CDOs

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 4,923.7 1 15.4 6 Deutsche Bank AG 4,866.6 2 15.2 7 Morgan Stanley 3,909.3 3 12.2 7 Citigroup 3,489.8 4 10.9 5 JP Morgan 3,207.9 5 10.0 6 UBS 2,782.5 6 8.7 6 Credit Suisse First Boston 2,745.6 7 8.6 4 Banc of America Securities LLC 2,458.9 8 7.7 3 Lehman Brothers 1,515.8 9 4.7 3 KeyCorp/McDonald Investments 600.0 10 1.9 1 Industry Total 32,073.3 - 100.0 29 Source: Thomson Financial

Year to date as of Sep 15 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%

Year to date as of 09/14 Term (days) 09/08 09/09 09/10 09/13 09/14 1-week

Year to date as of 09/15 Term (days) 09/09 09/10 09/13 09/14 09/15 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 7,482.7 2 15.6 12 Deutsche Bank AG 6,408.5 3 13.4 11 Banc of America Securities LLC 4,842.3 4 10.1 9 Wachovia Corp 4,684.3 5 9.8 9 Credit Suisse First Boston 3,818.7 6 8.0 8 Barclays Capital 3,498.5 7 7.3 9 Morgan Stanley 2,438.7 8 5.1 6 Merrill Lynch & Co Inc 1,824.4 9 3.8 3 Lehman Brothers 1,255.7 10 2.6 3 Industry Total 47,853.9 - 100.0 59 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 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 Citigroup 8,297.3 2 23.3 16 Lehman Brothers 4,119.2 3 11.6 8 Barclays Capital 2,599.4 4 7.3 7 Banc of America Securities LLC 2,268.3 5 6.4 9 Deutsche Bank AG 1,875.0 6 5.3 8 Credit Suisse First Boston 1,444.3 7 4.1 5 Morgan Stanley 950.0 8 2.7 5 Merrill Lynch & Co Inc 827.2 9 2.3 3 Goldman Sachs & Co 425.0 10 1.2 2 Industry Total 35,656.8 - 100.0 62 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 Morgan Stanley 2,249.7 2 21.1 3 Banc of America Securities LLC 1,462.0 3 13.7 3 Credit Suisse First Boston 1,058.0 4 9.9 3 Merrill Lynch & Co Inc 1,000.0 5 9.4 1 HSBC Holdings PLC 708.0 6 6.6 2 ABN AMRO 250.0 7 2.3 1 Industry Total 10,685.7 - 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 Royal Bank of Scotland Group 37,099.8 2 10.8 71 Lehman Brothers 36,064.2 3 10.5 73 Credit Suisse First Boston 31,732.5 4 9.3 61 Morgan Stanley 27,337.5 5 8.0 57 Bear Stearns & Co Inc 25,746.8 6 7.5 53 Banc of America Securities LLC 21,858.6 7 6.4 54 Deutsche Bank AG 19,548.5 8 5.7 53 Citigroup 19,201.5 9 5.6 55 Merrill Lynch & Co Inc 15,308.3 10 4.5 32 Industry Total 342,640.0 - 100.0 635 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 4,866.6 2 15.2 7 Morgan Stanley 3,909.3 3 12.2 7 Citigroup 3,489.8 4 10.9 5 JP Morgan 3,207.9 5 10.0 6 UBS 2,782.5 6 8.7 6 Credit Suisse First Boston 2,745.6 7 8.6 4 Banc of America Securities LLC 2,458.9 8 7.7 3 Lehman Brothers 1,515.8 9 4.7 3 KeyCorp/McDonald Investments 600.0 10 1.9 1 Industry Total 32,073.3 - 100.0 29 Source: Thomson Financial

U.K.-based Internet credit card issuer Egg Banking brings the roadshow for its latest credit card deal to the U.S. this week, stepping up the effort to widen its investor base. The deal, called Pillar Funding 2004-2, will spread the equivalent of GBP500 million ($891.8 million) across several U.S. dollar- and sterling-denominated tranches, each with five-year average lives. The bulk of the deal will be in U.S. dollars, with the senior notes sized at $775 million.

Year to date as of Sep 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%

More than one year after placing 32 classes of auto least ABS on watch for a downgrade (see ASR 5/19/03), only to subsequently reverse course and remove the watch on many securities, Standard & Poor's recently addressed its controversial stance on the risks associated with the Pension Benefit Guaranty Corp. (PBGC) assessing a lien on lease receivables due securitization trusts in bankruptcy.

With US Airways seemingly on the brink of its second bankruptcy in as many years, the fate of its enhanced equipment trust certificates (EETC) are once again being called into question.

The U.S. ABS primary market returned from the Labor Day Holiday in full force, ushering in the new season with roughly $12 billion in new issue supply last week. The resurgence in volume likely signals an end to the market's summer malaise, exacerbated during the previous week by the onset of the Republican National Convention in New York.

In the next chapter of the ongoing tobacco litigation saga, the Department of Justice will seek to reclaim $280 billion in ill-gotten profits from tobacco companies under the Racketeer Influenced and Corrupt Organizations (RICO) Act, a statute originally intended to prosecute the Mafia. The outcome could hurt ABS transactions backed by litigation fees.

While traditional institutional investors still purchase the bulk of asset-backed securities, one segment of the investing community has maintained a healthy appetite for privately marketed ABS, according to a recent survey by ASR sister publication Private Placement Letter. Given the level of investment by this group over the last two years, evidence suggests the ABS market may have a growing audience to discreetly market deals towards.

Fitch Ratings recognizes that the quality, stability, and financial condition of seller/servicer operations have a direct effect on the performance of asset-backed securities (ABS) transactions across all product types. Therefore, Fitch has always used seller/servicer assessments to augment its ABS default, loss, and cash flow models when analyzing structures and assigning credit enhancement levels.