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 23,860.5 1 12.7 25 Merrill Lynch 19,188.39 2 10.2 20 RBS Greenwich Capital 16,382.0 3 8.7 30 Lehman Brothers 15,156.9 4 8.0 24 Morgan Stanley 14,738.76 5 7.8 17 Citigroup Global Markets 14,604.4 6 7.8 19 Bear Stearns 12,237.0 7 6.5 22 JPMorgan Securities 11,198.7 8 5.9 14 Barclays Capital 10,312.6 9 5.5 12 Banc of America Securities 8,140.2 10 4.3 22 Industry Total 188,334.5 - 100.0 235 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 0% auto ABS 11% credit card ABS 8% catatrophe bonds 0% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%

The asset securitization market usually does not stop issuing new deals for any reason, except perhaps the usual holiday breaks. After enduring several days of downgrades on subprime MBS by Moody's Investors Service, and warnings of more from Standard & Poor's, however, the ABS market largely decided to hold back from issuing new debt last week.

One can hardly escape the home-buying process without passing several important milestones. During the closing of our own house purchase several years ago, the attorney said he was very concerned about the steady stream of "strange" mortgages being approved for buyers who would otherwise not qualify for traditional home loans.

SLM Corp.'s planned $2.5 billion securitization of FFELP loan receivables made news for a couple of reasons. The student-loan ABS issuer broke its four-month abstention from the ABS market, just as the House of Representatives passed legislation that threatens to terminate its $25 billion buyout by J.C. Flowers & Co., Bank of America, JPMorgan Chase and Friedman Fleischer & Lowe.

Standard & Poor's placed about $7.3 billion worth of subprime bonds on CreditWatch with negative implications last Tuesday, a dose of consolation to a market that originally thought the rating agency would downgrade $12 billion of bonds.

Small-balance commercial loans generally have a minor impact on overall securitization production, but the sector came out with a couple of significant developments last week. Not only did Lehman Brothers market a $500 million transaction; a rating agency added categories of small-balance commercial servicers, acknowledging the growth of the sector.

The recent troubles of the Bear Stearns Asset Management Funds, the halt on redemptions at United Capital Asset Management and the shutdown of a hedge fund at Braddock Financial might only be the first of many market rumbles to clock in on the RMBS Richter scale. However, market experts say their broader market effect may not be as widespread as some have expected.

An order to temporarily suspend redemptions in United Capital Asset Management's group of Horizon hedge funds and the closure of a separate hedge fund managed by Denver-based Braddock Financial, might have been reason enough to shock and subdue the ABS market last week, especially because they were the latest in a series of disturbing episodes caused by instability in the mortgage-backed securities market.

In a drastic re-ordering of top ABS bookrunners, JPMorgan Securities became the top-ranked manager for public ABS deals in the first half of 2007, according to a preliminary tally of deals by the ASR Scorecard database.

Indeed, U.S. CDO issuance was up, totaling $188.3 billion through the first half of 2007, a small but not insignificant rise from $147.3 billion for the same period in 2006, according to Thomson Financial data.

Three U.S. options and futures exchanges have launched listed products aiming to grab shares of the burgeoning credit-derivatives market, although the new products are facing short-term hurdles and may encounter long-term ones as well.

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 18.988 11 JPMorgan Securities 4,633.0 2 11.068 10 Banc of America Securities 4,559.57 3 10.893 8 Credit Suisse 2,819.7 4 6.736 5 Citigroup Global Markets 2,797.36 5 6.683 6 ABN AMRO 2,782.95 6 6.649 5 RBS Greenwich Capital 2,374.52 7 5.673 5 Merrill Lynch 2,226.38 8 5.319 4 Deutsche Bank Securities 2,009.23 9 4.8 5 HSBC Securities 1,963.94 10 4.692 3 Industry Total 41,858.2 - 100.0 43 Source: ASR Scorecards database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Merrill Lynch 31,935.6 1 17.0 37 Citigroup Global Markets 26,497.0 2 14.1 35 Wachovia Securities 14,702.8 3 7.8 24 JPMorgan Securities 12,754.9 4 6.8 22 Banc of America Securities 11,793.1 5 6.3 13 Morgan Stanley 11,481.6 6 6.1 50 Deutsche Bank Securities 10,836.6 7 5.8 22 UBS 10,117.2 8 5.4 23 Bear Stearns 9,685.5 9 5.2 17 Lehman Brothers 8,402.0 10 4.5 16 Industry Total 188,024.6 - 100.0 321 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 JPMorgan Securities 11,655.0 1 25.943 19 Banc of America Securities 9,110.83 2 20.28 17 Citigroup Global Markets 7,425.0 3 16.527 12 Morgan Stanley 4,652.63 4 10.356 6 Deutsche Bank Securities 2,095.83 5 4.665 9 ABN AMRO 1,756.81 6 3.91 3 Barclays Capital 1,675.0 7 3.728 4 Credit Suisse 1,633.82 8 3.637 4 Wachovia Securities 1,337.5 9 2.977 4 RBS Greenwich Capital 1,158.33 10 2.578 8 Industry Total 44,925.8 - 100.0 69 Source: ASR Scorecards database

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Countrywide Securities 22,508.65 1 12.107 23 Merrill Lynch 19,188.39 2 10.321 20 RBS Greenwich Capital 16,175.71 3 8.701 29 Lehman Brothers 14,978.04 4 8.056 23 Morgan Stanley 14,738.76 5 7.928 17 Citigroup Global Markets 14,599.53 6 7.853 19 Bear Stearns 11,850.64 7 6.374 21 JPMorgan Securities 11,198.67 8 6.024 14 Barclays Capital 10,312.58 9 5.547 12 Banc of America Securities 8,140.2 10 4.379 22 Industry Total 185,912.9 - 100.0 229 Source: ASR Scorecards database

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 5,632.54 1 16.842 6 JPMorgan Securities 4,677.83 2 13.987 5 Deutsche Bank Securities 3,551.49 3 10.619 5 Credit Suisse 3,423.1 4 10.235 4 Barclays Capital 2,544.83 5 7.609 2 RBC Capital Markets 2,531.0 6 7.568 3 Goldman Sachs 2,326.17 7 6.955 3 Citigroup Global Markets 2,107.4 8 6.301 3 Morgan Stanley 2,090.1 9 6.25 2 Lehman Brothers 1,380.67 10 4.128 1 Industry Total 33,443.9 - 100.0 17 Source: ASR Scorecards database

auto ABS 8% credit card ABS 12% equipment ABS 1% real estate ABS 70% student loan ABS 9% trade receivables 0% utilities ABS 0%

spite a spike in prepayment rates for resetting loans and dramatic increases in delinquencies, losses to the ABX were relatively contained early last week. Similarly, pricing activity for other securitization sectors was mildly affected.