CDOs

2003 2002 2001 ABS (Public and 144A) 435,172 341,460 289,869 ABS (Public and 144A excluding CDOs) 405,335 302,605 253,221 ABS (Public Only) 348,448 271,297 217,249 ABS (144A Only) 86,724 70,163 72,620 Non-Agency MBS 257,605 189,894 141,910 Agency MBS 467,040 431,292 266,907 CMBS 54,722 39,373 47,171 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 7,871.8 1 15.4 11 Credit Suisse First Boston 5,805.2 2 11.4 10 Deutsche Bank AG 5,349.0 3 10.5 9 Morgan Stanley 4,823.9 4 9.5 8 BANK ONE Corp 4,734.7 5 9.3 8 Citigroup 4,389.3 6 8.6 6 Barclays Capital 3,555.3 7 7.0 9 Banc of America Securities LLC 3,512.5 8 6.9 7 Bear Stearns & Co Inc 2,856.5 9 5.6 1 Wachovia Corp 1,853.6 10 3.6 7 Industry Total 50,984.7 - 100.0 62 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 4,898.5 1 16.4 14 Deutsche Bank AG 3,455.4 2 11.6 9 Wachovia Corp 2,886.6 3 9.7 10 Citigroup 2,755.6 4 9.2 8 Bear Stearns & Co Inc 2,514.8 5 8.4 10 Morgan Stanley 2,156.8 6 7.2 6 Merrill Lynch & Co Inc 1,891.7 7 6.3 7 UBS 1,520.0 8 5.1 4 Lehman Brothers 1,493.4 9 5.0 5 Goldman Sachs & Co 1,362.5 10 4.6 5 Industry Total 29,837.3 - 100.0 89 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 11,920.9 1 22.7 19 BANK ONE Corp 9,606.6 2 18.3 19 JP Morgan 8,253.7 3 15.7 15 Barclays Capital 5,373.8 4 10.2 10 Morgan Stanley 3,954.5 5 7.5 5 Banc of America Securities LLC 3,312.3 6 6.3 10 Deutsche Bank AG 3,309.6 7 6.3 12 Lehman Brothers 2,048.1 8 3.9 7 Credit Suisse First Boston 1,819.1 9 3.5 6 Wachovia Corp 1,528.0 10 2.9 6 Industry Total 52,621.6 - 100.0 89 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 1,375.0 1 20.7 5 Merrill Lynch & Co Inc 1,042.4 2 15.7 2 Banc of America Securities LLC 922.7 3 13.9 2 JP Morgan 875.0 4 13.2 4 Barclays Capital 710.7 5* 10.7 1 Lehman Brothers 710.7 5* 10.7 1 Citigroup 500.0 7* 7.5 1 BANK ONE Corp 500.0 7* 7.5 1 Industry Total 6,636.5 - 100.0 9 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 30,211.1 1 12.8 73 Morgan Stanley 21,814.8 2 9.2 46 Citigroup 20,758.8 3 8.8 55 Royal Bank of Scotland Group 20,618.8 4 8.7 42 Countrywide Securities Corp 18,235.5 5 7.7 33 JP Morgan 17,469.1 6 7.4 22 Bear Stearns & Co Inc 16,188.5 7 6.8 36 Deutsche Bank AG 16,163.8 8 6.8 37 Credit Suisse First Boston 15,794.3 9 6.7 42 Banc of America Securities LLC 15,385.7 10 6.5 49 Industry Total 236,955.2 - 100.0 469 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 5,332.8 1 19.9 10 Morgan Stanley 4,244.2 2 15.8 8 Merrill Lynch & Co Inc 3,869.4 3 14.4 7 Deutsche Bank AG 3,841.8 4 14.3 7 Credit Suisse First Boston 3,583.8 5 13.4 7 JP Morgan 1,846.7 6 6.9 5 UBS 1,368.0 7 5.1 4 Banc of America Securities LLC 1,186.3 8 4.4 3 Lehman Brothers 956.3 9 3.6 2 BANK ONE Corp 507.6 10 1.9 1 Industry Total 26,796.8 - 100.0 26 Source: Thomson Financial

Year to date as of Oct 15 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 Asset-Back Certs Auto Loans/Recs 58,529 44,267 14,262 55,614 2,916 16,543 30,571 11,232 125 35 Cash 599 249 350 599 599 Catastrophe Bond Commercial Loans 311 188 123 311 311 Corp Bond/Note 4,374 1,714 2,627 4,374 2,560 380 468 966 Corporate Loans 6,000 544 5,422 6,000 1,425 774 161 1,860 1,757 Credit Card Rec 52,622 14,343 38,279 51,770 851 13,026 5,408 29,837 2,000 2,350 Debentures 3,445 3,445 3,445 3,445 Equip Loans Equip. Leases 7,133 4,224 2,909 5,008 2,125 2,584 3,752 721 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 4,402 2,403 1,999 4,402 3,036 1,002 221 144 Floorplan Recs 6,636 2,132 4,504 6,610 26 2,132 1,271 3,234 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 622 622 622 622 Junk Bonds 4,061 440 3,622 4,061 1,066 1,453 1,543 Legal Fees Loans 3,175 3,175 3,175 3,175 Mnfrd Housing Ct 714 593 121 575 139 103 186 11 359 Motorcycle Loans 1,450 1,450 1,450 1,450 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 54,421 17,546 34,710 47,197 7,224 22,638 12,414 17,688 1,256 275 Non-Perf Loans Oil Contracts Preferred Sec 2,061 651 1,385 2,061 854 108 177 921 Prv Issued Sec 1,848 1,108 615 157 1,691 1,848 Rental Car Rec. 3,625 2,400 1,225 500 3,125 1,500 230 1,895 Retail Contracts 750 750 750 197 404 149 Rev Cred/Home Eq 187,430 80,430 97,598 160,379 27,051 84,228 54,856 40,706 3,144 1,674 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 18,796 3,274 15,486 18,796 8,530 747 2,346 4,418 2,674 Student Loans 29,047 1,900 23,295 26,544 2,503 6,613 5,502 8,244 6,224 1,352 Swap Agreement Tax Liens 86 86 86 86 Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs 225 105 120 225 225 Truck Loans Leases 450 450 450 Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 41% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 12% Credit Card Rec 12% Student Loans 6% Other 16%

BOCA RATON, FLA. - The ABS research roundtable discussion at Information Management Network's ABS East conference last week centered primarily on the valuation of triple-B credit card ABS versus comparably rated corporate unsecured debt. The precise valuations, researchers opined, depend upon an investor's view of corporate risk. Other dynamics do come into play. However, what drives valuation is the vantage point - what someone thinks of the placement of a securitized revenue stream in an issuer's capital structure compared with senior unsecured debt holders.

The ABS investor has seemingly evolved into a credit-savvy creature wary that structure does not always protect investments. Speaking at Information Management Network's ABS East, the Uncovering Relative Value in the Public Markets panel discussion showed how far institutional money managers have come in recent years.

Fitch Ratings took action last week on E*TRADE when it added E*TRADE Global Asset Management Inc. to the list of CDO managers it has reviewed and for which it has issued manager ratings.

BOCA RATON, FLA. - The once-rapidly growing auto lease sector of the ABS market has likely reached maturity and growth will be limited for the foreseeable future, panelists speaking at Information Management Network's ABS East gathering said. The seemingly infinite use of subvention loans as well as a lack of new issuers mean that auto lease volume has likely peaked and is seen leveling off from here on out.

Setting a new standard for the industry, MBNA America Bank received a servicer rating of "strong" last week by Standard & Poor's with a "stable" outlook - the first servicer rating assigned to a non-real estate consumer asset class. The move, prompted by investor inquiries, offers investors an independent view of servicing operations for a sector that, over the past two years, has shown the importance of maintaining a high quality of servicing.

As anticipated, issuance in the equipment sector is significantly ahead of last year's pace, with close to $9 billion so far in 2003, including truck and equipment wholesale financing. At about $7 billion, small-, mid-ticket and A&G sectors combined have already met the $6.9 billion seen for all of 2002, and there's still a quarter to go.

Say hello to the new ANC Rental Corp. - or rather, say hello to Vanguard Car Rental USA, the freshly formed entity that bought ANC's assets, including its subsidiary brands Alamo Rent a Car and National Car Rental, out of bankruptcy.

California sunlight, sweet Calcutta rain, Honolulu starbright - the song remains the same. Citigroup Global Market's fast start this year remained insurmountable throughout the third quarter this year, as it remained atop the league tables for the third straight quarter. Competition is fierce, however, as positions two through six are separated by just $7 billion.

Thanks to its mortgage-lending unit, General Motors Acceptance Corp. is the leading issuer of ABS through the first three quarters of the year, according to Thomson Financial. With GMAC-RFC accounting for the bulk of its $44.2 billion in total securitized assets, GMAC has sold more than twice the ABS supply than the second-leading seller this year.

The U.S. ABS primary market remained hot, with $14.5 billion marketed throughout the week. For a change, the auto sector saw the most supply, pricing over $6 billion, including a pair of firsts as well as some familiar names. Home equity supply dipped, however, pricing only $2 billion as of press time. The credit card and student loan sectors, meanwhile, had a pair of deals each.

Downgrades in Q303 were down sharply from Q103, with the exception of CDOs and equipment leases, according to Moody's Investors Service, which is expected to release these findings in its report detailing upgrade/downgrade activity for the third quarter. The report is due out in the coming days.