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 3,535.9 1 19.4 4 JP Morgan 2,254.7 2 12.4 5 Citigroup 2,254.4 3 12.4 3 Deutsche Bank AG 2,221.3 4 12.2 3 Credit Suisse First Boston 1,876.0 5 10.3 3 Banc of America Securities LLC 1,781.4 6 9.8 2 Morgan Stanley 1,521.5 7 8.4 4 UBS 1,301.4 8 7.1 2 Lehman Brothers 1,012.6 9 5.6 2 RBC Capital Markets 462.0 10 2.5 1 Industry Total 18,221.2 - 100.0 17 Source: Thomson Financial

Year to date as of May 12 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 26,115 21,112 5,003 22,158 3,957 10,095 11,780 4,240 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 2,470 786 1,685 2,470 1,818 168 485 Corporate Loans 2,571 147 2,424 2,571 1,951 478 142 Credit Card Rec 17,011 7,798 9,213 15,301 1,710 13,226 2,736 200 849 Debentures 1,296 1,296 1,296 1,296 Equip Loans Equip. Leases 2,540 2,290 250 2,290 250 1,664 626 250 Floorplan Recs 1,850 1,850 1,850 1,500 350 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 404 27 377 404 404 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 40,138 17,252 22,369 39,204 934 24,971 7,089 7,880 80 105 Oil Receivables Preferred Sec 2,070 1,019 1,052 2,070 1,726 158 186 Prv Issued Sec 858 682 175 858 858 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 121,403 75,948 45,455 105,337 16,066 87,519 21,904 10,746 955 279 Sm Business Loan Struc Fin Credit 9,757 4,742 5,015 9,757 2,936 1,111 4,683 1,002 Student Loans 18,221 378 16,624 14,633 3,588 8,611 2,663 2,760 2,379 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 16% Auto Loans/Recs 10% Student Loans 7% Credit Card Rec 7% Other 13%

Rev Cred/Home Eq 49% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 13%

Rev Cred/Home Eq 49% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 13%

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 2,535.9 1 15.4 3 JP Morgan 2,254.7 2 13.7 5 Citigroup 2,254.4 3 13.7 3 Deutsche Bank AG 2,221.3 4 13.5 3 Credit Suisse First Boston 1,876.0 5 11.4 3 Banc of America Securities LLC 1,781.4 6 10.8 2 Morgan Stanley 1,521.5 7 9.3 4 Lehman Brothers 1,012.6 8 6.2 2 UBS 530.0 9 3.2 1 RBC Capital Markets 462.0 10 2.8 1 Industry Total 16,449.8 - 100.0 15 Source: Thomson Financial

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Spreads for The Metris Companies series 2004-1 credit card ABS tightened on last week's news that it had finalized terms on a $300 million three-year unsecured Libor floater via Goldman Sachs. This completes a funding plan that injects $500 million into the company's coffers and allows it access to a previously announced $800 million conduit facility.

Though talked up for several years, project finance CDOs have yet to make the dent once anticipated, considering the size of the potential collateral market and the drive of structurers into new products.

The new-issue malaise in the U.S. ABS primary market continued last week, with just $8.5 billion marketing, $7.1 billion of which had priced as of press time. For the first time this year, however, the auto sector led the way, with $3.9 billion of supply, edging the $3.8 billion seen in the mortgage ABS sector.

Recent trends in the mortgage sector of the ABS market have had positive impacts to date, but presenters at last week's Moody's Investors Service RBMS Investor Briefing raised red flags over recent vintage transactions. In particular, the increase in interest-only products and modified loans, combined with the decline in applicant documentation, may spell trouble for the sector going forward, Moody's analysts said.

In addition to increasing its own direct originations of subprime credit cards, CompuCredit Corp. announced last week that it will acquire a lender specializing in the subprime sphere for $106 million, a deal that should close late this quarter, according to Chief Executive Officer David Hanna.

Year to date as of 05/06 Term (days) 04/30 05/03 05/04 05/05 05/06 1-week

2004 2003 2002 ABS (Public and 144A) 243,529 186,906 144,286 ABS (Public and 144A excluding CDOs) 216,000 175,838 130,029 ABS (Public Only) 192,954 152,659 117,339 ABS (144A Only) 50,575 34,248 26,948 Non-Agency MBS 87,237 107,779 69,135 Agency MBS 129,490 272,606 168,684 CMBS 27,245 21,559 16,364 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 4,588.9 1 20.1 7 Citigroup 4,497.4 2 19.7 6 Deutsche Bank AG 4,467.4 3 19.6 8 Banc of America Securities LLC 2,642.5 4 11.6 5 Credit Suisse First Boston 1,427.0 5 6.3 4 Goldman Sachs & Co 1,256.2 6 5.5 1 Barclays Capital 1,162.0 7 5.1 4 Merrill Lynch & Co Inc 815.0 8 3.6 1 BANK ONE Corp 675.0 9 3.0 2 Lehman Brothers 408.0 10 1.8 1 Industry Total 22,817.8 - 100.0 25 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 17.7 7 UBS 3,272.0 2 14.7 4 Wachovia Corp 2,682.6 3 12.0 9 Deutsche Bank AG 1,968.7 4 8.8 5 Citigroup 1,457.7 5 6.5 8 Bear Stearns & Co Inc 1,194.3 6 5.4 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 22,275.4 - 100.0 57 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 21.7 5 BANK ONE Corp 3,100.0 2 19.5 4 Lehman Brothers 2,324.4 3 14.6 6 JP Morgan 1,950.0 4 12.3 4 Barclays Capital 1,799.4 5 11.3 3 Deutsche Bank AG 1,024.7 6 6.4 4 Merrill Lynch & Co Inc 752.2 7 4.7 2 Goldman Sachs & Co 425.0 8 2.7 2 Morgan Stanley 375.0 9 2.4 1 Banc of America Securities LLC 350.0 10 2.2 2 Industry Total 15,900.1 - 100.0 25 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 Lehman Brothers 17,263.2 1 11.0 30 Countrywide Securities Corp 17,184.2 2 11.0 16 Royal Bank of Scotland Group 15,475.8 3 9.9 28 Deutsche Bank AG 11,898.5 4 7.6 33 Morgan Stanley 11,872.9 5 7.6 23 Citigroup 11,349.9 6 7.2 33 Credit Suisse First Boston 11,017.2 7 7.0 23 Bear Stearns & Co Inc 10,473.4 8 6.7 23 Merrill Lynch & Co Inc 9,919.5 9 6.3 18 Banc of America Securities LLC 8,823.9 10 5.6 27 Industry Total 156,741.4 - 100.0 281 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 2,535.9 1 15.4 3 JP Morgan 2,254.7 2 13.7 5 Citigroup 2,254.4 3 13.7 3 Deutsche Bank AG 2,221.3 4 13.5 3 Credit Suisse First Boston 1,876.0 5 11.4 3 Banc of America Securities LLC 1,781.4 6 10.8 2 Morgan Stanley 1,521.5 7 9.3 4 Lehman Brothers 1,012.6 8 6.2 2 UBS 530.0 9 3.2 1 RBC Capital Markets 462.0 10 2.8 1 Industry Total 16,449.8 - 100.0 15 Source: Thomson Financial