CDOs/CLOs

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%

Fitch Ratings last week packaged its global CDO and structured credit services into a stand-alone company called Derivative Fitch - a move that is expected to allow the agency's derivatives ratings much needed breathing room from the one-dimensional nature of traditional bond ratings. Derivative Fitch will eventually offer credit ratings on a differentiated scale from the agency's traditional ratings, along with market risk analytics aimed to help to lift the veil of opacity long associated with the market.

Wisconsin Electric Power Co. pulled the plug - at least temporarily - on plans to complete a $500 million ABS transaction to finance certain environmental upgrades to its facilities, saying it could not agree with other major players in the transaction about the distribution of liabilities in the transaction.