CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 3,958.0 1 30.8 6 Morgan Stanley 2,249.7 2 17.5 3 Banc of America Securities LLC 2,190.6 3 17.0 4 Merrill Lynch & Co Inc 1,728.6 4 13.4 2 Credit Suisse First Boston 1,058.0 5 8.2 3 JP Morgan 728.6 6 5.7 1 HSBC Holdings PLC 708.0 7 5.5 2 ABN AMRO 250.0 8 1.9 1 Industry Total 12,871.5 - 100.0 11 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 Countrywide Securities Corp 67,609.9 1 13.7 68 Royal Bank of Scotland Group 54,826.9 2 11.1 102 Lehman Brothers 49,047.9 3 10.0 99 Credit Suisse First Boston 41,091.2 4 8.3 77 Morgan Stanley 40,609.8 5 8.2 73 Bear Stearns & Co Inc 40,487.5 6 8.2 78 Deutsche Bank AG 30,550.0 7 6.2 77 Banc of America Securities LLC 28,108.8 8 5.7 74 Citigroup 26,252.1 9 5.3 69 Merrill Lynch & Co Inc 18,930.0 10 3.8 39 Industry Total 492,920.5 - 100.0 911 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 7,623.6 1 16.4 10 Merrill Lynch & Co Inc 5,875.0 2 12.7 8 Deutsche Bank AG 5,239.3 3 11.3 8 Morgan Stanley 4,582.9 4 9.9 8 Credit Suisse First Boston 4,463.9 5 9.6 7 Banc of America Securities LLC 3,982.1 6 8.6 5 JP Morgan 3,881.5 7 8.4 7 UBS 3,806.7 8 8.2 9 Lehman Brothers 2,524.1 9 5.4 4 Goldman Sachs & Co 1,927.1 10 4.2 5 Industry Total 46,407.8 - 100.0 41 Source: Thomson Financial

Year to date as of Dec 8 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 126 126 126 126 Auto Loans/Recs 41,391 36,622 4,769 35,132 6,259 16,580 18,742 6,069 Comm. Mtg 2,899 1,294 1,605 2,899 1,261 229 829 540 Commercial Loans Corp Bond/Note 3,846 1,696 2,150 3,846 2,569 746 45 485 Corporate Loans 5,352 286 5,066 5,352 2,480 395 370 1,192 914 Credit Card Rec 28,632 10,299 18,333 24,659 3,974 19,334 1,400 5,749 900 1,249 Debentures 2,122 2,122 2,122 2,122 Equip Loans Equip. Leases 4,744 4,469 275 4,164 580 2,293 1,388 554 221 289 Floorplan Recs 8,026 840 7,186 7,902 124 4,014 830 3,182 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 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 501 331 170 501 501 Non-Jumbo Mtg Ln 68,520 31,864 33,291 65,728 2,793 41,621 14,956 10,760 849 319 Oil Receivables Preferred Sec 3,597 2,268 1,330 3,597 3,253 158 186 Prv Issued Sec 1,852 1,079 380 590 1,262 1,852 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 216,332 125,057 77,504 186,006 30,325 143,388 44,757 25,956 1,606 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 14,838 6,458 8,380 14,838 5,807 2,507 4,928 1,508 Student Loans 30,626 6,957 21,983 25,639 4,986 17,780 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 635 386 250 635 336 300 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 6% Other 15%

As the clock winds down on a hulking year for ABS, the eyes of analysts and bankers are turning toward 2005, and expectations are mixed. As market participants make their calls for the New Year, the one asset class that has garnered the most varied predictions has been the student loan sector.

With profit taking trades underway in current trading activity, it appears the secondary CDO market has developed into more than a place to shop around a bid list. And in the words of many CDO researchers, 2004 will go down as the year this market maturity but the quest for reliable spread information is just one of the many challenges the secondary market faces as it enters the New Year.

Jan. 1, 2005 marks the implementation of modifications in the American Jobs Creation Act 2004 relating to REMIC rules permitting the securitization of HELOC loans and reverse mortgages. Analysts speculated that the recent changes are expected to increase the flow of funds to HELOC borrowers.

Having seen its standing in the U.S. ABS league tables dip in 2004, JPMorgan Securities has revamped its structured finance group, combining the asset-backed and mortgage backed teams under new management. The recent move to name Christine Cole and Bill King as co-heads of U.S. structured finance has the group set to return to the prominent pre-merger position JPMorgan enjoyed in recent years.

The week back from the Thanksgiving holiday proved to be a relatively slow one in the U.S. ABS primary market, leaving investors with just over $6.1 billion in new issues to digest as of last Thursday evening.

General Motors Acceptance Corp., completed last week a $2.5 billion auto ABS with an unusual feature: a below investment grade rated D-tranche via Credit Suisse First Boston, Lehman Brothers and SG Corporate & Invest-ment Banking, The $25.9 million D tranche of GMAC's Capital Auto Receivables Asset Trust 2004-2, was rated double-B and double-B plus by Standard & Poor's and Fitch Ratings, respectively. Moodys Investors Service, however, rated each tranche except the D-tranche. A Moodys spokesperson declined to comment on why it did not rate the tranche.

Fortis Investments has created a U.S. ABS team as part of its U.S. fixed-income and structured credit unit and plans to offer two CDOs before the end of the year, company sources said.

Capital Corp. is currently shopping its first term ABS transaction backed primarily by small ticket equipment leases, and originated through GE's vendor relationships rather than through GE's own financing operations.

Patrons' Legacy has quietly priced its sixth securitization of a pool backed by life insurance policies and life annuities. All of these transactions - dubbed LILACs - have been privately placed via UBS.

Investors in several Delta Airlines Inc. EETC and ETC transactions were successful in securing an additional rating from Fitch Ratings on several classes in five separate transactions, the rating agency announced last week.

Year to date as of 12/02 Term (days) 11/26 11/29 11/30 12/01 12/02 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 9,168.4 1 14.7 18 Citigroup 8,238.7 2 13.2 13 Deutsche Bank AG 8,139.0 3 13.0 15 Wachovia Corp 7,013.2 4 11.2 13 Banc of America Securities LLC 6,552.7 5 10.5 12 Credit Suisse First Boston 5,315.3 6 8.5 11 Morgan Stanley 3,703.3 7 5.9 8 Barclays Capital 3,524.5 8 5.6 9 Bear Stearns & Co Inc 2,456.4 9 3.9 2 Merrill Lynch & Co Inc 2,426.9 10 3.9 4 Industry Total 62,573.4 - 100.0 74 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 13,730.0 1 19.3 30 Morgan Stanley 6,696.4 2 9.4 19 Citigroup 5,913.9 3 8.3 22 UBS 5,589.1 4 7.9 10 Credit Suisse First Boston 5,568.8 5 7.8 14 Wachovia Corp 4,739.4 6 6.7 18 Deutsche Bank AG 4,429.6 7 6.2 11 Goldman Sachs & Co 4,297.5 8 6.0 8 JP Morgan 4,204.6 9 5.9 11 Bear Stearns & Co Inc 3,488.8 10 4.9 14 Industry Total 71,225.4 - 100.0 196 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 15,104.9 1 28.4 28 Citigroup 10,747.3 2 20.2 21 Barclays Capital 5,521.4 3 10.4 16 Lehman Brothers 4,595.5 4 8.6 9 Morgan Stanley 4,357.9 5 8.2 8 Deutsche Bank AG 3,440.0 6 6.5 14 Credit Suisse First Boston 3,050.3 7 5.7 11 Banc of America Securities LLC 2,895.6 8 5.4 13 Merrill Lynch & Co Inc 1,210.5 9 2.3 4 Wachovia Corp 775.0 10 1.5 4 Industry Total 53,223.8 - 100.0 93 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 3,958.0 1 30.8 6 Morgan Stanley 2,249.7 2 17.5 3 Banc of America Securities LLC 2,190.6 3 17.0 4 Merrill Lynch & Co Inc 1,728.6 4 13.4 2 Credit Suisse First Boston 1,058.0 5 8.2 3 JP Morgan 728.6 6 5.7 1 HSBC Holdings PLC 708.0 7 5.5 2 ABN AMRO 250.0 8 1.9 1 Industry Total 12,871.5 - 100.0 11 Source: Thomson Financial