CDOs/CLOs

2003 2002 2001 ABS (Public and 144A) 393,564 318,527 270,746 ABS (Public and 144A excluding CDOs) 366,289 282,274 235,793 ABS (Public Only) 323,890 253,014 201,866 ABS (144A Only) 69,675 65,513 68,880 Non-Agency MBS 234,516 170,898 129,867 Agency MBS 427,452 386,700 226,260 CMBS 50,020 35,761 44,928 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 17.3 11 Credit Suisse First Boston 5,805.2 2 12.8 10 Deutsche Bank AG 5,349.0 3 11.8 9 Citigroup 4,389.3 4 9.7 6 Bank One Capital Markets 4,011.7 5 8.8 7 Morgan Stanley 3,873.9 6 8.5 7 Banc of America Securities LLC 3,512.5 7 7.7 7 Barclays Capital 3,068.8 8 6.8 8 Merrill Lynch & Co Inc 1,635.8 9 3.6 3 Goldman Sachs & Co 1,289.4 10 2.8 3 Industry Total 45,394.7 - 100.0 57 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 4,486.7 1 16.5 13 Deutsche Bank AG 3,455.4 2 12.7 9 Wachovia Corp 2,886.6 3 10.6 10 Citigroup 2,284.3 4 8.4 7 Bear Stearns & Co Inc 1,905.1 5 7.0 8 Banc of America Securities LLC 1,778.0 6 6.5 8 Merrill Lynch & Co Inc 1,771.7 7 6.5 7 Morgan Stanley 1,531.8 8 5.6 5 UBS 1,520.0 9 5.6 4 JP Morgan 1,197.6 10 4.4 3 Industry Total 27,275.1 - 100.0 86 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 11,670.9 1 24.0 18 Bank One Capital Markets 9,356.6 2 19.2 18 JP Morgan 7,253.7 3 14.9 14 Barclays Capital 5,373.8 4 11.0 10 Morgan Stanley 3,954.5 5 8.1 5 Deutsche Bank AG 2,909.6 6 6.0 10 Banc of America Securities LLC 2,787.3 7 5.7 9 Credit Suisse First Boston 1,819.1 8 3.7 6 Merrill Lynch & Co Inc 1,245.0 9 2.6 5 Wachovia Corp 1,153.0 10 2.4 5 Industry Total 48,671.6 - 100.0 83 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 39.7 5 JP Morgan 875.0 2 25.3 4 Citigroup 500.0 3* 14.4 1 Bank One Capital Markets 500.0 3* 14.4 1 Banc of America Securities LLC 212.0 5 6.1 1 Industry Total 3,462.1 - 100.0 6 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 30,523.7 1 14.1 71 Citigroup 19,615.9 2 9.1 50 Morgan Stanley 19,508.6 3 9.0 41 Countrywide Securities Corp 18,821.6 4 8.7 34 JP Morgan 18,519.1 5 8.6 23 Royal Bank of Scotland Group 18,421.2 6 8.5 40 Credit Suisse First Boston 15,794.3 7 7.3 42 Deutsche Bank AG 14,066.8 8 6.5 33 Banc of America Securities LLC 13,661.0 9 6.3 44 Bear Stearns & Co Inc 12,641.5 10 5.8 29 Industry Total 216,630.8 - 100.0 411 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 4,632.8 1 19.5 9 Morgan Stanley 4,244.2 2 17.9 8 Deutsche Bank AG 3,708.4 3 15.6 6 Credit Suisse First Boston 3,450.4 4 14.5 6 Merrill Lynch & Co Inc 3,287.4 5 13.8 5 JP Morgan 1,398.0 6 5.9 4 Banc of America Securities LLC 1,186.3 7 5.0 3 UBS 718.0 8 3.0 3 Bank One Capital Markets 507.6 9* 2.1 1 Lehman Brothers 507.6 9* 2.1 1 Industry Total 23,750.8 - 100.0 23 Source: Thomson Financial

Year to date as of Sep 24 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 2,392 1,365 1,027 2,392 1,365 457 361 208 Asset-Back Certs Auto Loans/Recs 52,712 39,731 12,981 49,884 2,828 11,787 29,898 10,844 125 35 Cash 399 199 200 399 399 Catastrophe Bond Commercial Loans 1,561 1,438 123 1,561 1,250 311 Corp Bond/Note 3,124 464 2,627 3,124 1,310 380 468 966 Corporate Loans 5,985 427 5,524 5,985 1,715 774 161 1,652 1,659 Credit Card Rec 48,672 12,543 36,129 47,820 851 10,576 5,408 28,837 1,500 2,350 Debentures 2,648 2,648 2,648 2,648 Equip Loans Equip. Leases 7,460 3,786 3,674 5,763 1,697 2,422 4,218 745 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 5,679 3,680 1,999 5,679 4,312 1,002 221 144 Floorplan Recs 3,462 3,462 3,436 26 750 2,712 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 622 622 622 622 Junk Bonds 3,756 323 3,434 3,756 1,066 1,246 1,445 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 50,298 16,515 32,778 44,376 5,922 20,134 12,347 16,238 1,153 275 Non-Perf Loans Oil Contracts Preferred Sec 1,222 231 966 1,222 108 108 177 828 Prv Issued Sec 1,723 1,058 540 157 1,566 1,723 Rental Car Rec. 2,275 1,050 1,225 500 1,775 650 230 1,395 Retail Contracts 750 750 750 197 404 149 Rev Cred/Home Eq 168,635 70,084 90,005 152,557 16,078 72,010 51,920 39,493 3,957 1,089 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 18,338 3,276 15,025 18,338 8,242 747 2,346 4,014 2,906 Student Loans 25,634 600 21,549 23,898 1,736 4,481 4,902 8,244 6,019 1,277 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

Rev Cred/Home Eq 41% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 12% Credit Card Rec 12% Student Loans 6% Other 16%

Long-time ABS investment house Structured Finance Advisors (SFA) is moving away from the "flawed models" of the CDO market and will soon launch a new investment find - dubbed the SFA Managed Account Program - which SFA President and founder Joe Lorusso is pitching as "the anti-CDO product." The target launch date for the fund is 4Q03.