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Transaction List - Securitization.Net

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									U.S. Securitization Group
Asset-Backed Update                                                                                   A member of BMO Financial Group




August 2005                                                                    www.harrisnesbitt.com/us-securitization




From the ABCP Trading Desk                                                          Implied Fed Funds
                                                                                      Futures Rates
Steaming Along                                                  4.0
The Fed has made this almost dull. They tell us exactly
what they are going to do and then they do it; where’s the
mystery, the excitement? I remember when you used to
bring me flowers and surprised me with phrases like
“irrational exuberance.” August 9th brought us the              3.5
expected 25bps increase in the fed funds rate to 3.50% as
Mssr. Greenspan and Co try to get the attention of the
long end of the yield curve. September 20th is the next
FOMC meeting and the Fed will likely increase the same
25bps at that time. After September’s move there is quite       3.0
                                                                      Aug-05   Sep-05   Oct-05   Nov-05     Dec-05
a divergence of opinion with many economists calling for        Source: Bloomberg
a pause, while others indicate the Fed could “keep on
truckin” and easily be at 4.25% fed funds rate by the end     2.1%. Michael Gregory, Senior Economist at BMO
of 2005. The strength of July’s numbers would seem to         Nesbitt Burns, notes that “Core inflation is subdued, but
support a Fed on the move.                                    this is unlikely to stop the Fed from continuing to remove
     U.S. payrolls grew again in July with 207,000 jobs       monetary accommodation. The headline inflation rate
added, versus a consensus 186,000 increase expected.          remains elevated, stoked by energy prices, and the only
June’s jobs figure was revised upwards by 20,000 to           way the Fed can ensure the pass-through to core inflation
166,000. Unemployment remained constant at 5%                 is kept to a minimum is to push up the funds target to at
although inflation remains a worry even as the core con-      least a neutral level.”
sumption expenditure deflator fell to 1.8% from Q1’s              U.S Consumer prices also moved upward a solid
2.4% annual rate.                                             0.5% in July, thanks mainly to the increase of energy
     U.S Headline PPI increased 1% in July which was          prices which accounts for 8% of the CPI basket. Gasoline
double the consensus estimate. Core PPI was the major         remains the story that seems to dominate all local and
impact on this figure at plus 0.4%, 4 times the consensus     national domestic news, spiking over 6% in July alone.
call of 0.1%. Guess everyone missed those calls by “jest’     Though that may seem a monthly blip over the past six
a t’ech” as they say in my hometown. These eye popping        months gasoline has actually increased a staggering 41%.
figures were offset by the core intermediate goods prices     As gas heads over $3 a gallon (nearly the cost of a quart
declining 0.1% which is a more palatable increase.
U.S. Headline CPI increased in July by 0.5% which was
slightly higher than consensus estimates of 0.4%. Most of       Inside this month
this increase came from energy prices which jumped
                               almost 4%; watch out for
                                                                UPCOMING INDUSTRY CONFERENCES                     . . . . .5
                               the headline inflation rate
    FOMC 2005
    MEETING DATES              which rose dramatically
                                                                TRANSACTION LIST          . . . . . . . . . . . . . . . .6
                               from 2.5% in June to 3.2%
   November 1                  in July (year over year) and
                                                                ASSET SECURITIZATION TEAM . . . . . . . . . 10
   December 13                 even core inflation
                               increased from 2.0% to
U.S. Securitization                                                                                 Asset-Backed Update
                                                                                                                                                 August 2005




of Evian!), we begin to hear more and more anecdotes of
people leaving the truck in the driveway and taking the                                  Libor Mid-Month Comparison
train (or even trains) to work. The governor of Illinois is
                                                                  4.0
actually contemplating dabbling in the oil market by cap-                                                                                          30-Jun
                                                                                                                                 3.6862   3.78
                                                                  3.5
                                                                                                             3.4088   3.5375
ping oil company profits on gasoline. Rather than try to          3.0
                                                                                            3.21   3.3375                                          31-May
                                                                        3.0887    3.13
change the entire oil industry to accommodate the needs           2.5
of Chicago drivers, we encourage him to drill for oil in          2.0
Lake Michigan instead.                                            1.5

    Fuel costs are actually starting to trickle down into         1.0

consumer products as trucking companies are forced to             0.5

add a premium to pay for this massive increase of one of          0.0
                                                                          1 Month            3 Month           6 Month             1 Year
their most expensive costs. Thankfully, last year I sold       Source: Bloomberg
the Suburban and bought a moped; sure people laugh
and point but once I get that bad boy running after about                   Treasury Yield Mid-Month Comparison
3 blocks of furious pedaling I am really saving on fuel
                                                                  5
costs. Makes the car pool a bit more difficult though…                                                                                           7/8/2005

Oil is currently hovering in the $65-$68 barrel level;            4                                                            4.504 4.268       6/6/2005
                                                                                                            4.19   3.979
when oil was $30 a barrel it seemed that a $10 increase                 3.641 3.582
                                                                                          3.888 3.742

                                                                  3
might halt the economy in its tracks but it blew right
through that perceived barrier; this logic was repeated           2
when oil hit $40, then $50. The question seems to be at
                                                                  1
what point does the price of oil put the brakes on?
Hopefully we won’t test this theory as oil heads to $70           0
                                                                         2 Year            5 Year           10 Year             30 year
per barrel…                                                     Source: Bloomberg


U.S Industrial Production grew at a miniscule 0.1% in         month high. Over 2 million (annualized) houses were
July, missing the consensus estimates of 0.5% by a wide       started in July and building permits were actually up
margin. It appears that a large component of this lack of     1.6% from June. Though the Fed marches ever forward,
zoom might be the auto companies’ attempt to clear their      people don’t seem to fear the housing reaper and contin-
excess units by charging you, the consumer, the “same”        ue to buy and build with abandon. Everyone except me,
employee price that Lee Iacocca and Snoop Dog pay for         that is. I still can’t seem to get my shack built. In fact, I
their Chrysler 300’s, although Snoop does have better         think my contractor might be working on your house…
rims and Lee has that killer 1000 watt sound system in
his trunk. Taking out autos, factory output actually          ISSUING LEVELS
expanded 0.4%, well in line with expectations.                We continue to see the trend of one month ABCP Tier 1
Downward revisions in June and April, combined with           spreads tightening to Libor – 5bps in the face of FOMC
July’s overall 0.1% increase, actually pulled down the        meetings from their run levels of Libor -7bps during
Capacity Utilization rate under 80% to 79.7%.                 other periods of the month. One month LIBOR rose from
Manufacturing capacity utilization remained unchanged         3.34 at the end of June to 3.51875 at the end of July. The
at 78.3%                                                      3-month LIBOR rate increased from 3.51625 on June 30
    Does everyone have at least one house now? Good,          to 3.70 on July 29 and the 6-month LIBOR jumped from
you didn’t miss the boat. Though, perhaps if you bought       3.71 to 3.92375 on the same dates. ABCP outstandings
at the peak of the “wrong” bubble market, you may soon        continued their series of solid increases increasing from
be living on your pontoon boat on Lake Delavan. Housing       $817BN at the end of June to a very strong $823BN at the
starts declined slightly (0.1%) in July from June’s four      end of July.

www.harrisnesbitt.com/us-securitization                                                                                                                     2
U.S. Securitization                                                                                         Update
                                                                                                                August 2005




Mortgage-Backed                                               approximately 500,000 units. The Mexican government
                                                              strongly supports the expansion of its housing market
Securitization in Mexico                                      and has adopted a number of reforms and initiatives over
                                                              recent years to encourage growth in the low-income seg-
INTRODUCTION                                                  ment in particular. President Vicente Fox is determined
For more than five years, Mexico’s structured finance         to meet the demand for 750,000 new homes per year by
market has experienced increasing growth rates. In            2006 and RMBS provides an attractive means of raising
2004, the country became the securitization market            the necessary capital to address this ambitious goal.
leader in Latin America for the first time, with approxi-     Market participants are generally optimistic that this
mately US$9.9 billion in activity, representing an expan-     level of strong political support will survive the change
sion of nearly 300% over the prior year’s level. This was     in presidential administrations in 2006 and, accordingly,
enough for Mexico to surpass Brazil as Latin America’s        the future of securitization in Mexico appears highly
leading securitizer. Activity predominantly consisted of      promising over the intermediate term.
transactions distributed in the local markets. In addition,       A key element of the Mexican RMBS market is the
Mexican issuers have begun to access the cross-border         Sociedades Financeras de Objeto Limitado (Sofoles).
securitization market this year, with more than US$300        Sofoles, created in the aftermath of the Tequila Crisis
million of asset-backed issuance placed in the US thus        (1995-1996) when banks exited the mortgage market, are
far in 2005. MBS has been a driving force in the success      non-bank lending institutions that primarily extend
of the Mexican securitization market.                         mortgage loans to low- and middle-income individuals,
                                                              as well as construction loan financing for developers of
MORTGAGE-BACKED SECURITIZATION                                low-income homes. Funding is provided through one of
Mexico’s first true MBS offering took place in December       the Mexican quasi-governmental housing authorities,
2003. In the first year following that initial transaction,   such as Sociedad Hiptecaria Financiera (SHF). By 2000,
five residential mortgage-backed securitization (RMBS)        Sofoles financed 80% of all residential mortgages.
deals were placed for a total of $470 million in issuance.    Sofoles quickly became significant mortgage issuers,
Transactions backed by mortgages and mortgage related         increasing to more than 57,000 mortgages in 2003 from
assets (take-out securitizations of housing construction      500 in 1995. Since 2001, Sofoles securitizations have
bridge loans) continue to fuel the growth of Mexico’s         consisted primarily of construction bridge loan collater-
securitization markets. By dollar volume, real estate-        al, however more recently RMBS deals have been com-
backed transactions accounted for approximately one-          pleted.
quarter of the local structured finance market.                   Mortgage securitization increases the Sofoles’ ability
                                                              to originate loans because it:
WHY THE PUSH FOR MBS?                                         • Increases liquidity
There is a severe housing deficit in Mexico of approxi-       • Promotes standardization of practices (origination,
mately 5 million units. One of the primary factors driv-          processing, servicing, etc.)
ing this deficiency is the overall youth of the Mexican       • Diversifies financing sources
population. According to the 2000 census, close to 60%        Standardization of practices will progressively reduce
of the Mexican population is under the age of 30 years.       informational, administrative and transaction costs. In
Moreover, Mexico’s rental market is insignificant             the United States and Canada, public agencies impose
(approximately 13% of total housing stock). Statistics        such standardization, but in Mexico each institution has
suggest that by 2030, Mexico’s population over the age of     typically set its own standards. Standardization is vital
20 will grow to 96 million as compared to 56 million in       in creating sufficient volume to package mortgages for
2000. Demand for new housing is estimated at around           sale through an MBS structure. Diversification of financ-
750,000 new homes per year, while current supply is           ing sources is particularly important for Sofoles, since to
                                                              date they have largely depended solely on SHF funding.


www.harrisnesbitt.com/us-securitization                                                                                  3
U.S. Securitization                                                                                                       Update
                                                                                                                              August 2005




WHAT DOES THE FUTURE HOLD?                                               insurers in wrapping Mexican existing (vs. future flow)
The Mexican structured market (domestic and cross-bor-                   assets, and the emergence of a cross-currency and inter-
der) has been active so far in 2005 with 19 new struc-                   est basis derivative market, the cross-border securitiza-
tured issuances having already been placed. Innovative                   tion market should thrive as well.
structures with new credit and financial risk mitigants
will allow Mexico to maintain its leading position in the
Latin American structured finance market. RMBS and
construction bridge loan issuances by Sofoles will likely                    CONTRIBUTORS:
continue to grow in volume and number in the coming
years. With shopping malls, office buildings, warehous-                      Susan Miceli                   Anthony Harris
es and hotels having the potential to leverage their lease                   Lou Galassini                  William Barbino
                                                                             Jason Micheletto               Allison Nickle
payments through commercial mortgage-backed securiti-
                                                                             Kristi Riffe                   Barbara Boone
zation (CMBS), CMBS should start to play a role in 2006.
As a result of the increased interest among monoline




                  U.S. ABCP Market Growth
                  U.S. Asset-Backed Commercial Paper Market vs. Harris Nesbitt (U.S. only)


                     Nesbitt’s
                     US CP Conduits                                                         US Asset-Backed CP
                     6000                                                                                  1000

                      5000                                                                                     800

                      4000
                                                                                                               600
                      3000
                                                                                                               400
                      2000

                                                                                                               200
                      1000

                          0                                                                                    0
                              1995    1996     1997   1998    1999    2000    2001   2002    2003 June-05

                                          Nesbitt's US CP Conduits CP Outstandings ($MMs)

                                          US Asset-backed CP Outstandings ($Blns)




www.harrisnesbitt.com/us-securitization                                                                                                4
U.S. Securitization                                                              Asset Backed Update
                                                                                                            August 2005




   Upcoming Industry Conferences
   * Harris Nesbitt U.S. Securitization attending
   ** Harris Nesbitt U.S. Securitization presenting

   September 13-16, 2005**                September 26-27, 2005**              January 29- February 1, 2006**
   IMN – ABS East                         SRI - Intellectual Property          ASF 2006
   Boca Raton Resort - Boca Raton, FL     Financing and Securitization         Wynn - Las Vegas, NV
   Speakers:                              New York Helmsley Hotel - New
   Thursday, September 15                 York, NY                             February 7-10, 2006**
   Dave Kucera – 9:15 a.m.                Speaker:                             ABS West
   Opportunities in the Business Loan     Monday, September 26                 JW Marriott Desert Ridge -
   & Commercial Loan Securitization       Pete Walsh – 9:00 a.m.               Phoenix, AZ
   Market                                 Monetizing IP State of the Market
   Brian Zaban – 9:15 a.m.                Review: Today’s Market
   Mitigating Securitization Risks        Alternatives and Trends
   Ravi Gupta – 11:30 a.m.
   Rating & Structural Issues in          December 8-9, 2005
   Equipment Lease and Loan               IMN – SubPrime ABS, Consumer
   Securitizations                        Finance and Servicing
   Friday, September 16                   Four Seasons Hotel – Las Vegas, NV
   Dave Donofrio – 9:00 a.m.
   Securitization in Latin America




www.harrisnesbitt.com/us-securitization                                                                              5
U.S. Securitization                                                                  Asset Backed Update
                                                                                                                      August 2005




Transaction List
Date        Transaction                                              Amount (MMs)   Assets                   Surety      Type
7/6/2005    Sharps SP I LLC Net Interest Margin Trust, 2005-HE3N         48.4       Net interest margin                  144A
7/7/2005    PHEAA Student Loan Trust I, 2005-2                          400.0       Student loans                        Public
7/7/2005    Grand Pacific Business Loan Trust, 2005-1                   218.3       Small-business loans                 144A
7/8/2005    Soundview Home Loan Trust, 2005-3                           704.9       Subprime home loans                  Public
7/12/2005 Ownit Mortgage Loan Trust, 2005-3                             690.6       Home-equity loans                    Public
7/12/2005 Onyx Acceptance Owner Trust, 2005-B                           900.0       Auto loans (sub-prime)   FGIC        Public
7/12/2005 Nissan Master Owner Trust Receivables, 2005-A                 800.0       Auto loans (prime)                   Public
7/12/2005 J.P. Morgan Acquisition Corp., 2005-OPT1                      1,461.8     Subprime home loans                  Public
7/12/2005 Fremont Home Loan Trust, 2005-C                               1,032.7     Home-equity loans                    Public
7/12/2005 Citibank Credit Card Issuance Trust, 2005-C3                  375.0       Credit cards                         Public
7/13/2005 Option One Mortgage Loan Trust, 2005-3                        1,200.0     Home-equity loans                    Public
7/13/2005 Navistar Financial Owner Trust, 2005-A                        746.3       Truck loans                          Public
7/13/2005 Long Beach Mortgage Loan Trust, 2005-WL1                      2,968.8     Home-equity loans                    Public
7/13/2005 Collegiate Funding Services Education Loan Trust, 2005-B      1,300.0     Student loans                        Public
7/14/2005 NYCTL Trust, 2005-A                                            49.8       Tax liens                            144A
7/14/2005 First Franklin NIM Trust, 2005-FF5N                            29.8       Net interest margin                  144A
7/14/2005 FFMLT Trust, 2005-FFA                                         758.8       Home-equity loans                    Public
7/14/2005 American Express Credit Account Master Trust, 2005-5          1,000.0     Credit cards                         Public
7/15/2005 Spirit Master Funding LLC, 2005-1                             441.3       Small-business loans     Ambac       144A
7/15/2005 Popular ABS Mortgage Pass-Through Trust, 2005-B               326.7       Subprime home loans                  Public
7/15/2005 Petroleum Export Ltd., /C                                     250.0       Natural resources        XLCA        144A
7/15/2005 Petroleum Export Ltd., /B                                     400.0       Natural resources        MBIA        144A
7/15/2005 Petroleum Export Ltd., /A                                     903.6       Natural resources                    144A
7/15/2005 Mastr ABS NIM Trust, 2005-CI10                                 23.7       Net interest margin                  144A
7/15/2005 First Franklin NIM Trust, 2005-FF6N                            47.6       Net interest margin                  144A
7/19/2005 WFS Financial Owner Trust, 2005-3                             2,723.0     Auto loans (sub-prime)               Public
7/19/2005 Triad Auto Receivables Trust, 2005-B                          905.3       Auto loans (sub-prime)   FSA         Public
7/19/2005 SB Finance NIM Trust, 2005-KS6N                                29.1       Net interest margin                  144A
7/19/2005 Morgan Stanley ABS Capital I Trust, 2005-HE3                  1,026.4     Home-equity loans                    Public
7/20/2005 SLM Student Loan Trust, 2005-6                                3,378.2     Student loans                        Public
7/20/2005 Drivetime Auto Owner Trust, 2005-B                            178.2       Auto loans (sub-prime)   XLCA        144A
7/21/2005 Soundview NIM Trust, 2005-C14                                  21.7       Home-equity loans                    144A
7/21/2005 Securitized Asset Backed Receivables Trust, 2005-FR3          236.5       Home-equity loans                    Public
7/21/2005 J.P. Morgan Mortgage Acquisition Corp., 2005-OPT1             1,510.1     Home-equity loans                    Public
7/21/2005 Interstar Millennium Trust, 2005-2L/A                         500.0       Non-U.S. resi. loans                 144A
7/21/2005 HSBC Automotive Trust, 2005-2                                 944.6       Auto loans (sub-prime)               Public
7/21/2005 Capital One Multi-asset Execution Trust Class A, 2005-6       455.0       Credit cards                         Public
7/22/2005 RASC Trust, 2005-KS7                                          400.0       Subprime home loans                  Public
7/22/2005 Nelnet Student Loan Trust, 2005-3                             1,343.0     Student loans                        Public
7/22/2005 Bear Stearns Structured Products NIM, 2005-16                   3.3       Net interest margin                  144A
7/22/2005 Bay View Owner Trust, 2005-LJ-2                               181.0       Auto loans (sub-prime)               Public
7/25/2005 Park Place Securities Inc., 2005-WCW3                         1,500.0     Home-equity loans                    Public
7/25/2005 Home Equity Asset Trust, 2005-2N                               27.2       Net interest margin                  144A
7/25/2005 ACE Securities Corp. Home Equity Loan Trust, 2005-WF1         568.7       Home-equity loans                    Public
7/26/2005 Terwin Mortgage Trust, 2005-10HE                              276.0       Subprime home loans                  144A



www.harrisnesbitt.com/us-securitization                                                                                           6
U.S. Securitization                                                                   Asset Backed Update
                                                                                                                      August 2005




7/26/2005 Structured Asset Securities Corp., 2005-S4                       187.7     Home-equity loans                   Public
7/26/2005 Structured Asset Investment Loan Trust, 2005-HE1                 1,724.8   Home-equity loans                   Public
7/26/2005 Structured Asset Investment Loan Trust, 2005-7                   2,101.8   Home-equity loans                   Public
7/26/2005 Structured Asset Investment Loan Trust, 2005-HE2                 842.1     Home-equity loans                   Public
7/26/2005 RAMP Trust, 2005-EFC2                                            702.5     Subprime home loans                 Public
7/26/2005 Fremont Home Loan Trust, 2005-2                                  490.1     Home-equity loans                   Public
7/26/2005 Chase Issuance Trust CHASEseries Class B, 2005-2                 600.0     Credit cards                        Public
7/26/2005 Chase Issuance Trust CHASEseries Class A, 2005-6                 825.0     Credit cards                        Public
7/26/2005 CBA Commercial Assets LLC, 2005-1                                214.9     Small-business loans                144A
7/26/2005 Asset Backed Securities Corp. Home Equity Loan Trust, 2005-HE7   279.2     Home-equity loans                   Public
7/26/2005 Amerifirst Home Improvement Trust, 2005-1                         81.6     Home-improvement loans XLCA         144A
7/27/2005 Structured Asset Securities Corp., 2005-WF3                      878.5     Subprime home loans                 Public
7/27/2005 Home Equity Mortgage Trust, 2005-3                               396.1     Home-equity loans                   Public
7/27/2005 Bear Stearns Asset Backed Securities I Trust, 2005-HE7           958.0     Home-equity loans                   Public
7/27/2005 Bear Stearns Asset Backed Securities I Trust, 2005-AC5/C          82.4     Subprime home loans    Assured      Public
7/27/2005 Bear Stearns Asset Backed Securities I Trust, 2005-AC5/B          75.0     Subprime home loans    FGIC         Public
7/27/2005 Bear Stearns Asset Backed Securities I Trust, 2005-AC5/A         330.8     Subprime home loans                 Public
7/27/2005 Ameriquest Mortgage Securities Inc., 2005-R6                     1,200.0   Subprime home loans                 Public
7/28/2005 Terwin Mortgage Trust NIM, 2005-10HE                              13.7     Net interest margin                 144A
7/28/2005 SACO I Trust, 2005-5                                             729.1     Home-equity loans                   Public
7/28/2005 MBNA Credit Card Master Note Trust MBNAseries Class B, 2005-2    200.0     Credit cards                        Public
7/28/2005 MBNA Credit Card Master Note Trust MBNAseries Class A, 2005-5    1,500.0   Credit cards                        Public
7/28/2005 HSBC Home Equity Loan Trust, 2005-2                              1,288.2   Home-equity loans                   Public
7/28/2005 Home Equity Asset Trust, 2005-5                                  981.0     Home-equity loans                   Public
7/28/2005 Countrywide Home Loan Trust, 2005-5N                              40.3     Net interest margin                 144A
7/29/2005 Willis Engine Securitization Trust, 2005                         228.3     Equipment leases                    144A
7/29/2005    Fieldstone Mortgage Investment Corp., 2005-2                  958.4     Home-equity loans                   Public




www.harrisnesbitt.com/us-securitization                                                                                           7
U.S. Securitization                                                                                                                                                                                                 Update
                                                                                                                                                                                                                     August 2005




                                                                          N O R T H A M E R I C A N E C O N OM I C C A L E N D A R

                                                                                                   SEPTEMBER 2005
                           Dr. Sherry Cooper
                           Executive Vice President & Chief Economist                                                                                                           1-800-613-0205
                           sherry.cooper@bmonb.com                                                                                                          www.bmonesbittburns.com/economics

                                      MONDAY                              TUESDAY                         WEDNESDAY                                 THURSDAY                               FRIDAY
                            UPCOMING
                            POLICY MEETINGS
                                                                                                                                               UNITED STATES                        UNITED STATES
                              Bank of Canada
                                                                                                                                            8:30 am: Initial Claims -            8:30 am: Employment Report
                                September 7                                                                                                 Aug. 27th week                       - Aug.
                                October 18
                                                                                                                                            8:30 am: Personal Income &           10:00 am: Challenger Layoff
                                December 6                                                                                                  Consumption - Jul.                   Report - Aug.
                              FOMC                                                                                                          10:00 am: ISM Index - Aug.
                                September 20                                                                                                10:00 am: Construction
                                November 1                                                                                                  Spending - Jul.
                                December 13                                                                                                 Auto Sales - Aug.
                                                                                                                                                                             1                                  2
                                     CANADA                               CANADA                             CANADA                                  CANADA                               CANADA
                                                                 8:15 am: Foreign Reserves          8:30 am: Building Permits - Jul.        8:30 am: Capacity Utilization        7:00 am: Employment Report
                                                                 - Aug.                                                                     - Q2                                 - Aug.
                                      Labour Day                                                                                            8:30 am: New Housing Price           8:15 am: Housing Starts - Aug.
                                                                                                      BoC Policy Announcement               Index - Jul.                         8:30 am: Labour Productivity
                                                                                                                                            10:00 am: Ivey Purchasing            - Q2
                                                                                                                                            Managersí Index - Aug.
                                                                                                                                            2-year bond auction
                               UNITED STATES                        UNITED STATES                      UNITED STATES                        announcement                            UNITED STATES
                                                                 10:00 am: Non-mfg ISM Index        8:30 am: Productivity - Q2 R                                                 8:30 am: Trade Price Indices
                                                                 - Aug.                                                                        UNITED STATES                     - Aug.
                                                                                                    8:55 am: Redbook -
                                                                 5 & 10-year note auction           Sep. 3rd week                           8:30 am: Initial Claims -
                                                                 announcement                                                               Sep. 3rd week
                                       Labor Day                                                    5-year note auction
                                                                 3 & 6-month T-bill auction                                                 10:00 am: Wholesale Trade
                                                                                                                                            - Jul.
                                                                                                              Beige Book                    3:00 pm: Consumer Credit - Jul.
                                                                                                                                            Chain-Store Sales - Aug.
                                                                                                                                            10-year note auction
                                                             5                                6                                      7                                      8                                   9
                                                                          CANADA                             CANADA                                  CANADA
                                                                 8:30 am: Merchandise Trade         8:30 am: Manufacturing                  8:30 am: Existing Home Sales
                                                                 Balance - Jul.                     Shipments & Orders - Jul.               - Aug.
                                                                 Manpower Survey - Q4               2-year bond auction                     8:30 am: New Motor Vehicle
                                                                                                                                            Sales - Jul.

                               UNITED STATES                        UNITED STATES                      UNITED STATES                           UNITED STATES                        UNITED STATES
                            3 & 6-month T-bill auction           8:30 am: Goods & Services          8:30 am: Retail Sales - Aug.            8:30 am: Consumer Price Index        8:30 am: Current Account - Q2
                                                                 Trade Balance - Jul.               9:15 am: Industrial Production          - Aug.                               9:00 am: Foreign Purchases of
                                                                 8:30 am: Producer Price Index      - Aug.                                  8:30 am: Initial Claims -            U.S. Securities - Jul.
                                                                 - Aug.                             9:15 am: Capacity Utilization           Sep. 10th week                       9:45 am: University of Michigan
                                                                 8:55 am: Redbook -                 - Aug.                                  8:30 am: Empire State                Consumer Sentiment Index
                                                                 Sep. 10th week                                                             Manufacturing Survey - Sep.          - Sep. P
                                                                 2:00 pm: Treasury Budget                                                   8:30 am: Business Inventories
                                                                 - Aug.                                                                     - Jul.
                                                                 Manpower Survey - Q4                                                       12:00 pm: Philadelphia Fed
                                                         12                                   13                                    14      Index - Sep.                15                                    16
                                     CANADA                               CANADA                             CANADA                0...13            CANADA
                            8:30 am: International               8:30 am: Wholesale Trade - Jul.    8:30 am: Retail Sales - Jul.            7:00 am: Consumer Price Index
                            Securities Transactions - Jul.       8:30 am: Leading Indicators                                                - Aug.
                                                                 - Aug.


                               UNITED STATES                        UNITED STATES                      UNITED STATES                           UNITED STATES
                            1:00 pm: NAHB Housing Index          8:30 am: Housing Starts - Aug.     Flow of Funds - Q2                      8:30 am: Initial Claims - Sep.
                            - Sep.                               8:30 am: Building Permits                                                  17th week
                            3 & 6-month T-bill auction           - Aug.                                                                     10:00 am: Leading Indicators
                                                                 8:55 am: Redbook -                                                         - Aug.
                                                                 Sep. 17th week

                                                                         FOMC Meeting


                                                         19                                  20                                     21                                   22                                   23
                                                                                                             CANADA                                  CANADA                               CANADA
                                                                                                    8:30 am: Average Weekly                 8:30 am: Industrial Product          8:30 am: Real GDP at Basic
                                                                                                    Earnings - Jul.                         Price Index - Aug.                   Prices - Jul.
                                                                                                                                            8:30 am: Raw Materials Price
                                                                                                                                            Index - Aug.

                               UNITED STATES                        UNITED STATES                      UNITED STATES                           UNITED STATES                        UNITED STATES
                            10:00 am: Existing Home Sales        8:55 am: Redbook -                 8:30 am: Durable Goods Orders           8:30 am: Real GDP - Q2 F             8:30 am: Personal Income &
                            - Aug.                               Sep. 24th week                     - Aug.                                  8:30 am: Corporate Profits -         Consumption - Aug.
                            2-year note auction                  10:00 am: New Home Sales           2-year note auction                     Q2 R                                 9:45 am: University of Michigan
                            announcement                         - Aug.                                                                     8:30 am: Initial Claims -            Consumer Sentiment Index
                            3 & 6-month T-bill auction           10:00 am: Conference Board                                                 Sep. 24th week                       - Sep. F
                                                                 Consumer Confidence Index                                                  10:00 am: Help-Wanted Index          10:00 am: Chicago Purchasing
                                                                 - Sep.                                                                     - Aug.                               Managersí Index - Sep.


                                                         26                                  27                                     28                                  29                                    30




www.harrisnesbitt.com/us-securitization                                                                                                                                                                                       8
U.S. Securitization                                                                                                                                                                                   Update
                                                                                                                                                                                                       August 2005




                                                                                     CANADIAN INDICATORS
                                                         2004                                                            2005
                                                         Avg       Jul     Aug       Sep      Oct      Nov      Dec      Jan      Feb        Mar        Apr      May      Jun       Jul      Aug

                          Unemployment Rate (%)           7.2      7.1      7.1      7.0      7.1      7.2      7.0      7.0       7.0       6.9        6.8      6.8      6.7       6.8       ND
                          Employment (m/m % change)       1.8      0.1      -0.1     0.2      0.3      0.0      0.1      0.0       0.2       0.0        0.2      0.2      0.1       0.0       ND
                          Housing Starts (000s)          232.3    224.5    247.1    236.3    230.0    244.5    236.3    203.7     218.1     218.4      238.5    225.5    241.3     242.6      ND
                          Leading Indicator               6.9      0.6      0.5      0.4      0.5      0.2      0.3      0.4       0.2       0.2        0.4      0.3      0.3       0.3       ND
                          CPI (m/m % change)              0.2      0.0      -0.1     0.2      0.4      0.2      0.1      -0.1      0.2       0.4        0.3      -0.2     0.2       ND        ND
                          CPI (y/y % change)              1.8      2.3      1.9      1.8      2.3      2.4      2.1      2.0       2.1       2.3        2.4      1.6      1.7       ND        ND
                          Retail Sales                    4.7      0.6      0.2      0.7      1.3      0.1      -1.3     2.1       1.5       0.1        1.5      -1.2     1.1       ND        ND
                          New Orders                     10.0      1.4      -1.0     -0.5     0.0      -0.4     0.0      6.8      -5.0       -0.4       0.6      -0.7     0.4       ND        ND
                          Unfilled Orders                 -1.9     1.4      -0.8     -1.2     -0.1     -1.4     -0.1     5.5      -0.3       2.0        1.3      0.8      0.7       ND        ND
                          Industrial Production           3.3      0.2      0.9      -0.5     -0.2     0.3      0.2      0.3      -0.6       -0.8       0.4      0.6      ND        ND        ND
                          GDP at Basic Prices             3.2      0.3      0.4      0.0      0.1      0.3      0.2      0.3       0.1       -0.1       0.3      0.3      ND        ND        ND
                          IPPI                            3.2     -0.1      0.4      -0.5     -0.5     -1.9     0.1      0.9       1.2       0.4        0.5      -0.1     0.0       ND        ND
                          RMPI                           11.7      1.2      3.6      -0.1     4.1      -5.2     -4.6     4.9       3.0       6.3        -1.3     -3.2     5.4       ND        ND
                          Domestic Car Sales             542.8    555.0    556.3    519.6    542.1    530.2    551.6    524.6     611.3     596.8      605.3    510.0    587.5      ND        ND
                          M2                              6.1      0.0      0.1      0.3      0.7      -0.4     0.9      0.9       0.7       0.0        1.1      0.1      0.4       ND        ND
                          Consumer Credit                10.3      1.0      0.8      0.7      0.9      0.6      0.7      0.8       1.2       1.1        1.1      1.2      ND        ND        ND
                          Residential Mortgage Credit     9.6      0.7      0.9      0.7      1.0      0.7      0.9      0.6       0.7       0.7        0.7      0.8      ND        ND        ND
                          Total Household Credit          9.8      0.8      0.9      0.7      0.9      0.6      0.8      0.6       0.9       0.8        0.9      0.9      ND        ND        ND
                          3-month T-bill Yield           2.22     2.03     2.07     2.36      2.52     2.62     2.46     2.45     2.45       2.49       2.47     2.46     2.45     2.55      2.65
                          10-year GoC                    4.58     4.75     4.63     4.60      4.55     4.48     4.32     4.26     4.21       4.36       4.19     4.07     3.83     3.90      3.95
                          Call Money Rate                2.25     2.00     2.00     2.25      2.50     2.50     2.50     2.50     2.50       2.48       2.50     2.49     2.49     2.49       ND
                          Prime Rate                     4.00     3.75     3.75     4.00      4.25     4.25     4.25     4.25     4.25       4.25       4.25     4.25     4.25     4.25       ND
                          Canadian Dollar (US cents)     77.0     75.6     76.2     77.6      80.2     83.6     82.0     81.6      81        82.2       80.9     79.6     80.6     81.8      82.8
                          TSX (Jan 1975=1,000)          8596.8   8421.4   8278.1   8499.7    8792.7   8933.7   9123.1   9087.6   9529.8     9697      9474.9    9472.2   9860.2   10247.5   10577.3




                                                                                            U.S. INDICATORS
                                                         2004                                                            2005
                                                         Avg       Jul     Aug       Sep      Oct      Nov      Dec      Jan      Feb        Mar        Apr      May      Jun       Jul      Aug

                          Unemployment Rate (%)           5.5      5.5      5.4      5.4      5.5      5.4      5.4      5.2       5.4       5.2        5.2      5.1      5.0       5.0       ND
                          Nonfarm Payrolls (m/m chg)      183      83       188      130      282      132      155      124      300        122        292      126      166      207        ND
                          Consumer Credit                 4.4      0.4      0.4      0.6      0.6      0.0      0.4      0.6       0.3       0.3        0.1      -0.1     0.7       ND        ND
                          Consumer Confidence Index      95.2     105.7    98.7     96.7      92.9     92.6    102.7    105.1     104.4     103.0       97.5    103.1    106.2     103.2      ND
                          Retail Sales                    7.4      1.1      0.0      1.8      0.9      0.0      1.3      0.1       0.7       0.3        1.8      -0.3     1.7       1.8       ND
                          Domestic Car Sales              5.3      5.4      5.2      5.3      5.1      5.2      5.8      5.4       5.3       5.5        5.7      5.3      5.2       5.7       ND
                          Housing Starts                 1.95     1.99     2.03     1.91      2.06     1.81     2.05     2.19     2.23       1.83       2.03     2.04     2.05     2.04       ND
                          Building Permits               2.03     2.11     2.06     2.04      2.09     2.09     2.08     2.14     2.09       2.02       2.15     2.06     2.13     2.17       ND
                          Leading Indicators              3.0      0.4      0.1      0.1      0.0      0.6      0.7      -0.1      0.2       -0.7       0.2      0.0      1.2       0.1       ND
                          ISM                            60.5     61.6     59.6     59.1      57.5     57.6     57.3     56.4     55.3       55.2       53.3     51.4     53.8     56.6       ND
                          Industrial Production           4.1      0.7      0.1      -0.3     0.8      0.3      0.8      -0.1      0.5       0.2        -0.4     0.3      0.8       0.1       ND
                          Capacity Utilization Rate      78.1     78.3     78.3     78.0      78.5     78.7     79.2     79.1     79.4       79.5       79.0     79.2     79.8     79.7       ND
                          Durable Goods Orders           10.8      1.4      0.3      -0.1     -1.4     3.3      1.8      -2.9      1.6       -1.9       0.5      7.3      1.9      -4.9       ND
                          CPI (m/m % change)              0.3     -0.1      0.1      0.2      0.6      0.3      0.0      0.1       0.4       0.6        0.5      -0.1     0.0       0.5       ND
                          CPI (y/y % change)              2.7      2.9      2.7      2.5      3.2      3.6      3.4      2.9       2.9       3.2        3.5      2.8      2.5       3.1       ND
                          PPI (m/m % change)              0.3      0.1      0.1      0.3      1.5      0.7      -0.3     0.1       0.4       0.8        0.5      -0.6     0.0       1.0       ND
                          Merch. Trade Balance ($bln)    -55.5    -55.0    -57.1    -55.6    -59.4    -63.2     -59.5    -62.7    -64.7     -58.9      -62.3    -60.8    -64.0      ND        ND
                          Goods & Services Balance       -51.4    -51.3    -54.2    -51.9    -55.6    -59.0     -54.7    -58.1    -60.1     -53.6      -56.9    -55.4    -58.8      ND        ND
                          Federal Budget Balance         -33.4    -69.2    -41.1    24.6     -57.3    -57.9     -2.9     8.6     -113.9     -71.2       57.7    -35.3     22.4     -52.8      ND
                          M1                              5.5     -0.5      1.3      0.3      0.0      1.1      -0.1     -0.7      0.6       0.5        -1.3     0.9      0.0      -1.5       ND
                          M2                              4.5      0.0      0.3      0.6      0.4      0.6      0.4      0.2       0.2       0.3        0.0      0.0      0.5       0.1       ND
                          M3                              5.2      0.0      0.4      0.5      0.1      0.3      0.5      0.5       0.4       0.3        0.5      0.4      0.8       0.2       ND
                          3-month T-bill Yield           1.40     1.36     1.50     1.68      1.79     2.11     2.22     2.37     2.58       2.80       2.84     2.90     3.04     3.29      3.51
                          10-year Treasury               4.27     4.50     4.28     4.13      4.10     4.19     4.23     4.22     4.17       4.50       4.34     4.14     4.00     4.18      4.31
                          30-year Mortgage Rate          5.84     6.06     5.87     5.76      5.72     5.73     5.75     5.71     5.63       5.93       5.86     5.72     5.58     5.70       ND
                          Federal Funds Rate             1.35     1.27     1.43     1.62      1.75     1.93     2.16     2.29     2.50       2.63       2.78     3.00     3.04     3.25      3.47
                          Prime Rate                     4.34     4.25     4.42     4.59      4.75     4.92     5.15     5.25     5.49       5.59       5.75     5.99     6.01     6.25      6.41
                          Euro (US$/Euro)                1.24     1.23     1.22     1.22      1.25     1.30     1.34     1.31     1.30       1.32       1.29     1.27     1.22     1.20      1.23
                          Yen (•/US$)                   108.17   109.49   110.23   110.09    108.78   104.70   103.81   103.34   104.94     105.25    107.19    106.60   108.75   111.95    110.65
                          Oil (US$/bbl)                  41.50    40.69    44.94    45.95    53.13    48.46    43.33    46.84     47.97     54.31      53.04    49.83    56.26     58.70     63.99
                          Gold (US$/oz)                 409.17   398.11   400.51   405.25    420.46   439.38   442.08   424.03   423.35     433.90    429.23    421.87   430.66   424.48    438.50
                          DJIA                          10313.65 10152.09 10032.80 10204.67 10001.60 10411.76 10673.38 10539.51 10723.82   10682.09   10283.19 10377.18 10486.68 10545.38 10594.59




www.harrisnesbitt.com/us-securitization                                                                                                                                                                         9
U.S. Securitization                                                                                       Asset-Backed Update
                                                                                                                                              August 2005




                                             Asset Securitization Team
                                                      DIRECTOR OF SECURITIZATION
                                                 Jeff Phillips, Executive Managing Director
                                                                 (312) 461-7282

                                                      ORIGINATION & STRUCTURING
                                                      David Kucera, Managing Director
                                                              (312) 461-3893
                                                       Pete Walsh, Managing Director
                                                              (312) 461-2332
                                                       Tom Gervais, Managing Director
                                                              (214) 661-1501

                                                         FUNDING COORDINATION
                                                            Ron Kirchler, Director
                                                               (312) 461-3841
                                                         Lou Galassini, Vice President
                                                               (312) 461-5353

                                                           CONDUIT MANAGEMENT
                                                             Kristi Riffe, Director
                                                                (312) 461-5640




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