CDOs

Year to date as of 10/08 Term (days) 10/02 10/03 10/06 10/07 10/08 1-week

2003 2002 2001 ABS (Public and 144A) 408,918 332,455 278,350 ABS (Public and 144A excluding CDOs) 379,506 294,857 242,859 ABS (Public Only) 334,461 264,504 208,045 ABS (144A Only) 74,458 67,950 70,305 Non-Agency MBS 255,311 186,423 140,905 Agency MBS 466,500 425,097 250,126 CMBS 53,325 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 16.3 11 Credit Suisse First Boston 5,805.2 2 12.0 10 Deutsche Bank AG 5,349.0 3 11.1 9 Citigroup 4,389.3 4 9.1 6 BANK ONE Corp 4,011.7 5 8.3 7 Morgan Stanley 3,873.9 6 8.0 7 Banc of America Securities LLC 3,512.5 7 7.3 7 Barclays Capital 3,068.8 8 6.4 8 Bear Stearns & Co Inc 2,856.5 9 5.9 1 Merrill Lynch & Co Inc 1,635.8 10 3.4 3 Industry Total 48,338.7 - 100.0 59 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 16.7 14 Deutsche Bank AG 3,455.4 2 11.8 9 Wachovia Corp 2,886.6 3 9.8 10 Citigroup 2,755.6 4 9.4 8 Bear Stearns & Co Inc 2,209.8 5 7.5 9 Morgan Stanley 2,156.8 6 7.3 6 Merrill Lynch & Co Inc 1,771.7 7 6.0 7 UBS 1,520.0 8 5.2 4 Lehman Brothers 1,493.4 9 5.1 5 Goldman Sachs & Co 1,362.5 10 4.6 5 Industry Total 29,412.3 - 100.0 88 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 23.7 19 BANK ONE Corp 9,606.6 2 19.1 19 JP Morgan 8,253.7 3 16.4 15 Barclays Capital 5,373.8 4 10.7 10 Morgan Stanley 3,954.5 5 7.9 5 Deutsche Bank AG 3,059.6 6 6.1 11 Banc of America Securities LLC 2,787.3 7 5.5 9 Credit Suisse First Boston 1,819.1 8 3.6 6 Merrill Lynch & Co Inc 1,245.0 9 2.5 5 Wachovia Corp 1,153.0 10 2.3 5 Industry Total 50,321.6 - 100.0 86 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 29,235.1 1 13.3 71 Royal Bank of Scotland Group 20,618.8 2 9.4 42 Citigroup 20,483.3 3 9.3 53 Morgan Stanley 19,624.2 4 8.9 43 Countrywide Securities Corp 18,137.5 5 8.2 33 JP Morgan 17,469.1 6 7.9 22 Credit Suisse First Boston 15,794.3 7 7.2 42 Banc of America Securities LLC 15,385.7 8 7.0 49 Deutsche Bank AG 15,169.6 9 6.9 35 Bear Stearns & Co Inc 12,924.5 10 5.9 30 Industry Total 220,637.4 - 100.0 425 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 21.0 10 Morgan Stanley 4,244.2 2 16.7 8 Deutsche Bank AG 3,841.8 3 15.1 7 Credit Suisse First Boston 3,583.8 4 14.1 7 Merrill Lynch & Co Inc 3,420.7 5 13.4 6 JP Morgan 1,398.0 6 5.5 4 UBS 1,368.0 7 5.4 4 Banc of America Securities LLC 1,186.3 8 4.7 3 BANK ONE Corp 507.6 9* 2.0 1 Lehman Brothers 507.6 9* 2.0 1 Industry Total 25,450.8 - 100.0 25 Source: Thomson Financial

Year to date as of Oct 1 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 55,656 42,675 12,981 52,740 2,916 14,643 29,952 10,878 125 35 Cash 399 199 200 399 399 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 5,985 427 5,524 5,985 1,715 774 161 1,652 1,659 Credit Card Rec 50,322 12,543 37,779 49,470 851 11,226 5,408 29,837 1,500 2,350 Debentures 2,655 2,655 2,655 2,655 Equip Loans Equip. Leases 6,997 4,088 2,909 5,008 1,990 2,449 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 3,756 323 3,434 3,756 1,066 1,246 1,445 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 52,894 18,939 32,950 45,749 7,144 23,058 11,297 16,960 1,153 275 Non-Perf Loans Oil Contracts Preferred Sec 1,941 651 1,265 1,941 828 108 177 828 Prv Issued Sec 1,723 1,058 540 157 1,566 1,723 Rental Car Rec. 2,275 1,050 1,225 500 1,775 650 230 1,395 Retail Contracts 750 750 750 197 404 149 Rev Cred/Home Eq 170,046 69,237 92,902 153,121 16,925 72,844 52,622 39,715 3,126 1,574 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 18,506 3,274 15,196 18,506 8,240 747 2,346 4,418 2,674 Student Loans 27,334 1,900 21,949 25,198 2,136 5,781 4,902 8,244 6,019 1,277 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 40% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 12% Credit Card Rec 12% Student Loans 6% Other 17%

Target Receivables Corp. amended its S-3 filing with the Securities and Exchange Commission last week, to issue up to $3 billion in retail credit card ABS through Target Credit Card Master Trust.

DVI Inc. took another wrong turn last week, as the trustee announced that DVI Financial Services, as servicer, "may have inappropriately used somewhere between $2.5 and $3.5 million" of funds due to nine trusts in question prior to filing for Ch. 11 bankruptcy.

New issues rushed into the primary market last week, as volume topped $14.5 billion with just two weeks to go before the asset-backed market shuts down for the annual ABS East conference in Boca Raton, Florida. Over $7.5 billion of home-equity supply made the rounds, of which nearly $4 billion was originated by the same mortgage lender. Student loan collateral topped $3 billion and "other" assets accounted or another $1.7 billion.

Mention high yield to someone in the CDO market, and you'll likely elicit a negative reaction. After all, high yield has been the least favorite asset class for CDO collateral over the past couple of years, as a result of the record defaults and rating downgrades the sector has experienced.

The rapid development of a secondary CDO market attracted a standing room-only crowd during the Bond Market Association's inaugural CDO conference last Tuesday. Seven traders from leading CDO dealers weighed in on what has been, from some perspectives, a historic year.

Triple X deal gets the market excited for more, but no, it's not porn

Year to date as of 10/01 Term (days) 09/25 09/26 09/29 09/30 10/01 1-week

2003 2002 2001 ABS (Public and 144A) 393,564 318,527 270,746 ABS (Public and 144A excluding CDOs) 366,289 282,274 235,793 ABS (Public Only) 323,890 253,014 201,866 ABS (144A Only) 69,675 65,513 68,880 Non-Agency MBS 234,516 170,898 129,867 Agency MBS 427,452 386,700 226,260 CMBS 50,020 35,761 44,928 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 17.3 11 Credit Suisse First Boston 5,805.2 2 12.8 10 Deutsche Bank AG 5,349.0 3 11.8 9 Citigroup 4,389.3 4 9.7 6 Bank One Capital Markets 4,011.7 5 8.8 7 Morgan Stanley 3,873.9 6 8.5 7 Banc of America Securities LLC 3,512.5 7 7.7 7 Barclays Capital 3,068.8 8 6.8 8 Merrill Lynch & Co Inc 1,635.8 9 3.6 3 Goldman Sachs & Co 1,289.4 10 2.8 3 Industry Total 45,394.7 - 100.0 57 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 4,486.7 1 16.5 13 Deutsche Bank AG 3,455.4 2 12.7 9 Wachovia Corp 2,886.6 3 10.6 10 Citigroup 2,284.3 4 8.4 7 Bear Stearns & Co Inc 1,905.1 5 7.0 8 Banc of America Securities LLC 1,778.0 6 6.5 8 Merrill Lynch & Co Inc 1,771.7 7 6.5 7 Morgan Stanley 1,531.8 8 5.6 5 UBS 1,520.0 9 5.6 4 JP Morgan 1,197.6 10 4.4 3 Industry Total 27,275.1 - 100.0 86 Source: Thomson Financial