CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Deutsche Bank AG 10,833.7 1 13.7 17 Morgan Stanley 10,411.8 2 13.1 13 Royal Bank of Scotland Group 7,970.2 3 10.1 15 Credit Suisse First Boston 7,508.8 4 9.5 19 Merrill Lynch & Co Inc 6,188.6 5 7.8 7 Countrywide Securities Corp 5,836.0 6 7.4 6 Lehman Brothers 5,651.8 7 7.1 17 Citigroup 4,904.8 8 6.2 11 Bear Stearns & Co Inc 4,849.8 9 6.1 11 Goldman Sachs & Co 3,171.3 10 4.0 5 Industry Total 79,208.1 - 100.0 118 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 1,645.9 1 17.4 2 Morgan Stanley 1,540.6 2 16.2 1 UBS 1,447.2 3 15.3 3 Banc of America Securities LLC 1,333.5 4 14.1 2 Citigroup 1,330.0 5 14.0 2 Lehman Brothers 1,012.4 6 10.7 1 Deutsche Bank AG 817.2 7 8.6 2 JP Morgan 317.2 8 3.3 1 Goldman Sachs & Co 40.0 9 0.4 1 Industry Total 9,484.0 - 100.0 7 Source: Thomson Financial

Year to date as of Mar 2 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 126 126 126 126 Auto Loans/Recs 41,391 36,622 4,769 35,132 6,259 16,580 18,742 6,069 Comm. Mtg 2,899 1,294 1,605 2,899 1,261 229 829 540 Commercial Loans Corp Bond/Note 3,846 1,696 2,150 3,846 2,569 746 45 485 Corporate Loans 5,352 286 5,066 5,352 2,480 395 370 1,192 914 Credit Card Rec 28,632 10,299 18,333 24,659 3,974 19,334 1,400 5,749 900 1,249 Debentures 2,122 2,122 2,122 2,122 Equip Loans Equip. Leases 4,744 4,469 275 4,164 580 2,293 1,388 554 221 289 Floorplan Recs 8,026 840 7,186 7,902 124 4,014 830 3,182 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 501 331 170 501 501 Non-Jumbo Mtg Ln 68,520 31,864 33,291 65,728 2,793 41,621 14,956 10,760 849 319 Oil Receivables Preferred Sec 3,597 2,268 1,330 3,597 3,253 158 186 Prv Issued Sec 1,852 1,079 380 590 1,262 1,852 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 216,332 125,057 77,504 186,006 30,325 143,388 44,757 25,956 1,606 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 14,838 6,458 8,380 14,838 5,807 2,507 4,928 1,508 Student Loans 30,626 6,957 21,983 25,639 4,986 17,780 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 635 386 250 635 336 300 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 48% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 6% Other 15%

At this year's ABS West 2005 conference, United Capital Markets president John Devaney outlined his firm's expansion plans in the coming 12 to 24 months, although few of the chattering conference attendees were listening. Following the recent hiring of CFO Linda Hannan and last week's poaching of secondary trader Randall White, Devaney is ready to execute his strategy, which includes investment banking activity, publishing research and raising funds in the capital markets - selling both debt and equity - as well as a move into high-yield corporate trading.

AmeriQuest Mortgage came to market with a $1.2 billion series 2005-R2 deal last week that was apparently unhindered by the company's highly publicized legal troubles earlier this month. In the beginning of February, just as the ABS West 2005 conference was underway, the Los Angeles Times broke that AmeriQuest was being sued in California and 20 other states for improper lending practices ranging from forging documents to lying about borrower's income, in order to qualify them for loans they otherwise could not afford. According to one source, the company made sure to cover its tracks and smooth the way for last week's transaction, which priced inside of initial guidance.

Issuance in the U.S. ABS primary market slowed considerably during the week following the Presidents' day holiday. As of last Thursday evening, just shy of $3.5 billion had priced, compared with the robust $18 billion that made the rounds the week prior.

The recent Boston Edison Co. $675 million rate reduction bond deal priced to record tight spreads for the sector, coming on the heels of a $1.9 billion rate reduction bond deal from Pacific Gas and Electric Co. last month that also re-priced the sector (see ASR, 2/7/05). Goldman Sachs and Lehman Brothers led the four-tranche deal tagged Massachusetts RRB 2005-1.

Securitization professionals Tom Capasse and Jack Ross entered into a partnership with long-time asset manager M.D. Sass to start a new distressed ABS opportunity hedge fund.

A barrage of ratings actions assaulted the harrowed manufactured housing sector with all three major rating agencies taking action on transactions from seven different issuers in the past three weeks. Six of the seven issuers had deals downgraded, mostly due to higher-than-expected defaults and loss severities. Only one issuer, Vanderbilt Mortgage, actually had its deals upgraded. "This is likely the result of the agencies doing their yearly reviews and realizing that many existing transactions are still on a trend of poor performance," speculated one rating analyst, who didn't want to be named commenting on competitor's activity.

Cashflows servicing outstanding ABS backed by tobacco litigation fees could still be in jeopardy should the Department of Justice be successful in its efforts to appeal a recent federal appellate court ruling.

Rating agencies have always had different views of asset correlation assumptions, so when it comes to rating synthetic CDOs, methodologies vary so widely investors have felt less than concrete with the guidance given.

Year to date as of 02/24 Term (days) 02/18 02/21 02/22 02/23 02/24 1-week

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 2,663.9 1 20.3 4 Deutsche Bank AG 2,027.7 2 15.4 3 Merrill Lynch & Co Inc 2,022.8 3 15.4 3 Barclays Capital 1,388.5 4 10.6 3 Citigroup 1,378.1 5 10.5 3 Goldman Sachs & Co 1,289.0 6 9.8 1 JP Morgan 1,096.0 7 8.3 3 Wachovia Corp 996.0 8 7.6 3 BNP Paribas SA 146.0 9 1.1 1 ABN AMRO 146.0 9 1.1 1 Industry Total 13,153.9 - 100.0 11 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 1,502.0 1 41.9 2 Morgan Stanley 900.9 2 25.1 3 JP Morgan 685.0 3 19.1 1 Wachovia Corp 300.0 4 8.4 1 Credit Suisse First Boston 100.0 5 2.8 1 Lehman Brothers 98.0 6 2.7 1 Industry Total 3,585.9 - 100.0 9 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 Morgan Stanley 1,579.0 1 96.8 1 Deutsche Bank AG 17.6 2 1.1 1 Barclays Capital 17.6 2 1.1 1 Banc of America Securities LLC 17.6 2 1.1 1 Industry Total 1,631.8 - 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 - - - - - Industry 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 Morgan Stanley 9,777.0 1 14.5 13 Deutsche Bank AG 8,554.6 2 12.7 12 Royal Bank of Scotland Group 6,872.1 3 10.2 13 Credit Suisse First Boston 6,505.1 4 9.7 15 Merrill Lynch & Co Inc 5,457.1 5 8.1 7 Lehman Brothers 4,542.6 6 6.8 13 Citigroup 4,500.8 7 6.7 9 Countrywide Securities Corp 4,078.3 8 6.1 4 Bear Stearns & Co Inc 3,637.0 9 5.4 9 Goldman Sachs & Co 2,878.1 10 4.3 4 Industry Total 67,244.7 - 100.0 96 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 1,645.9 1 17.4 2 Morgan Stanley 1,540.6 2 16.3 1 UBS 1,433.3 3 15.2 3 Banc of America Securities LLC 1,333.5 4 14.1 2 Citigroup 1,330.0 5 14.1 2 Lehman Brothers 1,012.4 6 10.7 1 Deutsche Bank AG 803.3 7 8.5 2 JP Morgan 303.3 8 3.2 1 Goldman Sachs & Co 40.0 9 0.4 1 Industry Total 9,442.5 - 100.0 7 Source: Thomson Financial

Year to date as of Feb 23 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 126 126 126 126 Auto Loans/Recs 41,391 36,622 4,769 35,132 6,259 16,580 18,742 6,069 Comm. Mtg 2,899 1,294 1,605 2,899 1,261 229 829 540 Commercial Loans Corp Bond/Note 3,846 1,696 2,150 3,846 2,569 746 45 485 Corporate Loans 5,352 286 5,066 5,352 2,480 395 370 1,192 914 Credit Card Rec 28,632 10,299 18,333 24,659 3,974 19,334 1,400 5,749 900 1,249 Debentures 2,122 2,122 2,122 2,122 Equip Loans Equip. Leases 4,744 4,469 275 4,164 580 2,293 1,388 554 221 289 Floorplan Recs 8,026 840 7,186 7,902 124 4,014 830 3,182 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 501 331 170 501 501 Non-Jumbo Mtg Ln 68,520 31,864 33,291 65,728 2,793 41,621 14,956 10,760 849 319 Oil Receivables Preferred Sec 3,597 2,268 1,330 3,597 3,253 158 186 Prv Issued Sec 1,852 1,079 380 590 1,262 1,852 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 216,332 125,057 77,504 186,006 30,325 143,388 44,757 25,956 1,606 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 14,838 6,458 8,380 14,838 5,807 2,507 4,928 1,508 Student Loans 30,626 6,957 21,983 25,639 4,986 17,780 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 635 386 250 635 336 300 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