CDOs

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 4,395.8 1 17.0 8 UBS 3,517.0 2 13.6 5 Wachovia Corp 2,882.6 3 11.2 11 Deutsche Bank AG 1,968.7 4 7.6 5 Credit Suisse First Boston 1,772.4 5 6.9 4 Bear Stearns & Co Inc 1,549.8 6 6.0 5 Citigroup 1,457.7 7 5.6 8 Banc of America Securities LLC 1,215.9 8 4.7 7 RBS Greenwich Capital 1,005.8 9 3.9 3 BNP Paribas SA 919.5 10 3.6 1 Industry Total 25,844.8 - 100.0 70 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 4,515.0 1 22.6 10 JP Morgan 3,875.0 2 19.4 6 Banc One Capital Markets 3,350.0 3 16.8 5 Lehman Brothers 2,391.1 4 12.0 7 Barclays Capital 2,049.4 5 10.3 4 Deutsche Bank AG 1,024.7 6 5.1 4 Merrill Lynch & Co Inc 818.9 7 4.1 3 Banc of America Securities LLC 568.0 8 2.9 3 Credit Suisse First Boston 468.0 9 2.3 2 Goldman Sachs & Co 425.0 10 2.1 2 Industry Total 19,960.1 - 100.0 34 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 23,509.3 1 13.0 20 Lehman Brothers 20,125.8 2 11.1 37 RBS Greenwich Capital 18,121.9 3 10.0 32 Credit Suisse First Boston 15,095.1 4 8.3 28 Citigroup 13,280.6 5 7.3 37 Morgan Stanley 12,616.8 6 7.0 26 Deutsche Bank AG 12,337.3 7 6.8 37 Bear Stearns & Co Inc 12,107.0 8 6.7 24 Merrill Lynch & Co Inc 11,541.4 9 6.4 21 Banc of America Securities LLC 9,394.0 10 5.2 31 Industry Total 181,452.1 - 100.0 316 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 1,708.0 1 40.8 3 Credit Suisse First Boston 1,058.0 2 25.3 3 HSBC Holdings PLC 708.0 3 16.9 2 Morgan Stanley 250.0 4* 6.0 1 ABN AMRO 250.0 4* 6.0 1 Banc of America Securities LLC 212.0 6 5.1 1 Industry Total 4,186.0 - 100.0 6 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 4,289.7 1 20.2 5 Citigroup 2,988.1 2 14.1 4 JP Morgan 2,338.4 3 11.0 5 Morgan Stanley 2,275.2 4 10.7 5 Deutsche Bank AG 2,221.3 5 10.5 3 UBS 1,951.4 6 9.2 3 Credit Suisse First Boston 1,876.0 7 8.9 3 Banc of America Securities LLC 1,781.4 8 8.4 2 Lehman Brothers 1,012.6 9 4.8 2 RBC Capital Markets 462.0 10 2.2 1 Industry Total 21,196.2 - 100.0 19 Source: Thomson Financial

Year to date as of May 26 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 27,954 24,336 3,618 23,997 3,957 10,187 13,121 4,645 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 3,116 966 2,150 3,116 1,839 746 45 485 Corporate Loans 2,871 165 2,706 2,871 1,969 478 424 Credit Card Rec 19,960 9,599 10,361 18,166 1,794 14,724 3,787 200 1,249 Debentures 1,296 1,296 1,296 1,296 Equip Loans Equip. Leases 3,188 2,938 250 2,938 250 1,847 1,091 250 Floorplan Recs 4,186 4,186 4,062 124 3,836 350 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 1,381 7 1,374 1,381 1,000 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 331 331 331 331 Non-Jumbo Mtg Ln 42,373 17,718 24,136 41,439 934 26,184 7,763 8,165 139 108 Oil Receivables Preferred Sec 2,382 1,053 1,330 2,382 2,038 158 186 Prv Issued Sec 484 159 325 484 484 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 139,079 79,445 58,657 120,729 18,350 87,424 35,644 14,316 1,244 450 Sm Business Loan 200 200 200 200 Struc Fin Credit 10,905 4,799 6,106 10,905 3,198 1,496 4,730 1,392 Student Loans 21,196 378 19,332 17,608 3,588 10,286 2,956 3,067 3,079 1,808 Tax Liens Ticket Rec Timeshare Loans 621 386 236 621 471 150 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 10% Student Loans 7% Credit Card Rec 7% Other 14%

One of the CDO market's best innovators, AXA Investment Management, is said to have a first-of-its-kind, actively managed single-tranche issuance vehicle in the works via JPMorgan Securities.

Fitch Ratings was the beneficiary of a recent dispute between student lender Alaska Student Loan Corp. and Moody's Investors Service, in which the issuer claims it was dissatisfied with the customer service it received from the ABS market's leading rating agency. For its part, Moody's claims that it was asked to remove its rating from the 2002 and 2003 series of tax-free student loan ABS after expressing concern over potentially eroding credit protection as the trust issues additional transactions.

After a recent hiring binge, HSBC is outfitted to make its mark in term ABS.

The issuer formerly known as Oncor Electric made its long-awaited return to the ABS market late last week, announcing a $790 stranded cost ABS expected to price this week. After the transaction was renamed to TXU Electric Delivery Transition Bond 2004-1 from the initial Oncor Electric Delivery Transition Bond 2004-1, investors saw one of the more structurally distinctive offerings in some time.

Equity holders in a fund often seek out replacement managers for ailing collateralized debt obligations (CDOs) based on the strength of the replacement portfolio manager's track record. But rarely, if ever, has a firm established a distinct replacement manager business whereby the firm proactively targets poorly performing CDOs that need replacement managers. That's exactly what Prudential Investment Management (PIM) is doing.

GMAC Commercial Holding Capital Markets Corp. is planning a unique revolving structure CDO, expected to hit the market sometime this week, sources said. The $370 million transaction, named Capital Trust, will be backed by previously issued B piece and mezzanine tranches of CMBS retained or purchased by GMAC Commercial Mortgage, which it will be able to rotate in and out of the trust.

Activity has picked up in the asset-backed commercial paper market in recent weeks - with a few large deals closing - though outstandings, as measured by Federal Reserve, still show flat to declining ABCP.

The primary ABS market looked relatively lively last week, issuing $15.8 billion in new supply - close to double the combined volume of the preceding two weeks. The steady clip was spurred on by $8.5 billion in global RMBS supply.

With the $114.5 million WRAPS series 2004-1 transaction in the market last week, Wachovia Securities became the second bank to take distressed outstanding aircraft ABS, buttress it with safer cashflows and repackage it into a new, higher-rated security. The deal, expected to price mid to late this week, is a re-securitization of the A-9 tranche of Airplanes Passthrough Trust 2001-1, which has also been repackaged by rival and original transaction underwriter Morgan Stanley.

Not surprisingly, the rapid development of a secondary market for CDOs is still a hot issue, as expressed by the several hundred in attendance at a presentation at last week's Global Credit Conference, hosted by Bear Stearns in New York.

When Citigroup Inc. bought Sears, Roebuck and Co.'s $29 billion credit card portfolio last year, the companies cast the deal very much as a partnership rather than a takeover.

Year to date as of 05/20 Term (days) 05/14 05/17 05/18 05/19 05/20 1-week

2004 2003 2002 ABS (Public and 144A) 274,319 210,151 160,209 ABS (Public and 144A excluding CDOs) 248,506 198,144 142,138 ABS (Public Only) 216,891 173,261 129,149 ABS (144A Only) 57,428 36,890 31,060 Non-Agency MBS 96,552 109,909 72,177 Agency MBS 130,490 295,127 184,331 CMBS 28,332 22,891 17,643 Source: Thomson Financial