ABS

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 1,708.0 1 34.0 3 Credit Suisse First Boston 1,058.0 2 21.1 3 HSBC Holdings PLC 708.0 3 14.1 2 Banc of America Securities LLC 632.0 4 12.6 2 Wachovia Corp 420.0 5 8.4 1 Morgan Stanley 250.0 6* 5.0 1 ABN AMRO 250.0 6* 5.0 1 Industry Total 5,026.0 - 100.0 7 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 Countrywide Securities Corp 39,036.8 1 15.4 39 RBS Greenwich Capital 28,336.3 2 11.2 55 Lehman Brothers 25,611.5 3 10.1 56 Morgan Stanley 20,436.4 4 8.0 45 Credit Suisse First Boston 19,292.0 5 7.6 40 Bear Stearns & Co Inc 18,266.4 6 7.2 40 Citigroup 15,959.2 7 6.3 48 Deutsche Bank AG 14,827.9 8 5.8 42 Merrill Lynch & Co Inc 13,433.0 9 5.3 27 Banc of America Securities LLC 13,321.0 10 5.2 41 Industry Total 254,227.0 - 100.0 454 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 Merrill Lynch & Co Inc 5,289.7 1 19.0 6 Deutsche Bank AG 3,616.4 2 13.0 5 Morgan Stanley 3,275.2 3 11.8 6 JP Morgan 3,207.9 4 11.5 6 Citigroup 2,986.6 5 10.7 4 UBS 2,820.0 6 10.1 6 Credit Suisse First Boston 2,745.6 7 9.9 4 Banc of America Securities LLC 1,781.4 8 6.4 2 Lehman Brothers 1,012.6 9 3.6 2 RBC Capital Markets 462.0 10 1.7 1 Industry Total 27,805.5 - 100.0 26 Source: Thomson Financial

Year to date as of Jul 14 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 126 126 126 126 Auto Loans/Recs 38,691 34,759 3,932 32,812 5,879 15,374 17,886 5,432 Comm. Mtg 1,913 650 1,263 1,913 276 229 829 540 Commercial Loans Corp Bond/Note 3,555 1,130 2,425 3,555 2,026 746 45 738 Corporate Loans 4,954 264 4,690 4,954 2,457 395 370 1,192 539 Credit Card Rec 27,572 10,299 17,273 23,709 3,864 19,284 1,400 4,739 900 1,249 Debentures 1,838 1,838 1,838 1,838 Equip Loans Equip. Leases 4,414 4,164 250 4,164 250 1,989 1,388 529 221 289 Floorplan Recs 5,026 840 4,186 4,902 124 4,014 830 182 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 331 331 331 331 Non-Jumbo Mtg Ln 59,978 27,364 29,480 57,518 2,460 35,675 13,399 9,805 772 312 Oil Receivables Preferred Sec 2,886 1,557 1,330 2,886 2,542 158 186 Prv Issued Sec 1,119 391 380 1,119 1,119 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 194,676 106,359 75,231 169,844 24,832 123,853 43,210 25,438 1,549 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 13,292 4,911 8,380 13,292 4,261 2,507 4,928 1,508 Student Loans 27,806 4,062 22,058 22,744 5,061 14,959 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 771 386 385 771 471 300 Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 48% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 10% Student Loans 7% Credit Card Rec 7% Other 13%

Though structurers may deny it, Moody's Investors Service was left off some recent home-equity ABS, as well as home-equity focused CDOs, because of its more conservative ratings methodology on deeply subordinated classes of hyper-tranched transactions, market sources report. The hyper-tranching has led to split ratings on some down-in-credit tranches (see ASR 2/16/04), which Moody's has rated lower than its competitors - and as a result, Moody's has not rated two home equity transactions, or two other recent home equity-focused CDOs.

The U.S. ABS primary market was roused from its midsummer slumber last week by more than $13 billion in total volume. Of that total, about $7.2 billion had priced as of Thursday night. Real estate ABS made up the bulk of new issue, with $5.08 billion having priced as of Thursday's market close.

The sharp decline in short-term interest rates has encouraged subprime mortgage lenders to include more fixed-rate collateral in floaters during the past two years, and investors have lately begun to balk at the embedded cap costs in mixed deals. However, changes made to the structure and collateral during the past year appear to have effectively offset the risk of declining WACs, according to recent research from UBS.

Bankrupt medical equipment lessor DVI Inc. reported cash shortfalls in four of its nine outstanding securitization trusts and a slim surplus on an aggregate basis, according to records filed with the Securities and Exchange Commission. The shortfalls, experienced in the series 2000-1, 2000-2, 2002-2 and 2003-1 transactions, are relatively small, however, and are not seen as leading to a major principal loss for investors, sources said.

With a decent showing this year already, RBS Greenwich Capital is planning a significant expansion of its CDO group, affirming its commitment to the sector with the hire of Romita Shetty, who starts later this month. Shetty was formerly responsible for global structured products at JPMorgan Securities.

A $325 million securitization of diversified payments rights from Turkish commercial bank Garanti Bankasi recently hit the private placement market, sources said. Two monoline bond insurers wrapped the transaction.

The first national correspondent for UCC Capital Corp. in the life sciences sector was announced last week as the firm moves into expansion mode, a rollout that also included the launch of a new Patent Royalty Trust, aimed at academia.

Standard & Poor's rated global structured securities performed better during the second quarter of 2004 than during the first. The upgrade rate for structured finance securities was more than three times the downgrade rate. This positive trend was pronounced across many sectors but was most noticeable among U.S. RMBS ratings. A review of the performance suggests continued strength among U.S. RMBS ratings and therefore upgrades, a significant increase in European and U.S. CMBS upgrades, and a significant decline in U.S. ABS downgrades. A notable increase in European ABS downgrades is due primarily to lowered ratings in the aircraft ABS area. Globally, in addition to aircraft ABS, a few other ABS asset types and CDO sectors continued to show weaknesses in their rating performance during the second quarter of the year.

Year to date as of 07/15 Term (days) 07/09 07/12 07/13 07/14 07/15 1-week

SuperLumina Funding, a newly rated multi-seller ABCP conduit, plans to fund about $1.25 billion in U.S. dollar, triple-A rated new-issue CDOs as its first course of business.

A Westport, Conn.-based credit card issuer, which targets college undergraduate and graduate students, is marketing its inaugural securitization, with the hopes of launching this week. Specialty monoline credit card issuer Clout Financial teamed up with the more familiar M&I Bank to bring Clout Financial Credit Card Trust series 2004-1, a $110 million Ambac-wrapped fixed-rate offering via Societe General, in the Rule 144A markets last week.

As market participants recovered from the long holiday weekend, U.S. ABS primary issuance slowed to an indolent trickle. Total volume was a meager $1.8 billion, with only $1.3 billion actually pricing. Analysts expect the calendar to build quickly over coming days as issuers begin to ready their transactions for the market, according to a report from Credit Suisse First Boston.

The practice of "notching" adjusting ratings, or refusing to rate, certain asset pools in a structured product unless a substantial portion of the assets are rated by the same agency rating the structured product has been a controversial issue for the wider debt markets for some years now.

The recently announced sale of Boullioun Aviation Services by WestLB will likely lead to an aircraft lease securitization shortly after the transactions' close, said sources with knowledge of the situation. Boullioun's attractive lease portfolio and forward delivery schedule, combined with the likely financial needs of potential acquirers, have many expecting an ABS from the new entity, depending on which competitor purchases the unwanted unit.

Year to date as of 07/08 Term (days) 07/02 07/05 07/06 07/07 07/08 1-week