CDOs/CLOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,786.5 1 20.4 12 Merrill Lynch & Co Inc 4,977.3 2 14.9 10 Morgan Stanley 4,898.6 3 14.7 10 Credit Suisse First Boston 4,037.4 4 12.1 8 Deutsche Bank AG 3,841.8 5 11.5 7 UBS 2,368.0 6 7.1 5 JP Morgan 1,846.7 7 5.5 5 Banc of America Securities LLC 1,840.6 8 5.5 5 Lehman Brothers 956.3 9 2.9 2 BANK ONE Corp 507.6 10 1.5 1 Industry Total 33,315.7 - 100.0 33 Source: Thomson Financial

Year to date as of Nov 19 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 3,229 2,202 1,027 3,229 2,202 457 361 208 Auto Loans/Recs 72,328 56,721 15,607 68,584 3,744 21,940 36,850 13,278 125 113 Cash 599 249 350 599 599 Commercial Loans 311 188 123 311 311 Corp Bond/Note 4,923 1,743 3,147 4,923 2,560 750 468 1,144 Corporate Loans 6,987 574 6,378 6,987 1,745 774 161 2,392 1,891 Credit Card Rec 59,721 17,481 42,240 58,869 851 17,589 5,408 32,223 2,000 2,500 Equip Loans 177 177 177 177 Equip. Leases 9,128 5,167 3,960 6,684 2,443 3,230 4,743 1,080 75 Floorplan Recs 7,446 2,132 5,314 6,610 836 2,132 1,790 3,524 Franchisee Loans 228 228 228 109 Home Impr Loans 8 8 8 8 Junk Bonds 6,167 954 5,212 6,167 1,966 1,743 2,458 Leases 1,388 1,388 1,388 760 178 Loans 2,998 2,998 2,998 2,998 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 66,783 24,253 39,210 59,527 7,256 29,898 15,353 19,730 1,344 275 Oil Receivables 750 750 750 750 Preferred Sec 2,061 651 1,385 2,061 854 108 177 921 Prv Issued Sec 1,863 1,123 615 162 1,701 1,863 Rental Car Rec. 4,125 2,400 1,725 1,000 3,125 1,500 460 2,165 Rev Cred/Home Eq 204,185 81,100 112,770 184,254 19,931 86,146 64,202 47,655 4,030 1,925 Sm Business Loan 1,045 1,045 1,045 401 644 Struc Fin Credit 24,810 5,045 19,728 24,810 11,154 758 4,077 5,087 3,652 Student Loans 35,566 1,900 27,404 29,294 6,272 10,382 5,939 9,685 7,020 1,428 Tax Liens 86 86 86 86 Ticket Rec 220 10 210 220 220 Timeshare Loans 473 415 58 473 170 303 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 Unspecified/NA 667 542 125 667 667 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% Auto Loans/Recs 14% Non-Jumbo Mtg Ln 13% Credit Card Rec 11% Student Loans 7% Other 16%

U.S. investors gobbled up $4.6 billion in U.K. mortgages last week, with demand high enough to support upsizing the dollar-denominated tranches almost $1 billion from the original amount.

Despite significant tightening over last few weeks, many banks still see relative value in subordinate and mezzanine home equity ABS.

Ford Motor Co.'s unsecured corporate debt actually tightened on the news that Standard & Poor's downgraded it to BBB-'. According to bank analysts, removing Ford from negative watch was more significant than the downgrade, as it wiped out the fear that Ford would slip below investment grade, at least for the near term.

HPSC Inc. and GE Healthcare Financial Services last week announced that GE would acquire HPSC for about $72 million in an all-stock transaction, working out to $14.50 per share, according to an 8-K filed with the Securities and Exchange Commission.

Standard & Poor's unveiled a new methodology to assess the risk of loss to investors in synthetic CDOs last week. The announcement came at the agency's CDO conference, which drew more than 400 attendees.

Last week's ABS market got off to a slow start, mainly due to the holiday-shortened week. About $7 billion in U.S. dollar ABS priced through Thursday, though $4.6 billion of that came from the king-sized Permanent Financing No. 3, Halifax Plc's U.K. RMBS issuance vehicle, which had been floating in the pipeline since late October.

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