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 19,406.5 1 13.8 19 RBS Greenwich Capital 18,187.7 2 13.0 22 Merrill Lynch 16,146.9 3 11.5 16 Morgan Stanley 13,137.2 4 9.4 14 Lehman Brothers 12,783.9 5 9.1 15 Banc of America Securities 12,305.9 6 8.8 17 Bear Stearns 11,379.1 7 8.1 19 Citigroup Global Markets 11,289.2 8 8.0 13 JPMorgan Securities 8,011.0 9 5.7 9 Deutsche Bank Securities 7,987.8 10 5.7 10 Industry Total 140,300.1 - 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 JPMorgan Securities 11,994.9 1 46.2 4 Banc of America Securities 11,558.4 2 44.6 4 Barclays Capital 8,836.0 3 34.1 2 Credit Suisse 8,707.8 4 33.6 3 Deutsche Bank Securities 7,729.2 4 29.8 3 Morgan Stanley 6,270.3 6 24.2 2 Goldman Sachs 5,842.0 7 22.5 2 Wachovia Securities 4,806.0 8 18.5 1 Lehman Brothers 4,142.0 9 16.0 1 RBS Greenwich Capital 3,051.4 10 11.8 1 Industry Total 25,942.6 - 100.0 10 Source: Thomson Financial

auto ABS 8% credit card ABS 12% equipment ABS 1% real estate ABS 69% student loan ABS 9% trade receivables 0% utilities ABS 0%

MIAMI - While federal regulators and, possibly, the rating agencies are advocating for loan modifications in lieu of foreclosures, some say loan modifications will only delay inevitable defaults.

The insurance-linked security industry appears to be evolving on two distinctly different fronts. On one hand, the 2004 and 2005 weather seasons tested the insurance and reinsurance industries' combined abilities to manage risks related to weather-induced catastrophes. These days, a much more benign period is testing its ability to find new business. Elsewhere, life and excess mortality risks are increasingly pushing the envelope for innovation in the industry.

The cacophony surrounding the subprime market's recent volatility is beginning to quiet down.

Saying that ABN AMRO must put the estimated $21 billion sale of its LaSalle Bank unit to a shareholder vote before it agrees to a takeover by Barclays Bank, a Dutch court put the brakes on the transaction and created an opportunity for rival bidders led by Royal Bank of Scotland to take over the company.

MIAMI - Shaken by diminished investor demand and in some cases significant losses, but heartened by improving market conditions, CDO issuers are cautiously slipping quarters back into the so-called CDO machine that once fueled much of the subprime mortgage sector's most recent rise.

One could argue that investor sentiment toward subprime mortgages has become more optimistic in recent weeks. HEL spreads have tightened in the secondary and synthetic markets - and some new-issue deals have actually been over-subscribed.

The Loan Only Credit Default Swaps (LCDS) market has been an increasingly hot topic, especially as the market gears up for the launch of the LCDS Index - expected at the end of the month - marking the product's U.S. expansion.

The emerging markets of Latin America and Eastern Europe appear to be the favorite modes of expansion for most banks' asset-backed commercial paper programs lately. Royal Bank of Canada, however, is still finding ample room for growth in traditional European strongholds, and the bank recently amended three of its ABCP programs to accommodate growth in those markets.

It is good to be king - of the Chicago banking market that is. After agreeing to a $21 billion cash buyout by Bank of America Corp., LaSalle Bank Corp.'s parent company reportedly received a substantial competing bid of $98.1 billion from a consortium of banks led by the Royal Bank of Scotland.

Market participants are working toward packaging currency volatility risk into CDO structures, according to rating agency sources.

More than 1,000 attendees are expected to gather this week at Information Management Network's Spring ABS 2007 conference held in Miami Beach, Fla. Aside from the emphasis on global emerging markets, which is new to this type of conference, what sets this gathering apart is the time it's occurring - when the subprime mortgage market is in the midst of a fallout and is, naturally, on everybody's mind.

Anyone who thinks that the world of insurance-linked securities is too indigestible and dull to generate excitement got a rude awakening last week, when sparks of contention flew between advocates and opponents of the government's role as a reinsurance provider for claims after catastrophic storms.

Leading up to the release of the CMBX 07-1 index last week, concern was mounting regarding the credit quality of recently issued commercial mortgages. Seen by many as the most aggressive of the rating agencies on the topic, Moody's Investors Service earlier this month announced it would require more credit enhancement for CMBS deals amid worsening underwriting standards.

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 7,539.2 1 36.4 9 Wachovia Securities 6,200.0 2 29.9 5 Banc of America Securities 5,350.7 3 25.8 4 Barclays Capital 4,837.2 4 23.3 4 ABN AMRO 4,199.8 5 20.3 3 Deutsche Bank Securities 3,706.9 6 17.9 3 RBS Greenwich Capital 3,561.5 7 17.2 3 Credit Suisse 3,131.1 8 15.1 2 HSBC Securities 2,058.0 9 9.9 2 Morgan Stanley 1,870.3 10 9.0 2 Industry Total 20,721.2 - 100.0 21 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 26,101.4 1 21.7 29 Citigroup Global Markets 14,027.9 2 11.7 22 Morgan Stanley 9,518.1 3 7.9 34 JPMorgan Securities 8,666.1 4 7.2 17 UBS 7,534.0 5 6.3 12 Wachovia Securities 7,322.7 6 6.1 13 Deutsche Bank Securities 6,774.1 7 5.6 16 Barclays Capital 6,487.7 8 5.4 9 Banc of America Securities 6,141.7 9 5.1 6 Bear Stearns 5,845.7 10 4.9 10 Industry Total 120,319.7 - 100.0 209 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 Securities 9,370.0 1 31.4 13 Banc of America Securities 7,265.0 2 24.4 13 Morgan Stanley 4,752.6 3 15.9 4 Citigroup Global Markets 3,700.0 4 12.4 5 Credit Suisse 2,842.6 5 9.5 4 Deutsche Bank Securities 2,300.0 6 7.7 6 ABN AMRO 2,242.6 7 7.5 2 Wachovia Securities 1,275.0 8 4.3 3 Lehman Brothers 1,000.0 9 3.4 2 RBS Greenwich Capital 775.0 10 2.6 4 Industry Total 29,805.3 - 100.0 42 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 16,370.7 1 13.0 17 Merrill Lynch 15,903.7 2 12.6 15 RBS Greenwich Capital 14,899.6 3 11.8 17 Morgan Stanley 13,137.2 4 10.4 14 Lehman Brothers 12,305.9 5 9.7 14 Banc of America Securities 12,158.1 6 9.6 14 Citigroup Global Markets 11,172.7 7 8.8 12 Bear Stearns 9,791.8 8 7.8 17 Deutsche Bank Securities 6,715.1 9 5.3 8 JPMorgan Securities 6,651.0 10 5.3 7 Industry Total 126,314.2 - 100.0 154 Source: Thomson Financial