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 24,327.9 1 12.0 24 Lehman Brothers 21,884.6 2 10.8 49 Royal Bank of Scotland Group 21,140.1 3 10.4 41 Credit Suisse First Boston 16,735.6 4 8.3 32 Morgan Stanley 16,564.9 5 8.2 37 Bear Stearns & Co Inc 14,241.1 6 7.0 31 Deutsche Bank AG 13,806.0 7 6.8 40 Citigroup 13,294.8 8 6.6 39 Merrill Lynch & Co Inc 12,616.4 9 6.2 23 Banc of America Securities LLC 11,669.2 10 5.8 36 Industry Total 202,532.8 - 100.0 369 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 18.1 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 11.6 4 Deutsche Bank AG 2,616.4 5 11.0 4 UBS 2,345.0 6 9.9 4 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 2.0 1 Industry Total 23,722.3 - 100.0 21 Source: Thomson Financial

Year to date as of Jun 9 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 Auto Loans/Recs 28,528 24,910 3,618 24,571 3,957 10,503 13,265 4,761 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 3,289 194 3,095 3,289 1,987 830 471 Credit Card Rec 22,260 10,099 12,161 19,816 2,444 15,874 650 3,787 700 1,249 Debentures 1,296 1,296 1,296 1,296 Equip Loans Equip. Leases 3,978 3,728 250 3,728 250 1,847 1,091 528 223 289 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 47,986 21,294 25,012 45,725 2,261 29,512 9,259 8,748 169 284 Oil Receivables Preferred Sec 2,382 1,053 1,330 2,382 2,038 158 186 Prv Issued Sec 484 159 325 484 484 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 154,546 87,335 60,313 133,252 21,294 100,297 37,332 15,055 1,303 488 Sm Business Loan 828 828 828 828 Struc Fin Credit 11,305 4,836 6,468 11,305 3,598 1,496 4,730 1,392 Student Loans 23,722 378 21,858 19,344 4,378 11,076 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 48% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 7% Other 14%

The improving economy combined with investor demand for yield is allowing some of the more headline-laden issuers, who had needed surety wraps to bring offerings over the past two years, the ability to sell senior/subordinated structures once again. Strong receptions for recent transactions from Providian Financial and AmeriCredit Corp. are evidence of the changed economics that has other issuers, including The Metris Companies, assessing the possibility of issuing unwrapped ABS, sources said.

Municipal bond buyers are getting their first taste of stranded cost ABS, as the state of Connecticut is in the market with the first stranded cost securitization marketed to municipal bond buyers. The bonds, the proceeds for which are being used to fill a projected budget deficit, achieved tax-exempt status - thanks to funding utilities payments toward state-sponsored conservation spending, sources said.

In the short week following Memorial Day, the ABS market eased into the summer months at a languid pace with $10.19 billion in new issuance as of press time Thursday night. Real estate ABS once again reigned supreme, accounting for about half of the total volume.

Fleetwood Enterprises, a longtime producer of manufactured housing and recreational vehicles, will be venturing into the consumer finance arena to help move its inventory, the company indicated in a filing with the Securities and Exchange Commission last week tied to an equity offering.

After completing its first asset purchase, alternative conduit vehicle Freedom Park is set to take the Street by storm. Administered by Promontory Asset Finance Co., Freedom Park - which was designed to complement the changing risk appetite of investment banks in the evolving accounting and regulatory landscape - has already used one-fourth of its capacity and is planning to expand.

Overseas investors are increasingly providing funding for senior settlement securitizations backed by pools originated in the U.S., where issuers have had a hard time lining up financing.

At just shy of $3.5 billion, volume in equipment ABS is notably behind where it was at this time last year. Recent events, including the DVI Inc. debacle and the acquisition of several programmatic issuers, could put downward pressure on issuance for the year.

Moody's Investors Service announced that it has modified its approach for rating synthetic collateralized debt obligations, moving to Monte Carlo simulation-based models from binomial approaches. In many circles, particularly Europe, the change is a significant one.

CDO pricing can't get much better. Last week, Carlyle Investment Management was able to bring its high yield loan- backed 7.85-year triple-As at 37 basis points over three-month Libor. Carlyle High Yield Partners VI, which was led by Wachovia Securities, had been in the pipeline since last fall, when guidance for the senior class was 48 over Libor. Talk was revised in recent weeks to the 37 area, and the deal made good (see triple-A pricing chart, p. 11).

Although the potential rise in interest rates has placed a damper on most asset classes, the syndicated loans world has not lost its appeal. Instead, loans have probably been one of the most attractive asset classes around this year, and they are spurring the creation of new loan funds as well as collateralized loan obligations (CLOs).

Year to date as of 06/03 Term (days) 05/28 05/31 06/01 06/02 06/03 1-week

2004 2003 2002 ABS (Public and 144A) 300,601 236,966 187,194 ABS (Public and 144A excluding CDOs) 274,756 220,106 166,280 ABS (Public Only) 238,275 194,348 151,426 ABS (144A Only) 62,326 42,618 35,768 Non-Agency MBS 119,084 142,144 85,530 Agency MBS 158,416 318,315 192,619 CMBS 29,966 29,451 17,643 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 21.4 7 JP Morgan 4,588.9 2 16.4 7 Deutsche Bank AG 4,467.4 3 16.0 8 Banc of America Securities LLC 3,105.2 4 11.1 6 Credit Suisse First Boston 1,927.0 5 6.9 5 Merrill Lynch & Co Inc 1,265.0 6 4.5 2 Goldman Sachs & Co 1,256.2 7 4.5 1 Barclays Capital 1,162.0 8 4.2 4 Lehman Brothers 870.7 9 3.1 2 Morgan Stanley 820.1 10 2.9 2 Industry Total 27,953.6 - 100.0 31 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 17.0 8 UBS 3,517.0 2 13.6 5 Wachovia Corp 2,882.6 3 11.2 11 Deutsche Bank AG 1,968.7 4 7.6 5 Credit Suisse First Boston 1,772.4 5 6.9 4 Bear Stearns & Co Inc 1,549.8 6 6.0 5 Citigroup 1,457.7 7 5.6 8 Banc of America Securities LLC 1,215.9 8 4.7 7 Royal Bank of Scotland Group 1,005.8 9 3.9 3 BNP Paribas SA 919.5 10 3.6 1 Industry Total 25,844.8 - 100.0 70 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 23.3 7 Citigroup 4,648.4 2 21.5 10 BANK ONE Corp 3,350.0 3 15.5 5 Lehman Brothers 2,324.4 4 10.8 6 Barclays Capital 2,049.4 5 9.5 4 Deutsche Bank AG 1,024.7 6 4.7 4 Banc of America Securities LLC 818.0 7 3.8 4 Merrill Lynch & Co Inc 752.2 8 3.5 2 Credit Suisse First Boston 718.0 9 3.3 3 Goldman Sachs & Co 425.0 10 2.0 2 Industry Total 21,610.1 - 100.0 36 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