CDOs

Lehman Brothers priced its first transaction backed by tobacco litigation fees stemming from the Master Settlement Agreement last month. Until now, this sector had been the exclusive province of Deutsche Bank Securities.

The continual search for yield across the credit markets has driven new investor groups into Europe's traditionally clubby and private mezzanine market. Larger deal sizes, increased liquidity and an ever-more active secondary market have all helped tempt private equity funds, institutional investors and, inevitably, hedge funds into the mezzanine market this year. But for some, notably the large mezzanine players, the entry of new groups into the asset class threatens the safety of the asset class and some say could lead to losses further down the line.

Thomson Financial plans to unveil six new CDO league tables this month. They include the following:

IP Innovations Financial Services, a guarantor of loans secured by intellectual property, has closed a deal on a $15 million revolving credit facility with Cambridge Display Technology, marking IPI's second transaction.

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

Year to date as of 07/29 Term (days) 07/23 07/26 07/27 07/28 07/29 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 7,692.8 1 18.6 12 JP Morgan 7,574.6 2 18.3 14 Deutsche Bank AG 5,344.5 3 12.9 9 Barclays Capital 3,323.5 4 8.0 8 Wachovia Corp 3,158.9 5 7.6 4 Credit Suisse First Boston 3,120.2 6 7.5 7 Banc of America Securities LLC 3,105.2 7 7.5 6 Merrill Lynch & Co Inc 2,002.4 8 4.8 3 Morgan Stanley 1,920.1 9 4.6 5 Lehman Brothers 1,470.7 10 3.6 3 Industry Total 41,391.1 - 100.0 48 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 6,070.7 1 16.0 11 UBS 3,917.0 2 10.3 6 Deutsche Bank AG 3,613.9 3 9.5 9 Morgan Stanley 3,528.5 4 9.3 9 Wachovia Corp 3,379.9 5 8.9 14 Citigroup 2,548.2 6 6.7 11 Credit Suisse First Boston 1,808.4 7 4.8 4 JP Morgan 1,671.7 8 4.4 4 Lehman Brothers 1,643.5 9 4.3 7 Goldman Sachs & Co 1,595.5 10 4.2 3 Industry Total 38,001.1 - 100.0 105 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 10,541.3 1 36.8 16 Citigroup 5,523.3 2 19.3 14 Lehman Brothers 4,119.2 3 14.4 8 Barclays Capital 2,349.4 4 8.2 6 Banc of America Securities LLC 1,643.0 5 5.7 6 Deutsche Bank AG 1,324.7 6 4.6 6 Credit Suisse First Boston 1,194.3 7 4.2 4 Merrill Lynch & Co Inc 752.2 8 2.6 2 Morgan Stanley 550.0 9 1.9 3 Goldman Sachs & Co 425.0 10 1.5 2 Industry Total 28,632.3 - 100.0 49 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 2,708.0 1 33.7 4 Morgan Stanley 1,250.0 2 15.6 2 Credit Suisse First Boston 1,058.0 3 13.2 3 Merrill Lynch & Co Inc 1,000.0 4 12.5 1 HSBC Holdings PLC 708.0 5 8.8 2 Banc of America Securities LLC 632.0 6 7.9 2 Wachovia Corp 420.0 7 5.2 1 ABN AMRO 250.0 8 3.1 1 Industry Total 8,026.0 - 100.0 8 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 41,786.8 1 14.7 41 RBS Greenwich Capital 31,189.6 2 11.0 59 Lehman Brothers 29,538.9 3 10.4 62 Credit Suisse First Boston 24,940.7 4 8.8 46 Morgan Stanley 24,575.5 5 8.6 48 Bear Stearns & Co Inc 19,440.0 6 6.8 41 Deutsche Bank AG 16,919.1 7 5.9 47 Citigroup 15,641.4 8 5.5 47 Merrill Lynch & Co Inc 13,479.1 9 4.7 28 Banc of America Securities LLC 13,365.4 10 4.7 41 Industry Total 284,851.9 - 100.0 538 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 5,299.9 1 17.3 6 Deutsche Bank AG 4,266.6 2 13.9 6 Citigroup 3,489.8 3 11.4 5 Morgan Stanley 3,285.4 4 10.7 6 JP Morgan 3,207.9 5 10.5 6 UBS 2,782.5 6 9.1 6 Credit Suisse First Boston 2,745.6 7 9.0 4 Banc of America Securities LLC 2,458.9 8 8.0 3 Lehman Brothers 1,515.8 9 5.0 3 Goldman Sachs & Co 503.2 10 1.6 1 Industry Total 30,625.6 - 100.0 28 Source: Thomson Financial

Year to date as of Jul 28 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 07/22 Term (days) 07/16 07/19 07/20 07/21 07/22 1-week

2004 2003 2002 ABS (Public and 144A) 427,760 308,091 253,800 ABS (Public and 144A excluding CDOs) 390,653 283,885 224,092 ABS (Public Only) 337,683 249,601 200,260 ABS (144A Only) 90,076 58,490 53,540 Non-Agency MBS 176,956 176,472 111,539 Agency MBS 191,797 404,390 277,333 CMBS 44,050 39,147 26,756 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 7,192.8 1 18.0 10 JP Morgan 7,074.6 2 17.7 12 Deutsche Bank AG 5,344.5 3 13.4 9 Barclays Capital 3,323.5 4 8.3 8 Wachovia Corp 3,158.9 5 7.9 4 Credit Suisse First Boston 3,120.2 6 7.8 7 Banc of America Securities LLC 3,105.2 7 7.8 6 Merrill Lynch & Co Inc 2,002.4 8 5.0 3 Lehman Brothers 1,470.7 9 3.7 3 Morgan Stanley 1,420.1 10 3.6 3 Industry Total 39,891.1 - 100.0 46 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 6,070.7 1 16.4 11 UBS 3,917.0 2 10.6 6 Deutsche Bank AG 3,613.9 3 9.7 9 Morgan Stanley 3,550.1 4 9.6 8 Wachovia Corp 3,379.9 5 9.1 14 Citigroup 2,548.2 6 6.9 11 Credit Suisse First Boston 1,772.4 7 4.8 4 Lehman Brothers 1,643.5 8 4.4 7 Bear Stearns & Co Inc 1,549.8 9 4.2 5 Banc of America Securities LLC 1,391.9 10 3.8 9 Industry Total 37,106.4 - 100.0 99 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 10,541.3 1 37.0 16 Citigroup 5,498.3 2 19.3 14 Lehman Brothers 4,119.2 3 14.5 8 Barclays Capital 2,349.4 4 8.3 6 Banc of America Securities LLC 1,643.0 5 5.8 6 Deutsche Bank AG 1,324.7 6 4.7 6 Credit Suisse First Boston 1,194.3 7 4.2 4 Merrill Lynch & Co Inc 752.2 8 2.6 2 Morgan Stanley 525.0 9 1.8 3 Goldman Sachs & Co 425.0 10 1.5 2 Industry Total 28,472.3 - 100.0 48 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 1,708.0 1 34.0 3 Credit Suisse First Boston 1,058.0 2 21.1 3 HSBC Holdings PLC 708.0 3 14.1 2 Banc of America Securities LLC 632.0 4 12.6 2 Wachovia Corp 420.0 5 8.4 1 Morgan Stanley 250.0 6* 5.0 1 ABN AMRO 250.0 6* 5.0 1 Industry Total 5,026.0 - 100.0 7 Source: Thomson Financial