CDOs/CLOs

Merrill Lynch & Co. is expected to close this week the ninth cash CDO managed by Mclean, Va.-based Declaration Management and Research LLC.

A standard recently issued by the Financial Accounting Standards Board is expected to increase the volume of synthetic CDO issuance.

NEW YORK - Credit default swaps are being used on a rapidly growing number of asset securitization deals, a performance matched only by the innovations that are emerging to make the most of the market's growth. That was the message delivered last week by panelists at the "CDS of ABS - Securitization's New Frontier" seminar.

Sometimes the toughest decision for a risk taker to make is whether to end a successful performance early and go out on top. The money managers at GoldenTree Asset Management announced such a decision last week regarding its $750 million collateralized debt obligation, High Yield Opportunities I.

While traditional private placement volume recorded a 6.8% decrease in 2005, totaling $35.5 billion compared to $38.1 billion for the same period the previous year, securitized private placements underwent a dramatic increase. They amounted to $364 billion in proceeds, up from $253 billion in 2004, representing a 43.9% increase, according to the latest Thomson Financial league tables.

JPMorgan Chase has amended its Ivory Funding Corp. arbitrage program, allowing it to issue secured liquidity notes up to a total of $10 billion. The flexible instrument can be issued in dollars or euros. In Ivory's case, it will have either a call or an extendible feature.

Year to date as of 03/09 Term (days) 03/03 03/06 03/07 03/08 03/09 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 3,629.7 1 23.015 8 JP Morgan 2,519.3 2 15.974 7 Bear Stearns & Co Inc 2,474.6 3 15.691 1 Deutsche Bank AG 1,720.4 4 10.909 6 Merrill Lynch & Co Inc 1,250.0 5 7.926 3 Barclays Capital 1,094.9 6 6.942 3 Credit Suisse 950.0 7 6.024 2 Wachovia Corp 939.0 8 5.954 3 Royal Bank of Scotland Group 781.9 9 4.958 2 Goldman Sachs & Co 411.2 10 2.607 1 Industry Total 15,771.0 - 100.0 17 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 UBS 3,995.5 1 19.5 4 Credit Suisse 3,107.4 2 15.2 4 Deutsche Bank AG 2,245.9 3 11.0 4 Citigroup 2,240.0 4 10.9 4 Morgan Stanley 2,107.5 5 10.3 11 Bear Stearns & Co Inc 1,990.4 6 9.7 5 Banc of America Securities LLC 1,453.4 7 7.1 4 Merrill Lynch & Co Inc 991.5 8 4.8 3 Goldman Sachs & Co 795.9 9 3.9 1 Wachovia Corp 739.5 10 3.6 2 Industry Total 20,487.9 - 100.0 45 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 6,108.3 1 35.713 10 Citigroup 3,483.3 2 20.366 6 Banc of America Securities LLC 2,750.0 3 16.078 4 Morgan Stanley 1,829.0 4 10.693 2 Deutsche Bank AG 1,825.0 5 10.67 5 Barclays Capital 500.0 6 2.923 1 Wachovia Corp 250.0 7 1.462 1 Merrill Lynch 225.0 8 1.315 2 Lehman Brothers 133.3 9 0.779 1 Industry Total 17,103.9 - 100.0 21 Source: Thomson Financial