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 7,522.8 1 13.9 12 Merrill Lynch & Co Inc 7,246.0 2 13.3 9 Citigroup 6,952.2 3 12.8 12 Deutsche Bank AG 6,028.7 4 11.1 11 Banc of America Securities LLC 5,684.6 5 10.5 9 Credit Suisse First Boston 4,561.9 6 8.4 9 Barclays Capital 4,302.5 7 7.9 8 Wachovia Corp 3,712.5 8 6.8 8 Goldman Sachs & Co 2,293.6 9 4.2 3 HSBC Holdings PLC 1,826.8 10 3.4 3 Industry Total 54,319.3 - 100.0 53 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 & Co Inc 17,085.3 1 23.3 24 Citigroup 9,497.8 2 12.9 20 Lehman Brothers 4,687.7 3 6.4 15 Morgan Stanley 4,658.8 4 6.4 19 Wachovia Corp 4,259.4 5 5.8 10 UBS 4,003.1 6 5.5 10 Bear Stearns & Co Inc 3,371.6 7 4.6 10 Credit Suisse First Boston 3,293.0 8 4.5 8 Goldman Sachs & Co 3,107.0 9 4.2 4 Deutsche Bank AG 2,644.5 10 3.6 9 Industry Total 73,371.1 - 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 JP Morgan 6,508.1 1 26.5 14 Citigroup 4,348.7 2 17.7 13 Barclays Capital 2,799.0 3 11.4 10 Morgan Stanley 2,216.5 4 9.0 4 Deutsche Bank AG 2,022.3 5 8.2 12 ABN AMRO 1,833.2 6 7.5 7 Banc of America Securities LLC 1,291.2 7 5.3 7 Credit Suisse First Boston 1,288.2 8 5.3 6 Merrill Lynch & Co Inc 624.7 9 2.5 4 Lehman Brothers 500.0 10 2.0 2 Industry Total 24,557.0 - 100.0 53 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 Deutsche Bank AG 1,668.6 1 15.5 3 Barclays Capital 1,492.5 2 13.8 2 Credit Suisse First Boston 1,243.6 3 11.5 2 ABN AMRO 1,243.6 3 11.5 2 Morgan Stanley 1,191.7 5 11.0 2 Banc of America Securities LLC 750.0 6 6.9 1 Lehman Brothers 725.8 7 6.7 1 JP Morgan 725.8 7 6.7 1 HSBC Holdings PLC 566.7 9 5.3 1 Merrill Lynch & Co Inc 375.0 10 3.5 1 Societe Generale 375.0 10 3.5 1 Industry Total 10,800.2 - 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 Lehman Brothers 40,668.8 1 10.9 77 Bear Stearns & Co Inc 34,948.3 2 9.4 74 Royal Bank of Scotland Group 32,802.4 3 8.8 53 Countrywide Securities Corp 31,333.8 4 8.4 38 Morgan Stanley 29,558.7 5 7.9 38 Deutsche Bank AG 27,346.9 6 7.3 48 Credit Suisse First Boston 26,373.8 7 7.1 57 Citigroup 21,563.1 8 5.8 42 Banc of America Securities LLC 20,157.8 9 5.4 40 Merrill Lynch & Co Inc 18,431.3 10 4.9 26 Industry Total 373,345.2 - 100.0 726 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 8,572.0 1 24.0 11 Morgan Stanley 3,884.2 2 10.9 4 Banc of America Securities LLC 3,883.2 3 10.9 6 Credit Suisse First Boston 3,346.2 4 9.4 5 Deutsche Bank AG 3,042.0 5 8.5 5 Merrill Lynch & Co Inc 2,966.4 6 8.3 3 UBS 2,527.7 7 7.1 5 Lehman Brothers 2,139.1 8 6.0 2 Goldman Sachs & Co 2,127.2 9 6.0 4 JP Morgan 1,808.5 10 5.1 4 Industry Total 35,717.5 - 100.0 29 Source: Thomson Financial

auto ABS 18% credit card ABS 7% global MBS 4% real estate ABS 58% student loan ABS 9% other 4%

Not-for-profit state education finance companies are slowly but surely turning away from the auction rate bond market and migrating to the floating-rate ABS market for financing. Rating analysts attribute the shift to a troubled year in the auction rate market and increasing investor comfort with state issuers that have previously flown below the radar.

Optimus Corp., through its wholly owned subsidiary AmeriFirst Home Improvement Co., entered the term ABS market last week with an $81 million deal backed by subprime home improvement loans. The deal was led by investment bank Harris Nesbitt Burns.

In the midst of the dog days of summer, the ABS primary market generated a solid $14 billion in new issue supply last week, a slight improvement over the previous week and another step out of the summer doldrums as the market attempts to get back to its blistering pace.

In the wake of the Moody's Investors Service announcement that it would increase overcollateralization levels for subordinated home equity and subprime MBS transactions containing a certain percentage of manufactured housing loans, Lehman Brothers researchers quantified that risk last week. Concentrations of such exposure in recent home equity deals, however, are trending downward, Lehman analysts report.

Ameriquest Mortgage agreed last week to pay at least $7 million to settle predatory lending allegations in Connecticut, one of some two dozen states that are investigating the subprime lender's business practices. Whether the inquiries are a result of the lender's extraordinary public advertising campaigns piquing the attention of state attorneys general, or actual patterns of predatory lending, one of the lawsuits could bring other whole-loan market participants into the fold of litigation, sources report.

Hedge funds are growing increasingly prevalent across various market sectors, as the overall size and scope of the alternative investment vehicles require more capital to grow. But the tightened correlation hedge funds are causing among various sectors, including CDOs and derivatives, could cause an unpleasant domino effect across credit markets should a substantial credit event occur, Fitch Ratings warned last week.

ABCP got its share of attention last week as Fitch Ratings, Goldman Sachs and Standard & Poor's all held ABCP conferences in New York in what was dubbed "CP Week" by some. The conferences highlighted a variety of issues affecting the sector, but arguably the most salient topic was compliance with the eligible liquidity facility rule that becomes effective Sept. 30.

First-time timeshare issuer Silverleaf Resorts made its way into the ABS primary market last week with a $108 million private deal via UBS Securities, and it will likely become a regular issuer in the sector, sources said. Joe Conner, chief operating officer at Silverleaf, said the company would likely be bringing its next ABS within 18 months, and that future deals would be of a similar size.

The U.S. ABS primary market generated over $13 billion in new issues last week, ending what was beginning to look like a summer slump. After two consecutively declining sub-$10 billion weeks, the market saw a healthy dose of auto loan and credit card deals, with a student loan deal, a timeshare deal and a tax lien deal thrown in.

While some CDO managers appear to be doing a better job than others, investors have yet to demand a higher yield for a history of lackluster or poor performance, according to Standard and Poor's. By borrowing performance metrics most familiar to the bond world, the rating agency created a custom ABS benchmark and was able to find enough discrepancy in CDO performance to rank 25 collateral managers. However, the analysts emphasized that the results rank against only one benchmark, and are by no means comprehensive.

Both the Securities & Exchange Commission and New York Attorney General Eliot Spitzer are investigating Bear Stearns' CDO trading practices with clients, the market learned last week.

Synthetic structured finance CDO volume could reach $38 billion in total issuance in the second half of this year - a 483% increase over the $7 billion of issuance seen in this year's first half, according to Merrill Lynch. The investment bank is anticipating synthetic SF CDO issuance could outpace cash SF CDO issuance in the second half of the year - with a forecast of 32 cash deals in the 5Q05 and 4Q05, versus 38 synthetic.

Year to date as of 07/14 Term (days) 07/08 07/11 07/12 07/13 07/14 1-week