CDOs

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 17,076.3 1 11.2 15 Lehman Brothers 17,027.1 2 11.2 29 RBS Greenwich Capital 14,949.2 3 9.8 26 Credit Suisse First Boston 12,240.5 4 8.1 25 Deutsche Bank AG 11,569.5 5 7.6 32 Morgan Stanley 11,543.9 6 7.6 22 Citigroup 11,345.8 7 7.5 31 Bear Stearns & Co Inc 9,496.3 8 6.3 19 Merrill Lynch & Co Inc 9,354.5 9 6.2 16 UBS 7,939.5 10 5.2 15 Industry Total 151,949.9 - 100.0 270 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 2,254.7 1 17.5 5 Credit Suisse First Boston 1,876.0 2 14.5 3 Banc of America Securities LLC 1,781.4 3 13.8 2 Morgan Stanley 1,521.5 4 11.8 4 Merrill Lynch & Co Inc 1,272.8 5 9.9 2 Citigroup 1,254.4 6 9.7 2 Lehman Brothers 1,012.6 7 7.8 2 Deutsche Bank AG 958.3 8 7.4 2 UBS 530.0 9 4.1 1 RBC Capital Markets 462.0 10 3.6 1 Industry Total 12,923.6 - 100.0 13 Source: Thomson Financial

Year to date as of Apr 28 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 20,399 17,508 2,891 16,786 3,613 9,051 8,174 3,174 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 1,927 562 1,364 1,927 1,656 168 103 Corporate Loans 2,382 147 2,235 2,382 1,762 478 142 Credit Card Rec 15,400 7,798 7,602 14,126 1,274 12,552 1,800 200 849 Debentures 1,051 1,051 1,051 1,051 Equip Loans Equip. Leases 2,290 2,290 2,290 1,664 626 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 625 625 625 410 215 Mutual Fund Fees 331 331 331 331 Non-Jumbo Mtg Ln 38,103 16,956 21,037 37,159 944 24,893 6,119 6,998 50 43 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. 1,900 1,300 600 1,900 1,300 600 Rev Cred/Home Eq 113,846 73,164 40,682 97,891 15,956 85,948 17,448 9,318 853 279 Sm Business Loan Struc Fin Credit 9,757 4,742 5,015 9,757 2,936 1,111 4,683 1,002 Student Loans 12,924 378 11,666 10,107 2,817 7,500 1,711 1,603 842 1,268 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 17% Auto Loans/Recs 9% Credit Card Rec 7% Student Loans 6% Other 13%

New initiatives, which include lobbying European regulators, have been the primary factor in the longer-than-anticipated marketing period for the upcoming stranded cost securitization from Oncor Electric.

Assured Guaranty Ltd., a newly created holding company and subsidiary of ACE Ltd., has filed an S-1 with the Securities and Exchange Commission for the sale of 49,000,000 shares of common stock with a target price of $18 to $20 per share. With the IPO, Assured Guaranty is looking to expand both its direct financial guaranty and financial guaranty reinsurance businesses. In doing so, the company hopes to attain a Aaa' rating from Moody's Investor Service to match its AAA' rating from Standard & Poor's. Moody's currently rates AG at Aa2'.

True to plan, monoline guarantor Financial Guaranty Insurance Co. rapidly grew its book of business in the first quarter, after freeing itself from conservative former parent General Electric and hiring Howard Pfeffer away from rival Ambac (see ASR 1/26/04). The fact that FGIC was able to accomplish a whopping $4.6 billion in wrapped ABS in a tightening spread environment makes the feat all the more notable (see accompanying guarantor supplement). It also highlights what the new FGIC has to offer both issuers and investors - monoline diversity and an unencumbered balance sheet.

Gramercy Capital Corp., a newly formed specialty finance company, plans to use securitization as a source of funding, according to an S-11 filing with the Securities and Exchange Commission for the sale of $200 million in common stock. Gramercy specifically names collateralized debt obligations as a possibility.

The U.S. ABS market continued at a modest pace last week, pricing roughly $9 billion in new-issue supply, focusing on either the mortgage-related or student loan sectors of the market. Aside from a pair of off-the run deals, there were no other asset classes represented throughout last week.

High yield loan specialist Ares Capital Management - an affiliate of Los Angeles-based investment manager Ares Management LLC - has formed a new entity to lend to the middle market and second lien secured loan market, as well as mezzanine and private equity. The new company, called Ares Capital Corp., plans to use securitization as a funding source for portfolio growth, although it is currently in the process of raising cash through a stock offering of $450 million via Merrill Lynch.

A standardized trustee report will soon be on the way to investors' mailrooms as The Bond Market Association released the final version of a template for monthly CDO trustee reports late last week.

Citibank's Hedged Mutual Fund Fee Trust priced its first offering for 2004 last week, and it was also the first 12b-1 fee-backed transaction of the year. The sector appears to be unaffected by the noxious headlines that have plagued the mutual fund industry during the past year.

Last week, Textron Inc. reported earnings as its subsidiary, Textron Financial Corp., which services, finances and manages receivables, had a senior note transaction circulating in the private placement market.

Year to date as of 04/22 Term (days) 04/16 04/19 04/20 04/21 04/22 1-week

2004 2003 2002 ABS (Public and 144A) 212,795 165,581 126,380 ABS (Public and 144A excluding CDOs) 189,798 156,963 114,447 ABS (Public Only) 171,255 138,252 103,771 ABS (144A Only) 41,540 27,328 22,610 Non-Agency MBS 68,265 84,704 54,887 Agency MBS 85,798 253,885 162,083 CMBS 20,018 19,280 12,843 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 Deutsche Bank AG 4,509.4 1 22.6 7 Citigroup 4,497.4 2 22.6 5 JP Morgan 3,660.1 3 18.4 5 Banc of America Securities LLC 1,263.5 4 6.3 2 Goldman Sachs & Co 1,256.2 5 6.3 1 Credit Suisse First Boston 1,242.7 6 6.2 3 Barclays Capital 977.7 7 4.9 2 Merrill Lynch & Co Inc 815.0 8 4.1 1 Banc One Capital Markets 675.0 9 3.4 2 Lehman Brothers 450.0 10 2.3 1 Industry Total 19,930.1 - 100.0 20 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 19.9 6 UBS 2,172.0 2 12.3 3 Deutsche Bank AG 1,968.7 3 11.1 5 Citigroup 1,345.7 4 7.6 7 RBS Greenwich Capital 1,005.8 5 5.7 3 Wachovia Corp 941.5 6 5.3 7 BNP Paribas SA 919.5 7 5.2 1 Goldman Sachs & Co 825.0 8 4.7 1 Banc of America Securities LLC 800.9 9 4.5 6 Bear Stearns & Co Inc 658.9 10 3.7 2 Industry Total 17,730.4 - 100.0 48 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

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 16,054.2 1 11.5 13 Lehman Brothers 14,377.1 2 10.3 26 RBS Greenwich Capital 14,374.6 3 10.3 24 Credit Suisse First Boston 11,912.0 4 8.5 24 Citigroup 11,018.3 5 7.9 29 Morgan Stanley 10,900.7 6 7.8 20 Deutsche Bank AG 10,854.8 7 7.8 30 Merrill Lynch & Co Inc 8,829.0 8 6.3 14 Barclays Capital 7,752.9 9 5.5 8 Banc of America Securities LLC 7,475.2 10 5.4 23 Industry Total 139,835.7 - 100.0 237 Source: Thomson Financial