CDOs/CLOs

On active trading last week, spreads for Sears Roebuck & Co. credit card ABS tightened 10 to 20 basis points on the news that its operations would be purchased by Citigroup. Boosting momentum was the news that, in addition to the portfolio sale, Sears had successfully established a strategic alliance with Citi, which the market saw as creating competitive synergies for the largest credit card issuer in the U.S.

Specifics around the proposed IPO of CapitalSource Inc., a commercial finance lender and repeat ABS issuer, continue to remain hazy despite the fact the company issued an amended filing last week with the Securities and Exchange Commission. The new document gave little in the way of juicy tidbits.

Year to date as of Jul 16 Term (days) 07/10 07/11 07/14 07/15 07/16 1-week

2003 2002 2001 ABS (Public and 144A) 285,168 241,289 199,984 ABS (Public and 144A excluding CDOs) 268,113 212,491 172,930 ABS (Public Only) 237,397 191,418 145,933 ABS (144A Only) 47,772 49,872 54,051 Non-Agency MBS 174,538 109,375 90,426 Agency MBS 323,911 267,928 142,582 CMBS 36,246 23,996 30,547 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 4,444.3 1 14.3 6 Deutsche Bank AG 3,770.1 2 12.2 7 Citigroup 3,705.3 3 12.0 5 BANK ONE Corp 3,347.8 4 10.8 6 Credit Suisse First Boston 3,129.1 5 10.1 7 Banc of America Securities LLC 2,447.8 6 7.9 5 Barclays Capital 2,400.8 7 7.8 5 Morgan Stanley 2,265.7 8 7.3 4 Merrill Lynch & Co Inc 1,635.4 9 5.3 3 Goldman Sachs & Co 1,289.4 10 4.2 3 Industry Total 30,992.1 - 100.0 40 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 2,978.7 1 17.5 9 Deutsche Bank AG 2,703.6 2 15.9 6 Wachovia Corp 2,134.4 3 12.5 7 Bear Stearns & Co Inc 1,673.2 4 9.8 6 Citigroup 1,547.6 5 9.1 4 Morgan Stanley 1,031.4 6 6.1 4 UBS 900.0 7 5.3 2 Banc of America Securities LLC 884.6 8 5.2 4 Goldman Sachs & Co 829.2 9 4.9 3 JP Morgan 697.6 10 4.1 2 Industry Total 17,055.7 - 100.0 53 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 25.8 16 BANK ONE Corp 7,826.8 2 19.4 14 JP Morgan 6,078.6 3 15.1 11 Barclays Capital 3,834.7 4 9.5 7 Morgan Stanley 3,579.5 5 8.9 4 Banc of America Securities LLC 2,537.3 6 6.3 8 Deutsche Bank AG 2,084.6 7 5.2 7 Credit Suisse First Boston 1,294.2 8 3.2 4 Merrill Lynch & Co Inc 1,245.0 9 3.1 5 Lehman Brothers 823.1 10 2.0 3 Industry Total 40,398.4 - 100.0 66 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 22,668.0 1 14.4 55 Countrywide Securities Corp 14,158.2 2 9.0 24 Royal Bank of Scotland Group 13,292.6 3 8.5 30 Citigroup 12,977.4 4 8.3 33 Morgan Stanley 12,447.8 5 7.9 28 Banc of America Securities LLC 11,067.2 6 7.1 30 JP Morgan 10,978.0 7 7.0 16 Credit Suisse First Boston 10,602.1 8 6.8 26 Deutsche Bank AG 10,549.9 9 6.7 26 UBS 7,666.6 10 4.9 19 Industry Total 157,053.2 - 100.0 297 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 20.7 7 Morgan Stanley 3,160.4 2 17.5 6 Deutsche Bank AG 2,740.7 3 15.1 5 Credit Suisse First Boston 2,437.7 4 13.5 5 Merrill Lynch & Co Inc 2,238.3 5 12.4 4 Banc of America Securities LLC 1,186.3 6 6.6 3 JP Morgan 1,074.5 7 5.9 3 BANK ONE Corp 507.6 8* 2.8 1 Lehman Brothers 507.6 8* 2.8 1 UBS 503.0 10 2.8 2 Industry Total 18,102.1 - 100.0 17 Source: Thomson Financial