CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 11,670.9 1 24.0 18 Bank One Capital Markets 9,356.6 2 19.2 18 JP Morgan 7,253.7 3 14.9 14 Barclays Capital 5,373.8 4 11.0 10 Morgan Stanley 3,954.5 5 8.1 5 Deutsche Bank AG 2,909.6 6 6.0 10 Banc of America Securities LLC 2,787.3 7 5.7 9 Credit Suisse First Boston 1,819.1 8 3.7 6 Merrill Lynch & Co Inc 1,245.0 9 2.6 5 Wachovia Corp 1,153.0 10 2.4 5 Industry Total 48,671.6 - 100.0 83 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 39.7 5 JP Morgan 875.0 2 25.3 4 Citigroup 500.0 3* 14.4 1 Bank One Capital Markets 500.0 3* 14.4 1 Banc of America Securities LLC 212.0 5 6.1 1 Industry Total 3,462.1 - 100.0 6 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 30,523.7 1 14.1 71 Citigroup 19,615.9 2 9.1 50 Morgan Stanley 19,508.6 3 9.0 41 Countrywide Securities Corp 18,821.6 4 8.7 34 JP Morgan 18,519.1 5 8.6 23 Royal Bank of Scotland Group 18,421.2 6 8.5 40 Credit Suisse First Boston 15,794.3 7 7.3 42 Deutsche Bank AG 14,066.8 8 6.5 33 Banc of America Securities LLC 13,661.0 9 6.3 44 Bear Stearns & Co Inc 12,641.5 10 5.8 29 Industry Total 216,630.8 - 100.0 411 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 4,632.8 1 19.5 9 Morgan Stanley 4,244.2 2 17.9 8 Deutsche Bank AG 3,708.4 3 15.6 6 Credit Suisse First Boston 3,450.4 4 14.5 6 Merrill Lynch & Co Inc 3,287.4 5 13.8 5 JP Morgan 1,398.0 6 5.9 4 Banc of America Securities LLC 1,186.3 7 5.0 3 UBS 718.0 8 3.0 3 Bank One Capital Markets 507.6 9* 2.1 1 Lehman Brothers 507.6 9* 2.1 1 Industry Total 23,750.8 - 100.0 23 Source: Thomson Financial

Year to date as of Sep 24 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 2,392 1,365 1,027 2,392 1,365 457 361 208 Asset-Back Certs Auto Loans/Recs 52,712 39,731 12,981 49,884 2,828 11,787 29,898 10,844 125 35 Cash 399 199 200 399 399 Catastrophe Bond Commercial Loans 1,561 1,438 123 1,561 1,250 311 Corp Bond/Note 3,124 464 2,627 3,124 1,310 380 468 966 Corporate Loans 5,985 427 5,524 5,985 1,715 774 161 1,652 1,659 Credit Card Rec 48,672 12,543 36,129 47,820 851 10,576 5,408 28,837 1,500 2,350 Debentures 2,648 2,648 2,648 2,648 Equip Loans Equip. Leases 7,460 3,786 3,674 5,763 1,697 2,422 4,218 745 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 5,679 3,680 1,999 5,679 4,312 1,002 221 144 Floorplan Recs 3,462 3,462 3,436 26 750 2,712 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 50,298 16,515 32,778 44,376 5,922 20,134 12,347 16,238 1,153 275 Non-Perf Loans Oil Contracts Preferred Sec 1,222 231 966 1,222 108 108 177 828 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 168,635 70,084 90,005 152,557 16,078 72,010 51,920 39,493 3,957 1,089 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 18,338 3,276 15,025 18,338 8,242 747 2,346 4,014 2,906 Student Loans 25,634 600 21,549 23,898 1,736 4,481 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 41% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 12% Credit Card Rec 12% Student Loans 6% Other 16%

Long-time ABS investment house Structured Finance Advisors (SFA) is moving away from the "flawed models" of the CDO market and will soon launch a new investment find - dubbed the SFA Managed Account Program - which SFA President and founder Joe Lorusso is pitching as "the anti-CDO product." The target launch date for the fund is 4Q03.

Although as of press time just $7.3 billion of new-issue ABS supply had priced, a slew of offerings were marketing and slated to price late last or early this week. While home equity supply led the way with $12 billion total making the rounds, much of that is seen pricing this week. Other than home equity, issuance was sporadic, as Capital One, The CIT Group, and G.E. Capital were seen in the primary market.

Metris Master Trust credit card ABS tightened following the news that parent The Metris Companies closed a portfolio sale and a new conduit facility. Metris sold $145 million in accounts and receivables from the Direct Merchants Credit Card Bank and $445 million of receivables from the Metris Master Trust. Metris also announced a new, private conduit facility totaling $610 million.

Rumored to have been in the works for nearly a year, the Bond Market Association announced it was indeed publishing outstanding CDO deal documentation via its new CDO Transaction Library. The confirmation arrived on the heels of the BMA's first annual CDO conference this week.

As far as CDOs go, there is a huge variance between traditional cash and synthetic transactions, although both have found keen interest from investors. The rise in single tranche, or customized, synthetic CDOs this year is a testament to the continuous innovation offered, uniquely, by this market.

As Hurricane Isabel hit land Thursday, it appeared unlikely that any catastrophe bonds would suffer damage.

Newcomer Fieldstone Capital Group, a broker dealer founded in 2001 by high yield veteran Jonathan Blatt, has spent the past year building up a CDO secondary trading effort. Last week the firm brought on Johnny Srivastava, who was most recently in the securitization origination group at RBC Capital Markets.

Year to date as of 09/24 Term (days) 09/18 09/19 09/22 09/23 09/24 1-week

2003 2002 2001 ABS (Public and 144A) 379,532 305,894 260,156 ABS (Public and 144A excluding CDOs) 352,673 270,681 226,813 ABS (Public Only) 312,529 242,664 193,467 ABS (144A Only) 67,003 63,230 66,689 Non-Agency MBS 226,607 156,559 126,695 Agency MBS 423,555 362,201 196,200 CMBS 49,169 34,592 43,956 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 Corp 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 16.7 13 Deutsche Bank AG 3,455.4 2 12.9 9 Wachovia Corp 2,904.9 3 10.8 10 Citigroup 2,274.3 4 8.5 7 Bear Stearns & Co Inc 2,015.5 5 7.5 8 Banc of America Securities LLC 1,698.0 6 6.3 7 Morgan Stanley 1,531.8 7 5.7 5 UBS 1,520.0 8 5.7 4 Merrill Lynch & Co Inc 1,317.2 9 4.9 5 JP Morgan 1,197.6 10 4.5 3 Industry Total 26,859.4 - 100.0 84 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 11,670.9 1 24.1 18 BANK ONE Corp 9,356.6 2 19.3 18 JP Morgan 7,053.7 3 14.6 13 Barclays Capital 5,373.8 4 11.1 10 Morgan Stanley 3,954.5 5 8.2 5 Deutsche Bank AG 2,909.6 6 6.0 10 Banc of America Securities LLC 2,787.3 7 5.8 9 Credit Suisse First Boston 1,819.1 8 3.8 6 Merrill Lynch & Co Inc 1,245.0 9 2.6 5 Wachovia Corp 1,153.0 10 2.4 5 Industry Total 48,471.6 - 100.0 82 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 39.7 5 JP Morgan 875.0 2 25.3 4 Citigroup 500.0 3* 14.4 1 BANK ONE Corp 500.0 3* 14.4 1 Banc of America Securities LLC 212.0 5 6.1 1 Industry Total 3,462.1 - 100.0 6 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 29,337.1 1 14.3 70 Countrywide Securities Corp 18,778.7 2 9.1 34 Royal Bank of Scotland Group 18,177.9 3 8.8 39 Morgan Stanley 18,049.1 4 8.8 40 Citigroup 17,695.3 5 8.6 45 JP Morgan 15,984.6 6 7.8 21 Credit Suisse First Boston 14,327.7 7 7.0 36 Deutsche Bank AG 14,295.3 8 7.0 33 Banc of America Securities LLC 12,992.7 9 6.3 42 Bear Stearns & Co Inc 11,921.2 10 5.8 27 Industry Total 205,804.1 - 100.0 392 Source: Thomson Financial