CDOs/CLOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 15,130.9 1 10.6 34 Countrywide Securities Corp 15,001.3 2 10.5 17 Credit Suisse 14,874.1 3 10.4 29 Morgan Stanley 13,244.8 4 9.3 17 Deutsche Bank AG 10,553.1 5 7.4 18 Bear Stearns & Co Inc 10,364.3 6 7.3 30 Merrill Lynch & Co Inc 10,045.8 7 7.0 13 Citigroup 8,235.2 8 5.8 22 Royal Bank of Scotland Group 7,931.6 9 5.6 11 JP Morgan 7,355.2 10 5.1 12 Industry Total 142,977.6 - 100.0 240 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 2,915.8 1 18.0 4 Deutsche Bank AG 2,801.0 2 17.3 3 Merrill Lynch & Co Inc 2,301.0 3 14.2 2 Banc of America Securities LLC 2,027.7 4 12.5 3 Credit Suisse 1,698.4 5 10.5 3 Lehman Brothers 1,284.7 6 7.9 1 Goldman Sachs & Co 1,255.5 7 7.7 1 UBS 450.4 8 2.8 1 SunTrust Banks 382.5 9 2.4 1 Industry Total 16,222.9 - 100.0 11 Source: Thomson Financial

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 74% structured settlements 0% student loan ABS 8% trade receivables 0%

When a New Jersey state senator proposed nearly two weeks ago to raise $6 billion by selling half of the state's two major highways to shareholders, it wasn't just another New Jersey Turnpike joke. Instead, it was a sign that there is growing incentive among several sectors for innovative toll road financing. That, according to some ABS market professionals, includes toll road securitization in the U.S.

An arbiter's ruling last week might prompt several tobacco companies to reduce pending April payments to states under the 1998 Master Settlement Agreement (MSA). Although these cash flows are used to securitize billions of dollars in ABS deals, market sources only expect the potential shortfall to adversely affect the scheduled turbo payments on those deals.

Moody's Investors Service last week unveiled a new service aimed at helping a burgeoning class of U.S. cash CDO equity investors - mostly hedge funds - track how well their investments are performing. The rating agency will begin providing monthly reports, called the Moody's Equity Score Report,' on such indicators as internal rate of return, dividend and yield distributions and the most recent year's equity payment. In the first release of this report, Moody's analysts found that emerging market CDO equity pieces yielded the highest returns compared to other asset classes, while high yield CBOs were more likely to disappoint their investors.

The franchise loan sector, which saw no traditional loan pools securitized in 2005, is expected to begin a slow turnaround in 2006, with stabilizing loan pools and improvements in the underlying franchise business operations. But it will be a hard-won recovery, predict analysts from Fitch Ratings. They are maintaining a negative outlook on the sector as they expect more credit downgrades versus upgrades going forward.

Year to date as of 03/30 Term (days) 03/24 03/27 03/28 03/29 03/30 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 4,260.2 1 23.4 9 JP Morgan 3,956.1 2 21.8 10 Deutsche Bank AG 2,020.4 3 11.1 7 Barclays Capital 1,725.5 4 9.5 4 Royal Bank of Scotland Group 1,606.8 5 8.8 3 Merrill Lynch & Co Inc 1,250.0 6 6.9 3 Credit Suisse 950.0 7 5.2 2 Wachovia Corp 939.0 8 5.2 3 Bear Stearns & Co Inc 824.9 9 4.5 1 Goldman Sachs & Co 411.2 10 2.3 1 Industry Total 18,189.0 - 100.0 21 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 5,666.8 1 14.8 8 Citigroup 4,979.7 2 13.0 10 UBS 4,764.0 3 12.4 11 Banc of America Securities LLC 3,815.4 4 10.0 12 Deutsche Bank AG 3,804.0 5 9.9 6 Bear Stearns & Co Inc 3,551.6 6 9.3 8 Credit Suisse 3,107.4 7 8.1 4 Morgan Stanley 2,107.5 8 5.5 11 Wachovia Corp 1,857.3 9 4.9 6 Royal Bank of Scotland Group 1,621.8 10 4.2 3 Industry Total 38,292.0 - 100.0 88 Source: Thomson Financial