Securitization

Year to date as of Sep 3 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 2,392 1,365 1,027 2,392 1,365 457 361 208 Asset-Back Certs Auto Loans/Recs 49,549 37,620 11,929 46,721 2,828 10,816 27,779 10,771 125 35 Cash 399 199 200 399 399 Catastrophe Bond Commercial Loans 1,561 1,438 123 1,561 1,250 311 Corp Bond/Note 2,770 419 2,318 2,770 1,300 380 468 622 Corporate Loans 6,004 446 5,524 6,004 1,734 774 161 1,652 1,659 Credit Card Rec 45,747 12,243 33,504 44,896 851 10,576 4,409 28,362 1,500 900 Debentures 2,648 2,648 2,648 2,648 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 3,436 323 3,114 3,436 746 1,246 1,445 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 1,450 1,450 1,450 1,450 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 47,716 17,928 28,770 42,005 5,711 21,492 8,161 16,504 1,173 234 Non-Perf Loans Oil Contracts Preferred Sec 1,222 231 966 1,222 108 108 177 828 Prv Issued Sec 1,653 988 540 87 1,566 1,653 Rental Car Rec. 2,275 1,050 1,225 500 1,775 650 230 1,395 Retail Contracts Rev Cred/Home Eq 146,243 62,940 80,439 133,142 13,101 68,130 41,802 32,781 2,384 748 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 16,523 2,791 13,695 16,523 7,599 352 2,346 3,937 2,207 Student Loans 25,436 600 21,451 23,700 1,736 4,281 4,902 8,244 6,018 1,280 Swap Agreement Tax Liens 86 86 86 86 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% Auto Loans/Recs 13% Non-Jumbo Mtg Ln 13% Credit Card Rec 12% Student Loans 7% Other 16%

A $10 billion week of U.S new issue ABS supply was cut short last Thursday, as the eastern seaboard was rendered lifeless by a blackout. Many areas in New York were still without electricity as of Friday afternoon's close. The deals that did price experienced some widening, particularly fixed-rate home equity deals, as investors are starting to show their full up on mortgage product. Ironically, arguably the most successful transaction of last week came from electricity provider ONCOR Energy, which priced its stranded cost ABS at the tightest levels the sector has seen to date.

The consolidation trend in credit card issuers continues. Citing decreased profitability and a desire to focus on its core retailing business, Circuit City is shopping $1.5 billion of its direct-mail originated bankcard accounts. The retail giant is open to selling its private label and co-branded Visa portfolios as well, although the strategic role they play in its core retail business makes that less likely.

UCC Capital Corp. expects to wrap up its first deal of the year this week, with funding scheduled for Tuesday. If all goes as planned, the firm will announce details within the next few days, although these transactions - private and largely esoteric - are notorious for taking time.

As expected, specialty medical equipment finance company DVI Inc. announced it intended to file for Chapter 11 bankruptcy protection last week. DVI also placed its CFO Steven Garfinkel on administrative leave. Anthony Turek and John Boyle will assume Garfinkel's responsibilities.

With the completion of the most recent prepayment study, Banc One Capital Markets is ready to go live with its loan-level performance database - becoming the first sell-side shop to offer such a product. After two and a half years of building the database and roughly 2.5 million loans from the lion's share of subprime mortgage lenders, the product is scheduled for a mid-September launch on BOCM's client website.

If things feel a little slower than last year in terms of U.S. market CDO pricings, that's because they are. While the European market continues to churn out deals, the current status of the U.S. market is, in a word, sluggish.

Year to date as of 09/02 Term (days) 08/27 08/28 08/29 09/01 09/02 1-week

2003 2002 2001 ABS (Public and 144A) 332,265 263,451 231,784 ABS (Public and 144A excluding CDOs) 309,223 232,001 200,830 ABS (Public Only) 274,839 205,914 169,497 ABS (144A Only) 57,426 57,537 62,288 Non-Agency MBS 195,174 131,686 109,007 Agency MBS 361,539 310,815 164,752 CMBS 41,975 31,673 41,547 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 6,812.9 1 17.2 9 Credit Suisse First Boston 5,804.9 2 14.7 10 Deutsche Bank AG 4,434.1 3 11.2 8 BANK ONE Corp 4,011.7 4 10.1 7 Citigroup 3,705.3 5 9.4 5 Morgan Stanley 2,815.2 6 7.1 5 Barclays Capital 2,688.1 7 6.8 7 Banc of America Securities LLC 2,447.8 8 6.2 5 Merrill Lynch & Co Inc 1,635.4 9 4.1 3 Goldman Sachs & Co 1,289.4 10 3.3 3 Industry Total 39,578.8 - 100.0 51 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 4,110.7 1 17.8 12 Deutsche Bank AG 3,003.6 2 13.0 7 Wachovia Corp 2,937.9 3 12.8 10 Citigroup 2,274.3 4 9.9 7 Bear Stearns & Co Inc 1,794.7 5 7.8 7 UBS 1,520.0 6 6.6 4 Morgan Stanley 1,511.3 7 6.6 5 Merrill Lynch & Co Inc 1,400.9 8 6.1 4 Goldman Sachs & Co 1,178.5 9 5.1 4 Banc of America Securities LLC 884.6 10 3.8 4 Industry Total 23,042.2 - 100.0 72 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 11,170.9 1 25.2 17 BANK ONE Corp 8,556.6 2 19.3 16 JP Morgan 6,328.6 3 14.3 12 Barclays Capital 4,084.7 4 9.2 8 Morgan Stanley 3,954.5 5 8.9 5 Banc of America Securities LLC 2,787.3 6 6.3 9 Deutsche Bank AG 2,209.6 7 5.0 8 Credit Suisse First Boston 1,669.2 8 3.8 5 Merrill Lynch & Co Inc 1,245.0 9 2.8 5 Wachovia Corp 1,153.0 10 2.6 5 Industry Total 44,307.5 - 100.0 74 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 24,793.8 1 14.0 59 Morgan Stanley 16,741.0 2 9.4 37 Countrywide Securities Corp 15,984.0 3 9.0 27 Royal Bank of Scotland Group 14,477.1 4 8.2 33 Citigroup 13,843.7 5 7.8 37 Credit Suisse First Boston 13,832.9 6 7.8 34 JP Morgan 12,720.1 7 7.2 18 Deutsche Bank AG 11,746.2 8 6.6 27 Banc of America Securities LLC 11,735.6 9 6.6 35 Bear Stearns & Co Inc 8,759.5 10 4.9 19 Industry Total 177,274.9 - 100.0 335 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 17.2 7 Morgan Stanley 3,483.9 2 16.0 7 Credit Suisse First Boston 3,450.4 3 15.8 6 Deutsche Bank AG 3,262.2 4 15.0 6 Merrill Lynch & Co Inc 3,251.0 5 14.9 5 JP Morgan 1,398.0 6 6.4 4 Banc of America Securities LLC 1,186.3 7 5.4 3 KeyCorp/McDonald Investments 521.5 8 2.4 1 BANK ONE Corp 507.6 9* 2.3 1 Lehman Brothers 507.6 9* 2.3 1 Industry Total 21,817.6 - 100.0 20 Source: Thomson Financial

Year to date as of Aug 13 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 2,392 1,365 1,027 2,392 1,365 457 361 208 Asset-Back Certs Auto Loans/Recs 46,230 35,785 10,445 43,632 2,599 11,305 24,950 9,793 125 35 Cash Catastrophe Bond Commercial Loans 311 188 123 311 311 Corp Bond/Note 2,910 419 2,458 2,910 1,440 380 468 622 Corporate Loans 5,914 449 5,430 5,914 1,597 774 161 1,674 1,661 Credit Card Rec 44,308 12,082 32,226 43,456 851 9,287 4,409 28,212 1,500 900 Debentures 2,444 2,444 2,444 2,444 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 2,743 266 2,477 2,743 746 722 1,275 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 1,450 1,450 1,450 1,450 Mutual Fund Fees 342 116 226 342 342 Non-Jumbo Mtg Ln 41,395 13,827 26,820 36,435 4,961 16,141 8,140 15,557 1,173 234 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. 2,275 1,050 1,225 500 1,775 650 230 1,395 Retail Contracts Rev Cred/Home Eq 139,105 57,710 79,925 127,675 11,429 64,038 39,579 32,477 2,200 666 Sm Business Loan 845 845 845 391 454 Stranded Costs Struc Fin Credit 15,296 2,770 12,489 15,296 7,572 352 2,346 2,923 2,021 Student Loans 23,284 600 19,716 21,547 1,736 3,864 4,627 7,573 5,229 1,280 Swap Agreement Tax Liens 86 86 86 86 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 40% Auto Loans/Recs 13% Credit Card Rec 13% Non-Jumbo Mtg Ln 12% Student Loans 7% Other 16%

WestLB has been busy lately. In addition to its recent subprime auto transaction for SeaWest Financial Corp., WestLB quietly brought a first-timer to market in late July - a small-ticket equipment leasing company.

Homestar Mortgage of Paramus N.J. is planning its first term securitization, tentatively scheduled for early in the fourth quarter, a company official confirmed. The inaugural offering, backed by Alt-A collateral, will be roughly $200 million in size via a yet-to-be disclosed underwriter. Also, Homestar is setting up a $300 million warehousing facility for liquidity between its term securitizations.