CDOs/CLOs

New-issue supply slowed in last week's holiday-shortened session that preceded the global ABS conference held this week in Barcelona. U.S. primary market priced just $4.8 billion, as of press time, with an additional $4.9 billion of supply being announced late in the week.

New issues in the domestic CDO marketplace have declined sharply in recent weeks, prompting speculation that more than just downgrades are clouding the sector's vigor and clogging up the pipeline.

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

2003 2002 2001 ABS (Public and 144A) 218,368 168,600 153,994 ABS (Public and 144A excluding CDOs) 207,890 150,351 133,053 ABS (Public Only) 183,390 136,602 114,926 ABS (144A Only) 34,978 31,997 39,068 Non-Agency MBS 114,460 83,152 67,269 Agency MBS 247,555 191,312 95,258 CMBS 25,549 17,643 24,869 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 1,959.7 1 18.7 6 Deutsche Bank AG 1,461.5 2 14.0 3 Bear Stearns & Co Inc 1,270.7 3 12.1 5 Citigroup 1,047.6 4 10.0 3 Wachovia Corp 950.0 5 9.1 2 Morgan Stanley 628.4 6 6.0 3 Banc of America Securities LLC 579.8 7 5.5 2 Westdeutsche Landesbank Giro 545.0 8 5.2 1 Lehman Brothers 368.4 9 3.5 3 Goldman Sachs & Co 357.2 10 3.4 2 Industry Total 10,477.9 - 100.0 34 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 8,619.7 1 27.9 12 BANK ONE Corp 5,351.9 2 17.3 9 JP Morgan 4,479.3 3 14.5 9 Morgan Stanley 3,579.5 4 11.6 4 Barclays Capital 2,834.7 5 9.2 6 Banc of America Securities LLC 2,212.3 6 7.2 7 Deutsche Bank AG 1,507.6 7 4.9 4 Credit Suisse First Boston 969.3 8 3.1 3 Wachovia Corp 673.0 9 2.2 3 Merrill Lynch & Co Inc 462.5 10 1.5 2 Industry Total 30,939.3 - 100.0 48 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 Deutsche Bank AG 1,375.0 1 42.3 5 JP Morgan 875.0 2 26.9 4 Citigroup 500.0 3* 15.4 1 BANK ONE Corp 500.0 3* 15.4 1 Industry Total 3,250.1 - 100.0 5 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 17,393.9 1 15.0 41 Countrywide Securities Corp 11,824.9 2 10.2 17 JP Morgan 10,068.0 3 8.7 13 Citigroup 9,777.4 4 8.4 27 Deutsche Bank AG 8,129.1 5 7.0 18 Royal Bank of Scotland Group 8,084.0 6 7.0 20 Credit Suisse First Boston 8,040.9 7 6.9 20 Banc of America Securities LLC 7,561.7 8 6.5 22 Morgan Stanley 7,090.3 9 6.1 19 Bear Stearns & Co Inc 6,464.7 10 5.6 14 Industry Total 116,356.9 - 100.0 208 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 3,149.7 1 22.8 5 Morgan Stanley 2,599.9 2 18.8 4 Deutsche Bank AG 2,293.1 3 16.6 4 Credit Suisse First Boston 1,877.2 4 13.6 3 Merrill Lynch & Co Inc 1,790.7 5 13.0 3 Banc of America Securities LLC 1,136.7 6 8.2 2 JP Morgan 514.1 7 3.7 1 UBS Warburg 453.4 8 3.3 1 Industry Total 13,814.7 - 100.0 12 Source: Thomson Financial

Year to date as of May 28 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 30,062 23,204 6,859 29,272 791 6,418 17,466 6,121 35 Cash Catastrophe Bond Commercial Loans 921 194 727 921 822 99 Corp Bond/Note 1,249 321 895 1,249 661 56 532 Corporate Loans 2,044 233 1,787 2,044 546 450 1,049 Credit Card Rec 30,939 6,987 23,953 30,583 356 7,737 3,909 18,044 750 500 Debentures 1,485 1,485 1,485 1,485 Equip Loans Equip. Leases 3,951 2,641 1,310 2,995 956 1,208 2,038 637 68 FHLMC 2,225 2,225 2,225 2,225 FNMA 3,480 1,480 1,999 3,480 2,113 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 260 140 121 260 51 146 3 45 Motorcycle Loans 975 975 975 975 Mutual Fund Fees 175 75 100 175 175 Non-Jumbo Mtg Ln 29,888 7,543 22,029 26,186 3,703 11,156 6,899 10,361 1,149 173 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 479 178 301 87 392 479 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 89,331 36,688 51,596 81,687 7,644 38,879 26,645 21,668 1,604 392 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 6,083 884 5,163 6,083 2,566 279 2,294 862 Student Loans 14,035 600 11,149 12,912 1,123 2,152 2,595 4,937 3,572 68 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