CDOs/CLOs

As pricing finally begins to rise on institutional loans, CLO managers are frenetically scrambling to issue larger funds in order to invest in and take advantage of these juicier spreads. Jumping on board with one such new fund is The Carlyle Group, which announced the close of its eighth US high yield fund, Carlyle High Yield Partners VIII (CHYP VIII), last Wednesday. The new $525 million fund, which utilizes a traditional CLO structure, will invest a minimum of 95% of its assets in bank loans with a maximum of 5% in high yield bonds. Carlyle's leveraged finance group now manages $5.6 billion in assets.

New York Life Investment Management (NYLIM) announced last week that it closed a $618 million collateralized loan obligation, NYLIM Flatiron CLO 2006. The new CLO, underwritten by Citigroup, and managed by NYLIM's fixed income investors group, marks the sixth collateralized debt obligation for NYLIM.

JPMorgan Securities is preparing to bring to the market this month the second CDO backed by Attentus Management Group. The $512 million Attentus CDO II will be backed by a mix of trust preferred securities, secured loans and subordinated debt issued by REITs (a little more then 50%), real estate operating companies (about 30%) as well as home builders. The portfolio also has about an 11% bucket for CMBS.

Fitch Ratings announced on Aug. 2 the launch of Stability Scores for synthetic CDOs. The scores indicate the propensity of a tranche to retain its original rating over a period of one year from closing, thus providing a better understanding of the prospective stability of the 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 6,351.4 1 14.9 14 Wachovia Corp 6,106.4 2 14.3 11 Citigroup 6,027.5 3 14.1 12 Deutsche Bank AG 5,729.1 4 13.4 10 Barclays Capital 3,626.9 5 8.5 6 HSBC Holdings PLC 2,389.3 6 5.6 3 Royal Bank of Scotland Group 2,169.3 7 5.1 5 Banc of America Securities LLC 1,925.9 8 4.5 3 Merrill Lynch & Co Inc 1,847.5 9 4.3 4 Goldman Sachs & Co 1,701.7 10 4.0 3 Industry Total 42,728.3 - 100.0 50 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 20,959.6 1 13.4 28 Citigroup 19,408.6 2 12.4 33 Deutsche Bank AG 16,561.1 3 10.6 22 Banc of America Securities LLC 11,303.1 4 7.2 26 Credit Suisse 10,506.7 5 6.7 19 Bear Stearns & Co Inc 10,154.2 6 6.5 21 UBS 9,676.6 7 6.2 40 Wachovia Corp 9,013.1 8 5.7 20 Royal Bank of Scotland Group 6,499.7 9 4.1 8 Morgan Stanley 6,308.8 10 4.0 29 Industry Total 156,851.0 - 100.0 308 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 10,235.0 1 25.8 13 Citigroup 8,982.0 2 22.6 13 JP Morgan 7,824.7 3 19.7 18 Deutsche Bank AG 2,924.9 4 7.4 8 Morgan Stanley 2,289.1 5 5.8 4 Barclays Capital 2,260.1 6 5.7 6 Credit Suisse 1,735.1 7 4.4 8 ABN AMRO 1,000.0 8 2.5 5 HSBC Holdings PLC 1,000.0 8 2.5 1 Merrill Lynch & Co Inc 500.0 10 1.3 2 Industry Total 39,700.8 - 100.0 58 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 1,250.0 1 19.7 2 ABN AMRO 1,250.0 1 19.7 2 Lehman Brothers 1,250.0 1 19.7 2 Royal Bank of Scotland Group 1,000.0 4 15.8 2 Banc of America Securities LLC 1,000.0 4 15.8 2 Merrill Lynch & Co Inc 300.0 6 4.7 1 Citigroup 300.0 6 4.7 1 Industry Total 6,350.0 - 100.0 5 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 35,663.7 1 10.7 81 Royal Bank of Scotland Group 30,204.5 2 9.1 75 Countrywide Securities Corp 30,132.0 3 9.1 49 Morgan Stanley 27,249.1 4 8.2 28 Credit Suisse 26,016.6 5 7.8 70 Deutsche Bank AG 22,889.2 6 6.9 52 Bear Stearns & Co Inc 20,093.7 7 6.0 65 Merrill Lynch & Co Inc 19,954.9 8 6.0 33 Goldman Sachs & Co 19,000.7 9 5.7 40 JP Morgan 16,194.9 10 4.9 38 Industry Total 332,872.9 - 100.0 655 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 7,390.8 1 19.3 10 Deutsche Bank AG 6,320.7 2 16.5 9 Merrill Lynch & Co Inc 3,420.1 3 8.9 3 Credit Suisse 3,306.5 4 8.6 6 Goldman Sachs & Co 2,941.3 5 7.7 4 Lehman Brothers 2,834.1 6 7.4 2 Morgan Stanley 2,568.2 7 6.7 3 Banc of America Securities LLC 2,550.5 8 6.6 4 RBC Capital Markets 2,179.0 9 5.7 4 Wachovia Corp 1,610.0 10 4.2 1 Industry Total 38,396.5 - 100.0 30 Source: Thomson Financial