CDOs/CLOs

NEW YORK - The average secondary spread on institutional cashflow loans is much more volatile in the U.S. than in Europe, with U.S. rates swinging by as much as 150 basis points in a quarter, compared with European spreads that have barely moved in the past eight years, according to panelists speaking at the Bear Stearns Global Credit Conference last week.

The Federal Reserve recently released its quarterly Senior Loan Officer Opinion Survey on Bank Lending Practices. Results show that there was some easing on lending standards and terms for C&I loans to large and middle market firms. Regarding all respondents, the percentage where standards remained basically unchanged slipped to 75.9% versus 76.4% in the January survey. The percentage that eased slightly rose to 24.1% from 23.6%. Banks that eased lending standards cited increased competition from other business credit sources along with a more favorable economic outlook.

Year to date as of 05/18 Term (days) 05/12 05/13 05/16 05/17 05/18 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Deutsche Bank AG 4,741.1 1 16.4 9 Credit Suisse First Boston 3,449.5 2 11.9 7 Banc of America Securities LLC 3,433.2 3 11.9 7 Merrill Lynch & Co Inc 3,402.4 4 11.8 6 Citigroup 3,206.3 5 11.1 5 Barclays Capital 3,195.9 6 11.1 6 JP Morgan 2,802.1 7 9.7 5 Wachovia Corp 2,012.5 8 7.0 5 Goldman Sachs & Co 1,289.0 9 4.5 1 Lehman Brothers 780.3 10 2.7 1 Industry Total 28,929.0 - 100.0 28 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 7,149.5 1 17.9 11 Citigroup 5,097.2 2 12.8 12 Morgan Stanley 3,984.6 3 10.0 16 UBS 3,442.6 4 8.6 8 Lehman Brothers 3,418.9 5 8.6 11 Bear Stearns & Co Inc 2,530.2 6 6.3 6 Goldman Sachs & Co 2,007.0 7 5.0 2 Groupe Caisses d'Epargne 1,742.0 8 4.4 2 Royal Bank of Scotland Group 1,479.1 9 3.7 3 Wachovia Corp 1,241.9 10 3.1 3 Industry Total 39,988.6 - 100.0 106 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 Morgan Stanley 1,191.7 1 21.4 2 Deutsche Bank AG 1,191.7 1 21.4 2 Lehman Brothers 725.8 3 13.0 1 JP Morgan 725.8 3 13.0 1 Barclays Capital 725.8 3 13.0 1 HSBC Holdings PLC 566.7 6 10.2 1 Citigroup 212.0 7 3.8 1 Industry Total 5,569.5 - 100.0 5 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 4,025.0 1 33.2 9 Citigroup 2,874.8 2 23.7 6 Morgan Stanley 1,666.5 3 13.8 2 Barclays Capital 1,049.1 4 8.7 8 Deutsche Bank AG 784.8 5 6.5 8 Credit Suisse First Boston 488.3 6 4.0 3 Merrill Lynch & Co Inc 387.6 7 3.2 4 Lehman Brothers 375.0 8 3.1 1 Banc of America Securities LLC 286.6 9 2.4 4 Societe Generale 100.0 10 0.8 1 Industry Total 12,112.5 - 100.0 28 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 Bear Stearns & Co Inc 22,792.0 1 10.0 38 Morgan Stanley 22,335.2 2 9.8 26 Lehman Brothers 21,589.0 3 9.5 52 Royal Bank of Scotland Group 20,390.4 4 8.9 32 Credit Suisse First Boston 19,211.2 5 8.4 45 Countrywide Securities Corp 18,767.1 6 8.2 23 Deutsche Bank AG 16,796.8 7 7.4 33 Banc of America Securities LLC 12,022.0 8 5.3 26 Merrill Lynch & Co Inc 11,854.6 9 5.2 15 Citigroup 10,317.1 10 4.5 22 Industry Total 228,206.8 - 100.0 404 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 Banc of America Securities LLC 3,134.2 1 18.5 4 Morgan Stanley 2,757.6 2 16.2 3 Citigroup 2,230.0 3 13.1 4 Credit Suisse First Boston 2,196.2 4 12.9 3 UBS 1,827.7 5 10.8 4 Deutsche Bank AG 1,483.8 6 8.7 3 Lehman Brothers 1,012.4 7 6.0 1 JP Morgan 983.8 8 5.8 2 Goldman Sachs & Co 806.2 9 4.8 2 Merrill Lynch & Co Inc 550.3 10 3.2 1 Industry Total 16,982.2 - 100.0 14 Source: Thomson Financial

auto ABS 18% credit card ABS 6% global MBS 5% real estate ABS 60% student loan ABS 8% other 4%