CDOs/CLOs

Homeowners aren't the only ones scrambling to take advantage of persistently low long-term interest rates - corporations in record numbers are exercising call options on their unsecured obligations in order to lock in low rates while the window to favorably refinance still exists. The result: high yield CBOs are paying down and performing at record levels, making investors that bought those bonds cheap experience a much greater profit than anticipated.

E-Trade Consumer Finance Corp. has said it will keep $3.3 billion of recreational vehicle and boat loans on its books as whole loans, following the sale of its RV and boat lending to G.E. Consumer Finance last week.

Year to date as of 08/18 Term (days) 08/12 08/15 08/16 08/17 08/18 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 8,506.9 1 15.1 14 Merrill Lynch & Co Inc 7,246.0 2 12.9 9 Deutsche Bank AG 6,280.7 3 11.1 12 Citigroup 6,220.1 4 11.0 11 Banc of America Securities LLC 5,684.6 5 10.1 9 Credit Suisse First Boston 4,561.9 6 8.1 9 Barclays Capital 4,302.5 7 7.6 8 Wachovia Corp 3,712.5 8 6.6 8 Goldman Sachs & Co 2,293.6 9 4.1 3 HSBC Holdings PLC 2,063.0 10 3.7 4 Industry Total 56,395.6 - 100.0 55 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 16,256.7 1 19.6 24 Citigroup 11,555.2 2 13.9 24 Wachovia Corp 6,669.9 3 8.0 13 Morgan Stanley 6,100.9 4 7.3 24 Lehman Brothers 4,715.7 5 5.7 15 Bear Stearns & Co Inc 4,661.2 6 5.6 13 UBS 4,453.1 7 5.4 11 Deutsche Bank AG 4,379.6 8 5.3 13 Banc of America Securities LLC 3,470.6 9 4.2 17 Credit Suisse First Boston 3,293.0 10 4.0 8 Industry Total 83,116.1 - 100.0 199 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 7,833.0 1 26.1 18 Citigroup 4,648.3 2 15.5 15 Barclays Capital 3,248.9 3 10.8 12 Deutsche Bank AG 2,874.7 4 9.6 13 Banc of America Securities LLC 2,241.2 5 7.5 9 Morgan Stanley 2,216.5 6 7.4 4 Credit Suisse First Boston 2,038.2 7 6.8 7 ABN AMRO 1,833.2 8 6.1 7 Merrill Lynch & Co Inc 1,059.7 9 3.5 7 Lehman Brothers 550.0 10 1.8 3 Industry Total 29,968.3 - 100.0 62 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 2,400.7 1 18.3 4 Morgan Stanley 2,041.7 2 15.6 3 Barclays Capital 1,492.5 3 11.4 2 Credit Suisse First Boston 1,243.6 4 9.5 2 ABN AMRO 1,243.6 4 9.5 2 Citigroup 944.1 6 7.2 2 Banc of America Securities LLC 750.0 7 5.7 1 Lehman Brothers 725.8 8 5.5 1 JP Morgan 725.8 8 5.5 1 HSBC Holdings PLC 566.7 10 4.3 1 Industry Total 13,114.5 - 100.0 11 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 45,141.4 1 11.1 83 Bear Stearns & Co Inc 36,779.6 2 9.1 79 Royal Bank of Scotland Group 34,159.6 3 8.4 57 Credit Suisse First Boston 33,805.4 4 8.3 70 Morgan Stanley 32,483.7 5 8.0 42 Countrywide Securities Corp 32,047.7 6 7.9 40 Deutsche Bank AG 29,521.0 7 7.3 56 Citigroup 22,504.9 8 5.5 46 Banc of America Securities LLC 20,787.4 9 5.1 45 Merrill Lynch & Co Inc 20,381.9 10 5.0 30 Industry Total 406,037.4 - 100.0 781 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 8,972.0 1 23.7 12 Banc of America Securities LLC 4,831.0 2 12.8 8 Morgan Stanley 3,883.6 3 10.3 4 Deutsche Bank AG 3,826.2 4 10.1 6 Credit Suisse First Boston 3,367.9 5 8.9 5 Merrill Lynch & Co Inc 2,965.8 6 7.8 3 UBS 2,527.7 7 6.7 5 Lehman Brothers 2,138.5 8 5.7 2 Goldman Sachs & Co 2,127.2 9 5.6 4 JP Morgan 1,808.5 10 4.8 4 Industry Total 37,869.3 - 100.0 32 Source: Thomson Financial

auto ABS 17% credit card ABS 8% global MBS 4% real estate ABS 58% student loan ABS 9% other 4%