CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan Securities 11,405.0 1 26.0 18 Banc of America Securities LLC 10,090.0 2 23.0 17 Citigroup Global Markets, Inc. 8,750.0 3 19.9 12 Morgan Stanley & Co. Incorporated 5,252.6 4 12.0 6 Deutsche Bank Securities, Inc. 3,175.0 5 7.2 9 ABN AMRO Incorporated 2,878.1 6 6.6 4 Credit Suisse Securities (USA) LLC 2,842.6 7 6.5 8 RBS Greenwich Capital 2,475.0 8 5.6 4 Barclays Capital 2,350.0 9 5.4 2 Wachovia Securities 2,025.0 10 4.6 4 Industry Total 43,875.8 - 100.0 68 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 Countrywide Securities Corporation 22,769.0 1 12.9 22 RBS Greenwich Capital 22,401.2 2 12.7 28 Merrill Lynch, Pierce, Fenner & Smith Inc 20,927.0 3 11.8 20 Morgan Stanley & Co. Incorporated 16,597.8 4 9.4 17 Citigroup Global Markets, Inc. 16,294.0 5 9.2 19 Lehman Brothers Inc. 16,116.2 6 9.1 21 Banc of America Securities LLC 15,106.0 7 8.5 22 Bear Stearns & Co. Inc. 13,105.5 8 7.4 21 Deutsche Bank Securities, Inc. 10,662.8 9 6.0 14 JP Morgan Securities 9,671.9 10 5.5 11 Industry Total 176,736.8 - 100.0 220 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 13,883.7 1 41.5 6 JP Morgan Securities 13,216.6 2 39.5 5 Deutsche Bank Securities, Inc. 10,054.5 3 30.1 5 Credit Suisse Securities (USA) LLC 9,748.8 4 29.1 4 Barclays Capital 8,836.0 5 26.4 2 Goldman Sachs & Co 6,883.0 6 20.6 3 Morgan Stanley & Co. Incorporated 6,270.3 7 18.7 2 Wachovia Securities 4,806.0 8 14.4 1 Lehman Brothers Inc. 4,142.0 9 12.4 1 Citigroup Global Markets, Inc. 4,132.6 10 12.4 3 Industry Total 33,443.9 - 100.0 17 Source: Thomson Financial

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

Securitization professionals last week had a lot to celebrate - and bemoan. Just when it looked like the subprime MBS market was emerging from its early-year volatility, the sector destabilized again, triggering an investor rush to sell off CDO and MBS holdings in two Bear Stearns hedge funds (see next page). The overall market, however, generally escaped the volatility that began on midweek in CDOs and which is probably still going on.

While market participants remained glued to the topic of subprime and the future of the mortgage market, international influence on the sector also jumped onto the agenda at the International Quality & Productivity Center's Residential Mortgage-Backed Securities Forum in New York last week.

Second-lien loans, especially in the subprime market, have always been a more questionable investment as of result of their layered risk and second priority payouts. But with the lack of homeowner equity and less home price appreciation, especially in the 2006 vintage, market participants are even more pessimistic about the value that will be extracted from the collateral.

Several months ago, as a stunned subprime MBS market was still reeling from crumbling fundamentals, selloffs and wide spreads, the capital markets thought that the hedge fund industry - despite its conflicted history with the subprime MBS market - might be able to supply the necessary liquidity to keep the sector afloat until conditions improved. It seemed like a reasonable role for hedge funds to play, underscored by Fortress Investment Group's purchased of about $4 billion of loans from Fremont Mortgage.

June is turning out to be an important month for a couple of structured investment vehicle (SIV) programs. Mizuho Securities announced plans to roll out a SIV-lite deal collateralized by leveraged loans, and Morgan Stanley arranged a program that includes a fourth tranche, an increasingly popular feature in SIV programs.

Mortgage-backed securities under-writers had better get accustomed to a heap of reverse mortgages in all shapes and sizes turning up in securitizations, as the product is experiencing white-hot growth and shows no signs of cooling down.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 10,516.4 1 32.1 10 Banc of America Securities 9,066.9 2 27.7 7 JPMorgan Securities 8,439.2 3 25.8 9 ABN AMRO 5,149.8 4 15.7 4 RBS Greenwich Capital 4,881.5 5 14.9 5 Barclays Capital 4,837.2 6 14.8 4 Citigroup Global Markets 4,361.4 7 13.3 4 Deutsche Bank Securities 3,956.9 8 12.1 4 Credit Suisse 3,631.1 9 11.1 3 Morgan Stanley 2,870.3 10 8.8 3 Industry Total 32,764.9 - 100.0 35 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 27,602.0 1 18.0 31 Citigroup Global Markets 22,126.0 2 14.4 30 JPMorgan Securities 11,588.9 3 7.5 20 Morgan Stanley 10,706.6 4 7.0 47 Wachovia Securities 10,146.9 5 6.6 18 Deutsche Bank Securities 8,846.6 8 5.8 19 UBS 8,342.0 6 5.4 15 Barclays Capital 8,133.7 7 5.3 10 Bear Stearns 7,198.6 9 4.7 14 Banc of America Securities 7,166.7 10 4.7 8 Industry Total 153,515.5 - 100.0 268 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 11,405.0 1 28.0 18 Banc of America Securities 9,415.0 2 23.1 16 Citigroup Global Markets 8,000.0 3 19.6 11 Morgan Stanley 5,252.6 4 12.9 6 Credit Suisse Securities 2,842.6 5 7.0 4 Deutsche Bank Securities 2,575.0 6 6.3 8 RBS Greenwich Capital 2,475.0 7 6.1 8 Barclays Capital 2,350.0 8 5.8 4 ABN AMRO 2,242.6 9 5.5 2 Wachovia Securities 2,025.0 10 5.0 4 Industry Total 40,715.3 - 100.0 63 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 Countrywide Securities 22,769.0 1 13.8 22 RBS Greenwich Capital 21,197.3 2 12.9 26 Merrill Lynch 19,376.6 3 11.8 19 Morgan Stanley 15,607.5 4 9.5 16 Lehman Brothers 15,601.2 5 9.5 19 Banc of America Securities 15,106.0 6 9.2 21 Citigroup Global Markets 14,225.5 7 8.6 17 Bear Stearns 13,105.5 8 8.0 21 Deutsche Bank Securities 10,264.8 9 6.2 13 JPMorgan Securities 9,093.3 10 5.5 10 Industry Total 164,821.7 - 100.0 205 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 12,758.4 1 42.8 5 JPMorgan Securities 11,994.9 2 40.3 4 Credit Suisse Securities 9,748.8 3 32.7 4 Deutsche Bank Securities 8,929.2 4 30.0 4 Barclays Capital 8,836.0 5 29.7 2 Goldman Sachs 6,883.0 6 23.1 3 Morgan Stanley 6,270.3 7 21.0 2 Wachovia Securities 4,806.0 8 16.1 1 Lehman Brothers 4,142.0 9 13.9 1 RBS Greenwich Capital 3,051.4 10 10.2 1 Industry Total 29,789.6 - 100.0 14 Source: Thomson Financial

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

With the ouster of a boss by a group of new bosses and government investigations, the recent history of student loan issuer SLM Corp. or Sallie Mae is the finance world's answer to "The Sopranos." Unlike the popular cable television show, though, Sallie Mae's story is far from over.

Everquest's IPO will give equity investors one of their first opportunities to take a concentrated stake in the fast-growing CDO market, provided they can muster trust in the company's CDO valuations.

U.S. CDO issuance has continued its rapid growth thus far in 2007, despite contraction in the subprime market, which has traditionally been a popular source of collateral. But the investment vehicle may be running out of fuel as market players credit its solid year-to-date performance as spillover from 2006.

With subprime borrowers facing resets on interest rates within the next few months and lacking the ability to refinance, loan modifications may be the "best and possibly the only option remaining in order to keep these borrowers in their homes," according to a recent report from Fitch Ratings.