CDOs

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 21.7 7 JP Morgan 4,588.9 2 16.7 7 Deutsche Bank AG 4,467.4 3 16.2 8 Banc of America Securities LLC 3,105.2 4 11.3 6 Credit Suisse First Boston 1,927.0 5 7.0 5 Goldman Sachs & Co 1,256.2 6 4.6 1 Barclays Capital 1,162.0 7 4.2 4 Lehman Brothers 870.7 8 3.2 2 Morgan Stanley 820.1 9 3.0 2 Merrill Lynch & Co Inc 815.0 10 3.0 1 Industry Total 27,503.6 - 100.0 30 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 4,395.8 1 17.0 8 UBS 3,517.0 2 13.6 5 Wachovia Corp 2,682.6 3 10.4 9 Deutsche Bank AG 1,968.7 4 7.6 5 Credit Suisse First Boston 1,772.4 5 6.9 4 Citigroup 1,457.7 6 5.7 8 Banc of America Securities LLC 1,215.9 7 4.7 7 Bear Stearns & Co Inc 1,194.3 8 4.6 4 Royal Bank of Scotland Group 1,005.8 9 3.9 3 BNP Paribas SA 919.5 10 3.6 1 Industry Total 25,813.1 - 100.0 68 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 19.7 5 BANK ONE Corp 3,350.0 2 19.1 5 JP Morgan 2,625.0 3 15.0 5 Lehman Brothers 2,324.4 4 13.3 6 Barclays Capital 2,049.4 5 11.7 4 Deutsche Bank AG 1,024.7 6 5.9 4 Merrill Lynch & Co Inc 752.2 7 4.3 2 Banc of America Securities LLC 568.0 8 3.2 3 Credit Suisse First Boston 468.0 9 2.7 2 Goldman Sachs & Co 425.0 10 2.4 2 Industry Total 17,511.1 - 100.0 28 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 43.0 3 Credit Suisse First Boston 1,058.0 2 26.6 3 HSBC Holdings PLC 708.0 3 17.8 2 Morgan Stanley 250.0 4* 6.3 1 ABN AMRO 250.0 4* 6.3 1 Industry Total 3,974.0 - 100.0 5 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 Lehman Brothers 19,787.3 1 11.6 35 Royal Bank of Scotland Group 18,364.5 2 10.8 33 Countrywide Securities Corp 17,966.5 3 10.5 18 Citigroup 12,878.9 4 7.5 35 Credit Suisse First Boston 12,620.1 5 7.4 25 Bear Stearns & Co Inc 12,349.6 6 7.2 25 Deutsche Bank AG 11,922.3 7 7.0 35 Morgan Stanley 11,896.8 8 7.0 25 Merrill Lynch & Co Inc 11,541.4 9 6.8 21 Banc of America Securities LLC 8,820.3 10 5.2 28 Industry Total 170,708.2 - 100.0 301 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 18.0 4 Citigroup 2,988.1 2 15.2 4 JP Morgan 2,338.4 3 11.9 5 Deutsche Bank AG 2,221.3 4 11.3 3 UBS 1,951.4 5 9.9 3 Credit Suisse First Boston 1,876.0 6 9.5 3 Banc of America Securities LLC 1,781.4 7 9.1 2 Morgan Stanley 1,521.5 8 7.7 4 Lehman Brothers 1,012.6 9 5.1 2 RBC Capital Markets 462.0 10 2.4 1 Industry Total 19,688.6 - 100.0 18 Source: Thomson Financial

Year to date as of May 19 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 27,504 22,500 5,003 23,547 3,957 10,095 12,874 4,534 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 2,916 786 2,130 2,916 1,839 546 45 485 Corporate Loans 2,871 165 2,706 2,871 1,969 478 424 Credit Card Rec 17,511 7,798 9,713 15,801 1,710 13,226 3,236 200 849 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 3,974 3,974 3,850 124 3,624 350 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 819 64 754 819 38 781 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 41,905 17,250 24,136 40,971 934 25,716 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 1,008 682 325 1,008 1,008 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 128,803 74,802 54,001 110,980 17,823 86,167 28,044 13,145 1,168 279 Sm Business Loan Struc Fin Credit 10,905 4,799 6,106 10,905 3,198 1,496 4,730 1,392 Student Loans 19,689 378 17,824 16,101 3,588 8,778 2,956 3,067 3,079 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 15% Auto Loans/Recs 10% Student Loans 7% Credit Card Rec 6% Other 14%

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