CDOs/CLOs

Commerzbank kicked off the season for small and medium enterprises (SMEs) loan CDOs with its CB Mezzcap deal, which priced at the beginning of April. It was closely followed a week later by a transaction from HSBC Trinkhaus & Burkhart. On the heels of these two transactions, market sources say there are several more CDOs of this type expected to come to market later this year.

Like many of his peers in the European leveraged loan market, Don Procter, chief investment officer of London-based investment management firm New Amsterdam Capital Management (NAC), believes that the unprecedented growth in the asset class should be viewed with some caution.

More than half of all downgrades experienced by the U.S. CDO sector in the first quarter stemmed from synthetic transactions, according to Standard and Poor's. However, only 17 synthetic CDOs were downgraded, compared to a record 43 in the fourth quarter.

Year to date as of 04/19 Term (days) 04/13 04/14 04/17 04/18 04/19 1-week

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 8,676.4 1 16.8 11 Citigroup 7,807.5 2 15.1 15 Banc of America Securities LLC 5,653.5 3 11.0 14 UBS 4,779.0 4 9.3 12 Deutsche Bank AG 4,304.0 5 8.3 7 Credit Suisse 3,621.4 6 7.0 5 Bear Stearns & Co Inc 3,551.6 7 6.9 8 Goldman Sachs & Co 2,280.9 8 4.4 4 Morgan Stanley 2,107.5 9 4.1 11 Wachovia Corp 1,857.3 10 3.6 6 Industry Total 51,641.2 - 100.0 113 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 5,077.2 1 26.7 11 JP Morgan 3,956.1 2 20.8 10 Deutsche Bank AG 2,020.4 3 10.6 7 Barclays Capital 1,725.5 4 9.1 4 Royal Bank of Scotland Group 1,606.8 5 8.5 3 Merrill Lynch & Co Inc 1,250.0 6 6.6 3 Credit Suisse 950.0 7 5.0 2 Wachovia Corp 939.0 8 4.9 3 Bear Stearns & Co Inc 824.9 9 4.3 1 Goldman Sachs & Co 411.2 10 2.2 1 Industry Total 19,024.6 - 100.0 25 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 JP Morgan 5,974.7 1 29.8 11 Citigroup 4,447.1 2 22.2 7 Banc of America Securities LLC 3,723.3 3 18.6 6 Deutsche Bank AG 2,300.0 4 11.5 6 Morgan Stanley 1,829.0 5 9.1 2 Credit Suisse 625.0 6 3.1 2 Barclays Capital 500.0 7 2.5 1 Lehman Brothers 250.0 8 1.3 1 Wachovia Corp 249.9 9 1.2 1 Royal Bank of Scotland Group 175.0 10 0.9 1 Industry Total 20,074.0 - 100.0 30 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 Credit Suisse 17,182.8 1 11.2 34 Lehman Brothers 15,130.9 2 9.9 34 Countrywide Securities Corp 15,001.3 3 9.8 17 Morgan Stanley 13,244.8 4 8.6 17 Deutsche Bank AG 11,019.7 5 7.2 20 Bear Stearns & Co Inc 10,364.3 6 6.8 30 Merrill Lynch & Co Inc 10,045.8 7 6.6 13 JP Morgan 9,863.4 8 6.4 15 Royal Bank of Scotland Group 9,348.1 9 6.1 12 Citigroup 8,663.0 10 5.7 24 Industry Total 153,414.1 - 100.0 264 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 2,915.8 1 16.4 4 Deutsche Bank AG 2,801.0 2 15.8 3 Credit Suisse 2,466.6 3 13.9 4 Merrill Lynch & Co Inc 2,301.0 4 13.0 2 Banc of America Securities LLC 2,027.7 5 11.4 3 Lehman Brothers 1,284.7 6 7.2 1 Goldman Sachs & Co 1,255.5 7 7.1 1 Morgan Stanley 768.2 8 4.3 1 UBS 450.4 9 2.5 1 SunTrust Banks 382.5 10 2.2 1 Industry Total 17,759.3 - 100.0 12 Source: Thomson Financial

auto ABS 8% credit card ABS 9% enterprise finance 0% equipment ABS 2% real estate ABS 73% structured settlements 0% student loan ABS 8% trade receivables 0%