CDOs

Rev Cred/Home Eq 39% Credit Card Rec 15% Non-Jumbo Mtg Ln 13% Auto Loans/Recs 11% Student Loans 7% Other 15%

Year to date as of Apr 30 Term (days) 04/24 04/25 04/28 04/29 04/30 1-week

2003 2002 2001 ABS (Public and 144A) 170,423 134,854 119,311 ABS (Public and 144A excluding CDOs) 157,792 121,872 100,941 ABS (Public Only) 142,590 110,331 88,012 ABS (144A Only) 27,833 24,524 31,300 Non-Agency MBS 97,448 66,235 50,426 Agency MBS 201,142 167,408 75,199 CMBS 19,955 14,492 16,781 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 18.6 4 Credit Suisse First Boston 2,790.1 2 15.2 6 Deutsche Bank AG 2,234.8 3 12.2 4 BANK ONE Corp 2,112.3 4 11.5 4 JP Morgan 1,844.4 5 10.0 3 Morgan Stanley 1,781.2 6 9.7 3 Goldman Sachs & Co 1,289.4 7 7.0 3 Banc of America Securities LLC 841.5 8 4.6 2 Wachovia Corp 833.9 9 4.5 3 Merrill Lynch & Co Inc 419.3 10 2.3 1 Barclays Capital 406.0 11 2.2 1 Royal Bank of Scotland Group 287.5 12 1.6 2 Westdeutsche Landesbank Giro 120.2 13 0.7 1 Industry Total 18,384.8 - 100.0 23 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 Goldman Sachs & Co 2,998.1 1 23.7 1 Deutsche Bank AG 1,461.5 2 11.6 3 Credit Suisse First Boston 1,400.9 3 11.1 4 Morgan Stanley 1,378.4 4 10.9 3 Bear Stearns & Co Inc 1,270.7 5 10.1 5 Citigroup 1,047.6 6 8.3 3 Wachovia Corp 950.0 7 7.5 2 Westdeutsche Landesbank Giro 545.0 8 4.3 1 Lehman Brothers 355.6 9 2.8 3 JP Morgan 347.6 10 2.8 1 Merrill Lynch & Co Inc 300.8 11 2.4 1 UBS Warburg 200.0 12 1.6 1 Banc of America Securities LLC 197.8 13 1.6 1 Jefferies & Co Inc 161.4 14 1.3 1 First Republic Bank Corp 16.0 15 0.1 1 Industry Total 12,631.4 - 100.0 29 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 7,247.2 1 26.5 10 JP Morgan 4,429.8 2 16.2 8 BANK ONE Corp 4,425.0 3 16.2 6 Morgan Stanley 3,579.5 4 13.1 4 Barclays Capital 2,485.7 5 9.1 4 Banc of America Securities LLC 1,661.2 6 6.1 5 Deutsche Bank AG 1,507.6 7 5.5 4 Credit Suisse First Boston 969.3 8 3.6 3 Wachovia Corp 461.3 9 1.7 2 Merrill Lynch & Co Inc 375.0 10 1.4 1 Lehman Brothers 200.0 11 0.7 1 Industry Total 27,341.5 - 100.0 39 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 11,093.3 1 12.5 28 Countrywide Securities Corp 9,605.9 2 10.8 14 JP Morgan 8,198.1 3 9.2 10 Citigroup 7,628.2 4 8.6 21 Royal Bank of Scotland Group 7,592.1 5 8.6 19 Deutsche Bank AG 7,137.0 6 8.1 15 Banc of America Securities LLC 6,722.1 7 7.6 19 Morgan Stanley 5,358.3 8 6.0 16 Bear Stearns & Co Inc 5,006.7 9 5.6 13 Credit Suisse First Boston 4,894.9 10 5.5 14 UBS Warburg 4,031.5 11 4.6 8 Merrill Lynch & Co Inc 2,569.4 12 2.9 4 BANK ONE Corp 2,400.3 13 2.7 4 Wachovia Corp 2,384.6 14 2.7 5 General Motors Corp 1,056.5 15 1.2 2 Goldman Sachs & Co 874.7 16 1.0 3 Barclays Capital 765.5 17 0.9 1 Industry Total 88,693.6 - 100.0 160 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 - - - - - Total - - - - 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 28.3 5 Deutsche Bank AG 2,293.1 2 20.6 4 Morgan Stanley 2,085.9 3 18.7 3 Merrill Lynch & Co Inc 1,790.7 4 16.1 3 Banc of America Securities LLC 1,136.7 5 10.2 2 Credit Suisse First Boston 694.0 6 6.2 1 Industry Total 11,150.0 - 100.0 9 Source: Thomson Financial

Year to date as of Apr 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 21,108 15,594 5,513 20,317 791 4,503 12,523 4,024 35 Cash Catastrophe Bond Commercial Loans 682 188 495 682 638 45 Corp Bond/Note 1,999 1,071 895 1,999 1,411 56 532 Corporate Loans 4,492 151 4,317 4,492 3,525 265 702 Credit Card Rec 27,342 5,590 21,751 26,985 356 7,088 3,909 15,595 750 Debentures 1,291 1,291 1,291 1,291 Equip Loans Equip. Leases 1,808 1,067 742 852 956 253 1,052 434 68 FHLMC 1,259 1,259 1,259 1,259 Floorplan Recs 3,250 3,250 3,224 26 750 2,500 FNMA 3,480 1,480 1,999 3,480 2,113 1,002 221 144 Franchisee Loans 228 228 228 109 Health Care Rec Insurance Recs Junk Bonds 2,043 201 1,842 2,043 716 306 1,022 Leases 450 450 450 Legal Fees Loans 177 177 177 177 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 22,591 5,725 16,611 20,896 1,695 11,130 4,254 6,983 51 123 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 68,965 27,571 41,188 62,733 6,232 28,522 21,063 17,739 1,273 298 Sm Business Loan 108 108 108 108 Stranded Costs Struc Fin Credit 5,004 1,161 3,820 5,004 2,224 2,004 709 Student Loans 11,370 600 9,263 11,370 1,373 2,371 3,598 3,248 68 Swap Agreement Tax Liens Timeshare Loans 303 245 58 303 303 Tobacco Receives 154 154 154 154 Trade Recs Truck Loans Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 38% Credit Card Rec 15% Non-Jumbo Mtg Ln 12% Auto Loans/Recs 12% Student Loans 6% OTHER 17%

The future of securities arbitrage conduits darkened last week as tentative decisions from the Financial Accounting Standards Board seemed to rain on the QSPE parade for this $200 billion-plus segment of the ABCP market.

The primary ABS market returned with vigor last week, pricing over $6.6 billion in new-issue supply. Mortgage-related product led the way with $4 billion of issuance, mostly from bank's acquired collateral issuance vehicles, with credit cards accounting for $1.3 billion. A pair of student loan deals contributed $1.1 billion. Investors were even graced with an insurance premium transaction and a rental fleet deal.

Spurred by persistently low short-term interest rates, as well as greater-than-expected prepayment fee collections, net-interest margin securitizations totaled $1.26 billion, the second-highest total to date, according to a new report issued by Standard & Poor's. While total volume was down from 4Q02's record of more than $1.4 billion, deal size is growing, averaging $70 million per transaction during 1Q03 quarter, up 55% from $45 billion in 4Q02.

In its 10-K filing with the Securities & Exchange Commission last week, Xerox Corp. reiterated that it will pursue securitization, among other strategies, to fund its equipment customer finance businesses.

Postgraduate student lender Access Group Inc. brought a pair of student loan transactions last week, each incorporating stepdown capitalized interest accounts protecting against shortfalls that may occur at the front end of capital structure, while loans are still in the grace period.

Several major underwriters have stepped up efforts to sell blocks of prime auto paper, cashing in on recent tightening and taking profits, sources said. Currently, prime auto spreads are near historical lows and some believe it's only a matter of time before spread reversion kicks in. On the other side of that position, however, is the realization that this isn't a late 1990s economy and that moderate credit deterioration appears here to stay for the remainder of the year.

Duke Street Capital Debt Management's closing of Duchess II, the second-largest leveraged loan collateralized debt obligation (CDO) to close in Europe this year, proved that despite increasingly difficult market conditions, it is still possible to raise new CDOs. But even Duke Street, whose sizeable Duchess I transaction enjoyed a solid investor base, had a much harder time structuring some of the debt tranches this time around.

Year to date as of Apr 23 Term (days) 04/10 04/11 04/14 04/15 04/16 1-week