CDOs/CLOs

Spreads for DVI Inc. medical equipment lease ABS have widened significantly since accounting firm Deloitte & Touche announced it was stepping down as its independent auditor, which triggered ratings actions from all three rating agencies on the issuer's corporate unsecured debt. With the market asking whether this was the beginning of a blowup, or a buy opportunity, spreads on some classes of recently priced ABS widened by as much as 40 to 50 basis points on the bid side.

Lord Securities Corp. (LordSPV) and Jersey-based law firm Bailhache Labesse have recently formed a partnership enabling the two to offer multi-jurisdictional SPV administration, under the LordSPV banner.

Primary ABS issuance remained strong last week, with $14 billion in supply making the rounds, $11 billion of which had priced as of press time. For the first time in a long time, credit card supply dominated the calendar last week, with high quality offerings quickly tapping the market, with some seeing increases in size.

As the mid-year point rapidly approaches, CDO professionals are not looking forward to the relaxed pace of a summertime market. After all, new issuance slowed early on this year. Market mavens are doing all they can to keep investors from singing the summertime blues and from sliding too deeply into secondary market activity.

Year to date as of Jun 11 Term (days) 06/05 06/06 06/09 06/10 06/11 1-week

2003 2002 2001 ABS (Public and 144A) 245,361 193,092 168,777 ABS (Public and 144A excluding CDOs) 233,810 171,322 146,288 ABS (Public Only) 208,130 153,443 124,992 ABS (144A Only) 37,231 39,650 43,786 Non-Agency MBS 130,504 89,016 71,484 Agency MBS 267,213 204,840 102,095 CMBS 27,182 19,238 25,792 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 17.0 6 Deutsche Bank AG 1,644.5 2 14.2 4 Wachovia Corp 1,349.4 3 11.7 4 Bear Stearns & Co Inc 1,270.7 4 11.0 5 Citigroup 1,047.6 5 9.1 3 Goldman Sachs & Co 829.2 6 7.2 3 Morgan Stanley 628.4 7 5.4 3 Banc of America Securities LLC 597.8 8 5.2 2 Westdeutsche Landesbank Giro 545.0 9 4.7 1 Lehman Brothers 368.4 10 3.2 3 Industry Total 11,550.3 - 100.0 38 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 9,771.7 1 28.1 15 BANK ONE Corp 7,351.9 2 21.1 11 JP Morgan 4,479.3 3 12.9 9 Morgan Stanley 3,579.5 4 10.3 4 Barclays Capital 2,834.7 5 8.2 6 Banc of America Securities LLC 2,212.3 6 6.4 7 Deutsche Bank AG 1,707.6 7 4.9 5 Credit Suisse First Boston 969.3 8 2.8 3 Lehman Brothers 748.8 9 2.2 3 Wachovia Corp 673.0 10 1.9 3 Industry Total 34,790.6 - 100.0 55 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 20,711.3 1 15.5 46 Countrywide Securities Corp 12,582.6 2 9.4 20 Citigroup 10,636.9 3 8.0 29 JP Morgan 10,520.0 4 7.9 14 Deutsche Bank AG 9,940.6 5 7.5 21 Morgan Stanley 9,647.9 6 7.2 23 Royal Bank of Scotland Group 9,375.3 7 7.0 23 Banc of America Securities LLC 8,879.6 8 6.7 24 Credit Suisse First Boston 8,320.7 9 6.2 21 UBS 7,239.2 10 5.4 16 Industry Total 133,255.0 - 100.0 233 Source: Thomson Financial