ABS

Year to date as of 07/01 Term (days) 06/25 06/28 06/29 06/30 07/01 1-week

2004 2003 2002 ABS (Public and 144A) 346,966 276,124 225,491 ABS (Public and 144A excluding CDOs) 318,814 255,960 200,163 ABS (Public Only) 276,578 225,385 179,895 ABS (144A Only) 70,388 50,739 45,596 Non-Agency MBS 139,697 154,346 94,427 Agency MBS 166,272 361,014 216,039 CMBS 35,263 34,479 21,241 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 7,192.8 1 19.7 10 JP Morgan 6,106.3 2 16.8 10 Deutsche Bank AG 5,344.5 3 14.7 9 Wachovia Corp 3,158.9 4 8.7 4 Credit Suisse First Boston 3,120.2 5 8.6 7 Banc of America Securities LLC 3,105.2 6 8.5 6 Barclays Capital 2,355.2 7 6.5 6 Merrill Lynch & Co Inc 2,002.4 8 5.5 3 Goldman Sachs & Co 1,256.2 9 3.5 1 Lehman Brothers 870.7 10 2.4 2 Industry Total 36,454.5 - 100.0 42 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 5,504.0 1 17.3 9 UBS 3,917.0 2 12.3 6 Wachovia Corp 3,117.4 3 9.8 13 Deutsche Bank AG 3,054.2 4 9.6 8 Citigroup 2,590.5 5 8.1 11 Credit Suisse First Boston 1,772.4 6 5.6 4 Bear Stearns & Co Inc 1,549.8 7 4.9 5 Lehman Brothers 1,509.0 8 4.7 7 Morgan Stanley 1,445.8 9 4.5 5 Banc of America Securities LLC 1,391.9 10 4.4 9 Industry Total 31,902.9 - 100.0 88 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 10,541.3 1 38.9 16 Citigroup 4,698.4 2 17.4 10 Lehman Brothers 4,119.2 3 15.2 8 Barclays Capital 2,349.4 4 8.7 6 Deutsche Bank AG 1,324.7 5 4.9 6 Credit Suisse First Boston 1,194.3 6 4.4 4 Banc of America Securities LLC 1,193.0 7 4.4 5 Merrill Lynch & Co Inc 752.2 8 2.8 2 Goldman Sachs & Co 425.0 9 1.6 2 Morgan Stanley 375.0 10 1.4 1 Industry Total 27,072.4 - 100.0 44 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 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 37,313.8 1 15.3 37 Royal Bank of Scotland Group 27,901.4 2 11.4 52 Lehman Brothers 22,922.0 3 9.4 52 Credit Suisse First Boston 18,429.4 4 7.6 38 Bear Stearns & Co Inc 18,014.3 5 7.4 39 Morgan Stanley 18,011.3 6 7.4 40 Citigroup 15,062.4 7 6.2 45 Deutsche Bank AG 14,827.9 8 6.1 42 Merrill Lynch & Co Inc 13,430.7 9 5.5 27 Banc of America Securities LLC 13,270.3 10 5.4 40 Industry Total 244,227.9 - 100.0 435 Source: Thomson Financial

By in large, savvy market players seem to favor the CDO of home equity bonds over the underlying bonds themselves, given the added structure, mix of issuers and regions, as well as the pick up in absolute yield. While three-year triple-A home equity-focused CDOs are pricing within a few points of comparable HELs -both currently in the mid 30s - the CDOs are indexed off the three-month Libor compared to the one-month Libor, which picks up about 25 basis points on today's curve.

Issuance of home equity line of credit-backed ABS is on a torrid pace halfway through the year - having topped the $10 billion mark last week - and spreads are starting to show the effects of the supply. After having pushed the 20 basis point threshold over Libor, spreads have moved out on recently priced transactions to the mid-20 basis point area over Libor.

With the closing of the JPMorgan Chase/Bank One Corp. merger expected this week, the market is bidding a fond farewell to the final remaining Midwest investment bank's presence. Lead mandates have trickled down - Banc One Capital Markets and JPMorgan Securities jointly led last week's Prestige Auto Corp. series 2004-1 deal, perhaps the final ABS with the BOCM stamp. The bank has liquidated its trading inventory and research dried up several weeks ago. It's understood that many BOCM ABS professionals were unwilling to move to JPMorgan's New York-based offices and are now fielding new job offers.

As the first half of the year rapidly approaches, issuers rushed to the U.S. ABS primary market last week, pricing $17.5 billion in new issue supply. Not surprisingly, with the Fed expected to begin its tightening cycle this week, real estate ABS had another busy week with over $13 billion circulating at week's end.

GMAC-RFC, the most prolific ABS issuer over the past year-and-a-half recently introduced a new securitization product backed by what could become a new sub-sector in the mortgage related ABS market. Residential Asset Acquisition Corp. Trust (RAAC), issued off the RAMP shelf, is backed by heavily seasoned collateral acquired by RFC's Principal Investment Activities group acquired from banks selling assets and prime scratch and dent loans. Many of the loans were repurchased by originators following deal clean-up calls, as factors shrank during the three-year-long refi wave.

For RMF, one of U.K.-based Man Investments' core investment managers, ramping up a second collateralized debt obligation was a piece of cake.

Lease Equity Appreciation Fund II, under the aegis of LEAF Asset Management, has filed with the Securities and Exchange Commission to raise up to $60 million via the sale of limited partnership interests.

Year to date as of 06/24 Term (days) 06/18 06/21 06/22 06/23 06/24 1-week

2004 2003 2002 ABS (Public and 144A) 346,966 276,124 225,491 ABS (Public and 144A excluding CDOs) 318,814 255,960 200,163 ABS (Public Only) 276,578 225,385 179,895 ABS (144A Only) 70,388 50,739 45,596 Non-Agency MBS 139,697 154,346 94,427 Agency MBS 166,272 361,014 216,039 CMBS 35,263 34,479 21,241 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 6,692.8 1 19.1 8 JP Morgan 5,326.3 2 15.2 8 Deutsche Bank AG 4,467.4 3 12.8 8 Wachovia Corp 3,158.9 4 9.0 4 Credit Suisse First Boston 3,120.2 5 8.9 7 Banc of America Securities LLC 3,105.2 6 8.9 6 Barclays Capital 2,355.2 7 6.7 6 Merrill Lynch & Co Inc 2,002.4 8 5.7 3 Goldman Sachs & Co 1,256.2 9 3.6 1 Lehman Brothers 870.7 10 2.5 2 Industry Total 34,972.4 - 100.0 38 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 4,395.8 1 15.6 8 UBS 3,917.0 2 13.9 6 Wachovia Corp 3,117.4 3 11.1 13 Deutsche Bank AG 2,255.2 4 8.0 6 Citigroup 1,840.5 5 6.5 9 Credit Suisse First Boston 1,772.4 6 6.3 4 Bear Stearns & Co Inc 1,549.8 7 5.5 5 Banc of America Securities LLC 1,391.9 8 4.9 9 Morgan Stanley 1,164.6 9 4.1 4 Royal Bank of Scotland Group 1,005.8 10 3.6 3 Industry Total 28,151.5 - 100.0 79 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 7,026.3 1 26.9 10 Citigroup 4,698.4 2 18.0 10 Lehman Brothers 3,744.2 3 14.3 7 BANK ONE Corp 3,350.0 4 12.8 5 Barclays Capital 2,349.4 5 9.0 6 Deutsche Bank AG 1,324.7 6 5.1 6 Credit Suisse First Boston 1,194.3 7 4.6 4 Banc of America Securities LLC 818.0 8 3.1 4 Merrill Lynch & Co Inc 752.2 9 2.9 2 Goldman Sachs & Co 425.0 10 1.6 2 Industry Total 26,157.4 - 100.0 42 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 1,708.0 1 40.8 3 Credit Suisse First Boston 1,058.0 2 25.3 3 HSBC Holdings PLC 708.0 3 16.9 2 Morgan Stanley 250.0 4* 6.0 1 ABN AMRO 250.0 4* 6.0 1 Banc of America Securities LLC 212.0 6 5.1 1 Industry Total 4,186.0 - 100.0 6 Source: Thomson Financial