CDOs/CLOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 11,469.1 1 25.7 22 Citigroup 8,147.0 2 18.2 20 Barclays Capital 4,891.0 3 10.9 14 Deutsche Bank AG 3,776.7 4 8.5 18 Banc of America Securities LLC 3,133.2 5 7.0 12 Morgan Stanley 3,016.5 6 6.8 5 Credit Suisse First Boston 2,250.0 7 5.0 7 Lehman Brothers 2,000.0 8 4.5 5 ABN AMRO 1,833.2 9 4.1 7 Royal Bank of Scotland Group 1,285.8 10 2.9 5 Industry Total 44,717.5 - 100.0 87 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 18.3 4 Deutsche Bank AG 2,418.6 2 18.1 4 ABN AMRO 1,643.6 3 12.3 3 Barclays Capital 1,492.5 4 11.2 2 Credit Suisse First Boston 1,243.6 5 9.3 2 Banc of America Securities LLC 750.0 6 5.6 1 Lehman Brothers 725.8 7 5.4 1 JP Morgan 725.8 7 5.4 1 HSBC Holdings PLC 566.7 9 4.2 1 Merrill Lynch & Co Inc 375.0 10 2.8 1 Societe Generale 375.0 10 2.8 1 Industry Total 13,350.2 - 100.0 13 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 57,771.1 1 10.6 66 Lehman Brothers 53,802.1 2 9.9 106 Bear Stearns & Co Inc 49,370.6 3 9.1 109 Royal Bank of Scotland Group 48,165.9 4 8.9 78 Credit Suisse First Boston 44,118.0 5 8.1 94 Morgan Stanley 39,074.8 6 7.2 51 Deutsche Bank AG 36,488.5 7 6.7 69 Citigroup 30,782.8 8 5.7 79 Merrill Lynch & Co Inc 29,391.3 9 5.4 46 Banc of America Securities LLC 26,272.9 10 4.8 60 Industry Total 543,819.8 - 100.0 1,080 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 10,698.2 1 23.0 14 Deutsche Bank AG 6,180.8 2 13.3 9 Banc of America Securities LLC 5,330.5 3 11.5 9 Merrill Lynch & Co Inc 4,261.6 4 9.2 4 Morgan Stanley 3,883.6 5 8.3 4 Goldman Sachs & Co 3,386.1 6 7.3 6 Credit Suisse First Boston 3,367.9 7 7.2 5 UBS 2,527.7 8 5.4 5 JP Morgan 2,367.4 9 5.1 5 Lehman Brothers 2,138.5 10 4.6 2 Industry Total 46,562.6 - 100.0 38 Source: Thomson Financial

auto ABS 16% credit card ABS 8% global MBS 4% real estate ABS 59% student loan ABS 9% other 4%

While the tangible effect of actual losses in CDO portfolios due to the presence of Refco Inc. loan and bond collateral is in large part minimal, perhaps the largest losses to be faced within the CDO market stem from what could trigger a turn in investor confidence.

For the past two years, the industry's two winter conference events, Information Management Network's ABS West, and the American Securitization Forum's annual ABS conference have gone toe to toe, with IMN proving the significantly larger draw. The two events have been held as close as one week apart, and many firms, issuers and investors are now choosing to only attend one. For the past two years, the ASF's conference has played second fiddle, luring roughly one-third the audience. This year, however, there appears to be a growing swell of support for ASF 2006.

The announcement that General Motors Corp. is exploring the sale of a controlling stake in its financing arm, General Motors Acceptance Corp., had ABS market participants speculating about the possible impact a sale would have on its outstanding retail auto loan and wholesale dealer floorplan deals. While the main concern surrounds the dealer floorplan ABS, the market will likely not be able to gauge the true impact of the sale until a potential buyer steps forward. Overall, however, the market reaction was one of relief. "This could be a huge positive for GMAC," said one ABS analyst.

U.S. ABS upgrades outpaced downgrades in the third quarter for the first time since 3Q01, according to a report by Moody's Investors Service. accounting for 114 of the 175 ratings actions throughout the quarter, with downgrades dropping off 38% from the previous quarter to finish with 61.

The U.S. ABS primary market played host to $13 billion in new issues last week, as the market came alive again after a series of holiday-interrupted weeks and a mild, early-autumn slowdown. As the market digested news of another quickly forming hurricane and of the possible sale of General Motors Acceptance Corp., a healthy variety of deals hit the board.