CDOs/CLOs

auto ABS 9% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 71% structured settlements 0% student loan ABS 9% trade receivables 1%

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,027.5 1 18.4 12 JP Morgan 5,062.5 2 15.4 12 Wachovia Corp 4,683.5 3 14.3 9 Deutsche Bank AG 2,690.2 4 8.2 8 Royal Bank of Scotland Group 2,169.3 5 6.6 5 Banc of America Securities LLC 1,926.4 6 5.9 3 Merrill Lynch & Co Inc 1,847.5 7 5.6 4 Barclays Capital 1,603.4 8 4.9 3 Credit Suisse 1,550.0 9 4.7 3 HSBC Holdings PLC 1,329.2 10 4.1 2 Industry Total 32,834.7 - 100.0 41 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 13,920.3 1 14.2 24 Merrill Lynch & Co Inc 12,695.7 2 13.0 18 Deutsche Bank AG 11,740.1 3 12.0 14 Banc of America Securities LLC 9,548.4 4 9.8 22 Credit Suisse 7,376.2 5 7.5 13 UBS 6,354.0 6 6.5 18 Bear Stearns & Co Inc 5,211.1 7 5.3 11 Wachovia Corp 4,883.6 8 5.0 10 Morgan Stanley 4,590.0 9 4.7 17 Lehman Brothers 4,289.1 10 4.4 8 Industry Total 97,838.8 - 100.0 191 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 8,982.0 1 24.7 13 Banc of America Securities LLC 8,235.0 2 22.7 12 JP Morgan 7,824.7 3 21.5 18 Deutsche Bank AG 2,924.9 4 8.1 8 Barclays Capital 1,900.0 5 5.2 5 Morgan Stanley 1,829.0 6 5.0 2 Credit Suisse 1,375.0 7 3.8 7 ABN AMRO 1,000.0 8 2.8 5 HSBC Holdings PLC 1,000.0 8 2.8 1 Lehman Brothers 425.0 10 1.2 2 Industry Total 36,320.5 - 100.0 55 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 Morgan Stanley 25,669.5 1 9.9 26 Lehman Brothers 25,500.4 2 9.8 61 Royal Bank of Scotland Group 25,262.2 3 9.7 48 Credit Suisse 22,957.6 4 8.8 53 Countrywide Securities Corp 20,442.3 5 7.9 29 Deutsche Bank AG 17,673.8 6 6.8 36 Merrill Lynch & Co Inc 17,216.9 7 6.6 28 Bear Stearns & Co Inc 16,677.1 8 6.4 48 JP Morgan 15,016.5 9 5.8 34 Citigroup 14,214.4 10 5.5 37 Industry Total 260,214.0 - 100.0 469 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 5,994.4 1 18.1 8 Citigroup 4,793.6 2 14.5 7 Merrill Lynch & Co Inc 3,420.1 3 10.3 3 Credit Suisse 3,306.5 4 10.0 6 Goldman Sachs & Co 2,922.9 5 8.8 3 Lehman Brothers 2,834.1 6 8.5 2 Banc of America Securities LLC 2,550.5 7 7.7 4 Morgan Stanley 2,538.2 8 7.7 3 RBC Capital Markets 1,553.0 9 4.7 2 UBS 998.7 10 3.0 2 Industry Total 33,170.4 - 100.0 24 Source: Thomson Financial

auto ABS 9% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 71% structured settlements 0% student loan ABS 9% trade receivables 1%

In a first, Lehman Brothers is acting as an administrator on an asset-backed commercial paper program. More accustomed to acting as a dealer for programs administered by others, the investment bank recently launched Aegis Finance, a partially supported and single-seller vehicle that will issue as much as $2.1 billion in secured liquidity notes (SLNs).

Last week the American Securitization Forum (ASF) expressed support for the revised guidance to complex structured finance transactions. The Office of the Comptroller of the Currency, the Office of Thrift Supervision, the board of governors of the Federal Reserve System, the Federal Deposit Insurance Corp., and the Securities and Exchange Commission issued the revised guidance jointly.

Year-over-year net losses on securitized prime and subprime auto loans fell in the first quarter, reversing recent trends in the underlying loans of auto ABS deals, and hinting at better days ahead for the sector.