CDOs

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 39,036.8 1 14.4 39 Royal Bank of Scotland Group 29,531.3 2 10.9 57 Lehman Brothers 29,257.8 3 10.8 60 Credit Suisse First Boston 24,938.8 4 9.2 46 Morgan Stanley 20,426.7 5 7.5 44 Bear Stearns & Co Inc 19,440.0 6 7.2 41 Citigroup 15,639.5 7 5.8 47 Deutsche Bank AG 14,829.0 8 5.5 42 Merrill Lynch & Co Inc 13,479.1 9 5.0 28 Banc of America Securities LLC 13,365.4 10 4.9 41 Industry Total 271,180.3 - 100.0 503 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 19.1 6 Deutsche Bank AG 3,589.1 2 12.9 5 Morgan Stanley 3,285.4 3 11.8 6 JP Morgan 3,207.9 4 11.6 6 Citigroup 2,986.6 5 10.8 4 UBS 2,782.5 6 10.0 6 Credit Suisse First Boston 2,745.6 7 9.9 4 Banc of America Securities LLC 1,781.4 8 6.4 2 Lehman Brothers 1,012.6 9 3.7 2 RBC Capital Markets 462.0 10 1.7 1 Industry Total 27,761.0 - 100.0 26 Source: Thomson Financial

Year to date as of Jul 21 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 39,891 35,459 4,432 34,012 5,879 15,091 19,098 5,702 Comm. Mtg 2,556 1,294 1,263 2,556 919 229 829 540 Commercial Loans Corp Bond/Note 3,894 1,744 2,150 3,894 2,618 746 45 485 Corporate Loans 5,352 286 5,066 5,352 2,480 395 370 1,192 914 Credit Card Rec 28,472 10,299 18,173 24,609 3,864 20,184 1,400 4,739 900 1,249 Debentures 1,838 1,838 1,838 1,838 Equip Loans Equip. Leases 4,440 4,164 275 4,164 275 1,989 1,388 554 221 289 Floorplan Recs 5,026 840 4,186 4,902 124 4,014 830 182 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 331 331 331 331 Non-Jumbo Mtg Ln 67,095 30,774 33,189 64,472 2,624 40,570 14,699 10,727 772 312 Oil Receivables Preferred Sec 3,597 2,268 1,330 3,597 3,253 158 186 Prv Issued Sec 1,755 981 380 590 1,164 1,755 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 204,085 114,535 75,788 177,737 26,348 132,186 43,904 25,765 1,606 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 13,935 5,555 8,380 13,935 4,904 2,507 4,928 1,508 Student Loans 27,761 4,092 21,983 22,775 4,986 14,915 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 16% Auto Loans/Recs 9% Credit Card Rec 7% Student Loans 6% Other 14%

2004 2003 2002 ABS (Public and 144A) 403,055 301,609 246,169 ABS (Public and 144A excluding CDOs) 368,599 278,350 216,560 ABS (Public Only) 320,114 244,772 194,885 ABS (144A Only) 82,940 56,837 51,283 Non-Agency MBS 174,836 173,497 109,375 Agency MBS 190,322 390,732 267,759 CMBS 42,893 36,964 23,996 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 19.3 10 JP Morgan 6,356.3 2 17.1 11 Deutsche Bank AG 5,344.5 3 14.4 9 Wachovia Corp 3,158.9 4 8.5 4 Credit Suisse First Boston 3,120.2 5 8.4 7 Banc of America Securities LLC 3,105.2 6 8.3 6 Barclays Capital 2,605.2 7 7.0 7 Merrill Lynch & Co Inc 2,002.4 8 5.4 3 Goldman Sachs & Co 1,256.2 9 3.4 1 Lehman Brothers 870.7 10 2.3 2 Industry Total 37,254.5 - 100.0 44 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 18.0 11 UBS 3,917.0 2 11.6 6 Wachovia Corp 3,379.9 3 10.0 14 Deutsche Bank AG 3,054.2 4 9.1 8 Citigroup 2,548.2 5 7.6 11 Credit Suisse First Boston 1,772.4 6 5.3 4 Bear Stearns & Co Inc 1,549.8 7 4.6 5 Lehman Brothers 1,521.0 8 4.5 7 Morgan Stanley 1,445.8 9 4.3 5 Banc of America Securities LLC 1,391.9 10 4.1 9 Industry Total 33,705.4 - 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 JP Morgan 10,541.3 1 38.2 16 Citigroup 5,048.3 2 18.3 13 Lehman Brothers 4,119.2 3 14.9 8 Barclays Capital 2,349.4 4 8.5 6 Deutsche Bank AG 1,324.7 5 4.8 6 Credit Suisse First Boston 1,194.3 6 4.3 4 Banc of America Securities LLC 1,193.0 7 4.3 5 Merrill Lynch & Co Inc 752.2 8 2.7 2 Morgan Stanley 525.0 9 1.9 3 Goldman Sachs & Co 425.0 10 1.5 2 Industry Total 27,572.3 - 100.0 47 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

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 39,036.8 1 15.4 39 RBS Greenwich Capital 28,336.3 2 11.2 55 Lehman Brothers 25,611.5 3 10.1 56 Morgan Stanley 20,436.4 4 8.0 45 Credit Suisse First Boston 19,292.0 5 7.6 40 Bear Stearns & Co Inc 18,266.4 6 7.2 40 Citigroup 15,959.2 7 6.3 48 Deutsche Bank AG 14,827.9 8 5.8 42 Merrill Lynch & Co Inc 13,433.0 9 5.3 27 Banc of America Securities LLC 13,321.0 10 5.2 41 Industry Total 254,227.0 - 100.0 454 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 5,289.7 1 19.0 6 Deutsche Bank AG 3,616.4 2 13.0 5 Morgan Stanley 3,275.2 3 11.8 6 JP Morgan 3,207.9 4 11.5 6 Citigroup 2,986.6 5 10.7 4 UBS 2,820.0 6 10.1 6 Credit Suisse First Boston 2,745.6 7 9.9 4 Banc of America Securities LLC 1,781.4 8 6.4 2 Lehman Brothers 1,012.6 9 3.6 2 RBC Capital Markets 462.0 10 1.7 1 Industry Total 27,805.5 - 100.0 26 Source: Thomson Financial

Year to date as of Jul 14 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 38,691 34,759 3,932 32,812 5,879 15,374 17,886 5,432 Comm. Mtg 1,913 650 1,263 1,913 276 229 829 540 Commercial Loans Corp Bond/Note 3,555 1,130 2,425 3,555 2,026 746 45 738 Corporate Loans 4,954 264 4,690 4,954 2,457 395 370 1,192 539 Credit Card Rec 27,572 10,299 17,273 23,709 3,864 19,284 1,400 4,739 900 1,249 Debentures 1,838 1,838 1,838 1,838 Equip Loans Equip. Leases 4,414 4,164 250 4,164 250 1,989 1,388 529 221 289 Floorplan Recs 5,026 840 4,186 4,902 124 4,014 830 182 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 331 331 331 331 Non-Jumbo Mtg Ln 59,978 27,364 29,480 57,518 2,460 35,675 13,399 9,805 772 312 Oil Receivables Preferred Sec 2,886 1,557 1,330 2,886 2,542 158 186 Prv Issued Sec 1,119 391 380 1,119 1,119 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 194,676 106,359 75,231 169,844 24,832 123,853 43,210 25,438 1,549 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 13,292 4,911 8,380 13,292 4,261 2,507 4,928 1,508 Student Loans 27,806 4,062 22,058 22,744 5,061 14,959 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 771 386 385 771 471 300 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 10% Student Loans 7% Credit Card Rec 7% Other 13%

Though structurers may deny it, Moody's Investors Service was left off some recent home-equity ABS, as well as home-equity focused CDOs, because of its more conservative ratings methodology on deeply subordinated classes of hyper-tranched transactions, market sources report. The hyper-tranching has led to split ratings on some down-in-credit tranches (see ASR 2/16/04), which Moody's has rated lower than its competitors - and as a result, Moody's has not rated two home equity transactions, or two other recent home equity-focused CDOs.

The U.S. ABS primary market was roused from its midsummer slumber last week by more than $13 billion in total volume. Of that total, about $7.2 billion had priced as of Thursday night. Real estate ABS made up the bulk of new issue, with $5.08 billion having priced as of Thursday's market close.

The sharp decline in short-term interest rates has encouraged subprime mortgage lenders to include more fixed-rate collateral in floaters during the past two years, and investors have lately begun to balk at the embedded cap costs in mixed deals. However, changes made to the structure and collateral during the past year appear to have effectively offset the risk of declining WACs, according to recent research from UBS.

Bankrupt medical equipment lessor DVI Inc. reported cash shortfalls in four of its nine outstanding securitization trusts and a slim surplus on an aggregate basis, according to records filed with the Securities and Exchange Commission. The shortfalls, experienced in the series 2000-1, 2000-2, 2002-2 and 2003-1 transactions, are relatively small, however, and are not seen as leading to a major principal loss for investors, sources said.

With a decent showing this year already, RBS Greenwich Capital is planning a significant expansion of its CDO group, affirming its commitment to the sector with the hire of Romita Shetty, who starts later this month. Shetty was formerly responsible for global structured products at JPMorgan Securities.

A $325 million securitization of diversified payments rights from Turkish commercial bank Garanti Bankasi recently hit the private placement market, sources said. Two monoline bond insurers wrapped the transaction.

The first national correspondent for UCC Capital Corp. in the life sciences sector was announced last week as the firm moves into expansion mode, a rollout that also included the launch of a new Patent Royalty Trust, aimed at academia.