CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 4,542.8 1 19.3 8 Morgan Stanley 4,244.2 2 18.0 8 Deutsche Bank AG 3,708.4 3 15.8 6 Credit Suisse First Boston 3,450.4 4 14.7 6 Merrill Lynch & Co Inc 3,287.4 5 14.0 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 3.1 3 BANK ONE Corp 507.6 9* 2.2 1 Lehman Brothers 507.6 9* 2.2 1 Industry Total 23,550.8 - 100.0 22 Source: Thomson Financial

Year to date as of Sep 17 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 2,770 419 2,318 2,770 1,300 380 468 622 Corporate Loans 6,004 446 5,524 6,004 1,734 774 161 1,652 1,659 Credit Card Rec 48,472 12,543 35,929 47,620 851 10,576 5,408 28,837 1,500 2,150 Debentures 2,648 2,648 2,648 2,648 Equip Loans Equip. Leases 5,563 3,593 1,970 3,866 1,697 1,291 3,530 668 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 49,530 16,868 31,645 43,608 5,922 18,305 12,347 17,279 1,173 275 Non-Perf Loans Oil Contracts Preferred Sec 1,222 231 966 1,222 108 108 177 828 Prv Issued Sec 1,653 988 540 87 1,566 1,653 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 158,576 67,379 83,254 144,754 13,822 71,750 46,110 36,582 2,738 978 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 18,258 3,270 14,951 18,258 8,236 747 2,346 3,967 2,880 Student Loans 25,434 600 21,449 23,698 1,736 4,281 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 16%

Cash-strapped medical finance company DVI Inc. missed the coupon payments on five of its nine outstanding equipment lease securitizations last Friday and breached three servicing covenants, trustee U.S. Bank announced to bondholders. If the company does not rectify its breaches within 30 days, 56 classes of DVI Receivables X through XIV will default. Additionally, DVI reported a miscalculation of the aggregate discount contract balance for its August payment, thus coming up short.

As anticipated, the U.S. new-issue ABS market picked up steam last week, pricing $12 billion across the auto loan, credit card and home equity sectors. The field was represented from well-known top-tier issuers, well-known mid-tier issuers and a first-time name to the primary ABS market. After a fairly heavy week - which followed the Labor Day shortened session the prior week - deals came at a steady pace, with a few billion set to wrap up late last week or early this week.

Last Friday, members of the American Securitization Forum sat before Congress to present the "Securitization Institute," a newly developed educational outreach program that the industry group will use as one of its lobbying tools.

Secondary market maker United Capital Markets quietly closed its first new issue offering, a $233 million repackaging of structured finance product. Details beyond that were unavailable, except that about $20 million of the apparently non-rated deal is invested.

Accredited Home Lenders, which plays in both the debt and equity courts, is pumped for the fourth quarter. Perhaps that's because co-founder Ray McKewon is betting his firm, a subprime lender, will grow despite a rising interest rate environment (see ASR 6/30/03). Or it may have to do with rumors of a sixth mortgage securitization in the works.

The long-awaited securitization of 100 Boeing 767 aircraft leased to the U.S. Air Force is currently in the structuring process and preliminary details could emerge sometime in October, sources said. The $10 billion-plus transaction needs Congressional approval, however, and while it could very well be three years until the bonds actually hit the market, the structure will be firmed up well in advance, sources said.

As reported in last week's ASR, the second-ever life-insurance commission securitization from Clark Consulting Inc. is out in the Rule 144A market, with pricing seen in the coming weeks, sources said. Led by Banc One Capital Markets' Dallas branch, with help from co-manager Bear Stearns, CBC Insurance Revenue Securitization LLC 2003-A could close by late September, although some speculated it could be pushed to next month.

Wachovia Securities' Structured Products research team just issued its inaugural CDO Performance Report, a new information tool that incorporates regular updates.

CDO investors and bankers who subscribe to Standard & Poor's proprietary CDO Evaluator are in for a nice surprise. Version 2.2 is set to debut in the coming weeks, the rating agency said.

Year to date as of 09/16 Term (days) 09/10 09/11 09/12 09/15 09/16 1-week

2003 2002 2001 ABS (Public and 144A) 366,423 297,882 260,156 ABS (Public and 144A excluding CDOs) 340,904 263,172 226,813 ABS (Public Only) 301,338 235,219 193,467 ABS (144A Only) 65,085 62,663 66,689 Non-Agency MBS 225,377 151,996 126,695 Agency MBS 428,080 343,152 188,373 CMBS 47,801 33,329 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 17.6 11 Credit Suisse First Boston 5,805.2 2 13.0 10 Deutsche Bank AG 5,349.0 3 12.0 9 Citigroup 4,389.3 4 9.8 6 Banc One Capital Markets 4,011.7 5 9.0 7 Morgan Stanley 3,873.9 6 8.7 7 Banc of America Securities LLC 3,131.7 7 7.0 6 Barclays Capital 2,688.1 8 6.0 7 Merrill Lynch & Co Inc 1,635.8 9 3.7 3 Goldman Sachs & Co 1,289.4 10 2.9 3 Industry Total 44,633.3 - 100.0 56 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 4,503.7 1 17.7 13 Deutsche Bank AG 3,425.4 2 13.4 8 Wachovia Corp 2,937.9 3 11.5 10 Citigroup 2,274.3 4 8.9 7 Bear Stearns & Co Inc 2,015.5 5 7.9 8 UBS 1,520.0 6 6.0 4 Morgan Stanley 1,511.3 7 5.9 5 Banc of America Securities LLC 1,504.6 8 5.9 6 Merrill Lynch & Co Inc 1,317.1 9 5.2 5 JP Morgan 1,197.6 10 4.7 3 Industry Total 25,519.4 - 100.0 80 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 24.6 18 Banc One Capital Markets 9,081.6 2 19.1 17 JP Morgan 6,328.6 3 13.3 12 Barclays Capital 5,373.7 4 11.3 10 Morgan Stanley 3,954.5 5 8.3 5 Deutsche Bank AG 2,909.6 6 6.1 10 Banc of America Securities LLC 2,787.3 7 5.9 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 47,471.3 - 100.0 80 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 Banc 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 28,899.5 1 14.5 68 Countrywide Securities Corp 18,311.8 2 9.2 33 Royal Bank of Scotland Group 18,177.9 3 9.1 39 Morgan Stanley 17,999.6 4 9.0 40 Citigroup 17,301.5 5 8.7 43 Credit Suisse First Boston 14,327.7 6 7.2 36 Deutsche Bank AG 13,460.8 7 6.8 32 JP Morgan 13,268.6 8 6.7 19 Banc of America Securities LLC 12,671.7 9 6.4 41 Bear Stearns & Co Inc 11,719.7 10 5.9 27 Industry Total 199,067.0 - 100.0 383 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 4,506.5 1 19.1 8 Morgan Stanley 4,244.2 2 18.0 8 Deutsche Bank AG 3,781.1 3 16.1 6 Credit Suisse First Boston 3,450.4 4 14.7 6 Merrill Lynch & Co Inc 3,251.0 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 3.1 3 Banc One Capital Markets 507.6 9* 2.2 1 Lehman Brothers 507.6 9* 2.2 1 Industry Total 23,550.8 - 100.0 22 Source: Thomson Financial