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 500.0 1 56.7 1 Banc of America Securities LLC 300.0 2 34.0 1 JP Morgan 82.0 3 9.3 1 Industry Total 882.0 - 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 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 2,628.3 1 20.3 3 Morgan Stanley 2,277.0 2 17.6 5 Banc of America Securities LLC 1,898.8 3 14.6 5 Royal Bank of Scotland Group 1,579.1 4 12.2 3 Barclays Capital 1,307.2 5 10.1 1 Merrill Lynch & Co Inc 1,307.2 5 10.1 1 JP Morgan 1,265.1 7 9.8 2 Credit Suisse 418.5 8 3.2 3 General Motors Corp 296.5 9 2.3 1 Industry Total 12,977.8 - 100.0 17 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 3% real estate ABS 86% student loan ABS 5%

Year to date as of 01/19 Term (days) 01/13 01/16 01/17 01/18 01/19 1-week

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 500.0 1 85.9 1 JP Morgan 82.0 2 14.1 1 Industry Total 582.0 - 100.0 2 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 - - - - - 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 Morgan Stanley 1,167.5 1 57.5 2 JP Morgan 840.1 2 41.4 1 Banc of America Securities LLC 23.2 3 1.1 1 Industry Total 2,030.8 - 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 Citigroup 1,277.8 1 100.0 2 Industry Total 1,277.8 - 100.0 2 Source: Thomson Financial

auto ABS 15% credit card ABS 9% global MBS 3% real estate ABS 59% student loan ABS 9% other 4%

Wachovia Securities reached a settlement with its former head of CDO research, Arturo Cifuentes, who filed a Sarbanes-Oxley complaint against the bank arguing that he was improperly dismissed. The settlement, however, may not mean the end of the Securities and Exchange Commission's ongoing investigation into the matter.

In what may not come as a huge surprise to market participants, large CDO managers in 2005 became even larger - with 28 collateral managers representing half of the U.S. CDO market in terms of outstanding liabilities by the third quarter of the year, according to Standard & Poor's. The 10 largest managers last year comprised almost 30% of the CDO market.

Tiering in the auto sector is poised to shift, Lehman Brothers predicts. Some nonprime and subprime auto deals should start trading tighter relative to prime paper, as financially struggling U.S. automakers force ABS investors to re-evaluate tiering in the sector.

Default rates among subprime loans rose 56.5% - or 187 of the 331 metropolitan statistical areas in October 2005 from the year-ago period, according to Friedman Billings Ramsey. On average, however, the default rate for subprime loans fell to 6.16% from 6.38%.

Consensus for overall ABS issuance volumes for 2006 is steady as she goes.' Most expect the final tally to come in near $700 billion, and close to the 2005 total, assuming shifts in volume among classes. In any case, the backdrop to all the sectors will be closely tied to the consumer credit outlook. While consumers remain highly leveraged, and home values are soaring to all time highs, "both job growth and accumulated real estate and financial wealth will provide a cushion," said Ivan Gjaja, director and head of ABS research at Citigroup Global Markets. "We're unlikely to see a sharp deterioration."

The U.S. ABS primary market showed its first signs of life last week as issuance nearly doubled from the previous week to hit roughly $14 billion.