CDOs/CLOs

While still in the lead in the race for the top ABS underwriter, Citigroup Capital Markets was only the fourth most active dealer in the three-month period ending June 30, according to preliminary numbers from Thomson Financial. Although Citi maintained a commanding lead heading into mid-year, Lehman Brothers made a strong push to jump to the third spot overall, from the fifth spot at the end of the first quarter.

Last week, Lehman Brothers brought to market a US$57.5 million, arbitrage synthetic CDO, Golden Jade CDO, with the Agricultural Bank of China acting as portfolio manager. This transaction represents a growing trend in non-Japan Asia, where the managed arbitrage synthetic CDO sector is becoming increasingly active.

Year to date as of Jun 25 Term (days) 06/12 06/13 06/16 06/17 06/18 1-week

2003 2002 2001 ABS (Public and 144A) 262,633 224,126 185,575 ABS (Public and 144A excluding CDOs) 248,459 198,032 162,740 ABS (Public Only) 220,546 178,232 137,093 ABS (144A Only) 42,087 45,894 48,482 Non-Agency MBS 138,060 101,155 84,500 Agency MBS 288,156 233,867 124,690 CMBS 29,197 21,763 29,792 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 4,444.3 1 14.6 6 Deutsche Bank AG 3,770.1 2 12.4 7 Citigroup 3,705.3 3 12.2 5 Banc One Capital Markets 3,347.8 4 11.0 6 Credit Suisse First Boston 3,129.1 5 10.3 7 Banc of America Securities LLC 2,447.8 6 8.0 5 Barclays Capital 2,400.8 7 7.9 5 Morgan Stanley 2,265.7 8 7.4 4 Merrill Lynch & Co Inc 1,635.4 9 5.4 3 Goldman Sachs & Co 1,289.4 10 4.2 3 Industry Total 30,458.9 - 100.0 37 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 2,954.5 1 20.8 9 Deutsche Bank AG 1,644.5 2 11.6 4 Wachovia Corp 1,349.4 3 9.5 4 Bear Stearns & Co Inc 1,270.7 4 9.0 5 Citigroup 1,047.6 5 7.4 3 Morgan Stanley 1,003.4 6 7.1 4 UBS 900.0 7 6.4 2 Goldman Sachs & Co 829.2 8 5.9 3 Banc of America Securities LLC 801.9 9 5.7 3 JP Morgan 697.6 10 4.9 2 Industry Total 14,174.2 - 100.0 45 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 9,771.7 1 25.0 15 Banc One Capital Markets 7,901.8 2 20.2 13 JP Morgan 6,078.6 3 15.5 11 Barclays Capital 3,834.7 4 9.8 7 Morgan Stanley 3,579.5 5 9.2 4 Banc of America Securities LLC 2,537.3 6 6.5 8 Deutsche Bank AG 2,084.6 7 5.3 7 Credit Suisse First Boston 1,294.2 8 3.3 4 Lehman Brothers 823.1 9 2.1 3 Wachovia Corp 673.0 10 1.7 3 Industry Total 39,128.4 - 100.0 63 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 42.3 5 JP Morgan 875.0 2 26.9 4 Citigroup 500.0 3* 15.4 1 Banc One Capital Markets 500.0 3* 15.4 1 Industry Total 3,250.1 - 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 Citigroup 3,746.1 1 22.8 7 Deutsche Bank AG 2,740.7 2 16.7 5 Morgan Stanley 2,599.9 3 15.8 4 Merrill Lynch & Co Inc 2,238.3 4 13.6 4 Credit Suisse First Boston 1,877.2 5 11.4 3 Banc of America Securities LLC 1,186.3 6 7.2 3 JP Morgan 514.1 7 3.1 1 Banc One Capital Markets 507.6 8* 3.1 1 Lehman Brothers 507.6 8* 3.1 1 UBS 503.0 10 3.1 2 Industry Total 16,420.8 - 100.0 15 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 21,056.4 1 15.0 51 Countrywide Securities Corp 13,197.8 2 9.4 21 Citigroup 12,637.8 3 9.0 31 JP Morgan 10,718.0 4 7.6 15 Morgan Stanley 10,616.2 5 7.5 25 Royal Bank of Scotland Group 10,385.1 6 7.4 25 Deutsche Bank AG 10,045.1 7 7.1 22 Banc of America Securities LLC 9,570.1 8 6.8 26 Credit Suisse First Boston 9,512.6 9 6.8 23 UBS 7,235.4 10 5.1 16 Industry Total 140,869.7 - 100.0 251 Source: Thomson Financial