CDOs/CLOs

Standard & Poor's last week revised the way it rates seasoned NIM transactions.

ABN AMRO's so-called socially responsible CDO, which was set to hit the market June 10, has yet to launch. The CDO is reported to have been held up by snags occurring after the corporate credit downgrades of Ford Motor Co. and General Motors Corp.

Year to date as of 07/28 Term (days) 07/22 07/25 07/26 07/27 07/28 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 7,522.8 1 13.9 12 Merrill Lynch & Co Inc 7,246.0 2 13.3 9 Citigroup 6,952.2 3 12.8 12 Deutsche Bank AG 6,028.7 4 11.1 11 Banc of America Securities LLC 5,684.6 5 10.5 9 Credit Suisse First Boston 4,561.9 6 8.4 9 Barclays Capital 4,302.5 7 7.9 8 Wachovia Corp 3,712.5 8 6.8 8 Goldman Sachs & Co 2,293.6 9 4.2 3 HSBC Holdings PLC 1,826.8 10 3.4 3 Industry Total 54,319.3 - 100.0 53 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 17,085.3 1 23.3 24 Citigroup 9,497.8 2 12.9 20 Lehman Brothers 4,687.7 3 6.4 15 Morgan Stanley 4,658.8 4 6.4 19 Wachovia Corp 4,259.4 5 5.8 10 UBS 4,003.1 6 5.5 10 Bear Stearns & Co Inc 3,371.6 7 4.6 10 Credit Suisse First Boston 3,293.0 8 4.5 8 Goldman Sachs & Co 3,107.0 9 4.2 4 Deutsche Bank AG 2,644.5 10 3.6 9 Industry Total 73,371.1 - 100.0 174 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 6,508.1 1 26.5 14 Citigroup 4,348.7 2 17.7 13 Barclays Capital 2,799.0 3 11.4 10 Morgan Stanley 2,216.5 4 9.0 4 Deutsche Bank AG 2,022.3 5 8.2 12 ABN AMRO 1,833.2 6 7.5 7 Banc of America Securities LLC 1,291.2 7 5.3 7 Credit Suisse First Boston 1,288.2 8 5.3 6 Merrill Lynch & Co Inc 624.7 9 2.5 4 Lehman Brothers 500.0 10 2.0 2 Industry Total 24,557.0 - 100.0 53 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 40,668.8 1 10.9 77 Bear Stearns & Co Inc 34,948.3 2 9.4 74 Royal Bank of Scotland Group 32,802.4 3 8.8 53 Countrywide Securities Corp 31,333.8 4 8.4 38 Morgan Stanley 29,558.7 5 7.9 38 Deutsche Bank AG 27,346.9 6 7.3 48 Credit Suisse First Boston 26,373.8 7 7.1 57 Citigroup 21,563.1 8 5.8 42 Banc of America Securities LLC 20,157.8 9 5.4 40 Merrill Lynch & Co Inc 18,431.3 10 4.9 26 Industry Total 373,345.2 - 100.0 726 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 Morgan Stanley 3,884.2 2 10.9 4 Banc of America Securities LLC 3,883.2 3 10.9 6 Credit Suisse First Boston 3,346.2 4 9.4 5 Deutsche Bank AG 3,042.0 5 8.5 5 Merrill Lynch & Co Inc 2,966.4 6 8.3 3 UBS 2,527.7 7 7.1 5 Lehman Brothers 2,139.1 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 35,717.5 - 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%