CDOs

The Blackstone Group has decided to bypass the bank loan market to finance its $3.1 billion acquisition of Extended Stay America. Instead, the private equity firm is financing the hotel chain buyout with commercial mortgage-backed securities (CMBS), according to a market source. The news came after investors had been looking forward to sinking their teeth into the hefty $2.7 billion new money bank credit that was expected to back the acquisition. Bear Stearns, who advised Blackstone on the acquisition, and Bank of America were earmarked to arrange the deal's financing at the time it was announced earlier this month.

Nearly two years after re-entering the U.S. ABS market, UBS will look to expand its business throughout 2004, moving into the auto loan and credit card sectors of the market. Known primarily for its mortgage-related and CDO presence, UBS is making inroads into both the prime and non-prime sectors of the consumer sectors, activity it expects will make the underwriter more visible in the second half of the year.

With its first-ever term Libor floater under its belt, nonprofit student lender NorthStar Capital Markets is the latest name in the rapidly growing sector. But unlike some new entrants, NorthStar plans on a more tempered approach to securitization. The primarily graduate-and professional-school lender does not plan to flood the market with ABS, but will offer just one deal a year, according to Chief Financial Officer Jamie Wolfe.

Moody's Investors Service withdrew its rating on $152 million in senior notes and $19 million in second priority senior notes, due Dec. 12, 2008, issued by Aeltus CBO Limited, a CDO that closed in December 1996.

Panelists at last week's ABCP conference, hosted by the Strategic Research Institute, expect CDOs and other traditionally term ABS vehicles to continue incorporating short-term instruments into their structures, so long as the funding curve remains steep.

NordLB has structured the capability to issue ECP into its Hannover Funding ABCP conduit. Hannover can issue in both euro and sterling commercial paper, and intends to do so as a way to mitigate the use of a currency swap when originating non-dollar assets. Hannover's back-office administration is handled by Global Securitization Services, which is able to issue the CP through its London office. NordLB has yet to originate its first non-dollar asset, but expects this to happen imminently.

Year to date as of 03/24 Term (days) 03/18 03/19 03/22 03/23 03/24 1-week

2004 2003 2002 ABS (Public and 144A) 133,498 103,766 80,727 ABS (Public and 144A excluding CDOs) 125,857 97,882 72,294 ABS (Public Only) 111,709 88,991 66,662 ABS (144A Only) 21,789 14,776 14,065 Non-Agency MBS 40,628 50,562 30,445 Agency MBS 39,445 202,601 108,842 CMBS 10,767 9,524 8,115 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 4,797.4 1 27.4 6 Deutsche Bank AG 3,292.0 2 18.8 5 JP Morgan 2,892.7 3 16.5 4 Banc of America Securities LLC 1,263.5 4 7.2 2 Goldman Sachs & Co 1,256.2 5 7.2 1 Credit Suisse First Boston 1,242.7 6 7.1 3 Barclays Capital 977.7 7 5.6 2 BANK ONE Corp 975.0 8 5.6 3 Merrill Lynch & Co Inc 815.0 9 4.7 1 Industry Total 17,512.2 - 100.0 16 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 UBS 2,172.0 1 28.4 3 Citigroup 1,516.0 2 19.8 4 BNP Paribas SA 919.5 3 12.0 1 Merrill Lynch & Co Inc 898.8 4 11.8 2 Bear Stearns & Co Inc 658.9 5 8.6 2 Royal Bank of Scotland Group 603.8 6 7.9 2 First Tennessee Bank 492.3 7 6.4 1 BANK ONE Corp 300.0 8 3.9 1 Banc of America Securities LLC 80.2 9 1.1 1 Industry Total 7,641.4 - 100.0 17 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 3,100.4 1 26.2 4 BANK ONE Corp 2,775.0 2 23.4 4 JP Morgan 2,025.0 3 17.1 4 Lehman Brothers 1,400.0 4 11.8 4 Merrill Lynch & Co Inc 752.2 5 6.4 2 Barclays Capital 750.0 6 6.3 1 Goldman Sachs & Co 350.0 7 3.0 1 Credit Suisse First Boston 250.0 8* 2.1 1 Banc of America Securities LLC 250.0 8* 2.1 1 Deutsche Bank AG 100.0 10* 0.8 1 Wachovia Corp 100.0 10* 0.8 1 Industry Total 11,852.6 - 100.0 18 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 74.1 1 Credit Suisse First Boston 350.0 2 25.9 1 Industry Total 1,350.0 - 100.0 2 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 Royal Bank of Scotland Group 9,000.2 1 11.1 14 Lehman Brothers 8,758.0 2 10.8 19 Morgan Stanley 8,445.7 3 10.4 15 Citigroup 7,676.4 4 9.5 20 Credit Suisse First Boston 7,094.1 5 8.7 15 Merrill Lynch & Co Inc 6,730.0 6 8.3 9 Bear Stearns & Co Inc 4,806.7 7 5.9 9 Deutsche Bank AG 4,394.2 8 5.4 18 Banc of America Securities LLC 4,366.1 9 5.4 14 JP Morgan 4,281.4 10 5.3 9 Industry Total 81,124.6 - 100.0 136 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 1,989.5 1 20.2 4 Merrill Lynch & Co Inc 1,266.2 2* 12.9 2 JP Morgan 1,266.2 2* 12.9 2 Morgan Stanley 1,012.6 4* 10.3 2 Lehman Brothers 1,012.6 4* 10.3 2 Banc of America Securities LLC 901.6 6* 9.2 2 Citigroup 901.6 6* 9.2 2 UBS 530.0 8 5.4 1 Deutsche Bank AG 489.9 9 5.0 1 RBC Capital Markets 462.0 10 4.7 1 Industry Total 9,832.0 - 100.0 9 Source: Thomson Financial

Year to date as of Mar 17 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 17,512 14,621 2,891 15,115 2,397 7,245 7,258 3,009 Comm. Mtg 922 922 922 922 Commercial Loans Corp Bond/Note 103 103 103 103 Corporate Loans 1,432 20 1,412 1,432 1,117 226 89 Credit Card Rec 11,853 6,100 5,752 11,328 524 10,853 300 200 500 Debentures 181 181 181 181 Equip Loans Equip. Leases 937 937 937 311 626 Floorplan Recs 1,350 1,350 1,350 1,000 350 Franchisee Loans Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 404 27 377 404 404 Mixed Collateral 1,000 1,000 1,000 1,000 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 625 625 625 625 Mutual Fund Fees Non-Jumbo Mtg Ln 25,872 10,727 15,035 25,081 791 14,982 3,815 6,987 47 40 Oil Receivables Preferred Sec 1,159 522 637 1,159 815 158 186 Prv Issued Sec 19 19 19 19 Rental Car Rec. 600 600 600 600 Rev Cred/Home Eq 55,252 28,914 26,339 47,285 7,967 36,130 12,294 6,130 617 98 Sm Business Loan Struc Fin Credit 4,947 2,248 2,700 4,947 1,860 601 2,280 206 Student Loans 9,832 378 8,992 8,684 1,148 6,508 1,295 797 439 793 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 41% Non-Jumbo Mtg Ln 19% Auto Loans/Recs 13% Credit Card Rec 9% Student Loans 7% Other 10%

Year to date as of 03/11 Term (days) 03/05 03/08 03/09 03/10 03/11 1-week

2004 2003 2002 ABS (Public and 144A) 118,734 91,536 67,294 ABS (Public and 144A excluding CDOs) 111,584 86,637 60,247 ABS (Public Only) 100,920 78,508 55,296 ABS (144A Only) 17,815 13,027 11,998 Non-Agency MBS 35,028 47,627 28,172 Agency MBS 39,158 156,254 92,078 CMBS 8,255 6,909 6,614 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 4,750.7 1 25.8 5 JP Morgan 3,385.5 2 18.4 5 Deutsche Bank AG 3,165.3 3 17.2 5 Credit Suisse First Boston 1,735.5 4 9.4 4 Barclays Capital 1,343.8 5 7.3 3 Banc of America Securities LLC 1,263.5 6 6.9 2 Goldman Sachs & Co 1,256.4 7 6.8 1 Merrill Lynch & Co Inc 815.0 8 4.4 1 Banc One Capital Markets 675.0 9 3.7 2 Industry Total 18,390.7 - 100.0 16 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 UBS 2,172.0 1 30.4 3 Citigroup 1,516.0 2 21.2 4 BNP Paribas SA 919.5 3 12.9 1 Merrill Lynch & Co Inc 898.8 4 12.6 2 Bear Stearns & Co Inc 658.9 5 9.2 2 Banc of America Securities LLC 380.9 6 5.3 2 Royal Bank of Scotland Group 303.8 7 4.3 1 Banc One Capital Markets 300.0 8 4.2 1 Industry Total 7,149.8 - 100.0 16 Source: Thomson Financial