CDOs/CLOs

Rev Cred/Home Eq 49% Non-Jumbo Mtg Ln 14% Auto Loans/Recs 10% Credit Card Rec 8% Student Loans 7% Other 13%

Year to date as of 07/01 Term (days) 06/25 06/28 06/29 06/30 07/01 1-week

2004 2003 2002 ABS (Public and 144A) 346,966 276,124 225,491 ABS (Public and 144A excluding CDOs) 318,814 255,960 200,163 ABS (Public Only) 276,578 225,385 179,895 ABS (144A Only) 70,388 50,739 45,596 Non-Agency MBS 139,697 154,346 94,427 Agency MBS 166,272 361,014 216,039 CMBS 35,263 34,479 21,241 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 7,192.8 1 19.7 10 JP Morgan 6,106.3 2 16.8 10 Deutsche Bank AG 5,344.5 3 14.7 9 Wachovia Corp 3,158.9 4 8.7 4 Credit Suisse First Boston 3,120.2 5 8.6 7 Banc of America Securities LLC 3,105.2 6 8.5 6 Barclays Capital 2,355.2 7 6.5 6 Merrill Lynch & Co Inc 2,002.4 8 5.5 3 Goldman Sachs & Co 1,256.2 9 3.5 1 Lehman Brothers 870.7 10 2.4 2 Industry Total 36,454.5 - 100.0 42 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 5,504.0 1 17.3 9 UBS 3,917.0 2 12.3 6 Wachovia Corp 3,117.4 3 9.8 13 Deutsche Bank AG 3,054.2 4 9.6 8 Citigroup 2,590.5 5 8.1 11 Credit Suisse First Boston 1,772.4 6 5.6 4 Bear Stearns & Co Inc 1,549.8 7 4.9 5 Lehman Brothers 1,509.0 8 4.7 7 Morgan Stanley 1,445.8 9 4.5 5 Banc of America Securities LLC 1,391.9 10 4.4 9 Industry Total 31,902.9 - 100.0 88 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 10,541.3 1 38.9 16 Citigroup 4,698.4 2 17.4 10 Lehman Brothers 4,119.2 3 15.2 8 Barclays Capital 2,349.4 4 8.7 6 Deutsche Bank AG 1,324.7 5 4.9 6 Credit Suisse First Boston 1,194.3 6 4.4 4 Banc of America Securities LLC 1,193.0 7 4.4 5 Merrill Lynch & Co Inc 752.2 8 2.8 2 Goldman Sachs & Co 425.0 9 1.6 2 Morgan Stanley 375.0 10 1.4 1 Industry Total 27,072.4 - 100.0 44 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 1,708.0 1 34.0 3 Credit Suisse First Boston 1,058.0 2 21.1 3 HSBC Holdings PLC 708.0 3 14.1 2 Banc of America Securities LLC 632.0 4 12.6 2 Wachovia Corp 420.0 5 8.4 1 Morgan Stanley 250.0 6* 5.0 1 ABN AMRO 250.0 6* 5.0 1 Industry Total 5,026.0 - 100.0 7 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 37,313.8 1 15.3 37 Royal Bank of Scotland Group 27,901.4 2 11.4 52 Lehman Brothers 22,922.0 3 9.4 52 Credit Suisse First Boston 18,429.4 4 7.6 38 Bear Stearns & Co Inc 18,014.3 5 7.4 39 Morgan Stanley 18,011.3 6 7.4 40 Citigroup 15,062.4 7 6.2 45 Deutsche Bank AG 14,827.9 8 6.1 42 Merrill Lynch & Co Inc 13,430.7 9 5.5 27 Banc of America Securities LLC 13,270.3 10 5.4 40 Industry Total 244,227.9 - 100.0 435 Source: Thomson Financial

By in large, savvy market players seem to favor the CDO of home equity bonds over the underlying bonds themselves, given the added structure, mix of issuers and regions, as well as the pick up in absolute yield. While three-year triple-A home equity-focused CDOs are pricing within a few points of comparable HELs -both currently in the mid 30s - the CDOs are indexed off the three-month Libor compared to the one-month Libor, which picks up about 25 basis points on today's curve.

Issuance of home equity line of credit-backed ABS is on a torrid pace halfway through the year - having topped the $10 billion mark last week - and spreads are starting to show the effects of the supply. After having pushed the 20 basis point threshold over Libor, spreads have moved out on recently priced transactions to the mid-20 basis point area over Libor.