CDOs/CLOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues - - - - - Total - - - - 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 28.0 5 Deutsche Bank AG 2,293.1 2 20.4 4 Morgan Stanley 2,085.9 3 18.5 3 Merrill Lynch & Co Inc 1,790.7 4 15.9 3 Banc of America Securities LLC 1,136.7 5 10.1 2 Credit Suisse First Boston 694.0 6 6.2 1 William R. Hough 120.0 7 1.1 1 Industry Total 11,270.0 - 100.0 10 Source: Thomson Financial

Year to date as of fix this 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 18,877 13,331 5,546 18,198 679 3,573 11,553 3,694 35 Cash Catastrophe Bond Commercial Loans Corp Bond/Note 1,931 1,040 858 1,931 1,344 56 532 Corporate Loans 4,863 151 4,688 4,863 3,525 326 45 265 702 Credit Card Rec 26,586 5,590 20,995 26,230 356 7,411 3,909 15,266 Debentures 1,291 1,291 1,291 1,291 Equip Loans Equip. Leases 956 421 535 956 613 275 68 FHLMC 1,259 1,259 1,259 1,259 Floorplan Recs 3,250 3,250 3,224 26 750 2,500 FNMA 2,113 1,069 1,044 2,113 2,113 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs Junk Bonds 1,713 176 1,536 1,713 691 1,022 Leases 450 450 450 Legal Fees Loans 488 188 301 488 177 311 Mnfrd Housing Ct 260 140 121 260 51 146 3 45 Motorcycle Loans 550 550 550 550 Mutual Fund Fees 175 75 100 175 175 Non-Jumbo Mtg Ln 20,601 4,755 15,611 18,907 1,695 10,833 3,254 6,310 51 103 Non-Perf Loans Oil Contracts Preferred Sec 412 118 294 412 36 132 244 Prv Issued Sec 259 77 182 259 259 Rental Car Rec. 1,025 400 625 1,025 650 375 Retail Contracts Rev Cred/Home Eq 55,994 20,749 35,038 50,806 5,188 23,422 16,882 14,591 781 318 Sm Business Loan 108 108 108 108 Stranded Costs Struc Fin Credit 4,264 1,109 3,131 4,264 2,163 1,411 652 Student Loans 11,130 600 9,263 11,130 1,134 2,371 3,598 3,248 68 Swap Agreement Tax Liens Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs Truck Loans Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq $55,994 Credit Card Rec $26,586 Non-Jumbo Mtg Ln $20,601 Auto Loans/Recs $18,877 Student Loans $11,130 Other $27,419

A story last week incorrectly stated that ZCM Matched Funding Corp. had been downgraded. Fenway Funding was put on review for downgrade, following the placement of ZCMMF on review for downgrade. ZCMMF is a total return swap counterparty to Fenway. ZCMMF's rating is based on a surety bond from Zurich Insurance Company which Moody's placed on review for downgrade in late February.

NEW YORK - Conduit restructuring was hands-down the hottest topic of last week's ABCP conference, though some market players are concerned that the "secretive" and proprietary nature of the ABCP market could present challenges to an industry that, as a whole, is battling a common issue to all, more so given the rapidly approaching June 30 deadline.

State legislators beware! That was the theme of last week's panel discussion hosted by the American Securitization Forum on predatory lending legislation. With both New York and New Jersey set to implement laws similar to the recently amended Georgia Fair Lending Act, panelists warned that political one-upmanship and catering to consumer advocacy groups will ultimately increase the cost of borrowing for consumers.

Mexican state housing agency Sociedad Hipotecaria Federal (SHF) is shooing its overgrown children into the arms of private bankers and bond investors. Dropping a chili pepper into the already hot sector of housing securitizations, the SHF is phasing out monies for construction bridge loans extended to housing finance companies. The result: Sofols - as the companies are known - will turn aggressively to the market. "They will have to diversify their funding sources," said Luis de la Pena, an analyst at Fitch Ratings. Sofol heavyweights Metrofinanciera and Su Casita have already started securitizing their bridge-loan portfolio (for interview with Su Casita Vice President Manuel Campos, see p. 21) and others are sure to follow suit, sources said.

It's taken over three months to perform, but Fitch Ratings has managed to place a harness on the 10-ton elephant that is the credit derivatives market.

In the secondary market, Banc One Capital Markets sees value in equipment ABS, which is trading relatively wide to prime auto, and could tighten up when new issue equipment begins to hit market. According to Banc One, the months of March through May are typically the heavier months for equipment ABS.