP market continued to grow in 2005 with the market ending with over $100 billion in outstandings and accounting for approximately 11% of the total ABCP market

The pace of growth in the Extendible market, 33% year over year, beat the remarkable 24% growth rate that the overall ABCP market saw in 2005

Growth in the market came from both new entrants to the market as well as from increases in existing SLN programs and other traditional ABCP programs that added the ability to issue SLNs

New programs launched in 2005 included new mortgage warehouse facilities, securities programs, receivables transactions, and fully supported multi-seller vehicles

We expect to see continued growth in the Extendible market during 2006 as well more mature programs looking to restructure to take advantage of new technology innovations in the market

Extendible ABCP Market Overview

Extendible Program Type Breakout

Based on the Number of Programs

Securities

Auto Dealer Floorplan2%

Mortgage

Multi-Seller

(Partially Supported)2%

Multi-Seller

(Fully Supported)

Credit Card


Why program sponsors use extendible abcp

Why Program Sponsors Use Extendible ABCP

  • Take advantage of the inherent liquidity of the underlying asset portfolio

    • Assets mature by their terms and conditions

    • Secondary market value

  • Regulatory Capital Relief

    • In a world where liquidity facilities attract capital

  • Internal Cash Capital Relief

    • 1-year as a cut-off point


Growth in the extendible abcp market

SLNs

ABCP

Growth in the Extendible ABCP Market

Growth in the Extendible ABCP Market

$Bn

% Growth of SLNs / ABCP

6%

8%

11%

11%

Source:Federal Reserve, Moody’s, ASF.


Extendible abcp market overview1

Extendible ABCP Market Overview

As of January 2006

# of Days to ExpectedMaturity

# of Days to FinalMaturity

Outstandings($MM) (1)

Program

Rating

Sponsor

Assets

Dealers (2)

Countrywide

Prime resi mortgage loans

Up to 180 days

120 days from expected

18,000

MS / BAS / C / GS / JPM / LEH

Park Granada

A-1+/P-1

Citibank

Credit cards

Up to 124 days

390 days from issuance

15,000

C / LEH / ML

DAKOTA

A-1/P-1/F1

ABN AMRO

Trade and term receivables

Up to 180 days

365 days from issuance

8,770 (2)

C / GS / LEH

Tulip

A-1+/P-1

Ford

Auto dealer Floorplans

Up to 99 days

390 days from issuance

8,500

MS / Ford / LEH

Motown Notes

A-1+/P-1/F1+

GeorgetownFunding

Friedman, Billings & Ramsey

Agency-backed hybrid ARMs (repos)

Up to 240 days

20 days from expected

7,391

GS / JPM / ML

A-1+/P-1

Barclays

Trade and term receivables

Up to 120 days

390 days from issuance

6,514

MS / BCLY / LEH

Stratford Receivables

A-1+/P-1

Stanfield Global Strategies

Term and trade receivables, securities

Up to 180 days

397 days from issuance

5,723 (2)

C / CSFB / DB / JPM / LEH / ML

Mica Funding

A-1/P-1

Mortgage InterestNetworking Trust

GMAC

Commercial mortgages

Up to 90 days

180 days from issuance

5,483

BAS / CSFB / JPM / LEH

A-1+/P-1

Ameriquest

Non-prime resi mtgs loans

Up to 180 days

180 days from expected

5,481

MS / BAS / C / GS / ML

Main Street

A-1+/P-1

SachsenLB

Securities

Up to 250 days

20 days from expected

5,157 (2)

DB / GS / LEH

Ormond Quay

A-1+/P-1

MBNA

Credit cards

Up to 99 days

390 days from issuance

5,062

BAS / C / GS / JPM / LEH

Emerald Notes

A-1+/P-1/F1+

Thornburg Mortgage

P-1/F1+

Thornburg Mortgage

Aaa-rated adjustable rate mortgage-backed securities

Up to 250 days

10 days from expected

4,990

GS / LEH / ML

Long Beach Mortgage (WaMu)

Non-prime mortgage loans

Up to 180 days

60 days from expected

4,900

MS / GS / JPM / LEH / ML

Strand Capital LLC

A-1+/P-1/F1+

Brahms Funding

A-1/P-1

Dresdner Bank AG, New York Branch

Term and trade receivables, securities

Up to 65 days

365 days from issuance

4,192

MS / JPM / LEH / ML

Countrywide

Non-prime resi mortgage loans

Up to 180 days

180 days from expected

4,051

BAS / C / CW / DB / GS / JPM

Park Sienna

A-1+/P-1

Hudson Castle

Term and trade receivables, securities

Up to 270 days

390 days from issuance

3,500

MS / BAS / JPM / LEH / ML

Fenway

A-1/P-1

Ixis Financial Products

Term and trade receivables, securities

up to 180 days

90 days from expected

3,123 (2)

BAS / CDC / CSFB / DB / JPM / LEH

Eiffel Funding

A-1/P-1/F1

Alliance Capital Mgmt

Securities

Up to 180 days

270 days from issuance

3,000

BAS / C / LEH

ASAP Funding

A-1+/P-1/F1+

Hudson Castle

Term and trade receivables, securities

Up to 90 days

390 days from issuance

2,900

MS / BAS / LEH

Foxboro Funding

A-1/P-1

Liberty Hampshire

Term and trade receivables, securities

Up to 200 days

397 days from issuance

2,780

MS / C / GS / JPM

Concord Minutemen

A-1/P-1/F1

Notes:(1)Source: Moody’s ABCP Program Index as of June 30, 2005 and Morgan Stanley Trading Desk.

(2)Source: Bloomberg.

(3)With J.P. Morgan as conduit administrator.

(4)With LaSalle Bank as conduit administrator.

(5)This amount includes ABCP and Callables as well as SLNs.


Extendible abcp market overview2

Extendible ABCP Market Overview

As of January 2006

# of Days to ExpectedMaturity

# of Days to FinalMaturity

Outstandings($MM) (1)

Program

Rating

Sponsor

Assets

Dealers (2)

Monument Gardens

A-1/P-1

Rabobank

Securities guaranteed by MBIA or FGIC

Up to 210 days

150 days from expected

2,564

MS / LEH

Curzon

A-1+/P-1

AIG FP

Securities, CDS, Repos and CLNs

Up to 270 days

360 days from issuance

2,194 (2)

MS / AIG / LEH

BroadhollowFunding

American Home Mortgage

Prime mortgage loans

Up to 180 days

120 days from expected

1,852

BAS / C / LEH

A-1+/P-1

Harwood StreetFunding II

CTX Mortgage Company

Sub-prime resi mortgage loans

Up 180 days

180 days from expected

1,166

BAS / C/ LEH

A-1+/P-1/F1+

Capital OneMulti-Asset Execution Trust

Capital One

Credit cards

Up to 270 days

390 days from issuance

1,000

C / JPM / LEH

A-1+/P-1/F1+

Ajax BambinoFunding

ING Capital

Securities

Up to 90 days

180 days from issuance

980

BAS / C / ING

A-1+/P-1

AIG FP

Securities

Up to 180 days

180 days from expected

875 (2)

MS / LEH

Nyala

A-1+/P-1

Harwood StreetFunding I

CTX Mortgage Company

Prime mortgage loans

Up to 180 days

120 days from expected

705

BAS / C / LEH

A-1+/P-1

Glencore International AG (3)

Single seller trade receivables

Up to 90 days

180 days from expected

619

C / CSFB / DB / JPM

Albis Capital Corp.

A-1+/P-1

Master FundingLLC - A

A-1+/P-1

EMC Mortgage Corp.

First-lien resi non-conforming andAlt-A mtg loans

Up to 180 days

180 days from expected

619

Bear / BAS / JPM

Rams Mortgage Securities

Australian resi mortgages

Up to 90 days

180 days from expected

562

C / ML

Rams Funding LLC

A-1+/P-1

Freedom Park

A-1+/P-1

Promontory

Variable funding notes guaranteedby a monoline

Not specified

390 days from issuance

500

BAS / LEH

Taylor, Bean & Whitaker

Conforming mortgage loans

Up to 180 days

120 days from expected

416

BNP / LEH

Ocala

A-1+/P-1

Friedman, Billings & Ramsey

Non-prime resi mtgs loans (repo)

Up to 120 days

60 days from expected

393

FBR / GS / JPM

Arlington Funding

A-1+/P-1

Liberty Hampshire

Term and trade receivables, securities

Up to 200 days

397 days from issuance

378

MS / GS / JPM

Crown Point

A-1/P-1

Notes:(1)Source: Moody’s ABCP Program Index as of June 30, 2005 and Morgan Stanley Trading Desk.

(2)Source: Bloomberg.

(3)With J.P. Morgan as conduit administrator.

(4)With LaSalle Bank as conduit administrator.

(5)This amount includes ABCP and Callables as well as SLNs.


Extendible abcp market overview cont d

CPI Funding

A-1+/P-1

Protective Life

Non-prime mortgage loans

Up to 180 days

180 days from expected

137

LEH

Berkeley Square

A-1/P-1

Stanfield GlobalStrategies

Repurchase Agreements

Up to 185 days

390 days from issuance

N/A

DB / ML

Deer Valley

P-1/F1+

Merrill Lynch Bank USA

Securities

Up to 90 days

180 days from expected

N/A

BAS / JPM / ML / RBC

Landale Funding

A-1+/P-1

HBOS

Financial assets

Up to 364 days

390 days from issuance

N/A

MS / C / JPM / LEH

Extendible ABCP Market Overview (cont’d)

As of January 2006

# of Days toExpected Maturity

# of Days to FinalMaturity

Outstandings($MM) (1)

Program

Rating

Sponsor

Assets

Dealers (2)

CRE-8 Funding

A-1+/P-1

GMAC

Commercial Mortgages

Up to 90 days

270 days from expected

283

GMAC / JPM / LEH

Carmel MountainFunding

Accredited HomeLenders

A-1+/P-1

Commercial Mortgages

Up to 180 days

120 days from expected

273

GS / LEH

Equities, bonds, loans andpfd stock

Morrigan TRR Funding

A-1/P-1/F1

Hypo Real Estate Int’l

Not specified

397 days from issuance

136

MS / CSFB / GS / ML

Catapult-PMXFunding LLC

Paramax CapitalMarkets (4)

Fully sUpported (“diversifiedportfolio of assets”)

A-1/P-1

Not specified

390 days form issuance

N/A

C / ML

Term and tradereceivables, Securities

Fairway

A-1/P-1

Harris Nesbitt

Up to 185 days

85 days from expected

N/A

MS / LEH

HSBC Real Estate(USA) Funding

P-1

HSBC Finance

Prime mortgage loans

Up to 180 days

180 days from expected

N/A

BAS / C / HSBC

Ivory Funding Corp.

A-1/P-1

J.P. Morgan

Mortgage-related assets

Up to 90 days

180 days from expected

N/A

MS / BAS / JPM / LEH

Aaa-rated adjustable ratemortgage-backed securities

KKR Pacific Funding

A-1+/P-1/F1+

KKR Financial

Up to 300 days

30 days from expected

N/A

JPM / LEH

Residential mortgagewarehouse

Madrona

A-1+/P-1

Redwood Trust

Up to 270 days

90 days from expected

N/A

MS / BAS

Notes:(1)Source: Moody’s ABCP Program Index as of June 30, 2005 and Morgan Stanley Trading Desk.

(2)Source: Bloomberg.

(3)With J.P. Morgan as conduit administrator.

(4)With LaSalle Bank as conduit administrator.

(5)This amount includes ABCP and Callables as well as SLNs.


Extendible abcp market overview cont d1

Matchpoint Funding PLC

A-1/P-1

BNP Paribas

Up to 180 days

364 days from issuance

N/A

BNP / C / JPM / ML

Newcastle

A-1+/P-1/F1+

Discover

Credit Cards

Up to 94 days

397 days from issuance

N/A

MS / BAS / C / JPM / RBC

Nightwatch

A-1+/P-1

ABN AMRO

Term receivables

Up to 120 days

270 days from issuance

N/A

ABN / C / LEH

Old Court

A-1/P-1

Cambridge Place

Financial assets

Up to 270 days

364 days from issuance

N/A

MS / C / LEH

Patriot Funding

P-1

Wachovia

Securities

Up to 125 days

270 days from issuance

N/A

N/A

Von Karman Funding

A-1+/P-1

New Century

Residential mortgage loans

Up to 180 days

180 days rom expected

N/A

BAS / C

Extendible ABCP Market Overview (cont’d)

As of January 2006

# of Days toExpected Maturity

# of Days to FinalMaturity

Outstandings($MM) (1)

Program

Rating

Sponsor

Assets

Dealers (2)

Master Funding LLC – B

A-1+/P-1

EMC Mortgage Corp.

Sub-prime resimortgage loans

Up to 180 days

180 days from expected

N/A

Bear / BAS / JPM

Term and trade receivables,securities

Transamerica SecuredLiquidity Notes Corp.

Master fundingagreements

A-1+/P-1

Aegon

Up to 270 days

290 days from issuance

N/A

C / JPM / LEH

Notes:(1)Source: Moody's ABCP Program Index as of June 30, 2005 and MS Trading Desk

(2)Source: Bloomberg

(3)With J.P. Morgan as conduit administrator

(4)With LaSalle Bank as conduit administrator

(5)This amount includes ABCP and Callables as well as SLNs


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