CDOs/CLOs

Former triple-As downgraded to junk...

In its new bi-weekly market wrap called CDOpinions, Fitch Ratings notes that some CDO issuers are exploring funding in the MTN market. While it's been limited so far, the use of MTNs has become another option for issuers.

Second lien bank loans have been more frequently appearing in new CLOs, especially as managers look for higher yielding collateral during this period of historic tights.

Year to date as of 04/07 Term (days) 04/01 04/02 04/05 04/06 04/07 1-week

2004 2003 2002 ABS (Public and 144A) 188,538 141,026 111,092 ABS (Public and 144A excluding CDOs) 167,341 133,662 100,458 ABS (Public Only) 154,189 118,297 90,807 ABS (144A Only) 34,349 22,729 20,284 Non-Agency MBS 59,890 79,988 51,295 Agency MBS 80,505 219,571 135,436 CMBS 16,270 16,553 11,100 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 4,497.4 1 25.1 5 Deutsche Bank AG 3,742.0 2 20.9 6 JP Morgan 2,892.7 3 16.1 4 Banc of America Securities LLC 1,263.5 4 7.0 2 Goldman Sachs & Co 1,256.2 5 7.0 1 Credit Suisse First Boston 1,242.7 6 6.9 3 Barclays Capital 977.7 7 5.5 2 Merrill Lynch & Co Inc 815.0 8 4.5 1 Banc One Capital Markets 675.0 9 3.8 2 Lehman Brothers 450.0 10 2.5 1 Industry Total 17,945.2 - 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 3,531.1 1 22.2 6 UBS 2,172.0 2 13.6 3 Deutsche Bank AG 1,619.7 3 10.2 4 Citigroup 1,516.0 4 9.5 4 RBS Greenwich Capital 1,005.8 5 6.3 3 BNP Paribas SA 919.5 6 5.8 1 Goldman Sachs & Co 825.0 7 5.2 1 Banc of America Securities LLC 800.9 8 5.0 6 Wachovia Corp 728.5 9 4.6 6 Bear Stearns & Co Inc 658.9 10 4.1 2 Industry Total 15,930.7 - 100.0 40 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 3,449.3 1 25.2 5 Banc One Capital Markets 3,100.0 2 22.6 4 JP Morgan 1,700.0 3 12.4 3 Lehman Brothers 1,400.0 4 10.2 4 Barclays Capital 1,125.0 5 8.2 2 Deutsche Bank AG 849.7 6 6.2 2 Merrill Lynch & Co Inc 752.2 7 5.5 2 Morgan Stanley 375.0 8 2.7 1 Goldman Sachs & Co 350.0 9 2.6 1 Credit Suisse First Boston 250.0 10* 1.8 1 Banc of America Securities LLC 250.0 10* 1.8 1 Industry Total 13,701.2 - 100.0 21 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 1,000.0 1 54.1 1 Credit Suisse First Boston 350.0 2 18.9 1 Morgan Stanley 250.0 3* 13.5 1 ABN AMRO 250.0 3* 13.5 1 Industry Total 1,850.0 - 100.0 3 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 Countrywide Securities Corp 14,584.2 1 11.8 12 Lehman Brothers 14,377.1 2 11.6 26 RBS Greenwich Capital 14,160.1 3 11.4 23 Citigroup 9,764.1 4 7.9 26 Credit Suisse First Boston 9,408.9 5 7.6 20 Deutsche Bank AG 9,150.9 6 7.4 27 Morgan Stanley 8,461.5 7 6.8 16 Merrill Lynch & Co Inc 8,433.6 8 6.8 13 Bear Stearns & Co Inc 7,123.7 9 5.8 16 UBS 6,517.1 10 5.3 9 Industry Total 123,869.9 - 100.0 196 Source: Thomson Financial