CDS of ABS: The Future is Now

Moderator:

Michael Swenson, Goldman Sachs

Panelists:

Zain Abdullah, Calyon

Josh Anderson, Pimco

Michael Knopf, MBIA

Nunzio Masone, Alladin Capital Management

Scott Eichel, Bear Stearns

Audience Makeup:

Are you:

A) Money Manager

B) Insurance Co.

C) Hedge Fund

D) Issuer/Originator

E) Broker/Dealer

F) Monoline

G) Other

Audience Makeup:

My current involvement in CDS could be described as

follows:

a. Have already transacted in ABS CDS

b. Have not transacted in ABS CDS, but am considering it

c. Will probably not transact in ABS CDS

Who have been the primary users of ABS CDS to

date?

How have the monolines been involved in this

market?

How have ABS CDS been used by CDO

managers?

What is the cash-CDS basis and what has it been

doing?

Have CDS spreads lead cash spreads or vice

versa?

How have market technicals been impacted by

the growth of this market?

How are the ABX indices constructed?

Comment on the first week of trading activity on

the ABX indices.

What trades do we expect to occur with regard to

the ABX index?

What have been the primary issues the buy side

has had to address prior to participating in the

ABS CDS or ABX market?

What is your outlook on housing and subprime

spreads?

Audience Survey:

What is your outlook on housing for 2006?

A) Prices up 10% or more

B) Prices up 0 to 10%

C) Prices Flat

D) Prices down 0 to 10%

E) Prices down 10% or more

Audience Survey:

What is your outlook on subprime spreads for

2006?

A) spreads tighter

B) spreads flat

C) spreads wider

What is the outlook for structured products CDS?

Questions from the Audience