ABS

Due to the proliferation of predatory lending legislation, Standard & Poor's announced at press time last week that it would require increased credit enhancement going forward for mortgage securitizations backed by loans in 15 municipalities. While the move has no impact on outstanding transactions, credit enhancement for future securitizations could increase by a variable amount, depending on the number of impacted loans in each pool, foreclosure frequencies, and the jurisdictional distribution of the loans.

The new issue ABS market had another sub par week, eking out just $8.9 billion in new supply, of which $6.3 billion had priced at press time. For the second week in a row, the auto sector came out on top with $3.1 billion, more than double the $1.4 billion issued out the mortgage ABS sector.

Continuing its expansion into securitized markets, GE Asset Management is planning its first CDO for later this year, likely sometime in the third quarter, sources said. The transaction, of a yet-to-be determined size, will be backed by a mix of ABS, MBS and CMBS and reportedly led by Morgan Stanley.

While the market is digesting the new ABS proposals from the Securities and Exchange Commission, a separate batch of proposals from the Federal Reserve Board were being doled out to bank holding companies. One proposal would allow just 25% of Tier 1 capital to be comprised of trust preferred securities, for regulatory capital purposes. Last year the regulators granted temporary relief to banks that were made to deconsolidate their trust preferred securities as a result of Financial Interpretation No. 46-R.

ACE Guaranty's Assured Guaranty received some bad news last week, when Moody's Investors Service upgraded its Insurance Financial Strength rating to Aa1' - one notch below the triple-A rating it coveted - from Aa2'. In its announcement, Moody's cited the company's push into the increasingly competitive primary financial guaranty business and the challenges it anticipates ACE will face implementing its strategy, given a limited track record as a top-tier monoline insurer.

Year to date as of 05/12 Term (days) 05/06 05/07 05/10 05/11 05/12 1-week

2004 2003 2002 ABS (Public and 144A) 255,652 192,999 147,397 ABS (Public and 144A excluding CDOs) 233,060 181,531 132,643 ABS (Public Only) 203,476 158,195 119,798 ABS (144A Only) 52,176 34,804 27,599 Non-Agency MBS 92,589 107,779 70,953 Agency MBS 130,490 274,168 179,093 CMBS 29,661 21,559 17,643 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 5,974.8 1 22.9 7 JP Morgan 4,588.9 2 17.6 7 Deutsche Bank AG 4,467.4 3 17.1 8 Banc of America Securities LLC 2,642.5 4 10.1 5 Credit Suisse First Boston 1,927.0 5 7.4 5 Goldman Sachs & Co 1,256.2 6 4.8 1 Barclays Capital 1,162.0 7 4.5 4 Morgan Stanley 820.1 8 3.1 2 Merrill Lynch & Co Inc 815.0 9 3.1 1 Wachovia Corp 795.5 10 3.1 2 Industry Total 26,115.3 - 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 Merrill Lynch & Co Inc 3,946.6 1 17.5 7 UBS 3,272.0 2 14.5 4 Wachovia Corp 2,682.6 3 11.9 9 Deutsche Bank AG 1,968.7 4 8.7 5 Citigroup 1,457.7 5 6.5 8 Bear Stearns & Co Inc 1,194.3 6 5.3 4 Royal Bank of Scotland Group 1,005.8 7 4.5 3 BNP Paribas SA 919.5 8 4.1 1 Goldman Sachs & Co 825.0 9 3.7 1 Banc of America Securities LLC 800.9 10 3.6 6 Industry Total 22,592.3 - 100.0 60 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 3,449.3 1 20.3 5 BANK ONE Corp 3,100.0 2 18.2 4 JP Morgan 2,625.0 3 15.4 5 Lehman Brothers 2,324.4 4 13.7 6 Barclays Capital 1,799.4 5 10.6 3 Deutsche Bank AG 1,024.7 6 6.0 4 Merrill Lynch & Co Inc 752.2 7 4.4 2 Banc of America Securities LLC 568.0 8 3.3 3 Credit Suisse First Boston 468.0 9 2.8 2 Goldman Sachs & Co 425.0 10 2.5 2 Industry Total 17,011.1 - 100.0 27 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 54.1 1 Credit Suisse First Boston 350.0 2 18.9 1 Morgan Stanley 250.0 3* 13.5 1 ABN AMRO 250.0 3* 13.5 1 Industry Total 1,850.0 - 100.0 3 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 Countrywide Securities Corp 17,968.1 1 11.1 18 Royal Bank of Scotland Group 17,620.3 2 10.9 32 Lehman Brothers 17,181.0 3 10.6 30 Bear Stearns & Co Inc 12,349.6 4 7.6 25 Deutsche Bank AG 11,898.5 5 7.4 33 Morgan Stanley 11,872.9 6 7.4 23 Citigroup 11,325.4 7 7.0 33 Credit Suisse First Boston 11,016.2 8 6.8 23 Merrill Lynch & Co Inc 9,919.5 9 6.1 18 Banc of America Securities LLC 8,820.5 10 5.5 28 Industry Total 161,540.9 - 100.0 288 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 Merrill Lynch & Co Inc 3,535.9 1 19.4 4 JP Morgan 2,254.7 2 12.4 5 Citigroup 2,254.4 3 12.4 3 Deutsche Bank AG 2,221.3 4 12.2 3 Credit Suisse First Boston 1,876.0 5 10.3 3 Banc of America Securities LLC 1,781.4 6 9.8 2 Morgan Stanley 1,521.5 7 8.4 4 UBS 1,301.4 8 7.1 2 Lehman Brothers 1,012.6 9 5.6 2 RBC Capital Markets 462.0 10 2.5 1 Industry Total 18,221.2 - 100.0 17 Source: Thomson Financial

Year to date as of May 12 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 Auto Loans/Recs 26,115 21,112 5,003 22,158 3,957 10,095 11,780 4,240 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 2,470 786 1,685 2,470 1,818 168 485 Corporate Loans 2,571 147 2,424 2,571 1,951 478 142 Credit Card Rec 17,011 7,798 9,213 15,301 1,710 13,226 2,736 200 849 Debentures 1,296 1,296 1,296 1,296 Equip Loans Equip. Leases 2,540 2,290 250 2,290 250 1,664 626 250 Floorplan Recs 1,850 1,850 1,850 1,500 350 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 404 27 377 404 404 Mixed Collateral 1,381 7 1,374 1,381 1,000 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,114 2,114 2,114 313 1,297 504 Mutual Fund Fees 331 331 331 331 Non-Jumbo Mtg Ln 40,138 17,252 22,369 39,204 934 24,971 7,089 7,880 80 105 Oil Receivables Preferred Sec 2,070 1,019 1,052 2,070 1,726 158 186 Prv Issued Sec 858 682 175 858 858 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 121,403 75,948 45,455 105,337 16,066 87,519 21,904 10,746 955 279 Sm Business Loan Struc Fin Credit 9,757 4,742 5,015 9,757 2,936 1,111 4,683 1,002 Student Loans 18,221 378 16,624 14,633 3,588 8,611 2,663 2,760 2,379 1,808 Tax Liens Ticket Rec Timeshare Loans Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 47% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 10% Student Loans 7% Credit Card Rec 7% Other 13%

Rev Cred/Home Eq 49% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 13%

Rev Cred/Home Eq 49% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 13%

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Merrill Lynch & Co Inc 2,535.9 1 15.4 3 JP Morgan 2,254.7 2 13.7 5 Citigroup 2,254.4 3 13.7 3 Deutsche Bank AG 2,221.3 4 13.5 3 Credit Suisse First Boston 1,876.0 5 11.4 3 Banc of America Securities LLC 1,781.4 6 10.8 2 Morgan Stanley 1,521.5 7 9.3 4 Lehman Brothers 1,012.6 8 6.2 2 UBS 530.0 9 3.2 1 RBC Capital Markets 462.0 10 2.8 1 Industry Total 16,449.8 - 100.0 15 Source: Thomson Financial

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Spreads for The Metris Companies series 2004-1 credit card ABS tightened on last week's news that it had finalized terms on a $300 million three-year unsecured Libor floater via Goldman Sachs. This completes a funding plan that injects $500 million into the company's coffers and allows it access to a previously announced $800 million conduit facility.