JP Morgan Global ABS/CDO Weekly Market ... - Securitization.Net

Global Structured Finance Research 

J.P. Morgan Securities Inc. 

New York 

September 13, 2002 

Global ABS/CDO Weekly Market Snapshot 

Investment Themes: ABS market technicals held up quite well this week as new issues were smoothly absorbed and solid 

buying characterized secondary flow. However, serious concerns relating to the future of Conseco have already caused negative 

rating actions on the company's ABS and may further agitate an already headline-sensitive ABS market, particularly in the current 

credit and regulatory environment. Hence, we remain neutral on the overall ABS market. We think the Conseco situation will only 

exacerbate existing spread tiering dynamics in the market. 

This Week: US ABS. ABS supply totaled $8.4 billion over the past week. Two top Bank Card issuers were in the market. Last 

issuing in Q3 of 2001, KeyCorp returned with a Student Loan ABS deal as well. In addition to the regular stream of Home Equity 

issuers, a large $1.9 billion Global RMBS transaction added to the total. AAA fixed-rate Credit Card and Prime Auto spreads 

tightened 1bp across maturities. Short AAA HEL FRMs (2-5 year) also tightened 5 bps, while mezzanine and subordinated tranches 

recovered 5-15 bps, mostly on the upper end of the credit spectrum. 

European ABS. Three European transactions priced this week, officially kicking off the traditionally busy year-end. YTD total 

supply in European securitisations is US$82.2 billion, versus US$71.2 billion over the same period last year. There was one UK 

Credit Card deal and one UK RMBS deal both were from key European ABS issuers. The RMBS deal was reported to have met 

with strong investor demand and tight spreads. It is a £2.75 billion bumper issue offering 10 tranches of floaters in three currency 

denominations (dollar, euro and sterling). Most tranches came at the middle to tight end of price talk, and traders have already 

reported some tightening. The UK Credit Card deal offered three tranches of 5-year bullets, all of which priced at the tight end of 

talk. Unique Pub Finance Co, a £855 million whole business securitisation, is a tap issue that offers three tranches of fixed and 

floating rate sterling-denominated notes. 

Asian ABS. This week's Asian ABS market was dominated by a mega synthetic balance sheet CLO from Mizuho Corporate Bank, 

referenced to a JPY1.3 trillion investment grade credit portfolio. With this JPY242 billion funded issue, total Asian ABS supply 

surged to US$2.7 billion. The Mizuho CLO includes a JPY1 trillion unfunded super senior, JPY125 billion Aaa Class A CLN, and 

JPY117 billion mezzanine CLN (Aa2, A2, Baa1, Ba2), supported by JPY24 billion equity retained by the bank. Even with this high 

profile deal, issue terms are not disclosed and Moody's did not publicly release those ratings. Another deal from Japan was the 

JPY21.5 billion Gigan Telepco Trust Certificates backed by equipment lease receivables originated by Fuyo General Leasing. From 

South Korea, we saw two trade receivable-backed ABS by C&M and DWC as well as one balance sheet CLO backed by Hana 

Bank-originated Korean domestic loans to small and mid-size corporates. On Sept. 10, S&P downgraded Class A of FLY21 

Funding, a Kikin-backed ABS co-issued by Yasuda Life and Fukoku Life, from A- to BBB+ due to the downgrade of Yasuda Life's 

rating. 

CDOs. Four CDOs with a total of $2.7 billion in funded liabilities priced this week. Two multi-sector CDOs priced from the US, 

including the $300 million REIT and subordinated CMBS-backed Crest Clarendon. The deal priced its single-As at L+135 and 

BBBs at L+225, but delayed pricing of the $228 million AAA tranche (expected at L+48-50) until next week. In addition, the $252 

million E-Trade CDO priced its AAAs at L+55. From Asia, two balance sheet deals priced. Year-to-date Asian and European 

funded balance sheet CDO issuance is now approximately equivalent, with 21 Asian deals totaling $5.1 million and 20 European 

deals totaling $5.2 million thus far. US balance sheet issuance is lagging behind, with only 12 deals totaling $2.7 million. 

Other News: Fitch lowered Capital One Financial to BBB from BBB+ (outlook is Negative) due to concerns related to MOU with 

regulators and the need to scale back absolute growth, particularly in subprime. Fitch expressed comfort with COF's capital ratios 

and bank deposit raising initiatives. Charge-offs are expected to increase as growth is curtailed and the portfolio seasons. Moody's 

and S&P ratings on COF remain at Baa3 (Stable) and BB+ (Negative), respectively. On Sept. 12, Fitch downgraded 85 classes of 

Conseco Finance/Green Tree Finance manufactured housing transactions due to the continued deterioration in the company’s 

financial condition, which has heightened Fitch’s concerns about the performance of the MH ABS. 

Distribution of this report is restricted in certain countries. Important information concerning these and other restrictions is set forth at the end of this report. 

Contents 

US Relative Value 2 

Spreads Volatility 3 

Spreads 5 

Issuance 14 

Europe Spreads 27 

Issuance 28 

Asia Spreads 33 

Issuance 34 

CDO Spreads 43 

Issuance 45 

Pipeline 55 

Rating Changes 69 

Ratings Watch 79 

Christopher Flanagan 

Head, Global Structured Finance 

Research 

(1-212) 270-6515 

christopher.t.flanagan@jpmorgan.com 

ABS/CDO Research 

Ryan Asato 

(1-212) 270-0317 

ryan.asato@jpmorgan.com 

Edward Reardon 

(1-212) 270-0157 

edward.j.reardon@jpmorgan.com 

Amy Sze 

(1-212) 270-0030 

amy.sze@jpmorgan.com 

Kazuhiko Toya (Tokyo) 

(813) 5573-1331 

kazuhiko.toya@jpmorgan.com 

Linda Yu, CFA 

(813) 5573-1376 

linda.yu@jpmorgan.com 

http://www.morganmarkets. com

13 September 2002 

Analyst 



U.S. 

Spreads 

Relative Value 

Chart 1 

Floating vs. Asset Swapped (Cards) 

(bps) 

15 

10 

5 

0 

-5 

-10 

Jan-99 Oct-99 Jul-00 Apr-01 Jan-02 



2 Yr FL Cards - 2 Yr FX Cards Asset Swaped 

5 Yr FL Cards - 5 Yr FX Cards Asset Swaped 

Mat 

2 

5 

Float 

7 

13 

Fixed 

Swap 

8 

16 

Curr 

Pickup 

-1 

-3 

Avg* 

Pickup 

-1.2 

-0.6 

Diff 

0.2 

-2.4 

Chart 2 

Fixed Rate ABS Yield 3 vs. 5 Yr 

(bps) 

150 

100 

50 

0 


Coll 

Cards 

HEL 

Cards HEL MH 

5 Yr 3 Yr 

3.74% 

4.28% 

3.04% 

3.50% 

Curr 

Pickup 

70 

78 

Avg* 

Pickup 

66.5 

73.7 

Diff 

3.5 

4.3 

MH 6.08% 5.25% 83 79.2 3.8 

Chart 3 

Fixed Rate ABS Yield 5 vs. 10 Yr 

(bps) 

150 

100 

50 

0 


Coll 

Cards 

HEL 

MH 

Cards HEL MH 

10 Yr 5 Yr 

4.83% 

5.51% 

3.74% 

4.28% 

Curr 

Pickup 

109 

123 

Avg* 

Pickup 

90.6 

108.8 

Diff 

18.4 

14.2 

7.31% 6.08% 123 111.6 11.4 

Chart 4 

Prime vs. Mid Prime Autos 

(Nominal Spreads to Treasuries) 

Chart 5 

Fixed Rate ABS Quality Curve AAA vs. A 


Chart 6 

Fixed Rate ABS Quality Curve AAA vs. BBB 


50 

40 

30 

20 

10 

0 


2 Year 3 Year 

200 

150 

100 

50 

0 


Auto 3 Yr 

Cards 5 Yr 

HEL 5 Yr 

1000 

800 

600 

400 

200 

0 


Cards 5 Yr 

HEL 5 Yr 

MH 7 Yr 

Mat 

2 

3 

Mid 

Prime 

69 

89 

Prime 

53 

70 

Curr 

Pickup 

16 

19 

Avg* 

Pickup 

15.5 

19.1 

Diff 

0.5 

-0.1 

Coll 

Auto 

Cards 

HEL 

A 

99 

101 

AAA 

70 

72 

Curr 

Pickup 

29 

29 

Avg* 

Pickup 

33.9 

32.0 

Diff 

-4.9 

-3.0 

Coll 

Cards 

HEL 

BBB 

211 126 85 96.0 -11.0 MH 1,257 327 

181 

AAA 

72 

Curr 

Pickup 

109 

930 

Avg* 

Pickup 

98.1 

408.9 

Diff 

10.9 

246 126 120 123.6 -3.6 

521.1 

* Average pickup for past 12 months. 

Source: JPMS. 

2


Analyst 



U.S. 

Spread 

Volatility / 

Mean 

Reversion 

Chart 7 

Credit Cards (5 Year) 

Spread to Swaps (bps) 

40 

30 

20 

10 

0 

-10 

Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 



Chart 8 

Autos (3 Year) 


50 

40 

30 

20 

10 

0 

-10 

-20 


Chart 9 

Autos vs. Cards (3 Year) 

Spread Differential (bps) 

20 

15 

10 

5 

0 

-5 

-10 


Chart 10 Chart 11 Chart 12 

Home Equity (5 Year) 

FNMA (Current Coupon) 

Home Equity - FNMA 




150 

120 

90 

60 

30 

0 


150 

100 

50 

0 


60 

40 

20 

0 

-20 

-40 

-60 

-80 


Chart 13 

Swaps (5 Year) 

Swap Spread (bps) 

120 

100 

80 

60 

40 

20 

0 


Chart 14 

CMBS (5 Year) 

Spread to 5 Year Swap (bps) 

120 

100 

80 

60 

40 

20 

0 

-20 


Chart 15 

Agency PAC (5 Year) 

Spread to 5 Year Swaps (bps) 

200 

150 

100 

50 

0 

-50 



Weekly Spread Data 10 Week Moving Average +/- 2 Standard Deviations 

3


Analyst 



U.S. 

Spread 

Volatility / 

Mean 

Reversion - 

ABS vs. 

Corporates 

Chart 16 

Triple-A Cards (5 Year) 


50 

40 

30 

20 

10 

0 

-10 


Chart 19 

Single-A Cards (5 Year) 


100 

80 

60 

40 

20 

0 

-20 




Chart 17 

Double-A Banks (5 Year) 


60 

40 

20 

0 

-20 

120 

100 


Chart 20 

Single-A Banks (5 Year) 


80 

60 

40 

20 

0 


Chart 18 

Double-A Banks - Triple-A Cards 


60 

40 

20 

0 

-20 

-40 


Chart 21 

Single-A Banks - Single-A Cards 


60 

40 

20 

0 

-20 

-40 

-60 


Chart 22 Chart 23 Chart 24 

Triple-B Home Equity (5 Year) 

Triple-B Banks (5 Year) 

Triple-B HELs - Triple-B Banks 




500 

200 

400 

400 

150 

300 

300 

100 

200 

200 

100 

50 

100 

0 

0 

0 





Weekly Spread Data 10 Week Moving Average +/- 2 Standard Deviations 

4


Analyst 



U.S. 

Spreads 

Cross Sector 

Table 1 

U.S. Cross Sector Spreads 



Non Real Estate ABS Real Estate ABS & CMBS Cross Sector Spreads 

Sub 

Sub 

Sub 

Current 

Week 

2 8 

5 16 

10 32 

A (5) 45 

2 7 

5 13 

10 29 

A (5) 48 

1 13 

2 14 

3 16 

A (3) 45 

-1 

-1 

-1 

-1 

-1 

-1 

1 23 23 0 

2 30 30 0 

3 35 35 0 

2.5 2 

7 14 

Prior 

Week 

Credit Cards (Fixed - Swaps) 

9 

17 

33 

45 

Credit Cards (Floating - 1 Mo. LIBOR) 

7 

13 

29 

48 

Prime Auto (Fixed - Swaps) 

14 

15 

17 

45 

Near Prime Auto (Fixed - Swaps) 

Student Loans (3 Mo. LIBOR) 


2 

14 

0 

0 

0 

0 

0 

0 

0 

0 

7 

13 

26 

45 

6 

13 

26 

44 

13 

14 

11 

45 

21 

30 

30 

52 Week 

Chg Avg Min Max 

4 

13 

3 

8 

19 

40 

3 

10 

23 

37 

6 

6 

5 

35 

12 

18 

21 

2 

11 

13 

20 

35 

55 

11 

17 

31 

52 

20 

24 

18 

53 

30 

48 

43 

7 

15 

1 55 

3 55 

5 70 

7 90 

10 100 

NAS 70 

AA 110 

A 155 

55 

60 

75 

90 

100 

70 

125 

165 

BBB 190 195 -5 193 

Home Equity (Floating - 1 Mo. LIBOR) 

0 

-5 

-5 

0 

0 

0 

-15 

-10 

52 

58 

70 

91 

101 

66 

120 

166 

40 

44 

57 

75 

85 

55 

105 

145 

180 

65 

70 

85 

105 

120 

80 

140 

180 

210 

HELOC 34 32 2 27 24 34 

ARM 32 29 3 28 24 32 

1 

3 

5 

7 

10 

AA 

Current 

Week 

Home Equity (Fixed - Swaps) 

Subordinates (Fixed - Swaps) 

Manufactured Housing (Fixed - Swaps) 

190 

230 

250 

270 

280 

775 

BBB 1,200 

190 

230 

250 

270 

280 

Subordinates (Fixed - Swaps) 

CMBS (Fixed - Swaps) 

5 48 

10 48 

AA 

59 

A 70 

Prior 

52 Week 

Week Chg Avg Min Max 

0 

0 

0 

0 

0 

93 

117 

135 

154 

169 

45 

55 

70 

90 

120 

190 

230 

250 

270 

280 

7750 

775 0 275 155 775 

1,200 

500 

51 

61 

72 

0 

-2 

-3 

-2 

-2 

563 

52 

53 

66 

84 

316 1,200 

44 

44 

54 

67 

68 

66 

86 

111 

BBB 120 123 -3 137 112 175 

Current 

Week 

MBS (Fixed - Swaps) 

Agency Pac - 6.5% 

5 114 

10 95 

Agency Seq - 6.5% 

5 177 

10 108 

2 39 

5 56 

10 55 

115 

95 

178 

108 

Corporates (Fixed - Swaps) 

Industrial - AAA 

2 -8 

5 -12 

-2 

-9 

35 

55 

55 

-1 

0 

-1 

0 

-6 

-3 

10 9 14 -5 

Finance - AA 

2 52 

5 52 

61 

58 

-9 

-6 

10 84 89 -5 

Bank - AA 

Swaps 

2 31 

5 34 

Prior 

52 Week 

Week Chg Avg Min Max 

37 

37 

-6 

-3 

10 50 54 -4 

Bank - BBB 

2 148 

5 149 

157 

155 

-9 

-6 

10 173 178 -5 

4 

1 

1 

76 

71 

119 

90 

-12 

-12 

8 

32 

38 

67 

21 

26 

47 

132 

134 

160 

44 

62 

64 

46 

41 

86 

65 

-24 

-26 

-11 

13 

11 

43 

0 

1 

25 

82 

104 

140 

34 

44 

50 

118 

111 

181 

125 

8 

4 

28 

61 

71 

103 

41 

46 

77 

157 

155 

180 

75 

91 

84 

5


Analyst 



U.S. 

Spreads - Swap 

Cards 

Table 2 

U.S. Credit Card ABS Spreads to Swaps/LIBOR 

Date 

AAA Rated 



Fixed Credit Cards 

B Piece - A Rated 

C Piece - BBB Rated 

Floating Credit Cards 

AAA Rated B Piece - A Rated C Piece - BBB Rated 

2 3 4 5 7 10 2 3 4 5 7 10 2 3 5 7 10 1 2 3 4 5 7 9 10 15 2 3 4 5 7 10 2 3 5 7 10 

4/11/02 4 6 8 9 15 22 32 36 38 41 54 65 80 90 100 115 127 3 4 5 9 10 17 22 23 35 32 35 38 40 50 60 80 90 98 110 120 

4/18/02 4 6 8 10 15 22 32 36 38 41 54 65 80 90 100 115 127 3 4 5 9 10 17 22 23 35 32 35 38 40 50 60 80 90 98 110 120 

4/25/02 4 6 8 10 15 22 32 36 38 41 54 65 80 90 100 115 127 3 4 5 9 10 17 22 23 35 32 35 37 38 47 58 80 90 98 110 120 

5/2/02 4 6 8 10 15 22 32 36 38 41 54 65 80 90 100 115 127 3 4 5 9 11 18 22 24 35 32 35 37 38 47 58 80 90 98 110 120 

5/9/02 4 6 8 10 15 22 32 36 38 41 54 65 80 90 100 115 127 3 4 5 9 11 18 22 24 35 32 35 37 38 47 58 80 90 98 110 120 

5/16/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 4 5 9 11 18 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

5/23/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 4 5 9 11 18 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

5/30/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 4 5 9 11 18 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

6/6/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 3 5 9 11 18 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

6/13/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 3 5 9 11 18 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

6/20/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 3 5 9 11 18 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

6/27/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 3 5 9 11 18 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

7/3/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 3 5 9 11 18 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

7/11/02 4 5 8 10 15 22 30 35 37 40 52 65 80 88 98 115 127 3 3 5 9 11 17 22 24 35 30 33 35 37 46 56 78 88 95 108 117 

7/18/02 4 5 10 12 18 24 32 36 39 42 55 68 85 93 105 120 132 3 3 5 9 11 17 22 24 35 30 33 38 40 49 60 83 93 100 113 122 

7/25/02 7 8 13 15 22 30 35 40 42 45 60 75 95 105 115 130 140 4 4 6 10 12 20 25 27 38 32 35 40 42 51 62 88 99 105 118 127 

8/1/02 7 8 13 15 22 30 35 40 42 45 60 75 95 105 115 130 140 4 4 6 10 12 20 25 27 38 32 35 40 42 51 62 88 99 105 118 127 

8/8/02 8 9 14 16 23 32 37 42 44 47 63 80 100 110 120 135 145 5 6 8 12 14 22 27 30 40 35 38 43 45 55 65 93 103 110 125 135 

8/15/02 11 12 17 19 26 35 42 47 49 52 68 85 110 120 130 145 155 6 7 9 13 15 23 28 31 41 38 41 46 48 58 68 98 108 115 130 140 

8/22/02 11 12 17 19 26 35 37 40 43 45 60 75 110 120 130 145 155 6 7 9 13 15 23 28 31 41 38 41 46 48 58 68 98 108 115 130 140 

8/29/02 11 12 17 19 26 35 37 40 43 45 60 75 110 110 125 145 155 6 7 9 13 15 23 28 31 41 38 41 46 48 58 68 98 108 115 130 140 

9/5/02 9 10 15 17 24 33 37 40 43 45 60 75 110 110 125 145 155 6 7 8 11 13 22 26 29 41 38 41 46 48 58 68 98 108 115 130 140 

9/12/02 8 9 14 16 23 32 37 40 43 45 60 75 110 110 125 145 155 6 7 8 11 13 22 26 29 41 38 41 46 48 58 68 98 108 115 130 140 


Chart 25 

2 Yr Spreads to Swaps 

160 

130 

100 

70 

40 

10 

-20 

Feb-98 Feb-99 Feb-00 Feb-01 Feb-02 

Cards 

HEL 

MH 

Auto 

Chart 26 


170 

140 

110 

80 

50 

20 

-10 


Cards MH HEL 

Chart 27 


200 

170 

140 

110 

80 

50 

20 

-10 


Cards MH HEL 


6


Analyst 



U.S. 


Auto, St Loan, 

Stranded Asset 

Table 3 

U.S. Auto, Equipment, Stranded Asset, & Student Loan Spreads to Swaps/EDSF 

Date 

MM 

Prime Auto 

AAA 

1 2 3 

A 



Near Prime Auto Equipment Stranded Assets Student Loans Global RMBS Swap Spreads 

Ag/Construction Office/Medical 

T-Bill LIBOR LIBOR 

AAA 

AAA AAA AAA AAA AAA AAA 

Mid Market 

3 MM 1 2 3 MM 1 2 3 MM 1 2 3 2 3 5 7 10 

2.5 

7 2.5 7 

3 

2 

3 5 7 10 

4/11/02 -2 10 11 8 42 0 18 22 24 2 22 25 30 4 30 35 51 8 11 12 15 25 50 75 3 13 16 45 68 60 72 66 

4/18/02 -3 8 8 8 42 -2 16 20 22 2 22 25 30 4 30 35 50 10 12 14 17 27 50 75 3 13 16 45 68 59 71 63 

4/25/02 -3 8 8 8 42 -2 16 20 22 2 22 25 30 4 30 35 50 10 12 14 17 27 50 75 3 13 16 40 62 54 67 59 

5/2/02 -3 8 8 8 42 -2 16 20 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 4 14 16 42 63 54 65 55 

5/9/02 -3 8 8 8 42 -2 16 20 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 4 14 16 43 62 46 61 55 

5/16/02 -4 7 6 6 40 -3 15 18 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 3 14 16 41 60 44 58 53 

5/23/02 -4 7 6 6 40 -3 15 18 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 3 14 16 43 60 45 57 52 

5/30/02 -4 6 7 5 40 -3 13 19 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 3 14 15 38 56 44 57 50 

6/6/02 -4 6 7 5 40 -3 13 19 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 3 14 15 42 59 47 59 52 

6/13/02 -4 6 7 5 40 -3 13 19 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 3 14 15 44 63 50 62 55 

6/20/02 -4 6 7 5 35 -3 13 19 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 3 14 15 43 61 50 61 53 

6/27/02 -4 6 7 5 35 -3 13 19 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 3 14 16 43 64 52 62 54 

7/3/02 -4 6 7 5 35 -3 13 19 22 2 22 25 30 0 25 37 50 10 12 15 22 30 50 75 3 14 16 37 59 52 63 55 

7/11/02 -4 6 7 5 35 -3 12 18 21 2 22 25 30 0 25 37 50 10 12 16 24 32 50 75 3 14 16 37 56 49 61 51 

7/18/02 -4 6 7 5 35 -3 12 18 21 2 22 25 30 0 25 37 50 10 12 16 24 32 50 75 3 14 16 40 61 54 65 55 

7/25/02 -3 8 9 7 38 -2 20 25 30 2 30 35 40 0 35 45 60 15 17 22 30 40 50 75 4 15 18 43 63 64 75 63 

8/1/02 -3 10 12 11 45 -2 20 27 33 2 30 35 40 0 35 45 60 15 17 22 30 40 50 75 4 15 18 45 68 68 78 62 

8/8/02 -3 10 12 11 45 -2 18 25 30 2 30 35 40 0 35 45 60 18 20 25 33 45 50 75 4 15 19 40 59 59 70 55 

8/15/02 0 13 15 14 45 3 23 30 35 7 35 40 45 5 40 50 65 18 20 25 33 45 50 75 3 14 19 38 55 57 69 55 

8/22/02 0 13 15 14 45 3 23 30 35 7 35 40 45 5 40 50 65 18 20 25 33 45 50 75 2 14 19 40 56 56 67 54 

8/29/02 0 14 15 17 45 3 23 30 35 7 35 40 45 5 40 50 65 18 20 25 33 45 50 75 2 14 19 34 48 52 64 52 

9/5/02 0 14 15 17 45 3 23 30 35 7 35 40 45 5 40 50 65 18 20 25 33 45 50 75 2 14 19 35 50 55 67 55 

9/12/02 -1 13 14 16 45 3 23 30 35 7 35 40 45 5 40 50 65 18 20 25 33 45 50 75 2 14 19 39 54 56 67 55 


Chart 28 

2 Yr Treasury vs. Swap Yields 

8% 

7% 

6% 

5% 

4% 

3% 

2% 


Treasury 

Swap Yield 

Chart 29 


8% 

7% 

6% 

5% 

4% 

3% 


Treasury 

Swap Yield 

Chart 30 


8% 

7% 

6% 

5% 

4% 

3% 


Treasury 

Swap Yield 


7


Analyst 



U.S. 


HEL & MH 

Table 4 

U.S. Real Estate ABS Spreads to Swaps/LIBOR 

Date 



Home Equity 

Fixed Rate Subord 125s 

ARMs 

HELOC 

AAA AA A BBB 

AAA 

AAA AA A BBB AAA AAA 

Manufactured Housing 

1 2 3 4 5 7 10 NAS 6 6 5 1 2 3 5 7 10 3 5 5 5 3 

1 2 3 5 7 10 10 7 

4/11/02 45 45 52 56 58 80 95 60 116 165 195 50 50 57 65 95 105 26 63 110 175 27 100 105 125 145 160 170 225 600 

4/18/02 45 45 52 56 58 80 95 60 105 155 180 50 50 57 65 95 105 26 63 110 175 27 100 105 125 145 160 170 225 600 

4/25/02 45 46 52 56 58 80 95 60 105 155 180 50 50 57 65 95 105 26 63 110 175 27 100 105 125 145 160 170 225 600 

5/2/02 45 45 52 56 58 80 95 60 105 155 180 50 50 57 65 95 105 26 63 110 175 27 100 105 125 145 160 170 225 600 

5/9/02 43 43 50 55 57 80 95 58 110 155 180 47 49 53 60 93 103 26 63 110 175 27 100 105 125 145 160 170 225 600 

5/16/02 43 43 50 55 57 80 95 58 110 155 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

5/23/02 43 43 50 55 57 80 95 58 110 155 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

5/30/02 43 43 50 55 57 80 95 58 110 155 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

6/6/02 40 41 45 55 59 75 85 55 110 155 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

6/13/02 40 41 45 55 59 75 85 55 115 155 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

6/20/02 40 41 45 55 59 75 85 55 115 155 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

6/27/02 40 43 48 55 59 75 85 55 115 155 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

7/3/02 40 43 48 55 59 75 85 55 115 155 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

7/11/02 48 40 44 53 58 75 85 55 105 145 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

7/18/02 48 40 44 53 58 75 85 55 105 145 180 47 49 53 60 93 103 25 60 105 170 25 80 100 120 140 155 165 215 575 

7/25/02 50 42 46 55 60 77 87 57 110 150 185 49 51 55 62 95 105 26 63 110 175 26 85 105 125 145 160 170 225 600 

8/1/02 50 42 46 55 60 77 87 57 110 150 185 49 51 55 62 95 105 26 63 110 175 26 85 105 125 145 160 170 225 600 

8/8/02 47 45 50 60 65 80 90 60 115 155 185 50 54 59 72 95 105 27 65 115 180 27 90 110 130 150 165 175 225 600 

8/15/02 52 50 55 65 70 85 95 65 120 160 190 55 59 64 77 100 110 27 65 115 180 27 115 135 155 175 190 200 275 675 

8/22/02 52 50 55 65 70 85 95 65 120 160 190 55 59 64 77 100 110 27 65 115 180 28 115 135 155 175 190 200 275 675 

8/29/02 52 50 55 65 70 85 95 65 120 160 190 55 59 64 77 100 110 27 65 115 180 30 165 185 205 225 240 250 675 1075 

9/5/02 55 55 60 70 75 90 100 70 125 165 195 60 65 70 85 110 120 29 60 110 180 32 190 210 230 250 270 280 775 1200 

9/12/02 55 50 55 65 70 90 100 70 110 155 190 65 60 65 80 105 115 32 60 110 175 34 190 210 230 250 270 280 775 1200 

AA 

BBB 


8


Analyst 



U.S. 


Corporates & 

Table 5 

U.S. Corporate & Agency Spreads to Swaps 



Industrials Banks Finance 

AAA AA A 

AA A BBB 

AA A BBB 

Date 

Agency 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 

5 10 

Agency 

Benchmark 

4/11/02 -16 -6 -1 -8 -3 4 48 54 71 12 24 34 33 41 51 132 138 157 19 32 52 89 92 102 227 217 216 -9 3 

4/18/02 -16 -7 4 -9 -3 6 45 52 67 12 26 38 31 40 52 130 136 152 20 33 55 79 81 92 190 176 177 -7 3 

4/25/02 -11 -3 7 -5 1 10 54 61 77 19 33 44 38 48 60 139 145 161 30 45 66 89 91 101 205 191 191 -8 5 

5/2/02 -13 -3 11 -8 1 14 52 61 84 15 31 47 35 45 64 137 144 165 24 45 69 89 94 108 218 201 205 -9 5 

5/9/02 -18 -7 10 -11 -3 14 48 57 78 11 25 44 29 38 61 132 139 160 19 38 66 82 89 107 222 204 205 -7 5 

5/16/02 -17 -9 12 -11 -4 17 46 55 76 11 23 42 26 33 57 124 131 151 19 36 62 81 90 106 234 211 207 -8 4 

5/23/02 -19 -10 13 -11 -3 15 42 53 73 6 19 42 22 35 54 117 125 146 15 30 62 75 86 104 222 205 203 -9 4 

5/30/02 -15 -10 14 -6 -2 15 46 53 71 9 20 41 25 34 53 120 124 143 18 29 60 76 83 100 217 196 200 -11 5 

6/6/02 -19 -11 13 -12 -7 11 45 53 73 6 18 40 25 34 53 119 124 144 18 32 64 74 84 102 279 254 239 -13 5 

6/13/02 -20 -13 9 -13 -8 8 44 52 76 4 18 39 24 32 52 119 124 145 18 30 66 74 84 105 306 280 265 -13 3 

6/20/02 -17 -10 10 -10 -5 12 49 57 84 6 22 44 28 37 56 127 133 159 23 35 72 77 87 112 267 245 237 -14 4 

6/27/02 -15 -9 14 -8 -2 17 61 67 93 12 29 52 37 46 65 138 144 169 27 42 77 90 99 122 268 254 247 -19 4 

7/3/02 -9 -8 13 -2 -1 17 71 73 98 18 29 52 44 47 66 146 147 170 35 44 78 98 102 124 268 248 240 -17 2 

7/11/02 -6 -1 23 2 5 19 70 75 99 18 30 54 43 47 68 144 149 174 36 48 82 102 106 127 243 221 224 -15 5 

7/18/02 -10 -6 21 -2 -1 18 71 71 97 14 24 50 40 41 64 146 146 176 38 45 76 106 106 126 243 218 223 -20 3 

7/25/02 -4 -10 14 -2 -7 13 74 68 97 40 44 62 52 51 67 157 151 177 56 56 85 137 131 142 342 306 297 -23 -5 

8/1/02 -10 -18 11 -5 -13 10 69 61 89 33 35 53 47 44 63 150 142 173 45 44 77 115 107 128 305 272 273 -13 1 

8/8/02 -5 -9 15 0 -4 22 81 79 102 35 39 57 50 47 66 155 151 180 53 49 79 128 126 145 330 301 295 -16 3 

8/15/02 -3 -8 13 2 -6 15 81 77 99 34 35 53 51 45 63 153 148 176 57 53 80 124 123 147 328 299 295 -10 8 

8/22/02 -8 -11 11 -3 -6 13 69 69 88 29 33 50 46 46 61 145 145 172 52 52 77 100 100 119 270 250 249 -13 7 

8/29/02 -2 -7 14 4 0 16 79 77 94 35 36 53 51 49 64 153 151 175 56 54 81 114 112 131 284 257 254 -14 4 

9/5/02 -2 -9 15 4 -1 21 81 78 98 37 37 55 53 50 67 157 155 179 61 58 90 118 115 136 277 250 247 -16 3 

9/12/02 -8 -12 9 -3 -7 16 72 70 90 32 34 50 48 48 64 149 149 173 53 52 84 105 106 128 264 239 237 -13 5 


9


Analyst 



U.S. 

Spreads - Tsy 

Cards, Auto, 

Equip, St Asset 

Table 6 

U.S. ABS Spreads to Treasuries 

Date 



Credit Cards Prime Auto Near Prime Auto Equipment 

Stranded Assets 

Ag/Construction Office/Medical 

AAA B Piece - A AAA A 

AAA 

AAA AAA AAA 

2 3 4 5 7 10 2 3 4 5 7 10 

MM 

1 2 3 

3 MM 1 2 3 MM 1 2 3 MM 1 2 3 2 3 5 7 10 

4/11/02 49 66 72 69 78 88 77 96 102 101 117 131 -2 10 56 68 102 0 18 67 84 2 22 70 90 4 30 80 111 53 71 72 78 91 

4/18/02 49 66 71 69 78 85 77 96 101 100 117 128 -3 8 53 68 102 -2 16 65 82 2 22 70 90 4 30 80 110 55 72 73 80 90 

4/25/02 44 61 66 64 73 81 72 91 96 95 112 124 -3 8 48 63 97 -2 16 60 77 2 22 65 85 4 30 75 105 50 67 68 75 86 

5/2/02 46 62 67 64 72 77 74 92 97 95 111 120 -3 8 50 64 98 -2 16 62 78 2 22 67 86 0 25 79 106 52 68 69 79 85 

5/9/02 47 61 60 56 69 77 75 91 90 87 108 120 -3 8 51 63 97 -2 16 63 77 2 22 68 85 0 25 80 105 53 67 61 76 85 

5/16/02 45 59 57 54 66 75 71 89 86 84 103 118 -4 7 47 60 94 -3 15 59 76 2 22 66 84 0 25 78 104 51 66 59 73 83 

5/23/02 47 59 59 55 68 74 73 89 88 85 105 117 -4 7 49 60 94 -3 15 61 76 2 22 68 84 0 25 80 104 53 66 60 75 82 

5/30/02 42 57 59 54 67 72 68 87 88 84 104 115 -4 6 45 57 92 -3 13 57 74 2 22 63 82 0 25 75 102 48 64 59 74 80 

6/6/02 46 60 61 57 68 74 72 90 90 87 105 117 -4 6 49 60 95 -3 13 61 77 2 22 67 85 0 25 79 105 52 67 62 75 82 

6/13/02 48 64 64 60 72 77 74 94 93 90 109 120 -4 6 51 64 99 -3 13 63 81 2 22 69 89 0 25 81 109 54 71 65 79 85 

6/20/02 47 65 66 60 72 75 73 95 95 90 109 118 -4 6 50 65 95 -3 13 62 82 2 22 68 90 0 25 80 110 53 72 65 79 83 

6/27/02 47 65 67 62 72 76 73 95 96 92 109 119 -4 6 50 65 95 -3 13 62 82 2 22 68 90 0 25 80 110 53 72 67 79 84 

7/3/02 41 62 64 62 72 77 67 92 93 92 109 120 -4 6 44 62 92 -3 13 56 79 2 22 62 87 0 25 74 107 47 69 67 79 85 

7/11/02 41 61 66 59 76 73 67 91 95 89 113 116 -4 6 44 61 91 -3 12 55 77 2 22 62 86 0 25 74 106 47 68 65 85 83 

7/18/02 44 59 67 66 75 79 72 90 96 96 112 123 -4 6 47 59 89 -3 12 58 75 2 22 65 84 0 25 77 104 50 66 70 81 87 

7/25/02 50 65 78 79 88 93 78 97 107 109 126 138 -3 8 52 64 95 -2 20 68 87 2 30 78 97 0 35 88 117 58 74 86 96 103 

8/1/02 52 71 81 83 91 92 80 103 110 113 129 137 -3 10 57 74 108 -2 20 72 96 2 30 80 103 0 35 90 123 60 80 90 99 102 

8/8/02 48 66 74 75 74 87 77 99 104 106 114 135 -3 10 52 68 102 -2 18 65 87 2 30 75 97 0 35 85 117 58 77 84 84 100 

8/15/02 49 65 73 76 79 90 80 100 105 109 121 140 0 13 53 67 98 3 23 68 88 7 35 78 98 5 40 88 118 56 73 82 86 100 

8/22/02 51 64 72 75 74 89 77 92 98 101 108 129 0 13 55 66 97 3 23 70 87 7 35 80 97 5 40 90 117 58 72 81 81 99 

8/29/02 45 61 69 71 76 87 71 89 95 97 110 127 0 14 49 66 94 3 23 64 84 7 35 74 94 5 40 84 114 52 69 77 83 97 

9/5/02 44 61 71 72 81 88 72 91 99 100 117 130 0 14 50 68 96 3 23 65 86 7 35 75 96 5 40 85 116 53 71 80 90 100 

9/12/02 47 63 72 72 80 87 76 94 101 101 117 130 -1 13 53 70 99 3 23 69 89 7 35 79 99 5 40 89 119 57 74 81 90 100 


Chart 31 

2 Yr Spreads to Treasuries 

Chart 32 


Chart 33 


270 

240 

210 

180 

150 

120 

90 

60 

30 

0 



Cards MH HEL 

Auto 

Swap 

330 

300 

270 

240 

210 

180 

150 

120 

90 

60 

30 

0 


Cards 

HEL 

MH 

Swap 

280 

230 

180 

130 

80 

30 

-20 


Cards 

HEL 

MH 

Swap 

10


Analyst 



U.S. 

Spreads - Tsy 

HEL & MH 

Table 7 

U.S. Real Estate ABS Spreads to Treasuries 

Date 



Home Equity 

Fixed Rate Subord 125s 

Manufactured Housing 

AAA AA A BBB 

AAA AAA 

AA BBB 

1 2 3 4 5 7 10 NAS 6 6 5 1 2 3 5 7 10 

1 3 5 7 10 10 7 

4/11/02 45 90 112 120 118 143 161 120 176 225 255 50 95 117 125 158 171 100 185 205 223 236 291 663 

4/18/02 45 90 112 119 117 143 158 119 164 214 239 50 95 117 124 158 168 100 185 204 223 233 288 663 

4/25/02 45 86 107 114 112 138 154 114 159 209 234 50 90 112 119 153 164 100 180 199 218 229 284 658 

5/2/02 45 87 108 115 112 137 150 114 159 209 234 50 92 113 119 152 160 100 181 199 217 225 280 657 

5/9/02 43 86 105 107 103 134 150 104 156 201 226 47 92 108 106 147 158 100 180 191 214 225 280 654 

5/16/02 43 84 104 104 101 131 148 102 154 199 224 47 90 107 104 144 156 80 174 184 206 218 268 626 

5/23/02 43 86 104 106 102 133 147 103 155 200 225 47 92 107 105 146 155 80 174 185 208 217 267 628 

5/30/02 43 81 102 106 101 132 145 102 154 199 224 47 87 105 104 145 153 80 172 184 207 215 265 627 

6/6/02 40 83 100 108 106 128 137 102 157 202 227 47 91 108 107 146 155 80 175 187 208 217 267 628 

6/13/02 40 85 104 111 109 132 140 105 165 205 230 47 93 112 110 150 158 80 179 190 212 220 270 632 

6/20/02 40 84 105 113 109 132 138 105 165 205 230 47 92 113 110 150 156 80 180 190 212 218 268 632 

6/27/02 40 86 108 114 111 132 139 107 167 207 232 47 92 113 112 150 157 80 180 192 212 219 269 632 

7/3/02 40 80 105 111 111 132 140 107 167 207 232 47 86 110 112 150 158 80 177 192 212 220 270 632 

7/11/02 48 77 100 111 107 136 136 104 154 194 229 47 86 109 109 154 154 80 176 189 216 216 266 636 

7/18/02 48 80 98 110 112 132 140 109 159 199 234 47 89 107 114 150 158 80 174 194 212 220 270 632 

7/25/02 50 85 103 120 124 143 150 121 174 214 249 49 94 112 126 161 168 85 182 209 226 233 288 666 

8/1/02 50 87 109 123 128 146 149 125 178 218 253 49 96 118 130 164 167 85 188 213 229 232 287 669 

8/8/02 47 85 107 120 124 131 145 119 174 214 244 50 94 116 131 146 160 90 187 209 216 230 280 651 

8/15/02 52 88 108 121 127 138 150 122 177 217 247 55 97 117 134 153 165 115 208 232 243 255 330 728 

8/22/02 52 90 107 120 126 133 149 121 176 216 246 55 99 116 133 148 164 115 207 231 238 254 329 723 

8/29/02 52 84 104 117 122 135 147 117 172 212 242 55 93 113 129 150 162 165 254 277 290 302 7271E+03 

9/5/02 55 90 111 126 130 147 155 125 180 220 250 60 100 121 140 167 175 190 281 305 327 335 8301E+03 

9/12/02 55 89 109 123 126 147 155 126 166 211 246 65 99 119 136 162 170 190 284 306 327 335 8301E+03 


11


Analyst 



U.S. 

Spreads - Tsy 

CMBS, MBS & 

FNMA 

Table 8 

U.S. CMBS, MBS & FNMA Spreads to Treasuries 

Date 

CMBS 

AAA AA A BBB 

5 10 10 10 10 



MBS 

AA A BBB BB B 

10 10 10 10 10 

Agency PACs 

6.5%* 

5 10 

Agency Sequentials 

6.5%* 

5 10 

FNMA 

Current Coupon 

4/11/02 109 113 123 135 180 160 180 260 500 1125 115 116 

160 131 

125 

4/18/02 105 109 118 130 175 155 175 265 530 1150 123 127 

160 142 

119 

4/25/02 102 108 117 128 173 150 170 255 500 1100 123 110 

165 132 

123 

5/2/02 104 105 114 126 169 150 170 255 500 1100 122 116 

165 136 

122 

5/9/02 94 103 112 126 169 145 165 245 475 1075 125 114 

165 134 

116 

5/16/02 93 101 111 126 170 142 162 240 475 1075 120 119 

170 136 

111 

5/23/02 93 101 111 126 170 144 164 240 475 1075 116 110 

166 127 

115 

5/30/02 94 100 111 126 170 140 160 240 450 1050 116 110 

166 127 

115 

6/6/02 95 101 112 127 170 144 164 240 425 1025 116 110 

166 127 

118 

6/13/02 97 102 112 124 170 145 165 230 415 1015 120 102 

170 124 

120 

6/20/02 95 99 109 121 170 150 170 230 400 1000 120 102 

170 124 

121 

6/27/02 96 99 109 121 168 150 170 230 400 1000 142 117 

170 141 

129 

7/3/02 97 100 110 122 169 150 170 230 400 1000 145 120 

170 144 

123 

7/11/02 95 97 107 120 166 150 170 225 400 1000 135 120 

180 146 

128 

7/18/02 99 99 109 123 168 150 170 225 400 1000 118 103 

180 135 

128 

7/25/02 117 114 124 136 185 150 170 225 400 1000 120 104 

182 136 

141 

8/1/02 120 112 121 132 183 150 170 225 400 1000 120 121 

182 162 

138 

8/8/02 110 105 115 125 176 160 180 240 400 1000 155 127 

230 140 

189 

8/15/02 107 106 116 127 176 170 190 240 400 1000 170 131 

233 141 

172 

8/22/02 104 104 114 125 174 175 195 240 400 1000 170 150 

233 163 

178 

8/29/02 101 102 112 123 174 175 195 240 400 1000 170 150 

233 163 

163 

9/5/02 105 106 116 127 178 185 205 250 400 1000 170 150 

233 163 

149 

9/12/02 104 103 114 125 175 

170 150 

233 163 

152 


* 7.5% coupon prior to 1/18/01 

12


Analyst 



U.S. 

Spreads - Tsy 

Corporates & 



Table 9 

U.S. Corporate & Agency Spreads to Treasuries 

Industrials Banks Finance 

AAA AA A 

AA A BBB 

AA A BBB 

Benchmark 

Agency Date 

2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 2 5 10 

5 10 

4/11/02 29 54 65 37 57 70 93 114 137 57 84 100 78 101 117 177 198 223 64 92 118 134 152 168 272 277 282 51 69 

4/18/02 29 52 67 36 56 69 90 111 130 57 85 101 76 99 115 175 195 215 65 92 118 124 140 155 235 235 240 52 66 

4/25/02 29 51 66 35 55 69 94 115 136 59 87 103 78 102 119 179 199 220 70 99 125 129 145 160 245 245 250 46 64 

5/2/02 29 51 66 34 55 69 94 115 139 57 85 102 77 99 119 179 198 220 66 99 124 131 148 163 260 255 260 45 60 

5/9/02 25 39 65 32 43 69 91 103 133 54 71 99 72 84 116 175 185 215 62 84 121 125 135 162 265 250 260 39 60 

5/16/02 24 35 65 30 40 70 87 99 129 52 67 95 67 77 110 165 175 204 60 80 115 122 134 159 275 255 260 36 57 

5/23/02 24 35 65 32 42 67 85 98 125 49 64 94 65 80 106 160 170 198 58 75 114 118 131 156 265 250 255 36 56 

5/30/02 23 34 64 32 42 65 84 97 121 47 64 91 63 78 103 158 168 193 56 73 110 114 127 150 255 240 250 33 55 

6/6/02 23 36 64 30 40 62 86 99 124 47 64 91 66 80 104 160 170 195 59 78 115 115 130 153 320 300 290 34 56 

6/13/02 24 37 64 31 42 63 88 102 131 48 68 94 68 82 107 163 174 200 62 80 121 118 134 160 350 330 320 37 58 

6/20/02 26 40 63 33 45 65 92 107 137 49 72 97 71 87 109 170 183 212 66 85 125 120 137 165 310 295 290 36 57 

6/27/02 28 43 67 35 50 70 103 118 146 54 80 105 79 97 118 180 195 222 69 93 130 132 150 175 310 305 300 33 57 

7/3/02 28 44 68 35 51 72 108 125 153 55 81 107 81 99 121 183 199 225 72 96 133 135 154 179 305 300 295 35 57 

7/11/02 31 48 74 39 54 70 107 124 150 55 79 105 80 96 119 181 198 225 73 97 133 139 155 178 280 270 275 34 56 

7/18/02 30 48 75 38 53 72 110 125 151 53 78 104 79 95 118 185 200 230 77 99 130 145 160 180 282 272 277 34 57 

7/25/02 39 54 77 41 57 76 117 132 160 83 108 125 95 115 130 200 215 240 99 120 148 180 195 205 385 370 360 41 58 

8/1/02 35 50 73 40 55 72 114 129 151 78 103 115 92 112 125 195 210 235 90 112 139 160 175 190 350 340 335 55 63 

8/8/02 35 50 70 40 55 77 121 138 157 75 98 112 90 106 121 195 210 235 93 108 134 168 185 200 370 360 350 44 58 

8/15/02 35 49 68 39 51 70 118 134 154 71 92 108 88 102 118 190 205 231 94 110 135 161 180 202 365 356 350 47 63 

8/22/02 32 45 65 37 50 67 109 124 142 69 88 104 86 101 115 185 200 226 92 107 131 140 155 173 310 305 303 43 61 

8/29/02 32 45 66 38 52 68 113 129 146 69 88 105 85 101 116 187 203 227 90 106 133 148 164 183 318 309 306 38 56 

9/5/02 33 46 69 39 54 75 116 133 152 72 92 109 88 105 121 192 210 233 96 113 144 153 170 190 312 305 301 40 58 

9/12/02 31 44 64 36 49 71 110 126 145 70 90 105 86 104 119 187 205 228 91 108 139 143 162 183 302 295 292 43 60 


Agency 

13


Analyst 



U.S. Public 

New Issue 

By Month 

Table 9 

Issuance by Collateral by Month 

2001 



Thru 9/13/02 ($ Millions) 

Global 

Total Auto Cards HEL MH Equip Student RMBS Other* 

Table 10 

Floating Rate by Collateral by Month 


Total Auto Cards HEL MH Equip Student RMBS Other* 

Sep 25,161 8,397 2,943 8,082 426 1,112 800 3,402 0 

66% 35% 100% 77% 100% 0% 100% 100% 

Oct 31,018 10,988 5,631 9,226 1,338 0 0 1,924 1,911 

50% 29% 57% 78% 0% 100% 0% 

Nov 18,652 1,657 2,040 8,743 1,081 2,301 2,288 0 543 

60% 0% 26% 87% 14% 24% 100% 

0% 

Dec 22,165 2,809 2,700 14,238 455 0 0 0 1,963 

65% 21% 100% 71% 7% 51% 

2002 

Jan 27,487 12,306 5,813 8,186 0 0 335 0 847 

52% 43% 60% 68% 0% 

0% 

Feb 16,704 3,624 3,090 7,055 399 0 1,536 1,000 0 

70% 20% 84% 81% 25% 100% 100% 

Mar 46,138 7,571 4,134 24,531 864 1,248 3,120 4,141 529 

77% 29% 90% 84% 89% 48% 100% 100% 63% 

Apr 24,035 7,767 4,657 8,280 654 0 2,091 0 586 

55% 0% 83% 88% 5% 100% 

0% 

May 39,019 10,510 13,055 9,305 981 2,131 1,036 0 2,000 

52% 6% 77% 66% 6% 10% 100% 

100% 

Jun 35,001 3,870 5,600 19,673 0 0 1,757 3,781 320 

66% 17% 87% 61% 100% 100% 0% 

Jul 18,752 6,236 3,217 6,498 0 623 711 1,000 467 

69% 29% 100% 91% 0% 82% 100% 100% 

Aug 25,419 8,733 1,102 12,544 802 0 1,639 0 600 

55% 27% 91% 70% 26% 100% 

0% 

Sep 11,952 1,700 3,831 3,512 0 0 961 1,948 0 

75% 23% 87% 65% 100% 100% 

YTD Summary (Thru 09/13) 

2001 197,775 

% Issuance 

2002 244,507 

% Issuance 

Full Year Summary 

2001 283,234 

% Issuance 

50,473 47,113 55,557 3,486 4,343 7,177 10,316 19,311 

26% 24% 28% 2% 2% 4% 5% 10% 

62,316 44,498 99,584 3,701 4,002 13,186 11,870 5,349 

25% 18% 41% 2% 2% 5% 5% 2% 

70,151 59,241 92,378 6,785 6,644 9,465 14,841 23,728 

25% 21% 33% 2% 2% 3% 5% 8% 

115,013 11,095 38,578 36,612 624 1,001 6,483 10,316 

FL % 58% 22% 82% 66% 18% 23% 90% 100% 

153,886 

FL % 63% 

166,448 

FL % 59% 

14,180 36,090 74,245 1,173 807 12,721 11,870 

23% 81% 75% 32% 20% 96% 100% 

16,858 46,784 65,113 1,231 1,545 8,771 14,841 

24% 79% 70% 18% 23% 93% 100% 

10,305 

53% 

2,801 

52% 

11,305 

48% 

Chart 34 

Issuance by Year 

US$ (Billions) 

300 

250 

200 

150 

100 

50 

0 

152 

180 188 200 

230 

283 

245 

1996 1997 1998 1999 2000 2001 2002 

Chart 35 

2001 Total Issuance by Collateral Type 

Mobes 

2% 

Home 

Eq 

34% 

Other 

8% 

Student 

Loans 

3% 

Global Equip 

RMBS 2% 

5% 

Auto 

25% 

Cards 

21% 

Chart 36 

2002 YTD Issuance by Collateral Type 

Student 

Other 

Mobes Loans 

2% 

2% 5% 

Home 

Eq 

41% 

Auto 

25% 

Global Equip 

RMBS 2% 

5% 

Cards 

18% 

* Other includes deals backed by Dealer Floorplan, Stranded Asset, RV, Boat, Consumer, EETC, and Small Business Loans. 

Sources: JPMS, MCM CorporateWatch, Bloomberg. 

14


Analyst 



U.S. 

New Issue 

Spreads 

Table 12 

U.S. New Issue Spreads by WAL 



8/14/02 - 9/13/02 

Date Issuer Series 

Spread to Weighted Average Life 

Subordinate Spreads 

.5 1 2 3 4 5 7 >= 10 NAS AA A BBB 

Auto Fleet 

8/23/02 ARG Funding Corp. 2002-2A 

B 

1ML+190 

2.31 

1ML+275 

2.39 

1ML+600 

Auto Non Prime 

9/6/02 AmeriCredit Auto Receivables Trust 2002-D 

A-1 

3ML-2 

A-2 

EDSF+23 

A-3 

Swap+37 

A-4 

Swap+43 

9/4/02 Capital One Auto Finance Trust 2002-B 

A-1 

4ML-1 

A-2B 

EDSF+24 

A-3B 

Swap+39 

A-4B 

Swap+44 

8/21/02 Household Automotive Trust 2002-2 

A-1 

3ML+0 

A-2 

EDSF+24 

A-3 

Swap+37 

A-4 

1ML+30 

Auto Prime 

8/22/02 Ford Credit Auto Owner Trust 2002-D 

A-2B 

EDSF+16 

A-3B 

Swap+16 

A-4B 

Swap+18 

3.04 

Swap+50 

3.04 

Swap+135 

8/15/02 MMCA Auto Owner Trust 2002-3 

A-1 

3ML-1 

A-2 

EDSF+21 

A-3 

Swap+37 

A-4 

Swap+40 

1.96 

EDSF+130 

1.96 

EDSF+205 

CrCds - Bank 

9/12/02 Citibank Credit Card Issuance Trust 2002-A5 

A-5 

3ML+4 

9/10/02 MBNA Credit Card Master Note Trust 2002-A10 

A-10 

1ML+14 

9/5/02 Bank One Issuance Trust 2002-A3 

A 

Swap+15 

8/21/02 MBNA Credit Card Master Note Trust 2002-B3 

3.00 

1ML+40 

8/21/02 MBNA Credit Card Master Note Trust 2002-C5 

3.00 

Swap+110 

8/21/02 MBNA Credit Card Master Note Trust 2002-C4 

5.00 

1ML+120 

Sources: JPMS, MCM CorporateWatch, Bloomberg. 15


Analyst 



U.S. 

New Issue 

Spreads 

Table 12 




8/14/02 - 9/13/02 




.5 1 2 3 4 5 7 >= 10 NAS AA A BBB 

CrCds - Retail 

9/4/02 Sears Credit Account Master Trust II 2002-4 

A 

1ML+13 

3.00 

1ML+42.5 

HEL - 2nd 

9/13/02 Countrywide Asset Backed Certificates 2002-SC1 

A-1 

1ML+17 

A-2 

Swap+65 

A-4 

Swap+100 

A-3 

Swap+125 

A-5 

Swap+140 

5.18 

Swap+160 

5.13 

Swap+220 

HEL - ARM 

9/10/02 ABFC Mortgage Loan Asset-Backed Certificat 2002-WF2 

A-2 

EDSF+50 

4.54 

1ML+72 

4.49 

1ML+140 

4.47 

1ML+185 

9/10/02 Chase Funding Mortgage Loan ABS 2002-3 

2A-1 

1ML+32 

4.83 

1ML+57 

4.79 

1ML+108 

4.43 

1ML+175 

9/10/02 Morgan Stanley Dean Witter Capital I 2002-NC4 

A-2 

1ML+40 

5.36 

1ML+160 

5.34 

1ML+210 

9/10/02 Renaissance Acceptance Mortgage Corp. 2002-3 

A 

1ML+38 

5.39 

1ML+100 

5.39 

1ML+170 

5.31 

1ML+350 

9/9/02 Master ABS 2002-NC1 

A-2 

1ML+44 

4.59 

1ML+85 

4.51 

1ML+160 

4.48 

1ML+210 

9/6/02 ABFC Mortgage Loan Asset-Backed Certificat 2002-OPT1 

A-2 

EDSF+55 

4.50 

1ML+93 

4.43 

1ML+140 

4.41 

1ML+215 

8/29/02 Amortizing Residential Collateral Trust 2002-BC6 

A-3 

1ML+21 

A-2 

1ML+35 

A-4 

1ML+40 

4.75 

1ML+75 

4.65 

1ML+120 

4.60 

1ML+200 

8/29/02 Countrywide Asset Backed Certificates 2002-3 

1A-1 

1ML+37 

2A-1 

1ML+33 

4.78 

1ML+75 

4.73 

1ML+135 

4.53 

1ML+195 

8/29/02 NovaStar Home Equity Loan 2002-3 

A-2 

1ML+38 

5.15 

1ML+80 

5.15 

1ML+153 

5.06 

1ML+195 

8/22/02 Household Home Equity Loan Trust 2002-3 

A 

1ML+45 

8/20/02 Impac Mortgage Holdings 2002-5 

A-1 

1ML+37 

2.18 

1ML+235 

8/16/02 Residential Asset Mortgage Products 2002-RS4 

2A 

1ML+32 



Analyst 



U.S. 

New Issue 

Spreads 

Table 12 




8/14/02 - 9/13/02 




.5 1 2 3 4 5 7 >= 10 NAS AA A BBB 

8/15/02 C-BASS Mortgage Loan Asset-Backed Cert. 2002-CB4 

5.11 

1ML+75 

5.06 

1ML+130 

5.04 

1ML+190 

HEL - FRM 

9/10/02 Chase Funding Mortgage Loan ABS 2002-3 

1A-1 

EDSF+53 

1A-2 

Swap+50 

1A-3 

Swap+53 

1A-4 

Swap+68 

1A-5 6.67 6.36 6.36 5.47 

Swap+100 Swap+65 Swap+108 Swap+155 Swap+187 

9/10/02 Residential Asset Securities Corp. 2002-KS6 

1A-1 

1ML+14 

1A-2 

Swap+52 

1A-3 

Swap+56 

1A-4 

Swap+72 

1A-5 6.43 

Swap+98 Swap+68 

8/22/02 FHLMC Structured Pass Through Ctfs 2002-T047 

A-2 

EDSF+35 

A-3 

EDSF+45 

A-5 

Swap+75 

A-6 

Swap+50 

4.55 

Swap+62 

8/16/02 Residential Asset Mortgage Products 2002-RS4 

1A-1 

EDSF+57 

1A-2 

Swap+65 

1A-3 

Swap+65 

1A-4 

Swap+82 

1A-5 

Swap+102 

6.44 

Swap+71 

8/15/02 C-BASS Mortgage Loan Asset-Backed Cert. 2002-CB4 

AF-1 

1ML+18 

AF-2 

Swap+57 

AF-3 

Swap+75 

AF-4 

Swap+100 

HELOC 

8/21/02 GMACM Home Equity Loan Trust 2002-HE3 

A-1 

1ML+11 

A-2 

1ML+15 

A-3 

1ML+28 

8/16/02 Morgan Stanley Dean Witter Credit Corp. 2002-1 

A 

1ML+35 

MH 

8/26/02 Oakwood Man. Housing S/S Certificates 2002-C 

9.80 

Swap+250 

9.80 

Swap+400 

5.90 

Swap+650 

8/16/02 Vanderbilt Mtge. Man. Housing S/S Certificate 2002-B 

A-1V 

EDSF+60 

A-2 

Swap+78 

A-3 

Swap+87 

A-4 11.86 

Swap+130 

Swap+150 

8.69 

Swap+190 

8/15/02 Lehman Manufactured Housing ABS Trust 2002-A 

A 

1ML+45 

6.20 

1ML+125 

6.20 

1ML+225 

5.30 

1ML+400 

Other 

8/16/02 Saxon Advance Receivables Backed Certific 2002-A 

A-1 

1ML+50 



Analyst 



U.S. 

New Issue 

Spreads 

Table 12 




8/14/02 - 9/13/02 




.5 1 2 3 4 5 7 >= 10 NAS AA A BBB 

Other - Mtge 

9/10/02 Granite Mortgages 2002-2 

1A-1 

3ML+11 

1A-2 

3ML+18 

5.28 

3ML+37 

5.33 

3ML+125 

Student Loan 

9/13/02 KeyCorp. Student Loan Trust 2002-A 

2A-1 

3ML+6 

2A-2 

3ML+40 

8.61 

3ML+70 

8/20/02 SLM Student Loan Trust 2002-5 

A-1 

3ML+0 

A-2 

3ML+3 

A-3 

3ML+10 

A-4L 

3ML+15 

9.79 

3ML+43 

8/16/02 Academic Management Services 2002-2 

A 

3ML+30 

11.91 

3ML+85 



Analyst 



U.S. 

New Issue 

Detail 

Table 13 

U.S. ABS New Issue Detail by Date 



8/14/02 - 9/13/02 

Date Issuer Series Class Amount 

($ MM) Coll 

Rating Enhancement 

WAL Lead: Co 

(Yrs) Coupon Price Yield Sprd Benchmark Manager Moody S&P Fitch Type Amt 

9/13/02 Countrywide Asset Backed Certi 2002-SC1 A-1 $121.76 HEL - 2nd 1.00 

100.0000 17 1 Mo. LIBOR CWSC: GCM Aaa AAA 

A-2 $20.66 2.50 3.33% 

65 Swap - 3Y 

Aaa AAA S/S,OC 

A-3 $40.00 5.54 4.96% 

125 Swap - 5Y 


A-4 $12.51 4.00 4.28% 

100 Swap - 4Y 


A-5 $12.90 7.05 5.45% 

140 Swap - 7Y 


M-1 $21.04 5.18 5.22% 

160 Swap - 5Y 

Aa2 AA S/S,OC 

M-2 $14.66 5.13 5.80% 

220 Swap - 5Y 

A2 A S/S,OC 

B-1 $11.48 5.12 

Baa2 BBB OC 

$255.00 

9/13/02 KeyCorp. Student Loan Trust 2002-A 1A-1 $81.80 Student Loan 1.57 

100.0000 6 3 Mo. LIBOR DB/MCD 

Aaa AAA 

1A-2 $183.00 7.50 100.0000 19 3 Mo. LIBOR 

Aaa AAA 

1B $8.20 8.61 100.0000 70 3 Mo. LIBOR 

A3 A 

2A-1 $134.00 1.73 100.0000 13 3 Mo. LIBOR 

Aaa AAA AMBAC Gty 100.00% 

2A-2 $554.00 7.50 100.0000 40 3 Mo. LIBOR 


$961.00 

9/12/02 Citibank Credit Card Issuance T 2002-A5 A-5 $1,250.00 CrCds - Bank 3.00 

100.0000 4 3 Mo. LIBOR SSB: JPM,BOCM Aaa AAA AAA S/S 12.25% 

$1,250.00 

9/10/02 Chase Funding Mortgage Loan 2002-3 1A-1 $57.60 HEL - FRM 0.95 2.65% 99.9992 2.47% 53 EDSF JPM: CWSC Aaa AAA S/S,OC 8.50% 

1A-2 $23.10 2.00 3.07% 99.9997 2.98% 50 Swap - 2Y 

Aaa AAA S/S,OC 8.50% 

1A-3 $35.60 3.00 3.55% 99.9999 3.49% 53 Swap - 3Y 


1A-4 $30.20 5.00 4.34% 99.9991 4.31% 68 Swap - 5Y 


1A-5 $26.45 8.91 5.41% 99.9936 5.42% 100 Swap - 10Y 


1A-6 $19.20 6.67 4.71% 99.9945 4.70% 65 Swap - 7Y 


1M-1 $7.35 6.36 5.07% 99.9969 5.06% 108 Swap - 7Y 

Aa2 AA S/S,OC 5.00% 

1M-2 $5.78 6.36 5.54% 99.9981 5.53% 155 Swap - 7Y 

A2 A S/S,OC 2.25% 

1B $3.67 5.47 5.64% 99.9958 5.63% 187 Swap - 5Y 

Baa2 BBB OC 0.50% 

2A-1 $367.50 HEL - ARM 2.55 100.0000 32 1 Mo. LIBOR 


2M-1 $23.10 4.83 100.0000 57 1 Mo. LIBOR 

Aa2 AA S/S,OC 7.00% 

2M-2 $16.80 4.79 100.0000 108 1 Mo. LIBOR 

A2 A S/S,OC 3.00% 

2B $9.45 4.43 100.0000 175 1 Mo. LIBOR 

Baa2 BBB OC 0.75% 

$625.80 

S/S,OC 

Note: Deal names of deals priced during the most recent week are bolded. 


19


Analyst 



U.S. 

New Issue 

Detail 

Table 13 




8/14/02 - 9/13/02 


($ MM) Coll 


WAL Lead: Co 


9/10/02 Renaissance Acceptance Mortg 2002-3 A $205.00 HEL - ARM 3.07 

100.0000 38 1 Mo. LIBOR WS: GCM Aaa AAA AAA 

M-1 $16.80 5.39 100.0000 100 1 Mo. LIBOR 

Aa2 AA AA S/S,OC 

M-2 $15.00 5.39 100.0000 170 1 Mo. LIBOR 

A2 A A S/S,OC 

B $10.00 5.31 100.0000 350 1 Mo. LIBOR 

Baa2 BBB BBB OC 

$246.80 

9/10/02 MBNA Credit Card Master Note T 2002-A10 A-10 $1,000.00 CrCds - Bank 5.00 

100.0000 14 1 Mo. LIBOR SSB/BCG: JPM, Aaa AAA AAA S/S,CIA 15.00% 

$1,000.00 

9/10/02 Morgan Stanley Dean Witter Cap 2002-NC4 A-2 $179.82 HEL - ARM 2.95 

100.0000 40 1 Mo. LIBOR MS: BLA,UCP Aaa AAA AAA 

M-1 $47.85 5.38 


M-2 $38.99 5.36 100.0000 160 1 Mo. LIBOR 

A2 A A S/S,OC 

B-1 $26.58 5.34 100.0000 210 1 Mo. LIBOR 

Baa2 BBB BBB S/S,OC 

B-2 $10.63 5.21 100.0000 240 1 Mo. LIBOR 

Baa3 BBB- BBB- S/S,OC 

B-3 $1.42 4.80 1 Mo. LIBOR 

Baa3 BB+ BBB- OC 

$305.29 

9/10/02 Granite Mortgages 2002-2 1A-1 $650.00 Other - Mtge 0.68 

100.0000 11 3 Mo. LIBOR JPM/SSSB: LB,M Aaa AAA AAA 

1A-2 $1,150.00 3.44 100.0000 18 3 Mo. LIBOR 

Aaa AAA AAA 

1B $60.00 5.28 100.0000 37 3 Mo. LIBOR 

Aa3 AA AA 

1C $88.00 5.33 100.0000 125 3 Mo. LIBOR 

Baa2 BBB BBB 

$1,948.00 

9/10/02 Home Equity Asset Trust 2002-1N A $58.25 NIM 

8.00% 

B $0.00 

$58.25 

9/10/02 Residential Asset Securities Cor 2002-KS6 1A-1 $150.00 HEL - FRM 0.90 

100.0000 14 1 Mo. LIBOR BOA: JPM,BS,C Aaa AAA AMBAC Gty 100.00% 

1A-2 $71.00 2.01 3.09% 99.9819 3.01% 52 Swap - 2Y 


1A-3 $79.00 3.02 3.58% 99.9830 3.53% 56 Swap - 3Y 


1A-4 $98.00 5.05 4.38% 99.9659 4.36% 72 Swap - 5Y 


1A-5 $52.00 8.53 5.36% 99.9788 5.37% 98 Swap - 10Y 


1A-6 $50.00 6.43 4.70% 99.9738 4.69% 68 Swap - 7Y 


2A $700.00 2.57 100.0000 1 Mo. LIBOR 


$1,200.00 

CSFB 

BBB+ 

S/S,OC 

S/S,OC 



20


Analyst 



U.S. 

New Issue 

Detail 

Table 13 




8/14/02 - 9/13/02 


($ MM) Coll 


WAL Lead: Co 


9/10/02 ABFC Mortgage Loan Asset-Bac 2002-WF2 A-2 $195.50 HEL - ARM 1.73 2.86% 100.0000 2.88% 50 EDSF BOA: GCM,CWS Aaa AAA AAA 

M-1 $14.80 4.54 100.0000 72 1 Mo. LIBOR 

Aa2 AA AA+ S/S,OC 

M-2 $13.40 4.49 100.0000 140 1 Mo. LIBOR 

A2 A A S/S,OC 

M-3 $8.10 4.47 100.0000 185 1 Mo. LIBOR 


M-4 $3.40 4.27 1 Mo. LIBOR 

Baa3 BBB- BBB- S/S,OC 

B-1 $2.00 3.49 1 Mo. LIBOR 

Ba1 BBB- BBB- OC 

$237.20 

9/9/02 Master ABS 2002-NC1 A-2 $231.21 HEL - ARM 2.56 

100.0000 44 1 Mo. LIBOR UBSW: CWSC Aaa AAA AAA 

S $0.00 1.72 4.00% 

Aaa AAA AAA S/S,OC 

M-1 $63.00 4.59 100.0000 85 1 Mo. LIBOR 


M-2 $48.60 4.51 100.0000 160 1 Mo. LIBOR 

A2 A A S/S,OC 

M-3 $35.55 4.48 100.0000 210 1 Mo. LIBOR 


M-4 $11.70 4.30 100.0000 240 1 Mo. LIBOR 

Baa3 BBB- BBB- OC 

$390.06 

9/6/02 AmeriCredit Auto Receivables Trus 2002-D A-1 $111.00 Auto Non Prime 0.25 1.76% 100.0000 1.76% -2 3 Mo. LIBOR JPM/WS P-1 A-1+ FSA Gty 100.00% 

A-2 $153.00 0.85 2.04% 99.9956 2.05% 23 EDSF 

Aaa AAA FSA Gty 100.00% 

A-3 $194.00 2.00 2.72% 99.9952 2.74% 37 Swap - 2Y 


A-4 $142.00 3.35 3.40% 99.9881 3.43% 43 Swap - 3Y 


$600.00 

9/6/02 ABFC Mortgage Loan Asset-Backe 2002-OPT1 A-2 $130.70 HEL - ARM 1.57 2.86% 99.9991 55 EDSF BOA: GCM,CWS Aaa AAA AAA 

IO $0.00 2.50 6.00% 

4.15% 

Aaa AAA AAA S/S,OC 

M-1 $42.50 4.50 100.0000 73 1 Mo. LIBOR 

Aa2 AA AA+ S/S,OC 

M-2 $13.00 4.45 100.0000 93 1 Mo. LIBOR 

Aa3 AA- AA S/S,OC 

M-3 $24.50 4.43 100.0000 140 1 Mo. LIBOR 

A2 A A+ S/S,OC 

M-4 $19.60 4.41 100.0000 185 1 Mo. LIBOR 

Baa1 BBB A- S/S,OC 

M-5 $9.80 4.39 100.0000 215 1 Mo. LIBOR 

Baa2 BBB- BBB+ S/S,OC 

M-6 $4.90 4.23 1 Mo. LIBOR 

Baa3 BB+ BBB- S/S,OC 

B $6.50 3.60 1 Mo. LIBOR 

Ba1 BB+ BB+ OC 

$251.50 

9/5/02 Bank One Issuance Trust 2002-A3 A $500.00 CrCds - Bank 5.00 3.59% 99.9594 3.63% 15 Swap - 5Y BOCM: CSFB,DB Aaa AAA AAA S/S,CIA 14.50% 

$500.00 

S/S,OC 

S/S,OC 

S/S,OC 



21


Analyst 



U.S. 

New Issue 

Detail 

Table 13 




8/14/02 - 9/13/02 


($ MM) Coll 


WAL Lead: Co 


9/4/02 Capital One Auto Finance Trust 2002-B A-1 $204.00 Auto Non Prime 0.31 1.76% 100.0000 1.76% -1 4 Mo. LIBOR WS: BOA,BCG,C P-1 A-1+ F-1+ MBIA Gty 100.00% 

A-2A $187.00 1.00 2.06% 99.9999 2.07% 24 EDSF 

Aaa AAA AAA MBIA Gty 100.00% 

A-2B $120.00 1.00 100.0000 15 1 Mo. LIBOR 


A-3A $190.00 2.00 2.71% 99.9911 2.73% 39 Swap - 2Y 


A-3B $105.00 2.00 100.0000 25 1 Mo. LIBOR 


A-4A $132.50 3.22 3.32% 99.9942 3.35% 44 Swap - 3Y 


A-4B $161.50 3.22 100.0000 33 1 Mo. LIBOR 


$1,100.00 

9/4/02 Sears Credit Account Master Trust I 2002-4 A $1,000.00 CrCds - Retail 3.00 

100.0000 13 1 Mo. LIBOR CSFB/ML: JPM,B Aaa AAA AAA S/S,CIA 20.50% 

B $81.00 3.00 43 1 Mo. LIBOR 

AA CIA 14.00% 

$1,081.00 

8/29/02 Countrywide Asset Backed Certific 2002-3 1A-1 $123.16 HEL - ARM 2.47 

100.0000 37 1 Mo. LIBOR CWSC 

Aaa AAA 

S/S,OC,MI 

2A-1 $308.04 2.70 100.0000 33 1 Mo. LIBOR 

Aaa AAA S/S,OC,MI 

M-1 $26.95 4.78 100.0000 75 1 Mo. LIBOR 

Aa2 AA S/S,OC,MI 

M-2 $18.38 4.73 100.0000 135 1 Mo. LIBOR 

A2 A S/S,OC,MI 

B-1 $13.48 4.53 100.0000 195 1 Mo. LIBOR 

Baa2 BBB OC,MI 

$490.00 

8/29/02 Amortizing Residential Collateral Tr 2002-BC6 A-2 $315.78 HEL - ARM 2.38 

100.0000 35 1 Mo. LIBOR LB Aaa AAA AAA S/S,OC 14.25% 

A-3 $110.00 1.00 100.0000 21 1 Mo. LIBOR 

Aaa AAA AAA S/S,OC 14.25% 

A-4 $59.14 4.67 100.0000 40 1 Mo. LIBOR 


A-IO $0.00 6.00% 


M-1 $67.40 4.75 100.0000 75 1 Mo. LIBOR 

Aa2 AA AA S/S,OC 8.75% 

M-2 $51.72 4.65 100.0000 120 1 Mo. LIBOR 

A2 A A+ S/S,OC 4.53% 

M-3 $27.57 4.60 100.0000 200 1 Mo. LIBOR 

Baa2 BBB BBB+ S/S,OC 2.28% 

B-1 $24.51 4.09 100.0000 240 1 Mo. LIBOR 

Baa2 BBB- BBB- OC 0.28% 

$656.12 

8/29/02 NovaStar Home Equity Loan 2002-3 A-1 $597.00 HEL - ARM 3.01 

100.0000 1 Mo. LIBOR MS/WS 

Aaa AAA 

A-2 $105.40 3.04 100.0000 38 1 Mo. LIBOR 


M-1 $15.00 5.15 100.0000 80 1 Mo. LIBOR 

Aa2 AA S/S,OC 

M-2 $11.20 5.15 100.0000 153 1 Mo. LIBOR 

A2 A S/S,OC 

M-3 $7.50 5.06 100.0000 195 1 Mo. LIBOR 

Baa2 BBB OC 

$736.10 

S/S,OC 



22


Analyst 



U.S. 

New Issue 

Detail 

Table 13 




8/14/02 - 9/13/02 


($ MM) Coll 

8/27/02 Morgan Stanley Dean Witter Capital 2002-NC3N Note $43.80 NIM 

9.50% 

$43.80 


WAL Lead: Co 


8/26/02 LAI Vehicle Leasing Securitization 2002-B A-1 $23.50 Auto Fleet 1.02 2.54% 100.0000 2.55% 60 EDSF BOCM 

Aaa 

MS 

BBB 

S/S,LOC 

A-2 $15.30 2.80 3.67% 100.0000 3.69% 65 Swap - 3Y 

Aaa S/S,LOC 

B $1.20 4.03 4.66% 100.0000 4.71% 125 Swap - 4Y 

A2 LOC 

$40.00 

8/26/02 Oakwood Man. Housing S/S Certifi 2002-C A-1 $149.04 MH 4.46 5.41% 99.9850 

CSFB Aaa AAA S/S,OC 36.00% 

A-IO $0.00 5.09 6.00% 24.3730 7.00% 


M-1 $22.25 9.80 6.89% 98.0097 7.25% 250 Swap - 10Y 

Aa3 AA S/S,OC 26.00% 

M-2 $16.13 9.80 8.18% 97.0382 8.75% 400 Swap - 10Y 

A3 A S/S,OC 18.75% 

B-1 $7.23 5.90 8.50% 91.5176 10.59% 650 Swap - 5Y 

Baa2 BBB S/S,OC 15.50% 

$194.65 

8/23/02 ARG Funding Corp. 2002-2A A $432.90 Auto Fleet 2.06 

100.0000 125 1 Mo. LIBOR DB 

Aaa AAA 

OC,RF,LOC 

B $60.00 2.22 100.0000 190 1 Mo. LIBOR 

Aaa AA OC,RF,LOC 

C $60.00 2.31 100.0000 275 1 Mo. LIBOR 

A3 A OC,RF,LOC 

D $47.10 2.39 99.5000 600 1 Mo. LIBOR 

BBB OC,RF,LOC 

$600.00 

8/23/02 CDC Mortgage Capital Trust 2002-HE2N N $27.55 NIM 

10.00% 

MS 

BBB- BBB- 

$27.55 

8/22/02 FHLMC Structured Pass Through C 2002-T047 A-2 $180.30 HEL - FRM 1.15 

99.0000 2.44% 35 EDSF GCM: BOA,MS,U Aaa AAA AAA 

Freddie Mac G100.00% 

A-3 $261.00 1.81 99.0000 2.96% 45 EDSF 

Aaa AAA AAA Freddie Mac G100.00% 

A-4 $140.20 2.69 99.0000 3.48% 55 Swap - 3Y 


A-5 $61.30 3.46 99.0000 4.05% 75 Swap - 3Y 


A-6 $239.10 4.22 100.0000 4.12% 50 Swap - 4Y 


A-7 $65.50 4.55 99.0000 4.35% 62 Swap - 5Y 


$947.40 



23


Analyst 



U.S. 

New Issue 

Detail 

Table 13 




8/14/02 - 9/13/02 


($ MM) Coll 


WAL Lead: Co 


8/22/02 Ford Credit Auto Owner Trust 2002-D A-2A $200.00 Auto Prime 1.00 2.10% 99.9914 2.12% 16 EDSF ML/SSB: BOCM, Aaa AAA AAA S/S,OC,RF 7.50% 

A-2B $1,116.00 1.00 100.0000 7 1 Mo. LIBOR 

Aaa AAA AAA S/S,OC,RF 7.50% 

A-3A $250.00 2.00 2.68% 99.9808 2.71% 16 Swap - 2Y 


A-3B $306.00 2.00 100.0000 8 1 Mo. LIBOR 


A-4A $204.74 2.79 3.13% 99.9961 3.15% 18 Swap - 3Y 


A-4B $171.00 2.79 100.0000 12 1 Mo. LIBOR 


B $89.99 3.04 3.56% 99.9845 3.59% 50 Swap - 3Y 

A1 A A S/S,OC,RF 4.50% 

C $59.99 3.04 4.40% 99.9961 4.44% 135 Swap - 3Y 

Baa2 BBB BBB S/S,OC,RF 2.50% 

D $59.99 6.00% 

OC,RF 0.50% 

$2,457.72 

8/22/02 Household Home Equity Loan Trust 2002-3 A $977.47 HEL - ARM 2.49 

100.0000 45 1 Mo. LIBOR CSFB/MS: BOC Aaa AAA AAA AMBAC Gty 100.00% 

$977.47 

8/21/02 GMACM Home Equity Loan Trust 2002-HE3 A-1 $210.00 HELOC 1.50 

100.0000 11 1 Mo. LIBOR BOCM: BS,GMA Aaa AAA AAA MBIA Gty 100.00% 

A-2 $158.00 3.00 100.0000 15 1 Mo. LIBOR 


A-3 $172.20 5.00 100.0000 28 1 Mo. LIBOR 


$540.20 

8/21/02 Household Automotive Trust 2002-2 A-1 $255.00 Auto Non Prime 0.26 1.77% 100.0000 1.77% 0 3 Mo. LIBOR BCG/DB: JPM,B P-1 A-1+ AMBAC Gty 100.00% 

A-2 $345.00 1.00 2.15% 99.9987 2.16% 24 EDSF 


A-3 $313.00 2.00 2.85% 99.9828 2.88% 37 Swap - 2Y 


A-4 $287.00 3.12 100.0000 30 1 Mo. LIBOR 


$1,200.00 

8/21/02 MBNA Credit Card Master Note Tru 2002-B3 B-3 $250.00 CrCds - Bank 3.00 

100.0000 40 1 Mo. LIBOR DB: JPM,BOCM, A2 A A CIA 7.50% 

$250.00 

8/21/02 MBNA Credit Card Master Note Tru 2002-C4 C-4 $100.00 CrCds - Bank 5.00 

100.0000 120 1 Mo. LIBOR SSB: JPM,CSFB, Baa2 BBB BBB SA 1.25% 

$100.00 

8/21/02 MBNA Credit Card Master Note Tru 2002-C5 C-5 $100.00 CrCds - Bank 3.00 4.05% 99.8909 4.12% 110 Swap - 3Y SSB: JPM,CSFB, Baa2 BBB BBB SA 1.25% 

$100.00 

8/20/02 AQ Finance NIM Trust 2002-N4 Note $56.70 NIM 0.94 10.33% 99.9933 9.75% 

DB/UBSW 

BBB- BBB- 

$56.70 

8/20/02 CPS Auto Receivables Trust 2002-B A $50.24 Auto Non Prime 0.30 2.30% 

WLB 

P-1 A-1+ 

XL Capital Gty 

B $80.25 2.16 3.50% 

Aaa AAA XL Capital Gty 

$130.48 



24


Analyst 



U.S. 

New Issue 

Detail 

Table 13 




8/14/02 - 9/13/02 


($ MM) Coll 


WAL Lead: Co 


8/20/02 Impac Mortgage Holdings 2002-5 A-1 $466.88 HEL - ARM 2.18 

100.0000 37 1 Mo. LIBOR CWSC Aaa AAA AMBAC Gty 100.00% 

A-IO $0.00 1.47 4.75% 

4.00% 


B-1 $30.63 2.18 100.0000 235 1 Mo. LIBOR 

Baa2 BBB OC 

$497.50 

8/20/02 Herd Trust 2002-1 A $14.00 HEL - FRM 12.25% 

$14.00 

8/20/02 SLM Student Loan Trust 2002-5 A-1 $234.00 Student Loan 1.00 

100.0000 0 3 Mo. LIBOR JPM/CSFB: BOA Aaa AAA AAA S/S,RF 3.25% 

A-2 $355.75 3.00 100.0000 3 3 Mo. LIBOR 

Aaa AAA AAA S/S,RF 3.25% 

A-3 $226.50 5.00 100.0000 10 3 Mo. LIBOR 


A-4L $182.75 8.02 100.0000 15 3 Mo. LIBOR 


A-4CP $300.00 8.02 100.0000 23 90 Day CP 


B $40.00 9.79 100.0000 43 3 Mo. LIBOR 

Aa1 AA AA+ RF 0.25% 

MS 

BBB 

$1,339.00 

8/16/02 Academic Management Services 2002-2 A $288.00 Student Loan 6.34 

100.0000 30 3 Mo. LIBOR LB 

Aaa AAA 

B $12.00 11.91 100.0000 85 3 Mo. LIBOR 

A2 A 

$300.00 

8/16/02 Morgan Stanley Dean Witter Credit 2002-1 A $472.50 HELOC 2.81 

100.0000 35 1 Mo. LIBOR MS: BLA,UCP Aaa AAA 

$472.50 

8/16/02 Residential Asset Mortgage Produc 2002-RS4 1A-1 $132.00 HEL - FRM 0.90 2.45% 

2.46% 57 EDSF DB: JPM,RFS Aaa AAA AMBAC Gty 100.00% 

1A-2 $48.00 2.00 3.35% 

3.26% 65 Swap - 2Y 


1A-3 $71.00 3.00 3.88% 

3.82% 65 Swap - 3Y 


1A-4 $72.00 5.00 4.80% 

4.77% 82 Swap - 5Y 


1A-5 $46.00 8.41 5.66% 

5.67% 102 Swap - 7Y 


1A-6 $41.00 6.44 5.03% 

5.02% 71 Swap - 7Y 


1A-IO $0.00 0.81 2.00% 

4.50% 


2A $203.00 HEL - ARM 2.97 2.12% 

32 1 Mo. LIBOR 


$613.00 

8/16/02 Saxon Advance Receivables Back 2002-A A-1 $35.00 Other 3.09 

50 1 Mo. LIBOR WDL 

AAA AAA 

A-2 $40.00 3.36 

AAA AAA 

$75.00 



25


Analyst 



U.S. 

New Issue 

Detail 

Table 13 




8/14/02 - 9/13/02 


($ MM) Coll 


WAL Lead: Co 


8/16/02 Vanderbilt Mtge. Man. Housing S/S 2002-B A-1F $30.00 MH 1.00 2.53% 100.0000 2.50% 60 EDSF CSFB: BS,BBTC Aaa AAA S/S 13.00% 

A-1V $101.73 1.00 100.0000 25 1 Mo. LIBOR 

Aaa AAA S/S 13.00% 

A-2 $120.36 3.00 3.88% 99.9949 3.89% 78 Swap - 3Y 


A-3 $64.30 5.00 4.70% 99.9924 4.73% 87 Swap - 5Y 


A-4 $96.10 8.98 5.84% 99.9795 5.90% 130 Swap - 10Y 


A-5 $22.50 11.86 6.34% 99.9290 6.42% 150 Swap - 12Y 

Aa2 AA S/S 13.00% 

M-1 $20.00 8.69 6.41% 99.9961 6.48% 190 Swap - 10Y 

A2 A S/S 9.00% 

B-1 $18.75 6.12 6.65% 94.9759 Swap - 7Y 

Baa2 BBB S/S 5.25% 

B-2 $26.25 10.26 8.11% 97.9730 Swap - 10Y 

Baa2 BBB Clayton Ltd Gt100.00% 

$499.99 

8/15/02 C-BASS Mortgage Loan Asset-Bac 2002-CB4 AF-1 $93.90 HEL - FRM 1.00 

18 1 Mo. LIBOR WS: GCM,BNP Aaa AAA AAA S/S,OC 18.25% 

AF-2 $33.70 3.00 3.61% 

3.55% 57 Swap - 3Y 


AF-3 $12.10 5.01 4.53% 

4.50% 75 Swap - 5Y 


AF-4 $12.71 6.73 5.17% 

5.16% 100 Swap - 7Y 


A-IO $0.00 6.50% 

3.90% 


M-1 $16.93 HEL - ARM 5.11 100.0000 75 1 Mo. LIBOR 

Aa2 AA AA S/S,OC 12.50% 

M-2 $14.00 5.06 100.0000 130 1 Mo. LIBOR 

A2 A A S/S,OC 7.75% 

B-1 $12.53 5.04 100.0000 190 1 Mo. LIBOR 

Baa2 BBB BBB S/S,OC 3.50% 

B-2 $2.94 5.02 100.0000 220 1 Mo. LIBOR 

Baa3 BBB- BBB- S/S,OC 2.50% 

B-3 $5.16 4.56 450 1 Mo. LIBOR 

Ba2 BB BB OC 0.75% 

$203.97 

8/15/02 Lehman Manufactured Housing AB 2002-A A $77.67 MH 2.90 

100.0000 45 1 Mo. LIBOR LB 

Aaa AAA 

M-1 $8.00 6.20 100.0000 125 1 Mo. LIBOR 

Aa2 AA S/S,OC 

M-2 $8.00 6.20 100.0000 225 1 Mo. LIBOR 

A2 A S/S,OC 

B-1 $8.00 5.30 100.0000 400 1 Mo. LIBOR 

Baa2 BBB S/S,OC 

B-2 $5.71 6.80 100.0000 725 1 Mo. LIBOR 

Ba3 BB OC 

$107.36 

8/15/02 MMCA Auto Owner Trust 2002-3 A-1 $70.00 Auto Prime 0.26 1.75% 100.0000 1.75% -1 3 Mo. LIBOR SSB: BOA,ML,M P-1 A-1+ F-1+ S/S,RF 26.50% 

A-2 $165.00 1.01 2.15% 99.9908 2.17% 21 EDSF 


A-3 $150.00 2.00 2.97% 99.9951 2.99% 37 Swap - 2Y 


A-4 $131.75 3.09 3.57% 99.9875 3.60% 40 Swap - 3Y 


B $50.38 1.96 3.89% 99.9857 3.90% 130 EDSF 

A1 A A S/S,RF 18.75% 

C $27.63 1.96 4.60% 99.9916 4.65% 205 EDSF 

Baa2 BBB BBB RF 14.50% 

$594.75 

S/S,OC 



26


Analyst 



European 

Spreads 

Table 14 

Europe ABS Spreads to Sterling LIBOR, EURIBOR or Dollar LIBOR 

Date 

4/11/02 

4/18/02 

4/25/02 

5/2/02 

5/9/02 

5/16/02 

Autos 

(EUR) 

AAA 

3-4 

Cards (£) 

Float Fixed 

(£) 

AAA AAA AA BBB 

3 5 7 



10 

5 5 4-5 5-7 

Bullet 

RMBS 

(EUR) 

AAA A 

3 

5 

5-7 

BBB 

5-7 

($) 

AAA 

3 

Bullet 

22 16 18 22 24 21 21 

130 22 23 65 138 16 

21 16 18 22 24 21 20 

130 22 23 65 135 16 

21 15 17 22 24 20 20 

130 22 23 65 135 16 

21 15 17 22 25 21 20 

130 22 23 65 135 16 

19 15 17 22 25 21 21 

130 22 23 65 135 16 

19 15 17 22 25 21 21 

130 22 23 65 138 16 

5/23/02 19 16 17 23 26 20 21 39 130 23 24 65 135 16 

5/30/02 19 14 17 21 25 20 21 39 130 23 24 65 135 16 

6/6/02 20 14 17 21 24 20 21 35 130 23 24 62 135 16 

6/13/02 20 14 17 21 24 18 20 30 120 21 23 60 130 13 

6/20/02 19 14 17 21 24 19 20 30 120 21 22 60 130 14 

6/27/02 20 14 17 21 25 19 19 30 120 21 22 60 130 14 

7/3/02 20 14 17 21 25 19 19 30 120 21 22 60 130 14 

7/11/02 20 14 17 21 25 19 19 30 120 21 22 60 130 14 

7/18/02 23 15 18 23 26 19 19 32 120 22 23 60 130 14 

7/25/02 23 17 20 24 28 20 20 35 130 23 25 62 132 15 

8/1/02 24 17 20 24 27 20 20 35 130 24 25 62 132 17 

8/8/02 25 18 21 25 28 20 20 35 130 25 25 62 132 18 

8/15/02 25 18 21 25 28 20 20 35 130 25 25 62 132 18 

8/22/02 26 19 22 26 29 20 20 35 128 25 25 62 132 19 

8/29/02 26 18 22 26 29 20 20 35 128 24 25 62 130 19 

9/5/02 26 17 20 24 26 19 19 35 125 24 25 60 125 19 

9/12/02 26 17 19 24 26 19 19 37 125 24 25 60 125 19 

*European spreads to 3m£L or 3m€L. Fixed spreads are LIBOR equivalent spreads to mid-swaps. 


27


Analyst 



European 

New Issue 

By Month 

Table 15 


2001 




Total Auto Cards RMBS CMBS Equip CDO Consumer Sov/Ag Whole Bus. Other* 

Sep 3,540 372 0 2,721 0 0 447 0 0 0 

0 

Oct 16,124 771 764 9,122 0 0 854 1,027 1,811 0 1,776 

Nov 11,483 536 300 4,161 2,020 0 2,995 311 0 269 891 

Dec 24,474 0 354 5,144 3,849 1,736 6,706 830 5,061 62 731 

2002 

Jan 789 0 0 0 0 171 618 0 0 0 

0 

Feb 6,328 1,460 0 1,196 1,793 0 1,730 150 0 0 

0 

Mar 10,918 707 660 5,629 517 0 1,723 149 0 1,028 505 

Apr 6,813 90 512 3,217 603 605 803 983 0 0 

0 

May 9,345 553 0 2,296 1,337 0 4,571 503 0 0 86 

Jun 15,368 1,798 1,371 5,525 123 0 2,909 2,253 0 1,143 246 

Jul 17,266 1,120 494 5,397 719 734 976 0 3,010 3,454 1,363 

Aug 3,305 0 0 0 2,478 0 827 0 0 0 

0 

Sep 4,789 0 779 2,289 0 0 383 0 0 1,337 

0 


2001 66,568 

% Issuance 

2002 74,922 

% Issuance 


2001 T 121,895 

% Issuance 


Chart 37 


US$ Billions 

150 

100 

50 

0 

41 

62 

2,798 1,925 18,631 7,975 1,222 17,252 2,159 2,611 7,472 

4% 3% 28% 12% 2% 26% 3% 

4% 11% 

5,727 3,816 25,550 7,571 1,510 14,540 4,038 3,010 6,962 

8% 5% 34% 10% 2% 19% 5% 

4% 

9% 

4,477 3,342 39,586 13,844 2,958 28,154 4,327 9,483 7,804 

4% 3% 32% 11% 2% 23% 4% 

8% 

6% 

44 

78 

83 

122 

75 

1996 1997 1998 1999 2000 2001 2002 

Chart 38 

2002 YTD Issuance by Collateral Type 

Whole 

Bus 

Sov/Ag 

9% 

4% 

RMBS 

* Other includes deals backed by Non-performing Loans, Future Flow, and Trade Receivables. 


35% 

Auto 

8% 

Cards 

5% 

CDO 

19% 

CMBS 

10% 

Consumer 

Other Equip 

5% 

3% 2% 

4,523 

7% 

2,199 

3% 

7,920 

6% 

Chart 39 

2002 YTD Issuance by Asset Origin 

Portugal 

Netherlands 

1% Spain 

7% 

Italy 

9% 

16% 

Ireland 

1% 

International 

France Europe 

Germany 

3% 

5% 12% 

7% 

UK 

29% 

US 

5% 

Australia 

2% 

28


Analyst 



European 

New Issue 

Spreads 

Table 16 

European New Issue Spreads by WAL 




Auto Leases 

6/15/02 - 9/13/02 

Asset 

Domicile 

7/23/02 European Auto Securitisation (EASe) 2002 France 


.5 1 2 3 4 5 7 >= 10 AA A BBB 

A 

3mEL+20 

3.55 

3mEL+50 

Auto Prime 

7/23/02 Oscar Funding Corp 9 Japan 

B 

3ML+35 

6/28/02 FCC Auto ABS Compartiment 2002-1 

A 

1mEL+18 

5.10 

1mEL+45 

CMBS 

8/6/02 European Loan Conduit 10 France 

A 

3mEL+32 

4.20 

3mEL+50 

3.40 

3mEL+125 

4.20 

3mEL+175 

7/4/02 HOTELoC 1 UK 

A 

3mEL+43 

2.80 

3mEL+52 

2.80 

3mEL+105 

2.80 

3mEL+205 

Consumer 

6/28/02 Cibeles 1 Spain 

B 

3mEL+30 

6/18/02 FCC Libravou Compartment 3 France 

A 

3mEL+28 

5.00 

3mEL+90 

CrCds - Bank 

9/10/02 CARDS 2002-B UK 

A 

3mEL+16 

5.00 

3mEL+50 

5.00 

3mEL+120 

6/21/02 Affinity plc 1 UK 

A 

3ML+18 

4.90 

3ML+50 

4.90 

3ML+140 

Equip - Sm Ticket 

7/12/02 Agrisecurities Srl 2002-1 Italy 

A 

3mEL+40 

9.64 

3mEL+120 

Other 

7/26/02 Pharma Finance srl 1 Italy 

3.80 

3mEL+115 

7.80 

3mEL+200 



Analyst 



European 

New Issue 

Spreads 

Table 16 





6/15/02 - 9/13/02 

Asset 

Domicile 

7/24/02 ABF Finance 1 Italy 

7/24/02 Silver Funding 1 

7/5/02 Alis Finance 1 France 

6/17/02 Polo Securities Ltd 2 Portugal 


.5 1 2 3 4 5 7 >= 10 AA A BBB 

A 

3mEL+35 

2 

1ML+40 

A-3 

85 

A 

6mEL+45 

5.00 

3mEL+60 

5.00 

3mEL+85 

5.00 

1ML+90 

Other - Mtge 

9/10/02 Granite Mortgages 2002-2 UK 

2A 

3mEL+19 

3A 

3ML+19 

5.33 

3ML+37 

5.33 

3ML+125 

7/31/02 Bancaja Fondo de Titulizacion Hipotecaria 3 Spain 

A 11.50 

3mEL+26 

3mEL+50 

7/30/02 Provide Home 2002-1 Germany 

5.00 

3mEL+38 

5.00 

3mEL+57 

5.00 

3mEL+120 

7/19/02 Provide Comfort 2002-1 Germany 

A 

3mEL+25 

6.00 

3mEL+42 

6.00 

3mEL+60 

6.00 

3mEL+145 

7/17/02 Claris Finance Srl 1 Italy 

A 

3mEL+30 

6.67 

3mEL+45 

6.67 

3mEL+150 

7/17/02 RMAC plc 2002-NS2 UK 

A-1 

3ML+13 

A-2 

3ML+25 

A-3 

3ML+28 

7/17/02 Vesteda Residential Funding 1 Netherlands 

A-1 

3mEL+23 

A-2 

3mEL+25 

A-3 

3mEL+35 

7/16/02 Stichting Eleven Cities 1 Netherlands 

A 

3mEL+24 

10.00 

Swap+65 

10.00 

Swap+120 

7/8/02 SWAN Trust 2002-1E Australia 

A 

3ML+18 

7/5/02 E-MAC 2002-1 Netherlands 

A 

3mEL+25 

7.10 

3mEL+63 

7.10 

3mEL+120 

7/2/02 ARMS Eurofund E4 Australia 

A 

3ML+19 



Analyst 



European 

New Issue 

Spreads 

Table 16 





6/28/02 CIF Assets 1 

6/15/02 - 9/13/02 

Asset 

Domicile 

6/28/02 Provide Residence 2002-1 Germany 

6/25/02 Hipotecaria Union de Credito Inmobiliario (UCI 8 Spain 


.5 1 2 3 4 5 7 >= 10 AA A BBB 

A 

3mEL+23 

A 

3mEL+25 

A 

3mEL+10 

7.00 

3mEL+43 

7.00 

3mEL+62.5 

9.27 

3mEL+60 

7.00 

3mEL+150 

Sov/Ag 

7/15/02 INPS 3 Italy 

5 

6mEL+22 

6 

6mEL+29 

Trade Rec 

7/12/02 Cremonini Sec SpA 1 Italy 

A 

3mEL+50 

Whole Bus 

9/13/02 Unique Pub Finance Co. plc 2002 UK 

A-2R 

3ML+48 

19.33 

Gilt+120 

27.29 

Gilt+210 

7/16/02 Anglian Water Services Financing Plc 1 UK 

A-2 

3ML+40 

A-4 7.00 8.00 

Gilt+85 

Gilt+140 

Gilt+280 

7/5/02 UK Hospitals plc 1 UK 

9.70 

Gilt+120 

8.00 

Gilt+180 



Analyst 



European 

New Issue 

Detail 

Table 17 

European ABS New Issue Detail by Date 

Date Issuer Series Class 



8/14/02 - 9/13/02 

USD 

Amount 

Collateral 

Issue Currency Type Domicile WAL Price Coupon Spread Benchmark 

(Yrs) 

Lead/Co Rating 

Manager Moody S&P Fitch 

9/13/02 Unique Pub Finance Co. plc 2002 A-2R $469.23 300 £ Whole Bus UK 4.69 100.0000 48 3 Mo. LIBOR GS/MS/RBS/SSSB AAA AAA 

A-4 $570.90 365 £ 

19.33 100.0000 120 Gilt 

A A 

N $297.18 190 £ 

27.29 100.0000 210 Gilt 

BBB BBB 

$1,337.31 

9/10/02 CARDS 2002-B A $685.00 699 EUR CrCds - Bank UK 5.00 100.0000 16 3 Mo. Euribor DB/BCG: JPM,CSFB,RBS,SSSB Aaa AAA AAA 

B $39.00 40 EUR 

5.00 100.0000 50 3 Mo. Euribor DB/BCG A1 A A+ 

C $55.00 56 EUR 

5.00 100.0000 120 3 Mo. Euribor 

Baa2 BBB BBB 

$779.00 

9/10/02 Granite Mortgages 2002-2 2A $1,072.94 1,100 EUR Other - Mtge UK 3.44 100.0000 19 3 Mo. Euribor JPM/SSSB: BCG,DB,ING,UBSW Aaa AAA AAA 

2B $39.99 41 EUR 

5.28 100.0000 37 3 Mo. Euribor 

Aa3 AA AA 

2C $51.69 53 EUR 

5.33 100.0000 125 3 Mo. Euribor 

Baa2 BBB BBB 

3A $1,034.47 665 £ 

5.33 100.0000 19 3 Mo. LIBOR 

Aaa AAA AAA 

3B $38.87 25 £ 

5.33 100.0000 37 3 Mo. LIBOR 

Aa3 AA AA 

3C $51.34 33 £ 

5.33 100.0000 125 3 Mo. LIBOR 

Baa2 BBB BBB 

$2,289.30 

$4,405.61 



32


Analyst 

Kazuhiko Toya (Toyko) 


Asian 

Spreads 

Table 18 

Asian ABS Spreads to Treasuries/LIBOR 

Date 

4/11/02 

4/18/02 

4/25/02 

5/2/02 

5/9/02 

5/16/02 

5/23/02 

5/30/02 

6/6/02 

6/13/02 

6/20/02 

6/27/02 

7/3/02 

7/11/02 

7/18/02 

7/25/02 

8/1/02 

8/8/02 

8/15/02 

8/22/02 

8/29/02 

9/5/02 

9/12/02 

Asian Assets* 

Equipment 

CMBS 

(¥) 

(¥) 

AAA AA AAA AA A 

1.5 

2 

Bullet 

1.5 



5 

5 5 

Australian 

MBS 

($) 

AAA 

32 15 45 52 77 92 16 

33 16 46 53 78 93 16 

33 16 46 53 78 93 16 

33 15 46 53 78 93 16 

30 13 43 52 77 92 16 

30 13 43 52 77 90 16 

30 13 43 53 77 92 16 

30 13 43 53 77 92 15 

30 22 43 52 77 92 15 

30 22 43 52 77 92 15 

30 22 43 52 77 92 15 

31 22 44 52 77 92 16 

31 22 44 52 77 92 16 

37 28 50 52 77 92 16 

37 28 50 52 77 92 16 

37 28 50 52 77 92 18 

37 28 50 52 77 92 18 

37 28 50 62 82 102 19 

37 28 50 62 82 102 19 

34 26 47 62 82 102 19 

34 26 47 62 82 102 19 

56 39 69 63 83 103 19 

56 39 69 63 83 103 19 

3 

*Asian spreads to 3m$L represent new issue levels (not secondary trading). 


33


Analyst 



Asian 

New Issue 

By Month 

Table 19 


2001 




Total Auto Cards RMBS CMBS Equip CDO Consumer Other* 

Sep 4,889 21 1,327 1,869 469 182 241 0 780 

Oct 5,984 621 773 241 135 208 533 2,084 1,389 

Nov 8,533 180 1,193 1,322 1,961 372 1,772 82 1,652 

Dec 5,663 212 2,046 433 134 541 920 26 1,352 

2002 

Jan 1,647 175 0 13 0 550 182 186 541 

Feb 5,592 54 834 1,385 248 1,365 236 105 1,366 

Mar 8,378 894 1,957 1,713 1,337 502 1,039 116 819 

Apr 3,562 10 1,543 159 506 26 674 418 226 

May 2,070 9 471 590 97 118 273 188 323 

Jun 5,731 245 880 1,241 857 0 653 955 901 

Jul 4,581 0 1,068 676 571 904 160 193 1,010 

Aug 4,788 0 948 1,057 195 400 20 0 2,167 

Sep 4,350 272 0 1,039 0 522 2,069 0 448 


2001 28,418 

% Issuance 

2002 40,701 

% Issuance 

1,282 5,474 5,623 2,879 3,922 4,575 

5% 19% 20% 10% 14% 16% 

1,660 7,700 7,875 3,812 4,388 5,305 

4% 19% 19% 9% 11% 13% 


2001 51,526 2,295 9,881 8,801 5,439 5,042 8,042 

% Issuance 4% 19% 17% 11% 10% 16% 

519 

2% 

2,161 

5% 

2,710 

5% 

4,143 

15% 

7,800 

19% 

9,315 

18% 


Chart 40 


US$ (Billions) 

60 

50 

40 

30 

20 

10 

0 

1 

7 

22 

46 

52 

41 

1997 1998 1999 2000 2001 2002 

Chart 41 

2002 Total Issuance by Collateral Type 

Consumer Auto 

CMBS 5% 4% 

9% 

Equip 

11% Other 


13% 

Cards 

19% 


RMBS 

20% 

19% 

Chart 42 

2002 Total Issuance by Asset Origin 

South 

Korea 

33% 

Australia 

Japan 

52% 

13% 

Hong 

Kong 

2% 

* Other includes deals backed by Non Performing Loan, Franchise, Future Flow, Shop Credit, Trade Receivables, and Small 

Business Loans. 

34


Analyst 



Asian 

New Issue 

Spreads 

Table 20 

Asian New Issue Spreads by WAL 



6/15/02 - 9/13/02 


Auto Leases 

Asset 

Domicile 

9/5/02 Oracle Zeta T.M.K. 1 Japan 


.5 1 2 3 4 5 7 >= 10 AA A BBB 

B 

6M¥L+15 

E 

Swap+29 

K 

Swap+52 

J 

Swap+39 

CMBS 

8/9/02 JLOC 3 Japan 

A 

3M¥L+55 

5.00 

3M¥L+75 

5.00 

3M¥L+95 

5.00 

3M¥L+145 

7/18/02 Challenger Capital Markets Ltd. 1 Australia 

A 

40 

3.00 

3.00 

80 100 

6/27/02 ING Industrial Finance Pty Ltd. 1 Australia 

FXD 

90DBBSW+40 

6/20/02 Jasmine Investment Corp. 1 Singapore 

Consumer 

7/23/02 No-Loan Asset Funding 1 Japan 

3.50 

58 

5.00 

Swap+138 

3.50 

86 

Equip - Heavy 

9/6/02 CNH Capital Australia Receivables Trust 1 Australia 

Equip - Sm Ticket 

8/23/02 Medical Finance 2002-1 Australia 

A-1 A-2 

90DBBSW+3490DBBSW+75 

A 

BBSW+34 

2.00 

90DBBSW+150 

Other 

8/23/02 Nissay Kikin T.M.K. 1 Japan 

7/30/02 Daiichi Life Ryudouka T.M.K. 1 Japan 

6.00 

Swap+93 

5.00 

Swap+83 



Analyst 



Asian 

New Issue 

Spreads 

Table 20 

Asian New Issue Spreads by WAL 



6/15/02 - 9/13/02 


Other - Mtge 

Asset 

Domicile 

9/6/02 Crusade Trust 2002-1A Australia 


.5 1 2 3 4 5 7 >= 10 AA A BBB 

A-1 

31 

A-2 

30DBBSW+37 

9/6/02 Liberty Financial 2002 2 Australia 

A-1 

1MBBSW+35 

A-2 

1MBBSW+40 

9/2/02 Appollo Series 2002 2 Australia 

A-1 

BBSW+25 

A-2 

BBSW+35 

A-3 

BBSW+38 

5.35 

BBSW+55 

8/19/02 REDS Trust 2002-2 Australia 

7/12/02 AIMS Trust 2002-1 Australia 

A-1 

1MBBSW+26 

A-1 

90DBBSW+22 

A-2 

1MBBSW+36 

A-2 

90DBBSW+36 

7/11/02 Interstar Millennium Trust 2002-1G Australia 

7.00 

1MBBSW+55 

6/28/02 Trust Maison T.M.K. 1 Japan 

1A-2 

Swap+52 

A-2 

1M¥L+65 

A-3 12.66 13.78 

Swap+78 

1M¥L+100 

1M¥L+145 

Shopping Credit 

7/9/02 Orico Shop Leo 1 Japan 

A 

Swap+20 

B 

Swap+42 

D 

Swap+46 

E 

Swap+48 



Analyst 



Asian 

New Issue 

Detail 

Table 21 

Asian ABS New Issue Detail by Date 




8/14/02 - 9/13/02 

USD 

Amount 

Issue Currency 

Collateral 

Type Domicile WAL Price Coupon Spread Benchmark 

9/11/02 Gigan Telepco Trust Certificate 1 1 $9.48 1,140 ¥ Equip - Sm Ticket Japan 0.17 

MIZU/ML 

(Yrs) 

2 $15.79 1,900 ¥ 

0.42 

3 $13.47 1,620 ¥ 

0.67 

4 $11.14 1,340 ¥ 

0.92 

5 $128.83 15,500 ¥ 

Rating 

Lead: 

Co Moody S&P Fitch 

$178.71 

9/10/02 C&M Securitization Specialty LL 1 1 $6.70 8,000 KRW Trade Rec South Korea 0.50 100.0000 4.94% 

Hana 

2 $6.70 8,000 KRW 

0.50 100.0000 5.11% 

3 $6.70 8,000 KRW 

0.75 100.0000 5.22% 

4 $6.70 8,000 KRW 

1.00 100.0000 5.36% 

5 $6.70 8,000 KRW 

1.25 100.0000 5.44% 

6 $6.70 8,000 KRW 

1.50 100.0000 5.52% 

7 $5.86 7,000 KRW 

1.75 100.0000 5.64% 

8 $5.86 7,000 KRW 

2.00 100.0000 5.76% 

9 $5.86 7,000 KRW 

2.25 100.0000 5.84% 

10 $5.86 7,000 KRW 

2.50 100.0000 5.90% 

11 $5.86 7,000 KRW 

2.75 100.0000 6.00% 

12 $5.86 7,000 KRW 

3.00 100.0000 6.12% 

$75.36 



37


Analyst 



Asian 

New Issue 

Detail 

Table 21 





8/14/02 - 9/13/02 

USD 

Amount 


Collateral 


9/10/02 DWC Securitization Specialty Lt 1 1 $8.37 10,000 KRW Trade Rec South Korea 0.50 100.0000 4.82% 

2 $29.30 35,000 KRW 

0.50 100.0000 4.87% 

3 $25.12 30,000 KRW 

0.50 100.0000 4.92% 

4 $25.12 30,000 KRW 

0.50 100.0000 4.98% 

5 $25.12 30,000 KRW 

0.50 100.0000 5.03% 

6 $25.12 30,000 KRW 

0.50 100.0000 5.09% 

7 $25.12 30,000 KRW 

0.58 100.0000 5.14% 

8 $16.74 20,000 KRW 

0.67 100.0000 5.19% 

9 $16.74 20,000 KRW 

0.75 100.0000 5.24% 

10 $16.74 20,000 KRW 

0.83 100.0000 5.30% 

11 $12.56 15,000 KRW 

0.92 100.0000 5.42% 

12 $8.37 10,000 KRW 

0.92 100.0000 5.48% 

13 $25.12 30,000 KRW 

1.25 100.0000 5.63% 

14 $25.12 30,000 KRW 

1.50 100.0000 5.78% 

15 $25.12 30,000 KRW 

1.75 100.0000 5.92% 

16 $20.93 25,000 KRW 

2.00 100.0000 6.10% 

17 $20.93 25,000 KRW 

2.25 100.0000 6.17% 

18 $16.74 20,000 KRW 

2.50 100.0000 6.29% 

19 $4.19 5,000 KRW 

3.00 100.0000 6.55% 

$372.57 

(Yrs) 

Rating 

Lead: 


9/6/02 CNH Capital Australia Receivables 1 A-1 $229.00 422 AUD Equip - Heavy Australia 0.80 

34 90 Day BBSW SGAL 

AAA 

A-2 $6.79 13 AUD 

1.90 75 90 Day BBSW 

AAA 

B 

$6.52 12 AUD 

2.00 150 90 Day BBSW 

$242.31 

9/6/02 Liberty Financial 2002 2 A-1 $86.93 160 AUD Other - Mtge Australia 1.04 

35 1 Mo. BBSW MBL 

AAA 

A-2 $111.49 205 AUD 

2.88 40 1 Mo. BBSW 

AAA 

B/C $18.91 35 AUD 

$217.33 

9/6/02 NEC Leasing Lease Trust Certificat 1 1-33 $101.23 12,000 ¥ Equip - Sm Ticket Japan 

NORTB 

$101.23 

AA 



38


Analyst 



Asian 

New Issue 

Detail 

Table 21 





8/14/02 - 9/13/02 

USD 

Amount 


Collateral 


(Yrs) 

Rating 

Lead: 


9/6/02 Crusade Trust 2002-1A A-1 $176.57 325 AUD Other - Mtge Australia 3.00 

31 AUD IRS UBSW Aaa AAA 

A-2 $219.49 404 AUD 

5.75 37 30 Day BBSW 

Aaa AAA 

B $7.61 14 AUD 

Aa2 AA 

C $3.80 7 AUD 

A2 A 

$407.47 

9/5/02 Oracle Zeta T.M.K. 1 A $28.74 3,400 ¥ Auto Leases Japan 0.25 100.0000 0.20% 14 3 Mo. JPY LIBOR DAIW: MIZU Aaa AAA 

B $31.27 3,700 ¥ 

0.50 100.0000 0.22% 15 6 Mo. JPY LIBOR 

Aaa AAA 

C $25.36 3,000 ¥ 


Aaa AAA 

D $24.51 2,900 ¥ 


Aaa AAA 

E $20.29 2,400 ¥ 

1.25 100.0000 0.38% 29 JPY IRS 

Aaa AAA 

F $19.44 2,300 ¥ 


Aaa AAA 

G $12.68 1,500 ¥ 


Aaa AAA 

H $8.45 1,000 ¥ 


Aaa AAA 

I $6.76 800 ¥ 


Aaa AAA 

J $5.92 700 ¥ 


Aaa AAA 

K $88.75 10,500 ¥ 


Aaa AAA 

$272.17 

9/2/02 Appollo Series 2002 2 A-1 $77.22 140 AUD Other - Mtge Australia 0.51 

25 BBSW SSB: UBSW 

AAA AAA 

A-2 $143.42 260 AUD 

2.57 35 BBSW 

AAA AAA 

A-3 $183.13 332 AUD 

4.67 38 BBSW 

AAA AAA 

B $9.93 18 AUD 

5.35 55 BBSW 

AA AA 

$413.70 

8/30/02 KDB Real Estate Securitization Sp 1 1 $10.65 12,800 KRW CMBS South Korea 0.33 100.0000 7.56% 

KDB 

2 $9.32 11,200 KRW 

0.75 100.0000 7.96% 

3 $8.32 10,000 KRW 

1.00 100.0000 8.61% 

4 $5.82 7,000 KRW 

1.50 100.0000 9.70% 

5 $2.50 3,000 KRW 

2.25 100.0000 10.00% 

$36.61 



39


Analyst 



Asian 

New Issue 

Detail 

Table 21 





8/14/02 - 9/13/02 

USD 

Amount 


Collateral 


8/29/02 Hansol Chemience Securitization S 1 1 $4.16 5,000 KRW Trade Rec South Korea 1.00 100.0000 5.72% 

2 $4.16 5,000 KRW 

2.00 100.0000 5.93% 

3 $4.16 5,000 KRW 

2.00 100.0000 6.31% 

4 $4.16 5,000 KRW 

2.50 100.0000 6.46% 

5 $4.16 5,000 KRW 

2.75 100.0000 6.72% 

6 $4.16 5,000 KRW 

3.00 100.0000 6.88% 

$24.96 

8/29/02 SMI ABS Specialty Co. III 1 $24.98 30,000 KRW Trade Rec South Korea 2.00 100.0000 5.90% 

2 $15.82 19,000 KRW 

3.00 100.0000 6.28% 

$40.80 

(Yrs) 

Rating 

Lead: 


8/23/02 Kookmin Card Asset Securitization 9 1 $166.31 200,000 KRW CrCds - Bank South Korea 0.50 

4.66% 

DAEW/BOOK 

2 $124.73 150,000 KRW 

0.50 4.71% 

3 $74.84 90,000 KRW 

0.50 4.81% 

4 $24.95 30,000 KRW 

0.50 4.87% 

5 $16.63 20,000 KRW 

0.50 4.93% 

6 $8.32 10,000 KRW 

0.50 4.99% 

7 $0.42 500 KRW 

1.25 5.50% 

$416.20 

8/23/02 Credipia Asset Securitization Speci 33 01 $108.10 130,000 KRW CrCds - Bank South Korea 0.08 

4.78% 

Hana/LG 

02 $74.84 90,000 KRW 

0.17 4.81% 

03 $58.21 70,000 KRW 

0.25 4.83% 

04 $49.89 60,000 KRW 

0.33 4.90% 

05 $41.58 50,000 KRW 

0.42 4.98% 

06 $41.58 50,000 KRW 

0.50 5.03% 

07 $33.26 40,000 KRW 

0.58 5.10% 

08 $33.26 40,000 KRW 

0.67 5.15% 

09 $29.10 35,000 KRW 

0.75 5.20% 

10 $24.95 30,000 KRW 

0.83 5.25% 

11 $24.95 30,000 KRW 

0.92 5.30% 

12 $12.47 15,000 KRW 

1.00 5.36% 

$532.19 



40


Analyst 



Asian 

New Issue 

Detail 

Table 21 





8/14/02 - 9/13/02 

USD 

Amount 


Collateral 


8/23/02 Medical Finance 2002-1 A $54.74 101 AUD Equip - Sm Ticket Australia 1.70 

34 BBSW 

B 

C 

(Yrs) 

$1.14 2 AUD 

1.70 

$1.14 2 AUD 

2.50 

$57.02 

Lead: 

Rating 


NAB 

AAA 

A 

BB 

8/23/02 Nissay Kikin T.M.K. 1 A $416.53 50,000 ¥ Other Japan 4.00 100.0000 0.89% 63 JPY IRS DAIW/NSI/NSSB 

A+ AA- 

B $416.53 50,000 ¥ 


A+ AA- 

C $416.53 50,000 ¥ 


A+ AA- 

$1,249.59 

8/21/02 Orangerie Master Trust 2002-1 A $12.66 1,500 ¥ Other Japan 3.17 

B 

C 

D 

E 

F 

$12.66 1,500 ¥ 

3.50 

$12.66 1,500 ¥ 

3.83 

$12.66 1,500 ¥ 

4.17 

$12.66 1,500 ¥ 

4.50 

$21.10 2,500 ¥ 

4.96 

$84.40 

BNP 

Aaa 

Aaa 

Aaa 

Aaa 

Aaa 

Aaa 

8/20/02 AMMS Tokyo Estate 2002 1 $14.31 1,700 ¥ CMBS Japan 

100.0000 100 6 Mo. JPY LIBOR TD 

AA AA 

2 $8.42 1,000 ¥ 

1.60% 

AA AA 

3 $5.89 700 ¥ 

5.00 2.30% 

BBB BBB 

$28.62 

8/20/02 Central Leasing Lease Trust Certifi 1 1 $95.12 11,300 ¥ Equip - Sm Ticket Japan 

UFJ 

AAA 

2 $32.83 3,900 ¥ 

AAA 

$127.95 

8/19/02 REDS Trust 2002-2 A-1 $59.64 110 AUD Other - Mtge Australia 0.80 

26 1 Mo. BBSW MBL: UBSW 

AAA 

A-2 $152.90 282 AUD 

3.99 36 1 Mo. BBSW 

AAA 

B 

$4.34 8 AUD 

1 Mo. BBSW 

$216.88 

AA 



41


Analyst 



Asian 

New Issue 

Detail 

Table 21 





8/14/02 - 9/13/02 

USD 

Amount 


Collateral 


(Yrs) 

Rating 

Lead: 


8/19/02 Century Elbe Funding T.M.K. 1 A-1 $4.21 500 ¥ Equip - Sm Ticket Japan 0.25 100.0000 0.12% 5 3 Mo. JPY LIBOR MIZU Aaa 

A-2 $14.32 1,700 ¥ 


Aaa 

A-3 $14.32 1,700 ¥ 


Aaa 

A-4 $15.17 1,800 ¥ 


Aaa 

A-5 $15.17 1,800 ¥ 


Aaa 

A-6 $15.17 1,800 ¥ 


Aaa 

A-7 $15.17 1,800 ¥ 


Aaa 

A-8 $15.17 1,800 ¥ 


Aaa 

A-9 $15.17 1,800 ¥ 


Aaa 

A-10 $15.17 1,800 ¥ 


Aaa 

A-11 $14.32 1,700 ¥ 


Aaa 

A-12 $14.32 1,700 ¥ 


Aaa 

A-13 $12.64 1,500 ¥ 


Aaa 

A-14 $8.43 1,000 ¥ 


Aaa 

A-15 $5.06 600 ¥ 


Aaa 

A-16 $5.06 600 ¥ 


Aaa 

B-1 $5.90 700 ¥ 


A2 

B-2 $5.06 600 ¥ 


A2 

B-3 $3.37 400 ¥ 


A2 

B-4 $1.69 200 ¥ 


A2 

$214.89 

$5,310.96 



42


Analyst 




Spreads 

Table 22 

CDO Spreads to LIBOR 

Date 

HYL CDO 

AAA AA A BBB 

BB 



HYB CDO 

AAA AA A BBB 

BB 

IG CDO 

AAA AA A BBB 

ABS CDO Syn CDO US BS CLO Euro BS CLO 

AAA AA A BBB 

AAA AA A BBB 

AAA AA A BBB 

6-8 7-10 8-10 9-11 10-12 6-8 7-10 8-10 9-11 10-12 7-9 8-11 10-12 10-12 7-9 8-11 9-12 9-12 5-8 5-8 5-8 5-8 5 5 5 5 

5 5 5-7 7-10 7-10 10-12 

AAA 

A 

EM CDO 

AAA AA A BBB 

4/11/02 44 80 155 250 700 47 85 160 270 790 48 85 160 260 50 90 165 260 55 95 175 275 44 85 130 220 

36 85 70 100 175 300 

4/18/02 44 80 155 250 700 47 85 160 270 790 48 85 160 260 50 90 165 260 55 95 175 275 44 85 130 220 

36 85 70 100 175 300 

4/25/02 44 80 155 250 700 47 85 160 270 790 48 85 160 260 50 90 165 260 55 95 175 275 44 85 130 220 

36 85 70 100 175 300 

5/2/02 44 80 155 255 700 47 80 160 270 790 48 85 160 260 50 90 165 260 55 95 175 275 44 85 130 220 

36 85 70 100 175 300 

5/9/02 44 80 155 255 700 47 80 160 270 790 48 85 160 260 50 90 165 260 55 100 175 275 44 85 130 220 

36 85 70 100 175 300 

5/16/02 44 80 150 250 700 47 80 160 270 790 48 85 160 260 48 85 160 255 60 100 180 285 44 85 130 220 

36 85 70 100 175 300 

5/23/02 44 80 150 250 725 47 80 160 270 790 50 90 170 260 50 90 165 260 60 110 190 295 44 90 140 225 

38 85 75 110 180 305 

5/30/02 44 80 150 250 725 47 80 160 270 790 50 90 170 260 50 90 165 260 65 120 200 300 44 90 140 225 

38 85 75 110 180 305 

6/6/02 44 77 145 250 750 47 80 160 275 790 50 90 170 260 50 90 160 250 65 120 200 300 44 85 145 230 

38 85 75 110 180 305 

6/13/02 44 77 145 250 750 47 80 160 275 790 49 90 165 260 50 90 160 255 65 120 200 300 45 85 150 235 

38 85 75 110 180 305 

6/20/02 44 75 145 250 750 47 80 160 275 790 49 90 165 260 50 90 160 255 65 120 200 300 45 85 150 235 

38 85 75 110 180 305 

6/27/02 44 75 145 250 750 47 80 160 275 790 49 90 165 260 52 95 160 255 65 120 200 300 45 85 150 235 

38 85 75 110 180 305 

7/3/02 44 75 145 250 750 48 85 165 275 800 48 85 165 265 52 95 160 255 65 120 200 350 45 85 150 235 

38 85 75 110 180 305 

7/11/02 44 75 145 250 750 48 85 165 275 800 49 90 170 275 52 95 160 255 65 120 210 375 45 85 150 240 

38 85 75 110 180 305 

7/18/02 45 75 145 250 750 50 85 165 275 800 50 95 175 275 52 95 165 260 65 120 210 375 45 85 150 240 

38 85 75 110 180 305 

7/25/02 46 80 150 255 755 52 85 165 275 800 52 95 175 275 53 95 165 260 65 120 200 400 45 85 150 240 

38 85 75 110 180 305 

8/1/02 47 80 150 260 755 52 85 165 280 800 53 95 175 275 53 95 165 265 65 120 200 425 45 85 150 250 

38 85 80 120 185 315 

8/8/02 48 85 155 260 760 53 90 165 280 800 54 95 175 285 54 95 170 270 70 130 225 450 48 90 160 260 

38 85 80 120 185 315 

8/15/02 48 85 155 260 760 55 90 170 280 800 55 95 175 285 55 95 170 270 70 130 225 450 49 90 160 260 

38 85 80 120 185 315 

8/22/02 48 85 160 260 760 55 90 170 280 800 55 95 175 285 55 95 170 270 70 130 225 450 49 90 165 260 

39 87 80 120 185 315 

8/29/02 48 80 155 260 760 55 90 170 280 800 55 95 175 285 55 95 170 270 70 130 225 450 49 90 165 260 

39 87 80 120 185 315 

9/5/02 48 80 155 255 755 55 90 165 275 800 55 95 175 285 55 95 170 270 70 130 225 450 49 90 165 260 

39 87 80 120 185 315 

9/12/02 48 80 155 255 755 55 90 165 275 800 55 95 175 285 55 95 170 270 70 130 225 450 49 90 165 260 

40 90 80 120 185 325 

Chart 42 

New Issue CDO Spreads to Libor 

110 

90 

70 

50 

30 

Jun-01 Aug-01 Oct-01 Dec-01 Feb-02 Apr-02 

AAA 

AA 


1,030 

830 

630 

430 

230 

30 

Jun-01 Aug-01 Oct-01 Dec-01 Feb-02 Apr-02 

A BBB BB 

43


Analyst 




Collateral 

Spreads 

Table 23 

CDO Collateral Spreads to Swaps/Libor 

Date 

US 

High Yield Bonds 

JPM HY 

Index 

BB 

7 7 

B 

7 



Euro 

High Yield Bonds 

JPM HY 

Index 

7 

Leveraged Loans 

BB/BB- 

US 

B 

5 5 

Corp Industrials 

A 

BBB 

10 10 

CMBS 

A BBB BB 

10 10 

MBS 

BBB 

Home 

Equity 

BBB 

10 10 

5 

Man 

Housing 

BBB 

7 

Emerging Mkts 

4/11/02 661 333 574 1,081 300 425 71 119 69 114 474 194 195 600 

505 

4/18/02 653 334 571 1,094 307 425 67 113 67 112 477 202 180 600 

502 

4/25/02 663 349 577 1,065 312 425 77 123 69 114 481 196 180 600 

524 

5/2/02 661 353 574 1,064 300 425 84 133 71 114 485 200 180 600 

551 

5/9/02 654 335 572 1,081 279 383 78 127 71 114 485 190 180 600 

559 

5/16/02 666 342 577 1,013 269 383 76 127 73 117 487 187 180 575 

544 

5/23/02 673 350 590 965 263 350 73 121 74 118 488 188 180 575 

567 

5/30/02 678 358 579 976 261 388 71 118 76 120 490 190 180 575 

577 

6/6/02 691 359 588 946 241 375 72 122 75 118 463 188 180 575 

621 

6/13/02 717 371 616 962 256 370 76 128 69 115 445 175 180 575 

630 

6/20/02 741 394 635 1,001 250 338 84 135 68 117 437 177 180 575 

709 

6/27/02 770 418 684 955 248 325 92 146 67 114 431 176 180 575 

726 

7/3/02 803 452 720 971 253 321 98 159 67 114 430 175 180 575 

745 

7/11/02 820 469 730 1,039 250 325 99 161 69 115 434 174 180 575 

728 

7/18/02 825 484 728 1,060 258 325 96 167 68 113 430 170 180 575 

706 

7/25/02 871 517 789 1,085 278 355 97 181 73 122 422 162 185 600 

784 

8/1/02 895 539 804 1,052 282 370 89 169 70 121 423 163 185 600 

817 

8/8/02 935 580 851 1,120 298 392 102 193 70 121 430 185 185 600 

768 

8/15/02 960 596 875 1,158 314 400 99 179 72 121 430 185 190 675 

837 

8/22/02 961 598 863 1,181 318 404 88 164 71 120 431 186 190 675 

790 

8/29/02 927 570 823 1,155 317 417 94 169 71 122 433 188 190 1075 

773 

9/5/02 935 573 833 1,127 331 417 97 177 72 123 430 195 195 1200 

789 

9/12/02 922 560 817 1,130 333 417 90 170 70 120 425 

190 1200 

773 

JPM EM 

Index 

Chart 43 

US$ & Euro High Yield Spreads to Swaps 

2,000 

1,500 

1,000 

500 

0 

Jan-99 

Apr-99 

Aug-99 

€ High Yield $ High Yield 

Nov-99 

Mar-00 

Jun-00 

Sep-00 

Jan-01 

Apr-01 

Aug-01 

Nov-01 

Mar-02 

Jun-02 

Chart 44 

BBB Spreads to Swaps 

600 

500 

400 

300 

200 

100 

0 

Feb-98 

Jun-98 

Sep-98 

Jan-99 

Apr-99 

Aug-99 

Nov-99 

Mar-00 

Jun-00 

HEL ABS BBB 5 Yr 

CMBS BBB 10 Yr 

Industrial BBB 10 Yr 

Sep-00 

Jan-01 

Apr-01 

Aug-01 

Nov-01 

Mar-02 

Jun-02 

Source: JPMS, SP/PMD 

44


Analyst 



Global CDO 

New Issue 

By Month 

Table 24 

Funded Issuance by Purpose 

2001 

Total 

Arbitrage 



Balance 

Sheet 

Funded Issuance by Collateral 

ABS/ MBS/CDO 

EM 

Debt 

High 

Yield 

Bonds 

High 

Yield 

Loans 

Investment 

Grade 

Debt 

Other* 

Funded Issuance by Market 

Asia Europe U.S. 

Sep 3,636 3,403 233 1,200 233 1,564 391 248 0 

241 447 2,948 

Oct 6,999 4,961 2,038 1,537 533 1,430 2,601 898 0 

533 854 5,612 

Nov 11,654 8,034 3,620 950 611 1,842 3,451 3,962 838 

1,772 2,995 6,887 

Dec 13,629 6,786 6,843 1,913 536 1,536 1,777 6,957 909 

920 6,706 6,003 

2002 

Jan 3,028 2,819 209 786 182 78 973 996 11 

182 618 2,227 

Feb 5,581 4,423 1,158 1,275 

0 70 2,320 1,915 0 

236 1,730 3,615 

Mar 7,267 5,427 1,839 2,498 217 750 1,137 1,611 1,053 

1,039 1,723 4,505 

Apr 4,866 3,882 984 2,225 

0 722 390 1,528 0 

674 803 3,389 

May 13,142 11,880 1,262 4,173 380 1,377 4,470 1,856 886 

273 4,571 8,299 

Jun 10,614 7,164 3,450 2,025 

0 440 5,598 1,451 1,100 

653 2,909 7,052 

Jul 3,122 2,622 501 409 291 204 1,424 794 0 

160 976 1,986 

Aug 4,719 3,323 1,395 643 

0 533 2,265 1,256 22 

20 827 3,872 

Sep 2,946 375 2,571 552 

0 0 58 2,394 0 

2,011 383 552 


2001 63,625 47,611 16,014 11,982 5,621 12,301 13,278 18,695 

% Issuance 

75% 25% 19% 9% 19% 21% 29% 

1,754 

3% 

4,575 

7% 

17,252 

27% 

41,797 

66% 

2002 55,283 41,915 13,368 14,586 1,070 4,174 18,635 13,802 

% Issuance 

76% 24% 26% 2% 8% 33% 25% 

3,073 

6% 

5,247 

9% 

14,540 

26% 

35,496 

64% 


2001 98,197 69,449 28,748 17,383 7,534 17,678 21,448 30,660 

% Issuance 

71% 29% 18% 8% 18% 22% 31% 

3,500 

4% 

8,042 

8% 

28,154 

29% 

62,001 

63% 

Chart 45 

Funded Issuance by Year 

US$ Billions 

98 

98 

100 

62 

69 

36 

50 

29 

0 

42 

13 

2000 2001 2002 

55 

Arbitrage Balance Sheet Total 

Chart 46 

2002 YTD Funded Issuance by Collateral 

Other 

6% 

ABS 

26% 

EM 

Debt Bonds 

2% 

IG Debt 

25% 

HY 

8% 

HY 

Loans 

33% 

Chart 47 

2002 YTD Funded Issuance by Market 

US 

65% 

Asia 

9% 

Europe 

26% 

*Other includes deals backed by Private Equity, Hedge Funds, and Trust Preferred Securities. 

Sources: JPMS, MCM CorporateWatch, Bloomberg, IFR Markets 

45


Analyst 



US CDO 

New Issue 

By Month 

Table 25 


2001 

Total 

Arbitrage 



Balance 

Sheet 


ABS/ MBS/ CDO 

EM 

Debt 

High 

Yield 

Bonds 

High 

Yield 

Loans 

Investment 

Grade 

Debt 

Sep 2,948 2,948 0 1,200 0 1,564 184 0 

0 

Oct 5,612 4,696 916 1,512 0 1,430 2,601 69 

0 

Nov 6,887 5,836 1,051 950 0 1,474 2,223 1,473 766 

Dec 6,003 5,923 80 1,797 0 1,167 1,777 354 909 

2002 

Jan 2,227 2,227 0 707 0 56 834 631 

0 

Feb 3,615 3,615 0 1,085 0 30 1,232 1,268 

0 

Mar 4,505 4,089 415 2,075 0 370 796 209 1,053 

Apr 3,389 3,373 16 2,225 0 39 

0 1,126 

0 

May 8,299 7,438 861 3,980 0 1,249 1,485 950 636 

Jun 7,052 6,588 465 2,015 0 104 3,378 455 1,100 

Jul 1,986 1,986 0 300 291 204 935 256 

0 

Aug 3,872 2,907 965 352 0 513 2,014 971 22 

Sep 552 252 300 552 0 

0 

0 0 

0 


2001 41,797 38,624 3,173 11,280 1,839 10,103 8,998 7,952 

% Issuance 

92% 8% 27% 4% 24% 22% 19% 

Other* 

1,626 

4% 

2002 35,496 32,474 3,022 13,291 291 2,564 10,674 5,865 

% Issuance 

91% 9% 37% 1% 7% 30% 17% 


2001 62,001 56,782 5,219 16,539 1,839 14,742 15,733 9,848 

% Issuance 

92% 8% 27% 3% 24% 25% 16% 

2,812 

8% 

3,301 

5% 

Chart 49 


US$ Billions 

80 

60 

40 

20 

0 

51 

15 

66 

57 

62 

32 

5 3 

35 

2000 2001 2002 


Chart 50 

2001 Funded Issuance by Collateral 


IG Debt 

16% 

HY 

Bonds 

27% 24% EM 

Other 

5% 

HY 

Loans 

25% 

Debt 

3% 

Chart 51 

2002 YTD Funded Issuance by Collateral 

HY 


Bonds 

37% 

7% 

EM Debt 

1% 

HY 

IG Debt 

Other Loans 

17% 

8% 30% 


Sources: JPMS, MCM CorporateWatch, Bloomberg, IFR Markets. 46


Analyst 



Europe CDO 

New Issue 

By Month 

Table 26 


2001 

Total 

Arbitrage 



Balance 

Sheet 


ABS/ MBS/ CDO 

EM 

Debt 

High 

Yield 

Bond 

High 

Yield 

Loan 

Investment 

Grade 

Debt 

Sep 447 447 0 0 0 

0 207 240 0 

Oct 854 265 589 25 0 

0 

0 829 0 

Nov 2,995 2,198 797 0 0 368 1,228 1,328 72 

Dec 6,706 479 6,227 117 0 26 

0 6,564 0 

2002 

Jan 618 592 26 79 0 23 139 365 11 

Feb 1,730 793 937 38 0 40 1,088 564 0 

Mar 1,723 1,338 385 423 217 

0 152 931 0 

Apr 803 423 380 0 0 96 390 317 0 

May 4,571 4,442 128 193 128 108 2,985 906 250 

Jun 2,909 576 2,333 0 0 13 2,220 676 0 

Jul 976 635 341 88 0 

0 350 538 0 

Aug 827 417 410 291 0 

0 251 285 0 

Sep 383 123 260 0 0 

0 

0 383 0 

YTD Summar (Thru 09/13) 

2001 17,252 7,849 9,404 357 668 1,989 4,012 10,103 

% Issuance 

45% 55% 2% 4% 12% 23% 59% 

Other* 

128 

1% 

2002 14,540 9,340 5,200 1,111 345 279 7,576 4,967 

% Issuance 

64% 36% 8% 2% 2% 52% 34% 


2001 28,154 11,137 17,017 499 668 2,383 5,446 18,963 

% Issuance 

40% 60% 2% 2% 8% 19% 67% 

261 

2% 

200 

1% 

Chart 52 


US$ Billions 

28 

30 

21 

16 17 

20 

11 9 

10 

5 

0 

2000 2001 2002 

5 

15 


Chart 53 

2001 Funded Issuance by Collateral 

EM 

HY 

Debt 

Bonds 

2% 

8% 


2% 

HY 

Loans 

19% 

IG Debt 

68% 

Other 

1% 

Chart 54 

2002 YTD Funded Issuance by Collatera 

HY 

Bonds 

2% 


8% 

EM Debt 

2% 

IG Debt 

34% 

HY 

Loans 

52% 

Other 

2% 


Sources: JPMS, MCM CorporateWatch, Bloomberg, IFR Markets. 

47


Analyst 




New Issue 

Spreads 

Table 27 

CDO New Issue Spreads by WAL 




6/15/02 - 9/13/02 

Collateral 

Sector 

Market 



3 4 5 6 7 8 9 10 AA A BBB 

CDO - Arbitrage 

9/12/02 E*Trade CDO 1 Cash Multisector 

US 

A-1 

3ML+55 

10.00 

3ML+110 

6.10 

Swap+285 

9/5/02 Upper Thames SA I Synthetic IG Bonds 

Euro 

A 

3mEL+62.5 

5.00 

3mEL+87.5 

5.00 

3ML+400 

8/29/02 Landmark CLO Ltd II Cash HY Loans 

US 

A 

3ML+48 

7.00 

3ML+90 

8.00 

3ML+265 

8/23/02 Saratoga CLO Ltd. I Cash HY Loans 

US 

A 

3ML+46 

10.30 

3ML+150 

10.30 

3ML+250 

8/21/02 Gibraltar Ltd 2 Synthetic IG Bonds 

US 

5.00 

5.00 

L+75 L+300 

8/16/02 AJAX 2 Cash Multisector 

US 

A-1 

1ML+42 

A-2A 

1ML+52 

9.90 

1ML+150 

10.50 

1ML+250 

8/15/02 Golden Night CBO 1 Cash HY Bonds 

US 

A 

L+60 

9.20 

L+90 

9.60 

10.20 

L+275 L+290 

8/13/02 Phoenix Mistic CBO 1 Cash IG Bonds 

US 

A-2B 

6ML+43 

9.70 

6ML+85 

10.00 

6ML+170 

8/9/02 SEQUILS-MINCS Glace Bay Cash HY Loans 

US 

A-1 VFN 

3ML+50 

A-2 Term 

3ML+48 

8.20 

3ML+175 

8/8/02 Euro Zing I Cash Multisector 

Euro 

A-2 

6ML+55 

9.50 

6mEL+90 

8/1/02 Centurion VI Cash HY Loans 

US 

A 

3ML+48 

9.90 

Swap+150 

10.00 

3ML+250 

7/31/02 Cedar (Silver) Lake Funding 1 Cash HY Bonds 

US 

A-1L 

6ML+55 

6.50 

6ML+300 

7/30/02 SALS 2002-4 Synthetic IG Bonds 

US 

B 

6ML+55 

5.00 

6ML+110 

5.00 

6ML+225 

7/24/02 Beacon Hill III Cash Multisector 

US 

A-1 

3ML+52 

10.00 

3ML+90 

10.00 

Swap+260 

7/23/02 Harbourmaster CLO III Cash HY Loans 

Euro 

A-1 12.00 12.00 

3mEL+55 

3mEL+170 

3mEL+250 



Analyst 




New Issue 

Spreads 

Table 27 





6/15/02 - 9/13/02 

Collateral 

Sector 




3 4 5 6 7 8 9 10 AA A BBB 

7/10/02 TCW GEM Ligos II Cash EM 

US 

I 

6ML+47 

7/10/02 Wrigley 1 Cash HY Loans 

US 

1 

6ML+42 

10.50 

Swap+70 

11.20 

Swap+200 

11.50 

6ML+300 

7/2/02 Magnetite IV Cash HY Loans 

US 

I 

6ML+42 

10.70 

6ML+70 

11.30 

Swap+200 

11.70 

6ML+300 

6/28/02 Ares VI Cash HY Loans 

US 

A-1 

3ML+43 

10.20 

3ML+70 

10.20 

3ML+150 

10.20 

3ML+250 

6/28/02 LNR 2002-1 Cash Multisector 

US 

A 

1ML+47 

9.00 

Swap+150 

9.23 

Swap+255 

6/26/02 ACA ABS 2002-1 Cash Multisector 

US 

A 

3ML+54 

10.00 

3ML+95 

7.70 

3ML+260 

6/25/02 Denali Capital CLO II Cash HY Loans 

US 

A-1L 

3ML+43 

7.00 

3ML+80 

7.00 

3ML+145 

7.00 

3ML+250 

6/24/02 Preferred Term Securities VI Cash Other 

US 

A 

L+70 

6/21/02 Mariner CDO 2002 Cash HY Loans 

US 

A-1 

3ML+43 

8.11 

Swap+90 

8.61 

3ML+155 

9.03 

3ML+250 

6/20/02 Franklin CLO III Cash HY Loans 

US 

A-1 

3ML+43 

10.90 

3ML+70 

11.20 

3ML+150 

11.40 

3ML+240 

6/20/02 TCW C-Squared CDO 1 Cash HY Loans 

US 

A 

3ML+42 

10.20 

3ML+140 

10.90 

3ML+245 

6/19/02 Palmetto I Synthetic IG Bonds 

US 

I 

3ML+60 

5.00 

3ML+100 

5.00 

3ML+160 

5.00 

3ML+350 

6/18/02 Jubilee CDO II Cash HY Loans 

Euro 

A-1 

6mEL+48 

CDO - Balance Sheet 

9/9/02 Crest Clarendon CRE CDO 2002-1 Cash Multisector 

US 

9.90 

Swap+135 

9.90 

3ML+135 

8/22/02 Latitude Synthetic BV I Synthetic HY Loans 

Euro 

A 

3ML+65 

8.80 

3ML+125 

9.80 

3ML+175 

10.00 

3ML+300 



Analyst 




New Issue 

Spreads 

Table 27 





6/15/02 - 9/13/02 

Collateral 

Sector 




3 4 5 6 7 8 9 10 AA A BBB 

8/9/02 Fleet CLO 2002-1 Cash HY Loans 

US 

A-1 

3ML+25 

A-2 

3ML+35 

5.25 

3ML+90 

5.25 

3ML+240 

8/7/02 Argon Capital PLC I Synthetic IG Bonds 

Euro 

A 

1mEL+60 

5.00 

1mEL+100 

5.00 

1mEL+175 

5.00 

1mEL+325 

7/16/02 Coriolanus 1 Cash IG Debt 

Euro 

A 

3mEL+53 

6/27/02 FTPYMES TDA CAM I Cash HY Loans 

Euro 

1SA 

6mEL+24 

2CA 

6mEL+2 

7.92 

6mEL+70 

7.92 

6mEL+100 

6/25/02 Astrea 1 Cash HY Loans 

Euro 

4.10 

6mEL+15 

6/20/02 Shinsei Funding III Cash IG Loans 

Asia 

3 

Swap+38 

5 

Swap+60 



Analyst 




New Issue 

Detail 

Table 28 

CDO New Issue Detail by Date 

Date 

Class 


9/13/02 Mizuho Synthetic CLO 1 

Asset Seller: Mizuho Corporate Bank 

Super Sr 

A 



Amount 

8/14/02 - 9/13/02 

% Deal 

USD 

JPY 1,000,000.00 81% $8,274.00 Balance Sheet Cash Flow 

JPY 125,000.00 10% 

$1,039.00 

CDO Credit WAL 

Rating 

Purpose Structure (Yrs) Coupon Price Yield Sprd Benchmark Moody S&P Fitch 

Asset Value: $ 10,285 mm 

Collateral: Synthetic; CDS referenced to 151 IG Corporates 

Lead:CoManager: MIZU/ML 

Sector: IG Bonds 

2.60 3 Mo. JPY LIBOR 

B JPY 93,000.00 7% $774.00 

2.60 3 Mo. JPY LIBOR 

Equity JPY 24,000.00 2% $198.00 

JPY 1,242,000.00 

9/12/02 E*Trade CDO 1 

Asset Manager: E*TRADE Asset Management 

$10,285.00 

Asset Value: $ 252 mm 

Collateral: Cash; ABS/MBS/CMBS (Baa2/Baa3) 

Aaa 

Lead:CoManager: CSFB: GCM,WS 

Sector: Multisector 

A-1 $151.25 60% $151.25 Arbitrage Cash Flow 4.50 55 3 Mo. LIBOR Aaa AAA AAA 

A-2 $50.00 20% $50.00 

9.40 

Aaa AAA AAA 

B $25.00 10% $25.00 

10.00 110 3 Mo. LIBOR Aa1 AA+ AA+ 

C-1 $9.50 4% $9.50 

6.10 275 3 Mo. LIBOR Baa2 BBB BBB 

C-2 $3.40 1% $3.40 

6.10 285 Swap 

Baa2 BBB BBB 

PS $12.50 5% $12.50 

Ba3 BB- BB- 

$251.65 

9/10/02 Small & Medium Business ABS Specialty Securiti 

Asset Seller: Hana Bank 

$251.65 


Collateral: Cash; Small Business Loans 

1 KRW 20,000.00 29% $16.74 Balance Sheet Cash Flow 1.00 5.25% 

2 KRW 30,000.00 43% $25.12 

2.00 5.76% 

3 KRW 19,000.00 28% $15.91 

3.00 6.06% 

KRW 69,000.00 

9/9/02 Crest Clarendon CRE CDO 2002-1 

Asset Seller: MFS Investment Management 

$57.77 


Collateral: Cash; REIT and Subordinated CMBS (Baa2) 

Lead:CoManager: HGY 

Sector: HY Loans 

Lead:CoManager: WS 


A $228.00 76% $228.00 Balance Sheet Cash Flow 7.30 Libor 

Aaa AAA AAA 

B-1 $29.00 10% $29.00 

9.90 100.0000 135 Swap 

A3 A- A- 

B-2 $10.00 3% $10.00 

9.90 100.0000 135 3 Mo. LIBOR 

BBB BBB 

C $15.00 5% $15.00 

10.00 100.0000 225 Swap 

BB BB 

D 

$10.00 3% 

$10.00 

PS $8.00 3% $8.00 

$300.00 

$300.00 

10.70 

BB- 

Enhan 

.Type 

Market: Asia 

Market: US 



Note: Deal names of deals priced during the most recent week are 

bolded. 

51


Analyst 




New Issue 

Detail 

Table 28 


Date 

Class 

9/6/02 Forsete Investments S.A. 1 

Asset Seller: BNP Paribas 

CDS 




Amount 

8/14/02 - 9/13/02 

% Deal 

USD 

EUR 2,236.00 89% $2,202.46 Balance Sheet Cash Flow 


Rating 



Lead:CoManager: BNP 

Collateral: Synthetic; 100 reference entities of European & US corporations Sector: (BBB- min) IG Bonds 

A EUR 50.00 2% $49.25 

55 3 Mo. Euribor Aaa AAA 

B EUR 70.00 3% $68.95 

75 3 Mo. Euribor Aa2 AA 

Equity EUR 144.00 6% $141.84 

EUR 2,500.00 

9/5/02 Upper Thames SA I 

Asset Manager: Hypovereinsbank 

$2,462.50 


Collateral: Synthetic; Public Sector Pfandbriefe (BBB+/A-) 

CDS EUR 705.50 85% $699.64 Arbitrage Cash Flow 5.00 

Lead:CoManager: HVB 


A EUR 48.90 6% $48.49 

5.00 100.0000 63 3 Mo. Euribor Aaa AAA 

B EUR 24.90 3% $24.69 

5.00 100.0000 88 3 Mo. Euribor Aa2 AA 

C EUR 14.90 2% $14.69 

5.00 100.0000 400 3 Mo. Euribor Baa2 BBB 

D USD 10.00 1% $10.00 

5.00 100.0000 400 3 Mo. LIBOR Baa2 BBB 

E EUR 8.30 1% $8.23 

5.00 

Ba2 BB 

Equity EUR 17.40 2% $17.26 

5.00 

EUR 829.90 

8/29/02 Landmark CLO Ltd II 

Asset Manager: Aladdin Capital Mgmt 

$823.00 


Collateral: Cash; 95% loans/5% bonds 

Lead:CoManager: MIZU/BOA 


A $188.00 75% $188.00 Arbitrage Cash Flow 6.50 100.0000 48 3 Mo. LIBOR Aaa AAA 

B $12.00 5% $12.00 

7.00 100.0000 90 3 Mo. LIBOR Aa2 AA 

C $24.00 10% $24.00 


D $6.00 2% $6.00 

9.25 100.0000 750 3 Mo. LIBOR Ba2 BB 

E $20.00 8% $20.00 

$250.00 

8/28/02 New Hanmaum ABS Specialty Co. 1 

Asset Seller: Korea Investment Trust Management 

$250.00 


Collateral: Cash; Korean Corporate Bonds 

1 KRW 24,200.00 100% $20.21 Balance Sheet Cash Flow 1.50 5.68% 100.0000 

KRW 24,200.00 

$20.21 

Lead:CoManager: KITC 

Sector: HY Bonds 

Enhan 

.Type 

Market: Euro 





bolded. 

52


Analyst 




New Issue 

Detail 

Table 28 


Date 

Class 

8/23/02 Saratoga CLO Ltd. I 

Asset Manager: Invesco 

8/22/02 Latitude Synthetic BV I 

Asset Seller: NIB Capital 

8/21/02 Gibraltar Ltd 2 

Asset Manager: ABN Amro 




Amount 

8/14/02 - 9/13/02 

% Deal 

USD 


Rating 



Collateral: Cash; Leveraged Loans (B1/B2) 

Lead:CoManager: LB 


A $228.00 76% $228.00 Arbitrage Cash Flow 8.10 46 3 Mo. LIBOR Aaa AAA 

B $24.00 8% $24.00 

10.30 150 3 Mo. LIBOR A2 A 

C $11.25 4% $11.25 

10.30 250 3 Mo. LIBOR Baa2 BBB 

D $6.75 2% $6.75 

10.30 750 3 Mo. LIBOR Ba1 BB+ 

PS $30.00 10% $30.00 

$300.00 

$300.00 


Collateral: Synthetic; 59 Shipping Company Loans 

Lead:CoManager: ML/NIB: MS 


A $99.50 40% $99.50 Balance Sheet Cash Flow 7.70 100.0000 65 3 Mo. LIBOR Aaa AA+ 

B $50.00 20% $50.00 

8.80 100.0000 125 3 Mo. LIBOR Aa2 AA 

C $40.00 16% $40.00 

9.80 100.0000 175 3 Mo. LIBOR A2 A 

D $20.00 8% $20.00 


Equity $41.50 17% $41.50 

$251.00 

$251.00 


Collateral: Synthetic; 55 IG CDS (Baa1) 

Lead:CoManager: ABN 


CDS $959.50 93% $959.50 Arbitrage Cash Flow 5.00 

Aaa AAA 

B $33.00 3% $33.00 

5.00 75 Libor 

Aa2 AA 

C $33.00 3% $33.00 

5.00 150 Libor 

Aa2 AA 

D $4.50 0% $4.50 

5.00 300 Libor 

Baa2 BBB 

$1,030.00 

8/16/02 AJAX 2 

Asset Manager: ING Capital Advisors 

$1,030.00 


Lead:CoManager: WS: MS,ING 

Collateral: Cash; ABS/CMBS/RMBS/REITS (93%), IG bonds (7%): (Baa2/Baa3) Sector: Multisector 

A-1 $129.80 35% $129.80 Arbitrage Cash Flow 3.00 100.0000 42 1 Mo. LIBOR Aaa AAA 

A-2A $166.10 44% $166.10 

6.90 100.0000 52 1 Mo. LIBOR Aaa AAA 

A-2B $11.70 3% $11.70 

6.90 4.84% 52 Swap - 7Y Aaa AAA 

B $30.90 8% $30.90 

9.90 100.0000 150 1 Mo. LIBOR A1 A+ 

C $23.40 6% $23.40 


PS 

$13.00 3% 

$374.90 

$13.00 

$374.90 

BB+ 

Enhan 

.Type 






bolded. 

53


Analyst 




New Issue 

Detail 

Table 28 


Date 

Class 

8/15/02 Golden Night CBO 1 

Asset Manager: Lord Abbett 




Amount 

8/14/02 - 9/13/02 

% Deal 

USD 


Rating 



Collateral: Cash; Bonds (B1/B2) 

Lead:CoManager: ML 


A $123.50 71% $123.50 Arbitrage Cash Flow 7.80 100.0000 60 Libor 

Aaa AAA 

B $14.00 8% $14.00 

9.20 100.0000 90 Libor 

Aa2 AA 

C $10.00 6% $10.00 

9.60 100.0000 275 Libor 

A1 A+ 

D $5.50 3% $5.50 

10.20 100.0000 290 Libor 

Baa2 BBB 

Equity $22.00 13% $22.00 

$175.00 

$175.00 

Enhan 

.Type 



bolded. 

54


Analyst 




Pipeline 

Summary 

Table 29 

CDO Pipeline 

Issue 



Asset Manager/Seller 

Lead 

Mgr 

Asset 

Pool 

Liability 

Pool 

Cash/ 

Syn Purpose Structure Market 

AAA 

A 

BBB 

BB 

Multisector 

Eclipse 1 Rabobank MS 306 306 Cash Arb CF US 6ML +58-62 6ML +165-185 6ML +280-320 

Fort Point CDO Ltd 1 State Street Research SSB 400 400 Cash Arb CF US 

Unison CDO Limited 1 TD Principal Finance TD 250 250 Cash Arb CF US 6ML +50 6ML +175 

Zoo CDO 1 Meliorbanca BS 359 359 Cash Arb CF Euro 3mEL +45-50 3mEL +225 

Fenway 2002-1 WS 500 500 Syn Arb CF US 

3ML +200 

Baltic Star 1 LB Kiel ML 930 930 Syn Arb CF Euro 3mEL +70 3mEL +200 

Charles River CDO 1 UBS 500 500 Cash Arb CF US 

Diversified Global Securities II UBS Asset Mgmt UBSW 257 257 Cash Arb CF US 6ML +50-55 6ML +160-180 6ML +275-325 

White Oak I Barclays Bank BCG 1,000 1,000 Syn BS CF US L +50 L +130 

Ruby CDO 2002 N.A. BS 117 117 Cash Arb CF US 

Tower Bridge 1 Miller Anderson SSB 1,080 1,080 Cash Arb MV US 

HY Loans 

Gemini Fund Ltd I 

Greenwich Street Capital 

GS 692 692 Cash Arb CF US 3ML +60-65 

Partners 

Light Point CLO Ltd. I LightPoint Capital ABN/LINK 409 409 Cash Arb CF US 3ML +45 3ML +145 3ML +275 3ML +700 

Park Mountain Capital 2002-1 Fortis FOR/SSSB 2,000 2,000 Syn BS CF Euro +52 +300 

BSAM CLO I Bear Stearns Asset Mgmt BS 450 450 Cash Arb CF US 3ML +45 

Four Corners Capital I Four Corners Capital CIBC 400 400 Cash Arb CF US 3ML +43 3ML +240 3ML +750 

Cascade CLO 1 Centre Pacific UBSW 409 409 Cash Arb CF US 

3ML +240 3ML +700 

HY Bonds 

Robeco CDO V Weiss Peck & Greer Rabo 410 410 Cash Arb CF US 

Note: Deal information may be incomplete and is subject to change. 



Analyst 




Pipeline 

Summary 

Table 29 


Issue 




Lead 

Mgr 

Asset 

Pool 

Liability 

Pool 

Cash/ 


AAA 

A 

BBB 

BB 

Mount Mitchell CDO II 

White Ridge Investment 

BOA 300 300 Cash Arb CF US L +50 Tsy +375 Tsy +825 

Advisors 

Liberty Square III Wellington Asset Mgmt LB 250 250 Cash Arb CF US 

IG Bonds 

UOB Synthetic Asian CDO 1 UOB Asset Management DB 1,139 1,139 Syn Arb CF Asia 

Santa Rosa 1 Pacific Investment Mgmt Co. LB 

Cash Arb CF US 

Maple 2002-2 Royal Bank of Canada RBC 500 500 Syn Arb CF US 3ML +75 3ML +400 

RMF Euro CDO 1 RMF Investment Products GS 300 300 Cash Arb CF Euro 

Eirles (STAKE) II Deutsche Bank DB/BCG/G 63 63 Syn Arb CF US 

S 

Crossroads 2002-1 N.A. SG 1,904 1,904 Syn Arb CF Euro 

Taurus Synthetic 1 N.A. TD 1,000 1,000 Syn Arb CF US 

3ML +175 3ML +300 

MINTS IG CBO (Managed 

MBIA Capital Management ML 1,000 1,000 Syn Arb CF US 

6ML +200 

Investment Trust Sec) 1 

Craigee St. Funding I TCW Advisors Inc. SSB 1,000 1,000 Syn Arb CF US +35-45 +300-325 

Channel CDO I Pacific Investment Mgmt Co. GS 1,015 1,015 Syn Arb CF US 

3ML +160 3ML +250-275 

Hewett's Island 1 

Cypress Tree Investment LINK 250 250 Cash Arb CF US 

Partners 

Spectra I OUB Asset Mgmt ING 450 450 Syn Arb CF Asia 

MORE Europe CDO 1 Societe Generale SG 560 560 Syn BS CF Euro 

Swap +230 

EM 

Atlantic Advisors 1 Atlantic Asset Mgmt GS 298 298 Cash Arb CF US 

Other 

Avenue 2002-1A N.A. DB 58 58 Syn Arb CF US 3ML +65 

Concordia Funding 1 Concordia Advisors SSB 100 100 Cash Arb MV US 




Analyst 




Pipeline 

Summary 

Table 29 


Issue 




Lead 

Mgr 

Asset 

Pool 

Liability 

Pool 

Cash/ 


AAA 

A 

BBB 

BB 

UBS Alpha 1 UBS O'Connor UBSW 500 500 Cash Arb MV US 12ML +60-70 12ML +150-175 12ML +250-300 

Premier 1 Partners Group ML 250 250 Cash Arb MV Euro 




Analyst 




Pipeline 

Table 30 


9/12/2002 

Class 




Amount 

UOB Synthetic Asian CDO 1 

Asset Manager: UOB Asset Management 

Super Sr 

A 

% Deal 

USD 

CDO Credit 

Price Talk 

Rating 

WAL 

Type Structure (Yrs) Spread Benchmark Moody S&P Fitch 


Collateral: Synthetic; CDS on 148 Global Corp Credits 

$1,033.00 91% $1,033.00 Arbitrage Cash Flow 

$26.60 2% 

$26.60 

5.00 

Lead:CoManager: DB 


B $26.60 2% $26.60 

Baa2 BBB 

C $13.20 1% $13.20 

Baa2 BB 

PS $40.00 4% $40.00 

A 

Enhan 

.Type 

Market: 

Asia 

$1,139.40 

$1,139.40 

9/4/2002 

Santa Rosa 1 

Asset Manager: Pacific Investment Mgmt Co. 

Collateral: Cash; Corp Bonds (Baa2/Baa3) 




US 

A $258.00 86% $258.00 Arbitrage Cash Flow 8.40 6 Mo. LIBOR 

Aaa AAA 

B $14.25 5% $14.25 

9.50 6 Mo. LIBOR 

Aa2 AA 

C $12.00 4% $12.00 


Baa1 BBB 

PS $15.75 5% $15.75 

$300.00 

$300.00 

8/27/2002 

Eclipse 1 

Asset Manager: Rabobank 


Collateral: Cash; CDO of CDO (Baa2) 

Lead:CoManager: MS 



US 

A $230.00 75% $230.00 Arbitrage Cash Flow 10.70 58-62 6 Mo. LIBOR 

Aaa AAA 

B 

$12.00 4% $12.00 

11.70 90-100 6 Mo. LIBOR 

Aa2 

C 

$31.00 10% $31.00 

11.70 165-185 6 Mo. LIBOR 

A3 

D 

$6.50 2% $6.50 

11.70 280-320 6 Mo. LIBOR 

Baa2 

Equity 

$26.00 9% $26.00 

11.70 

Ba3 

$305.50 

$305.50 

8/26/2002 

Fort Point CDO Ltd 1 

Asset Manager: State Street Research 


Collateral: Cash; ABS (Baa2-Baa3) 

Lead:CoManager: SSB 



US 

A-1 $323.00 81% $323.00 Arbitrage Cash Flow 7.40 45-50 3 Mo. LIBOR 

A-2 $36.00 9% $36.00 

9.80 85-95 3 Mo. LIBOR 

A-3 $23.00 6% $23.00 

10.00 250-300 3 Mo. LIBOR 

PS $18.00 4% $18.00 

$400.00 

$400.00 

Note: Deal information may be incomplete and is subject to 

change. 

58


Analyst 




Pipeline 

Table 30 


8/20/2002 

Class 




Amount 

Maple 2002-2 

Asset Manager: Royal Bank of Canada 

% Deal 

USD 


Price Talk 

Rating 

WAL 



Collateral: Synthetic; IG CDS 

Lead:CoManager: RBC 


Enhan 

.Type 


US 

A 

B 

C 

D 

$375.00 75% $375.00 Arbitrage Cash Flow 8-11 

$50.00 10% $50.00 

75 

$25.00 5% $25.00 

200 

$8.00 2% $8.00 

400 

E $42.00 8% $42.00 

3 Mo. LIBOR 

3 Mo. LIBOR 

3 Mo. LIBOR 

3 Mo. LIBOR 

Aaa 

Aa2 

A2 

$500.00 

$500.00 

8/15/2002 Avenue 2002-1A 

Asset Value: $ 58 mm Lead:CoManager: DB 


Asset Manager: N.A. 

A $20.00 35% $20.00 Arbitrage Cash Flow 65 3 Mo. LIBOR 

Aaa AAA 

B $20.00 35% $20.00 


Aa2 AA 

C $5.00 9% $5.00 


Aa3 AA- 

PS $12.80 22% $12.80 

Super Sr 

$57.80 

$57.80 

7/30/2002 Unison CDO Limited 1 

Asset Manager: TD Principal Finance 


Lead:CoManager: TD 



US 

A-1 $150.00 60% $150.00 Arbitrage Cash Flow 50 6 Mo. LIBOR 

Aaa AAA 

Gty 

A-2 $55.00 22% $55.00 


Aaa AAA 

B $28.75 12% $28.75 


A3 A- 

PS 

$16.25 7% $16.25 

Ba2 

$250.00 

$250.00 

7/25/2002 

Concordia Funding 1 

Asset Manager: Concordia Advisors 


Collateral: Cash; Hedge Fund of Funds 


Sector: Other 


US 

A 

$80.00 80% $80.00 Arbitrage Market Value 

INC-NTS $20.00 20% $20.00 

3.00 

Aa3 

$100.00 

$100.00 


change. 

59


Analyst 




Pipeline 

Table 30 


7/25/2002 

Class 




Amount 

RMF Euro CDO 1 

Asset Manager: RMF Investment Products 

% Deal 

USD 


Price Talk 

Rating 

WAL 



Collateral: Cash; 70-90% US & Euro Loans, 10-30% HY, 0-20% Synthetic 

Lead:CoManager: GS 

Sector: IG Loans 

A EUR 213.00 74% $213.00 Arbitrage Cash Flow 

Aaa AAA 

B EUR 36.00 13% $36.00 

A2 A- 

C 

EUR 10.00 3% 

$10.00 

D EUR 28.50 10% $28.50 

Baa2 

Enhan 

.Type 


Euro 

EUR 287.50 

$287.50 

7/22/2002 

Eirles (STAKE) II 

Asset Manager: Deutsche Bank 


Collateral: Synthetic; 75 Reference Obligations (BBB-) from UK, US, & Germany 

Lead:CoManager: DB/BCG/GS 

Sector: IG Loans 


US 

Super Sr 

$563.80 90% $563.80 Arbitrage Cash Flow 

A $12.50 2% $12.50 

B $9.38 1% $9.38 

C $15.63 2% $15.63 

D $25.00 4% $25.00 

$626.30 

$626.30 

7/16/2002 

Gemini Fund Ltd I 

Asset Manager: Greenwich Street Capital Partners 


Collateral: Cash; Middle Market Loans 




US 

A $436.30 63% $436.30 Arbitrage Cash Flow 4.50 60-65 3 Mo. LIBOR 

Aaa AAA 

XL Capital Gty 

B $20.80 3% $20.80 


A3 A- 

C $48.50 7% $48.50 


Baa2 BBB 

PS $187.00 27% $187.00 

$692.60 

$692.60 

7/16/2002 

Light Point CLO Ltd. I 

Asset Manager: LightPoint Capital 


Collateral: Cash; High Yield Loans 

Lead:CoManager: ABN/LINK 



US 

A $315.00 77% $315.00 Arbitrage Cash Flow 45 3 Mo. LIBOR 

Aaa AAA 

B $35.00 9% $35.00 


A2 A 

C $20.50 5% $20.50 


Baa2 BBB 

D $18.00 4% $18.00 


Ba2 BB 

PS $20.00 5% $20.00 

$408.50 

$408.50 


change. 

60


Analyst 




Pipeline 

Table 30 


7/12/2002 

Class 


Zoo CDO 1 

Asset Manager: Meliorbanca 



Amount 

% Deal 

USD 


Price Talk 

Rating 

WAL 



Collateral: Cash; ABS Credits and Mezz Debt 

Lead:CoManager: BS 


A-1 EUR 282.50 79% $282.50 Arbitrage Cash Flow 6.90 45-50 3 Mo. Euribor 

Aaa AAA 

A-2 EUR 25.00 7% $25.00 

9.00 60 3 Mo. Euribor 

Aaa AAA 

A-3 EUR 20.00 6% $20.00 


Aa2 AA 

B EUR 17.50 5% $17.50 

9.00 225 3 Mo. Euribor 

Baa2 BBB 

C EUR 14.00 4% $14.00 

Enhan 

.Type 


Euro 

EUR 359.00 

$359.00 

7/12/2002 

UBS Alpha 1 

Asset Manager: UBS O'Connor 


Collateral: Cash; Fund of Hedge Funds 

Lead:CoManager: UBSW 

Sector: Other 


US 

A $260.00 52% $260.00 Arbitrage Market Value 5.00 60-70 12 Mo. LIBOR 

Aaa AAA AAA 

B $70.00 14% $70.00 

5.00 150-175 12 Mo. LIBOR 

A2 A A 

C $45.00 9% $45.00 

5.00 250-300 12 Mo. LIBOR 

Baa2 BBB BBB 

PS 

$125.00 25% $125.00 

5.00 

BB 

$500.00 

$500.00 

7/11/2002 

Premier 1 

Asset Manager: Partners Group 


Collateral: Cash; Fund of Hedge Funds 


Sector: Other 


Euro 

1 $250.00 100% $250.00 Arbitrage Market Value 

$250.00 

$250.00 

7/10/2002 Atlantic Advisors 1 



Asset Manager: Atlantic Asset Mgmt 

Sector: EM 


US 

A 

B 


$24.00 8% 

$24.00 

PS $39.99 13% $39.99 

Libor 

Libor 

$297.99 

$297.99 


change. 

61


Analyst 




Pipeline 

Table 30 


7/9/2002 

Class 

Fenway 2002-1 

Asset Manager: 




Amount 

% Deal 

USD 


Price Talk 

Rating 

WAL 



Collateral: Synthetic; CDO of CDO 

Lead:CoManager: WS 


Enhan 

.Type 


US 

Super Sr 

A 

B 


$20.00 4% $20.00 

$5.00 1% $5.00 

7.00 200 3 Mo. LIBOR 

Aa3 

A3 

$500.00 

$500.00 

7/8/2002 

Park Mountain Capital 2002-1 

Asset Seller: Fortis 


Collateral: Synthetic; Secured and Unsecured Loans (BBB-/BB+) 

Lead:CoManager: FOR/SSSB 



Euro 

Super Sr 

EUR 1,735.00 87% $1,735.00 Balance Sheet Cash Flow 

1 EUR 100.00 5% $100.00 

52 

Aaa 

2 EUR 58.00 3% $58.00 

Aa3 

3 EUR 20.00 1% $20.00 

300 

Baa1 

4 EUR 31.00 2% $31.00 

Ba1 

Equity EUR 56.00 3% $56.00 

EUR 2,000.00 

$2,000.00 

7/4/2002 

Baltic Star 1 

Asset Manager: LB Kiel 


Collateral: Synthetic; ABS/MBS (Aa3 to A1) 




Euro 

CDS 

EUR 855.00 92% $836.87 Arbitrage Cash Flow 

A EUR 45.00 5% $44.05 


Aaa AAA 

B EUR 20.00 2% $19.58 

7.00 120 3 Mo. Euribor 

Aa2 AA 

C EUR 10.00 1% $9.79 

7.00 200 3 Mo. Euribor 

A1 A+ 

EUR 930.00 

$910.29 

7/4/2002 

Crossroads 2002-1 



Collateral: Synthetic; 5 Yr CDS to 95 IG Entities (A-) 

Lead:CoManager: SG 



Euro 

Super Sr EUR 1,785.00 92% $1,747.16 Arbitrage Cash Flow 5.00 

B EUR 80.00 4% $78.30 

5.00 

C EUR 35.00 2% $34.26 

5.00 

D EUR 25.00 1% $24.47 

5.00 

E EUR 20.00 1% $19.58 

5.00 

EUR 1,945.00 

$1,903.77 


change. 

62


Analyst 




Pipeline 

Table 30 


Class 




Amount 

% Deal 

USD 


Price Talk 

Rating 

WAL 


6/28/2002 Charles River CDO 1 


Lead:CoManager: UBS 

Asset Manager: 


Enhan 

.Type 


US 

A-REMARCS $130.00 26% $130.00 Arbitrage Cash Flow 

6 Mo. LIBOR 

P-1 A-1+ F-1+ 

A-1A $200.00 40% $200.00 


Aaa AAA AAA 

Wrap 

A-1B $101.00 20% $101.00 


Aaa AAA AAA 

A-2 $32.00 6% $32.00 

10.00 6 Mo. LIBOR 

Aa2 AA AA 

B $17.00 3% $17.00 

10.00 6 Mo. LIBOR 

Baa2 BBB BBB 

PS $20.00 4% $20.00 

$500.00 

$500.00 

6/28/2002 

Robeco CDO V 

Asset Manager: Weiss Peck & Greer 


Collateral: Cash; 80% HY Corp/20% Loans 

Lead:CoManager: Rabo 



US 

A-1 $100.00 24% $100.00 Arbitrage Cash Flow 7.90 6 Mo. LIBOR 

Aaa AAA 

A-2 $174.00 42% $174.00 


Aaa AAA 

B $37.00 9% $37.00 

10.00 TSY 

A2 A 

C-1 $20.50 5% $20.50 

10.30 6 Mo. LIBOR 

Baa2 BBB 

C-2 $20.50 5% $20.50 

10.30 6 Mo. LIBOR 

Baa2 BBB 

D-1 $9.25 2% $9.25 

11.10 6 Mo. LIBOR 

Ba2 BB 

D-2 $9.25 2% $9.25 

11.10 TSY 

Ba2 BB 

PS $39.00 10% $39.00 

$409.50 

$409.50 

6/27/2002 

Taurus Synthetic 1 



Collateral: Synthetic; IG Synthetic 

Lead:CoManager: TD 



US 

Super Sr Arbitrage Cash Flow 

A $5.40 57% $5.40 


A1 A+ 

B $4.00 43% $4.00 


Baa3 BBB- 

$9.40 

$9.40 


change. 

63


Analyst 




Pipeline 

Table 30 


6/6/2002 

Class 


Diversified Global Securities II 

Asset Manager: UBS Asset Mgmt 



Amount 

% Deal 

USD 


Price Talk 

Rating 

WAL 



Collateral: Cash; CDO of CDO 



A $203.00 79% $203.00 Arbitrage Cash Flow 50-55 6 Mo. LIBOR 

Aaa AAA 

B $12.00 5% $12.00 

160-180 6 Mo. LIBOR 

A3 A- 

C $18.00 7% $18.00 

275-325 6 Mo. LIBOR 

Baa2 BBB 

PS $24.00 9% $24.00 

Enhan 

.Type 


US 

$257.00 

$257.00 

5/10/2002 

MINTS IG CBO (Managed Investment Trust Sec) 

Asset Manager: MBIA Capital Management 


Collateral: Synthetic; IG Bonds (Baa1) 




US 

Super Sr 

Mezz 



$50.00 5% $50.00 

5.00 200 6 Mo. LIBOR 

Equity $20.00 2% $20.00 

Aaa 

Baa1 

$1,000.00 

$1,000.00 

4/26/2002 BSAM CLO I 

Asset Manager: Bear Stearns Asset Mgmt 




A $380.00 100% $380.00 Arbitrage Cash Flow 6.75 45 3 Mo. LIBOR 

Aaa AAA AAA 


US 

$380.00 

$380.00 

3/25/2002 

White Oak I 

Asset Seller: Barclays Bank 


Collateral: Synthetic; ABS/RMBS/CMBS 

Lead:CoManager: BCG 



US 

Super Sr 

A 

B 

C 

$900.00 90% $900.00 Balance Sheet Cash Flow 

$65.00 7% $65.00 

50 

$15.00 1% $15.00 

90 

$8.00 1% $8.00 

130 

PS $12.00 1% $12.00 

Libor 

Libor 

Libor 

AAA 

AA 

A 

$1,000.00 

$1,000.00 


change. 

64


Analyst 




Pipeline 

Table 30 


3/21/2002 

Class 




Amount 

% Deal 

Mount Mitchell CDO II 

Asset Manager: White Ridge Investment Advisors 

USD 


Price Talk 

Rating 

WAL 



Collateral: Cash; High Yield Bonds and Leveraged Loans 

Lead:CoManager: BOA 


A $223.00 74% $223.00 Arbitrage Cash Flow 10.00 50 Libor 

Aaa AAA 

B $40.00 13% $40.00 

12.00 375 TSY 

Baa2 BBB 

C $5.00 2% $5.00 

12.00 825 TSY 

Ba2 BB 

PS $32.00 11% $32.00 

Enhan 

.Type 


US 

$300.00 

$300.00 

3/20/2002 

Craigee St. Funding I 

Asset Manager: TCW Advisors Inc. 


Collateral: Synthetic; IG Reference Credits (Baa2/BBB) 




US 

Super Sr 


A $52.00 5% $52.00 

5.00 

35-45 

Aaa AAA 

B $16.00 2% $16.00 

5.00 

65-75 

Aa2 AA 

C $25.00 3% $25.00 

5.00 

300-325 

Baa1 BBB 

PS $32.00 3% $32.00 

$1,000.00 

$1,000.00 

3/13/2002 

Liberty Square III 

Asset Manager: Wellington Asset Mgmt 


Collateral: Cash; HY Bonds 




US 

A $177.50 71% $177.50 Arbitrage Cash Flow 6.90 6 Mo. LIBOR 

Aaa AAA 

B $27.50 11% $27.50 


Aa3 AA- 

C $17.50 7% $17.50 


Baa2 BBB 

D $7.50 3% $7.50 

10.10 6 Mo. LIBOR 

Ba1 BB 

Equity $20.00 8% $20.00 

$250.00 

$250.00 


change. 

65


Analyst 




Pipeline 

Table 30 


3/11/2002 

Class 




Amount 

Channel CDO I 


% Deal 

USD 


Price Talk 

Rating 

WAL 



Collateral: Synthetic; CDS (BBB) 


Sector: IG Debt 

Super Sr $840.00 83% $840.00 Arbitrage Cash Flow 

Aaa AAA 

A $90.00 9% $90.00 

7.10 50 3 Mo. LIBOR 

Aaa AAA 

B $20.00 2% $20.00 


Aa3 AA- 

C $17.50 2% $17.50 


A3 A- 

D $10.00 1% $10.00 

250-275 3 Mo. LIBOR 

Baa2 BBB 

PS $37.50 4% $37.50 

Enhan 

.Type 


US 

$1,015.00 

$1,015.00 

2/15/2002 

Ruby CDO 2002 



Collateral: Cash; CDOs 




US 

A USD 94.00 80% $94.00 Arbitrage Cash Flow 6.20 100 6 Mo. LIBOR 

Aa2 AA 

B 

USD 12.00 10% 

$12.00 

PS USD 11.00 9% $11.00 

Baa3 

USD 117.00 

$117.00 

2/5/2002 

Four Corners Capital I 

Asset Manager: Four Corners Capital 


Collateral: Cash; Leveraged Loans 

Lead:CoManager: CIBC 



US 

A $290.00 72% $290.00 Arbitrage Cash Flow 9.00 43 3 Mo. LIBOR 

Aaa AAA 

B $38.00 10% $38.00 

11.00 80 3 Mo. LIBOR 

Aa3 AA- 

C $29.00 7% $29.00 

10.50 240 3 Mo. LIBOR 

Baa2 BBB 

D $11.00 3% $11.00 

11.50 750 3 Mo. LIBOR 

Ba3 BB- 

PS $32.00 8% $32.00 

$400.00 

$400.00 

1/23/2002 

Hewett's Island 1 

Asset Manager: Cypress Tree Investment Partners 


Collateral: Cash; Sr Secured Loans (80%) 

Lead:CoManager: LINK 



US 

1 USD 300.00 100% $250.00 Arbitrage Cash Flow 3.00 

USD 300.00 

$250.00 


change. 

66


Analyst 




Pipeline 

Table 30 


11/21/2001 

Class 


Spectra I 

Asset Manager: OUB Asset Mgmt 



Amount 

% Deal 

USD 


Price Talk 

Rating 

WAL 



Collateral: Synthetic; Synthetic; IG Corporates 

Lead:CoManager: ING 


Enhan 

.Type 


Asia 

A 

B 

C 

USD 83.25 69% $83.25 Arbitrage Cash Flow 

USD 13.50 11% 

USD 14.63 12% 

$13.50 

$14.63 

D USD 10.13 8% $10.13 

5.00 

5.00 

5.00 

Aaa 

Aa3 

Baa3 

USD 121.51 

$121.51 

11/14/2001 

MORE Europe CDO 1 

Asset Seller: Societe Generale 


Collateral: Synthetic; CDS on 90 IG Corporates (70% European & 30% US) 

Lead:CoManager: SG 



Euro 

B 

C 

USD 33.60 6% $33.60 Balance Sheet Cash Flow 5.00 55 Libor 

USD 14.00 3% $14.00 

5.00 230 Swap 

D USD 14.00 3% $14.00 

Super Sr 

USD 498.00 89% 

$498.00 

AAA 

BBB 

AAA 

USD 559.60 

$559.60 

10/24/2001 

Tower Bridge 1 

Asset Manager: Miller Anderson 


Collateral: Cash; RMBS 




US 

A USD 170.00 16% $170.00 Arbitrage Market Value 5.00 3 Mo. LIBOR 

Aa2 AA 

PS USD 20.00 2% $20.00 

Repo USD 890.00 82% $890.00 

USD 1,080.00 

$1,080.00 


change. 

67


Analyst 




Pipeline 

Table 30 


9/24/2001 

Class 


Cascade CLO 1 

Asset Manager: Centre Pacific 



Amount 

% Deal 

USD 


Price Talk 

Rating 

WAL 



Collateral: Cash; HY Loans 



A-1 $297.00 73% $297.00 Arbitrage Cash Flow 6.40 43 3 Mo. LIBOR 

Aaa AAA 

A-2 $11.20 3% $11.20 

8.80 TSY 

Aaa AAA 

A-3 $20.00 5% $20.00 

9.10 70 3 Mo. LIBOR 

Aa2 AA 

A-4A $20.00 5% $20.00 


A3 A- 

A-4B $8.00 2% $8.00 

9.90 140 3 Mo. LIBOR 

A3 A- 

B $16.00 4% $16.00 

10.70 240 3 Mo. LIBOR 

Baa2 BBB 

C $11.50 3% $11.50 

9.70 700 3 Mo. LIBOR 

Ba2 BB 

PS $25.20 6% $25.20 

2.80 

Enhan 

.Type 


US 

$408.90 

$408.90 


change. 

68


Analyst 



Rating 

Changes 

Table 31 

Rating Changes 



8/30/02 - 9/13/02 

Action 

Date Issuer Series Issue Date Deal Type Comments Class Agency 

Original 

Ratings 

Previous 

New 

Downgrades 

12/21/02 Embarcadero Aircraft Securitization Tru 2000-A 8/21/2000 Other - Aircraft Market: US 

Lead/Co Mgr: LB Asset Seller: Embarcadero 

D Fitch BB 

BB 

B- 

9/13/02 Conseco Finance Vehicle Trust 2000-B 11/22/2000 Auto - Trucks Market: US 

Lead/Co Mgr: CSFB Asset Seller: Conseco Finance Securitization Corp. 

A-2 Fitch AAA 

BBB+ 

BB 

A-3 Fitch AAA 

BBB 

BB 

M-1 Fitch AA 

BB 

CCC 

M-2 Fitch A 

B 

CC 

B Fitch BBB 

DDD 

D 

9/13/02 Loomis Sayles I CBO 

I 1/10/2001 CDO Arbitrage Market: US 

Lead/Co Mgr: MS Asset Manager: Loomis Sayles 

III-A Moody's Baa2 

Baa2 

Ba1 

III-B Moody's Baa2 

Baa2 

Ba1 

IV Moody's Ba2 

B3 

Caa3 

9/12/02 Conseco Manufactured Housing Pass-T 2000-1 1/19/2000 MH Market: US 

Lead/Co Mgr: LB Asset Seller: Conseco Finance Securitization Corp. 

A-4 Fitch AAA 

AAA 

AA 

A-5 Fitch AAA 

AAA 

AA 

M-1 Fitch AA 

AA 

A- 

M-2 Fitch A 

A 

BBB- 

B-1 Fitch BBB 

BBB- 

BB- 

B-2 Fitch BBB 

B- 

CCC 



A-4 Fitch AAA 

AAA 

AA 

A-5 Fitch AAA 

AAA 

AA 

A-6 Fitch AAA 

AAA 

AA 

M-1 Fitch AA 

AA 

A 

M-2 Fitch A 

A 

BBB 

B-1 Fitch BBB+ 

BBB+ 

BB 

Sources: JPMS, Moody's, Standard and Poor's, Fitch. 69


Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 


Lead/Co Mgr: ML Asset Seller: Conseco Finance Securitization Corp. 

A-4 Fitch AAA 

AAA 

AA 

A-5 Fitch AAA 

AAA 

AA 

A-6 Fitch AAA 

AAA 

AA 

M-1 Fitch AA 

AA 

A 

M-2 Fitch A 

A 

BBB 

B-1 Fitch BBB 

BBB 

BB 



A-4 Fitch AAA 

AAA 

AA 

A-5 Fitch AAA 

AAA 

AA 

A-6 Fitch AAA 

AAA 

AA 

A-7 Fitch AAA 

AAA 

AA 

M-1 Fitch AA 

AA 

A- 

M-2 Fitch A 

A 

BBB 

B-1 Fitch BBB 

BBB 

BB 



A-4 Fitch AAA 

AAA 

AA 

A-5 Fitch AAA 

AAA 

AA 

M-1 Fitch AA 

AA 

A 

M-2 Fitch A 

A 

BBB 

B-1 Fitch BBB 

BBB 

BB 


Lead/Co Mgr: CSFB Asset Seller: Conseco Finance Securitization Corp. 

A-3 Fitch AAA 

AAA 

AA 

A-4 Fitch AAA 

AAA 

AA 

A-5 Fitch AAA 

AAA 

AA 

M-1 Fitch AA 

AA 

A 

M-2 Fitch A 

A 

BBB 

B-1 Fitch BBB 

BBB 

BB 

9/12/02 GTFC Man. Housing S/S Certificates 1994-1 3/22/1994 MH Market: US 

Lead/Co Mgr: ML Asset Seller: Green Tree Financial Corp. 

B-2 Fitch A- 

BB- 

CC 


Lead/Co Mgr: LB Asset Seller: Green Tree Financial Corp. 

B-2 Fitch A- 

BB- 

CC 



Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 




BBB+ 

BBB 




BBB+ 

BBB 




BBB+ 

BBB 




BBB+ 

BBB 




BBB+ 

BBB 




BBB+ 

BBB 




BBB+ 

BBB- 




BBB+ 

BBB- 




BBB+ 

BBB- 




BBB+ 

BBB- 




BBB+ 

BBB- 




BBB+ 

BBB- 




BBB+ 

BBB- 




BBB+ 

BBB- 



Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 



M-1 Fitch AA- 

AA- 

A 


BBB+ 

BBB- 



M-1 Fitch AA- 

AA- 

A 

B-1 Fitch BBB 

BBB 

BBB- 



M-1 Fitch AA- 

AA- 

A+ 

M-2 Fitch A 

A 

BBB+ 

B-1 Fitch BBB 

BBB 

BBB- 



M-1 Fitch AA- 

AA- 

A+ 

M-2 Fitch A 

A 

BBB+ 

B-1 Fitch BBB 

BBB 

BBB- 



M-1 Fitch AA 

AA 

A- 

M-2 Fitch A 

A 

BBB 

B-1 Fitch BBB 

BBB 

BBB- 



M-1 Fitch AA 

AA 

A 

M-2 Fitch A+ 

A+ 

BBB 

B-1 Fitch BBB 

BBB- 

BB- 



M-1 Fitch AA 

AA 

A- 

M-2 Fitch A 

A 

BBB- 

B-1 Fitch BBB 

BBB- 

BB- 



Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 



A-5 Fitch AAA 

AAA 

AA 

A-6 Fitch AAA 

AAA 

AA 

A-7 Fitch AAA 

AAA 

AA 

A-8 Fitch AAA 

AAA 

AA 

A-9 Fitch AAA 

AAA 

AA 

M-1 Fitch AA 

AA 

A- 

M-2 Fitch A 

A 

BBB- 

B-1 Fitch BBB 

BBB- 

BB- 



A-4 Fitch AAA 

AAA 

AA 

A-5 Fitch AAA 

AAA 

AA 

A-6 Fitch AAA 

AAA 

AA 

M-1 Fitch AA 

AA 

A- 

M-2 Fitch A 

A 

BBB- 

B-1 Fitch BBB 

BBB- 

BB- 

9/11/02 AIR 2 US 

1999-1 10/28/1999 Other - Aircraft Market: US 

Lead/Co Mgr: SSB Asset Seller: Airbus Industrie 

C Moody's Baa1 

B1 

B3 

D Moody's Baa3 

Caa1 

Caa2 

9/11/02 JH Whitney Market Value Fund LP 1 3/31/1999 CDO Arbitrage Market: US 

Lead/Co Mgr: CSFB Asset Manager: JH Whitney & Co. 

C Fitch BB 

BB 

B 

D Fitch B 

CCC+ 

CC 

9/11/02 South Street CBO 

1999-1 6/3/1999 CDO Arbitrage Market: US 

Lead/Co Mgr: BS Asset Manager: Colonial Advisory Services 

A-1 Fitch AAA 

AAA 

A 

A-1B Fitch AAA 

AAA 

A 

A-2 Fitch AAA 

AA- 

B- 

A-2L Fitch AAA 

AA- 

B- 

A-3 Fitch A- 

BB 

CC 

B-1A Fitch BBB- 

B- 

C 

B-1B Fitch BBB- 

B- 

C 

B-2 Fitch BB- 

CCC 

C 



Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 

9/10/02 Great Point CBO Ltd 


Lead/Co Mgr: BS Asset Manager: Sankaty Advisors 

A-3 Fitch A- 

A- 

BB+ 

B-1 Fitch BBB- 

BBB- 

CCC- 

B-2 Fitch BB- 

BB- 

CC 

9/10/02 Merrill Lynch CBO X 

1997-RA 7/31/1997 CDO Arbitrage Market: US 

Lead/Co Mgr: ML Asset Manager: Pacific Investment Mgmt Co. 

B Moody's Baa3 

Baa3 

B1 

9/6/02 Eximius Capital Funding, Ltd 

1 7/22/1999 CDO Arbitrage Market: US 

Lead/Co Mgr: MS Asset Manager: WR Huff 

I S&P AAA 

AAA 

AA 

9/5/02 Admiral CBO Ltd 


Lead/Co Mgr: DB Asset Manager: Delaware Investment Mgmt 

A-2 S&P AA 

AA 

BBB+ 

B-1 S&P BBB 

B- 

CCC- 

B-2 S&P BBB 

B- 

CCC- 

C S&P BB- 

CCC- 

CC 

9/5/02 BEA CBO Ltd 


Lead/Co Mgr: BS Asset Manager: BEA Assoc. 

A-3 S&P A- 

B+ 

CCC- 

9/4/02 CIGNA Collateralized Holdings, Ltd 1999-1 11/16/1999 CDO Arbitrage Market: US 

Lead/Co Mgr: MS Asset Manager: CIGNA 

I S&P AAA 

AA- 

BBB 

9/4/02 Heller Equipment Loan Trust 

1999-1 4/14/1999 Equip - ST Market: US 

Lead/Co Mgr: FUS Asset Seller: Heller Financial Services 

D Moody's Ba2 

Ba2 

B2 

9/4/02 Heller Equipment Loan Trust 

1999-2 12/8/1999 Equip - ST Market: US 

Lead/Co Mgr: FUS Asset Seller: Heller Financial Services 

A-4 Moody's Aaa 

Aa3 

A1 

B Moody's Aa3 

A3 

Baa2 

C Moody's A1 

Ba1 

Ba3 

D Moody's Baa2 

B1 

B3 

E Moody's Ba2 

Caa3 

Ca 




Baa1 

Baa3 




Baa1 

Ba3 



Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 



B-2 Moody's Baa1 

Baa3 

Ba3 




Ba3 

B2 




Ba3 

B2 




Ba3 

B2 




Ba3 

B3 




Ba3 

B3 




Ba3 

B3 




Ba3 

B3 




Ba2 

B3 




Ba3 

Caa1 




Ba3 

B1 




Ba3 

B1 




Ba2 

B2 




Ba3 

Caa1 



Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 




Ba3 

B1 




Ba3 

B2 




Ba2 

B2 




Ba2 

B2 




Ba3 

Caa2 




Ba3 

Caa2 




Ba3 

Caa3 




Ba3 

Caa3 




Ba3 

Caa3 




Ba3 

Caa1 




Ba3 

Caa1 




Ba3 

Caa2 




Ba3 

Caa1 




Ba3 

Caa2 



Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 




Ba2 

Caa1 




Ba2 

B3 




Ba2 

B3 




Ba2 

Caa1 




Ba2 

Caa1 




Ba3 

Caa2 




Ba3 

Caa1 




Ba3 

Caa2 




Ba2 

Caa2 



B-2 Moody's Ba1 

Ba2 

Caa1 

9/3/02 UBS Brinson CBO Ltd 


Lead/Co Mgr: WAR Asset Manager: UBS Asset Mgmt 

Upgrades 

B Moody's Ba1 

B2 

B3 

9/11/02 TMS Business Loan Backed Certificate 1997-1 3/25/1997 Other - SBL Market: US 

Lead/Co Mgr: PRU Asset Seller: Money Store Inc. 

B BBB 

A+ 



Analyst 



Rating 

Changes 

Table 31 




8/30/02 - 9/13/02 

Action 


Original 

Ratings 

Previous 

New 

9/9/02 C-BASS CDO 

II 6/8/2001 CDO Arbitrage Market: US 

Lead/Co Mgr: CSFB Asset Manager: C-BASS 

B S&P AA 

AA 

AAA 

B Fitch AA 

AA 

AAA 

C-1 S&P A 

A 

AA 

C-1 Fitch A 

A 

AA 

C-2 S&P A 

A 

AA 

C-2 Fitch A 

A 

AA 

D-1 Fitch BBB 

BBB 

A 

D-1 S&P BBB 

BBB 

A 

D-2 S&P BBB 

BBB 

A 

D-2 Fitch BBB 

BBB 

A 

E Fitch BBB- 

BBB- 

A- 

E S&P BBB- 

BBB- 

A- 



Analyst 



Ratings 

Watch 

Table 32 

Ratings Watch 



8/30/02 - 9/13/02 

Watch 

Date Issuer Series Issue Date Deal Type 

Comments 

Class Agency 

Original 

Ratings 

Previous 

Negative 

9/13/02 Loomis Sayles I CBO 

I Jan-01 CDO Arbitrage Market: US 

Lead/Co Mgr: MS 

Asset Manager: Loomis Sayles 

III-A 

Moody's 

Baa2 

Ba1 

III-B 

Moody's 

Baa2 

Ba1 

IV 

Moody's 

Ba2 

Caa3 

9/12/02 Concerto B.V. 

I Aug-00 CDO Arbitrage Market: Euro 

Lead/Co Mgr: DLJ/GS Asset Manager: AXA Investment Mgrs 

A-1 Fitch 

AAA 

AAA 

A-2 Fitch 

AAA 

AAA 

A-3 Fitch 

AAA 

AAA 

B-1 Fitch 

A- 

A- 

B-2 Fitch 

A- 

A- 

C 

Fitch 

BBB 

BBB 

D-1 Fitch 

BB- 

BB- 

D-2 Fitch 

BB- 

BB- 

9/11/02 AIR 2 US 

1999-1 Oct-99 Other - Aircraft Market: US 

Lead/Co Mgr: SSB Asset Seller: Airbus Industrie 

A 

Moody's 

Aa2 

A1 

B 

Moody's 

A2 

Ba1 

9/11/02 SKM-LibertyView CBO Ltd 

1 Apr-99 CDO Arbitrage Market: US 

Lead/Co Mgr: GS 

Asset Manager: LibertyView Capital Management & 

C-1 Moody's 

Baa2 

Baa2 

C-2 Moody's 

Baa2 

Baa2 

9/10/02 Great Point CBO Ltd 

1998-1 Sep-98 CDO Arbitrage Market: US 

Lead/Co Mgr: BS 

Asset Manager: Sankaty Advisors 

D 

Moody's 

Ba3 

Ba3 

A-1 Fitch 

AAA 

AAA 

9/10/02 Merrill Lynch CBO X 

1997-RA Jul-97 CDO Arbitrage Market: US 

Lead/Co Mgr: ML 


B 

Moody's 

Baa3 

B1 



Analyst 



Ratings 

Watch 

Table 32 

Ratings Watch 



8/30/02 - 9/13/02 

Watch 


Comments 

Class Agency 

Original 

Ratings 

Previous 

9/5/02 FFCA Secured Lending Corp. 1998-1 May-98 Other - Franchise Market: US 


Asset Seller: Franchise Finance Corp. of America 

B-1 Fitch 

AA 

AA 

B-2 Fitch 

AA 

AA 

C-1 Fitch 

A 

A 

C-2 Fitch 

A 

A 

D-1 Fitch 

BBB 

BBB 

D-2 Fitch 

BBB 

BBB 

9/5/02 FFCA Secured Lending Corp. 1999-2 Sep-99 Other - Franchise Market: US 



A-1B 

Fitch 

AAA 

AAA 

B-1 Fitch 

AA 

AA 

B-2 Fitch 

AA 

AA 

C-1 Fitch 

A+ 

A+ 

C-2 Fitch 

A+ 

A+ 

D-1 Fitch 

A 

A 

D-2 Fitch 

A 

A 

E-1 Fitch 

BBB+ 

BBB+ 

E-2 Fitch 

BBB+ 

BBB+ 

9/5/02 FFCA Secured Lending Corp. 2000-1 Nov-00 Other - Franchise Market: US 



B 

Fitch 

C Fitch 

A- 

A- 

9/5/02 Madison Avenue 

IIB Feb-01 CDO Arbitrage Market: US 

Lead/Co Mgr: SSB Asset Manager: MetLife 

D 

E 

B 

Fitch 

Fitch 

Moody's 

BBB 

BBB- 

BBB- 

Aa2 

BBB 

AA- 

AA- 

Aa2 

C-1 Moody's 

Baa2 

Baa2 

C-2 Moody's 

Baa2 

Baa2 

9/4/02 RHYNO CBO 

1997-1 Sep-97 CDO Arbitrage Market: US 

Lead/Co Mgr: BS 

Asset Manager: Bear Stearns Asset Mgmt 

A-3 S&P 

A- 

B 



Analyst 



Ratings 

Watch 

Table 32 

Ratings Watch 



8/30/02 - 9/13/02 

Watch 


Comments 

Class Agency 

Original 

Ratings 

Previous 

9/4/02 ROBECO CBO Ltd 

I Jun-00 CDO Arbitrage Market: Euro 

Lead/Co Mgr: JP 

Asset Manager: Robeco Institutional Asset Mange 

C S&P 

A- 

A- 

9/3/02 CIT Equipment Collateral 

2001-A Sep-01 Equip - ST Market: US 

Lead/Co Mgr: DB 

Asset Seller: CIT Group Holdings Inc. 

D 

E 

S&P 

S&P 

BBB 

BB 

BBB 

A-4 Moody's 

Aaa 

Aaa 

9/3/02 UBS Brinson CBO Ltd 

1 Sep-99 CDO Arbitrage Market: US 

Lead/Co Mgr: WAR Asset Manager: UBS Asset Mgmt 

B 

Moody's 

A3 

BB 

A3 

B 

Moody's 

Ba1 

B3 

9/2/02 Berkley Street 

1 Feb-01 CDO Arbitrage Market: US 

Lead/Co Mgr: ML 

Asset Manager: Massachusetts Financial Services 

A-2 Moody's 

Aa2 

Aa2 

9/2/02 Diversified Asset Securitizations Holding I Dec-99 CDO Arbitrage Market: US 

Lead/Co Mgr: PRU Asset Manager: Asset Allocation & Mgmt 

B 

C 

Moody's 

Moody's 

Baa2 

Ba3 

Baa2 

Ba3 

B 

Moody's 

Baa2 

Baa2 



Analyst 





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