Securitization

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 7,948.09 1 17.9 11 JPMorgan Securities 4,633.0 2 10.4 10 Banc of America Securities 4,559.57 3 10.3 8 Credit Suisse 3,319.7 4 7.5 6 Citigroup Global Markets 2,797.36 5 6.3 6 ABN AMRO 2,782.95 6 6.3 5 Deutsche Bank Securities 2,509.2 7 5.7 6 Barclays Capital 2,384.3 8 5.4 5 RBS Greenwich Capital 2,374.5 9 5.3 5 Merrill Lynch 2,226.4 10 5.0 4 Industry Total 44,392.5 - 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 31,645.6 1 15.8 38 Citigroup Global Markets 26,935.1 2 13.4 38 Wachovia Securities 15,996.7 3 8.0 27 JPMorgan Securities 15,016.9 4 7.5 25 Morgan Stanley 12,413.5 5 6.2 56 Banc of America Securities 12,380.4 6 6.2 14 Deutsche Bank 11,584.1 7 5.8 26 UBS 11,109.7 8 5.5 26 Bear Stearns 9,685.5 9 4.8 17 Lehman Brothers 8,402.0 10 4.2 16 Industry Total 200,422.4 - 100.0 354 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 JPMorgan Securities 14,752.5 1 28.313 25 Banc of America Securities 11,173.3 2 21.444 20 Citigroup Global Markets 8,425.0 3 16.169 13 Morgan Stanley 5,052.6 4 9.697 8 Credit Suisse Securities 2,646.3 5 5.079 7 Deutsche Bank Securities 2,095.8 6 4.022 9 Barclays Capital 1,675.0 7 3.215 4 RBS Greenwich Capital 1,400.8 8 2.688 9 Wachovia Securities 1,337.5 9 2.567 4 ABN AMRO 1,121.3 10 2.152 2 Industry Total 52,105.3 - 100.0 80 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 Countrywide Securities 23,860.5 1 12.543 25 Merrill Lynch 19,188.39 2 10.087 20 RBS Greenwich Capital 16,382.0 3 8.612 30 Lehman Brothers 15,156.9 4 7.968 24 Morgan Stanley 14,738.76 5 7.748 17 Citigroup Global Markets 14,604.4 6 7.677 19 Bear Stearns 12,237.0 7 6.433 22 JPMorgan Securities 11,653.5 8 6.126 15 Barclays Capital 10,877.2 9 5.718 13 Banc of America Securities 8,140.2 10 4.279 22 Industry Total 190,231.8 - 100.0 238 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 6,928.2 1 19.2 7 JPMorgan Securities 5,973.5 2 16.6 6 Deutsche Bank Securities 3,551.49 3 9.9 5 Credit Suisse Securities 3,423.1 4 9.5 4 Barclays Capital 2,544.83 5 7.1 2 RBC Capital Markets 2,531.0 6 7.0 3 Goldman Sachs 2,326.17 7 6.5 3 Citigroup Global Markets 2,107.4 8 5.8 3 Morgan Stanley 2,090.1 9 5.8 2 Lehman Brothers 1,380.67 10 3.8 1 Industry Total 36,035.2 - 100.0 18 Source: Thomson Financial

aircraft ABS 0% auto ABS 11% credit card ABS 8% catatrophe bonds 0% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%

Pricing guidance on auto and credit card transactions became more snug last week, as a pronounced liquidity dearth all but forced the RMBS-driven securitization market into a hiatus.

Hoping to duplicate its successful transformation into a major franchise brand, IHOP Corp. is using familiar securitization techniques to finance its $2.1 billion buyout and subsequent revamping of Applebee's International.

Troubles in subprime have begun to creep up the credit spectrum. As expected, after the bloodbath of recent subprime downgrades, the Alt-A RMBS sector took a hit last week.

Structured finance products show no signs of becoming simpler, so learning how to define these instruments is equally as important as understanding how to get the best value out of them.

Bond insurers have built a business on paying close attention to risk. For the most part, these monolines have earned their esteem by establishing triple-A portfolios. However, recent drops in the ABX index and the widening of CDO spreads, as well as subprime downgrades, have turned the scrutiny back on these insurers, with market participants questioning the security of their highly rated RMBS exposure.

The ABX.07-2 index began trading last Thursday, but after a fresh spate of bad news about the subprime mortgage market forced the market into a general slowdown, and with a typical summer Friday looming, the index was not expected to see much action for the week.

After Bear Stearns sent a letter to investors regarding the essential collapse of two of its hedge funds, stating that "there is effectively no value left for the investors in the Enhanced Leverage Fund and very little value left for the investors in the High Grade Fund," several insiders say the losses were worse than expected.

Last week continued the plethora of rating movements - both positive and negative - for the RMBS and CDO sectors. The different rating agencies not only made several rating changes but altered their rating methodologies as well.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Merrill Lynch 31,645.6 1 16.3 38 Citigroup Global Markets 26,753.1 2 13.8 36 Wachovia Securities 15,409.4 3 7.9 26 JPMorgan Securities 13,564.9 4 7.0 23 Morgan Stanley 12,301.5 5 6.3 54 Banc of America Securities 11,793.1 6 6.1 13 Deutsche Bank Securities 10,836.6 7 5.6 22 UBS 10,117.2 8 5.2 23 Bear Stearns 9,685.5 9 5.0 17 Lehman Brothers 8,402.0 10 4.3 16 Industry Total 194,348.8 - 100.0 337 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 Wachovia Securities 7,948.09 1 17.9 11 JP Morgan Securities Inc. 4,633.0 2 10.4 10 Banc of America Securities LLC 4,559.57 3 10.3 8 Credit Suisse Securities (USA) LLC 3,319.7 4 7.5 6 Citigroup Global Markets, Inc. 2,797.36 5 6.3 6 ABN AMRO Incorporated 2,782.95 6 6.3 5 Deutsche Bank Securities, Inc. 2,509.2 7 5.7 6 Barclays Capital 2,384.3 8 5.4 5 RBS Greenwich Capital 2,374.5 9 5.3 5 Merrill Lynch, Pierce, Fenner & Smith Inc 2,226.4 10 5.0 4 Industry Total 44,392.5 - 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 JPMorgan Securities 12,647.5 1 26.4 21 Banc of America Securities 10,423.3 2 21.8 19 Citigroup Global Markets 8,425.0 3 17.6 13 Morgan Stanley 4,652.6 4 9.7 6 Deutsche Bank Securities 2,095.83 5 4.4 9 Credit Suisse 1,696.3 6 3.5 5 Barclays Capital 1,675.0 7 3.5 4 RBS Greenwich Capital 1,400.8 8 2.9 9 Wachovia Securities 1,337.5 9 2.8 4 ABN AMRO 1,121.3 10 2.3 2 Industry Total 47,900.3 - 100.0 73 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 Countrywide Securities 23,860.5 1 12.7 25 Merrill Lynch 19,188.39 2 10.2 20 RBS Greenwich Capital 16,382.0 3 8.7 30 Lehman Brothers 15,156.9 4 8.0 24 Morgan Stanley 14,738.76 5 7.8 17 Citigroup Global Markets 14,604.4 6 7.8 19 Bear Stearns 12,237.0 7 6.5 22 JPMorgan Securities 11,198.7 8 5.9 14 Barclays Capital 10,312.6 9 5.5 12 Banc of America Securities 8,140.2 10 4.3 22 Industry Total 188,334.5 - 100.0 235 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 6,928.2 1 19.2 7 JPMorgan Securities 5,973.5 2 16.6 6 Deutsche Bank Securities 3,551.49 3 9.9 5 Credit Suisse 3,423.1 4 9.5 4 Barclays Capital 2,544.83 5 7.1 2 RBC Capital Markets 2,531.0 6 7.0 3 Goldman Sachs 2,326.17 7 6.5 3 Citigroup Global Markets 2,107.4 8 5.8 3 Morgan Stanley 2,090.1 9 5.8 2 Lehman Brothers 1,380.67 10 3.8 1 Industry Total 36,035.2 - 100.0 18 Source: Thomson Financial

aircraft ABS 0% auto ABS 11% credit card ABS 8% catatrophe bonds 0% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%