ABS

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 7,215.1 1 19.3 9 Deutsche Bank AG 6,216.7 2 16.7 9 Merrill Lynch & Co Inc 3,420.1 3 9.2 3 Credit Suisse 3,306.5 4 8.9 6 Goldman Sachs & Co 2,869.6 5 7.7 3 Lehman Brothers 2,834.1 6 7.6 2 Morgan Stanley 2,568.2 7 6.9 3 Banc of America Securities LLC 2,550.5 8 6.8 4 Wachovia Corp 1,610.0 9 4.3 1 RBC Capital Markets 1,553.0 10 4.2 2 Industry Total 37,347.4 - 100.0 27 Source: Thomson Financial

auto ABS 9% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 71% structured settlements 0% student loan ABS 9% trade receivables 1%

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,027.5 1 18.4 12 JP Morgan 5,062.5 2 15.4 12 Wachovia Corp 4,683.5 3 14.3 9 Deutsche Bank AG 2,690.2 4 8.2 8 Royal Bank of Scotland Group 2,169.3 5 6.6 5 Banc of America Securities LLC 1,926.4 6 5.9 3 Merrill Lynch & Co Inc 1,847.5 7 5.6 4 Barclays Capital 1,603.4 8 4.9 3 Credit Suisse 1,550.0 9 4.7 3 HSBC Holdings PLC 1,329.2 10 4.1 2 Industry Total 32,834.7 - 100.0 41 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 13,920.3 1 14.2 24 Merrill Lynch & Co Inc 12,695.7 2 13.0 18 Deutsche Bank AG 11,740.1 3 12.0 14 Banc of America Securities LLC 9,548.4 4 9.8 22 Credit Suisse 7,376.2 5 7.5 13 UBS 6,354.0 6 6.5 18 Bear Stearns & Co Inc 5,211.1 7 5.3 11 Wachovia Corp 4,883.6 8 5.0 10 Morgan Stanley 4,590.0 9 4.7 17 Lehman Brothers 4,289.1 10 4.4 8 Industry Total 97,838.8 - 100.0 191 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 8,982.0 1 24.7 13 Banc of America Securities LLC 8,235.0 2 22.7 12 JP Morgan 7,824.7 3 21.5 18 Deutsche Bank AG 2,924.9 4 8.1 8 Barclays Capital 1,900.0 5 5.2 5 Morgan Stanley 1,829.0 6 5.0 2 Credit Suisse 1,375.0 7 3.8 7 ABN AMRO 1,000.0 8 2.8 5 HSBC Holdings PLC 1,000.0 8 2.8 1 Lehman Brothers 425.0 10 1.2 2 Industry Total 36,320.5 - 100.0 55 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 Morgan Stanley 25,669.5 1 9.9 26 Lehman Brothers 25,500.4 2 9.8 61 Royal Bank of Scotland Group 25,262.2 3 9.7 48 Credit Suisse 22,957.6 4 8.8 53 Countrywide Securities Corp 20,442.3 5 7.9 29 Deutsche Bank AG 17,673.8 6 6.8 36 Merrill Lynch & Co Inc 17,216.9 7 6.6 28 Bear Stearns & Co Inc 16,677.1 8 6.4 48 JP Morgan 15,016.5 9 5.8 34 Citigroup 14,214.4 10 5.5 37 Industry Total 260,214.0 - 100.0 469 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 5,994.4 1 18.1 8 Citigroup 4,793.6 2 14.5 7 Merrill Lynch & Co Inc 3,420.1 3 10.3 3 Credit Suisse 3,306.5 4 10.0 6 Goldman Sachs & Co 2,922.9 5 8.8 3 Lehman Brothers 2,834.1 6 8.5 2 Banc of America Securities LLC 2,550.5 7 7.7 4 Morgan Stanley 2,538.2 8 7.7 3 RBC Capital Markets 1,553.0 9 4.7 2 UBS 998.7 10 3.0 2 Industry Total 33,170.4 - 100.0 24 Source: Thomson Financial

auto ABS 9% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 71% structured settlements 0% student loan ABS 9% trade receivables 1%

In a first, Lehman Brothers is acting as an administrator on an asset-backed commercial paper program. More accustomed to acting as a dealer for programs administered by others, the investment bank recently launched Aegis Finance, a partially supported and single-seller vehicle that will issue as much as $2.1 billion in secured liquidity notes (SLNs).

Last week the American Securitization Forum (ASF) expressed support for the revised guidance to complex structured finance transactions. The Office of the Comptroller of the Currency, the Office of Thrift Supervision, the board of governors of the Federal Reserve System, the Federal Deposit Insurance Corp., and the Securities and Exchange Commission issued the revised guidance jointly.

Year-over-year net losses on securitized prime and subprime auto loans fell in the first quarter, reversing recent trends in the underlying loans of auto ABS deals, and hinting at better days ahead for the sector.

Despite the fact that much of the asset securitization market was overseas for the Investment Management Network's conference in Barcelona, Spain, enough of the market showed up to price nearly $13 billion in primary issuance last week.

Even though reverse mortgages are currently still a small part of the U.S. mortgage market, they are expected to dramatically increase in the coming years.

In a move that bodes well for the rebirth of the World Trade Center area in New York City's financial district, Moody's Investors Service is rumored to be close to inking a deal to be the first major tenant in Larry Silverstein's newly opened Seven World Trade Center, which is the first building from the complex to be rebuilt since the Sept. 11 terrorist attacks.

With home price appreciation on the downturn, widespread record-tight ABS spread levels and stricter credit enhancement levels now in place on certain home equity loan deals, GSC Partners picked a fine time to launch a pair of CDOs referenced to home equity loans and make its debut as an RMBS issuer. Despite such apprehensions, the company recently priced and completed deals totaling nearly $2 billion.

Specialty finance company NewStar Financial announced last week that it has priced and closed a $500 million CLO called the NewStar Commercial Loan Trust 2006-1 CLO. The deal is secured by a portfolio of exclusively middle market assets originated by NewStar (primarily comprising first lien loans), the firm said in a statement, noting that it is retaining the CLO's equity. The structure has a five-year reinvestment period.

The U.S. economy shrugged off significant obstacles in 2005, dodging with seeming agility ongoing geopolitical uncertainty, hurricanes, rising interest rates and mounting fuel costs. In addition, the economy proved resistant to fears of falling home prices and persistent weakness in the airline and automotive industries. Even concerns regarding the potential negative impact of bankruptcy reform proved illusive. Through it all, collateral continued to demonstrate resilience throughout the majority of non-mortgage-related consumer and commercial non-mortgage-related term ABS.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,027.5 1 19.1 12 JP Morgan 5,062.5 2 16.1 12 Wachovia Corp 3,139.5 3 10.0 7 Deutsche Bank AG 2,690.2 4 8.5 8 Royal Bank of Scotland Group 2,169.3 5 6.9 5 Merrill Lynch & Co Inc 1,847.5 6 5.9 4 Banc of America Securities LLC 1,682.4 7 5.3 2 Barclays Capital 1,603.4 8 5.1 3 Credit Suisse 1,550.0 9 4.9 3 HSBC Holdings PLC 1,329.2 10 4.2 2 Industry Total 31,534.7 - 100.0 40 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 13,755.3 1 14.5 23 Merrill Lynch & Co Inc 12,695.7 2 13.4 18 Banc of America Securities LLC 9,548.4 3 10.1 22 Deutsche Bank AG 7,410.1 4 7.8 12 UBS 5,654.0 5 6.0 16 Credit Suisse 5,617.9 6 5.9 10 Bear Stearns & Co Inc 5,211.1 7 5.5 11 Wachovia Corp 4,213.6 8 4.4 9 Morgan Stanley 4,165.0 9 4.4 16 Lehman Brothers 4,019.1 10 4.2 7 Industry Total 94,928.4 - 100.0 184 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 8,982.0 1 25.3 13 Banc of America Securities LLC 8,235.0 2 23.2 12 JP Morgan 7,824.7 3 22.0 18 Deutsche Bank AG 2,549.9 4 7.2 7 Morgan Stanley 1,829.0 5 5.1 2 Barclays Capital 1,525.0 6 4.3 4 Credit Suisse 1,375.0 7 3.9 7 ABN AMRO 1,000.0 8 2.8 5 HSBC Holdings PLC 1,000.0 8 2.8 1 Lehman Brothers 425.0 10 1.2 2 Industry Total 35,570.5 - 100.0 54 Source: Thomson Financial