CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 9,771.7 1 26.4 15 Banc One Capital Markets 7,901.8 2 21.4 13 JP Morgan 4,553.6 3 12.3 9 Barclays Capital 3,834.7 4 10.4 7 Morgan Stanley 3,579.5 5 9.7 4 Banc of America Securities LLC 2,212.3 6 6.0 7 Deutsche Bank AG 2,084.6 7 5.6 7 Credit Suisse First Boston 969.3 8 2.6 3 Lehman Brothers 823.1 9 2.2 3 Wachovia Corp 673.0 10 1.8 3 Industry Total 36,953.6 - 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 42.3 5 JP Morgan 875.0 2 26.9 4 Citigroup 500.0 3* 15.4 1 Banc One Capital Markets 500.0 3* 15.4 1 Industry Total 3,250.1 - 100.0 5 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 20,926.9 1 15.4 48 Countrywide Securities Corp 12,582.6 2 9.2 20 Citigroup 11,537.9 3 8.5 30 JP Morgan 10,718.0 4 7.9 15 Royal Bank of Scotland Group 10,385.1 5 7.6 25 Deutsche Bank AG 9,940.6 6 7.3 21 Morgan Stanley 9,913.2 7 7.3 24 Banc of America Securities LLC 9,479.6 8 7.0 25 Credit Suisse First Boston 8,286.6 9 6.1 21 UBS 7,235.4 10 5.3 16 Industry Total 136,214.8 - 100.0 239 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 3,298.5 1 21.9 6 Morgan Stanley 2,599.9 2 17.2 4 Deutsche Bank AG 2,293.1 3 15.2 4 Credit Suisse First Boston 1,877.2 4 12.5 3 Merrill Lynch & Co Inc 1,790.7 5 11.9 3 Banc of America Securities LLC 1,186.3 6 7.9 3 JP Morgan 514.1 7 3.4 1 Banc One Capital Markets 507.6 8* 3.4 1 Lehman Brothers 507.6 8* 3.4 1 UBS 503.0 10 3.3 2 Industry Total 15,078.0 - 100.0 14 Source: Thomson Financial

Year to date as of Jun 18 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 34,527 26,960 7,567 33,069 1,458 9,488 18,141 6,715 125 35 Cash Catastrophe Bond Commercial Loans 921 194 727 921 822 99 Corp Bond/Note 1,882 366 1,483 1,882 1,294 56 532 Corporate Loans 2,644 287 2,333 2,644 587 906 1,152 Credit Card Rec 36,954 9,038 27,916 36,597 356 8,212 3,909 23,183 750 900 Debentures 1,670 1,670 1,670 1,670 Equip Loans Equip. Leases 4,820 3,510 1,310 3,864 956 1,208 2,876 668 68 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 3,250 3,250 3,224 26 750 2,500 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 1,763 250 1,513 1,141 622 1,141 622 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 399 278 121 260 139 103 185 11 45 Motorcycle Loans 975 975 975 975 Mutual Fund Fees 175 75 100 175 175 Non-Jumbo Mtg Ln 33,513 9,019 24,154 29,361 4,153 11,606 6,899 13,488 1,173 197 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 505 178 327 87 418 505 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 105,564 43,439 60,811 96,859 8,705 46,946 31,270 25,018 1,740 446 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 7,772 1,293 6,443 7,772 3,266 352 671 2,294 1,108 Student Loans 15,298 600 12,164 13,927 1,371 2,400 2,777 5,384 3,927 99 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 39% Credit Card Rec 15% Non-Jumbo Mtg Ln 13% Auto Loans/Recs 11% Student Loans 7% Other 15%

Standard & Poor's downgraded 14 classes of auto lease ABS issued by Mitsubishi Motor Credit of America last week, due to greater-than-expected defaults of the captive lender's zero-down, zero-interest and zero-payments for 15 months subvention loan strategy. The balloon payment loans had long given investors concerns, for which Mitsubishi had paid up with significant spread premiums in the primary market.

Spreads for DVI Inc. medical equipment lease ABS have widened significantly since accounting firm Deloitte & Touche announced it was stepping down as its independent auditor, which triggered ratings actions from all three rating agencies on the issuer's corporate unsecured debt. With the market asking whether this was the beginning of a blowup, or a buy opportunity, spreads on some classes of recently priced ABS widened by as much as 40 to 50 basis points on the bid side.

Lord Securities Corp. (LordSPV) and Jersey-based law firm Bailhache Labesse have recently formed a partnership enabling the two to offer multi-jurisdictional SPV administration, under the LordSPV banner.

Primary ABS issuance remained strong last week, with $14 billion in supply making the rounds, $11 billion of which had priced as of press time. For the first time in a long time, credit card supply dominated the calendar last week, with high quality offerings quickly tapping the market, with some seeing increases in size.

As the mid-year point rapidly approaches, CDO professionals are not looking forward to the relaxed pace of a summertime market. After all, new issuance slowed early on this year. Market mavens are doing all they can to keep investors from singing the summertime blues and from sliding too deeply into secondary market activity.

Year to date as of Jun 11 Term (days) 06/05 06/06 06/09 06/10 06/11 1-week

2003 2002 2001 ABS (Public and 144A) 245,361 193,092 168,777 ABS (Public and 144A excluding CDOs) 233,810 171,322 146,288 ABS (Public Only) 208,130 153,443 124,992 ABS (144A Only) 37,231 39,650 43,786 Non-Agency MBS 130,504 89,016 71,484 Agency MBS 267,213 204,840 102,095 CMBS 27,182 19,238 25,792 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 1,959.7 1 17.0 6 Deutsche Bank AG 1,644.5 2 14.2 4 Wachovia Corp 1,349.4 3 11.7 4 Bear Stearns & Co Inc 1,270.7 4 11.0 5 Citigroup 1,047.6 5 9.1 3 Goldman Sachs & Co 829.2 6 7.2 3 Morgan Stanley 628.4 7 5.4 3 Banc of America Securities LLC 597.8 8 5.2 2 Westdeutsche Landesbank Giro 545.0 9 4.7 1 Lehman Brothers 368.4 10 3.2 3 Industry Total 11,550.3 - 100.0 38 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 9,771.7 1 28.1 15 BANK ONE Corp 7,351.9 2 21.1 11 JP Morgan 4,479.3 3 12.9 9 Morgan Stanley 3,579.5 4 10.3 4 Barclays Capital 2,834.7 5 8.2 6 Banc of America Securities LLC 2,212.3 6 6.4 7 Deutsche Bank AG 1,707.6 7 4.9 5 Credit Suisse First Boston 969.3 8 2.8 3 Lehman Brothers 748.8 9 2.2 3 Wachovia Corp 673.0 10 1.9 3 Industry Total 34,790.6 - 100.0 55 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 42.3 5 JP Morgan 875.0 2 26.9 4 Citigroup 500.0 3* 15.4 1 BANK ONE Corp 500.0 3* 15.4 1 Industry Total 3,250.1 - 100.0 5 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 20,711.3 1 15.5 46 Countrywide Securities Corp 12,582.6 2 9.4 20 Citigroup 10,636.9 3 8.0 29 JP Morgan 10,520.0 4 7.9 14 Deutsche Bank AG 9,940.6 5 7.5 21 Morgan Stanley 9,647.9 6 7.2 23 Royal Bank of Scotland Group 9,375.3 7 7.0 23 Banc of America Securities LLC 8,879.6 8 6.7 24 Credit Suisse First Boston 8,320.7 9 6.2 21 UBS 7,239.2 10 5.4 16 Industry Total 133,255.0 - 100.0 233 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 3,298.5 1 21.9 6 Morgan Stanley 2,599.9 2 17.2 4 Deutsche Bank AG 2,293.1 3 15.2 4 Credit Suisse First Boston 1,877.2 4 12.5 3 Merrill Lynch & Co Inc 1,790.7 5 11.9 3 Banc of America Securities LLC 1,186.3 6 7.9 3 JP Morgan 514.1 7 3.4 1 BANK ONE Corp 507.6 8* 3.4 1 Lehman Brothers 507.6 8* 3.4 1 UBS 503.0 10 3.3 2 Industry Total 15,078.0 - 100.0 14 Source: Thomson Financial

Year to date as of Jun 11 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 34,095 26,903 7,192 33,137 958 9,556 18,141 6,340 35 Cash Catastrophe Bond Commercial Loans 921 194 727 921 822 99 Corp Bond/Note 1,532 366 1,133 1,532 944 56 532 Corporate Loans 2,344 251 2,068 2,344 564 696 1,084 Credit Card Rec 34,791 8,638 26,153 34,434 356 8,037 3,909 21,595 750 500 Debentures 1,670 1,670 1,670 1,670 Equip Loans Equip. Leases 4,820 3,510 1,310 3,864 956 1,208 2,876 668 68 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 3,250 3,250 3,224 26 750 2,500 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs 1,763 250 1,513 1,141 622 1,141 622 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 399 278 121 260 139 103 185 11 45 Motorcycle Loans 975 975 975 975 Mutual Fund Fees 175 75 100 175 175 Non-Jumbo Mtg Ln 33,513 9,019 24,154 29,361 4,153 11,606 6,899 13,488 1,173 197 Non-Perf Loans Oil Contracts Preferred Sec 1,034 204 805 1,034 108 108 177 640 Prv Issued Sec 487 178 309 87 400 487 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 102,604 42,084 59,206 94,761 7,843 46,852 29,711 23,812 1,661 425 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 6,925 1,254 5,635 6,925 2,566 352 671 2,294 960 Student Loans 15,298 600 12,164 13,927 1,371 2,400 2,777 5,384 3,927 99 Swap Agreement Tax Liens Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs 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% Credit Card Rec 15% Non-Jumbo Mtg Ln 13% Auto Loans/Recs 11% Student Loans 7% Other 15%