CDOs/CLOs

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

auto ABS 10% credit card ABS 8% enterprise finance 0% equipment ABS 2% real estate ABS 71% structured settlements 0% student loan ABS 8% trade receivables 1%

Whether large or small, banks have never had a lot of financial incentive to issue student loan ABS paper, but some market players say the shifting tides of the student loan business might change that.