CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 34,198.4 1 12.6 85 Credit Suisse First Boston 25,025.4 2 9.3 59 Citigroup 24,308.4 3 9.0 63 Morgan Stanley 22,990.7 4 8.5 49 Royal Bank of Scotland Group 22,936.0 5 8.5 47 Bear Stearns & Co Inc 20,158.6 6 7.5 43 Deutsche Bank AG 19,582.4 7 7.2 47 Banc of America Securities LLC 18,659.3 8 6.9 57 JP Morgan 18,530.6 9 6.9 26 Countrywide Securities Corp 18,291.7 10 6.8 35 Industry Total 270,521.3 - 100.0 543 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 7,352.6 1 21.2 14 Merrill Lynch & Co Inc 5,143.5 2 14.8 11 Morgan Stanley 4,898.6 3 14.1 10 Credit Suisse First Boston 4,203.5 4 12.1 9 Deutsche Bank AG 3,841.8 5 11.1 7 UBS 2,368.0 6 6.8 5 JP Morgan 2,096.2 7 6.0 6 Banc of America Securities LLC 2,090.1 8 6.0 6 Lehman Brothers 956.3 9 2.8 2 BANK ONE Corp 507.6 10 1.5 1 Industry Total 34,713.0 - 100.0 36 Source: Thomson Financial

Year to date as of Nov 26 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 3,229 2,202 1,027 3,229 2,202 457 361 208 Auto Loans/Recs 74,217 57,538 16,680 70,473 3,744 22,339 37,673 13,945 125 113 Cash 599 249 350 599 599 Commercial Loans 311 188 123 311 311 Corp Bond/Note 5,073 1,743 3,297 5,073 2,710 750 468 1,144 Corporate Loans 7,769 574 7,160 7,769 2,095 1,206 161 2,392 1,891 Credit Card Rec 62,351 17,611 44,740 61,369 981 20,219 5,408 32,223 2,000 2,500 Equip Loans 177 177 177 177 Equip. Leases 9,128 5,167 3,960 6,684 2,443 3,230 4,743 1,080 75 Floorplan Recs 7,446 2,132 5,314 6,610 836 2,132 1,790 3,524 Franchisee Loans 228 228 228 109 Home Impr Loans 8 8 8 8 Junk Bonds 6,167 954 5,212 6,167 1,966 1,743 2,458 Leases 1,388 1,388 1,388 760 178 Loans 2,998 2,998 2,998 2,998 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 71,513 24,385 43,808 64,125 7,388 31,130 17,247 21,334 1,344 275 Oil Receivables 750 750 750 750 Preferred Sec 2,061 651 1,385 2,061 854 108 177 921 Prv Issued Sec 1,899 1,159 615 198 1,701 1,899 Rental Car Rec. 4,125 2,400 1,725 1,000 3,125 1,500 460 2,165 Rev Cred/Home Eq 203,334 82,754 109,397 183,141 20,193 86,694 64,196 46,263 4,030 1,925 Sm Business Loan 1,045 1,045 1,045 401 644 Struc Fin Credit 24,810 5,045 19,728 24,810 11,154 758 4,077 5,087 3,652 Student Loans 36,963 1,900 28,601 30,193 6,770 11,281 5,939 9,685 7,020 1,926 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% Auto Loans/Recs 14% Non-Jumbo Mtg Ln 13% Credit Card Rec 12% Student Loans 7% Other 16%

Amid a shroud of secrecy and following numerous delays, U.S. Bank N.A. has won the servicing rights for DVI Inc.'s deteriorating portfolio of medical equipment finance receivables. The announcement likely clears the way for the servicer event of default to be honored, making those who bought senior DVI paper at a discount the big winners in the saga.

Volume in the ABCP market has hovered steadily in the $725 billion range by the Federal Reserve's count, down from last November's $740 billion area. Most players don't see a whole lot of growth over the next month or so - contrary to the typical year-end push - but believe activity will increase notably in the new year.

Holders of Academic Management Services student loan ABS were bailed out from the recent troubles surrounding the name (see ASR 7/28/03), following the closing of its acquisition by Sallie Mae last week. Sallie Mae is expected to pay down the two outstanding senior/subordinated transactions and add the loans in the pool to its own future securitizations.

New-issue ABS supply picked up last week, ahead of the Thanksgiving holiday and the three-day trading week that accompanies it. Roughly $25 billion was marketed last week, primarily in the form of large home equity deals, although there were numerous offerings in off-the-run assets such as shipping containers, time-share loans and insurance receivables.

The CDO market was ripe with activity last week.

Just as the rate of ABS downgrades is beginning to notably decline, the first dealership franchise-backed transaction - the last remnant of a once-thriving sector of the market - has succumbed to the franchise curse. In fact, the issuer, Falcon Financial, is often touted for its emphasis on underwriting to real estate in conjunction with enterprise value. (It should be noted that other players that once were associated with franchise ABS have opted to align themselves to CMBS).

Year to date as of 11/20 Term (days) 11/14 11/17 11/18 11/19 11/20 1-week

2003 2002 2001 ABS (Public and 144A) 502,771 394,771 332,949 ABS (Public and 144A excluding CDOs) 463,854 350,039 288,919 ABS (Public Only) 406,835 315,268 247,640 ABS (144A Only) 95,937 79,503 85,310 Non-Agency MBS 285,951 209,912 167,665 Agency MBS 511,767 491,326 302,387 CMBS 61,273 43,353 56,276 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 10,052.6 1 16.0 14 Credit Suisse First Boston 7,701.2 2 12.3 14 Morgan Stanley 6,681.3 3 10.6 9 Deutsche Bank AG 6,541.5 4 10.4 10 Citigroup 5,300.4 5 8.4 9 BANK ONE Corp 5,026.3 6 8.0 9 Barclays Capital 4,051.4 7 6.5 10 Banc of America Securities LLC 3,747.9 8 6.0 8 Bear Stearns & Co Inc 2,856.5 9 4.6 1 Wachovia Corp 2,728.1 10 4.4 10 Industry Total 62,767.0 - 100.0 78 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 5,447.8 1 14.0 15 Deutsche Bank AG 3,616.3 2 9.3 10 Wachovia Corp 3,555.1 3 9.1 14 Goldman Sachs & Co 3,450.3 4 8.9 7 Citigroup 3,321.7 5 8.5 10 Bear Stearns & Co Inc 2,514.8 6 6.5 10 Merrill Lynch & Co Inc 2,340.7 7 6.0 8 Morgan Stanley 2,306.8 8 5.9 7 UBS 2,245.0 9 5.8 5 Caisse des Depots et Consign. 1,600.0 10 4.1 2 Industry Total 38,917.7 - 100.0 110 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 12,170.9 1 20.4 20 BANK ONE Corp 11,756.6 2 19.7 22 JP Morgan 10,553.7 3 17.7 18 Barclays Capital 5,498.8 4 9.2 11 Morgan Stanley 3,954.5 5 6.6 5 Deutsche Bank AG 3,834.6 6 6.4 14 Banc of America Securities LLC 3,812.3 7 6.4 12 Credit Suisse First Boston 2,818.7 8 4.7 10 Lehman Brothers 2,048.1 9 3.4 7 Merrill Lynch & Co Inc 1,744.5 10 2.9 7 Industry Total 59,720.6 - 100.0 101 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 29.3 7 Banc of America Securities LLC 922.7 2 12.4 2 JP Morgan 875.0 3 11.8 4 Barclays Capital 710.7 4* 9.5 1 Lehman Brothers 710.7 4* 9.5 1 Merrill Lynch & Co Inc 521.2 6* 7.0 2 Societe Generale 521.2 6* 7.0 2 Citigroup 500.0 8* 6.7 1 BANK ONE Corp 500.0 8* 6.7 1 Industry Total 7,446.1 - 100.0 11 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 33,551.1 1 12.6 82 Credit Suisse First Boston 24,885.0 2 9.3 56 Citigroup 23,213.1 3 8.7 61 Morgan Stanley 22,990.7 4 8.6 49 Royal Bank of Scotland Group 22,394.7 5 8.4 47 Deutsche Bank AG 19,537.2 6 7.3 46 Bear Stearns & Co Inc 19,290.6 7 7.2 42 Banc of America Securities LLC 18,659.3 8 7.0 57 JP Morgan 18,530.6 9 7.0 26 Countrywide Securities Corp 18,291.7 10 6.9 35 Industry Total 266,642.5 - 100.0 534 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 6,786.5 1 20.4 12 Merrill Lynch & Co Inc 4,977.3 2 14.9 10 Morgan Stanley 4,898.6 3 14.7 10 Credit Suisse First Boston 4,037.4 4 12.1 8 Deutsche Bank AG 3,841.8 5 11.5 7 UBS 2,368.0 6 7.1 5 JP Morgan 1,846.7 7 5.5 5 Banc of America Securities LLC 1,840.6 8 5.5 5 Lehman Brothers 956.3 9 2.9 2 BANK ONE Corp 507.6 10 1.5 1 Industry Total 33,315.7 - 100.0 33 Source: Thomson Financial

Year to date as of Nov 19 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 3,229 2,202 1,027 3,229 2,202 457 361 208 Auto Loans/Recs 72,328 56,721 15,607 68,584 3,744 21,940 36,850 13,278 125 113 Cash 599 249 350 599 599 Commercial Loans 311 188 123 311 311 Corp Bond/Note 4,923 1,743 3,147 4,923 2,560 750 468 1,144 Corporate Loans 6,987 574 6,378 6,987 1,745 774 161 2,392 1,891 Credit Card Rec 59,721 17,481 42,240 58,869 851 17,589 5,408 32,223 2,000 2,500 Equip Loans 177 177 177 177 Equip. Leases 9,128 5,167 3,960 6,684 2,443 3,230 4,743 1,080 75 Floorplan Recs 7,446 2,132 5,314 6,610 836 2,132 1,790 3,524 Franchisee Loans 228 228 228 109 Home Impr Loans 8 8 8 8 Junk Bonds 6,167 954 5,212 6,167 1,966 1,743 2,458 Leases 1,388 1,388 1,388 760 178 Loans 2,998 2,998 2,998 2,998 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 66,783 24,253 39,210 59,527 7,256 29,898 15,353 19,730 1,344 275 Oil Receivables 750 750 750 750 Preferred Sec 2,061 651 1,385 2,061 854 108 177 921 Prv Issued Sec 1,863 1,123 615 162 1,701 1,863 Rental Car Rec. 4,125 2,400 1,725 1,000 3,125 1,500 460 2,165 Rev Cred/Home Eq 204,185 81,100 112,770 184,254 19,931 86,146 64,202 47,655 4,030 1,925 Sm Business Loan 1,045 1,045 1,045 401 644 Struc Fin Credit 24,810 5,045 19,728 24,810 11,154 758 4,077 5,087 3,652 Student Loans 35,566 1,900 27,404 29,294 6,272 10,382 5,939 9,685 7,020 1,428 Tax Liens 86 86 86 86 Ticket Rec 220 10 210 220 220 Timeshare Loans 473 415 58 473 170 303 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 39% Auto Loans/Recs 14% Non-Jumbo Mtg Ln 13% Credit Card Rec 11% Student Loans 7% Other 16%