CDOs/CLOs

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 25,021.1 1 16.2 37 Wachovia Corp 19,954.9 2 12.9 36 Citigroup 18,502.7 3 12.0 39 Morgan Stanley 11,615.5 4 7.5 40 Bear Stearns & Co Inc 10,252.7 5 6.6 30 Banc of America Securities LLC 9,853.0 6 6.4 34 Credit Suisse First Boston 9,262.5 7 6.0 20 Deutsche Bank AG 9,151.6 8 5.9 21 JP Morgan 8,483.1 9 5.5 23 UBS 7,171.1 10 4.6 18 Industry Total 154,623.7 - 100.0 360 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 16,690.0 1 25.9 29 Citigroup 12,371.9 2 19.2 28 Barclays Capital 6,988.9 3 10.8 19 Morgan Stanley 6,716.5 4 10.4 8 Deutsche Bank AG 5,051.2 5 7.8 22 Banc of America Securities LLC 4,709.1 6 7.3 17 Lehman Brothers 3,150.0 7 4.9 7 Credit Suisse First Boston 2,450.0 8 3.8 8 ABN AMRO 2,083.2 9 3.2 9 Royal Bank of Scotland Group 1,285.8 10 2.0 5 Industry Total 64,511.6 - 100.0 116 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 2,441.7 1 16.4 4 Deutsche Bank AG 2,418.6 2 16.3 4 Citigroup 1,712.0 3 11.5 2 ABN AMRO 1,643.6 4 11.1 3 Barclays Capital 1,492.5 5 10.1 2 Credit Suisse First Boston 1,243.6 6 8.4 2 Banc of America Securities LLC 750.0 7 5.1 1 Lehman Brothers 725.8 8* 4.9 1 JP Morgan 725.8 8* 4.9 1 HSBC Holdings PLC 566.7 10 3.8 1 Industry Total 14,850.2 - 100.0 14 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 Countrywide Securities Corp 77,304.4 1 11.1 88 Lehman Brothers 70,620.4 2 10.1 139 Bear Stearns & Co Inc 63,683.4 3 9.1 153 Credit Suisse First Boston 61,864.3 4 8.9 129 Royal Bank of Scotland Group 59,231.7 5 8.5 99 Morgan Stanley 47,304.2 6 6.8 60 Deutsche Bank AG 45,592.1 7 6.5 88 Merrill Lynch & Co Inc 39,683.7 8 5.7 59 Citigroup 38,852.0 9 5.6 100 Goldman Sachs & Co 31,607.7 10 4.5 43 Industry Total 698,575.3 - 100.0 1,332 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 13,940.9 1 22.5 18 Deutsche Bank AG 8,103.1 2 13.1 12 Banc of America Securities LLC 6,339.5 3 10.3 10 Merrill Lynch & Co Inc 6,208.7 4 10.0 7 Credit Suisse First Boston 5,376.3 5 8.7 8 Morgan Stanley 4,526.8 6 7.3 5 Goldman Sachs & Co 3,385.9 7 5.5 6 JP Morgan 3,010.4 8 4.9 6 Wachovia Corp 2,809.0 9 4.5 2 Lehman Brothers 2,705.7 10 4.4 3 Industry Total 61,835.9 - 100.0 49 Source: Thomson Financial

auto ABS 15% credit card ABS 9% global MBS 3% real estate ABS 59% student loan ABS 9% other 4%

The newest developments and dramatic growth within the single-name home equity ABS credit default swap market lies behind some of the biggest innovations within the structured finance CDO sector seen this year. These developments not only are responsible for some of the volatility seen of late, but also a new world of innovation. The ABS CDO market - often deemed the "CDO machine" by market participants, has been a huge patron of home equity ABS this year, with collateral portions in more than a few deals topping 80%.

Another record year is set to close in the European ABS market, with some estimates putting the 2005 tally close to the $350 billion mark. While most market players are expecting more growth from certain sectors in the market, the level of growth that has set the pace over the last few years is unlikely to hold.

As 2005 comes to a close, outlooks for the coming year are beginning to trickle out. Although, as of last week, opinions remained limited participants seem to be learning and are predicting that issuance volume remain at least on par with 2005.

The U.S. ABS primary market priced $13 billion last week as the market slowed slightly going into the closing weeks of the year. The calendar was, as usual, dominated by real estate-related deals, but last week it was unusually so, as only one auto deal and two credit card deals made it on the board to mix things up.