ABS

Rev Cred/Home Eq 40% Credit Card Rec 14% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 12% Student Loans 6% Other 15%

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 20,926.9 1 15.4 48 Countrywide Securities Corp 12,582.6 2 9.2 20 Citigroup 11,537.9 3 8.5 30 JP Morgan 10,718.0 4 7.9 15 Royal Bank of Scotland Group 10,385.1 5 7.6 25 Deutsche Bank AG 9,940.6 6 7.3 21 Morgan Stanley 9,913.2 7 7.3 24 Banc of America Securities LLC 9,479.6 8 7.0 25 Credit Suisse First Boston 8,286.6 9 6.1 21 UBS 7,235.4 10 5.3 16 Industry Total 136,214.8 - 100.0 239 Source: Thomson Financial

Stranded cost ABS is expected to pick up in the near term, according to Lehman Brothers, with the bulk of supply coming from New Jersey and Texas - the most favorable states from which to buy RRB ABS. Depending on the legal challenges Lehman estimates that stranded cost ABS issuance could top $3 billion, should all the expected utilities hit the market this year.

With both the Conseco Finance and Oakwood Homes situations seemingly resolved, and spreads having stabilized in recent months, Banc of America Securities researchers took a closer look at Oakwood MH transactions and found additional losses and ratings volatility ahead. Calling the ratings on the most senior positions within the capital structure "currently high" for bonds issued from 1997 through 2002, given the loss coverage protection, BofA predicts downgrades of seniors and principal writedowns for all mezzanine and subordinate tranches in the focus group of outstanding ABS. In its analysis, BofA stressed in an aggressive scenario wherein all bonds were run to maturity. Delinquency and loss triggers were set to fail, and loss severity was set at 80% for the next two years and 60% thereafter. Using this data, BofA then assigned implied ratings to Oakwood Homes MH ABS, and found many to be over rated. In addition to poor performance of mezz and sub bonds, loss coverage on seniors is insufficient as well. Under its moderate base-case scenario, BofA found that current ratings are significantly higher than they should be and that "only seven out of the 60 senior bonds that we ran stresses on warrant a triple-A rating based on our implied ratings scale." Not surprisingly, BofA found that as its stress scenarios became more intense, the newer vintages suffered the most. As a result, BofA believes that the safest haven is in the 1997 vintages. Furthermore 1997-issue senior bonds, under moderate to aggressive stresses, do not see any principal writedowns. The same cannot be said for many other Oakwood bonds, which BofA expects to underperform.

The ABS primary priced $9.2 billion last week, in a slow to develop market that was overshadowed by bid lists and secondary activity early in the week. But by Wednesday, with the quarter-end rapidly approaching, new issues flooded into the market. Pent up investor demand led to bonds of some offerings flying out the window, printing in just one session.

Tallying the upgrades and downgrades for asset-backed vehicles each quarter always yields a mixed bag of emotions. In the CDO sector, however, 1Q 2003 will shine particularly bright - collateralized debt obligations racked up the only upgrades seen over the last three months. Furthermore, they were unseated as the leader in downgrades.

Bally Total Fitness disclosed in an 8-K with the Securities and Exchange Commission last week that is in the process of renewing a $155 million receivables facility, currently funded on a revolving basis and held in an asset-backed commercial paper conduit. The revolving period for this structure, which launched in November 2001 as the series 2001-1 certificates of H&T Master Trust, ends in December 2003, the company stated.

rWhat's an extra half a mill amongst friends? Investors who bought into the Clinton Group's most recent CDO, Mulberry Street II, nearly unseated a PIMCO-backed deal as the largest ABS CDO reportedly to come to market. Weighing in at $700 million in size, Mulberry II was just a couple of grand away from tipping the scale over.

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

2003 2002 2001 ABS (Public and 144A) 252,680 214,238 180,241 ABS (Public and 144A excluding CDOs) 239,632 191,268 157,739 ABS (Public Only) 212,322 172,634 132,970 ABS (144A Only) 40,358 41,604 47,270 Non-Agency MBS 136,081 89,197 76,943 Agency MBS 267,894 209,633 110,593 CMBS 28,968 19,238 29,194 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 14.9 6 Deutsche Bank AG 3,770.1 2 12.6 7 Citigroup 3,705.3 3 12.4 5 Credit Suisse First Boston 3,129.1 4 10.5 7 Banc One Capital Markets 2,863.2 5 9.6 5 Banc of America Securities LLC 2,447.8 6 8.2 5 Barclays Capital 2,400.8 7 8.1 5 Merrill Lynch & Co Inc 1,968.4 8 6.6 3 Morgan Stanley 1,781.2 9 6.0 3 Goldman Sachs & Co 1,289.4 10 4.3 3 Industry Total 29,822.9 - 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 Credit Suisse First Boston 2,259.7 1 17.3 7 Deutsche Bank AG 1,644.5 2 12.6 4 Wachovia Corp 1,349.4 3 10.3 4 Bear Stearns & Co Inc 1,270.7 4 9.7 5 Citigroup 1,047.6 5 8.0 3 UBS 900.0 6 6.9 2 Goldman Sachs & Co 829.2 7 6.4 3 Banc of America Securities LLC 745.1 8 5.7 3 JP Morgan 697.6 9 5.4 2 Morgan Stanley 628.4 10 4.8 3 Industry Total 13,047.6 - 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 9,771.7 1 26.4 15 Banc One Capital Markets 7,901.8 2 21.4 13 JP Morgan 4,553.6 3 12.3 9 Barclays Capital 3,834.7 4 10.4 7 Morgan Stanley 3,579.5 5 9.7 4 Banc of America Securities LLC 2,212.3 6 6.0 7 Deutsche Bank AG 2,084.6 7 5.6 7 Credit Suisse First Boston 969.3 8 2.6 3 Lehman Brothers 823.1 9 2.2 3 Wachovia Corp 673.0 10 1.8 3 Industry Total 36,953.6 - 100.0 60 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 Lehman Brothers 20,926.9 1 15.4 48 Countrywide Securities Corp 12,582.6 2 9.2 20 Citigroup 11,537.9 3 8.5 30 JP Morgan 10,718.0 4 7.9 15 Royal Bank of Scotland Group 10,385.1 5 7.6 25 Deutsche Bank AG 9,940.6 6 7.3 21 Morgan Stanley 9,913.2 7 7.3 24 Banc of America Securities LLC 9,479.6 8 7.0 25 Credit Suisse First Boston 8,286.6 9 6.1 21 UBS 7,235.4 10 5.3 16 Industry Total 136,214.8 - 100.0 239 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 3,298.5 1 21.9 6 Morgan Stanley 2,599.9 2 17.2 4 Deutsche Bank AG 2,293.1 3 15.2 4 Credit Suisse First Boston 1,877.2 4 12.5 3 Merrill Lynch & Co Inc 1,790.7 5 11.9 3 Banc of America Securities LLC 1,186.3 6 7.9 3 JP Morgan 514.1 7 3.4 1 Banc One Capital Markets 507.6 8* 3.4 1 Lehman Brothers 507.6 8* 3.4 1 UBS 503.0 10 3.3 2 Industry Total 15,078.0 - 100.0 14 Source: Thomson Financial

Year to date as of Jun 18 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 34,527 26,960 7,567 33,069 1,458 9,488 18,141 6,715 125 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 2,644 287 2,333 2,644 587 906 1,152 Credit Card Rec 36,954 9,038 27,916 36,597 356 8,212 3,909 23,183 750 900 Debentures 1,670 1,670 1,670 1,670 Equip Loans Equip. Leases 4,820 3,510 1,310 3,864 956 1,208 2,876 668 68 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 1,763 250 1,513 1,141 622 1,141 622 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 399 278 121 260 139 103 185 11 45 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 105,564 43,439 60,811 96,859 8,705 46,946 31,270 25,018 1,740 446 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 7,772 1,293 6,443 7,772 3,266 352 671 2,294 1,108 Student Loans 15,298 600 12,164 13,927 1,371 2,400 2,777 5,384 3,927 99 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 39% Credit Card Rec 15% Non-Jumbo Mtg Ln 13% Auto Loans/Recs 11% Student Loans 7% Other 15%

Standard & Poor's downgraded 14 classes of auto lease ABS issued by Mitsubishi Motor Credit of America last week, due to greater-than-expected defaults of the captive lender's zero-down, zero-interest and zero-payments for 15 months subvention loan strategy. The balloon payment loans had long given investors concerns, for which Mitsubishi had paid up with significant spread premiums in the primary market.

Spreads for DVI Inc. medical equipment lease ABS have widened significantly since accounting firm Deloitte & Touche announced it was stepping down as its independent auditor, which triggered ratings actions from all three rating agencies on the issuer's corporate unsecured debt. With the market asking whether this was the beginning of a blowup, or a buy opportunity, spreads on some classes of recently priced ABS widened by as much as 40 to 50 basis points on the bid side.