ABS

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

Year to date as of Jul 16 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 1,365 1,365 1,365 1,365 Asset-Back Certs Auto Loans/Recs 36,446 28,930 7,516 34,603 1,842 10,107 19,227 6,929 125 35 Cash Catastrophe Bond Commercial Loans 311 188 123 311 311 Corp Bond/Note 1,882 366 1,483 1,882 1,294 56 532 Corporate Loans 4,384 385 3,965 4,384 1,392 774 161 906 1,152 Credit Card Rec 40,398 10,833 29,566 39,547 851 9,087 3,909 25,753 750 900 Debentures 1,681 1,681 1,681 1,681 Equip Loans Equip. Leases 5,493 3,593 1,900 3,866 1,627 1,291 3,460 668 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 4,756 2,757 1,999 4,756 3,390 1,002 221 144 Floorplan Recs 3,462 3,462 3,436 26 750 2,712 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 622 622 622 622 Junk Bonds 2,293 233 2,060 2,293 734 490 1,069 Legal Fees Loans 3,175 3,175 3,175 3,175 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Motorcycle Loans 975 975 975 975 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 36,706 11,587 24,779 32,539 4,166 14,167 6,899 14,113 1,173 203 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 835 203 507 87 748 835 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 123,460 51,783 70,364 112,287 11,173 57,899 35,826 27,247 1,829 514 Sm Business Loan 645 645 645 391 254 Stranded Costs Struc Fin Credit 12,317 2,378 9,902 12,317 7,155 352 671 2,568 1,489 Student Loans 19,352 600 16,000 17,616 1,736 3,648 3,627 6,408 4,739 218 Swap Agreement Tax Liens Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 Truck Loans Leases 450 450 450 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 41% Credit Card Rec 13% Non-Jumbo Mtg Ln 12% Auto Loans/Recs 12% Student Loans 6% Other 15%

Much like the home equity sector, the student loan sector of the ABS market is booming on an unprecedented refinance wave that has boosted issuance to what will likely end up being record levels. To date, the term market has absorbed nearly $20 billion of student loan paper, but the first-half pace is not expected to continue.

The asset-backed commercial paper market saw an apparent spike in volume during the first two days of July. According to figures posted by the Federal Reserve, month-end outstandings in June came in at just below $720 billion, though the Fed reports outstanding ABCP at $734.7 billion for Wednesday, July 2, implying a near $15 billion increase in just two days. The market pushed up an additional $7.6 billion to end last Wednesday at $742.3 billion.

It was a rather slow, uninteresting week of trading in the U.S. ABS primary market, with a pair of auto deals highlighting the new issuance. Total volume came in just over $6.3 billion, with home equity issuance accounting for $2.1 billion of the week's supply. The largest asset class representation was in the student loan sector, which priced one, albeit large, transaction.

The summer lull descended upon the market as CDO issuance reached paltry levels last week. While arbitrage and structured product CDOs make up the bulk of the current pipeline, market talk focused on high yield loan-back vehicles and wider-than-expected spreads.

By Richard V. Hrvatin, Dr. Stefan Bund, John Schiavetta, and Kenneth Gill of Fitch Ratings

Year to date as of Jul 9 Term (days) 07/03 07/04 07/07 07/08 07/09 1-week

2003 2002 2001 ABS (Public and 144A) 280,252 232,555 192,967 ABS (Public and 144A excluding CDOs) 263,371 204,147 166,756 ABS (Public Only) 234,232 183,430 139,772 ABS (144A Only) 46,019 49,125 53,195 Non-Agency MBS 170,851 108,740 90,426 Agency MBS 323,911 258,157 133,102 CMBS 36,226 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 17.7 9 Deutsche Bank AG 2,703.6 2 16.0 6 Wachovia Corp 1,959.4 3 11.6 6 Bear Stearns & Co Inc 1,673.2 4 9.9 6 Citigroup 1,547.6 5 9.2 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 16,880.7 - 100.0 52 Source: Thomson Financial