ABS

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 2,915.8 1 18.0 4 Deutsche Bank AG 2,801.0 2 17.3 3 Merrill Lynch & Co Inc 2,301.0 3 14.2 2 Banc of America Securities LLC 2,027.7 4 12.5 3 Credit Suisse 1,698.4 5 10.5 3 Lehman Brothers 1,284.7 6 7.9 1 Goldman Sachs & Co 1,255.5 7 7.7 1 UBS 450.4 8 2.8 1 SunTrust Banks 382.5 9 2.4 1 Industry Total 16,222.9 - 100.0 11 Source: Thomson Financial

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 74% structured settlements 0% student loan ABS 8% trade receivables 0%

When a New Jersey state senator proposed nearly two weeks ago to raise $6 billion by selling half of the state's two major highways to shareholders, it wasn't just another New Jersey Turnpike joke. Instead, it was a sign that there is growing incentive among several sectors for innovative toll road financing. That, according to some ABS market professionals, includes toll road securitization in the U.S.

An arbiter's ruling last week might prompt several tobacco companies to reduce pending April payments to states under the 1998 Master Settlement Agreement (MSA). Although these cash flows are used to securitize billions of dollars in ABS deals, market sources only expect the potential shortfall to adversely affect the scheduled turbo payments on those deals.

Moody's Investors Service last week unveiled a new service aimed at helping a burgeoning class of U.S. cash CDO equity investors - mostly hedge funds - track how well their investments are performing. The rating agency will begin providing monthly reports, called the Moody's Equity Score Report,' on such indicators as internal rate of return, dividend and yield distributions and the most recent year's equity payment. In the first release of this report, Moody's analysts found that emerging market CDO equity pieces yielded the highest returns compared to other asset classes, while high yield CBOs were more likely to disappoint their investors.

The franchise loan sector, which saw no traditional loan pools securitized in 2005, is expected to begin a slow turnaround in 2006, with stabilizing loan pools and improvements in the underlying franchise business operations. But it will be a hard-won recovery, predict analysts from Fitch Ratings. They are maintaining a negative outlook on the sector as they expect more credit downgrades versus upgrades going forward.

Year to date as of 03/30 Term (days) 03/24 03/27 03/28 03/29 03/30 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 4,260.2 1 23.4 9 JP Morgan 3,956.1 2 21.8 10 Deutsche Bank AG 2,020.4 3 11.1 7 Barclays Capital 1,725.5 4 9.5 4 Royal Bank of Scotland Group 1,606.8 5 8.8 3 Merrill Lynch & Co Inc 1,250.0 6 6.9 3 Credit Suisse 950.0 7 5.2 2 Wachovia Corp 939.0 8 5.2 3 Bear Stearns & Co Inc 824.9 9 4.5 1 Goldman Sachs & Co 411.2 10 2.3 1 Industry Total 18,189.0 - 100.0 21 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 5,666.8 1 14.8 8 Citigroup 4,979.7 2 13.0 10 UBS 4,764.0 3 12.4 11 Banc of America Securities LLC 3,815.4 4 10.0 12 Deutsche Bank AG 3,804.0 5 9.9 6 Bear Stearns & Co Inc 3,551.6 6 9.3 8 Credit Suisse 3,107.4 7 8.1 4 Morgan Stanley 2,107.5 8 5.5 11 Wachovia Corp 1,857.3 9 4.9 6 Royal Bank of Scotland Group 1,621.8 10 4.2 3 Industry Total 38,292.0 - 100.0 88 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 JP Morgan 5,974.7 1 30.7 11 Citigroup 4,447.1 2 22.9 8 Banc of America Securities LLC 3,723.3 3 19.1 6 Deutsche Bank AG 1,850.0 4 9.5 5 Morgan Stanley 1,829.0 5 9.4 2 Credit Suisse 625.0 6 3.2 2 Barclays Capital 500.0 7 2.6 1 Lehman Brothers 250.0 8 1.3 1 Wachovia Corp 249.9 9 1.3 1 Industry Total 19,449.0 - 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 14,881.2 1 12.3 28 Morgan Stanley 13,244.8 2 10.9 17 Lehman Brothers 12,605.6 3 10.4 27 Deutsche Bank AG 9,914.1 4 8.2 16 Citigroup 9,339.0 5 7.7 22 JP Morgan 9,275.4 6 7.6 14 Merrill Lynch & Co Inc 8,840.2 7 7.3 12 Royal Bank of Scotland Group 6,717.5 8 5.5 11 Barclays Capital 6,061.1 9 5.0 13 Bear Stearns & Co Inc 5,411.1 10 4.5 17 Industry Total 121,414.0 - 100.0 199 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 2,915.8 1 20.9 4 Deutsche Bank AG 2,053.0 2 14.7 2 Banc of America Securities LLC 2,027.7 3 14.5 3 Merrill Lynch & Co Inc 1,553.0 4 11.1 1 Lehman Brothers 1,284.7 5 9.2 1 Goldman Sachs & Co 1,255.5 6 9.0 1 Credit Suisse 950.4 7 6.8 2 UBS 450.4 8 3.2 1 SunTrust Banks 382.5 9 2.7 1 Industry Total 13,978.9 - 100.0 10 Source: Thomson Financial

auto ABS 9% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 75% structured settlements 0% student loan ABS 6% trade receivables 0%

The bankruptcy filing of troubled auto parts supplier Delphi Corp. late last year is known as the largest corporate credit event to rattle the credit default swap market to date - with more than $20 billion in total notional exposure. That makes the way in which the Delphi-linked CDS trades were settled a lesson for future evaluation procedures for a number of market participants. And while the $12 trillion - and growing - credit default swap market is expected to require a heavier reliance on an optional International Swaps and Derivatives Association's method for settling CDS index trades, events such as the Delphi bankruptcy last year illustrated that substantial price differences exist between bonds valued using the protocol and those using other settlement methods, primarily because prices were determined under the index protocol method some 40 days sooner on average.

ABS and MBS servicers - particularly those that use derivatives to hedge against fluctuations in the fair value of the assets that they oversee - had another cause to raise a pint on St. Patrick's Day, after the Financial Accounting Standards Board (FASB) issued guidelines that simplified the accounting for servicing assets and liabilities for most MBS deals.

Though still a drop in the bucket relative to the overall CDO market, interest in commercial real estate-backed deals has picked up to the point that mezzanine lenders are now getting into the act. RAIT Investment Trust, a mortgage REIT formed in 1998 that specializes in small mezzanine loans, plans to issue its first CDO sometime next quarter. Should that go well, it aims to issue another before the end of the year.

The ABS market got off to a robust start last week, as issuers posted $5.3 billion in deals on Monday. There was good news and bad news coming from the subprime residential mortgage sector. One-month prepayments of fixed- and adjustable-rate subprime RMBS declined across most vintages in February, according to Michael Youngblood, managing director of ABS research at Friedman Billings Ramsey, a trend that is expected to continue through March. At the same time, however, default rates also rose across most vintages.

Merrill Lynch, along with Pierce, Fenner & Smith, will bring to the market this week yet another in a string of CDOs that incorporate both funded and unfunded assets and liabilities. The $1.5 billion Bernoulli High Grade CDO I will be the first CDO managed by Babcock & Brown Securities, a subsidiary of Sydney, Australia-based investment firm Babcock & Brown.

Cigarette sales reached an historic 55-year low in the U.S., according to a survey by the National Association of Attorneys General (NAAG) that came out earlier this month. Cigarette companies are also complaining about other pressures that threaten their businesses. However, the negative headlines should not be a near-term problem for tobacco securitizations that have continued to come to market this year after a yearlong absence, according to Fitch Ratings.

Despite declining retail business, resulting in lower levels of managed receivables available to back securitized bonds, Ford Motor Credit Co., the financing unit of Ford Motor Co., plans to issue more ABS backed by auto loans and leases in 2006.