CDOs

Year to date as of Jul 23 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 39,218 31,250 7,968 36,946 2,272 10,572 20,855 7,608 125 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 40,648 10,833 29,816 39,797 851 9,087 3,909 26,003 750 900 Debentures 1,681 1,681 1,681 1,681 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 37,356 11,587 25,429 32,539 4,816 14,167 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 1,455 823 507 87 1,368 1,455 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 128,596 54,642 72,641 117,345 11,251 59,874 36,846 29,153 2,004 575 Sm Business Loan 645 645 645 391 254 Stranded Costs Struc Fin Credit 14,160 2,704 11,420 14,160 7,204 352 2,077 2,642 1,805 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%

CenterPoint Energy, which hopes to bring the largest ever stranded cost offering next year, has taken steps,at the request of regulators to increase transparency in its deals, hopefully leading to a sector-wide trend. Interestingly, several past issuers have de-registered, or suspended filings, on their outstanding transactions. Using programmatic ABS issuers such as Sallie Mae as a benchmark, CenterPoint voluntarily committed to expand the data reported in quarterly filings and begin reporting additional performance and collections data on its Web site, sources said.

Two insurance policies and a backstop guaranty have been structured into the Susquehanna Bancshares auto lease transaction, to quell investor concerns over vicarious liability laws currently in effect in New York, which accounts for 66% of the Susquehanna lease portfolio. As a result, the transaction has seen healthy investor interest and is on track to price early this week at or through price guidance, syndicate sources said.

The U.S. ABS primary market wrapped up last week with nearly $8 billion priced in a wide variety of asset classes and a full pipeline for the week ahead. While home equity ABS continues to dominate supply, last week saw equipment loan collateral, student loans and a NIM, in addition to a high-quality auto loan and credit card subordinate tranche.

Spreads for outstanding DVI Inc. medical equipment ABS resembled an accordion last week, widening 200 to 300 basis points after word spread that it was in technical default on its unsecured debt obligations. Levels rebounded, however, after the default notice was rescinded the following day, and DVI announced it had hired accounting firm BDO Seidman as its new independent auditor.

With a bit of lag time built into the moderately paced summer market, rating agencies have issued their own version of summer reading material. Though not exactly the page-turner that Harry Potter proves to be, recent rating agency methodology pieces - targeting synthetic CDOs and CFOs of private equity funds - can accompany any professional's poolside lounge chair.

On active trading last week, spreads for Sears Roebuck & Co. credit card ABS tightened 10 to 20 basis points on the news that its operations would be purchased by Citigroup. Boosting momentum was the news that, in addition to the portfolio sale, Sears had successfully established a strategic alliance with Citi, which the market saw as creating competitive synergies for the largest credit card issuer in the U.S.

Specifics around the proposed IPO of CapitalSource Inc., a commercial finance lender and repeat ABS issuer, continue to remain hazy despite the fact the company issued an amended filing last week with the Securities and Exchange Commission. The new document gave little in the way of juicy tidbits.

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

2003 2002 2001 ABS (Public and 144A) 285,168 241,289 199,984 ABS (Public and 144A excluding CDOs) 268,113 212,491 172,930 ABS (Public Only) 237,397 191,418 145,933 ABS (144A Only) 47,772 49,872 54,051 Non-Agency MBS 174,538 109,375 90,426 Agency MBS 323,911 267,928 142,582 CMBS 36,246 23,996 30,547 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 4,444.3 1 14.3 6 Deutsche Bank AG 3,770.1 2 12.2 7 Citigroup 3,705.3 3 12.0 5 BANK ONE Corp 3,347.8 4 10.8 6 Credit Suisse First Boston 3,129.1 5 10.1 7 Banc of America Securities LLC 2,447.8 6 7.9 5 Barclays Capital 2,400.8 7 7.8 5 Morgan Stanley 2,265.7 8 7.3 4 Merrill Lynch & Co Inc 1,635.4 9 5.3 3 Goldman Sachs & Co 1,289.4 10 4.2 3 Industry Total 30,992.1 - 100.0 40 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 2,978.7 1 17.5 9 Deutsche Bank AG 2,703.6 2 15.9 6 Wachovia Corp 2,134.4 3 12.5 7 Bear Stearns & Co Inc 1,673.2 4 9.8 6 Citigroup 1,547.6 5 9.1 4 Morgan Stanley 1,031.4 6 6.1 4 UBS 900.0 7 5.3 2 Banc of America Securities LLC 884.6 8 5.2 4 Goldman Sachs & Co 829.2 9 4.9 3 JP Morgan 697.6 10 4.1 2 Industry Total 17,055.7 - 100.0 53 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 25.8 16 BANK ONE Corp 7,826.8 2 19.4 14 JP Morgan 6,078.6 3 15.1 11 Barclays Capital 3,834.7 4 9.5 7 Morgan Stanley 3,579.5 5 8.9 4 Banc of America Securities LLC 2,537.3 6 6.3 8 Deutsche Bank AG 2,084.6 7 5.2 7 Credit Suisse First Boston 1,294.2 8 3.2 4 Merrill Lynch & Co Inc 1,245.0 9 3.1 5 Lehman Brothers 823.1 10 2.0 3 Industry Total 40,398.4 - 100.0 66 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 22,668.0 1 14.4 55 Countrywide Securities Corp 14,158.2 2 9.0 24 Royal Bank of Scotland Group 13,292.6 3 8.5 30 Citigroup 12,977.4 4 8.3 33 Morgan Stanley 12,447.8 5 7.9 28 Banc of America Securities LLC 11,067.2 6 7.1 30 JP Morgan 10,978.0 7 7.0 16 Credit Suisse First Boston 10,602.1 8 6.8 26 Deutsche Bank AG 10,549.9 9 6.7 26 UBS 7,666.6 10 4.9 19 Industry Total 157,053.2 - 100.0 297 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 20.7 7 Morgan Stanley 3,160.4 2 17.5 6 Deutsche Bank AG 2,740.7 3 15.1 5 Credit Suisse First Boston 2,437.7 4 13.5 5 Merrill Lynch & Co Inc 2,238.3 5 12.4 4 Banc of America Securities LLC 1,186.3 6 6.6 3 JP Morgan 1,074.5 7 5.9 3 BANK ONE Corp 507.6 8* 2.8 1 Lehman Brothers 507.6 8* 2.8 1 UBS 503.0 10 2.8 2 Industry Total 18,102.1 - 100.0 17 Source: Thomson Financial

Year to date as of Jul 16 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 36,446 28,930 7,516 34,603 1,842 10,107 19,227 6,929 125 35 Cash Catastrophe Bond Commercial Loans 311 188 123 311 311 Corp Bond/Note 1,882 366 1,483 1,882 1,294 56 532 Corporate Loans 4,384 385 3,965 4,384 1,392 774 161 906 1,152 Credit Card Rec 40,398 10,833 29,566 39,547 851 9,087 3,909 25,753 750 900 Debentures 1,681 1,681 1,681 1,681 Equip Loans Equip. Leases 5,493 3,593 1,900 3,866 1,627 1,291 3,460 668 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 36,706 11,587 24,779 32,539 4,166 14,167 6,899 14,113 1,173 203 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 835 203 507 87 748 835 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 123,460 51,783 70,364 112,287 11,173 57,899 35,826 27,247 1,829 514 Sm Business Loan 645 645 645 391 254 Stranded Costs Struc Fin Credit 12,317 2,378 9,902 12,317 7,155 352 671 2,568 1,489 Student Loans 19,352 600 16,000 17,616 1,736 3,648 3,627 6,408 4,739 218 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% Non-Jumbo Mtg Ln 12% Auto Loans/Recs 12% Student Loans 6% Other 15%

Much like the home equity sector, the student loan sector of the ABS market is booming on an unprecedented refinance wave that has boosted issuance to what will likely end up being record levels. To date, the term market has absorbed nearly $20 billion of student loan paper, but the first-half pace is not expected to continue.