U.S. RMBS

• ’05 momentum has carried over into 2006

  • 1Q06 issuance is up 29%

• Original projected decline in high teens percent range has been mitigated by:

  • Historically low interest rate environment
  • Increasing component of RMBS is less interest rate sensitive Alt A and Sub-prime
  • Refinancings of ARMs

’99-’05 CAGR = 38.3%

29.2%

$ B

Source: Harrison Scott Publications / Standard & Poor’s. Data is by Domicile of Assets. Prime includes Alt-A; Other includes Subprime, Home Equity, NIMs. Does not include confidential transactions

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