CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 10,421.7 1 24.9 16 BANK ONE Corp 8,326.6 2 19.9 15 JP Morgan 6,078.6 3 14.5 11 Morgan Stanley 3,954.5 4 9.4 5 Barclays Capital 3,834.7 5 9.2 7 Banc of America Securities LLC 2,537.3 6 6.1 8 Deutsche Bank AG 2,209.6 7 5.3 8 Credit Suisse First Boston 1,669.2 8 4.0 5 Merrill Lynch & Co Inc 1,245.0 9 3.0 5 Lehman Brothers 948.1 10 2.3 4 Industry Total 41,898.2 - 100.0 69 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 24,965.7 1 14.7 58 Countrywide Securities Corp 15,707.2 2 9.2 26 Morgan Stanley 15,209.4 3 8.9 33 Royal Bank of Scotland Group 13,321.9 4 7.8 31 Citigroup 12,977.4 5 7.6 33 Credit Suisse First Boston 12,247.5 6 7.2 29 JP Morgan 12,079.0 7 7.1 17 Deutsche Bank AG 11,749.9 8 6.9 27 Banc of America Securities LLC 11,135.4 9 6.5 32 Bear Stearns & Co Inc 8,603.8 10 5.1 18 Industry Total 170,358.7 - 100.0 315 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 3,746.1 1 20.0 7 Morgan Stanley 3,483.9 2 18.6 7 Deutsche Bank AG 2,740.7 3 14.6 5 Credit Suisse First Boston 2,437.7 4 13.0 5 Merrill Lynch & Co Inc 2,238.3 5 11.9 4 JP Morgan 1,398.0 6 7.5 4 Banc of America Securities LLC 1,186.3 7 6.3 3 BANK ONE Corp 507.6 8* 2.7 1 Lehman Brothers 507.6 8* 2.7 1 UBS 503.0 10 2.7 2 Industry Total 18,749.1 - 100.0 18 Source: Thomson Financial

Year to date as of Jul 30 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 1,365 1,365 1,365 1,365 Asset-Back Certs Auto Loans/Recs 41,350 33,382 7,968 38,846 2,505 10,983 22,056 8,128 125 35 Cash Catastrophe Bond Commercial Loans 311 188 123 311 311 Corp Bond/Note 2,246 419 1,794 2,246 1,300 348 598 Corporate Loans 4,734 422 4,277 4,734 1,392 774 161 906 1,501 Credit Card Rec 41,898 11,332 30,566 41,047 851 9,087 3,909 26,503 1,500 900 Debentures 2,104 2,104 2,104 2,104 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 2,293 233 2,060 2,293 734 490 1,069 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 975 975 975 975 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 38,654 12,884 25,429 33,837 4,816 15,465 6,899 14,763 1,173 203 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 1,626 984 517 87 1,539 1,626 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 134,818 58,268 75,236 123,458 11,360 63,869 37,360 30,645 2,134 667 Sm Business Loan 645 645 645 391 254 Stranded Costs Struc Fin Credit 14,791 2,692 12,063 14,791 7,571 352 2,304 2,659 1,824 Student Loans 20,215 816 16,647 18,479 1,736 3,864 3,955 6,530 4,937 218 Swap Agreement Tax Liens 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% Credit Card Rec 13% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 12% Student Loans 6% Other 15%

Yet another scandal hit the ABS market last week, as Academic Management Services Corp., a unit of financial services and insurance conglomerate UICI, announced inaccuracies and collateral shortfalls within its single-seller ABCP conduit, EFG Finding III. The situation was seemingly resolved, however, thanks to MBIA, which had UICI inject federally insured collateral into and rotate non-conforming loans out of the trust. MBIA had surety exposure to $839 million of term and auction-rate securities as well as having wrapped the $663 million EFG III conduit facility.

The martini of CDO maturation was shaken and stirred last week when Credit Suisse First Boston announced it had undertaken a major transition toward CDO transparency, joining other top-ranked firms that are now disseminating deal structure and collateral information to third-party analytic provider Intex.

Large offerings in the auto loan, home equity and aircraft lease sectors pushed the US ABS primary market over the $10 billion mark for the first time since mid June. AmeriQuest Mortgage, Chase Manhattan Bank, and aircraft leasing firm Aviation Capital Group all combined for $6 billion of the $10.7 billion that priced throughout the week, joined by a smattering of deals coming in at a billion or less.

Amid a slowdown in the auto sector of the ABS market, at least five somewhat programmatic, but off-the-run auto lenders are prepping transactions for the near term. The group of issuers, which have recently filed with the Securities and Exchange Commission to bring deals, includes two midsized regional banks, two small non-prime lenders and one large independent non-prime issuer.

Synthetic CDOs, those funny-sounding transactions that ride the roller coaster credit derivatives market, have found an increasing number of friends in the U.S. While the volume of synthetic transactions has risen globally, the real story lies closer to home, as U.S. investors turned toward these transactions in large number this year.

Reports from abroad show that while funded note issuance and unfunded credit default swap volume is down, the European CDO market has maintained a strong level of growth. According to Standard & Poor's, continued support of these CDOs is due mostly to more flexible structures and managed transactions.

Year to date as of Jul 23 Term (days) 07/10 07/11 07/14 07/15 07/16 1-week

2003 2002 2001 ABS (Public and 144A) 298,130 246,202 212,939 ABS (Public and 144A excluding CDOs) 278,518 217,103 184,827 ABS (Public Only) 245,955 193,465 156,313 ABS (144A Only) 52,176 52,737 56,626 Non-Agency MBS 176,176 114,752 95,622 Agency MBS 325,511 286,711 154,398 CMBS 37,647 27,030 33,121 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 4,632.8 1 13.9 7 Deutsche Bank AG 4,434.1 2 13.3 8 BANK ONE Corp 4,011.7 3 12.1 7 Citigroup 3,705.3 4 11.1 5 Credit Suisse First Boston 3,129.1 5 9.4 7 Morgan Stanley 2,815.2 6 8.5 5 Banc of America Securities LLC 2,447.8 7 7.4 5 Barclays Capital 2,400.8 8 7.2 5 Merrill Lynch & Co Inc 1,635.4 9 4.9 3 Goldman Sachs & Co 1,289.4 10 3.9 3 Industry Total 33,298.9 - 100.0 44 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 3,726.7 1 19.0 11 Deutsche Bank AG 2,703.6 2 13.8 6 Wachovia Corp 2,534.4 3 12.9 8 Citigroup 1,727.6 4 8.8 5 Bear Stearns & Co Inc 1,673.2 5 8.5 6 Morgan Stanley 1,511.3 6 7.7 5 Goldman Sachs & Co 1,178.5 7 6.0 4 UBS 900.0 8 4.6 2 Banc of America Securities LLC 884.6 9 4.5 4 Merrill Lynch & Co Inc 700.8 10 3.6 2 Industry Total 19,612.8 - 100.0 60 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 Citigroup 10,421.7 1 25.6 16 BANK ONE Corp 7,826.8 2 19.3 14 JP Morgan 6,078.6 3 15.0 11 Barclays Capital 3,834.7 4 9.4 7 Morgan Stanley 3,579.5 5 8.8 4 Banc of America Securities LLC 2,537.3 6 6.2 8 Deutsche Bank AG 2,209.6 7 5.4 8 Credit Suisse First Boston 1,294.2 8 3.2 4 Merrill Lynch & Co Inc 1,245.0 9 3.1 5 Lehman Brothers 948.1 10 2.3 4 Industry Total 40,648.4 - 100.0 67 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 23,668.0 1 14.5 56 Countrywide Securities Corp 15,707.2 2 9.7 26 Morgan Stanley 13,359.4 3 8.2 31 Royal Bank of Scotland Group 13,292.6 4 8.2 30 Citigroup 12,977.4 5 8.0 33 Credit Suisse First Boston 11,252.1 6 6.9 27 Banc of America Securities LLC 11,106.2 7 6.8 31 JP Morgan 10,978.0 8 6.7 16 Deutsche Bank AG 10,549.9 9 6.5 26 Bear Stearns & Co Inc 8,603.8 10 5.3 18 Industry Total 162,839.6 - 100.0 306 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 3,746.1 1 20.0 7 Morgan Stanley 3,483.9 2 18.6 7 Deutsche Bank AG 2,740.7 3 14.6 5 Credit Suisse First Boston 2,437.7 4 13.0 5 Merrill Lynch & Co Inc 2,238.3 5 11.9 4 JP Morgan 1,398.0 6 7.5 4 Banc of America Securities LLC 1,186.3 7 6.3 3 BANK ONE Corp 507.6 8* 2.7 1 Lehman Brothers 507.6 8* 2.7 1 UBS 503.0 10 2.7 2 Industry Total 18,749.1 - 100.0 18 Source: Thomson Financial