ABS

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 21,883.0 1 14.4 54 Countrywide Securities Corp 14,477.3 2 9.5 24 Royal Bank of Scotland Group 13,292.6 3 8.7 30 Citigroup 12,967.4 4 8.5 33 Morgan Stanley 12,198.2 5 8.0 27 JP Morgan 10,978.0 6 7.2 16 Deutsche Bank AG 10,255.2 7 6.7 25 Banc of America Securities LLC 10,076.3 8 6.6 28 Credit Suisse First Boston 9,557.1 9 6.3 24 Bear Stearns & Co Inc 7,603.8 10 5.0 17 Industry Total 152,285.0 - 100.0 276 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 22.8 7 Deutsche Bank AG 2,740.7 2 16.7 5 Morgan Stanley 2,599.9 3 15.8 4 Merrill Lynch & Co Inc 2,238.3 4 13.6 4 Credit Suisse First Boston 1,877.2 5 11.4 3 Banc of America Securities LLC 1,186.3 6 7.2 3 JP Morgan 514.1 7 3.1 1 BANK ONE Corp 507.6 8* 3.1 1 Lehman Brothers 507.6 8* 3.1 1 UBS 503.0 10 3.1 2 Industry Total 16,420.8 - 100.0 15 Source: Thomson Financial

Year to date as of Jul 2 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 36,061 28,494 7,567 34,603 1,458 10,054 18,896 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 39,903 10,338 29,566 39,547 356 9,087 3,909 25,258 750 900 Debentures 1,670 1,670 1,670 1,670 Equip Loans Equip. Leases 5,480 3,679 1,801 3,866 1,613 1,279 3,458 668 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 35,775 11,281 24,154 31,617 4,159 13,868 6,899 13,488 1,173 197 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 505 178 327 87 418 505 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 119,622 50,778 67,530 109,636 9,986 56,429 34,124 26,582 1,829 514 Sm Business Loan 645 645 645 391 254 Stranded Costs Struc Fin Credit 11,502 2,294 9,171 11,502 6,515 352 671 2,393 1,489 Student Loans 16,641 600 13,289 15,270 1,371 2,618 3,357 5,384 4,428 142 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 14% Auto Loans/Recs 12% Non-Jumbo Mtg Ln 12% Student Loans 6% Other 15%

There was no quarter-end rush to the ABS primary market, as June has seen steady new issue supply. Just under $8 billion made the rounds, with a pair of large trades targeted for late in the week. The week was dominated by smaller deals from off-the-run issuers, with the exception of the credit card sector, which saw the three leading names tap the market with de-linked structures.

UBS Warburg commented on the significant tightening in auto ABS in this week's Mortgage Strategist, attributing the trend, in part, to the market's over-expectation of supply when the year started. Most of the market was anticipating a spate of issuance from the larger players, such as Ford Motor Credit and GMAC, as conditions in the corporate market early this year looked less than stellar, UBS Warburg said.

The idiosyncratic features of hedge funds peg these investment vehicles as peculiar birds, albeit birds with a nice upside potential. Market sources report CDO investors are anxious to gain exposure to hedge funds via collateralized fund obligations, and a few have reportedly hit the U.S. pipeline.

The credit derivatives market and Shakespeare's Juliet have something in common this week: splitting hairs over what's in a name. In this most recent case, dealers, and synthetic CDO originators are contending with "restructuring," a credit event apparently falling under many names.

What is this, some sort of securitization lawyer cult?

While still in the lead in the race for the top ABS underwriter, Citigroup Capital Markets was only the fourth most active dealer in the three-month period ending June 30, according to preliminary numbers from Thomson Financial. Although Citi maintained a commanding lead heading into mid-year, Lehman Brothers made a strong push to jump to the third spot overall, from the fifth spot at the end of the first quarter.

Last week, Lehman Brothers brought to market a US$57.5 million, arbitrage synthetic CDO, Golden Jade CDO, with the Agricultural Bank of China acting as portfolio manager. This transaction represents a growing trend in non-Japan Asia, where the managed arbitrage synthetic CDO sector is becoming increasingly active.

Year to date as of Jun 25 Term (days) 06/12 06/13 06/16 06/17 06/18 1-week

2003 2002 2001 ABS (Public and 144A) 262,633 224,126 185,575 ABS (Public and 144A excluding CDOs) 248,459 198,032 162,740 ABS (Public Only) 220,546 178,232 137,093 ABS (144A Only) 42,087 45,894 48,482 Non-Agency MBS 138,060 101,155 84,500 Agency MBS 288,156 233,867 124,690 CMBS 29,197 21,763 29,792 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 14.6 6 Deutsche Bank AG 3,770.1 2 12.4 7 Citigroup 3,705.3 3 12.2 5 Banc One Capital Markets 3,347.8 4 11.0 6 Credit Suisse First Boston 3,129.1 5 10.3 7 Banc of America Securities LLC 2,447.8 6 8.0 5 Barclays Capital 2,400.8 7 7.9 5 Morgan Stanley 2,265.7 8 7.4 4 Merrill Lynch & Co Inc 1,635.4 9 5.4 3 Goldman Sachs & Co 1,289.4 10 4.2 3 Industry Total 30,458.9 - 100.0 37 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 2,954.5 1 20.8 9 Deutsche Bank AG 1,644.5 2 11.6 4 Wachovia Corp 1,349.4 3 9.5 4 Bear Stearns & Co Inc 1,270.7 4 9.0 5 Citigroup 1,047.6 5 7.4 3 Morgan Stanley 1,003.4 6 7.1 4 UBS 900.0 7 6.4 2 Goldman Sachs & Co 829.2 8 5.9 3 Banc of America Securities LLC 801.9 9 5.7 3 JP Morgan 697.6 10 4.9 2 Industry Total 14,174.2 - 100.0 45 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 9,771.7 1 25.0 15 Banc One Capital Markets 7,901.8 2 20.2 13 JP Morgan 6,078.6 3 15.5 11 Barclays Capital 3,834.7 4 9.8 7 Morgan Stanley 3,579.5 5 9.2 4 Banc of America Securities LLC 2,537.3 6 6.5 8 Deutsche Bank AG 2,084.6 7 5.3 7 Credit Suisse First Boston 1,294.2 8 3.3 4 Lehman Brothers 823.1 9 2.1 3 Wachovia Corp 673.0 10 1.7 3 Industry Total 39,128.4 - 100.0 63 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 42.3 5 JP Morgan 875.0 2 26.9 4 Citigroup 500.0 3* 15.4 1 Banc One Capital Markets 500.0 3* 15.4 1 Industry Total 3,250.1 - 100.0 5 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 22.8 7 Deutsche Bank AG 2,740.7 2 16.7 5 Morgan Stanley 2,599.9 3 15.8 4 Merrill Lynch & Co Inc 2,238.3 4 13.6 4 Credit Suisse First Boston 1,877.2 5 11.4 3 Banc of America Securities LLC 1,186.3 6 7.2 3 JP Morgan 514.1 7 3.1 1 Banc One Capital Markets 507.6 8* 3.1 1 Lehman Brothers 507.6 8* 3.1 1 UBS 503.0 10 3.1 2 Industry Total 16,420.8 - 100.0 15 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 21,056.4 1 15.0 51 Countrywide Securities Corp 13,197.8 2 9.4 21 Citigroup 12,637.8 3 9.0 31 JP Morgan 10,718.0 4 7.6 15 Morgan Stanley 10,616.2 5 7.5 25 Royal Bank of Scotland Group 10,385.1 6 7.4 25 Deutsche Bank AG 10,045.1 7 7.1 22 Banc of America Securities LLC 9,570.1 8 6.8 26 Credit Suisse First Boston 9,512.6 9 6.8 23 UBS 7,235.4 10 5.1 16 Industry Total 140,869.7 - 100.0 251 Source: Thomson Financial

Year to date as of Jun 25 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 35,811 28,244 7,567 34,353 1,458 9,804 18,896 6,929 125 35 Cash Catastrophe Bond Commercial Loans 921 194 727 921 822 99 Corp Bond/Note 1,882 366 1,483 1,882 1,294 56 532 Corporate Loans 3,320 350 2,935 3,320 962 263 38 906 1,152 Credit Card Rec 39,128 9,688 29,441 38,772 356 8,312 3,909 25,258 750 900 Debentures 1,670 1,670 1,670 1,670 Equip Loans Equip. Leases 5,042 3,514 1,528 3,866 1,176 1,208 3,092 668 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 3,250 3,250 3,224 26 750 2,500 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 1,245 1,245 622 622 622 622 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 175 75 100 175 175 Non-Jumbo Mtg Ln 33,513 9,019 24,154 29,361 4,153 11,606 6,899 13,488 1,173 197 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 505 178 327 87 418 505 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 110,219 44,904 64,001 101,130 9,089 50,087 31,524 26,111 1,838 514 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 10,500 1,543 8,920 10,500 5,937 352 671 2,294 1,165 Student Loans 16,641 600 13,289 15,270 1,371 2,618 3,357 5,384 4,428 142 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