CDOs/CLOs

Year to date as of 09/11 Term (days) 09/05 09/08 09/09 09/10 09/11 1-week

2003 2002 2001 ABS (Public and 144A) 356,704 289,107 247,125 ABS (Public and 144A excluding CDOs) 331,504 254,801 214,972 ABS (Public Only) 292,294 227,737 182,518 ABS (144A Only) 64,410 61,370 64,607 Non-Agency MBS 216,914 149,652 124,961 Agency MBS 427,300 333,370 184,024 CMBS 47,737 33,329 43,337 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 Credit Suisse First Boston 4,503.7 1 17.9 13 Deutsche Bank AG 3,425.4 2 13.6 8 Wachovia Corp 2,937.9 3 11.7 10 Citigroup 2,274.3 4 9.0 7 Bear Stearns & Co Inc 2,015.5 5 8.0 8 UBS 1,520.0 6 6.0 4 Morgan Stanley 1,511.3 7 6.0 5 Merrill Lynch & Co Inc 1,317.1 8 5.2 5 JP Morgan 1,197.6 9 4.8 3 Banc of America Securities LLC 1,184.6 10 4.7 5 Industry Total 25,199.4 - 100.0 79 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 7,448.2 1 17.6 10 Credit Suisse First Boston 5,805.2 2 13.7 10 Deutsche Bank AG 4,434.1 3 10.5 8 Citigroup 4,389.3 4 10.3 6 BANK ONE Corp 4,011.7 5 9.5 7 Morgan Stanley 3,450.2 6 8.1 6 Banc of America Securities LLC 3,131.7 7 7.4 6 Barclays Capital 2,688.1 8 6.3 7 Merrill Lynch & Co Inc 1,635.8 9 3.9 3 Goldman Sachs & Co 1,289.4 10 3.0 3 Industry Total 42,447.4 - 100.0 54 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 11,670.9 1 25.5 18 BANK ONE Corp 8,556.6 2 18.7 16 JP Morgan 6,328.6 3 13.8 12 Barclays Capital 4,374.2 4 9.6 9 Morgan Stanley 3,954.5 5 8.6 5 Banc of America Securities LLC 2,787.3 6 6.1 9 Deutsche Bank AG 2,709.6 7 5.9 9 Credit Suisse First Boston 1,819.1 8 4.0 6 Merrill Lynch & Co Inc 1,245.0 9 2.7 5 Wachovia Corp 1,153.0 10 2.5 5 Industry Total 45,746.8 - 100.0 77 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 Deutsche Bank AG 1,375.0 1 39.7 5 JP Morgan 875.0 2 25.3 4 Citigroup 500.0 3* 14.4 1 BANK ONE Corp 500.0 3* 14.4 1 Banc of America Securities LLC 212.0 5 6.1 1 Industry Total 3,462.1 - 100.0 6 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 28,902.7 1 15.1 67 Morgan Stanley 17,847.0 2 9.3 39 Countrywide Securities Corp 16,707.7 3 8.7 29 Citigroup 15,903.3 4 8.3 41 Royal Bank of Scotland Group 14,773.2 5 7.7 35 Credit Suisse First Boston 14,266.9 6 7.5 35 Deutsche Bank AG 13,429.0 7 7.0 31 JP Morgan 13,268.6 8 6.9 19 Banc of America Securities LLC 12,494.8 9 6.5 40 Bear Stearns & Co Inc 11,992.7 10 6.3 27 Industry Total 191,133.4 - 100.0 368 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 4,506.5 1 19.1 8 Morgan Stanley 4,244.2 2 18.0 8 Deutsche Bank AG 3,783.7 3 16.1 6 Credit Suisse First Boston 3,450.4 4 14.7 6 Merrill Lynch & Co Inc 3,251.0 5 13.8 5 JP Morgan 1,398.0 6 5.9 4 Banc of America Securities LLC 1,186.3 7 5.0 3 UBS 718.0 8 3.1 3 BANK ONE Corp 507.6 9* 2.2 1 Lehman Brothers 507.6 9* 2.2 1 Industry Total 23,553.3 - 100.0 22 Source: Thomson Financial

Year to date as of Sep 3 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 2,392 1,365 1,027 2,392 1,365 457 361 208 Asset-Back Certs Auto Loans/Recs 49,549 37,620 11,929 46,721 2,828 10,816 27,779 10,771 125 35 Cash 399 199 200 399 399 Catastrophe Bond Commercial Loans 1,561 1,438 123 1,561 1,250 311 Corp Bond/Note 2,770 419 2,318 2,770 1,300 380 468 622 Corporate Loans 6,004 446 5,524 6,004 1,734 774 161 1,652 1,659 Credit Card Rec 45,747 12,243 33,504 44,896 851 10,576 4,409 28,362 1,500 900 Debentures 2,648 2,648 2,648 2,648 Equip Loans Equip. Leases 6,288 4,318 1,970 4,591 1,697 2,016 3,530 668 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 4,756 2,757 1,999 4,756 3,390 1,002 221 144 Floorplan Recs 3,462 3,462 3,436 26 750 2,712 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 622 622 622 622 Junk Bonds 3,436 323 3,114 3,436 746 1,246 1,445 Legal Fees Loans 3,175 3,175 3,175 3,175 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Motorcycle Loans 1,450 1,450 1,450 1,450 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 47,716 17,928 28,770 42,005 5,711 21,492 8,161 16,504 1,173 234 Non-Perf Loans Oil Contracts Preferred Sec 1,222 231 966 1,222 108 108 177 828 Prv Issued Sec 1,653 988 540 87 1,566 1,653 Rental Car Rec. 2,275 1,050 1,225 500 1,775 650 230 1,395 Retail Contracts Rev Cred/Home Eq 146,243 62,940 80,439 133,142 13,101 68,130 41,802 32,781 2,384 748 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 16,523 2,791 13,695 16,523 7,599 352 2,346 3,937 2,207 Student Loans 25,436 600 21,451 23,700 1,736 4,281 4,902 8,244 6,018 1,280 Swap Agreement Tax Liens 86 86 86 86 Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 Truck Loans Leases 450 450 450 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 39% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 13% Credit Card Rec 12% Student Loans 7% Other 16%