EU Government Bonds vs US Treasuries
800 700 600
Euro Billions
500 400 300 200 100 0
1 999 1 999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006* 2006*
U.K. Government Bonds Italy Government Bonds
* Annualised figures Sources: U.S. Treasury, ECB, DMO
France Government Bonds Germany Government Bonds
Other European Government Bonds U.S. Government Bonds
EU Corporate bond market doubled since the Euro
European corporate market is larger than US and continues to grow
1,200
1,000
Euro Billions
800
600
400
200
0
1 999 1 999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006
European Investment-Grade European High-Yield
Sources: Thomson Financial, Dealogic
U.S. Investment-Grade U.S. High-Yield
European and U.S. High-Yield Corporate Market
120
100
Euro Billions
80
60
40
20
0
1 999 1 999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006
European High-Yield
Sources: Thomson Financial, Dealogic
U.S. High-Yield
Growth in Credit Derivative dwarfs growth in Corporate Market
18,000 16,000 14,000 12,000 Euro Billion 10,000 8,000 6,000 4,000 2,000 0
1 999 1 999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005
Global Credit Derivative Outstanding
European Corporate Issuance
Source: International Sw aps and Derivatives Association, Thomson Financial, Dealogic
Growth in European Structured Products Issuance
700 600 500
Euro Billions
400 300 200 100 0 2000 2001 2002 2003 2004 2005 2006*
Covered Bonds
* Annualised figures Source: Thomson Financial, Dealogic, J.P. Morgan
MBS
ABS
CDO
Investors in the European Government Market
By Region By Investor Type
€ ZONE 45%
SW ITZERLA ND 5% OTHER EUR 3% M IDDLE EA & ST A FRICA 4% NORTH A ERICA M 6% OTHER 1%
INSUR/PENSION 12%
FUND M GR 24%
HEDGE FUND 10%
CORPORA TE 1% BA NK 26% C. BA & OTHER NK PUB ENTITY 25% PRIV TE A CLIENT/RETA IL 2%
UK 15%
A SIA 21%
Sources: BMAtop 10 bookrunner primary distribution survey, July ‘05 BMA top 20 EU bookrunners primary distribution survey, September 2006
BMA top 20 EU bookrunners primary primary distribution survey, July2006 Sources: BMA top 10 bookrunner distribution survey, September ‘05
Unlike US market almost 70% distributed internally in Europe Asia most significant of non-EU investment Central Bank investment the strongest 98% institutional Hedge fund participation small
Investors in the European Investment Grade Market
By Region By Investor Type
€ ZONE 55%
SW ITZERLA ND 5% OTHER 4% M IDDLE EA & ST A FRICA 2% NORTH A ERICA M 3%
INSUR/PENSION 16%
FUND M GR 31%
HEDGE FUND 11%
UK 26%
A SIA 5%
BA NK 32% PRIV TE A IL C. BA & OTHER CLIENT/RETA NK BMA top 20 EU bookrunners primary 3% PUB ENTITY 5% distribution survey,top 10 bookrunner primary distribution survey, July ‘05 Sources: BMA September 2006
CORPORA TE 2%
BMA top 20 EU bookrunners primary distribution survey, September 2006 Sources: BMA top 10 bookrunner primary distribution survey, July ‘05
€ Zone investment dominates Non-European investment not relevant 97% institutional Hedge funds not significant
Investors in the European High-Yield Market
By Region By Investor Type
€ ZONE 34%
FUND M GR 41% HEDGE FUND 27%
SWITZERLAND 4% EUROPE OTHER 3% NORTH AMERICA 10% OVERALL OTHER 1%
CORPORA TE 0% INSUR/PENSION 13% BA NK 15% PRIV TE A CLIENT/RETA IL 3%
UK 45% ASIA 3%
BMA top 20 EU bookrunners primary distribution survey, September 2006
C. BA & OTHER NK PUB ENTITY 1% BMA top 20 EU bookrunners primary distribution survey, September 2006
UK dominant in € high yield investment 97% institutional Hedge funds and Fund manager investment the strongest
Investors in European Securitisation
Wholly institutional investor base Bank investment the strongest CDO Investor Type
FUNDM R G 22% INSUR/PENSIO N 16% HEDG FUND E 13%
HEDG FUND E 7% INSUR/PENSIO N 12%
ABS Investor Type
FUNDM R G 29%
CO RA RPO TE 1%
CO RA RPO TE 1%
BA NK 46%
PRIV TE A CLIENT/RETA IL 2%
BA NK 47%
C. BA &O NK THER PUBENTITY 4%
BMA top 20 EU bookrunners primary distribution survey, September 2006
BMA top 20 EU bookrunners primary distribution survey, September 2006
Investor in European Structured Products
ABS Investor Location
€ ZONE 48%
CDO Investor Location
SW ITZERLAND 3% OTHER EUR 2% M IDDLE EAST & AFRICA 4% NORTH AM ERICA 10%
€ ZONE 42%
SW ITZERLAND 3% OTHER 3% UK 35% ASIA 5% M IDDLE EAST & AFRICA 2% NORTH AM ERICA 4%
ASIA 10% OTHER 1%
UK 28%
€ Zone investment dominates Strong UK investment Non-EU investment stronger in CDO