CDOs/CLOs

Just as the Euro market seemed ready for a slowdown, CDO flow is nearly matching London's heat wave, with temperatures in the city soaring above Barbados' high.

Year to date as of 08/11 Term (days) 08/05 08/06 08/07 08/08 08/11 1-week

2003 2002 2001 ABS (Public and 144A) 320,375 255,838 225,431 ABS (Public and 144A excluding CDOs) 299,993 225,885 195,209 ABS (Public Only) 266,724 200,612 164,220 ABS (144A Only) 53,652 55,226 61,212 Non-Agency MBS 190,991 129,490 105,405 Agency MBS 359,321 300,754 156,496 CMBS 39,585 30,786 37,945 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 5,831.9 1 16.0 8 Credit Suisse First Boston 4,823.9 2 13.2 9 Deutsche Bank AG 4,434.1 3 12.2 8 BANK ONE Corp 4,011.7 4 11.0 7 Citigroup 3,705.3 5 10.2 5 Morgan Stanley 2,815.2 6 7.7 5 Barclays Capital 2,603.6 7 7.1 6 Banc of America Securities LLC 2,447.8 8 6.7 5 Merrill Lynch & Co Inc 1,635.4 9 4.5 3 Goldman Sachs & Co 1,289.4 10 3.5 3 Industry Total 36,467.0 - 100.0 49 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 4,110.7 1 20.2 12 Wachovia Corp 2,797.9 2 13.7 9 Deutsche Bank AG 2,703.6 3 13.3 6 Bear Stearns & Co Inc 1,794.7 4 8.8 7 Citigroup 1,727.6 5 8.5 5 Morgan Stanley 1,511.3 6 7.4 5 Goldman Sachs & Co 1,178.5 7 5.8 4 UBS 900.0 8 4.4 2 Banc of America Securities LLC 884.6 9 4.3 4 Merrill Lynch & Co Inc 700.8 10 3.4 2 Industry Total 20,381.8 - 100.0 63 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 10,421.7 1 24.5 16 BANK ONE Corp 8,326.6 2 19.6 15 JP Morgan 6,078.6 3 14.3 11 Barclays Capital 4,084.7 4 9.6 8 Morgan Stanley 3,954.5 5 9.3 5 Banc of America Securities LLC 2,537.3 6 6.0 8 Deutsche Bank AG 2,209.6 7 5.2 8 Credit Suisse First Boston 1,669.2 8 3.9 5 Merrill Lynch & Co Inc 1,245.0 9 2.9 5 Lehman Brothers 1,148.1 10 2.7 5 Industry Total 42,598.2 - 100.0 71 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 Corp 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 25,093.8 1 14.2 59 Morgan Stanley 16,741.0 2 9.5 37 Countrywide Securities Corp 16,218.3 3 9.2 28 Royal Bank of Scotland Group 14,501.9 4 8.2 33 Citigroup 13,635.3 5 7.7 36 Credit Suisse First Boston 13,277.8 6 7.5 33 JP Morgan 12,720.2 7 7.2 18 Deutsche Bank AG 11,746.2 8 6.7 27 Banc of America Securities LLC 11,713.3 9 6.6 34 Bear Stearns & Co Inc 8,759.5 10 5.0 19 Industry Total 176,272.0 - 100.0 332 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 3,746.1 1 18.0 7 Morgan Stanley 3,483.9 2 16.8 7 Credit Suisse First Boston 3,450.4 3 16.6 6 Merrill Lynch & Co Inc 3,251.0 4 15.7 5 Deutsche Bank AG 2,740.7 5 13.2 5 JP Morgan 1,398.0 6 6.7 4 Banc of America Securities LLC 1,186.3 7 5.7 3 BANK ONE Corp 507.6 8* 2.4 1 Lehman Brothers 507.6 8* 2.4 1 UBS 503.0 10 2.4 2 Industry Total 20,774.6 - 100.0 19 Source: Thomson Financial

Year to date as of Aug 6 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 1,365 1,365 1,365 1,365 Asset-Back Certs Auto Loans/Recs 41,444 33,476 7,968 38,846 2,599 11,006 22,127 8,129 125 35 Cash Catastrophe Bond Commercial Loans 311 188 123 311 311 Corp Bond/Note 2,630 419 2,178 2,630 1,300 240 468 622 Corporate Loans 4,734 422 4,277 4,734 1,392 774 161 906 1,501 Credit Card Rec 42,598 11,332 31,266 41,747 851 9,287 4,409 26,503 1,500 900 Debentures 2,444 2,444 2,444 2,444 Equip Loans Equip. Leases 6,288 4,318 1,970 4,591 1,697 2,016 3,530 668 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 4,756 2,757 1,999 4,756 3,390 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 2,293 233 2,060 2,293 734 490 1,069 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 975 975 975 975 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 41,658 12,949 26,289 36,697 4,961 18,470 6,899 14,763 1,173 203 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 1,626 984 517 87 1,539 1,626 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 137,539 57,133 78,934 126,136 11,403 63,466 39,572 31,517 2,174 666 Sm Business Loan 645 645 645 391 254 Stranded Costs Struc Fin Credit 14,546 2,707 11,802 14,546 7,219 352 2,346 2,673 1,874 Student Loans 22,240 600 18,672 20,504 1,736 3,864 4,327 7,423 4,937 979 Swap Agreement Tax Liens 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