CDOs/CLOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan Securities 15,980.0 1 27.937 26 Banc of America Securities 11,573.3 2 20.233 21 Citigroup Global Markets 9,165.0 3 16.023 13 Morgan Stanley 5,052.6 4 8.833 8 Credit Suisse 2,721.3 5 4.757 8 Deutsche Bank Securities 2,195.8 6 3.839 10 Barclays Capital 2,175.0 7 3.802 5 RBS Greenwich Capital 2,128.3 8 3.721 3 HSBC Securities 1,750.0 9 3.059 9 Wachovia Securities 1,337.5 10 2.338 4 Industry Total 57,200.3 - 100.0 87 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 Countrywide Securities 22,910.5 1 12.019 24 Merrill Lynch 19,188.39 2 10.066 20 RBS Greenwich Capital 16,382.0 3 8.594 30 Morgan Stanley 16,051.0 4 8.42 18 Lehman Brothers 15,156.9 5 7.951 24 Citigroup Global Markets 14,604.4 6 7.661 19 Bear Stearns 12,237.0 7 6.42 22 JPMorgan Securities 12,021.8 8 6.307 16 Barclays Capital 10,877.2 9 5.706 13 Banc of America Securities 8,140.2 10 4.27 22 Industry Total 190,621.3 - 100.0 240 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 Banc of America Securities 6,928.2 1 19.2 7 JPMorgan Securities 5,973.5 2 16.6 6 Deutsche Bank Securities 3,551.49 3 9.9 5 Credit Suisse 3,423.1 4 9.5 4 Barclays Capital 2,544.83 5 7.1 2 RBC Capital Markets 2,531.0 6 7.0 3 Goldman Sachs 2,326.17 7 6.5 3 Citigroup Global Markets 2,107.4 8 5.8 3 Morgan Stanley 2,090.1 9 5.8 2 Lehman Brothers 1,380.67 10 3.8 1 Industry Total 36,035.2 - 100.0 18 Source: Thomson Financial

aircraft ABS 1% auto ABS 11% credit card ABS 12% equipment ABS 1% real estate ABS 67% student loan ABS 8% trade receivables 0% utilities ABS 0%

This is getting to be a habit. The ABS market remained in a resting state for the third week last week, getting little encouragement from gun-shy investors and with the overall credit market getting only slightly more sympathy from the Federal Reserve.

Amid an endless stream of increasingly bad news in the mortgage market, investors have been shorting the ABX index, expecting further deterioration and hedging their positions in the stagnant CDO arena.

Introduction

The mortgage market was beginning to look like ducks in a shooting gallery last week after a devastating amount of bad news. The injured participants, C-BASS, NovaStar Financial, American Home Mortgage Investment Co., HomeBanc, Impac Mortgage Holdings, National City Corp., Luminent Mortgage Capital and Aegis Mortgage Corp., among others, took a beating. Some were more crippled than others.

CLO market players will be more discerning about transactions in the second half of this year, according to panelists at a Loan Syndications and Trading Association seminar held in New York last Wednesday. The participants highlighted the recent slowdown after $57 billion in CLOs were issued in the first half of 2007.

Things will never be the same in the extendible note (EN) portion of the ABCP sector, and that is the way investors want it. The buy-side community made its wishes plain over the past two weeks, firmly refusing to buy much new extendible note ABCP debt, especially the sort that funded MBS and CDO debt via single-seller vehicles.