CDOs/CLOs

As the U.S. mortgage market continues its ugly decline, Countrywide Financial Corp. is looking to find profits in other lines of business - particularly those within capital markets. In a move that would further align it with the vertical integration strategy currently underway among Wall Street investment banks, the Calabasas, Calif.-based mega-lender may be looking to acquire an asset management business. This move is coupled with continuing to extend its U.S. Treasurys primary dealership to include derivatives and futures.

As the search for yield continues, both U.S. and European investors are seeking new kinds of exposure to CDO equity tranches. Zero-coupon equity and rated equity pieces in investment grade corporate synthetic transactions are on the rise in Europe, Derivative Fitch noted last week. The rating agency said it has received several inquiries from investors wishing to structure rated equity transactions.

Bank of America brought to the European market earlier this month the $546 million Pembridge Square Finance 2006-1, an interesting synthetic CDO referencing a $2.5 billion notional portfolio of both corporate obligations and ABS. KBC Financial Products is managing the deal, which was rated by Moody's Investors Service and Fitch Ratings.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 10,765.7 1 16.1 22 Citigroup 10,626.5 2 15.9 17 Wachovia Corp 9,764.8 3 14.6 16 Barclays Capital 6,578.7 4 9.8 10 Deutsche Bank AG 5,934.7 5 8.9 14 Banc of America Securities LLC 4,438.3 6 6.6 8 Royal Bank of Scotland Group 3,644.0 7 5.4 8 Credit Suisse 3,466.3 8 5.2 7 HSBC Holdings PLC 2,389.3 9 3.6 3 Goldman Sachs & Co 2,326.6 10 3.5 4 Industry Total 66,929.3 - 100.0 74 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 35,427.1 1 14.5 50 Citigroup 26,395.8 2 10.8 44 Deutsche Bank AG 23,615.1 3 9.7 34 Wachovia Corp 16,268.4 4 6.7 39 Banc of America Securities LLC 15,765.1 5 6.5 33 Credit Suisse 15,763.8 6 6.5 25 UBS 15,602.1 7 6.4 55 Bear Stearns & Co Inc 14,487.7 8 5.9 29 Morgan Stanley 13,111.5 9 5.4 55 Groupe Caisses d'Epargne 11,424.1 10 4.7 14 Industry Total 243,749.2 - 100.0 461 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 16,845.6 1 29.2 24 Citigroup 10,982.0 2 19.0 16 JP Morgan 9,674.7 3 16.8 21 Morgan Stanley 4,055.3 4 7.0 5 Deutsche Bank AG 3,674.9 5 6.4 11 Barclays Capital 3,373.8 6 5.9 8 Credit Suisse 2,285.0 7 4.0 10 HSBC Holdings PLC 1,999.9 8 3.5 2 Merrill Lynch & Co Inc 1,375.0 9 2.4 5 ABN AMRO 1,000.0 10 1.7 5 Industry Total 57,673.8 - 100.0 85 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 1,750.0 1 18.8 3 Banc of America Securities LLC 1,554.5 2 16.7 3 Barclays Capital 1,409.5 3 15.1 2 ABN AMRO 1,250.0 4* 13.4 2 Lehman Brothers 1,250.0 4* 13.4 2 Royal Bank of Scotland Group 1,000.0 6 10.7 2 JP Morgan 500.0 7 5.4 1 Merrill Lynch & Co Inc 300.0 8* 3.2 1 Citigroup 300.0 8* 3.2 1 Industry Total 9,314.0 - 100.0 8 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 51,449.3 1 11.0 112 Countrywide Securities Corp 49,152.7 2 10.5 83 Royal Bank of Scotland Group 40,900.6 3 8.7 96 Citigroup 31,710.7 4 6.8 78 Credit Suisse 31,639.0 5 6.7 80 Deutsche Bank AG 31,599.2 6 6.7 73 Morgan Stanley 30,248.8 7 6.4 32 Bear Stearns & Co Inc 27,773.8 8 5.9 84 Merrill Lynch & Co Inc 26,830.4 9 5.7 45 Goldman Sachs & Co 25,801.5 10 5.5 63 Industry Total 469,768.7 - 100.0 915 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 10,609.6 1 19.4 12 Deutsche Bank AG 7,642.2 2 14.0 11 Credit Suisse 5,627.8 3 10.3 9 Banc of America Securities LLC 4,720.6 4 8.7 6 Wachovia Corp 3,951.6 5 7.2 3 Lehman Brothers 3,873.7 6 7.1 3 Merrill Lynch & Co Inc 3,819.9 7 7.0 4 Goldman Sachs & Co 3,809.3 8 7.0 5 Morgan Stanley 3,328.1 9 6.1 5 RBC Capital Markets 2,179.0 10 4.0 4 Industry Total 54,565.2 - 100.0 39 Source: Thomson Financial

auto ABS 11% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 69% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%