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 LLC 3,504.0 1 25.6 4 Goldman Sachs & Co 1,555.7 2 11.4 2 Lehman Brothers 1,380.7 3 10.1 1 Barclays Capital 1,343.3 4* 9.8 1 Morgan Stanley 1,343.3 4* 9.8 1 Credit Suisse 1,343.3 4* 9.8 1 UBS 1,132.7 7 8.3 3 JP Morgan 716.2 8 5.2 2 Citigroup 550.1 9 4.0 2 Merrill Lynch 422.5 10 3.1 1 Industry Total 13,666.9 - 100.0 8 Source: Thomson Financial

auto ABS 11% credit card ABS 8% equipment ABS 1% real estate ABS 67% student loan ABS 13%

Bankruptcy rumors swirled around top-three subprime lender New Century Financial Corp. last week - with one analyst likening the company's financial condition to a "death spiral" - as it ceased accepting mortgage applications and entertained heated discussions with its warehouse lenders and other liquidity providers. As of press time, New Century had secured amended warehouse agreements with six of its lenders, although its fate was largely contingent on the funding decisions of the five additional lenders in contracts with the company.

As some of the largest subprime mortgage lenders teeter on the edge of bankruptcy, ABS investors are turning an increasing amount of attention to the quality of servicing those loans might be receiving.

Whenever the capital markets - or any other market, for that matter - experiences extreme booms and busts, there is usually talk of an overarching repricing of its products.

Rams Home Loans, a specialty mortgage lender, has launched Rams Funding Three LLC and Rams Funding Proprietary Ltd., both of which will issue secured liquidity notes (SLNs).

The structured finance CDO sector was caught once again in the turmoil of uncertain warehouse lines, liquidation and a challenging pricing environment last week, as subprime lenders and the mortgages they originated continued to show strain.

Despite significant collateral and structural differences, some market participants are expecting TABX and mezzanine structured finance CDO spreads to converge. This is an unsettling thought to CDO issuers - but a possible scenario to real estate bears.

A weakened housing market might have changed the composition of the underlying collateral in CNH Capital America's $1.2 billion offering last week, but pricing appeared unscathed.

Wall Street dealers, some of which are rumored to be taking substantial losses from the ailing subprime mortgage market, are tightening the purse strings - in part to limit their exposure to mezzanine ABS CDOs. Rumors were running rampant last week of pulled or significantly tightened warehouse lines, liquidations and difficulty selling deals once they had priced.

Jardine Lloyd Thompson Group, a risk management advisor and insurance broker, and ICAP, an interdealer broker, formed a joint venture that might, among other deals, originate and structure insurance-related ABS deals.

The subprime mortgage market, stuck in a frenzied fall from popularity that began in full force several weeks ago, is generating all sorts of concerns among portfolio managers, dealers and broader financial market professionals. After last Tuesday's widespread sell off in just about everything except Treasuries, portfolio managers and traders alike want to know when the bloodletting will stop and whether they are next in line to feel the same kind of pain.

A number of market sources are predicting a Darwinian fate for CDO managers similar to that playing out among subprime mortgage lenders, as the credit cycle turns and funding can no longer be counted on. And while those established in the CDO sector have been eagerly awaiting spread tiering and greater availability of collateral, it's interesting to note that even among the Wall Street insiders, no one seems to have a firm grasp on just how many active CDO managers there are today.

Fremont General Corp., the country's third-largest subprime lender and the originator behind the first 2006 vintage collateral to receive negative rating action, announced late last week it would delay its fourth quarter earnings announcement and annual report filing.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 3,580.8 1 32.0 7 HSBC Holdings PLC 1,458.7 2 13.0 2 Barclays Capital 1,348.8 3 12.1 2 Banc of America Securities LLC 1,347.1 4 12.0 3 Wachovia Corp 1,210.7 5 10.8 3 ABN AMRO 605.5 6 5.4 1 Royal Bank of Scotland Group 599.3 7 5.4 1 Credit Suisse 550.0 8 4.9 1 Morgan Stanley 492.3 9 4.4 1 Industry Total 11,193.2 - 100.0 12 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 8,867.8 1 23.2 7 Citigroup 6,327.8 2 16.6 7 Barclays Capital 6,106.6 3 16.0 3 UBS 5,489.0 4 14.4 5 Deutsche Bank AG 3,067.3 5 8.0 6 Morgan Stanley 1,651.6 6 4.3 7 Bear Stearns & Co Inc 1,485.8 7 3.9 3 JP Morgan 1,293.0 8 3.4 3 Banc of America Securities LLC 1,269.0 9 3.3 2 Lehman Brothers 965.0 10 2.5 2 Industry Total 38,218.3 - 100.0 48 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 5,169.8 1 38.5 6 Banc of America Securities LLC 4,312.4 2 32.1 6 Deutsche Bank AG 1,191.3 3 8.9 7 Wachovia Corp 962.5 4 7.2 3 HSBC Holdings PLC 500.0 5* 3.7 1 Citigroup 500.0 5* 3.7 1 Morgan Stanley 350.0 7 2.6 1 Lehman Brothers 266.3 8 2.0 3 Royal Bank of Scotland Group 87.5 9* 0.7 1 Credit Suisse 87.5 9* 0.7 1 Industry Total 13,427.2 - 100.0 24 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 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 Citigroup 6,325.4 1 12.8 11 Deutsche Bank AG 4,798.0 2 9.7 6 Merrill Lynch 4,533.6 3 9.2 6 Morgan Stanley 4,342.5 4 8.8 4 Lehman Brothers 4,253.5 5 8.6 10 Goldman Sachs & Co 3,646.5 6 7.4 4 Countrywide Securities Corp 3,142.0 7 6.4 2 Royal Bank of Scotland Group 3,048.1 8 6.2 5 Barclays Capital 2,492.2 9 5.1 7 Credit Suisse 2,365.2 10 4.8 3 Industry Total 49,294.0 - 100.0 70 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 3,128.9 1 28.5 3 Goldman Sachs & Co 1,380.7 2* 12.6 1 Lehman Brothers 1,380.7 2* 12.6 1 Barclays Capital 1,343.3 4* 12.2 1 Morgan Stanley 1,343.3 4* 12.2 1 Credit Suisse 1,343.3 4* 12.2 1 JP Morgan 541.2 7 4.9 1 UBS 535.2 8 4.9 1 Industry Total 10,996.6 - 100.0 5 Source: Thomson Financial