ABS

After unveiling plans in January to change the way it rates U.S. bank loans and bonds, last week Moody's Investors Service extended its 30-day comment period, which now ends March 31.

Year to date as of 03/02 Term (days) 02/24 02/27 02/28 03/01 03/02 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 3,665.5 1 39.7 5 JP Morgan 2,058.6 2 22.3 5 Wachovia Corp 939.0 3 10.2 2 Royal Bank of Scotland Group 781.9 4 8.5 1 Deutsche Bank AG 472.5 5 5.1 2 Merrill Lynch & Co Inc 450.0 6 4.9 1 Credit Suisse 450.0 6 4.9 1 Goldman Sachs & Co 411.2 8 4.5 1 Industry Total 9,228.7 - 100.0 10 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 UBS 3,995.5 1 21.8 4 Credit Suisse 3,107.4 2 17.0 4 Deutsche Bank AG 2,245.9 3 12.3 4 Morgan Stanley 2,007.5 4 11.0 10 Citigroup 1,839.0 5 10.0 3 Bear Stearns & Co Inc 1,488.3 6 8.1 4 Banc of America Securities LLC 1,453.4 7 7.9 4 Merrill Lynch & Co Inc 991.5 8 5.4 3 Goldman Sachs & Co 795.9 9 4.4 1 Lehman Brothers 300.0 10 1.6 1 Industry Total 18,316.3 - 100.0 39 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 2,700.0 1 29.1 5 Banc of America Securities LLC 2,198.3 2 23.7 3 Morgan Stanley 1,829.0 3 19.7 2 Deutsche Bank AG 1,250.0 4 13.5 3 JP Morgan 849.9 5 9.2 4 Wachovia Corp 249.9 6 2.7 1 Credit Suisse 200.0 7 2.2 1 Industry Total 9,277.1 - 100.0 14 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 - - - - - Industry Total - - - - 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 8,784.5 1 12.8 15 Lehman Brothers 8,551.0 2 12.4 16 Morgan Stanley 5,593.1 3 8.1 8 Bear Stearns & Co Inc 5,392.7 4 7.8 9 Barclays Capital 5,336.5 5 7.8 10 Deutsche Bank AG 4,894.0 6 7.1 8 Citigroup 4,209.7 7 6.1 11 UBS 4,163.5 8 6.1 14 JP Morgan 4,117.3 9 6.0 7 Banc of America Securities LLC 3,184.9 10 4.6 10 Industry Total 68,853.8 - 100.0 115 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 6,894.8 1 79.8 4 Banc of America Securities LLC 743.0 2 8.6 2 Deutsche Bank AG 500.0 3 5.8 1 Credit Suisse 500.0 3 5.8 1 Industry Total 8,637.8 - 100.0 6 Source: Thomson Financial

auto ABS 11% credit card ABS 10% equipment ABS 0% real estate ABS 70% student loan ABS 7%

The Financial Accounting Standards Board has amended earlier statements, Nos. 133 and 140, with a recently issued one, No. 155, that addresses the accounting treatment for hybrid financial instruments that contain derivatives.

Fewer subprime borrowers rolled into new loans during the first month of this year compared with December, despite lower interest rates offered by mortgage companies, according to a Friedman Billings Ramsey & Co. report released last week.

The average subprime mortgage rate was 7.73% last week, representing a nine basis point drop from the average in January but still higher than levels seen last summer, according to JPMorgan Securities Inc.

General Motors Corp. took another ratings hit last week when Moody's Investors Service lowered its corporate rating by one notch to B2 with a negative outlook.

Innovation within the U.S. tobacco settlement bond sector led Fitch Ratings last week to revise a portion of its rating criteria.

The uncertainty surrounding the future performance of subprime interest-only loans is getting a lot of attention from analysts lately, with mostly upbeat news for investors.

Year to date as of 02/23 Term (days) 02/17 02/20 02/21 02/22 02/23 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 2,936.6 1 45.8 4 JP Morgan 1,349.4 2 21.0 2 Wachovia Corp 939.0 3 14.6 2 Royal Bank of Scotland Group 781.9 4 12.2 1 Goldman Sachs & Co 411.2 5 6.4 1 Industry Total 6,418.2 - 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 Credit Suisse 3,107.4 1 30.3 4 Morgan Stanley 1,979.5 2 19.3 8 Banc of America Securities LLC 1,153.4 3 11.2 3 Deutsche Bank AG 1,000.0 4 9.7 2 Merrill Lynch & Co Inc 991.5 5 9.7 3 Citigroup 820.5 6 8.0 1 UBS 800.0 7 7.8 1 Bear Stearns & Co Inc 327.2 8 3.2 1 JP Morgan 92.0 9 0.9 2 Industry Total 10,271.5 - 100.0 25 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 Banc of America Securities LLC 1,948.3 1 30.5 2 Citigroup 1,850.0 2 28.9 2 Deutsche Bank AG 1,250.0 3 19.5 3 JP Morgan 849.9 4 13.3 4 Morgan Stanley 250.0 5 3.9 1 Wachovia Corp 249.9 6 3.9 1 Industry Total 6,398.2 - 100.0 9 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 - - - - - Industry Total - - - - Source: Thomson Financial