CDOs/CLOs

Intellectual property ABS, though often talked up, has never really lived up to the hype, especially as investors became hesitant to venture into the esoteric in recent years. And now the infamous "Bowie Bonds" that got the ball rolling in 1997 are under threat of a downgrade.

New-issue supply slowed in last week's holiday-shortened session that preceded the global ABS conference held this week in Barcelona. U.S. primary market priced just $4.8 billion, as of press time, with an additional $4.9 billion of supply being announced late in the week.

New issues in the domestic CDO marketplace have declined sharply in recent weeks, prompting speculation that more than just downgrades are clouding the sector's vigor and clogging up the pipeline.

Year to date as of May 28 Term (days) 05/22 05/23 05/26 05/27 05/28 1-week

2003 2002 2001 ABS (Public and 144A) 218,368 168,600 153,994 ABS (Public and 144A excluding CDOs) 207,890 150,351 133,053 ABS (Public Only) 183,390 136,602 114,926 ABS (144A Only) 34,978 31,997 39,068 Non-Agency MBS 114,460 83,152 67,269 Agency MBS 247,555 191,312 95,258 CMBS 25,549 17,643 24,869 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 Credit Suisse First Boston 1,959.7 1 18.7 6 Deutsche Bank AG 1,461.5 2 14.0 3 Bear Stearns & Co Inc 1,270.7 3 12.1 5 Citigroup 1,047.6 4 10.0 3 Wachovia Corp 950.0 5 9.1 2 Morgan Stanley 628.4 6 6.0 3 Banc of America Securities LLC 579.8 7 5.5 2 Westdeutsche Landesbank Giro 545.0 8 5.2 1 Lehman Brothers 368.4 9 3.5 3 Goldman Sachs & Co 357.2 10 3.4 2 Industry Total 10,477.9 - 100.0 34 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 8,619.7 1 27.9 12 BANK ONE Corp 5,351.9 2 17.3 9 JP Morgan 4,479.3 3 14.5 9 Morgan Stanley 3,579.5 4 11.6 4 Barclays Capital 2,834.7 5 9.2 6 Banc of America Securities LLC 2,212.3 6 7.2 7 Deutsche Bank AG 1,507.6 7 4.9 4 Credit Suisse First Boston 969.3 8 3.1 3 Wachovia Corp 673.0 9 2.2 3 Merrill Lynch & Co Inc 462.5 10 1.5 2 Industry Total 30,939.3 - 100.0 48 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 Deutsche Bank AG 1,375.0 1 42.3 5 JP Morgan 875.0 2 26.9 4 Citigroup 500.0 3* 15.4 1 BANK ONE Corp 500.0 3* 15.4 1 Industry Total 3,250.1 - 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 Lehman Brothers 17,393.9 1 15.0 41 Countrywide Securities Corp 11,824.9 2 10.2 17 JP Morgan 10,068.0 3 8.7 13 Citigroup 9,777.4 4 8.4 27 Deutsche Bank AG 8,129.1 5 7.0 18 Royal Bank of Scotland Group 8,084.0 6 7.0 20 Credit Suisse First Boston 8,040.9 7 6.9 20 Banc of America Securities LLC 7,561.7 8 6.5 22 Morgan Stanley 7,090.3 9 6.1 19 Bear Stearns & Co Inc 6,464.7 10 5.6 14 Industry Total 116,356.9 - 100.0 208 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 3,149.7 1 22.8 5 Morgan Stanley 2,599.9 2 18.8 4 Deutsche Bank AG 2,293.1 3 16.6 4 Credit Suisse First Boston 1,877.2 4 13.6 3 Merrill Lynch & Co Inc 1,790.7 5 13.0 3 Banc of America Securities LLC 1,136.7 6 8.2 2 JP Morgan 514.1 7 3.7 1 UBS Warburg 453.4 8 3.3 1 Industry Total 13,814.7 - 100.0 12 Source: Thomson Financial