CDOs/CLOs

An order to temporarily suspend redemptions in United Capital Asset Management's group of Horizon hedge funds and the closure of a separate hedge fund managed by Denver-based Braddock Financial, might have been reason enough to shock and subdue the ABS market last week, especially because they were the latest in a series of disturbing episodes caused by instability in the mortgage-backed securities market.

In a drastic re-ordering of top ABS bookrunners, JPMorgan Securities became the top-ranked manager for public ABS deals in the first half of 2007, according to a preliminary tally of deals by the ASR Scorecard database.

Indeed, U.S. CDO issuance was up, totaling $188.3 billion through the first half of 2007, a small but not insignificant rise from $147.3 billion for the same period in 2006, according to Thomson Financial data.

Three U.S. options and futures exchanges have launched listed products aiming to grab shares of the burgeoning credit-derivatives market, although the new products are facing short-term hurdles and may encounter long-term ones as well.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 7,948.09 1 18.988 11 JPMorgan Securities 4,633.0 2 11.068 10 Banc of America Securities 4,559.57 3 10.893 8 Credit Suisse 2,819.7 4 6.736 5 Citigroup Global Markets 2,797.36 5 6.683 6 ABN AMRO 2,782.95 6 6.649 5 RBS Greenwich Capital 2,374.52 7 5.673 5 Merrill Lynch 2,226.38 8 5.319 4 Deutsche Bank Securities 2,009.23 9 4.8 5 HSBC Securities 1,963.94 10 4.692 3 Industry Total 41,858.2 - 100.0 43 Source: ASR Scorecards database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Merrill Lynch 31,935.6 1 17.0 37 Citigroup Global Markets 26,497.0 2 14.1 35 Wachovia Securities 14,702.8 3 7.8 24 JPMorgan Securities 12,754.9 4 6.8 22 Banc of America Securities 11,793.1 5 6.3 13 Morgan Stanley 11,481.6 6 6.1 50 Deutsche Bank Securities 10,836.6 7 5.8 22 UBS 10,117.2 8 5.4 23 Bear Stearns 9,685.5 9 5.2 17 Lehman Brothers 8,402.0 10 4.5 16 Industry Total 188,024.6 - 100.0 321 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 JPMorgan Securities 11,655.0 1 25.943 19 Banc of America Securities 9,110.83 2 20.28 17 Citigroup Global Markets 7,425.0 3 16.527 12 Morgan Stanley 4,652.63 4 10.356 6 Deutsche Bank Securities 2,095.83 5 4.665 9 ABN AMRO 1,756.81 6 3.91 3 Barclays Capital 1,675.0 7 3.728 4 Credit Suisse 1,633.82 8 3.637 4 Wachovia Securities 1,337.5 9 2.977 4 RBS Greenwich Capital 1,158.33 10 2.578 8 Industry Total 44,925.8 - 100.0 69 Source: ASR Scorecards 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 22,508.65 1 12.107 23 Merrill Lynch 19,188.39 2 10.321 20 RBS Greenwich Capital 16,175.71 3 8.701 29 Lehman Brothers 14,978.04 4 8.056 23 Morgan Stanley 14,738.76 5 7.928 17 Citigroup Global Markets 14,599.53 6 7.853 19 Bear Stearns 11,850.64 7 6.374 21 JPMorgan Securities 11,198.67 8 6.024 14 Barclays Capital 10,312.58 9 5.547 12 Banc of America Securities 8,140.2 10 4.379 22 Industry Total 185,912.9 - 100.0 229 Source: ASR Scorecards 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 5,632.54 1 16.842 6 JPMorgan Securities 4,677.83 2 13.987 5 Deutsche Bank Securities 3,551.49 3 10.619 5 Credit Suisse 3,423.1 4 10.235 4 Barclays Capital 2,544.83 5 7.609 2 RBC Capital Markets 2,531.0 6 7.568 3 Goldman Sachs 2,326.17 7 6.955 3 Citigroup Global Markets 2,107.4 8 6.301 3 Morgan Stanley 2,090.1 9 6.25 2 Lehman Brothers 1,380.67 10 4.128 1 Industry Total 33,443.9 - 100.0 17 Source: ASR Scorecards database

auto ABS 8% credit card ABS 12% equipment ABS 1% real estate ABS 70% student loan ABS 9% trade receivables 0% utilities ABS 0%