JPM Q410

ABS Research
J.P. Morgan Securities LLC

New York
January 14, 2011
Global ABS/CDO Weekly Market Snapshot
Save the Date: April 20, 2011, Wednesday, J.P. Morgan Securitized Products Research Conference, Matthew Jozoff
383 Madison Avenue, New York City (1-212) 834-3121
matthew.j.jozoff@jpmorgan.com
ABS/CDO Research
U.S. ABS supply by sector ($bn) Table of Contents
Rishad Ahluwalia (London)
2011 Page (44-207) 777-1045
2006 2007 2008 2009 2010 YTD US rishad.ahluwalia@jpmorgan.com
Credit Cards 66 90 65 47 7 Gareth Davies (London)
Relative Value 1
Bank/Charge 64 83 63 32 5 (44-20) 735-7283
Retail 2 7 2 15 3 Spreads Volatility 2
gareth.davies@jpmorgan.com
Autos 85 65 37 56 54 CDS Spreads 4
Edward Reardon
Prime Loan 50 35 33 38 32 Spreads 6 (1-212) 270-0317
Subprime Loan 25 19 3 3 9 Issuance 19 edward.j.reardon@jpmorgan.com
Lease 7 7 1 8 8 Amy Sze, CFA
Europe
Fleet 1 1 - 5 3 (1-212) 270-0030
Motorcycle/Truck 2 3 - 2 2 Spreads 22
amy.sze@jpmorgan.com
Student Loans 66 52 28 19 17 Issuance 23
Asif A Sheikh
FFELP 51 43 28 10 11 CDO (1-212) 834-5338
Private Credit 15 9 - 9 6 Spreads 30 asif.a.sheikh@jpmorgan.com
Equipment 8 7 3 7 5 Maggie Wang
Issuance 33
Global RMBS 67 53 5 - 7 (1-212) 270-7255
Other 35 32 4 11 15 1.9 Rating Changes 40
maggie.mj.wang@jpmorgan.com
Floorplan 12 8 - 4 7 1.8 Ratings Watch 45
Miscellaneous 23 24 4 7 7 0.2 www.morganmarkets.com
Total ABS Ex HE 327 299 142 140 105 1.9
Home Equity (Subprime) 559 232 - - -
Grand Total 886 531 142 140 105 1.9
Source: J.P. Morgan, IFR, Bloomberg.
The certifying analyst(s) is indicated by AC. See last page of the report for analyst certification and important legal and regulatory disclosures.
ABS Research
January 14, 2011
U.S. Chart 1 Chart 2 Chart 3

Floating vs. Asset Swapped (Cards) Fixed Rate ABS Yield 3 vs. 5 Yr Fixed Rate ABS Yield 5 vs. 10 Yr
Spreads (bps) (bps) (bps)
Relative Value
150 200 300
100 150 200
100
50 100
50
0 0 0
-50 -50 -100
1999 2001 2003 2005 2007 2009 2011 1999 2001 2003 2005 2007 2009 2011 1999 2001 2003 2005 2007 2009 2011
2 Yr FL Cards - 2 Yr FX Cards Asset Swaped Cards HEL MH Cards HEL MH
5 Yr FL Cards - 5 Yr FX Cards Asset Swaped
Fixed Curr Avg* Curr Avg* Curr Avg*
Mat Float Swap Pickup Pickup Diff Coll 5 Yr 3 Yr Pickup Pickup Diff Coll 10 Yr 5 Yr Pickup Pickup Diff
2 22 20 2 4.9 -2.9 Cards 2.48% 1.50% 98 88.1 9.9 Cards 3.82% 2.48% 134 124.4 9.6
5 34 35 -1 6.6 -7.6 HEL HEL
MH MH
Chart 4 Chart 5 Chart 6

Prime vs. Mid Prime Autos Fixed Rate ABS Quality Curve AAA vs. A Fixed Rate ABS Quality Curve AAA vs. BBB
(Nominal Spreads to Treasuries) (Nominal Spreads to Treasuries) (Nominal Spreads to Treasuries)
400 1500 2,500

2,000
300
1000 1,500
200 1,000
500
100 500
0 0
0
1999 2001 2003 2005 2007 2009 2011 1999 2001 2003 2005 2007 2009 2011
1999 2001 2003 2005 2007 2009 2011
Auto 3 Yr Cards 5 Yr Cards 5 Yr HEL 5 Yr
2 Year 3 Year HEL 5 Yr MH 7 Yr
Mid Curr Avg* Curr Avg* Curr Avg*

Mat Prime Prime Pickup Pickup Diff Coll A AAA Pickup Pickup Diff Coll BBB AAA Pickup Pickup Diff
2 62 42 20 15.4 4.6 Auto 106 54 52 62.9 -10.9 Cards 152 57 95 113.8 -18.8
3 76 54 22 24.1 -2.1 Cards 107 57 50 62.1 -12.1 HEL
HEL MH
* Average pickup for past 12 months.
Source: JPMS.
1
ABS Research
January 14, 2011

Credit Cards (3 Year) Autos (3 Year) Autos vs. Cards (3 Year)
Spread Spread to Swaps (bps) Spread to Swaps (bps) Spread Differential (bps)
Volatility / Mean
780 1000 300
Reversion 800
580 200
600
380 400 100
200
180 0
0
-20 -200 -100
1998 2000 2002 2004 2006 2008 2010 1998 2000 2002 2004 2006 2008 2010 1998 2000 2002 2004 2006 2008 2010

FFELP Student Loan AAA 5 Year Credit Cards (5 Year) Student Loans vs Cards (5 Year)
Spread to Swaps (bps) Spread to Swaps (bps) Spread Differential (bps)
500 780 100

450
400 580 0
350
300 -100
250 380
200 -200
150 180
100 -300
50
0 -20 -400
1998 2000 2002 2004 2006 2008 2010 1998 2000 2002 2004 2006 2008 2010 1998 2000 2002 2004 2006 2008 2010
Chart 13
Swaps (5 Year)
Swap Spread (bps)
150
100
50
0
1998 2000 2002 2004 2006 2008 2010
Weekly Spread Data 10 Week Moving Average +/- 2 Standard Deviations

Source: JPMS.
2
ABS Research
January 14, 2011

Triple-A Cards (5 Year) Double-A Banks (5 Year) Double-A Banks - Triple-A Cards
Spread Spread to Swaps (bps) Spread to Swaps (bps) Spread Differential (bps)
Volatility / Mean
800 500 300
Reversion - 400 200
600
ABS vs. 300 100
Corporates 400 0
200
200 -100
100 -200
0 0 -300
-200 -100 -400
1998 2000 2002 2004 2006 2008 2010 2000 2002 2004 2006 2008 2010 2000 2002 2004 2006 2008 2010

Single-A Cards (5 Year) Single-A Banks (5 Year) Single-A Banks - Single-A Cards
2500 1000 1000

2000 800 500
1500 600 0
1000 400 -500
500 200 -1000
0 0 -1500
-500 -200 -2000
1998 2000 2002 2004 2006 2008 2010 2000 2002 2004 2006 2008 2010 2000 2002 2004 2006 2008 2010

Triple-B Cards (5 Year) Triple-B Banks (5 Year) Triple-B Cards - Triple-B Banks
4000 3000 2000

3000 1000
2000
2000 0
1000
1000 -1000
0 0 -2000
-1000 -1000 -3000
1998 2000 2002 2004 2006 2008 2010 2001200220032004200520062007200820092010 2001200220032004200520062007200820092010
Weekly Spread Data 10 Week Moving Average +/- 2 Standard Deviations

Source: JPMS.
3
ABS Research
January 14, 2011
Credit Default Chart 25

Credit Default Swaps Spread - Credit Card & Auto Issuers
Swaps Spread - (bps)
Credit Card & Auto 52 Week
1,200 Current Last
C
KRB Company Week Week Change Max Min Avg
1,000 HSBC
COF Credit Cards
800 AXP CitiGroup Aa1/AA+ 149 150 0 242 120 173
BAC
600 HSBC Aa2/AA 95 95 0 210 73 134
400 Capital One Baa1/BBB+ 117 120 -3 160 90 122
Amex A1/A+ 80 78 2 160 60 93

200
0
1/00 1/01 1/02 1/03 1/04 1/05 1/06 1/07 1/08 1/09 1/10 1/11
6,000 GM Auto
DCX GMAC Ba1/BB 238 223 15 584 223 418
5,000
F
4,000 Daimler A3/BBB+ 89 88 1 134 84 102
Toyota
BMW Ford B2/BB- 219 213 5 594 213 375
3,000
VOW
2,000 Toyota AAA/AAA 70 63 7 106 54 73
1,000 BMW A1/A+ 79 81 -2 134 77 98
0 Volkswagen A3/A- 84 87 -3 152 84 108
1/00 1/01 1/02 1/03 1/04 1/05 1/06 1/07 1/08 1/09 1/10 1/11
Source: JPMS.
4
ABS Research
January 14, 2011
Credit Default Chart 27

Credit Default Swaps Spread - Dow Jones CDX & Homebuilders Indices
Swaps Spread - (bps)
Dow Jones CDX &
1,200 300
Homebuilders BB B IG 52 Week
Indices 1,000 250
Current Last
Index Week Week Change Max Min Avg
800 200
DJ CDX NA HY BB On
the run (5Yr) Swap CDS 254 261 -8 435 254 323
600 150 Spread Mid
DJ CDX NA HY B On the
400 100 402 413 -12 682 402 526
run (5Yr) Swap CDS
Spread Mid
200 50
DJ CDX NA IG Main On
the run (5Yr) Swap CDS 85 87 -2 128 82 100
0 0
Spread Mid
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 2/10 8/10
JPMorgan Homebuilders
Index 569 649 -80 912 569 792
2,600
2,400 Homebuilders
2,200
2,000
1,800
1,600
1,400
1,200
1,000
800
600
400
200
0
5/04 11/04 5/05 11/05 5/06 11/06 5/07 11/07 5/08 11/08 5/09 11/09 5/10 11/10
Source: JPMS.
5
ABS Research
January 14, 2011
Table 1
U.S. U.S. Cross Sector Spreads
Spreads Non Real Estate ABS CMBS Cross Sector Spreads

Cross Sector Current Prior 52 Week Current Prior 52 Week Current Prior 52 Week
Week Week Chg Avg Min Max Week Week Chg Avg Min Max Week Week Chg Avg Min Max
Credit Cards (Fixed - Swaps) FNMA Current Coupon

CMBS (Fixed - Swaps)
AAA 2yr 20 20 0 19 10 27 Libor OAS 31 29 2 22 -1 48
5yr 35 35 0 32 20 40 AAA 5yr 255 2650 -10 265 200 300
Swaps 94 95 -1 92 58 116
10yr 45 45 0 47 40 55 10yr 200 215 -15 343 200 500
A 5yr 85 85 0 94 80 125 AA 60 51 9 33 25 60 SF CDOs (Floating - 3 Mo. LIBOR)

BBB 5yr 130 140 -10 145 130 175 A 46 38 8 26 21 46 AAA 2,828 2,828 0 2,828 2,828 2,828
Credit Cards (Floating - 1 Mo. LIBOR) BBB 11 9 2 9 9 11
AAA 2yr 22 22 0 23 16 30 Corporates (Fixed - Swaps)
Industrial - AAA
5yr 34 36 -2 38 30 50
10yr 50 50 0 58 50 65 2yr
5yr 26 23 3 13 -10 32
A 5yr 85 85 0 94 80 125
Bank - AA
BBB 5yr 130 140 -10 145 125 175
2yr 83 66 17 70 38 101
Prime Auto (Fixed - Swaps) 5yr 121 111 10 111 80 153
AAA 1yr 18 18 0 13 10 20 Finance - A
2yr 20 20 0 19 12 25 2yr 84 76 8 109 67 173
3yr 28 28 0 24 17 35 5yr 149 147 2 163 100 229
A 3yr 80 80 0 87 75 125 Bank - BBB
Near Prime Auto (Fixed - Swaps) 2yr 225 233 -8 238 167 287
5yr
AAA 1yr 30 30 0 23 15 35
2yr 40 40 0 34 25 50 Swaps
3yr 50 50 0 48 35 70 2yr 22 26 -4 24 13 43
Student Loans - FFELP (3 Mo. LIBOR) 5yr 22 21 1 24 9 34
AAA 3yr 35 35 0 34 25 40 10yr 7 8 -1 6 -8 17
7yr 85 80 5 71 60 85
AA 9yr 265 265 0 266 250 275
Student Loans - Private Credit (3 Mo. LIBOR)
AAA 3yr 300 300 0 306 300 425
7yr 375 375 0 383 375 525
A 8yr 1,350 1,350 0 1,356 1,350 1,500
BBB 7yr 1,700 1,700 0 1,712 1,700 2,000
Source: JPMS.
6
ABS Research
January 14, 2011
U.S. Table 2
Spreads - U.S. Credit Card ABS Spreads to Swaps/LIBOR
Cards Fixed Credit Cards Floating Credit Cards

AAA Rated B Piece - A Rated C Piece - BBB Rated AAA Rated B Piece - A Rated C Piece - BBB Rated
Date 2 3 4 5 7 10 2 3 4 5 7 10 2 3 5 7 10 1 2 3 4 5 7 10 15 2 3 4 5 7 10 2 3 5 7 10
8/12/10 12 14 17 20 30 40 70 75 80 85 90 90 110 120 130 130 130 11 18 25 28 30 40 55 65 70 75 80 85 90 90 110 120 130 130 130
8/19/10 12 14 17 20 30 40 70 75 80 85 90 90 110 120 130 130 130 11 18 22 26 30 40 55 65 70 75 80 85 90 90 110 120 130 130 130
8/26/10 12 14 17 20 30 40 70 75 80 85 90 90 110 120 130 130 130 11 18 22 26 30 40 55 65 70 75 80 85 90 90 110 120 130 130 130
9/2/10 15 18 20 25 30 40 70 75 80 85 90 90 110 120 130 130 130 11 18 22 26 30 40 55 65 70 75 80 85 90 90 110 120 130 130 130
9/9/10 15 18 20 25 30 40 70 75 80 85 90 90 110 120 130 130 130 11 18 22 26 30 40 55 65 70 75 80 85 90 90 110 120 130 130 130
9/16/10 15 18 20 25 30 40 70 75 80 85 90 90 110 120 130 130 130 11 18 22 26 30 40 55 65 70 75 80 85 90 90 110 120 130 130 130
9/23/10 15 18 20 25 30 40 70 75 80 85 90 90 110 120 130 130 130 11 18 22 26 30 40 55 65 70 75 80 85 90 90 110 120 130 130 130
9/30/10 18 25 28 30 35 40 70 75 80 85 90 90 110 120 130 130 130 13 18 24 29 34 45 55 65 70 75 80 85 90 90 110 120 130 130 130
10/7/10 18 25 28 30 35 40 70 75 80 85 90 90 110 120 130 130 130 13 18 24 29 34 45 55 65 70 75 80 85 90 90 110 120 130 130 130
10/14/10 18 25 28 30 35 40 70 75 80 85 90 90 110 120 130 130 130 13 18 22 28 34 45 55 65 70 75 80 85 90 90 110 120 130 130 130
10/21/10 18 25 28 30 35 40 70 75 80 85 90 90 110 120 130 130 130 13 18 23 30 35 45 55 65 70 75 80 85 90 90 110 120 130 130 130
10/28/10 18 25 28 30 35 40 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
11/4/10 18 25 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
11/11/10 18 25 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
11/18/10 20 27 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
11/25/10 23 27 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
12/2/10 23 27 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
12/9/10 23 27 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
12/16/10 23 27 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
12/23/10 23 27 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
12/30/10 23 27 30 35 45 50 70 75 80 85 90 90 115 125 140 140 140 17 22 27 32 36 45 55 65 70 75 80 85 90 90 115 125 140 140 140
1/6/11 20 25 30 35 40 45 70 75 80 85 90 90 115 125 140 140 140 17 22 25 32 36 40 50 60 70 75 80 85 90 90 115 125 140 140 140
1/13/11 20 25 30 35 40 45 70 75 80 85 90 90 110 120 130 130 130 15 22 24 30 34 40 50 60 70 75 80 85 90 90 110 120 130 130 130
Source: JPMS.
2 Yr Spreads to Swaps 5 Yr Spreads to Swaps 10 Yr Spreads to Swaps
600 500 600

500 400 500
400 300 400
300
200 300
200
100 200
100
0 0 100
-100 -100 0
98 99 00 01 02 03 04 05 06 07 08 09 10 98 99 00 01 02 03 04 05 06 07 08 09 10 98 99 00 01 02 03 04 05 06 07 08 09 10
Cards HEL Auto Cards HEL Cards HEL
Source: JPMS.
7
ABS Research
January 14, 2011
U.S. Table 3
Spreads - U.S. Auto, Equipment, and Stranded Assets Spreads to Swaps/ EDSF/ LIBOR
Prime Auto Near Prime Auto Equipment Stranded Assets
Auto, Equipment,
Fixed Floating Ag/Construction
Stranded Assets AAA A AAA AAA AAA A BBB AAA
Date MM 1 2 3 3 1 2 3 MM 1 2 3 MM 1 2 3 3 3 2 3 5 7 10
8/12/10 4 10 12 17 75 14 16 21 11 15 25 35 0 20 25 45 172 375 14 20 25 30 40

8/19/10 4 10 12 17 75 14 16 21 11 15 25 35 0 20 25 45 172 375 14 20 25 30 40
8/26/10 4 10 12 17 75 14 16 21 11 15 25 35 0 20 25 45 172 375 14 20 25 30 40
9/2/10 4 10 12 17 75 14 16 21 11 15 25 35 0 20 25 45 172 375 14 20 25 30 40
9/9/10 4 10 12 17 75 14 16 21 11 15 25 35 0 20 25 45 172 375 14 20 25 30 40
9/16/10 4 10 15 20 75 15 20 25 11 15 25 35 0 20 25 45 172 375 14 20 25 30 40
9/23/10 4 10 18 22 75 15 23 27 11 15 25 35 0 20 25 45 172 375 14 20 25 30 40
9/30/10 4 10 18 22 75 15 23 27 11 15 25 35 0 20 25 40 172 375 18 22 30 35 40
10/7/10 4 10 18 22 75 15 23 27 11 15 25 35 0 20 25 40 172 375 18 22 30 35 40
10/14/10 4 10 18 22 75 15 23 27 11 15 25 35 0 20 25 40 172 375 18 22 30 35 40
10/21/10 4 15 20 25 80 20 25 30 11 20 30 40 0 25 30 45 172 375 18 22 30 35 40
10/28/10 4 15 20 25 80 20 25 30 11 20 30 40 0 25 30 45 172 375 25 30 35 45 50
11/4/10 5 18 23 28 80 23 28 33 12 35 40 50 0 35 40 50 180 375 25 30 35 45 55
11/11/10 5 18 23 28 80 23 28 33 12 35 40 50 0 35 40 50 180 375 25 30 35 45 55
11/18/10 5 18 25 30 80 23 30 35 12 35 40 50 0 35 45 60 175 325 25 30 35 45 55
11/25/10 5 18 25 30 80 23 30 35 12 30 40 50 0 35 45 60 175 325 25 30 35 45 55
12/2/10 5 18 25 30 80 23 30 35 12 30 40 50 0 35 45 60 175 325 25 30 35 45 55
12/9/10 5 18 23 28 80 23 30 35 12 30 40 50 0 35 45 60 175 325 25 30 35 45 55
12/16/10 5 18 20 28 80 23 25 32 12 30 40 50 0 35 45 60 175 325 25 30 35 45 55
12/23/10 5 18 20 28 80 23 25 32 12 30 40 50 0 35 45 60 175 325 25 30 35 45 55
12/30/10 5 18 20 28 80 23 25 32 12 30 40 50 0 35 45 60 175 325 25 30 35 45 55
1/6/11 5 18 20 28 80 23 25 32 12 30 40 50 0 35 45 60 175 325 25 30 35 45 55
1/13/11 5 18 20 28 80 23 25 32 12 30 40 50 0 35 45 60 175 325 25 30 35 45 55
Source: JPMS.
2 Yr Treasury vs. Swap Yields 5 Yr Treasury vs. Swap Yields 10 Yr Treasury vs. Swap Yields
10% 10% 10%
8% 8% 8%
6% 6% 6%
4% 4% 4%
2% 2% 2%
0% 0% 0%
98 99 00 01 02 03 04 05 06 07 08 09 10 98 99 00 01 02 03 04 05 06 07 08 09 10 98 99 00 01 02 03 04 05 06 07 08 09 10
Treasury Swap Yield Treasury Swap Yield Treasury Swap Yield
Source: JPMS.
8
ABS Research
January 14, 2011
U.S. Table 4
Spreads - Student Loan, Global RMBS Spreads to LIBOR, CMBS Spreads to Swaps and MBS Prices
Student Loans (FFELP) Student Loans Global RMBS CMBS** FNMA Current
Student Loan, (Private Credit) Coupon
LIBOR AUD UK Bullet
Global RMBS AAA AA AAA A BBB AAA AAA AA BBB AAA AA A BBB
Libor
Date OAS Swap
1 3 5 7 10 6 12 3 7 8 7 3 3 5 5 5 5 10 10 10 10
8/12/10 20 30 50 70 90 265 290 300 375 1350 1700 170 135 145 275 550 235 335 27 23 9 26 92
8/19/10 20 30 50 70 90 265 290 300 375 1350 1700 170 135 145 275 550 235 330 30 25 9 41 69
8/26/10 20 25 45 65 90 265 290 300 375 1350 1700 170 135 145 275 550 230 325 32 26 9 48 76
9/2/10 20 25 45 65 90 265 290 300 375 1350 1700 160 135 145 275 550 230 325 32 26 9 41 65
9/9/10 20 25 45 65 90 265 290 300 375 1350 1700 160 135 145 275 550 220 305 32 26 9 41 63
9/16/10 20 25 45 65 90 265 290 300 375 1350 1700 160 135 145 275 550 210 295 32 26 9 39 64
9/23/10 20 25 45 65 90 265 290 300 375 1350 1700 160 135 145 275 550 210 305 33 26 9 42 68
9/30/10 20 30 50 70 90 265 290 300 375 1350 1700 160 135 145 275 550 210 305 33 26 9 44 72
10/7/10 20 30 45 70 90 265 290 300 375 1350 1700 160 135 145 275 550 200 290 37 28 9 34 61
10/14/10 20 30 45 70 90 265 290 300 375 1350 1700 160 135 145 275 550 200 285 41 30 9 31 60
10/21/10 20 35 50 75 90 265 290 300 375 1350 1700 160 135 145 275 550 240 305 41 30 9 33 58
10/28/10 25 40 60 85 100 265 290 300 375 1350 1700 160 135 145 275 550 290 315 41 30 9 33 59
11/4/10 25 40 60 85 100 265 290 300 375 1350 1700 160 135 145 275 550 280 270 42 30 9 29 64
11/11/10 25 40 60 85 100 265 290 300 375 1350 1700 160 135 145 275 550 280 290 42 30 9 26 62
11/18/10 25 40 60 85 100 265 290 300 375 1350 1700 160 135 145 275 550 270 280 42 30 9 31 90
11/25/10 25 40 60 85 100 265 290 300 375 1350 1700 165 135 145 275 550 270 290 42 30 9 40 96
12/2/10 25 40 60 85 100 265 290 300 375 1350 1700 165 135 145 275 550 280 285 44 32 9 38 97
12/9/10 25 40 60 85 100 265 290 300 375 1350 1700 165 135 145 275 550 280 270 44 32 9 35 94
12/16/10 25 40 60 85 100 265 290 300 375 1350 1700 165 135 145 275 550 280 250 50 38 9 38 104
12/23/10 25 40 60 85 100 265 290 300 375 1350 1700 165 135 145 275 550 275 245 50 38 9 37 101
12/30/10 25 40 60 85 100 265 290 300 375 1350 1700 165 135 145 275 550 275 240 50 38 9 33 102
1/6/11 20 35 55 80 95 265 290 300 375 1350 1700 160 135 145 275 550 265 215 51 38 9 29 95
1/13/11 20 35 55 85 100 265 290 300 375 1350 1700 170 135 145 275 550 255 200 60 46 11 31 94
Source: JPMS.
**CMBS AA-BBB prices since 4/23/09
9
ABS Research
January 14, 2011
ABX.HE Spreads Table 5a
and Closing Price ABX.HE.2006-1 Spreads and Closing Price
ABX.HE Spreads* And Closing Price

PENAAA AAA AA A BBB BBB-
Closing Closing Closing Closing Closing Closing
Date Series Price Price Price Price Price Price
8/12/10 2006-1 87.940 87.790 44.850 18.520 7.040 6.910

8/19/10 2006-1 88.340 87.910 46.130 18.660 6.820 6.790
8/26/10 2006-1 88.130 88.040 45.540 18.970 6.860 6.860
9/2/10 2006-1 87.570 87.420 46.040 18.990 6.800 6.800
9/9/10 2006-1 87.410 87.720 46.330 19.000 6.780 6.770
9/16/10 2006-1 87.310 87.860 46.350 18.980 6.800 6.800
9/23/10 2006-1 87.400 88.350 47.130 19.100 6.910 6.900
9/30/10 2006-1 87.270 88.680 49.590 19.800 7.010 7.010
10/7/10 2006-1 87.520 89.330 52.650 20.680 7.040 7.040
10/14/10 2006-1 86.900 88.070 51.100 21.100 7.070 7.070
10/21/10 2006-1 86.050 87.390 48.610 21.110 7.040 7.040
10/28/10 2006-1 86.810 88.150 50.130 21.060 7.070 7.070
11/4/10 2006-1 87.450 88.400 51.770 21.410 7.040 7.040
11/18/10 2006-1 87.350 88.580 50.880 21.890 7.040 7.040
12/2/10 2006-1 87.110 88.800 50.200 23.390 7.060 6.960
12/9/10 2006-1 86.830 88.270 50.420 23.810 7.120 7.050
12/16/10 2006-1 86.780 88.030 50.430 23.700 6.980 7.000
12/23/10 2006-1 86.980 88.130 51.130 23.790 7.000 7.070
12/30/10 2006-1 86.940 88.040 51.220 23.780 7.000 7.060
1/6/11 2006-1 87.020 88.960 52.430 23.880 7.080 7.170
1/13/11 2006-1 87.040 89.480 52.630 24.060 7.060 7.140
Source: JPMS, Markit
Chart 34
ABX.HE.2006-1 AAA, AA and A closing mid price
100
80
60
40
20
0
1/06 7/061/07 7/07 1/087/08 1/09 7/091/10 7/10
AAA AA A
Source: JPMS
10
ABS Research
January 14, 2011
ABX.HE Spreads Table 5b

8/12/10 2006-2 77.300 56.890 16.910 6.780 7.360 7.270

8/19/10 2006-2 78.110 58.000 17.640 6.720 7.420 7.270
8/26/10 2006-2 77.010 56.580 17.440 6.740 7.480 7.390
9/2/10 2006-2 77.150 56.730 17.480 6.500 7.340 7.230
9/9/10 2006-2 77.510 56.970 17.540 6.520 7.360 7.250
9/16/10 2006-2 77.530 56.960 17.380 6.730 7.390 7.140
9/23/10 2006-2 78.580 58.180 17.610 6.860 7.540 7.370
9/30/10 2006-2 78.450 58.950 17.560 6.860 7.390 7.190
10/7/10 2006-2 79.810 60.830 17.610 6.930 7.320 7.090
10/14/10 2006-2 77.860 59.830 17.620 6.910 7.510 7.340
10/21/10 2006-2 76.590 56.840 17.750 6.790 7.550 7.530
10/28/10 2006-2 77.690 58.400 17.730 6.900 7.560 7.550
11/4/10 2006-2 78.820 60.290 17.890 7.170 7.550 7.550
11/18/10 2006-2 78.460 60.420 18.200 7.260 7.580 7.460
12/2/10 2006-2 77.950 59.680 18.020 7.090 7.580 7.520
12/9/10 2006-2 77.920 59.670 18.070 7.290 7.580 7.450
12/16/10 2006-2 78.000 59.900 18.180 7.160 7.570 7.500
12/23/10 2006-2 78.150 60.030 18.260 7.150 7.560 7.510
12/30/10 2006-2 78.130 60.060 18.190 7.080 7.500 7.500
1/6/11 2006-2 79.230 60.610 18.240 7.140 7.580 7.540
1/13/11 2006-2 80.540 61.040 18.190 7.280 7.570 7.540
Chart 34
100
80
60
40
20
0
7/06 1/07 7/07 1/08 7/08 1/09 7/09 1/10 7/10
AAA AA A
Source: JPMS
11
ABS Research
January 14, 2011
ABX.HE Spreads Table 5c

8/12/10 2007-1 54.910 44.470 6.150 5.100 4.980 4.590

8/19/10 2007-1 57.090 46.610 6.170 5.020 5.010 4.560
8/26/10 2007-1 56.120 46.010 6.190 5.130 5.000 4.510
9/2/10 2007-1 55.760 45.960 6.130 4.940 4.890 4.540
9/9/10 2007-1 55.940 46.090 6.110 5.050 4.850 4.470
9/16/10 2007-1 55.790 45.550 6.050 4.850 4.900 4.380
9/23/10 2007-1 56.480 46.550 6.190 5.140 5.060 4.560
9/30/10 2007-1 58.300 48.250 6.140 4.980 5.140 4.490
10/7/10 2007-1 59.290 49.410 6.210 4.910 5.230 4.480
10/14/10 2007-1 58.810 48.710 6.270 5.100 5.190 4.540
10/21/10 2007-1 56.130 46.300 6.270 5.310 5.030 4.710
10/28/10 2007-1 57.080 47.480 6.310 5.330 5.080 4.820
11/4/10 2007-1 57.950 47.360 6.340 5.330 5.090 4.800
11/18/10 2007-1 57.140 46.150 6.570 5.310 5.070 4.560
12/2/10 2007-1 56.160 44.930 6.430 5.250 4.960 4.620
12/9/10 2007-1 55.920 44.440 6.500 5.430 5.130 4.640
12/16/10 2007-1 56.450 44.100 6.500 5.300 5.040 4.680
12/23/10 2007-1 56.640 44.180 6.500 5.290 5.050 4.750
12/30/10 2007-1 56.590 44.220 6.500 5.330 5.000 4.830
1/6/11 2007-1 58.360 45.770 6.600 5.480 5.240 4.760
1/13/11 2007-1 58.750 45.630 6.640 5.540 5.280 4.860
Chart 34
100.0
90.0
80.0
70.0
60.0
50.0
40.0
30.0
20.0
10.0
0.0
1/07 7/07 1/08 7/08 1/09 7/09 1/10 7/10
AAA AA A
Source: JPMS
ABS Research
12
ABS Research
January 14, 2011
ABX.HE Spreads Table 5d

8/12/10 2007-2 45.260 43.550 6.440 5.780 4.560 4.560

8/19/10 2007-2 46.620 45.150 6.440 5.850 4.560 4.560
8/26/10 2007-2 45.770 44.000 6.510 6.000 4.530 4.530
9/2/10 2007-2 45.890 43.960 6.420 5.760 4.520 4.520
9/9/10 2007-2 46.050 44.000 6.380 5.750 4.530 4.530
9/16/10 2007-2 46.700 43.170 6.450 5.820 4.420 4.420
9/23/10 2007-2 47.200 43.550 6.600 6.040 4.600 4.600
9/30/10 2007-2 48.180 44.150 6.500 5.920 4.500 4.500
10/7/10 2007-2 50.330 44.750 6.550 6.000 4.450 4.450
10/14/10 2007-2 49.900 44.130 6.570 5.980 4.540 4.540
10/21/10 2007-2 46.770 41.460 6.480 5.890 4.670 4.670
10/28/10 2007-2 47.830 42.630 6.550 5.980 4.690 4.690
11/4/10 2007-2 48.450 43.040 6.560 6.020 4.810 4.810
11/18/10 2007-2 47.750 42.330 6.640 6.090 4.780 4.780
12/2/10 2007-2 46.710 42.070 6.630 5.980 4.750 4.750
12/9/10 2007-2 46.750 41.670 6.680 6.100 4.890 4.890
12/16/10 2007-2 46.700 41.750 6.600 6.020 4.830 4.830
12/23/10 2007-2 46.880 42.000 6.590 6.000 4.820 4.820
12/30/10 2007-2 46.840 42.090 6.500 6.000 4.820 4.820
1/6/11 2007-2 47.640 43.140 6.940 6.080 4.900 4.900
1/13/11 2007-2 48.000 44.080 7.030 6.100 4.950 4.950
Chart 34
100
80
60
40
20
0
7/07 1/08 7/08 1/09 7/09 1/10 7/10
AAA AA A
Source: JPMS
13
ABS Research
January 14, 2011
U.S. Table 6
Spreads - Swap U.S. Corporate & Agency Spreads to Swaps
Corporates & Industrials* Banks* Finance* Agency

Agency AAA AA A AA A BBB AA A BBB Benchmark
Date
1-3 3-5 7-10 1-3 3-5 7-10 1-3 3-5 7-10 1-3 3-5 10 1-3 3-5 7-10 1-3 3-5 7-10 1-3 1-3 3-5 7-10 1-3 3-5 7-10 5 10
8/12/10 13 31 34 97 38 61 121 83 114 178 119 160 244 264 318 81 131 177 271 137 161 224 3 37
8/19/10 12 28 44 95 43 66 122 76 113 176 112 158 235 270 309 74 121 176 259 134 163 218 4 37
8/26/10 28 34 36 95 46 67 121 79 117 179 111 166 246 272 314 84 124 182 270 144 172 224 9 41
9/2/10 18 34 35 94 43 66 121 76 121 180 115 168 249 266 325 88 123 183 279 136 177 242 7 42
9/9/10 20 30 40 96 42 67 118 66 116 170 107 161 239 255 323 76 119 181 262 132 179 238 10 41
9/16/10 15 29 35 93 37 62 118 62 111 166 98 153 235 247 320 70 108 176 254 130 172 236 7 42
9/23/10 15 24 31 88 36 57 113 67 112 166 98 153 236 247 324 69 148 170 257 129 174 235 7 37
9/30/10 19 25 30 88 37 56 112 67 111 162 99 153 231 247 365 70 105 165 253 138 161 236 6 38
10/7/10 20 22 34 84 35 50 106 64 102 156 96 138 221 241 356 61 94 152 238 138 153 229 1 36
10/14/10 16 26 27 87 37 51 106 63 101 155 97 151 229 241 344 66 97 156 250 151 160 234 3 36
10/21/10 14 24 29 93 33 53 110 64 107 163 98 158 237 236 352 63 92 154 254 161 172 241 0 34
10/28/10 15 27 35 88 36 54 107 65 105 153 98 150 219 227 342 56 92 150 237 149 161 232 0 27
11/4/10 13 24 28 77 42 49 98 63 94 145 100 141 212 223 328 57 96 148 227 147 154 237 -5 21
11/11/10 10 19 22 77 31 46 95 58 89 146 92 135 207 220 336 57 86 141 215 141 147 233 -11 19
11/18/10 16 29 34 82 36 57 99 67 100 151 101 155 215 251 361 67 90 153 231 149 164 240 -2 24
11/25/10 17 24 34 83 31 59 99 68 108 157 97 164 221 265 369 61 81 157 241 145 169 243 -1 26
12/2/10 21 26 38 76 36 65 96 79 123 163 110 177 229 237 375 70 96 182 253 149 179 240 -1 21
12/9/10 27 30 55 82 40 74 102 76 124 158 108 176 213 231 361 64 86 180 233 137 182 236 6 30
12/16/10 32 29 48 84 38 75 103 69 121 155 102 168 210 251 373 61 81 178 230 130 176 234 9 32
12/23/10 30 27 50 82 38 79 104 68 118 148 98 161 200 247 373 55 79 168 218 127 176 231 8 29
12/30/10 32 31 56 82 43 82 103 70 121 148 94 161 197 241 372 58 78 165 216 130 172 226 9 29
1/6/11 23 24 45 70 37 73 103 66 111 151 84 146 197 233 393 56 76 147 208 126 161 220 6 28
1/13/11 26 25 37 75 38 63 105 83 121 160 100 155 199 225 407 64 84 149 212 129 171 224 4 29
Source: JPMS. *Data From JPMS JULI Index
14
ABS Research
January 14, 2011
U.S. Table 7
Spreads - Tsy U.S. ABS Spreads to Treasuries

Credit Cards Prime Auto Near Prime Auto Equipment Stranded Assets
Cards, Auto, Ag/Construction
Equip, St Asset Date
AAA B Piece - A AAA A AAA AAA A BBB AAA
2 3 4 5 7 10 2 3 4 5 7 10 MM 1 2 3 3 MM 1 2 3 MM 1 2 3 3 3 2 3 5 7 10
8/12/10 31 38 40 42 43 40 89 99 103 107 103 90 4 10 31 41 99 11 15 44 59 0 20 44 69 196 399 33 44 47 43 40
8/19/10 31 38 41 43 43 42 89 99 104 108 103 92 4 10 31 41 99 11 15 44 59 0 20 44 69 196 399 33 44 48 43 42
8/26/10 28 36 39 40 43 41 86 97 102 105 103 91 4 10 28 39 97 11 15 41 57 0 20 41 67 194 397 30 42 45 43 41
9/2/10 34 43 44 47 40 40 89 100 104 107 100 90 4 10 31 42 100 11 15 44 60 0 20 44 70 197 400 33 45 47 40 40
9/9/10 34 39 41 44 38 38 89 96 101 104 98 88 4 10 31 38 96 11 15 44 56 0 20 44 66 193 396 33 41 44 38 38
9/16/10 36 41 43 48 40 41 91 98 103 108 100 91 4 10 36 43 98 11 15 46 58 0 20 46 68 195 398 35 43 48 40 41
9/23/10 35 42 44 49 45 44 90 99 104 109 105 94 4 10 38 46 99 11 15 45 59 0 20 45 69 196 399 34 44 49 45 44
9/30/10 36 49 52 54 51 46 88 99 104 109 106 96 4 10 36 46 99 11 15 43 59 0 20 43 64 196 399 36 46 54 51 46
10/7/10 36 51 54 58 56 49 88 101 106 113 111 99 4 10 36 48 101 11 15 43 61 0 20 43 66 198 401 36 48 58 56 49
10/14/10 35 44 50 56 54 49 87 94 102 111 109 99 4 10 35 41 94 11 15 42 54 0 20 42 59 191 394 35 41 56 54 49
10/21/10 36 46 49 55 51 46 88 96 101 110 106 96 4 15 38 46 101 11 20 48 61 0 25 48 66 193 396 36 43 55 51 46
10/28/10 33 47 50 55 54 49 85 97 102 110 109 99 4 15 35 47 102 11 20 45 62 0 25 45 67 194 397 40 52 60 64 59
11/4/10 32 48 53 63 69 64 84 98 103 113 114 104 5 18 37 51 103 12 35 54 73 0 35 54 73 203 398 39 53 63 69 69
11/11/10 39 50 56 66 77 66 91 100 106 116 122 106 5 18 44 53 105 12 35 61 75 0 35 61 75 205 400 46 55 66 77 71
11/18/10 38 50 54 61 68 65 88 98 104 111 113 105 5 18 43 53 103 12 35 58 73 0 35 63 83 198 348 43 53 61 68 70
11/25/10 45 51 53 58 67 64 92 99 103 108 112 104 5 18 47 54 104 12 30 62 74 0 35 67 84 199 349 47 54 58 67 69
12/2/10 47 55 53 61 69 67 94 103 103 111 114 107 5 18 49 58 108 12 30 64 78 0 35 69 88 203 353 49 58 61 69 72
12/9/10 42 59 56 54 58 60 89 107 106 104 103 100 5 18 42 60 112 12 30 59 82 0 35 64 92 207 357 44 62 54 58 65
12/16/10 46 59 53 58 69 62 93 107 103 108 114 102 5 18 43 60 112 12 30 63 82 0 35 68 92 207 357 48 62 58 69 67
12/23/10 46 53 52 54 56 59 93 101 102 104 101 99 5 18 43 54 106 12 30 63 76 0 35 68 86 201 351 48 56 54 56 64
12/30/10 43 55 55 52 57 58 90 103 105 102 102 98 5 18 40 56 108 12 30 60 78 0 35 65 88 203 353 45 58 52 57 63
1/6/11 46 57 59 56 54 53 96 107 109 106 104 98 5 18 46 60 112 12 30 66 82 0 35 71 92 207 357 51 62 56 59 63
1/13/11 42 51 56 57 55 52 92 101 106 107 105 97 5 18 42 54 106 12 30 62 76 0 35 67 86 201 351 47 56 57 60 62
Source: JPMS.
2 Yr Spreads to Treasuries 5 Yr Spreads to Treasuries 10 Yr Spreads to Treasuries
800 800 800
700 700
600 600 600
500 500 400
400 400
300 300 200
200 200 0
100 100
0 0 -200
98 99 00 01 02 03 04 05 06 07 08 09 10 98 99 00 01 02 03 04 05 06 07 08 09 10 98 99 00 01 02 03 04 05 06 07 08 09 10
Cards HEL Cards HEL Swap
Auto Swap Cards HEL Swap
Source: JPMS.
15
ABS Research
January 14, 2011
U.S. Table 8
Spreads - Tsy U.S. CMBS, MBS & FNMA Spreads to Treasuries
CMBS, MBS & CMBS* FNMA

Current
FNMA Date
AAA AA A BBB
Coupon
5 10 10 10 10
8/12/10 250 338 27 23 9 114

8/19/10 252 335 30 25 9 92
8/26/10 244 329 32 26 9 96
9/2/10 244 329 32 26 9 87
9/9/10 231 305 32 26 9 82
9/16/10 224 299 32 26 9 87
9/23/10 228 312 33 26 9 92
9/30/10 229 314 33 26 9 96
10/7/10 224 303 37 28 9 89
10/14/10 222 297 41 30 9 86
10/21/10 260 314 41 30 9 83
10/28/10 310 326 41 30 9 84
11/4/10 306 287 42 30 9 92
11/11/10 313 310 42 30 9 93
11/18/10 295 298 42 30 9 116
11/25/10 292 307 42 30 9 119
12/2/10 304 305 44 32 9 123
12/9/10 296 282 44 32 9 113
12/16/10 302 266 50 38 9 127
12/23/10 291 256 50 38 9 120
12/30/10 289 250 50 38 9 119
1/6/11 282 226 51 38 9 116
1/13/11 274 210 60 46 11 116
Source: JPMS.
* CMBS AA-BBB prices since 4/23/09
16
ABS Research
January 14, 2011
U.S. Table 9
Spreads - Tsy U.S. Corporate & Agency Spreads to Treasuries
Corporates & Industrials Banks Finance Agency

Agency AAA AA A AA A BBB AA A BBB Benchmark
Date
1-3 3-5 1-3 3-5 7-10 1-3 3-5 7-10 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 1-3 3-5 7-10 5 10
8/12/10 35 50 56 97 57 83 121 102 136 178 138 182 244 283 318 99.6 150 199 271 156 183 224 25 37
8/19/10 35 47 67 97 62 89 124 95 136 178 131 181 237 289 311 93 140 199 261 153 186 220 27 39
8/26/10 48 50 56 96 62 87 122 95 137 180 127 186 247 288 315 100 140 202 271 160 192 225 29 42
9/2/10 40 53 57 94 62 88 121 95 143 180 134 190 249 285 325 107 142 205 279 155 199 242 29 42
9/9/10 39 49 59 94 61 86 116 85 135 168 126 180 237 274 321 95 138 200 260 151 198 236 29 39
9/16/10 38 50 58 94 58 85 119 83 134 167 119 176 236 268 321 91 129 199 255 151 195 237 30 43
9/23/10 39 44 55 92 56 81 117 87 136 170 118 177 240 267 328 89 168 194 261 149 198 239 31 41
9/30/10 43 43 54 94 55 80 118 85 135 168 117 177 237 265 371 88 123 189 259 156 185 242 30 44
10/7/10 48 40 62 93 53 78 115 82 130 165 114 166 230 259 365 79 112 180 247 156 181 238 29 45
10/14/10 42 43 53 96 54 77 115 80 127 164 114 177 238 258 353 83 114 182 259 168 186 243 29 45
10/21/10 39 42 54 99 51 78 116 82 132 169 116 183 243 254 358 81 110 179 260 179 197 247 25 40
10/28/10 40 42 60 97 51 79 116 80 130 162 113 175 228 242 351 71 107 175 246 164 186 241 25 36
11/4/10 41 38 56 91 56 77 112 77 122 159 114 169 226 237 342 71 110 176 241 161 182 251 23 35
11/11/10 41 40 53 93 52 77 111 79 120 162 113 166 223 241 352 78 107 172 231 162 178 249 20 35
11/18/10 42 47 60 97 54 83 114 85 126 166 119 181 230 269 376 85 108 179 246 167 190 255 24 39
11/25/10 40 46 57 97 53 82 113 90 131 171 119 187 235 287 383 83 103 180 255 167 192 257 22 40
12/2/10 47 50 64 93 60 91 113 103 149 180 134 203 246 261 392 94 120 208 270 173 205 257 25 38
12/9/10 46 49 74 92 59 93 112 95 143 168 127 195 223 250 371 83 105 199 243 156 201 246 25 40
12/16/10 55 52 71 96 61 98 115 92 144 167 125 191 222 274 385 84 104 201 242 153 199 246 32 44
12/23/10 49 50 69 91 61 98 113 91 137 157 121 180 209 270 382 78 102 187 227 150 195 240 27 38
12/30/10 49 51 73 90 63 99 111 90 138 156 114 178 205 261 380 78 98 182 224 150 189 234 26 37
1/6/11 44 50 66 78 63 94 111 92 132 159 110 167 205 259 401 82 102 168 216 152 182 228 27 36
1/13/11 48 47 59 82 60 85 112 105 143 167 122 177 206 247 414 86 106 171 219 151 193 231 26 36
Source: JPMS.
17
ABS Research
January 14, 2011
Credit Default Table 10
Swaps Spread Credit Default Swaps Spread
Credit Cards Auto DJ CDX LCDX Home

Builders
Date C HSBC COF AXP GM DCX F Toyota BMW VOW BB B IG 5-year
7/1/10 190 201 123 118 537 110 513 85 120 150 423 622 120 386 883
7/8/10 180 201 120 108 533 120 493 85 130 150 390 580 110 362 905
7/15/10 160 196 110 95 477 120 449 85 120 140 361 557 110 350 884
7/22/10 170 195 120 95 458 110 419 85 110 130 364 560 110 352 881
7/29/10 160 180 100 80 447 100 389 78 110 120 338 539 100 336 851
8/5/10 160 155 100 80 398 96 349 78 99 110 326 523 100 326 851
8/12/10 180 175 115 95 439 101 369 79 103 120 353 562 109 350 878
8/19/10 170 171 115 90 438 96 369 73 93 107 344 556 108 346 879
8/26/10 200 185 120 100 469 100 390 72 98 120 370 589 110 378 909
9/2/10 180 190 110 95 499 96 409 75 97 110 335 549 110 354 912
9/9/10 170 175 110 90 480 93 380 67 93 107 334 553 100 341 869
9/16/10 170 170 110 85 435 91 335 58 91 100 323 530 100 334 857
9/23/10 180 150 110 95 402 93 323 54 92 100 334 540 114 341 864
9/30/10 170 145 105 90 402 100 323 56 90 100 330 559 110 311 862
10/7/10 160 135 100 90 373 97 308 55 83 96 295 514 98 293 854
10/14/10 170 155 110 99 463 99 298 55 84 94 292 505 98 293 813
10/21/10 160 145 160 94 463 99 298 55 83 95 290 500 97 299 827
10/28/10 140 125 140 85 433 97 289 65 87 98 277 485 94 285 806
11/4/10 130 115 120 72 384 91 239 65 83 89 266 470 91 274 804
11/11/10 150 99.9 120 73 344 94 239 62 91 95 270 455 90 268 786
11/18/10 150 89.9 120 78 389 95 269 61 90 95 284 485 91 286 809
11/25/10 160 99.9 130 88 375 100 254 61 94 99 305 510 95 298 817
12/2/10 150 99.9 130 85 385 100 259 66 93 100 266 467 92 280 744
12/9/10 150 92.9 130 77 330 97 225 66 90 98 266 458 88 265 711
12/16/10 140 93.0 130 78 300 96 225 66 89 97 262 432 86 270 687
12/23/10 140 94.6 130 80 276 94 223 63 87 93 259 420 85 259 676
12/30/10 150 97.7 120 80 247 94 213 63 86 93 260 412 85 252 678
1/6/11 150 94.7 120 78 223 88 213 63 81 87 261 413 87 249 649
1/13/11 150 94.6 120 80 238 89 219 70 79 84 254 402 85 243 569
Source: JPMS.
18
ABS Research
January 14, 2011
U.S. Public and

Table 14
Private Issuance by Collateral by Month Thru 1/14/11 ($ Millions) Floating Rate by Collateral by Month
New Issue Global Global
By Month Total Auto Cards HEL MH Equip Student RMBS Other* Total Auto Cards HEL MH Equip Student RMBS Other*
2010
Jan 11,453 5,275 750 0 0 0 1,542 1,000 2,885 54% 0% 100% 100% 100% 100%
Feb 6,682 4,231 255 0 0 63 783 0 1,350 40% 12% 100% 0% 100% 85%
Mar 11,998 3,962 750 0 0 1,741 2,893 0 2,651 38% 0% 0% 0% 100% 64%
Apr 8,881 4,083 1,030 0 100 708 1,272 0 1,687 25% 0% 89% 0% 0% 100% 2%
May 9,448 6,062 900 0 0 0 1,286 1,200 0 36% 0% 100% 100% 100%
Jun 7,546 4,230 850 0 0 0 2,117 0 349 28% 0% 0% 100% 0%
Jul 9,427 4,508 450 0 0 0 3,333 0 1,136 39% 8% 0% 100% 0%
Aug 6,513 3,464 0 0 0 753 950 0 1,345 30% 11% 0% 100% 43%
Sep 13,078 6,707 913 0 0 727 1,420 2,725 587 38% 0% 75% 0% 100% 100% 26%
Oct 6,998 4,624 0 0 0 0 604 700 1,071 19% 0% 100% 100% 0%
Nov 9,804 4,812 500 0 0 876 1,268 1,400 949 32% 0% 100% 0% 100% 100% 0%
Dec 3,081 1,634 830 0 0 0 0 0 617 24% 0% 90% 0%
2011
Jan 1,938 0 0 0 0 0 0 0 1,938 37% 37%
YTD Summary (Thru 01/14)
2010 1,735 0 0 0 0 0 0 0 1,735 1,735 0 0 0 0 0 0 0 1,735
% Issuance 0% 0% 0% 0% 0% 0% 0% 100% FL % 100% 0% 0% 0% 0% 0% 0% 0% 100%
2011 1,938 0 0 0 0 0 0 0 1,938 720 0 0 0 0 0 0 0 720
% Issuance 0% 0% 0% 0% 0% 0% 0% 100% FL % 37% 0% 0% 0% 0% 0% 0% 0% 37%
Full Year Summary
2010 104,909 53,592 7,228 0 100 4,868 17,470 7,025 14,627 36,990 1,255 4,752 0 0 0 17,470 7,025 6,489
% Issuance 51% 7% 0% 0% 5% 17% 7% 14% FL % 35% 2% 66% #Num! 0% 0% 100% 100% 44%

Issuance by Year 2010 YTD Issuance by Collateral Type 2009 Issuance by Collateral Type
US$ (Billions) Student Student

Other
1000 874892 Loans
8% Loans
800 702 541 17% 14%
600 501 140 Auto
402 142 Auto
272330 Other 39%
400 MH
Global 50% Equip
14%
200 RMBS0% 5%
0 105 2 7% Cards
2000 2002 2004 2006 2008 2010 Equip 34%
Cards
5%
7%
* Other includes deals backed by Dealer Floorplan, Stranded Asset, RV, Boat, Consumer, EETC, and Small Business Loans.
Sources: JPM, IFR, Bloomberg.
19
ABS Research
January 14, 2011
U.S. Table 15
U.S. New Issue Spreads by WAL 12/15/10 - 1/14/11
New Issue
Spreads Spread to Weighted Average Life Subordinate Spreads
Date Issuer Series .5 1 2 3 4 5 7 >= 10 NAS AA A BBB
Containers
5.00
1/14/11 TAL Advantage LLC 2011-1
Swap+245
CrCds - Bank
A-2
12/17/10 Penarth Master Issuer plc 2010-2A
1ML+75
Floorplan
A-1
1/13/11 Ally Master Owner Trust 2011-1
1ML+87
20
ABS Research
January 14, 2011
U.S. Table 16
New Issue U.S. ABS New Issue Detail by Date 12/15/10 - 1/14/11
Detail Lead: Co
Rating Enhancement
Amount WAL
Date Issuer Series Class ($ MM) Coll (Yrs) Coupon Price Yield Sprd Benchmark Manager Moody S&P Fitch DBRS Type Amt
1/14/11 TAL Advantage LLC 2011-1 A $174.00 Containers 5.00 4.50% 4.50% 245 Swap - 5Y WFS A
$174.00
1/13/11 Ally Master Owner Trust 2011-1 A-1 $500.00 Floorplan 2.99 100.0000 87 1 Mo. LIBOR CS/BOA/DB Aaa AAA
A-2 $750.00 2.99 2.15% 99.9990 2.16% 87 Swap - Int Aaa AAA
B $114.89 2.99 CS Aa2 AA
C $87.32 2.99 A1 A
D $91.91 2.99 Baa2 BBB
$1,544.12
1/11/11 CNH Equipment Trust 2011-1 A $200.00 Floorplan 1.91 100.0000 80 1 Mo. LIBOR DB/CITG Aaa AAA
B $20.00 1.91 100.0000 165 1 Mo. LIBOR A2 A
$220.00
12/23/10 SVO VOI Mortgage Corp 2010-B A $114.60 Time Share 2.85 6.00% Swap - Int BBT A
B $26.58 2.85 8.48% BBB
$141.18
12/17/10 Penarth Master Issuer plc 2010-2A A-2 $750.00 CrCds - Bank 1.99 100.0000 75 1 Mo. LIBOR LLT: BCG,JPM Aaa AAA AAA
$750.00
12/16/10 1st Financial Bank USA 2010-D A $53.20 CrCds - Bank 3.48 3.72% 99.9968 3.75% UBS/BBT: BCG, AAA AAA
B $9.00 3.48 4.94% 99.9724 5.00% AA AA H
C $7.60 3.48 5.92% 99.9803 6.00% A AH
D $10.20 3.48 7.86% 99.9705 8.00% BBB- BBB H
$80.00
12/14/10 BXG Receivables Note Trust 2010-A A $96.65 Time Share 3.10 380 Swap - Int BBTCM A
B $24.16 3.10 7.50% Swap - Int BBB+
$120.81
21
Note: Names of deals priced during the most recent week are in bold.
ABS Research
January 14, 2011
European Table 17
Spreads Europe ABS Spreads to Sterling LIBOR, EURIBOR or Dollar LIBOR
Autos Cards (£) RMBS UK Aussie

Float Fixed (£) (EUR) ($) ($)
AAA AAA AAA AA BBB AAA A BBB AAA AAA
Date 2-3 5 7 5 5 4-5 5-7 6-7 5 5-6 8-10 8-10 3 3
Euro Bullet Italian Dutch Spanish Spanish Spanish Bullet
8/12/10 80 160 165 135 245 450 175 120 410 900 1,500 135 170
8/19/10 80 165 165 135 245 450 175 120 410 900 1,500 135 170
8/26/10 80 155 165 140 225 425 175 125 410 900 1,500 135 170
9/2/10 80 145 155 140 225 425 170 125 410 900 1,500 135 160
9/9/10 80 140 160 140 225 375 170 125 410 900 1,500 135 160
9/16/10 80 135 155 140 225 375 165 125 400 900 1,500 135 160
9/23/10 80 135 155 142 225 375 165 130 400 900 1,500 135 160
9/30/10 80 130 155 145 225 375 165 135 375 900 1,500 135 160
10/7/10 80 130 155 145 225 375 165 135 375 900 1,500 135 160
10/14/10 80 130 155 150 225 375 165 135 350 900 1,500 135 160
10/21/10 80 130 155 150 225 375 165 137 350 900 1,500 135 160
10/28/10 80 130 155 150 225 375 165 137 350 900 1,500 135 160
11/4/10 80 130 155 150 225 375 165 137 350 900 1,500 135 160
11/11/10 83 132 157 152 225 375 165 139 365 900 1,500 135 160
11/18/10 85 132 157 152 225 375 165 139 375 900 1,500 135 160
11/25/10 85 137 167 155 225 375 170 142 400 900 1,500 135 165
12/2/10 85 137 167 155 225 375 170 142 400 900 1,500 135 165
12/9/10 85 135 165 155 225 375 170 142 400 900 1,500 135 165
12/16/10 85 135 165 155 225 375 170 142 400 900 1,500 135 165
12/23/10 85 135 165 155 225 375 170 142 400 900 1,500 135 165
12/30/10 85 135 165 155 225 375 170 142 400 900 1,500 135 165
1/6/11 85 130 160 153 225 325 170 140 400 900 1,500 135 160
1/13/11 85 130 160 150 225 325 170 140 400 900 1,500 135 170
*European spreads to 3m£L or 3m€L. Fixed spreads are LIBOR equivalent spreads to mid-swaps.
Source: JPMS.
22
ABS Research
January 14, 2011
European Table 18
New Issue Issuance by Collateral by Month Thru 1/14/11 ($ Millions)

By Month Whole Student
Total Auto Cards RMBS CMBS CDO Consumer Sov/Ag Business Loan Other*
2010
Jan 54,514 4,062 0 50,452 0 0 0 0 0 0 0
Feb 30,089 340 1,300 5,957 2,315 18,153 0 0 0 0 2,024
Mar 21,823 1,148 0 18,627 0 2,048 0 0 0 0 0
Apr 18,222 1,065 0 14,732 463 53 0 0 0 0 1,909
May 9,544 0 0 9,544 0 0 0 0 0 0 0
Jun 18,984 652 3,171 12,124 1,452 1,584 0 0 0 0 0
Jul 82,663 3,415 0 33,044 0 41,706 4,498 0 0 0 0
Aug 19,465 0 0 10,184 0 4,167 3,176 0 0 0 1,938
Sep 40,142 1,664 0 33,665 0 4,175 0 0 113 0 526
Oct 85,100 2,023 0 80,004 0 1,812 872 0 0 0 389
Nov 111,251 3,848 519 99,807 0 5,918 1,159 0 0 0 0
Dec 25,074 1,193 1,027 9,580 2,273 10,424 0 0 0 0 577
2011
Jan 10,909 0 0 10,909 0 0 0 0 0 0 0
YTD Summary (Thru Jan/14)
2010 524 0 0 524 0 0 0 0 0 0 0
% Issuance 0% 0% 100% 0% 0% 0% 0% 0% 0% 0%
2011 10,909 0 0 10,909 0 0 0 0 0 0 0
% Issuance 0% 0% 100% 0% 0% 0% 0% 0% 0% 0%
Full Year Summary
2010 516,871 19,410 6,017 377,720 6,503 90,041 9,704 0 113 0 7,362
% Issuance 4% 1% 73% 1% 17% 2% 0% 0% 0% 1%
Sources: JPMS, MCM CorporateWatch, Bloomberg.

Issuance by Year 2010 YTD Issuance by Collateral Type 2010 YTD Issuance by Asset Origin
US$ Billions CDO France
Auto Cards CMBS Germany
1178 Whole 17%
1500 4% 1% 1% 6% Italy
798 Bus 7%
624 UK
556 15%
0% Consumer 20%
1000
385 Netherlan
305 2%
237 OtherLeases ds
500 76 123 137 Spain
517 1% 1% 9%
16% Other
0 11 RMBS 27%
2000 2002 2004 2006 2008 2010 73%
* Other includes deals backed by Non-performing Loans, Future Flow, and Trade Receivables.
23
ABS Research
January 14, 2011
European Table 19
European New Issue Spreads by WAL 10/16/10 - 1/14/11
New Issue
Spreads Asset Spread to Weighted Average Life
Date Issuer Series Dom icile .5 1 2 3 4 5 7 >= 10 AA A BBB
Auto Leases
A-1 A-2
11/15/10 SMART Trust 2010-2 Australia
1MBBSW+60 1MBBSW+155
Auto Prime
A
12/22/10 BBVA Consumo 5 Spain
3mEL+30
A
11/16/10 Auto ABS 2010-1 Germany
1mEL+135
A 2.64
10/20/10 GMAC E-CARAT 2010 Germany
1mEL+125 1mEL+220
Consumer
A 3.55
11/16/10 SC Germany Consumer 2010-1 Germany
1mEL+105 1mEL+155
CrCds - Bank
A-3 4.20
12/17/10 Penarth Master Issuer plc 2010-2X UK
1M£L+105 1M£L+150
5.00
11/25/10 Penarth Master Issuer plc 2010-2 UK
1M£L+125
Non Conforming
A-1 A-2 8.25 8.25 8.25
10/22/10 Residential Mortgage Securities 25 UK
3M£L+250 3M£L-50 3M£L-50 3M£L-50 3M£L-50
RMBS
A-1 A-2 A-3
12/23/10 Pepper Residential Securities Trust 8 Australia
1MBBSW+130 1MBBSW+190 1MBBSW+220
A 17.76
12/17/10 AyT Goya Hipotecario FTA III Spain
6mEL+30 6mEL+30
A-1 A-2
12/17/10 Bella Trust 2010-2 Australia
24

ABS Research
January 14, 2011
European Table 19
New Issue
A-1 A-2
12/17/10 WB Trust 2010-1 Australia
A-4 A-1V A-5 3.52

12/16/10 Torrens Trust 2010-3 Australia
1MBBSW+0 1MBBSW+65 1MBBSW+110 1MBBSW+350
A
12/13/10 Psis Trust 2010-1
3MBKBN+150
A-1 A-2
12/3/10 Pinnacle Trust 2010-T1 Australia
A-1 A-2 AB
11/29/10 SWAN Trust 2010-2 Australia
A-1 AB A-2
11/25/10 RESIMAC Trust 2010-2 Australia
A 5.00 5.00
11/24/10 Storm BV 2010-IV Netherlands
3mEL+125 3mEL+200 3mEL+400
A
11/22/10 IM Cajastur MBS 1 Spain
3mEL+30
A
11/19/10 Atlantes Mortgage 7 (Gamma) Portugal
3mEL+15
A
11/17/10 Asti Finance 3 Italy
3mEL+60
A-1 A-2
11/16/10 Siena Mortgages SpA 2010-7 Italy
3mEL+115 3mEL+150
A 1.67 1.67 1.67

11/12/10 BASS Master Issuer NV 0-2008-I T-4 Belgium
3mEL+25 3mEL+45 3mEL+60 3mEL+120
A-1 A-2
11/4/10 Dutch Mortgage Portfolio Loans BV VIII Netherlands
3mEL+95 3mEL+135
A-3 A-4 A-5

11/4/10 Holmes Master Issuer 2010-1 UK
3mEL+140 3mEL+150 Gilt+195
A
10/28/10 Bowbell 1 UK
3M£L+30
A-1 A-2
10/22/10 Silverstone Master Issuer 2010-1 UK
3M£L+140 3M£L+150
25

ABS Research
January 14, 2011
European Table 19
New Issue
A 5.00
10/21/10 Phedina Hypotheken 2010 Netherlands
3mEL+50 3mEL+55
26

ABS Research
January 14, 2011
European Table 20
European ABS New Issue Detail by Date 12/15/10 - 1/14/11
New Issue
Detail Amount Collateral
Lead/Co
Rating
WAL
Date Issuer Series Class USD Issue Currency Type Domicile (Yrs) Price Coupon Spread Benchmark Manager Moody S&P Fitch
1/7/11 Stichting Orange Lion IV A-1 $2,335.20 1,750 € RMBS Netherlands 120 3 Mo. Euribor ING Aaa AAA
A-2 $2,335.20 1,750 € 130 3 Mo. Euribor Aaa AAA
B $1,854.55 1,390 € 200 3 Mo. Euribor
$10,908.72
12/31/10 Green Fields Capital 2011-1 A $99.46 75 € Infrastructure France 4.00 3 Mo. Euribor Swiss Re BB+
$99.46
12/23/10 MBS Bancaja FTA 8 A $364.01 275 € RMBS Spain 4.58 30 3 Mo. Euribor BAN Aaa
B $232.73 176 € 17.05 70 3 Mo. Euribor Caa2
$596.74
12/23/10 Pepper Residential Securities Trus 8 A-1 $26.09 26 AUD RMBS Australia 0.20 130 1 Mo. BBSW CBA/NAB Aaa AAA AAA
A-2 $78.27 78 AUD 1.00 190 1 Mo. BBSW Aaa AAA AAA
A-3 $97.83 98 AUD 3.90 220 1 Mo. BBSW Aaa AAA AAA
B $24.78 25 AUD 4.80
C $11.74 12 AUD 4.80
D $9.13 9 AUD 4.80
E $6.52 7 AUD 10.70
F $6.52 7 AUD 10.70
$260.88
12/23/10 Kortis Capital 2010-1 E $50.00 50 $ Insurance Global 6.00 Swiss Re BB+
$50.00
12/22/10 BBVA Consumo 5 A $1,193.49 900 € Auto Prime Spain 3.00 30 3 Mo. Euribor BBVA Aaa AAA
$1,193.49
12/20/10 Mespil RMBS 2010-1 A-1 $197.04 150 € RMBS Ireland EBS AA
A-2 $393.81 300 € AA
A-3 $393.81 300 € AA
Z $328.18 250 €
$1,312.84
27
Note: Deal names of deals priced during the most recent week are bolded.
ABS Research
January 14, 2011
European Table 20
New Issue
Lead/Co
Rating
WAL
12/20/10 Garanti Diversified Payment Right 2010-1 B $98.45 75 € Trade Rec Turkey 12.00 3 Mo. Euribor WLB A-
C $98.45 75 € 12.00 3 Mo. Euribor A-
D $131.27 100 € 5.00 3 Mo. Euribor A-
$328.17
12/17/10 Penarth Master Issuer plc 2010-2X A-3 $466.71 300 £ CrCds - Bank UK 4.00 105 1 Mo. GBP LIBOR LLT/BCG/JPM Aaa AAA AAA
C-1 $272.25 175 £ 4.20 150 1 Mo. GBP LIBOR Baa1 BBB+
$738.96
12/17/10 AyT Goya Hipotecario FTA III A $4,972.88 3,750 € RMBS Spain 6.83 30 6 Mo. Euribor BCG AAA AAA
B $331.53 250 € 17.76 30 6 Mo. Euribor AA- BBB+
$5,304.41
12/17/10 Casaforte 2010-1 A $2,091.52 1,537 € CMBS Italy 10.00 3.00% 6 Mo. Euribor BMPS A-
B $176.94 130 € 21.00
Z $4.08 3 €
$2,272.54
12/17/10 Bella Trust 2010-2 A-1 $87.30 87 AUD RMBS Australia 0.35 60 1 Mo. BBSW LLT/MBL/WSP P-1 F-1+
A-2 $322.09 321 AUD 1.90 155 1 Mo. BBSW Aaa AAA
B $58.70 59 AUD 2.70 Aa2 A
C $11.04 11 AUD 2.70 A2 BBB
D $4.01 4 AUD 3.70 Baa1 BB
E $7.02 7 AUD 3.70 Ba1 B
PS $11.54 12 AUD 3.70
$501.70
12/17/10 WB Trust 2010-1 A-1 $138.47 138 AUD RMBS Australia 1.50 105 1 Mo. BBSW ANZ AAA AAA
A-2 $82.48 82 AUD 6.60 125 1 Mo. BBSW AAA AAA
A-3 $23.08 23 AUD 6.20 200 1 Mo. BBSW AAA AAA
B $7.83 8 AUD 6.20 AA-
$251.86
28
ABS Research
January 14, 2011
European Table 20
New Issue
Lead/Co
Rating
WAL
12/16/10 Torrens Trust 2010-3 A-1F $0.00 0 AUD RMBS Australia 0.98 DB/NAB/WSP
A-1V $250.85 250 AUD 0.98 65 1 Mo. BBSW P-1 A-1+
A-2 $150.51 150 AUD 1.99 Aaa AAA
A-3 $130.44 130 AUD 2.99 Aaa AAA
AB $45.15 45 AUD 4.72 180 1 Mo. BBSW Aaa AAA
B-1 $20.07 20 AUD 3.52 350 1 Mo. BBSW AA-
B-2 $10.03 10 AUD 7.13 0 1 Mo. BBSW
$1,003.39
12/13/10 Psis Trust 2010-1 A $66.47 89 NZD RMBS 3.00 150 3 Mo. BKBN WSP AAA
B $8.64 12 NZD 5.00 3 Mo. BKBN
$75.11
29
ABS Research
January 14, 2011
Table 1
CDO
CDO Spreads to LIBOR
Spreads
US HY CLO Spreads* Euro HY CLO Spreads* US HY CLO Prices* Euro HY CLO Prices*
RatingSuper Senior AAA AA A BBB BB AAA AA A BBB BB AA A BBB BB AA A BBB BB
Date
WAL 3-5 6-8 7-10 8-10 9-11 10-12 6-8 7-10 8-10 9-11 10-12 7-10 8-10 9-11 10-12 7-10 8-10 9-11 10-12
8/12/10 170 220 500 848 1152 1700 260 779 966 1414 1940 77 65 57 45 67 56 41 30
8/19/10 170 220 500 848 1152 1700 260 779 966 1414 1940 77 65 57 45 67 56 41 30
8/26/10 170 220 500 848 1152 1700 260 757 946 1414 1918 77 65 57 45 68 57 41 31
9/2/10 170 220 500 848 1152 1700 260 757 925 1393 1896 77 65 57 45 68 58 42 32
9/9/10 170 220 500 848 1152 1700 260 757 925 1350 1852 77 65 57 45 68 58 44 34
9/16/10 170 230 440 737 1034 1575 260 712 884 1350 1852 80 70 62 50 70 60 44 34
9/23/10 170 230 440 692 964 1525 260 712 884 1350 1852 80 72 65 52 70 60 44 34
9/30/10 170 230 440 692 964 1525 260 712 843 1286 1808 80 72 65 52 70 62 47 36
10/7/10 170 230 440 692 964 1525 260 690 823 1264 1764 80 72 65 52 71 63 48 38
10/14/10 170 230 440 692 964 1525 260 690 823 1264 1764 80 72 65 52 71 63 48 38
10/21/10 170 230 440 692 964 1525 260 690 823 1264 1764 80 72 65 52 71 63 48 38
10/28/10 170 230 440 692 964 1525 260 690 823 1264 1764 80 72 65 52 71 63 48 38
11/4/10 170 230 440 626 846 1325 260 667 761 1179 1676 80 75 70 60 72 66 52 42
11/11/10 170 230 440 626 846 1325 260 667 761 1179 1676 80 75 70 60 72 66 52 42
11/18/10 170 230 440 626 846 1325 260 667 761 1179 1676 80 75 70 60 72 66 52 42
11/25/10 170 230 440 626 846 1325 260 667 761 1179 1676 80 75 70 60 72 66 52 42
12/2/10 170 230 440 626 846 1325 260 667 761 1071 1566 80 75 70 60 72 66 57 47
12/9/10 170 230 440 626 846 1325 260 667 761 1071 1566 80 75 70 60 72 66 57 47
12/16/10 170 230 350 450 650 950 255 600 700 1050 1500 85 83 78 75 75 69 58 50
12/23/10 170 230 350 450 650 950 255 600 700 1050 1500 85 83 78 75 75 69 58 50
12/30/10 170 230 350 450 650 950 255 600 700 1050 1500 85 83 78 75 75 69 58 50
1/6/11 170 210 325 425 600 900 245 575 650 1000 1400 86 84 80 77 76 71 60 55
1/13/11 170 190 300 400 500 750 240 500 625 850 1300 87 85 85 83 79 73 67 59
* CLO AA to BB spreads are 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 primary
shown prior to November 21, and 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
2008 and after December 10, 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
2010. Between November 21, historical primary transaction information.
2008 and December 9, the
spreads are estimated using Chart 1: New Issue CDO Spreads to Libor Chart 2: New Issue CDO Spreads to Libor
simplified duration and other
assumptions. Indicative CLO AA 200
to BB prices are shown up to 18 0
December 9, 2010; thereafter, 16 0 500
prices are estimated using 14 0
simplified durations and other 12 0
assumptions. 10 0 350
80
60 AAA 200
A
40 AA BBB
20
F F F F F F J J J J J J 50
e b- e b- e b- e b- e b- e b- a n- a n- a n- a n- a n- a n- F F F F F F J J J J J J
00 01 02 03 04 05 06 07 08 09 10 11 e b- e b- e b- e b- e b- e b- a n- a n- a n- a n- a n- a n-
Source: JPMS. 00 01 02 03 04 05 06 07 08 09 10 11
30
ABS Research
January 14, 2011
Table 2
CDO
CDO Collateral Spreads to Swaps/Libor (bp)
Collateral
Spreads US Euro US
High Yield Bonds Leveraged Loans Leveraged Loans Corp Industrials CMBS Emerging Mkts
JPM HY Spread JPM EM
Index BB B Yield BB/BB- B+/B A BBB A BBB BB Index
Date
7 7 7 7 5 5 10 10 10 10 10
8/12/10 683 491 700 851 438 712 121 205 23 9 300
8/19/10 685 488 700 842 440 719 122 204 25 9 297
8/26/10 696 501 711 835 437 719 121 205 26 9 317
9/2/10 687 489 699 837 436 729 121 212 26 9 308
9/9/10 665 472 679 832 433 722 118 210 26 9 308
9/16/10 648 463 659 833 428 710 118 204 26 9 299
9/23/10 654 468 673 822 420 701 113 203 26 9 312
9/30/10 643 460 663 808 416 692 112 197 26 9 299
10/7/10 628 457 638 796 410 683 106 189 28 9 291
10/14/10 618 446 624 791 403 650 106 185 30 9 268
10/21/10 624 449 635 777 402 636 110 189 30 9 280
10/28/10 602 432 610 777 398 633 107 184 30 9 262
11/4/10 595 432 606 764 386 620 98 171 30 9 261
11/11/10 575 414 582 749 376 601 95 167 30 9 261
11/18/10 594 426 605 744 377 608 99 174 30 9 266
11/25/10 612 439 626 744 377 608 99 174 30 9 284
12/2/10 598 428 607 747 398 654 96 175 32 9 277
12/9/10 586 418 594 748 396 648 102 180 32 9 267
12/16/10 563 400 570 748 396 639 103 179 38 9 270
12/23/10 570 413 577 742 394 627 104 178 38 9 275
12/30/10 563 405 576 733 397 618 103 178 38 9 272
1/6/11 542 387 551 730 394 630 103 174 38 9 264
1/13/11 544 394 559 716 383 596 105 176 46 11 274
Source: JPMorgan, S&P. Note: Leveraged Loan spreads are discount margin spreads based on coupon and bid price of SP LSTA and ELLI secondary indices. In October 2008, LCD removed the bid price limit of $70 or higher.
Chart 3 Chart 4
US$ & Euro High Yield Spreads to Swaps BBB Spreads to Swaps
€ High Yield $ High Yield

2,500 800 Industrial BBB 10 Yr
2,000 600
1,500
400
1,000
200
500
0
0
Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan-
Jan-99 Sep-00 May-02 Jan-04 Sep-05 May-07 Jan-09 Sep-10
01 02 03 04 05 06 07 08 09 10 11
Source: JPMS, SP/PMD
31
ABS Research
January 14, 2011
Table 3
Corporate
Corporate Index Spreads (bp)
Index
Spreads
LCDX 5Yr CDX IG 5Yr CDX HY 5Yr CDX EM 5Yr
Index 15-100 12-15 8-12 5-8 0-5 Index 30-100 15-30 10-15 7-10 3-7 Index 35-100 25-35 15-25 10-15 0-10 Index
Date On the Run On the Run On the Run On the Run
8/12/10 350 187 755 1,722 4387 110 25 42 115 250 673 579 123 516 968 226
8/19/10 346 189 727 1,613 4343 108 24 42 115 244 625 572 118 493 934 234
8/26/10 378 212 803 1,776 4779 115 26 47 121 282 694 605 134 551 1,024 252
9/2/10 354 196 666 1,480 4192 106 25 41 109 258 635 569 129 516 971 247
9/9/10 341 187 663 1,412 4043 105 25 41 103 240 591 568 125 492 940 255
9/16/10 334 176 634 1,403 3952 104 23 41 100 241 600 548 120 468 907 240
9/23/10 341 179 635 1,415 3933 114 24 52 109 266 622 563 126 462 905
9/30/10 311 167 616 1,417 3882 107 588 565 121 440 871 224
10/7/10 293 151 543 1,316 3616 98 504 517 106 390 801 203
10/14/10 293 134 481 1,210 3394 98 512 508 136 450 769 194
10/21/10 299 97 510 508 135 452 766 213
10/28/10 285 94 482 491 130 437 746 204
11/4/10 274 91 466 473 129 431 738 196
11/11/10 268 90 460 460 121 403 695 205
11/18/10 286 91 462 490 129 428 734 219
11/25/10 298 95 490 516 133 441 749 230
12/2/10 280 92 477 474 131 438 735 219
12/9/10 265 88 439 464 119 398 688 215
12/16/10 270 86 442 444 112 397 672 217
12/23/10 259 86 430 435 109 394 663 206
12/30/10 252 85 431 428 155 395 661 201
1/6/11 249 87 415 425 144 371 631 201
1/13/11 243 85 420 418 141 374 644 201
Note: LCDX spreads calculated using JPMorgan closing price (in dollar terms) converted to spread using CDSW methodology, ignoring the cancelable feature.
Chart 5 Chart 6
Corporate Index Spreads (bp) Corporate Tranche Index Spreads (bp)
2,100 LCDX 5yr CDX IG 5Yr 900 LCDX 30-100 CDX IG 30-100
1,800 CDX HY 5Yr CDX EM 5Yr 750 CDX HY 35-100
1,500 600
1,200 450
900
600 300
300 150
0 0
Au No Fe Ma Au No Fe Ma Au No Fe Ma Au No Au No Fe Ma Au No Fe Ma Au No Fe Ma Au No
g- v- b- y- g- v- b- y- g- v- b- y- g- v- g- v- b- y- g- v- b- y- g- v- b- y- g- v-
07 07 08 08 08 08 09 09 09 09 10 10 10 10 07 07 08 08 08 08 09 09 09 09 10 10 10 10
32
ABS Research
January 14, 2011
Table 5
Global
Funded Issuance by Purpose Funded Issuance by Collateral Funded Issuance by Market
Funded CDO High High* Investm ent*
New Issue Balance Yield Mezz EM Yield Grade
By Month Total Arbitrage Sheet Loans SF HG SF CMBS CDO² Debt Bonds Debt Other** Asia Europe U.S.
2010
Feb 18,153 0 18,153 18,153 0 0 0 0 0 0 0 0 0 18,153 0
Mar 2,561 0 2,561 2,561 0 0 0 0 0 0 0 0 0 2,048 513
Apr 53 0 53 53 0 0 0 0 0 0 0 0 0 53 0
May 773 0 773 773 0 0 0 0 0 0 0 0 0 0 773
Jun 2,096 99 1,997 2,096 0 0 0 0 0 0 0 0 0 1,584 512
Jul 41,706 0 41,706 41,706 0 0 0 0 0 0 0 0 0 41,706 0
Aug 4,167 1,809 2,358 4,167 0 0 0 0 0 0 0 0 0 4,167 0
Sep 4,175 0 4,175 4,175 0 0 0 0 0 0 0 0 0 4,175 0
Oct 2,112 300 1,812 2,112 0 0 0 0 0 0 0 0 0 1,812 300
Nov 6,218 300 5,918 6,218 0 0 0 0 0 0 0 0 0 5,918 300
Dec 10,424 0 10,424 10,424 0 0 0 0 0 0 0 0 0 10,424 0
2010 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
% Issuance #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num!
2011 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
% Issuance 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
Full Year Summary
2010 92,439 2,508 89,931 92,439 0 0 0 0 0 0 0 0 0 90,041 2,398
% Issuance 3% 97% 100% 0% 0% 0% 0% 0% 0% 0% 0% 0% 97% 3%
Chart 10a Chart 10b Chart 10c

Funded Issuance by Year 2008 Funded Issuance by Collateral 2008 Funded Issuance by Market
US $ B illio ns IG Debt US
Other CDO^2 CMBS
563 536 8% Asia
600 479 4% 0% HGSF
2% 22%
500 413 7%
320 1%
400 252 239 190 MezzSF
196
300 133157
85 83 125 176 90
123 114 92 18%
200 731026996 48 39 68 14 3
100 29 27 HY HY
0
Loans Bonds Europe
2001 2003 2005 2007 2009 64% 3% 71%
Arbitrage Balance Sheet Total
*IG Debt and HY Bond issuance figures are predominantly from CreditFlux and are updated quarterly .
**Other includes deals backed by Priv ate Equity , Hedge Funds, and Trust Preferred Securities.
Sources: JPMS, IFR Markets, Bloomberg.
33
ABS Research
January 14, 2011
US Table 7
Funded CDO Funded Issuance by Purpose Funded Issuance by Collateral

High High* Investment*
New Issue Balance Yield Mezz EM Yield Grade
By Month Total Arbitrage Sheet Loans SF HG SF CMBS CDO² Debt Bonds Debt Other**
2010
Feb 0 0 0 0 0 0 0 0 0 0 0 0
Mar 513 0 513 513 0 0 0 0 0 0 0 0
Apr 0 0 0 0 0 0 0 0 0 0 0 0
May 773 0 773 773 0 0 0 0 0 0 0 0
Jun 512 0 512 512 0 0 0 0 0 0 0 0
Jul 0 0 0 0 0 0 0 0 0 0 0 0
Aug 0 0 0 0 0 0 0 0 0 0 0 0
Sep 0 0 0 0 0 0 0 0 0 0 0 0
Oct 300 300 0 300 0 0 0 0 0 0 0 0
Nov 300 300 0 300 0 0 0 0 0 0 0 0
Dec 0 0 0 0 0 0 0 0 0 0 0 0
2010 0 0 0 0 0 0 0 0 0 0 0 0
% Issuance #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num!
2011 0 0 0 0 0 0 0 0 0 0 0 0
% Issuance 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
Full Year Summary
2010 2,398 600 1,798 2,398 0 0 0 0 0 0 0 0
% Issuance 25% 75% 100% 0% 0% 0% 0% 0% 0% 0% 0%

Funded Issuance by Year 2007 Funded Issuance by Collateral 2008 Funded Issuance by Collateral
0% 85%
US $ B illio ns CMBS HG SF
384 391
304
Mezz SF
400 310 6% 30%
13% CMBS
300 211
203 CDO^2 0%
CDO^2
200 119126 0%
71 4%
100 60 64 56 64 60
5 8 12 6 8 7 6 HY
Mezz SF
0 IG Debt Other Loans IG Debt
0% Other
2001 2002 2003 2004 2005 2006 2007 10% 3% 33% 13%
Arbitrage Balance Sheet Total 0%
*IG Debt and HY Bond issuance figures are predominantly from CreditFlux and are updated quarterly.
**Other includes deals backed by Private Equity, Hedge Funds, and Trust Preferred Securities.
34
ABS Research
January 14, 2011
Europe Table 9
Funded CDO Funded Issuance by Purpose Funded Issuance by Collateral

New Issue High High* Investment*
Balance Yield Mezz EM Yield Grade
By Month Total Arbitrage Sheet Loans SF HG SF CMBS CDO² Debt Bonds Debt Other**
2010
Feb 18,153 0 18,153 18,153 0 0 0 0 0 0 0 0
Mar 2,048 0 2,048 2,048 0 0 0 0 0 0 0 0
Apr 53 0 53 53 0 0 0 0 0 0 0 0
May 0 0 0 0 0 0 0 0 0 0 0 0
Jun 1,584 99 1,485 1,584 0 0 0 0 0 0 0 0
Jul 41,706 0 41,706 41,706 0 0 0 0 0 0 0 0
Aug 4,167 1,809 2,358 4,167 0 0 0 0 0 0 0 0
Sep 4,175 0 4,175 4,175 0 0 0 0 0 0 0 0
Oct 1,812 0 1,812 1,812 0 0 0 0 0 0 0 0
Nov 5,918 0 5,918 5,918 0 0 0 0 0 0 0 0
Dec 10,424 0 10,424 10,424 0 0 0 0 0 0 0 0
2010 0 0 0 0 0 0 0 0 0 0 0 0
% Issuance 0% 0% #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num! #Num!
2011 0 0 0 0 0 0 0 0 0 0 0 0
% Issuance 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
Full Year Summary
2010 90,041 1,908 88,133 90,041 0 0 0 0 0 0 0 0
% Issuance 2% 98% 100% 0% 0% 0% 0% 0% 0% 0% 0%

Funded Issuance by Year 2007 Funded Issuance by Collateral 2008 Funded Issuance by Collateral
US $ B illio ns HY HG SF
149 Mezz SF
Loans 2% Mezz SF
150 107 4%
125 102 25%
89 8190 90
88 71%
100 90 CMBS CMBS
60
75 43 2660 45 1% 3%
29
50 18 1123 23 34 45 13 HY
25 11 12 20 2
Other
HG SF HY Loans
0 IG Debt
IG Debt 4% CDO^2
2001 2003 2005 2007 2009 1% Bonds Other 56%
18% 0% 6%
0% 5%
Arbitrage Balance Sheet Total
*IG Debt and HY Bond issuance figures are predominantly from CreditFlux and are updated quarterly.
**Other includes deals backed by Private Equity, Hedge Funds, and Trust Preferred Securities.
35
ABS Research
January 14, 2011
CDO Table 30
New Issue CDO New Issue Spreads by WAL 10/16/10 - 1/14/11
Spreads Spread to Weighted Average Life Subordinate Spreads

Date Issuer Series Collateral Sector Market 3 4 5 6 7 8 9 10 AA A BBB
CDO - Arbitrage
A 5.50 5.90 6.20
11/24/10 Morningside Park CLO 20110-1A Cash HY Loans US
3ML+160 3ML+230 3ML+330 3ML+530
A 7.10 7.50 7.90
11/5/10 LCM Limited Partnership VIII Cash HY Loans US
3ML+160 3ML+225 3ML+300 3ML+500
CDO - Balance Sheet

A-2G
12/16/10 Madrid FTPYME 2010-1 Cash HY Loans Euro
3mEL+190
36
Sources: JPMS, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.
ABS Research
January 14, 2011
CDO Table 31
CDO New Issue Detail by Date 11/15/10 - 1/14/11
New Issue
Detail Amount CDO Credit WAL
Rating Enhan.
Date Class Issue Currency % Deal USD Purpose Structure (Yrs) Coupon Price Yield Sprd Benchmark Moody S&P Fitch Type
12/30/10 Lusitano SME 2 Asset Value: $ 2,574 mm Lead:CoManager: BES Market: Euro
Asset Seller: Banco Espirito Santo Collateral: Cash; SME CLO: Loans Sector: HY Loans
A EUR 1,107.30 56% $1,438.05 Balance Sheet Cash Flow 50 3 Mo. Euribor Aaa
B EUR 369.10 19% $479.35 75 3 Mo. Euribor A2
C EUR 466.30 24% $605.58 100 3 Mo. Euribor
D EUR 38.90 2% $50.52
EUR 1,981.60 $2,573.50
12/16/10 Caravela SME 2 Asset Value: $ 3,598 mm Lead:CoManager: MBCP Market: Euro
Asset Seller: Banco Comercial Portugues Collateral: Cash; SME CLO: Loans Sector: HY Loans
A EUR 1,260.00 46% $1,654.00 Balance Sheet Cash Flow 100 3 Mo. Euribor AAA
B EUR 1,080.00 39% $1,417.72 110 3 Mo. Euribor
C EUR 37.30 1% $48.96 110 3 Mo. Euribor
VFN EUR 363.78 13% $477.53
EUR 2,741.08 $3,598.21
12/16/10 FCT Eridan Compartiment 2010-01 Asset Value: $ 2,333 mm Lead:CoManager: BBP Market: Euro
Asset Seller: Bred Banque Populaire Collateral: Cash; SME CLO: Loans Sector: HY Loans
A EUR 598.50 68% $793.67 Balance Sheet Cash Flow 140 3 Mo. Euribor AAA
B EUR 103.55 12% $137.32 180 3 Mo. Euribor
S EUR 177.65 20% $235.58 200 3 Mo. Euribor
EUR 879.70 $1,166.57
12/16/10 Madrid FTPYME 2010-1 Asset Value: $ 1,505 mm Lead:CoManager: CAMA Market: Euro
Asset Seller: Caja Madrid Collateral: Cash; SME CLO: Loans Sector: HY Loans
A-1 EUR 170.00 15% $225.44 Balance Sheet Cash Flow 0.41 125 3 Mo. Euribor Aaa AAA
A-2G EUR 680.00 60% $901.75 2.09 190 3 Mo. Euribor Aaa AAA Kingdom of Sp
B EUR 285.00 25% $377.94 5.85 65 3 Mo. Euribor
EUR 1,135.00 $1,505.13
12/15/10 FTPYME TDA CAM FTA 9 Asset Value: $ 995 mm Lead:CoManager: CAM Market: Euro
Asset Seller: CA del Mediterraneo Collateral: Cash; SME CLO: Loans Sector: HY Loans
A-1 EUR 104.00 14% $137.91 Balance Sheet Cash Flow 0.41 30 3 Mo. Euribor Aaa
A-2G EUR 416.00 55% $551.66 2.07 35 3 Mo. Euribor Aaa
B EUR 230.00 31% $305.00 7.26
EUR 750.00 $994.57
Note: Deal names of deals priced during the most recent week are bolded. 37
ABS Research
January 14, 2011
CDO Table 31
New Issue
Rating Enhan.
12/8/10 ALM Loan Funding 2010-3 Lead:CoManager: JPM Market: US

Asset Manager: Apollo Loan Management Collateral: Cash; Loans Sector: HY Loans
A-1 $262.00 79% $262.00 Arbitrage Cash Flow 175 3 Mo. LIBOR Aaa AAA
A-2 $20.50 6% $20.50 300 3 Mo. LIBOR Aa2 AA
B $25.75 8% $25.75 400 3 Mo. LIBOR A2 A
C $14.00 4% $14.00 600 3 Mo. LIBOR Baa2 BBB
D $10.00 3% $10.00 725 3 Mo. LIBOR Ba2 BB
Sub Notes
$332.25 $332.25
12/8/10 Plymouth Rock CLO Ltd. 2010 Asset Value: $ 480 mm Lead:CoManager: Bank of America Market: US
Asset Seller: Bank of America Collateral: Cash; Broadly syndicated senior secured loans. Sector: HY Loans
A USD 298.00 62% $298.00 Balance Sheet Cash Flow 1.50% 150 3 Mo. LIBOR AAA
B USD 92.00 19% $92.00 3.00% 300 3 mo. Libor BBB+
Pref Shares USD 90.36 19% $90.36 NR
USD 480.36 $480.36
12/1/10 FTPYME Pastor 9 Asset Value: $ 586 mm Lead:CoManager: BAP Market: Euro
Asset Seller: Banco Pastor Collateral: Cash; SME CLO: Loans Sector: HY Loans
A-2G EUR 250.00 57% $332.93 2.29 60 3 Mo. Euribor Aaa Kingdom of Sp
B EUR 127.50 29% $169.79 6.98 125 3 Mo. Euribor B2
EUR 440.00 $585.95
11/26/10 Foncaixa Empresas 2 Asset Value: $ 2,464 mm Lead:CoManager: LACAIXA Market: Euro
Asset Seller: La Caixa Collateral: Cash; SME CLO: Loans Sector: HY Loans
A-2 EUR 1,063.70 57% $1,416.53 2.79 100 3 Mo. Euribor Aaa
B EUR 185.00 10% $246.36 6.45 125 3 Mo. Euribor Aaa
C EUR 185.00 10% $246.36 7.82 175 3 Mo. Euribor A1
EUR 1,850.00 $2,463.64
ABS Research
January 14, 2011
CDO Table 31
New Issue
Rating Enhan.
11/24/10 Morningside Park CLO 20110-1A Asset Value: $ 400 mm Lead:CoManager: Bank of America Market: US
Asset Manager: GSO Capital Partners Sector: HY Loans
A USD 265.00 66% $265.00 Arbitrage Cash Flow 3.80 1.60% 160 3 Mo. LIBOR AAA
B USD 22.00 6% $22.00 5.50 2.30% 230 3 Mo. LIBOR AA
C USD 38.00 10% $38.00 5.90 3.30% 330 3 Mo. LIBOR A
D USD 17.00 4% $17.00 6.20 5.30% 530 3 Mo. LIBOR BBB
E USD 4.00 1% $4.00 6.50 6.00% 600 3 Mo. LIBOR BB
Sub USD 54.00 14% $54.00 1.78% 3 Mo. LIBOR
USD 400.00 $400.00
11/23/10 FCT Red & Black French Small Business 2010-1 Asset Value: $ 2,529 mm Lead:CoManager: SG-CIB Market: Euro
Asset Seller: SocGen Collateral: Cash; SME CLO: Loans Sector: HY Loans
A EUR 1,854.90 100% $2,528.79 Balance Sheet Cash Flow 69 3 Mo. Euribor AAA AAA
EUR 1,854.90 $2,528.79
11/16/10 NZCG Funding Ltd 2010 I Asset Value: $ 600 mm Lead:CoManager: Citi Market: US
Asset Manager: Guggenheim Investment Management Sector: HY Loans
A $342.00 57% $342.00 Arbitrage Cash Flow 100.0000 175 3 Mo. LIBOR Aaa AAA
B $90.00 15% $90.00 Baa2 BBB
Pref Shares $165.60 28% $165.60
$597.60 $597.60
ABS Research
January 14, 2011
Rating Table 34
Rating Changes 1/07/11 - 1/14/11
Changes
Action Ratings
Date Issuer Series Issue Date Deal Type Comments Class Agency Original Previous New
Downgrades
1/12/11 Opteum Mortgage Acceptance Corpora 2005-4 8/12/2005 Home Eq Market: US Lead/Co Mgr: UBS Asset Seller: Opteum Financial Service
2A-1 Moody's Aaa Baa3 Baa3
Downgrades
1/12/11 ARCAP 2003-1 8/13/2003 CDO Balance Sheet Market: US Lead/Co Mgr: BS/M Asset Seller: ARCap REIT
G S&P BBB BB BB-
1/12/11 ARCAP 2004-1 4/14/2004 CDO Balance Sheet Market: US Lead/Co Mgr: BS/M Asset Seller: ARCap REIT
B S&P AA AA A+
C S&P A A- BBB+
D S&P A- BBB+ BBB-
E S&P BBB+ BBB- BB-
F S&P BBB BB+ B
G S&P BBB B+ CCC+
H S&P BBB- B- CCC
1/12/11 Opteum Mortgage Acceptance Corpora 2005-4 8/12/2005 Home Eq Market: US Lead/Co Mgr: UBS Asset Seller: Opteum Financial Service
1A-1B Moody's Aaa A3 Baa2
1A-1C Moody's Aaa Baa1 Ba2
1A-1D Moody's Aaa Baa2 Ba3
1A-2 Moody's Aaa Ba1 B3
A-1PT Moody's Aaa Baa2 Ba2
M-1 Moody's Aa1 Ba3 Caa3
M-2 Moody's Aa2 B3 C
1/12/11 Opteum Mortgage Acceptance Corpora 2005-5 11/15/2005 Home Eq Market: US Lead/Co Mgr: CITG Asset Seller: Opteum Financial Service
1A-1C Moody's Aaa Ba1 B2
1A-1D Moody's Aaa Ba2 Caa2
1A-2 Moody's Aaa Caa2 C
1A-PT Moody's Aaa Ba2 Caa1
2A-1B Moody's Aaa B1 B3
2A-1C Moody's Aaa B2 Caa2
2A-D1 Moody's Aaa B3 Caa3
2A-N Moody's Aaa B1 B2
Sources: JPMS, Moody's, Standard and Poor's, Fitch. 40

ABS Research
January 14, 2011
Rating Table 34
Changes
Action Ratings
1/12/11 Victoria Funding EMC III 10/11/2005 Other - CMBS Market: Euro Lead/Co Mgr: CITG Asset Seller: Citibank
D Moody's Baa2 A2 Baa1
E Moody's Ba2 Caa2 Ca
1/11/11 BBVA RMBS FTA 1 2/20/2007 Other - Mtge Market: Euro Lead/Co Mgr: BBVA Asset Seller: BBVA
A-2 Fitch AAA AAA AA-
A-3 Fitch AAA AAA AA-
B Fitch A A BBB
C Fitch BBB BBB- CCC
1/11/11 BBVA RMBS FTA 2 3/27/2007 Other - Mtge Market: Euro Lead/Co Mgr: ABN/ Asset Seller: BBVA
A-2 Fitch AAA AAA AA
B Fitch A+ A+ BBB
C Fitch BBB+ BBB- CCC
1/11/11 BBVA RMBS FTA 3 7/24/2007 Other - Mtge Market: Euro Lead/Co Mgr: ABN/ Asset Seller: BBVA
A1 Fitch AAA AAA A
A2 Fitch AAA AAA A
A3 Fitch AAA AAA A
B Fitch A+ BBB+ B
C Fitch BBB+ B CCC
1/10/11 Frontier Equipment Receivables 2006-1 3/30/2006 Equip - ST Market: US Lead/Co Mgr: RJS Asset Seller:
A Moody's Aaa B2 Caa3
Downgrades
1/13/11 JLOC 37 6/28/2007 Other - CMBS Market: Asia Lead/Co Mgr: MS Asset Seller: Morgan Stanley
A-1 Moody's Aaa Aa2 Aa2
A-2 Moody's Aaa Aa2 Aa2
B-1 Moody's Aa2 A3 A3
B-2 Moody's Aa2 A3 A3
C-1 Moody's A2 B3 B3
C-2 Moody's A2 B3 B3
D-1 Moody's Baa2 Caa3 Caa3
D-2 Moody's Baa2 Caa3 Caa3
Upgrades

ABS Research
January 14, 2011
Rating Table 34
Changes
Action Ratings
1/13/11 Babson CLO 2005-II 7/15/2005 CDO Arbitrage Market: US Lead/Co Mgr: CITG Asset Manager: Babson Capital
B Moody's A2 Ba1 Baa3
D-1 Moody's Ba2 Ca Caa3
D-2 Moody's Ba2 Ca Caa3
1/13/11 Belhurst CDO I 2/15/2006 CDO Arbitrage Market: US Lead/Co Mgr: UBS Asset Manager: Invesco
B Moody's Aa2 Baa1 A3
C Moody's A2 Ba2 Ba1
D Moody's Baa2 B3 B2
E Moody's Ba2 Ca Caa2
1/13/11 Hewetts Island CLO VI 5/9/2007 CDO Arbitrage Market: US Lead/Co Mgr: FOR Asset Manager: Cypress Tree Investment Partners
A-1 S&P AAA A+ AA+
A-2 S&P AAA A+ AA+
B S&P AA BBB+ A+
C S&P A B+ BBB+
D S&P BBB CCC- B+
1/12/11 Callidus Debt Partners CDO Fund III 11/1/2004 CDO Arbitrage Market: US Lead/Co Mgr: JPM Asset Manager: Callidus Debt Partners
A-1 S&P AAA AA+ AAA
A-2 S&P AAA AA+ AAA
A-4 S&P AAA AA+ AAA
B S&P AA A+ AA+
C S&P A BBB+ A+
D S&P BBB BB+ BBB-
1/12/11 FM Leveraged Capital Fund I 12/20/2005 CDO Arbitrage Market: US Lead/Co Mgr: ML Asset Manager: FriedbergMilstien
A S&P AAA AA+ AAA
B S&P AA A+ AA
C S&P A BBB- A
D S&P BBB CCC- B+
1/12/11 Granite Ventures I 3/24/2005 CDO Arbitrage Market: US Lead/Co Mgr: CITG Asset Manager: Stone Tower Management
A-1 S&P AAA AA+ AAA
A-2 S&P AA AA AA+
B S&P A A- A+
1/12/11 Merrill Auto Trust Securitization 2008-1 7/22/2008 Auto - P Market: US Lead/Co Mgr: ML Asset Seller: Merrill Lynch
B Fitch A+ AA AAA

ABS Research
January 14, 2011
Rating Table 34
Changes
Action Ratings
1/12/11 Tralee CDO I 2/16/2007 CDO Arbitrage Market: US Lead/Co Mgr: JPM Asset Manager: Par IV Capital Management
A-2A S&P AA A+ AA
A-2B S&P AA A+ AA
B S&P A BBB+ A
C S&P BBB BB+ BBB
D S&P BB CCC- B+
1/12/11 Waveland INGOTS Ltd. I 6/13/2003 CDO Arbitrage Market: US Lead/Co Mgr: JPM Asset Manager: Pacific Investment Mgmt Co.
B-1 S&P A BB+ AA+
B-2 S&P A BB+ AA+
1/11/11 Brascan Real Estate CDO 2005-2 11/23/2005 CDO Arbitrage Market: US Lead/Co Mgr: CSFB Asset Manager: Brascan Real Estate Financial Partners L
B Fitch AA BB AAA
C Fitch A B A
D Fitch BBB CCC B
1/11/11 Mount Wilson 2006-1 5/5/2006 CDO Arbitrage Market: US Lead/Co Mgr: ML Asset Manager: Western Asset Management
A S&P AAA AA- AA+
B S&P AA A+ AA
C S&P A BB+ BBB+
D S&P BBB- CCC+ BB+
E S&P BB CCC- CCC+
1/10/11 Clydesdale CLO 2007 7/19/2007 CDO Arbitrage Market: US Lead/Co Mgr: CS Asset Manager: Nomura Asset Mgmt
A-2 S&P AAA A+ AA
A-3 S&P AA A- A+
B S&P A BBB- BBB
C S&P BBB BB+ BBB-
D S&P BB CCC+ B+
1/10/11 Duane Street 2006-1 6/15/2006 CDO Arbitrage Market: US Lead/Co Mgr: MS Asset Manager: D/A Capital
D Moody's Baa2 Caa2 Caa1
E Moody's Ba2 C Caa3
1/10/11 Integral Funding CLO 2007-1 9/24/2007 CDO Arbitrage Market: US Lead/Co Mgr: CS Asset Manager: Multiple managers
A-2 S&P AAA AA- AA+
A-3 S&P AA A AA-
B S&P A BBB- BBB+
Downgrades

ABS Research
January 14, 2011
Rating Table 34
Changes
Action Ratings
1/12/11 Abacus 2007-18 4/17/2007 CDO Arbitrage Market: US Lead/Co Mgr: GS Asset Manager:
B S&P AA+ CC NR
1/12/11 Hipototta plc 2 12/18/2003 Other - Mtge Market: Euro Lead/Co Mgr: DB/S Asset Seller: Banco Santander Portugal
A Fitch AAA AAA NR
B Fitch AA+ AAA NR
C Fitch A A NR
1/11/11 Kelso CLO 2008-1 12/29/2008 CDO Balance Sheet Market: Euro Lead/Co Mgr: LLT Asset Seller: Lloyds TSB
A S&P AAA AA NR
B S&P A- BBB NR
C S&P BBB BB NR
D S&P BB B NR
E S&P BB B- NR
1/10/11 CEB Consumer Finance 2008 12/30/2008 Other - Consumer Market: Euro Lead/Co Mgr: STC Asset Seller: Credit Europe Bank
A Moody's A2 A3 NR

ABS Research
January 14, 2011
Ratings Table 35
Ratings Watch 1/07/11 - 1/14/11
Watch
Watch Ratings
Date Issuer Series Issue Date Deal Type Comments Class Agency Original Previous
Negative
1/13/11 JLOC 37 Jun-07 Other - CMBS Market: Asia Lead/Co Mgr: MS
A-1 Moody's Aaa Aa2

A-2 Moody's Aaa Aa2
B-1 Moody's Aa2 A3
B-2 Moody's Aa2 A3
C-1 Moody's A2 B3
C-2 Moody's A2 B3
D-1 Moody's Baa2 Caa3
D-2 Moody's Baa2 Caa3

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Global ABS/CDO Weekly Market Snapshot

U.S. Chart 1 Chart 2 Chart 3

Chart 4 Chart 5 Chart 6

400 1500 2,500

Mid Curr Avg* Curr Avg* Curr Avg*

U.S. Chart 7 Chart 8 Chart 9

Chart 10 Chart 11 Chart 12

500 780 100

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

U.S. Chart 16 Chart 17 Chart 18

Chart 19 Chart 20 Chart 21

2500 1000 1000

Chart 22 Chart 23 Chart 24

4000 3000 2000

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

Credit Default Chart 25

400 Capital One Baa1/BBB+ 117 120 -3 160 90 122

Amex A1/A+ 80 78 2 160 60 93

1,000 BMW A1/A+ 79 81 -2 134 77 98

0 Volkswagen A3/A- 84 87 -3 152 84 108

Credit Default Chart 27

Spreads Non Real Estate ABS CMBS Cross Sector Spreads

Credit Cards (Fixed - Swaps) FNMA Current Coupon

A 5yr 85 85 0 94 80 125 AA 60 51 9 33 25 60 SF CDOs (Floating - 3 Mo. LIBOR)

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

Cards Fixed Credit Cards Floating Credit Cards

600 500 600

Cards HEL Auto Cards HEL Cards HEL

8/12/10 4 10 12 17 75 14 16 21 11 15 25 35 0 20 25 45 172 375 14 20 25 30 40

10% 10% 10%

Treasury Swap Yield Treasury Swap Yield Treasury Swap Yield

ABX.HE Spreads Table 5a

and Closing Price ABX.HE.2006-1 Spreads and Closing Price

ABX.HE Spreads* And Closing Price

8/12/10 2006-1 87.940 87.790 44.850 18.520 7.040 6.910

ABX.HE Spreads Table 5b

and Closing Price ABX.HE.2006-2 Spreads and Closing Price

ABX.HE Spreads* And Closing Price

8/12/10 2006-2 77.300 56.890 16.910 6.780 7.360 7.270

ABX.HE Spreads Table 5c

and Closing Price ABX.HE.2007-1 Spreads and Closing Price

ABX.HE Spreads* And Closing Price

8/12/10 2007-1 54.910 44.470 6.150 5.100 4.980 4.590

ABX.HE Spreads Table 5d

and Closing Price ABX.HE.2007-2 Spreads and Closing Price

ABX.HE Spreads* And Closing Price

8/12/10 2007-2 45.260 43.550 6.440 5.780 4.560 4.560

Spreads - Swap U.S. Corporate & Agency Spreads to Swaps

Corporates & Industrials* Banks* Finance* Agency

Spreads - Tsy U.S. ABS Spreads to Treasuries

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

CMBS, MBS & CMBS* FNMA

8/12/10 250 338 27 23 9 114

* CMBS AA-BBB prices since 4/23/09

Spreads - Tsy U.S. Corporate & Agency Spreads to Treasuries

Corporates & Industrials Banks Finance Agency

Credit Default Table 10

Swaps Spread Credit Default Swaps Spread

Credit Cards Auto DJ CDX LCDX Home

U.S. Public and