CDOs/CLOs

Rev Cred/Home Eq 47% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 10% Student Loans 7% Credit Card Rec 6% Other 14%

Due to the proliferation of predatory lending legislation, Standard & Poor's announced at press time last week that it would require increased credit enhancement going forward for mortgage securitizations backed by loans in 15 municipalities. While the move has no impact on outstanding transactions, credit enhancement for future securitizations could increase by a variable amount, depending on the number of impacted loans in each pool, foreclosure frequencies, and the jurisdictional distribution of the loans.

The new issue ABS market had another sub par week, eking out just $8.9 billion in new supply, of which $6.3 billion had priced at press time. For the second week in a row, the auto sector came out on top with $3.1 billion, more than double the $1.4 billion issued out the mortgage ABS sector.

Continuing its expansion into securitized markets, GE Asset Management is planning its first CDO for later this year, likely sometime in the third quarter, sources said. The transaction, of a yet-to-be determined size, will be backed by a mix of ABS, MBS and CMBS and reportedly led by Morgan Stanley.

While the market is digesting the new ABS proposals from the Securities and Exchange Commission, a separate batch of proposals from the Federal Reserve Board were being doled out to bank holding companies. One proposal would allow just 25% of Tier 1 capital to be comprised of trust preferred securities, for regulatory capital purposes. Last year the regulators granted temporary relief to banks that were made to deconsolidate their trust preferred securities as a result of Financial Interpretation No. 46-R.

ACE Guaranty's Assured Guaranty received some bad news last week, when Moody's Investors Service upgraded its Insurance Financial Strength rating to Aa1' - one notch below the triple-A rating it coveted - from Aa2'. In its announcement, Moody's cited the company's push into the increasingly competitive primary financial guaranty business and the challenges it anticipates ACE will face implementing its strategy, given a limited track record as a top-tier monoline insurer.

Year to date as of 05/12 Term (days) 05/06 05/07 05/10 05/11 05/12 1-week

2004 2003 2002 ABS (Public and 144A) 255,652 192,999 147,397 ABS (Public and 144A excluding CDOs) 233,060 181,531 132,643 ABS (Public Only) 203,476 158,195 119,798 ABS (144A Only) 52,176 34,804 27,599 Non-Agency MBS 92,589 107,779 70,953 Agency MBS 130,490 274,168 179,093 CMBS 29,661 21,559 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 22.9 7 JP Morgan 4,588.9 2 17.6 7 Deutsche Bank AG 4,467.4 3 17.1 8 Banc of America Securities LLC 2,642.5 4 10.1 5 Credit Suisse First Boston 1,927.0 5 7.4 5 Goldman Sachs & Co 1,256.2 6 4.8 1 Barclays Capital 1,162.0 7 4.5 4 Morgan Stanley 820.1 8 3.1 2 Merrill Lynch & Co Inc 815.0 9 3.1 1 Wachovia Corp 795.5 10 3.1 2 Industry Total 26,115.3 - 100.0 29 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 3,946.6 1 17.5 7 UBS 3,272.0 2 14.5 4 Wachovia Corp 2,682.6 3 11.9 9 Deutsche Bank AG 1,968.7 4 8.7 5 Citigroup 1,457.7 5 6.5 8 Bear Stearns & Co Inc 1,194.3 6 5.3 4 Royal Bank of Scotland Group 1,005.8 7 4.5 3 BNP Paribas SA 919.5 8 4.1 1 Goldman Sachs & Co 825.0 9 3.7 1 Banc of America Securities LLC 800.9 10 3.6 6 Industry Total 22,592.3 - 100.0 60 Source: Thomson Financial