CDOs/CLOs

Despite last year's delinquency spike, the effects of hurricanes Katrina and Rita as well as increased charge-off rates in subprime auto loan portfolios for September, analysts expect the auto loan ABS sector to make a strong finish for 2006.

After a relatively quiet start to the year, auto securitization volumes kicked into overdrive in early October and market sources said it's likely to continue throughout the fourth quarter. The auto ABS market has been falling into near insignificance for some years now, with the sector poised to show one of the weakest growth rates among the various European asset classes. However, the current pipeline means 2006 is now expected to be a record year in terms of absolute auto sector volume.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 10,765.7 1 15.5 22 Citigroup 10,080.4 2 14.5 17 Wachovia Corp 9,764.8 3 14.1 16 Barclays Capital 7,412.3 4 10.7 11 Deutsche Bank AG 6,768.3 5 9.7 15 Banc of America Securities LLC 4,438.3 6 6.4 8 Credit Suisse 4,066.8 7 5.9 8 Royal Bank of Scotland Group 3,644.0 8 5.2 8 HSBC Holdings PLC 3,227.9 9 4.6 4 Goldman Sachs & Co 2,872.7 10 4.1 5 Industry Total 69,436.3 - 100.0 77 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 Merrill Lynch & Co Inc 37,453.7 1 13.9 53 Citigroup 30,106.9 2 11.2 53 Deutsche Bank AG 24,881.0 3 9.4 51 UBS 23,068.1 4 8.6 58 Credit Suisse 18,207.8 5 6.8 27 Banc of America Securities LLC 16,965.1 6 6.3 36 Wachovia Corp 16,854.4 7 6.3 41 Morgan Stanley 14,849.0 8 5.5 59 Bear Stearns & Co Inc 14,705.7 9 5.5 30 JP Morgan 12,904.1 10 4.8 34 Industry Total 269,876.5 - 100.0 538 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 Banc of America Securities LLC 17,369.8 1 29.5 26 Citigroup 10,982.0 2 18.7 16 JP Morgan 9,874.7 3 16.8 22 Morgan Stanley 4,055.3 4 6.9 5 Deutsche Bank AG 3,924.9 5 6.7 12 Barclays Capital 3,373.8 6 5.7 8 Credit Suisse 2,285.0 7 3.9 10 HSBC Holdings PLC 1,999.9 8 3.4 2 Merrill Lynch & Co Inc 1,375.0 9 2.3 5 Goldman Sachs & Co 1,100.0 10 1.9 4 Industry Total 58,897.9 - 100.0 89 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 1,750.0 1 16.6 3 Banc of America Securities LLC 1,554.5 2 14.7 3 Barclays Capital 1,409.5 3 13.3 2 ABN AMRO 1,250.0 4* 11.8 2 Lehman Brothers 1,250.0 4* 11.8 2 JP Morgan 1,125.0 6 10.7 2 Royal Bank of Scotland Group 1,000.0 7 9.5 2 Merrill Lynch & Co Inc 925.0 8 8.8 2 Citigroup 300.0 9 2.8 1 Industry Total 10,564.0 - 100.0 9 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 60,259.0 1 11.8 133 Countrywide Securities Corp 49,152.7 2 9.6 83 Royal Bank of Scotland Group 45,530.3 3 8.9 102 Citigroup 38,077.7 4 7.4 86 Credit Suisse 35,972.0 5 7.0 85 Deutsche Bank AG 33,296.3 6 6.5 80 Morgan Stanley 30,248.8 7 5.9 32 Merrill Lynch & Co Inc 29,355.2 8 5.7 49 Bear Stearns & Co Inc 28,185.5 9 5.5 85 Goldman Sachs & Co 26,965.8 10 5.3 65 Industry Total 512,753.6 - 100.0 980 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 11,358.1 1 20.4 13 Deutsche Bank AG 7,642.2 2 13.7 11 Credit Suisse 5,627.8 3 10.1 9 Banc of America Securities LLC 4,720.6 4 8.5 6 Wachovia Corp 3,951.6 5 7.1 3 Lehman Brothers 3,873.7 6 7.0 3 Merrill Lynch & Co Inc 3,819.9 7 6.9 4 Goldman Sachs & Co 3,809.3 8 6.8 5 Morgan Stanley 3,328.1 9 6.0 5 RBC Capital Markets 2,179.0 10 3.9 4 Industry Total 55,659.9 - 100.0 41 Source: Thomson Financial

auto ABS 11% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 69% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%

Orlando, Fla. - American consumers are still enjoying the golden age' of credit, which should buoy their fortunes - and that of the ABS market - in the face of uncertainty surrounding the housing market and a mixed outlook on the economy.