CDOs/CLOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues - - - - - Industry Total - - - - 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 Morgan Stanley 4,560.9 1 15.1 7 Deutsche Bank AG 4,144.5 2 13.7 6 Lehman Brothers 3,825.7 3 12.6 5 Credit Suisse First Boston 3,550.7 4 11.7 7 Bear Stearns & Co Inc 2,368.5 5 7.8 3 Royal Bank of Scotland Group 2,095.6 6 6.9 5 Banc of America Securities LLC 1,660.4 7 5.5 4 Citigroup 1,591.6 8 5.3 4 JP Morgan 1,342.3 9 4.4 2 Merrill Lynch & Co Inc 1,250.0 10 4.1 2 Industry Total 30,314.2 - 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 Morgan Stanley 1,012.6 1* 33.7 2 Lehman Brothers 1,012.6 1* 33.7 2 Deutsche Bank AG 489.9 3* 16.3 1 Credit Suisse First Boston 489.9 3* 16.3 1 Industry Total 3,004.9 - 100.0 3 Source: Thomson Financial

Year to date as of Feb 4 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 3,997 2,437 1,560 2,200 1,797 3,345 423 229 Cash Commercial Loans Corp Bond/Note Corporate Loans Credit Card Rec 2,402 1,950 452 1,950 452 2,202 200 Equip Loans Equip. Leases Floorplan Recs Franchisee Loans Home Impr Loans Junk Bonds Leases Loans Mnfrd Housing Ct 200 200 200 200 Mutual Fund Fees Non-Jumbo Mtg Ln 7,715 3,067 4,648 7,709 6 3,008 725 3,923 59 Oil Receivables Preferred Sec Prv Issued Sec Rental Car Rec. Rev Cred/Home Eq 23,784 14,375 9,342 21,404 2,381 19,068 2,802 1,645 250 20 Sm Business Loan Struc Fin Credit 1,522 602 920 1,522 107 411 1,004 Student Loans 3,005 378 2,626 1,857 1,148 2,025 980 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 55% Non-Jumbo Mtg Ln 18% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 6% Other 5%

Throughout last year, the triple-B minus class became a routine feature in most mortgage-related ABS deals. Late in 2003, however, the real estate sector began dipping below the investment-grade Mendoza line, flaunting a double-B rated class. Already in 2004, nine real estate deals - from both lenders and dealer shelves - have featured these small high yield tidbits, and sources anticipate the trend will take hold. Buysiders, however - even those who recently bought these classes - caution that double-Bs are not for everybody, but only the most sophisticated investor.

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Issuers are the bread and butter of the ABS industry, and drawing new collateral sources into the market means drawing new personalities - and their firms - into the securitization market. Last week's new issuer workshop, focusing on securitization fundamentals, attracted a packed room dominated by newcomers.

In Phoenix last week, panelists on the non-mortgage research roundtable agreed that 2004 will not likely be "the year of the home run," compared to the massive tightening in just about every asset class throughout last year.

As auto lenders begin relying more heavily on favorable execution in the whole loan markets, investors are seeing more of an aggressive structure hit the sector. While the concurrent pay structure has obvious benefits to the issuer, it also heightens the extension risk for subordinate buyers, if the transaction is structured too aggressively.