CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 2,117.0 1 16.9 4 Credit Suisse First Boston 1,876.0 2 15.0 3 Banc of America Securities LLC 1,781.4 3 14.2 2 Citigroup 1,625.5 4 13.0 3 Merrill Lynch & Co Inc 1,272.8 5 10.1 2 Morgan Stanley 1,012.6 6* 8.1 2 Lehman Brothers 1,012.6 6* 8.1 2 UBS 901.1 8 7.2 2 Deutsche Bank AG 489.9 9 3.9 1 RBC Capital Markets 462.0 10 3.7 1 Industry Total 12,550.9 - 100.0 11 Source: Thomson Financial

Year to date as of Apr 21 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 19,930 16,692 2,891 17,250 2,680 9,663 7,258 3,009 Comm. Mtg 918 147 771 918 213 229 212 263 Commercial Loans Corp Bond/Note 633 633 633 363 168 103 Corporate Loans 1,904 20 1,884 1,904 1,589 226 89 Credit Card Rec 15,400 7,798 7,602 14,126 1,274 12,552 1,800 200 849 Debentures 835 835 835 835 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 625 625 625 625 Mutual Fund Fees Non-Jumbo Mtg Ln 38,106 16,959 21,037 37,167 939 24,896 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. 1,200 600 600 1,200 600 600 Rev Cred/Home Eq 101,729 65,966 35,764 86,510 15,220 79,616 13,667 7,665 617 164 Sm Business Loan Struc Fin Credit 8,170 3,251 4,919 8,170 1,773 1,111 4,291 995 Student Loans 12,551 378 11,460 10,403 2,148 7,978 1,544 1,122 639 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 48% Non-Jumbo Mtg Ln 18% Auto Loans/Recs 9% Credit Card Rec 7% Student Loans 6% Other 12%

2004 2003 2002 ABS (Public and 144A) 205,069 161,060 119,983 ABS (Public and 144A excluding CDOs) 182,945 152,442 108,419 ABS (Public Only) 165,715 133,935 98,062 ABS (144A Only) 39,355 27,124 21,921 Non-Agency MBS 66,600 83,166 52,798 Agency MBS 80,505 237,696 157,112 CMBS 19,968 18,918 12,443 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 24.7 5 Deutsche Bank AG 3,742.0 2 20.5 6 JP Morgan 2,892.7 3 15.9 4 Banc of America Securities LLC 1,263.5 4 6.9 2 Goldman Sachs & Co 1,256.2 5 6.9 1 Credit Suisse First Boston 1,242.7 6 6.8 3 Barclays Capital 977.7 7 5.4 2 Merrill Lynch & Co Inc 815.0 8 4.5 1 BANK ONE Corp 675.0 9 3.7 2 Lehman Brothers 450.0 10 2.5 1 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 21.0 6 UBS 2,172.0 2 12.9 3 Deutsche Bank AG 1,592.7 3 9.5 4 Citigroup 1,345.7 4 8.0 7 RBS Greenwich Capital 1,005.8 5 6.0 3 Wachovia Corp 941.5 6 5.6 7 BNP Paribas SA 919.5 7 5.5 1 Goldman Sachs & Co 825.0 8 4.9 1 Banc of America Securities LLC 800.9 9 4.8 6 Bear Stearns & Co Inc 658.9 10 3.9 2 Industry Total 16,858.1 - 100.0 46 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 11.7 13 Lehman Brothers 14,377.1 2 10.5 26 RBS Greenwich Capital 14,374.6 3 10.5 24 Credit Suisse First Boston 11,413.4 4 8.3 23 Citigroup 11,018.3 5 8.0 29 Morgan Stanley 10,900.7 6 7.9 20 Deutsche Bank AG 10,713.0 7 7.8 28 Merrill Lynch & Co Inc 8,829.0 8 6.4 14 Banc of America Securities LLC 7,475.2 9 5.4 23 Bear Stearns & Co Inc 6,994.8 10 5.1 16 Industry Total 137,487.1 - 100.0 223 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 Credit Suisse First Boston 1,876.0 1 17.9 3 Banc of America Securities LLC 1,781.4 2 17.0 2 Merrill Lynch & Co Inc 1,272.8 3* 12.1 2 JP Morgan 1,272.8 3* 12.1 2 Morgan Stanley 1,012.6 5* 9.7 2 Lehman Brothers 1,012.6 5* 9.7 2 Citigroup 781.4 7 7.5 1 UBS 530.0 8 5.1 1 Deutsche Bank AG 489.9 9 4.7 1 RBC Capital Markets 462.0 10 4.4 1 Industry Total 10,491.5 - 100.0 9 Source: Thomson Financial

Year to date as of Apr 14 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 18,245 15,354 2,891 15,715 2,530 7,978 7,258 3,009 Comm. Mtg 918 147 771 918 213 229 212 263 Commercial Loans Corp Bond/Note 633 633 633 363 168 103 Corporate Loans 1,904 20 1,884 1,904 1,589 226 89 Credit Card Rec 15,400 7,798 7,602 14,126 1,274 12,552 1,800 200 849 Debentures 835 835 835 835 Equip Loans Equip. Leases 1,537 1,537 1,537 911 626 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 625 625 625 625 Mutual Fund Fees Non-Jumbo Mtg Ln 38,102 16,959 21,033 37,167 934 24,892 6,119 6,998 50 43 Oil Receivables Preferred Sec 1,574 522 1,052 1,574 1,230 158 186 Prv Issued Sec 850 675 175 850 850 Rental Car Rec. 1,200 600 600 1,200 600 600 Rev Cred/Home Eq 99,385 64,092 35,294 85,316 14,069 76,575 13,642 8,387 617 164 Sm Business Loan Struc Fin Credit 7,794 3,163 4,631 7,794 1,730 1,111 4,085 868 Student Loans 10,492 378 9,401 8,343 2,148 6,168 1,295 1,122 639 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 48% Non-Jumbo Mtg Ln 19% Auto Loans/Recs 9% Credit Card Rec 8% Student Loans 5% Other 11%

ABS investors in DVI Inc. may face their worst fears, as allegations of significant instances of fraud have surfaced. Independent examiner R. Todd Neilson, a CPA and partner at Neilson Elggren LLP, alleges that DVI executives knowingly "double-pledged" assets and used "round-trip financing" to manage collateral performance. In addition, DVI repurchased ineligible collateral from its trusts and restructured non-performing loans and leases to appear as current, according to Neilson.

Capital Markets Engineering and Trading (CMET) expects to close its second transaction this week, a $200 million CLO-like hybrid called South Street Securities, which establishes a $15 billion repo trading desk for the benefit of Daiwa Securities.

Regulators are focusing on reputation and legal risk as they prepare to issue guidance seeking to bolster financial institutions' controls and risk management systems that relate to complex structured transactions. Those transactions, triggering corporate implosions ranging from Enron to the more recent Parmalat, resulted in significant losses among lenders in the debt markets.

Little is known about the fate of the equity buyers in Eureka Securitization - though, through non-confirmable market buzz, it appears the Parmalat receivables have been written down to some extent, and that Citigroup Inc. does not intend to pass the loss on to the expected loss investors. Again, non-confirmable.

For the second consecutive week the U.S. ABS primary market was sluggish and transactions marketed throughout the week looked as though they may be held over to this week. Total supply offered was $12.2 billion, but just $6.9 billion had priced as of late Thursday. While the supply overhang was concentrated in the mortgage ABS sector, transactions in consumer assets went quickly, pricing within one day of being announced.

F inancial Pacific Leasing, the small-ticket leasing company that brought its lone term securitization to market last July, is preparing for an $80.5 million IPO, according to an S-1 filing submitted to the Securities and Exchange Commission on April 9.

By Erkan Erturk, Ph.D., director, and Tom Gillis, managing director, Standard & Poor's Ratings Services

Year to date as of 04/15 Term (days) 04/09 04/12 04/13 04/14 04/15 1-week