CDOs/CLOs

Researchers from Morgan Stanley delved deep into the obscure realm of post-NIM securities, last week. Post-NIMs, or "baby equity," offer an attractive alternative to mortgage derivatives for ABS and MBS investors seeking yield, claims the firm. "We believe that post-NIM residuals should not be considered an off-the-run market, but a clear alternative to traditional yield enhancers," write Morgan Stanley researchers, who estimate $10 billion worth of post-NIMs are being produced each year.

Three years ago, fraudulent behavior related to a few deals in the structured finance market turned a spotlight on the role of the trustee, and the obscure world of deal document management has never been the same since. "We had to go out and do a better job of explaining the role of the trustee," said Joseph Giordano, senior vice president and head of JPMorgan Chase's Worldwide Securities Services.

Year to date as of 05/05 Term (days) 04/29 05/02 05/03 05/04 05/05 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 6,848.8 1 19.4 10 Citigroup 4,165.6 2 11.8 10 Morgan Stanley 3,959.6 3 11.2 14 UBS 3,442.6 4 9.7 8 Lehman Brothers 2,714.2 5 7.7 9 Bear Stearns & Co Inc 2,271.2 6 6.4 5 Groupe Caisses d'Epargne 1,742.0 7 4.9 2 Goldman Sachs & Co 1,500.0 8 4.2 1 Wachovia Corp 1,241.9 9 3.5 3 JP Morgan 987.3 10 2.8 2 Industry Total 35,338.0 - 100.0 90 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 36.4 9 Morgan Stanley 1,666.5 2 15.1 2 Citigroup 1,624.8 3 14.7 5 Barclays Capital 1,049.1 4 9.5 8 Deutsche Bank AG 748.9 5 6.8 6 Lehman Brothers 625.0 6 5.7 2 Merrill Lynch & Co Inc 512.6 7 4.6 4 Credit Suisse First Boston 413.3 8 3.7 2 Banc of America Securities LLC 286.6 9 2.6 4 UBS 46.3 10 0.4 1 Industry Total 11,051.6 - 100.0 23 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 20,955.1 1 10.0 33 Morgan Stanley 19,280.0 2 9.2 23 Countrywide Securities Corp 18,744.7 3 8.9 22 Royal Bank of Scotland Group 18,616.8 4 8.9 29 Lehman Brothers 17,297.8 5 8.2 43 Credit Suisse First Boston 16,999.2 6 8.1 40 Deutsche Bank AG 16,768.8 7 8.0 32 Banc of America Securities LLC 11,975.0 8 5.7 23 Merrill Lynch & Co Inc 10,937.9 9 5.2 14 Citigroup 10,027.4 10 4.8 21 Industry Total 210,222.3 - 100.0 374 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

auto ABS 9% credit card ABS 3% global MBS 3% real estate ABS 30% student loan ABS 4% other 2% Sector Total 50%