CDOs

General Motors Corp. took another ratings hit last week when Moody's Investors Service lowered its corporate rating by one notch to B2 with a negative outlook.

Innovation within the U.S. tobacco settlement bond sector led Fitch Ratings last week to revise a portion of its rating criteria.

The uncertainty surrounding the future performance of subprime interest-only loans is getting a lot of attention from analysts lately, with mostly upbeat news for investors.

Year to date as of 02/23 Term (days) 02/17 02/20 02/21 02/22 02/23 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 2,936.6 1 45.8 4 JP Morgan 1,349.4 2 21.0 2 Wachovia Corp 939.0 3 14.6 2 Royal Bank of Scotland Group 781.9 4 12.2 1 Goldman Sachs & Co 411.2 5 6.4 1 Industry Total 6,418.2 - 100.0 5 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 Credit Suisse 3,107.4 1 30.3 4 Morgan Stanley 1,979.5 2 19.3 8 Banc of America Securities LLC 1,153.4 3 11.2 3 Deutsche Bank AG 1,000.0 4 9.7 2 Merrill Lynch & Co Inc 991.5 5 9.7 3 Citigroup 820.5 6 8.0 1 UBS 800.0 7 7.8 1 Bear Stearns & Co Inc 327.2 8 3.2 1 JP Morgan 92.0 9 0.9 2 Industry Total 10,271.5 - 100.0 25 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 1,948.3 1 30.5 2 Citigroup 1,850.0 2 28.9 2 Deutsche Bank AG 1,250.0 3 19.5 3 JP Morgan 849.9 4 13.3 4 Morgan Stanley 250.0 5 3.9 1 Wachovia Corp 249.9 6 3.9 1 Industry Total 6,398.2 - 100.0 9 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 - - - - - Industry Total - - - - 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 Credit Suisse 8,684.6 1 14.5 14 Lehman Brothers 8,500.1 2 14.1 15 Morgan Stanley 5,593.1 3 9.3 8 Bear Stearns & Co Inc 5,392.7 4 9.0 9 UBS 4,125.7 5 6.9 12 Deutsche Bank AG 4,120.8 6 6.9 7 Citigroup 3,768.3 7 6.3 9 Barclays Capital 3,353.5 8 5.6 6 Banc of America Securities LLC 2,676.3 9 4.5 7 Merrill Lynch & Co Inc 2,349.1 10 3.9 3 Industry Total 60,121.0 - 100.0 95 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 3,788.8 1 58.9 3 Credit Suisse 950.0 2 14.8 2 Banc of America Securities LLC 743.0 3 11.6 2 Deutsche Bank AG 500.0 4 7.8 1 UBS 450.0 5 7.0 1 Industry Total 6,431.8 - 100.0 6 Source: Thomson Financial

auto ABS 12% credit card ABS 10% equipment ABS 0% real estate ABS 71% student loan ABS 6%

The planned $1.5 billion asset backed securities offering to finance the $2.43 billion purchase of Dunkin' Brands Inc. from Pernod Ricard by Bain Capital, Carlyle Group and T.H. Lee Partners is indicative of the increased role of intellectual property in acquisition financing.

Net interest margin securities have become a standard structure, occasionally used in various asset classes such as mortgages or (infrequently) autos.

Information Management Network employees in charge of the annual ABS West conference met last week to decide how, or if, the conference will change next year in an effort to attract more attendees.

As an increasing number of subprime borrowers choose the 40-year mortgage - and an increasing number of issuers offer them - investors are wondering how they stack up against an interest-only loan.

As foreign capital continues to pour into the U.S. housing market - in no small part through investment in U.S. residential-mortgage backed securities and CDOs - investors, analysts and others continue to search for indications of when, or if, that demand could wane.

A dramatic spike in loan delinquencies across Louisiana is a worrisome trend for investors in subprime RMBS, according to analysts at Credit Suisse.

Year to date as of 02/16 Term (days) 02/10 02/13 02/14 02/15 02/16 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 1,625.3 1 34.6 3 JP Morgan 1,214.0 2 25.8 2 Wachovia Corp 803.6 3 17.1 2 Royal Bank of Scotland Group 646.5 4 13.8 1 Goldman Sachs & Co 411.2 5 8.8 1 Industry Total 4,700.6 - 100.0 4 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 Morgan Stanley 1,979.5 1 30.1 8 Banc of America Securities LLC 1,153.4 2 17.5 3 Merrill Lynch & Co Inc 991.5 3 15.1 3 Citigroup 820.5 4 12.5 1 Credit Suisse 723.4 5 11.0 1 Deutsche Bank AG 500.0 6 7.6 1 Bear Stearns & Co Inc 327.2 7 5.0 1 JP Morgan 92.0 8 1.4 2 Industry Total 6,587.5 - 100.0 20 Source: Thomson Financial