CDOs/CLOs

Mention of the latest developments in credit default swaps, whether on CDOs or ABS, usually calls to mind an ever-swelling notional market value and customized deal structures. But the call for a standardized trading framework has prompted several leading industry professionals to refine plans to create standardized frameworks for documenting and tracking credit default swaps trades to make sure they are in keeping with the spirit of their original contracts.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 6,627.6 1 23.6 13 JP Morgan 3,828.6 2 13.6 10 Wachovia Corp 3,139.5 3 11.2 7 Deutsche Bank AG 2,602.6 4 9.3 8 Merrill Lynch & Co Inc 1,847.5 5 6.6 4 Barclays Capital 1,705.7 6 6.1 4 Banc of America Securities LLC 1,682.4 7 6.0 2 Credit Suisse 1,550.0 8 5.5 3 Royal Bank of Scotland Group 1,479.3 9 5.3 3 Goldman Sachs & Co 868.7 10 3.1 2 Industry Total 28,093.3 - 100.0 34 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 12,433.7 1 15.2 20 Merrill Lynch & Co Inc 11,825.8 2 14.5 16 Banc of America Securities LLC 7,488.4 3 9.2 19 Deutsche Bank AG 6,810.1 4 8.3 11 UBS 5,489.0 5 6.7 15 Bear Stearns & Co Inc 4,922.6 6 6.0 10 Credit Suisse 4,317.9 7 5.3 8 Morgan Stanley 4,165.0 8 5.1 16 Royal Bank of Scotland Group 3,245.9 9 4.0 6 Wachovia Corp 3,213.6 10 3.9 8 Industry Total 81,714.2 - 100.0 162 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 8,982.0 1 29.9 13 JP Morgan 7,239.0 2 24.1 11 Deutsche Bank AG 6,228.7 3 20.8 13 Morgan Stanley 2,549.9 4 8.5 7 Barclays Capital 1,829.0 5 6.1 2 Credit Suisse 1,209.0 6 4.0 4 ABN AMRO 625.0 7 2.1 2 Wachovia Corp 500.0 8 1.7 1 Lehman Brothers 328.9 9 1.1 2 250.0 10 0.8 1 Industry Total 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 Morgan Stanley 24,392.3 1 12.0 24 Lehman Brothers 20,449.8 2 10.0 48 Credit Suisse 19,161.9 3 9.4 39 Countrywide Securities Corp 15,001.3 4 7.4 17 Deutsche Bank AG 13,951.3 5 6.8 25 Bear Stearns & Co Inc 13,558.5 6 6.7 36 JP Morgan 12,984.4 7 6.4 27 Citigroup 12,877.1 8 6.3 33 Royal Bank of Scotland Group 12,487.1 9 6.1 18 Merrill Lynch & Co Inc 11,781.7 10 5.8 16 Industry Total 203,975.5 - 100.0 386 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 4,793.6 1 18.1 7 Deutsche Bank AG 4,163.7 2 15.7 6 Credit Suisse 3,306.5 3 12.5 6 Banc of America Securities LLC 2,550.5 4 9.6 4 Morgan Stanley 2,507.4 5 9.5 3 Merrill Lynch & Co Inc 2,301.0 6 8.7 2 Goldman Sachs & Co 1,803.8 7 6.8 2 Lehman Brothers 1,284.7 8 4.9 1 UBS 998.7 9 3.8 2 JP Morgan 769.3 10 2.9 1 Industry Total 26,490.5 - 100.0 20 Source: Thomson Financial

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 1% real estate ABS 72% structured settlements 0% student loan ABS 8% trade receivables 1%

Early estimates for the first quarter indicate substantial downturns in a number of hot real estate markets, leading many to speculate as to how far prices will fall, and how severe losses in the price-sensitive subprime sector will be.

Dominion Bond Rating Service says it is inching into the U.S. synthetic RMBS and ABS sectors. Bank of America Corp. recently commissioned the Canadian rating agency to supply ratings to a pair of U.S. synthetic RMBS deals. These transactions constitute the first public ratings the rating agency has assigned to synthetics in the U.S. market. DBRS is currently preparing ratings for several other deals, according to Michael Nelson, managing director of U.S. structured finance.

As economists accurately predicted, existing home sales in April slipped to a 6.76 million unit pace. Although this is approximately off 5% from the 2005 pace, it is near the 6.72 million unit pace for all of 2004, making the current reading stronger than it initially appears.