CDOs

Year to date as of May 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 1,365 1,365 1,365 1,365 Asset-Back Certs Auto Loans/Recs 23,056 17,086 5,971 22,266 791 4,961 13,602 4,436 35 Cash Catastrophe Bond Commercial Loans 682 188 495 682 638 45 Corp Bond/Note 1,999 1,071 895 1,999 1,411 56 532 Corporate Loans 1,744 183 1,537 1,744 546 450 749 Credit Card Rec 29,792 6,987 22,805 29,435 356 7,612 3,909 17,521 750 Debentures 1,485 1,485 1,485 1,485 Equip Loans Equip. Leases 1,808 1,067 742 852 956 253 1,052 434 68 FHLMC 2,225 2,225 2,225 2,225 FNMA 3,480 1,480 1,999 3,480 2,113 1,002 221 144 Floorplan Recs 3,250 3,250 3,224 26 750 2,500 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 1,141 250 891 519 622 1,141 Junk Bonds 2,293 233 2,060 2,293 734 490 1,069 Legal Fees Loans 3,175 3,175 3,175 3,175 Mnfrd Housing Ct 260 140 121 260 51 146 3 45 Motorcycle Loans 550 550 550 550 Mutual Fund Fees 175 75 100 175 175 Non-Jumbo Mtg Ln 23,960 7,026 16,658 22,262 1,698 11,453 4,254 7,961 51 156 Non-Perf Loans Oil Contracts Preferred Sec 725 146 579 725 36 177 512 Prv Issued Sec 479 178 301 87 392 479 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 77,429 33,260 43,963 70,060 7,369 35,565 22,957 17,214 1,324 224 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 5,683 884 4,763 5,683 2,224 222 2,294 862 Student Loans 13,631 600 11,149 12,509 1,123 1,749 2,595 4,937 3,572 68 Swap Agreement Tax Liens Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs Truck Loans Leases 450 450 450 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 39% Credit Card Rec 15% Non-Jumbo Mtg Ln 12% Auto Loans/Recs 12% Student Loans 7% Other 14%

The April showers raining down last month produced increased CDO volume. However, while issuance was strong, market research shows it was just a few key storms that filled the CDO pool, which totaled $13.2 billion year-to-date by at least one account.

Recent news from bankrupt retailer Spiegel Inc. did not bode well for holders of the issuer's outstanding ABS, as an agreement reached with Dallas-based Alliance Data Systems sealed the fate of the private label and bank card trusts. Reports surfaced that a buyer could not be found, even with an increased servicing fee that federal regulators hoped would make the portfolios more attractive.

MBIA just can't seem to get a break these days. Even though the monoline's CDO holdings were credited with its first quarter earnings boost, sector analysts remained cautionary - in some cases suspicious - following last week's positive announcement.

Activity slowed in the U.S. ABS primary market last week, as many participants were an industry gathering hosted by Standard & Poor's in Orlando. Just over $5 billion of supply priced in late-to-develop trading that saw all asset classes represented, albeit sparingly. Roughly one half of the week's supply came in one issue, the sixth student loan ABS from Sallie Mae.

Responding to growth over the past year in de-linked credit card ABS trusts, Fitch Ratings recently launched a Credit Card Issuance Trust Update feature on its website. While currently reporting on just the two largest trusts - Citibank and MBNA America Bank - the debt tracker will include Bank One Issuance Trust and Capital One Multi-Asset Execution Trust, next month.

Intellectual property specialty firm UCC Capital Corp. began marketing three whole business securitizations this week, each in the $30 million to $65 million range, and all sporting investment grade ratings, sources said.

The tobacco bond market took a series of hits last week, marked by a multi-notch industry downgrade from Fitch Ratings, which, on the corporate side, took R.J. Reynolds below investment grade. On the ABS front, Fitch further downgraded the entire sector, affecting approximately $18 billion in bonds.

The settlement of Visa and MasterCard with retailers - amounting to $3 billion over the next ten years - will not impact credit card ABS, as "The industry's credit card practices were never targeted by the lawsuit," noted Banc One Capital Markets researcher Alessandro Pagani in an industry comment.

The CDO issuance lag earlier this year seems to have gone the way of winter, with a number of deals pricing last week and several more entering the pipeline - but it's still a market largely dominated by RMBS volumes. According to market figures, the near-term pipeline is at $25.8 billion equivalent.

Year to date as of May 7 Term (days) 05/01 05/02 05/05 05/06 05/07 1-week

2003 2002 2001 ABS (Public and 144A) 180,222 139,714 125,556 ABS (Public and 144A excluding CDOs) 167,044 125,870 106,701 ABS (Public Only) 149,163 113,775 91,661 ABS (144A Only) 31,058 25,939 33,895 Non-Agency MBS 108,158 69,946 52,184 Agency MBS 221,652 168,284 75,199 CMBS 21,486 16,364 18,191 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 3,424.4 1 18.6 4 Credit Suisse First Boston 2,790.1 2 15.2 6 Deutsche Bank AG 2,234.8 3 12.2 4 BANK ONE Corp 2,112.3 4 11.5 4 JP Morgan 1,844.4 5 10.0 3 Morgan Stanley 1,781.2 6 9.7 3 Goldman Sachs & Co 1,289.4 7 7.0 3 Banc of America Securities LLC 841.5 8 4.6 2 Wachovia Corp 833.9 9 4.5 3 Merrill Lynch & Co Inc 419.3 10 2.3 1 Barclays Capital 406.0 11 2.2 1 Royal Bank of Scotland Group 287.5 12 1.6 2 Westdeutsche Landesbank Giro 120.2 13 0.7 1 Industry Total 18,384.8 - 100.0 23 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 Goldman Sachs & Co 2,998.1 1 22.8 1 Credit Suisse First Boston 1,650.9 2 12.5 5 Deutsche Bank AG 1,461.5 3 11.1 3 Morgan Stanley 1,378.4 4 10.5 3 Bear Stearns & Co Inc 1,270.7 5 9.6 5 Citigroup 1,047.6 6 8.0 3 Wachovia Corp 950.0 7 7.2 2 Westdeutsche Landesbank Giro 545.0 8 4.1 1 Lehman Brothers 368.4 9 2.8 3 JP Morgan 347.6 10 2.6 1 Merrill Lynch & Co Inc 300.8 11 2.3 1 Royal Bank of Scotland Group 283.9 12 2.2 1 UBS Warburg 200.0 13 1.5 1 Banc of America Securities LLC 197.8 14 1.5 1 Jefferies & Co Inc 161.4 15 1.2 1 First Republic Bank Corp 16.0 16 0.1 1 Industry Total 13,178.0 - 100.0 31 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 7,247.2 1 25.4 10 BANK ONE Corp 4,851.9 2 17.0 8 JP Morgan 4,429.8 3 15.5 8 Morgan Stanley 3,579.5 4 12.5 4 Barclays Capital 2,834.7 5 9.9 6 Banc of America Securities LLC 2,000.6 6 7.0 6 Deutsche Bank AG 1,507.6 7 5.3 4 Credit Suisse First Boston 969.3 8 3.4 3 Merrill Lynch & Co Inc 462.5 9 1.6 2 Wachovia Corp 461.3 10 1.6 2 Lehman Brothers 200.0 11 0.7 1 Industry Total 28,544.2 - 100.0 43 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 1,375.2 1 42.3 5 JP Morgan 875.2 2 26.9 4 Citigroup 500.0 3* 15.4 1 BANK ONE Corp 500.0 3* 15.4 1 Industry Total 3,250.3 - 100.0 5 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 12,682.9 1 13.4 31 Countrywide Securities Corp 10,458.9 2 11.1 15 Citigroup 8,633.4 3 9.2 24 JP Morgan 8,218.7 4 8.7 11 Royal Bank of Scotland Group 7,776.8 5 8.2 19 Deutsche Bank AG 7,136.2 6 7.6 15 Banc of America Securities LLC 6,721.3 7 7.1 19 Morgan Stanley 5,932.3 8 6.3 17 Bear Stearns & Co Inc 5,165.4 9 5.5 13 Credit Suisse First Boston 4,915.3 10 5.2 14 UBS Warburg 4,861.1 11 5.2 10 Merrill Lynch & Co Inc 2,569.4 12 2.7 4 BANK ONE Corp 2,400.3 13 2.5 4 Wachovia Corp 2,384.6 14 2.5 5 Goldman Sachs & Co 1,266.9 15 1.3 4 General Motors Corp 1,069.1 16 1.1 3 Barclays Capital 765.5 17 0.8 1 Industry Total 94,332.7 - 100.0 171 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 3,149.7 1 25.7 5 Deutsche Bank AG 2,293.1 2 18.7 4 Morgan Stanley 2,085.9 3 17.0 3 Merrill Lynch & Co Inc 1,790.7 4 14.6 3 Credit Suisse First Boston 1,363.2 5 11.1 2 Banc of America Securities LLC 1,136.7 6 9.3 2 UBS Warburg 453.4 7 3.7 1 Industry Total 12,272.6 - 100.0 11 Source: Thomson Financial

Year to date as of May 7 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 1,365 1,365 1,365 1,365 Asset-Back Certs Auto Loans/Recs 21,108 15,594 5,513 20,317 791 4,503 12,523 4,024 35 Cash Catastrophe Bond Commercial Loans 682 188 495 682 638 45 Corp Bond/Note 1,999 1,071 895 1,999 1,411 56 532 Corporate Loans 4,742 183 4,535 4,742 3,544 450 749 Credit Card Rec 28,544 5,739 22,805 28,188 356 7,612 3,909 16,274 750 Debentures 1,291 1,291 1,291 1,291 Equip Loans Equip. Leases 1,808 1,067 742 852 956 253 1,052 434 68 FHLMC 1,259 1,259 1,259 1,259 FNMA 3,480 1,480 1,999 3,480 2,113 1,002 221 144 Floorplan Recs 3,250 3,250 3,224 26 750 2,500 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 1,141 250 891 519 622 1,141 Junk Bonds 2,293 233 2,060 2,293 734 490 1,069 Legal Fees Loans 177 177 177 177 Mnfrd Housing Ct 260 140 121 260 51 146 3 45 Motorcycle Loans 550 550 550 550 Mutual Fund Fees 175 75 100 175 175 Non-Jumbo Mtg Ln 23,637 6,703 16,658 21,942 1,695 11,130 4,254 7,961 51 156 Non-Perf Loans Oil Contracts Preferred Sec 725 146 579 725 36 177 512 Prv Issued Sec 479 178 301 87 392 479 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 73,558 31,803 41,550 66,539 7,020 32,821 22,064 16,981 1,324 224 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 5,301 884 4,381 5,301 2,224 222 2,004 770 Student Loans 12,493 600 10,010 11,370 1,123 1,749 2,371 4,345 3,248 68 Swap Agreement Tax Liens Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs Truck Loans Leases 450 450 450 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial