CDOs

Year to date as of Sep 10 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 50,464 38,340 12,124 47,636 2,828 11,011 28,499 10,771 125 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 46,472 12,243 34,228 45,621 851 10,576 4,409 28,562 1,500 1,425 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 4,756 2,757 1,999 4,756 3,390 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 47,682 16,661 30,004 41,972 5,711 19,294 9,717 17,084 1,173 264 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 154,610 69,362 82,055 141,154 13,456 72,134 43,877 34,859 2,566 776 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 16,523 2,791 13,695 16,523 7,599 352 2,346 3,937 2,207 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 7% Other 15%

For the first time in roughly one year, AmeriCredit Corp. offered auto loan ABS backed by a full guaranty from Financial Security Assurance (FSA). In somewhat of a surprise, FSA changed its policy on cross-collateralization across all transactions, a policy that had many believing AmeriCredit would simply wait out the life of its outstanding FSA-wrapped deals.

The U.S. ABS market returned to the office for last week's holiday-shortened session to see just $5 billion of new-issue supply hit. After what was a fairly slow end of August, the primary market is expected to pick up significantly throughout September. Without trying to sound redundant, home equity supply made up the bulk of last week's issuance, something exacerbated by the void of alternate supply.

September, the hallmark homestretch, is underway and the forces of the CDO market gather together in two weeks for the Bond Market Association's CDO Committee Conference. Considering how these instruments once perched on the brink of disaster, thanks to skyrocketing downgrades, there is no shortage of topics up for discussion.

Clark Consulting, formerly Clark/Bardes, is prepping its second future flow insurance broker commission financing, a sequel to a $305 million first-of-its kind transaction last year, via Bear Stearns and Banc One Capital Markets.

Gryfon Partners, a relatively new niche shop specializing in investing in higher risk opportunities within the asset-backed market, has steadily gained ground throughout the year, sources said. Spurred by buy-side interest, the next step for Gryfon will be the launch of a new fund, through which Gryfon can invest on a discretionary basis in primarily distressed cash flows.

Year to date as of 09/11 Term (days) 09/05 09/08 09/09 09/10 09/11 1-week

2003 2002 2001 ABS (Public and 144A) 356,704 289,107 247,125 ABS (Public and 144A excluding CDOs) 331,504 254,801 214,972 ABS (Public Only) 292,294 227,737 182,518 ABS (144A Only) 64,410 61,370 64,607 Non-Agency MBS 216,914 149,652 124,961 Agency MBS 427,300 333,370 184,024 CMBS 47,737 33,329 43,337 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 17.9 13 Deutsche Bank AG 3,425.4 2 13.6 8 Wachovia Corp 2,937.9 3 11.7 10 Citigroup 2,274.3 4 9.0 7 Bear Stearns & Co Inc 2,015.5 5 8.0 8 UBS 1,520.0 6 6.0 4 Morgan Stanley 1,511.3 7 6.0 5 Merrill Lynch & Co Inc 1,317.1 8 5.2 5 JP Morgan 1,197.6 9 4.8 3 Banc of America Securities LLC 1,184.6 10 4.7 5 Industry Total 25,199.4 - 100.0 79 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 7,448.2 1 17.6 10 Credit Suisse First Boston 5,805.2 2 13.7 10 Deutsche Bank AG 4,434.1 3 10.5 8 Citigroup 4,389.3 4 10.3 6 BANK ONE Corp 4,011.7 5 9.5 7 Morgan Stanley 3,450.2 6 8.1 6 Banc of America Securities LLC 3,131.7 7 7.4 6 Barclays Capital 2,688.1 8 6.3 7 Merrill Lynch & Co Inc 1,635.8 9 3.9 3 Goldman Sachs & Co 1,289.4 10 3.0 3 Industry Total 42,447.4 - 100.0 54 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 25.5 18 BANK ONE Corp 8,556.6 2 18.7 16 JP Morgan 6,328.6 3 13.8 12 Barclays Capital 4,374.2 4 9.6 9 Morgan Stanley 3,954.5 5 8.6 5 Banc of America Securities LLC 2,787.3 6 6.1 9 Deutsche Bank AG 2,709.6 7 5.9 9 Credit Suisse First Boston 1,819.1 8 4.0 6 Merrill Lynch & Co Inc 1,245.0 9 2.7 5 Wachovia Corp 1,153.0 10 2.5 5 Industry Total 45,746.8 - 100.0 77 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 28,902.7 1 15.1 67 Morgan Stanley 17,847.0 2 9.3 39 Countrywide Securities Corp 16,707.7 3 8.7 29 Citigroup 15,903.3 4 8.3 41 Royal Bank of Scotland Group 14,773.2 5 7.7 35 Credit Suisse First Boston 14,266.9 6 7.5 35 Deutsche Bank AG 13,429.0 7 7.0 31 JP Morgan 13,268.6 8 6.9 19 Banc of America Securities LLC 12,494.8 9 6.5 40 Bear Stearns & Co Inc 11,992.7 10 6.3 27 Industry Total 191,133.4 - 100.0 368 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 3,783.7 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 BANK ONE Corp 507.6 9* 2.2 1 Lehman Brothers 507.6 9* 2.2 1 Industry Total 23,553.3 - 100.0 22 Source: Thomson Financial

Year to date as of Sep 3 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 49,549 37,620 11,929 46,721 2,828 10,816 27,779 10,771 125 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 45,747 12,243 33,504 44,896 851 10,576 4,409 28,362 1,500 900 Debentures 2,648 2,648 2,648 2,648 Equip Loans Equip. Leases 6,288 4,318 1,970 4,591 1,697 2,016 3,530 668 75 FHLMC 2,231 2,231 2,231 2,231 FNMA 4,756 2,757 1,999 4,756 3,390 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 3,436 323 3,114 3,436 746 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 47,716 17,928 28,770 42,005 5,711 21,492 8,161 16,504 1,173 234 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 Rev Cred/Home Eq 146,243 62,940 80,439 133,142 13,101 68,130 41,802 32,781 2,384 748 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 16,523 2,791 13,695 16,523 7,599 352 2,346 3,937 2,207 Student Loans 25,436 600 21,451 23,700 1,736 4,281 4,902 8,244 6,018 1,280 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 39% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 13% Credit Card Rec 12% Student Loans 7% Other 16%

A $10 billion week of U.S new issue ABS supply was cut short last Thursday, as the eastern seaboard was rendered lifeless by a blackout. Many areas in New York were still without electricity as of Friday afternoon's close. The deals that did price experienced some widening, particularly fixed-rate home equity deals, as investors are starting to show their full up on mortgage product. Ironically, arguably the most successful transaction of last week came from electricity provider ONCOR Energy, which priced its stranded cost ABS at the tightest levels the sector has seen to date.

The consolidation trend in credit card issuers continues. Citing decreased profitability and a desire to focus on its core retailing business, Circuit City is shopping $1.5 billion of its direct-mail originated bankcard accounts. The retail giant is open to selling its private label and co-branded Visa portfolios as well, although the strategic role they play in its core retail business makes that less likely.

UCC Capital Corp. expects to wrap up its first deal of the year this week, with funding scheduled for Tuesday. If all goes as planned, the firm will announce details within the next few days, although these transactions - private and largely esoteric - are notorious for taking time.