CDOs/CLOs

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 20.3 5 BANK ONE Corp 3,100.0 2 18.2 4 JP Morgan 2,625.0 3 15.4 5 Lehman Brothers 2,324.4 4 13.7 6 Barclays Capital 1,799.4 5 10.6 3 Deutsche Bank AG 1,024.7 6 6.0 4 Merrill Lynch & Co Inc 752.2 7 4.4 2 Banc of America Securities LLC 568.0 8 3.3 3 Credit Suisse First Boston 468.0 9 2.8 2 Goldman Sachs & Co 425.0 10 2.5 2 Industry Total 17,011.1 - 100.0 27 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 1,000.0 1 54.1 1 Credit Suisse First Boston 350.0 2 18.9 1 Morgan Stanley 250.0 3* 13.5 1 ABN AMRO 250.0 3* 13.5 1 Industry Total 1,850.0 - 100.0 3 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 17,968.1 1 11.1 18 Royal Bank of Scotland Group 17,620.3 2 10.9 32 Lehman Brothers 17,181.0 3 10.6 30 Bear Stearns & Co Inc 12,349.6 4 7.6 25 Deutsche Bank AG 11,898.5 5 7.4 33 Morgan Stanley 11,872.9 6 7.4 23 Citigroup 11,325.4 7 7.0 33 Credit Suisse First Boston 11,016.2 8 6.8 23 Merrill Lynch & Co Inc 9,919.5 9 6.1 18 Banc of America Securities LLC 8,820.5 10 5.5 28 Industry Total 161,540.9 - 100.0 288 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 19.4 4 JP Morgan 2,254.7 2 12.4 5 Citigroup 2,254.4 3 12.4 3 Deutsche Bank AG 2,221.3 4 12.2 3 Credit Suisse First Boston 1,876.0 5 10.3 3 Banc of America Securities LLC 1,781.4 6 9.8 2 Morgan Stanley 1,521.5 7 8.4 4 UBS 1,301.4 8 7.1 2 Lehman Brothers 1,012.6 9 5.6 2 RBC Capital Markets 462.0 10 2.5 1 Industry Total 18,221.2 - 100.0 17 Source: Thomson Financial

Year to date as of May 12 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 26,115 21,112 5,003 22,158 3,957 10,095 11,780 4,240 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 2,470 786 1,685 2,470 1,818 168 485 Corporate Loans 2,571 147 2,424 2,571 1,951 478 142 Credit Card Rec 17,011 7,798 9,213 15,301 1,710 13,226 2,736 200 849 Debentures 1,296 1,296 1,296 1,296 Equip Loans Equip. Leases 2,540 2,290 250 2,290 250 1,664 626 250 Floorplan Recs 1,850 1,850 1,850 1,500 350 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 404 27 377 404 404 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 40,138 17,252 22,369 39,204 934 24,971 7,089 7,880 80 105 Oil Receivables Preferred Sec 2,070 1,019 1,052 2,070 1,726 158 186 Prv Issued Sec 858 682 175 858 858 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 121,403 75,948 45,455 105,337 16,066 87,519 21,904 10,746 955 279 Sm Business Loan Struc Fin Credit 9,757 4,742 5,015 9,757 2,936 1,111 4,683 1,002 Student Loans 18,221 378 16,624 14,633 3,588 8,611 2,663 2,760 2,379 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

Rev Cred/Home Eq 47% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 10% Student Loans 7% Credit Card Rec 7% Other 13%

Rev Cred/Home Eq 49% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 13%

Rev Cred/Home Eq 49% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 13%

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 2,535.9 1 15.4 3 JP Morgan 2,254.7 2 13.7 5 Citigroup 2,254.4 3 13.7 3 Deutsche Bank AG 2,221.3 4 13.5 3 Credit Suisse First Boston 1,876.0 5 11.4 3 Banc of America Securities LLC 1,781.4 6 10.8 2 Morgan Stanley 1,521.5 7 9.3 4 Lehman Brothers 1,012.6 8 6.2 2 UBS 530.0 9 3.2 1 RBC Capital Markets 462.0 10 2.8 1 Industry Total 16,449.8 - 100.0 15 Source: Thomson Financial

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