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Contents
US
Implied HPA
Relative Value
Spreads Volatility
CDS Spreads
Spreads
Issuance
Europe Spreads
Issuance
Asia
Issuance
CDO
Spreads
Issuance
Pipeline
Rating Changes
Ratings Watch
1
3
4
6
9
22
27
28
36
38
40
45
48
89
AC
Chris Flanagan
(1-212) 270-6515
chris.t.flanagan@jpmorgan.com
ABS/CDO Research
Rishad Ahluwalia (London)
(44-207) 777-1045
rishad.ahluwalia@jpmorgan.com
Gareth Davies (London)
(44-20) 735-7283
gareth.davies@jpmorgan.com
Asif A Sheikh
(1-212) 834-5338
asif.a.sheikh@jpmorgan.com
Amy Sze, CFA
(1-212) 270-0030
amy.sze@jpmorgan.com
Maggie Wang
(1-212) 270-7255
maggie.mj.wang@jpmorgan.com
www.morganmarkets.com
Chris Flanagan
chris.t.flanagan@jpmorgan.com
CME Housing
Futures Implied HPA
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 0
Composite
Boston
Chicago
06/04/2009
06/11/2009
06/18/2009
06/25/2009
07/01/2009
07/09/2009
07/16/2009
07/23/2009
07/30/2009
08/06/2009
08/13/2009
08/20/2009
-11.8%
-11.8%
-11.8%
-11.8%
-12.1%
-12.1%
-12.1%
-12.1%
-12.1%
-13.7%
-13.7%
-13.7%
0.4%
0.4%
0.4%
0.4%
0.0%
0.0%
0.0%
0.0%
0.0%
-1.7%
-1.7%
-1.7%
-0.5%
-0.5%
-0.5%
-0.5%
-0.5%
-0.5%
-0.5%
-0.5%
-0.5%
-1.4%
-1.4%
-1.4%
-5.8%
-5.8%
-5.8%
-5.8%
-7.7%
-7.7%
-7.7%
-7.7%
-7.7%
-9.6%
-9.6%
-9.6%
9.9%
9.9%
9.9%
9.9%
14.8%
14.8%
14.8%
14.8%
14.8%
19.6%
19.6%
19.6%
-7.4%
-7.4%
-7.4%
-7.4%
-7.1%
-7.1%
-7.1%
-7.1%
-7.1%
-7.6%
-7.6%
-7.6%
3.5%
3.5%
3.5%
3.5%
6.2%
6.2%
6.2%
6.2%
6.2%
7.9%
7.9%
7.9%
-13.6%
-13.6%
-13.6%
-13.6%
-13.0%
-13.0%
-13.0%
-13.0%
-13.0%
-14.4%
-14.4%
-11.7%
-4.5%
-4.5%
-4.5%
-4.5%
-4.8%
-4.8%
-4.8%
-4.8%
-4.8%
-5.8%
-5.8%
-5.8%
-8.3%
-8.3%
-8.3%
-8.3%
-9.6%
-9.6%
-9.6%
-9.6%
-9.6%
-12.0%
-12.0%
-12.0%
-1.8%
-1.8%
-1.8%
-1.8%
-2.8%
-2.8%
-2.8%
-2.8%
-2.8%
-4.6%
-4.6%
-4.6%
08/27/2009
09/03/2009
09/10/2009
09/17/2009
09/24/2009
-3.7%
-5.4%
-5.4%
-5.4%
3.8%
-0.5%
-3.1%
-3.1%
-3.1%
-3.1%
1.2%
0.5%
0.5%
0.5%
0.5%
-6.6%
-9.4%
-9.4%
-9.4%
-9.4%
16.3%
20.2%
20.2%
20.2%
20.2%
-4.8%
-6.2%
-6.2%
-6.2%
-6.2%
2.0%
5.9%
5.9%
5.9%
5.9%
-4.9%
-8.4%
-8.4%
-8.4%
-0.9%
-1.2%
-1.6%
-1.6%
-1.6%
-1.6%
-6.3%
-10.2%
-10.2%
-10.2%
-10.2%
-1.4%
-4.2%
-4.2%
-4.2%
-4.2%
Wash DC
Source: JPMS
Boston
Chicago
08/01/2010
Implied HPA
5%
BOX
Prev Mo Prev Wk
0%
-3.08%
9/24
CHX
Prev Mo Prev Wk
-3.08%
Volume (contracts)
3/30
4/30
5/30
6/30
7/30
8/30
Price
Composite
YTD
Week of 9/24
3/30
-3.72%
-5%
-5.35%
3.79%
Volume (contracts)
Price
7/30
8/30
1.18%
0.54%
0.16%
-0.53%
6/30
7/30
8/30
YTD
Week of 9/24
9/24
Ask
0.54%
YTD
Week of 9/24
08/01/2010
Implied HPA
9/24
Ask
-5%
Price
-6.57%
-9.39%
-9.39%
Price
Bid
-10%
Volume (contracts)
-15%
3/30
Price
Bid
DNX
Prev Mo Prev Wk
Bid
-10%
-15%
2.65%
0%
Ask
6/30
5/30
9/24
0%
5/30
4/30
Price
Implied HPA
4.20%
Volume (contracts)
Denver
CSX
Prev Mo Prev Wk
4/30
-5%
-10%
08/01/2010
5%
3/30
0%
Price
Bid
-5%
Implied HPA
5%
Ask
-0.48%
02/01/2011
4/30
5/30
6/30
Price
7/30
8/30
YTD
Week of 9/24
Source: JPMS
1
CME Housing
Futures Implied HPA
Las Vegas
Los Angeles
08/01/2010
Implied HPA
25%
LVX
Prev Mo Prev Wk
20%
10%
Implied HPA
0%
9/24
15%
16.34%
08/01/2010
20.21% 20.21%
-4%
Price
-6%
-8%
Bid
5%
LXX
Prev Mo Prev Wk
-2%
Ask
9/24
Ask
-4.75%
-6.15%
-6.15%
Price
Bid
-10%
0%
-12%
Volume (contracts)
-5%
3/30
4/30
5/30
6/30
7/30
8/30
Price
Miami
YTD
Week of 9/24
3/30
10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%
MIX
Prev Mo Prev Wk
9/24
6.01%
2.00%
Ask
5.94%
5.94%
2.00%
Price
Bid
Volume (contracts)
5/30
6/30
7/30
8/30
Price
San Francisco
YTD
Week of 9/24
-6.29%
9/24
-10%
-15%
4/30
5/30
6/30
7/30
8/30
Price
Washington
YTD
Week of 9/24
Week of 9/24
Implied HPA
-4.88%
Ask
-8.45%
-0.87%
-5.02%
Price
Bid
Volume (contracts)
4/30
5/30
6/30
7/30
8/30
YTD
Week of 9/24
08/01/2010
Implied HPA
SNX
Prev Mo Prev Wk
-2%
9/24
Ask
-4%
-1.21%
-6%
-1.21%
-1.57%
-1.57%
Price
Bid
Volume (contracts)
-10%
3/30
9/24
-0.54%
4/30
5/30
6/30
Price
7/30
8/30
YTD
Week of 9/24
08/01/2010
Implied HPA
0%
WDX
Prev Mo Prev Wk
-2%
9/24
Ask
-4%
-1.36%
-4.20%
-4.20%
Price
Bid
-6%
-8%
Volume (contracts)
-10%
3/30
YTD
NYX
Prev Mo Prev Wk
-8%
Volume (contracts)
-20%
0
0
0%
Ask
-5%
8/30
08/01/2010
San Diego
SFX
Prev Mo Prev Wk
7/30
Price
Implied HPA
0%
6/30
0%
-2%
-4%
-6%
-8%
-10%
-12%
-14%
-16%
3/30
08/01/2010
5%
3/30
5/30
New York
08/01/2010
4/30
4/30
Price
Implied HPA
3/30
Volume (contracts)
-14%
4/30
5/30
6/30
Price
7/30
8/30
YTD
Week of 9/24
Source: JPMS
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spreads
Relative Value
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Chart 1
Chart 2
Chart 3
(bps)
(bps)
(bps)
150
200
150
100
50
0
-50
100
50
0
-50
1999
2001
2003
2005
2007
2009
200
100
0
-100
1999
Float
Fixed Curr
Avg*
Swap Pickup Pickup
55
90
40
65
15
25
23.1
27.8
2001
2003
Cards
Diff
Coll
5 Yr
-8.1
-2.8
Cards
HEL
MH
3.34%
2005
2007
HEL
3 Yr
2.31%
2009
1999
2001
MH
Curr
Pickup
Avg*
Pickup
103
93.4
Cards
Diff
9.6
2003
Coll
5 Yr
4.42%
3.34%
Chart 4
Chart 5
Chart 6
300
0
1999
2001
2003
Mat
Mid
Prime
Prime
2
3
114
172
74
107
1999
2005
2007
Curr
Pickup
Avg*
Pickup
Diff
Coll
141.6
181.5
-101.6
-116.5
Auto
Cards
HEL
2 Year
2009
3 Year
40
65
Avg*
Pickup
Diff
93.8
14.2
1,000
500
0
500
100
108
MH
2,500
2,000
1,500
1000
200
Curr
Pickup
2009
1500
400
2007
HEL
10 Yr
Cards
HEL
MH
2005
2001
2003
Auto 3 Yr
HEL 5 Yr
A
267
257
AAA
107
97
2005
Curr
Pickup
160
160
2007
2009
Cards 5 Yr
1999
Avg*
Pickup
Diff
Coll
459.1
689.4
-299.1
-529.4
Cards
HEL
MH
2001 2003
Cards 5 Yr
MH 7 Yr
BBB
357
AAA
97
2005
Curr
Pickup
2007
2009
HEL 5 Yr
Avg*
Pickup
260 1,008.7
Diff
-748.7
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spread
Volatility / Mean
Reversion
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Chart 7
Chart 8
Chart 9
Autos (3 Year)
1000
780
300
800
580
200
600
400
380
100
200
180
0
-200
-20
1998
2000
2002
2004
2006
1998
2008
Chart 10
-100
2000
2002
2004
2006
2008
Chart 11
2008
1998
2000
2002
2004
2006
2008
1998
2000
2002
Chart 15
CMBS (5 Year)
100
50
0
1998
2000
Source: JPMS.
2002
2004
2006
2008
2004
2006
2008
0
-100
Chart 14
150
2008
100
Chart 13
Swaps (5 Year)
2006
200
-100
2006
2004
300
-50
2004
2008
400
2002
2006
500
50
2000
2004
100
1998
2002
500
450
400
350
300
250
200
150
100
50
0
2000
Chart 12
Agency 5 Year
1998
2000
400
1500
300
1000
200
500
100
-500
-100
1998
2000
2002
2004
2006
2008
1998
2000
2002
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spread
Volatility / Mean
Reversion ABS vs.
Corporates
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Chart 16
Chart 17
Chart 18
800
500
600
400
300
400
200
200
100
-200
-100
1998
2000
2002
2004
2006
2008
2000
2002
2004
2006
2008
2000
2002
Chart 19
Chart 20
Chart 21
1000
2000
800
500
1500
600
1000
400
500
200
-500
-1000
-1500
-500
-200
-2000
2000
2002
2004
2006
2008
Chart 22
2000
2002
2004
2006
4000
3000
3000
2000
2000
0
-1000
-1000
-3000
Source: JPMS.
2006
2008
2008
1000
-1000
2004
2006
-2000
2002
2004
Chart 24
2000
2002
1998
2008
2000
1000
1000
2000
2008
Chart 23
2006
2500
1998
2004
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Credit Default
Swaps Spread Credit Card & Auto
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Chart 25
1,200
C
KRB
HSBC
COF
AXP
BAC
1,000
800
Current Last
Week Week Change
Company
52 Week
Max
Min
Avg
Credit Cards
CitiGroup
Aa1/AA+
184
180
645
180
349
600
HSBC
Aa2/AA
135
160
-25
1,077
135
535
400
Capital One
Baa1/BBB+
100
110
-11
572
100
283
200
Amex
A1/A+
119
115
676
115
351
0
1/00
1/01
6,000
1/02
1/03
1/04
1/05
1/06
1/07
1/08
1/09
GM
Auto
DCX
GMAC
Ba1/BB
601
629
-28
4,880
Toyota
Daimler
A3/BBB+
125
128
-3
523
BMW
Ford
B2/BB-
505
549
-44
4,521
2,000
Toyota
AAA/AAA
56
45
11
290
45
135
1,000
BMW
A1/A+
116
116
511
116
272
Volkswagen
A3/A-
116
121
-5
369
116
234
5,000
601 1,719
4,000
3,000
125
259
505 1,520
VOW
0
1/00
1/01
1/02
1/03
1/04
1/05
1/06
1/07
1/08
1/09
Source: JPMS.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Credit Default
Swaps Spread Home Equity
Issuers, Insurers
and Financial
Guarantors
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Chart 26
Credit Default Swaps Spread - Home Equity Issuers, Insurers and Financial Guarantors
(bps)
5,000
MWD
4,500
CFC
4,000
LEH
3,500
WM
3,000
CSFB
2,500
Company
1,500
Morgan Stanley
Lehman
1,000
Washington Mutual
500
0
52 Week
Max
Min
Avg
Home Equity
Countrywide
2,000
Current Last
Week Week Change
Aa3/AA-
140
135
1,169
135
345
A3/A
166
166
426
96
196
287
65
140
A1/A+
A3/A
CSFB
Aa3/AA-
70
71
-1
ResCap
Ca/CCC+
1,121
1,239
-118
16,000
MBIA
14,000
AMBAC
MBIA
Aaa/AAA
3,580
4,054
-474
12,000
XL
10,000
FSA
AMBAC
Aaa/AAA
4,820
5,586
-766
XL
Aaa/AAA
14,055 14,955
-900
FSA
Aaa/AAA
632
728
-97
2,465
632 1,429
MGIC
A1/A
854
838
16
1,576
838 1,160
Radian
A2/A
1,205
1,206
-1
PMI
A1/A+
1,214
1,174
40
1,774
MGIC
8,000
Radian
6,000
PMI
4,000
2,000
0
1/007/001/017/011/027/021/037/031/047/041/057/051/067/061/077/071/087/081/097/09
987 1,305
Source: JPMS.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Credit Default
Swaps Spread Dow Jones CDX &
Homebuilders
Indices
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Chart 27
Credit Default Swaps Spread - Dow Jones CDX & Homebuilders Indices
(bps)
1,200
BB
IG
300
1,000
250
800
200
600
150
400
100
200
50
Index
Current Last
Week Week Change
52 Week
Max
Min
Avg
364
617
DJ CDX NA HY BB On
the run (5Yr) Swap CDS
Spread Mid
370
364
948
DJ CDX NA HY B On the
run (5Yr) Swap CDS
Spread Mid
641
648
-7
1,851
DJ CDX NA IG Main On
the run (5Yr) Swap CDS
Spread Mid
96
102
-6
280
JPMorgan Homebuilders
Index
830
910
-79
2,339
641 1,088
96
176
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
2,600
2,400
2,200
2,000
1,800
1,600
1,400
1,200
1,000
800
600
400
200
0
830 1,626
Homebuilders
5/048/0411/042/055/058/0511/052/065/068/0611/062/075/078/0711/072/085/088/0811/082/095/098/09
Source: JPMS.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 1
U.S.
Spreads
Cross Sector
CMBS
Prior
Week
65
85
70
90
A 5yr
BBB 5yr
225
325
300
400
Chg
Avg
52 Week
Min Max
550
65
85
580
600
AAA 5yr
10yr
405
585
4000
575
5
10
902
824
325 1,550
410 1,350
225 1,750
325 2,500
AA
A
BBB
27
23
10
27
23
10
0
0
0
2,120
2,504
4,249
13 4,600
10 5,300
7 8,950
-75
975
-75 1,295
A 5yr
BBB 5yr
225
325
300
400
-75
-75
975
1,295
0
-5
-5
216
259
315
-25
775
225 1,200
0
0
0
330
400
497
60
85
130
700
800
179
AAA 3yr
35
-5
40
229
7yr
90
0
90
375
0
AA 9yr
375
456
Student Loans - Private Credit (3 Mo. LIBOR)
35
90
350
350
390
550
55
90
110
550
580
600
225 1,750
325 2,500
30
45
65
525
575
625
500
600
2,000
2,500
500
600
2,000
2,500
Prior
Week
Chg
52 Week
Avg Min Max
A
BBB
BB
B
FNMA Current Coupon
13
156
Libor OAS
Swaps
4
149
9
7
28
160
-10
127
99
232
2,729
2,729
2yr
5yr
12
152
148
15
-10
260
355
144
111
153
100
-9
11
305
268
144
100
430
440
2yr
147
141
454
141 1,368
5yr
153
143
10
423
132
2yr
5yr
Swaps
394
390
759
836
366 3,779
740 932
2yr
5yr
10yr
29
32
19
35
36
20
-6
-4
-1
67
63
26
Bank - AA
900
AAA 3yr
7yr
A 8yr
BBB 7yr
Current
Week
AA
40
258
314
339
60
85
130
286
314
-5
-5
-5
60
85
130
52 Week
Avg Min Max
235
60
95
115
AAA 1yr
2yr
3yr
Chg
55
90
110
250
Prior
Week
-5
-5
AAA 2yr
5yr
10yr
225
Current
Week
A 3yr
0
0
0
0
2yr
5yr
Finance - A
852
Bank - BBB
29
32
11
164
121
70
Source: JPMS.
9
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spreads Cards
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 2
Date
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
B Piece - A Rated
10
200
200
120
110
110
105
100
100
100
105
105
105
105
105
95
85
60
55
50
45
40
40
40
220
220
180
140
140
130
125
120
120
120
120
120
120
120
105
95
70
65
60
55
50
50
45
240
240
200
170
170
160
155
130
130
130
130
130
130
130
115
105
95
90
65
60
60
60
55
270
270
220
180
180
170
165
140
140
140
140
140
140
140
125
115
110
100
70
70
70
70
65
280
280
240
190
190
180
175
165
165
165
165
165
165
165
140
130
125
115
80
80
80
80
75
290
290
250
200
200
190
185
175
175
175
175
175
175
175
170
160
150
130
100
100
90
90
85
10
AAA Rated
10
B Piece - A Rated
10
160
150
100
90
90
80
75
75
80
85
80
80
80
80
80
75
70
60
50
50
40
40
40
235
230
180
140
140
130
120
110
120
130
130
130
130
130
105
100
100
80
70
70
60
60
55
265
260
220
160
160
150
130
120
130
145
140
140
140
145
130
120
115
95
85
85
75
70
65
290
285
260
200
200
190
170
160
165
165
155
155
155
155
145
135
130
110
100
100
90
80
75
300
300
270
220
220
200
180
170
175
175
170
170
170
170
160
150
140
120
110
110
100
95
90
320
320
280
230
230
210
190
180
180
180
175
175
175
175
170
160
150
140
115
115
105
105
100
320
320
300
240
240
220
200
190
200
200
200
200
200
200
200
190
175
150
125
125
115
115
110
15
10
Chart 29
Chart 30
2 Yr Spreads to Swaps
5 Yr Spreads to Swaps
10 Yr Spreads to Swaps
600
500
400
300
200
100
0
-100
500
400
300
200
100
0
-100
98 99 00 01 02 03 04 05 06 07 08 09
Cards
HEL
Auto
600
500
400
300
200
100
0
98 99 00 01 02 03 04 05 06 07 08 09
Cards
HEL
98 99 00 01 02 03 04 05 06 07 08 09
Cards
10
Source: JPMS.
Chart 28
HEL
Source: JPMS.
10
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spreads Auto, Equipment,
Stranded Assets
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 3
U.S. Auto, Equipment, and Stranded Assets Spreads to Swaps/ EDSF/ LIBOR
Fixed
AAA
Date
MM
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
35
35
25
25
25
25
25
25
115
115
80
80
80
80
80
70
140
140
120
120
120
120
120
105
225
225
200
200
200
200
200
175
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
25
25
15
15
15
15
15
15
15
10
10
10
10
10
10
70
70
70
70
70
70
65
60
50
45
35
35
30
30
30
105
105
100
100
100
100
90
85
80
70
60
60
50
50
45
175
165
155
140
140
140
120
120
110
100
80
80
70
70
65
Prime Auto
Floating
3
AAA
Equipment
Ag/Construction
AAA
AAA
MM
MM
800
800
700
700
700
700
700
650
150
150
110
110
110
110
110
85
180
180
150
150
150
150
150
120
250
250
225
225
225
225
225
185
55
55
35
35
35
35
35
35
200
200
150
150
150
150
150
150
300
300
200
200
200
200
200
200
425
425
350
350
350
350
350
350
55
55
55
55
55
55
55
55
650
650
600
550
550
550
500
475
400
350
300
300
250
250
225
85
85
85
85
85
85
75
70
55
50
40
40
35
35
35
120
120
120
120
120
120
100
95
90
75
65
65
55
55
50
185
185
185
160
160
160
130
125
115
105
90
90
75
75
70
35
35
25
25
25
25
25
25
25
20
15
15
15
15
15
150
150
120
120
120
120
100
95
75
65
60
60
60
60
60
200
200
150
150
150
150
125
120
100
90
90
90
85
85
85
350
350
250
250
250
250
200
190
160
140
130
130
130
130
130
55
55
20
20
20
20
20
20
20
20
20
20
15
15
15
A
3
Stranded Assets
BBB
250
250
175
175
175
175
175
125
300
300
200
200
200
200
200
175
400
400
325
325
325
325
325
300
1200
1200
1000
1000
1000
1000
1000
900
1500
1500
1300
1300
1300
1300
1300
1200
125
125
100
100
100
100
90
80
75
70
65
65
50
50
50
175
175
130
130
130
130
125
115
110
105
105
105
90
90
90
300
300
200
200
200
200
175
165
150
140
140
140
120
120
120
900
900
750
750
750
750
600
550
500
475
475
475
450
450
450
1200
1200
1000
1000
1000
1000
850
800
800
800
800
800
750
750
750
AAA
2
10
110
110
90
90
85
85
80
70
125
125
115
115
100
100
95
85
150
150
135
135
120
120
115
115
160
160
145
145
135
135
135
135
175
175
150
150
150
150
150
150
70
70
70
70
70
70
70
60
60
50
40
40
35
35
35
85
85
85
85
85
85
80
70
70
60
50
50
45
45
40
115
115
115
115
115
115
110
100
100
90
60
60
55
55
55
135
135
135
135
135
135
130
120
110
105
80
80
75
75
70
150
150
150
150
150
150
160
150
140
130
90
90
85
85
85
Source: JPMS.
Chart 31
Chart 32
Chart 33
10%
10%
10%
8%
8%
8%
6%
6%
6%
4%
4%
4%
2%
2%
2%
0%
0%
98 99 00 01 02 03 04 05 06 07 08 09
Treasury
Swap Yield
0%
98 99 00 01 02 03 04 05 06 07 08 09
Treasury
Swap Yield
98 99 00 01 02 03 04 05 06 07 08 09
Treasury
Swap Yield
Source: JPMS.
11
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spreads Student Loan,
Global RMBS
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 4
Student Loan, Global RMBS Spreads to LIBOR, CMBS Spreads to Swaps and MBS Prices
Student Loans
(Private Credit)
Date
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
115
90
70
70
70
70
70
60
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
60
60
60
60
60
60
55
45
45
40
35
30
30
30
25
Source: JPMS.
AA
AAA
12
BBB
2500
2500
2500
2500
2500
2500
2500
2500
550
550
550
550
550
550
550
550
350
350
350
300
295
295
295
270
360
360
360
310
305
305
305
280
2500
2500
2500
2500
2500
2500
2500
2500
2500
2500
2500
2500
2500
2500
2500
550
550
550
550
550
550
550
550
325
325
325
325
325
325
325
265
260
255
245
235
225
210
200
175
180
180
180
180
175
160
275
270
265
255
245
235
220
210
185
190
190
190
190
185
170
10
130
115
110
110
110
110
110
100
160
140
130
130
130
130
130
120
190
170
160
160
160
160
160
150
220
200
180
180
180
180
180
170
450
450
450
450
450
450
450
450
500
500
500
500
500
500
500
500
900 1,000
900 1,000
700 800
700 800
700 800
700 800
700 800
700 800
2000
2000
2000
2000
2000
2000
2000
2000
100
100
100
100
100
100
85
75
75
70
60
50
40
40
35
120
120
120
120
120
120
120
110
100
95
85
80
70
70
65
150
150
150
150
150
150
145
135
125
120
110
105
90
90
90
170
170
170
170
170
180
170
160
150
140
130
125
110
110
105
450
450
450
450
450
450
450
450
450
450
450
400
375
375
375
500
500
500
500
500
500
500
500
500
500
500
425
400
400
400
700
700
700
650
650
650
600
500
500
500
500
500
500
500
500
2000
2000
2000
2000
2000
2000
2000
2000
2000
2000
2000
2000
2000
2000
2000
800
800
800
750
750
750
700
600
600
600
600
600
600
600
600
Global RMBS
AUD
AAA
CMBS**
UK Bullet
AAA
AA BBB
5
AAA
AA
10
10
925
925
925
925
925
925
925
900
1975
1975
1975
1975
1975
1975
1975
1925
1025
925
875
850
500
600
675
725
800
750
725
750
625
700
760
815
13
14.5
14.5
19
22
20
19
19
10
11
11
15
17
15
14
14
900
925
925
875
850
850
825
825
825
825
825
825
825
575
525
1925
1975
1975
1725
1675
1675
1625
1625
1625
1625
1625
1625
1625
1225
1125
650
650
650
450
450
420
400
325
375
400
425
425
415
400
405
715
715
690
650
675
650
630
500
600
650
650
650
575
575
585
19
18
18
18
18
21
22
25
24
24
24
24
24
27
27
14
14
14
14
14
17
17
20
19
19
19
19
19
23
23
FNMA Current
Coupon
MBS*
A BBB
AA
BBB
BB
10
10
10
10
10
10
Libor
OAS
Swap
6.5
6.5
6.5
9
9
8
7
7
22
14
9
12
0
16
5
6
151
156
157
154
173
183
164
155
7
7
7
7
7
7
7
10
10
10
10
10
10
10
10
-3
3
3
14
3
-1
-10
-9
-5
4
15
20
15
4
13
153
153
142
156
145
147
136
133
138
144
148
159
157
149
156
10
12
Chris Flanagan
chris.t.flanagan@jpmorgan.com
ABX.HE Spreads
and Closing Price
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 5a
AA
BBB
BBB-
Date
Series
Mid
Close
Mid
Close
Mid
Close
Mid
Close
Mid
Close
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
1426
1291
1158
1248
1136
1226
1329
1436
65.230
68.790
72.270
70.250
73.170
71.170
68.900
66.550
1589
1580
1474
1508
1467
1499
1519
1528
16.000
16.790
22.700
21.170
23.580
22.150
21.350
21.130
2116
2126
2125
2131
2138
2145
2152
2160
7.610
7.500
7.860
7.920
7.940
8.000
8.000
8.000
10624
10832
11044
11267
11499
11741
11993
12257
4.000
3.980
4.000
4.000
4.000
4.000
4.000
4.000
13374
13695
14029
14383
14756
15149
15564
16003
3.980
3.980
4.000
4.000
4.000
4.000
4.000
4.000
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
2006-1
1497
1442
1346
1348
1232
1165
1083
1149
1272
1181
1153
1183
1178
951
995
65.330
66.860
69.290
69.500
72.380
74.100
76.150
74.830
72.250
72.920
73.440
72.910
73.210
78.600
77.760
1559
1549
1506
1516
1494
1485
1475
1497
1533
1504
1502
1508
1515
1420
1437
19.750
20.500
23.020
22.750
24.150
24.880
25.630
24.750
23.160
22.790
23.150
23.050
22.950
28.130
27.510
2171
2176
2186
2194
2203
2209
2219
2226
2233
2172
2182
2191
2199
2205
2200
7.880
8.000
7.850
7.930
7.860
7.990
7.910
7.960
8.000
8.010
7.960
7.910
7.910
7.990
8.550
12533
12822
13081
13442
13776
14126
14495
14884
15295
12697
12988
13304
13629
13974
14327
4.000
4.000
4.000
4.000
4.000
4.000
4.000
4.000
4.000
4.000
4.040
4.000
4.010
4.000
4.050
16468
16961
17409
18036
18639
19276
19957
20692
21469
16745
17243
17800
18370
18986
19650
4.000
4.000
4.000
4.040
4.000
4.000
4.010
4.000
4.060
4.010
4.080
4.000
4.050
4.060
4.050
*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.
Chart 35
80.0
60.0
40.0
20.0
0.0
1/06 7/06 1/07 7/07 1/08 7/08 1/09 7/09
AAA
AA
BBB-
Source: JPMS
13
Chris Flanagan
chris.t.flanagan@jpmorgan.com
ABX.HE Spreads
and Closing Price
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 5b
AA
BBB
BBB-
Date
Series
Mid
Close
Mid
Close
Mid
Close
Mid
Close
Mid
Close
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
1371
1338
1299
1332
1288
1324
1338
1383
30.710
32.540
34.700
33.170
35.520
33.880
33.300
31.180
2229
2247
2245
2251
2248
2255
2266
2275
7.320
6.940
7.360
7.500
7.980
8.100
8.000
8.030
6578
6653
6729
6806
6895
6970
7056
7143
3.500
3.500
3.510
3.540
3.420
3.520
3.500
3.500
23000
23937
24911
25982
27176
28507
29972
31552
2.500
2.500
2.670
2.800
2.850
2.830
2.820
2.950
19806
20513
21220
22012
22862
23797
24832
25897
2.550
2.480
2.650
2.680
2.730
2.720
2.630
2.780
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
2006-2
1408
1383
1353
1349
1305
1269
1237
1266
1330
1301
1290
1291
1288
1153
1182
30.100
31.500
33.170
33.540
35.900
37.800
39.550
38.250
35.250
35.540
35.980
36.040
36.370
43.200
41.900
2291
2303
2314
2325
2335
2345
2354
2365
2375
2302
2312
2321
2327
2331
2295
7.760
7.650
7.520
7.510
7.510
7.500
7.530
7.500
7.500
7.500
7.500
7.500
7.650
7.880
9.700
7231
7322
7402
7511
7610
7711
7814
7921
8030
7283
7374
7469
7567
7667
7733
3.500
3.500
3.500
3.500
3.500
3.500
3.500
3.500
3.500
3.500
3.520
3.510
3.500
3.500
3.950
33480
35499
37395
40347
43361
46832
50927
55861
61730
34549
36677
39145
41961
45221
48498
2.590
2.630
2.770
2.780
2.750
2.780
2.780
2.690
2.780
2.770
2.890
2.880
2.890
2.890
3.950
27176
28485
29718
31553
33422
35455
37759
40386
43418
27892
29284
30829
32561
34467
36375
2.520
2.590
2.640
2.670
2.510
2.530
2.540
2.550
2.540
2.620
2.660
2.690
2.680
2.770
3.500
*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.
Chart 35
7/0610/06
1/074/077/0710/07
1/084/087/0810/08
1/094/097/09
AAA
AA
7/0610/06
1/074/077/0710/07
1/084/087/0810/08
1/094/097/09
BBB
BBB-
Source: JPMS
14
Chris Flanagan
chris.t.flanagan@jpmorgan.com
ABX.HE Spreads
and Closing Price
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 5c
AA
BBB
BBB-
Date
Series
Mid
Close
Mid
Close
Mid
Close
Mid
Close
Mid
Close
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
1295
1269
1248
1258
1231
1249
1261
1289
24.210
25.900
27.250
26.710
28.460
27.500
26.850
25.330
5780
5842
5905
5964
6035
6104
6172
6239
3.000
3.000
3.000
3.090
3.010
2.990
3.000
3.050
14940
15368
15750
16180
16649
17188
17710
18288
2.640
2.500
2.800
2.940
3.000
2.830
2.940
2.930
30511
32143
33947
35939
38192
40853
43800
47308
2.380
2.380
2.420
2.540
2.650
2.520
2.630
2.550
35185
37318
39715
42446
45588
49195
53582
58730
2.380
2.380
2.420
2.460
2.500
2.630
2.500
2.520
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
2007-1
1316
1308
1283
1276
1242
1211
1179
1202
1256
1245
1234
1243
1244
1176
1203
23.840
24.430
25.980
26.500
28.630
30.500
32.450
31.260
28.190
28.100
28.460
28.080
28.100
32.150
30.700
6315
6389
6453
6535
6621
6701
6784
6871
6958
6354
6430
6508
6587
6666
6739
3.000
3.000
3.000
3.100
3.000
3.020
3.020
3.000
3.000
3.040
3.020
3.000
3.000
3.010
3.150
18927
19617
20177
21072
21888
22810
23795
24792
25934
19310
19989
20768
21553
22402
23288
2.810
2.660
2.870
2.730
2.750
2.600
2.510
2.720
2.730
2.750
2.790
2.590
2.640
2.680
2.860
51302
56254
61109
69302
78462
90406
106614
129968
166339
54052
59374
66022
74242
84876
98676
2.700
2.500
2.650
2.560
2.530
2.510
2.520
2.500
2.540
2.530
2.640
2.540
2.560
2.510
2.840
64978
72804
81076
95724
113696
140011
182199
260995
460078
69230
78065
89659
105220
127378
161082
2.550
2.480
2.550
2.520
2.510
2.500
2.510
2.500
2.530
2.510
2.590
2.520
2.520
2.500
2.670
*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.
Chart 35
100.0
100.0
80.0
80.0
60.0
60.0
40.0
40.0
20.0
20.0
0.0
0.0
1/07
3/07
5/07
7/07
9/07
11/07
1/08
3/08
5/08
7/08
9/08
11/08
1/09
3/09
5/09
7/09
9/09
AAA
AA
1/07
3/07
5/07
7/07
9/07
11/07
1/08
3/08
5/08
7/08
9/08
11/08
1/09
3/09
5/09
7/09
9/09
BBB
BBB-
Source: JPMS
Ch i Fl
ABS R
15
Chris Flanagan
chris.t.flanagan@jpmorgan.com
ABX.HE Spreads
and Closing Price
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 5d
AA
BBB
BBB-
Date
Series
Mid
Close
Mid
Close
Mid
Close
Mid
Close
Mid
Close
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
1536
1509
1493
1501
1473
1493
1508
1531
24.040
25.670
26.650
26.290
27.960
26.920
26.150
25.000
6755
6840
6925
7004
7096
7188
7284
7371
3.960
3.910
3.890
4.000
3.940
3.920
3.880
4.000
14349
14715
15066
15442
15879
16315
16770
17283
3.040
3.010
3.210
3.370
3.280
3.350
3.460
3.400
25713
26872
28121
29502
31031
32731
34630
36768
3.000
2.960
2.990
3.000
3.000
3.000
3.000
3.000
37185
39569
42285
45406
49032
53294
58377
64543
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
2007-2
1555
1544
1520
1522
1491
1468
1432
1464
1510
1504
1385
1385
1386
1299
1326
23.740
24.460
25.850
25.880
27.680
29.030
31.130
29.460
27.000
26.630
26.920
26.970
27.020
31.950
30.550
7482
7575
7672
7787
7892
8003
8119
8239
8362
7526
7626
7734
7842
7954
8062
3.830
3.940
3.830
3.910
3.970
4.000
4.000
4.000
4.000
4.000
4.040
4.000
4.000
4.000
4.080
17817
18371
18889
19641
20328
21083
21892
22772
23695
18123
18702
19342
20015
20743
21510
3.400
3.480
3.480
3.410
3.460
3.430
3.420
3.390
3.490
3.480
3.540
3.490
3.500
3.490
3.550
39192
41962
44674
48893
53306
58606
65087
73196
83633
40728
43731
47220
51320
56227
62108
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
2.970
3.050
72180
81884
92567
112101
137543
178011
252393
434069
1555875
77421
88708
103876
125346
158119
213934
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
3.000
2.970
3.050
*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.
Chart 35
100.0
90.0
80.0
70.0
60.0
50.0
40.0
30.0
20.0
10.0
0.0
80.0
60.0
40.0
20.0
0.0
7/07 10/071/08 4/08 7/08 10/081/09 4/09 7/09
AAA
AA
BBB-
Source: JPMS
16
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spreads - Swap
Corporates &
Agency
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 6
AAA
1-3
3-5 7-10
Banks*
AA
1-3
3-5 7-10
1-3
AA
3-5 7-10
Finance*
1-3
3-5
10
1-3
3-5 7-10
1-3
BBB
AA
3-5 7-10
1-3
1-3
Agency
Benchmark
BBB
3-5 7-10
1-3
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
34
76
134
134
50
120
55
-10
39
91
91
99
106
114
107
70
68
76
125
116
119
123
122
105
99
73
75
218
202
195
198
274
150
145
116
139
282
256
257
262
240
220
158
144
145
224
207
202
202
202
179
154
127
136
289
270
255
264
249
211
185
160
170
376
349
332
297
293
253
229
237
233
285
274
277
271
246
216
183
156
171
473
457
455
472
450
404
306
292
301
484
464
397
372
332
299
274
280
272
480
466
428
409
375
321
285
260
279
570
547
507
495
470
402
357
340
365
786
766
718
701
658
627
534
538
478
975
798
775
741
728
667
581
557
571
264
247
250
245
218
195
166
164
151
526
485
417
348
344
283
266
263
248
496
469
428
395
378
321
269
249
256
497
460
415
428
404
367
317
303
308
1,723
1,523
1,337
1,292
1,256
1,182
939
882
915
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
10
12
19
10
-6
16
-3
4
15
16
22
13
3
12
56
35
37
17
13
16
11
22
21
36
19
24
40
43
77
82
80
68
55
63
51
59
51
83
83
85
78
60
132
131
137
127
110
102
90
102
100
101
106
111
95
99
146
108
109
98
89
93
71
71
64
75
76
71
71
75
137
132
125
111
98
98
85
88
75
85
86
89
84
87
176
178
180
167
142
132
119
128
126
129
136
136
125
127
242
256
258
248
223
253
274
276
255
260
144
151
153
144
182
172
158
141
125
130
111
111
107
114
108
107
100
111
309
303
281
266
239
195
166
172
188
181
185
174
164
169
270
250
245
233
200
197
167
177
162
163
158
154
152
138
294
276
263
243
212
202
164
178
184
183
185
174
164
163
380
369
374
342
310
284
254
267
274
265
268
251
228
228
501
554
535
508
489
494
466
511
481
480
366
368
390
394
578
555
549
517
492
455
427
429
442
422
433
419
393
384
159
174
175
165
145
131
93
104
102
116
112
115
101
108
263
248
249
228
187
180
145
147
156
154
160
155
141
147
265
241
230
205
174
163
132
155
165
166
160
152
143
153
314
302
299
264
222
199
180
211
228
223
237
222
203
213
921
862
914
900
875
1,044
893
816
810
729
801
777
624
676
3-5
7-10
1462 1312
1377 1015
1282
918
1177
882
1165
819
1071
734
593
407
538
376
554
412
576
589
599
584
551
592
521
512
522
483
435
416
365
380
420
408
398
392
366
337
322
333
360
332
336
302
258
263
10
2
-2
-4
7
2
1
-10
-16
1
54
54
38
51
50
39
21
19
29
0
-4
0
-10
-12
-7
-12
-1
3
4
0
-3
-2
2
31
27
31
23
23
15
9
21
31
29
37
35
30
28
17
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spreads - Tsy
Cards, Auto,
Equip, St Asset
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 7
Prime Auto
AAA
Date
B Piece - A
10
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
263
257
165
153
148
146
148
146
150
281
277
227
186
183
179
182
172
173
304
300
253
222
219
214
215
189
186
330
325
270
228
224
217
215
193
184
312
304
267
216
211
210
215
202
189
304
302
262
211
211
216
218
210
201
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
142
146
141
150
150
132
130
99
97
85
82
73
75
69
168
171
163
172
172
154
153
115
116
108
104
89
93
87
180
182
177
187
186
164
163
142
142
114
109
104
106
98
177
181
180
189
186
161
161
148
142
106
108
106
106
97
186
183
185
193
192
163
159
147
139
103
99
99
99
94
196
196
192
197
198
194
190
173
155
124
120
107
110
104
35
35
25
25
25
25
25
25
25
115
115
80
80
80
80
80
70
70
203
197
165
163
158
161
168
151
155
25
15
15
15
15
15
15
15
10
10
10
10
10
10
70
70
70
70
70
65
60
50
45
35
35
30
30
30
142
141
136
145
145
127
130
119
112
95
97
83
85
74
450
452
447
457
456
449
458
437
427
349
349
344
346
268
437
441
440
449
471
461
471
438
417
336
338
336
336
257
MM
448
451
443
452
452
449
458
420
426
348
349
339
343
267
AAA
10
337
341
336
345
395
387
395
364
367
285
287
283
285
254
421
418
420
428
462
458
464
432
399
323
319
319
319
244
421
421
417
422
473
474
480
448
400
324
320
317
320
244
MM
286
282
247
246
243
249
257
227
228
861
857
747
746
743
749
757
702
703
55
55
35
35
35
35
35
35
35
200
200
150
150
150
150
150
150
150
363
357
245
243
238
241
248
246
250
213
206
183
192
192
169
178
155
151
128
129
109
113
107
698
651
593
602
602
549
533
445
401
348
349
289
293
267
35
25
25
25
25
25
25
25
20
15
15
15
15
15
150
120
120
120
120
100
95
75
65
60
60
60
60
60
237
191
186
195
195
162
165
139
132
125
127
118
120
114
Stranded Assets
Equipment
Ag/Construction
AAA
A
MM
486
482
397
396
393
399
407
402
403
55
55
55
55
55
55
55
55
55
250
250
175
175
175
175
175
125
125
398
301
293
302
302
249
248
205
191
178
179
169
173
172
55
20
20
20
20
20
20
20
20
20
20
15
15
15
125
100
100
100
100
90
80
75
70
65
65
50
50
50
AAA
BBB
363
357
245
243
238
241
248
221
225
461
457
372
371
368
374
382
352
353
1261
1257
1047
1046
1043
1049
1057
952
953
10
1561
1557
1347
1346
1343
1349
1357
1252
1253
173
167
135
133
123
126
128
116
120
186
182
162
161
143
149
152
137
138
210
205
185
183
164
167
165
168
159
192
184
172
171
156
165
175
172
159
189
187
162
161
161
176
183
185
176
212
171
166
175
175
162
160
149
147
140
142
123
125
119
348
251
243
252
252
224
223
195
191
188
189
159
163
162
948
801
793
802
802
649
608
545
526
523
524
489
493
492
1248
1051
1043
1052
1052
899
858
845
851
848
849
789
793
792
107
111
106
115
115
107
105
99
92
75
77
68
70
64
133
136
128
137
137
129
128
115
111
98
99
84
88
82
152
156
155
164
161
146
146
138
132
96
98
91
91
87
156
153
155
163
162
153
149
132
129
103
99
94
94
89
171
171
167
172
173
184
180
163
155
114
110
102
105
104
Source: JPMS.
Chart 37
Chart 38
Chart 39
2 Yr Spreads to Treasuries
5 Yr Spreads to Treasuries
10 Yr Spreads to Treasuries
800
700
600
500
400
300
200
100
0
700
600
500
400
300
200
100
0
800
700
600
500
400
300
200
100
0
98 99 00 01 02 03 04 05 06 07 08 09
Cards
Auto
HEL
Swap
98 99 00 01 02 03 04 05 06 07 08 09
Cards
HEL
Swap
98 99 00 01 02 03 04 05 06 07 08 09
Cards
HEL
Swap
Source: JPMS.
18
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spreads - Tsy
CMBS, MBS &
FNMA
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 8
AAA
5
10
Agency PACs
MBS
AA
BBB
AA
BBB
BB
10
10
10
10
10
10
10
10
Agency Sequentials
6.5%*
6.5%*
10
10
FNMA
Current
Coupon
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
1065
958
910
883
528
636
712
768
682
817
764
740
764
639
731
795
852
743
13
14.5
14.5
19
22
20
19
19
19
10
11
11
15
17
15
14
14
14
6.5
6.5
6.5
9
9
8
7
7
7
245
245
245
245
245
165
165
165
165
215
215
215
215
215
135
135
135
135
255
255
255
255
255
180
180
175
175
225
225
225
225
225
145
145
140
140
211
211
207
202
217
230
214
208
197
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
676
678
477
485
454
427
359
402
430
451
450
440
425
426
738
715
670
700
676
656
531
623
676
674
671
594
596
604
18
18
18
18
21
22
25
24
24
24
24
24
27
27
14
14
14
14
17
17
20
19
19
19
19
19
23
23
7
7
7
7
7
7
10
10
10
10
10
10
10
10
165
175
175
175
175
175
165
165
165
165
155
155
145
145
135
145
145
145
145
145
125
125
125
125
130
130
130
130
175
185
185
185
185
185
175
175
175
175
165
165
155
155
140
155
155
155
155
155
145
145
145
145
145
145
140
140
190
183
196
194
193
172
179
176
186
184
197
193
185
188
Source: JPMS.
* 7.5% coupon prior to 1/18/01
** CMBS AA-BBB prices since 4/23/09
19
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
Spreads - Tsy
Corporates &
Agency
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 9
AAA
1-3
Banks
AA
3-5 7-10
1-3
AA
3-5 7-10
1-3
Finance
3-5 7-10
1-3
BBB
3-5
1-3
3-5 7-10
1-3
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
94
131
184
182
94
167
105
43
83
154
148
144
149
152
148
118
114
126
185
171
169
171
166
152
149
126
119
232
214
207
209
285
176
178
151
165
345
313
302
305
278
261
206
190
195
284
262
252
250
246
226
204
180
180
303
282
267
275
260
237
218
195
196
439
406
377
340
331
294
277
283
283
345
329
327
319
290
263
233
209
215
487
469
467
483
461
430
339
327
327
547
521
442
415
370
340
322
326
322
540
521
478
457
419
368
335
313
323
584
559
519
506
481
428
390
375
391
849
823
763
744
696
668
582
584
528
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
47
53
59
59
40
52
43
42
57
52
60
49
39
44
93
76
73
62
58
53
56
61
63
71
56
57
75
72
114
123
120
117
101
99
97
97
93
119
121
121
114
92
153
152
154
149
133
126
120
125
125
125
126
128
115
118
183
149
145
143
134
130
116
110
106
110
113
104
106
104
174
173
165
160
144
134
131
126
117
121
124
125
120
119
197
199
197
189
165
156
149
151
151
153
156
153
145
146
279
297
294
293
268
290
319
315
297
295
181
184
188
173
219
213
198
190
171
166
157
149
149
150
146
143
136
143
330
324
298
288
262
219
196
195
213
205
205
191
184
188
307
291
281
278
245
234
212
216
204
198
195
187
187
167
331
317
303
292
258
238
210
216
226
219
223
210
200
195
401
390
391
364
333
308
284
290
299
289
288
268
248
247
538
595
571
553
534
531
511
550
523
515
403
401
425
423
AA
3-5 7-10
A
3-5
Agency
Benchmark
BBB
1-3
1-3
7-10
1-3
989
810
787
752
739
693
614
592
597
327
304
295
288
256
236
214
210
201
589
542
462
391
382
324
314
309
298
556
524
478
443
422
368
319
302
300
511
472
427
439
415
393
350
338
334
1786
1580
1382
1335
1294
1223
987
928
965
599
576
566
539
515
479
457
452
467
446
453
436
413
403
196
215
211
210
190
168
138
143
144
151
149
148
136
137
300
289
285
273
232
217
190
186
198
189
197
188
176
176
302
282
270
254
220
199
178
193
207
202
198
188
179
185
335
323
316
286
245
223
210
234
253
247
257
239
223
232
958
903
950
945
920
1081
938
855
852
764
838
810
659
705
3-5
7-10
10
1522 1326
1432 1027
1332 930
1225 893
1209 830
1118 760
643 440
591 411
598 438
62
53
46
55
46
48
40
37
45
68
66
50
62
61
65
54
54
55
37
37
40
39
34
29
34
37
45
40
38
33
34
34
52
48
48
45
46
39
39
44
56
53
57
52
50
47
613
630
639
633
597
628
567
550
564
519
473
452
401
412
441
429
415
414
389
361
352
356
385
356
356
319
278
282
Source: JPMS.
20
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Credit Default
Swaps Spread
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 10
Auto
GM
DCX
Home Equity
WM CSFB
GM
DJ CDX
LCDX
BB
IG
5-year
3/12/09
3/19/09
3/26/09
4/2/09
4/9/09
4/16/09
4/23/09
4/30/09
540 1080
540 1000
590 1000
640 990
620 913
540 788
580 787
570 696
440
400
390
370
350
290
340
280
680
620
650
620
610
480
480
400
2,168
1,542
1,376
1,851
1,619
1,616
1,680
956
370
330
260
260
237
200
220
200
2,281
1,528
1,236
1,328
1,207
1,206
1,247
916
290
240
218
224
214
179
169
179
440
400
360
350
320
250
250
230
310
320
320
320
270
220
240
220
421
370
388
381
345
309
370
354
301
290
352
361
325
233
263
283
287
197
185
195
169
167
173
158
2,168
1,542
1,376
1,851
1,619
1,616
1,680
956
7,200
6,002
5,320
4,758
3,556
3,926
4,650
4,239
3,157
3,202
3,262
3,104
3,104
3,321
3,317
3,317
9,764
9,764
9,764
7,000
8,000
3,923
3,923
3,923
2060
2160
2250
2400
2400
2460
2390
2390
1,244
1,576
1,561
1,507
1,507
1,450
1,448
1,460
2,086
2,127
2,183
2,138
2,138
2,164
2,134
2,134
1,324
1,551
1,560
1,507
1,507
1,730
1,726
1,774
918
918
870
584
552
505
533
459
1690
1700
1620
1180
1130
1050
1080
917
240
230
180
200
190
170
180
160
1610
1850
1240
1,904
1,916
1,840
1,832
1,798
1,680
1,611
1,506
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
390
410
370
360
370
360
460
460
410
400
370
330
280
260
270
280
270
270
250
180
180
230
210
190
180
170
160
200
220
200
220
190
150
140
140
160
170
160
160
150
110
100
330
300
250
230
190
180
210
240
220
220
200
170
150
150
180
200
190
180
170
120
120
924
917
708
709
724
726
831
862
893
892
797
767
767
686
686
775
744
744
698
629
601
160
210
170
180
150
150
180
200
190
210
192
170
170
150
150
170
150
155
150
130
120
887
950
825
796
810
800
888
919
904
888
825
736
707
655
654
710
629
629
601
549
505
159
130
105
60
70
60
55
55
80
109
105
75
65
55
70
70
50
45
45
45
56
180
220
180
190
160
163
190
190
190
200
180
170
170
150
140
150
140
140
130
120
120
190
240
190
220
190
190
230
230
220
230
190
180
170
160
150
150
140
140
130
120
120
283
292
242
246
221
206
230
229
193
203
193
172
146
136
176
171
166
175
170
135
140
212
212
171
161
181
170
255
244
203
208
177
152
136
141
166
166
166
166
166
166
166
133
132
110
107
96
93
107
102
94
102
96
76
68
65
71
86
82
87
81
71
70
924
917
708
709
724
726
831
862
893
892
797
767
767
686
686
775
744
744
698
629
601
3,478
3,726
3,626
3,711
3,472
3,670
4,357
4,592
4,592
4,589
4,589
4,084
4,324
4,059
4,109
4,536
4,536
4,594
4,594
4,054
3,580
3,004
3,680
3,805
3,548
3,192
3,192
3,545
3,505
3,505
3,593
3,593
3,424
5,423
5,252
4,944
5,347
5,347
5,856
5,856
5,586
4,820
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
3,923
4,955
4,955
4,955
4,055
1770
1720
1620
1620
1320
1050
1050
1160
1160
1220
1270
1230
1230
1190
872
836
836
797
797
728
632
1,366
1,314
1,235
1,235
1,045
994
972
958
958
957
1,127
1,127
1,127
1,135
1,175
1,205
1,205
1,141
1,141
838
854
2,025
1,996
1,916
1,916
1,658
1,625
1,642
1,604
1,604
1,630
1,717
1,717
1,824
1,805
2,081
1,964
1,964
1,881
1,881
1,206
1,205
1,619
1,364
1,336
1,336
1,126
1,126
1,129
1,127
1,127
1,125
1,207
1,207
1,256
1,356
1,561
1,737
1,737
1,627
1,627
1,174
1,214
423
508
483
483
419
421
541
512
477
521
496
448
420
408
463
479
467
505
416
364
370
859
935
915
910
800
783
939
906
852
911
875
789
739
706
767
812
797
854
741
648
641
150
160
150
140
120
130
140
140
130
140
130
120
110
110
115
120
110
120
110
100
96
1150
1240
1200
1130
982
957
1040
1030
911
996
902
760
715
645
638
730
708
734
662
556
537
1,373
1,516
1,455
1,426
1,348
1,273
1,323
1,367
1,339
1,363
1,340
1,272
1,198
1,148
1,082
1,131
1,085
1,061
1,001
910
830
554
528
457
412
366
366
400
456
420
440
429
404
368
292
287
282
266
246
231
160
135
1630
1790
1610
1650
Home
Builders
Source: JPMS.
21
Chris Flanagan
chris.t.flanagan@jpmorgan.com
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 14
Issuance by Collateral by Month Thru 9/25/09 ($ Millions)
Total
Auto
Cards
Oct
Nov
Dec
2009
424
500
7,370
376
500
1,897
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
4,800
1,620
10,564
8,752
14,778
22,226
14,563
8,143
20,713
1,300
1,073
5,115
2,716
3,959
6,852
10,415
674
9,774
Other*
Total
Auto
0
0
0
0
0
5,425
0
0
48
89%
53%
82%
100%
53%
34%
0
0
526
0
1,001
1,628
0
0
579
0
547
1,498
4,024
2,593
0
1,108
3,076
0
0
0
0
0
0
0
0
0
0
0
0
0
1,027
225
1,100
0
1,368
175
0%
34%
56%
63%
58%
56%
28%
69%
42%
0%
0%
28%
0%
0%
15%
0%
100%
9%
88%
43%
86%
82%
100%
17%
77%
HEL
MH
Equip
0
0
0
48
0
0
0
0
0
0
0
0
3,500
0
3,425
985
7,000
12,645
3,040
3,025
10,185
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Student
Cards
HEL
MH
Equip
Student
Global
RMBS Other*
2008
YTD Summary
0%
100%
0%
0%
0%
0%
0%
100%
100%
100%
100%
100%
0%
100%
100%
100%
96%
0%
0%
(Thru 09/25)
2008
129,786
% Issuance
33,687
26%
61,380
47%
303
0%
0
0%
2,931
2%
28,120
22%
0
0%
3,365
3%
FL %
87,532
67%
9,348
28%
48,621
79%
81
27%
0
0%
389
13%
28,095
100%
0
0%
999
30%
2009
106,157
% Issuance
41,878
39%
43,805
41%
0
0%
0
0%
3,734
4%
12,846
12%
0
0%
3,895
4%
FL %
51,553
49%
4,002
10%
31,270
71%
0
0%
0
0%
0
0%
12,846
100%
0
0%
3,435
88%
36,460
26%
64,980
46%
351
0%
0
0%
2,931
2%
28,120
20%
5,425
4%
3,413
2%
FL %
94,247
67%
10,638
29%
48,621
75%
81
23%
0
#Num!
389
13%
28,095
100%
5,425
100%
999
29%
Chart 40
Chart 41
Chart 42
Issuance by Year
US$ (Billions)
1000
874 892
800
600
400
702
272 330
542
403 502
0
2002
2004
2006
2008
12%
Global
Home
Eq
RMBS
Equip
0%
4%
2%
Other
2%
Student
Loans
26%
20%
142 106
4%
Auto
Loans
200
2000
Other
Student
Equip
4%
Cards
Au
39
41%
Cards
46%
* Other includes deals backed by Dealer Floorplan, Stranded Asset, RV, Boat, Consumer, EETC, and Small Business Loans.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
22
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
New Issue
Spreads
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 15
8/26/09 - 9/25/09
Issuer
Series
.5
>= 10
NAS
Subordinate Spreads
AA
A
BBB
Auto Fleet
9/2/09
2009-2
Chesapeake Funding
3.52
1ML+175
1ML+175
Auto Leases
9/1/09
2009-B
A-1
A-2
A-3
L-6
EDSF+60
EDSF+95
Auto Prime
9/2/09
2009-A
9/2/09
2009-2
9/2/09
2009-D
9/2/09
2009-A
A-1
A-2
A-3
A-4
L-5
EDSF+60
Swap+90
Swap+105
A-3
A-4
A-1
A-2
L-5
EDSF+55
A-1
A-2
L-5
EDSF+60
A-1
A-2
L-7
EDSF+50
EDSF+85 Swap+110
A-3
A-4
EDSF+90 Swap+105
A-3
A-4
EDSF+75 Swap+110
CrCds - Bank
9/25/09
2009-A8
9/16/09
2009-A7
9/1/09
2009-2
9/1/09
2009-A2
A-8
1ML+40
A-7
1ML+45
A
1ML+125
A-2
1ML+130
CrCds - Retail
9/14/09
9/2/09
2009-3
2009-A13
A
EDSF+130
A-13
Swap+275
23
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
New Issue
Spreads
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 15
8/26/09 - 9/25/09
Issuer
Series
9/2/09
2009-A12
9/2/09
2009-A14
9/2/09
2009-A11
.5
>= 10
NAS
Subordinate Spreads
AA
A
BBB
A-12
Swap+155
A-14
1ML+275
A-11
1ML+155
Equip - Sm Ticket
9/2/09
2009-1
A-1
L-2
A-2
A-3
A-4
24
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
New Issue
Detail
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 16
Issuer
8/26/09 - 9/25/09
Series Class
2009-A8
A-8
Amount
Coll
($ MM)
$410.00
WAL
(Yrs)
Coupon
Price
Yield
100.0000
Rating
Sprd
Benchmark
Lead: Co
Manager
40
1 Mo. LIBOR
JPM: BCG,DB
Aaa
Aaa
CrCds - Bank
0.96
Auto Fleet
3.18
5.68%
99.9936
5.75%
BCG/DB: BOA,J
Time Share
1.86
7.62%
99.9872
7.75%
CS/RBS
CrCds - Bank
0.98
CrCds - Retail
1.98
2.54%
Auto Prime
0.31
1.17
0.40%
1.32%
2.31
3.24
2.33%
3.24%
0.31
0.99
0.40%
1.16%
1.99
3.18
2.13%
3.03%
Enhancement
Type
Amt
S/S
14.00%
S/S
14.00%
$410.00
9/24/09 AESOP Funding II LLC
2009-2
$450.00
$450.00
$175.00
$175.00
9/16/09 Chase Issuance Trust
2009-A7
A-7 $2,775.00
45
1 Mo. LIBOR
JPM
Aaa
AAA
130
EDSF
BAS
Aaa
AAA
0.40%
1.33%
-5
60
Libor - Int
EDSF
2.35%
3.20%
90
105
Swap - Int
Swap - Int
0.40%
1.17%
-5
55
Libor - Int
EDSF
2.14%
3.05%
85
110
EDSF
Swap - Int
100.0000
$2,775.00
9/14/09 GE Capital Credit Card Master Not 2009-3
$750.00
$750.00
2009-A
A-1
A-2
$265.00
$320.00
A-3
A-4
$260.00
$95.94
100.0000
CITG/DB/RBS
A-1+
AAA
F-1+
AAA
OC,RF
OC,RF
5.25%
5.25%
AAA
AAA
AAA
AAA
OC,RF
OC,RF
5.25%
5.25%
P-1
Aaa
A-1+
AAA
F-1+
AAA
OC,RF
OC,RF
11.50%
11.50%
Aaa
Aaa
AAA
AAA
AAA
AAA
OC,RF
OC,RF
11.50%
11.50%
Aaa
A2
AAA
AA
S/S,OC,RF
S/S,OC,RF
13.96%
9.90%
A2
$940.94
9/2/09 Bank of America Auto Trust
2009-2
A-1
A-2
$802.07
$655.00
Auto Prime
A-3 $1,150.00
$449.74
A-4
100.0000
BOA: BCG,CITG,
$3,056.81
9/2/09 Chesapeake Funding
2009-2
A
B
$850.00
$31.40
$29.10
A-11
$400.00
Auto Fleet
JPM/BOA/C/DB:
2.51
3.52
100.0000
90.4127
175
175
1 Mo. LIBOR
1 Mo. LIBOR
3.59
84.0491
175
1 Mo. LIBOR
CrCds - Retail
2.93
100.0000
155
1 Mo. LIBOR
CITG: BOA,CS,R
Aaa
AAA
CrCds - Retail
2.93
155
Swap - Int
CITG: BOA,CS,R
Aaa
AAA
OC,RF
6.39%
$910.50
9/2/09 Citibank Omni Master Trust
2009-A11
$400.00
9/2/09 Citibank Omni Master Trust
2009-A12
A-12
$450.00
3.35%
99.8360
3.41%
$450.00
25
Note: Names of deals priced during the most recent week are in bold.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
U.S.
New Issue
Detail
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 16
Issuer
8/26/09 - 9/25/09
Series Class
2009-A13
A-13
Amount
Coll
($ MM)
$700.00
WAL
(Yrs)
CrCds - Retail
4.93
CrCds - Retail
4.93
Auto Prime
Coupon
5.35%
Price
99.7390
Yield
5.41%
Lead: Co
Manager
Rating
Sprd
Benchmark
275
Swap - Int
CITG: BOA,CS,R
Aaa
AAA
275
1 Mo. LIBOR
CITG: BOA,CS,R
Aaa
AAA
JPM/BOA/BNP:
Enhancement
Type
Amt
$700.00
9/2/09 Citibank Omni Master Trust
2009-A14
A-14 $2,150.00
100.0000
$2,150.00
9/2/09 Ford Credit Auto Owner Trust
2009-D
A-1
$640.00
0.30
0.36%
100.0000
0.36%
-5
Libor - Int
P-1
A-1+
R-1 H
S/S,OC,RF
6.15%
A-2
A-3
$409.00
$805.00
0.99
1.99
1.21%
2.17%
99.9952
99.9881
1.22%
2.19%
60
90
EDSF
EDSF
Aaa
Aaa
AAA
AAA
AAA
AAA
S/S,OC,RF
S/S,OC,RF
6.15%
6.15%
$219.80
3.20
2.98%
99.9836
3.00%
105
Swap - Int
Aaa
AAA
AAA
S/S,OC,RF
6.15%
100.0000
A-4
$2,073.80
9/2/09 GE Equipment Midticket LLC
2009-1
A-1
0.50%
0.50%
-2
Libor - Int
P-1
F-1+
S/S,RF
7.65%
A-2
A-3
$83.00
$255.00
0.92
1.89
1.42%
2.34%
1.43%
2.36%
85
115
EDSF
EDSF
Aaa
Aaa
AAA
AAA
S/S,RF
S/S,RF
7.65%
7.65%
$71.82
3.24
3.13%
3.16%
120
Swap - Int
Aaa
AAA
S/S,RF
7.65%
A-4
BOA/BCG: DB,R
$578.82
9/2/09 Hyundai Auto Receivables Trust
2009-A
A-1
$379.00
0.30
0.36%
100.0000
3.57%
-7
Libor - Int
A-1+
F-1+
RF,OC
19.50%
A-2
A-3
$291.00
$388.00
0.99
1.99
1.11%
2.03%
99.9937
99.9978
1.19%
2.04%
50
75
EDSF
EDSF
AAA
AAA
AAA
AAA
RF,OC
RF,OC
19.50%
19.50%
$259.60
3.45
3.15%
99.9830
3.18%
110
Swap - Int
AAA
AAA
RF,OC
19.50%
S/S
17.50%
A-4
Auto Prime
BOA/BCG/RBS:
$1,317.60
9/1/09 American Express Credit Account
2009-2
$1,250.00
CrCds - Bank
4.93
100.0000
125
1 Mo. LIBOR
BCG/JPM/RBS:
Aaa
CrCds - Bank
2.93
100.0000
130
1 Mo. LIBOR
RBS/CITG: BOA,
Aaa
Auto Leases
JPM/C/DB: BNP,
AAA
$1,250.00
9/1/09 Discover Card Master Trust
2009-A2
A-2 $1,300.00
AAA
$1,300.00
9/1/09 Nissan Auto Lease Trust
2009-B
A-1
$213.00
0.32
0.41%
100.0000
0.41%
-6
Libor - Int
P-1
A-1+
F-1+
S/S,RF
23.35%
A-2
A-3
$308.00
$423.00
0.99
1.74
1.22%
2.07%
99.9903
99.9829
1.23%
2.09%
60
95
EDSF
EDSF
Aaa
Aaa
AAA
AAA
AAA
AAA
S/S,RF
S/S,RF
23.35%
23.35%
$80.85
2.14
2.65%
99.9993
2.67%
130
Swap - Int
Aaa
AAA
AAA
S/S,RF
23.35%
A-4
$1,024.85
26
Note: Names of deals priced during the most recent week are in bold.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
Spreads
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 17
Date
4-5
Euro
Cards ()
Float
5
AAA
RMBS
Fixed
5
AAA
5
Bullet
()
AA
BBB
4-5
5-7
AAA
UK
(EUR)
6-7
5
5-6
Italian Dutch Spanish
BBB
8-10
8-10
Spanish Spanish
($)
Aussie
($)
AAA
AAA
3
Bullet
4/23/09
500
625
625
335
900 1,950
380
340
725
1,500
2,100
350
550
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
500
500
500
500
500
500
500
500
500
500
500
500
500
500
625
625
625
625
625
625
600
550
525
525
500
475
475
475
625
625
625
600
600
625
600
550
525
525
500
475
475
475
335
335
285
280
280
280
255
250
245
240
230
220
210
195
900
900
900
900
900
900
875
875
875
850
850
825
825
800
1,950
1,950
1,950
1,950
1,950
1,950
1,900
1,900
1,800
1,700
1,700
1,650
1,650
1,600
380
380
350
340
340
340
320
300
275
265
255
250
240
230
340
325
320
320
320
320
300
280
265
255
235
220
210
195
725
725
700
675
675
675
650
625
600
575
550
525
500
475
1,500
1,500
1,500
1,500
1,500
1,500
1,500
1,500
1,500
1,500
1,500
1,500
1,500
1,500
2,100
2,100
2,100
2,100
2,100
2,100
2,100
2,100
2,100
2,100
2,100
2,100
2,100
2,100
350
350
300
295
295
295
270
265
260
255
245
235
225
210
550
550
550
550
550
550
550
550
550
550
550
550
550
550
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
500
500
500
500
500
500
465
465
465
465
465
450
465
465
465
465
465
450
185
160
165
165
165
800
800
800
750
650
1,600
1,600
1,600
1,500
1,400
210
200
200
200
200
190
175
175
175
175
465
450
425
425
400
1,500
1,500
1,500
1,500
1,500
2,100
2,100
2,100
2,100
2,100
200
175
180
180
180
550
325
325
325
325
500
500
425
375
425
375
165
160
145
600 1,300
550 1,200
500 1,100
200
190
185
175
165
150
375
365
350
1,500
1,500
1,475
2,100
2,100
2,100
180
175
160
325
325
325
9/10/09
9/17/09
9/24/09
*European spreads to 3mL or 3mL. Fixed spreads are LIBOR equivalent spreads to mid-swaps.
Source: JPMS.
27
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
New Issue
By Month
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 18
Auto
Cards
RMBS
CMBS
CDO
Consumer
Sov/Ag
Whole
Business
Student
Loan
Other*
2008
Oct
Nov
Dec
122,066
183,550
270,759
0
7,867
282
6,559
0
8,310
95,477
115,270
226,532
686
115
664
10,368
51,958
20,335
6,160
0
14,635
0
0
0
0
0
0
0
0
0
2,815
8,340
0
57,668
64,222
51,274
42,345
56,442
20,319
69,310
42,109
49,689
409
2,543
0
7,856
2,882
300
541
988
3,486
0
0
870
0
0
0
0
797
852
25,618
12,769
27,380
24,467
40,569
8,026
51,369
23,906
29,855
12,833
7,826
285
0
1,665
2,271
1,286
6,884
1,167
16,382
31,860
18,681
2,661
10,701
9,722
11,612
7,792
10,485
0
1,144
3,693
4,439
0
0
0
0
2,488
0
6,487
0
0
0
0
1,485
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2,427
1,592
366
2,921
624
0
3,017
1,742
1,356
2009
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
YTD Summary
(Thru Sep/25)
2008
589,656
% Issuance
15,483
3%
2,050
0%
453,265
77%
6,312
1%
81,662
14%
12,961
2%
0
0%
696
0%
150
0%
17,078
3%
2009
453,377
% Issuance
19,006
4%
2,519
1%
243,959
54%
34,217
8%
119,895
26%
11,764
3%
7,971
2%
0
0%
0
0%
14,047
3%
24,001
2%
16,920
1%
890,591
76%
12,026
1%
167,015
14%
34,980
3%
0
0%
696
0%
150
0%
28,385
2%
Chart 44
Chart 45
Issuance by Year
US$ Billions
1500
784
453
554
1000
500
1175
76 123 137
237
300
Sov/Ag
Auto
Cards
CDO
France
Germany
4%
1%
26%
2%
8%
2%
377
2004
Netherla
2006
2008
ds
Spain
RMBS
0
2002
CMBS
16%
20%
8%
53%
2000
UK
Italy
Consumer
Other
1%
3%
18%
Other
10%
26%
Leases
* Other includes deals backed by Non-performing Loans, Future Flow, and Trade Receivables.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
28
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
New Issue
Spreads
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 19
6/27/09 - 9/25/09
Issuer
Series
Asset
Domicile
11
Germany
2009-2
Germany
>= 10
AA
BBB
Auto Leases
9/24/09
9/17/09
ECLAT
1.80
1mEL+110
1mEL+250
A
Swaps+180
Auto Prime
9/25/09
2009-C
Germany
9/21/09
E-CARAT
2009-1
Germany
8/5/09
Portugal
9/16/09
UK
7/22/09
Sceptre Funding
UK
2009-1
France
2009-1
Australia
2009-1
UK
2009-1
Germany
A
1mEL+235
A
Swaps+215
A
3mEL+150
CMBS
20.00
Gilt+220
A
145
CrCds - Bank
9/15/09
FCT Oneycord
A
1mEL+75
Equip - Heavy
9/9/09
A-1
3MBBSW+100
Infrastructure
7/14/09
10.00
Gilt+200
Leases
8/24/09
3.20
Swaps+125
Swaps+175
29
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
New Issue
Spreads
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 19
6/27/09 - 9/25/09
Series
Asset
Domicile
ResLOC IT
2009-1
Italy
9/23/09
2009-1
UK
9/18/09
SMHL Programme
2009-2
9/17/09
2009-2
Italy
9/8/09
2009-1
Australia
9/1/09
2009-1
UK
8/31/09
Manlleu I
Spain
8/28/09
Australia
8/27/09
Goldfish
2009-3
Netherlands
8/20/09
Apollo Trust
2009-1
Australia
8/7/09
2009-6-2
Italy
7/30/09
2009-2
Italy
7/30/09
2009-1
Italy
7/27/09
AyT ICO-FTVPO
III
Spain
Date
Issuer
>= 10
AA
BBB
Non Conforming
7/30/09
A
3mEL+20
RMBS
A-2
3ML+170
A
1MBBSW+150
A
6mEL+38
A-1
1MBBSW+175
4.22
4.22
4.22
3ML+11
3ML+16
3ML+25
3ML+47
A-S
A-1
1MBBSW+80
1MBBSW+135
16.65
16.73
6mEL+30
6mEL+60
6mEL+125
A
3mEL+65
A-1
A-2
1MBBSW+60 1MBBSW+90
A-3
1MBBSW+130
7.37
3mEL+21
3mEL+69
A
6mEL+80
A
6mEL+70
C-1A
13.98
13.98
3mEL+35
3mEL+75
3mEL+100
30
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
New Issue
Spreads
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 19
6/27/09 - 9/25/09
Issuer
Series
Asset
Domicile
7/20/09
2009-1
Italy
7/15/09
2009-1
Spain
7/9/09
WB Trust
2009-1
Australia
6/30/09
Italy
6/29/09
AyT ICO-FTVPO
Caja Murcia I
Spain
2009-1
France
>= 10
AA
BBB
A
6mEL+70
A
3mEL+35
A-1
1MBBSW+110
A-2
A-3
1MBBSW+140 1MBBSW+190
A
6mEL+20
12.69
12.83
3mEL+35
3mEL+75
3mEL+100
Sov/Ag
7/30/09
ExFin Capital
A
6ML+100
31
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
New Issue
Detail
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 20
Series Class
2009-C
USD
Collateral
Domicile
Germany
WAL
(Yrs)
$687.57
467
B
C
$29.87
$29.16
20
20
2.20
235
$551.82
376
$40.51
28
6.20%
$31.19
21
6.70%
2009-4
$235.39
160
RMBS
Netherlands
$1,634.84
1,114
Consumer
Spain
1.03
$110.09
75
2.62
C
D
$110.09
$88.07
75
60
2.96
3.38
100
200
3.81
Benchmark
Lead/Co
Manager
1 Mo. Euribor
DB
5.00%
10.00%
Rating
Moody S&P Fitch
Aaa
AAA
A1
$746.60
9/25/09
Auto Prime
Germany
3.13%
LBBW/UBS/WLB
Aaa
A1
$623.52
9/25/09
Goldfish
9/24/09
55
3 Mo. Euribor
FOR
AAA
50
3 Mo. Euribor
SANG
70
3 Mo. Euribor
Aa2
3 Mo. Euribor
3 Mo. Euribor
A2
Baa2
$235.39
Aaa
$258.63
176
3.97
300
3 Mo. Euribor
B3
$286.22
195
4.05
65
3 Mo. Euribor
500
19
Auto Leases
Germany
1.38
1.80
110
250
1 Mo. Euribor
1 Mo. Euribor
JPM/WLB
RMBS
Spain
2.20
30
3 Mo. Euribor
JPM/CXC
40
3 Mo. Euribor
$2,487.94
9/24/09
11
A
B
$733.90
$28.03
9/23/09
Hipocat
19
$773.43
525
$331.47
225
AAA
A+
AAA
A+
Aaa
Aaa
AAA
AAA
AAA
AAA
Aaa
AAA
AAA
$761.93
Aaa
$1,104.90
9/23/09
2009-1
A-1
A-2
$2,642.15
$2,642.15
1,650
1,650
A-3
$1,100.85
750
RMBS
UK
5.00
5.00
99.5510
170
5.00
100.0000
170
$6,385.15
32
Note: Deal names of deals priced during the most recent week are bolded.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
New Issue
Detail
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 20
E-CARAT
Series Class
2009-1
USD
Collateral
Domicile
Germany
WAL
(Yrs)
1.25
3.50%
215
Benchmark
Lead/Co
Manager
Mid Swaps
DB/RBOS
Rating
Moody S&P Fitch
$534.33
363
B
C
$44.79
$14.73
30
10
AAA
$533.40
364
20
3 Mo. Euribor
$402.22
274
100
3 Mo. Euribor
$74.90
51
125
3 Mo. Euribor
$1,044.48
1,200
AUD
AAA
AAA
AB
$24.07
28
AUD
7.38
1 Mo. BBSW
AAA
AAA
$24.07
28
AUD
7.38
1 Mo. BBSW
AA-
1 Mo. Euribor
1 Mo. Euribor
$593.85
9/18/09
Misthosis Funding
2009-1
Leases
Greece
3.66
UBS
Aaa
$1,010.52
9/18/09
SMHL Programme
2009-2
RMBS
2.89
150
1 Mo. BBSW
COM/DB/MBL
$1,092.62
9/17/09
ECLAT
2009-2
A
B
$428.60
$166.66
292
114
Auto Leases
Germany
0.79
100.0000
100.0000
3.00%
6.00%
180
480
Mid Swaps
Mid Swaps
100.0000
7.00%
580
Mid Swaps
HSBC
$165.20
113
$951.57
648
38
6 Mo. Euribor
B-1
B-2
$58.87
$61.56
40
42
150
150
6 Mo. Euribor
6 Mo. Euribor
B-3
$14.31
10
150
6 Mo. Euribor
565
CMBS
UK
20.00
220
Gilt
GS
CrCds - Bank
France
3.50
75
320
1 Mo. Euribor
1 Mo. Euribor
NATI
AAA
$760.46
9/17/09
2009-2
RMBS
Italy
4.83
DB
AAA
$1,086.31
9/16/09
9/15/09
FCT Oneycord
$921.21
2009-1
A
B
$548.63
$247.64
374
169
PS
$55.74
38
6.05%
A3
A-
A-
$921.21
AAA
$852.01
33
Note: Deal names of deals priced during the most recent week are bolded.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
New Issue
Detail
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 20
Series Class
2009-1
USD
Collateral
Domicile
Australia
WAL
(Yrs)
A-1
$109.29
126
A-2
B
$172.92
$22.83
200
26
AUD
AUD
A-1
$220.73
255
AUD
A-2
$13.36
15
AUD
6.40
$4.53
AUD
6.40
0.60
100
1.80
2.80
Benchmark
Lead/Co
Manager
3 Mo. BBSW
ANZ
Rating
Moody S&P Fitch
AAA
3 Mo. BBSW
3 Mo. BBSW
AAA
AA
$305.04
9/8/09
2009-1
RMBS
Australia
2.20
175
1 Mo. BBSW
WSP
AAA
1 Mo. BBSW
AAA
AAA
AA-
$238.62
9/4/09
2009-1
Senior
$245.30
9/1/09
2009-1
16,819.06
$1,277.50
C
D
$718.22
$896.88
150
CMBS
UK
5.71%
155
Gilt
10,285
RMBS
UK
4.22
11
781
4.22
16
439
548
4.22
4.22
25
47
Aa2
AA-
Aaa
AAA
AAA
Aa3
AA
AA
A2
Baa2
A
BBB
A
BBB
$245.30
BCG
$19,711.66
8/31/09
$159.45
111
5.81
30
6 Mo. Euribor
$9.03
RMBS
Spain
16.65
60
6 Mo. Euribor
CECA
AAA
A
C
D
$7.17
$3.58
5
3
16.73
16.73
125
250
6 Mo. Euribor
6 Mo. Euribor
BBB
BB
$179.23
8/28/09
A-S
$50.45
60
AUD
0.50
100.0000
80
1 Mo. BBSW
A-1
$159.75
190
AUD
RMBS
Australia
4.30
100.0000
135
1 Mo. BBSW
A-2
B
$5.89
$4.04
7
5
AUD
AUD
7.90
7.90
100.0000
100.0000
WSP
AAA
AAA
AAA
AAA
AAA
AA-
AAA
$220.13
8/27/09
Goldfish
2009-3
$571.20
400
RMBS
Netherlands
3.50
65
3 Mo. Euribor
FOR
AAA
$571.20
34
Note: Deal names of deals priced during the most recent week are bolded.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
European
New Issue
Detail
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 20
Series Class
2009-1
USD
Collateral
Domicile
Australia
WAL
(Yrs)
3.00
410
Benchmark
Lead/Co
Manager
3 Mo. BBSW
NAB
$189.38
225
AUD
$33.67
40
AUD
$321.19
224
1.89
100.0000
3.08%
125
Mid Swaps
$35.13
25
3.20
100.0000
4.13%
175
Mid Swaps
$45.17
32
3.88
100.0000
5.28%
280
Mid Swaps
3.00
3 Mo. BBSW
Rating
Moody S&P Fitch
AAA
AAA
AA
AAA
$223.05
8/24/09
2009-1
Leases
Germany
WLB
AAA
AA-
$401.49
35
Note: Deal names of deals priced during the most recent week are bolded.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Asian
New Issue
By Month
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 22
Thru 9/25/09 ($ Millions)
Auto
Cards
RMBS
CDO Consumer
CMBS Equip
Other*
2008
Oct
Nov
Dec
2009
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
1,797
1,361
9,697
0
0
375
0
105
99
91
836
4,482
68
0
260
0
0
0
1,510
420
3,935
0
0
0
129
0
546
474
3,058
4,187
3,319
3,416
1,805
2,718
3,590
4,598
0
0
568
0
0
206
0
190
167
422
557
145
0
0
647
0
0
86
53
1,319
2,248
2,094
3,406
570
2,477
2,320
4,346
0
1,182
118
1,225
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
587
0
10
0
0
0
0
0
0
0
0
0
204
210
0
0
0
0
520
0
0
178
32
1,080
0
YTD Summary
(Thru 09/25)
2008
44,450
% Issuance
1,662
4%
1,993
4%
17,785
40%
5,552
12%
0
0%
10,326
23%
4,423
10%
2,326
5%
2009
27,165
% Issuance
1,131
4%
1,856
7%
18,833
69%
2,525
9%
0
0%
597
2%
414
2%
1,810
7%
2,095
4%
2,482
4%
23,773
41%
6,030
10%
0
0%
16,190
28%
4,518
8%
3,103
5%
Chart 47
Chart 48
Issuance by Year
US$ (Billions)
Auto
150
99
100
50
46 52
65
67
104 96
Other
59 27
67
7%
Consum
2%
er
Singapo
re
South
2%
1%
Korea
17%
Cards
7%
CMBS
9%
2000
4%
CDO
2002
2004
2006
2008
Global
RMBS
Japan
82%
69%
* Other includes deals backed by Non Performing Loan, Franchise, Future Flow, Shop Credit, Trade Receivables, and Small Business Loans.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
36
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Asian
New Issue
Detail
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 24
8/26/09 - 9/25/09
Amount
Date Issuer
9/24/09
Series Class
0909
USD
Collateral
Issue Currency
A-1
$55.50
5,000
B
PS
$44.40
$66.60
4,000
6,000
Type Domicile
WAL
(Yrs)
Benchmark
Lead: Co
Manager
Auto Prime
Japan
8,000
CrCds - Retail
Japan
169,485
Other - Mtge
Japan
592,000
Other - Mtge
Japan
1,809,000 KRW
Other - Mtge
South Korea
Other - Mtge
South Korea
13 MYR
Other - Mtge
Malaysia
HDBS
2 MYR
Other - Mtge
Malaysia
HDBS
Rating
Moody S&P Fitch
Aaa
$166.50
9/18/09
Ocean
2009-1
Notes
$85.60
AAA
$85.60
9/9/09
S-16
Notes $1,796.54
DAIW/ML/MUFJ
AAA
$1,796.54
9/2/09
28
9/1/09
KHFC
2009-7
9/1/09
KHFC
2009-8
Notes
$639.36
1.98%
AAA
$639.36
Notes $1,460.04
$1,460.04
1-1
1-2
$42.61
$64.57
52,800 KRW
80,000 KRW
1-3
1-4
$56.50
$104.92
70,000 KRW
130,000 KRW
1-5
1-6
$80.71
$56.50
100,000 KRW
70,000 KRW
1-7
1-8
$32.28
$8.07
40,000 KRW
10,000 KRW
$446.16
9/1/09
Mutual Streams
2009-4
Notes
$3.60
9/1/09
2009-4
Notes
$0.58
$3.60
$0.58
37
Note: Deal names of deals priced during the most recent week are bolded.
Sources: JPMS, MCM CorporateWatch, Bloomberg.
Chris Flanagan
ABS Research
Global CDO Weekly Market Snapshot
chris.t.flanagan@jpmorgan.com
CDO
Spreads
Table 1
Rating
AAA
AA
Euro HY CLO*
BBB BB
WAL
4/23/09
4/30/09
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
600
600
600
600
600
575
55
55
55
55
55
55
30
30
30
30
30
35
12
12
12
12
12
20
8/6/09
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
9/17/09
9/24/09
575
500
450
450
450
450
400
400
60
65
60
60
60
60
68
70
35
45
40
40
40
40
48
50
20
30
30
30
30
30
35
35
AAA
AA
BBB
HG SF CDO
BB
Sr AAA Jr AAA
AA
6-8
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
6-8
1642
1575
1524
1536
1470
1503
1529
1586
1649
5
5
5
5
5
650
650
650
650
650
40
40
40
40
40
15
15
15
15
15
10
10
10
10
10
5
5
5
5
5
1625
1560
1541
1466
1403
10
10
20
20
20
20
20
25
25
600
600
575
575
575
575
575
525
500
42
45
50
50
50
50
50
57
57
20
20
25
25
25
25
27.5
38
40
10
10
12.5
15
15
15
17.5
22
22
5
5
7.5
7.5
7.5
7.5
10
15
15
1403
1380
1483
1483
1474
1487
1485
1350
1397
6-8
Mezz SF CDO
BBB
AAA
AA
7-10 8-11
6-8
2841
2841
2841
2734
2697
2682
2713
2692
2729
6-8
BBB
7-10 8-11
2729
2682
2692
2729
2729
2729
2751
2751
2751
2745
2751
2734
2729
2729
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
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
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
200
180
160
140
120
100
80
60
40
20
500
350
200
50
Jul-
Jul-
00
01
Source: JPMS.
03
AAA
04
05
06
07
08
AA
09
10
Jul- Jul- Jul- Jun- Jun- Jun- Jun- Jun- Jun- May- May00
01
02
03
A
04
05
06
07
08
09
10
BBB
38
Chris Flanagan
chris.t.flanagan@jpmorgan.com
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
CDO
Collateral
Spreads
Table 2
Date
BB
Euro
US
Leveraged Loans
Leveraged Loans
Spread
Yield
BB/BB-
B+/B
Home
Equity
MBS
CMBS*
BBB
BBB
BB
BBB
10
10
10
AAA
Emerging Mkts
AA
BBB
JPM EM
Index
10
10
10
4/23/09
4/30/09
1,319
1,233
801
758
1,158
1,097
1,753
1,740
863
858
2,012
1,979
289
270
515
475
10
11
6.5
6.5
563
530
5/7/09
5/14/09
5/21/09
5/28/09
6/4/09
6/11/09
6/18/09
6/25/09
7/1/09
7/9/09
7/16/09
7/23/09
7/30/09
8/6/09
1,151
1,177
1,132
1,083
996
944
978
1,007
994
1,016
983
924
869
823
698
735
711
667
620
588
618
649
645
665
636
586
553
520
1,031
1,053
1,015
971
890
832
851
879
868
888
858
790
752
715
1,740
1,706
1,680
1,648
1,628
1,594
1,548
1,526
1,512
1,492
1,492
1,473
1,457
1,438
806
744
752
746
709
619
574
581
578
566
558
538
515
477
1,844
1,612
1,583
1,552
1,502
1,386
1,283
1,302
1,316
1,276
1,274
1,253
1,159
1,052
255
264
249
211
185
160
170
176
178
180
167
142
132
119
445
455
442
391
364
319
327
331
329
330
312
280
258
240
11
15
17
15
14
14
14
14
14
14
14
17
17
20
6.5
9
9
8
7
7
7
7
7
7
7
7
7
10
467
499
467
421
399
379
411
438
407
428
400
368
367
327
8/13/09
8/20/09
8/27/09
9/3/09
9/10/09
845
877
853
865
848
547
581
566
583
571
739
776
758
776
769
1,399
1,361
1,341
1,329
1,296
455
454
468
460
459
998
989
1,012
994
1,000
128
126
129
136
136
245
245
247
255
251
19
19
19
19
19
10
10
10
10
10
357
368
361
370
355
9/17/09
9/24/09
781
757
530
517
716
694
1,271
1,247
453
439
969
875
125
127
237
237
23
23
10
10
311
319
Corp Industrials
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
Chart 3
Chart 4
2,500
High Yield
$ High Yield
2,000
1,500
1,000
500
0
Jan-99 Sep-00 May-02 Jan-04 Sep-05 May-07 Jan-09
Industrial BBB 10 Yr
800
600
400
200
0
02
03
04
05
06
07
Jan- Jan08
09
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Global CDO
New Issue
By Month
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 27
Total
Arbitrage
2008
Oct
Nov
Dec
2009
12,847
73,230
25,021
7,233
46,523
1,536
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
16,643
32,681
39,148
3,959
12,044
10,118
11,770
7,919
10,838
High
Yield
Loans
Balance
Sheet
Mezz
SF HG SF CMBS CDO
EM
Debt
High
Yield
Bonds
Investment
Grade
Debt
Other*
Asia
Europe
U.S.
5,614
26,706
23,485
8,211
28,981
21,867
464
39,893
577
0
0
75
0
0
0
0
0
0
0
0
0
0
1,170
1,792
4,173
2,194
711
0
992
0
1,510
420
3,935
10,368
51,958
20,335
969
20,852
750
8,612
29,920
38,433
2,661
10,711
10,118
10,480
6,738
10,838
9,531
24,843
39,148
3,959
12,044
6,455
8,361
7,919
10,485
0
4,402
0
0
0
0
0
0
0
0
0
0
0
0
0
3,409
0
0
1,022
0
0
0
0
0
0
0
0
2,155
2,070
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3,663
0
0
0
3,936
1,367
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
587
0
10
0
0
0
0
16,382
31,860
18,681
2,661
10,701
9,722
11,612
7,792
10,485
262
821
19,879
1,298
1,333
0
158
128
353
67,265
54%
92,549
74%
1,275
1%
3,276
3%
4,553
4%
0
0%
58
0%
3,021
2%
12,819
10%
7,516
6%
10,326
8%
84,849
68%
29,893
24%
16,609
11%
128,511
89%
122,744
85%
4,402
3%
3,409
2%
1,022 4,225
1%
3%
0
0%
3,663
3%
5,303
4%
0
0%
597
0%
119,895
83%
24,232
17%
113,759
48%
125,097
52%
153,631
64%
42,213
18%
3,351
1%
4,553
2%
58
0%
6,648
3%
19,896
8%
8,508
4%
16,190
7%
170,203
71%
52,464
22%
8,032
2,761
715
1,298
1,333
0
1,290
1,181
0
YTD Summary (Thru 09/25)
2008
125,067
57,802
% Issuance
46%
2009
145,120
% Issuance
0
0%
Chart 53
Chart 54
Chart 55
US $ B illio ns
564 525
481
600
413
320
400
252
239
196
145
73
133157 68
125 129
112 114
85
83
200
96
10269
17
29 27 48 39
0
2001
2003
Arbitrage
2005
2007
Balance Sheet
HY
Loans
IG Debt
Other CDO^2
4%
EMMezzSF
Debt
0%
3%
3%
0%
CMBS
HGSF
1%
2%
HY
84%
2009
Total
Bond
3%
US
Asia
17%
0%
Europe
83%
*Other includes deals backed by Private Equity, Hedge Funds, and Trust Preferred Securities.
Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.
40
Chris Flanagan
chris.t.flanagan@jpmorgan.com
US CDO
New Issue
By Month
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 28
Total
Arbitrage
High
Yield
Loans
Mezz
EM
SF HG SF CMBS CDO Debt
High
Yield
Bonds
Investment
Grade
Debt
Other*
2008
Oct
Nov
Dec
2009
969
20,852
750
114
850
0
855
20,002
750
899
20,852
79
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
671
70
0
0
0
0
0
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
262
821
19,879
1,298
1,333
0
158
128
353
0
418
715
1,298
1,333
0
158
0
0
(Thru 09/25)
YTD Summary
2008
29,893
28,768
% Issuance
96%
262
403
19,164
0
0
0
0
128
353
262
0
19,879
1,298
1,333
0
158
128
0
0
821
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,125
4%
22,851
76%
20
0%
0
0%
0
0%
0
0%
0
0%
140
0%
6,882
23%
0
0%
2009
3,923
16%
20,309
84%
23,058
95%
821
3%
0
0%
0
0%
0
0%
0
0%
0
0%
0
0%
0
0%
29,732
57%
22,732
43%
44,680
85%
20
0%
0
0%
0
0%
0
0%
0
0%
811
2%
6,952
13%
0
0%
24,232
% Issuance
2008
52,464
% Issuance
Chart 56
Chart 57
Chart 58
US $ B illio ns
304
500
385392
310
400
211
300
203
126
119
200
71
60564 568646012 6 8
2352 420
24
7 6 30
100
0
2001
2003
2005
2007
Arbitrage
Balance Sheet
2009
Total
HY
CMBS
Bonds
0%
2%
CDO^2
HG SF
EM0%
Debt
0%
Mezz
0% SF
IG Debt
0%
13%
HY
CMBS
Other
HY
Loans
0%
0%
Loans
85%
CDO^2
97%
0%
Other
0%
HG SF EM Debt
0%
0%
Mezz SF
3%
*Other includes deals backed by Private Equity, Hedge Funds, and Trust Preferred Securities.
Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.
41
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Europe CDO
New Issue
By Month
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 29
Total
Arbitrage
Balance
Sheet
Mezz
EM
SF HG SF CMBS CDO Debt
High
Yield
Bonds
Investment
Grade
Debt
Other*
2008
Oct
Nov
Dec
2009
10,368
51,958
20,335
6,804
45,254
1,536
3,565
6,705
18,799
6,420
7,710
17,852
464
39,893
577
0
0
75
0
0
0
0
0
0
0
0
0
0
1,170
1,120
3,485
2,194
711
0
992
0
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
16,382
31,860
18,681
2,661
10,701
9,722
11,612
7,792
10,485
8,032
2,343
0
0
0
0
1,132
1,181
0
(Thru 09/25)
YTD Summary
2008
84,849
26,363
% Issuance
31%
8,350
29,518
18,681
2,661
10,701
9,722
10,480
6,611
10,485
9,269
24,843
18,681
2,661
10,701
6,059
8,203
7,792
10,485
0
3,580
0
0
0
0
0
0
0
0
0
0
0
0
0
3,409
0
0
1,022
0
0
0
0
0
0
0
0
2,155
2,070
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3,663
0
0
0
3,936
1,367
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
58,485
69%
61,718
73%
1,255
1%
3,102
4%
4,553
5%
0
0%
58
0%
2,418
3%
4,554
5%
7,191
8%
12,687
11%
107,208
89%
98,693
82%
3,580
3%
3,409
3%
1,022
1%
4,225
4%
0
0%
3,663
3%
5,303
4%
0
0%
80,621
47%
89,581
53%
95,723
56%
42,193
25%
3,177
2%
4,553
3%
0
0%
58
0%
5,373
3%
10,943
6%
8,182
5%
2009
119,895
% Issuance
2008
170,203
% Issuance
Chart 59
Chart 60
225
170
200
149
175
120
150
96 8190 107
89 102
125
90
60
100
29 23 2343 2660 45
75
13
50 1118 11 20 34 45
12
25
0
2003
Arbitrage
2005
2007
Balance Sheet
2009
Total
2%
3%
US $ B illio ns
2001
Chart 61
Mezz SF
EM Debt
0%
3%
HY
Bonds
Mezz SF
3%
25%
CDO^2
HY
0%
Loans
EM Debt
3%
0%
3%
CMBS
her
5%
HG SF
HY
Bonds
1%
HY
Loan
CDO^2IG Debt
4%
4%
82%
*Other includes deals backed by Private Equity, Hedge Funds, and Trust Preferred Securities.
Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.
42
Chris Flanagan
chris.t.flanagan@jpmorgan.com
CDO
New Issue
Spreads
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 30
Issuer
Series
Collateral
Sector
Market
10
Subordinate Spreads
AA
A
BBB
Sabadell Empresas
Cash
HY Loans
Euro
7/8/09
Cash
HY Loans
Euro
A-1
3mEL+40
A-2G
3mEL+30
43
Chris Flanagan
chris.t.flanagan@jpmorgan.com
CDO
New Issue
Detail
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 31
8/26/09 - 9/25/09
Amount
Date
9/9/09
Class
Issue Currency
% Deal
EUR 4,620.00
72%
$6,747.51
EUR 1,820.60
28%
$2,658.99
WAL
(Yrs)
Rating
Coupon
Cash Flow
Lead:CoManager: BCG
Sector: HY Loans
100.0000
350
3 Mo. Euribor
Market: Euro
Aaa
100.0000
Asset Value: $ 1,078 mm
Collateral: Cash; SME CLO: Loans
EUR 403.70
55%
$592.99
EUR 36.70
5%
$53.91
EUR 293.60
40%
Balance Sheet
Lead:CoManager:
Sector: HY Loans
Cash Flow
Market: Euro
Aaa
Aa1
$431.27
$1,078.17
USD 57.27
16%
$57.27
C-1
USD 28.64
8%
$28.64
Balance Sheet
Cash Flow
Lead:CoManager: RBOS
Sector: SF
Market: US
4.65
Aaa
AAA
4.63
Aaa
AAA
C-2
USD 14.32
4%
$14.32
4.67
Aaa
AAA
C-3
USD 14.32
4%
$14.32
4.67
Aaa
AAA
C-4
USD 42.95
12%
$42.95
4.65
Aaa
AAA
C-5
USD 28.64
8%
$28.64
4.67
Aaa
AAA
Cb
USD 22.73
6%
$22.73
4.71
Aaa
AAA
USD 39.57
11%
$39.57
7.99
Aaa
AAA
J-1
USD 19.78
6%
$19.78
7.86
Aaa
AAA
J-2
USD 9.89
3%
$9.89
8.07
Aaa
AAA
J-3
USD 9.89
3%
$9.89
8.17
Aaa
AAA
J-4
USD 29.68
8%
$29.68
7.93
Aaa
AAA
Aaa
J-5
USD 19.78
6%
$19.78
8.12
Jb
USD 15.74
4%
$15.74
8.29
USD 353.20
Enhan.
Type
$9,406.50
EUR 734.00
9/2/09
Balance Sheet
Solon 2009-1
Asset Seller: Sal Oppenheim
Credit
Structure
EUR 6,440.60
9/3/09
USD
CDO
Purpose
AAA
AAA
$353.20
Note: Deal names of deals priced during the most recent week are bolded.
Sources: JPMSI, IFR Markets, MCM CorporateWatch, Bloomberg, CreditFlux.
44
Chris Flanagan
chris.t.flanagan@jpmorgan.com
CDO
Pipeline
Summary
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 32
Lead
Mgr
FonCaixa FTGENCAT 7
La Caixa
LACAIXA
1,468
1,468
Cash
BS
CF
Euro
AXA IM
GS
1,256
1,256
Cash
Arb
CF
Euro
+DM +275bp
TCW
CITG
Syn
Arb
CF
US
L ++125-150
Avenue Capital
Management II LLC
UBS
Cash
Arb
CF
US
Issue
Cash/
Syn
Purpose Structure
Market
AAA
BBB
BB
HY Loans
411
411
L ++425-450
45
Chris Flanagan
chris.t.flanagan@jpmorgan.com
CDO
Pipeline
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 33
CDO Pipeline
Amount
Class
Issue Currency
% Deal
CDO
Type
USD
Credit
Structure
WAL
(Yrs)
Price Talk
Spread
Rating
Benchmark
JPY 20,334.00
100%
JPY 20,334.00
$193.58
Balance Sheet
Cash Flow
Baa3
Lead:CoManager: LACAIXA
Sector: HY Loans
A-G
EUR 696.00
70%
$1,021.59
3 Mo. Euribor
Aaa
A-S
EUR 174.00
17%
$255.40
3 Mo. Euribor
Aaa
Cash Flow
EUR 25.00
3%
$36.70
3 Mo. Euribor
A3
EUR 105.00
11%
$154.12
3 Mo. Euribor
Baa3
EUR 1,000.00
Senior
EUR 740.00
74%
$929.14
PS
EUR 260.00
26%
$326.46
EUR 1,000.00
ngdom of Spain G
Arbitrage
Cash Flow
Lead:CoManager: GS
Sector: HY Loans
DM +275bp
Market: Euro
AAA
$1,255.60
Lead:CoManager: CITG
Sector: HY Loans
+125-150
Libor
Aaa
Arbitrage
+325-350
Libor
Aa2
+425-450
Libor
A2
$250.00
Market: Euro
$1,467.81
$250.00
Market: Asia
$193.58
FonCaixa FTGENCAT 7
Asset Seller: La Caixa
Notes
Enhan.
Type
Cash Flow
$250.00
Arbitrage
Lead:CoManager:
Sector: HY Loans
Market: US
Market: US
Cash Flow
$250.00
46
Chris Flanagan
chris.t.flanagan@jpmorgan.com
CDO
Pipeline
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 33
CDO Pipeline
Amount
Class
Issue Currency
% Deal
CDO
Type
USD
Credit
Structure
WAL
(Yrs)
Price Talk
Spread
Rating
Moody S&P Fitch
Lead:CoManager: UBS
Sector: HY Loans
A-1
$260.00
63%
$260.00
Aaa
AAA
A-2
$29.00
7%
$29.00
Aaa
AAA
$47.00
11%
$47.00
Aa2
AA
$16.00
4%
$16.00
A2
$14.00
3%
$14.00
Baa2
BBB
$10.00
2%
$10.00
Ba2
BB
PS
$35.00
9%
$35.00
$411.00
Arbitrage
Benchmark
Enhan.
Type
Market: US
$411.00
47
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/18/09 - 9/25/09
Series
Issue Date
06/23/2005
Issuer
Deal Type
Comments
CrCrds - Retail
Market: US
Class
Agency
Original
Ratings
Previous
New
Downgrades
9/24/09
9/24/09
06/22/2007
CrCrds - Retail
AAA
AAA
AAA
B
C
S&P
S&P
A
BBB
A+
BBB+
A+
BBB+
Market: US
9/24/09
2007-1
02/20/2007
Market: Euro
06/22/2007
CDO Arbitrage
Market: US
Westbrook CLO
11/29/2006
CDO Arbitrage
Market: US
1996-1
05/22/1996
MH
Market: US
1997-2
09/17/1997
MH
Market: US
9/23/09
08/24/2006
11/19/2001
MH
MH
Market: US
1997-I
06/20/1997
MH
Lead/Co Mgr: LB
1995-10
12/14/1995
MH
AAA
AAA
AAA
AAA
Aaa
Aaa
Baa3
Baa3
Baa3
Ba3
Baa3
Ba3
Aaa
Aaa
Aaa
Aaa
Aaa
Aaa
Aaa
Aaa
AF-4
Moody's
Aaa
Aaa
Aaa
Market: US
Market: US
Moody's
Lead/Co Mgr: CSFB
Market: US
Moody's
Lead/Co Mgr: ML
B-1
AAA
AAA
Moody's
Moody's
M
9/23/09
Moody's
AF-2
AF-3
M-1
9/23/09
Moody's
Lead/Co Mgr: CSFB
A-6
9/23/09
Moody's
Moody's
Lead/Co Mgr: PRU
A-5
9/23/09
Moody's
Lead/Co Mgr: DB
C
D
9/23/09
Moody's
Lead/Co Mgr: BS
A-3L
9/24/09
S&P
S&P
Lead/Co Mgr: JPM
A-2B
9/24/09
Moody's
Aa2
Aa2
B3
B3
B3
B3
48
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/23/09
9/18/09 - 9/25/09
Issuer
GTFC Man. Housing S/S Certificates
Series
Issue Date
1996-2
03/14/1996
Deal Type
MH
Comments
Class
Market: US
Lead/Co Mgr: LB
M-1
9/23/09
9/23/09
IM Caja Laboral
12/11/2006
11/14/1997
Other - Mtge
MH
Market: Euro
9/23/09
Rampart CLO
2006-1
01/13/1999
11/03/2006
MH
CDO Arbitrage
Rampart CLO
2007-1
10/16/2007
CDO Arbitrage
01/30/1997
MH
08/26/1997
MH
11/20/1997
MH
05/21/1998
MH
B3
Moody's
Moody's
A1
Baa3
A1
Baa3
A1
Baa3
E
E
Moody's
Moody's
Ca
Ca
Ca
Ca
Ca
Ca
Market: US
Market: US
Moody's
Lead/Co Mgr: CSFB
Ba3
Ba3
A-2
Moody's
Aaa
Ba1
Ba1
A-3
A-4
Moody's
Moody's
Aaa
Aaa
Ba1
Ba1
Ba1
Ba1
A-5
M-1
Moody's
Moody's
Aaa
Aa3
Ba1
Ca
Ba1
Ca
Market: US
Market: US
Moody's
Lead/Co Mgr: BOA
Market: US
Moody's
Lead/Co Mgr: PRU
Market: US
Moody's
Lead/Co Mgr: PRU
Market: US
Moody's
Lead/Co Mgr: PRU
Market: US
Moody's
Lead/Co Mgr: PRU
1A-6
B3
C
D
1A-6
9/23/09
Aa3
Aaa
Aa2
1A-6
9/23/09
Aaa
Aa2
1A-6
9/23/09
New
Aaa
Aa2
C
9/23/09
Ratings
Previous
Moody's
Moody's
C
9/23/09
Moody's
Original
A
B
M
9/23/09
Agency
Moody's
Ba3
Ba3
Baa3
Baa3
Aa2
Aa2
Aa3
Aa3
Aa3
Aa3
Aa3
Aa3
49
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/23/09
9/18/09 - 9/25/09
Series
Issue Date
11/16/1999
Issuer
Deal Type
MH
Comments
Class
Market: US
9/23/09
02/15/2001
MH
Market: US
08/16/2002
MH
Market: US
9/22/09
ACA CLO
2006-2
04/26/2006
11/10/2006
Other - CMBS
CDO Arbitrage
Market: Euro
9/22/09
9/22/09
IV
2007-1
07/18/2006
10/02/2007
02/28/2007
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
Lead/Co Mgr: LB
9/22/09
Kennecott Funding
2005-1
IV
12/21/2005
09/23/2003
CDO Arbitrage
CDO Arbitrage
Ratings
Previous
New
Aaa
Aaa
Baa2
Baa2
Baa2
Baa2
Moody's
Moody's
Aaa
Aa2
Aa1
A2
Aa1
A2
C
D
Moody's
Moody's
A2
Baa3
Baa3
B1
Baa3
B1
Market: US
Market: US
Moody's
Lead/Co Mgr: MS
Baa3
Baa3
Moody's
A2
Baa3
Baa3
Moody's
Baa2
Ba3
Ba3
Market: US
Moody's
A2
Baa3
Baa3
D
E
Moody's
Moody's
Baa2
Ba2
Ba3
B3
Ba3
B3
Market: US
Lead/Co Mgr: WS
A-1B
B
9/22/09
Moody's
Original
A-2
B
B
9/22/09
Moody's
Lead/Co Mgr: CSFB
B-1
9/23/09
Moody's
Lead/Co Mgr: CSFB
B-1
9/23/09
Agency
Market: US
Moody's
Moody's
Lead/Co Mgr: WS
Aa1
Aa2
Aa1
Aa2
C
D-1
Moody's
Moody's
A2
Baa2
Baa3
Ba3
Baa3
Ba3
D-2
Moody's
Baa2
Ba3
Ba3
Market: US
Lead/Co Mgr: BS
A-3L
Moody's
A2
Baa3
Baa3
B-1L
Moody's
Baa2
Ba3
Ba3
50
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/22/09
9/22/09
9/18/09 - 9/25/09
Issuer
LCM Limited Partnership
Series
V
2007-1
Issue Date
02/28/2007
10/18/2007
Deal Type
Comments
CDO Arbitrage
Market: US
Equip - ST
Class
MWAM CBO
2001-1
01/25/2001
CDO Arbitrage
Apidos CDO
06/30/2005
CDO Arbitrage
9/21/09
Apidos CDO
Apidos CDO
III
IV
04/03/2006
08/10/2006
CDO Arbitrage
CDO Arbitrage
9/21/09
9/21/09
Cordatus CLO
2007-1
12/20/2006
03/02/2007
02/21/2007
CDO Arbitrage
CDO Arbitrage
Student Loan
Aaa
Aaa
Aaa
Aa2
Aa2
Aa2
Moody's
A2
Baa3
Baa3
D
E
Moody's
Moody's
Baa2
Ba2
Ba3
B3
Ba3
B3
Market: US
Market: US
S&P
S&P
Lead/Co Mgr: CSFB
Market: US
Moody's
Moody's
Lead/Co Mgr: CSFB
Market: US
Moody's
Lead/Co Mgr: CITG
A
BBB
A
BBB
A3
Caa1
A3
Caa1
Baa3
Baa3
Moody's
A2
Baa3
Baa3
Moody's
Baa2
Ba3
Ba3
Market: US
Lead/Co Mgr: MS
Market: Euro
Moody's
Lead/Co Mgr: RGW
Baa3
Baa3
C
D
Moody's
Moody's
A2
Baa3
Ba1
B2
Ba1
B2
Moody's
Ba3
Caa3
Caa3
Market: Euro
D-1
Moody's
Baa3
B2
B2
D-2
E-1
Moody's
Moody's
Baa3
Ba3
B2
Caa3
B2
Caa3
E-2
Moody's
Ba3
Caa3
Caa3
Market: US
Moody's
C
9/21/09
New
B
9/21/09
Ratings
Previous
Moody's
A
B
9/21/09
Original
A-2
C
D
9/22/09
Agency
Moody's
A3
A3
51
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/21/09
9/18/09 - 9/25/09
Issuer
GoldenTree Loan Opportunity Fund
Series
IV
Issue Date
06/29/2007
Deal Type
Comments
CDO Arbitrage
Market: US
Class
Lead/Co Mgr: DB
D
9/21/09
9/21/09
9/21/09
Greyrock CLO
Knightsbridge CLO
2005-1
2008-1
09/13/2007
08/17/2005
05/22/2008
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
Market: US
9/21/09
9/21/09
9/21/09
Metrix Funding
2005-1
XI
2007-FXD1
III
11/15/2005
06/28/2007
01/18/2007
04/27/2005
CDO Arbitrage
Home Eq
CDO Arbitrage
Lead/Co Mgr: LB
Symphony CLO
07/29/2008
CDO Arbitrage
Ratings
Previous
New
B3
B3
Moody's
Moody's
A2
Baa2
Baa3
Ba3
Baa3
Ba3
Moody's
Ba2
B3
B3
Market: US
Lead/Co Mgr: BS
A-3L
Moody's
A2
Baa3
Baa3
B-1F
B-1L
Moody's
Moody's
Baa2
Baa2
Ba3
Ba3
Ba3
Ba3
Market: US
Lead/Co Mgr: DB
Market: Euro
Moody's
Lead/Co Mgr: HSBC
Aa2
Aa2
A-1
Moody's
Aaa
Aaa
Aaa
A-2
A-3
Moody's
Moody's
Aaa
Aaa
Aaa
Aaa
Aaa
Aaa
Market: US
B
C
Moody's
Moody's
A2
Baa2
Baa3
Ba3
Baa3
Ba3
Moody's
Ba2
B3
B3
Market: US
3-A1
S&P
AAA
AAA
AAA
3-A3
S&P
AAA
Market: US
9/21/09
Moody's
Original
C
D
B
9/21/09
Agency
Market: US
Moody's
Lead/Co Mgr: CITG
B
C
Moody's
Moody's
Baa3
Baa3
Baa3
Ba3
Baa3
Ba3
Downgrades
9/24/09
09/06/2002
Home Eq
Market: US
S&P
CC
D
52
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Series
Issue Date
08/07/2006
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
10/04/2006
Home Eq
Market: US
2007-1
01/24/2007
Home Eq
Market: US
10/26/2004
Home Eq
Market: US
03/11/2005
Home Eq
Market: US
08/05/2005
Home Eq
Market: US
09/22/2005
Home Eq
Market: US
06/12/2006
Home Eq
Market: US
11/16/2006
Home Eq
Market: US
10/13/2006
Home Eq
Market: US
01/26/2007
Home Eq
Market: US
03/08/2007
Home Eq
Market: US
04/26/2007
Home Eq
Market: US
2005-4
09/28/2005
Home Eq
Market: US
S&P
Lead/Co Mgr: BS
M-4
S&P
Lead/Co Mgr: DB
M-2
9/24/09
S&P
Lead/Co Mgr: DB
M-5
9/24/09
S&P
Lead/Co Mgr: DB
M-2
9/24/09
S&P
Lead/Co Mgr: DB
M-7
9/24/09
S&P
Lead/Co Mgr: DB
M-6
9/24/09
S&P
Lead/Co Mgr: DB
M-3
9/24/09
S&P
Lead/Co Mgr: DB
M-6
9/24/09
S&P
Lead/Co Mgr: DB
M-8
9/24/09
S&P
Lead/Co Mgr: DB
M-9
9/24/09
S&P
Lead/Co Mgr: DB
M-8
9/24/09
S&P
Lead/Co Mgr: LB
M-9
9/24/09
S&P
Lead/Co Mgr: BOA
M-7
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CC
CC
CC
CCC
CC
CC
CC
CC
CCC
CCC
CC
CC
CC
CC
D
53
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Ameriquest Mortgage Securities
Series
Issue Date
2004-R9
08/12/2004
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
2005-R3
04/14/2005
Home Eq
Market: US
2005-R6
07/18/2005
Home Eq
Market: US
2005-R7
08/17/2005
Home Eq
Market: US
2005-R9
10/21/2005
Home Eq
Market: US
2006-R1
02/09/2006
Home Eq
Market: US
10/24/2002
Home Eq
Market: US
2004-W11
09/30/2004
Home Eq
Market: US
2005-W2
09/13/2005
Home Eq
Market: US
2006-M2
08/16/2006
Home Eq
Market: US
2006-M3
09/12/2006
Home Eq
Market: US
2006-W1
01/27/2006
Home Eq
Market: US
2006-W3
03/15/2006
Home Eq
Market: US
07/19/2005
Home Eq
Market: US
S&P
Lead/Co Mgr: CSFB
M-7
S&P
Lead/Co Mgr: JPM/
M-3
9/24/09
S&P
Lead/Co Mgr: BNP/
M-5
9/24/09
S&P
Lead/Co Mgr: RGW/
M-3
9/24/09
S&P
Lead/Co Mgr: CITG/
M-3
9/24/09
S&P
Lead/Co Mgr: CITG/
M-8
9/24/09
S&P
Lead/Co Mgr: RBS
M-11
9/24/09
S&P
Lead/Co Mgr: LB
M-4
9/24/09
S&P
Lead/Co Mgr: ML/R
M-10
9/24/09
S&P
Lead/Co Mgr: BNP/
M-10
9/24/09
S&P
Lead/Co Mgr: JPM/
M-10
9/24/09
S&P
Lead/Co Mgr: CSFB/
M-10
9/24/09
S&P
Lead/Co Mgr: BOA/
M-10
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CCC
CC
CC
CC
CC
CC
CCC
BB+
CC
CC
CC
CC
CCC
CC
D
54
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Series
Issue Date
03/02/2006
Deal Type
Home Eq
Comments
Class
Market: US
Lead/Co Mgr: CS
M-2
9/24/09
06/26/2006
Home Eq
Market: US
10/30/2006
Home Eq
Market: US
11/03/2006
Home Eq
Market: US
2006-C
11/13/2006
Home Eq
Market: US
2007-A
04/13/2007
Home Eq
Market: US
2007-B
07/20/2007
Home Eq
Market: US
11/30/2005
Home Eq
Market: US
04/28/2005
Home Eq
Market: US
12/21/2006
Home Eq
Market: US
04/17/2006
Home Eq
Market: US
10/13/2006
Home Eq
Market: US
11/15/2006
Home Eq
Market: US
S&P
S&P
Lead/Co Mgr: BS
B-2
S&P
Lead/Co Mgr: BS
1M-6
2M-6
9/24/09
S&P
Lead/Co Mgr: BS
M-2
9/24/09
S&P
Lead/Co Mgr: BS
1M-9
9/24/09
S&P
Lead/Co Mgr: BS
M-7
9/24/09
S&P
Lead/Co Mgr: BS
M-8
9/24/09
S&P
Lead/Co Mgr: JPM
M-4
9/24/09
S&P
Lead/Co Mgr: JPM
B-3
9/24/09
S&P
Lead/Co Mgr: CITG
M-4
9/24/09
S&P
Lead/Co Mgr: CS
M-2
9/24/09
S&P
Lead/Co Mgr: CS
M-5
9/24/09
S&P
Lead/Co Mgr: CS
M-6
9/24/09
Agency
S&P
Original
Ratings
Previous
New
BB
CC
CC
CCC
CC
CC
CC
CC
CC
CC
CC
CC
CC
D
D
CC
55
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Bear Stearns Asset Backed Securities
Series
Issue Date
2007-1
02/14/2007
Deal Type
Home Eq
Comments
Class
Market: US
Lead/Co Mgr: BS
M-5
9/24/09
02/26/2007
Home Eq
Market: US
02/14/2007
Home Eq
Market: US
04/13/2007
Home Eq
Market: US
9/24/09
2007-SV1
01/12/2006
03/30/2007
Home Eq
Home Eq
Market: US
2006-1
09/27/2006
Home Eq
Lead/Co Mgr: BS
2006-2
10/26/2006
Home Eq
2007-2
04/26/2007
Home Eq
01/09/2006
Home Eq
10/18/2006
Home Eq
01/26/2007
Home Eq
04/24/2007
Home Eq
CC
CC
CC
CC
Market: US
Lead/Co Mgr: BS
Market: US
S&P
Lead/Co Mgr: LB
Market: US
S&P
Lead/Co Mgr: LB
Market: US
S&P
Lead/Co Mgr: LB
Market: US
S&P
Lead/Co Mgr: BCG
Market: US
S&P
Lead/Co Mgr: ML
Market: US
S&P
Lead/Co Mgr: JPM
Market: US
S&P
Lead/Co Mgr: ML
B-1
CC
M-4
9/24/09
CC
M-5
9/24/09
BBB+
BB
M-5
9/24/09
S&P
M-9
9/24/09
New
1B-4
M-3
9/24/09
Ratings
Previous
S&P
M-3
9/24/09
S&P
Original
2B-2
M-4
9/24/09
S&P
Lead/Co Mgr: BS
M-9
9/24/09
S&P
Lead/Co Mgr: BS
2-M7
9/24/09
S&P
Lead/Co Mgr: BS
M-6
9/24/09
Agency
S&P
CC
CC
CC
CC
CCC
CC
CC
CC
56
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Series
Issue Date
05/24/2007
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
07/10/2007
Home Eq
Market: US
2002-HE2
07/22/2002
Home Eq
Market: US
2004-D
09/08/2004
Home Eq
Market: US
2002-2
06/13/2002
Home Eq
Market: US
2005-WF2
08/08/2005
Home Eq
Market: US
2006-AMC1
09/15/2006
Home Eq
Market: US
2006-FX1
10/26/2006
Home Eq
Market: US
2006-HE1
03/24/2006
Home Eq
Market: US
2006-NC1
06/27/2006
Home Eq
Market: US
2006-WFHE3 10/05/2006
Home Eq
Market: US
2007-AMC1
02/01/2007
Home Eq
Market: US
2007-AMC2
02/15/2007
Home Eq
Market: US
09/08/2005
Home Eq
Market: US
S&P
Lead/Co Mgr: CWS
M-8
S&P
Lead/Co Mgr: CITG
M-7
9/24/09
S&P
Lead/Co Mgr: CITG
M-10
9/24/09
S&P
Lead/Co Mgr: CITG
M-10
9/24/09
S&P
Lead/Co Mgr: CITG
M-4
9/24/09
S&P
Lead/Co Mgr: CITG
M-7
9/24/09
S&P
Lead/Co Mgr: CITG
M-4
9/24/09
S&P
Lead/Co Mgr: CITG
M-6
9/24/09
S&P
Lead/Co Mgr: CITG
MF-5
9/24/09
S&P
Lead/Co Mgr: CSFB/
BF
9/24/09
S&P
Lead/Co Mgr: CITG
BV
9/24/09
S&P
Lead/Co Mgr: MS
M-2
9/24/09
S&P
Lead/Co Mgr: JPM
M-7
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CC
CC
CCC
BBB
BBB
CC
CC
CC
CC
CC
CC
CC
CC
CC
D
57
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Series
Issue Date
07/22/2005
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
11/16/2005
Home Eq
Market: US
02/03/2006
Home Eq
Market: US
06/09/2006
Home Eq
Market: US
06/14/2006
Home Eq
Market: US
06/27/2006
Home Eq
Market: US
12/27/2006
Home Eq
Market: US
2005-1
03/08/2005
Home Eq
Market: US
2005-2
05/20/2005
Home Eq
Market: US
04/24/2003
Home Eq
Market: US
02/20/2004
Home Eq
Market: US
12/23/2004
Home Eq
Market: US
05/11/2004
Home Eq
Market: US
08/16/2004
Home Eq
Market: US
S&P
Lead/Co Mgr: RBS
M-6
S&P
Lead/Co Mgr: RBS
M-6
9/24/09
S&P
Lead/Co Mgr: ML
B-4
9/24/09
S&P
Lead/Co Mgr: ML
B-3
9/24/09
S&P
Lead/Co Mgr: RBS
M-2
9/24/09
S&P
Lead/Co Mgr: WS/C
M-7
9/24/09
S&P
Lead/Co Mgr: CWS
M-6
9/24/09
S&P
Lead/Co Mgr: CWS
M-5
9/24/09
S&P
Lead/Co Mgr: CWS
1M-6
9/24/09
S&P
Lead/Co Mgr: CWS
MV-7
9/24/09
S&P
Lead/Co Mgr: CSC
M-8
9/24/09
S&P
Lead/Co Mgr: CWS
MV-8
9/24/09
S&P
Lead/Co Mgr: CWS
M-2
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CC
CC
CC
CC
BB
CC
CCC
CC
BBB
CCC
CCC
BB
CC
CC
D
58
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Series
Issue Date
04/08/2005
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
09/13/2005
Home Eq
Market: US
06/23/2006
Home Eq
Market: US
08/17/2006
Home Eq
Market: US
09/21/2006
Home Eq
Market: US
09/19/2006
Home Eq
Market: US
12/18/2006
Home Eq
Market: US
02/08/2006
Home Eq
Market: US
04/28/2006
Home Eq
Market: US
06/06/2006
Home Eq
Market: US
9/24/09
Flagship CLO
IV
2004-4
05/19/2005
11/26/2004
CDO Arbitrage
Home Eq
Market: US
S&P
Lead/Co Mgr: BAS
Original
Ratings
Previous
New
CC
CC
CC
CC
CC
CC
CC
CCC
CCC
CC
A-Rev
Moody's
Aaa
Aaa
A1
A-Term
B
Moody's
Moody's
Aaa
A2
Aaa
Baa3
A1
Ba1
C
D
Moody's
Moody's
Baa2
Ba2
Ba3
B3
B3
Caa3
Market: US
S&P
Lead/Co Mgr: RGW
M-5
9/24/09
S&P
Lead/Co Mgr: HSBC
M-4
9/24/09
S&P
Lead/Co Mgr: GS
M-5
9/24/09
S&P
Lead/Co Mgr: ML
M-4
9/24/09
S&P
Lead/Co Mgr: LB
M-4
9/24/09
S&P
Lead/Co Mgr: GS
M-5
9/24/09
S&P
Lead/Co Mgr: HSBC
M-5
9/24/09
S&P
Lead/Co Mgr: LB
M-5
9/24/09
S&P
Lead/Co Mgr: GS
B-2
9/24/09
Agency
S&P
CCC
59
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Fremont Home Loan Trust
Series
Issue Date
2005-E
12/08/2005
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
2006-3
09/29/2006
Home Eq
Market: US
2006-C
08/25/2006
Home Eq
Market: US
2006-E
11/16/2006
Home Eq
Market: US
9/24/09
VI
2007-1
04/25/2006
02/20/2007
CDO Arbitrage
S&P
Lead/Co Mgr: GS
M-4
9/24/09
S&P
Lead/Co Mgr: BCG
M-3
9/24/09
S&P
Lead/Co Mgr: RGW
M-4
9/24/09
Agency
Market: US
S&P
Lead/Co Mgr: BOA
Original
Ratings
Previous
New
CCC
CC
CC
CCC
A-1
S&P
AAA
AAA
AA
A-2
B
S&P
S&P
AAA
AA
AAA
AA
AA
A
C-1
C-2
S&P
S&P
A
A
A
A
BBB+
BBB+
S&P
BBB
BBB
BB+
Market: Euro
BA
Moody's
Aa2
Aa2
Aa3
BB
CA
Moody's
Moody's
Aa2
A2
Aa2
A2
Aa3
Baa3
Cb
Da
Moody's
Moody's
A2
Baa3
A2
Baa3
Baa3
B2
Db
Ea
Moody's
Moody's
Baa3
Ba2
Baa3
Ba2
B2
Ca
60
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/24/09
9/18/09 - 9/25/09
Issuer
Great Hall Mortgages
GSAMP Trust
Series
Issue Date
2007-2
06/25/2007
2003-FM1
03/14/2003
Deal Type
Other - Non Conf
Home Eq
Comments
Class
Market: Euro
GSAMP Trust
2004-HE1
04/27/2004
Home Eq
GSAMP Trust
2005-WMC2
11/18/2005
Home Eq
GSAMP Trust
2005-WMC3
12/15/2005
Home Eq
GSAMP Trust
2006-HE5
08/17/2006
Home Eq
Aaa
Aaa
Aa1
Aaa
Aaa
Aa1
Ac
Moody's
Aaa
Aaa
Aa1
Ba
Ca
Moody's
Moody's
Aa2
A2
Aa2
A2
A3
Ba2
Cb
Da
Moody's
Moody's
A2
Baa3
A2
Baa2
Ba2
Caa2
Db
Ea
Moody's
Moody's
Baa3
Ba1
Baa2
Ba1
Caa2
Ca
Eb
Moody's
Ba1
Ba1
Ca
Market: US
Lead/Co Mgr: GS
Market: US
GSAMP Trust
2006-HE6
09/12/2006
Home Eq
Market: US
GSAMP Trust
2006-NC1
02/23/2006
Home Eq
Market: US
GSAMP Trust
2006-NC2
06/22/2006
Home Eq
Market: US
GSAMP Trust
2006-SD2
06/09/2006
Home Eq
Market: US
S&P
Lead/Co Mgr: GS
Market: US
S&P
Lead/Co Mgr: GS
Market: US
S&P
Lead/Co Mgr: GS
Market: US
S&P
Lead/Co Mgr: GS
M-2
S&P
Lead/Co Mgr: GS
M-3
9/24/09
S&P
Lead/Co Mgr: GS
B-1
9/24/09
S&P
Lead/Co Mgr: GS
M-6
9/24/09
S&P
Lead/Co Mgr: GS
M-5
9/24/09
Moody's
M-3
9/24/09
New
Ab
M-4
9/24/09
Ratings
Previous
Moody's
B-1
9/24/09
Original
Aa
B-2
9/24/09
Agency
S&P
CC
CCC
CC
CC
CC
CC
CC
CC
CCC
61
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
GSAMP Trust
Series
2007-FM2
Issue Date
02/14/2007
Deal Type
Home Eq
Comments
Class
Market: US
Lead/Co Mgr: GS
M-6
9/24/09
GSAMP Trust
2007-HE1
02/20/2007
Home Eq
Market: US
2004-4
05/18/2004
Home Eq
Market: US
2005-6
07/28/2005
Home Eq
Market: US
2005-7
08/25/2005
Home Eq
Market: US
2006-2
01/18/2006
Home Eq
Market: US
2006-7
09/22/2006
Home Eq
Market: US
2006-8
10/26/2006
Home Eq
Market: US
9/24/09
2004-2
2006-HE1
04/06/2004
10/18/2006
Home Eq
Home Eq
Market: US
2006-HE2
11/29/2006
Home Eq
2006-NC1
03/08/2006
Home Eq
02/23/2006
Home Eq
CC
CC
CCC
CC
CC
CC
CCC
CCC
BBB-
S&P
BBB-
BBB-
CC
CCC
Market: US
Market: US
S&P
Lead/Co Mgr: HSBC
Market: US
S&P
Lead/Co Mgr: HSBC
Market: US
S&P
Lead/Co Mgr: HSBC
M-9
New
B-3F
M-5
9/24/09
Ratings
Previous
S&P
M-3
9/24/09
S&P
Original
B-3A
M-3
9/24/09
S&P
Lead/Co Mgr: CS
M-3
9/24/09
S&P
Lead/Co Mgr: CS
M-2
9/24/09
S&P
Lead/Co Mgr: CSFB
M-4
9/24/09
S&P
Lead/Co Mgr: CSFB
M-6
9/24/09
S&P
Lead/Co Mgr: CSFB
M-8
9/24/09
S&P
Lead/Co Mgr: CSFB
B-2
9/24/09
S&P
Lead/Co Mgr: GS
M-9
9/24/09
Agency
S&P
CC
CC
62
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Series
Issue Date
01/18/2007
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
2007-WF1
06/22/2007
Home Eq
Market: US
2004-11
12/17/2004
Home Eq
Market: US
2005-1
01/25/2005
Home Eq
Market: US
2005-3
03/22/2005
Home Eq
Market: US
2005-7
09/14/2005
Home Eq
Market: US
2005-B
05/25/2005
Home Eq
Market: US
2005-HE4
10/25/2005
Home Eq
Market: US
2006-HE1
01/25/2006
Home Eq
Market: US
2006-HE3
08/23/2006
Home Eq
Market: US
07/22/2005
Home Eq
Market: US
12/15/2005
Home Eq
Market: US
10/13/2005
Home Eq
Market: US
03/09/2006
Home Eq
Market: US
S&P
Lead/Co Mgr: JPM
M-6
S&P
Lead/Co Mgr: JPM
M-7
9/24/09
S&P
Lead/Co Mgr: JPM
M-11
9/24/09
S&P
Lead/Co Mgr: JPM
M-9
9/24/09
S&P
Lead/Co Mgr: MS
M-2
9/24/09
S&P
Lead/Co Mgr: MS
M-3
9/24/09
S&P
Lead/Co Mgr: MS
M-6
9/24/09
S&P
Lead/Co Mgr: MS/U
M-10
9/24/09
S&P
Lead/Co Mgr: CWS
M-1
9/24/09
S&P
Lead/Co Mgr: CWS
M-5
9/24/09
S&P
Lead/Co Mgr: CWS
M-4
9/24/09
S&P
Lead/Co Mgr: BS/C
2M-6
9/24/09
S&P
Lead/Co Mgr: HSBC
M-10
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CCC
CC
CCC
CC
CC
CC
CC
CC
CC
CC
CC
CC
CC
CC
D
63
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Series
Issue Date
08/11/2006
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
06/08/2006
Home Eq
Market: US
06/12/2007
Home Eq
Market: US
9/24/09
Kingsland CLO
IV
2005-2
02/01/2007
03/23/2005
CDO Arbitrage
Home Eq
Market: US
2006-1
01/26/2006
Home Eq
Lead/Co Mgr: WS
2006-10
11/02/2006
Home Eq
2006-WL1
01/09/2006
Home Eq
2006-WL3
02/07/2006
Home Eq
2005-HE2
09/27/2005
Home Eq
2006-AM1
02/17/2006
Home Eq
2006-AM2
07/25/2006
Home Eq
2006-HE4
11/15/2006
Home Eq
AA
CC
CC
B2
Caa2
Caa3
Ca
Market: US
Market: US
S&P
Lead/Co Mgr: CS/W
Market: US
S&P
Lead/Co Mgr: WAM
Market: US
S&P
Lead/Co Mgr: GS/W
Market: US
S&P
Lead/Co Mgr: LB/W
Market: US
S&P
Lead/Co Mgr: UBS
Market: US
S&P
Lead/Co Mgr: UBS
Market: US
S&P
Lead/Co Mgr: UBS
Market: US
S&P
Lead/Co Mgr: UBS
M-2
Baa3
Ba2
M-7
9/24/09
Moody's
Moody's
M-8
9/24/09
CC
D
E
M-7
9/24/09
Baa3
B2
M-2
9/24/09
Aa2
Ba1
M-4
9/24/09
New
Aa2
A2
M-2
9/24/09
Ratings
Previous
Moody's
Moody's
M-3
9/24/09
S&P
Original
B
C
M-9
9/24/09
S&P
Lead/Co Mgr: JPM
MV-7
9/24/09
S&P
Lead/Co Mgr: JPM
M-2
9/24/09
Agency
S&P
CC
CC
CCC
CC
CC
CC
CC
CC
64
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Series
Issue Date
03/09/2006
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
09/12/2006
Home Eq
Market: US
2007-HE1
05/10/2007
Home Eq
Market: US
2007-1
03/29/2007
Home Eq
Market: US
2004-1
03/10/2004
Home Eq
Market: US
2004-2
07/26/2004
Home Eq
Market: US
03/27/2007
Home Eq
Market: US
04/16/2007
Home Eq
Market: US
05/23/2007
Home Eq
Market: US
06/18/2007
Home Eq
Market: US
09/06/2007
Home Eq
Market: US
2005-HE2
11/22/2005
Home Eq
Market: US
2005-HE3
12/12/2005
Home Eq
Market: US
2005-NC1
01/28/2005
Home Eq
Market: US
S&P
Lead/Co Mgr: ML
B-5
S&P
Lead/Co Mgr: ML
M-3
9/24/09
S&P
Lead/Co Mgr: ML
M-3
9/24/09
S&P
Lead/Co Mgr: ML
M-2
9/24/09
S&P
Lead/Co Mgr: ML
M-4
9/24/09
S&P
Lead/Co Mgr: ML
M-5
9/24/09
S&P
Lead/Co Mgr: ML
M-5
9/24/09
S&P
Lead/Co Mgr: ML
M-3
9/24/09
S&P
Lead/Co Mgr: RGW
M-6
9/24/09
S&P
Lead/Co Mgr: RBS
M-4
9/24/09
S&P
Lead/Co Mgr: UBS
M-4
9/24/09
S&P
Lead/Co Mgr: UBS
M-9
9/24/09
S&P
Lead/Co Mgr: UBS
M-1
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CC
CC
CC
CC
CC
CCC
CCC
CC
CC
CC
CC
CC
CC
CC
D
65
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Merrill Lynch Mortgage Investors
Series
2005-WMC1
Issue Date
01/21/2005
Deal Type
Home Eq
Comments
Class
Market: US
Lead/Co Mgr: ML
B-6
9/24/09
2006-MLN1
09/21/2006
Home Eq
Market: US
2006-SD1
08/31/2006
Home Eq
Market: US
2007-HE3
05/30/2007
Home Eq
Market: US
2005-ACR1
08/16/2005
Home Eq
Market: US
2005-HE6
11/16/2005
Home Eq
Market: US
2005-HE7
12/02/2005
Home Eq
Market: US
2006-HE2
03/14/2006
Home Eq
Market: US
2006-NC2
02/27/2006
Home Eq
Market: US
2006-NC3
03/29/2006
Home Eq
Market: US
2006-NC4
05/22/2006
Home Eq
Market: US
2006-WMC2
05/24/2006
Home Eq
Market: US
2007-HE3
02/26/2007
Home Eq
Market: US
2007-NC2
04/26/2007
Home Eq
Market: US
S&P
Lead/Co Mgr: MS
B-1
S&P
Lead/Co Mgr: MS
M-6
9/24/09
S&P
Lead/Co Mgr: MS
M-1
9/24/09
S&P
Lead/Co Mgr: MS
M-4
9/24/09
S&P
Lead/Co Mgr: MS
M-4
9/24/09
S&P
Lead/Co Mgr: MS
M-5
9/24/09
S&P
Lead/Co Mgr: MS
M-4
9/24/09
S&P
Lead/Co Mgr: MS
B-1
9/24/09
S&P
Lead/Co Mgr: MS
B-1
9/24/09
S&P
Lead/Co Mgr: ML
B-3
9/24/09
S&P
Lead/Co Mgr: ML
M-5
9/24/09
S&P
Lead/Co Mgr: ML
M-2
9/24/09
S&P
Lead/Co Mgr: ML
M-4
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CC
CC
AA-
CC
CCC
CC
CCC
CC
CC
CCC
CC
CC
CC
CC
D
66
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Morgan Stanley ABS Capital I
Series
2007-NC4
Issue Date
06/15/2007
Deal Type
Home Eq
Comments
Class
Market: US
Lead/Co Mgr: MS
M-2
9/24/09
07/27/2001
Home Eq
Market: US
2006-2
03/10/2006
Home Eq
Market: US
2007-1
02/28/2007
Home Eq
Market: US
2007-1
02/16/2007
Home Eq
Market: US
2006-B
09/08/2006
Home Eq
Market: US
2006-2
06/22/2006
Home Eq
Market: US
2006-AF1
11/03/2006
Home Eq
Market: US
2006-HE2
04/21/2006
Home Eq
Market: US
2006-WF1
06/23/2006
Home Eq
Market: US
2007-1
01/25/2007
Home Eq
Market: US
2007-2
01/30/2007
Home Eq
Market: US
2004-4
11/03/2004
Home Eq
Market: US
2006-1
04/21/2006
Home Eq
Market: US
S&P
Lead/Co Mgr: RGW/
M-7
S&P
Lead/Co Mgr: RBS/
B-3
9/24/09
S&P
Lead/Co Mgr: RGW
M-4
9/24/09
S&P
Lead/Co Mgr: RGW
1M-1
9/24/09
S&P
Lead/Co Mgr: NS/CI
M-9
9/24/09
S&P
Lead/Co Mgr: NS
M-5
9/24/09
S&P
Lead/Co Mgr: RGW
M-1
9/24/09
S&P
Lead/Co Mgr: DB/LB
M-8
9/24/09
S&P
Lead/Co Mgr: RGW
M-10
9/24/09
S&P
Lead/Co Mgr: MS
B-1
9/24/09
S&P
Lead/Co Mgr: MS
M-3
9/24/09
S&P
Lead/Co Mgr: MS
M-6
9/24/09
S&P
Lead/Co Mgr: MS
M-2
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CCC
CC
CC
CC
CCC
CC
CC
CC
CC
CC
CC
CC
CCC
CC
D
67
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Novastar Home Equity Loan
Series
Issue Date
2006-2
06/08/2006
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
2006-3
06/22/2006
Home Eq
Market: US
2006-4
08/18/2006
Home Eq
Market: US
2006-5
09/22/2006
Home Eq
Market: US
2006-6
11/20/2006
Home Eq
Market: US
2007-1
02/22/2007
Home Eq
Market: US
Opera Finance
CSC 3
04/29/2005
Other - CMBS
Market: Euro
06/07/2005
Home Eq
Market: US
11/15/2005
Home Eq
Market: US
03/20/2006
Home Eq
Market: US
2005-4
09/23/2005
Home Eq
Market: US
2006-1
01/20/2006
Home Eq
Market: US
2007-1
01/16/2007
Home Eq
Market: US
2007-3
03/20/2007
Home Eq
Market: US
S&P
Lead/Co Mgr: BOA/
M-7
S&P
Lead/Co Mgr: LB/ML
M-6
9/24/09
S&P
Lead/Co Mgr: RGW/
M-8
9/24/09
S&P
Lead/Co Mgr: BOA/
M-9
9/24/09
S&P
Lead/Co Mgr: BS/U
M-5
9/24/09
S&P
Lead/Co Mgr: CITG
M-6
9/24/09
Moody's
Lead/Co Mgr: CITG
M-10
9/24/09
S&P
Lead/Co Mgr: RBS/
A
9/24/09
S&P
Lead/Co Mgr: DB/R
M-7
9/24/09
S&P
Lead/Co Mgr: RGW/
M-8
9/24/09
S&P
Lead/Co Mgr: RGW/
M-6
9/24/09
S&P
Lead/Co Mgr: DB/R
M-7
9/24/09
S&P
Lead/Co Mgr: RGW/
M-6
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CC
CC
CC
CCC
CC
Aaa
Aa2
CC
CC
CC
CC
CC
CC
CC
D
68
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Option One Mortgage Loan Trust
Series
Issue Date
2007-6
05/18/2007
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
2006-4
06/14/2006
Home Eq
Market: US
2006-6
09/14/2006
Home Eq
Market: US
2006-7
10/27/2006
Home Eq
Market: US
2004-MHQ1
09/24/2004
Home Eq
Market: US
2005-WHQ4
08/22/2005
Home Eq
Market: US
9/24/09
2005-5
2006-B
10/14/2005
03/17/2006
Home Eq
Home Eq
Market: US
2006-C
06/14/2006
Home Eq
2006-E
11/16/2006
Home Eq
2005-1
04/01/2005
Home Eq
RAAC Series
2006-RP3
06/29/2006
Home Eq
06/06/2006
Home Eq
CC
CC
B-
CC
CC
CC
CC
Market: US
Market: US
S&P
Lead/Co Mgr: RGW/
Market: US
S&P
Lead/Co Mgr: RGW/
Market: US
S&P
Lead/Co Mgr: CSFB/
Market: US
S&P
Lead/Co Mgr: RGW
Market: US
S&P
Lead/Co Mgr: RGW
M-9
BBB-
BB+
M-2
9/24/09
S&P
M-8
9/24/09
New
BV-1
B-2
9/24/09
Ratings
Previous
S&P
B-1
9/24/09
S&P
Original
BF-3
B-1
9/24/09
S&P
Lead/Co Mgr: RGW/
M-6
9/24/09
S&P
Lead/Co Mgr: JPM
M-8
9/24/09
S&P
Lead/Co Mgr: ML
M-3
9/24/09
S&P
Lead/Co Mgr: ML
M-4
9/24/09
S&P
Lead/Co Mgr: ML
M-5
9/24/09
Agency
S&P
CC
CC
CC
CC
CC
CCC
69
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Series
Issue Date
12/01/2006
Issuer
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
10/22/2004
Home Eq
Market: US
05/23/2005
Home Eq
Market: US
11/20/2006
Home Eq
Market: US
01/18/2006
Home Eq
Market: US
02/24/2006
Home Eq
Market: US
08/21/2006
Home Eq
Market: US
10/25/2006
Home Eq
Market: US
03/07/2007
Home Eq
Market: US
02/20/2007
Home Eq
Market: US
2001-KS2
06/07/2001
Home Eq
Market: US
2005-KS2
02/15/2005
Home Eq
Market: US
2006-EMX2
02/08/2006
Home Eq
Market: US
2006-EMX3
04/10/2006
Home Eq
Market: US
S&P
Lead/Co Mgr: RFSC
M-5
S&P
Lead/Co Mgr: RFSC
M-6
9/24/09
S&P
Lead/Co Mgr: CSFB/
M-4
9/24/09
S&P
Lead/Co Mgr: JPM
2M-2
9/24/09
S&P
Lead/Co Mgr: BOA
M-7
9/24/09
S&P
Lead/Co Mgr: DB
M-1
9/24/09
S&P
Lead/Co Mgr: DB
M-1
9/24/09
S&P
Lead/Co Mgr: RGW
M-5
9/24/09
S&P
Lead/Co Mgr: BOA/
M-5
9/24/09
S&P
Lead/Co Mgr: CSFB/
M-4
9/24/09
S&P
Lead/Co Mgr: RFSC
M-7
9/24/09
S&P
Lead/Co Mgr: RGW
M-8
9/24/09
S&P
Lead/Co Mgr: CSFB
1M-3
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CC
CC
CC
CC
CC
CC
CC
CC
CCC
CC
CCC
CC
CC
CC
D
70
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Residential Asset Securities Corp.
Series
2006-EMX5
Issue Date
06/23/2006
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
2006-KS4
05/25/2006
Home Eq
Market: US
2006-KS6
07/21/2006
Home Eq
Market: US
2007-KS1
02/06/2007
Home Eq
Market: US
2007-KS2
02/21/2007
Home Eq
Market: US
2007-KS3
03/26/2007
Home Eq
Market: US
2007-1
11/01/2007
Home Eq
Market: US
2006-2
05/30/2006
Home Eq
Market: US
2006-3
09/29/2006
Home Eq
Market: US
09/09/2005
Home Eq
Market: US
03/29/2007
Home Eq
Market: US
05/10/2007
Home Eq
Market: US
01/11/2007
Home Eq
Market: US
2006-3
12/21/2006
Home Eq
Market: US
S&P
Lead/Co Mgr: BMO
S&P
Lead/Co Mgr: BCG
M-3
9/24/09
S&P
Lead/Co Mgr: BCG
M-4
9/24/09
S&P
Lead/Co Mgr: BCG
M-4
9/24/09
S&P
Lead/Co Mgr: BCG
B-4
9/24/09
S&P
Lead/Co Mgr: MS/R
M-6
9/24/09
S&P
Lead/Co Mgr: CSFB
B-3
9/24/09
S&P
Lead/Co Mgr: LB
M-7
9/24/09
S&P
Lead/Co Mgr: JPM/
M-7
9/24/09
S&P
Lead/Co Mgr: JPM
M-6
9/24/09
S&P
Lead/Co Mgr: ML
M-6
9/24/09
S&P
Lead/Co Mgr: JPM
M-6
9/24/09
S&P
Lead/Co Mgr: CITG
M-6
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CCC
CC
CC
CC
CC
CC
CC
CC
CC
CC
CC
CC
CCC
BBB
D
71
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
SG Mortgage Securities Trust
Series
2005-OPT1
Issue Date
10/14/2005
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
2006-OPT2
11/17/2006
Home Eq
Market: US
2007-NC1
04/20/2007
Home Eq
Market: US
10/12/2005
Home Eq
Market: US
03/07/2006
Home Eq
Market: US
05/16/2006
Home Eq
Market: US
05/24/2006
Home Eq
Market: US
10/26/2006
Home Eq
Market: US
03/02/2007
Home Eq
Market: US
06/21/2007
Home Eq
Market: US
03/12/2007
Home Eq
Market: US
05/11/2005
Home Eq
Market: US
03/13/2007
Home Eq
Market: US
01/10/2007
Home Eq
Market: US
S&P
Lead/Co Mgr: ML
M-4
S&P
Lead/Co Mgr: ML
M-5
9/24/09
S&P
Lead/Co Mgr: ML
B-2
9/24/09
S&P
Lead/Co Mgr: RGW
M-5
9/24/09
S&P
Lead/Co Mgr: RGW
M-10
9/24/09
S&P
Lead/Co Mgr: RGW
M-9
9/24/09
S&P
Lead/Co Mgr: RGW
M-5
9/24/09
S&P
Lead/Co Mgr: RGW
M-6
9/24/09
S&P
Lead/Co Mgr: RGW
M-4
9/24/09
S&P
Lead/Co Mgr: RGW
M-6
9/24/09
S&P
Lead/Co Mgr: RGW
M-6
9/24/09
S&P
Lead/Co Mgr: CS/S
M-7
9/24/09
S&P
Lead/Co Mgr: DB/S
M-7
9/24/09
Agency
S&P
Original
Ratings
Previous
New
CC
CC
CCC
CC
CC
CC
CC
CC
CC
CC
CC
CC
CC
D
72
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/24/09
9/18/09 - 9/25/09
Issuer
Stanfield McLaren CLO
Series
I
Issue Date
06/22/2007
10/21/2004
Deal Type
Comments
CDO Arbitrage
Market: US
Home Eq
Class
Lead/Co Mgr: BS
01/21/2005
Home Eq
12/21/2005
Home Eq
04/25/2005
Home Eq
07/26/2005
Home Eq
Aaa
Aaa
Aa1
Aaa
Aaa
Aa1
A-2L
Moody's
Aa2
Aa2
A2
B-1L
B-2L
Moody's
Moody's
Baa2
Ba2
Ba3
B3
B1
Caa3
Market: US
Lead/Co Mgr: LB
Market: US
01/26/2006
Home Eq
Market: US
05/24/2006
Home Eq
Market: US
08/23/2006
Home Eq
Market: US
2005-S6
10/25/2005
Home Eq
Market: US
2006-BC1
04/27/2006
Home Eq
Market: US
2006-BC3
10/13/2006
Home Eq
Market: US
S&P
Lead/Co Mgr: LB
Market: US
S&P
Lead/Co Mgr: LB
Market: US
S&P
Lead/Co Mgr: LB
Market: US
S&P
Lead/Co Mgr: LB
M-3
S&P
Lead/Co Mgr: LB
M-4
9/24/09
S&P
Lead/Co Mgr: LB
M-3
9/24/09
S&P
Lead/Co Mgr: LB
M-2
9/24/09
S&P
Lead/Co Mgr: LB
M-3
9/24/09
S&P
Lead/Co Mgr: LB
M-3
9/24/09
S&P
Lead/Co Mgr: LB
M-6
9/24/09
Moody's
M-8
9/24/09
New
A-1LV
M-2
9/24/09
Ratings
Previous
Moody's
M-6
9/24/09
Original
A-1L
M-5
9/24/09
Agency
S&P
CC
CC
CCC
CC
CC
CC
CC
CC
CCC
CC
CC
73
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
Structured Asset Securities
Series
2006-BC4
Issue Date
11/22/2006
Deal Type
Home Eq
Comments
Class
Market: US
Lead/Co Mgr: LB
M-4
9/24/09
2006-GEL3
07/27/2006
Home Eq
Market: US
2007-BC1
01/25/2007
Home Eq
Market: US
2007-BNC1
11/02/2007
Home Eq
Market: US
2007-GEL1
02/06/2007
Home Eq
Market: US
2007-OS1
05/25/2007
Home Eq
Market: US
9/24/09
2004-3HE
05/02/2007
03/31/2004
CDO Arbitrage
Home Eq
Market: US
2004-7HE
05/27/2004
Home Eq
Lead/Co Mgr: BS
2005-9HGS
08/01/2005
Home Eq
2006-11
09/21/2006
Home Eq
2006-7
07/26/2006
Home Eq
A+
CC
CC
CCC
CC
CCC
CCC
Aaa
Aa3
Aa2
A2
Aa2
A2
Baa1
Ba3
B-1F
B-1L
Moody's
Moody's
Baa2
Baa2
Baa2
Baa2
Caa1
Caa1
B-2F
B-2L
Moody's
Moody's
Ba2
Ba2
Ba2
Ba2
Caa3
Caa3
Market: US
Lead/Co Mgr: ML
Market: US
S&P
Lead/Co Mgr: TER
Market: US
S&P
Lead/Co Mgr: WINT
Market: US
S&P
Lead/Co Mgr: WINT
Market: US
S&P
Lead/Co Mgr: WINT
1M-4
Moody's
Moody's
M-3
9/24/09
New
A-2L
A-3L
M-3
9/24/09
Ratings
Previous
Moody's
B-3
9/24/09
S&P
Original
A-1L
B-2
9/24/09
S&P
Lead/Co Mgr: LB
M-7
9/24/09
S&P
Lead/Co Mgr: LB
M-4
9/24/09
S&P
Lead/Co Mgr: LB
M-9
9/24/09
S&P
Lead/Co Mgr: LB
M-7
9/24/09
S&P
Lead/Co Mgr: LB
M-4
9/24/09
Agency
S&P
CCC
BB-
CC
CC
D
74
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/18/09 - 9/25/09
Issuer
WAMU Asset Backed Certificates
Series
2007-HE1
Issue Date
01/17/2007
Deal Type
Home Eq
Comments
Class
Market: US
9/24/09
03/24/2006
Home Eq
Market: US
10/27/2006
Home Eq
Market: US
01/16/2007
Home Eq
Market: US
03/06/2007
Home Eq
Market: US
9/23/09
Westbrook CLO
1995-1
11/29/2006
02/14/1995
CDO Arbitrage
MH
Market: US
2001-3
08/17/2001
MH
Lead/Co Mgr: DB
11/19/2001
MH
04/09/2002
MH
2007-1
05/21/2007
Auto - P
AA-
CC
CC
CC
CC
CC
Moody's
Ba2
B3
Caa2
Market: US
Market: US
Moody's
Lead/Co Mgr: ML
Market: US
Moody's
Lead/Co Mgr: CSFB
Market: US
Market: Euro
Moody's
Moody's
Lead/Co Mgr: CAL/S
Fitch
Fitch
Baa2
Ca
B1
B2
Moody's
Lead/Co Mgr: CSFB
B
C
Aaa
Aa2
A
B-2
9/23/09
New
Aaa
Aa2
B-2
9/23/09
Ratings
Previous
Moody's
Moody's
A-4
9/23/09
S&P
Original
A-2
B
A-5
9/23/09
S&P
Lead/Co Mgr: WCG
M-3
9/24/09
S&P
Lead/Co Mgr: WAM
M-4
9/24/09
S&P
Lead/Co Mgr: WAM
M-3
9/24/09
S&P
Lead/Co Mgr: WAM
M-6
9/24/09
Agency
Baa2
Ca
Aaa
Baa2
Aa1
Ca
A
BBB
ABB
75
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/23/09
9/23/09
9/18/09 - 9/25/09
Issuer
FTA Santander Consumer Spain Auto
Rampart CLO
Series
Issue Date
2007-2
09/21/2007
2006-1
11/03/2006
Deal Type
Auto - P
CDO Arbitrage
Comments
Class
Market: Euro
Rampart CLO
2007-1
10/16/2007
CDO Arbitrage
9/23/09
9/23/09
TdA
II
25
12/08/2005
07/31/2006
02/15/2001
CDO Arbitrage
Other - Mtge
MH
08/14/2001
MH
11/13/2001
MH
Aaa
Aa1
Baa3
Aa3
A3
Caa1
Moody's
A1
Ba1
Ca
D
E
Moody's
Moody's
Baa3
B3
Caa3
C
C
Market: US
Market: US
Moody's
Lead/Co Mgr: BOA
Market: US
Moody's
Lead/Co Mgr: BS/W
Aa2
Aa3
Aa2
A1
A
X
Moody's
Moody's
Aaa
Aaa
Baa3
Baa3
C
C
B
C
Moody's
Moody's
Aa2
A2
Ba3
B2
C
C
D
E
Moody's
Moody's
Baa2
Baa3
Caa1
Caa1
C
C
F
G
Moody's
Moody's
Ba1
Ba2
Caa2
Caa2
C
C
Moody's
Ba3
Caa2
Market: Euro
Lead/Co Mgr: BS
S&P
A-
CCC
S&P
BBB
CCC
Market: US
Market: US
Moody's
Lead/Co Mgr: CSFB
Market: US
Moody's
Moody's
Lead/Co Mgr: CSFB
A-5
M-1
Moody's
A-5
M-1
9/23/09
New
M-1
9/23/09
Ratings
Previous
Moody's
B
9/23/09
Original
A-2
9/23/09
Agency
Moody's
Moody's
Baa1
Ba2
Aa3
Baa1
Baa2
Ba3
Aa2
A2
A1
Baa2
76
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/23/09
9/18/09 - 9/25/09
Series
Issue Date
08/16/2002
Issuer
Deal Type
MH
Comments
Class
Market: US
9/23/09
9/22/09
9/22/09
9/22/09
9/22/09
9/22/09
Venture CLO
ACA CLO
Coronado CDO
VI
2006-2
IV
06/29/2006
11/10/2006
05/16/2002
07/18/2006
10/02/2007
08/20/2003
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
Market: US
22 (Perseus) 12/14/2005
Other - CMBS
Ratings
Previous
New
A2
A3
Moody's
Moody's
Aaa
Aaa
Aaa
Aa1
Aa2
A1
A-2
B
Moody's
Moody's
Aa2
A2
Aa2
Baa3
A3
Ba1
Moody's
Baa2
Ba3
B2
Market: US
A-1
Moody's
Aaa
Aaa
Aa2
A-2
C
Moody's
Moody's
Aa2
Baa2
Aa2
Ba3
A3
B1
Moody's
Ba2
B3
Caa3
Market: US
Lead/Co Mgr: BS
Asset Seller:
A-1L
Moody's
Aaa
A2
Ba1
A-2L
A-3L
Moody's
Moody's
Aa2
A2
Ba3
Caa3
Caa3
Ca
B-1L
Moody's
Baa3
Ca
Market: US
Lead/Co Mgr: MS
Moody's
Aaa
Aaa
Aa1
B
E
Moody's
Moody's
Aa2
Ba2
Aa2
B3
A2
Caa1
Market: US
A-2
Moody's
Aaa
Aaa
Aa2
Moody's
Aa2
Aa2
A1
Market: US
Lead/Co Mgr: DB
Market: Euro
Moody's
Moody's
Lead/Co Mgr: MS
A-2
Moody's
Original
A-1
A-1J
A-1
A-2
9/22/09
Agency
Moody's
Baa2
Baa2
B3
B3
Aaa
Aa3
77
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/22/09
9/22/09
9/18/09 - 9/25/09
Issuer
Four Corners CLO
Gale Force
Series
III
Issue Date
08/22/2006
06/06/2006
Deal Type
Comments
CDO Arbitrage
Market: US
CDO Arbitrage
Class
2007-1
06/06/2007
CDO Arbitrage
9/22/09
9/22/09
9/22/09
9/22/09
Helios
Kennecott Funding
Latitude CLO
2005-1
IV
III
12/14/2001
12/21/2005
09/23/2003
03/28/2007
11/01/2003
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
New
Aaa
A1
Moody's
Aa2
Aa2
Baa2
Moody's
A2
Baa3
Ba2
D
E
Moody's
Moody's
Baa2
Ba2
Ba3
B3
B2
Caa3
Market: US
Lead/Co Mgr: WS
Market: US
Moody's
Moody's
Lead/Co Mgr: WS
Market: US
Moody's
Lead/Co Mgr: DBAB
Aaa
Aa2
Aa1
Aa3
Aa2
Aa3
Moody's
Aaa
A2
Ba1
Moody's
Aa2
B2
B3
Market: US
Lead/Co Mgr: WS
A-1
Moody's
Aaa
Aaa
Aa3
A-2B
B
Moody's
Moody's
Aa1
Aa2
Aa1
Aa2
A2
A3
Market: US
Lead/Co Mgr: BS
A-1LB
A-2L
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
Aa1
A1
B-2L
Moody's
Ba2
B3
Caa1
Market: US
Moody's
Aaa
Aaa
Aa1
B
C
Moody's
Moody's
Aa1
Aa2
Aa1
Aa2
A1
Baa1
D
E
Moody's
Moody's
A2
Baa2
Baa3
Ba3
Ba2
B2
Moody's
Ba2
B3
Ca
Market: US
Lead/Co Mgr: LB
A-1MM
Ratings
Previous
Moody's
B
9/22/09
Original
A
B
9/22/09
Agency
Moody's
B2
78
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/22/09
9/18/09 - 9/25/09
Issuer
Pacific Shores
Series
I
Issue Date
05/14/2002
Deal Type
Comments
CDO Arbitrage
Market: US
Class
9/22/09
9/22/09
9/21/09
9/21/09
9/21/09
Apidos CDO
Apidos CDO
Apidos CDO
2006
II
III
02/28/2006
08/16/2004
06/30/2005
11/22/2005
04/03/2006
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
Agency
Market: US
Moody's
Lead/Co Mgr: BS
Original
Ratings
Previous
New
A2
Ba1
A-1LA
A-1LB
Moody's
Moody's
Aaa
Aaa
Aaa
Aaa
Aa3
Aa3
A-2L
A-3L
Moody's
Moody's
Aa2
A2
Aa2
Baa3
Baa2
Ba3
B-1L
Moody's
Baa2
Ba3
Caa3
Market: US
Lead/Co Mgr: LB
Moody's
Aaa
Aaa
Aa3
C
D
Moody's
Moody's
A2
Baa2
Baa3
Ba3
Ba2
Caa3
Market: US
A-1
A-2
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
Aa1
A2
C
D
Moody's
Moody's
Baa2
Ba2
Ba3
B3
B1
Caa3
Market: US
A-1
A-2
Moody's
Moody's
Aaa
Aaa
Aaa
Aaa
Aa1
Aa1
A-3
B
Moody's
Moody's
Aa2
A2
Aa2
Baa3
A3
Ba1
C
D
Moody's
Moody's
Baa2
Ba2
Ba3
B3
B3
Caa3
Market: US
A-1
A-2
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
Aa1
A2
Moody's
Ba2
B3
Caa2
79
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/21/09
9/21/09
9/21/09
9/21/09
9/18/09 - 9/25/09
Issuer
Apidos CDO
Babson CLO
Cordatus CLO
Series
IV
2004-I
Issue Date
08/10/2006
05/07/2004
12/20/2006
03/02/2007
Deal Type
Comments
CDO Arbitrage
Market: US
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
Class
Lead/Co Mgr: MS
2001-HE2
06/25/2001
Home Eq
9/21/09
2004-HE5
IV
11/18/2004
06/29/2007
Home Eq
CDO Arbitrage
09/13/2007
CDO Arbitrage
Aaa
Aa1
Moody's
Aaa
Aaa
Aa1
Moody's
Aa2
Aa2
A3
D
E
Moody's
Moody's
Baa2
Ba2
Ba3
B3
B3
Caa3
Market: US
Lead/Co Mgr: MS
A-1
B
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
A1
Baa1
C-1
C-2
Moody's
Moody's
A2
A2
Ba1
Ba1
Ba2
Ba2
Moody's
Baa2
B1
Caa3
Market: Euro
A-1
Moody's
Aaa
Aaa
Aa1
A-2
B
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
Aa1
A3
Market: Euro
Market: US
Moody's
Moody's
Lead/Co Mgr: GW
Market: US
Moody's
Lead/Co Mgr: RBS
Aa2
Aa2
Aa3
Aa3
Ba2
B1
A-5
Moody's
Aaa
Ba1
B2
A-6
Moody's
Aaa
Ba1
B2
Market: US
Lead/Co Mgr: DB
Market: US
Moody's
Lead/Co Mgr: LB
A
B
New
A-2
A-2
9/21/09
Ratings
Previous
Moody's
1A-2
9/21/09
Original
A-1
B-1
B-2
9/21/09
Agency
Moody's
Moody's
Aa2
Aa3
Aaa
Aa2
Aa2
A2
80
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/21/09
9/21/09
9/21/09
9/21/09
9/18/09 - 9/25/09
Issuer
Greyrock CLO
Metrix Funding
Series
Issue Date
2005-1
08/17/2005
2004-2
2004-4
2005-1
04/06/2004
08/23/2004
11/15/2005
Deal Type
Comments
CDO Arbitrage
Market: US
Home Eq
Home Eq
Class
Lead/Co Mgr: BS
9/21/09
XI
2007-FXD1
06/28/2007
01/18/2007
CDO Arbitrage
Home Eq
2004-HS2
06/22/2004
Home Eq
SACO I Inc
2004-3A
12/30/2004
Home Eq
New
Aaa
A-2L
Moody's
Aa2
Aa2
A1
B-2F
Moody's
Ba2
B3
Caa3
B-2L
Moody's
Ba2
B3
Caa3
Market: US
Aa1
B-1
Moody's
Baa1
Baa1
Baa3
B-2
B-3A
Moody's
Moody's
Baa2
Baa3
B3
Caa2
Ca
C
B-3F
Moody's
Baa3
Caa2
Market: US
M-6
Moody's
A3
B3
Caa2
B-1
B-2
Moody's
Moody's
Baa1
Baa2
Caa1
Caa2
C
C
Aa2
Ba2
A1
Caa2
Market: US
Market: US
Moody's
Moody's
Lead/Co Mgr: CITG
A-1
A-1R
Moody's
Moody's
Aaa
Aaa
Aaa
Aaa
Aa1
Aa1
A-2
Moody's
Aa2
Aa2
Aa3
Market: US
Market: US
S&P
Lead/Co Mgr: RBS
2A
9/21/09
Ratings
Previous
Moody's
3-A2
9/21/09
Original
A-1L
B-3
E-3
9/21/09
Agency
Market: US
Moody's
Lead/Co Mgr: BS
AA
Ba3
B3
M-2
Moody's
A2
Ba1
B2
B-1
Moody's
Baa2
Caa3
Ca
81
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/21/09
9/21/09
9/21/09
9/21/09
9/18/09 - 9/25/09
Issuer
Southfork CLO Ltd.
Symphony CLO
Wilco
Series
I
III
2007-1
Issue Date
02/04/2005
04/27/2005
07/29/2008
01/25/2007
Deal Type
Comments
CDO Arbitrage
Market: US
CDO Arbitrage
CDO Arbitrage
Other - CMBS
Class
RHYNO CBO
1997-1
09/19/1997
CDO Arbitrage
Original
Ratings
Previous
New
A-1A
Moody's
Aaa
Aaa
Aa2
A-1B
Moody's
Aaa
Aaa
Aa2
A-1G
Moody's
Aaa
Aaa
Aa2
A-2
A-3A
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
A2
Baa1
A-3B
B
Moody's
Moody's
Aa2
A2
Aa2
Baa3
Baa1
Ba2
Moody's
Baa2
Ba3
Caa2
Market: US
A-1
Moody's
Aaa
Aaa
Aa2
A-2
A-3
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
Aa2
A2
C-1
C-2
Moody's
Moody's
Baa2
Baa2
Ba3
Ba3
B1
B1
D-1
D-2
Moody's
Moody's
Ba2
Ba2
B3
B3
Caa3
Caa3
Market: US
A-1
A-2
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
Aa3
A3
Moody's
Ba2
B3
Caa1
Market: Euro
9/20/09
Agency
Market: US
Fitch
Lead/Co Mgr: BS
Fitch
AA
BBB
Downgrades
82
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/24/09
9/24/09
9/24/09
9/18/09 - 9/25/09
Issuer
Argent Securities Inc.
Series
2004-W11
2004-D
2005-2
Issue Date
09/30/2004
09/08/2004
05/20/2005
12/23/2004
Deal Type
Home Eq
Home Eq
Home Eq
Home Eq
Comments
Class
Market: US
Agency
Lead/Co Mgr: RBS
Original
Ratings
Previous
New
M-1
S&P
AA+
AA+
AA+
M-2
S&P
AA+
AA+
AA+
M-3
S&P
AA
AA
AA
M-4
M-5
S&P
S&P
AAA+
AAA+
AAA+
M-6
M-7
S&P
S&P
A
A-
A
A-
A
A-
M-10
M-8
S&P
S&P
BBBBBB+
BBBBBB+
BBBBBB+
M-9
S&P
BBB
BBB
BBB
Market: US
MV-1
S&P
AA
AA
AA
MV-2
MV-3
S&P
S&P
AAA+
AAA+
AAA+
MV-4
MV-5
S&P
S&P
A
A-
A
A-
A
A-
MF-3
MV-6
S&P
S&P
BBB+
BBB+
BBB+
BBB+
BBB+
BBB+
Market: US
1A-1
2A-4
S&P
S&P
AAA
AAA
AAA
AAA
AAA
AAA
M-1
M-2
S&P
S&P
AA+
AA
AA+
AA
AA+
AA
M-3
M-4
S&P
S&P
AA
AA
AA
AA
AA
AA
M-5
M-6
S&P
S&P
AAA
AAA
AAA
Market: US
Lead/Co Mgr: ML
B-1
B-2
S&P
S&P
BBB+
BBB
A
BBB
A
BBB
B-3
S&P
BBB-
BBB-
BBB-
83
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/24/09
9/24/09
9/24/09
9/23/09
9/18/09 - 9/25/09
Issuer
Home Equity Mortgage Trust
Series
Issue Date
2004-2
04/06/2004
2006-3
ALBA
2004-7HE
2006-2
12/21/2006
10/12/2005
05/27/2004
10/20/2006
Deal Type
Home Eq
Home Eq
Home Eq
Home Eq
Comments
Class
Market: US
Agency
Lead/Co Mgr: CSFB
Original
Ratings
Previous
New
M-2
S&P
B-1
S&P
BBB+
BBB+
BBB+
B-2
S&P
BBB
BBB
BBB
Market: US
A-1
A-2
S&P
S&P
AAA
AAA
AAA
AAA
AAA
AAA
A-3
M-1
S&P
S&P
AAA
AA
AAA
AA
AAA
AA
M-2
S&P
Market: US
M-1
S&P
AA+
AA+
AA+
M-2
M-3
S&P
S&P
AA
AA-
AA
A-
AA
A-
M-4
M-5
S&P
S&P
A+
A
BBBBB
BBBBB
Market: US
A-1
A-3
S&P
S&P
AAA
AAA
AAA
AAA
AAA
AAA
S
M-1
S&P
S&P
AAA
AA
AAA
AA
AAA
AA
M-2
M-3
S&P
S&P
A
A-
A
A-
A
A-
B-1
B-2
S&P
S&P
BBB+
BBB
BBB+
BB+
BBB+
BB+
S&P
BBB-
BBB-
BBB-
Market: Euro
Lead/Co Mgr: CS
A-3A
Moody's
Aaa
Aaa
Aaa
A-3B
B
Moody's
Moody's
Aaa
Aa2
Aaa
Aa2
Aaa
Aa2
84
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
9/18/09 - 9/25/09
Action
Date
Issuer
Series
Issue Date
9/23/09
ALBA
2007-1
05/14/2007
9/23/09
9/23/09
Astir (Isara)
Curzon Funding
2006-1
02/15/2007
04/06/2006
Deal Type
Other - Non Conf
CDO Arbitrage
Comments
Class
Market: Euro
TdA
25
07/31/2006
Other - Mtge
9/21/09
ALBA
ALBA
2006-2
2007-1
10/20/2006
05/14/2007
Ratings
Previous
New
Moody's
Aaa
Aa1
Aa1
A3
Moody's
Aaa
Aa1
Aa1
Moody's
Aa2
Aa3
Aa3
Moody's
Baa2
Caa3
Caa3
Market: Euro
A-1
S&P
AAA
AAA
AAA
A-2
S&P
AAA
BBB-
BBB-
Market: US
Market: Euro
Market: Euro
S&P
Lead/Co Mgr: BS
A
9/21/09
Original
A2
A
9/23/09
Agency
S&P
Lead/Co Mgr: CS
CCC+
CCC+
AAA
AAA
A-3A
Fitch
AAA
AAA
AAA
A-3B
B
Fitch
Fitch
AAA
AAA
AAA
AAA
AAA
AAA
C
D
Fitch
Fitch
AA
A
AA
BBB+
AA
BBB+
E
F
Fitch
Fitch
BBB
BB
B
CC
B
CC
Market: Euro
A2
A3
Fitch
Fitch
AAA
AAA
AA+
AA+
AA+
AA+
Fitch
AAA
AA-
AA-
Fitch
AA-
BBB
BBB
D
E
Fitch
Fitch
ABBB
BB
CCC
BB
CCC
Fitch
BB
CC
CC
85
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/20/09
9/20/09
9/20/09
9/18/09 - 9/25/09
Issuer
GEM EM
GEM LIGOS
ICE
Series
Issue Date
2005-1
05/19/2005
III
02/09/2006
06/08/2007
Deal Type
Comments
CDO Arbitrage
Market: US
CDO Arbitrage
CDO Arbitrage
Class
Agency
Lead/Co Mgr: CITG
Original
Ratings
Previous
New
A-1A
S&P
AAA
AAA
A-1B
S&P
AAA
AAA
AAA
A-2
S&P
AAA
AAA
AAA
A-3
B
S&P
S&P
AA
A-
AA
A-
AA
A-
C
D-1
S&P
S&P
BBB
BB
BBB
BB
BBB
BB
D-2
S&P
BB
BB
BB
Market: US
AAA
A-1
S&P
AAA
AAA
AAA
A-2
A-3
S&P
S&P
AAA
AA
AAA
AA
AAA
AA
B
C
S&P
S&P
ABBB
ABBB
ABBB
S&P
BB
BB
BB
Market: US
A-1
S&P
AAA
AAA
AAA
A-2
A-3
S&P
S&P
AAA
AA
AAA
AA
AAA
AA
B
C
S&P
S&P
A
BBB
A
BBB
A
BBB
S&P
BB
BB
BB
Downgrades
9/24/09
02/28/2006
Auto - P
Market: US
Moody's
A1
A1
Upgrades
9/24/09
06/22/2007
CrCrds - Retail
Market: US
S&P
S&P
A
BBB
A+
A-
86
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/24/09
9/23/09
9/18/09 - 9/25/09
Issuer
Marlin (EMC-II)
Rampart CLO
Series
1
2006-1
Issue Date
Deal Type
Comments
07/19/2004
Other - CMBS
Market: Euro
11/03/2006
CDO Arbitrage
Class
Rampart CLO
2007-1
10/16/2007
CDO Arbitrage
11/16/1999
MH
9/22/09
9/22/09
9/21/09
9/21/09
Gale Force
2007-1
2007-1
IV
06/06/2006
06/06/2007
02/28/2007
03/02/2007
06/29/2007
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
New
AA-
AAA
Fitch
AAA
Fitch
BBB
BBB
AA
Market: US
Market: US
Moody's
Moody's
Lead/Co Mgr: BOA
Market: US
Moody's
Moody's
Lead/Co Mgr: PRU
2B-3
9/22/09
Ratings
Previous
Fitch
D
E
9/23/09
Original
B
D
9/23/09
Agency
Market: US
Moody's
Lead/Co Mgr: WS
Baa3
B3
Baa2
B2
Ba3
B3
Ba2
B2
Baa1
Aa2
Moody's
A2
Ba1
Baa2
D
E
Moody's
Moody's
Baa2
Ba2
B1
Caa2
Ba2
B3
Market: US
Lead/Co Mgr: WS
C
D
Moody's
Moody's
A2
Baa2
Baa3
Ba3
Baa2
Ba2
Moody's
Ba2
B3
B2
Market: US
Lead/Co Mgr: WS
Moody's
A2
Baa3
Baa1
Moody's
Baa2
Ba2
Baa3
Market: Euro
C-1
Moody's
A2
Ba1
Baa3
C-2
Moody's
A2
Ba1
Baa3
Market: US
Lead/Co Mgr: DB
Moody's
A2
Baa3
Baa1
Moody's
Baa2
Ba3
Ba2
87
Christopher Flanagan
chris.t.flanagan@jpmorgan.com
Rating
Changes
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 34
Rating Changes
Action
Date
9/21/09
9/18/09 - 9/25/09
Issuer
Knightsbridge CLO
Series
Issue Date
2008-1
05/22/2008
Deal Type
Comments
CDO Arbitrage
Market: US
Class
Agency
Lead/Co Mgr: DB
Original
Ratings
Previous
New
Moody's
A2
Baa3
Baa1
Moody's
Baa2
Ba3
Ba1
Moody's
Ba2
B3
B1
Downgrades
9/23/09
9/23/09
ML CLO XV
98-Pilgrim America04/28/1998
2004-1
10/07/2004
CDO Arbitrage
CDO Arbitrage
Market: US
Lead/Co Mgr: ML
Moody's
Moody's
Baa3
Baa3
Ca
Ca
NR
NR
C
D-1
Moody's
Moody's
Ba3
Ba3
C
C
NR
NR
AAA
NR
Market: Euro
9/23/09
2004-2
10/07/2004
CDO Arbitrage
Market: Euro
09/10/2004
CDO Arbitrage
Market: US
TdA
25
07/31/2006
Other - Mtge
Market: Euro
08/22/2006
Auto - Leases
Market: US
9/21/09
RHYNO CBO
1997-1
06/13/2003
09/19/1997
Other - Consumer
CDO Arbitrage
Market: Euro
Fitch
Lead/Co Mgr: DKB/
AA
NR
A3
NR
AAA
NR
AAA
NR
Moody's
Aaa
Aaa
NR
Moody's
Aa2
Aa2
NR
Market: US
Lead/Co Mgr: BS
B
S&P
Lead/Co Mgr: CITG
C
9/21/09
Moody's
Lead/Co Mgr: BS
IO
9/21/09
S&P
Lead/Co Mgr: DBAB
Credit Fac
9/22/09
S&P
Lead/Co Mgr: CAL
A
9/22/09
B-1
B-2
Fitch
NR
88
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Ratings
Watch
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 35
Ratings Watch
9/18/09 - 9/25/09
Watch
Date Issuer
Series
Issue Date
Deal Type
Comments
Class
Agency
Original
Ratings
Previous
Negative
9/24/09 Argent Securities Inc.
2004-W11
2004-D
2005-2
Sep-04
Sep-04
May-05
Home Eq
Home Eq
Home Eq
Market: US
Market: US
Market: US
S&P
AA+
AA+
M-10
S&P
BBB-
BBB-
M-2
S&P
AA+
AA+
M-3
S&P
AA
AA
M-4
S&P
AA-
AA-
M-5
S&P
A+
A+
M-6
S&P
M-7
S&P
A-
A-
M-8
S&P
BBB+
BBB+
M-9
S&P
BBB
BBB
BBB+
S&P
BBB+
MV-1
S&P
AA
AA
MV-2
S&P
AA-
AA-
MV-3
S&P
A+
A+
MV-4
S&P
MV-5
S&P
A-
A-
MV-6
S&P
BBB+
BBB+
S&P
AAA
AAA
2A-4
S&P
AAA
AAA
M-1
S&P
AA+
AA+
M-2
S&P
AA
AA
M-3
S&P
AA
AA
M-4
S&P
AA
AA
M-5
S&P
AA-
AA-
M-6
S&P
89
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Ratings
Watch
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 35
Ratings Watch
9/18/09 - 9/25/09
Watch
Date Issuer
Series
2004-2
2004-7HE
Issue Date
Dec-04
Apr-04
Dec-06
Oct-05
May-04
Deal Type
Home Eq
Home Eq
Home Eq
Home Eq
Home Eq
Comments
Market: US
Market: US
Market: US
Market: US
Market: US
Class
Agency
Original
Ratings
Previous
Lead/Co Mgr: ML
B-1
S&P
BBB+
B-2
S&P
BBB
BBB
B-3
S&P
BBB-
BBB-
B-1
S&P
BBB+
BBB+
B-2
S&P
BBB
BBB
M-2
S&P
A-1
S&P
AAA
AAA
A-2
S&P
AAA
AAA
A-3
S&P
AAA
AAA
M-1
S&P
AA
AA
M-2
S&P
M-1
S&P
AA+
AA+
M-2
S&P
AA
AA
M-3
S&P
AA-
A-
M-4
S&P
A+
BBB-
M-5
S&P
BB
A-1
S&P
AAA
AAA
A-3
S&P
AAA
AAA
B-1
S&P
BBB+
BBB+
B-2
S&P
BBB
BB+
M-1
S&P
AA
AA
M-2
S&P
M-3
S&P
A-
A-
S&P
BBB-
BBB-
S&P
AAA
AAA
90
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Ratings
Watch
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 35
Ratings Watch
9/18/09 - 9/25/09
Watch
Date Issuer
Series
9/23/09 ALBA
2006-2
9/23/09 ALBA
2007-1
2006-1
Issue Date
Oct-06
May-07
Feb-07
Apr-06
Deal Type
Other - Non Conf
CDO Arbitrage
Comments
Market: Euro
Market: Euro
Market: Euro
Market: US
Class
25
Jul-06
Other - Mtge
Market: Euro
2006-2
Oct-06
Market: Euro
Ratings
Previous
A-3A
Moody's
Aaa
A-3B
Moody's
Aaa
Aaa
Moody's
Aa2
Aa2
Aaa
A2
Moody's
Aaa
Aa1
A3
Moody's
Aaa
Aa1
Moody's
Aa2
Aa3
Moody's
Baa2
Caa3
A-1
S&P
AAA
AAA
A-2
S&P
AAA
BBB-
CCC+
Lead/Co Mgr: BS
A
9/21/09 ALBA
Original
Lead/Co Mgr: CS
A
9/23/09 TdA
Agency
S&P
AAA
AAA
A-3A
Fitch
AAA
AAA
A-3B
Fitch
AAA
AAA
Fitch
AAA
AAA
Fitch
AA
AA
Fitch
BBB+
Fitch
BBB
Fitch
BB
CC
Lead/Co Mgr: CS
91
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Ratings
Watch
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 35
Ratings Watch
9/18/09 - 9/25/09
Watch
Date Issuer
Series
9/21/09 ALBA
2007-1
9/20/09 GEM EM
9/20/09 ICE
2005-1
III
Issue Date
May-07
May-05
Feb-06
Jun-07
Deal Type
Other - Non Conf
CDO Arbitrage
CDO Arbitrage
CDO Arbitrage
Comments
Market: Euro
Market: US
Market: US
Market: US
Class
Agency
Original
Ratings
Previous
Fitch
AAA
AA+
A3
Fitch
AAA
AA+
Fitch
AAA
AA-
Fitch
AA-
BBB
Fitch
A-
BB
Fitch
BBB
CCC
Fitch
BB
CC
A-1A
S&P
AAA
A-1B
S&P
AAA
AAA
A-2
S&P
AAA
AAA
A-3
S&P
AA
AA
S&P
A-
A-
S&P
BBB
BBB
D-1
S&P
BB
BB
D-2
S&P
BB
BB
AAA
A-1
S&P
AAA
AAA
A-2
S&P
AAA
AAA
A-3
S&P
AA
AA
S&P
A-
A-
S&P
BBB
BBB
S&P
BB
BB
A-1
S&P
AAA
AAA
A-2
S&P
AAA
AAA
A-3
S&P
AA
AA
S&P
S&P
BBB
BBB
S&P
BB
BB
92
Chris Flanagan
chris.t.flanagan@jpmorgan.com
Ratings
Watch
ABS Research
Global ABS/CDO Weekly Market Snapshot
September 25, 2009
Table 35
Ratings Watch
Watch
Date Issuer
9/18/09 - 9/25/09
Series
Issue Date
Deal Type
Comments
Class
Agency
Original
Ratings
Previous
Positive
9/24/09 Capital One Prime Auto Receivables Tru2006-1
Feb-06
Auto - P
Market: US
Moody's
A3
A1
93
Conflict of Interest: This research contains the views, opinions and recommendations of J.P. Morgan credit research analysts. Research analysts
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