CDOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 2,732.1 1 32.0 2 Deutsche Bank AG 1,386.6 2 16.2 2 Credit Suisse First Boston 1,259.0 3 14.7 1 Merrill Lynch & Co Inc 1,259.0 3 14.7 1 Goldman Sachs & Co 1,259.0 3 14.7 1 Barclays Capital 654.5 6 7.7 1 Industry Total 8,550.1 - 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 - - - - - 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 Royal Bank of Scotland Group 1,723.6 1 19.4 2 Deutsche Bank AG 1,516.1 2 17.0 3 JP Morgan 1,371.6 3 15.4 2 Washington Mutual Inc 1,123.6 4 12.6 1 Goldman Sachs & Co 1,123.6 4 12.6 1 Credit Suisse First Boston 925.0 6 10.4 1 Banc of America Securities LLC 600.0 7 6.7 1 Merrill Lynch & Co Inc 526.2 8 5.9 1 Industry Total 8,909.7 - 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 - - - - - Industry Total - - - - Source: Thomson Financial

Year to date as of Jan 12 Coupon Type Market Average Life Buckets Asset Class Volume Pub/144A Fixed Rate Floating Rate Public 144A 0.0 to 0.9 1.0 to 2.9 3.0 to 5.9 6.0 to 7.9 8.0 to 11.0 Aircraft Leases 126 126 126 126 Auto Loans/Recs 41,391 36,622 4,769 35,132 6,259 16,580 18,742 6,069 Comm. Mtg 2,899 1,294 1,605 2,899 1,261 229 829 540 Commercial Loans Corp Bond/Note 3,846 1,696 2,150 3,846 2,569 746 45 485 Corporate Loans 5,352 286 5,066 5,352 2,480 395 370 1,192 914 Credit Card Rec 28,632 10,299 18,333 24,659 3,974 19,334 1,400 5,749 900 1,249 Debentures 2,122 2,122 2,122 2,122 Equip Loans Equip. Leases 4,744 4,469 275 4,164 580 2,293 1,388 554 221 289 Floorplan Recs 8,026 840 7,186 7,902 124 4,014 830 3,182 Franchisee Loans 194 194 194 Home Impr Loans Installment Recs 1,797 1,797 1,797 1,797 Junk Bonds Leveraged Loans 1,174 64 1,110 1,174 38 10 284 842 Mixed Collateral 1,881 7 1,874 1,881 1,500 306 22 53 Mnfrd Housing Ct 200 200 200 200 Motorcycle Loans 2,740 2,740 2,740 313 1,923 504 Mutual Fund Fees 501 331 170 501 501 Non-Jumbo Mtg Ln 68,520 31,864 33,291 65,728 2,793 41,621 14,956 10,760 849 319 Oil Receivables Preferred Sec 3,597 2,268 1,330 3,597 3,253 158 186 Prv Issued Sec 1,852 1,079 380 590 1,262 1,852 Rental Car Rec. 2,400 1,300 1,100 2,400 1,300 1,100 Rev Cred/Home Eq 216,332 125,057 77,504 186,006 30,325 143,388 44,757 25,956 1,606 553 Sm Business Loan 828 828 828 828 Struc Fin Credit 14,838 6,458 8,380 14,838 5,807 2,507 4,928 1,508 Student Loans 30,626 6,957 21,983 25,639 4,986 17,780 3,239 4,044 3,663 1,808 Tax Liens Ticket Rec Timeshare Loans 635 386 250 635 336 300 Tobacco Receives Trade Recs Unspecified/NA Note: Figures are preliminary and subject to change. Data includes U.S. deals and dollar Euro 144As.Source: Thomson Financial

Rev Cred/Home Eq 48% Non-Jumbo Mtg Ln 15% Auto Loans/Recs 9% Student Loans 7% Credit Card Rec 6% Other 15%

In 2004 the asset-backed securities market swelled to $858 billion, and while 2005 is expected to be another solid year, analysts are already predicting a drop-off from that record shattering number. But even if the market soars to new heights again next year, 2004 will likely be billed as a breakout year for ABS that saw some old standards maintain their share of the market as underwriters, and saw some new faces stepped into the lead as well.

For most U.S. ABS issuers, 2004 was a year of prosperity. Driven by an overabundance of demand, many issuers repeatedly tapped the primary market, pricing transactions at steadily tightening spreads. For Metris Companies, however, 2004 was a year of uncertainty and rebirth.

For those that believe disclosure is the best disinfectant, the Securities and Exchange Commission's freshly minted asset-backed securities regulation, dubbed Reg AB, will be a welcome addition to the ABS marketplace. The rule is a mixed blessing for investors, who will likely see increased price tags on ABS while getting a more detailed look into those deals. For now, the rule has left issuers and servicers with a lot of new disclosures and liability to swallow.

Countrywide Home Loans Inc. was far and away the most prolific issuer of ABS last year, blasting out over $87 billion of supply. That number represents over 10% of the $858 billion ABS market last year, and is even more impressive considering Countrywide issued $15 billion in 2003. Last year also saw more investment banks creep into the forefront of ABS issuance, with Lehman Brothers, Credit Suisse Group and Morgan Stanley occupying the third, fourth and fifth slots, respectively.

The U.S. ABS primary market returned refreshed from the holiday break during the latter half of last week to price upwards of $13 billion as of Thursday evening. Both the home equity and auto sectors started the New Year off strong.

Swiss Reinsurance Co. is expected to bring a $245 million deal backed by the future profits on a life insurance portfolio via affiliate Swiss Re Capital Markets later this month, according to market sources. The deal marks one of the first such embedded value securitizations in the U.S., Moody's Investors Service analysts said.

Merrill Lynch ran away with the lead in the U.S. CDO league tables in 2004, according to data maintained by Thomson Financial, more than tripling its total underwriting volume from the previous year. With more than $15 billion of CDO product sold last year, Merrill controlled 17.2% of the market, up from the $4.8 billion and a 9.2% market share the underwriter sold in 2003, good for fourth place.

Although the technology used in Main Street Warehouse Funding Trust - a mortgage warehouse facility that provides short-term financing - has been seen before, it is the first time that an unrated, private entity such as AmeriQuest Mortgage Co. has made use of such a program as an integral part of its funding strategy.

It was a year of increased stability in terms of credit ratings for CDO market and subsequently, investors that previously exited the product returned in strong numbers in 2004. Thanks to the asset class' yieldlier environment - compared to comparable fixed-income products - hedge funds set up shop in the CDO market in noticeable numbers.

Morgan Stanley and RFC Securities underwrote a unique revolving CDO structure, Capital Trust RE CDO 2004-1, managed by GMAC Commercial Holding Capital Markets Corp. Priced in May, the $370 million deal was backed by previously issued B-piece and mezzanine tranches of CMBS retained or purchased by GMAC Commercial Mortgage.

When the first extendable ABCP programs began drifting into the multi-seller segment of the market in 2001, issuers attributed it to a liquidity crisis. However, some investors scoff at the notion that the advent of extendable paper has been in response to investor demand. Instead, they claim, the technology is used primarily as a way of bypassing bank liquidity and improving the profitability of the conduits.

Year to date as of 01/06 Term (days) 12/31 01/03 01/04 01/05 01/06 1-week