CDOs/CLOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 10,541.3 1 38.2 16 Citigroup 5,048.3 2 18.3 13 Lehman Brothers 4,119.2 3 14.9 8 Barclays Capital 2,349.4 4 8.5 6 Deutsche Bank AG 1,324.7 5 4.8 6 Credit Suisse First Boston 1,194.3 6 4.3 4 Banc of America Securities LLC 1,193.0 7 4.3 5 Merrill Lynch & Co Inc 752.2 8 2.7 2 Morgan Stanley 525.0 9 1.9 3 Goldman Sachs & Co 425.0 10 1.5 2 Industry Total 27,572.3 - 100.0 47 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 1,708.0 1 34.0 3 Credit Suisse First Boston 1,058.0 2 21.1 3 HSBC Holdings PLC 708.0 3 14.1 2 Banc of America Securities LLC 632.0 4 12.6 2 Wachovia Corp 420.0 5 8.4 1 Morgan Stanley 250.0 6* 5.0 1 ABN AMRO 250.0 6* 5.0 1 Industry Total 5,026.0 - 100.0 7 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 39,036.8 1 15.4 39 RBS Greenwich Capital 28,336.3 2 11.2 55 Lehman Brothers 25,611.5 3 10.1 56 Morgan Stanley 20,436.4 4 8.0 45 Credit Suisse First Boston 19,292.0 5 7.6 40 Bear Stearns & Co Inc 18,266.4 6 7.2 40 Citigroup 15,959.2 7 6.3 48 Deutsche Bank AG 14,827.9 8 5.8 42 Merrill Lynch & Co Inc 13,433.0 9 5.3 27 Banc of America Securities LLC 13,321.0 10 5.2 41 Industry Total 254,227.0 - 100.0 454 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 5,289.7 1 19.0 6 Deutsche Bank AG 3,616.4 2 13.0 5 Morgan Stanley 3,275.2 3 11.8 6 JP Morgan 3,207.9 4 11.5 6 Citigroup 2,986.6 5 10.7 4 UBS 2,820.0 6 10.1 6 Credit Suisse First Boston 2,745.6 7 9.9 4 Banc of America Securities LLC 1,781.4 8 6.4 2 Lehman Brothers 1,012.6 9 3.6 2 RBC Capital Markets 462.0 10 1.7 1 Industry Total 27,805.5 - 100.0 26 Source: Thomson Financial

Year to date as of Jul 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 126 126 126 126 Auto Loans/Recs 38,691 34,759 3,932 32,812 5,879 15,374 17,886 5,432 Comm. Mtg 1,913 650 1,263 1,913 276 229 829 540 Commercial Loans Corp Bond/Note 3,555 1,130 2,425 3,555 2,026 746 45 738 Corporate Loans 4,954 264 4,690 4,954 2,457 395 370 1,192 539 Credit Card Rec 27,572 10,299 17,273 23,709 3,864 19,284 1,400 4,739 900 1,249 Debentures 1,838 1,838 1,838 1,838 Equip Loans Equip. Leases 4,414 4,164 250 4,164 250 1,989 1,388 529 221 289 Floorplan Recs 5,026 840 4,186 4,902 124 4,014 830 182 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 331 331 331 331 Non-Jumbo Mtg Ln 59,978 27,364 29,480 57,518 2,460 35,675 13,399 9,805 772 312 Oil Receivables Preferred Sec 2,886 1,557 1,330 2,886 2,542 158 186 Prv Issued Sec 1,119 391 380 1,119 1,119 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 194,676 106,359 75,231 169,844 24,832 123,853 43,210 25,438 1,549 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 13,292 4,911 8,380 13,292 4,261 2,507 4,928 1,508 Student Loans 27,806 4,062 22,058 22,744 5,061 14,959 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 771 386 385 771 471 300 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 15% Auto Loans/Recs 10% Student Loans 7% Credit Card Rec 7% Other 13%

Though structurers may deny it, Moody's Investors Service was left off some recent home-equity ABS, as well as home-equity focused CDOs, because of its more conservative ratings methodology on deeply subordinated classes of hyper-tranched transactions, market sources report. The hyper-tranching has led to split ratings on some down-in-credit tranches (see ASR 2/16/04), which Moody's has rated lower than its competitors - and as a result, Moody's has not rated two home equity transactions, or two other recent home equity-focused CDOs.

The U.S. ABS primary market was roused from its midsummer slumber last week by more than $13 billion in total volume. Of that total, about $7.2 billion had priced as of Thursday night. Real estate ABS made up the bulk of new issue, with $5.08 billion having priced as of Thursday's market close.

The sharp decline in short-term interest rates has encouraged subprime mortgage lenders to include more fixed-rate collateral in floaters during the past two years, and investors have lately begun to balk at the embedded cap costs in mixed deals. However, changes made to the structure and collateral during the past year appear to have effectively offset the risk of declining WACs, according to recent research from UBS.

Bankrupt medical equipment lessor DVI Inc. reported cash shortfalls in four of its nine outstanding securitization trusts and a slim surplus on an aggregate basis, according to records filed with the Securities and Exchange Commission. The shortfalls, experienced in the series 2000-1, 2000-2, 2002-2 and 2003-1 transactions, are relatively small, however, and are not seen as leading to a major principal loss for investors, sources said.