CDOs/CLOs

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 LLC 18,719.8 1 30.7 27 Citigroup 10,982.0 2 18.0 16 JP Morgan 9,874.7 3 16.2 22 Morgan Stanley 4,055.3 4 6.7 5 Deutsche Bank AG 3,924.9 5 6.4 12 Barclays Capital 3,373.8 6 5.5 8 HSBC Holdings PLC 2,749.9 7 4.5 3 Credit Suisse 2,285.0 8 3.8 10 Merrill Lynch & Co Inc 1,375.0 9 2.3 5 Goldman Sachs & Co 1,100.0 10 1.8 4 Industry Total 60,997.9 - 100.0 91 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 Deutsche Bank AG 1,750.0 1 16.6 3 Banc of America Securities LLC 1,554.5 2 14.7 3 Barclays Capital 1,409.5 3 13.3 2 ABN AMRO 1,250.0 4* 11.8 2 Lehman Brothers 1,250.0 4* 11.8 2 JP Morgan 1,125.0 6 10.7 2 Royal Bank of Scotland Group 1,000.0 7 9.5 2 Merrill Lynch & Co Inc 925.0 8 8.8 2 Citigroup 300.0 9 2.8 1 Industry Total 10,564.0 - 100.0 9 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 Lehman Brothers 60,404.0 1 11.3 134 Royal Bank of Scotland Group 57,962.2 2 10.8 106 Countrywide Securities Corp 49,152.7 3 9.2 83 Citigroup 39,723.9 4 7.4 88 Credit Suisse 36,137.8 5 6.7 86 Deutsche Bank AG 35,190.4 6 6.6 83 Morgan Stanley 31,007.1 7 5.8 33 JP Morgan 29,557.5 8 5.5 67 Merrill Lynch & Co Inc 29,355.2 9 5.5 49 Bear Stearns & Co Inc 28,185.5 10 5.3 85 Industry Total 536,303.3 - 100.0 992 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 Citigroup 11,358.1 1 19.1 13 Deutsche Bank AG 8,562.5 2 14.4 12 Credit Suisse 6,548.1 3 11.0 10 Wachovia Corp 4,871.9 4 8.2 4 Banc of America Securities LLC 4,720.6 5 8.0 6 Morgan Stanley 4,248.4 6 7.2 6 Lehman Brothers 3,873.7 7 6.5 3 Merrill Lynch & Co Inc 3,819.9 8 6.4 4 Goldman Sachs & Co 3,809.3 9 6.4 5 RBC Capital Markets 2,179.0 10 3.7 4 Industry Total 59,340.9 - 100.0 42 Source: Thomson Financial

auto ABS 11% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 69% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%

No matter which way one tries to rationalize it, subprime mortgages originated in 2006 are piling up delinquencies faster than some of the fiercest housing bears might have imagined. In fact, Moody's Investors Service earlier this month put on watch for downgrade several tranches of a home equity deal closed just six months ago - in May.

Squeezed between revenue shortfalls resulting from deregulation of the power industry in Maryland and escalating capital spending and debt servicing needs, Baltimore Gas & Electric is planning a $635 million deferred energy balance ABS deal.

Aside from one's long-term views on the U.S. housing market, the new and relatively untested nature of the ABS CDS market has some wondering whether investors will agree as to who owes what - along with when and how. While many strides are being made toward further standardization for the trades and their documentation, new types of players in the sector and the specter of counterparty risk are two often-voiced concerns. What's more, a case on appeal to the United States Court of Appeals for the Second Circuit could call into question whether the contracts actually stand up in court.

AXA Cessions, the reinsurance entity of financial protection and wealth management group AXA Group, completed a $442 million securitization of catastrophic mortality risk last week.

Wedged between a conference week that emptied structuring offices and trading desks, plus the upcoming Thanksgiving holiday, the securitization market rolled up it sleeves to make last week count. By press time, market professionals expected to see $20 billion in deals come to market, and of that amount, about $7 billion had priced.