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 4,974.9 1 29.0 11 Citigroup 3,474.8 2 20.3 10 Barclays Capital 2,649.0 3 15.5 10 Morgan Stanley 1,966.5 4 11.5 3 Deutsche Bank AG 1,001.4 5 5.8 9 Credit Suisse First Boston 779.9 6 4.6 5 ABN AMRO 600.0 7 3.5 4 Banc of America Securities LLC 586.2 8 3.4 5 Merrill Lynch & Co Inc 512.2 9 3.0 3 Lehman Brothers 416.7 10 2.4 2 Industry Total 17,136.7 - 100.0 39 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 Barclays Capital 1,492.5 1 17.3 2 Morgan Stanley 1,191.7 2 13.8 2 Deutsche Bank AG 1,191.7 2 13.8 2 Credit Suisse First Boston 766.7 4 8.9 1 ABN AMRO 766.7 4 8.9 1 Banc of America Securities LLC 750.0 6 8.7 1 Lehman Brothers 725.8 7 8.4 1 JP Morgan 725.8 7 8.4 1 HSBC Holdings PLC 566.7 9 6.6 1 Citigroup 212.0 10 2.5 1 Industry Total 8,619.5 - 100.0 7 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 Bear Stearns & Co Inc 30,988.0 1 10.3 55 Lehman Brothers 27,484.5 2 9.1 64 Countrywide Securities Corp 27,356.2 3 9.1 32 Morgan Stanley 26,793.0 4 8.9 34 Royal Bank of Scotland Group 25,328.4 5 8.4 42 Deutsche Bank AG 24,584.7 6 8.2 41 Credit Suisse First Boston 24,352.0 7 8.1 52 Citigroup 17,971.3 8 6.0 34 Merrill Lynch & Co Inc 16,890.1 9 5.6 23 Banc of America Securities LLC 16,284.0 10 5.4 32 Industry Total 301,442.9 - 100.0 496 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 5,066.7 1 20.9 7 Banc of America Securities LLC 3,134.2 2 12.9 4 Deutsche Bank AG 3,042.0 3 12.5 5 Morgan Stanley 2,757.6 4 11.4 3 Credit Suisse First Boston 2,696.2 5 11.1 4 Merrill Lynch & Co Inc 1,839.8 6 7.6 2 UBS 1,827.7 7 7.5 4 JP Morgan 1,158.5 8 4.8 3 Lehman Brothers 1,012.4 9 4.2 1 Goldman Sachs & Co 980.9 10 4.0 3 Industry Total 24,265.8 - 100.0 20 Source: Thomson Financial

auto ABS 20% credit card ABS 6% global MBS 5% real estate ABS 58% student loan ABS 8% other 3%

After proving that it has access to funding with its successful wholesale dealer floorplan transaction last week, Ford Motor Credit is unlikely to tap the U.S. floorplan sector for the foreseeable future, sources said. Despite the strong investor demand that led to an increase in size, Ford's master trust is approaching fully funded status and the issuer currently plans to wait until its series 2001-2 transaction matures next July before tapping the sector again.

NEW YORK - At its Auto Securitization Briefing held here last week, Moody's Investors Service discussed servicer risk as it relates to different types of auto securitizations. Annika Sandback, vice president in the asset finance group, isolated the risk to each asset type, covering retail loans, wholesale floorplan loans and rental deals. Moody's also gave a brief rundown of how it ranks auto-loan servicers.

At least half-smiles must be creeping across the faces of home equity ABS investors, as even the most notoriously bearish participants collectively shift their outlook on rising long-term interest rates. While Treasurys are expected to rally on anticipation of lower-than-expected long-term interest rates, adjustable-rate assets should also enjoy fewer defaults and delinquencies in that scenario, analysts say.

The U.S. ABS primary market priced over $18 billion last week as the auto and credit card sectors carried a palette of deals. The big stories of the week were General Motors Corp.'s announcement that it will cut 25,000 workers by 2008, and Federal Reserve Chairman Alan Greenspan's forecast for the U.S. economy.

ABS issuance in the credit card industry might see a slow-down in the short-term as consolidation gains traction with the recently announced acquisitions by Citigroup Inc. and Washington Mutual Inc. Over the long term, however, fewer players might give the sector a boost.

Despite CREMAC's recent sale of $180 million in high-yield bonds previously earmarked as collateral for the firm's first CDO offering, it intends to issue its three CDOs this year using different collateral, said Joseph Cafiero, president of the New York-based asset management firm.

Analysts with Moody's Investors Service said they are giving Ford Motor Co. and General Motors Corp. six months to prove themselves worthy of their current ratings. Speaking at Moody's' Auto Securitization Briefing last week, Bruce Clark, senior vice president in the financial institutions group, gave a run-down of areas Moody's will be watching over the next six months to decide whether to hold or drop the ratings of the two manufacturers.

Troubled lumber company Scotia Pacific Company LLC is working with UBS Securities to restructure $734 million of timber-collateralized notes. Scotia, a subsidiary of Houston-based MAXXAM Group Inc. is widely anticipated to miss its $27 million coupon payment due July 20, and in a June 9, Securities & Exchange Commission filing announced that its noteholders hired law firm Bingham McCutchen LLP as counsel and investment bank Houlihan Lokey Howard & Zukin as financial advisor.

Analysts at rating agency Fitch Ratings warned recently against relying solely on historical credit default or ratings data to decipher the level of risk involved in a particular CDO tranche. Instead, using market-based methodologies provides a more accurate picture of the amount of risk inherent in a prospective investment.

The market may begin to see increasingly more re-issued market value CDOs. That's because a significant amount of market value CDOs, which have performed relatively well, were launched in the late 1990s, so the first crop of such deals is reaching maturity now, according to Joo Hong, associate director at Fitch Ratings. Traditional market value CDOs typically have maturities of seven to eight years, while credit opportunity funds generally mature in five years, a CDO underwriter said.

Year to date as of 06/09 Term (days) 06/03 06/06 06/07 06/08 06/09 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 5,480.7 1 14.6 10 Deutsche Bank AG 4,741.0 2 12.6 9 JP Morgan 4,289.5 3 11.4 7 Merrill Lynch & Co Inc 4,114.9 4 10.9 7 Credit Suisse First Boston 4,111.9 5 10.9 8 Barclays Capital 3,870.9 6 10.3 7 Banc of America Securities LLC 3,433.1 7 9.1 7 Wachovia Corp 3,362.5 8 8.9 7 Goldman Sachs & Co 1,841.0 9 4.9 2 Lehman Brothers 1,455.3 10 3.9 2 Industry Total 37,637.4 - 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 Merrill Lynch & Co Inc 9,171.9 1 19.9 14 Citigroup 6,047.7 2 13.1 15 Morgan Stanley 3,984.6 3 8.7 16 UBS 3,442.6 4 7.5 8 Lehman Brothers 3,418.9 5 7.4 11 Bear Stearns & Co Inc 2,530.2 6 5.5 6 Goldman Sachs & Co 2,007.0 7 4.4 2 Groupe Caisses d'Epargne 1,742.0 8 3.8 2 Wachovia Corp 1,741.9 9 3.8 4 Deutsche Bank AG 1,652.1 10 3.6 6 Industry Total 46,088.3 - 100.0 120 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 4,974.9 1 35.1 11 Citigroup 2,874.8 2 20.3 6 Morgan Stanley 1,666.5 3 11.8 2 Barclays Capital 1,299.0 4 9.2 9 Deutsche Bank AG 959.8 5 6.8 8 Credit Suisse First Boston 738.2 6 5.2 4 Banc of America Securities LLC 586.2 7 4.1 5 Merrill Lynch & Co Inc 512.2 8 3.6 3 Lehman Brothers 375.0 9 2.7 1 Societe Generale 100.0 10 0.7 1 Industry Total 14,161.7 - 100.0 32 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 1,191.7 1 18.9 2 Deutsche Bank AG 1,191.7 1 18.9 2 Banc of America Securities LLC 750.0 3 11.9 1 Lehman Brothers 725.8 4 11.5 1 JP Morgan 725.8 4 11.5 1 Barclays Capital 725.8 4 11.5 1 HSBC Holdings PLC 566.7 7 9.0 1 Citigroup 212.0 8 3.4 1 Industry Total 6,319.5 - 100.0 6 Source: Thomson Financial