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 10,235.0 1 25.8 13 Citigroup 8,982.0 2 22.6 13 JP Morgan 7,824.7 3 19.7 18 Deutsche Bank AG 2,924.9 4 7.4 8 Morgan Stanley 2,289.1 5 5.8 4 Barclays Capital 2,260.1 6 5.7 6 Credit Suisse 1,735.1 7 4.4 8 ABN AMRO 1,000.0 8 2.5 5 HSBC Holdings PLC 1,000.0 8 2.5 1 Merrill Lynch & Co Inc 500.0 10 1.3 2 Industry Total 39,700.8 - 100.0 58 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 1,250.0 1 19.7 2 ABN AMRO 1,250.0 1 19.7 2 Lehman Brothers 1,250.0 1 19.7 2 Royal Bank of Scotland Group 1,000.0 4 15.8 2 Banc of America Securities LLC 1,000.0 4 15.8 2 Merrill Lynch & Co Inc 300.0 6 4.7 1 Citigroup 300.0 6 4.7 1 Industry Total 6,350.0 - 100.0 5 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 35,328.7 1 11.0 80 Royal Bank of Scotland Group 30,137.4 2 9.3 74 Countrywide Securities Corp 30,132.0 3 9.3 49 Morgan Stanley 27,249.1 4 8.4 28 Credit Suisse 26,016.6 5 8.1 70 Deutsche Bank AG 22,889.2 6 7.1 52 Bear Stearns & Co Inc 20,093.7 7 6.2 65 Merrill Lynch & Co Inc 19,954.9 8 6.2 33 Goldman Sachs & Co 19,000.7 9 5.9 40 JP Morgan 16,189.5 10 5.0 37 Industry Total 322,752.8 - 100.0 647 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 7,390.8 1 19.3 10 Deutsche Bank AG 6,320.7 2 16.5 9 Merrill Lynch & Co Inc 3,420.1 3 8.9 3 Credit Suisse 3,306.5 4 8.6 6 Goldman Sachs & Co 2,941.3 5 7.7 4 Lehman Brothers 2,834.1 6 7.4 2 Morgan Stanley 2,568.2 7 6.7 3 Banc of America Securities LLC 2,550.5 8 6.6 4 RBC Capital Markets 2,179.0 9 5.7 4 Wachovia Corp 1,610.0 10 4.2 1 Industry Total 38,396.5 - 100.0 30 Source: Thomson Financial

auto ABS 9% credit card ABS 9% enterprise finance 0% equipment ABS 2% real estate ABS 71% structured settlements 0% student loan ABS 8% trade receivables 1%

Considering that the Basel II recommendations for bank capital requirements affects about two dozen banks - at the most, according to banking experts - it sure is causing a stir in the industry. Capital markets observers, however, say the revised set of recommendations, might have, only minor effects on securitization.

The auto ABS sector is in reverse gear, and threatens to suppress total traditional asset securitization numbers for 2006, according to Wall Street estimates. Issuance will reach $675 million for all of 2006, about 6% shy of 2005's volume, according to recent estimates from Citigroup Capital Markets.

Last Wednesday, participants in the ABX.HE for the first time ushered in a fresh series of deals with what seemed to be little fanfare. While not everyone shared the same view on credit characteristics underlying the new index, called the ABX.HE 06-2, many felt that market technicals would drive much of the early spread activity. As of last week, a number of sources were expecting ABX.HE 06-2 spreads to settle at a thinner level than those on the initial ABX.HE 06-1 index - particularly at the lower end of the capital structure.

The new ABX index rollout last Monday might have been the highlight of an otherwise quiet week, but it did not do much to elevate the amount of paper issued. Although $13 billion in deals were in the market last week, just $2.4 billion priced by Thursday.

If First Marblehead Corp., the Boston-based private student loan finance company, succeeds in buying Union Federal Savings Bank as it announced last week, there is a chance that it could scale back its securitization program.