CDOs/CLOs

Several major underwriters have stepped up efforts to sell blocks of prime auto paper, cashing in on recent tightening and taking profits, sources said. Currently, prime auto spreads are near historical lows and some believe it's only a matter of time before spread reversion kicks in. On the other side of that position, however, is the realization that this isn't a late 1990s economy and that moderate credit deterioration appears here to stay for the remainder of the year.

Duke Street Capital Debt Management's closing of Duchess II, the second-largest leveraged loan collateralized debt obligation (CDO) to close in Europe this year, proved that despite increasingly difficult market conditions, it is still possible to raise new CDOs. But even Duke Street, whose sizeable Duchess I transaction enjoyed a solid investor base, had a much harder time structuring some of the debt tranches this time around.

Year to date as of Apr 23 Term (days) 04/10 04/11 04/14 04/15 04/16 1-week

2003 2002 2001 ABS (Public and 144A) 160,426 125,819 113,573 ABS (Public and 144A excluding CDOs) 148,585 114,296 96,730 ABS (Public Only) 134,551 103,892 84,259 ABS (144A Only) 25,874 21,927 29,314 Non-Agency MBS 90,198 57,106 41,631 Agency MBS 167,868 163,661 74,052 CMBS 19,245 13,014 15,647 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 2,797.1 1 16.4 3 Credit Suisse First Boston 2,790.1 2 16.4 6 Deutsche Bank AG 2,234.8 3 13.1 4 JP Morgan 1,844.4 4 10.8 3 Morgan Stanley 1,781.2 5 10.5 3 BANK ONE Corp 1,390.2 6 8.2 2 Goldman Sachs & Co 1,289.4 7 7.6 3 Banc of America Securities LLC 841.5 8 4.9 2 Wachovia Corp 833.9 9 4.9 3 Merrill Lynch & Co Inc 419.3 10 2.5 1 Barclays Capital 406.0 11 2.4 1 Royal Bank of Scotland Group 287.5 12 1.7 2 Westdeutsche Landesbank Giro 120.2 13 0.7 1 Industry Total 17,035.5 - 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 Goldman Sachs & Co 2,998.1 1 25.3 1 Credit Suisse First Boston 1,400.9 2 11.8 4 Morgan Stanley 1,378.4 3 11.6 3 Deutsche Bank AG 1,053.5 4 8.9 2 Citigroup 1,047.6 5 8.9 3 Wachovia Corp 950.0 6 8.0 2 Bear Stearns & Co Inc 940.2 7 7.9 4 Westdeutsche Landesbank Giro 545.0 8 4.6 1 JP Morgan 347.6 9 2.9 1 Lehman Brothers 303.3 10 2.6 2 Merrill Lynch & Co Inc 300.8 11 2.5 1 UBS Warburg 200.0 12 1.7 1 Banc of America Securities LLC 197.8 13 1.7 1 Jefferies & Co Inc 161.4 14 1.4 1 First Republic Bank Corp 16.0 15 0.1 1 Industry Total 11,840.6 - 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 Citigroup 7,247.2 1 26.5 10 BANK ONE Corp 4,425.0 2 16.2 6 JP Morgan 4,423.6 3 16.2 8 Morgan Stanley 3,579.5 4 13.1 4 Barclays Capital 2,485.7 5 9.1 4 Banc of America Securities LLC 1,661.2 6 6.1 5 Deutsche Bank AG 1,507.6 7 5.5 4 Credit Suisse First Boston 969.3 8 3.6 3 Wachovia Corp 461.3 9 1.7 2 Merrill Lynch & Co Inc 375.0 10 1.4 1 Lehman Brothers 200.0 11 0.7 1 Industry Total 27,335.3 - 100.0 39 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 1,375.2 1 42.3 5 JP Morgan 875.2 2 26.9 4 Citigroup 500.0 3* 15.4 1 BANK ONE Corp 500.0 3* 15.4 1 Industry Total 3,250.3 - 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 8,556.6 1 10.5 26 Countrywide Securities Corp 8,203.2 2 10.1 11 JP Morgan 8,194.6 3 10.0 10 Citigroup 7,628.2 4 9.4 21 Royal Bank of Scotland Group 7,550.6 5 9.3 18 Deutsche Bank AG 6,637.0 6 8.1 14 Banc of America Securities LLC 5,787.5 7 7.1 15 Morgan Stanley 5,365.1 8 6.6 16 Bear Stearns & Co Inc 4,857.9 9 6.0 12 Credit Suisse First Boston 4,394.9 10 5.4 13 UBS Warburg 4,031.5 11 4.9 8 Merrill Lynch & Co Inc 2,569.4 12 3.2 4 Wachovia Corp 2,384.6 13 2.9 5 BANK ONE Corp 1,352.8 14 1.7 3 General Motors Corp 1,056.5 15 1.3 2 Goldman Sachs & Co 874.7 16 1.1 3 Barclays Capital 765.5 17 0.9 1 Industry Total 81,585.0 - 100.0 150 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 - - - - - Total - - - - Source: Thomson Financial