ABS

New York Life Investment Management (NYLIM), an asset management firm headquartered in New York, follows a diverse multi-asset class platform in order to maximize returns for its investors.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 8,724.8 1 16.6 17 Citigroup 8,456.9 2 16.1 13 Wachovia Corp 6,422.4 3 12.2 12 Barclays Capital 5,227.8 4 9.9 8 Deutsche Bank AG 5,013.9 5 9.5 11 Royal Bank of Scotland Group 3,644.0 6 6.9 7 Credit Suisse 3,066.3 7 5.8 6 Banc of America Securities LLC 2,736.1 8 5.2 5 HSBC Holdings PLC 2,389.3 9 4.5 3 Merrill Lynch & Co Inc 1,847.5 10 3.5 4 Industry Total 52,629.5 - 100.0 59 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 23,876.8 1 12.1 38 Citigroup 23,630.7 2 12.0 40 Deutsche Bank AG 17,915.1 3 9.1 25 Credit Suisse 13,572.0 4 6.9 21 Wachovia Corp 12,578.7 5 6.4 31 Bear Stearns & Co Inc 12,411.6 6 6.3 24 Banc of America Securities LLC 12,209.6 7 6.2 28 Morgan Stanley 11,341.8 8 5.7 38 UBS 9,758.1 9 4.9 42 JP Morgan 9,647.6 10 4.9 25 Industry Total 197,456.0 - 100.0 370 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 LLC 13,158.3 1 27.6 17 Citigroup 9,982.0 2 20.9 15 JP Morgan 8,924.7 3 18.7 20 Deutsche Bank AG 3,424.9 4 7.2 10 Barclays Capital 3,096.8 5 6.5 7 HSBC Holdings PLC 1,999.9 6 4.2 2 Morgan Stanley 1,929.0 7 4.1 3 Credit Suisse 1,800.0 8 3.8 9 ABN AMRO 1,000.0 9* 2.1 5 Merrill Lynch & Co Inc 1,000.0 9* 2.1 4 Industry Total 47,667.4 - 100.0 71 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 21.3 3 ABN AMRO 1,250.0 2* 15.2 2 Lehman Brothers 1,250.0 2* 15.2 2 Royal Bank of Scotland Group 1,000.0 4* 12.2 2 Banc of America Securities LLC 1,000.0 4* 12.2 2 Barclays Capital 855.0 6 10.4 1 JP Morgan 500.0 7 6.1 1 Merrill Lynch & Co Inc 300.0 8* 3.7 1 Citigroup 300.0 8* 3.7 1 Industry Total 8,205.0 - 100.0 7 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 44,451.1 1 11.4 98 Royal Bank of Scotland Group 32,129.5 2 8.3 78 Countrywide Securities Corp 31,733.9 3 8.2 50 Credit Suisse 28,623.6 4 7.4 76 Morgan Stanley 28,257.1 5 7.3 29 Deutsche Bank AG 27,126.7 6 7.0 59 Bear Stearns & Co Inc 23,869.8 7 6.1 72 JP Morgan 23,016.2 8 5.9 52 Citigroup 21,976.2 9 5.6 57 Merrill Lynch & Co Inc 21,122.1 10 5.4 36 Industry Total 389,374.1 - 100.0 745 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 16.2 10 Deutsche Bank AG 6,320.7 2 13.8 9 Credit Suisse 4,706.1 3 10.3 8 Lehman Brothers 3,873.7 4 8.5 3 Goldman Sachs & Co 3,809.3 5 8.3 5 Merrill Lynch & Co Inc 3,420.1 6 7.5 3 Banc of America Securities LLC 3,418.5 7 7.5 5 Morgan Stanley 2,928.3 8 6.4 4 Wachovia Corp 2,649.5 9 5.8 2 RBC Capital Markets 1,500.0 10 3.3 2 Industry Total 45,699.4 - 100.0 34 Source: Thomson Financial

auto ABS 10% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 9% trade receivables 1% utilities ABS 0%

Merrill Lynch's decision last week to acquire subprime lender First Franklin Financial Corp. swept yet another investment bank further into the loan origination business - a trend which some are coining as a "paradigm shift" within the maturing subprime mortgage market. The move is expected to provide Merrill - along with the other Wall Street banks that have preceded it - a cheaper and more direct path to reaping proceeds of securitization. Market participants said it might be too soon to predict, however, how that cost savings might alter pricing in the home equity ABS sector.

Middle market commercial finance company Churchill Financial Holdings last week announced plans to acquire CDO manager Centre Pacific LLC - a move that will create another player in the rapidly growing middle market loan CLO space.

Washington Mutual is preparing to price the first covered bond program by a U.S. issuer. While the transaction is not structured as a genuine securitization and is being marketed overseas, it is eventually expected to have implications on the way that the Seattle-based thrift - as well as other peer companies - finances its operations.

Credit analysts see no reason - for now, at least - to downgrade the high-profile $2.1 billion Ballantyne Re securitization, despite the fact that the issuing entity, Scottish Re, suffered a series of downgrades that reduced its counterparty credit rating to junk status and its stock price is languishing at yearly lows.

Business in the ABS market continued to come out of its summer slowdown last week, as market players expected to see between $10 billion and $14 billion in new issues hit the market.

Anticipating full execution in the market this month, Moody's Investors Service recently published the final methodology for loss-given-default assessments (LGDs) and probability-of-default ratings (PDR), as well as implementing the methodology for new, first time issuers in the U.S. and Canada on Sept. 6.

It is set to be a busy September for the Australian market, with several transactions in the pipeline. Among those set to close deals are ANZ Bank, St. George Bank and Interstar Wholesale Finance.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 8,456.9 1 16.7 13 JP Morgan 7,811.3 2 15.5 16 Wachovia Corp 6,097.4 3 12.1 11 Barclays Capital 5,227.8 4 10.3 8 Deutsche Bank AG 4,961.9 5 9.8 11 Royal Bank of Scotland Group 3,144.0 6 6.2 6 Credit Suisse 3,066.3 7 6.1 6 Banc of America Securities LLC 2,411.1 8 4.8 4 HSBC Holdings PLC 2,389.3 9 4.7 3 Merrill Lynch & Co Inc 1,847.5 10 3.7 4 Industry Total 50,514.0 - 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 Citigroup 23,630.7 1 12.2 40 Merrill Lynch & Co Inc 21,857.6 2 11.3 33 Deutsche Bank AG 17,600.1 3 9.1 25 Credit Suisse 13,572.0 4 7.0 21 Wachovia Corp 12,578.7 5 6.5 31 Bear Stearns & Co Inc 12,411.6 6 6.4 24 Banc of America Securities LLC 12,209.6 7 6.3 28 Morgan Stanley 10,631.8 8 5.5 37 UBS 9,676.6 9 5.0 40 JP Morgan 9,135.6 10 4.7 24 Industry Total 193,761.8 - 100.0 362 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 LLC 13,158.3 1 29.7 17 Citigroup 9,357.0 2 21.1 14 JP Morgan 7,824.7 3 17.7 18 Deutsche Bank AG 3,424.9 4 7.7 10 Barclays Capital 2,471.8 5 5.6 6 Morgan Stanley 1,929.0 6 4.4 3 Credit Suisse 1,800.0 7 4.1 9 ABN AMRO 1,000.0 8* 2.3 5 Merrill Lynch & Co Inc 1,000.0 8* 2.3 4 HSBC Holdings PLC 1,000.0 8* 2.3 1 Industry Total 44,317.5 - 100.0 67 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 21.3 3 ABN AMRO 1,250.0 2* 15.2 2 Lehman Brothers 1,250.0 2* 15.2 2 Royal Bank of Scotland Group 1,000.0 4* 12.2 2 Banc of America Securities LLC 1,000.0 4* 12.2 2 Barclays Capital 855.0 6 10.4 1 JP Morgan 500.0 7 6.1 1 Merrill Lynch & Co Inc 300.0 8* 3.7 1 Citigroup 300.0 8* 3.7 1 Industry Total 8,205.0 - 100.0 7 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 44,451.1 1 11.5 98 Countrywide Securities Corp 31,733.9 2 8.2 50 Royal Bank of Scotland Group 31,730.8 3 8.2 77 Credit Suisse 28,331.7 4 7.4 75 Morgan Stanley 28,257.1 5 7.3 29 Deutsche Bank AG 27,095.9 6 7.0 58 Bear Stearns & Co Inc 23,126.6 7 6.0 70 JP Morgan 22,326.1 8 5.8 50 Citigroup 21,209.6 9 5.5 56 Merrill Lynch & Co Inc 21,122.1 10 5.5 36 Industry Total 385,325.1 - 100.0 736 Source: Thomson Financial