ABS

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 60,404.0 1 11.3 134 Royal Bank of Scotland Group 57,962.2 2 10.8 106 Countrywide Securities Corp 49,152.7 3 9.2 83 Citigroup 39,723.9 4 7.4 88 Credit Suisse 36,137.8 5 6.7 86 Deutsche Bank AG 35,190.4 6 6.6 83 Morgan Stanley 31,007.1 7 5.8 33 JP Morgan 29,557.5 8 5.5 67 Merrill Lynch & Co Inc 29,355.2 9 5.5 49 Bear Stearns & Co Inc 28,185.5 10 5.3 85 Industry Total 536,303.3 - 100.0 992 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 19.1 13 Deutsche Bank AG 8,562.5 2 14.4 12 Credit Suisse 6,548.1 3 11.0 10 Wachovia Corp 4,871.9 4 8.2 4 Banc of America Securities LLC 4,720.6 5 8.0 6 Morgan Stanley 4,248.4 6 7.2 6 Lehman Brothers 3,873.7 7 6.5 3 Merrill Lynch & Co Inc 3,819.9 8 6.4 4 Goldman Sachs & Co 3,809.3 9 6.4 5 RBC Capital Markets 2,179.0 10 3.7 4 Industry Total 59,340.9 - 100.0 42 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%

No matter which way one tries to rationalize it, subprime mortgages originated in 2006 are piling up delinquencies faster than some of the fiercest housing bears might have imagined. In fact, Moody's Investors Service earlier this month put on watch for downgrade several tranches of a home equity deal closed just six months ago - in May.

Squeezed between revenue shortfalls resulting from deregulation of the power industry in Maryland and escalating capital spending and debt servicing needs, Baltimore Gas & Electric is planning a $635 million deferred energy balance ABS deal.

Aside from one's long-term views on the U.S. housing market, the new and relatively untested nature of the ABS CDS market has some wondering whether investors will agree as to who owes what - along with when and how. While many strides are being made toward further standardization for the trades and their documentation, new types of players in the sector and the specter of counterparty risk are two often-voiced concerns. What's more, a case on appeal to the United States Court of Appeals for the Second Circuit could call into question whether the contracts actually stand up in court.

AXA Cessions, the reinsurance entity of financial protection and wealth management group AXA Group, completed a $442 million securitization of catastrophic mortality risk last week.

Wedged between a conference week that emptied structuring offices and trading desks, plus the upcoming Thanksgiving holiday, the securitization market rolled up it sleeves to make last week count. By press time, market professionals expected to see $20 billion in deals come to market, and of that amount, about $7 billion had priced.

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.

The International Swaps and Derivatives Association (ISDA) is still looking for a council of experts that could help mitigate disagreements between credit default swap counterparties about what constitutes a deliverable obligation.