CDOs/CLOs

Both the Securities & Exchange Commission and New York Attorney General Eliot Spitzer are investigating Bear Stearns' CDO trading practices with clients, the market learned last week.

Synthetic structured finance CDO volume could reach $38 billion in total issuance in the second half of this year - a 483% increase over the $7 billion of issuance seen in this year's first half, according to Merrill Lynch. The investment bank is anticipating synthetic SF CDO issuance could outpace cash SF CDO issuance in the second half of the year - with a forecast of 32 cash deals in the 5Q05 and 4Q05, versus 38 synthetic.

Year to date as of 07/14 Term (days) 07/08 07/11 07/12 07/13 07/14 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 6,891.9 1 14.1 10 Citigroup 6,499.6 2 13.3 11 Deutsche Bank AG 6,028.7 3 12.4 11 Merrill Lynch & Co Inc 5,884.5 4 12.1 8 Banc of America Securities LLC 4,323.1 5 8.9 8 Barclays Capital 4,302.5 6 8.8 8 Credit Suisse First Boston 4,111.9 7 8.4 8 Wachovia Corp 3,712.5 8 7.6 8 Goldman Sachs & Co 1,841.0 9 3.8 2 HSBC Holdings PLC 1,826.8 10 3.8 3 Industry Total 48,759.9 - 100.0 47 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 12,676.0 1 19.5 19 Citigroup 8,961.8 2 13.8 19 Lehman Brothers 4,687.7 3 7.2 15 Morgan Stanley 4,149.6 4 6.4 18 Wachovia Corp 3,785.0 5 5.8 9 UBS 3,673.9 6 5.6 9 Goldman Sachs & Co 3,107.0 7 4.8 4 Credit Suisse First Boston 2,943.0 8 4.5 7 Bear Stearns & Co Inc 2,915.2 9 4.5 7 Banc of America Securities LLC 2,611.6 10 4.0 15 Industry Total 65,104.0 - 100.0 160 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 6,508.1 1 30.0 14 Citigroup 3,973.7 2 18.3 12 Barclays Capital 2,799.0 3 12.9 10 Morgan Stanley 2,216.5 4 10.2 4 ABN AMRO 1,833.2 5 8.5 7 Deutsche Bank AG 1,472.3 6 6.8 10 Banc of America Securities LLC 836.2 7 3.9 6 Credit Suisse First Boston 738.2 8 3.4 4 Merrill Lynch & Co Inc 624.7 9 2.9 4 Lehman Brothers 500.0 10 2.3 2 Industry Total 21,677.0 - 100.0 47 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 1,668.6 1 15.5 3 Barclays Capital 1,492.5 2 13.8 2 Credit Suisse First Boston 1,243.6 3 11.5 2 ABN AMRO 1,243.6 3 11.5 2 Morgan Stanley 1,191.7 5 11.0 2 Banc of America Securities LLC 750.0 6 6.9 1 Lehman Brothers 725.8 7 6.7 1 JP Morgan 725.8 7 6.7 1 HSBC Holdings PLC 566.7 9 5.3 1 Merrill Lynch & Co Inc 375.0 10 3.5 1 Societe Generale 375.0 10 3.5 1 Industry Total 10,800.2 - 100.0 9 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 40,637.2 1 11.6 77 Bear Stearns & Co Inc 34,945.0 2 10.0 73 Countrywide Securities Corp 30,894.9 3 8.8 38 Royal Bank of Scotland Group 28,964.0 4 8.3 51 Morgan Stanley 28,428.7 5 8.1 37 Deutsche Bank AG 27,346.9 6 7.8 48 Credit Suisse First Boston 26,373.8 7 7.5 57 Citigroup 21,572.4 8 6.2 42 Banc of America Securities LLC 19,657.8 9 5.6 39 Merrill Lynch & Co Inc 17,734.4 10 5.1 25 Industry Total 349,948.3 - 100.0 590 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 7,522.0 1 26.2 9 Banc of America Securities LLC 3,233.2 2 11.3 5 Deutsche Bank AG 3,042.0 3 10.6 5 Morgan Stanley 2,757.6 4 9.6 3 Credit Suisse First Boston 2,696.2 5 9.4 4 UBS 2,527.7 6 8.8 5 Goldman Sachs & Co 2,127.2 7 7.4 4 Merrill Lynch & Co Inc 1,839.8 8 6.4 2 JP Morgan 1,158.5 9 4.0 3 Lehman Brothers 1,012.4 10 3.5 1 Industry Total 28,666.5 - 100.0 24 Source: Thomson Financial

auto ABS 18% credit card ABS 7% global MBS 5% real estate ABS 58% student loan ABS 8% other 4%