CDOs/CLOs

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 10,698.2 1 23.0 14 Deutsche Bank AG 6,180.8 2 13.3 9 Banc of America Securities LLC 5,330.5 3 11.5 9 Merrill Lynch & Co Inc 4,261.6 4 9.2 4 Morgan Stanley 3,883.6 5 8.3 4 Goldman Sachs & Co 3,386.1 6 7.3 6 Credit Suisse First Boston 3,367.9 7 7.2 5 UBS 2,527.7 8 5.4 5 JP Morgan 2,367.4 9 5.1 5 Lehman Brothers 2,138.5 10 4.6 2 Industry Total 46,562.6 - 100.0 38 Source: Thomson Financial

auto ABS 16% credit card ABS 8% global MBS 4% real estate ABS 58% student loan ABS 9% other 4%

Citigroup Global Markets commenced a cash tender offer for certificates issued by Citibank Omni-S Master Trust, formerly Sears Credit Account Master Trust II, for $4.2 billion of certificates outstanding, according to data from Merrill Lynch.

Net chargeoffs in the credit-card trust of Capital One Financial increased in September, in what some are calling the first signs of fallout from the spike in bankruptcy filings wrought by the Bankruptcy Reform Act, which was officially enacted this week. Chargeoffs increased 145 basis points to 4.81% in September from 3.41% in August, according to a report from Barclays Capital.

The U.S. ABS primary market swelled to $19 billion last week after two relatively cool weeks of issuance.

Collateralized loan obligation spread tightening has been so dramatic, particularly in subordinate tranches, that an increasing number of CLO managers are seeking to lower weighted average spread requirements within their portfolios, according to Standard & Poor's. For example, "BB" and "BB" rated institutional loan spreads have tightened from more than 400 basis points over Libor in April 2003 to less than 200 basis points over Libor in July. And while the crunch has generally left enough space for the deals to squeeze past interest ratio coverage tests - a significant number of the deals are failing their weighted-average spread tests, according to the rating agency.

Demonstrating strength against both mother nature's wrath of hurricanes and father capitalism's M&A activity, CDOs backed by commercial real estate assets continue to show strong performance, according to Fitch Ratings. In fact, the number of upgrades in the sector has outpaced downgrades by a ratio of 13.8 to 1. In a review this month of all outstanding commercial real estate CDOs, the rating agency not only found a ubiquitous trend of strong performance, but a slow transition in underlying collateral and structure of the deals.

A little more than a year after European financial services giant Fortis Group launched its structured finance and CDO initiatives within the U.S., the company is preparing to issue its first CDO. Fortis Investments USA - the subsidiary of the European fund manager - will make its U.S. CDO market debut with the $1.5 billion Orient Point CDO Ltd., a cashflow deal backed primarily by RMBS. The deal is scheduled to close Oct. 25.

The bankruptcy of Delphi Corp., the largest U.S. auto parts manufacturer, is expected to have some impact on U.S. synthetic and cash CDOs, according to a report issued last Thursday by Moody's Investors Service.

Year to date as of 10/13 Term (days) 10/07 10/10 10/11 10/12 10/13 1-week