CDOs/CLOs

The post ABS East primary ABS market started off slow last week, with just one transaction kicking around as of Tuesday's market close. But as has been the case throughout the two MLB league championship series, the action developed late and was worth sticking around for.

Year to date as of 10/22 Term (days) 10/16 10/17 10/20 10/21 10/22 1-week

2003 2002 2001 ABS (Public and 144A) 435,172 341,460 289,869 ABS (Public and 144A excluding CDOs) 405,335 302,605 253,221 ABS (Public Only) 348,448 271,297 217,249 ABS (144A Only) 86,724 70,163 72,620 Non-Agency MBS 257,605 189,894 141,910 Agency MBS 467,040 431,292 266,907 CMBS 54,722 39,373 47,171 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 JP Morgan 7,871.8 1 15.4 11 Credit Suisse First Boston 5,805.2 2 11.4 10 Deutsche Bank AG 5,349.0 3 10.5 9 Morgan Stanley 4,823.9 4 9.5 8 BANK ONE Corp 4,734.7 5 9.3 8 Citigroup 4,389.3 6 8.6 6 Barclays Capital 3,555.3 7 7.0 9 Banc of America Securities LLC 3,512.5 8 6.9 7 Bear Stearns & Co Inc 2,856.5 9 5.6 1 Wachovia Corp 1,853.6 10 3.6 7 Industry Total 50,984.7 - 100.0 62 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 4,898.5 1 16.4 14 Deutsche Bank AG 3,455.4 2 11.6 9 Wachovia Corp 2,886.6 3 9.7 10 Citigroup 2,755.6 4 9.2 8 Bear Stearns & Co Inc 2,514.8 5 8.4 10 Morgan Stanley 2,156.8 6 7.2 6 Merrill Lynch & Co Inc 1,891.7 7 6.3 7 UBS 1,520.0 8 5.1 4 Lehman Brothers 1,493.4 9 5.0 5 Goldman Sachs & Co 1,362.5 10 4.6 5 Industry Total 29,837.3 - 100.0 89 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 11,920.9 1 22.7 19 BANK ONE Corp 9,606.6 2 18.3 19 JP Morgan 8,253.7 3 15.7 15 Barclays Capital 5,373.8 4 10.2 10 Morgan Stanley 3,954.5 5 7.5 5 Banc of America Securities LLC 3,312.3 6 6.3 10 Deutsche Bank AG 3,309.6 7 6.3 12 Lehman Brothers 2,048.1 8 3.9 7 Credit Suisse First Boston 1,819.1 9 3.5 6 Wachovia Corp 1,528.0 10 2.9 6 Industry Total 52,621.6 - 100.0 89 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 1,375.0 1 20.7 5 Merrill Lynch & Co Inc 1,042.4 2 15.7 2 Banc of America Securities LLC 922.7 3 13.9 2 JP Morgan 875.0 4 13.2 4 Barclays Capital 710.7 5* 10.7 1 Lehman Brothers 710.7 5* 10.7 1 Citigroup 500.0 7* 7.5 1 BANK ONE Corp 500.0 7* 7.5 1 Industry Total 6,636.5 - 100.0 9 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 30,211.1 1 12.8 73 Morgan Stanley 21,814.8 2 9.2 46 Citigroup 20,758.8 3 8.8 55 Royal Bank of Scotland Group 20,618.8 4 8.7 42 Countrywide Securities Corp 18,235.5 5 7.7 33 JP Morgan 17,469.1 6 7.4 22 Bear Stearns & Co Inc 16,188.5 7 6.8 36 Deutsche Bank AG 16,163.8 8 6.8 37 Credit Suisse First Boston 15,794.3 9 6.7 42 Banc of America Securities LLC 15,385.7 10 6.5 49 Industry Total 236,955.2 - 100.0 469 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 5,332.8 1 19.9 10 Morgan Stanley 4,244.2 2 15.8 8 Merrill Lynch & Co Inc 3,869.4 3 14.4 7 Deutsche Bank AG 3,841.8 4 14.3 7 Credit Suisse First Boston 3,583.8 5 13.4 7 JP Morgan 1,846.7 6 6.9 5 UBS 1,368.0 7 5.1 4 Banc of America Securities LLC 1,186.3 8 4.4 3 Lehman Brothers 956.3 9 3.6 2 BANK ONE Corp 507.6 10 1.9 1 Industry Total 26,796.8 - 100.0 26 Source: Thomson Financial

Year to date as of Oct 15 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 Asset-Back Certs Auto Loans/Recs 58,529 44,267 14,262 55,614 2,916 16,543 30,571 11,232 125 35 Cash 599 249 350 599 599 Catastrophe Bond Commercial Loans 311 188 123 311 311 Corp Bond/Note 4,374 1,714 2,627 4,374 2,560 380 468 966 Corporate Loans 6,000 544 5,422 6,000 1,425 774 161 1,860 1,757 Credit Card Rec 52,622 14,343 38,279 51,770 851 13,026 5,408 29,837 2,000 2,350 Debentures 3,445 3,445 3,445 3,445 Equip Loans Equip. Leases 7,133 4,224 2,909 5,008 2,125 2,584 3,752 721 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 4,402 2,403 1,999 4,402 3,036 1,002 221 144 Floorplan Recs 6,636 2,132 4,504 6,610 26 2,132 1,271 3,234 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 622 622 622 622 Junk Bonds 4,061 440 3,622 4,061 1,066 1,453 1,543 Legal Fees Loans 3,175 3,175 3,175 3,175 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Motorcycle Loans 1,450 1,450 1,450 1,450 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 54,421 17,546 34,710 47,197 7,224 22,638 12,414 17,688 1,256 275 Non-Perf Loans Oil Contracts Preferred Sec 2,061 651 1,385 2,061 854 108 177 921 Prv Issued Sec 1,848 1,108 615 157 1,691 1,848 Rental Car Rec. 3,625 2,400 1,225 500 3,125 1,500 230 1,895 Retail Contracts 750 750 750 197 404 149 Rev Cred/Home Eq 187,430 80,430 97,598 160,379 27,051 84,228 54,856 40,706 3,144 1,674 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 18,796 3,274 15,486 18,796 8,530 747 2,346 4,418 2,674 Student Loans 29,047 1,900 23,295 26,544 2,503 6,613 5,502 8,244 6,224 1,352 Swap Agreement Tax Liens 86 86 86 86 Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 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