june 10, 2004 global abs/cdo weekly market...

Global Structured Finance Research J.P. Morgan Securities Inc. New York June 10, 2004

Global ABS/CDO Weekly Market Snapshot

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

Investment Themes: We continue to recommend longer-dated ABS in the context of position for yield curve flattening as the Fed starts to tighten. In addition, we like subordinates ABS based on solid fundamentals and attractive spread pickup in lower rated credits. The single-A segment of the credit curve remains cheap across ABS sectors. This Week: US ABS. ABS issuance totaled roughly $5.4bn over the last four days, including $2.5bn in HEL ABS and a large $1.4bn Credit Card deal. Within the Home Equity sector this year, deals backed entirely by second lien mortgages tallies up to just over $2bn across six transactions. Investors’ desire to diversify and the scarcity value of paper are creating favorable technicals in that segment. Year-to-date supply currently stands at $241bn. AAA spreads were unchanged on the week. BBB Credit Card ABS spreads tightened 5bp on the long maturities (7-year and beyond). BBB HEL spreads narrowed as well with better bids from CDOs, while mezzanines tranches are still experiencing light demand and weak pricing. European ABS. The pace of the new issue market remains brisk ahead of next week's ABS conference, with many issuers hoping to price their transactions ahead of a growing post-conference pipeline. Secondary activity has also been busy with significant flows in RMBS, with most trading in recent new issues. Spreads were mostly unchanged across sectors on the week – although they remain 2bp wider than the tights we saw two weeks ago. 2004 supply is up to $107bn, compared to $72bn over the same period in 2003. Asian ABS. We saw US$560mm from four new issues out of the Asian market – two Japanese Consumer Loan ABS, plus Auto and Non-Performing Loan ABS from Korea. On the year, Japan and Korea accounts for approximately 58% and 12% of the primary market, respectively. Issuance activity is also concentrated in Australia as well, with an 18% share.

CDOs. Issuance this week consisted of three CDOs (two HY CLOs and one SF CDO). The $766mm Capital Source Commercial Loan Trust 2004-1, backed by SME Loans, priced from the US and the €280mm HY CLO Petrusse from Invesco, priced from Europe. Also priced was the $101mm SF Skylark 2004-2 that priced from Japan. Five CDOs were added to the forward pipeline (two SF CDOs, two HY CLOs and one IG Debt CDO). In the News: S&P raised its ratings on six subordinated classes of Harley-Davidson 2002 and 2001 Motorcyc le ABS due to increased credit enhancement. S&P also revised its outlook on AmeriCredit Corp to positive from stable (B rating for long-term counterparty credit rating) reflecting improved financial health and asset quality.

Contents US Relative Value 2 Spreads Volatility 3 CDS Spreads 5 Issuance 18 Europe Spreads 42 Issuance 43 Asia Spreads 52 Issuance 53 CDO Spreads 58 Issuance 60 Pipeline 75 Rating Changes 89 Ratings Watch 92

Christopher Flanagan AC

Head, Global Structured Finance Research (1-212) 270-6515 [email protected]

ABS/CDO Research

Rishad Ahluwalia (London) (44-207) 777-1045 [email protected] Ryan Asato (1-212) 270-0317 [email protected] Benjamin Graves (1-212) 270-1972 [email protected] Ting Ko (London) (44-207) 777-0363 [email protected]

Edward Reardon (London) (44-207) 777-1260 [email protected]

Parul Sahai (1-212) 270-0137 [email protected] Amy Sze, CFA (1-212) 270-0030 [email protected] Tracy Van Voorhis (1-212) 270-0157 tracy [email protected]

June 10, 2004

Christopher Flanagan

Global Structured Finance ResearchGlobal ABS/CDO Weekly Market Snapshot

Analyst

[email protected]

0

100

200

300

400

1999 2000 2001 2002 2003 2004Cards 5 Yr HEL 5 YrMH 7 Yr

-10-505

1015

1999 2000 2001 2002 2003 2004

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

Chart 1Floating vs. Asset Swapped (Cards)

Chart 2Fixed Rate ABS Yield 3 vs. 5 Yr

Chart 3Fixed Rate ABS Yield 5 vs. 10 Yr

0

50

100

150

1999 2000 2001 2002 2003 2004

Cards HEL MH

0

50

100

150

200

1999 2000 2001 2002 2003 2004

Cards HEL MH

0

10

20

30

40

50

1999 2000 2001 2002 2003 2004

2 Year 3 Year

Chart 4Prime vs. Mid Prime Autos

Chart 5Fixed Rate ABS Quality Curve AAA vs. A

Chart 6Fixed Rate ABS Quality Curve AAA vs. BBB

0

50

100

150

200

1999 2000 2001 2002 2003 2004Auto 3 Yr Cards 5 YrHEL 5 Yr

(bps) (bps)

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

29

06

0.72.5

Mat25

FloatFixedSwap

23

CurrPickup

Avg*Pickup

1.30.5

Diff

4.51%5.20%

3.76%4.15%

86.9116.4

CollCardsHEL

5 Yr 3 Yr

75105

CurrPickup

Avg*Pickup

-12.4-11.9

Diff

5.65% 4.60% 120.8MH 105 -16.3

CollCardsHEL

10 Yr 5 YrCurr

PickupAvg*

Pickup Diff

MH

4.51%5.20%

5.44%6.23%

116.9137.8

93103

-23.7-34.6

5.65%6.83% 157.2118 -39.0

4451

5161

9.515.0

Mat23

PrimeMid

Prime

710

CurrPickup

Avg*Pickup

-2.5-5.0

Diff

5151

6374

19.424.4

Coll

CardsHEL

AAAA

12

CurrPickup

Avg*Pickup

-7.4-1.4

Diff

120220 80.6

Auto

100 19.4 191

51

451

115

328.5

80.2Coll

CardsHEL

AAABBB

260

64

CurrPickup

Avg*Pickup

-68.5

-16.2

Diff

120250 173.8MH

130 -43.8

(Nominal Spreads to Treasuries)

U.S.SpreadsRelative Value

23

(bps)

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

2

June 10, 2004



Analyst

[email protected]

0

20

40

60

80

100

120

1998 1999 2000 2001 2002 2003 2004

-50

0

50

100

150

200

1998 1999 2000 2001 2002 2003 2004

-200

20406080

100120

1998 1999 2000 2001 2002 2003 2004

-10

0

10

20

30

40

1998 1999 2000 2001 2002 2003 2004

Chart 7Credit Cards (5 Year)

Chart 8Autos (3 Year)

Chart 9U.S.SpreadVolatility / Mean Reversion

Chart 10 Chart 11 Chart 12FNMA (Current Coupon)

Chart 13Agency PAC (5 Year)

Chart 14

Autos vs. Cards (3 Year)

Chart 15

Home Equity - FNMA

-20-10

01020304050

1998 1999 2000 2001 2002 2003 2004

0

50

100

150

1998 1999 2000 2001 2002 2003 2004

-10-5

0

5

10

15

20

1998 1999 2000 2001 2002 2003 2004

-100

-50

0

50

1998 1999 2000 2001 2002 2003 2004

Spread to Swaps (bps) Spread Differential (bps)

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

Spread Differential (bps)

CMBS (5 Year)

Spread to Swaps (bps)Home Equity (5 Year)

0

30

60

90

120

150

1998 1999 2000 2001 2002 2003 2004

Spread to Swaps (bps)

Swaps (5 Year)

Spread to Swaps (bps)

Swap Spread (bps)

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

3

June 10, 2004



Analyst

[email protected]

-40

-20

0

20

40

60

1998 1999 2000 2001 2002 2003 2004

-40

-20

0

20

40

60

1998 1999 2000 2001 2002 2003 2004

-10

0

10

20

30

40

50

1998 1999 2000 2001 2002 2003 2004

-50

0

50

100

150

1998 1999 2000 2001 2002 2003 2004

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

Single-A Banks - Single-A CardsChart 21

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

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

-60

-40

-200

20

40

60

1998 1999 2000 2001 2002 2003 2004

0

50

100

150

200

1998 1999 2000 2001 2002 2003 2004

-100

0

100

200

300

400

1998 1999 2000 2001 2002 2003 2004

Spread to Swaps (bps) Spread Differential (bps)

Spread Differential (bps)Triple-B Home Equity (5 Year)

0

100

200

300

400

500

1998 1999 2000 2001 2002 2003 2004

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

-20

0

20

40

60

80

100

1998 1999 2000 2001 2002 2003 2004

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

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

Double-A Banks - Triple-A CardsChart 18

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

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

4

June 10, 2004



Analyst

[email protected]

0

100

200

300

400

500

600

700

800

900

1,000

1/00 7/00 1/01 7/01 1/02 7/02 1/03 7/03 1/04

Citi MBNA Household

Capital One Amex Fleet

Chart 2Credit Default Swaps Spread - Credit Card Issuers

27

63

28

63

37

103

Company

CitiGroup

MBNA

Current Week

Last Week

-1

Change Max

15

50

Credit Default Swaps Spread - Credit Card

(bps)

52 Week

Min Avg

0

23

63

31 31 50Household 200 31

95 96 280Capital One 88-1 145

31 30 32Amex 201 25

30 30 40Fleet 200 27

Aa1/AA+

Baa2/BBB+

A2/A

Baa3/BBB

A1/A+

A1/A

Source: JPMS. 5

June 10, 2004



Analyst

[email protected]

0

100

200

300

400

500

600

700

800

1/00 7/00 1/01 7/01 1/02 7/02 1/03 7/03 1/04

GMAC Chrysler FordToyota BMW HouseholdVolkswagen

Chart 3Credit Default Swaps Spread - Auto Issuers

164

96

175

101

295

141

Company

GMAC

Chrysler

Current Week

Last Week

-11

Change Max

115

85

Credit Default Swaps Spread - Auto

(bps)

52 Week

Min Avg

-6

193

108

168 180 315Ford 142-12 219

7 7 15Toyota 70 11

33 34 41BMW 26-1 33

31 31 50Household 200 31

71 75 80Volkswage 41-4 61

GM Baa1/BBB+

A3/BBB+

Baa1/BBB+

AAA/AAA

A1

A2/A

A1/A+

Source: JPMS. 6

June 10, 2004



Analyst

[email protected]

0

50

100

150

200

250

1/00 7/00 1/01 7/01 1/02 7/02 1/03 7/03 1/04

Morgan Stanley Countrywide Lehman

WAMU CSFB

Chart 4Credit Default Swaps Spread - Home Equity Issuers

37

51

40

52

46

65

Company

Morgan Stanle

Countrywid

Current Week

Last Week

-3

Change Max

30

35

Credit Default Swaps Spread - Home Equity

(bps)

52 Week

Min Avg

-1

36

49

41 44 45Lehman 30-3 37

42 43 70Washington Mutual 22-1 44

23 23 35CSFB 180 23

164 175 295GMAC -11 115 193

Aa3/AA-

A3/A

A2/A+

Baa1/A

Aa3/AA-

GM Baa1/BBB

Source: JPMS. 7

U.S. Cross Sector SpreadsTable 1

U.S.

June 10, 2004



Analyst

[email protected]

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

1 32 33 4

A (3) 16

000

0

1 7 0

2 05 6

10 16

A (5) 29

000

0

2 25 9

10 19

A (5) 29

000

0

Sub

Sub

Sub

3 14 0

2.5 37 15

00

2 10 0

334

16

7

06

16

29

29

19

29

14

315

10

565

25

10

38

21

32

31023

32

2015

222

15

7

04

15

22

18

17

23

1410

91110

33

13

51230

45

41230

40

2522

Current Week

Prior Week

52 WeekChg Avg Min Max

Credit Cards (Fixed - Swaps)

Credit Cards (Floating - 1 Mo. LIBOR)

Prime Auto (Fixed - Swaps)

Near Prime Auto (Fixed - Swaps)

Student Loans (3 Mo. LIBOR)

317

212

522

1 353 405 757 105

10 95NAS 55

AA 125A 175

BBB 205

354075

1059560

115165210

00000

-5

1010-5

404377

106111

55

121157250

353562909545

105135180

455588

115120

65

145180325

HELOC 23 23 0 28 22 32ARM 25 25 0 28 25 32

6085

120140155

00000

8297

136180189

6085

120140155

95105145205210

1357

10

200BBB 400

0400

2000

349509

200400

440575

200 0 349 200 440

6085

120140155

AA

5 3310 34

42A 50

03849

5765

-5-15

-15-15

4749

5765

2929

3744

3536

4452

BBB 100 115 -15 1158498

Current Week

Prior Week Chg Avg Min Max

52 Week

Home Equity (Fixed - Swaps)

Subordinates (Fixed - Swaps)

Manufactured Housing (Fixed - Swaps)

CMBS (Fixed - Swaps)

Home Equity (Floating - 1 Mo. LIBOR)

Subordinates (Fixed - Swaps)

AA

5 5010 43

Agency Pac - 6.5%

5 9310 71

10 49

2 415 45

414949

0-40

435859

203333

324142

5161

-1-18

9786

-4-15

2 -205 0

-162

-4-2

10 3 18 -15

2 -135 -4

-100

-3-4

10 26 43 -17

52

18

-25-38-19

-13-11

-5

192862

-15-824

06

45

Current Week

Prior Week Chg Avg Min Max

52 Week

MBS (Fixed - Swaps)

Agency Seq - 6.5%

Swaps

Corporates (Fixed - Swaps)

Industrial - AAA

Finance - AA

127116

4643

7265

174147

9171

152119

2 -115 -13

-11-9

0-4

10 6 24 -18

162433

-14-20

6

0-223

Bank - AA

2 355 47

4454

-9-7

10 55 72 -17

119107137

354755

818095

Bank - BBB

Source: JPMS.8

B Piece - A RatedAAA Rated C Piece - BBB Rated

Fixed Credit Cards Floating Credit Cards

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

3 4 5 7 102 1 3 4 5 7 102 9 153 4 5 7 102 3 4 5 7 102 3 5 7 1023 5 7 102

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

Date

Table 2U.S.Spreads - Cards

June 10, 2004



Analyst

[email protected]

1/8/04 3 4 5 8 10 17 19 20 35 22 3326 30 45 653 4 7 20 22 25 33 656 15 5032 60 70 80 11595 60 8070 95 1151/15/04 3 4 5 8 10 17 19 20 35 20 3124 28 43 633 3 7 17 20 23 31 636 12 4530 55 65 75 11090 55 7565 90 1101/22/04 3 4 5 8 10 17 19 20 35 20 3124 28 43 632 2 6 17 20 23 31 635 12 4530 55 65 75 11090 55 7565 90 1101/29/04 2 3 4 7 9 15 17 18 30 18 2922 26 41 612 2 6 17 18 21 29 615 12 4328 50 60 70 10585 50 7060 85 1052/5/04 2 3 4 7 9 15 17 18 30 18 2922 26 41 612 2 6 17 18 21 29 615 12 4328 50 60 70 10585 50 7060 85 105

2/12/04 2 3 4 6 8 14 17 18 30 17 2820 25 40 602 2 5 16 17 20 28 604 12 4226 48 58 68 10383 48 6858 83 1032/19/04 2 3 4 6 8 14 17 18 30 16 2719 23 37 572 2 5 16 16 19 27 584 12 3923 48 55 65 10078 48 6555 78 1002/26/04 0 1 3 6 8 13 16 17 26 18 2721 24 37 572 2 4 15 16 19 27 584 11 3923 48 55 65 9575 48 6555 75 953/4/04 0 1 3 6 8 13 16 17 26 18 2721 24 37 570 1 4 15 16 19 27 584 11 3923 48 55 65 9575 48 6555 75 95

3/11/04 0 1 3 6 8 13 16 17 26 16 2418 21 34 540 1 4 15 14 17 23 554 11 3520 48 55 65 9575 48 6555 75 953/18/04 0 1 3 6 8 13 16 17 26 14 2317 20 34 540 1 5 15 12 16 22 544 11 3419 45 50 60 9575 45 6050 75 953/25/04 0 2 3 6 8 13 16 17 26 14 2317 20 31 430 1 5 15 12 16 22 424 11 3019 45 50 60 9575 45 6050 75 954/1/04 0 2 3 6 8 14 17 18 26 14 2317 20 31 430 1 5 15 12 16 22 424 11 3019 45 50 60 9575 45 6050 75 954/8/04 0 2 4 7 9 14 18 19 27 14 2317 20 31 430 0 5 15 12 16 22 424 11 3019 45 50 60 9575 45 6050 75 95

4/15/04 0 2 4 7 9 14 18 19 27 14 2317 20 31 430 1 6 16 12 16 22 424 12 3019 45 50 60 9575 45 6050 75 954/22/04 0 2 4 7 9 14 18 19 27 17 2520 23 33 450 1 6 16 15 18 24 424 12 3221 43 48 58 9373 45 6050 75 954/29/04 0 2 4 7 9 14 18 19 27 17 2520 23 33 450 1 6 16 15 18 24 424 12 3221 43 48 58 9373 45 6050 75 955/6/04 0 2 4 7 9 14 18 19 27 19 2722 25 35 450 1 6 16 17 20 26 444 12 3423 53 58 58 10383 55 7060 85 95

5/13/04 0 2 4 7 9 14 18 19 27 19 2722 25 35 450 1 6 16 19 22 27 454 12 3525 55 60 60 10585 55 7060 85 955/20/04 0 2 4 7 9 14 18 19 27 21 2924 27 37 470 1 6 16 21 24 29 474 12 3727 55 60 70 9585 55 7060 85 955/27/04 0 2 4 7 9 14 18 19 27 21 2924 27 37 470 1 6 16 21 24 29 474 12 3727 55 60 70 9585 55 7060 85 956/3/04 0 2 4 7 9 14 18 19 27 21 2924 27 37 470 1 6 16 21 24 29 474 12 3727 55 60 70 9585 55 7060 85 95

6/10/04 0 2 4 7 9 14 18 19 27 21 2924 27 37 470 1 6 16 21 24 29 474 12 3727 55 60 70 9080 55 7060 80 90

-200

204060

80100

1998 1999 2000 2001 2002 2003 2004

Cards HEL Auto

-200

20406080

100120

1998 1999 2000 2001 2002 2003 2004

Cards HEL

-10205080

110140170

1998 1999 2000 2001 2002 2003 2004

Cards HEL

Source: JPMS.

Source: JPMS.Chart 28

2 Yr Spreads to SwapsChart 29

5 Yr Spreads to SwapsChart 30

10 Yr Spreads to Swaps

9

AAA A

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

AAA

1 2 3MM

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

Prime Auto

Date

Table 3

Ag/Construction Office/ MedicalNear Prime Auto Equipment Stranded Assets

AAA AAA AAA

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

June 10, 2004



Analyst

[email protected]

Fixed Floating

AAA

1 2 3

A

3

1/8/04 -5 5 -3 11 -3 14 2 25 6 7 10 20156 5 26 16 22 20 27 50 603 4 5 231/15/04 -5 5 -3 11 -3 14 2 25 6 7 10 20156 5 26 16 22 20 27 50 603 4 5 231/22/04 -5 5 -3 11 -3 14 2 25 6 7 10 20156 5 26 16 22 20 27 50 603 4 5 231/29/04 -5 4 -4 10 -4 12 0 18 4 5 8 16135 4 25 14 20 18 25 40 503 4 5 222/5/04 -5 4 -4 10 -4 12 0 18 4 5 8 16135 4 25 14 20 18 25 40 503 4 5 22

2/12/04 -5 4 -4 10 -4 12 0 18 4 5 8 16135 4 22 14 20 18 25 40 502 3 4 212/19/04 -5 2 -4 10 -4 12 0 18 4 5 8 16132 3 16 14 20 18 25 40 502 3 4 162/26/04 -6 2 -5 7 -5 10 0 18 3 4 6 14112 2 15 10 14 15 20 40 502 3 4 163/4/04 -6 2 -5 7 -5 10 0 18 3 4 6 1410.82 2 15 10 14 15 20 40 502 3 4 16

3/11/04 -6 2 -5 7 -5 10 0 18 3 4 6 14112 2 15 10 14 15 20 40 502 3 4 163/18/04 -6 2 -5 7 -5 10 0 18 3 4 6 14112 3 15 10 14 15 20 40 502 3 4 163/25/04 -6 2 -5 7 -5 10 0 18 3 4 6 14112 3 15 10 14 15 20 40 502 3 4 164/1/04 -6 2 -5 7 -5 10 0 18 3 4 6 14113 3 15 10 14 15 20 40 502 3 4 164/8/04 -6 2 -5 7 -5 10 0 18 3 4 6 14113 2 15 10 14 15 20 40 502 3 4 16

4/15/04 -6 3 -5 7 -5 10 0 18 3 4 6 14113 4 15 10 14 15 20 40 502 3 4 164/22/04 -6 3 -5 7 -5 10 0 18 3 4 7 16133 4 15 10 14 15 20 40 502 3 4 164/29/04 -6 3 -5 7 -5 10 0 18 3 4 7 16133 4 15 10 14 15 20 40 502 3 4 165/6/04 -6 3 -5 7 -5 10 0 18 3 4 7 16133 4 15 10 14 15 20 40 502 3 4 16

5/13/04 -6 3 -5 7 -5 10 0 18 3 4 7 16133 4 16 10 14 15 20 40 502 3 4 175/20/04 -5 3 -3 7 -5 10 0 18 3 4 7 15123 4 16 12 16 15 20 40 502 3 4 175/27/04 -5 3 -3 7 -5 10 0 18 3 4 7 15123 4 16 10 14 15 20 40 502 3 4 176/3/04 -5 3 -3 7 -5 10 0 18 3 4 7 15123 4 16 10 14 15 20 40 502 3 4 17

6/10/04 -5 3 -3 7 -5 10 0 18 3 4 7 15123 4 16 10 14 15 20 40 502 3 4 17

2%

3%

4%

5%

6%

7%

8%

1998 1999 2000 2001 2002 2003 2004

Treasury Swap Yield

3%

4%

5%

6%

7%

8%

1998 1999 2000 2001 2002 2003 2004

Treasury Swap Yield

1%2%3%4%5%6%7%8%

1998 1999 2000 2001 2002 2003 2004

Treasury Swap Yield

Source: JPMS.

Source: JPMS.

Chart 31

2 Yr Treasury vs. Swap YieldsChart 32

5 Yr Treasury vs. Swap YieldsChart 33

10 Yr Treasury vs. Swap Yields

10

T-Bill LIBOR

7 732.5

Student Loan, Global RMBS Spreads to LIBOR/ T-Bill, CMBS Spreads to Swaps and MBS Spreads to Swaps

Date

Table 3

Student Loans (FFELP)

AAA AAA

U.S.Spreads - Student Loan, Global RMBS

June 10, 2004



Analyst

[email protected]

Global RMB

AUDAAA

3

UK BulletAAA

31 5 10

AA

Student Loans (Private Credit)

73

AAA A BBB

5

AA BBB

5 5

MBSCMBS

AAA AA A BBB

5 10 10 10 10

AAA A BBB BB B

10 10 10 10 10

1/8/04 38 60 5 16 16 9 16 40 1102 9 20 55 9 32 65 130 30 38 45 9230 107 127 182 362 9121/15/04 38 60 5 16 16 9 16 40 1102 9 20 55 8 30 65 130 30 38 45 8830 103 123 178 338 8881/22/04 38 60 4 14 16 9 16 40 1102 9 20 50 7 30 63 115 31 38 45 8830 103 123 178 338 8881/29/04 38 60 3 13 14 7 14 40 1101 8 18 50 7 30 63 115 30 38 45 8830 100 120 175 335 8852/5/04 38 60 3 13 14 7 14 40 1101 8 18 50 7 30 63 115 29 37 44 8729 99 119 174 334 884

2/12/04 38 60 2 12 14 7 14 38 1000 7 17 48 5 28 63 113 32 39 46 8431 99 119 174 334 8842/19/04 38 60 2 12 14 7 14 35 900 7 17 45 5 28 60 110 32 43 51 8635 101 121 176 336 8862/26/04 35 55 2 12 13 6 12 35 900 7 17 45 5 28 60 105 32 41 50 8532 100 120 175 335 8853/4/04 35 55 2 12 13 6 12 35 900 7 17 45 5 28 60 105 30 39 49 8530 100 120 175 335 885

3/11/04 35 55 2 12 13 6 12 35 900 7 17 45 5 28 60 105 33 39 49 8830 103 123 178 338 8883/18/04 35 55 2 12 13 6 12 30 850 7 17 45 5 20 55 95 30 39 49 8830 98 118 173 338 8883/25/04 35 55 2 12 13 8 14 24 800 8 17 45 5 18 55 95 31 40 50 8931 97 117 172 337 8874/1/04 35 55 2 12 13 8 14 24 800 8 17 45 5 18 55 95 33 43 51 9034 95 115 170 335 8854/8/04 30 50 2 13 14 8 14 24 750 9 18 45 5 18 55 95 33 41 50 8833 93 113 168 333 883

4/15/04 30 50 2 13 14 8 14 24 750 9 18 45 5 18 55 95 34 41 49 9133 91 111 166 331 8814/22/04 30 50 2 12 14 8 14 24 750 9 18 45 5 18 55 95 34 43 51 9135 91 111 166 321 8314/29/04 30 50 2 12 14 8 14 24 750 9 18 45 5 18 55 95 33 41 49 8933 87 107 162 317 8275/6/04 30 50 2 12 14 8 14 24 750 9 18 45 5 18 55 95 35 43 51 9135 77 97 152 297 797

5/13/04 30 50 2 12 14 8 14 24 750 9 18 45 5 18 55 95 32 40 48 9532 82 102 152 297 7975/20/04 30 50 2 12 14 8 14 24 750 9 18 40 5 18 47 87 31 40 48 9535 85 105 155 300 8005/27/04 30 50 2 12 14 8 14 24 750 9 18 40 5 18 47 87 31 40 48 9832 86 106 156 301 8016/3/04 30 50 3 15 15 8 14 24 750 9 20 40 6 20 47 87 38 57 65 11549 106 126 171 316 816

6/10/04 30 50 3 15 15 8 14 24 750 9 20 40 6 20 47 87 33 42 50 10034 91 111 156 301 801

Source: JPMS.

11

AAA AA A BBB

NAS 10 731 3 5 7 102 4 6 6 5 1 3 5 7 102

AA A BBB

3 5 5 5 1 3 5 7 10

AA BBB

U.S. Real Estate ABS Spreads to Swaps/LIBOR Table 4

Date

Home EquityFixed Rate Subord 125s

Manufactured HousingARMs HELOC

AAAAAA AAA AAA

U.S.Spreads - HEL & MH

2

June 10, 2004



Analyst

[email protected]

321/8/04 45 45 47 78 83 110 115 53 110 145 200 45 45 52 80 115 130 25 50 110 190 95 105 145 205 210 440 575100281/15/04 40 40 42 75 80 105 110 50 110 145 195 40 40 47 75 110 125 25 50 105 175 95 105 145 205 210 440 575100281/22/04 40 40 42 75 80 105 110 50 110 145 195 40 40 47 75 110 125 25 50 105 175 95 105 145 205 210 440 575100241/29/04 35 37 38 70 75 100 105 47 105 140 190 38 38 42 70 105 120 25 50 105 170 60 85 120 140 155 200 40080242/5/04 35 37 38 70 75 100 105 47 105 140 190 38 38 42 70 105 120 25 50 105 170 60 85 120 140 155 200 40080242/12/04 35 35 35 60 70 95 100 45 105 135 180 38 36 40 65 100 115 25 50 100 170 60 85 120 140 155 200 40080242/19/04 35 35 35 60 70 95 100 45 105 135 180 38 36 40 65 100 115 25 50 100 170 60 85 120 140 155 200 40080242/26/04 35 35 35 60 70 95 100 45 105 135 180 38 36 40 65 100 115 25 50 100 170 60 85 120 140 155 200 40080243/4/04 35 35.2 34.7 60.1 70.2 95 100 45 105 135 180 38 36 40 65 100 115 25 50 100 170 60 85 120 140 155 200 40080.2243/11/04 35 35 35 60 70 95 100 45 105 135 180 38 36 40 65 100 115 25 50 100 170 60 85 120 140 155 200 40080243/18/04 35 35 35 60 70 95 100 45 105 135 185 38 36 40 65 100 115 25 50 100 175 60 85 120 140 155 200 40080243/25/04 35 35 35 60 70 95 100 45 110 140 190 38 36 40 65 100 115 25 50 100 180 60 85 120 140 155 200 40080244/1/04 35 35 35 60 70 95 100 45 120 150 200 38 36 40 65 100 115 25 52 105 190 60 85 120 140 155 200 40080244/8/04 35 35 35 60 70 95 100 45 120 150 200 38 36 40 65 100 115 25 52 105 190 60 85 120 140 155 200 40080244/15/04 35 35 35 60 70 95 100 45 120 150 200 38 36 40 65 100 115 25 52 110 190 60 85 120 140 155 200 40080244/22/04 35 40 40 65 75 95 100 45 120 150 200 38 42 45 70 100 115 25 52 110 190 60 85 120 140 155 200 40080244/29/04 35 40 40 65 75 95 100 45 120 150 200 38 42 45 70 100 115 25 52 110 200 60 85 120 140 155 200 40080245/6/04 35 40 40 65 75 95 100 45 120 150 200 38 42 45 70 100 115 25 52 110 200 60 85 120 140 155 200 40080245/13/04 35 40 40 65 75 90 95 55 120 170 220 38 42 45 70 95 110 25 52 110 220 60 85 120 140 155 200 40080225/20/04 35 40 40 65 75 90 95 55 120 170 220 38 42 45 70 95 110 25 52 110 220 60 85 120 140 155 200 40080225/27/04 35 40 40 65 75 105 95 55 115 165 210 38 38 42 70 105 120 25 50 105 210 60 85 120 140 155 200 40080236/3/04 35 40 40 65 75 105 95 60 115 165 210 38 38 42 70 105 120 25 50 105 205 60 85 120 140 155 200 40080236/10/04 35 40 40 65 75 105 95 55 125 175 205 38 38 42 70 105 120 25 55 118 200 60 85 120 140 155 200 40080

Source: JPMS.

12

AAA AA AA A AA A BBBBBBA

5 10 2 5 10 2 5 10 2 5 10 2 25 510 10 105210522 5 102

U.S. Corporate & Agency Spreads to SwapsTable 5

Date

Industrials Banks Finance

U.S.Spreads - SwapCorporates & Agency

5 10

AgencyBenchmark

June 10, 2004



Analyst

[email protected]

1/8/04 -16 -9 -8 -12 -7 10 -6 -2 26 -1 2 29 68 76 870 13 29 1 5 45 7 20 48 129 135 138 -7 81/15/04 -14 -14 -10 -10 -14 9 -6 -8 24 2 -5 26 71 69 853 7 28 4 -2 44 10 13 47 132 128 137 -11 51/22/04 -17 -8 -8 -13 -9 12 -8 -2 26 -3 0 28 65 74 86-1 12 29 -1 4 46 5 18 49 128 134 140 -7 71/29/04 -20 -12 -8 -16 -12 7 -9 -6 24 -6 -2 27 62 72 83-4 9 29 -4 0 44 2 14 46 125 130 137 -3 62/5/04 -16 -12 -8 -12 -12 6 -4 -6 24 0 -2 27 68 73 822 9 29 -1 2 43 5 13 47 132 130 139 -5 4

2/12/04 -14 -9 -11 -11 -7 6 -3 -4 22 1 2 24 68 75 814 12 26 2 4 39 5 14 46 130 130 138 -2 32/19/04 -15 -11 -9 -11 -8 8 -3 -4 24 1 2 26 69 74 842 9 27 1 5 42 4 12 50 128 129 141 -7 22/26/04 -13 -13 -9 -9 -8 5 -1 -4 25 2 1 25 71 75 854 8 27 3 5 42 7 10 48 130 128 142 -7 23/4/04 -14 -15 -9 -9 -9 4 -3 -5 25 1 -1 27 70 71 843 7 26 1 4 41 6 9 48 129 124 140 -8 2

3/11/04 -10 -9 -6 -5 -1 9 1 4 31 7 7 33 75 80 908 16 34 7 13 46 12 18 54 134 133 146 -3 23/18/04 -12 -12 -6 -7 -4 8 -1 2 30 7 5 33 73 77 896 14 34 6 11 46 11 17 55 133 132 148 -4 103/25/04 -8 -12 -7 -2 -4 10 4 2 32 10 5 34 77 78 9010 14 36 10 11 48 16 18 56 137 133 151 10 44/1/04 -12 -15 -9 -7 -8 6 0 -1 28 6 3 30 73 75 855 9 31 6 9 44 12 15 51 133 129 147 -4 84/8/04 -14 -14 -13 -10 -6 3 -3 -1 24 3 4 26 71 77 832 8 23 3 10 38 7 15 46 131 131 145 -1 8

4/15/04 -14 -19 -15 -12 -7 2 -3 -4 22 3 2 27 63 70 762 4 22 4 7 38 7 13 45 122 119 134 -8 34/22/04 -17 -18 -14 -14 -8 2 -11 -15 13 -7 -8 18 50 59 66-7 2 16 -4 -2 31 -1 11 36 109 108 122 -12 64/29/04 -11 -15 -12 -8 -3 5 -9 -17 10 -5 -11 11 52 57 63-4 6 13 -2 -5 28 2 13 33 108 103 119 -11 35/6/04 -13 -19 -15 -10 -6 3 -10 -20 8 -6 -13 10 52 55 61-5 4 11 -4 -8 25 0 10 31 107 101 117 -10 6

5/13/04 -11 -10 -8 -13 -4 6 -10 -17 11 -7 -11 13 52 58 63-5 9 11 -5 -6 26 1 14 31 106 104 118 2 105/20/04 -15 -4 1 -16 -2 9 -14 -16 14 -11 -10 13 48 53 62-9 10 14 -9 -5 30 -3 14 34 102 104 121 -10 95/27/04 -12 -4 2 -13 -2 9 -12 -16 14 -8 -10 13 51 54 63-6 11 14 -7 -5 31 -1 15 34 104 100 117 -1 116/3/04 -16 -4 3 -11 2 4 -11 -15 9 -5 -3 18 45 49 57-11 16 18 -10 -6 28 1 18 34 98 94 110 -3 8

6/10/04 -20 0 3 -13 2 2 -11 -13 6 -6 0 17 36 47 55-12 19 14 -13 -4 26 1 20 32 89 89 101 3 9

Source: JPMS.

13

3 4 5 7 102 3 4 5 7 102

AAA B Piece - A AAA A

3 1 2 3MM1 2 3MM

AAA

1 2 3MM 1 2 3MM 3 5 7 102

U.S. ABS Spreads to TreasuriesTable 6

Credit Cards Prime Auto Near Prime Auto EquipmentAg/Construction Office/Medical

Stranded Assets

DateAAA AAA AAA

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

June 10, 2004



Analyst

[email protected]

1/8/04 37 55 55 44 58 58 56 7076 81 93 103 40 58 47 58 58-5 5 -3 1140 56 77 50 73 -3 14 2 2554 78 84 1111/15/04 37 55 55 44 54 54 54 6875 79 87 100 40 59 47 57 57-5 5 -3 1140 57 78 50 74 -3 14 2 2554 79 84 1121/22/04 37 57 58 42 57 54 55 6778 83 90 100 41 62 46 60 57-5 5 -3 1141 60 81 51 77 -3 14 2 2555 82 85 1151/29/04 40 50 50 46 48 57 56 6969 73 79 101 42 53 48 49 56-5 4 -4 1043 52 73 52 68 -4 12 0 1856 73 78 982/5/04 37 56 50 48 56 58 53 7175 73 87 102 39 59 50 57 57-5 4 -4 1040 58 79 49 74 -4 12 0 1853 79 75 104

2/12/04 35 40 45 43 58 57 50 6658 67 88 101 37 43 46 59 57-5 4 -4 1038 42 60 47 58 -4 12 0 1851 63 73 882/19/04 36 42 48 44 58 55 50 6659 67 85 97 38 45 47 59 55-5 2 -4 1036 43 56 48 60 -4 12 0 1852 65 74 902/26/04 34 43 48 44 57 55 48 6760 67 85 98 35 45 46 57 54-6 2 -5 734 43 56 42 55 -5 10 0 1847 61 72 913/4/04 33 43 52 45 60 55 49 6861 71 88 98 36 46 47 59.8 54-6 2 -5 735 44 57 43 56 -5 10 0 1848 62 73 92

3/11/04 30 46 49 39 57 52 44 5862 65 81 92 33 49 41 57 51-6 2 -5 732 47 60 40 59 -5 10 0 1845 65 70 953/18/04 32 44 47 42 55 52 44 5959 62 78 91 35 47 43 55 51-6 2 -5 734 46 58 42 57 -5 10 0 1847 63 72 933/25/04 28 46 49 43 56 53 40 6061 64 75 80 31 49 44 56 52-6 2 -5 730 48 60 38 59 -5 10 0 1843 65 68 954/1/04 31 50 53 46 59 55 43 6365 68 78 82 34 53 47 59 54-6 2 -5 734 52 64 41 63 -5 10 0 1846 69 71 994/8/04 33 51 48 44 59 57 45 6167 63 78 84 36 55 45 59 56-6 2 -5 736 53 66 43 65 -5 10 0 1848 71 73 101

4/15/04 34 55 59 47 63 60 46 6370 74 81 86 37 58 47 62 58-6 3 -5 737 58 69 44 68 -5 10 0 1849 74 74 1044/22/04 37 55 56 49 62 60 52 6772 73 82 86 40 58 50 63 60-6 3 -5 740 58 69 47 68 -5 10 0 1852 74 77 1044/29/04 35 57 57 52 61 64 50 7074 74 81 90 38 60 53 62 64-6 3 -5 738 60 71 45 70 -5 10 0 1850 76 75 1065/6/04 38 59 57 57 65 69 55 7778 76 87 97 41 62 58 66 69-6 3 -5 741 62 73 48 72 -5 10 0 1853 78 78 108

5/13/04 39 43 53 56 67 69 58 7764 74 90 98 42 46 57 68 69-6 3 -5 742 46 58 49 56 -5 10 0 1854 62 79 925/20/04 43 47 55 55 65 66 64 7870 78 90 97 46 50 56 65 65-5 3 -3 746 50 62 55 62 -5 10 0 1858 66 83 965/27/04 40 50 58 55 67 65 61 7873 81 92 96 43 53 56 67 64-5 3 -3 743 53 65 50 63 -5 10 0 1855 69 80 996/3/04 41 46 53 49 60 50 62 7269 76 85 81 44 49 50 60 49-5 3 -3 744 49 61 51 59 -5 10 0 1856 65 81 95

6/10/04 41 48 54 51 63 65 62 7471 77 88 96 44 51 52 63 64-5 3 -3 744 51 63 51 61 -5 10 0 1856 67 81 97

0

30

60

90

120

150

180

1998 1999 2000 2001 2002 2003 2004

Cards HELAuto Swap

0

40

80

120

160

200

1998 1999 2000 2001 2002 2003 2004

Cards HEL Swap

0

50

100

150

200

250

1998 1999 2000 2001 2002 2003 2004

Cards HEL Swap

Source: JPMS.

Source: JPMS.

Chart 34

2 Yr Spreads to TreasuriesChart 35

5 Yr Spreads to TreasuriesChart 36

10 Yr Spreads to Treasuries

14

AAA AAA AA BBB

NAS 10 71 3 5 7 102 4 6 6 5 1 3 5 7 102

AA A BBB

1 3 5 7 10

U.S. Real Estate ABS Spreads to Treasuries & Swap SpreadsTable 7

Home Equity

Date

Fixed Rate Subord 125sManufactured Housing

AAA

U.S.Spreads - TsyHEL & MH

June 10, 2004



Analyst

[email protected]

Mid Market

3 5 7 102

Swap Spreads

1/8/04 45 79 98 127 120 153 153 90 147 182 237 45 79 103 117 158 168 95 156 182 248 248 478 618 47 37 49 38341/15/04 40 74 94 124 117 147 147 87 147 182 232 40 74 99 112 152 162 95 157 182 247 247 477 617 46 42 52 40321/22/04 40 75 97 128 116 150 147 86 146 181 231 40 75 102 111 155 162 95 160 181 250 247 477 620 47 36 47 37351/29/04 35 75 86 115 115 136 145 87 145 180 230 38 76 90 110 141 160 60 133 160 176 195 240 436 51 40 51 40382/5/04 35 72 92 115 117 144 146 89 147 182 232 38 73 96 112 149 161 60 139 162 184 196 241 444 52 42 53 4135

2/12/04 35 68 73 101 108 141 141 83 143 173 218 38 69 78 103 146 156 60 123 158 186 196 241 446 37 38 50 41332/19/04 35 69 75 104 109 141 139 84 144 174 219 38 70 80 104 146 154 60 125 159 186 194 239 446 39 39 50 39342/26/04 35 67 76 104 110 141 140 85 145 175 220 38 68 81 105 146 155 60 126 160 186 195 240 446 41 40 52 40323/4/04 35 68.2 76.7 108 111 144 140 86 146 176 221 38 69 82 106 149 155 60 127 161 189 195 240 449 43 41 52 4033

3/11/04 35 65 80 105 105 141 137 80 140 170 215 38 66 85 100 146 152 60 130 155 186 192 237 446 40 35 47 37303/18/04 35 67 78 103 107 139 137 82 142 172 222 38 68 83 102 144 152 60 128 157 184 192 237 444 42 37 48 37323/25/04 35 63 80 105 108 140 138 83 148 178 228 38 64 85 103 145 153 60 130 158 185 193 238 445 43 38 49 38284/1/04 35 66 84 109 111 143 140 86 161 191 241 38 67 89 106 148 155 60 134 161 188 195 240 448 46 41 51 40314/8/04 35 68 86 104 109 143 142 84 159 189 239 38 69 91 104 148 157 60 136 159 188 197 242 448 48 39 51 4233

4/15/04 35 69 89 115 111 146 144 86 161 191 241 38 70 94 106 151 159 60 139 161 191 199 244 451 48 41 54 44344/22/04 35 77 94 117 118 145 144 88 163 193 243 38 79 99 113 150 159 60 139 163 190 199 244 450 51 43 54 44374/29/04 35 75 96 118 121 144 148 91 166 196 246 38 77 101 116 149 163 60 141 166 189 203 248 449 53 46 58 48355/6/04 35 78 98 118 126 148 153 96 171 201 251 38 80 103 121 153 168 60 143 171 193 208 253 453 56 51 64 5338

5/13/04 35 79 82 114 125 145 148 105 170 220 270 38 81 87 120 150 163 60 127 170 195 208 253 455 43 50 63 53395/20/04 35 83 86 116 124 143 145 104 169 219 269 38 85 91 119 148 160 60 131 169 193 205 250 453 45 49 61 50435/27/04 35 80 89 119 124 160 144 104 164 214 259 38 78 91 119 160 169 60 134 169 195 204 249 455 45 49 60 49406/3/04 35 81 85 114 118 153 129 103 158 208 253 38 79 87 113 153 154 60 130 163 188 189 234 448 46 49 60 4941

6/10/04 35 81 87 115 120 156 144 100 170 220 250 38 79 89 115 156 169 60 132 165 191 204 249 451 46 45 57 4941

Source: JPMS.

15

6.5%*AAA AA A BBB

5 105 10 10 1010

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

Date

CMBS Agency PACs

U.S.Spreads - TsyCMBS, MBS & FNMA

FNMA

Current Coupon5 10

6.5%*

Agency Sequentials

June 10, 2004



Analyst

[email protected]

MBS

AA A BBB BB B

10 10 10 1010

1/8/04 104 10067 76 83 13068 97182 158145 220 400 9501651/15/04 104 9867 75 82 12567 75180 156140 215 375 9251601/22/04 104 9867 75 82 12567 101180 156140 215 375 9251601/29/04 108 10370 78 85 12870 106195 160140 215 375 9251602/5/04 106 10271 78 85 12870 105196 162140 215 375 925160

2/12/04 105 10070 80 87 12572 98196 162140 215 375 9251602/19/04 105 10071 82 90 12574 98196 162140 215 375 9251602/26/04 108 9872 81 90 12572 99198 165140 215 375 9251603/4/04 110 9871 79 89 12570 100198 165140 215 375 925160

3/11/04 112 10068 76 86 12567 105200 167140 215 375 9251603/18/04 125 10467 76 86 12567 108205 173135 210 375 9251553/25/04 128 10769 78 88 12769 108207 175135 210 375 9251554/1/04 129 10974 83 91 13074 113209 177135 210 375 9251554/8/04 129 10972 83 92 13075 103209 177135 210 375 925155

4/15/04 124 16075 85 93 13577 105209 135135 210 375 9251554/22/04 103 9877 87 95 13579 106205 160135 210 365 8751554/29/04 100 9579 89 97 13781 107205 160135 210 365 8751555/6/04 100 9686 96 104 14488 116205 160130 205 350 850150

5/13/04 102 9982 93 101 14885 101203 162135 205 350 8501555/20/04 98 9580 90 98 14585 106202 161135 205 350 8501555/27/04 95 9680 89 97 14781 108140 120135 205 350 8501556/3/04 94 9581 91 99 14983 110140 120140 205 350 850160

6/10/04 95 9278 91 99 14983 103138 120140 205 350 850160

Source: JPMS.

* 7.5% coupon prior to 1/18/01

16

AAA AA AA A AA A BBBBBBA

5 10 2 5 10 2 5 10 2 5 10 2 25 510 10 105210522 5 102

U.S. Corporate & Agency Spreads to TreasuriesTable 9

Date

Industrials Banks Finance

U.S.Spreads - TsyCorporates & Agency

5 10

AgencyBenchmark

June 10, 2004



Analyst

[email protected]

1/8/04 18 28 30 22 30 48 28 35 64 33 39 67 102 113 12534 50 67 35 42 83 41 57 86 163 172 176 30.5 45.51/15/04 18 28 30 22 28 48 26 34 63 33 37 65 102 111 12434 49 67 35 40 83 41 55 86 163 170 176 30.5 44.51/22/04 18 28 29 22 27 48 27 34 62 32 36 64 100 110 12234 48 65 34 40 82 40 54 85 163 170 176 29.5 431/29/04 18 28 32 22 28 46 29 34 63 32 38 66 100 112 12234 49 68 34 40 83 40 54 85 163 170 176 36.5 45.52/5/04 19 30 33 23 30 47 31 36 65 35 40 68 103 115 12337 51 70 34 44 84 40 55 88 167 172 180 36.5 44.5

2/12/04 19 29 30 22 31 46 30 34 62 33 39 64 100 112 12136 49 66 34 41 79 37 51 86 162 167 178 36 432/19/04 19 28 30 23 31 46 31 35 62 34 40 64 102 112 12235 47 65 34 43 80 37 50 88 161 167 179 31.5 40.52/26/04 19 27 31 23 32 45 31 36 65 34 41 65 103 115 12536 48 67 35 45 82 39 50 88 162 168 182 33.5 423/4/04 19 26 31 24 32 44 30 36 65 34 40 67 103 112 12436 48 66 34 45 81 39 50 88 162 165 180 33.4 42

3/11/04 20 26 31 25 34 46 31 39 68 37 42 70 105 115 12738 51 71 37 48 83 42 53 91 164 168 183 32 393/18/04 20 25 31 25 33 45 31 39 67 38 42 70 104 114 12637 51 71 37 48 83 42 54 92 164 169 185 33 473/25/04 20 26 31 26 34 47 32 40 69 38 43 71 105 116 12738 52 73 38 49 85 44 56 93 165 171 188 48 414/1/04 19 26 31 24 33 46 31 40 68 37 43 70 104 115 12536 49 71 37 49 84 43 55 91 164 169 187 37 484/8/04 19 25 29 23 33 45 30 38 66 36 42 68 104 115 12535 46 65 36 48 80 40 53 88 164 169 187 38 50

4/15/04 20 22 29 22 34 46 31 37 66 36 43 71 96 111 12035 45 66 37 48 82 40 54 89 155 160 178 33 474/22/04 20 25 30 23 35 46 26 28 57 30 35 62 87 102 11030 45 60 33 41 75 36 54 80 146 151 166 30.5 504/29/04 24 31 36 27 43 52 26 29 57 30 35 58 87 103 11031 52 60 33 41 75 37 59 80 143 149 166 35 505/6/04 25 32 38 28 45 55 28 31 60 32 38 62 90 106 11333 55 63 34 43 77 38 61 83 145 152 169 41 58

5/13/04 28 40 45 26 46 58 29 33 63 32 39 65 91 107 11534 58 63 34 44 78 40 63 83 145 153 170 51 625/20/04 28 45 50 27 47 58 29 33 63 32 39 62 91 102 11134 59 63 34 44 79 40 63 83 145 153 170 39 585/27/04 28 45 50 27 47 57 28 33 62 32 39 61 90 102 11134 59 62 33 44 79 39 63 82 143 148 165 48 596/3/04 25 45 52 30 50 53 30 34 58 36 46 67 85 97 10630 64 67 31 43 77 41 66 83 138 142 159 45.5 57

6/10/04 21 45 52 28 47 51 30 32 55 35 45 66 76 92 10429 64 63 28 41 75 41 65 81 129 134 150 48 58

Source: JPMS.

17

U.S. PublicNew IssueBy Month

Table 10Issuance by Collateral by Month

Total Auto Cards HEL MH Equip Student Other*

Floating Rate by Collateral by MonthTable 11

Total Auto Cards HEL MH Equip Student Other*

Thru 6/10/04 ($ Millions)

June 10, 2004



Analyst

[email protected]

Global RMBS

Global RMBS

2003Jun 36,208 7,719 20,114 314 212869 1,3435,011 74% 66% 89% 0% 100%25% 100%26% 100%625Jul 27,479 2,000 16,282 0 0750 4,2044,243 69% 75% 82% 0% 100%0%0Aug 34,246 3,350 17,224 0 1,3750 2,7258,373 69% 73% 81% 29%100%36% 100%1,200Sep 47,243 6,425 26,877 0 3,0431,117 2305,972 78% 81% 84% 100%84% 100%18% 100%3,579Oct 44,585 5,650 21,564 0 1,2500 5,4569,949 69% 64% 86% 76%90%22% 100%716Nov 49,068 4,850 24,653 0 5201,127 2,39810,170 71% 98% 85% 100%30% 100%8% 100%5,351Dec 24,812 3,347 16,820 0 6520 1,9502,044 80% 85% 86% 77%100%0%02004Jan 41,855 3,200 28,967 200 1,3500 2,0251,600 84% 8% 94% 0% 100%92%13% 100%4,512Feb 47,159 6,850 23,876 0 6250 3,18911,618 71% 91% 91% 0%100%12% 100%1,000Mar 57,463 2,450 32,255 0 632937 4,6803,837 86% 86% 92% 79%0% 95%3% 100%12,673Apr 38,481 2,200 26,414 0 0753 6,9792,135 81% 39% 89% 0% 98%0%0May 43,320 4,625 21,188 0 4,316659 2,8087,135 76% 88% 96% 64%0% 100%6% 100%2,590Jun 12,579 600 8,214 0 00 2,4721,293 79% 100% 82% 100%11%0

241

449362

152 181 189 200229

283

0

100

200

300

400

500

1996 1998 2000 2002 2004

US$ (Billions) Student

Loans

7%Other

3%

Auto

17%Cards

14%

MH

0%

Global

RMBS

7%

Equip

2%

Home Eq

50%

Chart 37

Issuance by YearChart 38

2003 Total Issuance by Collateral Type

* Other includes deals backed by Dealer Floorplan, Stranded Asset, RV, Boat, Consumer, EETC, and Small Business Loans.Sources: JPMS, MCM CorporateWatch, Bloomberg. 18

Student

Loans

9%

Other

3%Auto

11%Cards

8%MH

0%

Global

RMBS

9%

Equip

1%

Home

Eq59%

Chart 39

2004 YTD Issuance by Collateral Type

(Thru 06/10)

2003 196,912

449,1492003

2004 240,857

34,914 34,352 85,450 442 3,793 13,555 4,84718% 17% 43% 0% 2% 7% 2%

11% 8% 59% 0% 1% 9% 3%

77,198 64,763 224,854 756 6,787 31,861 11,89917% 14% 50% 0% 2% 7% 3%

YTD Summary

Full Year Summary

27,618 19,925 140,914 200 2,349 22,153 6,923

144,653

329,223

192,688

7,284

2,346

25,955

14,073

73,369

129,335

121

0

939

0

13,555

21,568

19,559

20,776

21%

8% 71% 92% 0% 0% 97% 100%

14,355 49,415 191,299 121 2,216 31,290 31,03019% 76% 85% 16% 33% 98% 100%

73% 76% 86% 27% 25% 100% 100%

80%

73%

% Issuance

% Issuance

% Issuance

FL %

FL %

FL %

19,55910%

20,7769%

31,0307%

3,872

4,59266%

9,49780%

80%

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

5/11/04 - 6/10/04U.S. New Issue Spreads by WALTable 12

Date Issuer SeriesSpread to Weighted Average Life Subordinate Spreads

U.S.New IssueSpreads

June 10, 2004



Analyst

[email protected]

Aircraft8.66

1ML+1606/4/04 Wachovia Repackaged Airplanes Securitzatio 2004-1

Auto Non Prime

4ML+2

A-1

EDSF+16

A-2

Swap+35

A-3

Swap+40

A-46/7/04 Drive Auto Receivables Trust 2004-1

3.622.52

Swap+40

3.11

Swap+60 Swap+1253ML-1

A-1

EDSF+14

A-2

Swap+20

A-36/2/04 AmeriCredit Auto Receivables Trust 2004-1

1ML+0

A-1

EDSF+8

A-2

Swap+13

A-3

Swap+16

A-45/19/04 Onyx Acceptance Owner Trust 2004-B

Auto Prime

3ML-3

A-1

EDSF+4

A-2

Swap+3

A-3

Swap+4

A-46/9/04 Fifth Third Bank Auto Trust 2004-A

3.223.22

Swap+16 Swap+58EDSF+4

A-2

Swap+3

A-3

Swap+2

A-45/18/04 Ford Credit Auto Owner Trust 2004-A

CrCds - Bank2.42

1ML+506/10/04 American Express Credit Account Master Tru 2004-C

A-5

1ML+226/3/04 Capital One Multi-Asset Execution Trust 2004-A5

1ML+15

A-46/3/04 Capital One Multi-Asset Execution Trust 2004-A4

1ML+14

A5/27/04 MBNA Credit Card Master Note Trust 2004-A6

2.122.12

1ML+40

2.12

1ML+85 1ML+1401ML+19

A5/26/04 Providian Gateway Owner Trust 2004-B

3.043.04

1ML+22 1ML+551ML+4

A5/21/04 Chase Credit Card Owner Trust 2004-2

4.954.95

Swap+24 1ML+47Swap+5

A5/19/04 American Express Credit Account Master Tru 2004-3

Sources: JPMS, MCM CorporateWatch, Bloomberg. 19

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




June 10, 2004



Analyst

[email protected]

A 9.959.95

1ML+37 1ML+671ML+175/19/04 American Express Credit Account Master Tru 2004-2

4.99

1ML+225/14/04 Citibank Credit Card Issuance Trust 2004-B1

Equip - Heavy3.78

Swap+171ML-1

A-1

EDSF+5

A-2

Swap+9

A-35/18/04 Caterpillar Financial Asset Trust 2004-A

Floorplan2.96

1ML+821ML+20

A5/27/04 Navistar Financial Dealer Note MT 2004-1

HEL - 2nd4.905.30

1ML+58

4.90

1ML+100 1ML+1801ML+19

A-2

1ML+26

A-1

1ML+50

A-36/9/04 Home Equity Mortgage Trust 2004-3

4.364.72

1ML+55

4.46

1ML+110 1ML+1801ML+12

A-1

1ML+23

A-2

1ML+47

A-35/25/04 Structured Asset Securities 2004-S2

HEL - ARM

1ML+15

A-1

1ML+28

A

1ML+30

A-2

1ML+47

A-36/9/04 IndyMac Home Equity Mortgage Loan ABS Tr 2004-L1

4.895.00

1ML+68

4.98

110 1ML+1951ML+14

A-3

1ML+29

A-4

1ML+50

A-56/9/04 NovaStar Home Equity Loan 2004-2

1ML+25

2A6/8/04 Residential Asset Mortgage Products 2004-RZ2

4.472.23

1ML+45

4.52

1ML+125 1ML+197.51ML+14

2A-B1

1ML+27

2A-B2

1ML+49

2A-B36/4/04 Merrill Lynch Mortgage Investors 2004-WMC4

5.245.32

1ML+60

5.29

1ML+130 1ML+2101ML+20

A-3

1ML+52

A-46/4/04 Morgan Stanley ABS Capital I 2004-HE4

5.115.13

1ML+140 1ML+1901ML+14

A-2

1ML+27

A-3

1ML+45

A-46/3/04 Ameriquest Mortgage Securities 2004-R6

5.035.10

1ML+48

5.05

1ML+105 1ML+1951ML+13

AV-3

1ML+25

AV-2

1ML+27

AV-4

1ML+48

AV-56/3/04 Centex Home Equity Loan Trust 2004-C


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




June 10, 2004



Analyst

[email protected]

4.955.01

1ML+57

4.98

1ML+107.5 1ML+1951ML+12

A-2

1ML+26

A-3

1ML+50

A-46/1/04 Long Beach Mortgage Loan Trust 2004-3

4.504.52

1ML+125 1ML+1505/28/04 Asset Backed Securities Corporation HEL Tru 2004-HE5

4.975.07

1ML+62

4.99

1ML+135 1ML+2501ML+16

A-2

1ML+48

A-35/28/04 IndyMac Home Equity Mortgage Loan ABS Tr 2004-A

5.675.67

1ML+62

5.67

1ML+145 1ML+2705/28/04 Morgan Stanley ABS Capital I 2004-SD2

4.285.24

1ML+55

4.91

1ML+120 1ML+2201ML+26.5

A-1

1ML+27

A-25/28/04 Specialty Underwriting and Residential Finan 2004-BC2

5.135.21

1ML+58

5.15

1ML+135 1ML+2101ML+32

A-25/27/04 Argent Securities Inc. 2004-W9

5.275.34

1ML+57

5.32

1ML+125 1ML+1951ML+29

A-25/27/04 First Franklin Mtg Loan Asset Backed Certific 2004-FF4

5.475.83

1ML+57

5.73

1ML+125 1ML+1501ML+13

A-3

1ML+43

A-1

1ML+40

A-4

1ML+45

A-25/26/04 Morgan Stanley ABS Capital I 2004-HE3

5.145.20

1ML+58

5.15

1ML+125 1ML+2271ML+11

A-2

1ML+27

A-1A

1ML+51

A-45/24/04 Ameriquest Mortgage Securities 2004-R5

4.292.63

1ML+45

4.73

1ML+115 1ML+2001ML+23

3A

1ML+25

1A5/24/04 Countrywide Asset Backed Certificates 2004-5

4.503.02

1ML+53

3.02

1ML+110 1ML+2251ML+35

1A-1

1ML+35

2A5/21/04 Impac CMB Trust 2004-5

5.285.86

1ML+60

5.68

1ML+120 1ML+2001ML+18

A-3

1ML+30

A-1

1ML+50

A-45/21/04 Morgan Stanley ABS Capital I 2004-NC5

5.355.38

1ML+60

5.35

1ML+125 1ML+2001ML+10

2A-B1

1ML+24

2A-B2

1ML+47

2A-B35/21/04 Residential Asset Mortgage Products 2004-RS5

5.495.69

1ML+57.5

5.57

1ML+125 1ML+2381ML+31

A-3

1ML+56

A-25/19/04 Argent Securities Inc. 2004-PW1

4.884.95

1ML+52

4.90

1ML+105 1ML+2001ML+27

A-25/18/04 Home Equity Asset Trust 2004-4

4.284.44

1ML+53

4.36

1ML+115 1ML+2001ML+18

A-2

1ML+50

A-35/18/04 Structured Asset Investment Loan Trust 2004-5


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




June 10, 2004



Analyst

[email protected]

1ML+10

AV-15/17/04 GSAA Trust 2004-3

4.074.29

1ML+52

4.14

1ML+110 1ML+2201ML+10

2A-B1

1ML+22

2A-B2

1ML+45

2A-B35/14/04 Residential Asset Securities Corp. 2004-KS5

HEL - FRM5.715.71

Swap+125

5.71

Swap+175 Swap+2051ML+14

A-1

Swap+35

A-2

Swap+37

A-3

Swap+75

A-4

Swap+60

A-56/9/04 Residential Asset Securities Corp. 2004-KS6

1ML+13

1A-1

Swap+50

1A-2

Swap+57

1A-3

Swap+90

1A-4

Swap+100

1A-56/8/04 Residential Asset Mortgage Products 2004-RZ2

6.32

Swap+59EDSF+34

AF-1

Swap+34

AF-2

Swap+36

AF-3

Swap+70

AF-4

Swap+110

AF-56/3/04 Centex Home Equity Loan Trust 2004-C

1A-5 6.76

Swap+811ML+13

1A-1

Swap+70

1A-2

Swap+78

1A-3

Swap+110

1A-4

Swap+1405/21/04 Residential Asset Mortgage Products 2004-RS5

5.665.66

Swap+120

5.66

Swap+170 Swap+220

6.49

Swap+591ML+10

1A-1

Swap+37

1A-2

Swap+37

1A-3

Swap+72

1A-4

Swap+95

1A-55/14/04 Residential Asset Securities Corp. 2004-KS5

HELOC

1ML+22

A6/9/04 Wachovia Asset Securities Inc. 2004-HE1

1ML+22

A5/12/04 Lehman ABS Corporation 2004-2

Insurance

3ML+28

A6/8/04 PFS Financing Corp 2004-A

Motorcycle1.70

EDSF+19EDSF+4

A-1

Swap+4

A-25/19/04 Harley-Davidson Motorcycle Trust 2004-2

NIM

1ML+18

Note5/12/04 AQ Finance NIM Trust 2004-RN3


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




June 10, 2004



Analyst

[email protected]

Global RMBS1.791.79

3ML+17

1.79

3ML+28 3ML+703ML+4

1A-1

3ML+7

1A-25/18/04 Granite Mortgages 2004-2

SBL5.60

1ML+1251ML+43

A5/19/04 Business Loan Express 2004-1

SBL - Balance Sheet5.885.88

1ML+70 1ML+1201ML+29

A6/3/04 GE Business Loan Trust 2004-1

StLns - Cons11.15

3ML+483ML+0

A-1

3ML+3

A-2

3ML+9

A-3

3ML+15

A-46/3/04 SLM Student Loan Trust 2004-5

StLns - FFELPA-3

3ML+12

A-1

3ML+26

A-2

3ML+386/2/04 National Collegiate Trust 2004-S1

StLns - PrivA-3 7.518.83

3ML+47 3ML+873ML+5

A-1

3ML+20

A-2

3ML+335/18/04 SLM Student Loan Trust 2004-B

Stranded AssetA-3

Swap+3

A-1

Tsy+11

A-2

Tsy+145/28/04 TXU Electic Delivery Transition Bond Co. LLC 2004-1

Time Share4.004.00

Swap+85

4.00

Swap+125 Swap+200Swap+60

A5/21/04 Marriott Vacation Club Owner Trust 2004-1

1ML+18

A-15/18/04 Sierra Receivables Funding Company 2004-1


Rating Enhancement

U.S. ABS New Issue Detail by DateTable 13

Date Issuer Series ClassAmount

($ MM) CollWAL

Coupon Price Yield Sprd BenchmarkLead: CoManager Moody Fitch Type Amt

5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

C Baa2 BBBLB: BOA,BNP,CI S/S$1,419.78 2.426/10/04 100.0000 50 1 Mo. LIBORAmerican Express Credit Acco 2004-C CrCds - Bank

$1,419.78

A-1 P-1 A-1+CITG S/S$141.00 0.256/9/04 100.0000 1.40% -3 3 Mo. LIBOR1.40%Fifth Third Bank Auto Trust 2004-A Auto PrimeA-2 Aaa AAA S/S$296.00 1.00 99.9953 2.44% 4 EDSF2.42%A-3 Aaa AAA S/S$140.00 2.00 99.9986 3.21% 3 Swap - 2Y3.19%A-4 Aaa AAA S/S$141.00 2.91 99.9881 3.73% 4 Swap - Int3.70%

$718.00

A-1 Aaa AAACSFB S/S,OC$169.00 1.506/9/04 100.0000 26 1 Mo. LIBORHome Equity Mortgage Trust 2004-3 HEL - 2ndA-2 Aaa AAA S/S,OC$129.00 1.20 100.0000 19 1 Mo. LIBORA-3 Aaa AAA S/S,OC$8.00 5.90 100.0000 50 1 Mo. LIBORM-1 Aa2 AA S/S,OC$36.00 5.30 100.0000 58 1 Mo. LIBORM-2 A1 AA- S/S,OC$16.00 5.00 100.0000 100 1 Mo. LIBORM-3 A2 A+ S/S,OC$12.00 4.90 100.0000 120 1 Mo. LIBORM-4 A3 A S/S,OC$5.00 4.90 100.0000 140 1 Mo. LIBORB-1 Baa2 BBB+ S/S,OC$6.00 4.90 100.0000 200 1 Mo. LIBORB-2A Baa3 BBB S/S,OC$5.50 4.90 100.0000 460 1 Mo. LIBORB-2F Baa3 BBB OC$2.50 4.90 365 SwapM-5 Baa1 A- S/S,OC$11.00 4.90 100.0000 180 1 Mo. LIBOR

$400.00

A Aaa AAABS FGIC Gty 100.00%$178.19 2.186/9/04 28 1 Mo. LIBORIndyMac Home Equity Mortgage 2004-L1 HEL - ARMA-1 Aaa AAA FGIC Gty 100.00%$103.82 1.00 15 1 Mo. LIBORA-2 Aaa AAA FGIC Gty 100.00%$37.52 3.00 30 1 Mo. LIBORA-3 Aaa AAA FGIC Gty 100.00%$36.85 4.66 47 1 Mo. LIBORM Baa2 BBB S/S,OC$7.71 4.10 1 Mo. LIBORB Ba2 BB OC$6.74 4.04 1 Mo. LIBOR

$370.83

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

24

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-3 Aaa AAARBS/WS: MS,DB S/S,OC$55.00 0.696/9/04 14 1 Mo. LIBORNovaStar Home Equity Loan 2004-2 HEL - ARMA-4 Aaa AAA S/S,OC$68.00 2.94 29 1 Mo. LIBORA-5 Aaa AAA S/S,OC$18.00 7.17 50 1 Mo. LIBORM-2 Aa3 AA S/S,OC$21.00 5.00 68 1 Mo. LIBORM-3 A1 AA- S/S,OC$17.50 4.99 110 1 Mo. LIBORM-4 A2 A+ S/S,OC$21.00 4.98 120 1 Mo. LIBORM-5 A3 A S/S,OC$14.00 4.98 150 1 Mo. LIBORB-1 Baa1 A- S/S,OC$14.00 4.97 195 1 Mo. LIBORB-2 Baa2 BBB+ S/S,OC$10.50 4.96 210 1 Mo. LIBORB-3 Baa3 BBB OC$14.00 4.89 475 1 Mo. LIBOR

$253.00

A-1 Aaa AAA AAABOA/BS: DBS,R S/S,OC$76.79 1.006/9/04 100.0000 14 1 Mo. LIBORResidential Asset Securities Cor 2004-KS6 HEL - FRM

A-2 Aaa AAA AAA S/S,OC$8.68 2.00 99.9898 3.52% 35 Swap - 2Y3.61%A-3 Aaa AAA AAA S/S,OC$44.86 3.00 99.9804 4.10% 37 Swap - 3Y4.16%A-4 Aaa AAA AAA S/S,OC$13.76 5.00 99.9707 5.20% 75 Swap - 5Y5.22%A-5 Aaa AAA AAA S/S,OC$20.62 7.90 99.0815 6.01% 97 Swap - 7Y5.85%A-6 Aaa AAA AAA S/S,OC$18.30 6.47 99.9522 5.39% 60 Swap - 7Y5.39%M-1 Aa2 AA AA S/S,OC$7.50 5.71 99.8090 5.88% 125 Swap - 5Y5.85%M-2 A2 A+ A S/S,OC$5.50 5.71 97.5129 6.38% 175 Swap - 5Y5.85%M-3 Baa2 BBB+ BBB OC$4.00 5.71 96.1688 6.68% 205 Swap - 5Y5.85%

$200.00

A Aaa AAAWS: ABN,CITG MBIA Gty 100.00%$1,000.00 3.096/9/04 100.0000 22 1 Mo. LIBORWachovia Asset Securities Inc. 2004-HE1 HELOC

$1,000.00

A Aaa AAABOCM S/S,OC$94.75 5.006/8/04 100.0000 28 3 Mo. LIBORPFS Financing Corp 2004-A InsuranceB A2 A+ OC$5.25 5.00

$100.00


25

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

1A-1 Aaa AAABOA: RBOS,RFC FGIC Gty 100.00%$108.20 0.956/8/04 100.0000 13 1 Mo. LIBORResidential Asset Mortgage Pro 2004-RZ2 HEL - FRM1A-2 Aaa AAA FGIC Gty 100.00%$29.50 2.00 99.9940 50 Swap - 2Y3.69%1A-3 Aaa AAA FGIC Gty 100.00%$59.70 3.00 99.9801 57 Swap - 3Y4.30%1A-4 Aaa AAA FGIC Gty 100.00%$43.70 5.00 99.9896 90 Swap - 5Y5.35%1A-5 Aaa AAA FGIC Gty 100.00%$28.90 7.82 99.9666 100 Swap - 7Y5.98%1A-6 Aaa AAA FGIC Gty 100.00%$30.00 6.26 99.9807 68 Swap - 7Y5.41%A-IO Aaa AAA FGIC Gty 100.00%$0.00 Swap - Int2A Aaa AAA FGIC Gty 100.00%$175.00 2.74 100.0000 25 1 Mo. LIBORHEL - ARM

$475.00

A-1 P-1 A-1+WS MBIA Gty 100.00%$74.00 0.326/7/04 100.0000 1.55% 2 4 Mo. LIBOR1.55%Drive Auto Receivables Trust 2004-1 Auto Non PrimeA-2 Aaa AAA MBIA Gty 100.00%$116.00 1.00 99.9974 2.55% 16 EDSF2.53%A-3 Aaa AAA MBIA Gty 100.00%$130.00 2.00 99.9879 3.53% 35 Swap - 2Y3.50%A-4 Aaa AAA MBIA Gty 100.00%$117.50 3.09 99.9826 4.18% 40 Swap - Int4.18%

$437.50

1A-A Aaa AAAML: JPM,CWSC S/S,OC 20.25%$588.516/4/04 Merrill Lynch Mortgage Investors 2004-WMC4 HEL - ARM1A-B Aa1 AAA S/S,OC 20.25%$30.97 2.23 100.0000 45 1 Mo. LIBOR2A-A Aaa AAA S/S,OC 20.25%$200.00 2.22 1 Mo. LIBOR2A-B1 Aaa AAA S/S,OC 20.25%$121.83 1.00 100.0000 14 1 Mo. LIBOR2A-B2 Aaa AAA S/S,OC 20.25%$86.68 3.00 100.0000 27 1 Mo. LIBOR2A-B3 Aaa AAA S/S,OC 20.25%$18.29 6.60 100.0000 49 1 Mo. LIBORM-1 Aa2 AA S/S,OC 13.50%$88.56 4.75 100.0000 60 1 Mo. LIBORM-2 A2 A S/S,OC 80.00%$72.16 4.58 100.0000 125 1 Mo. LIBORM-3 A3 A- S/S,OC 6.25%$22.96 4.52 100.0000 143 1 Mo. LIBORB-1 Baa1 BBB+ S/S,OC 4.75%$19.68 4.50 100.0000 198 1 Mo. LIBORB-2 Baa2 BBB S/S,OC 3.75%$13.12 4.49 100.0000 225 1 Mo. LIBORB-3 Baa3 BBB- S/S,OC 2.25%$19.68 4.47 98.0124 425 1 Mo. LIBORB-4 Ba1 BB+ OC 0.90%$17.71 4.05

$1,300.16


26

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 Aaa AAA AAAMS: CWSC,UCP S/S,OC$629.116/4/04 Morgan Stanley ABS Capital I 2004-HE4 HEL - ARMA-2 Aaa AAA AAA S/S,OC$537.87 2.74 1 Mo. LIBORA-3 Aaa AAA AAA S/S,OC$287.57 1.25 20 1 Mo. LIBORA-4 Aaa AAA AAA S/S,OC$100.30 6.28 52 1 Mo. LIBORM-1 Aa2 AA AA S/S,OC$90.05 5.32 60 1 Mo. LIBORM-2 A2 A A S/S,OC$75.64 5.30 130 1 Mo. LIBORM-3 A3 A- A- S/S,OC$25.21 5.29 150 1 Mo. LIBORB-1 Baa1 BBB+ BBB+ S/S,OC$18.01 5.28 210 1 Mo. LIBORB-2 Baa2 BBB BBB S/S,OC$18.01 5.28 230 1 Mo. LIBORB-3 Baa3 BBB- BBB- OC$18.01 5.24 480 1 Mo. LIBOR

$1,799.77

A A1 A+WS$125.50 8.666/4/04 92.3681 160 1 Mo. LIBORWachovia Repackaged Airplanes S 2004-1 Aircraft

$125.50

A-1 Aaa AAA AAARBOS/ML: JPM, XL Capital Gty100.00%$720.626/3/04 Ameriquest Mortgage Securities 2004-R6 HEL - ARMA-2 Aaa AAA AAA XL Capital Gty100.00%$54.40 0.92 14 1 Mo. LIBORA-3 Aaa AAA AAA XL Capital Gty100.00%$39.20 3.00 27 1 Mo. LIBORA-4 Aaa AAA AAA XL Capital Gty100.00%$29.40 6.61 45 1 Mo. LIBORM-1 A3 A- A- S/S,OC 5.25%$9.00 5.13 140 1 Mo. LIBORM-2 Baa1 BBB+ BBB+ S/S,OC 4.25%$9.00 5.12 190 1 Mo. LIBORM-3 Baa2 BBB BBB S/S,OC 3.25%$9.00 5.12 215 1 Mo. LIBORM-4 Baa3 BBB- BBB S/S,OC 2.35%$8.10 5.11 450 1 Mo. LIBORM-5 Ba1 BB+ BB+ OC 1.50%$7.65

$886.37

A-4 Aaa AAA AAABCG/DB: CSFB, S/S 18.75%$200.00 7.006/3/04 100.0000 15 1 Mo. LIBORCapital One Multi-Asset Execution 2004-A4 CrCds - Bank

$200.00

A-5 Aaa AAA AAABCG/DB: CSFB,L S/S 18.75%$400.00 10.006/3/04 100.0000 22 1 Mo. LIBORCapital One Multi-Asset Execution 2004-A5 CrCds - Bank

$400.00


27

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-IO Aaa AAA AAABOA: CITG,CSF S/S,OC$0.006/3/04 Centex Home Equity Loan Trust 2004-C HEL - ARMAV-1 Aaa AAA AAA S/S,OC$98.22 1 Mo. LIBORAV-2 Aaa AAA AAA S/S,OC$120.00 1.92 100.0000 25 1 Mo. LIBORAV-3 Aaa AAA AAA S/S,OC$178.72 1.00 100.0000 13 1 Mo. LIBORAV-4 Aaa AAA AAA S/S,OC$42.94 3.00 100.0000 27 1 Mo. LIBORAV-5 Aaa AAA AAA S/S,OC$25.12 6.64 100.0000 48 1 Mo. LIBORAF-1 Aaa AAA AAA S/S,OC$100.34 1.00 99.9927 2.64% 34 EDSF2.82%HEL - FRMAF-2 Aaa AAA AAA S/S,OC$22.95 2.00 99.9870 3.36% 34 Swap - 2Y3.45%AF-3 Aaa AAA AAA S/S,OC$51.28 3.00 99.9812 3.96% 36 Swap - 3Y4.02%AF-4 Aaa AAA AAA S/S,OC$49.75 5.00 99.9807 5.06% 70 Swap - 5Y5.08%AF-5 Aaa AAA AAA S/S,OC$31.51 7.52 99.9915 5.99% 110 Swap - Int5.98%AF-6 Aaa AAA AAA S/S,OC$28.43 6.32 99.9896 5.26% 59 Swap - Int5.27%M-1 Aa1 AA+ AA+ S/S,OC$33.75 5.13 100.0000 48 1 Mo. LIBORHEL - ARMM-2 Aa2 AA AA S/S,OC$27.00 5.10 100.0000 53 1 Mo. LIBORM-3 A3 AA- AA- S/S,OC$18.45 5.07 100.0000 67 1 Mo. LIBORM-4 A1 A+ A+ S/S,OC$13.05 5.07 100.0000 105 1 Mo. LIBORM-5 A2 A A S/S,OC$16.65 5.05 100.0000 115 1 Mo. LIBORM-6 A3 A- A- S/S,OC$13.50 5.05 100.0000 140 1 Mo. LIBORM-7 Baa1 BBB+ BBB+ S/S,OC$13.50 5.04 100.0000 195 1 Mo. LIBORB Baa2 BBB BBB OC$14.85 5.03 100.0000 215 1 Mo. LIBOR

$900.01

A Aaa AAAGS/WS: MS S/S,OC$552.86 5.886/3/04 100.0000 29 1 Mo. LIBORGE Business Loan Trust 2004-1 SBL - Balance SheetIO Aaa AAA S/S,OC3.80% 1 Mo. LIBORB A2 A S/S,OC$43.98 5.88 100.0000 70 1 Mo. LIBORC Baa2 BBB OC$31.41 5.88 100.0000 120 1 Mo. LIBOR

$628.25

A-1 Aaa AAA AAAJPM/CSFB: BOA S/S,RF 3.25%$284.00 1.006/3/04 100.0000 0 3 Mo. LIBORSLM Student Loan Trust 2004-5 StLns - ConsA-2 Aaa AAA AAA S/S,RF 3.25%$447.00 3.00 100.0000 3 3 Mo. LIBORA-3 Aaa AAA AAA S/S,RF 3.25%$331.00 5.00 100.0000 9 3 Mo. LIBORA-4 Aaa AAA AAA S/S,RF 3.25%$607.84 7.36 100.0000 15 3 Mo. LIBORB Aa1 AA+ AA+ RF 0.25%$91.05 11.15 100.0000 48 3 Mo. LIBOR

$1,760.89


28

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 P-1 A-1+ F-1+BCG/CSFB: DB, S/S,OC,RF$118.00 0.216/2/04 100.0000 1.28% -1 3 Mo. LIBOR1.28%AmeriCredit Auto Receivables Trust 2004-1 Auto Non PrimeA-2 Aaa AAA AAA S/S,OC,RF$198.00 1.00 99.9975 2.32% 14 EDSF2.31%A-3 Aaa AAA AAA S/S,OC,RF$93.99 2.01 99.9959 3.24% 20 Swap - 2Y3.22%B Aa2 AA AA S/S,OC,RF$49.33 2.52 99.9827 3.74% 40 Swap - Int3.70%C A1 A A S/S,OC,RF$57.84 3.11 99.9809 4.26% 60 Swap - Int4.22%D Baa2 BBB BBB S/S,OC,RF$57.84 3.62 99.9674 5.13% 125 Swap - Int5.07%

$575.00

A-1 Aaa AAA AAAUBS/DB: CITG,G$189.00 2.406/2/04 12 3 Mo. LIBORNational Collegiate Trust 2004-S1 StLns - FFELPA-2 Aaa AAA AAA$342.10 7.20 26 3 Mo. LIBORA-3 Aaa AAA AAA$105.00 12.90 38 3 Mo. LIBORA-4 Aaa AAA AAA$75.00 16.30 3 Mo. LIBOR

$711.10

A-1 Aaa AAA AAARBOS/WAMU: D S/S,OC$1,200.29 2.456/1/04 100.0000 1 Mo. LIBORLong Beach Mortgage Loan Trust 2004-3 HEL - ARMA-2 Aaa AAA AAA S/S,OC$217.00 0.71 100.0000 12 1 Mo. LIBORA-3 Aaa AAA AAA S/S,OC$223.00 2.91 100.0000 26 1 Mo. LIBORA-4 Aaa AAA AAA S/S,OC$54.21 7.15 100.0000 50 1 Mo. LIBORM-1 Aa1 AA+ AA+ S/S,OC$54.98 5.07 100.0000 57 1 Mo. LIBORM-2 Aa2 AA AA S/S,OC$59.98 5.03 100.0000 60 1 Mo. LIBORM-3 Aa3 AA- AA- S/S,OC$29.99 5.01 100.0000 65 1 Mo. LIBORM-4 A1 A+ A S/S,OC$29.99 4.99 100.0000 108 1 Mo. LIBORM-5 A2 A A S/S,OC$29.99 4.99 100.0000 115 1 Mo. LIBORM-6 A3 A- A S/S,OC$24.99 4.98 100.0000 143 1 Mo. LIBORM-7 Baa1 BBB+ BBB+ S/S,OC$24.99 4.97 100.0000 195 1 Mo. LIBORM-8 Baa2 BBB BBB S/S,OC$24.99 4.97 100.0000 215 1 Mo. LIBORM-9 Baa3 BBB- BBB- S/S,OC$24.99 4.95 93.5313 450 1 Mo. LIBOR

$1,999.38


29

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 Aaa AAA AAACSFB: BOCM S/S,OC$541.00 2.405/28/04 1 Mo. LIBORAsset Backed Securities Corporatio 2004-HE5 HEL - ARMA-1A Aaa AAA AAA S/S,OC$60.00 2.40 1 Mo. LIBORA-2 Aaa AAA AAA S/S,OC$83.70 1.00 1 Mo. LIBORA-3 Aaa AAA AAA S/S,OC$88.70 3.00 1 Mo. LIBORA-4 Aaa AAA AAA S/S,OC$16.35 6.46 1 Mo. LIBORM-1 Aa2 AA AA S/S,OC$61.91 4.65 1 Mo. LIBORM-2 A2 A A S/S,OC$46.31 4.55 60 1 Mo. LIBORM-3 A3 A- A S/S,OC$13.65 4.52 125 1 Mo. LIBORM-4 Baa1 BBB+ A- S/S,OC$10.73 4.50 150 1 Mo. LIBORM-5 Baa2 BBB BBB+ S/S,OC$10.73 4.50 1 Mo. LIBORM-6 Baa3 BBB- BBB S/S,OC$8.78 4.49 1 Mo. LIBORM-7 Ba1 BB+ BB+ OC$9.74 4.47 1 Mo. LIBOR

$951.60

A-1 Aaa AAA AAAUBS/CSC S/S,OC$267.87 2.685/28/04 100.0000 1 Mo. LIBORIndyMac Home Equity Mortgage Lo 2004-A HEL - ARMA-2 Aaa AAA AAA S/S,OC$52.10 1.00 100.0000 16 1 Mo. LIBORA-3 Aaa AAA AAA S/S,OC$37.78 4.43 100.0000 48 1 Mo. LIBORM-1 Aa2 AA AA S/S,OC$28.13 5.07 100.0000 62 1 Mo. LIBORM-2 A2 A A S/S,OC$22.05 5.01 100.0000 135 1 Mo. LIBORM-3 A3 A- A- S/S,OC$5.63 4.99 100.0000 155 1 Mo. LIBORM-4 Baa2 BBB+ BBB+ S/S,OC$11.70 4.97 100.0000 250 1 Mo. LIBORM-5 BBB BBB S/S,OC$4.95 4.97 1 Mo. LIBORM-6 BBB BBB- S/S,OC$4.50 4.95 1 Mo. LIBORM-7 BBB- OC$8.55 4.91 Swap8.00%

$443.25

A-1 Aaa AAAMS: UCP,BLA S/S,OC$191.21 3.025/28/04 100.0000 1 Mo. LIBORMorgan Stanley ABS Capital I 2004-SD2 HEL - ARMM-1 Aa2 AA S/S,OC$10.15 5.67 100.0000 62 1 Mo. LIBORM-2 A2 A S/S,OC$9.03 5.67 100.0000 145 1 Mo. LIBORB-1 Baa2 BBB S/S,OC$7.33 5.67 100.0000 270 1 Mo. LIBORB-2 Baa3 BBB- OC$2.26 5.67 100.0000 1 Mo. LIBOR

$219.98


30

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 Aaa AAAML: CWSC S/S,OC$321.795/28/04 27 1 Mo. LIBORSpecialty Underwriting and Residen 2004-BC2 HEL - ARMA-2 Aaa AAA S/S,OC$150.00 2.65 27 1 Mo. LIBORM-1 Aa2 AA S/S,OC$38.53 5.24 55 1 Mo. LIBORM-2 A2 A S/S,OC$31.91 5.05 120 1 Mo. LIBORM-3 A3 A- S/S,OC$9.78 4.91 143 1 Mo. LIBORB-1 Baa2 BBB S/S,OC$15.81 4.73 220 1 Mo. LIBORB-2 Baa3 BBB- OC$7.19 4.28 400 1 Mo. LIBOR

$575.00

A-1 AAAML/WS: BOA,BS, OC$274.00 3.005/28/04 3 Swap - 3YTXU Electic Delivery Transition Bo 2004-1 Stranded AssetA-2 AAA OC$224.00 7.00 11 TSYA-3 AAA OC$292.00 10.40 14 TSY

$790.00

A-2 Aaa AAAMS/BS: BOA,GS S/S,OC$89.92 2.635/27/04 100.0000 32 1 Mo. LIBORArgent Securities Inc. 2004-W9 HEL - ARMM-1 Aa2 AA S/S,OC$31.25 5.21 100.0000 58 1 Mo. LIBORM-2 A2 A S/S,OC$22.50 5.17 100.0000 135 1 Mo. LIBORM-3 A3 A- S/S,OC$6.25 5.15 100.0000 160 1 Mo. LIBORM-4 Baa1 BBB+ S/S,OC$6.25 5.15 100.0000 210 1 Mo. LIBORM-5 Baa2 BBB S/S,OC$5.25 5.14 100.0000 250 1 Mo. LIBORM-6 Baa3 BBB- OC$4.75 5.13 95.5896 475 1 Mo. LIBOR

$166.17

A-1 Aaa AAA AAABCG: CSC S/S,OC$310.52 2.785/27/04 1 Mo. LIBORFirst Franklin Mtg Loan Asset Back 2004-FF4 HEL - ARMA-2 Aaa AAA AAA S/S,OC$227.54 2.78 100.0000 29 1 Mo. LIBORM-1 Aa2 AA AA S/S,OC$34.36 5.34 100.0000 57 1 Mo. LIBORM-2 A2 A A S/S,OC$30.79 5.33 100.0000 125 1 Mo. LIBORM-3 A3 A- A- S/S,OC$9.72 5.32 100.0000 150 1 Mo. LIBORB-1 Baa1 BBB+ BBB+ S/S,OC$6.48 5.31 100.0000 195 1 Mo. LIBORB-2 Baa2 BBB BBB S/S,OC$8.10 5.31 100.0000 225 1 Mo. LIBORB-3 Baa3 BBB- BBB- OC$8.10 5.27 97.0381 440 1 Mo. LIBOR

$635.63

A Aaa AAA AAABOA/CSFB S/S$500.00 7.005/27/04 100.0000 14 1 Mo. LIBORMBNA Credit Card Master Note Trus 2004-A6 CrCds - Bank

$500.00


31

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A Aaa AAABOA S/S$200.00 2.965/27/04 100.0000 20 1 Mo. LIBORNavistar Financial Dealer Note MT 2004-1 FloorplanB A2 A- S/S$12.00 2.96 100.0000 82 1 Mo. LIBOR

$212.00

A-1 AAA AAAMS: WCG,UCP S/S,OC$525.48 2.875/26/04 43 1 Mo. LIBORMorgan Stanley ABS Capital I 2004-HE3 HEL - ARMA-2 AAA AAA S/S,OC$21.15 6.54 45 1 Mo. LIBORA-3 AAA AAA S/S,OC$195.00 0.90 13 1 Mo. LIBORA-4 AAA AAA S/S,OC$236.25 4.94 40 1 Mo. LIBORM-1 AA AA S/S,OC$75.67 5.83 57 1 Mo. LIBORM-2 A- A- S/S,OC$40.75 5.73 125 1 Mo. LIBORM-3 BBB+ BBB+ S/S,OC$11.64 5.64 150 1 Mo. LIBORB-1 BBB BBB S/S,OC$11.64 5.57 205 1 Mo. LIBORB-2 BBB- BBB- S/S,OC$11.64 5.47 240 1 Mo. LIBORB-3 OC$11.64 5.27 375 1 Mo. LIBOR

$1,140.86

A Aaa AAAJPM: BCG,CITG, S/S,OC$405.25 2.125/26/04 100.0000 19 1 Mo. LIBORProvidian Gateway Owner Trust 2004-B CrCds - BankB Aa2 AA S/S,OC$68.20 2.12 100.0000 40 1 Mo. LIBORC A2 A S/S,OC$96.30 2.12 100.0000 85 1 Mo. LIBORD Baa2 BBB OC$80.25 2.12 100.0000 140 1 Mo. LIBOR

$650.00

A-1 Aaa AAALB S/S,OC$219.51 0.685/25/04 100.0000 12 1 Mo. LIBORStructured Asset Securities 2004-S2 HEL - 2ndA-2 Aaa AAA S/S,OC$137.03 2.13 100.0000 23 1 Mo. LIBORA-3 Aaa AAA S/S,OC$30.02 5.72 100.0000 47 1 Mo. LIBORM-1 Aa2 AA S/S,OC$47.10 5.27 100.0000 55 1 Mo. LIBORM-2 Aa3 AA- S/S,OC$14.89 4.72 100.0000 60 1 Mo. LIBORM-3 A2 A S/S,OC$25.72 4.56 100.0000 110 1 Mo. LIBORM-4 A3 A- S/S,OC$9.47 4.46 100.0000 135 1 Mo. LIBORM-5 Baa1 BBB+ S/S,OC$9.47 4.43 100.0000 180 1 Mo. LIBORM-6 Baa2 BBB S/S,OC$12.18 4.39 100.0000 215 1 Mo. LIBORM-7 Baa3 BBB- OC$9.47 4.36 94.5597 440 1 Mo. LIBOR

$514.86


32

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1A Aaa AAA AAACSFB/BOA/DB: S/S,OC$619.00 2.695/24/04 100.0000 27 1 Mo. LIBORAmeriquest Mortgage Securities 2004-R5 HEL - ARMA-1B Aaa AAA AAA S/S,OC$68.77 2.69 100.0000 37 1 Mo. LIBORA-2 Aaa AAA AAA S/S,OC$76.20 1.00 100.0000 11 1 Mo. LIBORA-3 Aaa AAA AAA S/S,OC$37.80 3.00 100.0000 27 1 Mo. LIBORA-4 Aaa AAA AAA S/S,OC$29.23 6.62 100.0000 51 1 Mo. LIBORM-1 Aa2 AA AA S/S,OC$57.50 5.20 100.0000 58 1 Mo. LIBORM-2 A2 A A S/S,OC$47.50 5.16 100.0000 125 1 Mo. LIBORM-3 A3 A- A- S/S,OC$10.00 5.15 100.0000 155 1 Mo. LIBORM-4 Baa1 BBB+ BBB+ S/S,OC$12.50 5.14 100.0000 227 1 Mo. LIBORM-5 Baa2 BBB BBB S/S,OC$9.00 5.14 100.0000 245 1 Mo. LIBORM-6 Baa3 BBB- BBB- S/S,OC$7.50 5.14 100.0000 475 1 Mo. LIBORM-7 Ba2 BB+ BB+ OC$10.00 4.95 100.0000 1 Mo. LIBOR

$985.00

1A Aaa AAA AAACWSC: ML,PFS, S/S,OC$1,320.31 2.685/24/04 100.0000 25 1 Mo. LIBORCountrywide Asset Backed Certific 2004-5 HEL - ARM2A Aaa AAA AAA S/S,OC$964.66 2.66 100.0000 25 1 Mo. LIBOR3A Aaa AAA AAA S/S,OC$550.54 2.46 100.0000 23 1 Mo. LIBOR

4-A1 Aaa AAA AAA S/S,OC$291.42 1.00 100.0000 11 1 Mo. LIBOR4-A2 Aaa AAA AAA S/S,OC$200.00 2.99 100.0000 24 1 Mo. LIBOR4-A3 Aaa AAA AAA S/S,OC$103.48 3.96 100.0000 32 1 Mo. LIBOR4-A4 Aaa AAA AAA S/S,OC$61.19 8.68 100.0000 48 1 Mo. LIBOR

A Aa1 AAA AAA S/S,OC$139.75 2.63 100.0000 45 1 Mo. LIBORM-1 Aa2 AA+ AA+ S/S,OC$129.00 5.00 100.0000 57 1 Mo. LIBORM-2 Aa3 AA+ AA S/S,OC$86.00 4.91 100.0000 67 1 Mo. LIBORM-3 A1 AA AA- S/S,OC$64.50 4.85 100.0000 115 1 Mo. LIBORM-4 A2 AA A+ S/S,OC$75.25 4.80 100.0000 125 1 Mo. LIBORM-5 A3 AA- A S/S,OC$64.50 4.73 100.0000 155 1 Mo. LIBORM-6 Baa1 A A- S/S,OC$53.75 4.64 100.0000 200 1 Mo. LIBORM-7 Baa2 BBB+ BBB+ S/S,OC$64.50 4.53 100.0000 275 1 Mo. LIBORB Baa3 BBB BBB- OC$53.75 4.29 90.7051 550 1 Mo. LIBOR

$4,222.60

A Aaa AAA AAAJPM/BOCM: BC S/S 16.00%$1,470.00 2.965/21/04 100.0000 4 1 Mo. LIBORChase Credit Card Owner Trust 2004-2 CrCds - BankB A2 A A S/S 9.00%$122.50 3.04 100.0000 22 1 Mo. LIBORC Baa2 BBB BBB SA 1.00%$157.50 3.04 100.0000 55 1 Mo. LIBOR

$1,750.00


33

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

1A-1 Aaa AAACWSC: ML S/S,OC 17.50%$877.91 3.025/21/04 100.0000 36 1 Mo. LIBORImpac CMB Trust 2004-5 HEL - ARM1A-2 Aaa AAA S/S,OC 17.50%$200.00 3.02 100.0000 35 1 Mo. LIBOR1A-3 Aaa AAA S/S,OC 17.50%$22.00 3.02 100.0000 46 1 Mo. LIBOR1M-1 Aa1 AAA S/S,OC 14.25%$43.07 3.02 100.0000 53 1 Mo. LIBOR1M-2 Aa2 AA+ S/S,OC 10.75%$46.38 3.02 100.0000 58 1 Mo. LIBOR1M-3 Aa3 AA+ S/S,OC 8.50%$29.82 3.02 100.0000 63 1 Mo. LIBOR1M-4 A1 AA S/S,OC 5.50%$39.76 3.02 100.0000 110 1 Mo. LIBOR1M-5 A2 AA S/S,OC 3.50%$26.50 3.02 100.0000 130 1 Mo. LIBOR1M-6 A3 AA- S/S,OC 0.50%$39.75 3.02 100.0000 155 1 Mo. LIBOR2A Aaa AAA S/S,OC 42.20%$59.89 4.50 35 1 Mo. LIBOR

2M-1 Aa2 S/S,OC 33.00%$9.21 4.50 60 1 Mo. LIBOR2M-2 A2 S/S,OC 22.50%$10.52 4.50 115 1 Mo. LIBOR2B Baa2 OC 4.25%$18.28 4.50 225 1 Mo. LIBOR

$1,423.08

A Aaa AAACSFB/CITG S/S,OC$120.00 4.005/21/04 4.60% 60 Swap - 4Y4.62%Marriott Vacation Club Owner Trust 2004-1 Time ShareB Aa2 AA S/S,OC$9.00 4.00 4.85% 85 Swap - 4Y4.87%C A2 A S/S,OC$10.50 4.00 5.25% 125 Swap - 4Y5.27%D Baa2 BBB OC$10.50 4.00 6.00% 200 Swap - 4Y6.02%

$150.00

A-1 Aaa AAA AAAMS: CWSC,UCP S/S,OC$385.96 2.905/21/04 100.0000 44 1 Mo. LIBORMorgan Stanley ABS Capital I 2004-NC5 HEL - ARMA-2 Aaa AAA AAA S/S,OC$70.00 3.05 100.0000 30 1 Mo. LIBORA-3 Aaa AAA AAA S/S,OC$104.50 1.70 100.0000 18 1 Mo. LIBORA-4 Aaa AAA AAA S/S,OC$28.34 6.79 100.0000 50 1 Mo. LIBORM-1 Aa2 AA AA S/S,OC$45.29 5.86 100.0000 60 1 Mo. LIBORM-2 A2 A A S/S,OC$38.05 5.77 100.0000 120 1 Mo. LIBORM-3 A3 A- A- S/S,OC$10.87 5.68 100.0000 155 1 Mo. LIBORB-1 Baa1 BBB+ BBB+ S/S,OC$10.87 5.60 100.0000 200 1 Mo. LIBORB-2 Baa2 BBB BBB S/S,OC$9.06 5.47 100.0000 225 1 Mo. LIBORB-3 Baa3 BBB- BBB- S/S,OC$6.52 5.28 96.1649 460 1 Mo. LIBORB-4 Ba1 BB+ OC$7.97 4.81 1 Mo. LIBOR

$717.43


34

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

1A-1 Aaa AAACSFB: CITG,JP AMBAC Gty 100.00%$142.96 1.005/21/04 100.0000 13 1 Mo. LIBORResidential Asset Mortgage Product 2004-RS5 HEL - FRM1A-2 Aaa AAA AMBAC Gty 100.00%$30.00 2.19 3.75% 70 Swap - Int3.84%1A-3 Aaa AAA AMBAC Gty 100.00%$75.00 3.23 4.42% 78 Swap - Int4.48%1A-4 Aaa AAA AMBAC Gty 100.00%$42.73 5.00 5.42% 110 Swap - 5Y5.44%1A-5 Aaa AAA AMBAC Gty 100.00%$69.31 8.67 6.44% 140 Swap - Int5.75%1A-6 Aaa AAA AMBAC Gty 100.00%$40.00 6.76 5.55% 81 Swap - Int5.55%2A-A Aaa AAA S/S,OC 22.70%$236.74 2.56 1 Mo. LIBORHEL - ARM2A-B1 Aaa AAA S/S,OC 22.70%$133.64 1.00 100.0000 10 1 Mo. LIBOR2A-B2 Aaa AAA S/S,OC 22.70%$84.22 3.00 100.0000 24 1 Mo. LIBOR2A-B3 Aaa AAA S/S,OC 22.70%$45.88 7.00 100.0000 47 1 Mo. LIBOR2M-1 Aa2 AA S/S,OC 13.10%$62.40 5.38 100.0000 60 1 Mo. LIBOR2M-2 A2 A S/S,OC 8.35%$30.88 5.36 100.0000 125 1 Mo. LIBOR2M-3 A3 A- S/S,OC 7.10%$8.13 5.35 100.0000 145 1 Mo. LIBOR2M-4 Baa1 BBB+ S/S,OC 5.35%$11.38 5.35 100.0000 200 1 Mo. LIBOR2M-5 Baa2 BBB OC 3.85%$9.75 5.35 100.0000 235 1 Mo. LIBOR

$1,023.00

Notes GS/BNP$227.50 3.005/21/04 Residential Reinsurance Ltd 2004 Catastrophe

$227.50

A Aaa AAACITG: BOA,BCG, S/S,OC$334.00 9.955/19/04 100.0000 17 1 Mo. LIBORAmerican Express Credit Account 2004-2 CrCds - BankB A1 A S/S,OC$30.00 9.95 100.0000 37 1 Mo. LIBORC Baa2 BBB OC$36.00 9.95 100.0000 67 1 Mo. LIBOR

$400.00

A Aaa AAACITG: BOA,CSF S/S,OC$522.00 4.955/19/04 99.8233 4.43% 5 Swap - 5Y4.35%American Express Credit Account 2004-3 CrCds - BankB A1 A S/S,OC$30.00 4.95 99.8839 4.62% 24 Swap - 5Y4.55%C Baa2 BBB OC$48.00 4.95 100.0000 47 1 Mo. LIBOR

$600.00


35

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 Aaa AAA AAARBS/MS: UBS S/S,OC$192.77 1.795/19/04 100.0000 1 Mo. LIBORArgent Securities Inc. 2004-PW1 HEL - ARMA-2 Aaa AAA AAA S/S,OC$21.42 7.44 100.0000 56 1 Mo. LIBORA-3 Aaa AAA AAA S/S,OC$50.06 2.37 100.0000 31 1 Mo. LIBORIO Aaa AAA AAA S/S,OC$0.00M-1 Aa1 AA+ AA+ S/S,OC$16.28 5.91 100.0000 58 1 Mo. LIBORM-2 Aa2 AA AA S/S,OC$18.03 5.76 100.0000 60 1 Mo. LIBORM-3 Aa3 AA- AA- S/S,OC$7.53 5.69 100.0000 70 1 Mo. LIBORM-4 A1 A+ A+ S/S,OC$6.83 5.65 100.0000 125 1 Mo. LIBORM-5 A2 A A S/S,OC$8.75 5.61 100.0000 140 1 Mo. LIBORM-6 A3 A- A- S/S,OC$3.85 5.57 100.0000 175 1 Mo. LIBORM-7 Baa1 BBB+ BBB+ S/S,OC$6.48 5.54 100.0000 238 1 Mo. LIBORM-8 Baa2 BBB BBB S/S,OC$3.85 5.49 100.0000 280 1 Mo. LIBORM-9 Baa3 BBB- BBB- S/S,OC$4.90 5.44 100.0000M-10 Ba1 BB+ BB+ S/S,OC$4.38M-11 Ba2 BB BB OC$4.90

$350.00

A Aaa AAAWS: CSFB S/S,OC$175.00 5.605/19/04 100.0000 43 1 Mo. LIBORBusiness Loan Express 2004-1 SBLB A2 A S/S,OC$20.00 5.60 100.0000 125 1 Mo. LIBORC Baa2 BBB OC$5.00 5.60 1 Mo. LIBOR

$200.00

A-1 Aaa AAACITG: BNP,JPM, S/S,OC 7.50%$388.00 1.005/19/04 99.9902 2.20% 4 EDSF2.18%Harley-Davidson Motorcycle Trust 2004-2 MotorcycleA-2 Aaa AAA S/S,OC 7.50%$203.57 3.01 99.9960 3.59% 4 Swap - Int3.56%B A2 A OC 1.00%$34.43 1.70 99.9990 2.98% 19 EDSF2.96%

$626.00

A-1 P-1 A-1+ML: CSFB,WS XL Capital Gty100.00%$92.00 0.375/19/04 100.0000 1.40% 0 1 Mo. LIBOR1.40%Onyx Acceptance Owner Trust 2004-B Auto Non PrimeA-2 Aaa AAA XL Capital Gty100.00%$92.00 1.00 99.9964 2.23% 8 EDSF2.22%A-3 Aaa AAA XL Capital Gty100.00%$155.00 2.00 99.9981 3.11% 13 Swap - 2Y3.09%A-4 Aaa AAA XL Capital Gty100.00%$111.00 3.36 99.9774 3.93% 16 Swap - Int3.89%

$450.00


36

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 P-1 A-1+BOA/JPM: ABN, S/S,OC 5.50%$183.40 0.365/18/04 100.0000 -1 1 Mo. LIBOR1.37%Caterpillar Financial Asset Trust 2004-A Equip - HeavyA-2 Aaa AAA S/S,OC 5.50%$164.00 1.05 99.9927 2.20% 5 EDSF2.18%A-3 Aaa AAA S/S,OC 5.50%$283.30 2.29 99.9796 3.16% 9 Swap - Int3.13%B A2 A+ S/S,OC 2.75%$18.16 3.78 99.9965 3.74% 17 Swap - Int3.71%

CTFS OC 1.25%$9.88 4.40 Swap - Int

$658.74

A-1 P-1 A-1+BS/BOA/LB: ABN S/S,OC$346.00 0.215/18/04 100.00001.24%Ford Credit Auto Owner Trust 2004-A Auto PrimeA-1A Aaa AAA S/S,OC$140.00 0.50 100.00001.48%A-2 Aaa AAA S/S,OC$535.00 1.00 99.9946 2.15% 4 EDSF2.13%A-3 Aaa AAA S/S,OC$559.00 2.00 99.9866 2.96% 3 Swap - 2Y2.93%A-4 Aaa AAA S/S,OC$200.79 3.00 99.9811 3.57% 2 Swap - 3Y3.54%B A1 A S/S,OC$56.24 3.22 99.9908 3.81% 16 Swap - 3Y3.78%C Baa2 BBB S/S,OC$37.49 3.22 99.9816 4.23% 58 Swap - 3Y4.19%D BB OC$37.49 3.22 98.2530 Swap - 3Y6.00%

$1,912.00

1A-1 Aaa AAA AAACITG/LB/CSFB: S/S,OC$1,120.40 0.565/18/04 100.0000 4 3 Mo. LIBORGranite Mortgages 2004-2 Global RMBS1A-2 Aaa AAA AAA S/S,OC$1,322.80 1.79 100.0000 7 3 Mo. LIBOR1B Aa3 AA AACITG/LB/CSFB S/S,OC$40.30 1.79 100.0000 17 3 Mo. LIBOR1M A2 A A S/S,OC$33.20 1.79 100.0000 28 3 Mo. LIBOR1C Baa2 BBB BBB OC$73.50 1.79 100.0000 70 3 Mo. LIBOR

$2,590.20

A-1 Aaa AAA AAACSFB S/S,OC$575.00 2.435/18/04 100.0000 1 Mo. LIBORHome Equity Asset Trust 2004-4 HEL - ARMA-2 Aaa AAA AAA S/S,OC$354.50 2.42 100.0000 27 1 Mo. LIBORM-1 Aa1 AA+ AA+ S/S,OC$35.75 4.98 100.0000 52 1 Mo. LIBORM-2 Aa2 AA AA S/S,OC$27.50 4.95 100.0000 60 1 Mo. LIBORM-3 Aa3 AA- AA- S/S,OC$22.00 4.93 100.0000 1 Mo. LIBORM-4 A1 A+ A+ S/S,OC$16.50 4.92 100.0000 105 1 Mo. LIBORM-5 A2 A A S/S,OC$19.25 4.90 100.0000 115 1 Mo. LIBORM-6 A3 A A- S/S,OC$13.75 4.90 100.0000 145 1 Mo. LIBORB-1 Baa1 A- BBB+ S/S,OC$13.75 4.89 100.0000 200 1 Mo. LIBORB-2 Baa2 BBB+ BBB S/S,OC$11.00 4.88 100.0000 225 1 Mo. LIBORB-3 Baa3 BBB BBB- OC$11.00 4.90 96.4087 1 Mo. LIBOR

$1,100.00


37

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 Aaa AAA AAACSFB/BOA/RBS: MBIA Gty 100.00%$235.69 2.045/18/04 99.9966 3.70% 75 Swap - Int3.67%Sierra Receivables Funding Compa 2004-1 Time ShareA-2 Aaa AAA AAA MBIA Gty 100.00%$100.00 2.04 100.0000 18 1 Mo. LIBOR

$335.69

A-1 Aaa AAA AAAML/MS: BCG,DB, S/S,OC 8.50%$635.00 2.535/18/04 100.0000 5 3 Mo. LIBORSLM Student Loan Trust 2004-B StLns - PrivA-2 Aaa AAA AAA S/S,OC 8.50%$378.00 7.00 100.0000 20 3 Mo. LIBORA-3 Aaa AAA AAA S/S,OC 8.50%$277.15 11.85 100.0000 33 3 Mo. LIBORA-4 Aaa AAA AAA S/S,OC 8.50%$100.00 14.55 100.0000 43 3 Mo. LIBORB A1 A A+ S/S,OC 5.25%$49.24 8.83 100.0000 47 3 Mo. LIBORC Baa1 BBB BBB+ OC 0.75%$68.18 7.51 100.0000 87 3 Mo. LIBOR

$1,507.57

A-2 Aaa AAA AAALB S/S,OC$254.92 1.495/18/04 100.0000 18 1 Mo. LIBORStructured Asset Investment Loan T 2004-5 HEL - ARMA-3 Aaa AAA AAA S/S,OC$43.54 5.98 100.0000 50 1 Mo. LIBORM-1 Aa1 AAA AAA S/S,OC$26.43 4.56 100.0000 53 1 Mo. LIBORM-2 Aa2 AA+ AA+ S/S,OC$24.23 4.48 100.0000 55 1 Mo. LIBORM-3 Aa3 AA AA S/S,OC$13.22 4.44 100.0000 62 1 Mo. LIBORM-4 A1 AA- AA- S/S,OC$15.42 4.41 100.0000 98 1 Mo. LIBORM-5 A2 A A S/S,OC$13.22 4.39 100.0000 115 1 Mo. LIBORM-6 A3 A- A- S/S,OC$11.01 4.36 100.0000 148 1 Mo. LIBORM-7 Baa1 BBB+ BBB+ S/S,OC$8.81 4.36 100.0000 200 1 Mo. LIBORM-8 Baa2 BBB BBB S/S,OC$11.01 4.28 100.0000 240 1 Mo. LIBORB Baa3 BBB- BBB- OC$11.01 3.59 1 Mo. LIBOR

$432.82

AV-1 Aaa AAAGS: S/S,OC$158.10 1.005/17/04 10 1 Mo. LIBOR0.00%GSAA Trust 2004-3 HEL - ARMAF-2 Aaa AAA S/S,OC$99.15 3.00 Swap4.46%HEL - FRMAF-3 Aaa AAA S/S,OC$30.11 5.00 Swap5.53%AF-4 Aaa AAA S/S,OC$63.08 8.58 Swap6.22%AF-5 Aaa AAA S/S,OC$38.94 6.77 Swap5.64%M-1 Aa2 AA S/S,OC$15.05 6.42 Swap6.22%M-2 A2 A S/S,OC$11.83 6.42 Swap6.22%B-1 Baa2 BBB S/S,OC$7.53 6.41 Swap6.22%B-2 Baa3 BBB- OC$3.23 6.07 Swap6.22%

$427.00

B-1 A2 A ACITG$200.00 4.995/14/04 100.0000 22 1 Mo. LIBORCitibank Credit Card Issuance Trust 2004-B1 CrCds - Bank

$200.00


38

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

1A-1 Aaa AAA AAACITG/JPM: BOA, S/S,OC 13.15%$113.10 0.935/14/04 100.0000 10 1 Mo. LIBORResidential Asset Securities Corp. 2004-KS5 HEL - FRM1A-2 Aaa AAA AAA S/S,OC 13.15%$22.60 2.00 99.9905 3.32% 37 Swap - 2Y3.32%1A-3 Aaa AAA AAA S/S,OC 13.15%$57.40 3.00 99.9891 3.97% 37 Swap - 3Y3.97%1A-4 Aaa AAA AAA S/S,OC 13.15%$23.70 5.00 99.9909 5.14% 72 Swap - 5Y5.14%1A-5 Aaa AAA AAA S/S,OC 13.15%$25.45 8.02 97.4717 6.01% 95 Swap - 7Y6.01%1A-6 Aaa AAA AAA S/S,OC 13.15%$30.00 6.49 99.9740 5.38% 59 Swap - 7Y5.38%1M-1 Aa2 AA AA S/S,OC 8.65%$13.50 5.66 99.0227 5.80% 120 Swap - 5Y5.80%1M-2 A2 A+ A S/S,OC 6.15%$7.50 5.66 96.7497 6.30% 170 Swap - 5Y6.30%1M-3 Baa2 BBB+ BBB OC 3.90%$6.75 5.66 94.5452 6.80% 220 Swap - 5Y6.80%2A-A Aaa AAA AAA S/S,OC 17.20%$372.90 2.12 1 Mo. LIBORHEL - ARM2A-B1 Aaa AAA AAA S/S,OC 17.20%$183.50 1.00 100.0000 10 1 Mo. LIBOR2A-B2 Aaa AAA AAA S/S,OC 17.20%$174.30 3.00 100.0000 22 1 Mo. LIBOR2A-B3 Aaa AAA AAA S/S,OC 17.20%$15.16 5.66 100.0000 45 1 Mo. LIBOR2M-1 Aa2 AA AA S/S,OC 11.20%$52.50 4.29 100.0000 52 1 Mo. LIBOR2M-2 A2 A+ A S/S,OC 6.20%$43.75 4.14 100.0000 110 1 Mo. LIBOR2M-3 Baa2 BBB+ BBB OC 2.45%$32.81 4.07 100.0000 220 1 Mo. LIBOR

$1,174.92

A BBB+ BBB+LB$137.03 0.795/13/04 99.8520 5.25%5.00%SAIL Net Interest Margin Notes 2004-4 NIM

$137.03

Note Aaa AAA AAADB/ML/MS FSA Gty 100.00%$71.50 0.875/12/04 18 1 Mo. LIBORAQ Finance NIM Trust 2004-RN3 NIM

$71.50

A Aaa AAALB AMBAC Gty 100.00%$260.41 2.495/12/04 100.0000 22 1 Mo. LIBORLehman ABS Corporation 2004-2 HELOC

$260.41

A-1 P-1 A-1+ F-1+CSFB/WS: DBS, AMBAC Gty 100.00%$155.00 0.255/11/04 100.0000 1.21% -3 3 Mo. LIBOR1.21%Capital One Auto Finance Trust 2004-A Auto Non PrimeA-2 Aaa AAA AAA AMBAC Gty 100.00%$375.00 1.00 99.9913 2.24% 9 Swap - 7Y2.22%A-3 Aaa AAA AAA AMBAC Gty 100.00%$165.00 2.00 99.9991 3.09% 11 Swap - 2Y3.07%A-4 Aaa AAA AAA AMBAC Gty 100.00%$305.00 3.07 100.0000 10 1 Mo. LIBOR

$1,000.00


39

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 Aaa AAA AAAUBS/CITG/GS: R S/S,OC$293.00 2.805/11/04 100.0000 5 3 Mo. LIBORCollege Loan Corporation 2004-1 StLns - FFELPA-2 Aaa AAA AAA S/S,OC$307.00 4.85 100.0000 11 3 Mo. LIBORA-3 Aaa AAA AAA S/S,OC$400.00 6.96 100.0000 16 3 Mo. LIBORA-4 Aaa AAA AAA S/S,OC$200.00 11.02 100.0000 19 3 Mo. LIBORB A2 A A OC$100.00 100.0000 Auction

$1,300.00

A-1 Aaa AAARBS: WAMU S/S,OC$460.20 2.565/11/04 29 1 Mo. LIBORFirst Franklin Mtg Loan Asset Back2004-FFH2 HEL - ARMA-2 Aaa AAA S/S,OC$175.00 1.00 10 1 Mo. LIBORA-3 Aaa AAA S/S,OC$248.00 2.84 26 1 Mo. LIBORA-4 Aaa AAA S/S,OC$37.20 8.09 48 1 Mo. LIBORM-1 Aa1 AA+ S/S,OC$42.60 4.98 50 1 Mo. LIBORM-2 Aa2 AA S/S,OC$42.00 4.91 55 1 Mo. LIBORM-3 Aa3 AA- S/S,OC$25.20 4.87 63 1 Mo. LIBORM-4 A1 A+ S/S,OC$24.00 4.84 105 1 Mo. LIBORM-5 A2 A S/S,OC$21.60 4.82 115 1 Mo. LIBORM-6 A3 A- S/S,OC$21.60 4.78 145 1 Mo. LIBORM-7 Baa1 BBB+ S/S,OC$19.20 4.75 195 1 Mo. LIBORM-8 Baa2 BBB S/S,OC$18.60 4.71 215 1 Mo. LIBORM-9 Baa3 BBB- S/S,OC$16.80 4.63 475 1 Mo. LIBORB-1 Ba1 BB+ S/S,OC$19.20 4.51 1 Mo. LIBORB-2 Ba2 BB OC$13.80 4.22 1 Mo. LIBOR

$1,185.00

A Aaa AAA AAACSFB/CITG/HSB S/S,OC$2,000.00 2.995/11/04 100.0000 5 1 Mo. LIBORSuperior Wholesale Inventory Finan 2004-A9 FloorplanCTFS A2 A A+ OC$124.00 2.99 100.0000 25 1 Mo. LIBOR

$2,124.00

A Aaa AAA AAABOCM/BCG: JP S/S,OC 24.50%$390.00 4.995/11/04 100.0000 18 1 Mo. LIBORWorld Financial Network Credit Car 2004-A CrCds - RetailB A1 A A+ S/S,OC 16.00%$42.50 4.99 100.0000 50 1 Mo. LIBORC Baa2 BBB BBB OC 2.50%$67.50 5.07 100.0000 100 1 Mo. LIBOR

$500.00


40

Rating Enhancement



($ MM) CollWAL


5/11/04 - 6/10/04

S&P(Yrs)

U.S.New IssueDetail

June 10, 2004



Analyst

[email protected]

1A-1 Aaa AAARGW: CSFB,GS S/S,OC$423.67 2.835/7/04 100.0000 27 1 Mo. LIBORFremont Home Loan Trust 2004-B HEL - ARM2A-1 Aaa AAA S/S,OC$61.00 0.84 100.0000 10 1 Mo. LIBOR2A-2 Aaa AAA S/S,OC$140.00 2.80 100.0000 24 1 Mo. LIBOR2A-3 Aaa AAA S/S,OC$19.28 8.67 100.0000 48 1 Mo. LIBORM-1 Aa1 AA+ S/S,OC$27.65 5.16 100.0000 58 1 Mo. LIBORM-2 Aa2 AA S/S,OC$25.68 5.11 100.0000 63 1 Mo. LIBORM-3 Aa3 AA- S/S,OC$14.62 5.08 100.0000 68 1 Mo. LIBORM-4 A1 A+ S/S,OC$13.43 5.04 100.0000 117 1 Mo. LIBORM-5 A2 A S/S,OC$10.67 5.00 100.0000 123 1 Mo. LIBORM-6 A3 A- S/S,OC$9.88 4.96 100.0000 155 1 Mo. LIBORM-7 Baa1 BBB+ S/S,OC$10.67 4.89 100.0000 200 1 Mo. LIBORM-8 Baa2 BBB S/S,OC$7.90 4.80 100.0000 235 1 Mo. LIBORM-9 Baa3 BBB- OC$9.88 4.64 94.9531 475 1 Mo. LIBOR

$774.32


41

Europe ABS Spreads to Sterling LIBOR, EURIBOR or Dollar LIBORTable 14European

Spreads

June 10, 2004



Analyst

[email protected]

3

Italian

5

AAA AAA AA BBB

5-7

AAA

Date

Cards (£)

3 7

FixedFloat

Autos

AAA

3-4

German

AAA

3-4

Italian

RMBS

(EUR)(£)

5

AAA($)

5

Bullet

10

A BBB

5-75-7 3

($)AAA

Aussie

4-5

UK

3

Bullet

16 12 17 20 241/8/04 1619 16 40 110 23 65 120 92216 12 17 19 241/15/04 1619 16 40 110 22 65 118 92115 12 17 19 231/22/04 1618 16 40 110 21 65 118 92117 11 16 18 221/29/04 1418 14 40 110 20 60 110 72017 11 16 17 202/5/04 1418 14 40 110 20 60 110 72015 11 15 17 202/12/04 1418 14 38 100 20 60 107 72015 11 15 17 202/19/04 1418 14 35 90 20 60 107 72014 10 14 15 182/26/04 1317 12 35 90 19 58 105 61814 10 14 15 183/4/04 1316 12 35 90 18 58 105 61814 10 14 15 183/11/04 1316 12 35 90 18 58 105 61814 9 14 14 183/18/04 1315 12 30 85 18 58 100 61813 8 13 14 183/25/04 1314 14 24 80 17 55 95 81713 8 13 14 184/1/04 1315 14 24 80 17 55 95 81713 8 13 14 184/8/04 1415 14 24 75 16 55 95 81613 8 13 14 184/15/04 1415 14 24 75 16 52 92 81613 8 13 14 174/22/04 1414 14 24 75 15 52 92 81513 8 13 14 174/29/04 1414 14 24 75 15 52 92 81513 8 13 14 175/6/04 1414 24 75 15 52 92 81413 8 13 14 175/13/04 1414 24 75 15 50 90 81413 7 13 14 175/20/04 1414 24 75 15 47 86 81413 7 13 14 175/27/04 1414 24 75 16 47 86 81515 7 13 14 176/3/04 1514 24 75 16 42 80 81516 7 14 14 176/10/04 1514 24 75 16 40 80 815

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

42

EuropeanNew IssueBy Month

Table 15

Issuance by Collateral by Month

Total Auto Cards RMBS CMBS Equip CDO Other*

Thru 6/10/04 ($ Millions)

Consumer Sov/AgWhole

Business

June 10, 2004



Analyst

[email protected]

Student Loan

2003

Jun 16,694 0 11,714 404 847770 1,296909 753 0 0 0Jul 17,721 982 5,001 1,995 844650 1,8830 0 3,354 2,162 850Aug 3,850 0 1,186 0 00 2,1910 0 0 473 0Sep 31,464 750 21,400 1,859 2610 3,9551,587 0 0 0 1,652Oct 19,736 836 12,168 983 6790 2,9650 463 0 1,642 0Nov 32,095 0 11,853 3,282 0490 4,1531,149 0 5,041 5,461 668Dec 30,700 0 16,940 3,852 1,5800 6,2150 1,787 0 0 326

2004

Jan 17,276 0 10,216 0 4840 3830 0 6,193 0 0Feb 19,339 1,560 7,787 3,176 3,6660 5211,270 0 0 97 1,263Mar 24,517 902 15,207 944 0257 4,2491,993 244 0 0 721Apr 14,452 1,016 6,219 2,588 00 2,022162 0 2,012 434 0May 24,905 2,853 12,001 1,108 6,3530 1,345226 0 1,018 0 0Jun 6,888 366 3,262 0 00 412897 0 0 0 1,951

107

221

66 44 77 76120

132

0

50

100

150

200

250

1997 1998 1999 2000 2001 2002 2003 2004

US$ Billions Whole

Bus

0%Student

Loan

3%

CDO

14%

Other9%

Consumer

0%

CMBS

7%

Equip

0%

Sov/Ag

8%

RMBS49%

Auto

4% Cards

6%

Sources: JPMS, MCM CorporateWatch, Bloomberg.Chart 40


2004 YTD Issuance by Collateral TypeChart 42

2004 YTD Issuance by Asset Origin

Other

30%

Italy

15%

Nether-

lands

8%

UK

33%

Spain

8%

France

3%Germany

3%

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

43

(Thru Jun/10)

2003 71,653

222,7392003

2004 107,377

1,359 3,307 36,402 3,196 1,547 12,779 4,6542% 5% 51% 4% 2% 18% 6%

4% 6% 51% 7% 0% 8% 0%

5,003 5,874 115,727 15,570 3,458 35,437 14,3902% 3% 52% 7% 2% 16% 6%

YTD Summary

Full Year Summary

4,549 6,696 54,691 7,816 257 8,932 530

% Issuance

% Issuance

% Issuance

1,4152%

0%

4,1842%

244

1,3582%

9%

9,7524%

9,223

1,3612%

4%

4,8572%

3,935

4,2756%

10%

8,4864%

10,504

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

3/12/04 - 6/10/04Table 16

Date Issuer SeriesSpread to Weighted Average Life

European New Issue Spreads by WALEuropeanNew IssueSpreads Asset

Domicile

June 10, 2004



Analyst

[email protected]

Auto Prime5.305.30

3mEL+33 3mEL+803mEL+18

A6/7/04 A-Best 1 Italy

6.506.20

3mEL+35

6.40


A5/24/04 Chaves Funding Ltd 4 Portugal

6.506.40

3mEL+35

6.50


A4/28/04 BMORE Ltd. 4 Portugal

1.583.32

1mEL+60 1mEL+2001mEL+10

A3/16/04 GACC Securitisation 2004-1 Germany

CMBS6.106.10

3M£L+40

6.10

3M£L+70 3M£L+1403M£L+22

A5/26/04 Real Estate Capital plc 2 UK

5.005.00

3M£L+44

5.00

3M£L+72 3M£L+1253M£L+22

A5/10/04 Sandwell Commercial Finance 1 UK

3mEL+18

A-44/23/04 Vesteda Residential Funding Tap Netherlands

5.30

3mEL+364/2/04 Midgaard Finance Ltd 1 Scandinavia

6.506.50

3M£L+45

6.50

3M£L+78 3M£L+1503M£L+28

A3/17/04 White Tower Plc 2004-1 UK

CrCds - Bank10.00

Swap+606/9/04 Capital One Multi-Asset Execution Trust 2004-C3 US

A 10.1010.10

3ML+48 3ML+903ML+185/12/04 Sherwood Castle Funding plc 2004-2 UK

3mEL+9.5

A5/11/04 Citibank Credit Card Issuance Trust 2004-A2 US

5.005.00

3M£L+40 3M£L+1003M£L+14

A-15/6/04 Pillar Funding 2004-1 UK

3mEL+15

A4/30/04 MBNA Credit Card Master Note Trust 2004-A5 US

Sources: JPMS, MCM CorporateWatch, Bloomberg.

44

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

3/12/04 - 6/10/04Table 16



Domicile

June 10, 2004



Analyst

[email protected]

Infrastructure15.40

Swap+2255/5/04 Tube Lines Finance Ltd 1 UK

Leases

3mEL+19

A-1

3mEL+10

A-25/28/04 F-E Green Srl 1 Italy

Non Conforming5.90

3mEL+753M£L+21

A-1A5/10/04 Paragon Mortgages plc 7 UK

5.205.20

3M£L+45

5.20

3M£L+80 3M£L+1753M£L+22

A-13/19/04 Leek Finance plc 12 UK

RMBS9.009.00

3mEL+25

9.00


A-1

3mEL+17

A-26/9/04 Hipocat 7 Spain

7.007.00


A6/3/04 Dutch Mortgages Portfolio Loans BV IV Netherlands

3mEL+14

A-15/28/04 Crusade Euro Trust 2004-1E Australia

2.689.97

3mEL+40 3mEL+1503mEL+17

A5/26/04 Holland Euro Denominated Mortgage-Backed 8 Netherlands

7.00

3mEL+27

7.00

3mEL+383mEL+15

A5/26/04 Storm BV 2004 Netherlands

7.207.20

3mEL+27

7.20


A5/19/04 Saecure 4 Netherlands

4.184.18

3M£L+32

4.18

3M£L+47 3M£L+853M£L+14

2A-1

3M£L+16

3A5/18/04 Granite Mortgages 2004-2 UK

7.207.20

3mEL+21

7.20


A5/18/04 MBS Bancaja FTA 1 Spain

7.007.00

3mEL+42

7.00

3mEL+63 3mEL+117.53mEL+20

A+5/18/04 Provide Casa 2004-1 Germany


45

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

3/12/04 - 6/10/04Table 16



Domicile

June 10, 2004



Analyst

[email protected]

7.80

3mEL+503mEL+16

A5/13/04 Hipotecaria Union de Credito Inmobiliario (UCI) 10 Spain

3mEL+10

A4/30/04 CIF Assets 2004-1 France

8.008.00

3mEL+53 3mEL+1053mEL+18.5

A4/26/04 Valencia Hipotecario FTA 1 Spain

3.773.77

3mEL+40

3.77


A4/21/04 Provide Blue 2004-1 Germany

3mEL+21

A-14/16/04 RMS Trust 2004-1E Australia

10.5010.50

3mEL+85 3mEL+1303mEL+18

A-1

3mEL+25

A-24/7/04 Spoleto Mortgages Srl 1 Italy

12.50

3mEL+1103mEL+12

A-1

3mEL+18

A-24/7/04 Vela Home srl 2 Italy

5.005.00

3M£L+60

5.00

3M£L+90 3M£L+1853M£L+25

A4/1/04 Southern Pacific Financing Plc 2004-A UK

5.78

3mEL+513/24/04 ARMS II Eurofund VI Australia

3mEL+18

A-23/24/04 Progress Trust 2004-E1 Australia

3mEL+14

A-33/19/04 Medallion Trust (CBA Global MBS) 2004-1G Australia

Sov/Ag5.005.00

6mEL+55

5.00

6mEL+95 6mEL+1476mEL+11

A-1

6mEL+18

A-24/7/04 Sagres Sociedade de Titularizacao de CreditoExplore 2004-1 Portugal

StLns - ConsA-6

3mEL+176/3/04 SLM Student Loan Trust 2004-5 US

Trade Rec

3mEL+13

A5/7/04 Fondo Titulizacion KWH 1 Spain


46

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

3/12/04 - 6/10/04Table 16



Domicile

June 10, 2004



Analyst

[email protected]

1ML+39

A5/6/04 Vitol Master Trust 2004-1 Europe

Whole Bus7.007.00

3M£L+85 3M£L+1854/28/04 Alehouse Finance plc 2 UK


47

Rating

European ABS New Issue Detail by DateTable 17

Date Issuer Series Class

Amount

Type Price Coupon Spread BenchmarkLead/CoManager Moody FitchIssue

5/11/04 - 6/10/04

S&PDomicile

Collateral

USDWAL(Yrs)

EuropeanNew IssueDetail

June 10, 2004



Analyst

[email protected]

Currency

A-1 AAA AAABS/JPM: BBVA$219.16 1.106/9/04 100.0000 6 3 Mo. EuriborHipocat 7 RMBS Spain€180A-2 AAA AAA$1,398.11 6.00 100.0000 17 3 Mo. Euribor€1,148B AA AA$26.42 9.00 100.0000 25 3 Mo. Euribor€22C A A$51.14 9.00 100.0000 40 3 Mo. Euribor€42D BBB BBB$34.09 9.00 100.0000 80 3 Mo. Euribor€28

$1,728.92

C Baa2 BBBBCG/DB$365.67 10.006/9/04 99.3921 6.63% 60 SwapCapital One Multi-Asset Executio 2004-C3 CrCds - Bank US£200

$365.67

A Aaa AAA AAAABN/UBM$798.50 4.206/7/04 100.0000 18 3 Mo. EuriborA-Best 1 Auto Prime Italy€648B A1 A+ A+$26.80 5.30 100.0000 33 3 Mo. Euribor€22C Baa2 BBB BBB$35.74 5.30 100.0000 80 3 Mo. Euribor€29

$861.04

A Aaa AAAJPM/DB/ABN$1,467.05 5.206/3/04 100.0000 15 3 Mo. EuriborDutch Mortgages Portfolio Loans B IV RMBS Netherlands€1,203B A2 A$26.23 7.00 100.0000 37 3 Mo. Euribor€22C Baa2 BBB$31.72 7.00 100.0000 78 3 Mo. Euribor€26D Ba2 BB$7.63 5.00 100.0000 325 3 Mo. Euribor€6

$1,532.63

A-5 Aaa AAA AAAJPM/CSFB: BOA,CITG,ABN,FOR$552.28 4.886/3/04 3 Mo. EuriborSLM Student Loan Trust 2004-5 StLns - Cons US€300A-6 Aaa AAA AAA$1,399.12 10.63 100.0000 17 3 Mo. Euribor€760

$1,951.40

A-1 Aaa AAA AAAABN/MS/MCC$1,638.98 3.905/28/04 100.0000 19 3 Mo. EuriborF-E Green Srl 1 Leases Italy€1,342A-2 Aaa AAA AAA$132.51 7.20 100.0000 10 3 Mo. Euribor€109

$1,771.49

A-1 Aaa AAABCG/SG$613.90 2.705/28/04 100.0000 14 3 Mo. EuriborCrusade Euro Trust 2004-1E RMBS Australia€500B Aa3 AA$8.96 €7

$622.86

A RBS/DEX$1,018.48 3.005/27/04 100.0000 9 6 Mo. EuriborEuterpe Finance 1 Sov/Ag Italy€831

$1,018.48


48

Rating



Amount


5/11/04 - 6/10/04

S&PDomicile

Collateral

USDWAL(Yrs)


June 10, 2004



Analyst

[email protected]

Currency

A Aaa AAA AAAML$510.10 5.105/26/04 100.0000 22 3 Mo. GBP LIBORReal Estate Capital plc 2 CMBS UK£281B Aa2 AA AA$44.87 6.10 100.0000 40 3 Mo. GBP LIBOR£25C A2 A A$39.88 6.10 100.0000 70 3 Mo. GBP LIBOR£22D Baa3 BBB BBB$44.85 6.10 100.0000 140 3 Mo. GBP LIBOR£25E BB BB$24.95 6.10 100.0000 500 3 Mo. GBP LIBOR£14

$664.65

A Aaa AAA AAANIB/Rabo$1,231.44 5.505/26/04 100.0000 15 3 Mo. EuriborStorm BV 2004 RMBS Netherlands€1,017B Aa3 AA AA$23.62 7.00 100.0000 27 3 Mo. Euribor€20C A2 A A$23.62 7.00 100.0000 38 3 Mo. Euribor€20D Baa2 BBB BBB$18.17 7.00 100.0000€15E Baa2 BBB$23.62 1.10 100.0000€20

$1,320.47

A Aaa AAA AAACITG/DB$1,399.60 7.105/26/04 100.0000 17 3 Mo. EuriborHolland Euro Denominated Mortgag 8 RMBS Netherlands€1,157B A1 A A$88.34 9.97 100.0000 40 3 Mo. Euribor€73C Baa2 BBB BBB$24.81 9.97 100.0000 80 3 Mo. Euribor€21D Baa3 BBB-$22.99 2.68 100.0000 150 3 Mo. Euribor€19

$1,535.74

A Aaa AAAHSBC$183.36 4.805/24/04 100.0000 18 3 Mo. EuriborChaves Funding Ltd 4 Auto Prime Portugal€150B Aa2 AA$13.54 6.20 100.0000 35 3 Mo. Euribor€11C A2 A$11.34 6.40 100.0000 50 3 Mo. Euribor€9D Baa2 BBB$18.18 6.50 100.0000 95 3 Mo. Euribor€15

$226.42

A Aaa AAAABN/UBS: JPM$1,169.06 4.905/19/04 100.0000 15 3 Mo. EuriborSaecure 4 RMBS Netherlands€973B Aa3 AA$16.22 7.20 100.0000 27 3 Mo. Euribor€14C A1 A$37.85 7.20 100.0000 40 3 Mo. Euribor€32D Baa2 BBB$32.44 7.20 100.0000 80 3 Mo. Euribor€27E Baa3$16.22 2.70 100.0000 200 3 Mo. Euribor€14

$1,271.79


49

Rating



Amount


5/11/04 - 6/10/04

S&PDomicile

Collateral

USDWAL(Yrs)


June 10, 2004



Analyst

[email protected]

Currency

Super Sr SG$1,126.915/18/04 Provide Casa 2004-1 RMBS Germany€941A+ AAA AAA$0.30 5.55 100.0000 20 3 Mo. Euribor€0A AA AA$53.79 7.00 100.0000 42 3 Mo. Euribor€45B A A$24.20 7.00 100.0000 63 3 Mo. Euribor€20C BBB BBB$18.45 7.00 100.0000 118 3 Mo. Euribor€15D BB BB$9.34 7.00 100.0000 340 3 Mo. Euribor€8

Junior $12.46 €10

$1,245.45

A Aaa AAAJPM/SG$755.46 4.405/18/04 100.0000 17 3 Mo. EuriborMBS Bancaja FTA 1 RMBS Spain€631B Aa2 AA$17.37 7.20 100.0000 21 3 Mo. Euribor€15C A2 A+$37.50 7.20 100.0000 43 3 Mo. Euribor€31D Baa2 BBB$16.53 7.20 100.0000 84 3 Mo. Euribor€14

$826.86

2A-1 Aaa AAA AAACITG/LB/CSFB$1,603.65 4.185/18/04 100.0000 14 3 Mo. EuriborGranite Mortgages 2004-2 RMBS UK€1,3402A-2 Aaa AAA AAA$431.34 4.18 100.0000 14 3 Mo. GBP LIBOR£2442B Aa3 AA AA$110.10 4.18 100.0000 27 3 Mo. Euribor€922M A2 A A$64.03 4.18 100.0000 40 3 Mo. Euribor€542C Baa2 BBB BBB$106.51 4.18 100.0000 80 3 Mo. Euribor€893A Aaa AAA AAA$1,330.16 7.05 100.0000 16 3 Mo. GBP LIBOR£7523B Aa3 AA AA$68.80 7.05 100.0000 32 3 Mo. GBP LIBOR£393M A2 A A$46.87 7.05 100.0000 47 3 Mo. GBP LIBOR£273C Baa2 BBB BBB$85.78 7.05 100.0000 85 3 Mo. GBP LIBOR£49

$3,847.24

A AAABNP/BSCH$803.94 4.705/13/04 100.0000 16 3 Mo. EuriborHipotecaria Union de Credito Inmobi 10 RMBS Spain€679B A-$24.86 7.80 100.0000 50 3 Mo. Euribor€21

$828.80

A Aaa AAA AAAJPM/RBS$372.27 10.105/12/04 100.0000 18 3 Mo. LIBORSherwood Castle Funding plc 2004-2 CrCds - Bank UK£210B A2 A A$31.02 10.10 100.0000 48 3 Mo. LIBOR£18C Baa2 BBB BBB$39.89 10.10 100.0000 90 3 Mo. LIBOR£23

$443.18


50

Rating



Amount


5/11/04 - 6/10/04

S&PDomicile

Collateral

USDWAL(Yrs)


June 10, 2004



Analyst

[email protected]

Currency

A Aaa AAA AAACITG$1,476.25 7.005/11/04 100.0000 10 3 Mo. EuriborCitibank Credit Card Issuance Trust 2004-A2 CrCds - Bank US€1,250

$1,476.25

A AAA AAADB$435.46 30.005/11/04 5.88%Bakethin Finance plc 1 Infrastructure UK£248

$435.46

A-1A Aaa AAA AAABCG/RBS: JPM,DB,HSBC,ING,ABN$450.00 3.505/10/04 100.0000 21 3 Mo. LIBORParagon Mortgages plc 7 Non Conforming UK$450A-1B Aaa AAA AAA$392.07 3.50 100.0000 21 3 Mo. GBP LIBOR£220A-1C Aaa AAA AAA$600.80 3.50 100.0000 21 3 Mo. Euribor€500B-1A A2 A A$82.50 5.90 100.0000 75 3 Mo. LIBOR$83B-1B A2 A A$115.85 5.90 100.0000 75 3 Mo. Euribor£65

$1,641.22

A AAA AAACITG$363.75 3.605/10/04 100.0000 22 3 Mo. GBP LIBORSandwell Commercial Finance 1 CMBS UK£205B AA AA$31.05 5.00 100.0000 44 3 Mo. GBP LIBOR£18C A A$22.18 5.00 100.0000 72 3 Mo. GBP LIBOR£13D BBB BBB$17.74 5.00 100.0000 125 3 Mo. GBP LIBOR£10E BB BB$8.87 5.00 100.0000 500 3 Mo. GBP LIBOR£5

$443.59

A AAASTI$240.10 8.005/7/04 100.0000 13 3 Mo. EuriborFondo Titulizacion KWH 1 Trade Rec Spain€202

$240.10

$26,299.70


51

Equipment

AAA

32

Bullet

1.5

AA AAA AA A

5 55

Asian ABS Spreads to Treasuries/LIBORTable 18

Date

Asian Assets* AustralianCMBS MBS

1.5

AAA($)(¥)(¥)

AsianSpreads

June 10, 2004



Analyst

[email protected]

43 27 53 38 63 93 161/8/0444 28 54 39 64 94 161/15/0444 28 54 39 64 94 161/22/0444 28 54 39 64 94 141/29/0444 28 54 39 64 94 142/5/0443 27 53 38 60 90 142/12/0443 27 53 38 60 90 142/19/0443 27 53 38 58 83 132/26/0443 27 53 38 58 83 133/4/0443 27 53 38 58 83 133/11/0443 27 53 38 58 83 133/18/0443 27 53 38 58 83 133/25/0443 27 53 38 58 83 134/1/0443 27 53 38 58 83 144/8/0443 27 53 38 58 83 144/15/0443 27 53 38 58 83 144/22/0443 27 53 38 58 83 144/29/0443 27 53 38 58 83 145/6/0443 27 53 38 58 83 145/13/0443 27 53 32 50 80 145/20/0443 27 53 32 50 80 145/27/0443 27 53 32 50 80 156/3/0443 27 53 32 50 80 156/10/04

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

52

AsianNew IssueBy Month

Table 19

Issuance by Collateral by Month Thru 6/10/04 ($ Millions)

Total Auto Cards RMBS CMBS Equip CDO Other*Consumer

Jun 10, 2004 Global Structured Finance ResearchGlobal ABS/CDO Weekly Market Snapshot

AnalystChristopher [email protected]

2003Jun 6,426 900 967 414 483734 2,059868 0Jul 6,263 0 1,705 510 1,0560 1,767791 434Aug 5,161 0 1,926 548 63314 2,176135 0Sep 5,035 146 1,408 821 384716 860700 0Oct 6,023 0 2,363 897 1,3160 1,265182 0Nov 3,740 0 508 284 1,17228 743484 520Dec 9,254 360 941 234 1,367585 4,3361,273 158

2004Jan 542 0 283 0 290 89141 0Feb 6,459 95 2,893 1,632 35170 965630 38Mar 13,301 75 8,928 1,638 1,285308 69826 172Apr 2,193 0 617 69 72127 49187 180May 3,274 0 917 1,272 760 777233 0Jun 899 0 0 0 1940 20720 477

27

6564

52

17

22

46

0

20

40

60

80

1997 1998 1999 2000 2001 2002 2003 2004

US$ (Billions)

Global

RMBS

51%

Consumer

3%

Equip

2%Auto

7%Other

9%

CDO

10% CMBS17%

Cards

1%

Sources: JPMS, MCM CorporateWatch, Bloomberg.Chart 43


2004 YTD Issuance by Collateral TypeChart 45

2004 YTD Issuance by Asset Origin

Australia

20%

US

1%Taiwan

2%South

Korea

12%

Singapore

3%

Thailand

0%

Hong Kong

2%

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

53

(Thru 06/10)

2003 24,312

64,8682003

2004 26,667

3,148 3,538 6,526 2,144 1,024 5,09913% 15% 27% 9% 4% 21%

7% 1% 51% 17% 2% 10%

7,315 4,944 16,345 5,852 3,400 17,26011% 8% 25% 9% 5% 27%

YTD Summary

Full Year Summary

1,936 170 13,638 4,611 505 2,598

% Issuance

% Issuance

% Issuance

6573%

3%

1,7693%

867

2,1779%

9%

7,98312%

2,341

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

3/12/04 - 6/10/04Table 20


Asian New Issue Spreads by WALAsianNew IssueSpreads Asset

Domicile

June 10, 2004



Analyst

[email protected]

Other - Mtge4.60

BBSW+0BBSW+0

A-15/31/04 RBS Trust 2004-1 Australia

3MBBSW+23

A-25/28/04 Crusade Euro Trust 2004-1E Australia

Notes

L+335/21/04 GHLC Loan-Backed Bonds 19

6.20

3MBBSW+953MBBSW+40

A-24/16/04 RMS Trust 2004-1E Australia

5.00

BBSW+70BBSW+40

A3/26/04 Illawarra Trust 2004-1 Australia

6.90

BBSW+55BBSW+22

A-23/19/04 Medallion Trust (CBA Global MBS) 2004-1G Australia


54

Rating

Asian ABS New Issue Detail by DateTable 21


Amount

Type Price Coupon Spread BenchmarkLead:

Co Moody FitchIssue Currency

5/11/04 - 6/10/04

S&PDomicile

Collateral

USD WAL(Yrs)

AsianNew IssueDetail

June 10, 2004



Analyst

[email protected]

A-1 AaaML$91.74 10.006/10/04 Ann Funding One I Consumer Japan¥10,000A-2 Aaa$191.10 10.00¥20,830B Aa2$14.31 10.00¥1,560C A2$18.81 10.00¥2,050D Baa2$34.77 10.00¥3,790

$350.73

A KDB$4.31 0.906/8/04 4.40%DWC Auto Securitization Specia 5 Auto Prime South KoreaKRW5,000B $4.31 0.80 4.32%KRW5,000C $2.59 0.50 3.94%KRW3,000D $4.31 0.50 4.25%KRW5,000E $4.31 0.50 4.04%KRW5,000

$19.84

A KDB$10.78 2.756/8/04 4.71%Saekdongie Asset Securitization 5 Non Perf LnKRW12,500B $10.78 2.25 4.67%KRW12,500C $10.78 2.25 4.64%KRW12,500D $10.78 2.00 4.56%KRW12,500E $8.63 1.75 4.53%KRW10,000F $8.63 1.50 4.49%KRW10,000

$60.38

1 Aa2SHIS$42.20 3.466/7/04 100 1 Mo. JPY LIBORPier One/Two Funding T.M.K. I Consumer Japan¥4,6002 Aa2$84.40 4.38 110 1 Mo. JPY LIBOR¥9,200

$126.61

1 AaaLB$82.106/2/04 20 1 Mo. JPY LIBORRCC Trust V Non Perf Ln Japan¥9,1002 Aa2$18.95 40 1 Mo. JPY LIBOR¥2,1003 A2$16.24 70 1 Mo. JPY LIBOR¥1,8004 Baa2$16.24 125 1 Mo. JPY LIBOR¥1,800

$133.53


55

Rating



Amount



5/11/04 - 6/10/04

S&PDomicile

Collateral

USD WAL(Yrs)


June 10, 2004



Analyst

[email protected]

A-1 Aaa AAASGAL$23.51 3.005/31/04 100.0000 0 BBSWRBS Trust 2004-1 Other - Mtge AustraliaAUD34Super Sr Aaa AAA$169.75 3.00 100.0000 33 BBSWAUD246

B Aa3 AA-$6.91 4.60 100.0000 0 BBSWAUD11

$200.17

A-2 Aaa AAABCG/SG$430.38 2.705/28/04 100.0000 23 3 Mo. BBSWCrusade Euro Trust 2004-1E Other - Mtge AustraliaAUD600C A2 A$14.64 AUD20

$445.02

A AaaCSFB$279.695/26/04 Crossover Funding Ltd I CMBS Japan¥30,900B Aa2$39.83 ¥4,400C A1$27.15 ¥3,000D A3$31.68 ¥3,500E Baa2$21.72 ¥2,400

$400.07

A ICIC$92.135/24/04 5.20% SwapICICI Bank ABS 2 Auto FleetINR4,190B $64.64 5.70% SwapINR2,940C $38.26 6.50% SwapINR1,740D $38.04 SwapINR1,730

$233.07

Notes AAAMTB$271.54 10.005/21/04 1.89% 33 LiborGHLC Loan-Backed Bonds 19 Other - Mtge¥30,000

$271.54

A Aaa AAALB$200.005/21/04 32 3 Mo. LIBORL-JAC One Funding I CMBS Japan¥27,000B Aa2 AA$33.33 50 3 Mo. LIBOR¥4,500C A2 A$33.33 80 3 Mo. LIBOR¥4,500D Baa2 BBB$37.78 150 3 Mo. LIBOR¥5,100E Ba2 BBB-$10.37 210 3 Mo. LIBOR¥1,400F B2 BB$9.63 210 3 Mo. LIBOR¥1,300G B$12.59 210 3 Mo. LIBOR¥1,700

$337.04


56

Rating



Amount



5/11/04 - 6/10/04

S&PDomicile

Collateral

USD WAL(Yrs)


June 10, 2004



Analyst

[email protected]

A Aaa AAALB$200.005/21/04 15 1 Mo. LIBORL-JAC Two Funding II CMBS Japan¥27,000B Aa2 AA$33.33 30 1 Mo. LIBOR¥4,500C A2 A$33.33 60 1 Mo. LIBOR¥4,500D Baa2 BBB$37.78 130 1 Mo. LIBOR¥5,100E Ba2 BBB-$10.37 350 1 Mo. LIBOR¥1,400F B2 BB$9.63 600 1 Mo. LIBOR¥1,300X B$0.00 ¥1,700

$324.44

A AAABNP$75.525/20/04 Lumiere Shopping Credit Receivabl 2004-5 Shopping Credit Japan¥10,195

$75.52

A Aaa AAAMS$70.18 6.105/14/04 LiborJLOC Limited XVI CMBS Japan¥8,000X Aaa AAA$105.26 ¥12,000B Aa2 AA$14.04 7.00 Libor¥1,600C A2 A$14.04 7.00 Libor¥1,600D Baa1 BBB+$7.02 7.00 Libor¥800

$210.54

$3,188.51


57

CDO Spreads to LIBORTable 22

Date

EM CDO HYL CDO

CDOSpreads

June 10, 2004



Analyst

[email protected]

IG CDO

10-127-9 10-12

AAA A BBBAA

SF CDO Syn CDO US BS CLO Euro BS CLO

55

AAA A

8-118-106-8 9-11

AAA A BBBAA

7-10 9-127-9 9-12

AAA A BBBAA

8-11 5-85-8 5-8

AAA A BBBAA

5-8 55 5

AAA A BBBAA

5 7-105-7 10-12

AAA A BBBAA

7-10

BB

10-12

HYB CDO

8-106-8 9-11

AAA A BBBAA

7-10

BB

10-12WAL

Rating

1/8/04 28048 90 145 50075 140 275 37561 120 200 38072 125 180 35065 125 225 50 165 40075 125 225750 42558 115 220 9251/15/04 28048 90 145 50075 140 275 35061 120 200 37570 125 175 35065 125 225 50 165 40075 125 225750 42558 110 220 9251/22/04 26546 90 140 50070 140 275 35060 120 200 37570 125 175 35065 125 225 50 165 40075 125 225725 40058 110 220 9251/29/04 26546 90 140 50070 140 275 35060 120 200 37570 125 175 35065 125 225 50 165 37575 125 225725 40058 110 220 9252/5/04 26045 88 135 47567 135 265 34057 120 200 37570 125 175 35065 125 225 50 165 37570 120 215700 37557 108 215 900

2/12/04 26045 88 135 47567 135 265 34057 120 200 37570 125 175 35065 125 225 50 165 37570 120 215700 37557 108 215 8752/19/04 26045 88 135 47567 135 265 34055 120 200 36070 120 170 35065 125 225 50 165 35070 120 215700 37557 108 215 8502/26/04 26043 85 135 47567 135 265 34053 120 200 35565 115 165 35060 120 215 50 165 35065 120 210700 37557 108 215 8503/4/04 26043 85 135 47567 135 265 33053 120 200 35065 110 160 35060 120 215 50 165 35065 120 210700 36557 105 210 825

3/11/04 26043 85 135 45065 130 250 33053 120 200 35063 110 160 35060 120 215 50 165 35062 120 200700 35055 105 200 8253/18/04 26043 85 133 45065 130 250 33052 120 200 35061 105 160 35060 120 215 50 165 35062 120 200700 35055 105 190 8253/25/04 26043 85 133 45065 130 250 33052 120 200 35061 105 160 35060 120 215 50 165 35062 120 200700 35055 105 185 8254/1/04 26042 82 130 45065 130 250 32550 115 200 35061 105 160 35060 120 215 50 165 35062 120 200700 35053 105 180 8254/8/04 26042 82 130 45065 130 250 32550 115 200 35061 105 160 35060 120 215 50 165 35062 120 200700 35053 105 180 825

4/15/04 25040 80 130 45065 130 250 31548 110 200 35061 105 160 35060 120 215 50 165 35062 120 200700 35053 105 180 8254/22/04 25040 80 130 45062 125 250 31547 110 200 35060 105 160 35060 120 215 47 160 34060 115 195700 35052 100 180 8254/29/04 25039 78 130 45062 125 250 31547 110 200 35060 105 160 35060 120 215 47 160 34060 115 195700 35052 100 180 8255/6/04 25038 75 125 45060 120 240 31547 110 200 35060 105 160 35060 120 215 47 160 34060 115 195675 34050 95 175 825

5/13/04 25038 75 125 45060 120 240 31547 110 200 35060 105 160 35060 120 215 47 160 34055 115 195675 34050 95 175 8255/20/04 25038 75 125 45060 120 240 31547 100 200 35060 105 160 35060 120 215 47 160 34055 115 195675 34050 95 175 8255/27/04 25038 75 120 45060 120 240 31545 100 200 34060 105 160 35060 120 215 47 160 34055 115 195675 34050 95 175 8256/3/04 24038 75 120 45060 120 240 31545 100 200 34060 105 160 35060 120 215 47 160 34055 115 195675 34050 95 175 825

6/10/04 24038 75 120 45060 120 240 31545 100 200 34060 105 160 35060 120 215 47 160 34055 115 195675 32548 95 175 825

30

60

90

120

150

Jun-03 Jul-03 Sep-03 Nov-03 Jan-04 Mar-04 May-04

AAA AA

Source: JPMS.

Chart 46

New Issue CDO Spreads to Libor

58

70

140

210

280

350

420

Jun-03 Jul-03 Sep-03 Nov-03 Jan-04 Mar-04 May-04

A BBB

Table 23

CDO Collateral Spreads to Swaps/Libor

7

CDOCollateralSpreads US

June 10, 2004



Analyst

[email protected]

Date

High Yield Bonds

7 7

JPM HY

IndexBB

7

B

Corp Industrials

10 10

A BBB

Leveraged Loans

5 5

BB/BB- B

Home Equity

EuroHigh Yield Bonds

USCMBS

10 10

A BBB BB

10 5

BBB

7

Man Housing Emerging Mkts

BBBJPM EM

Index

JPM HY

Index

MBS

10

BBB

58417 401 92 200 3382351/8/04 238 397 29300 57545 357 18261429 389 88 195 3542331/15/04 256 408 30313 57545 353 17858414 394 88 195 3532151/22/04 240 398 28313 57545 353 17860414 457 88 190 3522151/29/04 245 395 28307 40045 350 17560438 396 87 190 3792282/5/04 264 425 29298 40044 349 17457443 388 84 180 3792372/12/04 270 430 25290 40046 349 17461436 404 86 180 3862382/19/04 252 427 26290 40051 346 17661446 380 85 180 3952382/26/04 257 432 27290 40050 345 17560430 367 85 180 3812383/4/04 243 418 26290 40049 345 17567452 386 88 180 3872333/11/04 253 440 34297 40049 348 17866461 386 88 185 3902273/18/04 260 448 34294 40049 348 17366469 388 89 190 3852253/25/04 262 466 35282 40050 347 17262451 383 90 200 3742254/1/04 245 443 31282 40051 340 17057426 361 88 200 3572204/8/04 228 419 23288 40050 323 16854404 335 91 200 3732234/15/04 212 393 22286 40049 321 16653398 335 91 200 3842254/22/04 212 381 16295 40051 321 16655391 332 89 200 4042254/29/04 205 377 12295 40049 317 16252401 328 91 200 4262165/6/04 219 384 10307 40051 312 15255425 312 95 220 4652205/13/04 250 404 10296 40048 312 15259430 374 95 220 4382255/20/04 250 412 13302 40048 315 15559429 368 98 210 4472335/27/04 251 413 13310 40048 316 15678419 374 115 210 4542236/3/04 248 402 33328 40065 331 17162401 342 100 205 4272236/10/04 241 387 14328 40050 316 156

0

500

1,000

1,500

2,000

Jan-99 Oct-99 Jul-00 Apr-01 Jan-02 Oct-02 Jul-03 Apr-04

€ High Yield $ High Yield

0100200300400500600

Jan-

98

Oct-

98

Jul-

99

Apr-

00

Jan-

01

Oct-

01

Jul-

02

Apr-

03

Jan-

04

HEL ABS BBB 5 YrCMBS BBB 10 YrIndustrial BBB 10 Yr

Source: JPMS, SP/PMD

Chart 47

US$ & Euro High Yield Spreads to Swaps

Chart 48

BBB Spreads to Swaps

59

Global CDONew IssueBy Month

Table 24

Total ArbitrageBalance

Sheet

Structured Finance

High Yield Bonds

Funded Issuance by Purpose Funded Issuance by Collateral

Asia Europe U.S.

Funded Issuance by Market

InvestmentGradeDebt

High Yield Loans Other*

EMDebt

June 10, 2004



Analyst

[email protected]

2003Jun 5,440 2,511 8433,5467,951 2,059 1,296 4,5968363,104 00Jul 6,961 2,801 8865,2359,762 1,767 1,883 6,1129942,043 8090Aug 7,416 3,572 733,49810,988 2,176 2,191 6,6222,7033,646 1,0760Sep 4,245 3,944 4671,6338,188 599 3,933 3,6569714,045 1,3550Oct 8,742 2,843 315,47711,585 1,265 2,965 7,3543,1582,396 5210Nov 7,684 4,338 1,1893,37712,022 659 4,153 7,2101,5815,960 00Dec 13,591 8,609 788,35122,201 4,283 6,215 11,6753,7688,228 1,82902004Jan 2,451 89 1081,7632,540 89 383 2,0690670 00Feb 6,336 1,032 3193,7517,368 939 521 5,90981,848 1,4690Mar 9,719 1,513 648,12111,232 69 4,249 6,9142221,852 9520Apr 9,650 2,395 1446,52512,045 491 2,022 9,5321,1493,549 6640May 4,153 1,007 832,0475,160 486 1,345 3,3291152,868 3370Jun 2,051 948 1079902,999 207 412 2,37901,902 00

Chart 49

Funded Issuance by YearChart 50

2004 Funded Issuance by CollateralChart 51

2004 Funded Issuance by Market

US

72%

Asia

6%

Europe

22%

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

HY

Bonds

2%

EM Debt

0%

IG Debt

4%

SF

56%

Other

8%HY

Loans

30%

60

6376

3437 29 2644

7

89

41

7162

10099

0

50

100

2000 2001 2002 2003 2004Arbitrage Balance Sheet Total

US$ Billions

YTD Summary

% Issuance38,596 22,658 15,937 11,274 924 12,325

59% 41% 29% 2% 32%2003

(Thru 06/10)12,019

31%3,717

10%0

0%

% Issuance41,344 34,360 6,984 23,196 824 1,494

83% 17% 57% 2% 4%2004 12,688

31%3,422

8%0

0%

% Issuance119,9232003 76,172 43,751 42,391 4,490 26,070

64% 36% 35% 4% 22%40,338

34%9,307

8%0

0%

Full Year Summary

5,09913%

2,2806%

16,86114%

12,77933%

8,93222%

35,41530%

20,71754%

30,13173%

67,61956%

US CDONew IssueBy Month

Table 25


SheetStructured

Finance

HighYield

Bonds

InvestmentGradeDebt


HighYieldLoans Other*

EM Debt

June 10, 2004



Analyst

[email protected]

2003Jun 4,541 55 752,450 964,596 2,015 00Jul 5,862 250 4843,841 606,112 1,015 8090Aug 4,769 1,853 1,3652,328 736,622 2,556 3070Sep 3,300 357 751,305 4123,656 510 1,3550Oct 6,984 370 1,0704,263 317,354 1,467 5210Nov 6,116 1,094 3711,995 6787,210 4,166 00Dec 10,867 808 1,0727,360 2511,675 3,317 1,8290

2004Jan 2,069 0 01,763 02,069 306 00Feb 5,574 335 83,231 105,909 1,821 8390Mar 6,914 0 2165,175 556,914 495 9520Apr 8,016 1,516 9114,697 759,532 3,171 6640May 3,074 255 01,152 833,329 1,758 3370Jun 1,613 766 0813 02,379 1,566 00

Chart 52


2003 Funded Issuance by Collateral

SF

47%EM Debt

0%

HY

Loans

27%

HY

Bonds

2%

IG Debt

13% Other

11%

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

61

Other

9%IG Debt

4%

HY

Bonds

1%

EM Debt

0%

HY

Loans

30%

SF

42%

Chart 54


5851 56

2716

5 7 113

67 63 5868

30

51

0

20

40

60

80


US$ Bill ions

YTD Summary

% Issuance20,717 14,384 6,333 9,011 337 4,737

69% 31% 43% 2% 23%2003

(Thru 06/10)4,289

21%3,074

15%0

0%

% Issuance30,131 27,260 2,872 16,831 223 1,135

90% 10% 56% 1% 4%2004 9,117

30%2,791

9%0

0%

% Issuance67,6192003 56,500 11,120 32,552 1,712 9,224

84% 16% 48% 3% 14%19,037

28%7,895

12%0

0%

Full Year Summary

Europe CDONew IssueBy Month

Table 26


Sheet

Structured Finance

HighYield

Bonds

InvestmentGradeDebt


HighYield

Loans Other*EM

Debt

June 10, 2004



Analyst

[email protected]

2003Jun 553 743 306715 2181,296 285 00Jul 1,053 830 4651,146 01,883 380 00Aug 1,401 790 921,129 02,191 971 00Sep 563 3,370 252329 03,933 3,374 00Oct 1,724 1,242 1,323756 02,965 886 00Nov 1,567 2,585 1,0821,266 1344,153 1,671 00Dec 1,339 4,875 1,3392,910 06,215 3,848 00

2004Jan 383 0 00 19383 364 00Feb 131 389 0521 0521 0 00Mar 2,805 1,444 62,920 94,249 1,314 00Apr 1,213 810 181,627 02,022 378 00May 942 403 0686 01,345 659 00Jun 336 76 076 0412 336 00

Chart 55



Other

2%

IG Debt

28%

HY

Bonds

2%

HY

Loans

39%

EM Debt

0%SF

29%

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

Chart 57


IG Debt

0%

SF

10%

HY

Bonds

0%

HY

Loans

34%Other

0%

EM Debt

0%

411 11

15

6

17 18

11

20

3

21

2922

9

0

10

20

30


US$ Billions

62

YTD Summary

% Issuance12,779 7,071 5,708 3,354 587 6,238

55% 45% 26% 5% 49%2003

(Thru 06/10)3,969

31%6435%

00%

% Issuance8,932 5,811 3,121 5,829 28 24

65% 35% 65% 0% 0%2004 3,051

34%0

0%0

0%

% Issuance35,4152003 15,271 20,143 11,606 938 11,095

43% 57% 33% 3% 31%15,385

43%6432%

00%

Full Year Summary

AA A3 4 5 7 10 BBB

3/12/04 - 6/10/04CDO New Issue Spreads by WALTable 27


CDONew IssueSpreads

Sector

June 10, 2004



Analyst

[email protected]

6 8 9Collateral Market

CDO - Arbitrage9.809.80

3mEL+80

9.80

3mEL+140 3mEL+2506/10/04 Petrusse I HY Loans

A-1

3mEL+40Cash Euro

5.50

3M¥L+120

5.50

3M¥L+1506/8/04 Skylark 2004-2 (Aska) SF

A

3M¥L+55Synthetic Asia

9.409.30

3ML+125 3ML+2506/4/04 Canyon Capital CLO 2004-1 HY Loans

A-1

3ML+38Cash US

10.3310.08

3ML+120 3ML+2456/3/04 Carlyle High Yield Partners VI HY Loans

A

3ML+37Cash US

8.008.00

3ML+105

8.00

3ML+175 3ML+3256/3/04 Whately I SF

A-1A

3ML+40Cash US

6.025.33

3ML+85

6.33

3ML+150 3ML+3503ML+35

A6/1/04 Sandstone I SFCash US

3.308.20

3ML+130 3ML+2753ML+38

A-1L5/20/04 Grayston CLO II HY Loans

A-2L

3ML+70Cash US

9.409.00

3mEL+95

9.00

3mEL+165 3mEL+2503mEL+45

A5/19/04 Eurocastle CDO I SFCash Euro

5.207.80

3ML+95 3ML+3253ML+37

A-1

3ML+65

A-25/14/04 ACA ABS 2004-1 SFCash US

5.426.59

3ML+80

7.00

3ML+145 3ML+2803ML+38

A5/14/04 C-BASS CDO X SFCash US

10.0010.00

3ML+120 3ML+2405/13/04 Long Grove CLO Ltd. I HY Loans

A

3ML+38Cash US

10.609.90

3ML+75

10.10

3ML+125 3ML+2505/12/04 CSAM CLO IV HY Loans

A-1

3ML+38Cash US

5.00

3mEL+110

5.00

3mEL+1803mEL+65

A-15/12/04 Mermaid I IG DebtSynthetic Euro

11.5010.70

3ML+70

11.00

3ML+120 3ML+2505/7/04 Babson CLO 2004-I HY Loans

A-1

3ML+37Cash US

7.00

3MBBSW+2005/2/04 Magnolia Finance CLN I IG DebtSynthetic Asia

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

63

AA A3 4 5 7 10 BBB



CDONew IssueSpreads

Sector

June 10, 2004



Analyst

[email protected]


A-2 10.00

3ML+1653ML+704/30/04 Alesco Preferred Funding IV Other

A-1

3ML+48Cash US

5.005.00

E+100

5.00

E+158 E+340E+61

A-14/30/04 Ephesus CSO 1 SFSynthetic Euro

9.309.10

3ML+75

9.10

3ML+125 3ML+2554/29/04 Dryden 6 HY Loans

A-1

3ML+60Synthetic US

9.609.50

3ML+125 3ML+2504/23/04 Champlain I HY Loans

A

3ML+38Cash US

7.70

1ML+1504/22/04 Davis Square Funding, Ltd II SF

A-2

1ML+80Cash US

8.208.20

3ML+80

8.20

3ML+135 3ML+2754/22/04 Mountain Capital CLO Ltd III HY Loans

A-1LB

3ML+60Cash US

9.209.60

3ML+125 3ML+2504/21/04 Boston Harbor 2004-1 HY Loans

A

3ML+39Cash US

10.0010.00

3ML+80

10.00

3ML+140 3ML+2604/20/04 Pacifica III HY Loans

A-1

3ML+39Cash US

8.9010.00

3ML+125

8.90

3ML+185 3ML+3254/16/04 ICONS I Other

A

3ML+88Cash US

10.0010.00

3ML+140 3ML+2604/14/04 Centurion VII HY Loans

A-1B

3ML+40Cash US

6.90

1ML+3404/12/04 Saturn Ventures II SFCash US

6.305.20

3ML+92

6.30

3ML+168 3ML+3403ML+40

A-14/6/04 Saturn Ventures III SFCash US

A-1B 10.10

6ML+1606ML+654/6/04 Trapeza CDO VI Other

A-1A

6ML+45Cash US

8.00

L+1804/5/04 Klio Funding Ltd I SF

A-1

L+55Cash US

8.00

L+85L+38

A4/1/04 Acacia CDO IV SFCash US

10.009.80

3ML+75

10.00

3ML+130 3ML+2604/1/04 Northwoods Capital, Ltd IV HY Loans

A-1A

3ML+40Cash US


64

AA A3 4 5 7 10 BBB



CDONew IssueSpreads

Sector

June 10, 2004



Analyst

[email protected]


5.00

3mEL+1303mEL+75

A3/31/04 Spinnaker II SFSynthetic Euro

A-2A 8.3010.00

3ML+135

10.00

3ML+190 3ML+3403ML+1003/30/04 Dekania II Other

A-1

3ML+65Cash US

7.608.00

3ML+165 3ML+3253/30/04 Lakeside CDO II SF

A-1

3ML+38Cash US

4.906.00

3ML+105

6.00

3ML+175 3ML+3203ML+46

A3/30/04 Static Repackaging Trust (STA 2004-1 SFCash US

5.508.00

3ML+100 3ML+3003ML+39

A-1

3ML+65

A-23/25/04 MKP CDO Ltd III SFCash US

7.00

3mEL+110

7.00

3mEL+2003mEL+50

A3/24/04 Monet I SFSynthetic Euro

7.888.65

L+105 L+3403/23/04 Blue Grass II SF

A-2

L+75Cash US

7.508.00

3ML+105 3ML+3153/19/04 Vermeer Funding, Ltd. I SFCash US

A-2 10.00

3ML+1653ML+753/18/04 Alesco Preferred Funding III Other

A-1

3ML+51Cash US

9.619.03

L+55

9.33

L+100 L+2003/16/04 Anthracite CDO III SF

A

L+36Cash US

CDO - Balance Sheet2.242.24

1ML+65

2.24

1ML+100 1ML+1751ML+13

A-16/10/04 Capital Source Commercial Lo 2004-1 HY LoansCash US

5.00

3mEL+1403mEL+60

A6/4/04 Vespucci Investments 2004-1 SFSynthetic Euro

5/21/04 North Street Referenced Linke 2004-6 SFA

L+50Synthetic US

6M¥L+1105/19/04 Thunderbird Investment PLC 6 SFSynthetic Asia

5.00

6mEL+1106mEL+75

A-14/30/04 Thunderbird Investment PLC 4 SFSynthetic Euro


65

AA A3 4 5 7 10 BBB



CDONew IssueSpreads

Sector

June 10, 2004



Analyst

[email protected]


7.40

6mEL+95

7.40

6mEL+1904/15/04 Intermediate Finance CLO II HY Loans

A

6mEL+45Cash Euro

10.807.30

Swap+60

7.70

Swap+110 Swap+175Swap+40

A4/14/04 ARCAP 2004-1 SFCash US

9.789.26

L+55

9.49

L+90 L+185L+35

A-14/8/04 Crest Exeter Street Solar 2004-1 SFCash US

4.204.10

3mEL+50 3mEL+1303mEL+30

A4/7/04 PMI UNO Finance I HY LoansCash Euro

5.005.00

3mEL+130

5.00

3mEL+220 3mEL+4753mEL+55

A-14/1/04 Chrome Funding Must 50/5 SFSynthetic Euro

10.009.40

6mEL+100

9.50

6mEL+180 6mEL+2903/26/04 Harvest CLO I HY Loans

A-1

6mEL+49Cash Euro

5.00

3mEL+1403mEL+60

A-13/22/04 Saqqara (Alexandria Capital) 2004-1 SFSynthetic Euro


66

Rating

CDO New Issue Detail by DateTable 28

Date ClassCDO

Purpose Coupon Price Sprd Benchmark Moody Fitch

5/11/04 - 6/10/04

S&PWAL

(Yrs)

Amount

Issue Currency USD% DealCredit

Structure

CDONew IssueDetail

June 10, 2004



Analyst

[email protected]

YieldEnhan.Type

6/10/04 Capital Source Commercial Loan Trust 2004-1Asset Seller: Capital Source Collateral: Cash; SME Loans

Asset Value: $ 766 mm USSector: HY Loans

Market:Lead:CoManager: CITG/WS

A-1 Aaa AAA AAA1.00 13 1 Mo. LIBORBalance Sheet$218.00$218.00 28% Cash Flow

A-2 Aaa AAA AAA2.97 33 1 Mo. LIBOR$370.44$370.44 48%

B Aa2 AA AA2.24 65 1 Mo. LIBOR$67.81$67.81 9%

C A2 A A2.24 100 1 Mo. LIBOR$70.00$70.00 9%

D Baa2 BBB BBB2.24 175 1 Mo. LIBOR$39.36$39.36 5%

$765.61$765.61

6/10/04 Petrusse IAsset Manager: Invesco Collateral: Cash; Leveraged Loans

Asset Value: $ 336 mm EuroSector: HY Loans

Market:Lead:CoManager: LB

A-1 Aaa AAA7.60 40 3 Mo. EuriborArbitrage$141.09EUR 116.70 63% Cash Flow

A-2 Aaa AAA7.60 40 3 Mo. LIBOR$109.80$109.80 33%

B Aa2 AA9.80 80 3 Mo. Euribor$8.34EUR 6.90 4%

C A9.80 140 3 Mo. Euribor$34.09EUR 28.20 15%

D-1 BBB9.80 250 3 Mo. Euribor$20.07EUR 16.60 9%

D-2 BBB9.80 250 Swap$5.44EUR 4.50 2%

E-1 BB-6.40 725 3 Mo. Euribor$7.37EUR 6.10 3%

E-2 BB-6.40 725 3 Mo. LIBOR$3.50$3.50 1%

E-3 BB-6.40 725 Swap$6.65EUR 5.50 3%

$336.36EUR 184.50

6/8/04 Skylark 2004-2 (Aska)Asset Manager: Deutsche Bank Collateral: Synthetic; Japanese ABS

Asset Value: $ 101 mm AsiaSector: SF

Market:Lead:CoManager: DKB

A AAA5.50 55 3 Mo. JPY LIBORArbitrage$45.87JPY 5,000.00 45% Cash Flow

B AAA5.50 80 3 Mo. JPY LIBOR$27.52JPY 3,000.00 27%

C AA5.50 120 3 Mo. JPY LIBOR$13.76JPY 1,500.00 14%

D A5.50 150 3 Mo. JPY LIBOR$13.76JPY 1,500.00 14%

$100.92JPY 11,000.00

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

67

Rating


Date ClassCDO


5/11/04 - 6/10/04

S&PWAL

(Yrs)

Amount


Structure

CDONew IssueDetail

June 10, 2004



Analyst

[email protected]

YieldEnhan.Type

6/4/04 Vespucci Investments 2004-1Asset Seller: Banca Intesa Collateral: Synthetic; Diversified (AAA, 15% CDO)

Asset Value: $ 1,163 mm EuroSector: SF

Market:Lead:CoManager: CIB

Super Sr Balance Sheet$1,087.00EUR 1,999.86 93% Cash Flow

A Aaa AAA5.00 100.0000 60 3 Mo. Euribor$43.00EUR 80.00 4%

B Aaa AAA5.00 100.0000 90 3 Mo. Euribor$22.00EUR 40.00 2%

C Aa1 AA+5.00 100.0000 140 3 Mo. Euribor$11.00EUR 20.00 1%

$1,163.00EUR 2,139.86

6/4/04 Canyon Capital CLO 2004-1Asset Manager: Canyon Capital Partners Collateral: Cash; HY Loans



A-1 Aaa AAA8.50 100.0000 38 3 Mo. LIBORArbitrage$200.00$200.00 50% Cash Flow

A-2 Aaa AAA8.50 100.0000 39 3 Mo. LIBOR$80.00$80.00 20%

B A1 A+9.30 100.0000 125 3 Mo. LIBOR$36.00$36.00 9%

C Baa2 BBB9.40 100.0000 250 3 Mo. LIBOR$29.00$29.00 7%

D Ba2 BB9.90 100.0000 625 3 Mo. LIBOR$16.00$16.00 4%

PS $39.00$39.00 10%

$400.00$400.00

6/3/04 Carlyle High Yield Partners VIAsset Manager: Carlyle Investment Mgmt Collateral: Cash; Leveraged Loans (B1)


Market:Lead:CoManager: WS

A Aaa AAA7.85 100.0000 37 3 Mo. LIBORArbitrage$324.00$324.00 81% Cash Flow

B A1 A+10.08 100.0000 120 3 Mo. LIBOR$17.00$17.00 4%

C Baa2 BBB10.33 100.0000 245 3 Mo. LIBOR$30.00$30.00 8%

PS 3 Mo. LIBOR$29.00$29.00 7%

$400.00$400.00

6/3/04 Whately IAsset Manager: David L. Babson (Mass Mutual) Collateral: Cash; Diversified ABS (BBB)

Asset Value: $ 400 mm USSector: SF

Market:Lead:CoManager: UBS

A-1A Aaa AAA AAA8.00 40 3 Mo. LIBORArbitrage$261.00$261.00 65% Cash Flow

A-1B Aaa AAA AAA8.00 70 3 Mo. LIBOR$69.00$69.00 17%

A-2 Aa2 AA AA8.00 105 3 Mo. LIBOR$27.00$27.00 7%

A-3 A2 A A8.00 175 3 Mo. LIBOR$12.00$12.00 3%

A-4 Baa2 BBB BBB8.00 325 3 Mo. LIBOR$14.00$14.00 4%

PS $17.00$17.00 4%

$400.00$400.00


68

Rating


Date ClassCDO


5/11/04 - 6/10/04

S&PWAL

(Yrs)

Amount


Structure

CDONew IssueDetail

June 10, 2004



Analyst

[email protected]

YieldEnhan.Type

6/3/04 Mugoonghwa CBO 5Asset Seller: Mugoonghwa

Asset Value: $ 107 mm AsiaSector: HY Bonds

Market:Lead:CoManager: DAEW

01 3.50 5.52%Balance Sheet$8.59KRW 10,000.00 8% Cash Flow

02 3.25 5.47%$17.18KRW 20,000.00 16%

03 3.00 5.37%$11.17KRW 13,000.00 10%

04 2.75 5.34%$11.17KRW 13,000.00 10%

05 2.25 5.30%$11.17KRW 13,000.00 10%

06 2.25 5.23%$11.17KRW 13,000.00 10%

07 2.00 5.07%$5.15KRW 6,000.00 5%

08 1.75 5.03%$5.15KRW 6,000.00 5%

09 1.50 4.99%$5.15KRW 6,000.00 5%

10 1.25 4.84%$5.15KRW 6,000.00 5%

11 1.00 4.63%$5.15KRW 6,000.00 5%

12 0.75 4.44%$5.15KRW 6,000.00 5%

13 0.50 4.30%$5.15KRW 6,000.00 5%

$106.50KRW 124,000.00

6/1/04 Sandstone IAsset Manager: HBK Investments LP Collateral: Cash; Real Estate (Baa2/Baa3)


Market:Lead:CoManager: DB

A Aaa AAA2.89 35 3 Mo. LIBORArbitrage$217.20$217.20 71% Cash Flow

B Aa2 AA5.33 85 3 Mo. LIBOR$41.20$41.20 13%

C A2 A6.33 150 3 Mo. LIBOR$9.40$9.40 3%

D Baa2 BBB6.02 350 3 Mo. LIBOR$18.70$18.70 6%

PS $20.90$20.90 7%

$307.40$307.40


69

Rating


Date ClassCDO


5/11/04 - 6/10/04

S&PWAL

(Yrs)

Amount


Structure

CDONew IssueDetail

June 10, 2004



Analyst

[email protected]

YieldEnhan.Type

6/1/04 Tigers 2004-1Asset Manager: HSBC Collateral: Synthetic; Diversified ABS (Baa1/A3)


Market:Lead:CoManager:

A 5.00Arbitrage$44.00$44.00 22% Cash Flow

B 5.00$50.00$50.00 25%

C Aaa AAA5.00$25.00$25.00 13%

D Aa1 AAA5.00$15.00$15.00 8%

E Aa3 AA5.00$10.00$10.00 5%

F A3 A5.00$10.00$10.00 5%

G Baa1 BBB5.00$10.00$10.00 5%

H $36.00$36.00 18%

$200.00$200.00

5/27/04 Saphir Finance Public Co. Ltd 1Asset Manager: Bayerische Landesbank

Asset Value: $ 1,545 mm AsiaSector: IG Debt


Notes AAA5.50 LiborArbitrage$45.00$45.00 3% Cash Flow

Super Sr $1,500.00$1,500.00 97%

$1,545.00$1,545.00

5/26/04 RMF Euro CDO IIAsset Manager: RMF Investment Products Collateral: Cash; Leveraged Loans (BB-)

Asset Value: $ 361 mm EuroSector: HY Loans

Market:Lead:CoManager: CITG

A Aaa AAA40 6 Mo. EuriborArbitrage$258.00EUR 215.00 72% Cash Flow

B-1 A2 A160 6 Mo. Euribor$14.40EUR 12.00 4%

B-2 A2 A160 6 Mo. Euribor$12.00EUR 10.00 3%

C Baa3 BBB-280 6 Mo. Euribor$27.60EUR 23.00 8%

D BB725 6 Mo. Euribor$12.00EUR 10.00 3%

Sub 6 Mo. Euribor$36.60EUR 30.50 10%

$360.60EUR 300.50

5/24/04 CNC Second Specialty Ltd IAsset Seller: Kookim Bank Collateral: Cash; Leveraged Loans

Asset Value: $ 292 mm AsiaSector: HY Loans

Market:Lead:CoManager: SHIS

A 4.15Balance Sheet$35.05KRW 41,000.00 12% Cash Flow

B $256.45KRW 300,000.00 88%

$291.50KRW 341,000.00


70

Rating


Date ClassCDO


5/11/04 - 6/10/04

S&PWAL

(Yrs)

Amount


Structure

CDONew IssueDetail

June 10, 2004



Analyst

[email protected]

YieldEnhan.Type

5/21/04 North Street Referenced Linked Notes Ltd 2004-6Asset Seller: UBS Principal Finance Collateral: Synthetic; Real Estate (AAA and AA)

Asset Value: $ 2,000 mm USSector: SF


Super Sr Balance Sheet$1,745.00$1,745.00 87% Cash Flow

A Aaa AAA8.00 100.0000 50 Libor$90.00$90.00 5%

B A38.00 100.0000 130 Libor$155.00$155.00 8%

PS $10.00$10.00 1%

$2,000.00$2,000.00

5/20/04 Grayston CLO IIAsset Manager: Bear Stearns Asset Mgmt Collateral: Cash; Leveraged Loans


Market:Lead:CoManager: BS

A-1L Aaa AAA6.90 100.0000 38 3 Mo. LIBORArbitrage$283.75$283.75 76% Cash Flow

A-2L Aaa AAA8.20 100.0000 70 3 Mo. LIBOR$20.00$20.00 5%

A-3L A2 A-8.20 100.0000 130 3 Mo. LIBOR$24.50$24.50 7%

B-1La Baa2 BBB8.20 100.0000 275 3 Mo. LIBOR$16.75$16.75 5%

B-1Lb BBB3.30 100.0000 600 3 Mo. LIBOR$10.50$10.50 3%

PS $15.90$15.90 4%

$371.40$371.40

5/20/04 Ruby Finance 2004-3Asset Manager: Lehman Brothers Inc. Collateral: Synthetic; Single Tranche (Baa1/Baa2)



Notes A37.00Arbitrage$50.00$50.00 3% Cash Flow

Super Sr $1,617.00$1,617.00 97%

$1,667.00$1,667.00

5/19/04 Thunderbird Investment PLC 6Asset Seller: BNP Paribas Collateral: Synthetic; Diversified ABS

Asset Value: $ 5,100 mm AsiaSector: SF

Market:Lead:CoManager: BNP

Super Sr Balance Sheet$4,910.67$4,910.67 96% Cash Flow

S AAASwap0.98%$14.81JPY 2,000.00 11%

A-1 AAA100.0000 65 6 Mo. Euribor$36.00EUR 30.00 0%

A-2 AAA100.0000 60 6 Mo. JPY LIBOR$66.67JPY 9,000.00 50%

B-1 AA100.0000 110 6 Mo. JPY LIBOR$44.44JPY 6,000.00 33%

B-2 AA100.0000 120 6 Mo. LIBOR$20.00USD 20.00 0%

C AA-100.0000 140 6 Mo. JPY LIBOR$7.41JPY 1,000.00 6%

$5,100.00$5,100.00


71

Rating


Date ClassCDO


5/11/04 - 6/10/04

S&PWAL

(Yrs)

Amount


Structure

CDONew IssueDetail

June 10, 2004



Analyst

[email protected]

YieldEnhan.Type

5/19/04 Thunderbird Investment PLC 8Asset Seller: BNP Paribas Collateral: Synthetic; CDO-of-CDOs

Asset Value: $ 1,000 mm EuroSector: SF


Super Sr Balance Sheet$896.00$896.00 90% Cash Flow

A-1 AAA70 Libor$48.00EUR 40.00 44%

A-2 AAA65 Libor$12.00EUR 10.00 11%

B-1 AA110 Libor$20.00USD 20.00 22%

B-2 AA110 Libor$12.00EUR 10.00 11%

C A180 Libor$12.00EUR 10.00 11%

$1,000.00$1,000.00

5/19/04 Eurocastle CDO IAsset Manager: Fortress Investment Group Collateral: Cash; Diversified ABS (BBB+)

Asset Value: $ 478 mm EuroSector: SF

Market:Lead:CoManager: MS

A AAA6.60 100.0000 45 3 Mo. EuriborArbitrage$403.91EUR 338.00 85% Cash Flow

B AA9.00 100.0000 95 3 Mo. Euribor$15.54EUR 13.00 3%

C A9.00 100.0000 165 3 Mo. Euribor$14.34EUR 12.00 3%

D BBB9.40 100.0000 250 3 Mo. Euribor$10.76EUR 9.00 2%

E BB9.80 100.0000 300 3 Mo. Euribor$8.37EUR 7.00 2%

Sub $25.10EUR 21.00 5%

$478.00EUR 400.00

5/18/04 ML Single Tranche CDO 1Asset Manager: N.A. Collateral: Synthetic; Single Tranche (BBB+)


Market:Lead:CoManager: ML

Notes 5.00 2004.65%Arbitrage$1,000.00$1,000.00 100% Cash Flow

$1,000.00$1,000.00

5/18/04 UBS Bespoke CDO IAsset Manager: N.A. Collateral: Synthetic; Single Tranche (BBB+)



A 5.00 260 LiborArbitrage$20.00$20.00 1% Cash Flow

Super Sr $1,980.00$1,980.00 99%

$2,000.00$2,000.00


72

Rating


Date ClassCDO


5/11/04 - 6/10/04

S&PWAL

(Yrs)

Amount


Structure

CDONew IssueDetail

June 10, 2004



Analyst

[email protected]

YieldEnhan.Type

5/14/04 ACA ABS 2004-1Asset Manager: American Capital Access Collateral: Cash; Diversified ABS (Baa3)


Market:Lead:CoManager: ML

A-1 Aaa AAA AAA5.00 100.0000 37 3 Mo. LIBORArbitrage$315.00$315.00 70% Cash Flow

A-2 Aaa AAA AAA7.00 100.0000 65 3 Mo. LIBOR$49.50$49.50 11%

B Aa2 AA AA7.80 100.0000 95 3 Mo. LIBOR$47.25$47.25 11%

C-1 Baa2 BBB BBB5.20 100.0000 325 3 Mo. LIBOR$18.38$18.38 4%

C-2 Baa2 BBB BBB5.20 97.8800 Swap7.70%$3.00$3.00 1%

PS $16.50$16.50 4%

$449.63$449.63

5/14/04 C-BASS CDO XAsset Manager: C-BASS Collateral: Cash; Real Estate (BBB)


Market:Lead:CoManager: CSFB: WLB

A AAA AAA3.86 100.0000 38 3 Mo. LIBORArbitrage$357.50$357.50 80% Cash Flow

B AA AA6.59 100.0000 80 3 Mo. LIBOR$25.00$25.00 6%

C A A7.00 100.0000 145 3 Mo. LIBOR$20.00$20.00 4%

D BBB BBB5.42 100.0000 280 3 Mo. LIBOR$21.50$21.50 5%

PS $23.80$23.80 5%

$447.80$447.80

5/14/04 Sun Funding Limited IAsset Manager: N.A. Collateral: Synthetic; Single Tranche

Asset Value: $ 22 mm AsiaSector: SF

Market:Lead:CoManager: MS

A A3Arbitrage$17.58$17.58 81% Cash Flow

B A3$0.84$0.84 4%

C A3$3.17AUD 2.19 100%

$21.59$21.59

5/13/04 Long Grove CLO Ltd. IAsset Manager: Deerfield Capital Mgmt Collateral: Cash; Leveraged Loans (Ba3/B1)


Market:Lead:CoManager: BOA

A Aaa AAA8.20 100.0000 38 3 Mo. LIBORArbitrage$319.40$319.40 77% Cash Flow

B A2 A10.00 100.0000 120 3 Mo. LIBOR$29.00$29.00 7%

C Baa2 BBB10.00 100.0000 240 3 Mo. LIBOR$17.80$17.80 4%

D Ba2 BB10.00 100.0000 675 3 Mo. LIBOR$11.00$11.00 3%

PS $37.80$37.80 9%

$415.00$415.00


73

Rating


Date ClassCDO


5/11/04 - 6/10/04

S&PWAL

(Yrs)

Amount


Structure

CDONew IssueDetail

June 10, 2004



Analyst

[email protected]

YieldEnhan.Type

5/12/04 CSAM CLO IVAsset Manager: Credit Suisse Asset Mgmt Collateral: Cash; Leveraged Loans (B1)


Market:Lead:CoManager: CSFB

A-1 Aaa AAA8.10 100.0000 38 3 Mo. LIBORArbitrage$449.00$449.00 75% Cash Flow

A-2 Aa2 AA9.90 100.0000 75 3 Mo. LIBOR$32.50$32.50 5%

B-1 A2 A-10.10 100.0000 125 3 Mo. LIBOR$19.00$19.00 3%

B-2 A2 A-10.10 Swap6.52%$14.00$14.00 2% 6.56%

C-1 Baa2 BBB10.60 100.0000 250 3 Mo. LIBOR$15.00$15.00 3%

C-2 Baa2 BBB10.60 Swap7.75%$9.00$9.00 2% 7.81%

D-1 Ba2 BB10.60 100.0000 700 3 Mo. LIBOR$6.75$6.75 1%

D-2 Ba2 BB10.60 Swap12.15%$4.25$4.25 1% 12.31%

PS $50.50$50.50 8%

$600.00$600.00

5/12/04 Mermaid IAsset Manager: N.A.

Asset Value: $ 104 mm EuroSector: IG Debt


A-1 AAA5.00 70 3 Mo. EuriborArbitrage$47.80EUR 40.00 57% Cash Flow

A-2 AAA5.00 65 3 Mo. Euribor$11.95EUR 10.00 14%

B-1 AA5.00 110 3 Mo. Euribor$20.00$20.00 19%

B-2 AA5.00 110 3 Mo. Euribor$11.95EUR 10.00 14%

C A5.00 180 3 Mo. Euribor$11.95EUR 10.00 14%

$103.65EUR 70.00


74

CDO Pipeline SummaryTable 29

IssueLead Mgr

Asset PoolLiability Pool AAAAsset Manager/Seller

CDOPipeline Summary

June 10, 2004



Analyst

[email protected]

BBB BBACash/Syn Purpose Structure Market

SF

Fort Point CDO Ltd III State Street Research Cash Arb CF US1,0041,004CITG L +180 L +350

MAST 2004-1 N.A. Syn BS CF US1,0001,000ML 3ML +125 3ML +260

South Coast Funding V TCW Advisors Inc. Cash Arb CF US750750 3ML +36 3ML +325

Cascade Funding I Terwin Money Management Cash Arb US403403 3ML +105 3ML +315

NorthStar Real Estate CDO II North Star Capital Cash Arb CF US400400CITG 1ML +34 1ML +100 1ML +200

Duke Funding, Ltd. VII Ellington Capital Mgmt Cash Arb CF US500500MS 3ML +300-320

Lakeside CDO III Vanderbilt Capital Cash Arb CF US999999ML

RFC 2004-1 GMAC Cash Arb CF US300300DB

Inman Square Funding I Trust Company of the West Cash Arb CF US300300MS

Calibre V Wachovia Bank Syn Arb CF US1,5001,500WS

Palisades I Western Asset Management Cash Arb CF US600600DB

Rhodium BV I Solent Capital Syn Arb CF Euro358358ML

Nstar II North Star Capital Syn Arb CF US400400CITG

Brooklands Euro RLN 2004-1 UBS Principal Finance Syn Arb CF US1,1801,180MS

Sierra Madre Funding I Western Asset Management Cash Arb CF US1,4961,496GS 1ML +Rated to Principal Only

1ML +Rated to Principal Only

1ML +Rated to Principal Only

Project Dragon Limited I N.A. Syn BS CF Asia140140CITG

House of Europe Funding II West LB Cash BS CF Euro1,2401,240WLB

Recap LTD I Recap Ltd. Cash BS CF Asia216216CSFB

MBIA High Grade CDO I MBIA Capital Management Cash Arb CF US503503ML 3ML +150-175 3ML +320

Caribou 2003-3 Royal Bank of Canada Syn BS CF US1,0001,000RBC

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

75


IssueLead Mgr


CDOPipeline Summary

June 10, 2004



Analyst

[email protected]


HY Loans

Veritas I Rabobank Cash Arb CF US308308RBS

AMMC CLO III American Money Mgmt Corp.

Cash Arb CF US375375LB 3ML +37 3ML +250

AMMC CLO I American Money Mgmt Corp.

Cash Arb CF US300300

An Funding One I Nippon Shinpan Co. Ltd. Cash BS CF Asia283283ML/UFJ

Duchess CDO III Duke Street Capital Debt Mgmt

Cash Arb CF Euro536536CDC

Galaxy CLO Ltd 2004-1 AIG Credit Cash Arb CF US300300GS

Valhalla I Highland Capital Mgmt LP Cash Arb CF US600600CITG

Flat Iron II New York Life Cash Arb CF US00GS

BLX 2003-2 Business Loan Express Cash BS CF US200200WS 1ML +Low 80's 1ML +200

Landa 1 Barclays Bank Syn BS CF Euro3,3623,362BCG

HY Bonds

Tokutei Mokuteki Kaisha I Tokyo Metropolitan Government

Cash BS CF Asia2525NIK/CITG

Signature Ltd 7 John Hancock Cash Arb CF US250250GS +40 +270

Oceanside CDO I Jefferies & Co., Inc Syn Arb CF US500500SGCW 1ML +80 1ML +400

IG Debt

Dynaso 2004-1 DZ Bank Syn Arb CF Euro3,0003,000DZ

Vantage 2004-2 Barclays Bank Syn Arb CF US2,0002,000BCG 3ML +120 3ML +270

Spectre Finance 1 David L. Babson (Mass Mutual)

Syn Arb CF US1,0001,000BOA 3ML +110 3ML +290 3ML +450

Green Park 2003-1 Societe Generale Syn Arb CF Euro1,1801,180SG E +100-110 E +275-285 E +475-525

EM


76


IssueLead Mgr


CDOPipeline Summary

June 10, 2004



Analyst

[email protected]


GEM LIGOS VIII TCW Advisors Inc. Cash Arb CF US300300MS L +low 40s L +325-350


77

Rating

CDO PipelineTable 30

ClassCDOType Spread Benchmark Moody FitchS&P

WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

Dynaso 2004-1Asset Manager: DZ Bank

Asset Value: $ 3,000 mmSector: IG Debt

Market: Euro

Lead:CoManager: DZ

A-1 Arbitrage$60.00EUR 50.00 83% Cash Flow

A-2 $12.00EUR 10.00 17%

Super Sr $2,928.00$2,928.00 98%

$3,000.00EUR 60.00

Veritas IAsset Manager: Rabobank

Asset Value: $ 308 mmSector: HY Loans

Market: USCollateral: Cash; Leveraged Loans

Lead:CoManager: RBS

A Aaa AAA7.50 3 Mo. LIBORArbitrage$229.00$229.00 74% Cash Flow

B Aa2 AA10.00 3 Mo. LIBOR$23.00$23.00 7%

C A2 A10.00 3 Mo. LIBOR$13.00$13.00 4%

D Baa2 BBB10.00 3 Mo. LIBOR$8.50$8.50 3%

E Ba2 BB10.00 3 Mo. LIBOR$9.00$9.00 3%

PS $25.00$25.00 8%

$307.50$307.50

MAST 2004-1Asset Seller: N.A.

Asset Value: $ 1,000 mmSector: SF

Market: USCollateral: Synthetic; Diversified ABS

Lead:CoManager: ML

A-1 Balance Sheet$700.00$700.00 70% Cash Flow

A-2 AAA3 Mo. LIBOR$150.00$150.00 15% 55

A-3 AAA3 Mo. LIBOR$80.00$80.00 8% 125

B AA3 Mo. LIBOR$22.50$22.50 2% 190

C A3 Mo. LIBOR$10.00$10.00 1% 260

PS 3 Mo. LIBOR$37.50$37.50 4%

$1,000.00$1,000.00

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

78

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

Fort Point CDO Ltd IIIAsset Manager: State Street Research


Market: USCollateral: Cash; Diversified ABS (AA rated)

Lead:CoManager: CITG

CP P-1 A-1+7.60Arbitrage$880.00$880.00 88% Cash Flow

A-1 Aaa AAA7.60 Libor$60.00$60.00 6% 65

A-2 Aa2 AA8.20 Libor$22.00$22.00 2% 90

B A3 A-8.30 Libor$14.00$14.00 1% 180

C Baa38.40 Libor$11.00$11.00 1% 350

D $10.00$10.00 1%

PS $6.70$6.70 1%

$1,003.70$1,003.70

AMMC CLO IIIAsset Manager: American Money Mgmt Corp.



Lead:CoManager: LB

A Aaa AAA8.40 3 Mo. LIBORArbitrage$307.50$307.50 82% Cash Flow 37

B A2 A+3 Mo. LIBOR$22.50$22.50 6%

C A2 A9.60 3 Mo. LIBOR$26.25$26.25 7% 125

D Baa2 BBB9.00 3 Mo. LIBOR$18.75$18.75 5% 250

$375.00$375.00

South Coast Funding VAsset Manager: TCW Advisors Inc.

Asset Value: $ 750 mmSector: SF

Market: USCollateral: Cash; Diversified ABS

Lead:CoManager: ML

A-1 Aaa AAA5.00 3 Mo. LIBORArbitrage$520.00$520.00 69% Cash Flow 36

A-2 Aaa AAA7.80 3 Mo. LIBOR$83.50$83.50 11% 60-65

B Aa2 AA8.00 3 Mo. LIBOR$78.00$78.00 10% 90-95

C Baa2 BBB6.30 3 Mo. LIBOR$35.25$35.25 5% 325

PS $33.25$33.25 4%

$750.00$750.00


79

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

Whitehawk CDO Funding IAsset Manager: West LB


Market: USCollateral: Cash; Diversified ABS (AA)

Lead:CoManager:

A-1 Aaa AAA6.40Arbitrage$870.00$870.00 87% Cash Flow

A-2 Aaa AAA6.60$67.00$67.00 7%

B Aa2 AA6.60$35.00$35.00 4%

C A2 A6.60$6.00$6.00 1%

D Baa2 BBB5.50$7.00$7.00 1%

PS $15.00$15.00 2%

$1,000.00$1,000.00

Vantage 2004-2Asset Manager: Barclays Bank


Market: USCollateral: Synthetic; Single Tranche

Lead:CoManager: BCG

Super Sr Arbitrage$1,776.00$1,776.00 89% Cash Flow

A Aaa AAA3 Mo. LIBOR$60.00$60.00 3% 60

B AAA3 Mo. LIBOR$60.00$60.00 3% 96

C AAA3 Mo. LIBOR$70.00$70.00 4% 120

D AA3 Mo. LIBOR$24.00$24.00 1% 180

E A3 Mo. LIBOR$10.00$10.00 1% 270

$2,000.00$2,000.00

Cascade Funding IAsset Manager: Terwin Money Management


Market: USCollateral: Cash; Diversified ABS

Lead:CoManager: ML

A-1 Aaa AAA AAA5.70Arbitrage$328.00$328.00 81%

A-2 Aaa AAA AAA8.00$46.00$46.00 11%

B A38.00 3 Mo. LIBOR$14.00$14.00 3% 105

C Baa2 BBB7.40 3 Mo. LIBOR$8.00$8.00 2% 315

PS $6.70$6.70 2%

$402.70$402.70


80

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

NorthStar Real Estate CDO IIAsset Manager: North Star Capital


Market: USCollateral: Cash; CMBS

Lead:CoManager: CITG,BOA

A-1 Aaa AAA AAA6.60 1 Mo. LIBORArbitrage$235.00$235.00 59% Cash Flow 34

A-2 AAA AAA9.70 1 Mo. LIBOR$58.00$58.00 15% 50

B-1 A2 A A9.90 1 Mo. LIBOR$10.00$10.00 3% 80

B-2 A3 A- A-10.00 1 Mo. LIBOR$15.00$15.00 4% 100

C-1 Baa3 BBB+ BBB+10.00 1 Mo. LIBOR$25.00$25.00 6% 200

C-2 BBB BBB10.00 1 Mo. LIBOR$22.00$22.00 6% 235

D BB BB10.00 1 Mo. LIBOR$16.00$16.00 4%

PS $19.00$19.00 5%

$400.00$400.00

Duke Funding, Ltd. VIIAsset Manager: Ellington Capital Mgmt


Market: USCollateral: Cash; Real Estate

Lead:CoManager: MS

I Aaa AAA5.80 3 Mo. LIBORArbitrage$345.00$345.00 69% Cash Flow

II Aaa AAA6.10 3 Mo. LIBOR$62.00$62.00 12% 60-65

III Aa2 AA6.10 3 Mo. LIBOR$43.00$43.00 9% 85-90

IV Baa2 BBB5.60 3 Mo. LIBOR$30.00$30.00 6% 300-320

E $20.00$20.00 4%

$500.00$500.00

Lakeside CDO IIIAsset Manager: Vanderbilt Capital



Lead:CoManager: ML

A-1 Aaa AAA AAA5.50 3 Mo. LIBORArbitrage$780.00$780.00 78% Cash Flow

A-2 Aaa AAA AAA8.00 3 Mo. LIBOR$160.00$160.00 16%

B Aa38.00 3 Mo. LIBOR$27.00$27.00 3%

C A3 A- A-8.00 3 Mo. LIBOR$14.00$14.00 1%

PS 3 Mo. LIBOR$18.20$18.20 2%

$999.20$999.20


81

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

AMMC CLO IAsset Manager: American Money Mgmt Corp.



Lead:CoManager: LB

A 8.40Arbitrage$246.80$246.80 82% Cash Flow

Note $53.20$53.20 18%

$300.00$300.00

RFC 2004-1Asset Manager: GMAC



Lead:CoManager: DB

A AAA AAA2.54Arbitrage$230.17$230.17 77% Cash Flow

B AA AA7.82$24.60$24.60 8%

C A A8.02$10.80$10.80 4%

D BBB BBB5.43$14.41$14.41 5%

E BB BB$8.10$8.10 3%

Equity $12.00$12.00 4%

$300.08$300.08

An Funding One IAsset Seller: Nippon Shinpan Co. Ltd.


Market: AsiaCollateral: Cash; Leveraged Loans

Lead:CoManager: ML/UFJ

A-1 AaaBalance Sheet$74.07JPY 10,000.00 26% Cash Flow

A-2 Aaa$153.78JPY 20,760.00 54%

B Aa2$11.56JPY 1,560.00 4%

C A2$15.19JPY 2,050.00 5%

D Baa2$28.07JPY 3,790.00 10%

$282.67JPY 38,160.00

Inman Square Funding IAsset Manager: Trust Company of the West


Market: USCollateral: Cash; Real Estate (Ba1/Ba2)

Lead:CoManager: MS

I Aaa AAA4.10 3 Mo. LIBORArbitrage$168.00$168.00 56% Cash Flow

II Aa2 AA6.00 3 Mo. LIBOR$37.00$37.00 12%

III A3 A6.70 3 Mo. LIBOR$15.00$15.00 5%

IV Baa2 BBB5.70 3 Mo. LIBOR$23.00$23.00 8%

PS $57.00$57.00 19%

$300.00$300.00


82

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

Calibre VAsset Manager: Wachovia Bank


Market: USCollateral: Synthetic; ABS and Corporate

Lead:CoManager: WS

Super Sr Arbitrage$1,125.00$1,125.00 75% Cash Flow

A-1 Aaa AAALibor$120.00$120.00 8% 35

A Aaa AAA$30.00$30.00 2%

A-2 Aaa AAALibor$25.00$25.00 2% 55

B Aaa AAA$50.00$50.00 3%

C Aaa AAALibor$37.50$37.50 3% 70

D Aa2 AAALibor$37.50$37.50 3% 100

E Aa3 AAALibor$30.00$30.00 2% 130

PS $45.00$45.00 3%

$1,500.00$1,500.00

Palisades IAsset Manager: Western Asset Management


Market: USCollateral: Cash; Diversified ABS (BBB)

Lead:CoManager: DB

A-1 Aaa AAA AAA6.50Arbitrage$372.00$372.00 62% Cash Flow

A-2 Aaa AAA AAA6.50$88.50$88.50 15%

B Aa2 AA AA8.30$84.00$84.00 14%

C Baa2 BBB BBB7.80$30.90$30.90 5%

PS $24.60$24.60 4%

$600.00$600.00

Duchess CDO IIIAsset Manager: Duke Street Capital Debt Mgmt


Market: EuroCollateral: Cash; Leveraged Loans

Lead:CoManager: CDC

A Aaa AAAArbitrage$359.70EUR 301.00 67% Cash Flow

B Aa3 AA-$64.53EUR 54.00 12%

C Baa2 BBB$39.44EUR 33.00 7%

D Ba3 BB-$18.88EUR 15.80 4%

Equity $53.78EUR 45.00 10%

$536.32EUR 448.80


83

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

Galaxy CLO Ltd 2004-1Asset Manager: AIG Credit


Market: USCollateral: Cash; Leveraged Loans (BB-/B+)

Lead:CoManager: GS

A Aaa AAAArbitrage$232.50$232.50 78% Cash Flow

B A2 A$21.00$21.00 7%

C Baa2 BBB$24.00$24.00 8%

PS $22.50$22.50 8%

$300.00$300.00

Valhalla IAsset Manager: Highland Capital Mgmt LP


Market: USCollateral: Cash; Pro-rata loans


Notes Arbitrage$600.00$600.00 100% Cash Flow

$600.00$600.00

Rhodium BV IAsset Manager: Solent Capital


Market: EuroCollateral: Synthetic; Diversified ABS (A-)

Lead:CoManager: ML

A AAA3 Mo. EuriborArbitrage$277.89EUR 235.50 78% Cash Flow

B AAA3 Mo. Euribor$28.08EUR 23.80 8%

C AA3 Mo. Euribor$21.95EUR 18.60 6%

D BBB3 Mo. Euribor$14.75EUR 12.50 4%

Sub $15.34EUR 13.00 4%

$358.01EUR 303.40

Nstar IIAsset Manager: North Star Capital


Market: USCollateral: Synthetic; CMBS


Super Sr Aaa AAA AAA6.60Arbitrage$235.00$235.00 59% Cash Flow

A-2 Aaa AAA AAA9.60$58.00$58.00 15%

B-1 A2 A A9.90$10.00$10.00 3%

B-2 A3 A- A-10.00$15.00$15.00 4%

C-1 Baa3 BBB+ BBB+10.00$25.00$25.00 6%

C-2 BBB BBB10.00$22.00$22.00 6%

D BB BB10.00$16.00$16.00 4%

PS $19.00$19.00 5%

$400.00$400.00


84

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

GEM LIGOS VIIIAsset Manager: TCW Advisors Inc.

Asset Value: $ 300 mmSector: EM

Market: USCollateral: Cash; Diversified Emerging Markets (B1)

Lead:CoManager: MS

A Aaa AAALiborArbitrage$185.00$185.00 62% Cash Flow low 40s

B Baa2 BBBLibor$55.00$55.00 18% 325-350

PS $60.00$60.00 20%

$300.00$300.00

Flat Iron IIAsset Manager: New York Life



Lead:CoManager: GS

Notes Arbitrage$0.00$0.00 #Num! Cash Flow

$0.00$0.00

Brooklands Euro RLN 2004-1Asset Manager: UBS Principal Finance


Market: US

Lead:CoManager: MS

Super Sr Arbitrage$885.00EUR 750.00 75% Cash Flow

A Aaa$118.00EUR 100.00 10%

B Aa1$53.10EUR 45.00 5%

C $123.90EUR 105.00 11%

$1,180.00EUR 1,000.00

Sierra Madre Funding IAsset Manager: Western Asset Management



Lead:CoManager: GS

ABCP Aaa AAA1 Mo. LIBORArbitrage$945.00$945.00 63% Cash Flow Rated to Principal Only

A1LT Aaa AAA7.30 1 Mo. LIBOR$405.00$405.00 27% Rated to Principal Only

A-2 Aaa AAA7.20 1 Mo. LIBOR$52.50$52.50 4% Rated to Principal Only

B Aa2 AA8.10 1 Mo. LIBOR$30.00$30.00 2% Rated to Principal Only

C A3 A-6.60 1 Mo. LIBOR$37.50$37.50 3% Rated to Principal Only

D Baa2 BBB5.10 1 Mo. LIBOR$12.00$12.00 1% Rated to Principal Only

PS $14.00$14.00 1% Rated to Principal Only

$1,496.00$1,496.00

Tokutei Mokuteki Kaisha IAsset Seller: Tokyo Metropolitan Government

Asset Value: $ 25 mmSector: HY Bonds

Market: AsiaCollateral: Cash; Japanese SME Bonds

Lead:CoManager: NIK/CITG

Notes AAABalance Sheet$24.88JPY 2,600.00 100% Cash Flow

$24.88JPY 2,600.00


85

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

Project Dragon Limited IAsset Seller: N.A.


Market: Asia


A 7.00Balance Sheet$120.00$120.00 86% Cash Flow

B 7.00$12.00$12.00 9%

Equity 7.00$8.00$8.00 6%

$140.00$140.00

House of Europe Funding IIAsset Seller: West LB


Market: EuroCollateral: Cash; Real Estate

Lead:CoManager: WLB

A P-1 A-1+ F-1+0.99Balance Sheet$1,128.40EUR 910.00 91% Cash Flow

B Aaa AAA7.00$24.80EUR 20.00 2%

C A3 A-7.00$70.68EUR 57.00 6%

D Baa2 BBB7.00$9.92EUR 8.00 1%

E 7.00$6.20EUR 5.00 1%

$1,240.00EUR 1,000.00

Recap LTD IAsset Seller: Recap Ltd.


Market: AsiaCollateral: Cash; Real Estate

Lead:CoManager: CSFB

A AaaBalance Sheet$144.08JPY 16,000.00 67% Cash Flow

B Aa2$19.81JPY 2,200.00 9%

C A2$20.71JPY 2,300.00 10%

D Baa2$20.71JPY 2,300.00 10%

E $10.81JPY 1,200.00 5%

$216.12JPY 24,000.00

MBIA High Grade CDO IAsset Manager: MBIA Capital Management


Market: US

Lead:CoManager: ML

A-1 Aaa AAA AAA5.40 3 Mo. LIBORArbitrage$400.00$400.00 80% Cash Flow 38

A-2 Aaa AAA8.00 3 Mo. LIBOR$87.50$87.50 17%

B A3 A-8.00 3 Mo. LIBOR$5.00$5.00 1% 150-175

C Baa2 BBB7.30 3 Mo. LIBOR$2.50$2.50 0% 320

PS $8.10$8.10 2%

$503.10$503.10


86

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

Caribou 2003-3Asset Seller: Royal Bank of Canada


Market: US

Lead:CoManager: RBC

Super Sr AAABalance Sheet$908.00$908.00 98% Cash Flow

A AAA1 Mo. LIBOR75

B AA1 Mo. LIBOR200

D $20.00$20.00 2%

$928.00$928.00

Spectre Finance 1Asset Manager: David L. Babson (Mass Mutual)


Market: USCollateral: Synthetic; IG Debt (AAA)

Lead:CoManager: BOA

Super Sr Arbitrage$900.00$900.00 90% Cash Flow

A AAA5.25 3 Mo. LIBOR$50.00$50.00 5% 60

B AAA5.25 3 Mo. LIBOR$28.00$28.00 3% 110

C AA+5.25 3 Mo. LIBOR$8.00$8.00 1% 180

D A+5.25 3 Mo. LIBOR$5.00$5.00 1% 290

E BBB5.25 3 Mo. LIBOR$5.00$5.00 1% 450

F $4.00$4.00 0%

$1,000.00$1,000.00

Green Park 2003-1Asset Manager: Societe Generale


Market: EuroCollateral: Synthetic; 115 entities (BBB+)

Lead:CoManager: SG

Super Sr Arbitrage$1,097.40EUR 930.00 93% Cash Flow

A 5.00 Euribor$17.70EUR 15.00 2% 50-60

B 5.00 Euribor$17.70EUR 15.00 2% 100-110

C 5.00 Euribor$17.70EUR 15.00 2% 200-220

D 5.00 Euribor$11.80EUR 10.00 1% 275-285

E 5.00 Euribor$17.70EUR 15.00 2% 475-525

$1,180.00EUR 1,000.00


87

Rating



WAL(Yrs)

Amount


Structure

Price Talk

CDOPipeline

June 10, 2004



Analyst

[email protected]

Enhan.Type

BLX 2003-2Asset Seller: Business Loan Express


Market: USCollateral: Cash; HY Loans: SME Loans

Lead:CoManager: WS,WLB

A Aaa AAA5.21 1 Mo. LIBORBalance Sheet$166.00$166.00 83% Cash Flow Low 80's

B A3 A5.21 1 Mo. LIBOR$24.00$24.00 12% 200

C $10.00$10.00 5%

$200.00$200.00

Landa 1Asset Seller: Barclays Bank

Asset Value: $ 3,362 mmSector: HY Loans

Market: EuroCollateral: Synthetic; 12,000 SME UK Loans

Lead:CoManager: BCG

Super Sr 5.00Balance Sheet$3,176.34GBP 1,902.00 94% Cash Flow

A 5.00$11.69GBP 7.00 0%

B 5.00$45.09GBP 27.00 1%

C 5.00$28.39GBP 17.00 1%

Equity 5.00$100.20GBP 60.00 3%

$3,361.71GBP 2,013.00

Signature Ltd 7Asset Manager: John Hancock


Market: USCollateral: Cash; Corp Bonds, Project Finance, Lease Finance (BB)

Lead:CoManager: GS

A Aaa AAA6.20Arbitrage$195.00$195.00 78% Cash Flow 40

B Aa28.00$17.50$17.50 7% 160

C Baa28.00$15.00$15.00 6% 270

Notes $22.50$22.50 9%

$250.00$250.00

Oceanside CDO IAsset Manager: Jefferies & Co., Inc


Market: USCollateral: Synthetic; HY Bonds

Lead:CoManager: SGCW

Super Sr Arbitrage$340.00$340.00 68% Cash Flow

A Aaa AAA5.00 1 Mo. LIBOR$20.00$20.00 4% 80

B Aa3 AA5.00 1 Mo. LIBOR$30.00$30.00 6% 150

C Baa2 BBB5.00 1 Mo. LIBOR$16.00$16.00 3% 400

D $94.00$94.00 19%

$500.00$500.00


88

New

Rating ChangesTable 31

ActionDate Issuer Series Class Agency

5/27/04 - 6/10/04RatingChanges

PreviousOriginalRatings

Issue Date

June 10, 2004



Analyst

[email protected]

Deal Type Comments

Downgrades

Marne et Champagne Finance A.R.L.6/10/04 1 Asset Seller: Marne et Champagne Finance A.R.L.Lead/Co Mgr: NSI02/29/2000 Other - Whole Bus Market: Euro

A-1 Fitch BBAAA-2 Fitch BBAAM Fitch BBBBBBB

TIAA Structured Finance CDO Ltd6/9/04 I Asset Manager: TIAALead/Co Mgr: LB12/14/2000 CDO Arbitrage Market: US

A-1 S&P AA+AAAAAAA-2 S&P AA+AAAAAA

American General Ltd6/8/04 2000-1 Asset Manager: American General InvestmentLead/Co Mgr: CSCM08/03/2000 CDO Arbitrage Market: US

A Moody's Aa2Aa1AaaB-1 Moody's Ba1Baa3A3B-2 Moody's Ba1Baa3A3C Moody's Caa1B1Baa2

D-1 Moody's CaCaa2Ba2D-2 Moody's CaCaa2Ba2

Bear Stearns Asset Backed Securities I6/8/04 2001-A Asset Seller: Conseco Finance Securitization Corp.Lead/Co Mgr: BS03/02/2001 Home Eq Market: US

M-2 Moody's Ba3Baa2Baa2B Moody's CaBa1Ba1

ContiMortgage Home Equity Loan Trust6/4/04 1997-1 Asset Seller: ContiSecurities Asset Funding Corp.Lead/Co Mgr: GW01/29/1997 Home Eq Market: US

M-1 Fitch AAAAA

FRANs plc6/4/04 2003 Asset Seller: Air FranceLead/Co Mgr: JPM/C06/30/2003 Other - Aircraft Market: Euro

b Moody's Baa1A3A3

Marne et Champagne Finance A.R.L.6/4/04 1 Asset Seller: Marne et Champagne Finance A.R.L.Lead/Co Mgr: NSI02/29/2000 Other - Whole Bus Market: Euro

A-1 Moody's Baa3A2A2A-2 Moody's Baa3A2A2M Moody's B3Ba1Baa2

Allmerica CBO, Ltd6/3/04 I Asset Manager: Allmerica Asset MgmtLead/Co Mgr: MS06/11/1998 CDO Arbitrage Market: US

A-1 Moody's Ba1Baa3Aa2

Diversified Asset Securitizations Holdin6/2/04 II Asset Manager: Asset Allocation & MgmtLead/Co Mgr: BS09/06/2000 CDO Arbitrage Market: US

B-1 Moody's Ba3Baa3Baa3

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

89

New





Issue Date

June 10, 2004



Analyst

[email protected]

Deal Type Comments

Independence CDO6/2/04 I Asset Manager: Declaration Management & ResearchLead/Co Mgr: CSFB11/20/2000 CDO Arbitrage Market: US

C Moody's Ba3Baa2Baa2

Independence CDO6/2/04 II Asset Manager: Declaration Management & ResearchLead/Co Mgr: CSFB06/29/2001 CDO Arbitrage Market: US

D Moody's B3Ba3Ba3

Triton Aviation Services6/1/04 1 Asset Seller: Triton Aviation ServicesLead/Co Mgr: Chase06/08/2000 Other - Aircraft Market: US

A-1 Moody's Ba3Ba1Aa2A-2 Moody's Ba1A2Aa2

Upgrades

Concerto B.V.6/9/04 I Asset Manager: AXA Investment MgrsLead/Co Mgr: DLJ/G08/01/2000 CDO Arbitrage Market: Euro

A-1 S&P AA+AA-AAAA-2 S&P AA+AA-AAAA-3 S&P AA+AA-AAA

Harley-Davidson Eaglemark Motorcycle 6/9/04 2000-1 Asset Seller: Eaglemark Financial Services Inc.Lead/Co Mgr: SSB04/19/2000 Other - Motorcycle Market: US

B S&P AAAAA-BBB

Harley-Davidson Eaglemark Motorcycle 6/9/04 2000-2 Asset Seller: Eaglemark Financial Services Inc.Lead/Co Mgr: SSB07/31/2000 Other - Motorcycle Market: US

B S&P AAAABBB+

Harley-Davidson Motorcycle Trust6/9/04 2000-3 Asset Seller: Eaglemark Financial Services Inc.Lead/Co Mgr: Chase11/15/2000 Other - Motorcycle Market: US

B S&P AAAA+A-

Harley-Davidson Motorcycle Trust6/9/04 2001-1 Asset Seller: Eaglemark Financial Services Inc.Lead/Co Mgr: SSB04/18/2001 Other - Motorcycle Market: US

B S&P AAAA

Harley-Davidson Motorcycle Trust6/9/04 2001-2 Asset Seller: Eaglemark Financial Services Inc.Lead/Co Mgr: JP08/13/2001 Other - Motorcycle Market: US

B S&P A+AA

Harley-Davidson Motorcycle Trust6/9/04 2001-3 Asset Seller: Eaglemark Financial Services Inc.Lead/Co Mgr: SSB12/04/2001 Other - Motorcycle Market: US

B S&P A+AA

Provide Blue6/7/04 2002-1 Asset Seller: BHW Bausparkasse AGLead/Co Mgr: SG02/14/2002 Other - Mtge Market: Euro

C S&P AA+AAAAD S&P A+AA


90

New





Issue Date

June 10, 2004



Analyst

[email protected]

Deal Type Comments

Provide Blue6/7/04 2002-2 Asset Seller: BHW Bausparkasse AGLead/Co Mgr: SG11/25/2002 Other - Mtge Market: Euro

C S&P AA+AAAD S&P A+ABBB

European Loan Conduit6/4/04 4 Asset Seller: Morgan Stanley Mortgage CapitalLead/Co Mgr: MS09/26/2000 Other - CMBS Market: Euro

B S&P AAAAAAAC S&P AAAAD S&P ABBBBBBE S&P A-BBB-BBB-

Apollo Trust5/28/04 2004-1 Asset Seller: Suncorp MetwayLead/Co Mgr: SGAL/02/24/2004 Other - Mtge Market: Asia

B Moody's Aa2Aa3Aa3

Intesa Sec srl5/28/04 1 Asset Seller: CARIPLOLead/Co Mgr: MS08/04/2000 Other - Mtge Market: Euro

B Fitch AA-A+A

Palazzo Finance5/28/04 1 Asset Seller: Natwest Finance SpA (Italfondiario SpA)Lead/Co Mgr: DB02/09/2001 Other - Mtge Market: Euro

B Fitch A+AAC Fitch BBB+BBBBBB

Seashell Securities5/28/04 1998 Asset Seller: Banco del SalentoLead/Co Mgr: LB/BN06/08/1998 Other - Mtge Market: Euro

C Fitch AAABB

Siena Mortgages SpA5/28/04 2000-1 Asset Seller: Banca Monte dei Paschi di Siena SpALead/Co Mgr: JP/BM12/06/2000 Other - Mtge Market: Euro

B Fitch AA+AA-AA-


91

Ratings WatchTable 32

WatchDate Issuer Series Class Agency

RatingsWatch


Issue Date

June 10, 2004



Analyst

[email protected]

Deal Type Comments

5/27/04 - 6/10/04

Negative

Scotia Pacific Holding Co6/9/04 1998 Lead/Co Mgr: Jul-98 Other - Future Flow Market: US

A-1 BBB+AS&P

A-2 BBBAS&P

A-3 BBBBBS&P

Wilbraham CBO Ltd6/8/04 1 Asset Manager: David L. Babson (Mass Mutual)Lead/Co Mgr: SSBJul-00 CDO Arbitrage Market: US

A-2 BBB-AAS&P

IndyMac Manufactured Housing ABS Tru6/7/04 1997-1 Lead/Co Mgr: CSFBJul-97 MH Market: US

A-2 Aa3AaaMoody's

A-3 Aa3AaaMoody's

A-4 Aa3AaaMoody's

A-5 Aa3AaaMoody's

A-6 Aa3AaaMoody's

M Ba2Aa3Moody's

IndyMac Manufactured Housing ABS Tru6/7/04 1998-1 Lead/Co Mgr: CSFBMar-98 MH Market: US

A-3 Aa3AaaMoody's

A-4 Aa3AaaMoody's

A-5 Aa3AaaMoody's

M Ba3Aa3Moody's

REAB6/4/04 II Asset Manager: Barclays BankLead/Co Mgr: BCGMay-01 CDO Arbitrage Market: US

B AA-AAFitch

Amethyst Finance plc6/3/04 1 Lead/Co Mgr: MSDec-01 Other - CMBS Market: Euro

A-01 AAFitch

A-02 AAFitch

DAWN CDO I, Ltd6/3/04 2002-IA Asset Seller: N.A.Lead/Co Mgr: CSFBSep-02 CDO Balance Sheet Market: US

B AAAAS&P

Diversified Asset Securitizations Holding6/2/04 II Asset Manager: Asset Allocation & MgmtLead/Co Mgr: BSSep-00 CDO Arbitrage Market: US

A-2L Aa3Aa3Moody's

B-1 Ba3Baa3Moody's

Sources: JPMS, Moody's, Standard and Poor's, Fitch. 92

Ratings WatchTable 32

WatchDate Issuer Series Class Agency

RatingsWatch


Issue Date

June 10, 2004



Analyst

[email protected]

Deal Type Comments

5/27/04 - 6/10/04

Independence CDO6/2/04 I Asset Manager: Declaration Management & ResearLead/Co Mgr: CSFBNov-00 CDO Arbitrage Market: US

B Aa3Aa3Moody's

C Ba3Baa2Moody's

Independence CDO6/2/04 II Asset Manager: Declaration Management & ResearLead/Co Mgr: CSFBJun-01 CDO Arbitrage Market: US

C Baa2Baa3Moody's

D B3Ba3Moody's

Sources: JPMS, Moody's, Standard and Poor's, Fitch. 93

June 10, 2004



Analyst

[email protected]

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june 10, 2004 global abs/cdo weekly market...

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