CDOs/CLOs

ABS investors can expect even more home-equity ABS supply from New Century Financial Corp. in the second half of this year. The Irvine, Calif.-based subprime lender announced last week during its second quarter earnings call that it may add as much as $6 billion to its REIT portfolio - a $4 billion increase over previous estimates - in order to meet its $7.33 dividend target next year. New Century added that it has enough cash to complete between $2 billion and $6 billion of securitizations.

Using a sample of 14 mezzanine structured finance CDOs issued between the second half of last year and the first quarter of this year, Merrill Lynch found the investment vehicles generally carried lower risk residential mortgage collateral when benchmarked against the home equity ABS sector.

Year to date as of 08/04 Term (days) 07/29 08/01 08/02 08/03 08/04 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 7,759.0 1 14.0 13 Merrill Lynch & Co Inc 7,246.0 2 13.1 9 Citigroup 6,952.2 3 12.6 12 Deutsche Bank AG 6,264.8 4 11.3 12 Banc of America Securities LLC 5,684.6 5 10.3 9 Credit Suisse First Boston 4,561.9 6 8.3 9 Barclays Capital 4,302.5 7 7.8 8 Wachovia Corp 3,712.5 8 6.7 8 Goldman Sachs & Co 2,293.6 9 4.2 3 HSBC Holdings PLC 2,063.0 10 3.7 4 Industry Total 55,263.9 - 100.0 54 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 & Co Inc 16,181.8 1 21.0 23 Citigroup 10,853.2 2 14.1 22 Wachovia Corp 6,669.9 3 8.7 13 Lehman Brothers 4,715.7 4 6.1 15 Morgan Stanley 4,714.8 5 6.1 21 UBS 4,003.1 6 5.2 10 Bear Stearns & Co Inc 3,878.5 7 5.0 11 Credit Suisse First Boston 3,293.0 8 4.3 8 Deutsche Bank AG 3,121.1 9 4.1 11 Goldman Sachs & Co 3,107.0 10 4.0 4 Industry Total 77,069.0 - 100.0 185 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 JP Morgan 6,708.1 1 25.1 15 Citigroup 4,398.7 2 16.4 14 Barclays Capital 2,999.0 3 11.2 11 Banc of America Securities LLC 2,241.2 4 8.4 9 Morgan Stanley 2,216.5 5 8.3 4 Credit Suisse First Boston 2,038.2 6 7.6 7 Deutsche Bank AG 2,022.3 7 7.6 12 ABN AMRO 1,833.2 8 6.9 7 Merrill Lynch & Co Inc 624.7 9 2.3 4 Lehman Brothers 500.0 10 1.9 2 Industry Total 26,757.0 - 100.0 56 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 1,668.6 1 15.5 3 Barclays Capital 1,492.5 2 13.8 2 Credit Suisse First Boston 1,243.6 3 11.5 2 ABN AMRO 1,243.6 3 11.5 2 Morgan Stanley 1,191.7 5 11.0 2 Banc of America Securities LLC 750.0 6 6.9 1 Lehman Brothers 725.8 7 6.7 1 JP Morgan 725.8 7 6.7 1 HSBC Holdings PLC 566.7 9 5.3 1 Merrill Lynch & Co Inc 375.0 10 3.5 1 Societe Generale 375.0 10 3.5 1 Industry Total 10,800.2 - 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 45,141.4 1 11.7 83 Bear Stearns & Co Inc 36,779.6 2 9.5 79 Royal Bank of Scotland Group 33,836.8 3 8.8 56 Countrywide Securities Corp 31,333.8 4 8.1 38 Morgan Stanley 30,308.7 5 7.9 39 Deutsche Bank AG 27,925.0 6 7.2 52 Credit Suisse First Boston 26,967.8 7 7.0 59 Citigroup 22,026.5 8 5.7 43 Banc of America Securities LLC 20,591.4 9 5.3 43 Merrill Lynch & Co Inc 19,065.9 10 4.9 28 Industry Total 385,812.8 - 100.0 751 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 8,572.0 1 24.0 11 Banc of America Securities LLC 3,904.9 2 10.9 6 Morgan Stanley 3,883.6 3 10.9 4 Credit Suisse First Boston 3,367.9 4 9.4 5 Deutsche Bank AG 3,042.0 5 8.5 5 Merrill Lynch & Co Inc 2,965.8 6 8.3 3 UBS 2,527.7 7 7.1 5 Lehman Brothers 2,138.5 8 6.0 2 Goldman Sachs & Co 2,127.2 9 6.0 4 JP Morgan 1,808.5 10 5.1 4 Industry Total 35,759.0 - 100.0 29 Source: Thomson Financial

auto ABS 18% credit card ABS 7% global MBS 4% real estate ABS 58% student loan ABS 9% other 4%