CDOs/CLOs

Year to date as of 04/12 Term (days) 04/06 04/07 04/10 04/11 04/12 1-week

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 26.7 11 JP Morgan 3,956.1 2 20.8 10 Deutsche Bank AG 2,020.4 3 10.6 7 Barclays Capital 1,725.5 4 9.1 4 Royal Bank of Scotland Group 1,606.8 5 8.5 3 Merrill Lynch & Co Inc 1,250.0 6 6.6 3 Credit Suisse 950.0 7 5.0 2 Wachovia Corp 939.0 8 4.9 3 Bear Stearns & Co Inc 824.9 9 4.3 1 Goldman Sachs & Co 411.2 10 2.2 1 Industry Total 19,024.6 - 100.0 25 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 17.8 11 Citigroup 6,807.5 2 13.9 14 UBS 4,764.0 3 9.8 11 Banc of America Securities LLC 4,403.4 4 9.0 13 Deutsche Bank AG 4,304.0 5 8.8 7 Credit Suisse 3,621.4 6 7.4 5 Bear Stearns & Co Inc 3,551.6 7 7.3 8 Goldman Sachs & Co 2,280.9 8 4.7 4 Morgan Stanley 2,107.5 9 4.3 11 Wachovia Corp 1,857.3 10 3.8 6 Industry Total 48,866.1 - 100.0 110 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 5,974.7 1 29.8 11 Citigroup 4,447.1 2 22.2 7 Banc of America Securities LLC 3,723.3 3 18.6 6 Deutsche Bank AG 2,300.0 4 11.5 6 Morgan Stanley 1,829.0 5 9.1 2 Credit Suisse 625.0 6 3.1 2 Barclays Capital 500.0 7 2.5 1 Lehman Brothers 250.0 8 1.3 1 Wachovia Corp 249.9 9 1.2 1 Royal Bank of Scotland Group 175.0 10 0.9 1 Industry Total 20,074.0 - 100.0 30 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 Credit Suisse 16,570.0 1 11.0 32 Lehman Brothers 15,130.9 2 10.0 34 Countrywide Securities Corp 15,001.3 3 9.9 17 Morgan Stanley 13,244.8 4 8.8 17 Deutsche Bank AG 11,006.7 5 7.3 19 Bear Stearns & Co Inc 10,364.3 6 6.9 30 Merrill Lynch & Co Inc 10,045.8 7 6.6 13 JP Morgan 9,863.4 8 6.5 15 Royal Bank of Scotland Group 9,348.1 9 6.2 12 Citigroup 8,276.2 10 5.5 23 Industry Total 151,304.3 - 100.0 251 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 2,915.8 1 18.0 4 Deutsche Bank AG 2,801.0 2 17.3 3 Merrill Lynch & Co Inc 2,301.0 3 14.2 2 Banc of America Securities LLC 2,027.7 4 12.5 3 Credit Suisse 1,698.4 5 10.5 3 Lehman Brothers 1,284.7 6 7.9 1 Goldman Sachs & Co 1,255.5 7 7.7 1 UBS 450.4 8 2.8 1 SunTrust Banks 382.5 9 2.4 1 Industry Total 16,222.9 - 100.0 11 Source: Thomson Financial

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 2% real estate ABS 74% structured settlements 0% student loan ABS 7% trade receivables 0%

Citigroup Global Markets grabbed the top slot on the lead managers league table for the first quarter, surging ahead from its ninth place finish in the same period last year, according to data from Thomson Financial. The investment bank underwrote $29 billion in domestic ABS deals through March 31, which was $5 billion more over second-place finisher Credit Suisse, and enough activity to open a comfortable lead ahead of its competitors.

The CLO/CDO and derivatives market has been heating up for well over a year now, with CDO issuance alone hitting $40 billion year to date, nearly half of total volume in 2005, according to Lehman Brothers. While this is exciting news, several market sources warn that too many risk managers lack the know-how to anticipate shaky deal structures and they warn that it might take a credit meltdown to get banks to polish their risk teams.

Dealers are working amongst themselves and with customers to decide if and when the home equity ABS synthetic index should incorporate more than the 20 deals it currently references. Those interested in either creating a new index product or increasing the number of subprime deals included in each series of the ABX.HE index - perhaps to as many as 50 or 100 - say it is necessary to promote correlation trading. But some worry that changing the index too soon after it began trading in mid-January could cause some investors to pull out.