CDOs

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 11,558.4 1 49.2 4 JPMorgan Securities 9,557.4 2 40.7 3 Barclays Capital 8,836.0 3 37.6 2 Credit Suisse 6,270.3 4 26.7 2 Morgan Stanley 6,270.3 4 26.7 2 Goldman Sachs 5,842.0 6 24.9 2 Deutsche Bank Securities 5,291.7 7 22.5 2 Wachovia Securities 4,806.0 8 20.4 1 Lehman Brothers 4,142.0 9 17.6 1 RBS Greenwich Capital 3,051.4 10 13.0 1 Industry Total 23,505.1 - 100.0 9 Source: Thomson Financial

auto ABS 8% credit card ABS 10% equipment ABS 2% real estate ABS 71% student loan ABS 9% trade receivables 0% utilities ABS 0%

Bank of America, JPMorgan Chase and two private equity firms bagged big game when they agreed to buy out Sallie Mae Corp. last week for $25 billion. As the four stake-holding companies now divvy up the spoils of the company, which managed $142 billion in education loans last year, ABS professionals have quickly concluded that the company's securitization activity will increase, not decrease. Spreads on existing SLM paper were in no danger of widening, at least not by press time.

Derivative Fitch last week said the string of so-called "first generation" CPDOs that have come to the market over the last nine months would not warrant a triple-A or even double-A rating using its own methodology.

Several key structured finance executives at HSBC have either resigned or transferred out of its New York office recently, in what some market observers say is the bank's effort to pull back from the subprime mortgage market after losses in that area of its business.

New York's financial markets are looking east for inspiration, and they've found it in the covered bond market. Investors like this product because it represents a way to invest in triple-A-rated or close to risk-free assets at attractive spread levels. Market sources say the benefits are clear for issuers: It is a source of diversification of financing.

Regulators and politicians seemed intent last week for HEL investors to share in the pain of subprime borrowers who are unable - or may soon be unable - to make their monthly mortgage payments.

Hedge fund Fortress Investment Group is planning to buy Fremont Investment & Loan's subprime operations, according to sources close to the deal. The acquisition, which is awaiting due diligence and a final agreement, would be the second such deal for Fortress. The firm acquired subprime lender Centex Home Equity in July of last year.

New York-based commercial finance and asset management company Churchill Financial completed its acquisition of Churchill Capital's Mezzanine Finance Business last week. Though the merger, which will solidify two business platforms that have long been converging, Churchill Financial hopes to take advantage of increasingly attractive market conditions for mezzanine lending.

Washington D.C.-based private equity firm The Carlyle Group announced the close of its tenth U.S. loan fund, Carlyle High Yield Partners X, Ltd, a $400 million CLO. Carlyle's U.S. leveraged finance group has closed three CLOs with a total of $1.2 billion of assets, over the last year. Its newest fund utilizes a traditional CLO structure including triple-A through double-B rated

Fitch Ratings last week said it expected to downgrade roughly 27% of the tranches of synthetic CDOs referencing U.S. subprime securities by an average 2.4 notches, given a recent stress test applied to the deals it's rated. The rating agency assumed a three-notch downgrade on each of the investment grade subprime RMBS within the CDO portfolios.

Last week both Fannie Mae and Freddie Mac announced stepped-up efforts to aid subprime borrowers who need to refinance into more affordable mortgages, as their representatives testified before Congress. Market participants expected that the effect of such initiatives on loan supply might curb HEL spread widening despite certain program criteria remaining hazy.

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 47.6 9 Banc of America Securities 3,350.7 2 21.1 3 Wachovia Securities 3,200.5 3 20.2 3 Barclays Capital 2,960.3 4 18.7 3 ABN AMRO Incorporated 2,322.9 5 14.7 2 HSBC Securities 2,058.0 6 13.0 2 Morgan Stanley & Co. 1,870.3 7 11.8 2 Deutsche Bank Securities 1,830.0 8 11.5 2 RBS Greenwich Capital 1,684.6 9 10.6 2 Lehman Brothers 1,500.0 10 9.5 1 Industry Total 15,844.3 - 100.0 18 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 23,251.4 1 22.5 27 Citigroup 14,057.9 2 13.6 21 Wachovia Corp 7,322.7 3 7.1 13 UBS 6,843.0 4 6.6 10 Deutsche Bank AG 6,824.1 5 6.6 14 JP Morgan 6,466.1 6 6.3 14 Morgan Stanley 5,463.2 7 5.3 29 Banc of America Securities 4,926.4 8 4.8 5 Bear Stearns & Co. 4,529.8 9 4.4 8 Credit Suisse 4,515.8 10 4.4 6 Industry Total 103,211.5 - 100.0 182 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 6,765.0 1 27.4 12 JP Morgan Securities 5,920.0 2 24.0 9 Citigroup Global Markets 3,700.0 3 15.0 5 Morgan Stanley & Co. 3,068.4 4 12.4 3 Credit Suisse Securities 2,842.6 5 11.5 4 Deutsche Bank Securities 2,300.0 6 9.3 6 ABN AMRO 2,242.6 7 9.1 2 Wachovia Securities 1,275.0 8 5.2 3 Lehman Brothers 1,000.0 9 4.1 2 RBS Greenwich Capital 775.0 10 3.1 4 Industry Total 24,671.1 - 100.0 37 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 Corp. 15,736.9 1 14.6 16 RBS Greenwich Capital 13,380.5 2 12.4 15 Merrill Lynch, Pierce, Fenner & Smith 12,970.8 3 12.0 12 Citigroup Global Markets 10,988.3 4 10.2 11 Banc of America Securities 10,671.2 5 9.9 14 Morgan Stanley & Co. 10,313.3 6 9.5 11 Lehman Brothers 8,994.4 7 8.3 10 Bear Stearns & Co. 8,384.7 8 7.8 16 JP Morgan Securities 6,401.0 9 5.9 6 Deutsche Bank Securities 5,651.1 10 5.2 7 Industry Total 107,996.0 - 100.0 131 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 11,558.4 1 49.2 4 JP Morgan Securities 9,557.4 2 40.7 3 Barclays Capital 8,836.0 3 37.6 2 Credit Suisse Securities 6,270.3 4 26.7 2 Morgan Stanley & Co. 6,270.3 4 26.7 2 Goldman Sachs & Co. 5,842.0 6 24.9 2 Deutsche Bank Securities 5,291.7 7 22.5 2 Wachovia Securities 4,806.0 8 20.4 1 Lehman Brothers 4,142.0 9 17.6 1 RBS Greenwich Capital 3,051.4 10 13.0 1 Industry Total 23,505.1 - 100.0 9 Source: Thomson Financial

auto ABS 7% credit card ABS 10% enterprise finance 0% equipment ABS 1% real estate ABS 71% student loan ABS 10% trade receivables 0% utilities ABS 0%

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 Inc. 7,539.2 1 47.6 9 Banc of America Securities LLC 3,350.7 2 21.1 3 Wachovia Securities 3,200.5 3 20.2 3 Barclays Capital 2,960.3 4 18.7 3 ABN AMRO Incorporated 2,322.9 5 14.7 2 HSBC Securities, Inc. 2,058.0 6 13.0 2 Morgan Stanley & Co. Incorporated 1,870.3 7 11.8 2 Deutsche Bank Securities, Inc. 1,830.0 8 11.5 2 RBS Greenwich Capital 1,684.6 9 10.6 2 Lehman Brothers, Inc. 1,500.0 10 9.5 1 Industry Total 15,844.3 - 100.0 18 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 21,255.8 1 21.5 25 Citigroup 14,057.9 2 14.2 21 Wachovia Corp 7,322.7 3 7.4 13 UBS 6,843.0 4 6.9 10 JP Morgan 6,466.1 5 6.5 14 Barclays Capital 6,424.0 6 6.5 6 Deutsche Bank AG 6,265.6 7 6.3 11 Morgan Stanley 5,022.6 8 5.1 23 Banc of America Securities LLC 4,926.4 9 5.0 5 Credit Suisse 4,065.5 10 4.1 5 Industry Total 98,898.4 - 100.0 161 Source: Thomson Financial