CDOs/CLOs

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 11.5 98 Countrywide Securities Corp 31,733.9 2 8.2 50 Royal Bank of Scotland Group 31,730.8 3 8.2 77 Credit Suisse 28,331.7 4 7.4 75 Morgan Stanley 28,257.1 5 7.3 29 Deutsche Bank AG 27,095.9 6 7.0 58 Bear Stearns & Co Inc 23,126.6 7 6.0 70 JP Morgan 22,326.1 8 5.8 50 Citigroup 21,209.6 9 5.5 56 Merrill Lynch & Co Inc 21,122.1 10 5.5 36 Industry Total 385,325.1 - 100.0 736 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 17.6 10 Deutsche Bank AG 6,320.7 2 15.0 9 Goldman Sachs & Co 3,809.3 3 9.1 5 Credit Suisse 3,666.6 4 8.7 7 Merrill Lynch & Co Inc 3,420.1 5 8.1 3 Banc of America Securities LLC 3,418.5 6 8.1 5 Morgan Stanley 2,928.3 7 7.0 4 Lehman Brothers 2,834.1 8 6.7 2 Wachovia Corp 1,610.0 9 3.8 1 RBC Capital Markets 1,500.0 10 3.6 2 Industry Total 42,080.8 - 100.0 32 Source: Thomson Financial

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

Nelnet will administer the market's first single-seller ABCP conduit backed by student loan collateral. Credit Suisse structured the $5 billion market value extendable ABCP conduit, called Nelnet Student Asset Funding Extendable CP LLC, which was preparing to come to market last week. Market players in recent months had been predicting the emergence of the first such conduit, as well as the emergence of student loan-backed extendable notes.

Despite numerous calls and anecdotal evidence over recent months to the contrary, CDO investors still do not appear to be asking for much consolation when they buy into a deal run by a first-time manager. The so-called seasoned CDO managers - those who have weathered at least one full credit cycle - have been irritated by the ability of new managers to swoop into the market and price a deal only a couple basis points, if at all, wider than their own. They say investors purchasing bonds from new managers without a discount will regret that decision when making money isn't so easy.

The jury is in. Investors can expect a lower level of consumer bankruptcy filings as a result of the Bankruptcy Abuse Prevention and Consumer Protection Act, which went into effect on Oct. 17. The act constituted the largest reworking of the bankruptcy code since it was enacted in 1978.

General Motors Acceptance Corp. last week locked in the initial $10 billion portion of its three-year, $25 billion asset-backed secured funding facility from Citigroup. The facility came as a term of the April 3 sale of a 51% controlling interest in GMAC by General Motors Corp. to a group of investors led by Cerberus Capital Management - which includes Citi, Aozora Bank and a subsidiary of PNC Financial Services. The closure came while GMAC was roadshowing an auto ABS deal rumored to be between $2 billion and $3 billion.

Wachovia Securities recently announced the hire of Asif Khan, who will join the firm as a managing director in alternative investments and CDO distribution within the structured credit products group.

The Securities and Exchange Commission recently released clarifying guidance on Regulation AB - Item 1122 (ASR, 08/14/06). ABS market participants have since applauded the move, although some have said that the clarifications are highly technical and do not address important issues that are still confounding the industry about Reg-AB implementation. Meanwhile, other market players have highlighted the clarifications that will benefit the asset-backed industry the most.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 6,951.4 1 15.7 15 Wachovia Corp 6,106.4 2 13.8 11 Citigroup 6,027.5 3 13.6 12 Barclays Capital 5,227.8 4 11.8 8 Deutsche Bank AG 4,478.6 5 10.1 10 Banc of America Securities LLC 2,525.9 7 5.7 4 HSBC Holdings PLC 2,389.3 8 5.4 3 Royal Bank of Scotland Group 2,169.3 9 4.9 5 Merrill Lynch & Co Inc 1,847.5 10 4.2 4 Goldman Sachs 1,701.6 6 3.8 3 Industry Total 44,365.3 - 100.0 52 Source: Thomson Financial