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 6,891.9 1 14.1 10 Citigroup 6,499.6 2 13.3 11 Deutsche Bank AG 6,028.7 3 12.4 11 Merrill Lynch & Co Inc 5,884.5 4 12.1 8 Banc of America Securities LLC 4,323.1 5 8.9 8 Barclays Capital 4,302.5 6 8.8 8 Credit Suisse First Boston 4,111.9 7 8.4 8 Wachovia Corp 3,712.5 8 7.6 8 Goldman Sachs & Co 1,841.0 9 3.8 2 HSBC Holdings PLC 1,826.8 10 3.8 3 Industry Total 48,759.9 - 100.0 47 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 12,676.0 1 19.5 19 Citigroup 8,961.8 2 13.8 19 Lehman Brothers 4,687.7 3 7.2 15 Morgan Stanley 4,149.6 4 6.4 18 Wachovia Corp 3,785.0 5 5.8 9 UBS 3,673.9 6 5.6 9 Goldman Sachs & Co 3,107.0 7 4.8 4 Credit Suisse First Boston 2,943.0 8 4.5 7 Bear Stearns & Co Inc 2,915.2 9 4.5 7 Banc of America Securities LLC 2,611.6 10 4.0 15 Industry Total 65,104.0 - 100.0 160 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 30.0 14 Citigroup 3,973.7 2 18.3 12 Barclays Capital 2,799.0 3 12.9 10 Morgan Stanley 2,216.5 4 10.2 4 ABN AMRO 1,833.2 5 8.5 7 Deutsche Bank AG 1,472.3 6 6.8 10 Banc of America Securities LLC 836.2 7 3.9 6 Credit Suisse First Boston 738.2 8 3.4 4 Merrill Lynch & Co Inc 624.7 9 2.9 4 Lehman Brothers 500.0 10 2.3 2 Industry Total 21,677.0 - 100.0 47 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 40,637.2 1 11.6 77 Bear Stearns & Co Inc 34,945.0 2 10.0 73 Countrywide Securities Corp 30,894.9 3 8.8 38 Royal Bank of Scotland Group 28,964.0 4 8.3 51 Morgan Stanley 28,428.7 5 8.1 37 Deutsche Bank AG 27,346.9 6 7.8 48 Credit Suisse First Boston 26,373.8 7 7.5 57 Citigroup 21,572.4 8 6.2 42 Banc of America Securities LLC 19,657.8 9 5.6 39 Merrill Lynch & Co Inc 17,734.4 10 5.1 25 Industry Total 349,948.3 - 100.0 590 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 7,522.0 1 26.2 9 Banc of America Securities LLC 3,233.2 2 11.3 5 Deutsche Bank AG 3,042.0 3 10.6 5 Morgan Stanley 2,757.6 4 9.6 3 Credit Suisse First Boston 2,696.2 5 9.4 4 UBS 2,527.7 6 8.8 5 Goldman Sachs & Co 2,127.2 7 7.4 4 Merrill Lynch & Co Inc 1,839.8 8 6.4 2 JP Morgan 1,158.5 9 4.0 3 Lehman Brothers 1,012.4 10 3.5 1 Industry Total 28,666.5 - 100.0 24 Source: Thomson Financial

auto ABS 18% credit card ABS 7% global MBS 5% real estate ABS 58% student loan ABS 8% other 4%

Not surprisingly, given the sheer volume of the sector, real estate ABS remained the dominant area of business for the guarantor industry in 2Q05 reaching nearly $20 billion of wrapped exposure. "Mortgage-related assets are the biggest asset class out there," said Tom Adams, senior managing director at FGIC. Behind real estate was the subprime auto sector at $4.8 billion, with shipping container leases and 12b-1 fees bringing up the rear at $413 million and $580 million, respectively.

Fitch Ratings last week released its inaugural crop of credit card ABS seller/servicer ratings, making it the third rating agency to use formalized assessments of credit card issuers' servicing capabilities. Fitch released ratings on First National Bank of Omaha, and sister company InfiCorp Holdings, HSBC Finance, MBNA America Bank, The Metris Companies and Providian National Bank.

Research analyst Arturo Cifuentes filed a Sarbanes-Oxley complaint with OSHA last week alleging that his former employer, Wachovia Securities, attempted to influence and in some instances stop the publishing of fixed-income research reports.

Greenwich NatWest and National Westminster Bank, subsidiaries of The Royal Bank of Scotland, are suing a law firm for its role in the structuring and documentation of a CDO for them some six years ago.

Anthracite Capital priced a $249.5 million CDO last week to serve as a matched term funding source for a $478 million portfolio of two recently purchased CMBS deals and REIT debt. The CDO is the fifth for Anthracite, a REIT that invests in high-yield CMBS and is managed by BlackRock Financial Management.

The U.S. ABS primary market priced a trim $7 billion in the holiday shortened week. Last week's hawkish statement by the Federal Open Market Committee and a mild case of the summer doldrums may have conspired to keep the ABS market in decline for the second week in a row. But as the ABS market simmered, tensions raged overseas as rioters protested the G-8 summit and the week ended in tragedy for many Londoners as explosions rocked the city's citizenry.

The Bank for International Settlements warned in its 75th annual report that despite the flurry of events triggered by the General Motors and Ford Motor Co. corporate credit rating downgrades this spring, it remains to be seen how the credit default swap and CDO markets could handle a string of credit blow-ups or an abrupt turn in the credit cycle. Because the ratings downgrades of the auto giants were somewhat anticipated among investors, the rather "orderly fashion" in which the credit markets adjusted themselves post-ratings action "might not be a true reflection of how these markets would function under stress," according to the BIS.

The percent of home equity loans characterized as seriously delinquent continued declining in March, according to data released by Moody's Investors Service. Although, the rating agency pointed out the percent of overall delinquencies were watered down by a roughly 20% increase of new home equity issuance over the same month last year, essentially freshening up the pool with new loans. The percentage of loans more than 60 days delinquent stood at 5.19%, marking a 21% decrease from the same time last year, when the amount of loans delinquent stacked up at 6.59%, according to Moody's. The rating agency tracks the aggregate performance of home equity loans backing the securities it rates.

Year to date as of 07/07 Term (days) 07/01 07/04 07/05 07/06 07/07 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 6,891.9 1 14.1 10 Citigroup 6,499.6 2 13.3 11 Deutsche Bank AG 6,028.7 3 12.4 11 Merrill Lynch & Co Inc 5,884.5 4 12.1 8 Banc of America Securities LLC 4,323.1 5 8.9 8 Barclays Capital 4,302.5 6 8.8 8 Credit Suisse First Boston 4,111.9 7 8.4 8 Wachovia Corp 3,712.5 8 7.6 8 Goldman Sachs & Co 1,841.0 9 3.8 2 HSBC Holdings PLC 1,826.8 10 3.8 3 Industry Total 48,759.9 - 100.0 47 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 12,676.0 1 20.3 19 Citigroup 8,961.8 2 14.4 19 Lehman Brothers 4,687.7 3 7.5 15 Morgan Stanley 4,049.6 4 6.5 17 Wachovia Corp 3,785.0 5 6.1 9 UBS 3,673.9 6 5.9 9 Goldman Sachs & Co 3,107.0 7 5.0 4 Credit Suisse First Boston 2,943.0 8 4.7 7 Bear Stearns & Co Inc 2,915.2 9 4.7 7 Groupe Caisses d'Epargne 2,442.0 10 3.9 3 Industry Total 62,359.1 - 100.0 152 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 30.0 14 Citigroup 3,973.7 2 18.3 12 Barclays Capital 2,799.0 3 12.9 10 Morgan Stanley 2,216.5 4 10.2 4 ABN AMRO 1,833.2 5 8.5 7 Deutsche Bank AG 1,513.9 6 7.0 11 Banc of America Securities LLC 836.2 7 3.9 6 Credit Suisse First Boston 779.9 8 3.6 5 Merrill Lynch & Co Inc 624.7 9 2.9 4 Lehman Brothers 416.7 10 1.9 2 Industry Total 21,677.0 - 100.0 47 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 1,686.3 1 15.5 4 Barclays Capital 1,492.5 2 13.8 2 Credit Suisse First Boston 1,261.3 3 11.6 3 ABN AMRO 1,261.3 3 11.6 3 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 5.2 1 Merrill Lynch & Co Inc 375.0 10 3.5 1 Societe Generale 375.0 10 3.5 1 Industry Total 10,853.4 - 100.0 10 Source: Thomson Financial