ABS

PHOENIX - While subprime lenders try to recoup losses from declining mortgage origination volume, corporate belt tightening and industry consolidation could impact loan performance, according to attendees at last week's ABS West 2006 conference here.

Year to date as of 02/09 Term (days) 02/03 02/06 02/07 02/08 02/09 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 1,546.2 1 73.1 2 Goldman Sachs & Co 411.2 2 19.5 1 Wachovia Corp 157.1 3 7.4 1 Industry Total 2,114.5 - 100.0 3 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 1,100.0 1 21.4 2 Merrill Lynch & Co Inc 991.5 2 19.3 3 Citigroup 820.5 3 16.0 1 Credit Suisse 723.4 4 14.1 1 Banc of America Securities LLC 600.0 5 11.7 2 Deutsche Bank AG 500.0 6 9.7 1 Bear Stearns & Co Inc 327.2 7 6.4 1 JP Morgan 82.0 8 1.6 1 Industry Total 5,144.6 - 100.0 12 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 1,850.0 1 56.9 2 Deutsche Bank AG 900.0 2 27.7 1 Morgan Stanley 250.0 3 7.7 1 JP Morgan 250.0 3 7.7 1 Industry Total 3,250.0 - 100.0 4 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 - - - - - Industry 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 Credit Suisse 5,468.4 1 12.8 9 Bear Stearns & Co Inc 5,381.6 2 12.6 8 Morgan Stanley 4,425.9 3 10.4 7 Deutsche Bank AG 4,120.8 4 9.7 7 Citigroup 3,664.6 5 8.6 6 UBS 2,634.4 6 6.2 9 Barclays Capital 2,554.1 7 6.0 5 Royal Bank of Scotland Group 1,998.1 8 4.7 4 Banc of America Securities LLC 1,898.8 9 4.5 5 Merrill Lynch & Co Inc 1,307.2 10 3.1 1 Industry Total 42,593.1 - 100.0 68 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 3,788.8 1 100.0 3 Industry Total 3,788.8 - 100.0 3 Source: Thomson Financial

auto ABS 5% credit card ABS 9% equipment ABS 1% real estate ABS 83% student loan ABS 3%

Year to date as of 02/02 Term (days) 01/27 01/30 01/31 02/01 02/02 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 1,546.2 1 73.1 2 Goldman Sachs & Co 411.2 2 19.5 1 Wachovia Corp 157.1 3 7.4 1 Industry Total 2,114.5 - 100.0 3 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 991.5 1 37.1 3 Morgan Stanley 800.0 2 29.9 1 Deutsche Bank AG 500.0 3 18.7 1 Banc of America Securities LLC 300.0 4 11.2 1 JP Morgan 82.0 5 3.1 1 Industry Total 2,673.5 - 100.0 7 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 250.0 1 50.0 1 JP Morgan 250.0 1 50.0 1 Industry Total 500.0 - 100.0 1 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 - - - - - Industry 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 Deutsche Bank AG 3,635.0 1 21.7 6 Morgan Stanley 2,277.0 2 13.6 5 Credit Suisse 1,952.7 3 11.7 7 Banc of America Securities LLC 1,898.8 4 11.3 5 Royal Bank of Scotland Group 1,579.1 5 9.4 3 Merrill Lynch & Co Inc 1,307.2 6 7.8 1 Barclays Capital 1,307.2 6 7.8 1 Citigroup 1,183.1 8 7.1 4 JP Morgan 840.1 9 5.0 1 General Motors Corp 784.9 10 4.7 4 Industry Total 16,765.1 - 100.0 26 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 3,788.8 1 100.0 3 Industry Total 3,788.8 - 100.0 3 Source: Thomson Financial

auto ABS 6% credit card ABS 5% equipment 0% real estate ABS 85% student loan ABS 4%

Asset-backed commercial paper issuance could pass the $1 trillion mark in 2006 while outstandings are expected to increase 10%, according to an econometric model generated by Standard & Poor's and a recent survey of nine leading conduit sponsors.

LAS VEGAS - Attendees at the opening session of the American Securitization Forum's conference last week were given the chance to express views on several industry topics by using handheld voting devices. In game show style, panel members at ASF 2006 asked various questions of audience members and displayed the results.

Ironing out language-related wrinkles in credit default swap deal documentation along with last month's launch of a new U.S. ABS index means an obscure area of the CDO market may be ready for substantial growth.