CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 14,292.5 1 35.2 24 Citigroup 8,947.3 2 22.0 17 Lehman Brothers 4,595.5 3 11.3 9 Barclays Capital 3,047.4 4 7.5 8 Credit Suisse First Boston 2,550.4 5 6.3 9 Banc of America Securities LLC 2,268.3 6 5.6 9 Deutsche Bank AG 1,875.0 7 4.6 8 Morgan Stanley 950.0 8 2.3 5 Merrill Lynch & Co Inc 827.2 9 2.0 3 Wachovia Corp 775.0 10 1.9 4 Industry Total 40,663.4 - 100.0 71 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

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 50,309.0 1 14.1 46 Royal Bank of Scotland Group 39,595.6 2 11.1 73 Lehman Brothers 37,096.3 3 10.4 74 Credit Suisse First Boston 31,982.5 4 9.0 62 Morgan Stanley 27,756.2 5 7.8 58 Bear Stearns & Co Inc 25,746.8 6 7.2 53 Banc of America Securities LLC 22,447.7 7 6.3 57 Deutsche Bank AG 21,283.0 8 6.0 58 Citigroup 20,465.0 9 5.8 57 Merrill Lynch & Co Inc 15,308.3 10 4.3 32 Industry Total 355,704.9 - 100.0 652 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 5,866.6 1 15.4 9 Citigroup 5,171.7 2 13.6 7 Merrill Lynch & Co Inc 4,923.7 3 12.9 6 Morgan Stanley 4,582.9 4 12.0 8 JP Morgan 3,881.5 5 10.2 7 Banc of America Securities LLC 3,467.2 6 9.1 4 UBS 2,782.5 7 7.3 6 Credit Suisse First Boston 2,745.6 8 7.2 4 Lehman Brothers 2,524.1 9 6.6 4 KeyCorp/McDonald Investments 600.0 10 1.6 1 Industry Total 38,119.1 - 100.0 33 Source: Thomson Financial

Year to date as of Sep 22 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%

New York - As the most rapidly growing loan type within the home equity ABS sector, interest-only (IO) loans represent an X-factor for most in the market and only time will tell if the subprime borrower will be able to manage higher monthly payments upon reset, or refinance into a new mortgage prior to the reset period.

Integrating experienced team members focused in capital markets, internet technology, mortgage acquisition and portfolio management, with a fully-integrated business model and a servicer built from scratch, The Winter Group (TWG) has managed to securitize 16 home equity ABS deals this year alone. Additionally, its underwriting unit, Terwin Capital, has acted as lead manager on 13 of the transactions priced this year and has landed four third-party co-manager roles.

The U.S. ABS primary market churned out over $13 billion in new supply last week as the credit card sector finally began to show signs of life.

The first deal of the year from equipment leaser CNH, which priced last week featuring the highest concentration of agricultural equipment yet seen from the issuer, also saw a surprise reduction in credit enhancement.

UBS is slated to launch its first multi-seller home equity transaction off of its MASTR dealer shelf this week, sources said. The $650 million transaction marks the onset of its multi-seller program, a program designed to leverage the firm's whole loan sales force and draw on a larger base of smaller lenders.

The Metris Companies reported generally stable data last week for its Metris Master Trust in August, including a jump in excess spread that could free up close to $100 million in cash that has been trapped in trusts. Excess spreads for the month improved another 14 basis points to 5.82%.

New York - As lenders strive to maintain the torrid pace of new loan originations experienced over recent years, the home equity sector of the ABS market has seen growth in alternative loans. Some of these trends, such as the rise in interest-only mortgages and geographic concentrations, raised eyebrows at the recent investor conference UBS held at the Waldorf Astoria hotel in Manhattan.

By Joanne W. Rose, executive managing director, structured finance ratings, Standard & Poor's

Year to date as of 09/23 Term (days) 09/17 09/20 09/21 09/22 09/23 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 7,789.9 1 15.9 16 Citigroup 7,482.7 2 15.3 12 Deutsche Bank AG 6,408.5 3 13.1 11 Banc of America Securities LLC 4,842.3 4 9.9 9 Wachovia Corp 4,684.3 5 9.6 9 Credit Suisse First Boston 3,818.7 6 7.8 8 Barclays Capital 3,498.5 7 7.1 9 Morgan Stanley 3,023.9 8 6.2 7 Merrill Lynch & Co Inc 1,824.4 9 3.7 3 Lehman Brothers 1,255.7 10 2.6 3 Industry Total 49,024.2 - 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 Merrill Lynch & Co Inc 7,395.7 1 15.9 15 Morgan Stanley 4,058.0 2 8.8 11 Citigroup 3,695.0 3 8.0 15 Deutsche Bank AG 3,629.6 4 7.8 9 Credit Suisse First Boston 3,561.3 5 7.7 8 Wachovia Corp 3,509.9 6 7.6 15 UBS 3,261.5 7 7.0 6 Lehman Brothers 2,943.0 8 6.4 10 Bear Stearns & Co Inc 2,918.0 9 6.3 9 JP Morgan 2,371.7 10 5.1 6 Industry Total 46,382.8 - 100.0 133 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 12,867.5 1 35.2 22 Citigroup 8,297.3 2 22.7 16 Lehman Brothers 4,595.5 3 12.6 9 Barclays Capital 2,599.4 4 7.1 7 Banc of America Securities LLC 2,268.3 5 6.2 9 Deutsche Bank AG 1,875.0 6 5.1 8 Credit Suisse First Boston 1,444.3 7 4.0 5 Morgan Stanley 950.0 8 2.6 5 Merrill Lynch & Co Inc 827.2 9 2.3 3 Goldman Sachs & Co 425.0 10 1.2 2 Industry Total 36,609.3 - 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 Citigroup 3,958.0 1 30.8 6 Morgan Stanley 2,249.7 2 17.5 3 Banc of America Securities LLC 2,190.7 3 17.0 4 Merrill Lynch & Co Inc 1,728.7 4 13.4 2 Credit Suisse First Boston 1,058.0 5 8.2 3 JP Morgan 728.7 6 5.7 1 HSBC Holdings PLC 708.0 7 5.5 2 ABN AMRO 250.0 8 1.9 1 Industry Total 12,871.7 - 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 50,309.0 1 14.4 46 Royal Bank of Scotland Group 38,814.6 2 11.1 71 Lehman Brothers 36,064.2 3 10.3 73 Credit Suisse First Boston 31,732.5 4 9.1 61 Morgan Stanley 27,756.2 5 8.0 58 Bear Stearns & Co Inc 25,746.8 6 7.4 53 Banc of America Securities LLC 21,906.7 7 6.3 55 Deutsche Bank AG 19,548.5 8 5.6 53 Citigroup 19,265.0 9 5.5 55 Merrill Lynch & Co Inc 15,308.3 10 4.4 32 Industry Total 349,273.1 - 100.0 642 Source: Thomson Financial