CDOs/CLOs

Year to date as of 03/25 Term (days) 03/19 03/22 03/23 03/24 03/25 1-week

2004 2003 2002 ABS (Public and 144A) 150,845 121,339 99,613 ABS (Public and 144A excluding CDOs) 134,225 115,104 90,735 ABS (Public Only) 123,719 104,380 81,926 ABS (144A Only) 27,126 16,959 17,688 Non-Agency MBS 41,804 63,234 40,478 Agency MBS 46,451 215,452 127,204 CMBS 10,773 11,957 9,170 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 4,497.4 1 26.4 5 Deutsche Bank AG 3,292.0 2 19.3 5 JP Morgan 2,892.7 3 17.0 4 Banc of America Securities LLC 1,263.5 4 7.4 2 Goldman Sachs & Co 1,256.2 5 7.4 1 Credit Suisse First Boston 1,242.7 6 7.3 3 Barclays Capital 977.7 7 5.7 2 Merrill Lynch & Co Inc 815.0 8 4.8 1 Banc One Capital Markets 675.0 9 4.0 2 Royal Bank of Scotland Group 133.0 10 0.8 1 Industry Total 17,045.2 - 100.0 16 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 UBS 2,172.0 1 20.5 3 Merrill Lynch & Co Inc 1,614.9 2 15.2 4 Citigroup 1,516.0 3 14.3 4 BNP Paribas SA 919.5 4 8.7 1 Bear Stearns & Co Inc 658.9 5 6.2 2 Royal Bank of Scotland Group 603.8 6 5.7 2 Wachovia Corp 510.0 7 4.8 4 First Tennessee Bank 492.3 8 4.6 1 Deutsche Bank AG 435.4 9 4.1 1 Banc of America Securities LLC 380.9 10 3.6 2 Industry Total 10,603.6 - 100.0 26 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 3,100.4 1 24.6 4 Banc One Capital Markets 2,775.0 2 22.0 4 JP Morgan 2,025.0 3 16.1 4 Lehman Brothers 1,400.0 4 11.1 4 Barclays Capital 1,125.0 5 8.9 2 Merrill Lynch & Co Inc 752.2 6 6.0 2 Morgan Stanley 375.0 7 3.0 1 Goldman Sachs & Co 350.0 8 2.8 1 Credit Suisse First Boston 250.0 9* 2.0 1 Banc of America Securities LLC 250.0 9* 2.0 1 Industry Total 12,602.6 - 100.0 19 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 1,000.0 1 74.1 1 Credit Suisse First Boston 350.0 2 25.9 1 Industry Total 1,350.0 - 100.0 2 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 Royal Bank of Scotland Group 11,412.0 1 12.0 17 Lehman Brothers 10,094.4 2 10.6 22 Citigroup 8,755.9 3 9.2 22 Morgan Stanley 8,445.7 4 8.9 15 Deutsche Bank AG 7,180.6 5 7.6 22 Merrill Lynch & Co Inc 7,168.6 6 7.6 10 Credit Suisse First Boston 7,096.2 7 7.5 15 UBS 6,018.5 8 6.3 7 Countrywide Securities Corp 5,335.2 9 5.6 5 Banc of America Securities LLC 4,843.1 10 5.1 15 Industry Total 94,926.0 - 100.0 150 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 1,869.4 1 18.3 3 Banc of America Securities LLC 1,531.4 2 15.0 2 Merrill Lynch & Co Inc 1,266.2 3* 12.4 2 JP Morgan 1,266.2 3* 12.4 2 Morgan Stanley 1,012.6 5* 9.9 2 Lehman Brothers 1,012.6 5* 9.9 2 Citigroup 781.4 7 7.6 1 UBS 530.0 8 5.2 1 Deutsche Bank AG 489.9 9 4.8 1 RBC Capital Markets 462.0 10 4.5 1 Industry Total 10,221.5 - 100.0 9 Source: Thomson Financial

The cheapness in five-year fixed-rate home equity ABS has narrowed early this year, sparking debate as to whether any potential extension risk is worth the spread pickup. Since five-year home equities widened to over 90 basis points over Libor in 4Q03, investors have bid spreads into roughly 70 basis points over, but the pickup between the two sectors remains well outside of historical levels.

Shrugging off a year of relative inactivity, ABCP market participants are hopeful, if not optimistic, that the sector will begin growing again in 2004, now that many of the past year's concerns are being flushed through the market.