ABS

2004 2003 2002 ABS (Public and 144A) 150,845 121,339 99,613 ABS (Public and 144A excluding CDOs) 134,225 115,104 90,735 ABS (Public Only) 123,719 104,380 81,926 ABS (144A Only) 27,126 16,959 17,688 Non-Agency MBS 41,804 63,234 40,478 Agency MBS 46,451 215,452 127,204 CMBS 10,773 11,957 9,170 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 4,497.4 1 26.4 5 Deutsche Bank AG 3,292.0 2 19.3 5 JP Morgan 2,892.7 3 17.0 4 Banc of America Securities LLC 1,263.5 4 7.4 2 Goldman Sachs & Co 1,256.2 5 7.4 1 Credit Suisse First Boston 1,242.7 6 7.3 3 Barclays Capital 977.7 7 5.7 2 Merrill Lynch & Co Inc 815.0 8 4.8 1 Banc One Capital Markets 675.0 9 4.0 2 Royal Bank of Scotland Group 133.0 10 0.8 1 Industry Total 17,045.2 - 100.0 16 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 UBS 2,172.0 1 20.5 3 Merrill Lynch & Co Inc 1,614.9 2 15.2 4 Citigroup 1,516.0 3 14.3 4 BNP Paribas SA 919.5 4 8.7 1 Bear Stearns & Co Inc 658.9 5 6.2 2 Royal Bank of Scotland Group 603.8 6 5.7 2 Wachovia Corp 510.0 7 4.8 4 First Tennessee Bank 492.3 8 4.6 1 Deutsche Bank AG 435.4 9 4.1 1 Banc of America Securities LLC 380.9 10 3.6 2 Industry Total 10,603.6 - 100.0 26 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 3,100.4 1 24.6 4 Banc One Capital Markets 2,775.0 2 22.0 4 JP Morgan 2,025.0 3 16.1 4 Lehman Brothers 1,400.0 4 11.1 4 Barclays Capital 1,125.0 5 8.9 2 Merrill Lynch & Co Inc 752.2 6 6.0 2 Morgan Stanley 375.0 7 3.0 1 Goldman Sachs & Co 350.0 8 2.8 1 Credit Suisse First Boston 250.0 9* 2.0 1 Banc of America Securities LLC 250.0 9* 2.0 1 Industry Total 12,602.6 - 100.0 19 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 74.1 1 Credit Suisse First Boston 350.0 2 25.9 1 Industry Total 1,350.0 - 100.0 2 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 Royal Bank of Scotland Group 11,412.0 1 12.0 17 Lehman Brothers 10,094.4 2 10.6 22 Citigroup 8,755.9 3 9.2 22 Morgan Stanley 8,445.7 4 8.9 15 Deutsche Bank AG 7,180.6 5 7.6 22 Merrill Lynch & Co Inc 7,168.6 6 7.6 10 Credit Suisse First Boston 7,096.2 7 7.5 15 UBS 6,018.5 8 6.3 7 Countrywide Securities Corp 5,335.2 9 5.6 5 Banc of America Securities LLC 4,843.1 10 5.1 15 Industry Total 94,926.0 - 100.0 150 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 1,869.4 1 18.3 3 Banc of America Securities LLC 1,531.4 2 15.0 2 Merrill Lynch & Co Inc 1,266.2 3* 12.4 2 JP Morgan 1,266.2 3* 12.4 2 Morgan Stanley 1,012.6 5* 9.9 2 Lehman Brothers 1,012.6 5* 9.9 2 Citigroup 781.4 7 7.6 1 UBS 530.0 8 5.2 1 Deutsche Bank AG 489.9 9 4.8 1 RBC Capital Markets 462.0 10 4.5 1 Industry Total 10,221.5 - 100.0 9 Source: Thomson Financial

The cheapness in five-year fixed-rate home equity ABS has narrowed early this year, sparking debate as to whether any potential extension risk is worth the spread pickup. Since five-year home equities widened to over 90 basis points over Libor in 4Q03, investors have bid spreads into roughly 70 basis points over, but the pickup between the two sectors remains well outside of historical levels.

Shrugging off a year of relative inactivity, ABCP market participants are hopeful, if not optimistic, that the sector will begin growing again in 2004, now that many of the past year's concerns are being flushed through the market.

Despite ratings volatility and concerns over near-term ABS coming due, the outlook on Mitsubishi Motors Credit of America (MMCA) retail auto ABS is not as grim as it appeared a year ago, according to research from Barclays Capital.

Legacy Benefits Corp. recently closed what may be the first true senior settlements securitization, a $70 million transaction led by Merrill Lynch.

Primary U.S. ABS issuance slowed last week, to the tune of $8.3 billion, as the focus on mortgage ABS continued. With the credit card sector accounting for under $1 billion and auto-related supply just topping $1 billion, the home equity sector once again led the way, with a little help from the student loan sector.

The Blackstone Group has decided to bypass the bank loan market to finance its $3.1 billion acquisition of Extended Stay America. Instead, the private equity firm is financing the hotel chain buyout with commercial mortgage-backed securities (CMBS), according to a market source. The news came after investors had been looking forward to sinking their teeth into the hefty $2.7 billion new money bank credit that was expected to back the acquisition. Bear Stearns, who advised Blackstone on the acquisition, and Bank of America were earmarked to arrange the deal's financing at the time it was announced earlier this month.

Nearly two years after re-entering the U.S. ABS market, UBS will look to expand its business throughout 2004, moving into the auto loan and credit card sectors of the market. Known primarily for its mortgage-related and CDO presence, UBS is making inroads into both the prime and non-prime sectors of the consumer sectors, activity it expects will make the underwriter more visible in the second half of the year.

With its first-ever term Libor floater under its belt, nonprofit student lender NorthStar Capital Markets is the latest name in the rapidly growing sector. But unlike some new entrants, NorthStar plans on a more tempered approach to securitization. The primarily graduate-and professional-school lender does not plan to flood the market with ABS, but will offer just one deal a year, according to Chief Financial Officer Jamie Wolfe.

Moody's Investors Service withdrew its rating on $152 million in senior notes and $19 million in second priority senior notes, due Dec. 12, 2008, issued by Aeltus CBO Limited, a CDO that closed in December 1996.

Panelists at last week's ABCP conference, hosted by the Strategic Research Institute, expect CDOs and other traditionally term ABS vehicles to continue incorporating short-term instruments into their structures, so long as the funding curve remains steep.

NordLB has structured the capability to issue ECP into its Hannover Funding ABCP conduit. Hannover can issue in both euro and sterling commercial paper, and intends to do so as a way to mitigate the use of a currency swap when originating non-dollar assets. Hannover's back-office administration is handled by Global Securitization Services, which is able to issue the CP through its London office. NordLB has yet to originate its first non-dollar asset, but expects this to happen imminently.

Year to date as of 03/24 Term (days) 03/18 03/19 03/22 03/23 03/24 1-week

2004 2003 2002 ABS (Public and 144A) 133,498 103,766 80,727 ABS (Public and 144A excluding CDOs) 125,857 97,882 72,294 ABS (Public Only) 111,709 88,991 66,662 ABS (144A Only) 21,789 14,776 14,065 Non-Agency MBS 40,628 50,562 30,445 Agency MBS 39,445 202,601 108,842 CMBS 10,767 9,524 8,115 Source: Thomson Financial