CDOs/CLOs

NEW YORK - The CDO market is embroiled in an ongoing battle for collateral, and to the consternation of investors, the food fight has forced some managers to seek out alternative solutions, according to delegates at Information Management Network's CDO and Credit Derivatives conference held here last week.

NEW YORK - Few deny that the advent of non-proprietary analytical software programs during the past several years has paved the way for smaller participants in the CDO market by hastening the bid process with faster analytical turnaround. However, delegates questioned how level the playing field really is.

The scene opens with John Smith, a partner with a major New York law firm representing clients in exotic asset securitizations, and David Jones, a partner with another major New York law firm representing clients in more mainline securitizations, were standing at the back of the conference room waiting for their panel discussion about the recently adopted SEC ABS Rules to begin.

By Erkan Erturk, Ph.D., director, and Tom Gillis, managing director, Standard & Poor's

Year to date as of 03/30 Term (days) 03/24 03/25 03/28 03/29 03/30 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 3,206.3 1 16.8 5 Credit Suisse First Boston 3,143.5 2 16.5 5 Merrill Lynch & Co Inc 2,502.4 3 13.1 4 Barclays Capital 2,445.9 4 12.8 5 Deutsche Bank AG 2,027.7 5 10.7 3 Wachovia Corp 1,580.0 6 8.3 3 Goldman Sachs & Co 1,289.0 7 6.8 1 Banc of America Securities LLC 1,244.3 8 6.5 2 JP Morgan 989.9 9 5.2 2 ABN AMRO 479.6 10 2.5 1 Industry Total 19,045.8 - 100.0 17 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 5,840.3 1 24.0 8 Morgan Stanley 3,064.6 2 12.6 12 Citigroup 2,965.7 3 12.2 7 UBS 2,632.6 4 10.8 6 Bear Stearns & Co Inc 2,271.2 5 9.3 5 Lehman Brothers 2,034.2 6 8.4 7 Groupe Caisses d'Epargne 1,742.0 7 7.2 2 Credit Suisse First Boston 889.0 8 3.7 3 Royal Bank of Scotland Group 866.1 9 3.6 2 JP Morgan 685.0 10 2.8 1 Industry Total 24,315.5 - 100.0 59 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 1,579.0 1 29.8 1 JP Morgan 1,400.0 2 26.4 6 Citigroup 1,125.0 3 21.2 3 Barclays Capital 617.6 4 11.6 5 Lehman Brothers 375.0 5 7.1 1 Merrill Lynch & Co Inc 174.3 6 3.3 1 Deutsche Bank AG 17.6 7 0.3 1 Banc of America Securities LLC 17.6 7 0.3 1 Industry Total 5,306.1 - 100.0 12 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 16,254.1 1 12.8 22 Morgan Stanley 13,297.8 2 10.5 16 Royal Bank of Scotland Group 12,523.2 3 9.9 20 Deutsche Bank AG 11,255.6 4 8.9 21 Credit Suisse First Boston 11,248.8 5 8.9 24 Countrywide Securities Corp 10,435.9 6 8.2 11 Lehman Brothers 9,393.5 7 7.4 27 Merrill Lynch & Co Inc 7,976.3 8 6.3 9 Citigroup 6,215.2 9 4.9 15 Banc of America Securities LLC 4,685.6 10 3.7 11 Industry Total 126,834.7 - 100.0 188 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 725.8 1 30.4 1 JP Morgan 725.8 1 30.4 1 Barclays Capital 725.8 1 30.4 1 Citigroup 212.0 4 8.9 1 Industry Total 2,389.5 - 100.0 2 Source: Thomson Financial