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 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 Lehman Brothers 17,263.2 1 11.0 30 Countrywide Securities Corp 17,184.2 2 11.0 16 Royal Bank of Scotland Group 15,475.8 3 9.9 28 Deutsche Bank AG 11,898.5 4 7.6 33 Morgan Stanley 11,872.9 5 7.6 23 Citigroup 11,349.9 6 7.2 33 Credit Suisse First Boston 11,017.2 7 7.0 23 Bear Stearns & Co Inc 10,473.4 8 6.7 23 Merrill Lynch & Co Inc 9,919.5 9 6.3 18 Banc of America Securities LLC 8,823.9 10 5.6 27 Industry Total 156,741.4 - 100.0 281 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 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

Year to date as of May 5 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 22,818 19,597 3,221 18,875 3,943 9,475 9,752 3,591 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 2,342 658 1,685 2,342 1,690 168 485 Corporate Loans 2,382 147 2,235 2,382 1,762 478 142 Credit Card Rec 15,900 7,798 8,102 14,626 1,274 12,552 2,300 200 849 Debentures 1,051 1,051 1,051 1,051 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 38,530 16,939 21,079 37,596 934 24,848 6,250 7,298 50 71 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 118,212 76,091 42,120 102,209 16,003 88,326 18,570 10,094 943 279 Sm Business Loan Struc Fin Credit 9,757 4,742 5,015 9,757 2,936 1,111 4,683 1,002 Student Loans 16,450 378 14,853 13,633 2,817 7,500 2,493 2,760 1,989 1,708 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 49% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 13%

During last week's briefing at the Sofitel Hotel in New York, Moody's Investors Service primed investors on what they can expect from esoteric ABS moving forward, aside from delays and protracted lead times.

Having extended the principal repayment for its A1 class, which hit soft maturity last week, the Republic of Italy's SCIP 2 is starting to look like one of global securitization's most tragic comedies, considering how far from course the deal has swayed. According to research from Deutsche Bank Securities last week, residential property disposal payments into the trust for the first three months of the year were 4% of projections. Cumulatively since closing, residential disposal payments are 21% of the plan.

The U.S. ABS primary market continued at its moderate pace versus a typical week in the first quarter, pricing roughly $8.3 billion of new-issue supply. Once again, it was a strong week for student loan ABS, with $3.6 billion of supply, edging out the mortgage ABS sector, which saw roughly $3.2 billion.

Marlin Business Services is considering a forward swap arrangement with its investment bank, Deutsche Bank Securities, to lock in the current rates while it preps its next securitization, executives said during Marlin's first-ever quarter-end conference call since going public in November.

ACE Ltd. spun off its financial guaranty and reinsurance units in an $882 million initial public offering through a new entity called Assured Guaranty Ltd.