ABS

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 26,848.0 1 12.4 29 Royal Bank of Scotland Group 23,821.0 2 11.0 45 Lehman Brothers 21,884.6 3 10.1 49 Credit Suisse First Boston 17,436.3 4 8.1 35 Bear Stearns & Co Inc 17,345.2 5 8.0 37 Morgan Stanley 16,754.5 6 7.8 38 Citigroup 14,049.0 7 6.5 41 Deutsche Bank AG 13,827.9 8 6.4 41 Merrill Lynch & Co Inc 13,206.8 9 6.1 25 Banc of America Securities LLC 12,191.1 10 5.7 38 Industry Total 215,830.0 - 100.0 392 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 4,289.7 1 18.0 5 JP Morgan 3,207.9 2 13.5 6 Citigroup 2,986.6 3 12.6 4 Credit Suisse First Boston 2,745.6 4 11.5 4 Deutsche Bank AG 2,616.4 5 11.0 4 UBS 2,420.0 6 10.2 5 Morgan Stanley 2,275.2 7 9.6 5 Banc of America Securities LLC 1,781.4 8 7.5 2 Lehman Brothers 1,012.6 9 4.3 2 RBC Capital Markets 462.0 10 1.9 1 Industry Total 23,797.3 - 100.0 22 Source: Thomson Financial

Year to date as of Jun 23 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 34,972 31,354 3,618 30,576 4,397 11,996 17,602 5,375 Comm. Mtg 1,258 375 883 1,258 229 593 410 Commercial Loans Corp Bond/Note 3,116 966 2,150 3,116 1,839 746 45 485 Corporate Loans 4,054 194 3,860 4,054 1,987 395 370 830 471 Credit Card Rec 26,157 10,099 16,058 22,294 3,864 18,819 650 4,739 700 1,249 Debentures 1,588 1,588 1,588 1,588 Equip Loans Equip. Leases 4,414 4,164 250 4,164 250 1,988 1,387 529 221 289 Floorplan Recs 4,186 4,186 4,062 124 3,836 350 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 1,381 7 1,374 1,381 1,000 306 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 47,204 21,294 23,582 44,944 2,261 28,083 9,686 8,920 218 284 Oil Receivables Preferred Sec 2,382 1,053 1,330 2,382 2,038 158 186 Prv Issued Sec 865 391 380 865 865 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 168,626 94,788 64,834 147,024 21,602 106,430 41,144 18,959 1,467 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 11,165 4,697 6,468 11,165 3,458 1,496 4,730 1,392 Student Loans 23,797 454 21,858 19,344 4,453 11,151 3,239 3,844 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 621 386 236 621 471 150 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 49% Non-Jumbo Mtg Ln 14% Auto Loans/Recs 10% Credit Card Rec 8% Student Loans 7% Other 13%

BARCELONA - Close to 3,500 delegates attended last week's Barcelona bash, the market's largest four-day meet-and-greet, hosted each year by Information Management Network.

Changes in the language of engagement letters used by accounting firms prior to a transaction being offered have caught issuers and underwriters off guard. As a result, some deals initially scheduled for an earlier date are just hitting the market now and deals now in the planning stages could be in for a delay. The changes, which have been in the planning stages since last year, just recently came to fruition, and issuers have had trouble getting their arms around the new documentation.

Even though many in the market were basking in Barcelona last week, the U.S. primary ABS market made a respectable showing with just over $12 billion in new issuance circulating. Real estate ABS, in particular, had a busy week, with $6.37 billion either priced or marketing as of Thursday's close.

Amid the recent consumer credit scare on the Korean peninsula, Hyundai Motor Co. recently priced the first-ever cross-border auto ABS backed by Korean-originated loans. The deal, led by stateside neophyte Standard Chartered Bank, was done with a senior/subordinate structure, unlike the only other Korean cross-border transaction, issued by a vehicle of LG Card in December 2001.

Dominion Bond Rating Service is touting its newly released rating methodology for auto ABS in the U.S. as a progressive approach, potentially accommodating single-B rated auto issuance.

ABS issuance last week may have reflected a market preoccupied with the pending gathering in Barcelona as well as the American Securitization Forum's annual meeting, which took place mid-week in New York. With roughly $4.6 billion in new-issue transactions, upwards of $884 million of which was still marketing as of Thursday, primary ABS volume was at low ebb.

Legal & General America is the company behind the next "Triple X" securitization - one of several life insurance deals slated for this year.

The debate over appropriate risk weighting for ABCP liquidity lines may prove next to meaningless, should the cost to qualify for the better treatment outweigh the capital savings.

When it comes to the future of supply, spreads and credit, three leading ABS researchers were mostly in agreement at last week's American Securitization Forum-hosted conference. On issues ranging from relative value to research conflicts (see related story), panelists showed little variance of opinion.

Hartford Investment Management, the asset management division of The Hartford Financial Services Group, has hit the ground running with its new leveraged loan team. In April, the Hartford-based firm, which was already established in managing other fixed income products, signed on a team of five ex-CIGNA Investment Management loan professionals to spearhead the firm's first-ever stint into leveraged loan investment management. Now Hartford has some $750 million in assets under management through two collateralized loan obligations (CLOs), with even more structured loan vehicles on the horizon.

Year to date as of 06/09 Term (days) 06/03 06/04 06/07 06/08 06/09 1-week

2004 2003 2002 ABS (Public and 144A) 320,840 253,931 195,970 ABS (Public and 144A excluding CDOs) 293,315 236,378 173,389 ABS (Public Only) 253,829 209,646 156,142 ABS (144A Only) 67,012 44,284 39,828 Non-Agency MBS 120,598 144,452 87,419 Agency MBS 160,421 318,589 200,691 CMBS 32,131 29,451 19,238 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 5,974.8 1 20.9 7 JP Morgan 4,588.9 2 16.1 7 Deutsche Bank AG 4,467.4 3 15.7 8 Banc of America Securities LLC 3,105.2 4 10.9 6 Credit Suisse First Boston 2,214.3 5 7.8 6 Barclays Capital 1,449.3 6 5.1 5 Merrill Lynch & Co Inc 1,265.0 7 4.4 2 Goldman Sachs & Co 1,256.2 8 4.4 1 Lehman Brothers 870.7 9 3.1 2 Morgan Stanley 820.1 10 2.9 2 Industry Total 28,528.1 - 100.0 32 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 16.0 8 UBS 3,917.0 2 14.2 6 Wachovia Corp 3,282.6 3 11.9 12 Deutsche Bank AG 2,255.2 4 8.2 6 Credit Suisse First Boston 1,772.4 5 6.4 4 Bear Stearns & Co Inc 1,549.8 6 5.6 5 Citigroup 1,457.7 7 5.3 8 Banc of America Securities LLC 1,391.9 8 5.1 9 Royal Bank of Scotland Group 1,005.8 9 3.7 3 BNP Paribas SA 919.5 10 3.3 1 Industry Total 27,525.3 - 100.0 76 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 5,025.0 1 22.6 7 Citigroup 4,698.4 2 21.1 10 BANK ONE Corp 3,350.0 3 15.1 5 Barclays Capital 2,349.4 4 10.6 6 Lehman Brothers 2,324.4 5 10.4 6 Deutsche Bank AG 1,324.7 6 6.0 6 Banc of America Securities LLC 818.0 7 3.7 4 Merrill Lynch & Co Inc 752.2 8 3.4 2 Credit Suisse First Boston 718.0 9 3.2 3 Goldman Sachs & Co 425.0 10 1.9 2 Industry Total 22,260.1 - 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 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