CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 3,149.7 1 23.5 5 Morgan Stanley 2,465.4 2 18.4 4 Deutsche Bank AG 2,293.1 3 17.1 4 Merrill Lynch & Co Inc 1,790.7 4 13.4 3 Credit Suisse First Boston 1,742.8 5 13.0 3 Banc of America Securities LLC 1,136.7 6 8.5 2 UBS Warburg 453.4 7 3.4 1 JP Morgan 379.6 8 2.8 1 Industry Total 13,411.2 - 100.0 12 Source: Thomson Financial

Year to date as of May 21 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 27,006 20,091 6,915 26,216 791 5,802 15,801 5,345 35 Cash Catastrophe Bond Commercial Loans 921 194 727 921 822 99 Corp Bond/Note 1,099 171 895 1,099 511 56 532 Corporate Loans 2,044 233 1,787 2,044 546 450 1,049 Credit Card Rec 30,516 6,987 23,529 30,160 356 7,737 3,909 17,620 750 500 Debentures 1,485 1,485 1,485 1,485 Equip Loans Equip. Leases 2,781 1,782 999 1,824 956 481 1,594 637 68 FHLMC 2,225 2,225 2,225 2,225 FNMA 3,480 1,480 1,999 3,480 2,113 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 1,141 250 891 519 622 1,141 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 260 140 121 260 51 146 3 45 Motorcycle Loans 550 550 550 550 Mutual Fund Fees 175 75 100 175 175 Non-Jumbo Mtg Ln 27,305 7,004 20,024 25,607 1,698 11,156 5,499 9,226 1,144 162 Non-Perf Loans Oil Contracts Preferred Sec 725 146 579 725 36 177 512 Prv Issued Sec 479 178 301 87 392 479 Rental Car Rec. 1,775 1,050 725 1,775 650 1,125 Retail Contracts Rev Cred/Home Eq 82,836 35,112 47,514 75,285 7,551 36,973 25,615 18,430 1,389 284 Sm Business Loan 254 254 254 254 Stranded Costs Struc Fin Credit 5,683 884 4,763 5,683 2,224 222 2,294 862 Student Loans 13,631 600 11,149 12,509 1,123 1,749 2,595 4,937 3,572 68 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%

Bank One Capital Markets called the move "somewhat haphazard." JPMorgan Securities called the move "sloppy in execution and bordering on reckless in terms of understanding the market impact." The Street reacted harshly to Standard & Poor's placement of 32 classes of auto lease ABS - including three that are no longer outstanding - on watch for a downgrade last Monday, due to potential exposure to federal government entity Pension Benefit Guaranty Corp. in the event of a seller bankruptcy.

The number of traditional cash CDO defaults has been widely publicized and, obviously, received widespread damage assessments. But what of credit events that factored into synthetic CDO downgrades over the last two years? Calculating and modeling for events in the world of nontangible assets is an adjustment akin to moving from the roulette wheel to the baccarat tables.

The ABS primary market exploded last week, with roughly $18 billion of supply offered to investors, As of late in the week, $12.8 billion had priced, with the remainder, primarily mortgage-related supply, scheduled to wrap up on Friday or early this week. Transactions received strong demand that led to numerous increases in size and spread tightening prior to printing. Also, the market saw a return of the auto loan sector, which priced over $5 billion, after a month of sporadic issuance.

Not surprisingly, this year is shaping up to be another slow run for the franchise sector, which has seen just two deals, both backed by nontraditional franchise loans to car dealerships, a collateral type unscathed by the headline deterioration associated with convenience store and gas station (C&G) loans. Including dealership franchise ABS, the sector could see about $700 million in deals before yearend (currently halfway there), according to an industry banker. Last year, there was just under $600 million in franchise ABS, by Thomson Financial's tally.

Almost one year after closing, 2002 ASR Breakthrough Deal of the Year (see ASR 1/6/03) Pass-Through Account Credit Card Trust (PACCT) is in relatively good shape, performing in line with base-case forecasts used to structure the transaction. Citigroup, which co-led the deal with Goldman Sachs, chronicled the progress in a report last week, noting specifics have been mixed, with chargeoffs below estimates but portfolio yield and purchase rates slightly below initial forecasts.

If a proposed lease between Boeing Co. and the U.S. Air Force for 100 Boeing 767 refueling tanker jets goes through, the Street could find itself distributing a windfall $17 billion in aircraft lease ABS, reports Investment Dealers Digest, a sister publication of ASR.

As promised, non-prime auto lender AmeriCredit Corp. brought an auto loan ABS last week, backed by a wrap from guarantor XL Capital, albeit three months after initially thought (see ASR 2/24/03).

While it's always been along for the ride, high yield collateral was all but relegated to the back seat as CDO investors experienced a bumpy ride, thanks to record downgrades over the last 18 months. Although most investors are aware that loan deals have performed better than bond deals, analysts are now comparing loan performance to investment grade-backed CDOs, a finding that says CLOs have found paradise by the dashboard light.

J.P. Morgan recently announced that it would be redeploying its corporate finance team, responsible for whole business transactions, into the more profitable areas of securitization business. Sources at the bank said the move does not mean the bank plans to cease its corporate securitization activity; instead it aims to provide more efficient coverage of the market.

Year to date as of May 14 Term (days) 05/08 05/09 05/12 05/13 05/14 1-week

2003 2002 2001 ABS (Public and 144A) 189,251 148,171 135,737 ABS (Public and 144A excluding CDOs) 178,689 132,428 116,224 ABS (Public Only) 157,459 120,090 99,375 ABS (144A Only) 31,792 28,081 36,362 Non-Agency MBS 108,956 72,177 56,123 Agency MBS 221,652 183,931 84,955 CMBS 21,486 17,643 21,385 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 3,424.4 1 16.9 4 Credit Suisse First Boston 2,790.1 2 13.8 6 JP Morgan 2,618.8 3 12.9 4 Deutsche Bank AG 2,234.8 4 11.0 4 BANK ONE Corp 2,112.3 5 10.4 4 Morgan Stanley 1,781.2 6 8.8 3 Goldman Sachs & Co 1,289.4 7 6.4 3 Barclays Capital 1,180.4 8 5.8 2 Banc of America Securities LLC 841.5 9 4.2 2 Wachovia Corp 833.9 10 4.1 3 Merrill Lynch & Co Inc 744.5 11 3.7 2 Royal Bank of Scotland Group 287.5 12 1.4 2 Westdeutsche Landesbank Giro 120.2 13 0.6 1 Industry Total 20,258.8 - 100.0 25 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 1,650.9 1 15.6 5 Deutsche Bank AG 1,461.5 2 13.8 3 Morgan Stanley 1,378.4 3 13.1 3 Bear Stearns & Co Inc 1,270.7 4 12.0 5 Citigroup 1,047.6 5 9.9 3 Wachovia Corp 950.0 6 9.0 2 Banc of America Securities LLC 579.8 7 5.5 2 Westdeutsche Landesbank Giro 545.0 8 5.2 1 Lehman Brothers 368.4 9 3.5 3 JP Morgan 347.6 10 3.3 1 Merrill Lynch & Co Inc 300.8 11 2.9 1 Royal Bank of Scotland Group 283.9 12 2.7 1 UBS Warburg 200.0 13 1.9 1 Jefferies & Co Inc 161.4 14 1.5 1 First Republic Bank Corp 16.0 15 0.2 1 Industry Total 10,561.9 - 100.0 31 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 8,494.6 1 28.5 11 BANK ONE Corp 4,851.9 2 16.3 8 JP Morgan 4,429.8 3 14.9 8 Morgan Stanley 3,579.5 4 12.0 4 Barclays Capital 2,834.7 5 9.5 6 Banc of America Securities LLC 2,000.6 6 6.7 6 Deutsche Bank AG 1,507.6 7 5.1 4 Credit Suisse First Boston 969.3 8 3.3 3 Merrill Lynch & Co Inc 462.5 9 1.6 2 Wachovia Corp 461.3 10 1.6 2 Lehman Brothers 200.0 11 0.7 1 Industry Total 29,791.5 - 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 Deutsche Bank AG 1,375.2 1 42.3 5 JP Morgan 875.2 2 26.9 4 Citigroup 500.0 3* 15.4 1 BANK ONE Corp 500.0 3* 15.4 1 Industry Total 3,250.3 - 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 13,231.2 1 13.4 33 Countrywide Securities Corp 11,824.9 2 12.0 17 Citigroup 8,646.4 3 8.8 25 JP Morgan 8,218.7 4 8.3 11 Royal Bank of Scotland Group 8,084.0 5 8.2 20 Deutsche Bank AG 7,395.1 6 7.5 16 Banc of America Securities LLC 6,980.3 7 7.1 20 Morgan Stanley 5,932.3 8 6.0 17 UBS Warburg 5,599.9 9 5.7 11 Credit Suisse First Boston 5,523.7 10 5.6 15 Bear Stearns & Co Inc 5,165.4 11 5.2 13 Merrill Lynch & Co Inc 2,569.4 12 2.6 4 BANK ONE Corp 2,400.3 13 2.4 4 Wachovia Corp 2,384.6 14 2.4 5 Goldman Sachs & Co 1,266.9 15 1.3 4 General Motors Corp 1,069.1 16 1.1 3 Barclays Capital 765.5 17 0.8 1 Industry Total 98,526.2 - 100.0 183 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 3,149.7 1 23.5 5 Morgan Stanley 2,465.4 2 18.4 4 Deutsche Bank AG 2,293.1 3 17.1 4 Merrill Lynch & Co Inc 1,790.7 4 13.4 3 Credit Suisse First Boston 1,742.8 5 13.0 3 Banc of America Securities LLC 1,136.7 6 8.5 2 UBS Warburg 453.4 7 3.4 1 JP Morgan 379.6 8 2.8 1 Industry Total 13,411.2 - 100.0 12 Source: Thomson Financial