CDOs/CLOs

When Citigroup Inc. bought Sears, Roebuck and Co.'s $29 billion credit card portfolio last year, the companies cast the deal very much as a partnership rather than a takeover.

Year to date as of 05/20 Term (days) 05/14 05/17 05/18 05/19 05/20 1-week

2004 2003 2002 ABS (Public and 144A) 274,319 210,151 160,209 ABS (Public and 144A excluding CDOs) 248,506 198,144 142,138 ABS (Public Only) 216,891 173,261 129,149 ABS (144A Only) 57,428 36,890 31,060 Non-Agency MBS 96,552 109,909 72,177 Agency MBS 130,490 295,127 184,331 CMBS 28,332 22,891 17,643 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 5,974.8 1 21.7 7 JP Morgan 4,588.9 2 16.7 7 Deutsche Bank AG 4,467.4 3 16.2 8 Banc of America Securities LLC 3,105.2 4 11.3 6 Credit Suisse First Boston 1,927.0 5 7.0 5 Goldman Sachs & Co 1,256.2 6 4.6 1 Barclays Capital 1,162.0 7 4.2 4 Lehman Brothers 870.7 8 3.2 2 Morgan Stanley 820.1 9 3.0 2 Merrill Lynch & Co Inc 815.0 10 3.0 1 Industry Total 27,503.6 - 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 Merrill Lynch & Co Inc 4,395.8 1 17.0 8 UBS 3,517.0 2 13.6 5 Wachovia Corp 2,682.6 3 10.4 9 Deutsche Bank AG 1,968.7 4 7.6 5 Credit Suisse First Boston 1,772.4 5 6.9 4 Citigroup 1,457.7 6 5.7 8 Banc of America Securities LLC 1,215.9 7 4.7 7 Bear Stearns & Co Inc 1,194.3 8 4.6 4 Royal Bank of Scotland Group 1,005.8 9 3.9 3 BNP Paribas SA 919.5 10 3.6 1 Industry Total 25,813.1 - 100.0 68 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 3,449.3 1 19.7 5 BANK ONE Corp 3,350.0 2 19.1 5 JP Morgan 2,625.0 3 15.0 5 Lehman Brothers 2,324.4 4 13.3 6 Barclays Capital 2,049.4 5 11.7 4 Deutsche Bank AG 1,024.7 6 5.9 4 Merrill Lynch & Co Inc 752.2 7 4.3 2 Banc of America Securities LLC 568.0 8 3.2 3 Credit Suisse First Boston 468.0 9 2.7 2 Goldman Sachs & Co 425.0 10 2.4 2 Industry Total 17,511.1 - 100.0 28 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 43.0 3 Credit Suisse First Boston 1,058.0 2 26.6 3 HSBC Holdings PLC 708.0 3 17.8 2 Morgan Stanley 250.0 4* 6.3 1 ABN AMRO 250.0 4* 6.3 1 Industry Total 3,974.0 - 100.0 5 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 Lehman Brothers 19,787.3 1 11.6 35 Royal Bank of Scotland Group 18,364.5 2 10.8 33 Countrywide Securities Corp 17,966.5 3 10.5 18 Citigroup 12,878.9 4 7.5 35 Credit Suisse First Boston 12,620.1 5 7.4 25 Bear Stearns & Co Inc 12,349.6 6 7.2 25 Deutsche Bank AG 11,922.3 7 7.0 35 Morgan Stanley 11,896.8 8 7.0 25 Merrill Lynch & Co Inc 11,541.4 9 6.8 21 Banc of America Securities LLC 8,820.3 10 5.2 28 Industry Total 170,708.2 - 100.0 301 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 3,535.9 1 18.0 4 Citigroup 2,988.1 2 15.2 4 JP Morgan 2,338.4 3 11.9 5 Deutsche Bank AG 2,221.3 4 11.3 3 UBS 1,951.4 5 9.9 3 Credit Suisse First Boston 1,876.0 6 9.5 3 Banc of America Securities LLC 1,781.4 7 9.1 2 Morgan Stanley 1,521.5 8 7.7 4 Lehman Brothers 1,012.6 9 5.1 2 RBC Capital Markets 462.0 10 2.4 1 Industry Total 19,688.6 - 100.0 18 Source: Thomson Financial

Year to date as of May 19 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 Auto Loans/Recs 27,504 22,500 5,003 23,547 3,957 10,095 12,874 4,534 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 2,916 786 2,130 2,916 1,839 546 45 485 Corporate Loans 2,871 165 2,706 2,871 1,969 478 424 Credit Card Rec 17,511 7,798 9,713 15,801 1,710 13,226 3,236 200 849 Debentures 1,296 1,296 1,296 1,296 Equip Loans Equip. Leases 3,188 2,938 250 2,938 250 1,847 1,091 250 Floorplan Recs 3,974 3,974 3,850 124 3,624 350 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 819 64 754 819 38 781 Mixed Collateral 1,381 7 1,374 1,381 1,000 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,114 2,114 2,114 313 1,297 504 Mutual Fund Fees 331 331 331 331 Non-Jumbo Mtg Ln 41,905 17,250 24,136 40,971 934 25,716 7,763 8,165 139 108 Oil Receivables Preferred Sec 2,382 1,053 1,330 2,382 2,038 158 186 Prv Issued Sec 1,008 682 325 1,008 1,008 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 128,803 74,802 54,001 110,980 17,823 86,167 28,044 13,145 1,168 279 Sm Business Loan Struc Fin Credit 10,905 4,799 6,106 10,905 3,198 1,496 4,730 1,392 Student Loans 19,689 378 17,824 16,101 3,588 8,778 2,956 3,067 3,079 1,808 Tax Liens Ticket Rec Timeshare Loans 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