CDOs/CLOs

Morgan Stanley and RFC Securities underwrote a unique revolving CDO structure, Capital Trust RE CDO 2004-1, managed by GMAC Commercial Holding Capital Markets Corp. Priced in May, the $370 million deal was backed by previously issued B-piece and mezzanine tranches of CMBS retained or purchased by GMAC Commercial Mortgage.

When the first extendable ABCP programs began drifting into the multi-seller segment of the market in 2001, issuers attributed it to a liquidity crisis. However, some investors scoff at the notion that the advent of extendable paper has been in response to investor demand. Instead, they claim, the technology is used primarily as a way of bypassing bank liquidity and improving the profitability of the conduits.

Year to date as of 01/06 Term (days) 12/31 01/03 01/04 01/05 01/06 1-week

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 9,949.7 1 14.6 16 JP Morgan 9,270.7 2 13.6 19 Citigroup 8,796.6 3 12.9 15 Wachovia Corp 7,013.2 4 10.3 13 Banc of America Securities LLC 6,877.6 5 10.1 13 Credit Suisse First Boston 5,972.7 6 8.7 13 Morgan Stanley 3,703.6 7 5.4 8 Barclays Capital 3,524.5 8 5.2 9 Bear Stearns & Co Inc 2,456.4 9 3.6 2 Merrill Lynch & Co Inc 2,426.9 10 3.6 4 Industry Total 68,332.4 - 100.0 81 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 15,042.3 1 17.2 33 Wachovia Corp 9,320.6 2 10.7 27 UBS 7,208.1 3 8.2 12 Credit Suisse First Boston 7,102.7 4 8.1 19 Citigroup 7,013.0 5 8.0 27 Morgan Stanley 6,696.4 6 7.7 19 Bear Stearns & Co Inc 5,866.3 7 6.7 21 JP Morgan 4,987.2 8 5.7 13 Deutsche Bank AG 4,964.2 9 5.7 12 Goldman Sachs & Co 4,670.1 10 5.3 9 Industry Total 87,470.6 - 100.0 237 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 16,939.2 1 31.6 29 Citigroup 11,246.2 2 21.0 22 Barclays Capital 4,859.4 3 9.1 16 Lehman Brothers 4,595.5 4 8.6 9 Morgan Stanley 4,357.9 5 8.1 8 Deutsche Bank AG 3,475.1 6 6.5 15 Banc of America Securities LLC 2,668.1 7 5.0 12 Credit Suisse First Boston 2,370.4 8 4.4 9 Merrill Lynch & Co Inc 1,252.2 9 2.3 5 Wachovia Corp 600.0 10 1.1 4 Industry Total 53,677.0 - 100.0 96 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 3,958.0 1 30.8 6 Morgan Stanley 2,250.0 2 17.5 3 Banc of America Securities LLC 2,190.6 3 17.0 4 Merrill Lynch & Co Inc 1,728.6 4 13.4 2 Credit Suisse First Boston 1,058.0 5 8.2 3 JP Morgan 728.6 6 5.7 1 HSBC Holdings PLC 708.0 7 5.5 2 ABN AMRO 250.0 8 1.9 1 Industry Total 12,871.8 - 100.0 11 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 73,882.7 1 13.6 77 Royal Bank of Scotland Group 60,475.7 2 11.2 110 Lehman Brothers 57,232.1 3 10.6 120 Bear Stearns & Co Inc 48,250.5 4 8.9 86 Credit Suisse First Boston 44,937.5 5 8.3 85 Morgan Stanley 42,003.0 6 7.8 78 Deutsche Bank AG 32,149.1 7 5.9 80 Banc of America Securities LLC 31,682.3 8 5.9 81 Citigroup 27,988.4 9 5.2 74 Merrill Lynch & Co Inc 22,694.6 10 4.2 44 Industry Total 541,925.8 - 100.0 984 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 7,623.6 1 16.4 10 Merrill Lynch & Co Inc 5,870.7 2 12.7 8 Deutsche Bank AG 5,239.3 3 11.3 8 Morgan Stanley 4,578.6 4 9.9 8 Credit Suisse First Boston 4,463.9 5 9.6 7 Banc of America Securities LLC 3,982.1 6 8.6 5 JP Morgan 3,881.5 7 8.4 7 UBS 3,806.7 8 8.2 9 Lehman Brothers 2,524.1 9 5.4 4 Goldman Sachs & Co 1,927.1 10 4.2 5 Industry Total 46,399.2 - 100.0 41 Source: Thomson Financial

Year to date as of Jan 5 Coupon Type Market Average Life Buckets Asset Class Volume Pub/144A Fixed Rate Floating Rate Public 144A 0.0 to 0.9 1.0 to 2.9 3.0 to 5.9 6.0 to 7.9 8.0 to 11.0 Aircraft Leases 126 126 126 126 Auto Loans/Recs 41,391 36,622 4,769 35,132 6,259 16,580 18,742 6,069 Comm. Mtg 2,899 1,294 1,605 2,899 1,261 229 829 540 Commercial Loans Corp Bond/Note 3,846 1,696 2,150 3,846 2,569 746 45 485 Corporate Loans 5,352 286 5,066 5,352 2,480 395 370 1,192 914 Credit Card Rec 28,632 10,299 18,333 24,659 3,974 19,334 1,400 5,749 900 1,249 Debentures 2,122 2,122 2,122 2,122 Equip Loans Equip. Leases 4,744 4,469 275 4,164 580 2,293 1,388 554 221 289 Floorplan Recs 8,026 840 7,186 7,902 124 4,014 830 3,182 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 501 331 170 501 501 Non-Jumbo Mtg Ln 68,520 31,864 33,291 65,728 2,793 41,621 14,956 10,760 849 319 Oil Receivables Preferred Sec 3,597 2,268 1,330 3,597 3,253 158 186 Prv Issued Sec 1,852 1,079 380 590 1,262 1,852 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 216,332 125,057 77,504 186,006 30,325 143,388 44,757 25,956 1,606 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 14,838 6,458 8,380 14,838 5,807 2,507 4,928 1,508 Student Loans 30,626 6,957 21,983 25,639 4,986 17,780 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 635 386 250 635 336 300 Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial