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Attach:
Zoccoli, Michael <zocollim@dnb.com>
Thursday, October 24, 2002 1:35PM
Andrew Kriegler <krieglea@dnb.com>; Andrew Silver <silvera@dnb.com>; Benito Solis
<solisb@dnb.com>; Bill May <mayb@dnb.com>; Brian Clarkson <clarksonb@dnb.com>;
David Little <littled@dnb.com>; David Moniz <monizd@dnb.com>; Ed Bankole
<bankolee@dnb.com>; Felix Sotomayor <sotomayf@dnb.com>; Gina Nicholas
<nicholag@dnb.com>; Gus Harris <harrisg@dnb.com>; Isaac Efrat <efrati@dnb.com>; James
Duca <ducaj@dnb.com>; Jay Eisbruck <eisbruckj@dnb.com>; Jay Siegel <siegelj@dnb.com>;
Jeremy Gluck <gluckj@dnb.com>; John Cline <clinej@dnb.com>; John Goggins
<gogginsj@dnb.com>; Linda Stesney <stesneyl@dnb.com>; Luiz Tess <tessl@dnb.com>;
Michael Kanef <kaneffm@dnb.com>; Michelle Adler <adlerm@dnb.com>; Noel Kirnon
<kirnonn@dnb.com>; Pramila Gupta <guptap@dnb.com>; Raymond McDaniel
<mcdanielr@dnb.com>; Sam Pilcer <pilcers@dnb.com>; Tad Philipp <philippt@dnb.com>
SFG September 2002 Market Share
September 2002YTD Distribution.xls
Attached, please find the September 2002 SFG Market Share Report. Please be sure to print the entire workbook to ensure
proper page numbering and formatting.
If you have any questions please feel free to call me at extension 1012, however please note that I will be out of the office on
Thursday, October 24th.
Thanks,
Mike
<< ... >>
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016904
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Structured 1
YTD,t
Table of Contents
Section I
SFG Market Share - Includes US, Latin America & Canada
Section II
Domestic Market Share (Public ABS)- New York Office
Section III
Domestic Market Share (Public and 144A ABS)- New York Office
Section IV
Domestic RMBS Market Share (Public and 144A)- New York Office
Section V
Domestic CMBS Market Share (Public & 144A)- New York Office
Section VI
Domestic CDO Market Share (Public, Private & 144A)- New York Office
Section VII
US ABCP Market Share
Section VIII
US LOC CP Market Share
Page 1 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016905
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1 OSED INFORMATION NOT TO BE USED FOR PUBLICATION.
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"inance Group Market Share Report
trough September 2001 vs 2002
Agency Market Share Comparison by$ Volume Issued
Agency Market Share Comparison by# of Deals Issued
US Public Agency Market Share Comparison
US Public Market by Asset Type
US 144A and Public Deals combined
US Moody's Missed Deals Summary
Missed Deals List -ABSIRMBS
US 144A & Public Jumbo A-AltA Rating Agency Comparison
US 144A & Public CMBS Rating Agency Comparison
US CBO-CLO Rating Agency Comparison
Missed deals List -CMBS/CDO
US ABCP Market Share
Page 2 of 6
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MOODYS-FCIC-0016906
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CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016907
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CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016908
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CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016909
Page 6 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-001691 0
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Section I
Global Market Share by Location of Assets (includes US, Latin America & Canada)
US domestic deals include public & 144A (CDO includes privates also).
Inti deals include public, private & 144A.
ABS, RMBS, CMBS & CDO deals are included.
ABCP, repackaged and resecuritization deals are not included.
Page 1 of 7
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016911
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Q
R
Structured Finance Group Market Share By Location of A
YTD, thr
Sep-01
us
413,182
Domestic
411,080
ABS
RMBS
226,688
CMBS
45,803
coo
Inti
97,779
40,810
2,102
ABS
2,102
RMBS
0
CMBS
0
coo
Latin America
0
3,842
Domestic
48
ABS
0
RMBS
48
CMBS
0
coo
Inti
0
3,794
ABS
RMBS
CMBS
coo
Canada
3,699
95
0
0
2,781
Domestic
2,781
ABS
RMBS
CMBS
coo
Inti
1,932
0
849
0
0
ABS
RMBS
0
CMBS
0
coo
Total
0
0
419,806
Note:
US market share includes only public & 144A deals. Canada & Latin Am. market share includes public, private & 144A. Report intended for agency comparison.
International is defined as any deal that is not sold within the sellers region. Domestic is defined as any deal that is sold within the sellers region.
Page 2 of 7
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016912
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1 sets-$ VOLUME (Does not include ABCP, Repackaged and Resecuritizations)
2 >ugh September 2001 vs 2002
3
Total Mkt
Moody's
4
% Mkt
% Mkt
Sep-02
% Chng
Sep-01
Sep-02
5
6
518,693
26%
351,530
85%
461,907
89%
518,082
26%
349,428
85%
461,296
89%
7
278,923
23%
223,829
99%
269,416
97%
8
162,476
66%
58,869
60%
120,524
74%
9
32,867
-28%
30,322
66%
29,220
89%
10
43,816
7%
36,408
89%
42,136
96%
11
611
-71%
2,102
100%
611
100%
12
-71%
100%
100%
611
2,102
611
13
0
0
0
14
0
0
0
15
0
0
0
16
90%
2,734
96%
2,834
-26%
3,442
17
896
1751%
48
100%
896
100%
18
100%
896
0
896
19
-100%
100%
0
48
0
20
0
0
0
21
0
0
0
22
1,938
-49%
3,394
89%
1,838
95%
23
-49%
89%
95%
1,881
3,299
1,781
24
-40%
100%
100%
57
57
95
25
0
0
0
26
0
0
0
27
28
1,852
-33%
1,717
62%
1,248
67%
1,852
-33%
1,717
62%
1,248
67%
29
45%
91%
-52%
937
868
855
30
0
0
0
31
8%
100%
43%
915
849
393
32
0
0
0
33
0
0
0
34
0
0
0
35
0
0
0
36
0
0
0
37
0
0
0
38
523,379
25%
356,689
85%
465,889
89%
39
40
41
42
43
AA
AB
AC
AD
Sep-01
346,404
344,302
% Mkt
84%
84%
Sep-02
442,399
441,898
210,324
93%
72,802
AE
AF
AG
% Mkt
85%
85%
Sep-01
279,175
% Mkt
68%
277,666
68%
Sep-02
252,458
251,957
248,441
89%
157,425
69%
148,264
74%
131,300
81%
72,342
74%
77,509
31,407
69%
27,412
83%
33,434
73%
13,826
29,769
73%
34,745
79%
14,465
35%
12,358
2,102
100%
501
82%
1,509
72%
501
2,102
100%
501
82%
1,509
72%
501
S&P
AH
Fitch
0
0
0
0
0
0
0
0
0
0
0
1,534
0
40%
0%
0
0%
19%
49%
1,774
0
440
0
540
440
49%
0
0
0
0
400
0
0
400
400
0%
0
0
46%
0%
0
0
0
0
0
1,534
40%
100
5%
1,774
1,534
41%
100
5%
1,679
45%
0
0
0%
0
0%
95
100%
0
0
0
0
0
0
0
47%
0
0
0
1,715
1,715
62%
62%
988
988
53%
53%
173
173
6%
6%
0
0
1,253
65%
466
50%
0
0%
0
20%
0
-
0
0
462
0
54%
522
-
0
0
0
0
57%
-
0
173
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
349,654
83%
443,928
85%
0
281,121
67%
252,858
Page 3 of 7
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016913
AI
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AJ
% Mkt
49%
49%
53%
48%
42%
28%
82%
82%
14%
45%
45%
0%
0%
0%
0%
0%
0%
0%
-
48%
Page 4 of 7
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016914
AK
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AL
AM
AN
Structured Finance Group Market Share By Location of Asset
YTD, throug
Sep-01
us
853
Domestic
848
ABS
RMBS
448
222
CMBS
66
coo
112
5
Inti
ABS
5
RMBS
0
CMBS
0
coo
0
Latin America
19
5
Domestic
ABS
0
RMBS
5
CMBS
0
coo
0
Inti
14
ABS
RMBS
CMBS
13
1
0
coo
0
Canada
12
Domestic
12
ABS
RMBS
CMBS
0
coo
0
7
5
0
Inti
ABS
RMBS
0
CMBS
0
0
coo
Total
0
884
Note:
US market share includes only public & 144A deals. Canada & Latin Am. market share includes public, private & 144A. Report intended for agency comparison.
International is defined as any deal that is not sold within the sellers region. Domestic is defined as any deal that is sold within the sellers region.
Page 5 of 7
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016915
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AO
AP
AQ
AR
AS
AT
AU
AV
-#of DEALS (Does not include ABCP, Repackaged and Resecuritizations)
September 2001 vs 2002
Total Mkt
Sep-02
1,029
1,027
% Chng
21%
Moody's
% Mkt
Sep-02
84%
864
AW
AX
% Mkt
77%
AY
AZ
% Mkt
81%
BA
BB
BC
% Mkt
62%
S&P
% Mkt
84%
BD
Fitch
Sep-02
472
62%
471
21%
Sep-01
714
709
84%
862
84%
Sep-01
656
651
77%
Sep-02
832
831
81%
Sep-01
531
529
552
23%
423
94%
490
89%
359
80%
452
82%
281
63%
274
302
36%
138
62%
210
70%
158
71%
248
82%
165
74%
148
52
-21%
48
73%
46
88%
44
67%
38
73%
42
64%
17
121
8%
100
89%
116
96%
90
80%
93
77%
41
37%
32
2
-60%
5
100%
2
100%
5
100%
1
50%
2
40%
1
2
-60%
5
100%
2
100%
5
100%
1
50%
2
40%
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
20
7
5%
40%
17
5
7
0
89%
100%
19
100%
0
-100%
5
7
5
0
7
0
0
95%
100%
100%
26%
0%
3
2
15%
29%
7
0
0
2
29%
0
0%
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0%
0
1
0
0
37%
0%
0
13
-7%
12
10
-23%
11
85%
9
3
200%
1
100%
3
86%
12
5
36%
90%
5
100%
0
92%
0
0
1
8%
7
38%
1
10%
6
46%
0
0%
0
0%
1
100%
0
0
0
0
0
0
0
0
0
0
0
0
50%
0
12
12
0%
0%
8
8
67%
7
0%
3
0
5
43%
6
0
0%
5
-
0
0
0
67%
67%
8
8
67%
6
67%
8
8
67%
86%
5
71%
0
100%
2
-
0
0
0
40%
3
-
0
0
0
0
6
50%
50%
1
1
8%
8%
0
0
3
43%
0
0%
0
20%
0
-
0
0
60%
3
-
0
0
0
0
60%
1
-
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,061
20%
739
84%
891
84%
669
76%
841
79%
539
0
61%
473
Page 6 of 7
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016916
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BF
% Mkt
46%
46%
50%
49%
33%
26%
50%
50%
5%
14%
14%
0%
0%
0%
0%
0%
0%
0%
-
45%
Page 7 of 7
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016917
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Section II
Domestic Market Share
New York Office
Market Share Information Includes ONLY Public Transactions
Commercial Paper, Repackaged and Resecuritization Deals are not included in this section.
Report intended for rating agency comparison.
Page 1 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016918
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3s
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4o
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AA
AB
%Mkt.
Sep-01
%Mkt.
US Structured Finance Group Market Share - September 2002
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PUBLIC ABS DEAL VOLUME
YEAR TO DATE
Total Market
Sep-01
Sep-02
Moody's Rated
%Chg
Sep-01
%Mkt.
S&PRated
Sep-02
%Mkt.
Sep-01
Fitch
Sep-02
%Mkt.
Credit Cards
47,780
45,742
-4%
47,780
100%
45,742
100%
47,780
100%
45,665
100%
44,411
HE/BC
54,940
92,263
68%
53,315
97%
90,256
98%
51,184
93%
88,700
96%
29,933
54%
3,486
4,220
21%
3,486
100%
4,220
100%
2,923
84%
4,220
100%
2,075
60%
MH
93%
Other
13,546
19,647
45%
13,470
99%
17,044
87%
13,038
96%
9,063
46%
12,016
89%
Student Loans
12,173
21,140
74%
11,711
96%
19,892
94%
7,472
61%
14,187
67%
11,070
91%
Vehicles
Total
56,623
63,450
12%
56,623
100%
63,338
100%
56,623
100%
61,961
98%
38,896
69%
188,549
246,462
31%
186,385
99%
240,491
98%
179,020
95%
223,796
91%
138,400
73%
MONTH
Total Market
Sep-01
Sep-02
Moody's Rated
%Chg
Sep-01
%Mkt.
S&PRated
Sep-02
%Mkt.
Sep-01
Fitch
Sep-02
%Mkt.
Sep-01
%Mkt.
%Mkt.
Credit Cards
1,686
5,008
197%
1,686
100%
5,008
100%
1,686
100%
4,931
98%
1,686
100%
HEIBC
9,360
14,031
50%
9,360
100%
13,137
94%
9,360
100%
13,645
97%
5,704
61%
-100%
582
100%
582
100%
2,922
203%
938
97%
878
91%
1,312
45%
904
94%
100%
MH
582
Other
964
2,826
97%
0%
Student Loans
1,676
1,288
-23%
1,676
100%
1,288
100%
1,350
81%
1,063
82%
1,676
Vehicles
5,169
3,447
-33%
5,169
100%
3,384
98%
5,169
100%
3,408
99%
3,188
62%
19,436
26,696
37%
19,411
100%
25,643
96%
19,025
98%
24,358
91%
13,158
68%
Total
Moody's Public Asset Backed Issuance by Volume($)
Sep-01
Sep-02
(YTD)
Credit Cards
Credit Cards
27%
Vehicles
26%
Vehicles
29%
Si~N~o~ /EIBC
st~m ~"':;:;
8%
6%
"'"
'JRO
(YTD)
Other
~~BC
Page 2 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016919
AC
AD
Sep-02
%Mkt.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
Rated
38,713
85%
34,176
37%
97
2%
6,926
35%
17,578
83%
41,159
65%
138,648
56%
Rated
Sep-02
%Mkt.
4,931
98%
5,263
38%
531
18%
1,252
97%
1,817
53%
13,795
52%
3o
31
32
33
34
35
36
37
3s
39
4o
41
42
43
44
Page 3 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016920
AE
AF
AG
AH
AI
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
AQ
AR
AS
Sep-02
%Mkt.
Sep-01
%Mkt.
91%
AJ
AK
AL
AM
AN
AO
AP
US Structured Finance Group Market Share - September 2002
NUMBER OF PUBLIC ABS DEALS
YEAR TO DATE
Total Market
Sep-01
Sep-02
Moody's Rated
%Change
Sep-01
%Mkt.
S&PRated
Sep-02
%Mkt.
Sep-01
%Mkt.
Fitch
Credit Cards
65
61
-6%
65
100%
61
100%
65
100%
60
98%
59
HEIBC
109
164
50%
102
94%
154
94%
102
94%
154
94%
60
55%
MH
10
12
20%
10
100%
12
100%
8
80%
12
100%
6
60%
Other
28
56
100%
25
89%
36
64%
20
71%
33
59%
21
75%
Student Loans
45
67
49%
40
89%
59
88%
14
31%
33
49%
35
78%
Vehicles
59
60
2%
59
100%
58
97%
59
100%
57
95%
32
54%
Total
316
420
33%
301
95%
380
90%
268
85%
349
83%
213
67%
Sep-01
%Mkt.
%Mkt.
Sep-01
%Mkt.
MONTH
Total Market
Sep-01
Moody's Rated
Sep-02
%Change
Sep-01
%Mkt.
S&PRated
Sep-02
%Mkt.
Fitch
Sep-02
Credit Cards
3
6
100%
3
100%
6
100%
3
100%
5
83%
3
100%
HEIBC
15
34
127%
15
100%
30
88%
15
100%
30
88%
8
53%
MH
1
0
-100%
1
100%
0
1
100%
0
Other
3
9
200%
2
67%
6
67%
1
33%
5
0
0%
2
56%
67%
100%
Student Loans
4
4
0%
4
100%
4
100%
2
50%
2
50%
4
Vehicles
6
7
17%
6
100%
6
86%
6
100%
6
86%
3
50%
Total
32
60
88%
31
97%
52
87%
28
88%
48
80%
20
63%
Moody's Public Asset Backed Issuance by Number of Deals
Sep-01
Vehicles
Student Loans
13%
R%
CONFIDENTIAL & PROPRIETARY
Vehicles
Credit Cards
22%
~~
~"\::1
Sep-02
(YTD)
)ESC
Student Loans
16%
(YTD)
Credit Cards
K~
rn~ ~
9%
HE/BC
Page 4 of 24
MOODYS-FCIC-0016921
AT
AU
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
~ated
Sep-02
%Mkt.
50
82%
65
40%
1
8%
25
45%
41
61%
33
55%
215
51%
rated
Sep-02
%Mkt.
5
83%
13
38%
0
4
44%
3
75%
3
43%
28
47%
~
~
~
~
~
~
~
~
~
~
~
~
~
~
~
Page 5 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016922
112001
Rating Agency Comparison (#of Deals)
CJ2002
~~--~~~---+--~~~--~~--~--+-~--+-~~~--~ 450
~~--~=------+--~~~--~=---~--+-~~+-~~~--~ 400
~~--+=~-----+---=~~--~~--~--+-~~+-~~~--~ 350
300
~~--+--------+------~--------~--+-----+-----~--~
~~--+--------+------~--------~--+-----+-----~--~
250
~~--+--------+------~--------~--+-----+-----~--~ 200
150
100
50
0
Total Mkt.
Moody's
S&P
Agency Growth ($ Mil)
Fitch
112001
CJ2002
Page 6 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016923
BN
BO
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
AGENCY MARKET SHARE OF THE PUBLIC ABS MARKET BY ASSET TYPE
Total US Credit Cards($ mil)
Total US Vehicles($ mil)
$70,000
$60,000
$60,000
$50,000
$50,000
$40,000
$40,000
$30,000
$30,000
$20,000
$20,000
$10,000
$10,000
$0
Total Market
Moody's
S&P
$0
Fitch
Total Market
Total US HE/BC ($mil)
Moody's
S&P
Fitch
Total US MH ($ mil)
$105,000
$4,500
$90,000
$4,000
$3,500
$75,000
$3,000
$60,000
$2,500
$45,000
$2,000
$30,000
$1,500
$15,000
$1,000
$500
$0
Total Market
Moody's
S&P
Fitch
$0
Total Market
Moody's
S&P
Fitch
Page 7 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016924
BZ
CE
002
2
3
4
5
6
7
Total US Student Loan($ mil)
Fitch
$25,000
$20,000
$15,000
$10,000
$5,000
$0
43
Total Market
Moody's
S&P
Fitch
44
Page 8 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016925
CG
CF
cs
CR
2
PUBLIC ABS MARKET BY ASSET TYPE
3
4
5
6
Total US ABS by Asset Type($ mil)
7
8
9
1112001 YTD
02002 YTD
10
11
$250,000
12
13
$225,000
14
15
$200,000
16
17
18
19
$175,000
20
$150,000
21
22
23
$125,000
24
25
$100,000
26
27
$75,000
28
29
30
$50,000
31
32
33
34
35
36
37
38
$25,000
$0
Total Market
Credit Cards
HE/BC
MH
Other
Student Loans
Vehicles
39
2001 YTD
2002 YTD
%Chg
41
Total Market
$188,549
$246,462
31%
42
Credit Cards
$47,780
$45,742
-4%
43
44
HEIBC
$54,940
$92,263
68%
MH
$3,486
$4,220
21%
40
Page 9 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016926
cu
CT
cv
cw
ex
cz
CY
DA
DB
DC
DO
DE
OF
DG
DH
OJ
01
1
US Structured Finance Gr
2
3
4
5
YTD GROWTH OF THE U
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
I
I
YTD2000
YTD2001
$
#
I
I
$350
Total Public Market
$
I
Mth 2002
YTD2002
#
$
#
--2000A<
$
#
Jan
2,589
6
18,535
25
23,386
31
23,386
19,380
40
35,077
52
13,139
31
36,525
62
Mar
40,881
82
74,115
114
35,752
50
72,277
112
Apr
57,646
107
83,340
133
25,537
46
97,815
!58
May
73,710
130
105,454
176
28,618
35
126,433
193
Jun
102,640
180
131,778
222
32,174
56
158,607
249
Jul
110,546
198
144,703
245
24,531
53
183,138
302
Aug
126,448
229
169,113
284
36,628
58
219,766
360
Sep
154,834
273
188,549
316
26,696
60
246,462
$300
31
Feb
420
Oct
*
168,227
294
211,061
347
14,561
*
191,694
333
232,080
390
14,561
*
208,637
371
270,218
433
19,415
$200
275,585
Dec
$250
261,023
Nov
~2002A<
295,000
$150
*Indicates projection for 2002
$100
.,.,..
$50
$0
~
~
F
J
I
CREDIT CARDS
YTD 2001
I
I
I
VEHICLES
Mth 2002
YTD 2002
YTD 2001
Mth 2002
YTD 2002
YTD 2001
$
#
$
#
$
#
$
#
$
#
$
#
$
Jan
5,376
7
6,049
9
6,049
9
6,806
6
10,608
6
10,608
6
2,562
#
2
Feb
13,126
14
3,690
7
9,739
16
11,527
12
1,350
I
11,958
7
2,590
3
12
Mar
18,926
22
1,984
3
11,723
19
20,847
20
9,246
7
21,204
14
9,019
Apr
21,077
26
4,294
5
16,016
24
24,004
25
7,745
8
28,949
22
9,544
13
May
27,696
36
11,483
10
27,499
34
31,672
34
5,698
5
34,647
27
10,103
16
Jun
36,674
47
7,582
11
35,082
45
35,790
38
7,729
9
42,377
36
11,828
21
Jul
39,072
52
4,551
8
39,633
53
41,754
46
4,601
6
46,977
42
11,828
21
Page 10 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016927
DL
OM
ON
1 up Market Share - September 2002
DO
OK
DQ
DP
2 PUBLIC ASSET BACKED MARKET
I
I
I
I
I
I
3
Cumulative ABS Issuance (US$ Billions)
4
5
6
--:6- 2001 Actual
tual
7
8
9
w
~
tual
DR
I
DT
OS
I
I
DU
I
ow
DV
I
I
ox
I
I
2002 Projected
"""11
~
12
13
14
15
16
19
2o
21
23
24
25
26
27
2s
29
3o
~-
__f>r __
I
EA
I
EB
I
EC
I
ED
I
~
---
-k-
---- --
-
_e;-
_... _...
_...
------~
~~
--------
31
32
33
34
35
36
37
38
39
40
41
42
43
44
DZ
~-----~--------~
"""17
18
22
-
DY
M
A
M
J
OTHER
s
A
J
HE/BC
YTD 2002
Mth 2002
STUDENT LOANS
MH
Mth 2002
YTD 2001
N
0
YTD 2002
Mth 2002
YTD 2001
YTD 2002
YTD 2001
Mth 2002
$
#
$
#
$
#
$
#
$
#
$
#
$
#
$
#
$
#
$
549
3
549
3
3,192
7
5,794
10
5,794
10
285
I
0
0
0
0
313
2
386
#
3
860
2
1,409
5
6,525
15
6,215
11
12,009
21
639
2
399
2
399
2
669
6
625
8
922
2
2,331
7
20,418
42
17,223
26
29,232
47
1,656
5
922
2
1,321
4
3,249
13
5,456
10
1,330
6
3,661
13
23,082
48
9,689
15
38,921
62
1,656
5
645
2
1,966
6
3,977
16
1,834
10
2,939
4
6,600
17
29,074
62
5,184
10
44,105
72
1,815
6
235
I
2,201
7
5,094
22
3,079
5
1,673
4
8,273
21
37,224
78
12,880
23
56,985
95
2,300
7
1,203
2
3,404
9
7,962
31
1,108
7
2,377
12
10,649
33
41,239
83
9,405
16
66,390
Ill
2,300
7
0
0
3,404
9
8,511
36
3,598
11
Page 11 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016928
EE
EF
2
3
33
34
35
36
37
38
39
40
41
42
43
44
YTD 2002
#
386
1,011
11
6,466
21
8,301
31
11,380
36
12,487
43
16,085
54
Page 12 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016929
A
B
c
D
E
F
G
H
I
J
K
L
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
Page 13 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016930
0
45
p
Q
R
utner "'-...1..
46
47
4s
8%
MH
2%
s
_.../
T
LO"lo
u
v
w
X
z
y
7%
M~
AA
___.-/
AB
·~·~~
38%
2%
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
Page 14 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016931
AC
AD
45
46
47
4s
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
Page 15 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016932
AE
45
46
47
48
49
50
51
52
53
54
AF
AG
v
AH
M~
3%
AI
/
AJ
34%
AK
AL
AM
AN
AO
AP
~'"
~
AQ
AR
/
AS
41%
3%
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
Page 16 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016933
AT
AU
45
r:w-
~
~
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
Page 17 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016934
AV
AW
AX
45
)
AY
AZ
BA
BB
BC·-~~
$0
Total Mkt.
Moody's
S&P
Fitch
49
_§_Q_
51
52
~
54
55
56
:l
60
64
)
68
(
72
'L
'~
76
:l
80
_§_1_
82
Page 18 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016935
BN
BP
BQ
BR
2001 YTD
$56,623
2002 YTD
$63,450
%Chg
12%
12%
9%
6%
BO
BS
BT
BU
BV
BW
BX
BY
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
US Structured Finance
Group Market Share Seotember 2002
Total Vehicles YTD
Total Market
Total Student Loans YTD
Moody's
$56,623
$63,338
S&P
$56,623
$61,961
Fitch
$38,896
$41,159
2001 YTD
$13,546
2002 YTD
$19,647
Moody's
$13,470
$17,044
S&P
$13,038
$9,063
Fitch
$12,016
$6,926
%Chg
45%
27%
-30%
-42%
2001 YTD
$54,940
$53,315
$51,184
$29,933
2002 YTD
$92,263
$90,256
$88,700
$34,176
%Chg
68%
69%
73%
14%
Total Other YTD
Total Market
Moody's
S&P
Fitch
Moody's
2001 YTD
$12,173
$11,711
S&P
$7,472
Fitch
$11,070
Total Credit Cards
Total Market
Moody's
2001 YTD
$47,780
$47,780
S&P
$47,780
Fitch
$44,411
TotalMHYTD
Total HE/BC YTD
Total Market
Total Market
Total Market
Moody's
S&P
Fitch
2001 YTD
$3,486
$3,486
$2,923
$2,075
Page 19 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016936
BZ
CA
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
CB
cc
CD
CE
Legend used for all charts
-
-
112001 YTD
D2002 YTD
-
-
2002 YTD
$21,140
$19,892
$14,187
$17,578
%Chg
74%
70%
90%
59%
$38,713
%Chg
-4%
-4%
-4%
-13%
2002 YTD
$4,220
$4,220
$4,220
$97
%Chg
21%
21%
44%
-95%
2002 YTD
$45,742
$45,742
$45,665
Page 20 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016937
CF
45
46
47
48
49
50
51
52
53
54
CH
Cl
CJ
Other
CG
$13,546
$19,647
Student Loans
$12,173
$21,140
$56,623
$63,450
CL
CM
CN
CP
CQ
CR
cs
74%
Vehicles
CK
co
45%
12%
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
Page 21 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016938
cw
ex
CY
cz
DA
DB
DC
DO
DE
OF
DG
DH
01
OJ
Aug
cu
46,094
62
1,102
2
40,734
55
51,454
53
13,026
11
60,003
53
12,583
25
Sep
47,780
65
5,008
6
45,742
61
56,623
59
3,447
7
63,450
60
13,546
28
Oct
*
52,074
70
NA
NA
NA
NA
63,818
66
NA
NA
NA
NA
15,465
31
Nov
*
54,246
73
NA
NA
NA
NA
71,551
75
NA
NA
NA
NA
18,205
39
Dec
*
58,878
78
NA
NA
NA
NA
76,231
83
NA
NA
NA
NA
18,496
44
CT
45
46
47
48
49
50
51
52
53
54
cv
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
#s For Chart
2000 Actual
2001 Actual
Jan
2.6
18.5
Feb
19.4
35.1
Mar
40.9
74.1
Apr
57.6
83.3
May
73.7
105.5
Jun
102.6
131.8
Jul
110.5
144.7
Aug
126.4
169.1
Sep
154.8
188.5
Oct
168.2
211.1
Nov
191.7
232.1
Dec
208.6
270.2
78
79
80
81
82
Page 22 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016939
OK
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
DL
OM
ON
DO
DP
DQ
DR
OS
DT
DU
DV
ow
ox
DY
DZ
EA
EB
EC
ED
6,075
14
16,725
47
45,580
94
11,842
19
78,232
130
2,904
9
816
3
4,220
12
10,498
41
3,767
9
2,922
9
19,647
56
54,940
109
14,031
34
92,263
164
3,486
10
0
0
4,220
12
12,173
45
1,288
4
NA
NA
NA
NA
63,084
121
NA
NA
NA
NA
3,912
11
NA
NA
NA
NA
12,709
48
NA
NA
NA
NA
NA
NA
68,388
136
NA
NA
NA
NA
5,826
14
NA
NA
NA
NA
13,864
53
NA
NA
NA
NA
NA
NA
93,967
151
NA
NA
NA
NA
6,466
16
NA
NA
NA
NA
16,178
61
NA
NA
2002 Actual
23.4
2002 Projected
23.4
36.5
72.3
97.8
126.4
158.6
183.1
219.8
246.5
261.0
275.6
295.0
78
79
80
81
82
Page 23 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016940
EE
45
46
47
48
49
50
51
52
53
54
EF
19,852
63
21,140
67
NA
NA
NA
NA
NA
NA
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
Page 24 of 24
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016941
A
B
1
2
3
4
5
6
7
8
9
w
11
12
13
14
15
16
17
18
19
2o
21
22
c
D
E
F
G
H
I
J
K
Section III
Domestic ABS Market Share
New York Office
Market Share Information Includes Public and 144A Transactions
144A Information Provided For Informational Purposes
Commercial Paper, Repackaged and Resecuritization Deals are not included in this section.
Report intended for rating agency comparison.
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
Page 1 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016942
p
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
s
R
Q
u
T
v
w
z
y
X
US Structured Finance Group Market Share - September 2002
Year To Date 144A & Public Comparison
ABS Deal Volume (US$ Mil)
Moody's Rated
Total Market
Sep-01
Sep-02
Sep-01
%Chg
%Mkt.
S&PRated
Sep-02
%Mkt.
Sep-01
Sep-02
%Mkt.
144A
Credit Cards
6,635
2,778
-58%
6,635
100%
2,778
100%
6,556
99%
2,778
HEIBC
1,782
5,757
223%
1,682
94%
5,672
99%
1,747
98%
5,757
227
60
-74%
227
100%
60
100%
14,107
14,685
4%
13,958
99%
11,298
77%
MH
Other
Student Loans
0%
60
10,908
77%
9,098
144A Total
1,044
6,567
529%
1,044
100%
6,567
100%
840
80%
5,692
14,110
3,194
-77%
13,667
97%
3,129
98%
11,253
80%
1,261
37,906
Vehicles
33,041
-13%
37,211
98%
29,504
89%
31,304
83%
24,646
Public
Credit Cards
47,780
45,742
-4%
47,780
100%
45,742
100%
47,780
100%
45,665
HEIBC
54,940
92,263
68%
53,315
97%
90,256
98%
51,184
93%
88,700
MH
3,486
4,220
21%
3,486
100%
4,220
100%
2,923
84%
4,220
Other
13,546
19,647
45%
13,470
99%
17,044
87%
13,038
96%
9,063
Student Loans
12,173
21,140
74%
11,711
96%
19,892
94%
7,472
61%
14,187
Vehicles
56,623
63,450
12%
56,623
100%
63,338
100%
56,623
100%
61,961
188,549
246,462
31%
186,385
99%
240,491
98%
179,020
95%
223,796
Public Total
144A& Public
Credit Cards
54,415
48,520
-11%
54,415
100%
48,520
100%
54,336
100%
48,443
HEIBC
56,723
98,020
73%
54,996
97%
95,928
98%
52,931
93%
94,457
3,713
4,280
15%
3,713
100%
4,280
100%
2,923
79%
4,280
Other
27,654
34,332
24%
27,427
99%
28,342
83%
23,946
87%
18,161
Student Loans
13,217
27,707
110%
12,755
97%
26,458
95%
8,312
63%
19,879
Vehicles
70,733
66,644
-6%
70,289
99%
66,467
100%
67,876
96%
63,222
226,455
279,503
23%
223,596
99%
269,996
97%
210,324
93%
248,441
MH
Total144A & Public
ABS Number of Deals(#)
Moody's Rated
Total Market
Sep-01
Sep-02
Sep-01
%Chg
%Mkt.
S&PRated
Sep-02
%Mkt.
Sep-01
Sep-02
%Mkt.
144A
Credit Cards
HEIBC
MH
Other
18
9
-50%
18
100%
9
100%
17
94%
9
9
16
78%
8
89%
15
94%
7
78%
16
0%
1
45
62%
60
1
1
0%
1
100%
1
100%
73
81
11%
66
90%
61
75%
Page 2 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016943
AB
AA
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
AC
AD
AE
AF
AG
AH
AI
AJ
AK
AL
AM
AN
US Structured Finance Group Market Sl
MOODY'S MISSED PUBLIC & 144A AB
MOODY'S UNRATED 144A's
2001
Fitch Rated
%Mkt.
Sep-01
%Mkt.
Sep-02
2002
Month
%Mkt.
$
#
100%
5,294
80%
916
33%
Jan-02
100%
218
12%
2,587
45%
100%
227
100%
0%
Mar-02
101
Apr-02
40
$
Feb-02
62%
8,154
58%
4,524
31%
87%
1,044
100%
1,075
16%
May-02
39%
4,603
33%
515
16%
Jun-02
75%
19,541
52%
9,616
29%
58
I
100%
44,411
93%
38,713
85%
29,933
54%
34,176
37%
2,075
60%
97
2%
12,016
89%
6,926
35%
$
I
I
159
2
1,888
5
1,888
2
199
4
103
4
1,990
409
2
608
6
257
6
2,248
67
3
675
9
1,289
7
3,537
20
I
675
9
3,537
694
10
3,537
694
10
3,537
Nov-02
46%
YT
#
Oct-02
100%
58
$
I
Sep-02
96%
#
58
Jul-02
Aug-02
Month
YTD
Dec-02
67%
11,070
91%
17,578
83%
98%
38,896
69%
41,159
65%
91%
138,400
73%
138,648
56%
100%
49,705
91%
39,628
82%
96%
30,151
53%
36,763
38%
100%
2,302
62%
97
2%
53%
20,170
73%
11,449
33%
72%
12,114
92%
18,653
67%
95%
43,500
61%
41,673
63%
89%
157,941
70%
148,264
YTD Moody's MissedABS De
53%
Volume($ mil)
-
%Mkt.
Sep-01
%Mkt.
Sep-02
$10,000
-
Fitch Rated
$8,000
%Mkt.
100%
14
78%
5
56%
100%
4
44%
8
50%
100%
1
100%
74%
39
53%
40
49%
0%
$5,971
Page 3 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016944
AO
AP
AQ
AR
AS
AT
AU
AV
AW
AX
AY
AZ
BA
BB
BC
BD
1 are - September 2002
2
3 DEALS SUMMARY
4
5
2001
6
Month
7
#
$
#
8
37
I
9
251
I
10
5
632
5
11
9
287
3
12
15
13
22
584
2
14
22
15
22
347
2
16
22
26
I
17
18
19
20
21
22
23
24
25
26 fis
27
28
29
3o
31
32
33
34
35
36
37
3s
39
4o
41
MOODY'S UNRATED PUBLIC's
2002
Month
YTD
$
#
$
YTD
#
$
#
37
I
32
I
32
I
288
2
63
I
95
2
920
7
185
I
280
3
1,207
10
459
3
739
6
1,207
10
880
4
1,619
10
1,791
12
436
3
2,055
13
1,791
12
1,879
11
3,933
24
2,139
14
984
8
4,917
32
2,165
15
1,053
8
5,971
40
#Deals
70
60
50
Page 4 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016945
BE
BF
BG
BH
Bl
BJ
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
Page 5 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016946
A
B
c
D
E
F
G
H
I
J
K
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
Page 6 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016947
p
0
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
Student Loans
s
R
Q
u
T
v
w
z
y
X
144A Total
11
175%
4
100%
11
100%
1
25%
25
14
-44%
23
92%
13
93%
21
84%
9
130
Vehicles
4
8
132
2%
120
92%
110
83%
91
70%
103
Public
Credit Cards
65
61
-6%
65
100%
61
100%
65
100%
60
109
164
50%
102
94%
154
94%
102
94%
154
MH
10
12
20%
10
100%
12
100%
8
80%
12
Other
28
56
100%
25
89%
36
64%
20
71%
33
Student Loans
45
67
49%
40
89%
59
88%
14
31%
33
Vehicles
59
60
2%
59
100%
58
97%
59
100%
57
316
420
33%
301
95%
380
90%
268
85%
349
83
70
-16%
83
100%
70
100%
82
99%
69
118
180
53%
110
93%
169
94%
109
92%
170
HEIBC
Public Total
144A& Public
Credit Cards
HEIBC
MH
11
13
18%
11
100%
13
100%
8
73%
13
101
137
36%
91
90%
97
71%
65
64%
93
Student Loans
49
78
59%
44
90%
70
90%
15
31%
41
Vehicles
84
74
-12%
82
98%
71
96%
80
95%
66
446
552
24%
421
94%
490
89%
359
80%
452
Other
Total144A & Public
77
78
79
80
81
82
83
Page 7 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016948
AB
AA
73%
AC
AD
4
100%
AE
AF
3
AG
AH
AI
AJ
AK
AL
AM
AN
$6,000
27%
L
64%
6
24%
3
21%
L
78%
68
52%
59
45%
98%
59
91%
50
82%
L
94%
60
55%
65
40%
L
100%
6
60%
1
8%
59%
21
75%
25
45%
49%
35
78%
41
61%
DPublic
45
49
95%
32
54%
33
213
67%
215
51%
99%
73
88%
55
$2,000
$2,165
55%
83%
11144a's
79%
41%
$0
53
94%
57
64
54%
73
100%
7
64%
1
60
59%
65
2002
8%
68%
2001
47%
56%
53%
39
80%
44
89%
38
45%
36
49%
82%
281
63%
274
50%
~
62
I
GRAPHS FOR TTNR ATFn
Dollars
66
Deals
2002
2001
2002
2001
ll44a's
$3,537
$694
144a's
22
10
Public
$5,971
$2,165
Public
40
15
I
l_Q_
71
72
700,000
600,000
76
500,000
400,000
80
300,000
~
200,000
-
~
~
Page 8 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016949
AO
_.:.
_.:.
AP
AQ
AR
AS
AT
AU
AV
AW
40
r-
AY
AZ
BA
BB
Moodys
Market
BC
BD
40
DPublic
--==_.:.
_.:.
AX
11144a's
r15
--==)(
10
0
;'
2001
--=-::--
2002
-A-
_§'
62
jL
66
l_Q_
~
144a
~
Market
rL
2001
7!
-==--::-::-
~
~
~
~
~
~
~
~
Jan.
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Public
Moodys
Public
Market
590
532
18,535
18,498
863
863
16,542
16,291
19,124
17,405
5,130
5,029
39,038
38,406
44,168
1,998
1,958
9,225
8,937
11,223
5,229
4,821
22,114
22,114
27,343
11,910
11,843
26,324
25,740
38,235
1,939
1,939
12,926
12,926
14,865
5,869
5,849
24,410
24,062
30,278
4,377
4,377
19,436
19,411
23,814
2,264
1,981
22,512
22,512
24,776
Page 9 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016950
BE
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72 + 144a
73
Moodys
19,029
74
17,154
75
43,435
76
77
10,896
78
79
80
81
82
83
26,935
37,583
14,865
29,911
23,788
24,493
BF
Public + 144a
Market Share
100%
99%
98%
97%
99%
98%
100%
99%
100%
99%
BG
BH
2001 Cum
Market
Moodys
19,124
2002 Cum
Market
Moodys
36,183
80,697
BJ
19,029
36,529
Bl
79,618
91,920
90,514
119,264
117,449
157,498
155,032
172,363
169,897
202,641
199,808
226,455
223,596
251,231
248,089
Page 10 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016951
A
B
c
D
E
F
G
H
I
J
K
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
Page 11 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016952
0
p
Q
R
s
T
u
v
w
X
y
z
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
Page 12 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016953
AA
AB
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
AC
AD
AE
AF
AG
I
100,000
AH
I
~
Jan.
Feb
Mar
Apr
I AJ I AK
AI
AL
I AM I AN
~
~
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
50,000
45,000
R
40,000
0
I\
35,000
30,000
{
25,000
I
20,000
15,000
1\
_j
\
\
-~
v
~
'M
10,000
,..,
\ !"-.. u\ I
\ I
\I
~
1\
I \
A
5,000
Jan.
100%
Feb
Mar
Apr
May
Jun
Jul
Aug
-
Oct
Nov
Dec
Jan
,----
r---
r---
r---
98%
Sep
-
r---
96%
94%
92%
90%
Jan.
Feb
I
Mar
Apr
I
May
Jun
I
Jul
Aug
I
Sep
Oct
I
Nov
Dec
Jan
I
Page 13 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016954
AO I AP I AQ I AR
84
85
86 ~
I AS I AT I AU I AV
AW
~
Feb
Mar
2002
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
91
92
93
94
95
A
/!\
I '\1?"f
97
9s
99
100
101
A
(',
96
v
D
I
AY
AZ
BA
BB
BC
BD
Nov
87
8s
89
9o
AX
f\
\
1\/
\
5,028
4,032
21,019
20,863
Dec
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
3,023
2,959
38,138
38,033
41,161
898
898
23,386
23,354
24,284
26,046
1,710
1,710
13,139
13,076
14,849
4,563
2,675
35,752
35,567
40,316
2,831
2,728
25,537
25,078
28,368
4,545
4,288
28,618
27,738
33,163
6,904
5,615
32,174
31,738
39,078
6,300
6,300
24,531
22,652
30,831
5,023
5,023
36,628
35,644
41,651
267
267
26,696
25,643
26,963
\
102
103
104
\
105
106
107
108
109
110
\
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Sep
Oct
Nov
Dec
ffi
112 r--113
114
115
116
117
118
119
120
121 Feb
r---
-
-
r---
-
Mar
Apr
May
Jun
Jul
Aug
122
123
I
I
I
I
I
I
I
I
Page 14 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016955
BE
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
24,895
40,992
24,252
14,787
38,243
27,807
32,026
37,353
28,952
40,667
25,910
BF
BG
96%
100%
100%
100%
95%
98%
97%
96%
94%
98%
96%
0%
0%
0%
277,277
BH
Bl
BJ
272,984
318,438
313,975
342,722
338,227
24,284
24,252
357,572
353,014
39,134
39,039
397,887
391,257
79,449
77,281
426,255
419,063
107,817
105,088
137,114
459,419
451,090
140,980
498,497
488,442
180,059
174,467
529,327
517,394
210,889
203,419
570,979
558,061
252,540
244,086
597,941
583,971
279,503
269,996
597,941
583,971
279,503
269,996
597,941
583,971
279,503
269,996
597,941
583,971
279,503
269,996
Page 15 of 15
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016956
A
1
B
c
D
E
F
G
Missed ABS/RM BS Deals
2
3 JANUARY
Deal Name
4
5 ABN AMRO Mortgage 2002-1
6 Bank of America Mortgage Securities 2002-1
7 Bank of America Mortgage Securities 2002-A
8 Citicorp Mortgage Securities Inc. 2002-1
9 Lehman Structured Securities Corp. 2002-GE-1
10 Morgan Stanley OW Capital I 2002-AM1 N NIM
11 Residential Funding Mortgage Sec. 2002-S2
12 WaMu Mortgage Pass-Through 2002-S1
13 WaMu MSC Mortgage Pass-Through 2002-MS1
14 Wells Fargo MBS 2002-4
15
16
17 February Missed Deals
Deal Name
18
19 ABN AMRO Mortgage 2002-2
20 Bank of America BFC Trust 2002-1
21 Bank of America Mortgage Securities 2002-2
22 Bank of America Mortgage Securities 2002-B
23 Chase Mortgage Finance Series 2002-S4
24 Chase Mortgage Finance Series 2002-S5
25 Citicorp Mortgage Securities Inc. 2002-2
26 Lehman Structured Securities Corp. 2002-GE-2
27 New Century (NC) Finance 2002-1 NIM
28 Residential Funding Mortgage Sec. I 2002-S3
29 Wells Fargo MBS 2002-3
30 Wells Fargo MBS 2002-5
31
32
33 March Missed Deals
Deal Name
34
35 ABN AMRO Mortgage 2002-3
36 Ameriquest Mtg 2002-1 NIM
37 Aviation Securitization LLC 12
38 Banagricola ORP Funding Ltd. 2002-1
39 Cendant (COMC) Series 2002-2
40 Citicorp Mortgage Securities Inc. 2002-3
41 Citicorp Mortgage Securities Inc. 2002-4
42 Countrywide (CHL) Mortgage P-T Tr. 2002-4 Alt 3
43 Countrywide (CHL) Mortgage P-T Tr. 2002-5
44 Countrywide (CHL) Mortgage P-T Tr. 2002-6Ait4
45 CSFB ABS 2002-AR1 (WAMMS)
46 Fannie Mae REMIC Trust 2002-W2
47 Florida Edcuational Loan Marketing Corp 2002-A
48 GMAC Mortgage Loan Trust 2002-J2
49 Morgan Stanley OW Capital I 2002-NC1 NIM
50 Option One Mortgage Loan Trust 2002-2 NIM
Deal Type
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Deal Type
Public
Public
Public
Public
Public
Public
Public
144A
Public
Public
Public
Public
Deal Type
Public
Private
144A
144A
144A
Public
Public
Public
Public
Public
Public
144A
Public
Public
144A
144A
Analyst
Lachnicht
Kanthan
Kanthan
Kornfeld
Maymi
Wubbena
Heffner
Gringauz
Gringauz
Fabrikant
Analyst
Lachnicht
Kanthan
Kanthan
Kanthan
OiRienz
OiRienz
Kornfeld
Maymi
Wubbena
Heffner
Fabrikant
Fabrikant
Analyst
Lachnicht
Engelken
Cohen
Latin America
Fabrikant
Kornfeld
Kornfeld
Nonas
Nonas
Nonas
Lachnicht
Leschak
Asch
Kornfeld
Wubbena
Leschak
MD
Siegel
Kanef
Kanef
Siegel
Siegel
Siegel
Gupta
Gupta
Gupta
Siegel
MD
Siegel
Kanef
Kanef
Kanef
Siegel
Siegel
Siegel
Siegel
Siegel
Gupta
Siegel
Siegel
MD
Siegel
Gupta
Kanef
Stesney
Siegel
Siegel
Siegel
Siegel
Siegel
Siegel
Siegel
Gupta
Bankole
Siegel
Siegel
Gupta
Asset Type
RMBS
RMBS
RMBS
RMBS
ABS
ABS
RMBS
RMBS
RMBS
RMBS
January Total
FaceAmt
$556.34
$850.20
$600.72
$300.04
$217.83
$32.24
$331.77
$634.87
$875.81
$1,300.34
$5,700.15
Asset Type
RMBS
RMBS
RMBS
RMBS
RMBS
RMBS
RMBS
ABS
ABS
RMBS
RMBS
RMBS
February Total
FaceAmt
$158.23
$159.00
$646.59
$500.77
$598.81
$200.00
$449.35
$7.42
$62.75
$254.87
$500.49
$400.00
$3,938.28
Asset Type
RMBS
ABS
ABS
ABS
RMBS
RMBS
RMBS
RMBS
RMBS
RMBS
RMBS
ABS
ABS
RMBS
ABS
ABS
FaceAmt
$173.34
$105.00
$64.20
$100.00
$100.85
$601.04
$359.17
$300.00
$706.00
$452.00
$774.00
$1,550.00
$185.00
$300.D1
$37.45
$171.60
Close
113112002
1/24/2002
1/24/2002
1/22/2002
1/30/2002
1/24/2002
1/30/2002
1/23/2002
113112002
1/22/2002
10
Close
2/27/2002
2/5/2002
2/2112002
2/2112002
2/28/2002
2/26/2002
2/27/2002
2/27/2002
2/28/2002
2/25/2002
2/2112002
2/27/2002
12
Close
3/22/2002
3/25/2002
3/15/2002
3/12/2002
3/28/2002
3/28/2002
3/28/2002
3/28/2002
3/28/2002
3/28/2002
3/28/2002
3/1112002
3/5/2002
3/27/2002
3/27/2002
3/28/2002
Page 1 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016957
H
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
Reason for NOT Rating
levels too high, went out at 3%
levels too high, went out at 2.85%, we were at 3%
levels too high, went out at 2.9%, we were at 3%
levels too high
did not see deal
NIM criteria
levels too high
levels too high
levels too high
levels too high
Reason for NOT Rating
levels too high (went out at 1.25
did not see deal
levels too high
levels too high
levels too high
levels too high
levels too high and fees too high
did not see deal
NIM criteria
levels too high
levels too high and fees too high
levels too high and fees too high
Reason for NOT Rating
levels too high for 15 yr piece
CE that we require for NIM allowed for a smaller NIM and they went w/ larger size than we allowed
did not see deal
did not see deal
levels too high
levels too high
levels too high
were not asked to rate the deal
levels too high
levels too high
levels too high
did not see deal
didn't show us deal- out of indenture originally not rated by us
levels too high
NIM criteria
levels too high
Page 2 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016958
Residential Accredit Loans Inc. (RALI) 2002-QS3
Residential Accredit Loans Inc. (RALI) 2002-QS4
Residential Funding Mortgage Sec. I 2002-S5
TFC Automobile Receivables Trust 2002-1
Wells Fargo MBS 2002-6
c
B
A
51
52
53
54
55
56
Public
Public
Public
144A
Public
Heffner
Heffner
Heffner
Kanthan
Fabrikant
D
Gupta
Gupta
Gupta
Kanef
Siegel
E
RMBS
RMBS
RMBS
ABS
RMBS
March Total
F
$506.69
$223.14
$305.15
$64.60
$400.23
$7,479.46
G
3/26/2002
3/28/2002
3/26/2002
3/14/2002
3/28/2002
21
Page 3 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016959
H
51
52
53
54
55
56
levels too high
levels too high
levels too high
did not see deal
levels too high and fees too high
Page 4 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016960
c
B
A
57 April Missed Deals
Deal Name
58
59 ABN AMRO Mortgage 2002-4
60 Asset-Backed Funding Corp. 2002-WF1 NIM
61 Bank of America Mortgage Securities 2002-5
62 Citicorp Mortgage Securities Inc. 2002-5
63 Countrywide (CHL) Mortgage P-T Tr. 2002-8 Alt 5
64 CS First Boston Mortgage-Backed PT Cert 2002-15R
65 Illinois Ed Fac Auth Chicago Univ Ctr Bonds
66 lndyMac Home Equity Loan Trust SPMD 2002-A NIM
67 Lehman Structured Securities Corp. 2002-GE-3
68 Massachusetts Ed Fin Auth (SPE) 2002-A
69 Morgan Stanley OW Capital I 2002-NC2NIM
70 Morgan Stanley OW Capital I NIM 2002-AM2 NIM
71 Mortgage Asset Sec. Trans. (MASTR) 2002-2
72 Residential Funding Mortgage Sec. I 2002-S6
73 Salomon Bros Mtg Sees VII 2002-UST1
74 SAMI2002-3
75 Tobacco: California (Kern Co.) 2002 A, B, C
76 Wells Fargo MBS 2002-8
Deal Type
Public
144A
Public
Public
Public
Public
Riggi
Lachnicht
Asch
Grohotolski
Maymi
Asch
Wubbena
Mathur
Fabrikant
Heffner
Wubbena/Gringauz
Unidentified
Ekmekji
Fabrikant
MD
Siegel
Siegel
Kanef
Siegel
Siegel
Siegel
Asset Type
RMBS
ABS
RMBS
RMBS
RMBS
ABS
Bankole
Gupta
Siegel
Bankole
Siegel
Gupta
Siegel
Gupta
Siegel
ABS
ABS
ABS
ABS
ABS
ABS
RMBS
RMBS
RMBS
RMBS
ABS
RMBS
Eisbruck
Siegel
77
78 May Missed Deals
Deal Name
79
80 ABFC Asset-Backed Cert. Ser. 2002-SB1
81 ABFC 2002-SB1 NIM
82 Bank of America Funding Corp. 2002-1
83 CDC Mortgage Capital Inc. NIM Tr. 2002-HE 1NIM
84 Chip Master Term Trust 2002-1
85 CHL Mortgage P-T Tr. 2002-10 Alt 6
86 CHL Mortgage P-T Tr. 2002-9
87 CS First Boston NIM Trust 2002-HE4 NIM
88 First Franklin Mortgage Loan Trust 2002-FF1 NIM
89 First Horizon Mortgage PT 2002-3
90 GMAC Mortgage Loan Trust 2002-J4
91 RALI 2002-QS6
92 RFMSI 2002-S7
93 Salomon Bros Mtg Sees VII Inc. 2002-1
94 Salomon Brothers Mortgage Sec. VII 2002-CIT1
95 Salomon Brothers Mortgage Sec. VII 2002-CIT1 NIM
96 SASCO 2002-10H
97 WaMu Mortgage Pass-Through 2002-S3
98 WaMu Mortgage Pass-Through 2002-S4
99 Wells Fargo MBS 2002-11
100 Wells Fargo MBS 2002-B
101 Wyoming Student Loan Corp. 2002A
102
F
E
G
Deal Type
Public
144A
Public
144A
Public
Public
Public
144A
144A
Analyst
Lipton
Lipton
Kanthan
Grohotolski
Canada
Bhu
Bhu
Lipton
Moyna
MD
Bankole
Bankole
Kanef
Gupta
Kriegler
Eisbruck
Eisbruck
Bankole
Gupta
Public
Public
Public
Public
144A
DeMarco
Kornfeld
Heffner
Heffner
Unidentified
Siegel
Siegel
Gupta
Gupta
Public
144A
Maymi
Maymi
Siegel
Siegel
Public
Public
Public
Public
Public
Public
DeMarco
Gringauz
Gringauz
Fabrikant
Fabrikant
Asch
Siegel
Gupta
Gupta
Siegel
Siegel
Bankole
FaceAmt
$293.56
$19.00
$164.16
$567.72
$300.00
$69.60
Close
4/25/2002
4/4/2002
4/26/2002
4/24/2002
4/30/2002
4/30/2002
$152.00
$13.90
$119.55
$202.40
$41.60
$28.14
$630.00
$305.40
$193.64
$276.18
$104.43
$750.97
$4,232.24
4/29/2002
4/30/2002
4/30/2002
4/30/2002
4/12/2002
4/25/2002
4/29/2002
4/24/2002
4/26/2002
4/30/2002
4/12/2002
4/26/2002
April Total
Public
144A
144A
Public
144A
144A
Public
Public
Public
Public
Public
Public
Analyst
Lachnicht
Fabrikant
Kanthan
Kornfeld
D
May Total
FaceAmt
$311.01
$23.68
$148.60
$40.75
81.4
$300.00
$300.00
$49.50
$44.30
$414.02
$270.00
$501.90
$413.18
84.9
$248.10
$14.00
$270.60
$935.53
$385.81
$225.00
$202.00
$50.00
$5,314.27
Asset Type
ABS
ABS
RMBS
ABS
ABS
RMBS
RMBS
ABS
ABS
RMBS
RMBS
RMBS
RMBS
ABS
ABS
ABS
ABS
RMBS
RMBS
RMBS
RMBS
ABS
18
Close
5/15/2002
5/2112002
5/24/2002
5/10/2002
5/29/2002
5/30/2002
5/30/2002
5/29/2002
5/3112002
5/29/2002
5/30/2002
5/28/2002
5/23/2002
5/30/2002
5/22/2002
5/23/2002
5/29/2002
5/29/2002
5/29/2002
5/29/2002
5/19/2002
5/3112002
22
Page 5 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016961
H
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
Reason for NOT Rating
Fees to high
levels too high
Our Aaa level was 1.75% vs. 1.50% from S&P and Fitch.
levels too high
levels too high
not shown to us prior to closing, but we will be reviewing and should be issuing a rating this month at investors request
they never approached us for a rating and we never looked at the deal
Our Baa31oss coverage was 6.75%., they wanted us to go down to 5% range
Moody's did not see this deal. Probably a resecuritization of S&P/Fitch rated collateral.
they never approached us for a rating and we never looked at the deal
Using Moody's assumptions reduced the size of the NIM
levels too high
levels too high
15 YR - our levels too high on 15 YR RFC deals
levels too high -we came out at 2.85% competitors at 2.75% and 2.50%
S&P allowed them to issue more at a ratings we could not agree to
levels too high
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
Reason for NOT Rating
levels too high
Never saw the NIM
our levels (4.5%) were too high
loss coverage assumption too high
S&P got exclusive when theyrated 1st deal in 1999, we still don't rate these
rotation
levels too high
did not show us NIM
loss coverage assumption too high
levels too high
levels too high
our fees were too high
our fees were too high
unidentified -did not see deal
levels too high
did not show us NIM
levels too high
levels too high
levels too high
levels too high
levels too high
didn't show us deal- out of indenture originally not rated by us
Page 6 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016962
A
103 June Missed Deals
Deal Name
104
105 ABSC Home Equity Loan Trust 2002-HE2 NIM
106 Ameriquest Mortgage NIM Trust 2002-N2
107 Business Loan Express Business Loan Trust 2002-A
108 Cendant (CDMC) Series 2002-5P
109 Countrywide (CHL) Mortgage 2002-11 Alt 7
110 Countrywide (CHL) Mortgage 2002-13 Alt 8
111 Countrywide (CHL) Mortgage 2002-14 Alt 9
112 Fannie Mae REMIC Trust 2002-W4
113 FTN Financial Auto Securitization Trust 2002-A
114 Mortgage Asset Sec. Trans. (MASTR) Summit 2002-1
115 MSDW Capitaii2002-HE1 NIM
116 New Jersey Higher Ed Student Asst Authority A-D
117 Option One Mortgage Securities Corp. NIM Trust 2002-4
118 Residential Accredit Loans Inc. (RALI) 2002-QS8
119 Residential Asset Mortgage Product (RAMP) 2002-SL 1
120 Salomon Mortgage Loan 2002-CB3 NIM
121 SASCO ARC NIM 2002-BC3
122
123 July Missed Deals
Deal Name
124
125 ABFC Asset-Backed Certificates 2002-NC1 NIM
126 Citicorp Mortgage Securities Inc. 2002-8
127 Countrywide (CHL) Mortgage 2002-15 Alt 10
128 Countrywide (CHL) Mortgage 2002-16
129 CS First Boston Mortgage PT Cert. 2002-HE10 NIM
130 CS First Boston Mortgage PT Cert. 2002-HE11 NIM
131 Fannie Mae REMIC Trust 2002-W7
132 Fannie Mae REMIC Trust 2002-W8
133 First Horizon Mortgage PT 2002-4
134 lndyMac RAST 2002-A9
135 Lehman Structured Securities Corp. 2002-2
136 Morgan Stanley OW Capital I 2002-HE2 NIM
137 Mortgage Asset Sec. Trans. (MASTR) Alternative Loan 2002-1
138 Principal Guaranteed Investor Corp. 2002-2
139 Residential Funding Mortgage Sec. I (RFMSI) 2002-S09
140 Residential Funding Mortgage Sec. I (RFMSI) 2002-S10
141 SASCO 2002-15
142 SASCO ARC Trust 2002-BC4 NIM
143 SHARPS SP I NIM Trust 2002-HE 1N
144 Wells Fargo MBS 2002-17
145
146 August Missed Deals
Deal Name
147
148 ABN AMRO Mortgage 2002-7
149 C-Bass 2002-CB4 NIM
150 CDC Mortgage Capital Inc. NIM Tr. 2002-HE2NIM
151 CHL Mortgage Pass-Through Trust 2002-22 AlB
152 Citicorp Mortgage Securities Inc. 2002-9
153 CSFB 2002-H16
B
Deal Type
144A
144A
144A
Private
Public
Public
Public
144A
Public
Public
144A
Public
144A
Public
Public
144A
144A
c
Deal Type
Public
Public
Public
Public
Public
Public
Analyst
Lachnicht
Arau, G
Kelner
Riggi
Kornfeld
Unidentified
MD
Siegel
Siegel
Siegel
Siegel
Bankole
Bankole
Gupta
Gupta
Siegel
Gupta
Siegel
Gupta
Siegel
Gupta
Gupta
Gupta
Siegel
Siegel
Siegel
Siegel
MD
Siegel
Siegel
Gupta
Siegel
Siegel
Asset Type
RMBS
ABS
ABS
ABS
RMBS
RMBS
RMBS
ABS
ABS
RMBS
ABS
ABS
ABS
RMBS
ABS
ABS
ABS
G
FaceAmt
$35.60
$60.50
$100.00
$95.97
$1,060.69
$501.40
$300.00
$1,002.00
$50.00
$175.00
$67.50
$166.00
$26.55
$181.90
$220.20
$10.00
$47.67
$4,100.98
Close
6/14/2002
6/13/2002
6/28/2002
6/27/2002
6/25/2002
6/28/2002
6/28/2002
6/14/2002
6/28/2002
6/27/2002
6/27/2002
6/26/2002
6/27/2002
6/20/2002
6/18/2002
6/20/2002
6/2112002
FaceAmt
$39.00
$321.80
$396.00
$795.60
$31.30
$31.00
$616.20
$535.00
$353.00
$377.70
$29.00
$50.00
$285.00
$12.00
$203.50
$362.00
$484.00
$45.00
$38.00
$400.00
$5,405.10
Close
7/30/2002
7/26/2002
7/25/2002
7/26/2002
7/10/2002
7/10/2002
7/10/2002
7/8/2002
7/26/2002
7/112002
7/8/2002
7/25/2002
7/30/2002
7/18/2002
7/25/2002
7/25/2002
7/3112002
7/23/2002
7/30/2002
7/23/2002
July Total
Analyst
DeMarco
Kornfield
Nonas
Nonas
Lipton
Lipton
Leschak
Leschak
DeMarco
Grohotolski
Maymi
Grohtolski
Fabrikant
Grohtolski
Heffner
Heffner
DeMarco
DeMarco
Kornfeld
Fabrikant
MD
Gupta
Siegel
Kanef
Siegel
Eisbruck
Siegel
Siegel
Gupta
Kanef
Siegel
Siegel
Bankole
Gupta
Gupta
Gupta
Siegel
Siegel
F
E
June Total
Deal Type
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Analyst
Grohotolski
Vassalli
Becker
Fabrikant
Bhu
Riggi
Riggi
Leschak
Kanthan
Fabrikant
DeMarco
Asch
Leschak
Heffner
Heffner
Arau
DeMarco
D
FaceAmt
$362.00
$11.20
$27.60
$600.00
$401.00
$31.50
Close
8/22/2002
8/27/2002
8/23/2002
8/26/2002
8/26/2002
8/112002
Asset Type
ABS
RMBS
RMBS
RMBS
ABS
ABS
Abs
RMBS
RMBS
RMBS
RMBS
ABS
RMBS
ABS
RMBS
RMBS
RMBS
ABS
RMBS
RMBS
Asset Type
RMBS
ABS
ABS
RMBS
RMBS
ABS
17
20
Page 7 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016963
H
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
Reason for NOT Rating
loss coverage assumption too high
NIM criteria
levels too high
levels too high
levels too high
levels too high
levels too high
shadow rating fee too high , S&P charged less
did not see deal
did not show us deal
levels too high
didn't show us deal- out of indenture originally not rated by us
levels too high
levels too high
levels too high
Using Moody's assumptions reduced the size of the NIM
levels too high
Reason for NOT Rating
Did not look at deal
Rotation
Levels too high
Levels too high
did not see deal
did not see deal
S&P charged a lower fee.
Levels too high
Levels too high
Levels too high
Levels too high
Levels too high
Did not look at deal
Levels too high
Levels too high
Reason for NOT Rating
Levels too high
Pricing I assumptions too high
Levels too high
Levels too high
Private Placement
Page 8 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016964
155 CWMBS, Inc. Alternative Loan Trust 2002-11 AlB
156 First Horizon Mortgage PT 2002-5
157 Morgan Stanley Dean Witter Capital I Inc. Trust 2002-0P1
158 Morgan Stanley Dean Witter Capital I Inc., 2002-NC3N
159 SB Finance NIM Trust 2002-3
160 Wells Fargo Alternative Loan Trust 2002-1
161
162
163 September Missed Deals
Deal Name
164
165 ABN AMRO Mortgage 2002-8
166 Ameriques! Mortgage NIM Trust 2002-N4
167 Bank of America Mortgage Securities 2002-9
168 Bank of America Mortgage Securities 2002-J
169 Bank of America Mortgage Securities 2002-K
170 Bayview Financial Revolvinh Mortgage Loan Trust 2002-E
171 Bear Sterns SAM I 2002-4
172 Bear Sterns Structured Products NIM Trust 2002-1
173 BOAMS 2002-8 (Bank of America)
174 Cendant (CDMC) 2002-B
175 Countrywide (CHL) Mortgage 2002-19
176 Countrywide (CHL) Mortgage 2002-28 All 15BC
177 Countrywide (CHL) Mortgage 2002-J4
178 EMC Bear Stearns Reperforming
179 EMC Mortgage Loan Trust 2002-B
180 Fremont NIM Trust 2002-1
181 Home Equity Asset Trust, Series 2002-1 N
182 lndyMac RAST 2002-A12
183 Morgan Stanly OW (MSDW) Capital 1 2002-NC4 NIM
184 Option One Woodbridge Loan 2002-2
185 Residential Accredit Loans Inc. (RALI) 2002 QS12 (GMAC-RFC)
186 Residential Funding Mortgage Sec. I (RFMSI) 2002 S12
187 RFC 2002 S15
188 RFC 2002-QS11
189 RFMSI Series 2002-S 15 Trust AlB
190 Solomon Home Equity Loan Trust (GSAMPO 2002-WMC2
191 Structured Asset Mtg Invest. Trust 2002-4
192 TFC Automobile Receivables Trust 2002-2
193 Washington Mutual (WaMu) Mortgage Pass-Through 2002-S6
194 Wells Fargo 2002-F
195 Wells Fargo MBS 2002-19
196
c
B
A
~ CSFB NIM 2002-H10
Public
Public
Public
Public
Public
Public
Public
Unidentified
Riggi
Grohotolski
Grohotolski
DeMarco
Grohotolski
Fabrikant
D
Siegel
Gupta
Gupta
Siegel
Gupta
Siegel
E
ABS
RMBS
RMBS
ABS
ABS
ABS
RMBS
August Total
Deal Type
Public
Public
Public
Public
Public
Private
Public
Public
Analyst
Lachnicht
Vassalli
Kanthan
Maymi
Maymi
Nonas
Fabrikant
Unidentified
MD
Siegel
Siegel
Kanef
Siegel
Siegel
Siegel
Siegel
Asset Type
RMBS
ABS
RMBS
RMBS
RMBS
ABS
RMBS
ABS
Public
Public
Public
Public
Public
Public
Private
Public
Public
Public
Public
Private
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Public
Maymi
Garg
Riggi
Unidentified
Riggi
Mathur
Fabrikant
Lipton
Unidentified
Grohotolski
DeMarco
Unidentified
Heffner
Heffner
Kelner
Heffner
Heffner
Grohotolski
Unidentified
Kanthan
Gringauz
Fabrikant
Fabrikant
Siegel
Siegel
Siegel
RMBS
RMBS
RMBS
RMBS
RMBS
ABS
ABS
ABS
ABS
RMBS
ABS
ABS
RMBS
RMBS
RMBS
RMBS
RMBS
ABS
RMBS
ABS
RMBS
RMBS
RMBS
Siegel
Gupta
Siegel
Bankole
Gupta
Siegel
Gupta
Gupta
Siegel
Gupta
Gupta
Gupta
Kanef
Gupta
Siegel
Siegel
September Total
F
G
$31.30
$400.00
$350.00
$32.00
$43.80
$57.70
$226.00
$2,574.10
8/112002
8/23/2002
8/26/2002
8/29/2002
8/27/2002
8/26/2002
8/26/2002
Face Am!
$514.00
$56.70
$1,064.95
$571.50
$2,056.61
$371.90
$656.90
$22.00
Close
9/23/2002
9/15/2002
9/26/2002
9/26/2002
9/26/2002
9/27/2002
9/15/2002
9/15/2002
$400.00
$83.90
$850.00
$460.00
$380.40
$300.00
$104.60
$21.10
$58.30
$400.00
$53.50
$94.80
$370.00
$308.30
$300.00
$238.00
$310.00
$479.00
$656.90
$62.60
$649.40
$296.90
$750.00
$12,942.26
9/25/2002
9/15/2002
9/15/2002
9/15/2002
9/15/2002
9/30/2002
9/15/2002
9/15/2002
9/10/2002
9/15/2002
9/15/2002
9/15/2002
9/30/2002
9/30/2002
9/30/2002
9/30/2002
9/24/2002
9/20/2002
9/26/2002
9/30/2002
9/15/2002
9/30/2002
9/15/2002
13
31
Page 9 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016965
H
_12LI_
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
Private Placement
Levels too high
Lost coverage
Lost coverage, too constraining
Lost assumptions, too constraining
Levels too high
Reason for NOT Rating
Levels too high
Levels too high
At 1.25, our 15-yr Aaa level was 5 bps too high
Our 82 and Aa2 were 5bps and 20 bps too high, respectively
Our Aaa of 2% was to high compared to the 1. 75% expected for the deal
Levels too high
Levels too high
Levels too High, Bank of America sited concern over additional enhancement for super senior support classes
Levels too high
Levels too high
Levels too high
Deal is being marketed without Moodys rating
Levels too high
Did not see the deal
Lost coverage
Did not see deal
Loss coverage expectation
Levels too high
Levels too high
Levels too high
Levels too high
Levels too high
Loss coverage too high
Did not see deal
Levels too high
Levels too high
Levels too high
Page 10 of 10
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016966
A
B
c
D
E
F
G
H
I
J
K
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
Section IV
Domestic RMBS Market Share
New York Office
Market Share Information Includes Public & 144A Transactions
Report intended for rating agency comparison.
Page 1 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016967
L
M
0
N
1
s
T
u I
v
w
I
US Structured Finance Group Market Share - September 2002
p
Q
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
R
I
X
I
AGENCY MARKET SHARE OF THE RMBS MARKET
I
I
I
I
YTD Number of JumboA-Alt A Deals (#)
11200
1
CJ200
Rating Agency Comparison (#of D
~
0
#Deals
/o Share
2001
2002
2001
2002
TotaiMkt.
222
301
100%
100%
Moody's
138
209
62%
69%
350
S&P
158
248
71%
82%
300
Fitch
165
148
74%
49%
250
200
150
100
50
0
Total Mkt.
ilil£
Moody's
I
Fitch
I
I
S&P
.,
I
YTD Volume of Jumbo A-AltA Deals ($)
I
$Volume
/o Share
TotaiMkt.
2002
2001
2002
$97,779
$161,896
100%
100%
74%
Moody's
$58,869
$119,944
60%
S&P
$72,802
$131,300
74%
81%
Fitch
$72,342
$77,509
74%
48%
~~~~ool
Agency Growth ($ Mil)
0
2001
I
$175,000
$150,000
$125,000
$100,000
$75,000
$50,000
$25,000
$0
Total Mkt.
ill£
Moody's
S&P
II"'
Fitch
Page 2 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016968
AC
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
Page 3 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016969
A
B
c
D
E
F
G
H
J
K
Page 4 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016970
L
M
0
p
I
Q
v
w
X
Page 5 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016971
I so t
AC
Page 6 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016972
A
B
c
D
E
F
G
H
I
J
K
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
Section V
Domestic CMBS Market Share
New York Office
Market Share Information Includes US Public & 144A Transactions
Report intended for rating agency comparison.
Page 1 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016973
L
M
0
N
1
s
T
u I
v
w
I
I
US Structured Finance Group Market Share - September 2002
p
Q
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
R
I
I
I
I
I
I
I
I
X
I
AGENCY MARKET SHARE OF THE CMBS MARKET
YTD Number of CMBS Deals (#)
Rating Agency Comparison (#of D
/o Share
2001
TotaiMkt.
2002
2001
2002
66
52
100%
1
CJ200
.......1.._
0
#Deals
"iii'2oo
100%
70
Moody's
48
46
73%
88%
S&P
44
38
67%
73%
60
Fitch
42
17
64%
33%
50
40
30
20
10
0
Total Mkt.
Moody's
S&P
Fitch
I
I
I
I
I
I
YTD Volume of CMBS Deals ($)
""i2o6
Agency Growth ($ Mil)
$Volume
1
CJ200
0
/o Share
2001
2002
2001
____1_
2002
TotaiMkt.
$45,803
$32,867
100%
100%
Moody's
$30,322
$29,220
66%
89%
S&P
$31,407
$27,412
69%
83%
Fitch
$33,434
$13,826
73%
42%
$50,000
$40,000
$30,000
[[lit
$20,000
$10,000
$0
Total Mkt.
Moody's
S&P
Fitch
Page 2 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-001697 4
AC
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
Page 3 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016975
A
B
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D
E
F
G
H
J
K
Page 4 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016976
L
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Page 5 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016977
Page 6 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016978
A
B
c
D
E
F
G
H
I
J
K
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
Section VI
Domestic CDO Market Share
New York Office
Market Share Information Includes Public & Private Transactions
Report intended for rating agency comparison.
Page 1 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016979
L
M
0
N
1
s
T
u I
v
w
I
US Structured Finance Group Market Share - September 2002
p
Q
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
R
I
X
I
AGENCY MARKET SHARE OF THE CDO MARKET
I
I
I
I
YTD Number of CBO-CLO Deals (#)
Rating Agency Comparison (#of D
c.......L
0
#Deals
2001
/o Share
2002
2001
11200
1
CJ200
2002
TotaiMkt.
112
121
100%
100%
Moody's
100
116
89%
96%
150
S&P
90
93
80%
77%
125
Fitch
41
32
37%
26%
100
[.n
75
50
25
0
Total Mkt.
Moody's
I
Fitch
I
I
S&P
I
YTD Volume of CBO-CLO Deals ($)
~~~~ool
Agency Growth ($ Mil)
$Volume
0
/o Share
2001
TotaiMkt.
2002
2001
2002
$40,810
$43,816
100%
100%
Moody's
$36,408
$42,136
89%
96%
S&P
$29,769
$34,745
73%
79%
Fitch
$14,465
$12,358
35%
28%
$50,000
$40,000
$30,000
$20,000
$10,000
$0
Total Mkt.
Moody's
S&P
Fitch
Page 2 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016980
AC
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
Page 3 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016981
A
B
c
D
E
F
G
H
J
K
Page 4 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016982
L
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Page 5 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016983
I so f
AC
Page 6 of 6
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016984
B
c
D
Deal Type
Analyst
MD
A
E
F
G
H
1 Missed CDO/CMBS Deals
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
JANUARY
Deal Name
Tuckahoe Credit Lease Trust 2001-CTL 1
Asset Type
CMBS
Specific Asset Type
Other
January Total
$
FaceAmt
S&P Rtg
72.90 Yes
$72.90
February Missed Deals
Deal Name
Deal Type
Analyst
MD
Asset Type
coo
C-Bass CBO Ill
Specific Asset Type
Other
February Total
FaceAmt
$376.50
S&P Rtg
Yes
$376.50
March Missed Deals
Deal Name
Deal Type
Analyst
MD
Asset Type
Specific Asset Type
March Total
FaceAmt
S&P Rtg
$0.00
April Missed Deals
Deal Name
J.P. Morgan Chase Commercial Mortgage Securities Corp., 2002-FL 1
Deal Type
Analyst
MD
Asset Type
CMBS
Specific Asset Type
FaceAmt
$714.60
S&P Rtg
Yes
25
Torus (IG) II Ltd.
26
27 Firebird SCOO 2002-1
28
29
30
31 May Missed Deals
32
Deal Name
CAM Commercial Mortgage Corp., 2002 CAM-2
33
34
35
36
37
Merrill Lynch Financial Assets Inc., 2002 Canada
CBO Holdings Ill Ltd.
coo
$15.81 Yes
coo
Canada
$967.50 Yes
April Total
Deal Type
Analyst
MD
Asset Type
CMBS
CMBS
$1,697.91
Specific Asset Type
FaceAmt
S&P Rtg
$208.30 Yes
coo
$179.10 Yes
$34.10 Yes
May Total
$421.50
Page 1 of 4
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016985
I
J
K
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
Fitch Duff
No
Close
Reason for NOT Rating
01103/02 Credit Enhancement too low
1
Fitch
Yes
Close
Reason for NOT Rating
02/15/02 High level of non-Moody's rated collateral, timing
1
Fitch
Close
Reason for NOT Rating
0
Fitch
Yes
Close
Reason for NOT Rating
04/09/02 We were looking for higher subordination levels. The deal had several
issues that our competitors may have been less sensitive too - low
diversity, some bizarre assets and prorata pay structure (where credit
support doesn't build up to offset adverse selection).
25
4/16/2002 We did not rate the underlying collateral. S&P owns a Canadian rating
agency which may have given them an advantage to rate the pool. Also it
was a small deal that may not have required 2 ratings.
26
27
28
29
30
31
32
4/4/2002 We were not aware of the deal
3
Fitch
No
33
34
35
36
37
No
Close
Reason for NOT Rating
5/8/2002 Underlying loans in the pool were not underwritten to our standards. As a
result our cash flow haircut was higher than usual.
5/22/2002 Our credit support levels were higher than S&P
5/2/2002
We were not aware of the deal
3
Page 2 of 4
CONFIDENTIAL & PROPRIETARY
MOODYS-FCIC-0016986
A
39 June Missed Deals
40
Deal Name
Morgan Stanley Dean Witter Capital I Trust, 2002-102
B
c
D
Deal Type
Analyst
MD
E
Asset Type
CMBS
F
Specific Asset Type
H
G
FaceAmt
S&P Rtg
$779.00 Yes
41
coo
C-Bass CBO IV Ltd.
42
43
44
45
46 July Missed Deals
47
48 Column Canada Issuer Corp.
49
50
51
52 August Missed Deals
53
$286.50 Yes
June Total
Deal Name
Deal Name
GMAC Commercial Mortgage Securities of Canada, 2002-FL 1
54
55
56
57
58 September Missed Deals
59
Deal Name
Deal Type
Canada
Analyst
MD
Asset Type
CMBS
$1,065.50
Specific Asset Type
July Total
Deal Type
Canada
Analyst
MD
Asset Type
CMBS
$195.30
Specific Asset Type
August Total
Deal Type
Analyst
MD
Asset Type
FaceAmt
S&P Rtg
$195.30 Yes
FaceAmt
S&P Rtg
$147.60 Yes
$147.60
Specific Asset Type
FaceAmt
S&P Rtg
60
Bane of America Commercial Mortgage Inc., 2002-2
CMBS
$1,725.00 Yes
61
62
63
1166 Avenue of the Americas Commercial Mortgage Trust, 2002-C5
CMBS
$147.00 Yes
September Total
$1,872.00
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Fitch
Yes
41
42
43
44
45
46
47
48
49
50
51
52
53
J
K
Close
Reason for NOT Rating
6/27/2002 Moody's credit enhancement levels for this transaction were higher than the
other agencies.
6/27/2002
We rated very little of the underlying collateral pool. We are in discussion
with them to rate their next deal.
2
Fitch
0
Close
7/30/2002
Reason for NOT Rating
S&P had Subsplits more favorable to Column Canada (CSFB).
1
Fitch
No
54
55
56
57
58
59
Close
8/1112002
Reason for NOT Rating
Moody's credit enhancement levels for this transaction were higher than the
other agencies.
1
Fitch
Close
Reason for NOT Rating
Fusion deal where we think the other agencies missed on both the
collateral ratings and the pool diversity, and when you combine the two we
think they are off by multiple notches
9/10/2002
60
Yes
The Senior tranch of the 1166 Avenue of the Americas loan was part of the
last Lehman/UBS transaction which we did not rate. Since the servicing
requirements would have been with the Sr. Mortgage it would have been
more complicated (from the deal documentation perspective) to have
Moody's on the junior mortgage.
9/30/2002
61
62
63
No
2
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Section VII
US ABCP Market Share
Market Share Information Includes US Fully and Partially Supported Programs
Report intended for rating agency comparison.
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Agency Market Share
Number of Programs
Rat;ng Agency Compa•;'[J!
of Programs)
001
0
#Programs
/o Share
9/3112001
9/3112002
9/3112001
9/3112002
Tota1Mkt.
258
260
100%
100%
Moody's
222
225
86%
87%
S&P
232
234
90%
90%
Fitch
135
141
52%
54%
=r -· _n
200
1-
1-
100
1-
1-
0
•
Total Mkt. Moody's
I
S&P
Fitch
I
Outstanding CP ($mil)
11[
O"Btond;ng CP
6/3112000
6/3112001
1/2
000
0
Outstanding CP
/o Share
6/3112000
6/3112001
Tota1Mkt.
$
613,854
$
664,105
100%
100%
Moody's
$
587,879
$
627,340
96%
94%
S&P
$
587,362
$
641,762
96%
97%
$800,000
Fitch
$
329,591
$
363,834
54%
55%
$600,000
$400,000
$200,000
$-
kYIIIa
Total MWoody's S&P
I
Fitch
I
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Section VIII
US LOC CP Market Share
Market Share Information Includes US LOC CP Programs by Market Sold Into
Report intended for rating agency comparison.
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Agency Market Share
Number of Programs
Rotiog Agoooy Com,.,;~
of Programs)
1/2
001
0
#Programs
/o Share
9/3112001
9/3112002
9/3112001
9/3112002
Tota1Mkt.
96
71
100%
100%
Moody's
87
62
91%
87%
S&P
94
69
98%
97%
Fitch
5
3
5%
4%
'~lih·
Total MktMoody's
S&P
I
I
I
Fitch
I
Outstanding LOC CP ($mil)
Outstanding LOC
6/3112001
1/2
000
0
Outstanding LOC CP
6/3112000
r;
/o Share
6/3112000
6/3112001
100%
Tota1Mkt.
$
14,022
$
10,129
100%
Moody's
$
13,088
$
9,440
93%
93%
S&P
$
13,935
$
10,106
99%
100%
Fitch
$
1,123
$
775
8%
8%
$15,000
$10,000
$5,000
$-
lthiL
Total MIMoody's S&P
Fitch
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