QII 2007 ABCP & MTN Global Market Update

Merrill Lynch Asset Backed Conduit Products

August 2007
Table of Contents
QI 2007 ABCP & MTN Global Market Update
Merrill Lynch Asset Backed Conduit Products
1. QII 2007 ABCP & MTN Global Market Update 1
2. Merrill Lynch ABCP Market Presence 37
Appendix
A. Active US ABCP Programs 39
B. Active Euro ABCP Programs 51
QII 2007 ABCP & MTN Global Market
Update
$600
$700
$800
$900
$1,000
$1,100
$1,200
$1,300
$1,400
$1,500
US ABCP EABCP
2000 2001 2002 2003 2004 2005 2006 QII
2007
Global Highlights
1
QII 2007 ABCP & MTN Global Market Update
Global ABCP outstandings advance in QII 2007
to $1.48 trillion from $1.40 trillion in QI 2007
Up $128B (9%) from YE '06
US ABCP market outstandings total $1.199
trillion as of 6/30/07, a $67B (6%) increase from
QI 07 level of $1.132 trillion
FinCo Receivables-backed programs
continue to post gains in QII '07
Non-US Bank Sec Arb programs' US ABCP
outstandings increased 9% in QII 07 after
remaining near flat in QI 07
SIV issuers increase both global ABCP and
global MTN issuance
Euro ABCP outstandings reach $281B at 6/30/07
EABCP outstandings increase $56B in 1H 07;
up 25% vs. YE 06
SIVs lead EABCP growth in QII '07, up $8B
in QII 07, and $11B (46%) vs. YE 06
Receivables-backed programs outstandings
advance $7B in QII 07, marking a 6%
increase vs. YE 06
7 programs launched or received ratings in QII
07; 4 programs terminated
Global ABCP Market Growth
($B)
$1,199B
US ABCP
$281B
EABCP
$1,480B
GLOBAL
ABCP
____________________
*Sources: Federal Reserve and the Merrill Lynch Market Survey.
1,199
1,132
1,127
858
704
665 715
740
624
55% 55%
56%
52%
50%
54% 54%
52%
39%
0
400
800
1,200
1,600
($B)
0%
20%
40%
60% ABCP %
2000 2001 2002 2003 2004 2005 2006 QI '07 QII '07
308 271
224 213 188 209 237 230 246
652
424
393
358
527
591
644
713
722
624
740
715
665
704
858
1,127
1,132
1,199
0
500
1,000
1,500
2,000
2,500
($B)
Direct Corp. ABCP
1,584
1,435
1,332
1,236
1,419
1,658
2,008
2,075
2,167
2000 2001 2002 2003 2004 2005 2006 QI'07 QII'07
292
2
Total USCP Market Outstandings reach $2.17 trillion
Up $92B from QI 07 and up $159B from YE 06
US ABCP outstandings $1.2 trillion in 2007
Merrill Lynch reports US ABCP outstandings at
$1.199 trillion as of 6/30/07, up 6% vs. both
3/31/07 and YE 06
Federal Reserve reports US ABCP at $1.141
trillion as of 6/30/07, up $72B vs. YE 06
Fed's reported ABCP levels ($1.141 trillion) are
$58B less than Merrill Lynch reported
outstandings
Fed's disparity probably due to 50 programs
that Merrill Lynch counts as ABCP but Fed
doesn't currently track
As of June 30, 2007 ABCP represents 55%
of the total CP market
62% of the dealer-placed USCP market
331 active US ABCP programs as of 6/30/07
4 programs terminated in QII '07
7 new programs launched or received ratings in
QII '07
USCP Market Overview
Total USCP Market Outstandings
*
US ABCP as % of Total USCP Market
271 249 # of Programs 248 272
27 45 25 20 34 30
New Programs
QII 2007 ABCP & MTN Global Market Update
260 327
ABCP =
55% of
total CP
market
333
6 7
331
7
544
499
406
331
387
338
264
233
212
281
266
225
149
122
89
52
31
20
0
200
400
600
800
1,000
ECP EABCP
2000 2001 2002 2003 2004 2005 2006 QI'07 QII'07
232
264
316
427
509
480
631
765
825
281
266
225
149
122
89
52
31
20
34%
35%
36%
31%
24%
21%
16%
12%
9%
0
50
100
150
200
250
300
($B)
0%
10%
20%
30%
40%
EABCP % of Total ECP
2000 2001 2002 2003 2004 2005 2006 QI'07 QII'07
3
As of 6/30/07, ECP outstandings total $825B, up $60B (8%)
vs. QI 07 and up up $194B (31%) vs. YE '06
EABCP outstandings increase $15B (6%) in QII '07
Corp. ECP outstandings increase $45B (9%) in QII '07
Total Euro ABCP outstandings at 6/30/07 are $281B, up
$56B (25%) from YE 06 outstandings of $225B
EABCP represents 34% of total ECP market vs. 36% at
YE '06 and 31% at YE '05
EABCP represents 19% of Global ABCP funding vs.
17% as of YE '06
As of 6/30/07 there are 97 active EABCP issuers
3 new programs launched in QII '07
82 issuers currently issue both EABCP and US ABCP
15 issuers rely exclusively on EABCP funding
60 Programs' Euro ABCP outstandings exceed $1.0B
(vs. 51 as of YE '06 and 42 as of YE '05)
19 EABCP programs' outstandings exceed $5B
107 (32%) of the 331 active US ABCP issuing programs
have EABCP issuance capability
Total ECP Market Outstandings
*
EABCP as % of Total ECP Market
73 71
Euro ABCP Market Overview
____________________
*Sources: Dealogic's CP Ware, Merrill Lynch survey and other market sources. In QIV '06 Dealogic restated historic EABCP outstandings. Likewise, Merrill Lynch's historic
EABCP outstandings were updated in QIV '06 to reflect these changes.
77
3 11
# of Programs
New Programs
QII 2007 ABCP & MTN Global Market Update
13 3 6
92
EABCP =
34% of
ECP
market
3
97 86
($B)
61
58 58
52
46
42
112
89
81
58
22
20
14%
13%
12%
13%
10%
9%
0
50
100
150
200
0%
5%
10%
15%
20%
ECN SLN % of Total ABCP
62
68
139
110
147
2003 2004 2005 2006 QI '07 QII '07
173
58%
32%
5%
5%
4
Extendable ABCP Market Overview
Extendable Commercial Notes (ECN)
Less than 100% liquidity
Repayment of Notes based on asset
sale/receivables collection
Secured Liquidity Notes (SLN)
100% Liquidity and/or Credit support
QII 2007 ABCP & MTN Global Market Update
Total Extendable ABCP Market Outstandings
# of Programs 28 38 58 87
Extendable Note Terminology
As of June 30, 2007 Extendable ABCP outstandings
were $173B or 14% of the $1,199B US ABCP market
90 ABCP programs are capable of issuing extendable
notes in the US ABCP market
4 of the 7 new programs launched in QII 07 have
Ext. ABCP issuance capability
17 of the 90 programs are Asset-Backed ECNs
representing $61B or 35% of Extendable ABCP
outstandings
10 Cash Flow ECNs (credit card, dealer floor plan)
7 Market Value ECNs (MBS, Student Loans)
73 of the 90 programs are SLNs representing $112B or
65% of Extendable ABCP outstandings
ECN O/S by Asset SLN O/S by Asset
30%
53%
16%
1%
Auto Loans Student Loans Securities (MBS) CC Receivables
CDO Receivables Securities, TRS/Repo Mortgage Loans
($B)
89 90
29
26
33
31
26
18
16
18
19
14
19
25
22
15
17
11
9
9
10
11
5
6
5
5
3
12
4
2
2
4
2
3
2
3
0
10
20
30
40
50
1 yr MTNs 1-2 yr MTNs > 2 yr MTNs
15
22
25
19
22
26
27
23
33
38
42
46
49 49
QI '04 QII '04 QIII '04 QIV '04 QI '05 QII '05 QIII '05 QIV '05 QI '06 QII '06 QIII '06 QIV '06 QI '07 QII '07
215
201
179
157
135
125
117
109 105
97
89 88 85 84
38
34
32
29
27
25
22
21
20
20
20 19
18 16
0
50
100
150
200
250
300
USMTN EMTN
100 103
107 109
117
125
130
139
150
162
186
211
235
253
QI'04 QII '04QIII '04 QIV '04 QI '05 QII '05 QIII '05 QIV '05 QI '06 QII '06 QIII '06QIV '06 QI '07 QII '07
Total ABMTN Market Outstandings
5
______________
*Sources: DTC and Merrill Lynch. Trades that settle physically and trades not designated MTN by Bloomberg are not included.
Asset-Backed Medium Term Note Market Overview
($B)
US ABMTN Issuance
*
($B)
QII 2007 ABCP & MTN Global Market Update
US ABMTN issuance in QII '07 again totals $49B
30 issuers participated in the MTN market this
past quarter
Issuance continues to be SIV dominated
41% of issuance 1 year maturity, vs. 28% in
QIV '06
6% of issuance > 2 years maturity, vs. 9% in
QIV '06
Global Asset-Backed MTN outstandings total
$253B as of 6/30/07
$215B USMTN; up $36B from YE '06 and $98B
from YE 05
$38B EMTN; up $6B from YE '06 and $16B from
YE '05
SIVs continue to be the largest Global issuers of
Asset-Backed MTNs
$207B USMTN; up $38B from YE 06
$30B EMTN; up $5B from YE 06
6
New ABCP Programs in QII 2007
____________________
(*) USCP leg added to existing EABCP program. (**) EABCP leg added to existing USCP program.
QII 2007 ABCP & MTN Global Market Update
New US ABCP Programs
7 new US ABCP programs launched (or received ratings) in the second quarter of 2007
New EABCP Programs
USCP/USMTN/ECP/EMTN
New Program QII 2007
$20,000,000,000
Nightingale Finance
LLC/Ltd
A-1+ / P-1
USCP/SLNs
New Program QII 2007
$10,000,000,000
Classic LLC
A-1+ / P-1
New Program QII 2007
$50,000,000,000
Asscher Finance
Corp/Ltd
USCP/USMTN/ECP/EMTN
A-1+ / P-1
USCP/ECNs
New Program QII 2007
$3,000,000,000
Ottimo Funding Ltd
A-1+ / P-1
New Program QII 2007
$10,000,000,000
White Canyon
Funding LLC
USCP/ECN
A-1 / P-1
New Program QII 2007
Liberty Hampshire
Saratoga Springs
Capital Company LLC
USCP/ECN
A-1 / P-1
New Program QII 2007
$3,240,000,000
High Grade Structured
Credit CDO
USCP
A-1+ / P-1
USCP/USMTN/ECP/EMTN
New Program QII 2007
$20,000,000,000
Nightingale Finance
LLC/Ltd
A-1+ / P-1
New Program QII 2007
$50,000,000,000
Asscher Finance
Corp/Ltd
USCP/USMTN/ECP/EMTN
A-1+ / P-1
ECP
New Program QII 2007
$10,000,000,000
CentreStar Capital
Europe Ltd*
P-1 / F1
2 new programs launched in the second quarter of 2007
with ECP issuance capability
1 existing program added the ability to issue ECP
7
ABCP Program Terminations in QII 2007
____________________
Note: Programs highlighted in blue and bold indicate Merrill Lynch acted as placement agent.
QII 2007 ABCP & MTN Global Market Update
Sponsor Program Assets
Program Limit
($MM) Ratings ECN/SLN ECP
Securities Arbitrage Conduits:
CDR Financial Products Cedar Finance Master Trust Securities, Repos $20,000 A-1/P-1 SLN No
Loans, Mortgages-Backed Conduits:
Accredited Home Lenders Carmel Mountain Funding Trust Loans, Mortgages $2,500 A-1+/P-1 SLN No
New Century Mortgage St. Andrew Funding Trust Loans, Mortgages $1,030 A-1+/P-1 SLN No
New Century Mortgage Von Karman Funding Corporation LLC Loans, Mortgages $2,000 A-1+/P-1 SLN No

4 ABCP programs were deleted from the Merrill Lynch ABCP Universe in the second quarter of 2007
Programs terminated and ratings withdrawn
Deleted Programs
$53B
$66B
$114B
$113B
$411B
$723B
Receivables
49%
Securities
28%
SIV
8%
Loans/
Leases
8%
CDO
4%
Other
3%
8
Global ABCP Outstandings Analysis
QII 2007 ABCP & MTN Global Market Update
Global ABCP outstandings advanced $82B in QII '07 to all-time record high of $1.48 trillion
US ABCP market climbed $67B in QII 07 to record level of $1.2 trillion after remaining essentially flat in QI 07
EABCP market continues to grow; EABCP outstandings increased $15B in QII 07 to record level of $281B
SIV global ABCP outstandings have advanced a noteworthy 35% or $29B in QII 07 to $113B
SIVs represent 8% of the global ABCP market in QII 07, vs. 6% in QI 07
Receivables-backed programs outstandings rise $20B in QII 07 to $723B
Continue to comprise approximately half of the global ABCP market
Euro Bank sponsored programs experienced modest decline of $11B
Securities-backed programs outstandings rise $36B in QII 07 to $411B
Accounted for 40% of global ABCP growth in QII 07
+$1B
+5B
+$29B
+$36B
+$20B
Receivables
22%
Securities
40%
SIV
32%
CDO
5%
Other
1%
QII 07 Global ABCP Growth by Asset Global ABCP Outstandings by Asset
Asset Sponsor Type 12/31/05 12/31/06 03/31/07 06/30/07
03/31/07 to 06/30/07
Increase / (Decrease)
USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total
Receivables US Bank/Can Banks 166 6 172 196 11 207 193 14 207 209 14 223
16 0 16
Euro Banks 197 65 262 253 92 345 247 110 357 232 114 346
(15) 4 (11)
Finance 55 3 58 86 5 91 103 6 109 110 9 119
7 3 10
Other 16 0 16 25 0 25 30 0 30 35 0 35
5 0 5
Securities US Bank/FinCo 60 2 62 85 4 89 89 5 94 101 5 106
12 0 12
Non-US Bank/FinCo 156 43 199 218 61 279 206 75 281 231 74 305
25 (1) 24
SIV 48 18 66 67 24 91 57 27 84 78 35 113
21 8 29
Loans/Leases 104 1 105 111 6 117 115 8 123 106 8 114
(9) 0 (9)
CDO 30 0 30 58 0 58 61 0 61 66 0 66
5 0 5
Other
(1)
26 11 40 28 22 50 31 21 52 31 22 53
0 1 1
Total 858 149 1,007 1,127 225 1,352 1,132 266 1,398 1,199 281 1,480
+67 +15 +82

9
Global ABCP Outstandings Analysis by Asset Type
Global ABCP Outstandings ($B)
QII 2007 ABCP & MTN Global Market Update
____________________
(1) Other categorization includes Euro, BT, A$, MM, CC, and Funding Agreement ABCP Programs; Numbers may not add due to rounding.
223 207 207
172
143
346
357 345
262
226
119
109
91
58
47
35
30
25
16
13
0
200
400
600
800
429
508
668
703
723
2004 2005 2006 QI '07QII '07
106
94 89
62 53
305
281
279
199
145
0
100
200
300
400
500
198
261
368
375
411
2004 2005 2006 QI '07 QII '07
Receivables Securities CDO SIV Loans/Leases Other
66
61
58
30
7
0
20
40
60
80
2004 2005 2006 QI '07QII '07
113
84
91
66
47
0
30
60
90
120
2004 2005 2006 QI '07QII '07
53
52
50
40
53
0
20
40
60
2004 2005 2006 QI '07 QII '07
114
123
117
105
90
0
50
100
150
2004 2005 2006 QI '07QII '07
US Bank/Can Banks Euro Banks
Finance Other
US Bank/FinCo
Non-US Bank/FinCo
4% 4% 4%
3%
1%
0%
4%
8%
2004 2005 2006 QI '07 QII '07
% of Total Market
52%
50%
49%
50%
49%
46%
50%
54%
2004 2005 2006 QI '07QII '07
% of Total Market
28% 27% 27%
26%
24%
22%
26%
30%
2004 2005 2006 QI '07QII '07
% of Total Market
8%
6%
7% 7%
6%
4%
8%
12%
2004 2005 2006 QI '07QII '07
% of Total Market
8%
9% 9%
10%
11%
6%
10%
14%
2004 2005 2006 QI '07QII '07
% of Total Market
4% 4% 4% 4%
6%
0%
4%
8%
2004 2005 2006 QI '07 QII '07
% of Total Market
*Includes 34 CDOs with ABCP
senior tranches added to the Merrill
Lynch ABCP Universe in '06
$20B
$36B
Asset Sponsors 12/31/06

03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
Receivables US Bank/Can Banks 196 193 209
+16
Euro Banks 253 247 232
(15)
Finance 86 103 110
+7
Other 25 30 35
+5
Securities US Bank/FinCo 85 89 101
+12
Non-US Bank/FinCo 218 206 231
+25
CDO 58 61 66
+5
SIV 67 57 78
+21
Loans, Leases Banks 44 43 43
0
FinCo/Industrial 67 72 63
(9)
Other
(1)
28 31 31
0
Total US ABCP $1,127 $1,132 $1,199
+$67B
10
Market Growth Analysis US ABCP
QII 2007 ABCP & MTN Global Market Update
US ABCP outstandings increased $67B in QII 07 to $1,199B, a $72B increase over YE 06 levels of $1,127B
FinCo sponsored receivables-backed programs increased outstandings to $110B, a 7% increase vs. QI 07 levels
of $103B, and 28% increase vs. YE 06 levels of $86B
Euro Bank sponsored Receivables-backed programs continued to shift some outstandings to EABCP
SIV US ABCP outstandings increased $21B (37%) as new and existing issuers expand asset bases
US Bank/FinCo and Non-US Bank/FinCo Securities-backed programs' US ABCP aggregate outstandings
increase $37B in QII 07 as a result of asset purchases by existing programs, and new programs ramping up
____________________
(1) Other categorization includes MM, CC, and Funding Agreement ABCP Programs; Numbers may not add due to rounding.
US ABCP Outstandings ($B) Outstandings Composition
Other
CDO
SIV
Loans,
Leases
Securities
Receivables 48%
27%
9%
7%
6%
3%
Asset Sponsors 12/31/06 03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
Receivables Euro Banks 92 110 114
+4
US Bank/Can Banks 11 14 14
0
Finance 5 6 9
+3
Other 0 0 0
0
Securities US Banks 4 5 5 0
Non-US Bank/Fin Co 61 75 74
(1)
SIV 24 27 35
+8
Loans, Leases 6 8 8
0
Other
(1)
22 21 22
+1
Total EABCP $225B $266B $281B +$15B

11
Market Growth Analysis Euro ABCP
QII 2007 ABCP & MTN Global Market Update
____________________
(1) Other categorization includes Euro, BT, A$ ABCP Programs; Numbers may not add due to rounding.
Euro ABCP outstandings at $281B as of QII '07 are up $15B (6%) vs. QI 07, and up $56B (25%) vs. YE 06
European Bank sponsored receivables-backed programs lead first half market increase with $4B of growth in QII
07, and $22B of growth in 1H '07
SIV EABCP outstandings continue to grow, increasing outstandings $8B (30%) in QI 07as new and existing SIVs
ramp up EABCP programs
EABCP Outstandings ($B) Outstandings Composition
Loans,
Leases
Other
SIV
Securities
Receivables 49%
28%
12%
8%
3%
Other
Finance
Euro Banks
US Bank/
Can Banks
31%
48%
16%
5%
Sponsor Type 12/31/06 03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total
US Bank/Can Banks 196 11 207 193 14 207 209 14 223 16 0 +16
Euro Banks 253 92 345 247 110 357 232 114 346 (15) 4 (11)
Finance 86 5 91 103 6 109 110 9 119 7 3 +10
Other 25 0 25 30 0 30 35 0 35 5 0 +5
Total $560 $108 $668 $573 $130 $703 $586 $137 $723 +$13B +$7B +$20B

12
Market Growth Analysis Receivables-Backed Programs
Receivables-backed programs aggregate global outstandings equal $723B at 6/30/07; up $20B vs. QI 07, and up
$55B vs. YE '06
US/Canadian Bank sponsored programs' global outstandings of $223B are up $16B since QI 07
US ABCP funds 94% of these programs' outstandings
Euro Bank sponsored programs' global outstandings decreased $11B in QII 07
Finance Co./Independent Co. receivables-backed program outstandings continued sharp increases to $119B, an
increase of $10B (9%) vs. QI 07, and an increase of $24B (26%) vs. YE '06
Receivables-backed programs represent 49% of global ABCP market (52% in '04, and 67% in '98)
Euro Banks' outstandings represent 48% of this market segment, vs. 52% at YE 06
Receivables-Backed ABCP Programs ($B)
QII 2007 ABCP & MTN Global Market Update
____________________
Note: Numbers may not add due to rounding.
Sector Composition
Sponsor Type 12/31/06 03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total
US Bank/FinCo 85 4 89 89 5 94 101 5 106 12 0 +12
Non-US Bank/FinCo 218 61 279 206 75 281 231 74 305 25 (1) +24
Total $303B $65B $368B $295B $80B $375B $332B $79B $411B $37B $(1)B +$36B

Non-US Bank/
FinCo
US Bank/
FinCo
26%
74%
13
Market Growth Analysis Securities Arbitrage Programs
Sec Arb programs' aggregate global outstandings at $411B as of 6/30/07 are up $36B in QII 07
Securities-backed programs contribute 28% of Global ABCP outstandings at QII '07
US ABCP outstandings account for 81%; EABCP outstandings account for 19%
Non-US Bank Sec Arb programs global outstandings increased $24B in QII 07
Growth primarily funded in USCP
US Bank/Finance Co Sec Arb programs' global outstandings increased $12B in QII 07, a $17B increase vs. YE '06
TRS/Repo programs drive growth
QII 2007 ABCP & MTN Global Market Update
____________________
Note: Numbers may not add due to rounding.
Securities-Backed ABCP Programs ($B) Sector Composition
TRS
Repos
59%
41%
Sponsor Type 12/31/06 03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total
Securities, Repos 63 7 70 62 9 71 79 10 89 17 1 +18
Securities, TRS 44 0 44 49 0 49 61 0 61 12 0 +12
Total $107B $7B $114B $111B $9B $120B $140B $10B $150B $29B $1B +$30B

14
Market Growth Analysis Securities Arbitrage Programs
Reverse Repurchase Agreement and TRS-backed securities financing programs (a subset of "Securities
Arbitrage" programs) contribute $150B (36%) of Securities-Backed programs' $411B global market
outstandings as of 6/30/07, vs. $114B (32%) at YE 06
Add $30B global outstandings in QII '07, largely a result of existing issuers increasing program sizes and
outstandings
QII 2007 ABCP & MTN Global Market Update
____________________
Note: Numbers may not add due to rounding.
Sector Composition Reverse Repurchase and TRS Financing Programs ($B)
Sponsor Type 12/31/06 03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total USABCP EABCP Total
Banks 43 6 49 43 8 51 43 8 51 0 0 0
FinCo 63 0 63 68 0 68 57 0 57 (11) 0 (11)
Industrial 5 0 5 4 0 4 6 0 6 2 0 2
Total $11B $6B $117B $115B $8B $123B $106B $8B $114B $(9)B 0 $(9)B

Industrial
FinCo
Banks
45%
50%
5%
15
Market Growth Analysis Loan, Lease-Backed Programs
QII 2007 ABCP & MTN Global Market Update
Loan, Lease-backed programs' aggregate global outstandings equal $114B at QII '07; down $9B vs. QI 07
Mortgage loan-backed programs decreased outstandings in QII 07
Bank sponsored corporate loan-backed programs show limited growth
____________________
Note: Numbers may not add due to rounding.
Sector Composition Loan, Lease-Backed ABCP Programs ($B)
16
Market Growth Analysis Structured Investment Vehicles ("SIVs")
Global debt outstandings for 36 active Structured Investment Vehicles (SIVs) increased to $349B
as of 6/30/07
SIVs expanded liabilities by $46B (15%) in QII 07, up $64B (22%) vs. YE 06
SIV asset growth primarily funded via US ABCP in QII 07
In previous periods, growth was primarily US MTN funded
SIV US ABCP outstandings at $78B as of 6/30/07 are up $21B (37%) in QII 07
US ABCP represents 22% of total SIV funding at QII 07 vs. 24% of total SIV funding at YE 06
SIV US MTN funding as of 6/30/07 is up $14B (7%) in QII 07, and up $37B (22%) vs. YE 06 levels
Global MTN funding represents 68% of total SIV funding
QII 2007 ABCP & MTN Global Market Update
____________________
Note: Numbers may not add due to rounding.

12/31/06

03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
US ABCP 67 57 78 +21
EABCP 24 27 35 +8
MTN 169 192 206 +14
EMTN 25 27 30 +3
Total $285B $303B $349B +$46B

Structured Investment Vehicles ($B) SIV Global Debt Composition
EMTN
EABCP
US ABCP
US MTN
22%
10%
59%
9%
17
Market Growth Analysis CDO Issued ABCP

12/31/06

03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
CDO 58 61 66 +5
Total $58B $61B $66B +$5B

CDO Issued US ABCP ($B)
QII 2007 ABCP & MTN Global Market Update
____________________
Note: Numbers may not add due to rounding. $23B of increase in Q1 '06 due to addition of 34 active CDOs not previously included in the ML ABCP Universe.
66 active CDO programs increase outstandings by $5B (8%) in QII 07
As of QII '07, CDO programs comprise 6% of US ABCP Market, vs. 5% at YE 06, and 3% at YE '05
Programs differ from typical ABCP programs by their static and capped issuance amount
Part of multi-tranche bond issuance
Frequently, CDO underwriter is sole US ABCP placement agent
$3B of $5B increase in QII '07 due to the launch of one FinCo sponsored CDO program
18
Market Growth Analysis Extendable ABCP
QII 2007 ABCP & MTN Global Market Update
____________________
Note: Numbers may not add due to rounding.
Extendable ABCP outstandings increase to $173B, up $26B in QII 07, and up $34B (24%) vs. YE 2006
ECN outstandings increased a modest $3B to $61B in QII after remaining flat in QI 07
SLN outstandings continue to rise in QII '07 reaching $112B as of 6/30/07
Up $23B in QII '07 (26%), and up $31B vs. YE 06
Strong SLN QII '07 growth by programs sponsored by Independent FinCo's and leading mortgage
originators
Partially offset by closure of and market exit of certain mortgage loan-backed programs
SLNs account for 65% of the Extendable ABCP market as of 6/30/07 vs. 58% at YE '06

12/31/06

03/31/07 06/30/07
03/31/07 to 06/30/07
Increase/(Decrease)
ECN 58 58 61 +3
SLN 81 89 112 +23
Total $139B $147B $173B +$26B

Extendable US ABCP ($B) Sector Composition
SLN
ECN
35%
65%
19
Quarter end pressure was extremely strong the last two to three weeks of the quarter; following suit after other
quarter ends
Increase in new issuance combined with scarce availability of cash
Extendable ABCP or Liquidity Note (LN) product demand continues to grow
Liquidity Notes trade 2-4 bps discount to CP
The addition of an extendable leg to existing programs is prevalent as well as the continued launch of new
extendible programs
Large size repo-backed programs shift into overnight market
Causes a slight pricing distortion in overnight ABCP market due to supply/demand imbalance
Investors delay morning purchase activity for these issuers to pressure funding levels in overnight market
Bid programs or competitive allocation programs see the most pricing volatility
ABCP Trading Developments
QII 2007 ABCP & MTN Global Market Update
New SIVs continue to enter market
Most launches are gradual build up in outstandings; with postings 1-3 months initially
ABMTN demand continues
Fixed rate demand wanes in favor of floater demand
Demand seen across all indices
Interest in daily reset indices still strong but 1-3ML returns to index of choice
Structured Notes demand increases with middle market buyers
Tailored using the swaptions market to meet specific investor views on interest rates, inflation, etc
Liquidity for 2
nd
Generation SIVs continues to improve
Spreads compress to 1
st
Generation SIVs
Secondary market widens about 2 bps over primary market
The roll down trade still problematic in 1 year space
Secondary bids are decided by tenths of basis points
Some dealers willing to lose a tenth(s) of a basis point to win the secondary bid
Large size one-off trades by continue to answer issuers needs for term liabilities
20
MTN Trading Developments
QII 2007 ABCP & MTN Global Market Update
21
ABCP Trading Developments
30 Day Maturity ABCP vs. 1 Month LIBOR*
Daily Average of 30-Day Bloomberg ABCP Indices vs. 1-Month LIBOR
_____________
Note: ABCP discount has been converted to money market yield. Spreads are dollar-weighted averages, and include placement agent's commissions.
QII 2007 ABCP & MTN Global Market Update
Fed left rate unchanged at 5.25% at the June 28th meeting citing moderate growth during the first half of 2007
despite the ongoing adjustment in the housing sector
A-1/P-1 yield spread vs. A-1+/P-1 levels average 0.7 bps in both 1H07 and over the last twelve months
1H '07
Avg.=
2.0 bps
1H '07
Avg.=
1.2 bps
A-1+/P-1 Index
A-1/P-1 Index
Spread to LIBOR (bps)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
Jul '06 Aug '06 Sep '06 Oct '06 Nov '06 Dec '06 Jan '07 Feb '07 Mar '07 Apr '07 May '07 Jun '07
0.0
10.0
20.0
30.0
40.0
50.0
60.0
A-1+ Index A-1 Index
1/2/07 1/31/07 2/28/07 3/30/07 4/30/07 5/31/27 6/29/07 7/31/07 8/17/07
QII 2007 ABCP & MTN Global Market Update
2007 YTD Historical Spreads to 1-Month LIBOR
(1)
Spread to LIBOR (bps)
Date A-1+ Index A-1 Index
7/30/07 L+6 L+7
7/31/07 L+4 L+6
8/01/07 L+6 L+6
8/02/07 L+5 L+6
8/03/07 L+5 L+6
8/06/07 L+6 L+7
8/07/07 L+8 L+9
8/08/07 L+8 L+8
8/09/07 L+8 L+9
8/10/07 L+10 L+11
8/13/07 L+16 L+17
8/14/07 L+21 L+22
8/15/07 L+23 L+24
8/16/07 L+27 L+29
8/17/07 L+44 L+55

_____________
Source: Bloomberg. ABCP discount has been converted to money market yield, and includes placement agents commissions. 2007 YTD data as of August 10, 2007. Dates
highlighted in yellow indicate A-1+ and A-1 spreads are equal.
Asset-Backed Commercial Paper Spreads to LIBOR
22
Money Market Mutual Funds
_____________
Source: Money Fund Report July 20, 2007.
23
ABCP Investor Liquidity Developments
$2,124
$2,004
$1,959
$1,660
$1,598
$1,725
$1,948
$1,979
$1,607
$1,408
$1,163
$898
$762
$630
$500
$462
$451 $453
$415
$0
$400
$800
$1,200
$1,600
$2,000
$2,400
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 QI 2007QII 2007
Taxable Money Fund Assets as of July 20, 2007 reach $2,124 trillion, topping YE 2001 levels
Increased $526B (33%) over YE 2004 level of $1.598 trillion
Increased $165B (8%) over YE 2006 level of $1.959 trillion
QII 2007 ABCP & MTN Global Market Update
$ Billions
+33%
24
ABCP Investor Marketing Commentary
QII 2007 ABCP & MTN Global Market Update
ABCP & MTN market activity in QII '07 was robust with a solid pace of supply and demand
One-on-one investor/issuer meetings abound due to high investor demand
7 new programs in QII '07 received strong reception from the investor community
$2B continues to be a milestone concerning a program's liquidity
Issuers focus more carefully on pre-launch marketing period
2007 YTD launches allocate (on average) 2 weeks for global investor teleconferences, one-on-one meetings,
and road shows
Investors more diligent to request pro-forma investor reports and pricing/posting guidance for new programs
entering the market
New programs that distributed a pro-forma investor report during pre-launch marketing phase effectively
aided the marketing process conveying up-front intended levels of transparency
Continued faltering sub-prime mortgage market causes ABCP analysts to take a second and conservative look at
underlying collateral and exposures
Investors adamantly concerned with ABCP programs' exposure to sub-prime, Alt-A and 2nd lien mortgage
assets
Sponsors were asked for clarity on seller/servicers and aggregate exposure
Many investors suggested a market update/commentary section be added to monthly investor reports
to address such issues
Credit approvals put on hold or revoked all together
25
ABCP Investor Marketing Commentary (cont'd)
QII 2007 ABCP & MTN Global Market Update
SIV and Extendable ABCP investor bases continue to expand with new and seasoned programs leading the effort
Monthly portfolio report continues to be a means of competitive differentiation with pricing impact potential
Detailed asset disclosure is increasingly valued by Money Market investors, especially for programs funding
CDOs, programs issuing Extendable ABCP, and programs with sub-prime mortgage exposure
Investors require issuers to become more transparent as part of the approval process
Introduction of standardized and uploadable monthly portfolio templates by one investor
3rd party coordination and distribution of issuers' portfolio details in the foreseeable future?
_____________
(1) Source: Federal Reserve and Merrill Lynch; Data as of June 30, 2007.
(2) Source: Moody's Short-Term Market Record and Merrill Lynch database as of June 30, 2007.
Corporate CP Volume Increased 2004-2007 YTD After Declining in 2001-2003
Corporate CP Market
26
Unsecured CP outstandings have rebounded significantly from the low levels in 2003. Corporate outstandings have
exceeded all-time high levels of 2000
2(a)(7) money funds are still seeing positive cash flows
Large, active programs with a consistent presence and stable ratings continue to attract the broadest investor interest
The number of active daily issuers currently in the market is significantly lower than in 2000. Majority of the remaining
active issuers have increased program sizes over the past several years.
Non-US financial institutions have become the most active issuer sector in the unsecured CP market with several
programs exceeding $12 billion in average outstandings
Corporate CP Assists ABCP in Driving
Growth
(1)
QII 2007 ABCP & MTN Global Market Update
Tier-1 & Tier-2 Year-End Outstandings
(2)
722
713
644
591
527
358
393
424
652
0
200
400
600
800
2000 2001 2002 2003 2004 2005 2006 QI'07 QII'07
($B)
632 628
566
527
268
301
325 323
529
82
78
73
60
56
54
65
98
120
0
200
400
600
800
Tier-1 Tier-2
649
421
390
355
324
587
639
706
714
2000 2001 2002 2003 2004 2005 2006 QI '07 QII '07
($B)
27
Spreads to LIBOR (Across the Ratings Spectrum)
Historical CP Spreads to 1-Month LIBOR
(1)
-30
-20
-10
0
10
20
30
40
50
60
70
80
90
100
Spread to LIBOR (bps)
Tier 1 Index (A-1+/P-1/F-1+) Tier 1 Index (A-1/P-1/F1) Tier 2 Index (A-2/P-2/F2)
1/7/00 9/1/00 4/27/01 12/21/01 8/16/02 4/11/03 12/5/03 7/30/04 3/25/05 11/18/05 7/14/06 3/9/07 8/17/07
Source: Bloomberg.
(1) Offered-side.
Year
A-1+/P-1/F1+
(Tier 1)
A-1/P-1/F1
(Tier 1)
A-2/P-2/F2
(Tier 2)
2007 YTD -9.3 -8.2 4.5
2006 -9.9 -8.7 -0.9
2005 -11.1 -9.9 -0.7
2004 -10.2 -8.9 1.5
2003 -9.4 -8.1 11.4
2002 -9.3 -8.0 22.1
2001 -11.7 -9.7 35.0
2000 -15.1 -13.8 17.4
Average -10.8 -9.5 11.6
QII 2007 ABCP & MTN Global Market Update
Issuance Forecast and Spread Update
28
QII 2007 ABCP & MTN Global Market Update
Merrill Lynch reported $737 billion of public new issue ABS
volume in 2006 which represents a ~4% decrease over 2005.
In 2007, approximately 49% was issued in the real estate and
51% in non-real estate.
Non-real estate issuance increased minimally at ~3%; Real
estate issuance was down ~45%
Investor demand has kept spreads on triple-A rated consumer
ABS virtually unchanged.
Spreads on subordinated consumer ABS remain under pressure,
although the extent is significantly less than other markets.
We expected spreads to tighten as new issue volume
declines.
The $296 billion in 2007 new issue volume represents
approximately a ~39% decrease over the same period in 2006.
_____________
Source: Merrill Lynch Research.
(1) Data as of July 24, 2007.
Indicative Auto ABS Spreads
-6
-4
-2
0
2
4
6
8
10
12
14
16
J
a
n
-
0
3
M
a
r
-
0
3
M
a
y
-
0
3
J
u
l
-
0
3
S
e
p
-
0
3
N
o
v
-
0
3
J
a
n
-
0
4
M
a
r
-
0
4
M
a
y
-
0
4
J
u
l
-
0
4
S
e
p
-
0
4
N
o
v
-
0
4
J
a
n
-
0
5
M
a
r
-
0
5
M
a
y
-
0
5
J
u
l
-
0
5
S
e
p
-
0
5
N
o
v
-
0
5
J
a
n
-
0
6
M
a
r
-
0
6
M
a
y
-
0
6
J
u
l
-
0
6
S
e
p
-
0
6
N
o
v
-
0
6
J
a
n
-
0
7
M
a
r
-
0
7
M
a
y
-
0
7
J
u
l
-
0
7
"AAA" 2-Yr Auto "AAA" 3-Yr Auto
Sector
Automobiles $86,207 20% $77,021 12% $102,439 13% $90,591 12% $42,447 14% $75,000 11%
Credit Cards $66,552 15% $50,364 8% $67,513 9% $63,850 9% $53,518 18% $65,000 10%
Subprime Mortgage $216,923 49% $401,470 63% $493,200 64% $462,373 63% $145,596 49% $420,000 64%
Equipment $10,090 2% $5,916 1% $7,931 1% $9,431 1% $3,420 1% $10,000 2%
Student Loans $39,955 9% $62,332 10% $70,365 9% $78,234 11% $34,669 12% $75,000 11%
Other $7,687 2% $6,989 1% $14,931 2% $26,208 4% $15,873 5% $10,000 2%
Non-U.S. $12,491 3% $28,496 5% $12,025 2% $6,570 1% $0 0% N/A N/A
$439,906 100% $632,590 100% $768,404 100% $737,257 100% $295,522 100% $655,000 100%
(2)
2003 Vol ume 2004 Vol ume 2005 Vol ume 2007 Forecast 2006 Vol ume 2007 YTD Vol ume
(1)
Debt Capital Markets: Market Overview
29
Risk premiums are being recalibrated driven by a confluence of macro factors including: volatility, Fed
uncertainty, subprime concerns, and the massive backlog in the high yield markets
Despite recent spread widening, yields remain near historic tights - creating attractive financing levels
Change of control has been included in 41% of corporate bond deals YTD versus 11% deals during all of
2006
Cash bond trading has been extremely light during this period of volatility as the CDS indices have become the
primary tool for investors to express credit spread views
Commentary
30
70
110
150
190
230
270
310
350
390
430
470
5
-
J
u
n
1
2
-
J
u
n
1
9
-
J
u
n
2
6
-
J
u
n
3
-
J
u
l
1
0
-
J
u
l
1
7
-
J
u
l
2
4
-
J
u
l
3
1
-
J
u
l
CFC WM PMI MTG RDN XL MBI
Corporate Spreads Increase 30% Since June Insurance CDS Levels Widen
Credit spreads have widened significantly over the past three
weeks due to anticipated credit losses from monolines,
mortgage insurers and select banks with significant subprime
exposure
WM CFC PMI MTG RDN XL MBI
Aug 3
150 305 220 375 455 160 260
June 1
34 56 30 44 47 28 42

100
110
120
130
140
150
160
170
J
a
n
-
0
7
F
e
b
-
0
7
M
a
r
-
0
7
A
p
r
-
0
7
M
a
y
-
0
7
J
u
n
-
0
7
J
u
l
-
0
7
(
O
A
S

b
p
)
BBB Index
QII 2007 ABCP & MTN Global Market Update
0 bps
50 bps
100 bps
150 bps
200 bps
250 bps
300 bps
350 bps
400 bps
450 bps
500 bps
Aug-05 Oct-05 Dec-05 Feb-06 Apr-06 Jun-06 Aug-06 Oct-06 Dec-06 Feb-07 Apr-07 Jun-07 Aug-07
Mid Market Credit
Default Swap Spread
MBI (Aa2/AA) ABK (Aa2/AA) MTG (A1/A) PMI (A1/A) RDN (A2/A)
30
____________________
(1) Source: Mark-it Partners and Merrill Lynch fixed income trading.
Historical 5-Year CDS Levels for Select Insurance Comparables
(1)
Mortgage-Related Insurance CDS Spreads Under Pressure
QII 2007 ABCP & MTN Global Market Update
Issuer Rating
7/27/07 5-year CDS
Level (Offer)
Current 5-year CDS
Level (Offer)
FGIC Aaa/AAA 110 150
FSA Aaa/AAA 58 75
XL Aaa/AAA 120 160
ABK Aa2/AA 210 270
MBI Aa2/AA 210 260
MTG A1/A 195 375
PMI A1/A 125 220
RDN A2/A 210 455
31
QII 2007 ABCP & MTN Global Market Update
Market Liquidity
5-year Credit Default Swaps Cash Trading
Investors have begun to put capital to work after
completely sitting on the sidelines during the later part
of July. Initially we saw investors nibbling around
the sidelines with little sustained buying to support
market levels
Secondary cash activity has begun to return to the
market with recent blocks of $10-$15 million changing
hands across a variety of industries and ratings. This
compares with blocks of $2 million during the weeks of
the 17
th
and 24
th
and historical trading of $20 million
average blocks. Bid ask spreads have correspondingly
tightened to 5-10 bps from recent 10-15 bps levels (vs.
historical 2-5 bps)
A number of issuers have tapped the new issue market
in light of recent volatility:
GE Capital Corp (Aaa/AAA) issued $2 billion of 30-yr at T
+ 125
Allstate Life (Aa2/AA) issued $500 million of a 1-yr FRN at
3L Flat
Merrill Lynch & Co. (Aa3/AA-) issued $2.75 billion of 5-yr
pricing at T + 138
IBM (A1/A+) issued $2.6bn of an 18-mo. FRN at 3L+5
Kraft Foods (Baa2/A-) issued $3.5 billion in five tranches: a
3-yr FRN at 3L+50, a 3-yr at T + 105, a 5.5-yr at T + 135, a
10-yr at T+170 and a 30-yr at T + 205
Investors have been the most active in trading credit
default swaps versus cash bonds as investors are
waiting for greater consistency in the market before
committing
Insurance company CDS is wider by 20 bps over the
past week and 30 bps over the past three
Volatility has driven spreads wider, however
insurance spreads have outperformed the broader
corporate credit market
+40bps
+45bps
+50bps
+55bps
+60bps
+65bps
+70bps
+75bps
+80bps
+85bps
+90bps
Jul-2 Jul-7 Jul-12 Jul-17 Jul-22 Jul-27 Aug-1
CDX Investment Grade Index
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
11.0%
1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007
10-year UST Yield
30-year UST Yield
10yr UST Avg: 1987 - 2007
30yr UST Avg: 1987 - 2007
32
Treasury Rates 1987 - 2007 Treasury Rates 2007YTD
Interest Rate Outlook
Since climbing to an intraday high of 5.32% on June 13, the 10-year has rallied 60 bps
The rally was the result of a flight to quality led by credit market volatility due to a resurfacing of subprime and housing concerns, the
backlog in the high yield market, and generally weak economic data
The Fed on Tuesday kept the Fed Funds rate unchanged at 5.25%, as expected
However, the Fed was more hawkish than many market participants had expected, saying that their predominant concern remains
the risk that inflation will fail to moderate as expected
They acknowledged that the financial markets have been volatile in recent weeks and that credit conditions have become tighter,
however the FOMC continues to believe that the economy seems likely to continue to expand at a moderate pace over coming
quarters, supported by solid growth in employment and incomes and a robust global economy
ML economist David Rosenberg recently revised his interest rate forecast and now believes that the Fed will start to cut rates at the
October 2007 meeting and will eventually lower the funds rate to 3.75% by mid-year 2008
This view hinges on both the economy being weak and the financial market jitters being sustained
4.30%
4.40%
4.50%
4.60%
4.70%
4.80%
4.90%
5.00%
5.10%
5.20%
5.30%
Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07 Aug-07
10yr Treasury Yield
5yr Treasury Yield
Commentary
QII 2007 ABCP & MTN Global Market Update
33
ML Interest Rate Forecast
(1)
Street Forecasts
(2)
Current Fed Funds Futures Volatility in the Treasury Market
____________________
(1) Merrill Lynch US Interest Rate Outlook August 3, 2007.
(2) Source: Bloomberg Monthly Economist Survey July 10, 2007.
Interest Rate Outlook
Current 2007: Q3 2007: Q4 2008: Q1 2008: Q2
Fed Funds
5.25 5.25 4.50 4.25 3.75
3-Month LIBOR
5.38 5.35 4.80 4.25 3.85
2-Year T-Note
4.63 4.25 3.90 3.75 3.65
5-Year T-Note
4.69 4.30 3.95 3.85 3.80
10-Year T-Note
4.86 4.50 4.25 4.15 4.10
30-Year T-Bond
5.03 4.70 4.45 4.35 4.30
Real GDP (Yr/Yr)
1.7 1.8 0.4 0.5
Core CPI (Yr/Yr)
2.3 2.1 2.0 1.9

Cur r ent 2007: Q3 2007: Q4 2008: Q1 2008: Q2 2008: Q3
Median 5.25% 5.25% 5.25% 5.25% 5.25% 5.25%
Average 5.24% 5.16% 5.13% 5.10% 5.09%
High Forecast 5.50% 6.00% 6.00% 6.00% 6.25%
Low Forecast 4.25% 3.25% 3.75% 3.50% 3.25%
High/Low Dif f erential 1.25% 2.75% 2.25% 2.50% 3.00%
Feder al Funds Rat e
Cur r ent 2007: Q3 2007: Q4 2008: Q1 2008: Q2 2008: Q3
Median 4.90% 5.10% 5.13% 5.20% 5.26% 5.30%
Average 5.06% 5.09% 5.14% 5.19% 5.27%
High Forecast 5.50% 5.65% 5.90% 6.20% 6.25%
Low Forecast 4.26% 4.14% 4.23% 4.00% 4.00%
High/Low Dif f erential 1.24% 1.51% 1.67% 2.20% 2.25%
10-yr Tr easur y
-20%
0%
20%
40%
60%
80%
100%
120%
140%
2
/
1
/
0
7
2
/
1
6
/
0
7
3
/
3
/
0
7
3
/
1
8
/
0
7
4
/
2
/
0
7
4
/
1
7
/
0
7
5
/
2
/
0
7
5
/
1
7
/
0
7
6
/
1
/
0
7
6
/
1
6
/
0
7
7
/
1
/
0
7
7
/
1
6
/
0
7
7
/
3
1
/
0
7
Prob. of 25bp move on 8/07/07 Prob of 25bp move on 9/18/07
Prob of 25bp move on 10/31/07 Prob of 25bp move on 12/11/07
4.5%
4.6%
4.7%
4.8%
4.9%
5.0%
5.1%
5.2%
5.3%
4
/
1
/
0
7
4
/
8
/
0
7
4
/
1
5
/
0
7
4
/
2
2
/
0
7
4
/
2
9
/
0
7
5
/
6
/
0
7
5
/
1
3
/
0
7
5
/
2
0
/
0
7
5
/
2
7
/
0
7
6
/
3
/
0
7
6
/
1
0
/
0
7
6
/
1
7
/
0
7
6
/
2
4
/
0
7
7
/
1
/
0
7
7
/
8
/
0
7
7
/
1
5
/
0
7
7
/
2
2
/
0
7
7
/
2
9
/
0
7
8
/
5
/
0
7
10yr Tsy Yield
QII 2007 ABCP & MTN Global Market Update
Corporate Bond Supply
34
Historical New Issue Supply
YTD 2007 issuance stands at $536bn, up 14% vs. 2006
Total July issuance was only $35bn, well below the 2006 monthly average
2007 supply has been driven by an increase in share repurchase financing as well as continued M&A activity
After being largely silent over the past few weeks as issuers waited on the sidelines for the volatility to subside, new
issue supply dramatically increased Wednesday with nearly $14bn priced in a variety of tenors from a diverse group of
issuers
We expect new issue supply to be particularly strong in September as issuers and investors become acclimated to a new
spread and liquidity regime
New Issue Supply: 2006 vs. 2007
Commentary
$0bn
$100bn
$200bn
$300bn
$400bn
$500bn
$600bn
$700bn
$800bn
$900bn
$1000bn
2000 2001 2002 2003 2004 2005 2006 2007E
USD New Issue Supply
0
20,000
40,000
60,000
80,000
100,000
120,000
J
a
n
-
0
6
J
a
n
-
0
7
F
e
b
-
0
6
F
e
b
-
0
7
M
a
r
-
0
6
M
a
r
-
0
7
A
p
r
-
0
6
A
p
r
-
0
7
M
a
y
-
0
6
M
a
y
-
0
7
J
u
n
-
0
6
J
u
n
-
0
7
J
u
l
-
0
6
J
u
l
-
0
7
A
u
g
-
0
6
A
u
g
-
0
7
S
e
p
-
0
6
O
c
t
-
0
6
N
o
v
-
0
6
D
e
c
-
0
6
QII 2007 ABCP & MTN Global Market Update
5,250
7,650
18,925
6,900
23,400
4,500 4,500
4,850
8,750
7,750
6,650
1,850
12,550
15,400
9,350
4,750
3,000
4,750
12,500
0
5,000
10,000
15,000
20,000
25,000
Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07 May-07 Jun-07 Jul-07
35
QII 2007 ABCP & MTN Global Market Update
Market Update
Historical US Extendible Note Monthly Issuance
Extendible Note issuance in 2007 started off at a moderate pace, but peaked March May. 2007 YTD issuance is up 21% over 2006 YTD issuance
($, billions)
Average Monthly Issuance
2006 Avg.
= $7.7B
2007 Avg.
= $10.2B
2007 YTD issuance is US$71.1bn, up 21% over YTD 06 issuance
Of late investors are showing a preference for quarterly pay & reset and monthly extension structure. Investors are keen to
lock in the yield differential between 1-month and 3-month LIBOR
Issuers are being forced to accept wider levels than previous offerings as investors are extremely price sensitive and are
chasing yield. Recent Goldman Sachs and Bank of Ireland trades priced wider than prior offerings
Highlight of 2007 has been issuance activity in March. March saw a record high of US$23.4bn in new offerings. Ten issuers
accessed the market throughout the month, taking out over US$23bn in supply at record levels, making it the highest single
month total ever
Market Commentary
QII 2007 ABCP & MTN Global Market Update
US MTN Monthly Market
Increased Volatility and Curve Steepness Structured Note Market 2007 YTD Activity
2007 US MTN 3
rd
Party Issuance
(1)
____________________
(1) Source: Bloomberg. 2007 issuance through 6/29. Institutionally targeted deals for 3
rd
party issuers
(2) MOVE (Merrill Lynch Option Volatility Estimate) is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options
US MTN 3
rd
Party 2006-07 Monthly Volume
(1)
36
8%
6%
16%
3%
7% 27%
32%
Bermudan Callable
CMS/ CMT Linked
Commodity Linked
Equity Linked
Other
Range Accrual
Zero Coupon
50
60
70
80
90
M
O
V
E

I
n
d
e
x
-0.05%
0.05%
0.15%
0.25%
0.35%
C
u
r
v
e

S
t
e
e
p
n
e
s
s

(
b
p
s
)
MOVE Index 10yr Swap Rate - 2yr Swap Rate
J un-06 Aug-06 Oct-06 Dec-06 Feb-07 Apr-07 J un-07
$6.2 billion Structured Notes issued YTD, which surpasses
2006 issuance of $4.8 billion at this point last year
Yield curve has experienced a bear steepening recently as
the rates in 6 month 2 year sector rose in reaction to
strong economic data and higher inflationary data
Volatility surged in June in response to sub-prime worries
Merrill Lynch expects that interest rate volatility will
continue to rise vs average levels seen in 1H07
June demand witnessed in specific structured note sectors:
Lower demand for interest rate linked product as
investors evaluated previously established positions
Consistent demand for equity-linked product
Higher commodity-linked transactions as investors
renewed existing notes that matured in June 2007
$0
$500
$1,000
$1,500
$2,000
2006 Issuance 2007 Issuance
Jan Feb Mar April May June J uly Aug Sept Oct Nov Dec
(2)
Curve Steepening: today and 1-year forward
4.90%
5.10%
5.30%
5.50%
5.70%
Swap Curve on 5/1/07 Swap Curve Today Swap Curve 1 Year Forward
3 mo 6 mo 1 2 3 4 5 6 7 8 9 10
5/1/07 Today 1 Year Forward
10s/2s 13bps 31bps 34bps

Merrill Lynch ABCP Market Presence
$191
$167
$165
$131
$104 $105
$113
$119 $120
$-
$50
$100
$150
$200
2000 2001 2002 2003 2004 2005 2006 QI '07 QII '07
37
Merrill Lynch ABCP Market Presence
US ABCP Market Presence
Merrill Lynch US ABCP Outstandings
ABCP as a % of Merrill Lynch CP Outstandings
Merrill Lynch's $191B in ABCP
outstandings represent 16% of ABCP
market outstandings as of 6/30/07
Merrill Lynch's $191B in ABCP
outstandings for 151 active programs
represent 76% of Merrill Lynch's total
commercial paper outstandings as of
6/30/07
76%
68%
75%
71%
61%
67% 67%
63%
49%
0%
20%
40%
60%
80%
2000 2001 2002 2003 2004 2005 2006 QI '07 QII '07
# of ABCP
Programs:
118 128 120 116 117 136 150 150
____________________
Data as of 6/30/07.
# of ABCP
Programs:
118 128 120 116 117 136 150 150 151
($B)
151
($B)
$62
$66
$114
$135
$150
$152
$170
$191
$-
$50
$100
$150
$200
B
ML LEH JPMC CITI GS MS BAS CS
38
US ABCP Market Presence
ML US ABCP Programs by Asset Type
Estimated Dealer US ABCP Outstandings
Number of US ABCP Programs
Total Programs' US ABCP Outstandings
$241
$251
$449
$469
$533
$560
$658
$727
$-
$200
$400
$600
$800
B
ML LEH CITI JPMC GS MS CS BAS
150
125
125
102
91
95
64
56
0 50 100 150
Credit Suisse
Bank of America
JPMChase
Morgan Stanley
Goldman Sachs
Citigroup
Lehman Brothers
Merrill Lynch
Merrill Lynch ABCP Market Presence
____________________
Data as of 6/30/07.

# of Programs Outstandings ($B)
Receivables 66 $94
Securities 24 $24
Repo/TRS Sec Arb 10 $27
Loans/Leases 12 $10
CDOs 12 $15
SIVs 25 $17
Other 2 $4
Total 151 $191

Appendix
Active US ABCP Programs
39
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
ABN AMRO Bank N.V. Abel / Tasman Funding Receivables, Securities $11,000 m A-1+/P-1
ABN AMRO Bank N.V. Amstel Funding Corp. Receivables, Loans $40,000 s A-1+/P-1
ABN AMRO Bank N.V. Amsterdam Funding Corp. Receivables $12,000 m A-1/P-1
ABN AMRO Bank N.V. Grand Funding Corp. II Receivables, Loans $3,000 s A-2/P-2
ABN AMRO Bank N.V. Nightwatch Funding LLC Receivables $5,000 m A-1+/P-1
ABN AMRO Bank N.V. North Sea Funding, LLC Securities $10,000 x A-1+/P-1
ABN AMRO Bank N.V. Orchid Funding Corporation Receivables $2,000 m P-1/F1
ABN AMRO Bank N.V. Tulip Funding Corp. Receivables $15,000 m A-1+/P-1
ABN AMRO Bank N.V. Windmill Funding Corp. Receivables $10,000 m A-1+/P-1
AEGON N.V. Transamerica Asset Funding Corp. .Funding Agreements $2,000 s A-1+/P-1
AEGON N.V. Transamerica Secured Liquidity Notes Corporation .Funding Agreements $3,000 s A-1+/P-1
AEGON N.V. Visionary Funding LLC .Funding Agreements $1,500 s A-1+/P-1
AIG Capital Management Nightingale Finance LLC Securities -SIV $20,000 x A-1+/P-1
AIG Financial Products Cimmaron CDO $880 x A-1+/P-1
AIG Financial Products Curzon Funding Limited Securities $20,000 x A-1+/P-1
AIG Financial Products Nyala Funding LLC Loans $5,000 s A-1+/P-1
Aladdin Capital Management Altius I Funding, Ltd. CDO $1,416 x A-1+/P-1
Aladdin Capital Management Citius I Funding Ltd. CDO $1,800 x A-1+/P-1
Aladdin Capital Management Citius II Funding LLC CDO $1,800 x A-1+/P-1
Aladdin Capital Management Ottimo Funding Ltd Securities (MBS) $3,000 s A-1+/P-1
American Home Mortgage Investment Corp Broadhollow Funding, LLC Loans, Mortgages $3,250 s A-1+/P-1
ANZ Bank Coast Asset Corp. Receivables $5,000 m A-1/P-1
Avendis Financial Services Golden Key U.S. LLC Securities - "SIV-Lite" $1,500 x A-1+/P-1
Axon Financial Services Axon Financial Funding LLC Securities -SIV $20,000 x A-1+/P-1/F1+
Banco Santander Central Hispano Altamira Funding LLC Receivables $2,000 m A-1/P-1
Banco Santander Central Hispano Cantabric Financing PLC Receivables $8,945 m A-1/P-1
Bank Hapoalim Venus Funding Corp. Receivables, loans $5,000 m P-1/F1
Bank Hapoalim Voyager Funding Corp. Loans, Mortgage (Comm) $1,000 m A-1/F1
Bank of America Aquifer Funding LLC Securities $6,000 x A-1+/P-1

____________________
Data as of 6/30/07.
40
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Bank of America Hatteras Funding Corp. Leases, corporate $338 m A-1/P-1
Bank of America Kitty Hawk Funding Corp. Receivables $15,000 m A-1+/P-1/F1+
Bank of America Long Lane Master Trust IV Securities $4,950 x A-1/P-1
Bank of America Perry Funding Corporation Securities $1,000 x A-1+/P-1/F1+
Bank of America Perry Funding Corporation III Securities $1,000 x A-1+/P-1/F1+
Bank of America Perry Global Funding Ltd Securities $5,000 x A-1+/P-1/F1+
Bank of America Ranger Funding Company Receivables $33,000 m A-1+/P-1/F1+
Bank of America Ticonderoga Master Funding Ltd Securities $20,000 x A-1+/P-1
Bank of America Yorktown Capital LLC Receivables $22,000 m A-1+/P-1/F1+
Bank of New York Old Slip Funding Corporation Securities $5,000 x A-1+/P-1
Bank of Tokyo-Mitsubishi UFJ Albion Capital Corporation S.A. Receivables $2,000 m P-1/F1
Bank of Tokyo-Mitsubishi UFJ Gotham Funding Corp. Receivables $10,000 m A-1/P-1/F1
Bank of Tokyo-Mitsubishi UFJ Victory Receivables Corp. Receivables $10,000 m A-1/P-1/F1
Barclays Bank Sheffield Receivables Corp. Receivables $30,000 m A-1+/P-1
Barclays Bank Stratford Receivables Company LLC Receivables $20,000 m A-1+/P-1
Barclays Bank Surrey Funding Corp. Securities $6,000 x A-1+/P-1
Bayerische Landesbank, New York Branch Giro Balanced Funding Corp. Receivables, Securities $12,500 m A-1/P-1/F1
Bayerische Landesbank, New York Branch Giro Lion Funding LLC Receivables N/A x A-1/P-1/F1
Bayerische Landesbank, New York Branch Giro Funding U.S. Corp. Securities $8,500 x A-1/P-1/F1+
Bear Stearns High Grade Structured Credit CDO CDO $3,240 x A-1+/P-1
Bear Stearns Klio I Funding Corp. CDO $5,000 x A-1+/P-1
Bear Stearns Klio II Funding Corp. CDO $5,000 x A-1+/P-1
Bear Stearns Klio III Funding Corp. CDO $5,000 x A-1+/P-1
Bear Stearns Liquid Funding, Ltd. Securities (Mkt. Value) $10,000 x P-1/F1
Bear Stearns Master Funding LLC Securities $5,000 x A-1+/P-1
Black Diamond Capital Mgmt. LLC Black Diamond USA Funding Corp. Securities $400 x A-1/F1
BMO Capital Markets Fairway Finance Company, LLC Receivables, Securities $15,000 m A-1/P-1
BMO Nesbitt Burns Links Finance Corp. Securities -SIV $20,000 x A-1+/P-1
BMO Nesbitt Burns Parkland Finance Co. Securities -SIV $3,000 x A-1+/P-1

____________________
Data as of 6/30/07.
41
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
BNP Paribas Matchpoint Finance plc Receivables, Securities $6,000 m A-1/P-1
BNP Paribas Starbird Funding Corp. Receivables, Securities $15,000 m A-1/P-1
BSN Capital Partners Chesham Finance Limited Securities, Repos $25,000 xm A-1+/P-1
BSN Capital Partners Ebury Finance LLC Securities, Repos $30,000 xm A-1/P-1
BSN Capital Partners Halkin Funding LLC Securities, Repos $20,000 xm A-1/P-1
Bunge Ltd. Bunge Asset Funding Corp. Leases (intracompany) $600 s A-1/P-1
Cairn Financial Products Cairn High Grade Funding I Securities - "SIV-Lite" $1,606 x A-1+/P-1
Calyon Atlantic Asset Securitization Corp. Receivables $8,000 m A-1/P-1/F1
Calyon Classic LLC Securities (MBS) $10,000 x A-1+/P-1/F1+
Calyon La Fayette Asset Securitization LLC Receivables $4,000 m A-1/P-1/F1
Cambridge Place Investment Mgmt LLP Old Court Funding LLC Securities $5,000 x A-1/P-1
Capital One Capital One Multi-Asset Execution Trust (Nova Notes) CC Receivables $3,000 s A-1+/P-1/F1+
Ceres Capital Berkeley Square Finance LLC Securities, Repos $20,000 xm A-1/P-1
Ceres Capital Mica Funding LLC Securities, TRS $20,000 xm A-1/P-1
Ceres Capital Stanfield Victoria Finance Securities -SIV $10,000 x A-1+/P-1
CTX Mortgage Company Harwood Street Funding I, LLC Loans, Mortgages $3,000 s A-1+/P-1
Cheyne Capital Management Cheyne Capital CDO $485 x A-1+/P-1
Cheyne Capital Management Cheyne Finance LLC Securities -SIV $10,000 x A-1+/P-1
Church Tavern Advisors, LLC Millstone Funding Corp. CDO $880 x A-1+/P-1/F1+
Church Tavern Advisors, LLC Saturn II CDO $289 x A-1+/P-1
Citicorp Credit Services, Inc. Dakota CP Notes Program CC Receivables $15,000 s A-1/P-1/F1
Citicorp North America, Inc. (CNAI) APRECO, LLC Receivables $3,000 m A-1+/P-1/F1+
Citicorp North America, Inc. (CNAI) CAFCO, LLC Receivables $20,000 m A-1+/P-1/F1+
Citicorp North America, Inc. (CNAI) CHARTA, LLC Receivables N/A m A-1/P-1
Citicorp North America, Inc. (CNAI) CIESCO, LLC Receivables $20,000 m A-1+/P-1/F1+
Citicorp North America, Inc. (CNAI) Corporate Asset Sec. Australia Ltd. Receivables $6,000 m A-1+/F1+
Citicorp North America, Inc. (CNAI) CRC Funding, LLC Receivables N/A m A-1+/P-1/F1+
Citicorp North America, Inc. (CNAI) Eureka Securitization Inc. Receivables $10,000 m A-1+/P-1/F1+
Citicorp North America, Inc. (CNAI) Govco Inc. Loans, Gov't Guaranteed $8,000 m A-1+/P-1


____________________
Data as of 6/30/07.
42
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Citicorp North America, Inc. (CNAI) Grenadier Funding Ltd CDO $1,500 x A-1+/P-1/F1+
Citicorp North America, Inc. (CNAI) Panterra Funding LLC Receivables $4,000 m P-1/F1
Citicorp North America, Inc. (CNAI) Zenith Funding Ltd. CDO $1,346 x A-1+/P-1
Citigroup Alternative Investments Beta Finance Corp. Securities -SIV $30,000 x A-1+/P-1/F1+
Citigroup Alternative Investments CC USA Inc. (Centauri) Securities -SIV $10,000 x A-1+/P-1
Citigroup Alternative Investments Dorada Corp. Securities -SIV $15,000 x A-1+/P-1
Citigroup Alternative Investments Five Finance Corp. Securities -SIV $5,000 x A-1+/P-1/F1+
Citigroup Alternative Investments Sedna Finance Corp. Securities -SIV $5,000 x A-1+/P-1/F1+
Citigroup Alternative Investments Vetra Finance Inc. Securities -SIV $10,000 x A-1+/P-1/F1+
Citigroup Alternative Investments Zela Finance Inc. Securities -SIV $10,000 x A-1+/P-1
Clinton Group, Inc Adirondack 2005-1 CDO $1,070 x A-1+/P-1
Clinton Group, Inc Adirondack 2005-2 CDO $1,360 x A-1+/P-1
Commerzbank A.G. Four Winds Funding Corp. Receivables, Loans, securities $10,000 m A-1/P-1/F1
Commerzbank A.G. Kaiserplatz Funding Corp. Receivables, ABS, Others $5,000 m A-1/P-1
Commerzbank A.G. Kaiserplatz Funding Delaware Receivables, ABS $10,000 m A-1/P-1
Compass Bank Sunbelt Funding Corp. Securities $2,000 x P-1/F1
Coop. Assn. Tractor Dealers Coop. Assn. Tractor Dealers - B Loans, Dealer $1,200 m A-1/F1
Coop. Assn. Tractor Dealers Dealers Capital Access Trust Loans, Dealer $900 m A-1/F1
Countrywide Home Loans Inc. Park Granada LLC Loans, Mortgages $20,554 s A-1+/P-1
Countrywide Home Loans Inc. Park Sienna LLC Loans, Mortgages $10,148 s A-1+/P-1
Credit Suisse Alpine Securitization Corp. Receivables $9,290 m A-1+/P-1
Credit Suisse CCN Bluegrass CDO $250 x A-1+/P-1/F1+
Credit Suisse CCN Independence IV LLC CDO $240 x A-1+/P-1/F1+
Credit Suisse CCN Orchard Park CDO $240 x A-1+/P-1/F1+
DaimlerChrysler DaimlerChrysler Revolving Auto Conduit LLC Loans, Auto $6,200 s A-1+/P-1
Danske Bank A/S Polonius Inc. Securities $5,000 x A-1/P-1
Declaration Management & Research Kent Funding CDO $900 x A-1+/P-1
Deerfield Capital Management Buckingham I CDO CDO $900 x A-1+/P-1
Deerfield Capital Management Buckingham II CDO CDO $1,170 x A-1+/P-1

____________________
Data as of 6/30/07.
43
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Deerfield Capital Management NorthLake CDO I CDO $174 x A-1+/P-1/F1
Delaware Investments Margate Funding I CDO $500 x A-1+/P-1
Deutsche Bank, A.G. Bills Securitization Ltd. Loans, Promissory Notes $3,600 m A-1+/P-1/F1+
Deutsche Bank, A.G. Descartes Funding Trust CDO $1,200 x A-1+/P-1
Deutsche Bank, A.G. Rheingold Securitisation Receivables $10,000 m A-1+/P-1
Deutsche Bank, A.G. Rheinmain Securitization Ltd. Receivables $15,000 m A-1+/P-1
Deutsche Bank, A.G. Tucson Funding LLC Receivables $4,000 m A-1/P-1
Deutsche Bank, A.G. Aspen Funding Corp. Securities, Repos $5,000 xm A-1+/P-1/F1+
Deutsche Bank, A.G. Cable Beach Ltd CDO $350 x A-1+/P-1
Deutsche Bank, A.G. Gemini Securitization Receivables $15,000 m A-1+/P-1
Deutsche Bank, A.G. LEAFs LLC CDO (CMBS) $2,000 x A-1+/P-1
Deutsche Bank, A.G. Newport Funding Corp. Receivables, Securities $5,000 m A-1+/P-1/F1+
Deutsche Bank, A.G. STRIPs LLC CDO (CMBS) $290 x A-1+/P-1
Discover Bank Newcastle Certificates CC Receivables $8,000 s A-1+/P-1
Dollar Rent-A-Car Dollar Thrifty Funding Corp. Leases, Auto $640 s A-1/P-1/F1
Dresdner Kleinwort Bach Funding Company, LLC Securities, Repos/TRS $20,000 xm A-1/P-1
Dresdner Kleinwort Beethoven Funding Receivables $15,000 m A-1/P-1
Dresdner Kleinwort Brahms Funding Corp. Securities, TRS $15,000 xm A-1/P-1
Dresdner Kleinwort K2 Corp. Securities -SIV $15,000 x A-1+/P-1
Dresdner Kleinwort Silver Tower US Funding LLC Receivables $15,000 m A-1/P-1/F1
DZ Bank Autobahn Funding Company LLC Receivables $4,000 m P-1/F1
DZ Bank CORAL Capital LLC Receivables, Securities $10,000 m P-1/F1
Eaton Vance Management EVVLF (USA) LLC Securities -SIV $4,000 x A-1+/P-1
Eiger Capital Ltd Orion Finance Corp Securities -SIV $5,000 x A-1+/P-1
Ellington Management Group Duke VI CDO $656 x A-1+/P-1
EuroHypo A.G. Times Square Funding, LLC Securities, CMBS Loans $5,000 x A-1+/P-1/F1
ExxonMobil Corp. Tiger Peg Capital Corp. Loans, Franchisee $300 s A-1/F1
FIA Card Services, N.A. BA Credit Card Trust CC Receivables $10,317 s A-1+/P-1/F1+
Fifth Third Bank Fountain Square Comm. Funding Corp. MM Loans $4,500 m A-1+/P-1

____________________
Data as of 6/30/07.
44
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Fischer Francis Trees & Watts Commodore 2 CDO $186 x A-1+/P-1/F1
Ford Motor Credit Co. FCAR Owner Trust Loans, Auto $17,000 s A-1+/P-1
Ford Motor Credit Co. Motown Notes Loans, Auto $10,000 s A-1+/P-1/F1+
Fortis Bank Scaldis Capital LLC Receivables, Securities $28,000 m A-1+/P-1/F1+
Friedman, Billings, Ramsey Group, Inc Arlington Funding Co, LLC Loans, Mortgages $5,000 m A-1+/P-1
Friedman, Billings, Ramsey Group, Inc Georgetown Funding Company, LLC Securities $12,000 x A-1+/P-1
GECC Edison Asset Securitization, L.L.C. Receivables $15,441 m A-1+/P-1
Glencore International AG Albis Capital Corporation Receivables $2,000 s A-1+/P-1
GMAC Blue Bell Funding Ltd CDO $1,112 x A-1+/P-1/F1+
GMAC CRE-8 Funding LLC Loans, Mortgage (CMBS) $2,000 s A-1+/P-1
GMAC G-Force CDO 2002-1 CDO $178 x A-1+/P-1/F1+
GMAC G-Star 2002-2 CDO $220 x A-1+/P-1/F1+
GMAC G-Star SF CDO CDO $162 x A-1+/P-1/F1+
GMAC New Center Asset Trust Loans, Auto $18,300 s A-1+/P-1
GMAC ResCap MINT Loans, Mortgage (Res) $25,000 s A-1+/P-1
GMAC ResCap MINT II Loans, Mortgage (Res) $25,000 s A-1+/P-1

HBOS Treasury Services Grampian Funding Ltd. Securities $40,000 x A-1+/P-1
HBOS Treasury Services Landale Funding LLC Securities $15,000 x A-1+/P-1
Highland Capital Management Tierra Alta Funding I CDO $2,200 x A-1+/P-1
HSBC Investment Bank plc Abington Square Funding LLC Receivables $10,000 m A-1/P-1
HSBC Investment Bank plc Asscher Finance Corp Securities -SIV $50,000 x A-1+/P-1
HSBC Investment Bank plc Bryant Park Funding LLC Receivables, ABS $10,000 m A-1/P-1
HSBC Investment Bank plc Cullinan Finance LLC Securities -SIV $50,000 x A-1+/P-1
HSBC Investment Bank plc Regency Markets No. 1 Receivables $20,000 m A-1/P-1
HSBC Investment Bank plc Solitaire Funding Limited Securities $24,000 x A-1+/P-1
HSH Nordbank AG Carrera Capital Finance LLC Securities -SIV $20,000 x A-1+/P-1
Hudson Castle Group, Inc. Belmont Funding LLC Securities $10,000 x A-1/P-1/F1
Hudson Castle Group, Inc. Ebbets Funding LLC Receivables, Securities $20,000 m A-1/P-1

____________________
Data as of 6/30/07.
45
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Hudson Castle Group, Inc. Elysian Funding LLC Receivables $10,000 m F1/R-1
Hudson Castle Group, Inc. Fenway Funding LLC Receivables $15,000 m A-1/P-1
Hudson Castle Group, Inc. Foxboro Funding Ltd. Receivables, Securities $30,000 m A-1/P-1
Hypo Public Finance Bank Morrigan TRR Funding LLC Securities, TRS $25,000 xm A-1/P-1/F1
Hypovereinsbank, A.G. Arabella Funding, Ltd. Receivables $5,000 m A-1/P-1
Hypovereinsbank, A.G. Bavaria TRR Corp. Securities, TRS $30,000 xm A-1/P-1/F1
Hypovereinsbank, A.G. Bavaria Universal Funding Corp. Securities $8,000 x A-1/P-1
Hypovereinsbank, A.G. Maximilian Capital Corp. Receivables, Securities $3,000 m A-1/P-1/F1
ICP Partners Tandem Funding Limited Securities, Repos $20,000 xm A-1/P-1
IKB Rhineland Funding Capital Corp Securities $12,000 x P-1/F1
IndyMac Bank, F.S.B. North Lake Capital Funding Program Loans, Mortgages $4,500 s A-1+/P-1/F1+
ING Bank N.V. Ajax Bambino Funding, Inc. Securities (MBS) $980 x A-1+/P-1
ING Bank N.V. Mane Funding Corp. Securities, Corp. debt, ABS $10,000 x A-1+/P-1
ING Bank N.V. Mont Blanc Capital Corp. Receivables $10,000 m A-1+/P-1
ING Bank N.V. Simba Funding Corp. Loans, Corporate $40,000 s A-1+/P-1
IntesaBCI Romulus Funding Corp. Receivables, Securities $2,000 m A-1/P-1
Iowa Student Loan Liquidity Corp. Iowa Student Loan Liquidity Corp. Loans, Student $100 s A-1+/P-1
IXIS St. Germain Holdings, Ltd. Securities $5,000 x A-1/P-1/F1
IXIS Versailles CDS, LLC Receivables $20,000 m A-1/P-1
JPMChase Chariot Funding LLC Receivables $15,000 m A-1/P-1
JPMChase Falcon Asset Securitization Company LLC Receivables $23,000 m A-1/P-1/F1+
JPMChase Golden Funding Receivables $2,000 m A-1/P-1/F1
JPMChase Ivory Funding Corp. Securities $20,000 x A-1/P-1
JPMChase Jupiter Securitization Corp. Receivables $17,000 m A-1/P-1/F1+
JPMChase Park Avenue Receivables Corp. (PARCO) Receivables $17,000 m A-1/P-1/F1
JPMorgan Chase Bank Yum! Capital LLC Loans, Corporate $110 s A-1/F1
KBC Bank Atomium Funding Corp. Securities $5,000 x A-1+/P-1/F1+
KBC Bank Picaros Funding LLC Securities $5,000 x A-1+/P-1/F1+
KBC Bank Quasar Securitization Receivables $5,000 m A-1+/P-1/F1+

____________________
Data as of 6/30/07.
46
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Key Bank Public Square Funding II LLC Receivables $2,000 m A-1/P-1
KKR Financial Corp. KKR Atlantic Funding Trust Securities (MBS) $5,000 x A-1+/P-1/F1+
KKR Financial Corp. KKR Pacific Funding Trust Securities (MBS) $5,000 x A-1+/P-1/F1+
Landesbank Baden-Wurtemburg Lake Constance Funding Ltd. Securities $19,800 x A-1/P-1
Landesbank Berlin Holding AG Check Point Charlie Inc. Securities $3,000 x P-1/F1+
Lehman Brothers Holdings Inc. Aegis Finance LLC Loans, Mortgages $2,400 s A-1+/P-1
Liberty Hampshire Belford Capital Group, LLC Securities -SIV N/A x A-1/F1
Liberty Hampshire Breeds Hill Capital Company, LLC Receivables N/A m A-1/P-1/F1
Liberty Hampshire Cedar Springs Capital Company, LLC Receivables N/A m A-1/F1
Liberty Hampshire Concord Minutemen Cap. Co. Series A Receivables N/A m A-1/P-1/F1
Liberty Hampshire Concord Minutemen Cap. Co. Series B Receivables N/A m A-1/P-1/F1
Liberty Hampshire Concord Minutemen Cap. Co. Series C Receivables N/A m A-1/P-1/F1
Liberty Hampshire Crown Point Capital Company, LLC Receivables N/A m A-1/P-1/F1
Liberty Hampshire Legacy Capital Company, LLC Receivables N/A m A-1/P-1
Liberty Hampshire Lexington Parker Capital Company, LLC Receivables N/A m A-1/P-1/F1
Liberty Hampshire Liberty Lighthouse Company, LLC Securities -SIV N/A x A-1/F1
Liberty Hampshire Saratoga Springs Capital Securities N/A m A-1/P-1
Liberty Hampshire Valcour Bay Capital Company, LLC Receivables N/A m A-1/P-1/F1
Lloyds TSB Bank Plc Cancara Asset Securitization Receivables, Securities $33,000 m A-1+/P-1
Luminent Mortgage Capital, Inc. Luminent Star Funding Statutory Trust I Securities, Repos $1,000 xm A-1+/P-1
M&I Marshall & Ilsley Waterfront Funding Corp. Securities, Loans $2,000 x A-1/P-1
MBIA Inc. East-Fleet Finance LLC Securities, Repos $20,000 xm A-1/P-1
MBIA Inc. Hudson-Thames Capital LLC Securities -SIV $10,000 x A-1+/P-1/F1+
MBIA Inc. Triple-A 1 Funding Corp. Receivables $5,500 m A-1/P-1
Mellon Bank Three Rivers Funding Corp. Receivables $5,000 m A-1/P-1/F1
Merrill Lynch Liberty Harbour CDO Ltd 2005-1 CDO $1,800 x A-1+/P-1
Merrill Lynch Liberty Harbour II CDO CDO $3,103 x A-1+/P-1
Merrill Lynch Bank USA Deer Valley Funding LLC Securities $5,000 x P-1/F1+
Merrill Lynch Bank USA Zane Funding, LLC Receivables $10,000 m P-1/F1

____________________
Data as of 6/30/07.
47
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Mizuho Holdings Advantage Asset Sec. Corp. Receivables $5,000 m A-1/P-1
Mizuho Holdings Working Capital Management Co. LP Loans, Corporate $5,000 m A-1/P-1/F1
National Australia Bank CentreStar Capital No. 1 LLC Receivables, Securities $10,000 m P-1/F1
National Australia Bank TSL (USA) Inc. Receivables $10,000 m A-1/P-1
Nationstar Mortgage Auburn Funding LLC Loans, Mortgages $2,917 s A-1+/P-1
Nationwide Building Society Cobbler Funding LLC Securities $4,000 x A-1/P-1
Nelnet Inc. Nelnet "SAFE" CP Loans (Student) $5,000 s A-1+/P-1
Newcastle Investment Corp. Newcastle CDO VI CDO $323 x A-1+/P-1/F1+
Newcastle Investment Corp. Newcastle CRE CDO CDO $395 x A-1+/P-1
Newcastle Investment Corp. Windsor Funding Trust Securities (MBS) $2,000 x A-1+/P-1/F1+
NIB Capital Belle Haven ABS CDO 2004-1 CDO $516 x A-2/P-2/F1
Norddeutsche Landesbank Hannover Funding Company LLC Receivables, ABS $5,000 m A-1/P-1
Northcross Capital Anglesea Funding LLC Securities, Repos $20,000 xm A-1/P-1
Ontario Teachers' Pension Plan Cortland Capital Limited Securities -SIV $20,000 x A-1+/P-1
Orbian Corporation Rock Ridge Funding LLC Receivables s NR
Paramax Capital Markets LLC Catapult-PmX Funding LLC Receivables, Securities $10,000 m A-1/P-1
Paramax Capital Markets LLC Davenport-PmX Funding Corp. CDO $700 x A-1+/P-1
Paramax Capital Markets LLC Quatro-PmX Funding Corp. CDO $2,200 x A-1+/P-1
PHH Mortgage Bishops Gate Residential Mortgage Loans, Mortgages $2,451 s A-1/P-1/F1
Phoenix Investment Counsel, Inc. Phoenix-Mistic 2002-1 CDO $500 x A-1+/P-1
PIMCO Laguna ABS CDO Ltd CDO, ABS $632 x A-1+/P-1
PNC Bank, N.A. Market Street Funding Corp. Receivables $9,000 m A-1/P-1
Promontory Asset Finance Company LLC Freedom Park Capital LLC Receivables $2,000 m A-1+/P-1
Protective Life Insurance Co. CPI Funding Corp. Securities (MBS) $450 x A-1+/P-1
QSR Management Ltd. Abacas Investments LLC Securities -SIV $5,000 x A-1+/F1+
Rabobank Nederland Aquinas Funding LLC Securities $3,000 x A-1+/P-1
Rabobank Nederland Atlantis One Funding Corp. Loans, Corporate (CLO) $15,000 s A-1+/P-1/F1+
Rabobank Nederland Atlantis Two Funding Corp. Loans, Corporate (CLO) $500 s P-2/F2
Rabobank Nederland Erasmus Capital Corp. Receivables $5,000 m A-1+/P-1

____________________
Data as of 6/30/07.
48
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Rabobank Nederland Mermaid Funding Corp. Loans, Corporate $1,000 s A-2/P-2/F2
Rabobank Nederland Monument Gardens Funding LLC Securities $10,000 x A-1/P-1
Rabobank Nederland Neptune Funding Corp. Loans, Corporate $6,000 s A-1/F1
Rabobank Nederland Nieuw Amsterdam Receivables Corp. Receivables $8,000 m A-1/P-1/F1
Rabobank Nederland Tango Finance Corp. Securities -SIV $10,000 x A-1+/P-1
Rabobank Nederland Tempo Finance Corporation Securities $10,000 x A-1+/P-1
Rams Home Loans Rams Funding III LLC Loans, Mortgages $6,000 s A-1+/P-1
Rams Home Loans Rams Funding II LLC Loans, Mortgages $5,000 s A-1+/P-1
Rams Home Loans Rams Funding LLC Loans, Mortgages $5,000 s A-1+/P-1
Redwood Trust, Inc. Madrona Residential Funding LLC Loans, Mortgages $500 s A-1+/P-1
Royal Bank of Canada Old Line Funding, LLC Receivables $12,000 m A-1+/P-1/F1+
Royal Bank of Canada Thunder Bay Funding, LLC Receivables $8,000 m A-1/P-1/F1
Royal Bank of Canada White Point Funding Inc. Receivables, Securities $10,000 m A-1/P-1/F1
Royal Bank of Scotland George Street Finance LLC Receivables, securities $10,000 m A-1/P-1
Royal Bank of Scotland Thames Asset Global Securitization No.1 Receivables $30,000 m A-1/P-1
Sachsen LB Group Ormond Quay Funding PLC Securities $31,948 x A-1+/P-1
Sachsen LB Group Sachsen Funding I LLC Securities -SIV $6,550 x A-1+/P-1
Salomon Smith Barney Australia PAV (No.2) Ltd., MBIA (Loy Yang B) Series Loans $150 s A-1+/P-1
Scotia Capital Liberty Street Funding Corp. Receivables $15,000 m A-1/P-1
Societe Generale Antalis US Funding Corp Receivables, Euro $10,000 m A-1+/P-1
Societe Generale Asset One Securitization LLC Loans, ABS, Corporate bonds $4,000 m A-1/F1
Societe Generale Barton Capital LLC Receivables $20,000 m A-1+/P-1
Societe Generale PACE Securities -SIV $20,000 x A-1+/P-1
Societe Generale Austra Corp. Securities $6,000 x A-1+/P-1/F1+
Solent Capital Partners Mainsail II LLC Securities - "SIV-Lite" $4,000 x A-1+/P-1
Standard Chartered Bank Whistlejacket Capital Ltd. Securities -SIV $30,000 x A-1+/P-1
State Street Global Markets LLC Clipper Receivables Company LLC Receivables $12,000 m A-1/P-1
State Street Global Markets LLC Galleon Capital, LLC Receivables $5,000 m A-1/P-1
State Street Global Markets LLC Keel Capital / Spinnaker Capital Pty Limited Securities $2,000 x A-1+/P-1

____________________
Data as of 6/30/07.
49
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
State Street Research & Management Company Fort Point III CDO $880 x A-1+/P-1
State Street Research & Management Company Pinnacle Point Funding CDO $880 x A-1+/P-1
Sumitomo Mitsui Banking Corporation Manhattan Asset Funding Co. LLC Receivables, ABS $5,000 m A-1/P-1
SunTrust Bank Three Pillars Funding Corp. Receivables $12,000 m A-1/P-1
Taylor, Bean, Whitaker Mort Co Ocala Funding LLC Loans, Mortgages $3,448 s A-1+/P-1
Terwin Money Management Athos Funding Corp CDO $1,000 x A-1+/P-1
The Putnam Advisory Group Putnam Str. Prod. CDO 2002-1 CDO $352 x A-1+/P-1
The Putnam Advisory Group Putnam Str. Prod. Funding 03-1 CDO $363 x A-1+/P-1
Thornburg Mortgage, Inc. TMCR Securities (RMBS) $10,000 x P-1/F1+
Trust Company of the West Davis Square Funding I CDO $385 x A-1+/P-1
Trust Company of the West Davis Square Funding II CDO $1,068 x A-1+/P-1
Trust Company of the West Davis Square Funding III CDO $1,000 x A-1+/P-1
Trust Company of the West Davis Square Funding IV CDO $948 x A-1+/P-1
Trust Company of the West Davis Square Funding V CDO $1,740 x A-1+/P-1
Trust Company of the West Davis Square Funding VI CDO $1,200 x A-1+/P-1
U.S. Bank Galaxy Funding Inc. Securities $10,000 x A-1+/P-1/F1+
U.S. Central Federal Credit Union Sandlot Funding LLC Securities $10,000 x A-1+/P-1
UOB Asset Management Raffles Place Funding CDO $900 x A-1+/P-1
Vanderbilt Capital Advisors Lakeside Funding LLC CDO $624 x A-1+/P-1/F1+
Vertical Capital Investment Advisors Grand Central ABS CDO 2003 CDO $183 x A-1+/P-1
Vertical Capital Investment Advisors McKinley Funding Ltd CDO $870 x A-1+/P-1
Vertical Capital Investment Advisors McKinley II Funding Ltd CDO $863 x A-1+/P-1
Wachovia Securities Atlas Capital Funding Corp Securities -SIV $10,000 x A-1+/P-1
Wachovia Securities Duke Funding High Grade CDO $1,540 x A-1+/P-1
Wachovia Securities Variable Funding Capital Company LLC Receivables, ABS $25,000 m A-1+/P-1
Wachovia Securities Witherspoon CDO Funding LLC CDO $602 x A-1+/P-1
Wal-Mart Wal-Mart Funding Corp. Receivables (Acct Payable) $500 s A-1+/P-1
Westdeutsche Landesbank GZ Blue Heron Funding IX CDO $910 x A-1+/P-1/F1+
Westdeutsche Landesbank GZ Blue Heron Funding V CDO $455 x A-1+/P-1/F1+

____________________
Data as of 6/30/07.
50
Active US ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM)
Multi /
Single Ratings
Westdeutsche Landesbank GZ Compass Securitization Corp. Receivables $15,000 m A-1/P-1
Westdeutsche Landesbank GZ Greyhawk Funding Corp. Securities $10,000 x A-1+/P-1/F1+
Westdeutsche Landesbank GZ Harrier Finance Funding Ltd Securities -SIV $20,000 x A-1+/P-1
Westdeutsche Landesbank GZ Kestrel Funding (US) LLC Securities -SIV $50,000 x A-1+/P-1
Westdeutsche Landesbank GZ Paradigm Funding LLC Receivables, ABS $15,000 m A-1/P-1
Westdeutsche Landesbank GZ Whitehawk CDO Funding CDO $870 x A-1+/P-1/F1+
Western Asset Mgmt Co. Sierra Madre Funding (ABS) CDO $945 x A-1+/P-1
Westpac Banking Corp. Sydney Capital Corp. Receivables $5,000 m A-1+/P-1
Wharton Asset Management G Street Finance CDO $1,064 x A-1+/P-1
World Omni Financial Corp. World Omni Vehicle Leasing, Inc. Leases, Auto $1,150 s A-1/P-1
Zions First National Bank Lockhart Funding LLC Securities $6,100 x P-1/F1

____________________
Data as of 6/30/07.
Active Euro ABCP Programs
51
Active Euro ABCP Programs
US ABCP Programs with Euro ABCP Issuance Capability
Sponsor Group Issuer

Sponsor Group Issuer
ABN AMRO Bank N.V. Amstel Funding Corp. Ceres Capital Mica Funding
ABN AMRO Bank N.V. Abel / Tasman Funding Ceres Capital Stanfield Victoria Finance
ABN AMRO Bank N.V. North Sea Funding, LLC Cheyne Capital Management Cheyne Finance LLC
ABN AMRO Bank N.V. Tulip Funding Corp. Citicorp North America, Inc. (CNAI) CIESCO, LLC
ABN AMRO Bank N.V. Windmill Funding Corp. Citicorp North America, Inc. (CNAI) Eureka Securitization Inc.
AIG Financial Products Curzon Funding Limited Citigroup Alternative Investments CC USA Inc. (Centauri)
AIG Financial Products Nightingale Finance LLC Citigroup Alternative Investments Beta Finance Corp.
Avendis Financial Services Golden Key U.S. LLC Citigroup Alternative Investments Dorada Corp.
Axon Financial Services Axon Financial Funding LLC Citigroup Alternative Investments Five Finance Corp.
Banco Santander Central Hispano Altamira Funding LLC Citigroup Alternative Investments Sedna Finance Corp.
Banco Santander Central Hispano Cantabric Financing PLC Citigroup Alternative Investments Vetra Finance Inc.
Bank of America Kitty Hawk Funding Corp. Citigroup Alternative Investments Zela Finance Inc.
Bank of America Perry Global Funding Ltd Commerzbank A.G. Kaiserplatz Funding Corp.
Bank of America Ticonderoga Master Funding Ltd Commerzbank A.G. Kaiserplatz Funding Delaware
Bank of Tokyo-Mitsubishi UFJ Albion Capital Corporation S.A. Credit Suisse Alpine Securitization Corp.
Barclays Bank Sheffield Receivables Corp. Danske Bank A/S Polonius Inc.
Barclays Bank Surrey Funding Corp. Deutsche Bank, A.G. Bills Securitization Ltd.
Bayerische Landesbank, New York Branch Giro Funding U.S. Corp. Deutsche Bank, A.G. Rheingold Securitisation
Bayerische Landesbank, New York Branch Giro Lion Funding U.S. Corp. Deutsche Bank, A.G. Rheinmain Securitization Ltd.
BMO Capital Markets Fairway Finance Corp. Dresdner Kleinwort K2 Corp.
BMO Nesbitt Burns Links Finance Corp. Dresdner Kleinwort Silver Tower US Funding LLC
BMO Nesbitt Burns Parkland Finance Co. DZ Bank CORAL Capital LLC
BNP Paribas Matchpoint Finance plc Eiger Capital Ltd Orion Finance Corp
BSN Capital Partners Chesham Finance Limited Fortis Bank Scaldis Capital LLC
BSN Capital Partners Ebury Finance LLC
BSN Capital Partners Halkin Funding LLC HBOS Treasury Services Grampian Funding Ltd.
Cairn Financial Products Cairn High Grade Funding I HBOS Treasury Services Landale Funding LLC
Cambridge Place Investment Mgmt LLP Old Court Funding LLC HSBC Investment Bank plc Asscher Finance Corp
Ceres Capital Berkeley Square Finance LLC HSBC Investment Bank plc Cullinan Finance LLC

____________________
Data as of 6/30/07.
52
Active Euro ABCP Programs
US ABCP Programs with Euro ABCP Issuance Capability
Sponsor Group Issuer

Sponsor Group Issuer
HSBC Investment Bank plc Regency Markets No. 1
Norddeutsche Landesbank Hannover Funding Company LLC
HSBC Investment Bank plc Solitaire Funding Limited
Northcross Capital Anglesea Funding LLC
HSH Nordbank AG Carrera Capital Finance LLC
Ontario Teachers' Pension Plan Cortland Capital Limited
Hudson Castle Group, Inc. Ebbets Funding LLC
QSR Management Ltd. Abacas Investments LLC
Hudson Castle Group, Inc. Foxboro Funding Ltd.
Rabobank Nederland Erasmus Capital Corp.
ICP Partners Tandem Funding Limited

Rabobank Nederland Tango Finance Corp.
IKB Rhineland Funding Capital Corp

Rabobank Nederland Tempo Finance Corporation
ING Bank N.V. Ajax Bambino Funding, Inc.

Royal Bank of Scotland Thames Asset Global Securitization No.1
ING Bank N.V. Mane Funding Corp.

Sachsen LB Group Ormond Quay Funding PLC
ING Bank N.V. Mont Blanc Capital Corp.

Sachsen LB Group Sachsen Funding I LLC
ING Bank N.V. Simba Funding Corp.

Salomon Smith Barney Australia PAV (No.2) Ltd., MBIA (Loy Yang B) Series
IntesaBCI Romulus Funding Corp.

Societe Generale Antalis US Funding Corp
IXIS Versailles CDS, LLC

Societe Generale Austra Corp.
JPMChase Chariot Funding LLC

Societe Generale PACE
JPMChase Ivory Funding Corp.

Solent Capital Partners Mainsail II LLC
JPMChase Jupiter Securitization Corp.

Standard Chartered Bank Whistlejacket Capital Ltd.
KBC Bank Picaros Funding LLC

Standard Chartered Bank White Pine Finance LLC
KBC Bank Quasar Securitization

State Street Global Markets LLC Galleon Capital, LLC
Landesbank Baden-Wurtemburg Lake Constance Funding Ltd.

Westdeutsche Landesbank GZ Compass Securitization Corp.
Landesbank Berlin Holding AG Check Point Charlie Inc.

Westdeutsche Landesbank GZ Harrier Finance Funding Ltd
Liberty Hampshire Breeds Hill Capital Company, LLC

Westdeutsche Landesbank GZ Kestrel Funding (US) LLC
Liberty Hampshire Cedar Springs Capital Company, LLC


Liberty Hampshire Concord Minutemen Cap. Co. Series C


Liberty Hampshire Lexington Parker Capital Company, LLC


Lloyds TSB Bank Plc Cancara Asset Securitization

MBIA Inc. East-Fleet Finance LLC

MBIA Inc. Hudson-Thames Capital LLC

Nationwide Building Society Cobbler Funding LLC

ICP Partners Tandem Funding Limited

____________________
Data as of 6/30/07.
53
Active Euro ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM) Ratings
ABN AMRO Bank N.V. Abel / Tasman Funding Receivables, Securities $11,000 A-1+/P-1
ABN AMRO Bank N.V. Amstel Funding Corp. Receivables, Loans $40,000 A-1+/P-1
ABN AMRO Bank N.V. North Sea Funding, Ltd. Securities $10,000 A-1+/P-1
ABN AMRO Bank N.V. Tulip Funding Corp. Receivables $15,000 A-1+/P-1
AIG Financial Products Curzon Funding Ltd. Securities $20,000 A-1+/P-1
AIG Financial Products Nightengale Securities -SIV $20,000 A-1+/P-1
Avendis Financial Services Golden Key Ltd. Securities - "SIV-Lite" $1,500 A-1+/P-1
Axon Financial Services Axon Financial Funding LLC Securities SIV $20,000 A-1+/P-1/F1+
Banco Santander Central Hispano Altamira Funding Ltd. Receivables $2,000 A-1/P-1
Banco Santander Central Hispano Cantabric Financing PLC Receivables $8,945 A-1/P-1
Bank of America Kitty Hawk Funding Corp. Receivables $15,000 A-1+/P-1/F1+
Bank of America Indomitable Funding Ltd Securities $10,000 A-1+/P-1
Bank of America Perry Global Funding Ltd Securities $5,000 A-1+/P-1/F1+
Bank of America Ticonderoga Master Funding Ltd Securities $20,000 A-1+/P-1
Bank of Nova Scotia Stiga plc Receivables $5,000 A-1+/NR/F1+
Bank of Tokyo-Mitsubishi UFJ Albion Capital Corporation S.A. Receivables $2,000 P-1/F1
Barclays Bank Sheffield Receivables Corp. Receivables $30,000 A-1+/P-1
Barclays Bank Surrey Funding Corp. Securities $6,000 A-1+/P-1
Bayerische Hypo-Und Vereinsbank AG Salome Funding Ltd. Receivables $5,000 P-1/F1
Bayerische Landesbank Giro Funding U.S. Corp. Securities $8,500 A-1/P-1/F1+
Bayerische Landesbank Giro Lion Funding Ltd. Receivables $4,000 A-1+/P-1
BMO Nesbitt Burns Links Finance Corp. Securities -SIV $20,000 A-1+/P-1
BMO Nesbitt Burns Parkland Finance Co. Securities -SIV $3,000 A-1+/P-1
BMO Capital Markets Fairway Finance Corp Receivables, Securities $15,000 A-1/P-1
BNP Paribas Matchpoint Finance PLC Receivables, Securities $6,000 A-1/P-1
BSN Capital Partners Chesham Finance Ltd. Securities, Repos $25,000 A-1+/P-1
BSN Capital Partners Ebury Finance Ltd. Securities, Repos $30,000 A-1/P-1
BSN Capital Partners Halkin Funding Ltd. Securities, Repos $20,000 A-1/P-1
Cairn Financial Products Cairn High Grade Funding I Securities - "SIV-Lite" $1,606 A-1+/P-1

____________________
Data as of 6/30/07.
54
Active Euro ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM) Ratings
Calyon Euro Sovereign Funding SA Loans $5,000 A-+/P-1
Calyon LMA SA Receivables $5,000 A-1/P-1
Calyon MTF Securities Ltd. Loans, Auto $500 A-1+/P-1
Cambridge Place Investment Mgmt LLP Old Court Funding LLC Securities $5,000 A-1/P-1
Ceres Capital Berkeley Square Finance LLC Securities, Repos $20,000 A-1/P-1
Ceres Capital Mica Funding LLC Securities, TRS $20,000 A-1/P-1
Ceres Capital Stanfield Victoria Finance Securities SIV $10,000 A-1+/P-1
Cheyne Capital Management Cheyne Finance LLC Securities SIV $10,000 A-1+/P-1
Citicorp North America, Inc. (CNAI) CIESCO, LLC Receivables $20,000 A-1+/P-1/F1+
Citicorp North America, Inc. (CNAI) Eureka Securitization Inc. Receivables $10,000 A-1+/P-1/F1+
Citigroup Alternative Investments Beta Finance Corp. Securities SIV $30,000 A-1+/P-1/F1+
Citigroup Alternative Investments CC USA Inc. (Centauri) Securities SIV $10,000 A-1+/P-1
Citigroup Alternative Investments Dorada Corp. Securities SIV $15,000 A-1+/P-1
Citigroup Alternative Investments Five Finance Corp. Securities -SIV $5,000 A-1+/P-1/F1+
Citigroup Alternative Investments Sedna Finance Corp. Securities -SIV $5,000 A-1+/P-1/F1+
Citigroup Alternative Investments Vetra Finance Inc. Securities -SIV $10,000 A-1+/P-1/F1+
Citigroup Alternative Investments Zela Finance Inc. Securities SIV $10,000 A-1+/P-1
Colonial First State Wholesale Geared Share Fund Colonial First State Investments Securities $1,000 A-1/P-1
Commerzbank A.G. Kaiserplatz Funding Corp. Receivables, ABS, Others $5,000 A-1/P-1
Commerzbank A.G. Kaiserplatz Funding Delaware Receivables, ABS $10,000 A-1/P-1
Credit Suisse Alpine Securitization Corp. Receivables $9,290 A-1+/P-1
Delphi Compagnie Financiere Viking Asset Securitisation Ltd Receivables $2,000 A-1/P-1
Danske Bank A/S Polonius Inc. Securities $5,000 A-1/P-1
Deutsche Bank, A.G. Bills Securitization Ltd. Loans, Promissory Notes $3,600 A-1+/P-1/F1+
Deutsche Bank, A.G. Rheingold Securitisation Receivables $4,473 A-1+/P-1
Deutsche Bank, A.G. Rheinmain Securitization Ltd. Receivables $9,584 A-1+/P-1
Dresdner Kleinwort K2 Corp. Securities -SIV $15,000 A-1+/P-1
Dresdner Kleinwort Silver Tower Funding Ltd Receivables $15,000 A-1/P-1/F1
DZ Bank CORAL Capital Ltd Receivables, Securities $10,000 P-1/F1

____________________
Data as of 6/30/07.
55
Active Euro ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM) Ratings
Eiger Capital Ltd Orion Finance Corp Securities -SIV $5,000 A-1+/P-1
Fortis Bank Scaldis Capital Ltd. Receivables, Securities $28,000 A-1+/P-1/F1+
Fortress Investment Group German Residential Funding PLC Securities $1,700 A-1+/P-1

HBOS Treasury Services Grampian Funding Ltd. Securities $40,000 A-1+/P-1
HBOS Treasury Services Landale Funding Ltd. Securities $15,000 A-1+/P-1
HSBC Investment Bank plc Asscher Finance Corp Securities -SIV $50,000 A-1+/P-1
HSBC Investment Bank plc Cullinan Finance Ltd. Securities -SIV $25,000 A-1+/P-1
HSBC Investment Bank plc Regency Assets Ltd. Receivables $20,000 A-1/P-1
HSBC Investment Bank plc Solitaire Funding Ltd. Securities $24,000 A-1+/P-1
HSH Nordbank AG Carrera Capital Finance Ltd. Securities -SIV $20,000 A-1+/P-1
HSH Nordbank AG Poseidon Funding Ltd. Receivables, Securities $5,000 A-1/P-1
Hudson Castle Group, Inc. Ebbets Funding Ltd. Receivables, Securities $20,000 A-1/P-1
Hudson Castle Group, Inc. Foxboro Funding Ltd. Receivables, Securities $30,000 A-1/P-1
Hypovereinsbank, A.G. Arabella Funding, Ltd. Receivables $5,000 A-1/P-1
ICP Partners Tandem Funding Limited Securities, Repos $20,000 A-1/P-1
IKB Rhineland Funding Capital Corp Securities $12,000 P-1/F1
ING Bank N.V. Ajax Bambino Funding, Inc. Securities (MBS) $980 A-1+/P-1
ING Bank N.V. Mane Funding Corp. Securities, Corp. debt, ABS $10,000 A-1+/P-1
ING Bank N.V. Mont Blanc Capital Corp. Receivables $10,000 A-1+/P-1
ING Bank N.V. Simba Funding Corp. Loans, Corporate $40,000 A-1+/P-1
IntesaBCI Romulus Funding Corp. Receivables, Securities $2,000 A-1/P-1
IXIS Versailles CDS, Ltd. Receivables $20,000 A-1/P-1
JPMChase Chariot Funding Ltd. Receivables $15,000 A-1/P-1
JPMChase Ivory Funding Corp. Securities $20,000 A-1/P-1
JPMChase Jupiter Securitization Corp. Receivables $17,000 A-1/P-1/F1+
KBC Bank Picaros Funding Ltd. Securities $5,000 A-1+/P-1/F1+
KBC Bank Quasar Securitization Receivables $5,000 A-1+/P-1/F1+
KBC Bank Rosy Blue International SA Receivables $150 P-1/F1+
Landesbank Baden-Wurtemburg Lake Constance Funding Ltd. Securities $19,800 A-1/P-1

____________________
Data as of 6/30/07.
56
Active Euro ABCP Programs
Sponsor Group Issuer Asset
Program Limit
($MM) Ratings
Landesbank Berlin Holding AG Check Point Charlie Inc. Securities $3,000 P-1/F1+
Landesbank Hessen-Thuringen Girozentrale Opusalpha Funding Ltd. Securities $3,000 A-1/P-1
Liberty Hampshire Breeds Hill Capital Company, LLC Receivables N/A A-1/P-1/F1
Liberty Hampshire Cedar Springs Capital Company, Ltd. Receivables N/A A-1/F1
Liberty Hampshire Concord Minutemen Cap. Co. Series A; B; C Receivables N/A A-1/P-1/F1
Liberty Hampshire Lexington Parker Capital Company, Ltd. Receivables N/A A-1/P-1/F1
Lloyds TSB Bank Plc Cancara Asset Securitization Ltd. Receivables, Securities $25,000 A-1+/P-1
MBIA Inc. East-Fleet Finance Ltd. Securities, Repos $20,000 A-1/P-1
MBIA Inc. Hudson-Thames Capital LLC Securities -SIV $10,000 A-1+/P-1/F1+
Nationwide Building Society Cobbler Funding Ltd. Securities $4,000 A-1/P-1
Norddeutsche Landesbank Hannover Funding Company Ltd. Receivables, ABS $5,000 A-1/P-1
Northcross Capital Anglesea Funding Ltd. Securities, Repos $20,000 A-1/P-1
Ontario Teachers' Pension Plan Cortland Capital Limited Securities -SIV $20,000 A-1+/P-1
QSR Management Ltd. Abacas Investments Ltd. Securities -SIV $5,000 A-1+/F1+
Rabobank Nederland Erasmus Capital Corp. Receivables $5,000 A-1+/P-1
Rabobank Nederland Tango Finance Corp. Securities -SIV $10,000 A-1+/P-1
Rabobank Nederland Tempo Finance Ltd Securities $10,000 A-1+/P-1
Royal Bank of Scotland Thames Asset Global Securitization No.1 Receivables $20,000 A-1/P-1
Sachsen LB Group Ormond Quay Funding PLC Securities $31,948 A-1+/P-1
Sachsen LB Group Sachsen Funding I LLC Securities -SIV $6,550 A-1+/P-1
Salomon Smith Barney Australia PAV (No.2) Ltd., MBIA (Loy Yang B) Series Loans $150 A-1+/P-1
Societe Generale Antalis SA Receivables, Euro $10,000 A-1+/P-1
Societe Generale Austra Corp. Securities $6,000 A-1+/P-1/F1+
Societe Generale PACE Securities -SIV $20,000 A-1+/P-1
Solent Capital Partners Mainsail II LLC Securities - "SIV-Lite" $4,000 A-1+/P-1
Standard Chartered Bank Whistlejacket Capital Ltd. Securities -SIV $5,000 A-1+/P-1
Stanfield Global Strategies Stanfield Victoria Finance Securities -SIV $10,000 A-1+/P-1
State Street Global Markets LLC Galleon Capital, Ltd. Receivables $5,000 A-1/P-1
Westdeutsche Landesbank GZ Compass Securitization Corp. Receivables $15,000 A-1/P-1
Westdeutsche Landesbank GZ Harrier Finance Funding Ltd. Securities -SIV $20,000 A-1+/P-1
Westdeutsche Landesbank GZ Kestrel Funding (US) LLC Securities -SIV $50,000 A-1+/P-1
____________________
Data as of 6/30/07.
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