CDOs/CLOs

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

Though investors breathed a sigh of relief after J.P. Morgan Chase announced it would amend the Chase Credit Card Master Trust, Morgan Stanley researchers theorize that the chance of an early payout still exists, due to the C class reserve accounts that may trap excess spread away from the high-coupon fixed-rate series.

Primary ABS activity remained strong last week, pricing $8.8 billion, with an additional $2 billion pending for late in the week. The auto loan collateral continued to flow into the market, accounting for $4 billion of the week's total, as issuers of amortizing assets reportedly sought to tap the market. Strong demand was reported for most issues on profit taking from the investment community, cashing in on tightening throughout the first-half and moving into par-priced new-issues.

Talk about busy days. Consumer Portfolio Services has made a habit out of being party to simultaneous closings, be it multiple securitizations, warehouse lines, mergers, or, as was the case last week, a combination of the three.

Rather than roll over and play dead in the wake of massive downgrades, market pundits are biting back. Efforts to put a leash on correlation, evidentially the beast with the longest teeth, made headway last week with the release of a new rating tool from Fitch Ratings and a new research paper from Nomura Securities aimed at alerting the market to overlooked dangers.

A suite of risk analysis tools developed by Banc of America Securities has been harnessed by Standard and Poor's Risk Solutions, a move that is being perceived, initially, as a boost to synthetic CDO ratings.

Year to date as of May 21 Term (days) 05/15 05/16 05/19 05/20 05/21 1-week

2003 2002 2001 ABS (Public and 144A) 202,344 158,414 146,588 ABS (Public and 144A excluding CDOs) 192,382 141,154 126,498 ABS (Public Only) 170,731 128,464 109,604 ABS (144A Only) 31,613 29,950 36,984 Non-Agency MBS 110,374 73,541 59,190 Agency MBS 226,709 187,660 91,137 CMBS 22,591 17,643 22,449 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 3,424.4 1 14.6 4 Credit Suisse First Boston 3,129.1 2 13.3 7 Deutsche Bank AG 3,019.2 3 12.9 6 JP Morgan 2,618.8 4 11.2 4 Banc of America Securities LLC 2,252.8 5 9.6 4 BANK ONE Corp 2,112.3 6 9.0 4 Morgan Stanley 1,781.2 7 7.6 3 Goldman Sachs & Co 1,289.4 8 5.5 3 Barclays Capital 1,180.4 9 5.0 2 Wachovia Corp 1,087.4 10 4.6 4 Merrill Lynch & Co Inc 744.5 11 3.2 2 Lehman Brothers 445.5 12 1.9 1 Royal Bank of Scotland Group 287.5 13 1.2 2 Westdeutsche Landesbank Giro 120.2 14 0.5 1 Industry Total 23,492.6 - 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 Credit Suisse First Boston 1,650.9 1 16.6 5 Deutsche Bank AG 1,461.5 2 14.7 3 Bear Stearns & Co Inc 1,270.7 3 12.8 5 Citigroup 1,047.6 4 10.5 3 Wachovia Corp 950.0 5 9.5 2 Banc of America Securities LLC 579.8 6 5.8 2 Westdeutsche Landesbank Giro 545.0 7 5.5 1 Morgan Stanley 478.4 8 4.8 3 Lehman Brothers 368.4 9 3.7 3 JP Morgan 347.6 10 3.5 1 Merrill Lynch & Co Inc 300.8 11 3.0 1 Goldman Sachs & Co 300.0 12 3.0 1 Royal Bank of Scotland Group 283.9 13 2.9 1 UBS Warburg 200.0 14 2.0 1 Jefferies & Co Inc 161.4 15 1.6 1 First Republic Bank Corp 16.0 16 0.2 1 Industry Total 9,961.9 - 100.0 32 Source: Thomson Financial