CDOs

Year to date as of 01/21 Term (days) 01/15 01/16 01/19 01/20 01/21 1-week

2003 2002 2001 ABS (Public and 144A) 579,549 453,084 370,807 ABS (Public and 144A excluding CDOs) 526,357 398,162 319,006 ABS (Public Only) 461,613 356,994 269,520 ABS (144A Only) 117,936 96,091 101,288 Non-Agency MBS 340,701 266,562 214,280 Agency MBS 559,872 538,773 382,765 CMBS 73,070 55,599 68,086 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 11,840.7 1 17.2 18 Credit Suisse First Boston 7,997.0 2 11.6 15 Morgan Stanley 7,181.6 3 10.4 10 Deutsche Bank AG 7,041.4 4 10.2 11 Citigroup 5,750.3 5 8.3 11 BANK ONE Corp 5,321.8 6 7.7 10 Banc of America Securities LLC 4,854.7 7 7.0 11 Barclays Capital 4,808.9 8 7.0 12 Wachovia Corp 2,978.1 9 4.3 11 Bear Stearns & Co Inc 2,856.5 10 4.1 1 Industry Total 69,060.0 - 100.0 87 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 Credit Suisse First Boston 6,494.3 1 12.2 18 Deutsche Bank AG 6,008.6 2 11.3 15 Wachovia Corp 4,874.9 3 9.2 18 Merrill Lynch & Co Inc 4,839.3 4 9.1 12 Citigroup 4,557.7 5 8.6 14 Goldman Sachs & Co 3,450.3 6 6.5 7 Bear Stearns & Co Inc 3,294.8 7 6.2 13 Lehman Brothers 3,233.4 8 6.1 8 Morgan Stanley 2,785.2 9 5.2 9 JP Morgan 2,540.9 10 4.8 6 Industry Total 53,191.7 - 100.0 143 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 15,920.5 1 24.0 23 BANK ONE Corp 11,756.6 2 17.8 22 JP Morgan 10,553.7 3 15.9 18 Morgan Stanley 5,901.8 4 8.9 6 Barclays Capital 5,748.8 5 8.7 12 Banc of America Securities LLC 4,062.3 6 6.1 13 Deutsche Bank AG 3,917.1 7 5.9 14 Credit Suisse First Boston 2,818.7 8 4.3 10 Lehman Brothers 2,048.1 9 3.1 7 Merrill Lynch & Co Inc 1,744.5 10 2.6 7 Industry Total 66,230.1 - 100.0 108 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 2,184.6 1 26.2 7 BANK ONE Corp 1,150.0 2 13.8 3 JP Morgan 1,125.0 3 13.5 5 Banc of America Securities LLC 922.7 4 11.1 2 Barclays Capital 710.7 5* 8.5 1 Lehman Brothers 710.7 5* 8.5 1 Merrill Lynch & Co Inc 521.2 7* 6.3 2 Societe Generale 521.2 7* 6.3 2 Citigroup 500.0 9 6.0 1 Industry Total 8,346.1 - 100.0 13 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 37,971.6 1 12.3 94 Royal Bank of Scotland Group 28,667.7 2 9.3 60 Citigroup 27,206.9 3 8.8 71 Credit Suisse First Boston 26,643.6 4 8.6 65 Morgan Stanley 25,292.4 5 8.2 52 Bear Stearns & Co Inc 24,232.8 6 7.9 53 Countrywide Securities Corp 23,422.7 7 7.6 41 JP Morgan 22,379.9 8 7.3 32 Banc of America Securities LLC 21,623.9 9 7.0 66 Deutsche Bank AG 21,277.1 10 6.9 52 Industry Total 308,619.6 - 100.0 627 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 7,352.9 1 19.4 14 Morgan Stanley 5,874.1 2 15.5 11 Merrill Lynch & Co Inc 5,452.6 3 14.4 11 Credit Suisse First Boston 4,513.3 4 11.9 9 Deutsche Bank AG 4,400.6 5 11.6 8 JP Morgan 3,071.8 6 8.1 7 UBS 2,368.0 7 6.3 5 Banc of America Securities LLC 2,090.1 8 5.5 6 Lehman Brothers 956.3 9 2.5 2 BANK ONE Corp 507.6 10 1.3 1 Industry Total 37,842.2 - 100.0 38 Source: Thomson Financial

Year to date as of Jan 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 4,663 3,030 1,633 4,663 3,217 230 646 361 208 Auto Loans/Recs 79,232 61,587 17,646 74,987 4,245 23,567 39,688 15,718 125 113 Cash 599 249 350 599 599 Commercial Loans 311 188 123 311 311 Corp Bond/Note 6,217 1,901 4,283 6,217 3,731 874 468 1,144 Corporate Loans 9,101 1,136 7,928 9,101 2,685 1,464 221 2,624 2,084 Credit Card Rec 66,230 18,210 48,020 65,149 1,081 21,705 5,508 33,228 2,790 3,000 Equip Loans 547 547 547 177 338 32 Equip. Leases 9,128 5,168 3,960 6,685 2,443 3,230 4,743 1,080 75 Floorplan Recs 8,346 2,132 6,214 7,510 836 3,032 1,790 3,524 Franchisee Loans 728 728 728 500 109 Home Impr Loans 8 8 8 8 Junk Bonds 8,840 1,798 7,043 8,840 3,018 44 2,711 3,066 Leases 632 632 632 182 Loans 2,998 2,998 2,998 2,998 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Mutual Fund Fees 991 116 875 991 991 Non-Jumbo Mtg Ln 80,682 36,961 40,095 76,616 4,066 43,228 15,888 19,826 1,262 326 Oil Receivables 750 750 750 750 Preferred Sec 2,382 678 1,679 2,382 1,134 108 218 921 Prv Issued Sec 1,916 1,176 615 215 1,701 1,916 Rental Car Rec. 4,125 2,400 1,725 1,000 3,125 1,500 460 2,165 Rev Cred/Home Eq 232,263 95,492 125,525 207,730 24,533 100,807 72,528 51,532 4,831 2,337 Sm Business Loan 1,415 1,415 1,415 401 444 570 Struc Fin Credit 32,866 8,535 24,295 32,866 13,762 758 5,752 7,380 5,133 Student Loans 40,629 1,990 31,640 32,681 7,948 12,068 6,150 10,270 7,340 2,513 Tax Liens 86 86 86 86 Ticket Rec 220 10 210 220 220 Timeshare Loans 848 715 133 848 170 678 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 Unspecified/NA 667 542 125 667 667 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 38% Non-Jumbo Mtg Ln 13% Auto Loans/Recs 13% Credit Card Rec 11% Student Loans 7% Other 17%

The Conseco Finance servicing fee restructuring delivered its first visible blow to the industry last week. Double-A rated guarantor Radian Asset Assurance, acting as reinsurer in a deal wrapped by Radian Insurance, announced it would likely pay claims amounting to $111 million tied to a privately placed 2000 vintage Conseco manufactured housing deal.

The planned merger of JPMorgan Chase and Bank One Corp. would likely create an ABS powerhouse, with a captive credit card origination unit rivaling Citigroup, which was 2003's lead ABS underwriter by nearly $10 billion. JP/One's underwriting volume could also benefit from massive in-house home-equity and auto-origination platforms.

U.S. ABS activity picked up last week, as $4.45 billion of supply priced as of press time with an additional $6.67 billion slated for completion Friday. Including the $1.6 billion of non-conforming MBS to hit, the primary market saw $12.7 billion last week ($11.1 billion excluding non-conforming MBS).

The mess Parmalat has spilled across the capital markets continues to spread, as Fitch Ratings downgraded Tullas CDO last week, an action largely stemming - though not entirely - from its exposure to the Italian milk maker. The CDO, however, does not stand alone, as the rating agency has placed 11 public CDOs on watch for downgrade since late December, just as Parmalat unraveled and filed for Chapter 11 bankruptcy.

Moody's Investors Service has been hard at work keeping tabs on the ups and downs in structured finance - namely in the form of upgrades and downgrades.

With the completion of its long awaited, first-ever term securitizations, Peachtree Settlement Funding has hopes to become a regular ABS issuer, a company source confirmed. Following last week's $70 million private placement - Settlement Funding Securitization 2004-A - Peachtree Chief Financial Officer Jim Terlizzi said the company has plans to sell one to two additional similar deals backed by structured personal injury settlements this year.

The structured finance market represents a world of entrepreneurship, churning out new asset classes since the 1980s. Yet a newly minted patent from the United States Patent Office sheds light on how that innovation may soon be affected, should market participants owe a fee for using patented methodologies for securitizations.

Though some argue the "no brainer" buys in the relatively new secondary CDO market disappeared six months ago, structural features of securitization have, in some cases, created a timing/rating arbitrage, whereby savvy investors can pick up downgraded mezzanine tranches of CDOs just before the notes start paying down.

A new research product from Credit Suisse First Boston, focusing on non-prime auto loan ABS issuers, was unveiled last week. The inaugural Auto ABS Issuer Profile, offering a peek at what the team plans to publish multiple times throughout the year, takes a look at WFS Financial.

Although mutual fund fees have come under heavy scrutiny from Wall Street's favorite Attorney General, it is unlikely to have a negative impact on the credit quality of any outstanding transactions, sources said. New supply, however, may become sparse, after seemingly reinventing itself at the start of 2003. At the very least, one of the remaining two issuers will not likely be securitizing its 12b-1 fees going forward.