CDOs/CLOs

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 16.98 11 JP Morgan Securities Inc. 5,503.0 2 11.757 12 Banc of America Securities LLC 5,059.6 3 10.809 9 Citigroup Global Markets, Inc. 3,342.4 4 7.141 7 Credit Suisse Securities (USA) LLC 3,319.7 5 7.092 6 ABN AMRO Incorporated 2,783.0 6 5.946 5 Merrill Lynch, Pierce, Fenner & Smith Inc 2,726.4 7 5.825 5 Deutsche Bank Securities, Inc. 2,509.2 8 5.361 6 Barclays Capital 2,384.3 9 5.094 5 RBS Greenwich Capital 2,374.5 10 5.073 5 Industry Total 46,807.6 - 100.0 50 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup Global Markets 34,211.9 1 15.4 46 Merrill Lynch 31,645.6 2 14.3 38 Wachovia Securities 16,546.7 3 7.5 28 JPMorgan Securities 14,866.9 4 6.7 25 Banc of America Securities 14,629.0 5 6.6 19 Deutsche Bank Securities 13,609.7 6 6.1 29 Morgan Stanley 13,053.5 7 5.9 61 Bear Stearns 11,721.3 8 5.3 23 UBS 11,148.3 9 5.0 26 Lehman Brothers 10,594.0 10 4.8 23 Industry Total 221,972.5 - 100.0 397 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan Securities 15,980.0 1 27.937 26 Banc of America Securities 11,573.3 2 20.233 21 Citigroup Global Markets 9,165.0 3 16.023 13 Morgan Stanley 5,052.6 4 8.833 8 Credit Suisse 2,721.3 5 4.757 8 Deutsche Bank Securities 2,195.8 6 3.839 10 Barclays Capital 2,175.0 7 3.802 5 RBS Greenwich Capital 2,128.3 8 3.721 3 HSBC Securities 1,750.0 9 3.059 9 Wachovia Securities 1,337.5 10 2.338 4 Industry Total 57,200.3 - 100.0 87 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 22,910.5 1 12.019 24 Merrill Lynch 19,188.39 2 10.066 20 RBS Greenwich Capital 16,382.0 3 8.594 30 Morgan Stanley 16,051.0 4 8.42 18 Lehman Brothers 15,156.9 5 7.951 24 Citigroup Global Markets 14,604.4 6 7.661 19 Bear Stearns 12,237.0 7 6.42 22 JPMorgan Securities 12,021.8 8 6.307 16 Barclays Capital 10,877.2 9 5.706 13 Banc of America Securities 8,140.2 10 4.27 22 Industry Total 190,621.3 - 100.0 240 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 1% auto ABS 11% credit card ABS 12% equipment ABS 1% real estate ABS 67% student loan ABS 8% trade receivables 0% utilities ABS 0%

This is getting to be a habit. The ABS market remained in a resting state for the third week last week, getting little encouragement from gun-shy investors and with the overall credit market getting only slightly more sympathy from the Federal Reserve.

Amid an endless stream of increasingly bad news in the mortgage market, investors have been shorting the ABX index, expecting further deterioration and hedging their positions in the stagnant CDO arena.

Introduction

The mortgage market was beginning to look like ducks in a shooting gallery last week after a devastating amount of bad news. The injured participants, C-BASS, NovaStar Financial, American Home Mortgage Investment Co., HomeBanc, Impac Mortgage Holdings, National City Corp., Luminent Mortgage Capital and Aegis Mortgage Corp., among others, took a beating. Some were more crippled than others.