jpm_abs-cdo 2009-09-25

ABS Research J.P. Morgan Securities Inc. New York September 25, 2009

Global ABS/CDO Weekly Market Snapshot

The certifying analyst(s) is indicated by AC. See last page of the report for analyst certification and important legal and regulatory disclosures.

Investment Themes: Consumer (non-mortgage) ABS spreads extended their rally despite mixed housing data and weaker markets in risky assets this week. ABX and subprime was softer, more in tune with the broader market. We believe technicals will continue to drive credit spreads tighter, directly benefiting ABS. Adjusting for the Fed purchases (in Treasuries, Agency debt and MBS), our estimated aggregate fixed income net supply for 2009 is only $100bn. Meanwhile, on the demand side, we look for increased demand for fixed income coming in the months ahead from money market investors. On fundamentals, the recent moderate strength in housing is critical to the beginning of stabilization and the positive data points help slowly build positive sentiment and outlook for homebuyer. Furthermore, while performance continues to deteriorate, there have not been any negative surprises as seen with the September remits. We believe most of the bad news is already priced in, and maintain our Overweight across subprime, ABX and consumer ABS.

This Week: US ABS. One $410mn Credit Card ABS and one $450mn Rental Car Fleet ABS priced this week. Both transactions were non-TALF. The Rental Card Fleet ABS was Aaa-rated (Moody’s) at 5.75% yield versus the same issuer’s A2-rated ABS at 9.5% pricing yield back in mid-July. Year-to-date supply stood at $105bn. ABS spreads continued to narrow, with AAAs in another 5bp and subordinates 25-75bp tighter. September remits for ABX came in mostly as expected, and had a muted reaction in the market. 60+ delinquencies were up 75-125bp across the indices, primarily driven by a rise in the 90+ bucket. Foreclosure inventory was flat to slightly down, after rising continuously through this year. Severities reported another decline this month, and have declined by 2-3% for the 06-1 through 07-1 indices in the past four months. Please see ABX Remit Update, Sept 25 2009 for more details. Overall, ABX prices slipped slightly from the previous week. Flows were generally light with some volatility spilling over from CMBX. Cash subprime RMBS activity mirrored that that of ABX.

European ABS. The new issue market bounced into life this week with the first publicly marketed, distributed transactions since July 2007. Permanent 2009-1 saw HBoS return to the market with a 5 year AAA issue from its master trust at 170bp for both the sterling and euro tranches (sterling tranches priced at 99.551 giving a spread of 180bp, euro tranches at par). The notes included a maturity purchase agreement from the originator (i.e., a put at 100 less any principal impairment). In the auto space, Volkswagen priced and distributed VCL 11, a German leasing ABS with the 1.4 year AAA attracting a spread of 110bp, and the 1.8 year A-rated bonds at a spread of 250bp. Separately, FCE issued Globaldrive 2009-C with the AAA-rated Class As at 235bp, and the mezzanine and junior notes retained by the issuer.

Asian ABS. .The pricing of a $167mn Auto ABS from Japan constituted primary issuance this week, edging the year-to-date issuance to $27.2bn.

CDOs. Since our Overweight call on AAAs in early May, the CLO market has experienced almost five consecutive months of price appreciation, and CLOs’ weighted-average price is up about 18 points to approximately $75. 3Q09 is ending with another round of price firming this week: AAAs at 400bp while AAs and single-As up 2 points to $70 and to $50 (BBBs and BBs remain at $35 and $25). We stand by our medium-term targets for CLOs: 250bp for AAAs, $70s for AAs, $60s for single-As, $50s for BBBs, $40s for BBs. In the context of a nascent improvement in performance and default/distress outlooks, we revise our forecasted mezzanine tranche cashflow projections. Increasingly, the CLO rally appears to be taking on a fundamental turn, and to the extent the growing evidence of an upturn in the US economy continues, there is a lot of credit convexity in the price. Please see details in CDO FIMS.

In the News: New home sales in August came in at 429,000 annualized versus 426,000 in July. Existing home sales fell to an annualized pace of 5.10 million in August from 5.24 million in July. Despite this decrease, sales in 3Q were running 40% annualized above the 2Q level. Mortgage purchase applications also remain on a slowly increasing trajectory through mid-September.

Contents US Implied HPA 1 Relative Value 3 Spreads Volatility 4 CDS Spreads 6 Spreads 9 Issuance 22 Europe Spreads 27 Issuance 28 Asia Issuance 36 CDO Spreads 38 Issuance 40 Pipeline 45 Rating Changes 48 Ratings Watch 89

Chris Flanagan AC

(1-212) 270-6515 [email protected]

ABS/CDO Research

Rishad Ahluwalia (London) (44-207) 777-1045 [email protected] Gareth Davies (London) (44-20) 735-7283 [email protected] Asif A Sheikh (1-212) 834-5338 [email protected] Amy Sze, CFA (1-212) 270-0030 [email protected] Maggie Wang (1-212) 270-7255 [email protected] www.morganmarkets.com

September 25, 2009

Chris Flanagan ABS ResearchGlobal ABS/CDO Weekly Market [email protected]

Boston Chicago DenverComposite Los Angeles MiamiLas Vegas San Diego Wash DCNew YorkDate

Table 0

CME Housing Futures Implied HPA

November 2010 Futures Contract: 1-Year Implied HPA

San Fran

06/04/2009 -11.8% 0.4% -0.5% -5.8% 9.9% -7.4% 3.5% -13.6% -4.5% -8.3% -1.8%06/11/2009 -11.8% 0.4% -0.5% -5.8% 9.9% -7.4% 3.5% -13.6% -4.5% -8.3% -1.8%06/18/2009 -11.8% 0.4% -0.5% -5.8% 9.9% -7.4% 3.5% -13.6% -4.5% -8.3% -1.8%06/25/2009 -11.8% 0.4% -0.5% -5.8% 9.9% -7.4% 3.5% -13.6% -4.5% -8.3% -1.8%07/01/2009 -12.1% 0.0% -0.5% -7.7% 14.8% -7.1% 6.2% -13.0% -4.8% -9.6% -2.8%07/09/2009 -12.1% 0.0% -0.5% -7.7% 14.8% -7.1% 6.2% -13.0% -4.8% -9.6% -2.8%07/16/2009 -12.1% 0.0% -0.5% -7.7% 14.8% -7.1% 6.2% -13.0% -4.8% -9.6% -2.8%07/23/2009 -12.1% 0.0% -0.5% -7.7% 14.8% -7.1% 6.2% -13.0% -4.8% -9.6% -2.8%07/30/2009 -12.1% 0.0% -0.5% -7.7% 14.8% -7.1% 6.2% -13.0% -4.8% -9.6% -2.8%08/06/2009 -13.7% -1.7% -1.4% -9.6% 19.6% -7.6% 7.9% -14.4% -5.8% -12.0% -4.6%08/13/2009 -13.7% -1.7% -1.4% -9.6% 19.6% -7.6% 7.9% -14.4% -5.8% -12.0% -4.6%08/20/2009 -13.7% -1.7% -1.4% -9.6% 19.6% -7.6% 7.9% -11.7% -5.8% -12.0% -4.6%08/27/2009 -3.7% -0.5% 1.2% -6.6% 16.3% -4.8% 2.0% -4.9% -1.2% -6.3% -1.4%09/03/2009 -5.4% -3.1% 0.5% -9.4% 20.2% -6.2% 5.9% -8.4% -1.6% -10.2% -4.2%09/10/2009 -5.4% -3.1% 0.5% -9.4% 20.2% -6.2% 5.9% -8.4% -1.6% -10.2% -4.2%09/17/2009 -5.4% -3.1% 0.5% -9.4% 20.2% -6.2% 5.9% -8.4% -1.6% -10.2% -4.2%09/24/2009 3.8% -3.1% 0.5% -9.4% 20.2% -6.2% 5.9% -0.9% -1.6% -10.2% -4.2%

Source: JPMS

-5%

0%

5%

3/30 4/30 5/30 6/30 7/30 8/30Price

BOX

08/01/2010Boston

-3.08% Ask

Price Bid

Implied HPA

-3.08%-0.48%

Prev Mo Prev Wk

0 YTD0 Week of 9/24

Volume (contracts)

9/24

-10%

-5%

0%

5%

3/30 4/30 5/30 6/30 7/30 8/30Price

CHX

02/01/2011Chicago

0.54% Ask

Price Bid

Implied HPA

0.54%2.65%

-0.53%

4.20%1.18%0.16%

Prev Mo Prev Wk

4 YTD0 Week of 9/24

Volume (contracts)

9/24

-15%

-10%

-5%

0%

5%

3/30 4/30 5/30 6/30 7/30 8/30Price

CSX

08/01/2010Composite

3.79% Ask

Price Bid

Implied HPA

-5.35%-3.72%

Prev Mo Prev Wk

0 YTD0 Week of 9/24

Volume (contracts)

9/24

-15%

-10%

-5%

0%

3/30 4/30 5/30 6/30 7/30 8/30Price

DNX

08/01/2010Denver

-9.39% Ask

Price Bid

Implied HPA

-9.39%-6.57%

Prev Mo Prev Wk

0 YTD0 Week of 9/24

Volume (contracts)

9/24

Source: JPMS

1

CME Housing Futures Implied HPA

-5%

0%

5%

10%

15%

20%

25%

3/30 4/30 5/30 6/30 7/30 8/30Price

LVX

08/01/2010Las Vegas

20.21% Ask

Price Bid

Implied HPA

20.21%16.34%

Prev Mo Prev Wk

0 YTD0 Week of 9/24

Volume (contracts)

9/24

-14%-12%-10%-8%-6%-4%-2%0%

3/30 4/30 5/30 6/30 7/30 8/30Price

LXX

08/01/2010Los Angeles

-6.15% Ask

Price Bid

Implied HPA

-6.15%-4.75%

Prev Mo Prev Wk

0 YTD0 Week of 9/24

Volume (contracts)

9/24

-8%-6%-4%-2%0%2%4%6%8%

10%

3/30 4/30 5/30 6/30 7/30 8/30Price

MIX

08/01/2010Miami

5.94% Ask

Price Bid

Implied HPA

5.94%6.01%2.00%2.00%

Prev Mo Prev Wk

5 YTD0 Week of 9/24

Volume (contracts)

9/24

-16%-14%-12%-10%-8%-6%-4%-2%0%

3/30 4/30 5/30 6/30 7/30 8/30Price

NYX

08/01/2010New York

-0.87% Ask

Price Bid

Implied HPA

-8.45%-0.54%-4.88%-5.02%

Prev Mo Prev Wk

3 YTD0 Week of 9/24

Volume (contracts)

9/24

-20%

-15%

-10%

-5%

0%

5%

3/30 4/30 5/30 6/30 7/30 8/30Price

SFX

08/01/2010San Francisco

-10.18% Ask

Price Bid

Implied HPA

-10.18%-6.29%

Prev Mo Prev Wk

3 YTD0 Week of 9/24

Volume (contracts)

9/24

-10%

-8%

-6%

-4%

-2%

0%

3/30 4/30 5/30 6/30 7/30 8/30Price

SNX

08/01/2010San Diego

-1.57% Ask

Price Bid

Implied HPA

-1.57%-1.21%-1.21%

Prev Mo Prev Wk

0 YTD0 Week of 9/24

Volume (contracts)

9/24

-10%

-8%

-6%

-4%

-2%

0%

3/30 4/30 5/30 6/30 7/30 8/30Price

WDX

08/01/2010Washington

-4.20% Ask

Price Bid

Implied HPA

-4.20%-1.36%

Prev Mo Prev Wk

0 YTD0 Week of 9/24

Volume (contracts)

9/24

Source: JPMS

2

September 25, 2009


0500

1,0001,5002,0002,500

1999 2001 2003 2005 2007 2009Cards 5 Yr HEL 5 YrMH 7 Yr

-50

0

50

100

150

1999 2001 2003 2005 2007 2009

2 Yr FL Cards - 2 Yr FX Cards Asset Swaped5 Yr FL Cards - 5 Yr FX Cards Asset Swaped

Chart 1Floating vs. Asset Swapped (Cards)

Chart 2Fixed Rate ABS Yield 3 vs. 5 Yr

Chart 3Fixed Rate ABS Yield 5 vs. 10 Yr

-500

50100150200

1999 2001 2003 2005 2007 2009

Cards HEL MH

-1000

100200

300

1999 2001 2003 2005 2007 2009

Cards HEL MH

0

100

200

300

400

1999 2001 2003 2005 2007 2009

2 Year 3 Year

Chart 4Prime vs. Mid Prime Autos

Chart 5Fixed Rate ABS Quality Curve AAA vs. A

Chart 6Fixed Rate ABS Quality Curve AAA vs. BBB

0

500

1000

1500

1999 2001 2003 2005 2007 2009Auto 3 Yr Cards 5 YrHEL 5 Yr

(bps) (bps)

(Nominal Spreads to Treasuries) (Nominal Spreads to Treasuries)

5590

4065

23.127.8

Mat25

FloatFixedSwap

1525

CurrPickup

Avg*Pickup

-8.1-2.8

Diff

3.34% 2.31% 93.4Coll

CardsHEL

5 Yr 3 Yr

103

CurrPickup

Avg*Pickup

9.6

Diff

MH

CollCardsHEL

10 Yr 5 YrCurr

PickupAvg*

Pickup Diff

MH

3.34%4.42% 93.8108 14.2

74107

114172

141.6181.5

Mat23

PrimeMid

Prime

4065

CurrPickup

Avg*Pickup

-101.6-116.5

Diff

10797

267257

459.1689.4

Coll

CardsHEL

AAAA

160

CurrPickup

Avg*Pickup

-299.1-529.4

Diff

Auto 97357 1,008.7Coll

CardsHEL

AAABBB

260

CurrPickup

Avg*Pickup

-748.7

Diff

MH

(Nominal Spreads to Treasuries)

U.S.SpreadsRelative Value

160

(bps)

* Average pickup for past 12 months.Source: JPMS.

3

September 25, 2009


0

50

100

150

1998 2000 2002 2004 2006 2008

-100

0

100

200

300

400

1998 2000 2002 2004 2006 2008-500

0

500

1000

1500

2000

1998 2000 2002 2004 2006 2008

-20

180

380

580

780

1998 2000 2002 2004 2006 2008

Chart 7Credit Cards (5 Year)

Chart 8Autos (3 Year)

Chart 9U.S.SpreadVolatility / Mean Reversion

Chart 10 Chart 11 Chart 12Agency 5 Year

Chart 13Agency PAC (5 Year)

Chart 14

Autos vs. Cards (3 Year)

Chart 15

Student Loans vs Agencies (5 Year)

-2000

200400600800

1000

1998 2000 2002 2004 2006 2008

-100

-50

0

50

100

1998 2000 2002 2004 2006 2008

-100

0

100

200

300

1998 2000 2002 2004 2006 2008

-1000

100200300400500

1998 2000 2002 2004 2006 2008

Spread to Swaps (bps) Spread Differential (bps)

Spread to 5 Year Swaps (bps)Spread to 5 Year Swap (bps)

Spread Differential (bps)

CMBS (5 Year)

Spread to Swaps (bps)FFELP Student Loan AAA 5 Year

050

100150200250300350400450500

1998 2000 2002 2004 2006 2008

Spread to Swaps (bps)

Swaps (5 Year)

Spread to Swaps (bps)

Swap Spread (bps)

Source: JPMS.Weekly Spread Data 10 Week Moving Average +/- 2 Standard Deviations

4

September 25, 2009


-1000

100200300400500

2000 2002 2004 2006 2008

-400-300-200-100

0100200300

2000 2002 2004 2006 2008-200

0

200

400

600

800

1998 2000 2002 2004 2006 2008

-2000

200400600800

1000

2000 2002 2004 2006 2008

Chart 19Single-A Banks (5 Year)Chart 20

Single-A Banks - Single-A CardsChart 21

U.S.SpreadVolatility / Mean Reversion - ABS vs. Corporates

Chart 22 Chart 23 Chart 24Triple-B Banks (5 Year) Triple-B Cards - Triple-B Banks

-2000-1500-1000-500

0500

1000

2000 2002 2004 2006 2008

-1000

0

1000

2000

3000

2001 2002 2003 2004 2005 2006 2007 2008 2009

-3000

-2000

-1000

0

1000

2000

2001 2002 2003 2004 2005 2006 2007 2008 2009

Spread to Swaps (bps) Spread Differential (bps)

Spread Differential (bps)Triple-B Cards (5 Year)

-1000

0

1000

2000

3000

4000

1998 2000 2002 2004 2006 2008

Spread to Swaps (bps)Spread to Swaps (bps)

-5000

5001000150020002500

1998 2000 2002 2004 2006 2008

Single-A Cards (5 Year)Spread to Swaps (bps)

Chart 16Double-A Banks (5 Year)Chart 17

Double-A Banks - Triple-A CardsChart 18

Spread to Swaps (bps) Spread Differential (bps)Triple-A Cards (5 Year)Spread to Swaps (bps)

Source: JPMS.Weekly Spread Data 10 Week Moving Average +/- 2 Standard Deviations

5

September 25, 2009


0

200

400

600

800

1,000

1,200

1/00 1/01 1/02 1/03 1/04 1/05 1/06 1/07 1/08 1/09

CKRBHSBCCOFAXPBAC

Chart 25Credit Default Swaps Spread - Credit Card & Auto Issuers

184 180 645

Company

CitiGroup

Current Week

Last Week

4

Change Max

180

Credit Default Swaps Spread - Credit Card & Auto

(bps)

52 Week

Min Avg

349

135 160 1,077HSBC 135-25 535

100 110 572Capital One 100-11 283

119 115 676Amex 1154 351

Aa1/AA+

Aa2/AA

Baa1/BBB+

A1/A+

601

125

629

128

4,880

523

GMAC

Daimler

-28 601

125-3

1,719

259

505 549 4,521Ford 505-44 1,520

56 45 290Toyota 4511 135

116 116 511BMW 1160 272

116 121 369Volkswagen 116-5 234

Ba1/BB

A3/BBB+

B2/BB-

AAA/AAA

A1/A+

A3/A-

Credit Cards

Auto

0

1,000

2,000

3,000

4,000

5,000

6,000

1/00 1/01 1/02 1/03 1/04 1/05 1/06 1/07 1/08 1/09

GMDCXFToyotaBMWVOW

Source: JPMS.

6

September 25, 2009


0500

1,0001,5002,0002,5003,0003,5004,0004,5005,000

1/007/00 1/017/01 1/027/021/03 7/031/04 7/041/057/05 1/067/06 1/077/071/08 7/081/09 7/09

MWDCFCLEHWMCSFB

Chart 26Credit Default Swaps Spread - Home Equity Issuers, Insurers and Financial Guarantors

140

166

135

166

1,169

426

Company

Morgan Stanley

Countrywide

Current Week

Last Week

5

Change Max

135

96

Credit Default Swaps Spread - Home Equity Issuers, Insurers and Financial Guarantors

(bps)

52 Week

Min Avg

0

345

196

Lehman

Washington Mutual

70 71 287CSFB 65-1 140

1,121 1,239 10,314ResCap -118 1,112 3,375

Aa3/AA-

A3/A

A1/A+

A3/A

Aa3/AA-

Ca/CCC+

Home Equity

3,580

4,820

4,054

5,586

7,200

5,856

MBIA

AMBAC

-474 1,561

1,478-766

3,979

3,182

14,055 14,955 14,955XL 2,803-900 10,022

632 728 2,465FSA 632-97 1,429

854 838 1,576MGIC 83816 1,160

1,205 1,206 3,164Radian -1 1,205 2,093

Aaa/AAA

Aaa/AAA

Aaa/AAA

Aaa/AAA

A1/A

A2/A

1,214 1,174 1,774PMI 40 987 1,305A1/A+

Insurers and Financial Guarantors

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

16,000

1/007/001/017/011/027/021/037/031/047/041/057/051/067/061/077/071/087/081/097/09

MBIAAMBACXLFSAMGICRadianPMI

Source: JPMS.

7

September 25, 2009


0

200

400

600

800

1,000

1,200

2/02 8/02 2/03 8/03 2/04 8/04 2/05 8/05 2/06 8/06 2/07 8/07 2/08 8/08 2/09 8/09

0

50

100

150

200

250

300BB B IG

Chart 27Credit Default Swaps Spread - Dow Jones CDX & Homebuilders Indices

370 364 948

Index

DJ CDX NA HY BB On the run (5Yr) Swap CDS Spread Mid

Current Week

Last Week

6

Change Max

364

Credit Default Swaps Spread - Dow Jones CDX & Homebuilders Indices

(bps)

52 Week

Min Avg

617

641 648 1,851-7 641 1,088

96 102 280-6 96 176

DJ CDX NA HY B On the run (5Yr) Swap CDS Spread Mid

DJ CDX NA IG Main On the run (5Yr) Swap CDS Spread Mid

0200400600800

1,0001,2001,4001,6001,8002,0002,2002,4002,600

5/048/0411/042/055/058/0511/052/065/068/0611/062/075/078/0711/072/085/088/0811/082/095/098/09

Homebuilders

830 910 2,339-79 830 1,626JPMorgan Homebuilders Index

Source: JPMS.

8

U.S. Cross Sector SpreadsTable 1

U.S.

September 25, 2009


Non Real Estate ABS CMBS Cross Sector SpreadsSpreadsCross Sector

325

325

AA 9yr 375

BBB 7yr 2,500

AAA 3yr 500

AAA 1yr 30 2yr 45 3yr 65

A 3yr 225

0-5-5

-25

AAA 1yr 60 0

AAA 2yr 40 5yr 65

10yr 85

A 5yr 225

0-5-5

-75

AAA 2yr 55 5yr 90

10yr 110

A 5yr 225

-5-5-5

-75

3yr 130 0

AAA 3yr 35 7yr 90

-50

2yr 85 0

305070

250

60

407090

300

6095

115

300

130

4090

85

216259315

775

330

235286314

975

258314339

975

497400

304565

225

60

406585

225

5590

110

225

13085

525575625

1,200

700

550580600

1,750

550580600

1,750

900800

Current Week

Prior Week

52 WeekChg Avg Min Max

Credit Cards (Fixed - Swaps)

Credit Cards (Floating - 1 Mo. LIBOR)

Prime Auto (Fixed - Swaps)

Near Prime Auto (Fixed - Swaps)

Student Loans - Private Credit (3 Mo. LIBOR)

179229

3590

350390

BBB 5yr

BBB 5yr

Student Loans - FFELP (3 Mo. LIBOR)

7yr 600A 8yr 2,000

375

6002,0002,500

500

0

0000

456

767838

1,7792,237

350

500600

1,0001,250

550

1,2001,2002,0002,500

-75400 1,295 325 2,500

-75400 1,295 325 2,500

AAA 5yr 405 10yr 585

27A 23

0400575

2723

510

00

1,5501,350

4,6005,300

325410

1310

902824

2,1202,504

BBB 10 10 0 8,95074,249

Current Week

Prior Week Chg Avg Min Max

52 Week

CMBS (Fixed - Swaps)

AA

156

2,729

13

10yr 19

2yr 295yr 32

353620

-6-4-1

164121

70

293211

676326

2yr5yr 12 3 9

2yr 1475yr 153

141143

610

260355

15-10

152148

1,368852

141132

454423

Current Week

Prior Week Chg Avg Min Max

52 Week

Subordinated Jumbo MBS (Fixed - Swaps)

Swaps

Corporates (Fixed - Swaps)Industrial - AAA

Finance - A

2yr 3945yr

390 4 3,779932

366740

759836

Bank - BBB

AAA

BBBBB

BFNMA Current Coupon

Libor OAS

2yr 1445yr 111

153100

-911

430440

144100

305268

Bank - AA

Swaps

SF CDOs (Floating - 3 Mo. LIBOR)

AAAAA

ABBB

4149

97

02,729

28160

2,6465,6158,159

99232

2,9466,8598,354

-10127

1,9044,0857,860

Source: JPMS.

9

B Piece - A RatedAAA Rated C Piece - BBB Rated

Fixed Credit Cards Floating Credit CardsAAA Rated B Piece - A Rated C Piece - BBB Rated

3 4 5 7 102 1 3 4 5 7 102 153 4 5 7 102 3 4 5 7 102 3 5 7 1023 5 7 102

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

Date

Table 2U.S.Spreads - Cards

September 25, 2009


4/23/09 160 235 265 290 300 320 320 320 1000 12001200 1200 1200 1200200 220 270 290 1000 1200 1200 1200240 280 12001200 1400 1400 1400 14001400 1400 14001400 1400 14004/30/09 150 230 260 285 300 320 320 320 950 11501150 1150 1150 1150200 220 270 290 950 1150 1150 1150240 280 11501150 1300 1300 1300 13001300 1300 13001300 1300 1300

5/7/09 100 180 220 260 270 280 300 310 700 800800 800 800 800120 180 220 250 700 800 800 800200 240 800800 900 1000 1000 10001000 900 10001000 1000 10005/14/09 90 140 160 200 220 230 240 250 600 700700 700 700 700110 140 180 200 600 700 700 700170 190 700700 800 900 900 900900 800 900900 900 9005/21/09 90 140 160 200 220 230 240 250 500 600600 600 600 600110 140 180 200 500 600 600 600170 190 600600 700 800 800 800800 700 800800 800 8005/28/09 80 130 150 190 200 210 220 230 400 500500 500 500 500105 130 170 190 400 500 500 500160 180 500500 650 750 750 750750 650 750750 750 750

6/4/09 75 120 130 170 180 190 200 210 300 400400 400 400 400100 125 165 185 300 400 400 400155 175 400400 500 600 600 600600 500 600600 600 6006/11/09 75 110 120 160 170 180 190 200 300 400400 400 400 400100 120 140 175 300 400 400 400130 165 400400 500 600 600 600600 500 600600 600 6006/18/09 80 120 130 165 175 180 200 205 300 400400 400 400 400100 120 140 175 300 400 400 400130 165 400400 500 600 600 600600 500 600600 600 6006/25/09 85 130 145 165 175 180 200 205 300 400400 400 400 400105 120 140 175 300 400 400 400130 165 400400 500 600 600 600600 500 600600 600 600

7/1/09 80 130 140 155 170 175 200 205 300 400400 400 400 400105 120 140 175 300 400 400 400130 165 400400 500 600 600 600600 500 600600 600 6007/9/09 80 130 140 155 170 175 200 205 300 400400 400 400 400105 120 140 175 300 400 400 400130 165 400400 500 600 600 600600 500 600600 600 600

7/16/09 80 130 140 155 170 175 200 205 300 400400 400 400 400105 120 140 175 300 400 400 400130 165 400400 500 600 600 600600 500 600600 600 6007/23/09 80 130 145 155 170 175 200 205 350 425400 400 435 450105 120 140 175 350 400 425 450130 165 435400 525 600 600 600600 525 600600 600 6007/30/09 80 105 130 145 160 170 200 200 350 425400 400 435 45095 105 125 170 350 400 425 450115 140 435400 525 600 600 600600 525 600600 600 600

8/6/09 75 100 120 135 150 160 190 190 350 425400 400 435 45085 95 115 160 350 400 425 450105 130 435400 525 525 525 525525 525 525525 525 5258/13/09 70 100 115 130 140 150 175 190 325 400375 390 410 42560 70 110 150 325 375 400 42595 125 410390 475 475 475 475475 475 475475 475 4758/20/09 60 80 95 110 120 140 150 175 325 375375 375 375 37555 65 100 130 325 375 375 37590 115 375375 450 450 450 450450 450 450450 450 4508/27/09 50 70 85 100 110 115 125 150 250 300300 300 300 30050 60 70 100 250 300 300 30065 80 300300 425 425 425 425425 425 425425 425 425

9/3/09 50 70 85 100 110 115 125 150 250 300300 300 300 30045 55 70 100 250 300 300 30060 80 300300 425 425 425 425425 425 425425 425 4259/10/09 40 60 75 90 100 105 115 140 250 300300 300 300 30040 50 70 90 250 300 300 30060 80 300300 400 400 400 400400 400 400400 400 4009/17/09 40 60 70 80 95 105 115 140 250 300300 300 300 30040 50 70 90 250 300 300 30060 80 300300 400 400 400 400400 400 400400 400 4009/24/09 40 55 65 75 90 100 110 130 225 225225 225 225 22540 45 65 85 225 225 225 22555 75 225225 275 325 325 325325 275 325325 325 325

-1000

100200300400500600

98 99 00 01 02 03 04 05 06 07 08 09

Cards HEL Auto

-1000

100200300400500

98 99 00 01 02 03 04 05 06 07 08 09

Cards HEL

0100200300400500600

98 99 00 01 02 03 04 05 06 07 08 09

Cards HEL

Source: JPMS.

Source: JPMS.Chart 28 2 Yr Spreads to Swaps

Chart 29 5 Yr Spreads to Swaps

Chart 30 10 Yr Spreads to Swaps

10

AAA A3 1 2 3 3 5 102 7MM1 2 3MM

AAA1 2 3MM

U.S. Auto, Equipment, and Stranded Assets Spreads to Swaps/ EDSF/ LIBOR Prime Auto

Date

Table 3

Ag/ConstructionNear Prime Auto Equipment Stranded Assets

AAA AAA

U.S.Spreads - Auto, Equipment, Stranded Assets

September 25, 2009


Fixed FloatingAAA

1 2 3 3 3

A BBB

4/23/09 35 115 55 200 55 250 110 125 150 175160140 225 800 300 425 300 400150 180 250 1200 15004/30/09 35 115 55 200 55 250 110 125 150 175160140 225 800 300 425 300 400150 180 250 1200 1500

5/7/09 25 80 35 150 55 175 90 115 135 150145120 200 700 200 350 200 325110 150 225 1000 13005/14/09 25 80 35 150 55 175 90 115 135 150145120 200 700 200 350 200 325110 150 225 1000 13005/21/09 25 80 35 150 55 175 85 100 120 150135120 200 700 200 350 200 325110 150 225 1000 13005/28/09 25 80 35 150 55 175 85 100 120 150135120 200 700 200 350 200 325110 150 225 1000 1300

6/4/09 25 80 35 150 55 175 80 95 115 150135120 200 700 200 350 200 325110 150 225 1000 13006/11/09 25 70 35 150 55 125 70 85 115 150135105 175 650 200 350 175 30085 120 185 900 12006/18/09 25 70 35 150 55 125 70 85 115 150135105 175 650 200 350 175 30085 120 185 900 12006/25/09 25 70 35 150 55 125 70 85 115 150135105 165 650 200 350 175 30085 120 185 900 1200

7/1/09 15 70 25 120 20 100 70 85 115 150135100 155 600 150 250 130 20085 120 185 750 10007/9/09 15 70 25 120 20 100 70 85 115 150135100 140 550 150 250 130 20085 120 160 750 1000

7/16/09 15 70 25 120 20 100 70 85 115 150135100 140 550 150 250 130 20085 120 160 750 10007/23/09 15 70 25 120 20 100 70 85 115 150135100 140 550 150 250 130 20085 120 160 750 10007/30/09 15 65 25 100 20 90 70 80 110 16013090 120 500 125 200 125 17575 100 130 600 850

8/6/09 15 60 25 95 20 80 60 70 100 15012085 120 475 120 190 115 16570 95 125 550 8008/13/09 15 50 25 75 20 75 60 70 100 14011080 110 400 100 160 110 15055 90 115 500 8008/20/09 10 45 20 65 20 70 50 60 90 13010570 100 350 90 140 105 14050 75 105 475 8008/27/09 10 35 15 60 20 65 40 50 60 908060 80 300 90 130 105 14040 65 90 475 800

9/3/09 10 35 15 60 20 65 40 50 60 908060 80 300 90 130 105 14040 65 90 475 8009/10/09 10 30 15 60 15 50 35 45 55 857550 70 250 85 130 90 12035 55 75 450 7509/17/09 10 30 15 60 15 50 35 45 55 857550 70 250 85 130 90 12035 55 75 450 7509/24/09 10 30 15 60 15 50 35 40 55 857045 65 225 85 130 90 12035 50 70 450 750

0%

2%

4%

6%

8%

10%

98 99 00 01 02 03 04 05 06 07 08 09

Treasury Swap Yield

0%

2%

4%

6%

8%

10%

98 99 00 01 02 03 04 05 06 07 08 09

Treasury Swap Yield

0%

2%

4%

6%

8%

10%

98 99 00 01 02 03 04 05 06 07 08 09

Treasury Swap Yield

Source: JPMS.

Source: JPMS.

2 Yr Treasury vs. Swap YieldsChart 325 Yr Treasury vs. Swap Yields

Chart 3310 Yr Treasury vs. Swap Yields

Chart 31

11

LIBOR

73

Student Loan, Global RMBS Spreads to LIBOR, CMBS Spreads to Swaps and MBS Prices

Date

Table 4

Student Loans (FFELP)

AAA

U.S.Spreads - Student Loan, Global RMBS

September 25, 2009


Global RMBSAUDAAA

3

UK BulletAAA

31 5 10

AA

Student Loans (Private Credit)

73

AAA A BBB

5

AA BBB

5 5

MBS*CMBS**

AAA AA A BBB

5 10 10 10 10

AA A BBB BB B

10 10 10 10 108 7 SwapLibor OAS

FNMA Current Coupon

126

4/23/09 130 190 550 350 360 925 1975115 160 220 900 1,000 2000 2500 1025 13 10 6.5800500 22 1514504/30/09 115 170 550 350 360 925 197590 140 200 900 1,000 2000 2500 925 14.5 11 6.5750500 14 156450

5/7/09 110 160 550 350 360 925 197570 130 180 700 800 2000 2500 875 14.5 11 6.5725500 9 1574505/14/09 110 160 550 300 310 925 197570 130 180 700 800 2000 2500 850 19 15 9750500 12 1544505/21/09 110 160 550 295 305 925 197570 130 180 700 800 2000 2500 500 22 17 9625500 0 1734505/28/09 110 160 550 295 305 925 197570 130 180 700 800 2000 2500 600 20 15 8700500 16 183450

6/4/09 110 160 550 295 305 925 197570 130 180 700 800 2000 2500 675 19 14 7760500 5 1644506/11/09 100 150 550 270 280 900 192560 120 170 700 800 2000 2500 725 19 14 7815500 6 1554506/18/09 100 150 550 265 275 900 192560 120 170 700 800 2000 2500 650 19 14 7715500 -3 1534506/25/09 100 150 550 260 270 925 197560 120 170 700 800 2000 2500 650 18 14 7715500 3 153450

7/1/09 100 150 550 255 265 925 197560 120 170 700 800 2000 2500 650 18 14 7690500 3 1424507/9/09 100 150 550 245 255 875 172560 120 170 650 750 2000 2500 450 18 14 7650500 14 156450

7/16/09 100 150 550 235 245 850 167560 120 170 650 750 2000 2500 450 18 14 7675500 3 1454507/23/09 100 150 550 225 235 850 167560 120 180 650 750 2000 2500 420 21 17 7650500 -1 1474507/30/09 85 145 550 210 220 825 162555 120 170 600 700 2000 2500 400 22 17 7630500 -10 136450

8/6/09 75 135 550 200 210 825 162545 110 160 500 600 2000 2500 325 25 20 10500500 -9 1334508/13/09 75 125 325 175 185 825 162545 100 150 500 600 2000 2500 375 24 19 10600500 -5 1384508/20/09 70 120 325 180 190 825 162540 95 140 500 600 2000 2500 400 24 19 10650500 4 1444508/27/09 60 110 325 180 190 825 162535 85 130 500 600 2000 2500 425 24 19 10650500 15 148450

9/3/09 50 105 325 180 190 825 162530 80 125 500 600 2000 2500 425 24 19 10650425 20 1594009/10/09 40 90 325 180 190 825 162530 70 110 500 600 2000 2500 415 24 19 10575400 15 1573759/17/09 40 90 325 175 185 575 122530 70 110 500 600 2000 2500 400 27 23 10575400 4 1493759/24/09 35 90 325 160 170 525 112525 65 105 500 600 2000 2500 405 27 23 10585400 13 156375

Source: JPMS. *MBS prices unavailable**CMBS AA-BBB prices since 4/23/09

12

Mid CloseDate Series

ABX.HE Spreads* And Closing PriceAAA

ABX.HE.2006-1 Spreads and Closing PriceTable 5aABX.HE Spreads

and Closing Price

September 25, 2009


Mid Close

AA

Mid Close

A

Mid Close

BBB

Mid Close

BBB-

4/23/09 65.2302006-1 1426 16.0001589 7.6102116 4.00010624 3.980133744/30/09 68.7902006-1 1291 16.7901580 7.5002126 3.98010832 3.980136955/7/09 72.2702006-1 1158 22.7001474 7.8602125 4.00011044 4.000140295/14/09 70.2502006-1 1248 21.1701508 7.9202131 4.00011267 4.000143835/21/09 73.1702006-1 1136 23.5801467 7.9402138 4.00011499 4.000147565/28/09 71.1702006-1 1226 22.1501499 8.0002145 4.00011741 4.000151496/4/09 68.9002006-1 1329 21.3501519 8.0002152 4.00011993 4.000155646/11/09 66.5502006-1 1436 21.1301528 8.0002160 4.00012257 4.000160036/18/09 65.3302006-1 1497 19.7501559 7.8802171 4.00012533 4.000164686/25/09 66.8602006-1 1442 20.5001549 8.0002176 4.00012822 4.000169617/1/09 69.2902006-1 1346 23.0201506 7.8502186 4.00013081 4.000174097/9/09 69.5002006-1 1348 22.7501516 7.9302194 4.00013442 4.040180367/16/09 72.3802006-1 1232 24.1501494 7.8602203 4.00013776 4.000186397/23/09 74.1002006-1 1165 24.8801485 7.9902209 4.00014126 4.000192767/30/09 76.1502006-1 1083 25.6301475 7.9102219 4.00014495 4.010199578/6/09 74.8302006-1 1149 24.7501497 7.9602226 4.00014884 4.000206928/13/09 72.2502006-1 1272 23.1601533 8.0002233 4.00015295 4.060214698/20/09 72.9202006-1 1181 22.7901504 8.0102172 4.00012697 4.010167458/27/09 73.4402006-1 1153 23.1501502 7.9602182 4.04012988 4.080172439/3/09 72.9102006-1 1183 23.0501508 7.9102191 4.00013304 4.000178009/10/09 73.2102006-1 1178 22.9501515 7.9102199 4.01013629 4.050183709/17/09 78.6002006-1 951 28.1301420 7.9902205 4.00013974 4.060189869/24/09 77.7602006-1 995 27.5101437 8.5502200 4.05014327 4.05019650

0.0

20.0

40.0

60.0

80.0

100.0

1/06 7/06 1/07 7/07 1/08 7/08 1/09 7/09AAA AA A

Chart 34ABX.HE.2006-1 AAA, AA and A closing mid price

*JP Morgan makes no representation that ABX spreads indicated above are accurate. Accounts should draw their own conclusions based on views of relevant prepayment and default assumptions, etc.

Source: JPMS, Markit

Source: JPMS

0.015.030.045.060.075.090.0

105.0

1/06 7/06 1/07 7/07 1/08 7/08 1/09 7/09

BBB BBB-

ABX.HE.2006-1 BBB and BBB- closing mid priceChart 35

13



ABX.HE.2006-2 Spreads and Closing PriceTable 5bABX.HE Spreads

and Closing Price

September 25, 2009


Mid Close

AA

Mid Close

A

Mid Close

BBB

Mid Close

BBB-

4/23/09 30.7102006-2 1371 7.3202229 3.5006578 2.50023000 2.550198064/30/09 32.5402006-2 1338 6.9402247 3.5006653 2.50023937 2.480205135/7/09 34.7002006-2 1299 7.3602245 3.5106729 2.67024911 2.650212205/14/09 33.1702006-2 1332 7.5002251 3.5406806 2.80025982 2.680220125/21/09 35.5202006-2 1288 7.9802248 3.4206895 2.85027176 2.730228625/28/09 33.8802006-2 1324 8.1002255 3.5206970 2.83028507 2.720237976/4/09 33.3002006-2 1338 8.0002266 3.5007056 2.82029972 2.630248326/11/09 31.1802006-2 1383 8.0302275 3.5007143 2.95031552 2.780258976/18/09 30.1002006-2 1408 7.7602291 3.5007231 2.59033480 2.520271766/25/09 31.5002006-2 1383 7.6502303 3.5007322 2.63035499 2.590284857/1/09 33.1702006-2 1353 7.5202314 3.5007402 2.77037395 2.640297187/9/09 33.5402006-2 1349 7.5102325 3.5007511 2.78040347 2.670315537/16/09 35.9002006-2 1305 7.5102335 3.5007610 2.75043361 2.510334227/23/09 37.8002006-2 1269 7.5002345 3.5007711 2.78046832 2.530354557/30/09 39.5502006-2 1237 7.5302354 3.5007814 2.78050927 2.540377598/6/09 38.2502006-2 1266 7.5002365 3.5007921 2.69055861 2.550403868/13/09 35.2502006-2 1330 7.5002375 3.5008030 2.78061730 2.540434188/20/09 35.5402006-2 1301 7.5002302 3.5007283 2.77034549 2.620278928/27/09 35.9802006-2 1290 7.5002312 3.5207374 2.89036677 2.660292849/3/09 36.0402006-2 1291 7.5002321 3.5107469 2.88039145 2.690308299/10/09 36.3702006-2 1288 7.6502327 3.5007567 2.89041961 2.680325619/17/09 43.2002006-2 1153 7.8802331 3.5007667 2.89045221 2.770344679/24/09 41.9002006-2 1182 9.7002295 3.9507733 3.95048498 3.50036375

0.010.020.030.040.050.060.070.080.090.0

100.0

7/0610/061/074/077/0710/071/084/087/0810/081/094/097/09AAA AA A




Source: JPMS

0.010.020.030.040.050.060.070.080.090.0

100.0

7/0610/061/074/077/0710/071/084/087/0810/081/094/097/09BBB BBB-


14



ABX.HE.2007-1 Spreads and Closing PriceTable 5cABX.HE Spreads

and Closing Price

September 25, 2009


Mid Close

AA

Mid Close

A

Mid Close

BBB

Mid Close

BBB-

4/23/09 24.2102007-1 1295 3.0005780 2.64014940 2.38030511 2.380351854/30/09 25.9002007-1 1269 3.0005842 2.50015368 2.38032143 2.380373185/7/09 27.2502007-1 1248 3.0005905 2.80015750 2.42033947 2.420397155/14/09 26.7102007-1 1258 3.0905964 2.94016180 2.54035939 2.460424465/21/09 28.4602007-1 1231 3.0106035 3.00016649 2.65038192 2.500455885/28/09 27.5002007-1 1249 2.9906104 2.83017188 2.52040853 2.630491956/4/09 26.8502007-1 1261 3.0006172 2.94017710 2.63043800 2.500535826/11/09 25.3302007-1 1289 3.0506239 2.93018288 2.55047308 2.520587306/18/09 23.8402007-1 1316 3.0006315 2.81018927 2.70051302 2.550649786/25/09 24.4302007-1 1308 3.0006389 2.66019617 2.50056254 2.480728047/1/09 25.9802007-1 1283 3.0006453 2.87020177 2.65061109 2.550810767/9/09 26.5002007-1 1276 3.1006535 2.73021072 2.56069302 2.520957247/16/09 28.6302007-1 1242 3.0006621 2.75021888 2.53078462 2.5101136967/23/09 30.5002007-1 1211 3.0206701 2.60022810 2.51090406 2.5001400117/30/09 32.4502007-1 1179 3.0206784 2.51023795 2.520106614 2.5101821998/6/09 31.2602007-1 1202 3.0006871 2.72024792 2.500129968 2.5002609958/13/09 28.1902007-1 1256 3.0006958 2.73025934 2.540166339 2.5304600788/20/09 28.1002007-1 1245 3.0406354 2.75019310 2.53054052 2.510692308/27/09 28.4602007-1 1234 3.0206430 2.79019989 2.64059374 2.590780659/3/09 28.0802007-1 1243 3.0006508 2.59020768 2.54066022 2.520896599/10/09 28.1002007-1 1244 3.0006587 2.64021553 2.56074242 2.5201052209/17/09 32.1502007-1 1176 3.0106666 2.68022402 2.51084876 2.5001273789/24/09 30.7002007-1 1203 3.1506739 2.86023288 2.84098676 2.670161082

0.0

20.0

40.0

60.0

80.0

100.0

1/073/075/077/079/0711/071/083/085/087/089/0811/081/093/095/097/099/09AAA AA A




Source: JPMS

0.0

20.0

40.0

60.0

80.0

100.0

1/073/075/077/079/0711/071/083/085/087/089/0811/081/093/095/097/099/09BBB BBB-


Ch i Fl ABS R h15



ABX.HE.2007-2 Spreads and Closing PriceTable 5dABX.HE Spreads

and Closing Price

September 25, 2009


Mid Close

AA

Mid Close

A

Mid Close

BBB

Mid Close

BBB-

4/23/09 24.0402007-2 1536 3.9606755 3.04014349 3.00025713 3.000371854/30/09 25.6702007-2 1509 3.9106840 3.01014715 2.96026872 3.000395695/7/09 26.6502007-2 1493 3.8906925 3.21015066 2.99028121 3.000422855/14/09 26.2902007-2 1501 4.0007004 3.37015442 3.00029502 3.000454065/21/09 27.9602007-2 1473 3.9407096 3.28015879 3.00031031 3.000490325/28/09 26.9202007-2 1493 3.9207188 3.35016315 3.00032731 3.000532946/4/09 26.1502007-2 1508 3.8807284 3.46016770 3.00034630 3.000583776/11/09 25.0002007-2 1531 4.0007371 3.40017283 3.00036768 3.000645436/18/09 23.7402007-2 1555 3.8307482 3.40017817 3.00039192 3.000721806/25/09 24.4602007-2 1544 3.9407575 3.48018371 3.00041962 3.000818847/1/09 25.8502007-2 1520 3.8307672 3.48018889 3.00044674 3.000925677/9/09 25.8802007-2 1522 3.9107787 3.41019641 3.00048893 3.0001121017/16/09 27.6802007-2 1491 3.9707892 3.46020328 3.00053306 3.0001375437/23/09 29.0302007-2 1468 4.0008003 3.43021083 3.00058606 3.0001780117/30/09 31.1302007-2 1432 4.0008119 3.42021892 3.00065087 3.0002523938/6/09 29.4602007-2 1464 4.0008239 3.39022772 3.00073196 3.0004340698/13/09 27.0002007-2 1510 4.0008362 3.49023695 3.00083633 3.00015558758/20/09 26.6302007-2 1504 4.0007526 3.48018123 3.00040728 3.000774218/27/09 26.9202007-2 1385 4.0407626 3.54018702 3.00043731 3.000887089/3/09 26.9702007-2 1385 4.0007734 3.49019342 3.00047220 3.0001038769/10/09 27.0202007-2 1386 4.0007842 3.50020015 3.00051320 3.0001253469/17/09 31.9502007-2 1299 4.0007954 3.49020743 2.97056227 2.9701581199/24/09 30.5502007-2 1326 4.0808062 3.55021510 3.05062108 3.050213934

0.010.020.030.040.050.060.070.080.090.0

100.0

7/07 10/071/08 4/08 7/08 10/081/09 4/09 7/09AAA AA A




Source: JPMS

0.0

20.0

40.0

60.0

80.0

100.0

7/07 10/071/08 4/08 7/08 10/081/09 4/09 7/09BBB BBB-


16

AAA AA AA A AA A BBBBBBA3-5 7-10 1-3 3-5 7-10 1-3 3-5 10 1-3 3-5 7-10 1-3 1-3 3-5 7-10 7-103-51-37-103-51-31-3 3-5 7-101-3

U.S. Corporate & Agency Spreads to SwapsTable 6

Date

Industrials* Banks* Finance*

U.S.Spreads - SwapCorporates & Agency

5 10

AgencyBenchmark

September 25, 2009


4/23/09 34 91 125 218 376 285 473 484 480 570 786 975282 224 289 264 526 496 497 1,723 1462 1312 2 544/30/09 76 91 116 202 349 274 457 464 466 547 766 798256 207 270 247 485 469 460 1,523 1377 1015 -2 54

5/7/09 134 99 119 195 332 277 455 397 428 507 718 775257 202 255 250 417 428 415 1,337 1282 918 -4 385/14/09 134 106 123 198 297 271 472 372 409 495 701 741262 202 264 245 348 395 428 1,292 1177 882 7 515/21/09 50 114 122 274 293 246 450 332 375 470 658 728240 202 249 218 344 378 404 1,256 1165 819 2 505/28/09 120 107 105 150 253 216 404 299 321 402 627 667220 179 211 195 283 321 367 1,182 1071 734 1 39

6/4/09 55 70 99 145 229 183 306 274 285 357 534 581158 154 185 166 266 269 317 939 593 407 -10 216/11/09 -10 68 73 116 237 156 292 280 260 340 538 557144 127 160 164 263 249 303 882 538 376 -16 196/18/09 39 76 75 139 233 171 301 272 279 365 478 571145 136 170 151 248 256 308 915 554 412 1 296/25/09 10 56 77 132 242 182 309 270 294 380 501 578146 137 176 159 263 265 314 921 576 420 0 31

7/1/09 12 35 82 131 256 172 303 250 276 369 554 555108 132 178 174 248 241 302 862 589 408 -4 277/9/09 19 37 80 137 258 158 281 245 263 374 535 549109 125 180 175 249 230 299 914 599 398 0 31

7/16/09 10 17 68 127 248 141 266 233 243 342 508 51798 111 167 165 228 205 264 900 584 392 -10 237/23/09 -6 13 55 110 223 125 239 200 212 310 489 49289 98 142 145 187 174 222 875 551 366 -12 237/30/09 16 16 63 102 253 130 195 197 202 284 494 45593 98 132 131 180 163 199 1,044 592 337 -7 15

8/6/09 -3 11 51 90 274 111 166 167 164 254 466 42771 85 119 93 145 132 180 893 521 322 -12 98/13/09 4 22 59 102 276 111 172 177 178 267 511 42971 88 128 104 147 155 211 816 512 333 -1 218/20/09 15 21 51 100 255 107 188 162 184 274 481 44264 75 126 102 156 165 228 810 522 360 3 318/27/09 16 36 83 101 260 114 181 163 183 265 480 42275 85 129 116 154 166 223 729 483 332 4 29

9/3/09 22 19 83 106 144 108 185 158 185 268 366 43376 86 136 112 160 160 237 801 435 336 0 379/10/09 13 24 85 111 151 107 174 154 174 251 368 41971 89 136 115 155 152 222 777 416 302 -3 359/17/09 3 40 78 95 153 100 164 152 164 228 390 39371 84 125 101 141 143 203 624 365 258 -2 309/24/09 12 43 60 99 144 111 169 138 163 228 394 38475 87 127 108 147 153 213 676 380 263 2 28

Source: JPMS. *Data From JPMS JULI Index

17

3 33 4 5 7 102 3 4 5 7 102

AAA B Piece - A AAA A3 1 2 3MM1 2 3MM

AAA1 2 3MM 3 5 7 102

U.S. ABS Spreads to TreasuriesTable 7

Credit Cards Prime Auto Near Prime Auto EquipmentAg/Construction

Stranded Assets

DateAAA AAA

U.S.Spreads - TsyCards, Auto,Equip, St Asset

September 25, 2009


A BBB

4/23/09 263 281 304 330 312 304 1063 12601261 1264 1232 1214 173 186 210 192 18935 115 55 200203 286 861 363 486 55 250 363 461 1261 15614/30/09 257 277 300 325 304 302 1007 12051207 1210 1174 1162 167 182 205 184 18735 115 55 200197 282 857 357 482 55 250 357 457 1257 1557

5/7/09 165 227 253 270 267 262 745 850847 853 827 812 135 162 185 172 16225 80 35 150165 247 747 245 397 55 175 245 372 1047 13475/14/09 153 186 222 228 216 211 643 748746 752 726 711 133 161 183 171 16125 80 35 150163 246 746 243 396 55 175 243 371 1046 13465/21/09 148 183 219 224 211 211 538 644643 649 621 611 123 143 164 156 16125 80 35 150158 243 743 238 393 55 175 238 368 1043 13435/28/09 146 179 214 217 210 216 441 547549 554 530 526 126 149 167 165 17625 80 35 150161 249 749 241 399 55 175 241 374 1049 1349

6/4/09 148 182 215 215 215 218 348 450457 460 440 433 128 152 165 175 18325 80 35 150168 257 757 248 407 55 175 248 382 1057 13576/11/09 146 172 189 193 202 210 346 453452 459 437 435 116 137 168 172 18525 70 35 150151 227 702 246 402 55 125 221 352 952 12526/18/09 150 173 186 184 189 201 350 444453 456 424 426 120 138 159 159 17625 70 35 150155 228 703 250 403 55 125 225 353 953 12536/25/09 142 168 180 177 186 196 337 437448 450 421 421 107 133 152 156 17125 70 35 150142 213 698 237 398 55 125 212 348 948 1248

7/1/09 146 171 182 181 183 196 341 441451 452 418 421 111 136 156 153 17115 70 25 120141 206 651 191 301 20 100 171 251 801 10517/9/09 141 163 177 180 185 192 336 440443 447 420 417 106 128 155 155 16715 70 25 120136 183 593 186 293 20 100 166 243 793 1043

7/16/09 150 172 187 189 193 197 345 449452 457 428 422 115 137 164 163 17215 70 25 120145 192 602 195 302 20 100 175 252 802 10527/23/09 150 172 186 186 192 198 395 471452 456 462 473 115 137 161 162 17315 70 25 120145 192 602 195 302 20 100 175 252 802 10527/30/09 132 154 164 161 163 194 387 461449 449 458 474 107 129 146 153 18415 65 25 100127 169 549 162 249 20 90 162 224 649 899

8/6/09 130 153 163 161 159 190 395 471458 458 464 480 105 128 146 149 18015 60 25 95130 178 533 165 248 20 80 160 223 608 8588/13/09 99 115 142 148 147 173 364 438420 437 432 448 99 115 138 132 16315 50 25 75119 155 445 139 205 20 75 149 195 545 8458/20/09 97 116 142 142 139 155 367 417426 427 399 400 92 111 132 129 15510 45 20 65112 151 401 132 191 20 70 147 191 526 8518/27/09 85 108 114 106 103 124 285 336348 349 323 324 75 98 96 103 11410 35 15 6095 128 348 125 178 20 65 140 188 523 848

9/3/09 82 104 109 108 99 120 287 338349 349 319 320 77 99 98 99 11010 35 15 6097 129 349 127 179 20 65 142 189 524 8499/10/09 73 89 104 106 99 107 283 336339 344 319 317 68 84 91 94 10210 30 15 6083 109 289 118 169 15 50 123 159 489 7899/17/09 75 93 106 106 99 110 285 336343 346 319 320 70 88 91 94 10510 30 15 6085 113 293 120 173 15 50 125 163 493 7939/24/09 69 87 98 97 94 104 254 257267 268 244 244 64 82 87 89 10410 30 15 6074 107 267 114 172 15 50 119 162 492 792

0100200300400500600700800

98 99 00 01 02 03 04 05 06 07 08 09

Cards HELAuto Swap

0100200300400500600700800

98 99 00 01 02 03 04 05 06 07 08 09

Cards HEL Swap

0100200300400500600700

98 99 00 01 02 03 04 05 06 07 08 09

Cards HEL Swap

Source: JPMS.

Source: JPMS.

Chart 372 Yr Spreads to Treasuries



18

6.5%*AAA AA A BBB5 105 10 10 1010

U.S. CMBS, MBS & FNMA Spreads to TreasuriesTable 8

Date

CMBS** Agency PACs

U.S.Spreads - TsyCMBS, MBS & FNMA

5 10

6.5%*

Agency Sequentials

September 25, 2009


MBSAA A BBB BB B10 10 10 1010

FNMA Current Coupon

4/23/09 245 2151065 13 10 6.5817 211255 2254/30/09 245 215958 14.5 11 6.5764 211255 225

5/7/09 245 215910 14.5 11 6.5740 207255 2255/14/09 245 215883 19 15 9764 202255 2255/21/09 245 215528 22 17 9639 217255 2255/28/09 165 135636 20 15 8731 230180 145

6/4/09 165 135712 19 14 7795 214180 1456/11/09 165 135768 19 14 7852 208175 1406/18/09 165 135682 19 14 7743 197175 1406/25/09 165 135676 18 14 7738 190175 140

7/1/09 175 145678 18 14 7715 183185 1557/9/09 175 145477 18 14 7670 196185 155

7/16/09 175 145485 18 14 7700 194185 1557/23/09 175 145454 21 17 7676 193185 1557/30/09 175 145427 22 17 7656 172185 155

8/6/09 165 125359 25 20 10531 179175 1458/13/09 165 125402 24 19 10623 176175 1458/20/09 165 125430 24 19 10676 186175 1458/27/09 165 125451 24 19 10674 184175 145

9/3/09 155 130450 24 19 10671 197165 1459/10/09 155 130440 24 19 10594 193165 1459/17/09 145 130425 27 23 10596 185155 1409/24/09 145 130426 27 23 10604 188155 140

Source: JPMS.

* 7.5% coupon prior to 1/18/01** CMBS AA-BBB prices since 4/23/09

19

AAA AA AA A AA A BBBBBBA3-5 1-3 3-5 7-10 1-3 3-5 7-10 1-3 3-5 7-10 1-3 1-3 3-5 7-10 7-103-51-37-103-51-31-3 3-5 7-101-3

U.S. Corporate & Agency Spreads to TreasuriesTable 9

Date

Industrials Banks Finance

U.S.Spreads - TsyCorporates & Agency

5 10

AgencyBenchmark

September 25, 2009


4/23/09 94 154 185 232 439 345 487 547 540 584 849 989345 284 303 327 589 556 511 1786 1522 1326 62 684/30/09 131 148 171 214 406 329 469 521 521 559 823 810313 262 282 304 542 524 472 1580 1432 1027 53 66

5/7/09 184 144 169 207 377 327 467 442 478 519 763 787302 252 267 295 462 478 427 1382 1332 930 46 505/14/09 182 149 171 209 340 319 483 415 457 506 744 752305 250 275 288 391 443 439 1335 1225 893 55 625/21/09 94 152 166 285 331 290 461 370 419 481 696 739278 246 260 256 382 422 415 1294 1209 830 46 615/28/09 167 148 152 176 294 263 430 340 368 428 668 693261 226 237 236 324 368 393 1223 1118 760 48 65

6/4/09 105 118 149 178 277 233 339 322 335 390 582 614206 204 218 214 314 319 350 987 643 440 40 546/11/09 43 114 126 151 283 209 327 326 313 375 584 592190 180 195 210 309 302 338 928 591 411 37 546/18/09 83 126 119 165 283 215 327 322 323 391 528 597195 180 196 201 298 300 334 965 598 438 45 556/25/09 47 93 114 153 279 219 330 307 331 401 538 599183 174 197 196 300 302 335 958 613 441 37 52

7/1/09 53 76 123 152 297 213 324 291 317 390 595 576149 173 199 215 289 282 323 903 630 429 37 487/9/09 59 73 120 154 294 198 298 281 303 391 571 566145 165 197 211 285 270 316 950 639 415 40 48

7/16/09 59 62 117 149 293 190 288 278 292 364 553 539143 160 189 210 273 254 286 945 633 414 39 457/23/09 40 58 101 133 268 171 262 245 258 333 534 515134 144 165 190 232 220 245 920 597 389 34 467/30/09 52 53 99 126 290 166 219 234 238 308 531 479130 134 156 168 217 199 223 1081 628 361 29 39

8/6/09 43 56 97 120 319 157 196 212 210 284 511 457116 131 149 138 190 178 210 938 567 352 34 398/13/09 42 61 97 125 315 149 195 216 216 290 550 452110 126 151 143 186 193 234 855 550 356 37 448/20/09 57 63 93 125 297 149 213 204 226 299 523 467106 117 151 144 198 207 253 852 564 385 45 568/27/09 52 71 119 125 295 150 205 198 219 289 515 446110 121 153 151 189 202 247 764 519 356 40 53

9/3/09 60 56 121 126 181 146 205 195 223 288 403 453113 124 156 149 197 198 257 838 473 356 38 579/10/09 49 57 121 128 184 143 191 187 210 268 401 436104 125 153 148 188 188 239 810 452 319 33 529/17/09 39 75 114 115 188 136 184 187 200 248 425 413106 120 145 136 176 179 223 659 401 278 34 509/24/09 44 72 92 118 173 143 188 167 195 247 423 403104 119 146 137 176 185 232 705 412 282 34 47

Source: JPMS.

20

Credit Default Swaps SpreadTable 10

Date

Credit Cards Auto Home Equity

Credit Default Swaps Spread

September 25, 2009


C HSBC COF AXP GM DCX F Toyota BMW VOW MWD CFC LEH WM CSFB GM

Insurers and Financial Guarantors

MBIA AMBAC XL FSA MGIC Radian PMI

DJ CDX

BB B IG

Home Builders

LCDX

5-year

3/12/09 540 1080 440 680 290 440 3102,168 370 2,281 287 2,168421 301 2060 1,244 2,0867,200 3,157 9,764 1,324 918 1690 240 1,90416303/19/09 540 1000 400 620 240 400 3201,542 330 1,528 197 1,542370 290 2160 1,576 2,1276,002 3,202 9,764 1,551 918 1700 230 1,91617903/26/09 590 1000 390 650 218 360 3201,376 260 1,236 185 1,376388 352 2250 1,561 2,1835,320 3,262 9,764 1,560 870 1620 180 1,8401610

4/2/09 640 990 370 620 224 350 3201,851 260 1,328 195 1,851381 361 2400 1,507 2,1384,758 3,104 7,000 1,507 584 1180 200 1,83216504/9/09 620 913 350 610 214 320 2701,619 237 1,207 169 1,619345 325 2400 1,507 2,1383,556 3,104 8,000 1,507 552 1130 190 1,798

4/16/09 540 788 290 480 179 250 2201,616 200 1,206 167 1,616309 233 2460 1,450 2,1643,926 3,321 3,923 1,730 505 1050 170 1,68016104/23/09 580 787 340 480 169 250 2401,680 220 1,247 173 1,680370 263 2390 1,448 2,1344,650 3,317 3,923 1,726 533 1080 180 1,61118504/30/09 570 696 280 400 179 230 220956 200 916 158 956354 283 2390 1,460 2,1344,239 3,317 3,923 1,774 459 917 160 1,5061240

5/7/09 390 554 230 330 159 180 190924 160 887 133 924283 212 1770 1,366 2,0253,478 3,004 3,923 1,619 423 859 150 1,37311505/14/09 410 528 210 300 130 220 240917 210 950 132 917292 212 1720 1,314 1,9963,726 3,680 3,923 1,364 508 935 160 1,51612405/21/09 370 457 190 250 105 180 190708 170 825 110 708242 171 1620 1,235 1,9163,626 3,805 3,923 1,336 483 915 150 1,45512005/28/09 360 412 180 230 60 190 220709 180 796 107 709246 161 1620 1,235 1,9163,711 3,548 3,923 1,336 483 910 140 1,4261130

6/4/09 370 366 170 190 70 160 190724 150 810 96 724221 181 1320 1,045 1,6583,472 3,192 3,923 1,126 419 800 120 1,3489826/11/09 360 366 160 180 60 163 190726 150 800 93 726206 170 1050 994 1,6253,670 3,192 3,923 1,126 421 783 130 1,2739576/18/09 460 400 200 210 55 190 230831 180 888 107 831230 255 1050 972 1,6424,357 3,545 3,923 1,129 541 939 140 1,32310406/25/09 460 456 220 240 55 190 230862 200 919 102 862229 244 1160 958 1,6044,592 3,505 3,923 1,127 512 906 140 1,3671030

7/1/09 410 420 200 220 80 190 220893 190 904 94 893193 203 1160 958 1,6044,592 3,505 3,923 1,127 477 852 130 1,3399117/9/09 400 440 220 220 109 200 230892 210 888 102 892203 208 1220 957 1,6304,589 3,593 3,923 1,125 521 911 140 1,363996

7/16/09 370 429 190 200 105 180 190797 192 825 96 797193 177 1270 1,127 1,7174,589 3,593 3,923 1,207 496 875 130 1,3409027/23/09 330 404 150 170 75 170 180767 170 736 76 767172 152 1230 1,127 1,7174,084 3,424 3,923 1,207 448 789 120 1,2727607/30/09 280 368 140 150 65 170 170767 170 707 68 767146 136 1230 1,127 1,8244,324 5,423 3,923 1,256 420 739 110 1,198715

8/6/09 260 292 140 150 55 150 160686 150 655 65 686136 141 1190 1,135 1,8054,059 5,252 3,923 1,356 408 706 110 1,1486458/13/09 270 287 160 180 70 140 150686 150 654 71 686176 166 872 1,175 2,0814,109 4,944 3,923 1,561 463 767 115 1,0826388/20/09 280 282 170 200 70 150 150775 170 710 86 775171 166 836 1,205 1,9644,536 5,347 3,923 1,737 479 812 120 1,1317308/27/09 270 266 160 190 50 140 140744 150 629 82 744166 166 836 1,205 1,9644,536 5,347 3,923 1,737 467 797 110 1,085708

9/3/09 270 246 160 180 45 140 140744 155 629 87 744175 166 797 1,141 1,8814,594 5,856 4,955 1,627 505 854 120 1,0617349/10/09 250 231 150 170 45 130 130698 150 601 81 698170 166 797 1,141 1,8814,594 5,856 4,955 1,627 416 741 110 1,0016629/17/09 180 160 110 120 45 120 120629 130 549 71 629135 166 728 838 1,2064,054 5,586 4,955 1,174 364 648 100 9105569/24/09 180 135 100 120 56 120 120601 120 505 70 601140 166 632 854 1,2053,580 4,820 4,055 1,214 370 641 96 830537

Source: JPMS.

21

U.S. Public and PrivateNew IssueBy Month

Table 14Issuance by Collateral by Month

Total Auto Cards HEL MH Equip Student Other*

Floating Rate by Collateral by Month

Total Auto Cards HEL MH Equip Student Other*

Thru 9/25/09 ($ Millions)

Global RMBS

Global RMBS

Chris Flanagan ABS ResearchGlobal ABS/CDO Weekly Market [email protected] 25, 2009

2008Oct 424 0 48 0 00 0376 89% 0%100%0Nov 500 0 0 0 00 0500 53% 53%0Dec 7,370 0 0 0 480 01,897 82% 0%34% 100%5,4252009Jan 4,800 3,500 0 0 00 01,300 0% 0%0%0Feb 1,620 0 0 0 00 5471,073 34% 100%0%0Mar 10,564 3,425 0 0 0526 1,4985,115 56% 88% 0% 100%28%0Apr 8,752 985 0 0 1,0270 4,0242,716 63% 43% 100%100%0%0May 14,778 7,000 0 0 2251,001 2,5933,959 58% 86% 0%0% 100%0%0Jun 22,226 12,645 0 0 1,1001,628 06,852 56% 82% 100%0%15%0Jul 14,563 3,040 0 0 00 1,10810,415 28% 100% 100%0%0Aug 8,143 3,025 0 0 1,3680 3,076674 69% 17% 96%100%100%0Sep 20,713 10,185 0 0 175579 09,774 42% 77% 0%0%9%0

106142542

892

272 330 403 502702

874

0200400

600800

1000

2000 2002 2004 2006 2008

US$ (Billions)

Home Eq0%Equip

2%

Global RMBS

4%

Other2% Cards

46%

Auto26%

Student Loans20%

Chart 40Issuance by Year

Chart 412008 Total Issuance by Collateral Type

* Other includes deals backed by Dealer Floorplan, Stranded Asset, RV, Boat, Consumer, EETC, and Small Business Loans.Sources: JPMS, MCM CorporateWatch, Bloomberg.

Student Loans12%

Equip4%

Other4%

Cards41%

Au39

Chart 422009 YTD Issuance by Collateral Type

(Thru 09/25)

2008 129,786

141,6802008

2009 106,157

33,687 61,380 303 0 2,931 28,120 3,36526% 47% 0% 0% 2% 22% 3%

39% 41% 0% 0% 4% 12% 4%

36,460 64,980 351 0 2,931 28,120 3,41326% 46% 0% 0% 2% 20% 2%

YTD Summary

Full Year Summary

41,878 43,805 0 0 3,734 12,846 3,895

87,532

94,247

51,553

9,348

4,002

48,621

31,270

81

0

0

0

389

0

28,095

12,846

0

028%

10% 71% 0% 0% 0% 100% 0%

10,638 48,621 81 0 389 28,095 5,42529% 75% 23% #Num! 13% 100% 100%

67% 79% 27% 0% 13% 100% 0%

49%

67%

% Issuance

% Issuance

% Issuance

FL %

FL %

FL %

00%

00%

5,4254%

999

3,43588%

99929%

30%

22

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

8/26/09 - 9/25/09U.S. New Issue Spreads by WALTable 15

Date Issuer SeriesSpread to Weighted Average Life Subordinate Spreads

U.S.New IssueSpreads


Auto Fleet3.52

1ML+1751ML+175A

9/2/09 Chesapeake Funding 2009-2

Auto Leases

L-6A-1

EDSF+60A-2

EDSF+95A-3

9/1/09 Nissan Auto Lease Trust 2009-B

Auto Prime

L-5A-1

EDSF+60A-2

Swap+90A-3

Swap+105A-4

9/2/09 Ally Auto Trust 2009-A

L-5A-1

EDSF+55A-2

EDSF+85A-3

Swap+110A-4

9/2/09 Bank of America Auto Trust 2009-2

L-5A-1

EDSF+60A-2

EDSF+90A-3

Swap+105A-4

9/2/09 Ford Credit Auto Owner Trust 2009-D

L-7A-1

EDSF+50A-2

EDSF+75A-3

Swap+110A-4

9/2/09 Hyundai Auto Receivables Trust 2009-A

CrCds - Bank

1ML+40A-8

9/25/09 Chase Issuance Trust 2009-A8

1ML+45A-7

9/16/09 Chase Issuance Trust 2009-A7

1ML+125A

9/1/09 American Express Credit Account Master Tr 2009-2

1ML+130A-2

9/1/09 Discover Card Master Trust 2009-A2

CrCds - Retail

EDSF+130A

9/14/09 GE Capital Credit Card Master Note Trust 2009-3

Swap+275A-13

9/2/09 Citibank Omni Master Trust 2009-A13

Sources: JPMS, MCM CorporateWatch, Bloomberg.23

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

8/26/09 - 9/25/09U.S. New Issue Spreads by WALTable 15


U.S.New IssueSpreads


Swap+155A-12


1ML+275A-14


1ML+155A-11


Equip - Sm Ticket

L-2A-1

EDSF+85A-2

EDSF+115A-3

Swap+120A-4

9/2/09 GE Equipment Midticket LLC 2009-1


DBRS

Rating Enhancement

U.S. ABS New Issue Detail by DateTable 16

Date Issuer Series ClassAmount

($ MM) CollWAL

Coupon Price Yield Sprd BenchmarkLead: CoManager Moody Fitch Type Amt

8/26/09 - 9/25/09

S&P(Yrs)

U.S.New IssueDetail

September 25, 2009


A-8 Aaa AAAJPM: BCG,DB S/S 14.00%$410.00 0.969/25/09 100.0000 40 1 Mo. LIBORChase Issuance Trust 2009-A8 CrCds - Bank

$410.00

A AaaBCG/DB: BOA,J$450.00 3.189/24/09 99.9936 5.75%5.68%AESOP Funding II LLC 2009-2 Auto Fleet

$450.00

A A ACS/RBS$175.00 1.869/17/09 99.9872 7.75%7.62%Sierra Receivables Funding Comp 2009-3 Time Share

$175.00

A-7 Aaa AAAJPM S/S 14.00%$2,775.00 0.989/16/09 100.0000 45 1 Mo. LIBORChase Issuance Trust 2009-A7 CrCds - Bank

$2,775.00

A Aaa AAABAS$750.00 1.989/14/09 130 EDSF2.54%GE Capital Credit Card Master Not 2009-3 CrCds - Retail

$750.00

A-1 A-1+ F-1+CITG/DB/RBS OC,RF 5.25%$265.00 0.319/2/09 100.0000 0.40% -5 Libor - Int0.40%Ally Auto Trust 2009-A Auto PrimeA-2 AAA AAA OC,RF 5.25%$320.00 1.17 1.33% 60 EDSF1.32%A-3 AAA AAA OC,RF 5.25%$260.00 2.31 2.35% 90 Swap - Int2.33%A-4 AAA AAA OC,RF 5.25%$95.94 3.24 3.20% 105 Swap - Int3.24%

$940.94

A-1 P-1 A-1+ F-1+BOA: BCG,CITG, OC,RF 11.50%$802.07 0.319/2/09 100.0000 0.40% -5 Libor - Int0.40%Bank of America Auto Trust 2009-2 Auto PrimeA-2 Aaa AAA AAA OC,RF 11.50%$655.00 0.99 1.17% 55 EDSF1.16%A-3 Aaa AAA AAA OC,RF 11.50%$1,150.00 1.99 2.14% 85 EDSF2.13%A-4 Aaa AAA AAA OC,RF 11.50%$449.74 3.18 3.05% 110 Swap - Int3.03%

$3,056.81

A Aaa AAAJPM/BOA/C/DB: S/S,OC,RF 13.96%$850.00 2.519/2/09 100.0000 175 1 Mo. LIBORChesapeake Funding 2009-2 Auto FleetB A2 AA S/S,OC,RF 9.90%$31.40 3.52 90.4127 175 1 Mo. LIBORC A2 A OC,RF 6.39%$29.10 3.59 84.0491 175 1 Mo. LIBOR

$910.50

A-11 Aaa AAACITG: BOA,CS,R$400.00 2.939/2/09 100.0000 155 1 Mo. LIBORCitibank Omni Master Trust 2009-A11 CrCds - Retail

$400.00

A-12 Aaa AAACITG: BOA,CS,R$450.00 2.939/2/09 99.8360 3.41% 155 Swap - Int3.35%Citibank Omni Master Trust 2009-A12 CrCds - Retail

$450.00

Note: Names of deals priced during the most recent week are in bold.Sources: JPMS, MCM CorporateWatch, Bloomberg.

25

DBRS

Rating Enhancement

U.S. ABS New Issue Detail by DateTable 16

Date Issuer Series ClassAmount

($ MM) CollWAL

Coupon Price Yield Sprd BenchmarkLead: CoManager Moody Fitch Type Amt

8/26/09 - 9/25/09

S&P(Yrs)

U.S.New IssueDetail

September 25, 2009


A-13 Aaa AAACITG: BOA,CS,R$700.00 4.939/2/09 99.7390 5.41% 275 Swap - Int5.35%Citibank Omni Master Trust 2009-A13 CrCds - Retail

$700.00

A-14 Aaa AAACITG: BOA,CS,R$2,150.00 4.939/2/09 100.0000 275 1 Mo. LIBORCitibank Omni Master Trust 2009-A14 CrCds - Retail

$2,150.00

A-1 P-1 A-1+JPM/BOA/BNP: S/S,OC,RF 6.15%$640.00 0.309/2/09 100.0000 0.36% -5 Libor - Int0.36%Ford Credit Auto Owner Trust 2009-D Auto Prime R-1 HA-2 Aaa AAA S/S,OC,RF 6.15%$409.00 0.99 99.9952 1.22% 60 EDSF1.21% AAAA-3 Aaa AAA S/S,OC,RF 6.15%$805.00 1.99 99.9881 2.19% 90 EDSF2.17% AAAA-4 Aaa AAA S/S,OC,RF 6.15%$219.80 3.20 99.9836 3.00% 105 Swap - Int2.98% AAA

$2,073.80

A-1 P-1 F-1+BOA/BCG: DB,R S/S,RF 7.65%$169.00 0.359/2/09 100.0000 0.50% -2 Libor - Int0.50%GE Equipment Midticket LLC 2009-1 Equip - Sm TicketA-2 Aaa AAA S/S,RF 7.65%$83.00 0.92 1.43% 85 EDSF1.42%A-3 Aaa AAA S/S,RF 7.65%$255.00 1.89 2.36% 115 EDSF2.34%A-4 Aaa AAA S/S,RF 7.65%$71.82 3.24 3.16% 120 Swap - Int3.13%

$578.82

A-1 A-1+ F-1+BOA/BCG/RBS: RF,OC 19.50%$379.00 0.309/2/09 100.0000 3.57% -7 Libor - Int0.36%Hyundai Auto Receivables Trust 2009-A Auto PrimeA-2 AAA AAA RF,OC 19.50%$291.00 0.99 99.9937 1.19% 50 EDSF1.11%A-3 AAA AAA RF,OC 19.50%$388.00 1.99 99.9978 2.04% 75 EDSF2.03%A-4 AAA AAA RF,OC 19.50%$259.60 3.45 99.9830 3.18% 110 Swap - Int3.15%

$1,317.60

A Aaa AAABCG/JPM/RBS: S/S 17.50%$1,250.00 4.939/1/09 100.0000 125 1 Mo. LIBORAmerican Express Credit Account 2009-2 CrCds - Bank

$1,250.00

A-2 Aaa AAARBS/CITG: BOA,$1,300.00 2.939/1/09 100.0000 130 1 Mo. LIBORDiscover Card Master Trust 2009-A2 CrCds - Bank

$1,300.00

A-1 P-1 A-1+ F-1+JPM/C/DB: BNP, S/S,RF 23.35%$213.00 0.329/1/09 100.0000 0.41% -6 Libor - Int0.41%Nissan Auto Lease Trust 2009-B Auto LeasesA-2 Aaa AAA AAA S/S,RF 23.35%$308.00 0.99 99.9903 1.23% 60 EDSF1.22%A-3 Aaa AAA AAA S/S,RF 23.35%$423.00 1.74 99.9829 2.09% 95 EDSF2.07%A-4 Aaa AAA AAA S/S,RF 23.35%$80.85 2.14 99.9993 2.67% 130 Swap - Int2.65%

$1,024.85

Note: Names of deals priced during the most recent week are in bold.Sources: JPMS, MCM CorporateWatch, Bloomberg.

26

Europe ABS Spreads to Sterling LIBOR, EURIBOR or Dollar LIBORTable 17European

Spreads

September 25, 2009


6-7 Italian

7

AAA AAA AA BBB5-7

AAA

Date

Cards (£)

5 5

FixedFloat

Autos

AAA 4-5

Euro

RMBS

(EUR)(£)

5 Dutch

AAA($)

5Bullet

A BBB3

($)AAA

Aussie

4-5

UK

3Bullet

5-6 Spanish

8-10 Spanish

8-10 Spanish

500 625 6254/23/09 550335 900 1,950 340 1,500 2,100 350380 725500 625 6254/30/09 550335 900 1,950 340 1,500 2,100 350380 725500 625 6255/7/09 550335 900 1,950 325 1,500 2,100 350380 725500 625 6255/14/09 550285 900 1,950 320 1,500 2,100 300350 700500 625 6005/21/09 550280 900 1,950 320 1,500 2,100 295340 675500 625 6005/28/09 550280 900 1,950 320 1,500 2,100 295340 675500 625 6256/4/09 550280 900 1,950 320 1,500 2,100 295340 675500 600 6006/11/09 550255 875 1,900 300 1,500 2,100 270320 650500 550 5506/18/09 550250 875 1,900 280 1,500 2,100 265300 625500 525 5256/25/09 550245 875 1,800 265 1,500 2,100 260275 600500 525 5257/1/09 550240 850 1,700 255 1,500 2,100 255265 575500 500 5007/9/09 550230 850 1,700 235 1,500 2,100 245255 550500 475 4757/16/09 550220 825 1,650 220 1,500 2,100 235250 525500 475 4757/23/09 550210 825 1,650 210 1,500 2,100 225240 500500 475 4757/30/09 550195 800 1,600 195 1,500 2,100 210230 475500 465 4658/6/09 550185 800 1,600 190 1,500 2,100 200210 465500 465 4658/13/09 325160 800 1,600 175 1,500 2,100 175200 450500 465 4658/20/09 325165 800 1,600 175 1,500 2,100 180200 425500 465 4658/27/09 325165 750 1,500 175 1,500 2,100 180200 425500 465 4659/3/09 325165 650 1,400 175 1,500 2,100 180200 400500 450 4509/10/09 325165 600 1,300 175 1,500 2,100 180200 375500 425 4259/17/09 325160 550 1,200 165 1,500 2,100 175190 365500 375 3759/24/09 325145 500 1,100 150 1,475 2,100 160185 350

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

27

EuropeanNew IssueBy Month

Table 18Issuance by Collateral by Month

Total Auto Cards RMBS CMBS CDO Other*

Thru 9/25/09 ($ Millions)

Consumer Sov/AgWhole

Business

September 25, 2009


Student Loan

2008Oct 122,066 6,559 95,477 686 2,81510,3680 6,160 0 0 0Nov 183,550 0 115,270 115 8,34051,9587,867 0 0 0 0Dec 270,759 8,310 226,532 664 020,335282 14,635 0 0 02009Jan 57,668 0 25,618 12,833 2,42716,382409 0 0 0 0Feb 64,222 0 12,769 7,826 1,59231,8602,543 1,144 6,487 0 0Mar 51,274 870 27,380 285 36618,6810 3,693 0 0 0Apr 42,345 0 24,467 0 2,9212,6617,856 4,439 0 0 0May 56,442 0 40,569 1,665 62410,7012,882 0 0 0 0Jun 20,319 0 8,026 2,271 09,722300 0 0 0 0Jul 69,310 0 51,369 1,286 3,01711,612541 0 1,485 0 0Aug 42,109 797 23,906 6,884 1,7427,792988 0 0 0 0Sep 49,689 852 29,855 1,167 1,35610,4853,486 2,488 0 0 0

453

1175784

554377

30023713712376

0

500

1000

1500

2000 2002 2004 2006 2008

US$ Billions Cards1%

Auto4%

RMBS53%

Sov/Ag2%

Leases

CMBS8%

Consumer3%Other

1%

CDO26%

Sources: JPMS, MCM CorporateWatch, Bloomberg.Chart 43Issuance by Year


Chart 45

2009 YTD Issuance by Asset Origin

* Other includes deals backed by Non-performing Loans, Future Flow, and Trade Receivables.Sources: JPMS, MCM CorporateWatch, Bloomberg.

Germany8%

France2%

Spain18%

Netherlads

10%Other26%

UK20%

Italy16%

(Thru Sep/25)

2008 589,656

1,174,7632008

2009 453,377

15,483 2,050 453,265 6,312 81,662 6963% 0% 77% 1% 14% 0%

4% 1% 54% 8% 26% 0%

24,001 16,920 890,591 12,026 167,015 6962% 1% 76% 1% 14% 0%

YTD Summary

Full Year Summary

19,006 2,519 243,959 34,217 119,895 0% Issuance

% Issuance

% Issuance

12,9612%

3%

34,9803%

11,764

00%

2%

00%

7,971

1500%

0%

1500%

0

17,0783%

3%

28,3852%

14,047

28

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

6/27/09 - 9/25/09Table 19

Date Issuer SeriesSpread to Weighted Average Life

European New Issue Spreads by WALEuropeanNew IssueSpreads Asset

Domicile

September 25, 2009


Auto Leases1.80

1mEL+2501mEL+110

A9/24/09 Volkswagen Car Lease 11 Germany

Swaps+180

A9/17/09 ECLAT 2009-2 Germany

Auto Prime

1mEL+235

A9/25/09 Globaldrive Auto Receivables 2009-C Germany

Swaps+215

A9/21/09 E-CARAT 2009-1 Germany

3mEL+150

A8/5/09 Silk Finance Ltd. 3 Portugal

CMBS20.00

Gilt+2209/16/09 Tesco Property Finance 2 UK

A145

7/22/09 Sceptre Funding 1 UK

CrCds - Bank

1mEL+75

A9/15/09 FCT Oneycord 2009-1 France

Equip - Heavy

3MBBSW+100

A-19/9/09 CNH Capital Australia Receivables Trust 2009-1 Australia

Infrastructure10.00

Gilt+2007/14/09 Yorkshire Water Services Bradford Finance 2009-1 UK

Leases3.20

Swaps+175Swaps+125

A8/24/09 KMU Portfolio, Compartment 2009-1 Germany


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

6/27/09 - 9/25/09Table 19



Domicile

September 25, 2009


Non Conforming

3mEL+20

A7/30/09 ResLOC IT 2009-1 Italy

RMBS

3M£L+170

A-29/23/09 Permanent Master Issuer 2009-1 UK

1MBBSW+150

A9/18/09 SMHL Programme 2009-2

6mEL+38

A9/17/09 Claris Finance Srl 2009-2 Italy

1MBBSW+175

A-19/8/09 Maxis Loans Securitisation Fund 2009-1 Australia

4.224.223M£L+16

4.223M£L+25 3M£L+473M£L+11

A9/1/09 Gracechurch Mortgage Financing 2009-1 UK

16.7316.656mEL+60 6mEL+1256mEL+30

A8/31/09 AyT Colaterales Global Hipotecario Manlleu I Spain

1MBBSW+80

A-S1MBBSW+135

A-18/28/09 GBS Receivables Trust 4 Australia

3mEL+65

A8/27/09 Goldfish 2009-3 Netherlands

1MBBSW+60

A-11MBBSW+90

A-21MBBSW+130

A-38/20/09 Apollo Trust 2009-1 Australia

7.373mEL+693mEL+21

A8/7/09 Siena Mortgages SpA 2009-6-2 Italy

6mEL+80

A7/30/09 BPL Mortgages Srl 2009-2 Italy

6mEL+70

A7/30/09 Popolare Bari Mortgages 2009-1 Italy

13.983mEL+75

13.983mEL+1003mEL+35

C-1A7/27/09 AyT ICO-FTVPO III Spain


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

6/27/09 - 9/25/09Table 19



Domicile

September 25, 2009


6mEL+70

A7/20/09 Adriano Finance Srl 2009-1 Italy

3mEL+35

A7/15/09 TDA Ibercaja ICO FTVPO 2009-1 Spain

1MBBSW+110

A-11MBBSW+140

A-21MBBSW+190

A-37/9/09 WB Trust 2009-1 Australia

6mEL+20

A6/30/09 Berica Residential MBS SrL 8 Italy

12.693mEL+75

12.833mEL+1003mEL+35

A6/29/09 AyT ICO-FTVPO Caja Murcia I Spain

Sov/Ag

6ML+100

A7/30/09 ExFin Capital 2009-1 France


Rating

European ABS New Issue Detail by DateTable 20

Date Issuer Series Class

Amount

Type Price Coupon Spread BenchmarkLead/CoManager Moody FitchIssue

8/26/09 - 9/25/09

S&PDomicile

Collateral

USD WAL(Yrs)

EuropeanNew IssueDetail

September 25, 2009


Currency

A Aaa AAADB$687.57 2.209/25/09 235 1 Mo. EuriborGlobaldrive Auto Receivables 2009-C Auto Prime Germany€467B A1 A$29.87 3.81 5.00%€20C $29.16 10.00%€20

$746.60A AaaLBBW/UBS/WLB$551.829/25/09 3.13%Free Mobility Ltd 5 Auto Prime Germany€376B A1$40.51 6.20%€28C $31.19 6.70%€21

$623.52A AAAFOR$235.399/25/09 55 3 Mo. EuriborGoldfish 2009-4 RMBS Netherlands€160

$235.39A AaaSANG$1,634.84 1.039/24/09 50 3 Mo. EuriborFTA Santander Financiacion 4 Consumer Spain€1,114B Aa2$110.09 2.62 70 3 Mo. Euribor€75C A2$110.09 2.96 100 3 Mo. Euribor€75D Baa2$88.07 3.38 200 3 Mo. Euribor€60E B3$258.63 3.97 300 3 Mo. Euribor€176F C$286.22 4.05 65 3 Mo. Euribor€195

$2,487.94A AAA AAAJPM/WLB$733.90 1.389/24/09 110 1 Mo. EuriborVolkswagen Car Lease 11 Auto Leases Germany€500B A+ A+$28.03 1.80 250 1 Mo. Euribor€19

$761.93A AaaJPM/CXC$773.43 2.209/23/09 30 3 Mo. EuriborHipocat 19 RMBS Spain€525B $331.47 40 3 Mo. Euribor€225

$1,104.90A-1 Aaa AAA AAABCG/JPM/LLT$2,642.15 5.009/23/09 3 Mo. GBP LIBORPermanent Master Issuer 2009-1 RMBS UK£1,650A-2 Aaa AAA AAA$2,642.15 5.00 99.5510 170 3 Mo. GBP LIBOR£1,650A-3 Aaa AAA AAA$1,100.85 5.00 100.0000 170 3 Mo. Euribor€750

$6,385.15

Note: Deal names of deals priced during the most recent week are bolded.Sources: JPMS, MCM CorporateWatch, Bloomberg.

32

Rating



Amount


8/26/09 - 9/25/09

S&PDomicile

Collateral

USD WAL(Yrs)


September 25, 2009


Currency

A AAADB/RBOS$534.33 1.259/21/09 3.50% 215 Mid SwapsE-CARAT 2009-1 Auto Prime Germany€363B $44.79 1 Mo. Euribor€30C $14.73 1 Mo. Euribor€10

$593.85A AaaUBS$533.40 3.669/18/09 20 3 Mo. EuriborMisthosis Funding 2009-1 Leases Greece€364B $402.22 100 3 Mo. Euribor€274C $74.90 125 3 Mo. Euribor€51

$1,010.52A AAA AAACOM/DB/MBL$1,044.48 2.899/18/09 150 1 Mo. BBSWSMHL Programme 2009-2 RMBSAUD1,200

AB AAA AAA$24.07 7.38 1 Mo. BBSWAUD28B AA-$24.07 7.38 1 Mo. BBSWAUD28

$1,092.62A AAAHSBC$428.60 0.799/17/09 100.0000 3.00% 180 Mid SwapsECLAT 2009-2 Auto Leases Germany€292B $166.66 100.0000 6.00% 480 Mid Swaps€114C $165.20 100.0000 7.00% 580 Mid Swaps€113

$760.46A AAADB$951.57 4.839/17/09 38 6 Mo. EuriborClaris Finance Srl 2009-2 RMBS Italy€648

B-1 $58.87 150 6 Mo. Euribor€40B-2 $61.56 150 6 Mo. Euribor€42B-3 $14.31 150 6 Mo. Euribor€10

$1,086.31A A3 A- A-GS$921.21 20.009/16/09 6.05% 220 GiltTesco Property Finance 2 CMBS UK£565

$921.21A AAANATI$548.63 3.509/15/09 75 1 Mo. EuriborFCT Oneycord 2009-1 CrCds - Bank France€374B $247.64 320 1 Mo. Euribor€169

PS $55.74 €38

$852.01


33

Rating



Amount


8/26/09 - 9/25/09

S&PDomicile

Collateral

USD WAL(Yrs)


September 25, 2009


Currency

A-1 AAAANZ$109.29 0.609/9/09 100 3 Mo. BBSWCNH Capital Australia Receivables 2009-1 Equip - Heavy AustraliaAUD126A-2 AAA$172.92 1.80 3 Mo. BBSWAUD200B AA$22.83 2.80 3 Mo. BBSWAUD26

$305.04A-1 AAA AAAWSP$220.73 2.209/8/09 175 1 Mo. BBSWMaxis Loans Securitisation Fund 2009-1 RMBS AustraliaAUD255A-2 AAA$13.36 6.40 1 Mo. BBSWAUD15B AA-$4.53 6.40AUD5

$238.62Senior Aa2 AA-$245.309/4/09 5.71% 155 GiltSovereign Housing Capital 2009-1 CMBS UK£150

$245.30A Aaa AAA AAABCG16,819.06 4.229/1/09 11 3 Mo. GBP LIBORGracechurch Mortgage Financing 2009-1 RMBS UK£10,285B Aa3 AA AA$1,277.50 4.22 16 3 Mo. GBP LIBOR£781C A2 A A$718.22 4.22 25 3 Mo. GBP LIBOR£439D Baa2 BBB BBB$896.88 4.22 47 3 Mo. GBP LIBOR£548

$19,711.66A AAACECA$159.45 5.818/31/09 30 6 Mo. EuriborAyT Colaterales Global Hipotecario Manlleu I RMBS Spain€111B A$9.03 16.65 60 6 Mo. Euribor€6C BBB$7.17 16.73 125 6 Mo. Euribor€5D BB$3.58 16.73 250 6 Mo. Euribor€3

$179.23A-S AAA AAAWSP$50.45 0.508/28/09 100.0000 80 1 Mo. BBSWGBS Receivables Trust 4 RMBS AustraliaAUD60A-1 AAA AAA$159.75 4.30 100.0000 135 1 Mo. BBSWAUD190A-2 AAA AAA$5.89 7.90 100.0000AUD7B AA-$4.04 7.90 100.0000AUD5

$220.13A AAAFOR$571.20 3.508/27/09 65 3 Mo. EuriborGoldfish 2009-3 RMBS Netherlands€400

$571.20


34

Rating



Amount


8/26/09 - 9/25/09

S&PDomicile

Collateral

USD WAL(Yrs)


September 25, 2009


Currency

A AAA AAANAB$189.38 3.008/27/09 410 3 Mo. BBSWMacquarie Countrywide Finance P 2009-1 CMBS AustraliaAUD225B AA AAA$33.67 3.00 3 Mo. BBSWAUD40

$223.05A AAAWLB$321.19 1.898/24/09 100.0000 3.08% 125 Mid SwapsKMU Portfolio, Compartment 2009-1 Leases Germany€224B AA-$35.13 3.20 100.0000 4.13% 175 Mid Swaps€25C $45.17 3.88 100.0000 5.28% 280 Mid Swaps€32

$401.49


35

AsianNew IssueBy Month

Table 22Issuance by Collateral by Month Thru 9/25/09 ($ Millions)

Total Auto Cards RMBS CMBS Equip CDO Other*Consumer

September 25, 2009

ABS ResearchGlobal ABS/CDO Weekly Market Snapshot

Chris [email protected]

2008Oct 1,797 0 91 68 1290 1,5100 0Nov 1,361 105 836 0 00 4200 0Dec 9,697 99 4,482 260 5460 3,935375 0

2009Jan 474 422 53 0 00 00 0Feb 3,058 557 1,319 1,182 00 00 0Mar 4,187 145 2,248 118 5200 587568 0Apr 3,319 0 2,094 1,225 00 00 0May 3,416 0 3,406 0 00 100 0Jun 1,805 647 570 0 1780 0206 204Jul 2,718 0 2,477 0 320 00 210Aug 3,590 0 2,320 0 1,0800 0190 0Sep 4,598 86 4,346 0 00 0167 0

27599610499

6767655246

0

50

100

150

2000 2002 2004 2006 2008

US$ (Billions)

CMBS9%

Cards7%

Other7%

Auto4%

Consumer2%

CDO2%

Global RMBS69%

Sources: JPMS, MCM CorporateWatch, Bloomberg.

Chart 46Issuance by Year


Chart 482009 YTD Issuance by Asset Origin

* Other includes deals backed by Non Performing Loan, Franchise, Future Flow, Shop Credit, Trade Receivables, and Small Business Loans.Sources: JPMS, MCM CorporateWatch, Bloomberg.

Singapore1%

Japan82%

South Korea17%

(Thru 09/25)

2008 44,450

58,5762008

2009 27,165

1,662 1,993 17,785 5,552 0 10,3264% 4% 40% 12% 0% 23%

4% 7% 69% 9% 0% 2%

2,095 2,482 23,773 6,030 0 16,1904% 4% 41% 10% 0% 28%

YTD Summary

Full Year Summary

1,131 1,856 18,833 2,525 0 597% Issuance

% Issuance

% Issuance

4,42310%

2%

4,5188%

414

2,3265%

7%

3,1035%

1,810

36

Rating

Asian ABS New Issue Detail by DateTable 24


Amount

Type Price Coupon Spread BenchmarkLead: CoManager Moody FitchIssue Currency

8/26/09 - 9/25/09

S&PDomicile

Collateral

USD WAL(Yrs)

AsianNew IssueDetail

September 25, 2009


A-1 Aaa$55.509/24/09 MFD Auto Loan 0909 Auto Prime Japan¥5,000B $44.40 ¥4,000

PS $66.60 ¥6,000

$166.50

Notes AAA$85.609/18/09 Ocean 2009-1 CrCds - Retail Japan¥8,000

$85.60

Notes AAADAIW/ML/MUFJ$1,796.549/9/09 Japan Housing Finance Agency S-16 Other - Mtge Japan¥169,485

$1,796.54

Notes AAA$639.369/2/09 1.98%Japan Housing Finance Agency 28 Other - Mtge Japan¥592,000

$639.36

Notes $1,460.049/1/09 KHFC 2009-7 Other - Mtge South KoreaKRW1,809,000

$1,460.04

1-1 $42.619/1/09 KHFC 2009-8 Other - Mtge South KoreaKRW52,8001-2 $64.57 KRW80,0001-3 $56.50 KRW70,0001-4 $104.92 KRW130,0001-5 $80.71 KRW100,0001-6 $56.50 KRW70,0001-7 $32.28 KRW40,0001-8 $8.07 KRW10,000

$446.16

Notes HDBS$3.609/1/09 Mutual Streams 2009-4 Other - Mtge MalaysiaMYR13

$3.60

Notes HDBS$0.589/1/09 Vast Winners SDN BHD 2009-4 Other - Mtge MalaysiaMYR2

$0.58


37

6-8

Sr AAA

6-8

Jr AAA

CDO Spreads to LIBORTable 1

Date

US HY CLO*

CDOSpreads

September 25, 2009

Chris Flanagan ABS [email protected]

Mezz SF CDOEuro HY CLO*

8-106-8 9-11

AAA A BBBAA

7-10 7-106-8 8-11

AAA A BBBAA

6-88-106-8 9-11

AAA A BBBAA

7-10

BB

10-12WAL

Rating HG SF CDO

7-10 8-11

A BBBAA

6-8

Global CDO Weekly Market Snapshot

BB

10-124/23/09 8600 25 10 28418600 25 105 164254/30/09 8600 25 10 28418600 25 105 15755

5/7/09 8800 25 10 28418800 25 105 152455/14/09 8800 25 10 27348800 25 105 153655/21/09 8750 35 15 26978750 35 155 147055/28/09 8750 35 15 26828750 35 155 15035

6/4/09 8700 45 20 27138750 35 155 152956/11/09 12650 55 30 269210700 40 155 158656/18/09 12600 55 30 272910650 40 155 164956/25/09 12600 55 30 272910650 40 155 16255

7/1/09 12600 55 30 268210650 40 155 156057/9/09 12600 55 30 269210650 40 155 15415

7/16/09 12600 55 30 272910650 40 155 146657/23/09 12600 55 30 272910650 40 155 140357/30/09 20575 55 35 272910600 42 2010 140358/6/09 20575 60 35 275110600 45 2010 13805

8/13/09 30500 65 45 275112.5575 50 2520 14837.58/20/09 30450 60 40 275115575 50 2520 14837.58/27/09 30450 60 40 274515575 50 2520 14747.5

9/3/09 30450 60 40 275115575 50 2520 14877.59/10/09 30450 60 40 273417.5575 50 27.520 1485109/17/09 35400 68 48 272922525 57 3825 1350159/24/09 35400 70 50 272922500 57 4025 139715

20406080

100120140160180200

Jul-00

Jul-01

Jul-02

Jun-03

Jun-04

Jun-05

Jun-06

Jun-07

Jun-08

May-09

May-10

AAA AASource: JPMS.

Chart 2: New Issue CDO Spreads to Libor

50

200

350

500

Jul-00

Jul-01

Jul-02

Jun-03

Jun-04

Jun-05

Jun-06

Jun-07

Jun-08

May-09

May-10

A BBB

Chart 1: New Issue CDO Spreads to Libor

Notes: 1. CDO indicative spreads are meant to represent primary pricing levels. In times of limited issuance, secondary trading levels play a greater role in spread determination. However, a material basis may exist between primaryand secondary transactions due to structure and collateral differences, block size, investor motivations, and bid-offer costs. AAA spreads are the weighted average of all AAA tranches. Since August 15, 2008, our reported CLO spread series represents indicative secondary mid-levels explicitly, given the continued disruption in the CLO primary market and lack of ongoing new-issue prints. Please refer to the section 'CDO New Issue Spreads' later in this publication for historical primary transaction information. 2. HG SF spreads benchmarked to ABX 2007-1 and TABX, Mezz SF spreads benchmarked to TABX, and CRE CDO spreads benchmarked to CMBX.2 BB from 10/01/07 onwards. 3. Managed Synthetics

*CLO spreads (AA through BB) are changed to dollar prices since 11/20.

38

Spread Yield

7 7 7 10 105 5 10 10 10 10

JPM EM Index

Table 2CDO Collateral Spreads to Swaps/Libor (bp)CDO

CollateralSpreads US

September 25, 2009


Date

High Yield BondsJPM HY

Index BB B

Corp Industrials

A BBB

Leveraged Loans

BB/BB- B+/B

EuroLeveraged Loans

USCMBS*

A BBB BB

Emerging MktsMBS

BBB

7 5

Home Equity

BBBAAAAA A

553

5151,319 1,753 6.5 5638634/23/09 801 1,158 2892,012 104751,233 1,740 6.5 5308584/30/09 758 1,097 2701,979 114451,151 1,740 6.5 4678065/7/09 698 1,031 2551,844 114551,177 1,706 9 4997445/14/09 735 1,053 2641,612 154421,132 1,680 9 4677525/21/09 711 1,015 2491,583 173911,083 1,648 8 4217465/28/09 667 971 2111,552 15364996 1,628 7 3997096/4/09 620 890 1851,502 14319944 1,594 7 3796196/11/09 588 832 1601,386 14327978 1,548 7 4115746/18/09 618 851 1701,283 143311,007 1,526 7 4385816/25/09 649 879 1761,302 14329994 1,512 7 4075787/1/09 645 868 1781,316 143301,016 1,492 7 4285667/9/09 665 888 1801,276 14312983 1,492 7 4005587/16/09 636 858 1671,274 14280924 1,473 7 3685387/23/09 586 790 1421,253 17258869 1,457 7 3675157/30/09 553 752 1321,159 17240823 1,438 10 3274778/6/09 520 715 1191,052 20245845 1,399 10 3574558/13/09 547 739 128998 19245877 1,361 10 3684548/20/09 581 776 126989 19247853 1,341 10 3614688/27/09 566 758 1291,012 19255865 1,329 10 3704609/3/09 583 776 136994 19251848 1,296 10 3554599/10/09 571 769 1361,000 19237781 1,271 10 3114539/17/09 530 716 125969 23237757 1,247 10 3194399/24/09 517 694 127875 23

0

500

1,000

1,500

2,000

2,500

Jan-99 Sep-00 May-02 Jan-04 Sep-05 May-07 Jan-09

€ High Yield $ High Yield

0

200

400

600

800

Jan-01

Jan-02

Jan-03

Jan-04

Jan-05

Jan-06

Jan-07

Jan-08

Jan-09

Industrial BBB 10 Yr

Source: JPMS, SP/PMD

Chart 3US$ & Euro High Yield Spreads to Swaps

Chart 4BBB Spreads to Swaps

Source: JPMorgan, S&P. Note: 1. Leveraged Loan spreads are discount margin spreads based on coupon and bid price of S&P LSTA and ELLI secondary indices. 2. CMBS AA-BBB prices since 4/23/09

39

Global CDONew IssueBy Month

Table 27

Total ArbitrageBalance

Sheet

High Yield Bonds

Funded Issuance by Purpose Funded Issuance by Collateral

Asia Europe U.S.

Funded Issuance by MarketInvestment

GradeDebt

High Yield Loans Other*

EMDebt

September 25, 2009


Mezz SF HG SF CMBS CDO²

2008Oct 7,233 5,614 046412,847 1,510 10,368 9694,1738,211 000 0 0Nov 46,523 26,706 1,17039,89373,230 420 51,958 20,8522,19428,981 99200 0 0Dec 1,536 23,485 1,79257725,021 3,935 20,335 75071121,867 0075 0 02009Jan 8,032 8,612 0016,643 0 16,382 2623,9369,531 000 1,022 2,155Feb 2,761 29,920 04,40232,681 0 31,860 8211,36724,843 000 0 2,070Mar 715 38,433 0039,148 587 18,681 19,879039,148 000 0 0Apr 1,298 2,661 003,959 0 2,661 1,29803,959 000 0 0May 1,333 10,711 0012,044 10 10,701 1,333012,044 000 0 0Jun 0 10,118 3,663010,118 0 9,722 006,455 000 0 0Jul 1,290 10,480 0011,770 0 11,612 15808,361 003,409 0 0Aug 1,181 6,738 007,919 0 7,792 12807,919 000 0 0Sep 0 10,838 0010,838 0 10,485 353010,485 000 0 0

*Other includes deals backed by Private Equity, Hedge Funds, and Trust Preferred Securities.Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.

Chart 53Funded Issuance by Year

Chart 542009 YTD Funded Issuance by Collateral

Chart 552009 YTD Funded Issuance by Market

85157

252

481413

1141739 83 112 125 129133 196

320

564 525

239145

6973 68

482729 96102

0

200

400

600

2001 2003 2005 2007 2009Arbitrage Balance Sheet Total

US$ B illio nsUS

17%Asia0%

Europe83%

MezzSF3%

HY Loans84%

EM Debt0%

HYBond

3%

CDO^23%

Other0%

CMBS1%

HGSF2%

IG Debt4%

YTD Summary

% Issuance125,067 57,802 67,265 3,021 12,819

46% 54% 2% 10%

(Thru 09/25)92,549

74%7,516

6%580%

% Issuance145,120 16,609 128,511 3,663 5,303

11% 89% 3% 4%122,744

85%0

0%0

0%

% Issuance238,856 113,759 125,097 6,648 19,896

48% 52% 3% 8%153,631

64%8,508

4%580%

Full Year Summary

10,3268%

5970%

16,1907%

84,84968%

119,89583%

170,20371%

29,89324%

24,23217%

52,46422%

1,2751%

4,4023%

42,21318%

3,2763%

3,4092%

3,3511%

4,5534%

1,0221%

4,5532%

00%

4,2253%

00%

2008

2009

2008

40

US CDONew IssueBy Month

Table 28


Sheet

Funded Issuance by Purpose

September 25, 2009


High Yield Bonds

Funded Issuance by CollateralInvestment

GradeDebt


EMDebt


2008Oct 114 855969 00 70899 000 0 0Nov 850 20,00220,852 00 020,852 000 0 0Dec 0 750750 6710 079 000 0 0

2009Jan 0 262262 00 0262 000 0 0Feb 418 403821 0821 00 000 0 0Mar 715 19,16419,879 00 019,879 000 0 0Apr 1,298 01,298 00 01,298 000 0 0May 1,333 01,333 00 01,333 000 0 0Jun 0 00 00 00 000 0 0Jul 158 0158 00 0158 000 0 0Aug 0 128128 00 0128 000 0 0Sep 0 353353 00 00 000 0 0


Chart 572008 Funded Issuance by Collateral



56 60119

203

385

30 45 8 12 6 8 6 23 2064 64 71126

310

52 24

304

60 7

211

392

0100200300400500


US$ B illio ns

HG SF0%

Other0%

IG Debt13%

CDO^20%

CMBS0%

HY Loans85%

EM Debt0%

HY Bonds

2%

Mezz SF0%

EM Debt0%

CMBS0%

Mezz SF3%

HG SF0%

CDO^20%

HY Loans97%

Other0%

YTD Summary

% Issuance29,893 28,768 1,125

96% 4%

(Thru 09/25)

% Issuance24,232 3,923 20,309

16% 84%

% Issuance52,464 29,732 22,732

57% 43%

Full Year Summary

140 6,8820% 23%

22,85176%

00%

00%

0 00% 0%

23,05895%

00%

00%

811 6,9522% 13%

44,68085%

00%

00%

200%

8213%

200%

00%

00%

00%

00%

00%

00%

00%

00%

00%

2008

2009

2008

41

Europe CDONew IssueBy Month

Table 29


Sheet

Funded Issuance by Purpose

September 25, 2009


High Yield Bonds

Funded Issuance by CollateralInvestment

GradeDebt


EMDebt


2008Oct 6,804 3,56510,368 0464 3,4856,420 000 0 0Nov 45,254 6,70551,958 1,17039,893 2,1947,710 99200 0 0Dec 1,536 18,79920,335 1,120577 71117,852 0075 0 0

2009Jan 8,032 8,35016,382 00 3,9369,269 000 1,022 2,155Feb 2,343 29,51831,860 03,580 1,36724,843 000 0 2,070Mar 0 18,68118,681 00 018,681 000 0 0Apr 0 2,6612,661 00 02,661 000 0 0May 0 10,70110,701 00 010,701 000 0 0Jun 0 9,7229,722 3,6630 06,059 000 0 0Jul 1,132 10,48011,612 00 08,203 003,409 0 0Aug 1,181 6,6117,792 00 07,792 000 0 0Sep 0 10,48510,485 00 010,485 000 0 0


Chart 602008 Funded Issuance by Collateral



89 102 81

1323 45 6096 90 107

29 43

149198

170120

453420121126

111890

6023

0255075

100125150175200225


US$ B illio ns

HY Loans

CDO^20%

EM Debt0%

3%

HY Bonds

3%

2%

Mezz SF25%

her5%

HY Loan82%

Mezz SF3%

CDO^24%

CMBS1%

HG SF3%

IG Debt4%

HY Bonds

3%

EM Debt0%

YTD Summary

% Issuance84,849 26,363 58,485

31% 69%

(Thru 09/25)

% Issuance119,895 12,687 107,208

11% 89%

% Issuance170,203 80,621 89,581

47% 53%

Full Year Summary

2,418 4,5543% 5%

61,71873%

7,1918%

580%

3,663 5,3033% 4%

98,69382%

00%

00%

5,373 10,9433% 6%

95,72356%

8,1825%

580%

1,2551%

3,5803%

42,19325%

3,1024%

3,4093%

3,1772%

4,5535%

1,0221%

4,5533%

00%

4,2254%

00%

2008

2009

2008

42

AA A3 4 5 7 10 BBB

6/27/09 - 9/25/09CDO New Issue Spreads by WALTable 30


CDONew IssueSpreads

Sector

September 25, 2009


6 8 9Collateral Market

CDO - Balance Sheet

3mEL+40A-1

7/17/09 Sabadell Empresas 5 HY LoansCash Euro

3mEL+30A-2G

7/8/09 FTGenval TDA CAM 1 HY LoansCash Euro

Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.43

Rating

CDO New Issue Detail by DateTable 31

Date ClassCDO

Purpose Coupon Price Sprd Benchmark Moody Fitch

8/26/09 - 9/25/09

S&PWAL

(Yrs)

Amount

Issue Currency USD% DealCredit

Structure

CDONew IssueDetail

September 25, 2009


YieldEnhan.Type

9/9/09 Setter Capital 2009-1Asset Seller: Barclays Collateral: Cash; SME CLO: Loans

Asset Value: $ 9,407 mm EuroSector: HY Loans

Market:Lead:CoManager: BCG

A Aaa100.0000 350 3 Mo. EuriborBalance Sheet$6,747.51EUR 4,620.00 72% Cash FlowB 100.0000$2,658.99EUR 1,820.60 28%

$9,406.50EUR 6,440.609/3/09 Solon 2009-1

Asset Seller: Sal Oppenheim Collateral: Cash; SME CLO: LoansAsset Value: $ 1,078 mm Euro

Sector: HY LoansMarket:Lead:CoManager:

A AaaBalance Sheet$592.99EUR 403.70 55% Cash FlowB Aa1$53.91EUR 36.70 5%C $431.27EUR 293.60 40%

$1,078.17EUR 734.009/2/09 RBSCF Trust 2009-RR1

Asset Seller: Collateral: Cash; Diversified ABSAsset Value: $ 353 mm US

Sector: SFMarket:Lead:CoManager: RBOS

C Aaa AAA4.65Balance Sheet$57.27USD 57.27 16% Cash FlowC-1 Aaa AAA4.63$28.64USD 28.64 8%C-2 Aaa AAA4.67$14.32USD 14.32 4%C-3 Aaa AAA4.67$14.32USD 14.32 4%C-4 Aaa AAA4.65$42.95USD 42.95 12%C-5 Aaa AAA4.67$28.64USD 28.64 8%Cb Aaa AAA4.71$22.73USD 22.73 6%J Aaa AAA7.99$39.57USD 39.57 11%

J-1 Aaa AAA7.86$19.78USD 19.78 6%J-2 Aaa AAA8.07$9.89USD 9.89 3%J-3 Aaa AAA8.17$9.89USD 9.89 3%J-4 Aaa AAA7.93$29.68USD 29.68 8%J-5 Aaa AAA8.12$19.78USD 19.78 6%Jb AAA8.29$15.74USD 15.74 4%

$353.20USD 353.20

Note: Deal names of deals priced during the most recent week are bolded.Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.

44

CDO Pipeline SummaryTable 32

IssueLead Mgr

Asset Pool Liability Pool AAAAsset Manager/Seller

CDOPipeline Summary

September 25, 2009


BBB BBACash/Syn Purpose Structure Market

HY Loans

FonCaixa FTGENCAT 7 La Caixa Cash BS CF Euro1,4681,468LACAIXA

European First Lien Investments 2008-1

AXA IM Cash Arb CF Euro1,2561,256GS +DM +275bp

Allos Synthetic CLO 2008-1 TCW Syn Arb CF US CITG L ++125-150 L ++425-450

Avenue CLO VII Avenue Capital Management II LLC

Cash Arb CF US411411UBS

Note: Deal information may be incomplete and is subject to change.Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux. 45

Rating

CDO PipelineTable 33

ClassCDOType Spread Benchmark Moody FitchS&P

WAL(Yrs)

Amount


StructurePrice Talk

CDOPipeline

September 25, 2009


Enhan.Type

MF1 Senior Beneficial Interest 1Asset Seller:

Asset Value: $ 194 mmSector: HY Loans

Market: AsiaCollateral: Cash; SME CLO: Small Business Loans

Lead:CoManager:

Notes Baa3Balance Sheet$193.58JPY 20,334.00 100% Cash Flow

$193.58JPY 20,334.00FonCaixa FTGENCAT 7Asset Seller: La Caixa

Asset Value: $ 1,468 mmSector: HY Loans

Market: EuroCollateral: Cash; SME CLO: Loans

Lead:CoManager: LACAIXA

A-G Aaa3 Mo. EuriborBalance Sheet$1,021.59EUR 696.00 70% Cash Flow ngdom of Spain GA-S Aaa3 Mo. Euribor$255.40EUR 174.00 17%B A33 Mo. Euribor$36.70EUR 25.00 3%C Baa33 Mo. Euribor$154.12EUR 105.00 11%

$1,467.81EUR 1,000.00European First Lien Investments 2008-1Asset Manager: AXA IM

Asset Value: $ 1,256 mmSector: HY Loans

Market: EuroCollateral: Cash; Leveraged Loans & Bonds

Lead:CoManager: GS

Senior AAAArbitrage$929.14EUR 740.00 74% Cash Flow DM +275bpPS $326.46EUR 260.00 26%

$1,255.60EUR 1,000.00Allos Synthetic CLO 2008-1Asset Manager: TCW

Sector: HY Loans

Market: USCollateral: Synthetic; Snr secured bank loans

Lead:CoManager: CITG

A AaaLiborArbitrage Cash Flow +125-150B Aa2Libor+325-350C A2Libor+425-450

GLC Credit Oppurtunity IIAsset Manager: Global Leveraged Credit


Market: USCollateral: Cash; Distress Securities, Middle Market Loans

Lead:CoManager:

Notes Arbitrage$250.00$250.00 100% Cash Flow

$250.00$250.00

Note: Deal information may be incomplete and is subject to change.Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.

46

Rating

CDO PipelineTable 33

ClassCDOType Spread Benchmark Moody FitchS&P

WAL(Yrs)

Amount


StructurePrice Talk

CDOPipeline

September 25, 2009


Enhan.Type

Avenue CLO VIIAsset Manager: Avenue Capital Management II L


Market: USCollateral: Cash; 95% Snr Secured; 5% 2nd Lien Loans

Lead:CoManager: UBS

A-1 Aaa AAAArbitrage$260.00$260.00 63% Cash FlowA-2 Aaa AAA$29.00$29.00 7%B Aa2 AA$47.00$47.00 11%C A2 A$16.00$16.00 4%D Baa2 BBB$14.00$14.00 3%E Ba2 BB$10.00$10.00 2%

PS $35.00$35.00 9%

$411.00$411.00

Note: Deal information may be incomplete and is subject to change.Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.

47

New

Rating ChangesTable 34

ActionDate Issuer Series Class Agency

9/18/09 - 9/25/09RatingChanges

PreviousOriginalRatings

Issue Date

September 25, 2009

Christopher Flanagan ABS ResearchGlobal ABS/CDO Weekly Market [email protected]

Deal Type Comments

Downgrades

GE Capital Credit Card Master Note Tr9/24/09 2005-3 Asset Seller: GE CapitalLead/Co Mgr: JPM/06/23/2005 CrCrds - Retail Market: USA S&P AAAAAAAAAB S&P A+A+AC S&P BBB+BBB+BBB

GE Capital Credit Card Master Note Tr9/24/09 2007-3 Asset Seller: GE CapitalLead/Co Mgr: JPM06/22/2007 CrCrds - Retail Market: USA-1 S&P AAAAAAAAAA-2 S&P AAAAAAAAA

Great Hall Mortgages9/24/09 2007-1 Asset Seller: JP Morgan ChaseLead/Co Mgr: JPM02/20/2007 Other - Non Conf Market: EuroA-2B Moody's AaaAaaAaa

Stanfield McLaren CLO9/24/09 I Asset Manager: Stanfield Capital PartnersLead/Co Mgr: BS06/22/2007 CDO Arbitrage Market: USA-3L Moody's Baa3Baa3A2

Westbrook CLO9/24/09 I Asset Manager: Shenkman CapitalLead/Co Mgr: DB11/29/2006 CDO Arbitrage Market: USC Moody's Baa3Baa3A2D Moody's Ba3Ba3Baa2

Access Financial Corp.9/23/09 1996-1 Asset Seller: Access Financial Corp.Lead/Co Mgr: PRU05/22/1996 MH Market: USA-5 Moody's AaaAaaAaa

Associates Manufactured Housing9/23/09 1997-2 Asset Seller: Associates Corp.Lead/Co Mgr: CSFB09/17/1997 MH Market: USA-6 Moody's AaaAaaAaa

C-BASS Mortgage Loan Asset-Backed 9/23/09 2006-MH1 Asset Seller: Ameriquest (Argent)Lead/Co Mgr: LB08/24/2006 MH Market: USAF-2 Moody's AaaAaaAaaAF-3 Moody's AaaAaaAaaAF-4 Moody's AaaAaaAaa

CSFB Manufactured Housing Pass-Thr9/23/09 2001-MH29 Asset Seller: CIT Group Holdings Inc.Lead/Co Mgr: CSFB11/19/2001 MH Market: USM-1 Moody's Aa2Aa2Aa2

Deutsche Financial Capital Securities9/23/09 1997-I Asset Seller: Deutsche Financial Capital Sec LLCLead/Co Mgr: CSFB06/20/1997 MH Market: USM Moody's B3B3Aa2

GTFC Man. Housing S/S Certificates9/23/09 1995-10 Asset Seller: Green Tree Financial Corp.Lead/Co Mgr: ML12/14/1995 MH Market: USB-1 Moody's B3B3Baa1

Sources: JPMS, Moody's, Standard and Poor's, Fitch. 48

New





Issue Date

September 25, 2009


Deal Type Comments

GTFC Man. Housing S/S Certificates9/23/09 1996-2 Asset Seller: Green Tree Financial Corp.Lead/Co Mgr: LB03/14/1996 MH Market: USM-1 Moody's B3B3Aa3

IM Caja Laboral9/23/09 1 Asset Seller: Caja LaboralLead/Co Mgr: ABN/I12/11/2006 Other - Mtge Market: EuroA Moody's AaaAaaAaaB Moody's Aa2Aa2Aa2C Moody's A1A1A1D Moody's Baa3Baa3Baa3E Moody's CaCaCaE Moody's CaCaCa

Oakwood Man. Housing S/S Certificate9/23/09 1997-D Asset Seller: Oakwood Mortgage Investors Inc.Lead/Co Mgr: CSFB11/14/1997 MH Market: USM Moody's Ba3Ba3Aa3

Oakwood Man. Housing S/S Certificate9/23/09 1999-A Asset Seller: Oakwood Mortgage Investors Inc.Lead/Co Mgr: CSFB01/13/1999 MH Market: USA-2 Moody's Ba1Ba1AaaA-3 Moody's Ba1Ba1AaaA-4 Moody's Ba1Ba1AaaA-5 Moody's Ba1Ba1AaaM-1 Moody's CaCaAa3

Rampart CLO9/23/09 2006-1 Asset Manager: Stone Tower ManagementLead/Co Mgr: CITG11/03/2006 CDO Arbitrage Market: USC Moody's Ba3Ba3Baa2

Rampart CLO9/23/09 2007-1 Asset Manager: Stone Tower ManagementLead/Co Mgr: BOA10/16/2007 CDO Arbitrage Market: USC Moody's Baa3Baa3A2

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 1997-A Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: PRU01/30/1997 MH Market: US1A-6 Moody's Aa2Aa2Aa3

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 1997-C Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: PRU08/26/1997 MH Market: US1A-6 Moody's Aa3Aa3Aa3

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 1997-D Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: PRU11/20/1997 MH Market: US1A-6 Moody's Aa3Aa3Aa3

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 1998-B Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: PRU05/21/1998 MH Market: US1A-6 Moody's Aa3Aa3Aa3


New





Issue Date

September 25, 2009


Deal Type Comments

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 1999-D Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: PRU11/16/1999 MH Market: US2A-1 Moody's AaaAaaAaa

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 2001-A Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: CSFB02/15/2001 MH Market: USB-1 Moody's Baa2Baa2Baa2

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 2002-B Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: CSFB08/16/2002 MH Market: USB-1 Moody's Baa2Baa2Baa2

Windermere CMBS plc9/23/09 7 Asset Seller: MABLE Commercial Funding LtdLead/Co Mgr: LB04/26/2006 Other - CMBS Market: EuroA-2 Moody's Aa1Aa1AaaB Moody's A2A2Aa2C Moody's Baa3Baa3A2D Moody's B1B1Baa3

ACA CLO9/22/09 2006-2 Asset Manager: ACA Management LLCLead/Co Mgr: RGW11/10/2006 CDO Arbitrage Market: USB Moody's Baa3Baa3A2

Columbus Nova CLO9/22/09 I Asset Manager: Columbus Nova Credit Investments ManaLead/Co Mgr: MS07/18/2006 CDO Arbitrage Market: USC Moody's Baa3Baa3A2D Moody's Ba3Ba3Baa2

Columbus Nova CLO9/22/09 IV Asset Manager: Columbus Nova Credit Investments ManaLead/Co Mgr: UBS10/02/2007 CDO Arbitrage Market: USC Moody's Baa3Baa3A2D Moody's Ba3Ba3Baa2E Moody's B3B3Ba2

Golub Capital Partners9/22/09 2007-1 Asset Manager: Golub CapitalLead/Co Mgr: WS02/28/2007 CDO Arbitrage Market: USA-1B Moody's Aa1Aa1Aa1

B Moody's Aa2Aa2Aa2

Kennecott Funding9/22/09 2005-1 Asset Manager: Guggenheim GroupLead/Co Mgr: WS12/21/2005 CDO Arbitrage Market: USC Moody's Baa3Baa3A2

D-1 Moody's Ba3Ba3Baa2D-2 Moody's Ba3Ba3Baa2

Landmark CLO Ltd9/22/09 IV Asset Manager: Aladdin Capital MgmtLead/Co Mgr: BS09/23/2003 CDO Arbitrage Market: USA-3L Moody's Baa3Baa3A2B-1L Moody's Ba3Ba3Baa2


New





Issue Date

September 25, 2009


Deal Type Comments

LCM Limited Partnership9/22/09 V Asset Manager: Lyon Capital Management LLCLead/Co Mgr: BOA02/28/2007 CDO Arbitrage Market: USA-2 Moody's AaaAaaAaaB Moody's Aa2Aa2Aa2C Moody's Baa3Baa3A2D Moody's Ba3Ba3Baa2E Moody's B3B3Ba2

Marlin Leasing Receivables LLC9/22/09 2007-1 Asset Seller: Marlin Leasing Corp.Lead/Co Mgr: JPM10/18/2007 Equip - ST Market: USC S&P AAAD S&P BBBBBBBBB

MWAM CBO9/22/09 2001-1 Asset Manager: Metropolitan West Asset ManagementLead/Co Mgr: CSFB01/25/2001 CDO Arbitrage Market: USA Moody's A3A3AaaB Moody's Caa1Caa1Aa2

Apidos CDO9/21/09 I Asset Manager: Apidos CapitalLead/Co Mgr: CSFB06/30/2005 CDO Arbitrage Market: USB Moody's Baa3Baa3A2

Apidos CDO9/21/09 III Asset Manager: Apidos CapitalLead/Co Mgr: CITG04/03/2006 CDO Arbitrage Market: USB Moody's Baa3Baa3A2C Moody's Ba3Ba3Baa2

Apidos CDO9/21/09 IV Asset Manager: Apidos CapitalLead/Co Mgr: MS08/10/2006 CDO Arbitrage Market: USC Moody's Baa3Baa3A2

Cordatus CLO9/21/09 I Asset Manager: CVC CordatusLead/Co Mgr: RGW12/20/2006 CDO Arbitrage Market: EuroC Moody's Ba1Ba1A2D Moody's B2B2Baa3E Moody's Caa3Caa3Ba3

Eaton Vance CDO, Ltd9/21/09 X Asset Manager: Eaton VanceLead/Co Mgr: CITG03/02/2007 CDO Arbitrage Market: EuroD-1 Moody's B2B2Baa3D-2 Moody's B2B2Baa3E-1 Moody's Caa3Caa3Ba3E-2 Moody's Caa3Caa3Ba3

GCO Education Loan Funding Trust9/21/09 2007-1 Asset Seller: Greystone & Co.Lead/Co Mgr: BOA02/21/2007 Student Loan Market: USC-1L Moody's A3A3A3


New





Issue Date

September 25, 2009


Deal Type Comments

GoldenTree Loan Opportunity Fund9/21/09 IV Asset Manager: Golden TreeLead/Co Mgr: DB06/29/2007 CDO Arbitrage Market: USD Moody's B3B3Ba2

GoldenTree Loan Opportunity Fund9/21/09 V Asset Manager: Golden TreeLead/Co Mgr: LB09/13/2007 CDO Arbitrage Market: USC Moody's Baa3Baa3A2D Moody's Ba3Ba3Baa2E Moody's B3B3Ba2

Greyrock CLO9/21/09 2005-1 Asset Manager: Aladdin Capital MgmtLead/Co Mgr: BS08/17/2005 CDO Arbitrage Market: USA-3L Moody's Baa3Baa3A2B-1F Moody's Ba3Ba3Baa2B-1L Moody's Ba3Ba3Baa2

Knightsbridge CLO9/21/09 2008-1 Asset Manager: Deutsche Bank MidMarket CapitalLead/Co Mgr: DB05/22/2008 CDO Arbitrage Market: USB Moody's Aa2Aa2Aa2

Metrix Funding9/21/09 2005-1 Asset Seller: HSBCLead/Co Mgr: HSBC11/15/2005 CDO Balance Sheet Market: EuroA-1 Moody's AaaAaaAaaA-2 Moody's AaaAaaAaaA-3 Moody's AaaAaaAaa

Octagon Investment Partners9/21/09 XI Asset Manager: Octagon Credit InvestorsLead/Co Mgr: CITG06/28/2007 CDO Arbitrage Market: USB Moody's Baa3Baa3A2C Moody's Ba3Ba3Baa2D Moody's B3B3Ba2

Option One Mortgage Loan Trust9/21/09 2007-FXD1 Asset Seller: Option One MortgageLead/Co Mgr: RGW/01/18/2007 Home Eq Market: US3-A1 S&P AAAAAAAAA3-A3 S&P BBAAA

Stone Tower CLO9/21/09 III Asset Manager: Stone Tower ManagementLead/Co Mgr: CSFB04/27/2005 CDO Arbitrage Market: USB Moody's Baa3Baa3A2

Symphony CLO9/21/09 6 Asset Manager: Symphony Asset ManagementLead/Co Mgr: CITG07/29/2008 CDO Arbitrage Market: USB Moody's Baa3Baa3A2C Moody's Ba3Ba3Baa2

Downgrades

ABFC Mortgage Loan Asset-Backed C9/24/09 2002-OPT1 Asset Seller: Option One MortgageLead/Co Mgr: BOA09/06/2002 Home Eq Market: USM-5 S&P DCCBBB-


New





Issue Date

September 25, 2009


Deal Type Comments

ABFC Mortgage Loan Asset-Backed C9/24/09 2006-OPT1 Asset Seller: Option One MortgageLead/Co Mgr: BOA08/07/2006 Home Eq Market: USM-7 S&P DCCBBB+

ABFC Mortgage Loan Asset-Backed C9/24/09 2006-OPT2 Asset Seller: Option One MortgageLead/Co Mgr: BOA10/04/2006 Home Eq Market: USM-7 S&P DCCBBB+

Accredited Mortgage Loan Trust9/24/09 2007-1 Asset Seller: Accredited Home LendersLead/Co Mgr: LB01/24/2007 Home Eq Market: USM-9 S&P DCCBBB

Ace Securities Home Equity Loan Trust9/24/09 2004-HE3 Asset Seller: Deutsche BankLead/Co Mgr: DB10/26/2004 Home Eq Market: USM-8 S&P DCCCA

Ace Securities Home Equity Loan Trust9/24/09 2005-HE2 Asset Seller: Deutsche BankLead/Co Mgr: DB03/11/2005 Home Eq Market: USM-9 S&P DCCBBB

Ace Securities Home Equity Loan Trust9/24/09 2005-HE5 Asset Seller: Deutsche BankLead/Co Mgr: DB08/05/2005 Home Eq Market: USM-8 S&P DCCBBB+

Ace Securities Home Equity Loan Trust9/24/09 2005-HE6 Asset Seller: Deutsche BankLead/Co Mgr: DB09/22/2005 Home Eq Market: USM-6 S&P DCCA+

Ace Securities Home Equity Loan Trust9/24/09 2006-HE3 Asset Seller: Deutsche BankLead/Co Mgr: DB06/12/2006 Home Eq Market: USM-3 S&P DCCAA+

Ace Securities Home Equity Loan Trust9/24/09 2006-NC3 Asset Seller: New Century FinancialLead/Co Mgr: DB11/16/2006 Home Eq Market: USM-6 S&P DCCCA-

Ace Securities Home Equity Loan Trust9/24/09 2006-OP2 Asset Seller: Option One MortgageLead/Co Mgr: DB10/13/2006 Home Eq Market: USM-7 S&P DCCCBBB+


Ace Securities Home Equity Loan Trust9/24/09 2007-HE2 Asset Seller: Deutsche BankLead/Co Mgr: DB03/08/2007 Home Eq Market: USM-5 S&P DCCAA


American Home Mortgage Investment 9/24/09 2005-4 Asset Seller: American Home MortgageLead/Co Mgr: BS09/28/2005 Home Eq Market: USM-4 S&P DCCA


New





Issue Date

September 25, 2009


Deal Type Comments

Ameriquest Mortgage Securities9/24/09 2004-R9 Asset Seller: AmeriquestLead/Co Mgr: BOA/08/12/2004 Home Eq Market: USM-8 S&P DCCCBBB-

Ameriquest Mortgage Securities9/24/09 2005-R3 Asset Seller: AmeriquestLead/Co Mgr: BOA/04/14/2005 Home Eq Market: USM-10 S&P DCCBB+

Ameriquest Mortgage Securities9/24/09 2005-R6 Asset Seller: AmeriquestLead/Co Mgr: CSFB/07/18/2005 Home Eq Market: USM-10 S&P DCCBB+

Ameriquest Mortgage Securities9/24/09 2005-R7 Asset Seller: AmeriquestLead/Co Mgr: JPM/08/17/2005 Home Eq Market: USM-10 S&P DCCBBB

Ameriquest Mortgage Securities9/24/09 2005-R9 Asset Seller: AmeriquestLead/Co Mgr: BNP/10/21/2005 Home Eq Market: USM-10 S&P DCCBB+

Ameriquest Mortgage Securities9/24/09 2006-R1 Asset Seller: AmeriquestLead/Co Mgr: ML/R02/09/2006 Home Eq Market: USM-10 S&P DCCBB+

Amortizing Residential Collateral Trust9/24/09 2002-BC8 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB10/24/2002 Home Eq Market: USM-4 S&P DCCCBBB

Argent Securities Inc.9/24/09 2004-W11 Asset Seller: Ameriquest (Argent)Lead/Co Mgr: RBS09/30/2004 Home Eq Market: USM-11 S&P DBB+BB+

Argent Securities Inc.9/24/09 2005-W2 Asset Seller: Ameriquest (Argent)Lead/Co Mgr: CITG/09/13/2005 Home Eq Market: USM-8 S&P DCCA-

Argent Securities Inc.9/24/09 2006-M2 Asset Seller: Ameriquest (Argent)Lead/Co Mgr: CITG/08/16/2006 Home Eq Market: USM-3 S&P DCCAA-

Argent Securities Inc.9/24/09 2006-M3 Asset Seller: Ameriquest (Argent)Lead/Co Mgr: RGW/09/12/2006 Home Eq Market: USM-3 S&P DCCAA-

Argent Securities Inc.9/24/09 2006-W1 Asset Seller: Ameriquest (Argent)Lead/Co Mgr: BNP/01/27/2006 Home Eq Market: USM-5 S&P DCCA+

Argent Securities Inc.9/24/09 2006-W3 Asset Seller: Ameriquest (Argent)Lead/Co Mgr: JPM/03/15/2006 Home Eq Market: USM-3 S&P DCCCAA-

Asset Backed Securities Corporation H9/24/09 2005-HE7 Asset Seller: Centex Corp.Lead/Co Mgr: CSFB07/19/2005 Home Eq Market: USM-7 S&P DCCBB+


New





Issue Date

September 25, 2009


Deal Type Comments

Asset Backed Securities Corporation H9/24/09 2006-HE2 Asset Seller: New Century FinancialLead/Co Mgr: CS03/02/2006 Home Eq Market: USM-2 S&P DBBAA

Asset Backed Securities Corporation H9/24/09 2006-HE5 Asset Seller: Option One MortgageLead/Co Mgr: CS06/26/2006 Home Eq Market: USM-6 S&P DCCA-

Asset Backed Securities Corporation H9/24/09 2006-HE6 Asset Seller: DLJ Mortgage CapitalLead/Co Mgr: CS10/30/2006 Home Eq Market: USM-5 S&P DCCA

Asset Backed Securities Corporation H9/24/09 2006-HE7 Asset Seller: AmeriquestLead/Co Mgr: CS11/03/2006 Home Eq Market: USM-2 S&P DCCCAA

BayView Financial Acquisition Trust9/24/09 2006-C Asset Seller: BayView FinancialLead/Co Mgr: CITG11/13/2006 Home Eq Market: USM-4 S&P DCCA-

BayView Financial Acquisition Trust9/24/09 2007-A Asset Seller: BayView FinancialLead/Co Mgr: JPM04/13/2007 Home Eq Market: USB-3 S&P DCCBBB-

BayView Financial Acquisition Trust9/24/09 2007-B Asset Seller: BayView FinancialLead/Co Mgr: JPM07/20/2007 Home Eq Market: USM-4 S&P DCCA-

Bear Stearns Asset Backed Securities 9/24/09 2005-EC1 Asset Seller: Encore Credit CorpLead/Co Mgr: BS11/30/2005 Home Eq Market: USM-8 S&P DCCBBB-

Bear Stearns Asset Backed Securities 9/24/09 2005-HE5 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS04/28/2005 Home Eq Market: USM-7 S&P DCCBBB-

Bear Stearns Asset Backed Securities 9/24/09 2006-HE10 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS12/21/2006 Home Eq Market: US1M-9 S&P DCCBBB-

Bear Stearns Asset Backed Securities 9/24/09 2006-HE4 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS04/17/2006 Home Eq Market: USM-2 S&P DCCAA

Bear Stearns Asset Backed Securities 9/24/09 2006-HE8 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS10/13/2006 Home Eq Market: US1M-6 S&P DCCA-2M-6 S&P DCCA-

Bear Stearns Asset Backed Securities 9/24/09 2006-SD4 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS11/15/2006 Home Eq Market: USB-2 S&P DCCA


New





Issue Date

September 25, 2009


Deal Type Comments

Bear Stearns Asset Backed Securities 9/24/09 2007-1 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS02/14/2007 Home Eq Market: USM-5 S&P DCCBBB+

Bear Stearns Asset Backed Securities 9/24/09 2007-FS1 Asset Seller: Fieldstone Mortgage CompanyLead/Co Mgr: BS02/26/2007 Home Eq Market: USM-6 S&P DCCA-

Bear Stearns Asset Backed Securities 9/24/09 2007-HE2 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS02/14/2007 Home Eq Market: US2-M7 S&P DCCBBB+

Bear Stearns Asset Backed Securities 9/24/09 2007-HE4 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS04/13/2007 Home Eq Market: USM-9 S&P DCCBBB-

Bear Stearns Asset Backed Securities 9/24/09 2007-SD1 Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS01/12/2006 Home Eq Market: US2B-2 S&P DCCA1B-4 S&P DCCBB

Bear Stearns Second Lien Trust9/24/09 2007-SV1 Asset Seller: SACO I IncLead/Co Mgr: BS03/30/2007 Home Eq Market: USM-4 S&P DCCA+

BNC Mortgage Loan Trust9/24/09 2006-1 Asset Seller: BNC MortgageLead/Co Mgr: LB09/27/2006 Home Eq Market: USM-3 S&P DCCAA-

BNC Mortgage Loan Trust9/24/09 2006-2 Asset Seller: BNC MortgageLead/Co Mgr: LB10/26/2006 Home Eq Market: USM-3 S&P DCCAA-

BNC Mortgage Loan Trust9/24/09 2007-2 Asset Seller: BNC MortgageLead/Co Mgr: LB04/26/2007 Home Eq Market: USM-9 S&P DCCBBB-

C-BASS Mortgage Loan Asset-Backed 9/24/09 2006-CB1 Asset Seller: C-BASSLead/Co Mgr: BCG01/09/2006 Home Eq Market: USM-5 S&P DCCCA+

C-BASS Mortgage Loan Asset-Backed 9/24/09 2006-CB8 Asset Seller: C-BASSLead/Co Mgr: ML10/18/2006 Home Eq Market: USM-5 S&P DCCA

C-BASS Mortgage Loan Asset-Backed 9/24/09 2007-CB1 Asset Seller: C-BASSLead/Co Mgr: JPM01/26/2007 Home Eq Market: USM-4 S&P DCCAA-

C-BASS Mortgage Loan Asset-Backed 9/24/09 2007-CB4 Asset Seller: C-BASSLead/Co Mgr: ML04/24/2007 Home Eq Market: USB-1 S&P DCCBBB+


New





Issue Date

September 25, 2009


Deal Type Comments

C-BASS Mortgage Loan Asset-Backed 9/24/09 2007-CB5 Asset Seller: C-BASSLead/Co Mgr: BOA05/24/2007 Home Eq Market: USM-6 S&P DCCA-

C-BASS Mortgage Loan Asset-Backed 9/24/09 2007-CB6 Asset Seller: C-BASSLead/Co Mgr: JPM07/10/2007 Home Eq Market: USM-7 S&P DCCA-

CDC Mortgage Capital Trust9/24/09 2002-HE2 Asset Seller: CDC IxisLead/Co Mgr: MS07/22/2002 Home Eq Market: USM-2 S&P DCCCA

Centex Home Equity Loan Trust9/24/09 2004-D Asset Seller: Centex Corp.Lead/Co Mgr: CITG09/08/2004 Home Eq Market: USBV S&P DBBBBBB

CIT Home Equity Loan Trust9/24/09 2002-2 Asset Seller: CIT Group Holdings Inc.Lead/Co Mgr: CSFB/06/13/2002 Home Eq Market: USBF S&P DBBBBBB

Citigroup Mortgage Loan Trust9/24/09 2005-WF2 Asset Seller: Wells Fargo BankLead/Co Mgr: CITG08/08/2005 Home Eq Market: USMF-5 S&P DCCBB+

Citigroup Mortgage Loan Trust9/24/09 2006-AMC1 Asset Seller: AmeriquestLead/Co Mgr: CITG09/15/2006 Home Eq Market: USM-6 S&P DCCA-

Citigroup Mortgage Loan Trust9/24/09 2006-FX1 Asset Seller: CitigroupLead/Co Mgr: CITG10/26/2006 Home Eq Market: USM-4 S&P DCCBBB

Citigroup Mortgage Loan Trust9/24/09 2006-HE1 Asset Seller: CitigroupLead/Co Mgr: CITG03/24/2006 Home Eq Market: USM-7 S&P DCCA-

Citigroup Mortgage Loan Trust9/24/09 2006-NC1 Asset Seller: New Century FinancialLead/Co Mgr: CITG06/27/2006 Home Eq Market: USM-4 S&P DCCA+

Citigroup Mortgage Loan Trust9/24/09 2006-WFHE3 Asset Seller: Wells Fargo BankLead/Co Mgr: CITG10/05/2006 Home Eq Market: USM-10 S&P DCCBB+

Citigroup Mortgage Loan Trust9/24/09 2007-AMC1 Asset Seller: AmeriquestLead/Co Mgr: CITG02/01/2007 Home Eq Market: USM-10 S&P DCCBB+

Citigroup Mortgage Loan Trust9/24/09 2007-AMC2 Asset Seller: AmeriquestLead/Co Mgr: CITG02/15/2007 Home Eq Market: USM-7 S&P DCCBBB+

Countrywide Asset Backed Certificates9/24/09 2005-AB3 Asset Seller: Countrywide FundingLead/Co Mgr: CWS09/08/2005 Home Eq Market: USM-8 S&P DCCA-


New





Issue Date

September 25, 2009


Deal Type Comments

Countrywide Asset Backed Certificates9/24/09 2005-IM1 Asset Seller: Impac Mortgage HoldingsLead/Co Mgr: CWS07/22/2005 Home Eq Market: USM-5 S&P DCCA

Countrywide Asset Backed Certificates9/24/09 2005-IM3 Asset Seller: Impac Mortgage HoldingsLead/Co Mgr: CWS11/16/2005 Home Eq Market: USM-2 S&P DCCAA

Countrywide Asset Backed Certificates9/24/09 2006-2 Asset Seller: Countrywide FundingLead/Co Mgr: CWS02/03/2006 Home Eq Market: USMV-8 S&P DCCBBB+

Countrywide Asset Backed Certificates9/24/09 2006-8 Asset Seller: Countrywide FundingLead/Co Mgr: CSC06/09/2006 Home Eq Market: USM-8 S&P DCCBBB

Countrywide Asset Backed Certificates9/24/09 2006-9 Asset Seller: Countrywide FundingLead/Co Mgr: CWS06/14/2006 Home Eq Market: USMV-7 S&P DBBBBB+

Countrywide Asset Backed Certificates9/24/09 2006-SD2 Asset Seller: Countrywide FundingLead/Co Mgr: CWS06/27/2006 Home Eq Market: US1M-6 S&P DCCBBB

Countrywide Asset Backed Certificates9/24/09 2006-SD4 Asset Seller: Countrywide FundingLead/Co Mgr: CWS12/27/2006 Home Eq Market: USM-5 S&P DCCCBBB+

Encore Credit Receivables Trust9/24/09 2005-1 Asset Seller: Encore Credit CorpLead/Co Mgr: CWS03/08/2005 Home Eq Market: USM-6 S&P DCCA-

Encore Credit Receivables Trust9/24/09 2005-2 Asset Seller: Encore Credit CorpLead/Co Mgr: WS/C05/20/2005 Home Eq Market: USM-7 S&P DBBBA-

First Franklin Mtg Loan Asset Backed 9/24/09 2003-FF1 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: RBS04/24/2003 Home Eq Market: USM-2 S&P DCCCA

First Franklin Mtg Loan Asset Backed 9/24/09 2004-FF1 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: ML02/20/2004 Home Eq Market: USB-3 S&P DCCCBBB-

First Franklin Mtg Loan Asset Backed 9/24/09 2004-FFC Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: ML12/23/2004 Home Eq Market: USB-4 S&P DBBBB

First Franklin Mtg Loan Asset Backed 9/24/09 2004-FFH2 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: RBS05/11/2004 Home Eq Market: USM-6 S&P DCCA-

First Franklin Mtg Loan Asset Backed 9/24/09 2004-FFH3 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: RBS08/16/2004 Home Eq Market: USM-6 S&P DCCA-


New





Issue Date

September 25, 2009


Deal Type Comments

First Franklin Mtg Loan Asset Backed 9/24/09 2005-FF5 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: BOA04/08/2005 Home Eq Market: USM-7 S&P DCCBBB+

First Franklin Mtg Loan Asset Backed 9/24/09 2005-FF8 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: GS09/13/2005 Home Eq Market: USB-2 S&P DCCA

First Franklin Mtg Loan Asset Backed 9/24/09 2006-FF10 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: LB06/23/2006 Home Eq Market: USM-5 S&P DCCA

First Franklin Mtg Loan Asset Backed 9/24/09 2006-FF11 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: HSBC08/17/2006 Home Eq Market: USM-5 S&P DCCA+

First Franklin Mtg Loan Asset Backed 9/24/09 2006-FF13 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: GS09/21/2006 Home Eq Market: USM-5 S&P DCCAA-

First Franklin Mtg Loan Asset Backed 9/24/09 2006-FF14 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: LB09/19/2006 Home Eq Market: USM-4 S&P DCCA+

First Franklin Mtg Loan Asset Backed 9/24/09 2006-FF18 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: ML12/18/2006 Home Eq Market: USM-4 S&P DCCA+

First Franklin Mtg Loan Asset Backed 9/24/09 2006-FF3 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: GS02/08/2006 Home Eq Market: USM-5 S&P DCCCAA

First Franklin Mtg Loan Asset Backed 9/24/09 2006-FF5 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: HSBC04/28/2006 Home Eq Market: USM-4 S&P DCCCAA-

First Franklin Mtg Loan Asset Backed 9/24/09 2006-FF8 Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: RGW06/06/2006 Home Eq Market: USM-5 S&P DCCAA

Flagship CLO9/24/09 IV Asset Manager: FlagshipLead/Co Mgr: BAS05/19/2005 CDO Arbitrage Market: USA-Rev Moody's A1AaaAaaA-Term Moody's A1AaaAaa

B Moody's Ba1Baa3A2C Moody's B3Ba3Baa2D Moody's Caa3B3Ba2

Fremont Home Loan Trust9/24/09 2004-4 Asset Seller: Fremont Financial Corp.Lead/Co Mgr: RBS11/26/2004 Home Eq Market: USM-8 S&P DCCCBBB


New





Issue Date

September 25, 2009


Deal Type Comments

Fremont Home Loan Trust9/24/09 2005-E Asset Seller: Fremont Financial Corp.Lead/Co Mgr: CSFB12/08/2005 Home Eq Market: USM-7 S&P DCCCA

Fremont Home Loan Trust9/24/09 2006-3 Asset Seller: Fremont Financial Corp.Lead/Co Mgr: RGW09/29/2006 Home Eq Market: USM-4 S&P DCCA+

Fremont Home Loan Trust9/24/09 2006-C Asset Seller: Fremont Financial Corp.Lead/Co Mgr: BCG08/25/2006 Home Eq Market: USM-3 S&P DCCAA-

Fremont Home Loan Trust9/24/09 2006-E Asset Seller: Fremont Financial Corp.Lead/Co Mgr: GS11/16/2006 Home Eq Market: USM-4 S&P DCCCA+

Galaxy CLO Ltd9/24/09 VI Asset Manager: AIG Global Investment Corp.Lead/Co Mgr: BOA04/25/2006 CDO Arbitrage Market: USA-1 S&P AAAAAAAAA-2 S&P AAAAAAAAB S&P AAAAA

C-1 S&P BBB+AAC-2 S&P BBB+AAD S&P BB+BBBBBB

Great Hall Mortgages9/24/09 2007-1 Asset Seller: JP Morgan ChaseLead/Co Mgr: JPM02/20/2007 Other - Non Conf Market: EuroBA Moody's Aa3Aa2Aa2BB Moody's Aa3Aa2Aa2CA Moody's Baa3A2A2Cb Moody's Baa3A2A2Da Moody's B2Baa3Baa3Db Moody's B2Baa3Baa3Ea Moody's CaBa2Ba2


New





Issue Date

September 25, 2009


Deal Type Comments

Great Hall Mortgages9/24/09 2007-2 Asset Seller: JP Morgan ChaseLead/Co Mgr: JPM/L06/25/2007 Other - Non Conf Market: EuroAa Moody's Aa1AaaAaaAb Moody's Aa1AaaAaaAc Moody's Aa1AaaAaaBa Moody's A3Aa2Aa2Ca Moody's Ba2A2A2Cb Moody's Ba2A2A2Da Moody's Caa2Baa2Baa3Db Moody's Caa2Baa2Baa3Ea Moody's CaBa1Ba1Eb Moody's CaBa1Ba1

GSAMP Trust9/24/09 2003-FM1 Asset Seller: Fremont Financial Corp.Lead/Co Mgr: GS03/14/2003 Home Eq Market: USB-2 S&P DCCBBB-

GSAMP Trust9/24/09 2004-HE1 Asset Seller: GS Mortgage Securities Corp.Lead/Co Mgr: GS04/27/2004 Home Eq Market: USB-1 S&P DCCCBBB+

GSAMP Trust9/24/09 2005-WMC2 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: GS11/18/2005 Home Eq Market: USM-4 S&P DCCA+

GSAMP Trust9/24/09 2005-WMC3 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: GS12/15/2005 Home Eq Market: USM-3 S&P DCCAA-

GSAMP Trust9/24/09 2006-HE5 Asset Seller: GS Mortgage Securities Corp.Lead/Co Mgr: GS08/17/2006 Home Eq Market: USM-5 S&P DCCA+

GSAMP Trust9/24/09 2006-HE6 Asset Seller: GS Mortgage Securities Corp.Lead/Co Mgr: GS09/12/2006 Home Eq Market: USM-6 S&P DCCA-

GSAMP Trust9/24/09 2006-NC1 Asset Seller: New Century FinancialLead/Co Mgr: GS02/23/2006 Home Eq Market: USB-1 S&P DCCA

GSAMP Trust9/24/09 2006-NC2 Asset Seller: New Century FinancialLead/Co Mgr: GS06/22/2006 Home Eq Market: USM-3 S&P DCCAA

GSAMP Trust9/24/09 2006-SD2 Asset Seller: GS Mortgage Securities Corp.Lead/Co Mgr: GS06/09/2006 Home Eq Market: USM-2 S&P DCCCA


New





Issue Date

September 25, 2009


Deal Type Comments

GSAMP Trust9/24/09 2007-FM2 Asset Seller: Fremont Financial Corp.Lead/Co Mgr: GS02/14/2007 Home Eq Market: USM-6 S&P DCCA-

GSAMP Trust9/24/09 2007-HE1 Asset Seller: GS Mortgage Securities Corp.Lead/Co Mgr: GS02/20/2007 Home Eq Market: USM-9 S&P DCCBBB-

Home Equity Asset Trust9/24/09 2004-4 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CSFB05/18/2004 Home Eq Market: USB-2 S&P DCCCBBB+

Home Equity Asset Trust9/24/09 2005-6 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CSFB07/28/2005 Home Eq Market: USM-8 S&P DCCA-

Home Equity Asset Trust9/24/09 2005-7 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CSFB08/25/2005 Home Eq Market: USM-6 S&P DCCA

Home Equity Asset Trust9/24/09 2006-2 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CSFB01/18/2006 Home Eq Market: USM-4 S&P DCCAA

Home Equity Asset Trust9/24/09 2006-7 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CS09/22/2006 Home Eq Market: USM-2 S&P DCCCAA+

Home Equity Asset Trust9/24/09 2006-8 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CS10/26/2006 Home Eq Market: USM-3 S&P DCCCAA

Home Equity Mortgage Trust9/24/09 2004-2 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CSFB04/06/2004 Home Eq Market: USB-3A S&P DBBB-BBB-B-3F S&P DBBB-BBB-

HSI Asset Securitization Corporation9/24/09 2006-HE1 Asset Seller: HSBCLead/Co Mgr: HSBC10/18/2006 Home Eq Market: USM-3 S&P DCCAA

HSI Asset Securitization Corporation9/24/09 2006-HE2 Asset Seller: HSBCLead/Co Mgr: HSBC11/29/2006 Home Eq Market: USM-3 S&P DCCCAA

HSI Asset Securitization Corporation9/24/09 2006-NC1 Asset Seller: New Century FinancialLead/Co Mgr: HSBC03/08/2006 Home Eq Market: USM-5 S&P DCCA

HSI Asset Securitization Corporation9/24/09 2006-OPT2 Asset Seller: Option One MortgageLead/Co Mgr: HSBC02/23/2006 Home Eq Market: USM-9 S&P DCCBBB-


New





Issue Date

September 25, 2009


Deal Type Comments

HSI Asset Securitization Corporation9/24/09 2007-OPT1 Asset Seller: Option One MortgageLead/Co Mgr: HSBC01/18/2007 Home Eq Market: USM-8 S&P DCCCBBB

HSI Asset Securitization Corporation9/24/09 2007-WF1 Asset Seller: HSBCLead/Co Mgr: HSBC06/22/2007 Home Eq Market: USM-10 S&P DCCBB+

Impac CMB Trust9/24/09 2004-11 Asset Seller: Impac Mortgage HoldingsLead/Co Mgr: BS/C12/17/2004 Home Eq Market: US2M-6 S&P DCCCA-

Impac CMB Trust9/24/09 2005-1 Asset Seller: Impac Mortgage HoldingsLead/Co Mgr: CWS01/25/2005 Home Eq Market: USM-4 S&P DCCA+

Impac CMB Trust9/24/09 2005-3 Asset Seller: Impac Mortgage HoldingsLead/Co Mgr: CWS03/22/2005 Home Eq Market: USM-5 S&P DCCA

Impac CMB Trust9/24/09 2005-7 Asset Seller: Impac Mortgage HoldingsLead/Co Mgr: CWS09/14/2005 Home Eq Market: USM-1 S&P DCCAA

IndyMac Residential ABS Trust9/24/09 2005-B Asset Seller: Independent National Mortgage Corp.Lead/Co Mgr: MS/U05/25/2005 Home Eq Market: USM-10 S&P DCCBBB-

IXIS Real Estate Capital Trust9/24/09 2005-HE4 Asset Seller: CDC IxisLead/Co Mgr: MS10/25/2005 Home Eq Market: USM-6 S&P DCCA

IXIS Real Estate Capital Trust9/24/09 2006-HE1 Asset Seller: CDC IxisLead/Co Mgr: MS01/25/2006 Home Eq Market: USM-3 S&P DCCAA

IXIS Real Estate Capital Trust9/24/09 2006-HE3 Asset Seller: CDC IxisLead/Co Mgr: MS08/23/2006 Home Eq Market: USM-2 S&P DCCAA

JP Morgan Mortgage Acquisition Corp.9/24/09 2005-FLD1 Asset Seller: Fieldstone Mortgage CompanyLead/Co Mgr: JPM07/22/2005 Home Eq Market: USM-9 S&P DCCBBB-

JP Morgan Mortgage Acquisition Corp.9/24/09 2005-OPT2 Asset Seller: Option One MortgageLead/Co Mgr: JPM12/15/2005 Home Eq Market: USM-11 S&P DCCBB

JP Morgan Mortgage Acquisition Corp.9/24/09 2005-WMC1 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: JPM10/13/2005 Home Eq Market: USM-7 S&P DCCBBB+

JP Morgan Mortgage Acquisition Corp.9/24/09 2006-FRE2 Asset Seller: Fremont Financial Corp.Lead/Co Mgr: JPM03/09/2006 Home Eq Market: USM-6 S&P DCCA-


New





Issue Date

September 25, 2009


Deal Type Comments

JP Morgan Mortgage Acquisition Corp.9/24/09 2006-WF1 Asset Seller: Wells Fargo BankLead/Co Mgr: JPM08/11/2006 Home Eq Market: USM-5 S&P DCCA

JP Morgan Mortgage Acquisition Corp.9/24/09 2006-WMC2 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: JPM06/08/2006 Home Eq Market: USM-2 S&P DCCAA

JP Morgan Mortgage Acquisition Corp.9/24/09 2007-HE1 Asset Seller: JP Morgan ChaseLead/Co Mgr: JPM06/12/2007 Home Eq Market: USMV-7 S&P DCCBBB+

Kingsland CLO9/24/09 IV Asset Manager: Kingsland Capital Management, LLCLead/Co Mgr: WS02/01/2007 CDO Arbitrage Market: USB Moody's Baa3Aa2Aa2C Moody's B2Ba1A2D Moody's Caa3B2Baa3E Moody's CaCaa2Ba2

Long Beach Mortgage Loan Trust9/24/09 2005-2 Asset Seller: Long Beach MortgageLead/Co Mgr: GS/W03/23/2005 Home Eq Market: USM-9 S&P DCCBBB-

Long Beach Mortgage Loan Trust9/24/09 2006-1 Asset Seller: Long Beach MortgageLead/Co Mgr: CS/W01/26/2006 Home Eq Market: USM-3 S&P DCCAA

Long Beach Mortgage Loan Trust9/24/09 2006-10 Asset Seller: Long Beach MortgageLead/Co Mgr: WAM11/02/2006 Home Eq Market: USM-2 S&P DCCCAA

Long Beach Mortgage Loan Trust9/24/09 2006-WL1 Asset Seller: Long Beach MortgageLead/Co Mgr: GS/W01/09/2006 Home Eq Market: USM-4 S&P DCCA+

Long Beach Mortgage Loan Trust9/24/09 2006-WL3 Asset Seller: Long Beach MortgageLead/Co Mgr: LB/W02/07/2006 Home Eq Market: USM-2 S&P DBAA

Mastr Asset Backed Securities Trust9/24/09 2005-HE2 Asset Seller: UBSLead/Co Mgr: UBS09/27/2005 Home Eq Market: USM-7 S&P DCCBBB+

Mastr Asset Backed Securities Trust9/24/09 2006-AM1 Asset Seller: Aames Financial Corp.Lead/Co Mgr: UBS02/17/2006 Home Eq Market: USM-8 S&P DCCA+

Mastr Asset Backed Securities Trust9/24/09 2006-AM2 Asset Seller: Aames Financial Corp.Lead/Co Mgr: UBS07/25/2006 Home Eq Market: USM-7 S&P DCCA+

Mastr Asset Backed Securities Trust9/24/09 2006-HE4 Asset Seller: UBSLead/Co Mgr: UBS11/15/2006 Home Eq Market: USM-2 S&P DCCAA


New





Issue Date

September 25, 2009


Deal Type Comments

Mastr Asset Backed Securities Trust9/24/09 2006-WMC1 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: UBS03/09/2006 Home Eq Market: USM-2 S&P DCCAA+

Mastr Asset Backed Securities Trust9/24/09 2006-WMC3 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: UBS09/12/2006 Home Eq Market: USM-1 S&P DCCAA+

Mastr Asset Backed Securities Trust9/24/09 2007-HE1 Asset Seller: UBSLead/Co Mgr: UBS05/10/2007 Home Eq Market: USM-9 S&P DCCBBB-

Mastr Specialized Loan Trust9/24/09 2007-1 Asset Seller: UBSLead/Co Mgr: UBS03/29/2007 Home Eq Market: USM-4 S&P DCCA+

Meritage Mortgage Trust9/24/09 2004-1 Asset Seller: Meritage MortgageLead/Co Mgr: RBS03/10/2004 Home Eq Market: USM-4 S&P DCCA

Meritage Mortgage Trust9/24/09 2004-2 Asset Seller: Meritage MortgageLead/Co Mgr: RGW07/26/2004 Home Eq Market: USM-6 S&P DCCCA

Merrill Lynch First Franklin Mtg Loan Tr9/24/09 2007-1 Asset Seller: Merrill LynchLead/Co Mgr: ML03/27/2007 Home Eq Market: USM-3 S&P DCCCAA-

Merrill Lynch First Franklin Mtg Loan Tr9/24/09 2007-2 Asset Seller: Merrill LynchLead/Co Mgr: ML04/16/2007 Home Eq Market: USM-5 S&P DCCA



Merrill Lynch First Franklin Mtg Loan Tr9/24/09 2007-A Asset Seller: Merrill LynchLead/Co Mgr: ML09/06/2007 Home Eq Market: USM-2 S&P DCCAA

Merrill Lynch Mortgage Investors9/24/09 2005-HE2 Asset Seller: Merrill Lynch Mortgage InvestorsLead/Co Mgr: ML11/22/2005 Home Eq Market: USM-3 S&P DCCAA-

Merrill Lynch Mortgage Investors9/24/09 2005-HE3 Asset Seller: Merrill Lynch Mortgage InvestorsLead/Co Mgr: ML12/12/2005 Home Eq Market: USM-3 S&P DCCAA-

Merrill Lynch Mortgage Investors9/24/09 2005-NC1 Asset Seller: New Century FinancialLead/Co Mgr: ML01/28/2005 Home Eq Market: USB-5 S&P DCCBBB-


New





Issue Date

September 25, 2009


Deal Type Comments

Merrill Lynch Mortgage Investors9/24/09 2005-WMC1 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: ML01/21/2005 Home Eq Market: USB-6 S&P DCCBB+

Merrill Lynch Mortgage Investors9/24/09 2006-MLN1 Asset Seller: Mortgage Lender NetworkLead/Co Mgr: ML09/21/2006 Home Eq Market: USM-4 S&P DCCAA-

Merrill Lynch Mortgage Investors9/24/09 2006-SD1 Asset Seller: Merrill Lynch Mortgage InvestorsLead/Co Mgr: ML08/31/2006 Home Eq Market: USM-2 S&P DAA-AA-

Merrill Lynch Mortgage Investors9/24/09 2007-HE3 Asset Seller: Merrill Lynch Mortgage InvestorsLead/Co Mgr: ML05/30/2007 Home Eq Market: USM-5 S&P DCCA

Merrill Lynch Mortgage Synthetic9/24/09 2005-ACR1 Asset Seller: Merrill Lynch Mortgage InvestorsLead/Co Mgr: ML08/16/2005 Home Eq Market: USB-3 S&P DCCCBBB-

Morgan Stanley ABS Capital I9/24/09 2005-HE6 Asset Seller: Morgan StanleyLead/Co Mgr: MS11/16/2005 Home Eq Market: USB-1 S&P DCCA-

Morgan Stanley ABS Capital I9/24/09 2005-HE7 Asset Seller: Morgan StanleyLead/Co Mgr: MS12/02/2005 Home Eq Market: USB-1 S&P DCCCA-

Morgan Stanley ABS Capital I9/24/09 2006-HE2 Asset Seller: Morgan StanleyLead/Co Mgr: MS03/14/2006 Home Eq Market: USM-4 S&P DCCAA

Morgan Stanley ABS Capital I9/24/09 2006-NC2 Asset Seller: New Century FinancialLead/Co Mgr: MS02/27/2006 Home Eq Market: USM-5 S&P DCCA

Morgan Stanley ABS Capital I9/24/09 2006-NC3 Asset Seller: New Century FinancialLead/Co Mgr: MS03/29/2006 Home Eq Market: USM-4 S&P DCCCA+

Morgan Stanley ABS Capital I9/24/09 2006-NC4 Asset Seller: New Century FinancialLead/Co Mgr: MS05/22/2006 Home Eq Market: USM-4 S&P DCCA+

Morgan Stanley ABS Capital I9/24/09 2006-WMC2 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: MS05/24/2006 Home Eq Market: USM-1 S&P DCCAA+

Morgan Stanley ABS Capital I9/24/09 2007-HE3 Asset Seller: Morgan StanleyLead/Co Mgr: MS02/26/2007 Home Eq Market: USM-6 S&P DCCA-

Morgan Stanley ABS Capital I9/24/09 2007-NC2 Asset Seller: New Century FinancialLead/Co Mgr: MS04/26/2007 Home Eq Market: USB-1 S&P DCCBBB+


New





Issue Date

September 25, 2009


Deal Type Comments

Morgan Stanley ABS Capital I9/24/09 2007-NC4 Asset Seller: New Century FinancialLead/Co Mgr: MS06/15/2007 Home Eq Market: USM-2 S&P DCCCA+

Morgan Stanley Dean Witter Capital I9/24/09 2001-NC2 Asset Seller: New Century FinancialLead/Co Mgr: MS07/27/2001 Home Eq Market: USM-2 S&P DCCA

Morgan Stanley Home Equity Loans9/24/09 2006-2 Asset Seller: Morgan StanleyLead/Co Mgr: MS03/10/2006 Home Eq Market: USM-6 S&P DCCA

Morgan Stanley Home Equity Loans9/24/09 2007-1 Asset Seller: Morgan StanleyLead/Co Mgr: MS02/28/2007 Home Eq Market: USM-3 S&P DCCAA-

Morgan Stanley Structured Trust9/24/09 2007-1 Asset Seller: Morgan StanleyLead/Co Mgr: MS02/16/2007 Home Eq Market: USB-1 S&P DCCCBBB+

Nationstar Home Equity Loan Trust9/24/09 2006-B Asset Seller: Nationstar MortgageLead/Co Mgr: RGW09/08/2006 Home Eq Market: USM-10 S&P DCCBB+

New Century Home Equity Loan Trust9/24/09 2006-2 Asset Seller: New Century FinancialLead/Co Mgr: DB/LB06/22/2006 Home Eq Market: USM-8 S&P DCCBBB

Nomura Home Equity Loan9/24/09 2006-AF1 Asset Seller: Nomura Asset Securities Corp.Lead/Co Mgr: RGW11/03/2006 Home Eq Market: USM-1 S&P DCCAA

Nomura Home Equity Loan9/24/09 2006-HE2 Asset Seller: Nomura Asset Securities Corp.Lead/Co Mgr: NS04/21/2006 Home Eq Market: USM-5 S&P DCCA+

Nomura Home Equity Loan9/24/09 2006-WF1 Asset Seller: Wells Fargo BankLead/Co Mgr: NS/CI06/23/2006 Home Eq Market: USM-9 S&P DCCBBB

Nomura Home Equity Loan9/24/09 2007-1 Asset Seller: OcwenLead/Co Mgr: RGW01/25/2007 Home Eq Market: US1M-1 S&P DCCAA+

Nomura Home Equity Loan9/24/09 2007-2 Asset Seller: OcwenLead/Co Mgr: RGW01/30/2007 Home Eq Market: USM-4 S&P DCCAA

Novastar Home Equity Loan9/24/09 2004-4 Asset Seller: NovaStar Financial Inc.Lead/Co Mgr: RBS/11/03/2004 Home Eq Market: USB-3 S&P DCCCBBB

Novastar Home Equity Loan9/24/09 2006-1 Asset Seller: NovaStar Financial Inc.Lead/Co Mgr: RGW/04/21/2006 Home Eq Market: USM-7 S&P DCCA-


New





Issue Date

September 25, 2009


Deal Type Comments

Novastar Home Equity Loan9/24/09 2006-2 Asset Seller: NovaStar Financial Inc.Lead/Co Mgr: RGW/06/08/2006 Home Eq Market: USM-7 S&P DBA

Novastar Home Equity Loan9/24/09 2006-3 Asset Seller: NovaStar Financial Inc.Lead/Co Mgr: RGW/06/22/2006 Home Eq Market: USM-6 S&P DCCA+

Novastar Home Equity Loan9/24/09 2006-4 Asset Seller: NovaStar Financial Inc.Lead/Co Mgr: DB/R08/18/2006 Home Eq Market: USM-7 S&P DCCBBB+

Novastar Home Equity Loan9/24/09 2006-5 Asset Seller: NovaStar Financial Inc.Lead/Co Mgr: RGW/09/22/2006 Home Eq Market: USM-6 S&P DCCA

Novastar Home Equity Loan9/24/09 2006-6 Asset Seller: NovaStar Financial Inc.Lead/Co Mgr: RGW/11/20/2006 Home Eq Market: USM-8 S&P DCCCA-

Novastar Home Equity Loan9/24/09 2007-1 Asset Seller: NovaStar Financial Inc.Lead/Co Mgr: DB/R02/22/2007 Home Eq Market: USM-7 S&P DCCBBB+

Opera Finance9/24/09 CSC 3 Asset Seller: EurohypoLead/Co Mgr: RBS/04/29/2005 Other - CMBS Market: EuroA Moody's Aa2AaaAaa

Opteum Mortgage Acceptance Corpora9/24/09 2005-3 Asset Seller: Opteum Financial ServiceLead/Co Mgr: CITG06/07/2005 Home Eq Market: USM-10 S&P DCCBB+

Opteum Mortgage Acceptance Corpora9/24/09 2005-5 Asset Seller: Opteum Financial ServiceLead/Co Mgr: CITG11/15/2005 Home Eq Market: USM-6 S&P DCCA-

Opteum Mortgage Acceptance Corpora9/24/09 2006-1 Asset Seller: Opteum Financial ServiceLead/Co Mgr: BS/U03/20/2006 Home Eq Market: USM-5 S&P DCCA

Option One Mortgage Loan Trust9/24/09 2005-4 Asset Seller: Option One MortgageLead/Co Mgr: BOA/09/23/2005 Home Eq Market: USM-9 S&P DCCBBB-

Option One Mortgage Loan Trust9/24/09 2006-1 Asset Seller: Option One MortgageLead/Co Mgr: RGW/01/20/2006 Home Eq Market: USM-8 S&P DCCA+

Option One Mortgage Loan Trust9/24/09 2007-1 Asset Seller: Option One MortgageLead/Co Mgr: LB/ML01/16/2007 Home Eq Market: USM-6 S&P DCCA-

Option One Mortgage Loan Trust9/24/09 2007-3 Asset Seller: Option One MortgageLead/Co Mgr: BOA/03/20/2007 Home Eq Market: USM-7 S&P DCCBBB+


New





Issue Date

September 25, 2009


Deal Type Comments

Option One Mortgage Loan Trust9/24/09 2007-6 Asset Seller: Option One MortgageLead/Co Mgr: BOA/05/18/2007 Home Eq Market: USM-9 S&P DCCBBB-

Ownit Mortgage Loan Trust9/24/09 2006-4 Asset Seller: Ownit MortgageLead/Co Mgr: ML06/14/2006 Home Eq Market: USM-5 S&P DBAA

Ownit Mortgage Loan Trust9/24/09 2006-6 Asset Seller: Ownit MortgageLead/Co Mgr: ML09/14/2006 Home Eq Market: USM-4 S&P DCCA+

Ownit Mortgage Loan Trust9/24/09 2006-7 Asset Seller: Ownit MortgageLead/Co Mgr: ML10/27/2006 Home Eq Market: USM-3 S&P DB-AA-

Park Place Securities Inc9/24/09 2004-MHQ1 Asset Seller: Ameriquest (Park Place)Lead/Co Mgr: JPM09/24/2004 Home Eq Market: USM-8 S&P DCCBBB

Park Place Securities Inc9/24/09 2005-WHQ4 Asset Seller: Ameriquest (Park Place)Lead/Co Mgr: RGW/08/22/2005 Home Eq Market: USM-6 S&P DCCA

Popular ABS Mortgage9/24/09 2005-5 Asset Seller: Equity One ABS Inc.Lead/Co Mgr: RGW/10/14/2005 Home Eq Market: USBF-3 S&P DCCBB-BV-1 S&P DCCBB+

Popular ABS Mortgage9/24/09 2006-B Asset Seller: Equity One ABS Inc.Lead/Co Mgr: FBR/03/17/2006 Home Eq Market: USB-1 S&P DCCBBB

Popular ABS Mortgage9/24/09 2006-C Asset Seller: Equity One ABS Inc.Lead/Co Mgr: RGW/06/14/2006 Home Eq Market: USB-1 S&P DCCBB+

Popular ABS Mortgage9/24/09 2006-E Asset Seller: Equity One ABS Inc.Lead/Co Mgr: RGW/11/16/2006 Home Eq Market: USB-2 S&P DCCBB

Quest Mortgage Loan Trust9/24/09 2005-1 Asset Seller: AmeriquestLead/Co Mgr: CSFB/04/01/2005 Home Eq Market: USM-8 S&P DCCBB+

RAAC Series9/24/09 2006-RP3 Asset Seller: Residential Funding Corp. (RAAC)Lead/Co Mgr: RGW06/29/2006 Home Eq Market: USM-2 S&P DCCA

Renaissance Acceptance Mortgage Co9/24/09 2006-2 Asset Seller: Delta FundingLead/Co Mgr: RGW06/06/2006 Home Eq Market: USM-9 S&P DCCCBBB-


New





Issue Date

September 25, 2009


Deal Type Comments

Renaissance Acceptance Mortgage Co9/24/09 2006-4 Asset Seller: Delta FundingLead/Co Mgr: RGW/12/01/2006 Home Eq Market: USM-8 S&P DCCBBB

Residential Asset Mortgage Products9/24/09 2004-RS10 Asset Seller: Residential Asset Mortgage ProductsLead/Co Mgr: CSFB10/22/2004 Home Eq Market: US1M-3 S&P DCCBBB

Residential Asset Mortgage Products9/24/09 2005-EFC1 Asset Seller: EFC HoldingsLead/Co Mgr: RGW05/23/2005 Home Eq Market: USM-8 S&P DCCBBB

Residential Asset Mortgage Products9/24/09 2006-EFC2 Asset Seller: EFC HoldingsLead/Co Mgr: RFSC11/20/2006 Home Eq Market: USM-7 S&P DCCBBB+

Residential Asset Mortgage Products9/24/09 2006-RS1 Asset Seller: Residential Asset Mortgage ProductsLead/Co Mgr: CSFB/01/18/2006 Home Eq Market: USM-4 S&P DCCA+

Residential Asset Mortgage Products9/24/09 2006-RS2 Asset Seller: Residential Asset Mortgage ProductsLead/Co Mgr: BOA/02/24/2006 Home Eq Market: USM-5 S&P DCCA

Residential Asset Mortgage Products9/24/09 2006-RS5 Asset Seller: Residential Asset Mortgage ProductsLead/Co Mgr: RGW08/21/2006 Home Eq Market: USM-5 S&P DCCA

Residential Asset Mortgage Products9/24/09 2006-RS6 Asset Seller: Residential Asset Mortgage ProductsLead/Co Mgr: DB10/25/2006 Home Eq Market: USM-1 S&P DCCAA+

Residential Asset Mortgage Products9/24/09 2007-RS1 Asset Seller: Residential Asset Mortgage ProductsLead/Co Mgr: DB03/07/2007 Home Eq Market: USM-1 S&P DCCCAAA

Residential Asset Mortgage Products9/24/09 2007-RZ1 Asset Seller: Residential Asset Mortgage Products (RZ)Lead/Co Mgr: BOA02/20/2007 Home Eq Market: USM-7 S&P DCCA

Residential Asset Securities Corp.9/24/09 2001-KS2 Asset Seller: Residential Asset Securities Corp.Lead/Co Mgr: JPM06/07/2001 Home Eq Market: US2M-2 S&P DCCCA

Residential Asset Securities Corp.9/24/09 2005-KS2 Asset Seller: Residential Asset Securities Corp.Lead/Co Mgr: CSFB/02/15/2005 Home Eq Market: USM-4 S&P DCCA-

Residential Asset Securities Corp.9/24/09 2006-EMX2 Asset Seller: Mortgage Lender NetworkLead/Co Mgr: RFSC02/08/2006 Home Eq Market: USM-6 S&P DCCA+

Residential Asset Securities Corp.9/24/09 2006-EMX3 Asset Seller: Mortgage Lender NetworkLead/Co Mgr: RFSC04/10/2006 Home Eq Market: USM-5 S&P DCCA+


New





Issue Date

September 25, 2009


Deal Type Comments

Residential Asset Securities Corp.9/24/09 2006-EMX5 Asset Seller: Mortgage Lender NetworkLead/Co Mgr: RFS/B06/23/2006 Home Eq Market: USM-4 S&P DCCCAA

Residential Asset Securities Corp.9/24/09 2006-KS4 Asset Seller: Residential Asset Securities Corp.Lead/Co Mgr: CITG05/25/2006 Home Eq Market: USM-6 S&P DCCA-

Residential Asset Securities Corp.9/24/09 2006-KS6 Asset Seller: Residential Asset Securities Corp.Lead/Co Mgr: JPM07/21/2006 Home Eq Market: USM-6 S&P DCCA-

Residential Asset Securities Corp.9/24/09 2007-KS1 Asset Seller: Residential Asset Securities Corp.Lead/Co Mgr: ML02/06/2007 Home Eq Market: USM-6 S&P DCCA-

Residential Asset Securities Corp.9/24/09 2007-KS2 Asset Seller: Residential Asset Securities Corp.Lead/Co Mgr: JPM02/21/2007 Home Eq Market: USM-6 S&P DCCA-

Residential Asset Securities Corp.9/24/09 2007-KS3 Asset Seller: Residential Asset Securities Corp.Lead/Co Mgr: JPM/03/26/2007 Home Eq Market: USM-7 S&P DCCBBB+

ResMae Mortgage Loan Trust9/24/09 2007-1 Asset Seller: Residential Mortgage Assistance EnterpriseLead/Co Mgr: LB11/01/2007 Home Eq Market: USM-7 S&P DCCA-

Saxon Asset Securities Trust9/24/09 2006-2 Asset Seller: Saxon MortgageLead/Co Mgr: CSFB05/30/2006 Home Eq Market: USB-3 S&P DCCBBB

Saxon Asset Securities Trust9/24/09 2006-3 Asset Seller: Saxon MortgageLead/Co Mgr: MS/R09/29/2006 Home Eq Market: USM-6 S&P DCCA

Securitized Asset Backed Receivables9/24/09 2005-FR4 Asset Seller: Fremont Financial Corp.Lead/Co Mgr: BCG09/09/2005 Home Eq Market: USB-4 S&P DCCBB+

Securitized Asset Backed Receivables9/24/09 2007-BR1 Asset Seller: BarclaysLead/Co Mgr: BCG03/29/2007 Home Eq Market: USM-4 S&P DCCA+

Securitized Asset Backed Receivables9/24/09 2007-BR2 Asset Seller: New Century FinancialLead/Co Mgr: BCG05/10/2007 Home Eq Market: USM-4 S&P DCCA+

Securitized Asset Backed Receivables9/24/09 2007-NC1 Asset Seller: New Century FinancialLead/Co Mgr: BCG01/11/2007 Home Eq Market: USM-3 S&P DCCCAA-

Security National Mortgage Loan Trust9/24/09 2006-3 Asset Seller: Security National Mortgage Loan TrustLead/Co Mgr: BMO12/21/2006 Home Eq Market: USB S&P DBBBBBB


New





Issue Date

September 25, 2009


Deal Type Comments

SG Mortgage Securities Trust9/24/09 2005-OPT1 Asset Seller: Option One MortgageLead/Co Mgr: SG/B10/14/2005 Home Eq Market: USM-9 S&P DCCBBB

SG Mortgage Securities Trust9/24/09 2006-OPT2 Asset Seller: Option One MortgageLead/Co Mgr: DB/S11/17/2006 Home Eq Market: USM-7 S&P DCCBBB+

SG Mortgage Securities Trust9/24/09 2007-NC1 Asset Seller: New Century FinancialLead/Co Mgr: CS/S04/20/2007 Home Eq Market: USM-7 S&P DCCCA-

Soundview Home Equity Loan Asset B9/24/09 2005-B Asset Seller: Greenwich CapitalLead/Co Mgr: RGW10/12/2005 Home Eq Market: USM-6 S&P DBA-

Soundview Home Equity Loan Asset B9/24/09 2006-OPT1 Asset Seller: Option One MortgageLead/Co Mgr: RGW03/07/2006 Home Eq Market: USM-6 S&P DCCBBB+

Soundview Home Equity Loan Asset B9/24/09 2006-OPT4 Asset Seller: Option One MortgageLead/Co Mgr: RGW05/16/2006 Home Eq Market: USM-4 S&P DCCA

Soundview Home Equity Loan Asset B9/24/09 2006-OPT5 Asset Seller: Option One MortgageLead/Co Mgr: RGW05/24/2006 Home Eq Market: USM-6 S&P DCCA-

Soundview Home Equity Loan Asset B9/24/09 2006-WF1 Asset Seller: Wells Fargo BankLead/Co Mgr: RGW10/26/2006 Home Eq Market: USM-5 S&P DCCA

Soundview Home Equity Loan Asset B9/24/09 2007-NS1 Asset Seller: Nationstar MortgageLead/Co Mgr: RGW03/02/2007 Home Eq Market: USM-9 S&P DCCBBB-

Soundview Home Equity Loan Asset B9/24/09 2007-OPT3 Asset Seller: Option One MortgageLead/Co Mgr: RGW06/21/2007 Home Eq Market: USM-10 S&P DCCBB+

Soundview Home Equity Loan Asset B9/24/09 2007-WMC1 Asset Seller: WMC Mortgage Corp.Lead/Co Mgr: RGW03/12/2007 Home Eq Market: USM-5 S&P DCCA

Specialty Underwriting and Residential 9/24/09 2005-BC2 Asset Seller: Merrill Lynch Mortgage LendingLead/Co Mgr: ML05/11/2005 Home Eq Market: USB-2 S&P DCCBBB

Specialty Underwriting and Residential 9/24/09 2007-AB1 Asset Seller: Merrill Lynch Mortgage LendingLead/Co Mgr: ML03/13/2007 Home Eq Market: USM-5 S&P DCCA

Specialty Underwriting and Residential 9/24/09 2007-BC1 Asset Seller: Merrill Lynch Mortgage LendingLead/Co Mgr: ML01/10/2007 Home Eq Market: USM-4 S&P DCCA+


New





Issue Date

September 25, 2009


Deal Type Comments

Stanfield McLaren CLO9/24/09 I Asset Manager: Stanfield Capital PartnersLead/Co Mgr: BS06/22/2007 CDO Arbitrage Market: USA-1L Moody's Aa1AaaAaa

A-1LV Moody's Aa1AaaAaaA-2L Moody's A2Aa2Aa2B-1L Moody's B1Ba3Baa2B-2L Moody's Caa3B3Ba2

Structured Asset Investment Loan Trus9/24/09 2004-BNC2 Asset Seller: BNC MortgageLead/Co Mgr: LB10/21/2004 Home Eq Market: USM-5 S&P DCCA

Structured Asset Investment Loan Trus9/24/09 2005-1 Asset Seller: Lehman CapitalLead/Co Mgr: LB01/21/2005 Home Eq Market: USM-6 S&P DCCA-

Structured Asset Investment Loan Trus9/24/09 2005-11 Asset Seller: Lehman CapitalLead/Co Mgr: LB12/21/2005 Home Eq Market: USM-2 S&P DCCCAA-

Structured Asset Investment Loan Trus9/24/09 2005-4 Asset Seller: Lehman CapitalLead/Co Mgr: LB04/25/2005 Home Eq Market: USM-8 S&P DCCBBB+

Structured Asset Investment Loan Trus9/24/09 2005-7 Asset Seller: Lehman CapitalLead/Co Mgr: LB07/26/2005 Home Eq Market: USM-6 S&P DCCA-

Structured Asset Investment Loan Trus9/24/09 2006-1 Asset Seller: Lehman CapitalLead/Co Mgr: LB01/26/2006 Home Eq Market: USM-3 S&P DCCAA

Structured Asset Investment Loan Trus9/24/09 2006-3 Asset Seller: Lehman CapitalLead/Co Mgr: LB05/24/2006 Home Eq Market: USM-3 S&P DCCAA-

Structured Asset Investment Loan Trus9/24/09 2006-BNC3 Asset Seller: BNC MortgageLead/Co Mgr: LB08/23/2006 Home Eq Market: USM-2 S&P DCCAA-

Structured Asset Securities9/24/09 2005-S6 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB10/25/2005 Home Eq Market: USM-3 S&P DCCCAA-

Structured Asset Securities9/24/09 2006-BC1 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB04/27/2006 Home Eq Market: USM-4 S&P DCCAA

Structured Asset Securities9/24/09 2006-BC3 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB10/13/2006 Home Eq Market: USM-3 S&P DCCAA-


New





Issue Date

September 25, 2009


Deal Type Comments

Structured Asset Securities9/24/09 2006-BC4 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB11/22/2006 Home Eq Market: USM-4 S&P DCCA+

Structured Asset Securities9/24/09 2006-GEL3 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB07/27/2006 Home Eq Market: USM-4 S&P DCCA-

Structured Asset Securities9/24/09 2007-BC1 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB01/25/2007 Home Eq Market: USM-7 S&P DCCCBBB+

Structured Asset Securities9/24/09 2007-BNC1 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB11/02/2007 Home Eq Market: USM-9 S&P DCCBBB-

Structured Asset Securities9/24/09 2007-GEL1 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB02/06/2007 Home Eq Market: USM-4 S&P DCCCA

Structured Asset Securities9/24/09 2007-OS1 Asset Seller: Lehman ABS Corp.Lead/Co Mgr: LB05/25/2007 Home Eq Market: USM-7 S&P DCCCBBB+

TCW MAC Capital9/24/09 I Asset Manager: TCWLead/Co Mgr: BS05/02/2007 CDO Arbitrage Market: USA-1L Moody's Aa3AaaAaaA-2L Moody's Baa1Aa2Aa2A-3L Moody's Ba3A2A2B-1F Moody's Caa1Baa2Baa2B-1L Moody's Caa1Baa2Baa2B-2F Moody's Caa3Ba2Ba2B-2L Moody's Caa3Ba2Ba2

Terwin Mortgage Trust9/24/09 2004-3HE Asset Seller: Terwin Advisors LLC.Lead/Co Mgr: ML03/31/2004 Home Eq Market: USB-2 S&P DCCCBBB

Terwin Mortgage Trust9/24/09 2004-7HE Asset Seller: Terwin Advisors LLC.Lead/Co Mgr: TER05/27/2004 Home Eq Market: USB-3 S&P DBB-BBB-

Terwin Mortgage Trust9/24/09 2005-9HGS Asset Seller: Terwin Advisors LLC.Lead/Co Mgr: WINT08/01/2005 Home Eq Market: USM-3 S&P DAA

Terwin Mortgage Trust9/24/09 2006-11 Asset Seller: Terwin Advisors LLC.Lead/Co Mgr: WINT09/21/2006 Home Eq Market: USM-3 S&P DCCAA-

Terwin Mortgage Trust9/24/09 2006-7 Asset Seller: Terwin Advisors LLC.Lead/Co Mgr: WINT07/26/2006 Home Eq Market: US1M-4 S&P DCCA+


New





Issue Date

September 25, 2009


Deal Type Comments

WAMU Asset Backed Certificates9/24/09 2007-HE1 Asset Seller: Long Beach MortgageLead/Co Mgr: WAM01/17/2007 Home Eq Market: USM-3 S&P DCCAA-

Washington Mutual Asset Backed Sec9/24/09 2006-HE1 Asset Seller: Washington MutualLead/Co Mgr: WAM03/24/2006 Home Eq Market: USM-6 S&P DCCA+

Washington Mutual Asset Backed Sec9/24/09 2006-HE4 Asset Seller: Washington MutualLead/Co Mgr: WAM10/27/2006 Home Eq Market: USM-3 S&P DCCAA

Washington Mutual Asset Backed Sec9/24/09 2007-HE1 Asset Seller: Washington MutualLead/Co Mgr: WAM01/16/2007 Home Eq Market: USM-4 S&P DCCA+

Washington Mutual Asset Backed Sec9/24/09 2007-HE2 Asset Seller: Washington MutualLead/Co Mgr: WCG03/06/2007 Home Eq Market: USM-3 S&P DCCAA-

Westbrook CLO9/24/09 I Asset Manager: Shenkman CapitalLead/Co Mgr: DB11/29/2006 CDO Arbitrage Market: USA-2 Moody's Aa1AaaAaaB Moody's A1Aa2Aa2E Moody's Caa2B3Ba2

CIT Group Securitization Corp. II9/23/09 1995-1 Asset Seller: CIT Group Holdings Inc.Lead/Co Mgr: CSFB02/14/1995 MH Market: USA-5 Moody's CaBaa2Aa3

Conseco Manufactured Housing Pass-9/23/09 2001-3 Asset Seller: Conseco Finance Securitization Corp.Lead/Co Mgr: ML08/17/2001 MH Market: USA-4 Moody's B2B1Aaa

CSFB Manufactured Housing Pass-Thr9/23/09 2001-MH29 Asset Seller: CIT Group Holdings Inc.Lead/Co Mgr: CSFB11/19/2001 MH Market: USB-2 Moody's CaBaa2

CSFB Manufactured Housing Pass-Thr9/23/09 2002-MH3 Asset Seller: CIT Group Holdings Inc.Lead/Co Mgr: CSFB04/09/2002 MH Market: USA Moody's Aa1AaaAaa

B-2 Moody's CaBaa2A2

FTA Santander Consumer Spain Auto9/23/09 2007-1 Asset Seller: Santander Consumer EFCLead/Co Mgr: CAL/S05/21/2007 Auto - P Market: EuroB Fitch A-AAC Fitch BBBBBBBB


New





Issue Date

September 25, 2009


Deal Type Comments

FTA Santander Consumer Spain Auto9/23/09 2007-2 Asset Seller: Santander Consumer EFCLead/Co Mgr: JPM/09/21/2007 Auto - P Market: EuroA Moody's Baa3Aa1AaaB Moody's Caa1A3Aa3C Moody's CaBa1A1D Moody's CB3Baa3E Moody's CCaa3

Rampart CLO9/23/09 2006-1 Asset Manager: Stone Tower ManagementLead/Co Mgr: CITG11/03/2006 CDO Arbitrage Market: USA-2 Moody's Aa3Aa2Aa2

Rampart CLO9/23/09 2007-1 Asset Manager: Stone Tower ManagementLead/Co Mgr: BOA10/16/2007 CDO Arbitrage Market: USB Moody's A1Aa2Aa2

Sorin Real Estate CDO9/23/09 II Asset Manager: Sorin Capital ManagementLead/Co Mgr: BS/W12/08/2005 CDO Arbitrage Market: USA Moody's CBaa3AaaX Moody's CBaa3AaaB Moody's CBa3Aa2C Moody's CB2A2D Moody's CCaa1Baa2E Moody's CCaa1Baa3F Moody's CCaa2Ba1G Moody's CCaa2Ba2H Moody's CCaa2Ba3

TdA9/23/09 25 Asset Seller: Spanish bank consortiumLead/Co Mgr: BS07/31/2006 Other - Mtge Market: EuroB S&P CCCBA-C S&P DCCCBBB

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 2001-A Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: CSFB02/15/2001 MH Market: USM-1 Moody's Ba2Baa1A2

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 2001-B Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: CSFB08/14/2001 MH Market: USA-5 Moody's Baa2Aa3Aa2M-1 Moody's Ba3Baa1A2

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 2001-C Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: CSFB11/13/2001 MH Market: USA-5 Moody's A1Aa2Aa2M-1 Moody's Baa2A2A2


New





Issue Date

September 25, 2009


Deal Type Comments

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 2002-B Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: CSFB08/16/2002 MH Market: USM-1 Moody's A3A2A2

Venture CLO9/23/09 VI Asset Manager: MJX Asset ManagementLead/Co Mgr: JPM06/29/2006 CDO Arbitrage Market: USA-1 Moody's Aa2AaaAaaA-1J Moody's A1Aa1AaaA-2 Moody's A3Aa2Aa2B Moody's Ba1Baa3A2C Moody's B2Ba3Baa2

ACA CLO9/22/09 2006-2 Asset Manager: ACA Management LLCLead/Co Mgr: RGW11/10/2006 CDO Arbitrage Market: USA-1 Moody's Aa2AaaAaaA-2 Moody's A3Aa2Aa2C Moody's B1Ba3Baa2D Moody's Caa3B3Ba2

Aspen Funding Ltd9/22/09 I Asset Seller: Lead/Co Mgr: BS05/16/2002 CDO Balance Sheet Market: USA-1L Moody's Ba1A2AaaA-2L Moody's Caa3Ba3Aa2A-3L Moody's CaCaa3A2B-1L Moody's CCaBaa3

Columbus Nova CLO9/22/09 I Asset Manager: Columbus Nova Credit Investments ManaLead/Co Mgr: MS07/18/2006 CDO Arbitrage Market: USA Moody's Aa1AaaAaaB Moody's A2Aa2Aa2E Moody's Caa1B3Ba2

Columbus Nova CLO9/22/09 IV Asset Manager: Columbus Nova Credit Investments ManaLead/Co Mgr: UBS10/02/2007 CDO Arbitrage Market: USA-2 Moody's Aa2AaaAaaB Moody's A1Aa2Aa2

Coronado CDO9/22/09 I Asset Manager: Western Asset ManagementLead/Co Mgr: DB08/20/2003 CDO Arbitrage Market: USA-1 Moody's B3Baa2AaaA-2 Moody's B3Baa2Aaa

European Loan Conduit9/22/09 22 (Perseus) Asset Seller: Morgan Stanley Mortgage CapitalLead/Co Mgr: MS12/14/2005 Other - CMBS Market: EuroA-2 Moody's Aa3AaaAaa


New





Issue Date

September 25, 2009


Deal Type Comments

Four Corners CLO9/22/09 III Asset Manager: Four Corners CapitalLead/Co Mgr: UBS08/22/2006 CDO Arbitrage Market: USA Moody's A1AaaAaaB Moody's Baa2Aa2Aa2C Moody's Ba2Baa3A2D Moody's B2Ba3Baa2E Moody's Caa3B3Ba2

Gale Force9/22/09 2 Asset Manager: GSO Capital PartnersLead/Co Mgr: WS06/06/2006 CDO Arbitrage Market: USA Moody's Aa1AaaAaaB Moody's Aa3Aa2Aa2

Golub Capital Management9/22/09 2007-1 Asset Manager: Golub CapitalLead/Co Mgr: WS06/06/2007 CDO Arbitrage Market: USB Moody's Aa3Aa2Aa2

Helios9/22/09 I Asset Manager: Hyperion Capital MgmtLead/Co Mgr: DBAB12/14/2001 CDO Arbitrage Market: USA Moody's Ba1A2AaaB Moody's B3B2Aa2

Kennecott Funding9/22/09 2005-1 Asset Manager: Guggenheim GroupLead/Co Mgr: WS12/21/2005 CDO Arbitrage Market: USA-1 Moody's Aa3AaaAaa

A-2B Moody's A2Aa1Aa1B Moody's A3Aa2Aa2

Landmark CLO Ltd9/22/09 IV Asset Manager: Aladdin Capital MgmtLead/Co Mgr: BS09/23/2003 CDO Arbitrage Market: USA-1LB Moody's Aa1AaaAaaA-2L Moody's A1Aa2Aa2B-2L Moody's Caa1B3Ba2

Latitude CLO9/22/09 III Asset Manager: Lufkin Advisors LLCLead/Co Mgr: BCG03/28/2007 CDO Arbitrage Market: USA Moody's Aa1AaaAaaB Moody's A1Aa1Aa1C Moody's Baa1Aa2Aa2D Moody's Ba2Baa3A2E Moody's B2Ba3Baa2F Moody's CaB3Ba2

Orchid CDO Limited9/22/09 I Asset Manager: ST Asset Management Pte. (STAM)Lead/Co Mgr: LB11/01/2003 CDO Arbitrage Market: USA-1MM Moody's B2A2


New





Issue Date

September 25, 2009


Deal Type Comments

Pacific Shores9/22/09 I Asset Manager: Pacific Investment Mgmt Co.Lead/Co Mgr: CSFB05/14/2002 CDO Arbitrage Market: USA Moody's Ba1A2Aaa

Stanfield Azure CLO9/22/09 2006 Asset Manager: Stanfield Capital PartnersLead/Co Mgr: BS02/28/2006 CDO Arbitrage Market: USA-1LA Moody's Aa3AaaAaaA-1LB Moody's Aa3AaaAaaA-2L Moody's Baa2Aa2Aa2A-3L Moody's Ba3Baa3A2B-1L Moody's Caa3Ba3Baa2

Stansfield Modena CLO9/22/09 I Asset Seller: Lehman Brothers Inc.Lead/Co Mgr: LB08/16/2004 CDO Balance Sheet Market: USA Moody's Aa3AaaAaaC Moody's Ba2Baa3A2D Moody's Caa3Ba3Baa2

Apidos CDO9/21/09 I Asset Manager: Apidos CapitalLead/Co Mgr: CSFB06/30/2005 CDO Arbitrage Market: USA-1 Moody's Aa1AaaAaaA-2 Moody's A2Aa2Aa2C Moody's B1Ba3Baa2D Moody's Caa3B3Ba2

Apidos CDO9/21/09 II Asset Manager: Apidos CapitalLead/Co Mgr: CSFB11/22/2005 CDO Arbitrage Market: USA-1 Moody's Aa1AaaAaaA-2 Moody's Aa1AaaAaaA-3 Moody's A3Aa2Aa2B Moody's Ba1Baa3A2C Moody's B3Ba3Baa2D Moody's Caa3B3Ba2

Apidos CDO9/21/09 III Asset Manager: Apidos CapitalLead/Co Mgr: CITG04/03/2006 CDO Arbitrage Market: USA-1 Moody's Aa1AaaAaaA-2 Moody's A2Aa2Aa2D Moody's Caa2B3Ba2


New





Issue Date

September 25, 2009


Deal Type Comments

Apidos CDO9/21/09 IV Asset Manager: Apidos CapitalLead/Co Mgr: MS08/10/2006 CDO Arbitrage Market: USA-1 Moody's Aa1AaaAaaA-2 Moody's Aa1AaaAaaB Moody's A3Aa2Aa2D Moody's B3Ba3Baa2E Moody's Caa3B3Ba2

Babson CLO9/21/09 2004-I Asset Manager: David L. Babson (Mass Mutual)Lead/Co Mgr: MS05/07/2004 CDO Arbitrage Market: USA-1 Moody's A1AaaAaaB Moody's Baa1Aa2Aa2

C-1 Moody's Ba2Ba1A2C-2 Moody's Ba2Ba1A2D Moody's Caa3B1Baa2

Cordatus CLO9/21/09 I Asset Manager: CVC CordatusLead/Co Mgr: RGW12/20/2006 CDO Arbitrage Market: EuroA-1 Moody's Aa1AaaAaaA-2 Moody's Aa1AaaAaaB Moody's A3Aa2Aa2

Eaton Vance CDO, Ltd9/21/09 X Asset Manager: Eaton VanceLead/Co Mgr: CITG03/02/2007 CDO Arbitrage Market: EuroB-1 Moody's Aa3Aa2Aa2B-2 Moody's Aa3Aa2Aa2

GMACM Home Equity Loan Trust9/21/09 2001-HE2 Asset Seller: GMAC Mortgage Corp.Lead/Co Mgr: GW06/25/2001 Home Eq Market: US1A-2 Moody's B1Ba2Aaa

GMACM Home Equity Loan Trust9/21/09 2004-HE5 Asset Seller: GMAC Mortgage Corp.Lead/Co Mgr: RBS11/18/2004 Home Eq Market: USA-5 Moody's B2Ba1AaaA-6 Moody's B2Ba1Aaa

GoldenTree Loan Opportunity Fund9/21/09 IV Asset Manager: Golden TreeLead/Co Mgr: DB06/29/2007 CDO Arbitrage Market: USA-2 Moody's Aa3Aa2Aa2

GoldenTree Loan Opportunity Fund9/21/09 V Asset Manager: Golden TreeLead/Co Mgr: LB09/13/2007 CDO Arbitrage Market: USA Moody's Aa2AaaAaaB Moody's A2Aa2Aa2


New





Issue Date

September 25, 2009


Deal Type Comments

Greyrock CLO9/21/09 2005-1 Asset Manager: Aladdin Capital MgmtLead/Co Mgr: BS08/17/2005 CDO Arbitrage Market: USA-1L Moody's Aa1AaaAaaA-2L Moody's A1Aa2Aa2B-2F Moody's Caa3B3Ba2B-2L Moody's Caa3B3Ba2

Home Equity Mortgage Trust9/21/09 2004-2 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CSFB04/06/2004 Home Eq Market: USB-1 Moody's Baa3Baa1Baa1B-2 Moody's CaB3Baa2

B-3A Moody's CCaa2Baa3B-3F Moody's CCaa2Baa3

Home Equity Mortgage Trust9/21/09 2004-4 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CSFB08/23/2004 Home Eq Market: USM-6 Moody's Caa2B3A3B-1 Moody's CCaa1Baa1B-2 Moody's CCaa2Baa2

Metrix Funding9/21/09 2005-1 Asset Seller: HSBCLead/Co Mgr: HSBC11/15/2005 CDO Balance Sheet Market: USB-3 Moody's A1Aa2Aa2E-3 Moody's Caa2Ba2Ba2

Octagon Investment Partners9/21/09 XI Asset Manager: Octagon Credit InvestorsLead/Co Mgr: CITG06/28/2007 CDO Arbitrage Market: USA-1 Moody's Aa1AaaAaa

A-1R Moody's Aa1AaaAaaA-2 Moody's Aa3Aa2Aa2

Option One Mortgage Loan Trust9/21/09 2007-FXD1 Asset Seller: Option One MortgageLead/Co Mgr: RGW/01/18/2007 Home Eq Market: US3-A2 S&P AAAAAA

Residential Funding Mtg Sec II9/21/09 2004-HS2 Asset Seller: Residential Funding Corp.Lead/Co Mgr: RBS06/22/2004 Home Eq Market: US2A Moody's B3Ba3Aaa

SACO I Inc9/21/09 2004-3A Asset Seller: Bear Stearns Asset Backed Securities Inc.Lead/Co Mgr: BS12/30/2004 Home Eq Market: USM-2 Moody's B2Ba1A2B-1 Moody's CaCaa3Baa2


New





Issue Date

September 25, 2009


Deal Type Comments

Southfork CLO Ltd.9/21/09 I Asset Manager: Highland Capital Mgmt LPLead/Co Mgr: JPM02/04/2005 CDO Arbitrage Market: USA-1A Moody's Aa2AaaAaaA-1B Moody's Aa2AaaAaaA-1G Moody's Aa2AaaAaaA-2 Moody's A2AaaAaa

A-3A Moody's Baa1Aa2Aa2A-3B Moody's Baa1Aa2Aa2

B Moody's Ba2Baa3A2C Moody's Caa2Ba3Baa2

Stone Tower CLO9/21/09 III Asset Manager: Stone Tower ManagementLead/Co Mgr: CSFB04/27/2005 CDO Arbitrage Market: USA-1 Moody's Aa2AaaAaaA-2 Moody's Aa2AaaAaaA-3 Moody's A2Aa2Aa2C-1 Moody's B1Ba3Baa2C-2 Moody's B1Ba3Baa2D-1 Moody's Caa3B3Ba2D-2 Moody's Caa3B3Ba2

Symphony CLO9/21/09 6 Asset Manager: Symphony Asset ManagementLead/Co Mgr: CITG07/29/2008 CDO Arbitrage Market: USA-1 Moody's Aa3AaaAaaA-2 Moody's A3Aa2Aa2D Moody's Caa1B3Ba2

Wilco9/21/09 2007-1 Asset Seller: West IMMOLead/Co Mgr: WLB01/25/2007 Other - CMBS Market: EuroB Fitch BBBAAAA

RHYNO CBO9/20/09 1997-1 Asset Manager: Bear Stearns Asset MgmtLead/Co Mgr: BS09/19/1997 CDO Arbitrage Market: USB Fitch DCBBB-

Downgrades


New





Issue Date

September 25, 2009


Deal Type Comments

Argent Securities Inc.9/24/09 2004-W11 Asset Seller: Ameriquest (Argent)Lead/Co Mgr: RBS09/30/2004 Home Eq Market: USM-1 S&P AA+AA+AA+M-2 S&P AA+AA+AA+M-3 S&P AAAAAAM-4 S&P AA-AA-AA-M-5 S&P A+A+A+M-6 S&P AAAM-7 S&P A-A-A-M-10 S&P BBB-BBB-BBB-M-8 S&P BBB+BBB+BBB+M-9 S&P BBBBBBBBB

Centex Home Equity Loan Trust9/24/09 2004-D Asset Seller: Centex Corp.Lead/Co Mgr: CITG09/08/2004 Home Eq Market: USMV-1 S&P AAAAAAMV-2 S&P AA-AA-AA-MV-3 S&P A+A+A+MV-4 S&P AAAMV-5 S&P A-A-A-MF-3 S&P BBB+BBB+BBB+MV-6 S&P BBB+BBB+BBB+

Encore Credit Receivables Trust9/24/09 2005-2 Asset Seller: Encore Credit CorpLead/Co Mgr: WS/C05/20/2005 Home Eq Market: US1A-1 S&P AAAAAAAAA2A-4 S&P AAAAAAAAAM-1 S&P AA+AA+AA+M-2 S&P AAAAAAM-3 S&P AAAAAAM-4 S&P AAAAAAM-5 S&P AA-AA-AA-M-6 S&P AAA

First Franklin Mtg Loan Asset Backed 9/24/09 2004-FFC Asset Seller: First Franklin Financial Corp.Lead/Co Mgr: ML12/23/2004 Home Eq Market: USB-1 S&P AABBB+B-2 S&P BBBBBBBBBB-3 S&P BBB-BBB-BBB-


New





Issue Date

September 25, 2009


Deal Type Comments

Home Equity Mortgage Trust9/24/09 2004-2 Asset Seller: CS First Boston Mortgage Securities Corp.Lead/Co Mgr: CSFB04/06/2004 Home Eq Market: USM-2 S&P AAAB-1 S&P BBB+BBB+BBB+B-2 S&P BBBBBBBBB

Security National Mortgage Loan Trust9/24/09 2006-3 Asset Seller: Security National Mortgage Loan TrustLead/Co Mgr: BMO12/21/2006 Home Eq Market: USA-1 S&P AAAAAAAAAA-2 S&P AAAAAAAAAA-3 S&P AAAAAAAAAM-1 S&P AAAAAAM-2 S&P AAA

Soundview Home Equity Loan Asset B9/24/09 2005-B Asset Seller: Greenwich CapitalLead/Co Mgr: RGW10/12/2005 Home Eq Market: USM-1 S&P AA+AA+AA+M-2 S&P AAAAAAM-3 S&P A-A-AA-M-4 S&P BBB-BBB-A+M-5 S&P BBBBA

Terwin Mortgage Trust9/24/09 2004-7HE Asset Seller: Terwin Advisors LLC.Lead/Co Mgr: TER05/27/2004 Home Eq Market: USA-1 S&P AAAAAAAAAA-3 S&P AAAAAAAAAS S&P AAAAAAAAA

M-1 S&P AAAAAAM-2 S&P AAAM-3 S&P A-A-A-B-1 S&P BBB+BBB+BBB+B-2 S&P BB+BB+BBBN S&P BBB-BBB-BBB-

ALBA9/23/09 2006-2 Asset Seller: Oakwood Homeloans LtdLead/Co Mgr: CS10/20/2006 Other - Non Conf Market: EuroA-3A Moody's AaaAaaAaaA-3B Moody's AaaAaaAaa

B Moody's Aa2Aa2Aa2


New





Issue Date

September 25, 2009


Deal Type Comments

ALBA9/23/09 2007-1 Asset Seller: Oakwood Homeloans LtdLead/Co Mgr: CSFB05/14/2007 Other - Non Conf Market: EuroA2 Moody's Aa1Aa1AaaA3 Moody's Aa1Aa1AaaB Moody's Aa3Aa3Aa2F Moody's Caa3Caa3Baa2

Astir (Isara)9/23/09 I Asset Manager: FortisLead/Co Mgr: FOR02/15/2007 CDO Arbitrage Market: EuroA-1 S&P AAAAAAAAAA-2 S&P BBB-BBB-AAA

Curzon Funding9/23/09 2006-1 Asset Seller: AIG International UKLead/Co Mgr: AIG04/06/2006 CDO Balance Sheet Market: USA S&P CCC+CCC+

TdA9/23/09 25 Asset Seller: Spanish bank consortiumLead/Co Mgr: BS07/31/2006 Other - Mtge Market: EuroA S&P AAAAAAAAA

ALBA9/21/09 2006-2 Asset Seller: Oakwood Homeloans LtdLead/Co Mgr: CS10/20/2006 Other - Non Conf Market: EuroA-3A Fitch AAAAAAAAAA-3B Fitch AAAAAAAAA

B Fitch AAAAAAAAAC Fitch AAAAAAD Fitch BBB+BBB+AE Fitch BBBBBF Fitch CCCCBB

ALBA9/21/09 2007-1 Asset Seller: Oakwood Homeloans LtdLead/Co Mgr: CSFB05/14/2007 Other - Non Conf Market: EuroA2 Fitch AA+AA+AAAA3 Fitch AA+AA+AAAB Fitch AA-AA-AAAC Fitch BBBBBBAA-D Fitch BBBBA-E Fitch CCCCCCBBBF Fitch CCCCBB


New





Issue Date

September 25, 2009


Deal Type Comments

GEM EM9/20/09 2005-1 Asset Manager: TCW Advisors Inc.Lead/Co Mgr: CITG05/19/2005 CDO Arbitrage Market: USA-1A S&P AAAAAAAAAA-1B S&P AAAAAAAAAA-2 S&P AAAAAAAAAA-3 S&P AAAAAAB S&P A-A-A-C S&P BBBBBBBBB

D-1 S&P BBBBBBD-2 S&P BBBBBB

GEM LIGOS9/20/09 III Asset Manager: TCW Asset ManagementLead/Co Mgr: CITG02/09/2006 CDO Arbitrage Market: USA-1 S&P AAAAAAAAAA-2 S&P AAAAAAAAAA-3 S&P AAAAAAB S&P A-A-A-C S&P BBBBBBBBBD S&P BBBBBB

ICE9/20/09 1 Asset Manager: Canyon Capital PartnersLead/Co Mgr: CITG06/08/2007 CDO Arbitrage Market: USA-1 S&P AAAAAAAAAA-2 S&P AAAAAAAAAA-3 S&P AAAAAAB S&P AAAC S&P BBBBBBBBBD S&P BBBBBB

Downgrades

Capital One Prime Auto Receivables Tr9/24/09 2006-1 Asset Seller: Capital One BankLead/Co Mgr: CS/M02/28/2006 Auto - P Market: USB Moody's A1A1A3

Upgrades

GE Capital Credit Card Master Note Tr9/24/09 2007-3 Asset Seller: GE CapitalLead/Co Mgr: JPM06/22/2007 CrCrds - Retail Market: USB S&P A+AAC S&P A-BBBBBB


New





Issue Date

September 25, 2009


Deal Type Comments

Marlin (EMC-II)9/24/09 1 Asset Seller: CitibankLead/Co Mgr: CITG07/19/2004 Other - CMBS Market: EuroB Fitch AAAAA-AA-C Fitch AAAAAD Fitch AABBBBBB

Rampart CLO9/23/09 2006-1 Asset Manager: Stone Tower ManagementLead/Co Mgr: CITG11/03/2006 CDO Arbitrage Market: USB Moody's Baa2Baa3A2D Moody's B2B3Ba2

Rampart CLO9/23/09 2007-1 Asset Manager: Stone Tower ManagementLead/Co Mgr: BOA10/16/2007 CDO Arbitrage Market: USD Moody's Ba2Ba3Baa2E Moody's B2B3Ba2

Vanderbilt Mtge. Man. Housing S/S Cer9/23/09 1999-D Asset Seller: Vanderbilt Mortgage and Finance Inc.Lead/Co Mgr: PRU11/16/1999 MH Market: US2B-3 Moody's Aa2Baa1Baa2

Gale Force9/22/09 2 Asset Manager: GSO Capital PartnersLead/Co Mgr: WS06/06/2006 CDO Arbitrage Market: USC Moody's Baa2Ba1A2D Moody's Ba2B1Baa2E Moody's B3Caa2Ba2

Golub Capital Management9/22/09 2007-1 Asset Manager: Golub CapitalLead/Co Mgr: WS06/06/2007 CDO Arbitrage Market: USC Moody's Baa2Baa3A2D Moody's Ba2Ba3Baa2E Moody's B2B3Ba2

Golub Capital Partners9/22/09 2007-1 Asset Manager: Golub CapitalLead/Co Mgr: WS02/28/2007 CDO Arbitrage Market: USC Moody's Baa1Baa3A2D Moody's Baa3Ba2Baa2

Eaton Vance CDO, Ltd9/21/09 X Asset Manager: Eaton VanceLead/Co Mgr: CITG03/02/2007 CDO Arbitrage Market: EuroC-1 Moody's Baa3Ba1A2C-2 Moody's Baa3Ba1A2

GoldenTree Loan Opportunity Fund9/21/09 IV Asset Manager: Golden TreeLead/Co Mgr: DB06/29/2007 CDO Arbitrage Market: USB Moody's Baa1Baa3A2C Moody's Ba2Ba3Baa2


New





Issue Date

September 25, 2009


Deal Type Comments

Knightsbridge CLO9/21/09 2008-1 Asset Manager: Deutsche Bank MidMarket CapitalLead/Co Mgr: DB05/22/2008 CDO Arbitrage Market: USC Moody's Baa1Baa3A2D Moody's Ba1Ba3Baa2E Moody's B1B3Ba2

Downgrades

ML CLO XV9/23/09 98-Pilgrim America Asset Manager: Pilgrim Investments Inc.Lead/Co Mgr: ML04/28/1998 CDO Arbitrage Market: USB-1 Moody's NRCaBaa3B-2 Moody's NRCaBaa3C Moody's NRCBa3

D-1 Moody's NRCBa3

Momentum CDO (Europe)9/23/09 2004-1 Asset Manager: CalyonLead/Co Mgr: CAL10/07/2004 CDO Arbitrage Market: EuroA S&P NRAAAAAA

Momentum CDO (Europe)9/23/09 2004-2 Asset Manager: CalyonLead/Co Mgr: CAL10/07/2004 CDO Arbitrage Market: EuroA S&P NRAAAA

Golden Tree Credit Opportunities Finan9/22/09 I Asset Manager: Golden TreeLead/Co Mgr: DBAB09/10/2004 CDO Arbitrage Market: USCredit Fac Moody's NRA3Aaa

TdA9/22/09 25 Asset Seller: Spanish bank consortiumLead/Co Mgr: BS07/31/2006 Other - Mtge Market: EuroIO S&P NRAAAAAA

Capital Auto Receivables Asset Trust9/21/09 2006-SN1 Asset Seller: General Motors Acceptance Corp.Lead/Co Mgr: CITG08/22/2006 Auto - Leases Market: USC Fitch NRAAAA

F-E Personal Loans srl9/21/09 2 Asset Seller: Banca FinEco SpaLead/Co Mgr: DKB/06/13/2003 Other - Consumer Market: EuroA Moody's NRAaaAaaB Moody's NRAa2Aa2

RHYNO CBO9/21/09 1997-1 Asset Manager: Bear Stearns Asset MgmtLead/Co Mgr: BS09/19/1997 CDO Arbitrage Market: USB Fitch NRDBBB-


Ratings WatchTable 35

WatchDate Issuer Series Class Agency

RatingsWatch


Issue Date

September 25, 2009


Deal Type Comments

9/18/09 - 9/25/09

Negative

Argent Securities Inc.9/24/09 2004-W11 Lead/Co Mgr: RBSSep-04 Home Eq Market: US

M-1 AA+AA+S&PM-10 BBB-BBB-S&PM-2 AA+AA+S&PM-3 AAAAS&PM-4 AA-AA-S&PM-5 A+A+S&PM-6 AAS&PM-7 A-A-S&PM-8 BBB+BBB+S&PM-9 BBBBBBS&P

Centex Home Equity Loan Trust9/24/09 2004-D Lead/Co Mgr: CITGSep-04 Home Eq Market: US

MF-3 BBB+BBB+S&PMV-1 AAAAS&PMV-2 AA-AA-S&PMV-3 A+A+S&PMV-4 AAS&PMV-5 A-A-S&PMV-6 BBB+BBB+S&P

Encore Credit Receivables Trust9/24/09 2005-2 Lead/Co Mgr: WS/CWSCMay-05 Home Eq Market: US

1A-1 AAAAAAS&P2A-4 AAAAAAS&PM-1 AA+AA+S&PM-2 AAAAS&PM-3 AAAAS&PM-4 AAAAS&PM-5 AA-AA-S&PM-6 AAS&P




RatingsWatch


Issue Date

September 25, 2009


Deal Type Comments

9/18/09 - 9/25/09

First Franklin Mtg Loan Asset Backed C9/24/09 2004-FFC Lead/Co Mgr: MLDec-04 Home Eq Market: US

B-1 ABBB+S&PB-2 BBBBBBS&PB-3 BBB-BBB-S&P

Home Equity Mortgage Trust9/24/09 2004-2 Lead/Co Mgr: CSFBApr-04 Home Eq Market: US

B-1 BBB+BBB+S&PB-2 BBBBBBS&PM-2 AAS&P

Security National Mortgage Loan Trust9/24/09 2006-3 Lead/Co Mgr: BMODec-06 Home Eq Market: US

A-1 AAAAAAS&PA-2 AAAAAAS&PA-3 AAAAAAS&PM-1 AAAAS&PM-2 AAS&P

Soundview Home Equity Loan Asset Ba9/24/09 2005-B Lead/Co Mgr: RGWOct-05 Home Eq Market: US

M-1 AA+AA+S&PM-2 AAAAS&PM-3 A-AA-S&PM-4 BBB-A+S&PM-5 BBAS&P

Terwin Mortgage Trust9/24/09 2004-7HE Lead/Co Mgr: TERMay-04 Home Eq Market: US

A-1 AAAAAAS&PA-3 AAAAAAS&PB-1 BBB+BBB+S&PB-2 BB+BBBS&PM-1 AAAAS&PM-2 AAS&PM-3 A-A-S&PN BBB-BBB-S&PS AAAAAAS&P




RatingsWatch


Issue Date

September 25, 2009


Deal Type Comments

9/18/09 - 9/25/09

ALBA9/23/09 2006-2 Lead/Co Mgr: CSOct-06 Other - Non Conf Market: Euro

A-3A AaaAaaMoody'sA-3B AaaAaaMoody's

B Aa2Aa2Moody's

ALBA9/23/09 2007-1 Lead/Co Mgr: CSFBMay-07 Other - Non Conf Market: Euro

A2 Aa1AaaMoody'sA3 Aa1AaaMoody'sB Aa3Aa2Moody'sF Caa3Baa2Moody's

Astir (Isara)9/23/09 I Asset Manager: FortisLead/Co Mgr: FORFeb-07 CDO Arbitrage Market: Euro

A-1 AAAAAAS&PA-2 BBB-AAAS&P

Curzon Funding9/23/09 2006-1 Asset Seller: AIG International UKLead/Co Mgr: AIGApr-06 CDO Balance Sheet Market: US

A CCC+S&P

TdA9/23/09 25 Lead/Co Mgr: BSJul-06 Other - Mtge Market: Euro

A AAAAAAS&P

ALBA9/21/09 2006-2 Lead/Co Mgr: CSOct-06 Other - Non Conf Market: Euro

A-3A AAAAAAFitchA-3B AAAAAAFitch

B AAAAAAFitchC AAAAFitchD BBB+AFitchE BBBBFitchF CCBBFitch




RatingsWatch


Issue Date

September 25, 2009


Deal Type Comments

9/18/09 - 9/25/09

ALBA9/21/09 2007-1 Lead/Co Mgr: CSFBMay-07 Other - Non Conf Market: Euro

A2 AA+AAAFitchA3 AA+AAAFitchB AA-AAAFitchC BBBAA-FitchD BBA-FitchE CCCBBBFitchF CCBBFitch

GEM EM9/20/09 2005-1 Asset Manager: TCW Advisors Inc.Lead/Co Mgr: CITGMay-05 CDO Arbitrage Market: US

A-1A AAAAAAS&PA-1B AAAAAAS&PA-2 AAAAAAS&PA-3 AAAAS&PB A-A-S&PC BBBBBBS&P

D-1 BBBBS&PD-2 BBBBS&P

GEM LIGOS9/20/09 III Asset Manager: TCW Asset ManagementLead/Co Mgr: CITGFeb-06 CDO Arbitrage Market: US

A-1 AAAAAAS&PA-2 AAAAAAS&PA-3 AAAAS&PB A-A-S&PC BBBBBBS&PD BBBBS&P

ICE9/20/09 1 Asset Manager: Canyon Capital PartnersLead/Co Mgr: CITGJun-07 CDO Arbitrage Market: US

A-1 AAAAAAS&PA-2 AAAAAAS&PA-3 AAAAS&PB AAS&PC BBBBBBS&PD BBBBS&P




RatingsWatch


Issue Date

September 25, 2009


Deal Type Comments

9/18/09 - 9/25/09

Positive

Capital One Prime Auto Receivables Tru9/24/09 2006-1 Lead/Co Mgr: CS/MLFeb-06 Auto - P Market: US

B A1A3Moody's


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jpm_abs-cdo 2009-09-25

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