CDOs/CLOs

Net loss rates on securitized prime and subprime auto loans improved dramatically during the second quarter of 2006, thanks to steadily falling unemployment rates and rising values on used cars, according to Moody's Investors Service.

New York Life Investment Management (NYLIM), an asset management firm headquartered in New York, follows a diverse multi-asset class platform in order to maximize returns for its investors.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 8,724.8 1 16.6 17 Citigroup 8,456.9 2 16.1 13 Wachovia Corp 6,422.4 3 12.2 12 Barclays Capital 5,227.8 4 9.9 8 Deutsche Bank AG 5,013.9 5 9.5 11 Royal Bank of Scotland Group 3,644.0 6 6.9 7 Credit Suisse 3,066.3 7 5.8 6 Banc of America Securities LLC 2,736.1 8 5.2 5 HSBC Holdings PLC 2,389.3 9 4.5 3 Merrill Lynch & Co Inc 1,847.5 10 3.5 4 Industry Total 52,629.5 - 100.0 59 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Merrill Lynch & Co Inc 23,876.8 1 12.1 38 Citigroup 23,630.7 2 12.0 40 Deutsche Bank AG 17,915.1 3 9.1 25 Credit Suisse 13,572.0 4 6.9 21 Wachovia Corp 12,578.7 5 6.4 31 Bear Stearns & Co Inc 12,411.6 6 6.3 24 Banc of America Securities LLC 12,209.6 7 6.2 28 Morgan Stanley 11,341.8 8 5.7 38 UBS 9,758.1 9 4.9 42 JP Morgan 9,647.6 10 4.9 25 Industry Total 197,456.0 - 100.0 370 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 LLC 13,158.3 1 27.6 17 Citigroup 9,982.0 2 20.9 15 JP Morgan 8,924.7 3 18.7 20 Deutsche Bank AG 3,424.9 4 7.2 10 Barclays Capital 3,096.8 5 6.5 7 HSBC Holdings PLC 1,999.9 6 4.2 2 Morgan Stanley 1,929.0 7 4.1 3 Credit Suisse 1,800.0 8 3.8 9 ABN AMRO 1,000.0 9* 2.1 5 Merrill Lynch & Co Inc 1,000.0 9* 2.1 4 Industry Total 47,667.4 - 100.0 71 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Deutsche Bank AG 1,750.0 1 21.3 3 ABN AMRO 1,250.0 2* 15.2 2 Lehman Brothers 1,250.0 2* 15.2 2 Royal Bank of Scotland Group 1,000.0 4* 12.2 2 Banc of America Securities LLC 1,000.0 4* 12.2 2 Barclays Capital 855.0 6 10.4 1 JP Morgan 500.0 7 6.1 1 Merrill Lynch & Co Inc 300.0 8* 3.7 1 Citigroup 300.0 8* 3.7 1 Industry Total 8,205.0 - 100.0 7 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 44,451.1 1 11.4 98 Royal Bank of Scotland Group 32,129.5 2 8.3 78 Countrywide Securities Corp 31,733.9 3 8.2 50 Credit Suisse 28,623.6 4 7.4 76 Morgan Stanley 28,257.1 5 7.3 29 Deutsche Bank AG 27,126.7 6 7.0 59 Bear Stearns & Co Inc 23,869.8 7 6.1 72 JP Morgan 23,016.2 8 5.9 52 Citigroup 21,976.2 9 5.6 57 Merrill Lynch & Co Inc 21,122.1 10 5.4 36 Industry Total 389,374.1 - 100.0 745 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 7,390.8 1 16.2 10 Deutsche Bank AG 6,320.7 2 13.8 9 Credit Suisse 4,706.1 3 10.3 8 Lehman Brothers 3,873.7 4 8.5 3 Goldman Sachs & Co 3,809.3 5 8.3 5 Merrill Lynch & Co Inc 3,420.1 6 7.5 3 Banc of America Securities LLC 3,418.5 7 7.5 5 Morgan Stanley 2,928.3 8 6.4 4 Wachovia Corp 2,649.5 9 5.8 2 RBC Capital Markets 1,500.0 10 3.3 2 Industry Total 45,699.4 - 100.0 34 Source: Thomson Financial

auto ABS 10% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 9% trade receivables 1% utilities ABS 0%

Merrill Lynch's decision last week to acquire subprime lender First Franklin Financial Corp. swept yet another investment bank further into the loan origination business - a trend which some are coining as a "paradigm shift" within the maturing subprime mortgage market. The move is expected to provide Merrill - along with the other Wall Street banks that have preceded it - a cheaper and more direct path to reaping proceeds of securitization. Market participants said it might be too soon to predict, however, how that cost savings might alter pricing in the home equity ABS sector.