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 3,298.5 1 21.9 6 Morgan Stanley 2,599.9 2 17.2 4 Deutsche Bank AG 2,293.1 3 15.2 4 Credit Suisse First Boston 1,877.2 4 12.5 3 Merrill Lynch & Co Inc 1,790.7 5 11.9 3 Banc of America Securities LLC 1,186.3 6 7.9 3 JP Morgan 514.1 7 3.4 1 BANK ONE Corp 507.6 8* 3.4 1 Lehman Brothers 507.6 8* 3.4 1 UBS 503.0 10 3.3 2 Industry Total 15,078.0 - 100.0 14 Source: Thomson Financial

Year to date as of Jun 11 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 1,365 1,365 1,365 1,365 Asset-Back Certs Auto Loans/Recs 34,095 26,903 7,192 33,137 958 9,556 18,141 6,340 35 Cash Catastrophe Bond Commercial Loans 921 194 727 921 822 99 Corp Bond/Note 1,532 366 1,133 1,532 944 56 532 Corporate Loans 2,344 251 2,068 2,344 564 696 1,084 Credit Card Rec 34,791 8,638 26,153 34,434 356 8,037 3,909 21,595 750 500 Debentures 1,670 1,670 1,670 1,670 Equip Loans Equip. Leases 4,820 3,510 1,310 3,864 956 1,208 2,876 668 68 FHLMC 2,231 2,231 2,231 2,231 FNMA 4,756 2,757 1,999 4,756 3,390 1,002 221 144 Floorplan Recs 3,250 3,250 3,224 26 750 2,500 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 1,763 250 1,513 1,141 622 1,141 622 Junk Bonds 2,293 233 2,060 2,293 734 490 1,069 Legal Fees Loans 3,175 3,175 3,175 3,175 Mnfrd Housing Ct 399 278 121 260 139 103 185 11 45 Motorcycle Loans 975 975 975 975 Mutual Fund Fees 175 75 100 175 175 Non-Jumbo Mtg Ln 33,513 9,019 24,154 29,361 4,153 11,606 6,899 13,488 1,173 197 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 487 178 309 87 400 487 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 102,604 42,084 59,206 94,761 7,843 46,852 29,711 23,812 1,661 425 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 6,925 1,254 5,635 6,925 2,566 352 671 2,294 960 Student Loans 15,298 600 12,164 13,927 1,371 2,400 2,777 5,384 3,927 99 Swap Agreement Tax Liens Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs Truck Loans Leases 450 450 450 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 39% Credit Card Rec 15% Non-Jumbo Mtg Ln 13% Auto Loans/Recs 11% Student Loans 7% Other 15%

Primary ABS issuance picked up last week, with over $12.6 billion marketed as many in the market gathered in Barcelona for the global ABS conference being held there (see story p5). A pair of captive auto deals totaling $4.2 billion overshadowed the home equity sector, which saw continued supply from dealer shelves, as well as three offerings from regular issuers in the sector.

Chase Manhattan Bank N.A. announced last week that it had received majority bondholder approval to amend its credit card master trust. This allows the sharing of excess spread, therefore limiting the early payout risk for three high-coupon, fixed-rate series. While raising questions as to its overall effectiveness (see ASR 5/26/03), the move is viewed as an example of an issuer protecting bondholder interests, without raising regulatory suspicions of implicit recourse and whether or not the assets truly are off-balance sheet.

While leveraged loans have proven more stable and less risky CDO collateral than high yield bonds, some might be questioning their presence in structured vehicles, as ultimate recovery rates on bank loans are declining.

With correlation being the risk of the moment in credit derivative markets, UBS Warburg CDO researcher Douglas Lucas takes the argument one step further and theorizes that the result of the heightened correlation risk will be an increase in a relatively unknown derivative product.

The American Securitization Forum is hosting a discussion this week on the role of the trustee in ABS transactions. The meeting is scheduled for Wednesday evening at its New York headquarters. The next in the Sunset Seminar series of discussions will allow representatives from rating agencies Moody's Investors Service and Fitch Ratings to defend their respective opinions on trustee activity, as well as giving trustees a first-time forum to defend their actions, or lack thereof, in the eyes of the market.

Year to date as of Jun 4 Term (days) 05/22 05/23 05/26 05/27 05/28 1-week

2003 2002 2001 ABS (Public and 144A) 238,790 185,372 164,121 ABS (Public and 144A excluding CDOs) 227,240 164,496 142,398 ABS (Public Only) 201,992 147,874 121,689 ABS (144A Only) 36,798 37,498 42,432 Non-Agency MBS 129,030 86,445 70,917 Agency MBS 266,013 196,279 96,313 CMBS 27,182 18,264 25,792 Source: Thomson Financial