CDOs/CLOs

New-issue ABS supply picked up last week, ahead of the Thanksgiving holiday and the three-day trading week that accompanies it. Roughly $25 billion was marketed last week, primarily in the form of large home equity deals, although there were numerous offerings in off-the-run assets such as shipping containers, time-share loans and insurance receivables.

The CDO market was ripe with activity last week.

Just as the rate of ABS downgrades is beginning to notably decline, the first dealership franchise-backed transaction - the last remnant of a once-thriving sector of the market - has succumbed to the franchise curse. In fact, the issuer, Falcon Financial, is often touted for its emphasis on underwriting to real estate in conjunction with enterprise value. (It should be noted that other players that once were associated with franchise ABS have opted to align themselves to CMBS).

Year to date as of 11/20 Term (days) 11/14 11/17 11/18 11/19 11/20 1-week

2003 2002 2001 ABS (Public and 144A) 502,771 394,771 332,949 ABS (Public and 144A excluding CDOs) 463,854 350,039 288,919 ABS (Public Only) 406,835 315,268 247,640 ABS (144A Only) 95,937 79,503 85,310 Non-Agency MBS 285,951 209,912 167,665 Agency MBS 511,767 491,326 302,387 CMBS 61,273 43,353 56,276 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 JP Morgan 10,052.6 1 16.0 14 Credit Suisse First Boston 7,701.2 2 12.3 14 Morgan Stanley 6,681.3 3 10.6 9 Deutsche Bank AG 6,541.5 4 10.4 10 Citigroup 5,300.4 5 8.4 9 BANK ONE Corp 5,026.3 6 8.0 9 Barclays Capital 4,051.4 7 6.5 10 Banc of America Securities LLC 3,747.9 8 6.0 8 Bear Stearns & Co Inc 2,856.5 9 4.6 1 Wachovia Corp 2,728.1 10 4.4 10 Industry Total 62,767.0 - 100.0 78 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 5,447.8 1 14.0 15 Deutsche Bank AG 3,616.3 2 9.3 10 Wachovia Corp 3,555.1 3 9.1 14 Goldman Sachs & Co 3,450.3 4 8.9 7 Citigroup 3,321.7 5 8.5 10 Bear Stearns & Co Inc 2,514.8 6 6.5 10 Merrill Lynch & Co Inc 2,340.7 7 6.0 8 Morgan Stanley 2,306.8 8 5.9 7 UBS 2,245.0 9 5.8 5 Caisse des Depots et Consign. 1,600.0 10 4.1 2 Industry Total 38,917.7 - 100.0 110 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 12,170.9 1 20.4 20 BANK ONE Corp 11,756.6 2 19.7 22 JP Morgan 10,553.7 3 17.7 18 Barclays Capital 5,498.8 4 9.2 11 Morgan Stanley 3,954.5 5 6.6 5 Deutsche Bank AG 3,834.6 6 6.4 14 Banc of America Securities LLC 3,812.3 7 6.4 12 Credit Suisse First Boston 2,818.7 8 4.7 10 Lehman Brothers 2,048.1 9 3.4 7 Merrill Lynch & Co Inc 1,744.5 10 2.9 7 Industry Total 59,720.6 - 100.0 101 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 2,184.6 1 29.3 7 Banc of America Securities LLC 922.7 2 12.4 2 JP Morgan 875.0 3 11.8 4 Barclays Capital 710.7 4* 9.5 1 Lehman Brothers 710.7 4* 9.5 1 Merrill Lynch & Co Inc 521.2 6* 7.0 2 Societe Generale 521.2 6* 7.0 2 Citigroup 500.0 8* 6.7 1 BANK ONE Corp 500.0 8* 6.7 1 Industry Total 7,446.1 - 100.0 11 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 33,551.1 1 12.6 82 Credit Suisse First Boston 24,885.0 2 9.3 56 Citigroup 23,213.1 3 8.7 61 Morgan Stanley 22,990.7 4 8.6 49 Royal Bank of Scotland Group 22,394.7 5 8.4 47 Deutsche Bank AG 19,537.2 6 7.3 46 Bear Stearns & Co Inc 19,290.6 7 7.2 42 Banc of America Securities LLC 18,659.3 8 7.0 57 JP Morgan 18,530.6 9 7.0 26 Countrywide Securities Corp 18,291.7 10 6.9 35 Industry Total 266,642.5 - 100.0 534 Source: Thomson Financial