CDOs/CLOs

Moody's Investors Service said last week it will begin providing monthly reports on the individual asset exposures by CDO category and vintage within 650 U.S. cash flow transactions issued between 1996 and 2005. While the rating agency is initially tracking the five primary deal types - arbitrage cash flow CBOs, arbitrage cash flow CLOs, emerging market CDOs, investment-grade arbitrage cash flow CBOs and resecuritizations - it intends to add to its list static synthetic CDOs, trust preferred security CDOs and small and middle entity CDOs.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 5,440.0 1 22.5 11 JP Morgan 3,828.6 2 15.8 10 Wachovia Corp 2,286.4 3 9.4 5 Deutsche Bank AG 2,020.4 4 8.3 7 Merrill Lynch & Co Inc 1,847.5 5 7.6 4 Barclays Capital 1,705.7 6 7.0 4 Credit Suisse 1,550.0 7 6.4 3 Royal Bank of Scotland Group 1,479.3 8 6.1 3 Banc of America Securities LLC 1,374.9 9 5.7 1 Bear Stearns & Co Inc 824.9 10 3.4 1 Industry Total 24,229.9 - 100.0 29 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 9,933.7 1 14.4 19 Merrill Lynch & Co Inc 8,676.4 2 12.6 11 Deutsche Bank AG 6,810.1 3 9.9 11 Banc of America Securities LLC 6,806.9 4 9.9 17 UBS 4,779.0 5 6.9 12 Bear Stearns & Co Inc 4,685.3 6 6.8 10 Credit Suisse 4,179.4 7 6.1 7 Morgan Stanley 3,006.3 8 4.4 14 JP Morgan 2,600.9 9 3.8 11 Wachovia Corp 2,557.3 10 3.7 7 Industry Total 69,000.7 - 100.0 142 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 6,149.7 1 27.5 12 Citigroup 5,646.1 2 25.2 9 Banc of America Securities LLC 4,410.0 3 19.7 8 Deutsche Bank AG 2,549.9 4 11.4 7 Morgan Stanley 1,829.0 5 8.2 2 Credit Suisse 625.0 6 2.8 2 Barclays Capital 500.0 7 2.2 1 Lehman Brothers 250.0 8 1.1 1 Wachovia Corp 249.9 9 1.1 1 Royal Bank of Scotland Group 175.0 10 0.8 1 Industry Total 22,384.5 - 100.0 35 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 20,105.2 1 11.3 47 Credit Suisse 18,595.0 2 10.4 37 Morgan Stanley 15,306.7 3 8.6 19 Countrywide Securities Corp 15,001.3 4 8.4 17 Deutsche Bank AG 12,705.6 5 7.1 23 Merrill Lynch & Co Inc 11,781.7 6 6.6 16 Bear Stearns & Co Inc 11,735.6 7 6.6 32 JP Morgan 11,358.4 8 6.4 22 Royal Bank of Scotland Group 11,241.3 9 6.3 16 Citigroup 8,663.0 10 4.9 24 Industry Total 178,665.3 - 100.0 347 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 4,793.6 1 23.1 7 Deutsche Bank AG 2,801.0 2 13.5 3 Credit Suisse 2,466.6 3 11.9 4 Merrill Lynch & Co Inc 2,301.0 4 11.1 2 Banc of America Securities LLC 2,027.7 5 9.8 3 Goldman Sachs & Co 1,803.8 6 8.7 2 Lehman Brothers 1,284.7 7 6.2 1 UBS 998.7 8 4.8 2 Morgan Stanley 768.2 9 3.7 1 SunTrust Banks 382.5 10 1.8 1 Industry Total 20,733.7 - 100.0 15 Source: Thomson Financial

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 72% structured settlements 0% student loan ABS 8% 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 5,077.2 1 22.1 11 JP Morgan 3,956.1 2 17.2 10 Wachovia Corp 2,313.9 3 10.1 4 Deutsche Bank AG 2,020.4 4 8.8 7 Merrill Lynch & Co Inc 1,847.5 5 8.0 4 Barclays Capital 1,725.5 6 7.5 4 Royal Bank of Scotland Group 1,606.8 7 7.0 3 Banc of America Securities LLC 1,374.9 8 6.0 1 Credit Suisse 950.0 9 4.1 2 Bear Stearns & Co Inc 824.9 10 3.6 1 Industry Total 22,969.4 - 100.0 27 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 8,676.4 1 14.0 11 Citigroup 8,319.0 2 13.4 16 Banc of America Securities LLC 6,161.5 3 9.9 16 UBS 4,779.0 4 7.7 12 Deutsche Bank AG 4,716.5 5 7.6 8 Bear Stearns & Co Inc 4,301.6 6 6.9 9 Credit Suisse 3,779.4 7 6.1 6 Morgan Stanley 2,622.5 8 4.2 13 Wachovia Corp 2,557.3 9 4.1 7 Goldman Sachs & Co 2,280.9 10 3.7 4 Industry Total 62,179.5 - 100.0 129 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 6,149.7 1 29.6 12 Citigroup 4,447.1 2 21.4 7 Banc of America Securities LLC 3,973.2 3 19.2 7 Deutsche Bank AG 2,549.9 4 12.3 7 Morgan Stanley 1,829.0 5 8.8 2 Credit Suisse 625.0 6 3.0 2 Barclays Capital 500.0 7 2.4 1 Lehman Brothers 250.0 8 1.2 1 Wachovia Corp 249.9 9 1.2 1 Royal Bank of Scotland Group 175.0 10 0.8 1 Industry Total 20,748.8 - 100.0 32 Source: Thomson Financial