CDOs

Year to date as of Feb 11 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 Auto Loans/Recs 5,797 3,546 2,251 3,400 2,397 4,186 666 945 Cash Commercial Loans Corp Bond/Note Corporate Loans 1,022 1,022 1,022 1,022 Credit Card Rec 2,402 1,950 452 1,950 452 2,202 200 Equip Loans Equip. Leases Floorplan Recs Franchisee Loans Home Impr Loans Junk Bonds Leases Loans Mnfrd Housing Ct 200 200 200 200 Mutual Fund Fees Non-Jumbo Mtg Ln 7,893 3,244 4,648 7,887 6 3,356 725 3,812 Oil Receivables Preferred Sec Prv Issued Sec 19 19 19 19 Rental Car Rec. 600 600 600 600 Rev Cred/Home Eq 28,247 15,230 12,950 25,454 2,793 23,164 2,871 1,900 291 20 Sm Business Loan Struc Fin Credit 1,636 717 920 1,636 222 411 1,004 Student Loans 3,467 378 2,626 2,319 1,148 2,487 980 Tax Liens Ticket Rec Timeshare Loans 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 55% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 11% Student Loans 7% Credit Card Rec 5% Other 7%

Year to date as of 02/11 Term (days) 02/05 02/06 02/09 02/10 02/11 1-week

2003 2002 2001 ABS (Public and 144A) 41,857 37,382 30,062 ABS (Public and 144A excluding CDOs) 40,336 36,113 27,960 ABS (Public Only) 34,134 32,500 25,639 ABS (144A Only) 7,724 4,882 4,423 Non-Agency MBS 11,657 19,111 11,402 Agency MBS 11,136 120,387 40,933 CMBS 2,018 2,775 946 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 2,647.1 1 66.2 2 Citigroup 1,000.0 2 25.0 1 Credit Suisse First Boston 350.0 3 8.8 1 Industry Total 3,997.1 - 100.0 4 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 BNP Paribas SA 919.5 1 60.4 1 Merrill Lynch & Co Inc 602.0 2 39.6 1 Industry Total 1,521.5 - 100.0 2 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 1,599.6 1 66.6 2 Merrill Lynch & Co Inc 452.2 2 18.8 1 Lehman Brothers 250.0 3 10.4 1 Wachovia Corp 100.0 4 4.2 1 Industry Total 2,401.8 - 100.0 4 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 - - - - - Industry Total - - - - 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 4,560.9 1 15.1 7 Deutsche Bank AG 4,144.5 2 13.7 6 Lehman Brothers 3,825.7 3 12.6 5 Credit Suisse First Boston 3,550.7 4 11.7 7 Bear Stearns & Co Inc 2,368.5 5 7.8 3 Royal Bank of Scotland Group 2,095.6 6 6.9 5 Banc of America Securities LLC 1,660.4 7 5.5 4 Citigroup 1,591.6 8 5.3 4 JP Morgan 1,342.3 9 4.4 2 Merrill Lynch & Co Inc 1,250.0 10 4.1 2 Industry Total 30,314.2 - 100.0 43 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 1,012.6 1* 33.7 2 Lehman Brothers 1,012.6 1* 33.7 2 Deutsche Bank AG 489.9 3* 16.3 1 Credit Suisse First Boston 489.9 3* 16.3 1 Industry Total 3,004.9 - 100.0 3 Source: Thomson Financial

Year to date as of Feb 4 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 Auto Loans/Recs 3,997 2,437 1,560 2,200 1,797 3,345 423 229 Cash Commercial Loans Corp Bond/Note Corporate Loans Credit Card Rec 2,402 1,950 452 1,950 452 2,202 200 Equip Loans Equip. Leases Floorplan Recs Franchisee Loans Home Impr Loans Junk Bonds Leases Loans Mnfrd Housing Ct 200 200 200 200 Mutual Fund Fees Non-Jumbo Mtg Ln 7,715 3,067 4,648 7,709 6 3,008 725 3,923 59 Oil Receivables Preferred Sec Prv Issued Sec Rental Car Rec. Rev Cred/Home Eq 23,784 14,375 9,342 21,404 2,381 19,068 2,802 1,645 250 20 Sm Business Loan Struc Fin Credit 1,522 602 920 1,522 107 411 1,004 Student Loans 3,005 378 2,626 1,857 1,148 2,025 980 Tax Liens Ticket Rec Timeshare Loans 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 55% Non-Jumbo Mtg Ln 18% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 6% Other 5%

Throughout last year, the triple-B minus class became a routine feature in most mortgage-related ABS deals. Late in 2003, however, the real estate sector began dipping below the investment-grade Mendoza line, flaunting a double-B rated class. Already in 2004, nine real estate deals - from both lenders and dealer shelves - have featured these small high yield tidbits, and sources anticipate the trend will take hold. Buysiders, however - even those who recently bought these classes - caution that double-Bs are not for everybody, but only the most sophisticated investor.

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Issuers are the bread and butter of the ABS industry, and drawing new collateral sources into the market means drawing new personalities - and their firms - into the securitization market. Last week's new issuer workshop, focusing on securitization fundamentals, attracted a packed room dominated by newcomers.

In Phoenix last week, panelists on the non-mortgage research roundtable agreed that 2004 will not likely be "the year of the home run," compared to the massive tightening in just about every asset class throughout last year.

As auto lenders begin relying more heavily on favorable execution in the whole loan markets, investors are seeing more of an aggressive structure hit the sector. While the concurrent pay structure has obvious benefits to the issuer, it also heightens the extension risk for subordinate buyers, if the transaction is structured too aggressively.

The Blackstone Group wowed the structured finance world last week when it launched the largest CLO since 1998.

After wrapping up its Landmark III CDO less than two months ago, Aladdin Capital Manage-ment is busy in the market again, putting together its very first loan fund, which is expected to total more than $500 million.

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