CDOs/CLOs

Washington D.C.-based private equity firm The Carlyle Group announced the close of its tenth U.S. loan fund, Carlyle High Yield Partners X, Ltd, a $400 million CLO. Carlyle's U.S. leveraged finance group has closed three CLOs with a total of $1.2 billion of assets, over the last year. Its newest fund utilizes a traditional CLO structure including triple-A through double-B rated

Fitch Ratings last week said it expected to downgrade roughly 27% of the tranches of synthetic CDOs referencing U.S. subprime securities by an average 2.4 notches, given a recent stress test applied to the deals it's rated. The rating agency assumed a three-notch downgrade on each of the investment grade subprime RMBS within the CDO portfolios.

Last week both Fannie Mae and Freddie Mac announced stepped-up efforts to aid subprime borrowers who need to refinance into more affordable mortgages, as their representatives testified before Congress. Market participants expected that the effect of such initiatives on loan supply might curb HEL spread widening despite certain program criteria remaining hazy.

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 7,539.2 1 47.6 9 Banc of America Securities 3,350.7 2 21.1 3 Wachovia Securities 3,200.5 3 20.2 3 Barclays Capital 2,960.3 4 18.7 3 ABN AMRO Incorporated 2,322.9 5 14.7 2 HSBC Securities 2,058.0 6 13.0 2 Morgan Stanley & Co. 1,870.3 7 11.8 2 Deutsche Bank Securities 1,830.0 8 11.5 2 RBS Greenwich Capital 1,684.6 9 10.6 2 Lehman Brothers 1,500.0 10 9.5 1 Industry Total 15,844.3 - 100.0 18 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 Merrill Lynch 23,251.4 1 22.5 27 Citigroup 14,057.9 2 13.6 21 Wachovia Corp 7,322.7 3 7.1 13 UBS 6,843.0 4 6.6 10 Deutsche Bank AG 6,824.1 5 6.6 14 JP Morgan 6,466.1 6 6.3 14 Morgan Stanley 5,463.2 7 5.3 29 Banc of America Securities 4,926.4 8 4.8 5 Bear Stearns & Co. 4,529.8 9 4.4 8 Credit Suisse 4,515.8 10 4.4 6 Industry Total 103,211.5 - 100.0 182 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 6,765.0 1 27.4 12 JP Morgan Securities 5,920.0 2 24.0 9 Citigroup Global Markets 3,700.0 3 15.0 5 Morgan Stanley & Co. 3,068.4 4 12.4 3 Credit Suisse Securities 2,842.6 5 11.5 4 Deutsche Bank Securities 2,300.0 6 9.3 6 ABN AMRO 2,242.6 7 9.1 2 Wachovia Securities 1,275.0 8 5.2 3 Lehman Brothers 1,000.0 9 4.1 2 RBS Greenwich Capital 775.0 10 3.1 4 Industry Total 24,671.1 - 100.0 37 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 Corp. 15,736.9 1 14.6 16 RBS Greenwich Capital 13,380.5 2 12.4 15 Merrill Lynch, Pierce, Fenner & Smith 12,970.8 3 12.0 12 Citigroup Global Markets 10,988.3 4 10.2 11 Banc of America Securities 10,671.2 5 9.9 14 Morgan Stanley & Co. 10,313.3 6 9.5 11 Lehman Brothers 8,994.4 7 8.3 10 Bear Stearns & Co. 8,384.7 8 7.8 16 JP Morgan Securities 6,401.0 9 5.9 6 Deutsche Bank Securities 5,651.1 10 5.2 7 Industry Total 107,996.0 - 100.0 131 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 11,558.4 1 49.2 4 JP Morgan Securities 9,557.4 2 40.7 3 Barclays Capital 8,836.0 3 37.6 2 Credit Suisse Securities 6,270.3 4 26.7 2 Morgan Stanley & Co. 6,270.3 4 26.7 2 Goldman Sachs & Co. 5,842.0 6 24.9 2 Deutsche Bank Securities 5,291.7 7 22.5 2 Wachovia Securities 4,806.0 8 20.4 1 Lehman Brothers 4,142.0 9 17.6 1 RBS Greenwich Capital 3,051.4 10 13.0 1 Industry Total 23,505.1 - 100.0 9 Source: Thomson Financial

auto ABS 7% credit card ABS 10% enterprise finance 0% equipment ABS 1% real estate ABS 71% student loan ABS 10% trade receivables 0% utilities ABS 0%

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 Inc. 7,539.2 1 47.6 9 Banc of America Securities LLC 3,350.7 2 21.1 3 Wachovia Securities 3,200.5 3 20.2 3 Barclays Capital 2,960.3 4 18.7 3 ABN AMRO Incorporated 2,322.9 5 14.7 2 HSBC Securities, Inc. 2,058.0 6 13.0 2 Morgan Stanley & Co. Incorporated 1,870.3 7 11.8 2 Deutsche Bank Securities, Inc. 1,830.0 8 11.5 2 RBS Greenwich Capital 1,684.6 9 10.6 2 Lehman Brothers, Inc. 1,500.0 10 9.5 1 Industry Total 15,844.3 - 100.0 18 Source: Thomson Financial