CDOs

First Tennessee Capital Markets is getting ready to hit the market with its third auto ABS backed by loans originated and serviced by a federal credit union. The transaction is slated to be the largest such deal to date.

While not carrying the shock value of New Jersey Gov. Jim McGreevey's announcement last week, the fact that some CDOs backed by real estate collateral are pricing sans ratings from Moody's Investors Service has opened up a can of worms about CDO- rating methodologies and how those deals have priced. Now comes talk that Fitch Ratings will announce changes to their ratings metodology next month.

Recovery rates on manufactured housing ABS bonds have seemingly reached their nadir; moreover, investors in these bonds should expect recoveries to remain at their current low levels throughout the lives of these transactions, according to analysts at Standard & Poor's.

Manufactured housing lender Origen Financial, back in the ABS primary market in January after a two-year hiatus, has led the shift toward more conservative loan underwriting practices, something that is evident in the underlying collateral pool, Standard & Poor's, analysts said.

By Erkan Erturk, Ph.D., Director, Kelly Luo, Ratings Specialist, Monica Perelmuter, Associate Director, and Mark Risi, Ratings Specialist, Standard & Poor's Ratings Services

Year to date as of 08/23 Term (days) 08/17 08/18 08/19 08/20 08/23 1-week

2004 2003 2002 ABS (Public and 144A) 451,537 320,659 257,996 ABS (Public and 144A excluding CDOs) 413,536 295,871 227,284 ABS (Public Only) 354,526 260,965 202,382 ABS (144A Only) 97,011 59,694 55,613 Non-Agency MBS 186,326 192,568 122,798 Agency MBS 198,032 416,143 290,703 CMBS 48,847 39,147 28,371 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 7,482.7 2 17.9 12 Deutsche Bank AG 6,008.5 3 14.4 10 Credit Suisse First Boston 3,818.7 4 9.2 8 Barclays Capital 3,498.5 5 8.4 9 Banc of America Securities LLC 3,105.2 6 7.4 6 Wachovia Corp 2,631.4 7 6.3 4 Merrill Lynch & Co Inc 1,824.4 8 4.4 3 Morgan Stanley 1,802.0 9 4.3 5 Lehman Brothers 1,255.7 10 3.0 3 Industry Total 41,710.3 - 100.0 51 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 4,423.0 2 9.6 15 Wachovia Corp 4,379.9 3 9.5 15 Morgan Stanley 4,008.5 4 8.7 11 Deutsche Bank AG 3,629.6 5 7.9 9 Credit Suisse First Boston 3,570.3 6 7.8 8 UBS 3,261.5 7 7.1 6 Bear Stearns & Co Inc 2,918.0 8 6.3 9 Lehman Brothers 2,519.0 9 5.5 9 Banc of America Securities LLC 2,076.8 10 4.5 12 Industry Total 46,041.0 - 100.0 127 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 6,548.3 2 20.3 15 Lehman Brothers 4,119.2 3 12.8 8 Barclays Capital 2,349.4 4 7.3 6 Banc of America Securities LLC 2,268.3 5 7.0 9 Deutsche Bank AG 1,875.0 6 5.8 8 Credit Suisse First Boston 1,194.3 7 3.7 4 Merrill Lynch & Co Inc 827.2 8 2.6 3 Morgan Stanley 550.0 9 1.7 3 Goldman Sachs & Co 425.0 10 1.3 2 Industry Total 32,207.8 - 100.0 57 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 1,882.0 2 17.9 4 Morgan Stanley 1,250.0 3 11.9 2 Credit Suisse First Boston 1,058.0 4 10.1 3 Merrill Lynch & Co Inc 1,000.0 5 9.5 1 HSBC Holdings PLC 708.0 6 6.7 2 Wachovia Corp 420.0 7 4.0 1 ABN AMRO 250.0 8 2.4 1 Industry Total 10,526.0 - 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 Lehman Brothers 34,070.7 2 11.1 65 Royal Bank of Scotland Group 33,515.5 3 10.9 67 Credit Suisse First Boston 27,541.9 4 9.0 51 Morgan Stanley 26,410.6 5 8.6 54 Bear Stearns & Co Inc 24,076.1 6 7.8 49 Citigroup 17,664.5 7 5.8 49 Deutsche Bank AG 16,418.9 8 5.3 48 Banc of America Securities LLC 15,750.0 9 5.1 47 Merrill Lynch & Co Inc 14,537.5 10 4.7 31 Industry Total 307,358.1 - 100.0 583 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 4,299.9 2 14.0 5 Citigroup 3,489.8 3 11.3 5 Morgan Stanley 3,285.4 4 10.7 6 JP Morgan 3,207.9 5 10.4 6 UBS 2,782.5 6 9.0 6 Credit Suisse First Boston 2,745.6 7 8.9 4 Banc of America Securities LLC 2,458.9 8 8.0 3 Lehman Brothers 1,515.8 9 4.9 3 KeyCorp/McDonald Investments 600.0 10 2.0 1 Industry Total 30,825.6 - 100.0 28 Source: Thomson Financial

Year to date as of Aug 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 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%

2004 2003 2002 ABS (Public and 144A) 451,537 320,659 257,996 ABS (Public and 144A excluding CDOs) 413,536 295,871 227,284 ABS (Public Only) 354,526 260,965 202,382 ABS (144A Only) 97,011 59,694 55,613 Non-Agency MBS 186,326 192,568 122,798 Agency MBS 198,032 416,143 290,703 CMBS 48,847 39,147 28,371 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 7,864.9 1 18.0 16 Citigroup 7,722.7 2 17.7 12 Deutsche Bank AG 6,120.5 3 14.0 10 Credit Suisse First Boston 3,896.2 4 8.9 8 Barclays Capital 3,573.5 5 8.2 9 Wachovia Corp 3,158.9 6 7.2 4 Banc of America Securities LLC 3,105.2 7 7.1 6 Merrill Lynch & Co Inc 2,002.4 8 4.6 3 Morgan Stanley 1,905.0 9 4.4 5 Lehman Brothers 1,470.7 10 3.4 3 Industry Total 43,748.3 - 100.0 51 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 6,571.7 1 15.6 12 Wachovia Corp 4,379.9 2 10.4 15 UBS 3,917.0 3 9.3 6 Deutsche Bank AG 3,613.9 4 8.6 9 Morgan Stanley 3,528.5 5 8.4 9 Citigroup 3,207.7 6 7.6 13 JP Morgan 2,071.7 7 4.9 5 Lehman Brothers 2,041.5 8 4.8 8 Banc of America Securities LLC 2,021.4 9 4.8 11 Credit Suisse First Boston 1,733.4 10 4.1 4 Industry Total 42,186.0 - 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 JP Morgan 11,391.3 1 37.2 18 Citigroup 6,548.3 2 21.4 15 Lehman Brothers 4,119.2 3 13.4 8 Barclays Capital 2,349.4 4 7.7 6 Banc of America Securities LLC 1,718.0 5 5.6 7 Deutsche Bank AG 1,324.7 6 4.3 6 Credit Suisse First Boston 1,194.3 7 3.9 4 Merrill Lynch & Co Inc 827.2 8 2.7 3 Morgan Stanley 550.0 9 1.8 3 Goldman Sachs & Co 425.0 10 1.4 2 Industry Total 30,657.3 - 100.0 53 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 37.6 6 Banc of America Securities LLC 1,882.0 2 17.9 4 Morgan Stanley 1,250.0 3 11.9 2 Credit Suisse First Boston 1,058.0 4 10.1 3 Merrill Lynch & Co Inc 1,000.0 5 9.5 1 HSBC Holdings PLC 708.0 6 6.7 2 Wachovia Corp 420.0 7 4.0 1 ABN AMRO 250.0 8 2.4 1 Industry Total 10,526.0 - 100.0 10 Source: Thomson Financial