CDOs/CLOs

Even though spreads for CDOs backed by structured finance and high yield loan collateral continue cranking tighter, the return is "more than fair" in the triple-B rated tranches of those deals, where tightening has not kept pace with higher-rated tranches, according to a recent UBS report. For example, while triple-A and double-A rated structured finance CDOs are at their tightest-ever spread levels, single-A and triple-B rated tranches are 20 and 65 basis points wider than historic tights, respectively, according to UBS.

Over the past year or so, nothing has grown faster than demand for synthetic collateralized debt obligations. In the past several weeks, a drumbeat of warnings has emanated from the likes of the International Monetary Fund, Standard & Poor's, and a top official at the U.S. Federal Reserve.

Year to date as of 05/11 Term (days) 05/05 05/06 05/09 05/10 05/11 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 4,207.7 1 15.5 8 Credit Suisse First Boston 3,449.5 2 12.7 7 Merrill Lynch & Co Inc 3,402.4 3 12.5 6 Citigroup 3,206.3 4 11.8 5 Barclays Capital 3,195.9 5 11.8 6 Banc of America Securities LLC 2,899.9 6 10.7 6 JP Morgan 2,268.8 7 8.4 4 Wachovia Corp 1,837.0 8 6.8 4 Goldman Sachs & Co 1,289.0 9 4.8 1 Lehman Brothers 780.3 10 2.9 1 Industry Total 27,153.5 - 100.0 26 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 19.8 11 Citigroup 4,165.6 2 11.5 10 Morgan Stanley 3,964.6 3 11.0 15 UBS 3,442.6 4 9.5 8 Lehman Brothers 2,714.2 5 7.5 9 Bear Stearns & Co Inc 2,530.2 6 7.0 6 Groupe Caisses d'Epargne 1,742.0 7 4.8 2 Goldman Sachs & Co 1,500.0 8 4.2 1 Wachovia Corp 1,241.9 9 3.4 3 Banc of America Securities LLC 1,058.3 10 2.9 10 Industry Total 36,181.1 - 100.0 96 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 34.7 9 Citigroup 2,874.8 2 24.8 6 Morgan Stanley 1,666.5 3 14.4 2 Barclays Capital 1,049.1 4 9.1 8 Deutsche Bank AG 534.8 5 4.6 6 Credit Suisse First Boston 413.3 6 3.6 2 Lehman Brothers 375.0 7 3.2 1 Banc of America Securities LLC 286.6 8 2.5 4 Merrill Lynch & Co Inc 262.6 9 2.3 3 UBS 46.3 10 0.4 1 Industry Total 11,587.5 - 100.0 25 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 Bear Stearns & Co Inc 22,416.3 1 10.3 37 Lehman Brothers 20,672.3 2 9.5 51 Morgan Stanley 20,231.6 3 9.3 24 Countrywide Securities Corp 18,767.1 4 8.7 23 Royal Bank of Scotland Group 18,616.8 5 8.6 29 Credit Suisse First Boston 17,971.9 6 8.3 42 Deutsche Bank AG 16,796.8 7 7.8 33 Banc of America Securities LLC 11,998.7 8 5.5 25 Merrill Lynch & Co Inc 10,937.9 9 5.0 14 Citigroup 10,317.1 10 4.8 22 Industry Total 216,807.2 - 100.0 391 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 18.9 4 Morgan Stanley 2,757.6 2 16.6 3 Citigroup 2,230.0 3 13.4 4 Credit Suisse First Boston 2,196.2 4 13.2 3 Deutsche Bank AG 1,483.8 5 8.9 3 UBS 1,447.2 6 8.7 3 Lehman Brothers 1,012.4 7 6.1 1 JP Morgan 983.8 8 5.9 2 Goldman Sachs & Co 806.2 9 4.9 2 Merrill Lynch & Co Inc 550.3 10 3.3 1 Industry Total 16,601.7 - 100.0 13 Source: Thomson Financial

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