CDOs

Year to date as of May 5 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 22,818 19,597 3,221 18,875 3,943 9,475 9,752 3,591 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 2,342 658 1,685 2,342 1,690 168 485 Corporate Loans 2,382 147 2,235 2,382 1,762 478 142 Credit Card Rec 15,900 7,798 8,102 14,626 1,274 12,552 2,300 200 849 Debentures 1,051 1,051 1,051 1,051 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 38,530 16,939 21,079 37,596 934 24,848 6,250 7,298 50 71 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 118,212 76,091 42,120 102,209 16,003 88,326 18,570 10,094 943 279 Sm Business Loan Struc Fin Credit 9,757 4,742 5,015 9,757 2,936 1,111 4,683 1,002 Student Loans 16,450 378 14,853 13,633 2,817 7,500 2,493 2,760 1,989 1,708 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 49% Non-Jumbo Mtg Ln 16% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 13%

During last week's briefing at the Sofitel Hotel in New York, Moody's Investors Service primed investors on what they can expect from esoteric ABS moving forward, aside from delays and protracted lead times.

Having extended the principal repayment for its A1 class, which hit soft maturity last week, the Republic of Italy's SCIP 2 is starting to look like one of global securitization's most tragic comedies, considering how far from course the deal has swayed. According to research from Deutsche Bank Securities last week, residential property disposal payments into the trust for the first three months of the year were 4% of projections. Cumulatively since closing, residential disposal payments are 21% of the plan.

The U.S. ABS primary market continued at its moderate pace versus a typical week in the first quarter, pricing roughly $8.3 billion of new-issue supply. Once again, it was a strong week for student loan ABS, with $3.6 billion of supply, edging out the mortgage ABS sector, which saw roughly $3.2 billion.

Marlin Business Services is considering a forward swap arrangement with its investment bank, Deutsche Bank Securities, to lock in the current rates while it preps its next securitization, executives said during Marlin's first-ever quarter-end conference call since going public in November.

ACE Ltd. spun off its financial guaranty and reinsurance units in an $882 million initial public offering through a new entity called Assured Guaranty Ltd.

While the primary CDO market has been largely guarantor-free for the past several months, behind the scenes the monolines are wrapping new issues in the secondary market shortly after close.

Opinions are divided over the reach of the potential fallout from DamlierChrysler AG's decision to withdraw its $6.4 billion equity stake in Mitsubishi

With the inaugural offering of CARSS 2004-1, Banc of America Securities did in autos what it successfully pioneered in the MBS market - a synthetic default recourse transaction to bifurcate and sell off the risk of a portfolio of consumer loans. As with BofA's Resi Finance LP program, which has issued seven securitizations totaling a nominal $105 billion, the $3.89 billion CARSS deal is structured to remove the credit risk of the collateral backing the single-A through single-B rated classes, retaining the high investment-grade risk.

To minimal fanfare, the second-ever bank-owned life insurance (BOLI) broker-commission backed ABS recently closed. Called A&K Funding series 2004-1, the deal totaled $60 million and was led by sole underwriter Credit Suisse First Boston, closing in the first quarter as a negotiated private placement.

The improving economy has cast a ray of sunshine among Fitch Ratings analysts, who were generally optimistic throughout the firm's quarterly outlook conference call last week. Stronger growth prospects, Fitch said, will contribute to a spike in senior/sub structures for non-prime lenders throughout the year, as the debt tracker has been approached by issuers and bankers interested in bringing unwrapped ABS.

Moody's Investors Service found the number of downgrades of asset-backed securities rated by the agency decreased 50% in the first quarter of 2004 compared to the prior quarter, according to its soon-to-be released quarterly update. The data is encouraging, backing up mainstream commentary that the economy and the capital markets have indeed turned a pivotal corner.

At last week's meeting on disclosure and reporting practices for securitizations, the Securities and Exchange Commission voted unanimously to publish a proposal for comment, which it plans to release this week. The comment period should run for 60 days after the proposal debuts.

Year to date as of 04/29 Term (days) 04/23 04/26 04/27 04/28 04/29 1-week

2004 2003 2002 ABS (Public and 144A) 230,575 179,615 137,880 ABS (Public and 144A excluding CDOs) 204,013 169,080 123,988 ABS (Public Only) 182,085 149,083 111,994 ABS (144A Only) 48,490 30,532 25,886 Non-Agency MBS 78,496 105,908 65,544 Agency MBS 109,950 265,118 166,908 CMBS 24,830 20,419 14,492 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 4,497.4 1 22.1 6 Deutsche Bank AG 4,467.4 2 21.9 8 JP Morgan 3,844.4 3 18.9 6 Credit Suisse First Boston 1,427.0 4 7.0 4 Banc of America Securities LLC 1,263.5 5 6.2 2 Goldman Sachs & Co 1,256.2 6 6.2 1 Barclays Capital 1,162.0 7 5.7 4 Merrill Lynch & Co Inc 815.0 8 4.0 1 Banc One Capital Markets 675.0 9 3.3 2 Lehman Brothers 408.0 10 2.0 1 Industry Total 20,398.9 - 100.0 22 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 3,531.1 1 16.6 6 UBS 3,272.0 2 15.4 4 Wachovia Corp 2,242.5 3 10.5 8 Deutsche Bank AG 1,968.7 4 9.2 5 Citigroup 1,345.7 5 6.3 7 Bear Stearns & Co Inc 1,194.3 6 5.6 4 RBS Greenwich Capital 1,005.8 7 4.7 3 BNP Paribas SA 919.5 8 4.3 1 Goldman Sachs & Co 825.0 9 3.9 1 Banc of America Securities LLC 800.9 10 3.8 6 Industry Total 21,307.8 - 100.0 54 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 22.4 5 Banc One Capital Markets 3,100.0 2 20.1 4 Lehman Brothers 2,074.4 3 13.5 5 Barclays Capital 1,799.4 4 11.7 3 JP Morgan 1,700.0 5 11.0 3 Deutsche Bank AG 1,024.7 6 6.7 4 Merrill Lynch & Co Inc 752.2 7 4.9 2 Goldman Sachs & Co 425.0 8 2.8 2 Morgan Stanley 375.0 9 2.4 1 Banc of America Securities LLC 350.0 10 2.3 2 Industry Total 15,400.1 - 100.0 24 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