CDOs/CLOs

The current joke on the street goes something like this: Do you know what a cov-lite rating is? Well, just the kind of rating the rating agencies were giving - no verification, no due diligence.

Industry observers have been bracing for October, when an estimated $50 billion worth of adjustable rate mortgages are going to reset to higher rates.

The September remittance reports revealed that conditions in the mortgage market are worsening, although the rate of credit performance dislocation is mostly slowing, according to a UBS report.

For all the dread the collapse of the subprime market has brought to the economy, those looking for a bit of good news have projected a stronger mortgage market on the assumption that lenders have begun tightening their underwriting standards.

As if the structured finance CDO market has not been dragged through the mud already, market-value CDOs appear to be the latest investment vehicle wounded by the lack of liquidity in the mortgage sector.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 9,248.1 1 16.821 14 JPMorgan Securities 6,893.32 2 12.538 15 Banc of America Securities 5,461.4 3 9.934 10 Citigroup Global Markets 5,070.9 4 9.223 10 Credit Suisse 3,653.0 5 6.644 7 Deutsche Bank Securities 2,911.1 6 5.295 7 Barclays Capital 2,834.3 7 5.155 6 ABN AMRO 2,783.0 8 5.062 5 Merrill Lynch 2,726.4 9 4.959 5 HSBC Securities 2,713.2 10 4.935 4 Industry Total 54,978.6 - 100.0 58 Source: ASR Scorecard database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup Global Markets 35,900.4 1 15.1 50 Merrill Lynch 32,509.3 2 13.6 40 Wachovia Securities 19,435.3 3 8.2 34 JPMorgan Securities 15,666.9 4 6.6 27 Banc of America Securities 14,629.0 5 6.1 19 Deutsche Bank Securities 14,471.0 6 6.1 31 Lehman Brothers 14,343.1 7 6.0 29 Morgan Stanley 13,926.2 8 5.8 70 Bear Stearns 11,721.3 9 4.9 23 UBS 11,547.1 10 4.8 27 Industry Total 238,421.7 - 100.0 434 Source: ASR Scorecard database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JPMorgan Securities 15,980.0 1 25.691 27 Citigroup Global Markets 14,165.0 2 22.773 15 Banc of America Securities 11,573.3 3 18.607 21 Morgan Stanley 5,052.6 4 8.123 8 Credit Suisse 2,721.3 5 4.375 8 Deutsche Bank Securities 2,195.8 6 3.53 10 Barclays Capital 2,175.0 7 3.497 5 RBS Greenwich Capital 2,128.3 8 3.422 10 HSBC Securities 1,750.0 9 2.813 3 Wachovia Securities 1,337.5 10 2.15 4 Industry Total 62,200.3 - 100.0 89 Source: ASR Scorecard database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Countrywide Securities 24,396.8 1 12.333 26 Merrill Lynch 19,769.4 2 9.993 22 RBS Greenwich Capital 16,382.0 3 8.281 30 Morgan Stanley 16,051.0 4 8.114 18 Lehman Brothers 15,594.4 5 7.883 25 Citigroup Global Markets 14,604.4 6 7.383 19 Bear Stearns 13,663.4 7 6.907 26 JPMorgan Securities 12,445.1 8 6.291 17 Barclays Capital 10,877.2 9 5.498 13 Banc of America Securities 8,563.4 10 4.329 23 Industry Total 198,177.9 - 100.0 254 Source: ASR Scorecard database

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 8,428.2 1 22.335 8 JPMorgan Securities 5,973.5 2 15.83 6 Deutsche Bank Securities 3,551.49 3 9.412 5 Credit Suisse 3,423.1 4 9.071 4 Barclays Capital 2,544.83 5 6.744 2 RBC Capital Markets 2,531.0 6 6.707 3 Goldman Sachs 2,326.17 7 6.164 3 Citigroup Global Markets 2,107.4 8 5.585 3 Morgan Stanley 2,090.1 9 5.539 2 Lehman Brothers 1,380.67 10 3.659 1 Industry Total 37,735.2 - 100.0 20 Source: ASR Scorecard database