CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Countrywide Securities 22,910.5 1 12.019 24 Merrill Lynch 19,188.39 2 10.066 20 RBS Greenwich Capital 16,382.0 3 8.594 30 Morgan Stanley 16,051.0 4 8.42 18 Lehman Brothers 15,156.9 5 7.951 24 Citigroup Global Markets 14,604.4 6 7.661 19 Bear Stearns 12,237.0 7 6.42 22 JPMorgan Securities 12,021.8 8 6.307 16 Barclays Capital 10,877.2 9 5.706 13 Banc of America Securities 8,140.2 10 4.27 22 Industry Total 190,621.3 - 100.0 240 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 6,928.2 1 19.2 7 JPMorgan Securities 5,973.5 2 16.6 6 Deutsche Bank Securities 3,551.49 3 9.9 5 Credit Suisse 3,423.1 4 9.5 4 Barclays Capital 2,544.83 5 7.1 2 RBC Capital Markets 2,531.0 6 7.0 3 Goldman Sachs 2,326.17 7 6.5 3 Citigroup Global Markets 2,107.4 8 5.8 3 Morgan Stanley 2,090.1 9 5.8 2 Lehman Brothers 1,380.67 10 3.8 1 Industry Total 36,035.2 - 100.0 18 Source: Thomson Financial

aircraft ABS 1% auto ABS 11% credit card ABS 12% equipment ABS 1% real estate ABS 67% student loan ABS 8% trade receivables 0% utilities ABS 0%

This is getting to be a habit. The ABS market remained in a resting state for the third week last week, getting little encouragement from gun-shy investors and with the overall credit market getting only slightly more sympathy from the Federal Reserve.

Amid an endless stream of increasingly bad news in the mortgage market, investors have been shorting the ABX index, expecting further deterioration and hedging their positions in the stagnant CDO arena.

Introduction

The mortgage market was beginning to look like ducks in a shooting gallery last week after a devastating amount of bad news. The injured participants, C-BASS, NovaStar Financial, American Home Mortgage Investment Co., HomeBanc, Impac Mortgage Holdings, National City Corp., Luminent Mortgage Capital and Aegis Mortgage Corp., among others, took a beating. Some were more crippled than others.

CLO market players will be more discerning about transactions in the second half of this year, according to panelists at a Loan Syndications and Trading Association seminar held in New York last Wednesday. The participants highlighted the recent slowdown after $57 billion in CLOs were issued in the first half of 2007.

Things will never be the same in the extendible note (EN) portion of the ABCP sector, and that is the way investors want it. The buy-side community made its wishes plain over the past two weeks, firmly refusing to buy much new extendible note ABCP debt, especially the sort that funded MBS and CDO debt via single-seller vehicles.

Fitch Ratings has responded to the subprime market turmoil by revising its criteria for measuring mortgage default and loss risk for newer vintages. The methodology now takes into account current credit risks that have sent the U.S. RMBS market into a tailspin, including high-risk loans, significant changes in adjustable-rate mortgages and declining home prices in certain regions.

MGIC Investment Corp. and Radian Group were not the only stakeholders to lose confidence in the outlook for the subprime market last week. Across the entire consumer ABS spectrum, capital markets investors dug in their heels and held onto their cash so tightly that they virtually shut down the new-issuance ABS market last week.

Figuring out how to finance a college education is a notoriously confusing and frustrating process. It is not always clear to borrowers exactly how much a loan will cost once it is approved, how much of the debt should be repaid before graduation or how to effectively manage and repay the thousands of dollars owed after graduation.

As the subprime RMBS market continues to face uncertainty, prime loans might be hit next - not surprising given the loose underwriting standards that characterize all of the 2006 vintage. These expectations come amid 2006 vintage resets and increasing concern over Alt-A collateral.

Business is booming for cell tower lease operators, thanks to the busy lifestyles that prompt Americans to rely more heavily on wireless communication devices, advanced technology that could take advantage of the industry's existing infrastructure and high barriers to entry that create a virtually protected market. Capital market experts expect to see steady growth in the securitization of cell tower lease payments, which parallels gains in the wireless telecommunications business.

INVESCO Senior Secured Management (ISSM) plans to close a synthetic CLO early this month, referencing $500 million in high yield bank loans through a series of total return swaps. The deal, Hudson Canyon Loan Fund, is being arranged by Citibank, which is also the protection buyer. LaSalle Bank is the trustee on the transaction.

arclays posted robust first-half results last Thursday, earning nearly $8.1 billion, up 12% from last year's first half, and citing its investment banking division as one of the drivers. Grant Kvalheim, co-president of Barclays Capital and head of investment banking, spoke with IDD about those results, and more.

This May, Sen. Carl Levin (D-MI) introduced the Stop Unfair Practices in Credit Cards Act (S.1395), pro-consumer legislation that could significantly impact the credit card industry, and which will possibly have a ripple-effect impact on the securitization of credit card receivables. Sen. Levin introduced the legislation after an investigation by the Permanent Subcommittee on Investigations, which he chairs, into the billing practices of the credit card industry.

Moody's Investors Service announced changes to its rating methodology on Alt-A RMBS transactions, including option ARM loans. Separately, Moody's also updated its methodology for rating option ARM loan securitizations.

C-BASS surprised an already jaded market last week when the company issued a statement acknowledging that it had received a substantial number of margin calls, which would hinder the liquidity of its business.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 7,948.09 1 16.98 11 JPMorgan Securities 5,503.0 2 11.757 12 Banc of America Securities 5,059.6 3 10.809 9 Citigroup Global Markets 3,342.4 4 7.141 7 Credit Suisse 3,319.7 5 7.092 6 ABN AMRO 2,783.0 6 5.946 5 Merrill Lynch 2,726.4 7 5.825 5 Deutsche Bank Securities 2,509.2 8 5.361 6 Barclays Capital 2,384.3 9 5.094 5 RBS Greenwich Capital 2,374.5 10 5.073 5 Industry Total 46,807.6 - 100.0 50 Source: Thomson Financial