CDOs/CLOs

A phrase repeated so often it sounds like a broken record - that the firm managing a CDO makes a difference in its overall performance - must be falling on deaf ears, some said, as more and more new managers set up shop. While a firm classified as "new" could be run by an experienced staff, the sheer number of them entering the market has equity investors looking for a way to gauge performance.

By Jennifer San Cartier, senior director, ABS, and Stephanie Petosa, managing director, operational risk, Fitch Ratings

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 11,324.6 1 13.3 20 JP Morgan 11,150.3 2 13.1 23 Wachovia Corp 10,658.0 3 12.4 18 Barclays Capital 9,681.6 4 11.4 15 Deutsche Bank AG 7,784.8 5 9.2 17 Banc of America Securities LLC 6,637.5 6 7.8 10 Credit Suisse 4,066.8 7 4.8 8 HSBC Holdings PLC 3,971.7 8 4.7 5 Royal Bank of Scotland Group 3,644.0 9 4.3 8 Morgan Stanley 3,554.6 10 4.2 7 Industry Total 85,059.8 - 100.0 90 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 50,073.6 1 14.9 65 Citigroup 36,607.6 2 10.9 66 Deutsche Bank AG 30,674.1 3 9.2 63 Wachovia Corp 23,697.9 4 7.1 54 Credit Suisse 22,623.0 5 6.8 34 UBS 22,303.8 6 6.7 65 Bear Stearns & Co Inc 21,557.6 7 6.4 41 Banc of America Securities LLC 20,730.3 8 6.2 52 Morgan Stanley 19,666.3 9 5.9 71 JP Morgan 15,359.1 10 4.6 37 Industry Total 335,048.1 - 100.0 671 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 Banc of America Securities LLC 20,720.6 1 30.9 29 Citigroup 11,982.0 2 17.8 18 JP Morgan 11,859.7 3 17.7 25 Deutsche Bank AG 4,624.9 4 6.9 13 Morgan Stanley 4,055.3 5 6.0 5 Barclays Capital 3,373.8 6 5.0 8 HSBC Holdings PLC 2,749.9 7 4.1 3 Credit Suisse 2,285.0 8 3.4 10 Merrill Lynch 1,645.0 9 2.5 6 Wachovia Corp 1,124.9 10 1.8 4 Industry Total 67,148.7 - 100.0 101 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 JP Morgan 2,125.0 1 18.4 3 Deutsche Bank AG 1,750.0 2 15.1 3 Banc of America Securities LLC 1,554.5 3 13.4 3 Barclays Capital 1,409.5 4 12.2 2 ABN AMRO 1,250.0 5* 10.8 2 Lehman Brothers 1,250.0 5* 10.8 2 Royal Bank of Scotland Group 1,000.0 7 8.7 2 Merrill Lynch 925.0 8 8.0 2 Citigroup 300.0 9 2.6 1 Industry Total 11,564.0 - 100.0 10 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 Lehman Brothers 68,450.3 1 11.0 166 Countrywide Securities Corp 66,904.1 2 10.8 109 Royal Bank of Scotland Group 63,037.2 3 10.2 114 Citigroup 40,622.2 4 6.6 91 Deutsche Bank AG 40,551.2 5 6.5 95 Bear Stearns & Co Inc 38,958.3 6 6.3 98 Credit Suisse 37,228.5 7 6.0 89 Merrill Lynch 37,120.4 8 6.0 55 Morgan Stanley 35,061.6 9 5.7 36 JP Morgan 32,214.8 10 5.2 72 Industry Total 619,892.6 - 100.0 1,133 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 14,994.0 1 22.6 15 Deutsche Bank AG 9,079.8 2 13.7 13 Credit Suisse 6,548.1 3 9.9 10 Banc of America Securities LLC 5,301.7 4 8.0 7 Wachovia Corp 4,871.9 5 7.3 4 Morgan Stanley 4,248.4 6 6.4 6 Goldman Sachs & Co 4,150.9 7 6.2 6 Lehman Brothers 3,873.7 8 5.8 3 Merrill Lynch 3,819.9 9 5.8 4 RBC Capital Markets 2,179.0 10 3.3 4 Industry Total 66,469.7 - 100.0 47 Source: Thomson Financial

auto ABS 10% credit card ABS 8% catatrophe bonds 0% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%

No longer content to watch from the sidelines, big players have officially moved into the CDPC space -and some expect they'll come to dominate it, bringing a wave of liquidity with them. Marking the first entrance of a prominent structured credit market participant, Massachusetts Mutual Life Insurance Co., parent of asset manager Babson Capital Management, officially launched its CDPC Invicta Credit LLC. last week. Deutsche Bank and AXA Investment Managers are waiting for a rating for their CDPC, NewLands Financial, and Bear Stearns and AIG Investment Management are also rumored to be hanging in the wings.