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Global Structured Finance Research

New York December 16, 2005

CMBS Weekly Report

Special feature: Regulation AB overview & fourth quarter issuance review

· Triple-A spreads tightened 1-2bp this week despite the end-of-week pricing of the remaining 2005 fixed-rate transactions. We expect ultra-senior triple-As may have another 1-2bp of tightening left as we enter 2006, at which point investors may want to sell these bonds and invest in ASBs, which have recently been ignored. Regulation AB takes effect on January 1, 2006. We discuss what it is, how it works and whether it will affect CMBS investors. This week we look at issuance trends during the fourth quarter. In addition, we provide a summary of our fourth quarter weeklies.

Contents

Market spreads 1 Market commentary 1 Regulation AB Overview & Update 3 Special feature 5 Fourth quarter issuance review 5 Appendix I: Index of 4th quarter CMBS weeklies 9 Appendix II: "Best Charts" of 4th quarter CMBS weeklies 9 Outlook & recommendations 19 Spread outlook 19 Relative value recommendations 19 Market data 20 Deals in the market 20 Issuance summary 20 Rating agency actions 21 Spread databank 22

· ·

Market spreads

This Swap-Based: 5yr TW AAA 5yr WW AAA 10yr Ultra AAA 10yr Mezz AAA 10yr Junior AAA 10yr Generic AAA AA A ABBB+ BBB BBBTreasury-Based: BB+ BB B PAC IO Support IO WAC IO 20 23 28 30 39 32 47 58 68 105 125 190 300 325 745 75 235 150 (2) (2) (1) (2) (1) (1) 0 0 0 0 5 0 15 10 15 0 10 10 0 0 1 1 2 0 3 3 3 15 25 25 25 20 25 10 35 40 5 (2) N/A 5 10 4 11 14 14 35 45 68 35 35 (5) 30 235 10 Change Spread Relationships: 10yr Ultra/Junior AAA 11 AA/A 11 A/BBB 67 BBB/BBB65 BB/B 420 10yr Ultra AAA/Agencies 41 10yr Generic AAA/DUS 17 Other Indices: 10yr DUS basis (Swap) Whole Loan (TSY) 10yr Agency Asset Swap DJ IG Main 5yr CDX DJ HiVol 5yr CDX EOP 5yr CDS EQR 5yr CDS SPG 5yr CDS 5yr Swap (TSY) 10yr Swap (TSY) 0 0 5 (5) 5 (2) 0 1 0 22 0 5 (2) 0 (18) 3 31 23 (40) 42 8 This Change Week 1 WK 1 MTH YTD Week 1 WK 1 MTH YTD

15 110 (13) 47 97 41 31 37 52 54

(1) 0 1 (2) (2) (1) (1) (2) (2) (2)

0 10 3 (3) (6) 1 (1) (3) 3 1

(4) 10 (14) 2 9 4 11 (0) 10 12

* Market spreads are as of Thursday afternoon.

Market commentary

In our last publication we suggested the last weeks of the year would be "anything but quiet." So far, we seem to be right. The final five fixedrate transactions, totaling over $14 billion, priced this week and triple-A spreads tightened 1-2bp despite the deluge, although triple-B spreads ended the week 5bp wider. While it may be too early to determine if a true "tiering" is taking place, we found it interesting that among the six fixed-rate deals that priced since last Friday the triple-B and triple-B minus rated bonds appeared to tier within a 15bp and 20bp range, respectively. As we mentioned in our 2006 outlook, we expect this type of discriminatory pricing to continue in 2006, fueled by increased CDS activity, which will allow investors to take action on both positive and negative spread viewpoints and should ultimately lead to more efficient pricing.

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

CMBS Research

Alan L. Todd, CFAAC

(1-212) 834-9388 [email protected]

Yuriko Iwai, CFA

(1-212) 834-9380 [email protected]

David Zhou

(1-212) 834-5302 [email protected]

Christopher Flanagan

(1-212) 270-6515 [email protected]

www.morganmarkets.com

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA,(1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

With benchmark triple-A bonds 1-2bp tighter this week across the triple-A stack, it appears as if not only has the recent widening trend ended, but that we've begun to grind tighter, which we suggested last week would occur as we moved through year end and into the new year. As a convenience, we have republished an updated version of Table 1 from last week's publication that shows 10-year triple-A spread movement over the last six years (Table 1).

Table 1: Historical 10-year triple-A spread movement and fixed-rate issuance volumes between November and January

Average 10-yr AAA Spread Year 2005/2006 2004/2005 2003/2004 2002/2003 2001/2002 2000/2001 1999/2000 Nov 28 26 33 49 60 39 45 Dec 27-28 (E) 24 32 48 55 42 41 Jan 25-27 (E) 23 27 44 48 46 40 Fixed-Rate Issuance ($mn) Nov 4,677 6,124 7,951 2,222 3,173 1,148 4,312 Dec 21,800 (E) 7,690 5,216 5,983 7,442 4,746 886 Jan 7,200 (E) 8,161 3,928 2,015 710 624 1,703

Source: JPMorgan, Commercial Mortgage Alert

In five of the past six years spreads have tightened between December and January and we expect that trend to continue into 2006. Given the current January fixed-rate pipeline, which Commercial Mortgage Alert lists at only three deals totaling $7.2 billion, we expect 10-year ultra-senior triple-A spreads have the potential to tighten further from their current levels, although the extent of this tightening may be limited due to robust February and March issuance expectations, which currently shows eleven fixed-rate transactions totaling $30 billion. The 7-year ASB class seemed to struggle in many of the deals that priced over the past week. Needless to say, this resulted in one question: why? We suggest two possible reasons and also offer a trade idea. The first reason could be that given the pace at which deals were coming to market this week and the speed at which each was getting filled, many investors decided to look for liquidity. With the 10-year ultra-senior triple-A arguably the largest, most liquid bond in the triple-A stack, longer-duration investors may have felt more comfortable moving away from the smaller ASB class and into the ultra-senior in a fast-moving market. The second possible reason could be that there are traditionally fewer buyers of 7-year average lived bonds than there are of either 5- or 10-year average lived bonds. If these buyers did not have money to put to work over the past two weeks it stands to reason that 7-year bond spreads could stagnate. Given this week's spread movement, 7-year ASBs are currently approaching their cheapest levels versus both the 7-year tight-windowed and the ultra-senior triple-A bonds (Charts 1 and 2).

2

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Chart 1: 7-year tight-windowed AAA vs 7-year ASB

36 34 32 Spread (bp) 30 28 26 24 22 20 Jun-05 Jun-05 Jul-05 Jul-05 Nov-05 Aug-05 Aug-05 Sep-05 Sep-05 Sep-05 Nov-05 Dec-05 Oct-05 Oct-05 15 13 Spread Differential (bp) 11 9 7 5 3 1 -1

Chart 2: 10-year ultra-senior AAA vs 7-year ASB

32 30 28 Spread (bp) 26 4 24 2 22 20 18 16 Jun-05 Jun-05 Jul-05 Jul-05 Nov-05 Aug-05 Aug-05 Nov-05 Oct-05 Oct-05 Dec-05 Sep-05 Sep-05 Sep-05 0 -2 -4 10 8 6 Spread Differential (bp)

7yr AAA (LH Axis)

7yr AAA ASB (LH Axis)

7YrAAA - ASB (RH Axis)

10yr Ultra AAA (LH Axis)

7yr AAA ASB (LH Axis)

ASB - 10Yr Ultra (RH Axis)

Source: JP Morgan

Source: JP Morgan

We recommend investors consider holding their ultra-senior triple-A bonds for the next 1-2bp of spread tightening and then sell them to purchase 7-year ASBs. This trade offers more spread, the same 30% subordination and exposure to one of the most stable cash flows in newly issued CMBS transactions. Finally, although we've previously mentioned the benefits of tight-windowed versus wide-windowed bonds, given the shape of the yield curve we do not think that this is currently an issue. Given the current flatness of the yield curve and no expectations for any near-term steepening, we believe the advantage of a tight-windowed bond over a widewindowed one is currently negligible.

Regulation AB Overview & Update

Recently, one of the hotter ­ and least understood ­ topics on investors' and issuers' minds has been that of Regulation AB and its potential effect on the structured products markets. Regulation AB (AB for asset-backed) pertains to the Securities and Exchange Commissions' treatment of, and filing requirements for, publicly offered asset-backed securities, which includes ABS, CMBS and MBS. The final rules, which were released on December 22, 2004, address four areas: registration, disclosure, communications and reporting. Our opinion is that Reg AB should not hinder CMBS issuance as most CMBS issuers gave their shelves enough capacity to issue until March 31, 2006 at which time all shelves must be Reg AB compliant. Registration Any issuer's shelf that was filed before August 31, 2005 has until March 31, 2006 to file the documentation that will create a new, Reg AB compliant shelf. Any shelf filed after August 31, 2005 must be Reg AB compliant as of January 1, 2006. The concern among industry participants is that the SEC will be deluged with last-minute filing materials and will not be able to process all of it by the March 31, 2006 deadline. If this were to occur, any issuer with a non-Reg AB compliant shelf would not be able to issue public bonds until the shelf becomes compliant. Once an issuer creates a new Reg AB compliant shelf (which would likely have the same moniker as the existing shelf), it would then fold-in all unused shelf capacity on its existing shelf into the new shelf.

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Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA,(1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

One significant new requirement for shelf eligibility is that the depositor and any affiliate in the same asset class must have timely filed all required Securities Exchange Act reports for the prior 12 months. That means all monthly distribution date statements must have been filed on Form 8-K (or the new Form 10-D required by Reg AB starting on January 1, 2006) and an annual report on 10-K. Any missed filings mean a shelf is not effective and the depositor cannot access the public markets. Disclosure This sets forth principles-based disclosure requirements for both Securities Act registration statements and Exchange Act reports. It requires the inclusion of material "static pool" information, including delinquency, default, cumulative loss, and prepayment information, be included for the prior five-year period. While this may be a considerable hurdle for ABS issuers due to the number and types of assets included in each transaction, we do not expect this will be a cause for concern in the CMBS market where most of this information is already available through third-party data sources such as Trepp, LLC and is arguably not material for heterogeneous pools of commercial mortgage loans. Communications during the Offering Period While Reg AB deals with this topic, this area has been most impacted by Securities Offering Reform, which became effective on December 1, 2005 and required all issuers and underwriters to comply with new rules regarding the types and timing of material associated with a new issue. Importantly, it specifies that issuers and underwriters have liability for materials distributed at the time of pricing. This has resulted in the need to distribute final "red herrings," which includes any material changes from the original to investors, sufficiently in advance of pricing so that issuers and underwriters are comfortable the information has been properly "conveyed" to investors. One change that has added to the confusion has been the introduction of the Free Writing Prospectus (FWP). This document effectively legally replaces the current term sheet and computational materials (although issuers will likely continue to publish term sheets, going forward they will be filed as FWPs). Under the new SEC regulations issuers are now allowed to distribute almost any type of materials in conjunction with the marketing of a deal as long as it's filed with the SEC. While this has lead to confusion in the corporate bond markets (where very little material was distributed prior to this rule) we do not expect this to be a hindrance to the CMBS market. If anything, it may increase the information flow and give investors more ways to analyze a potential investment. Reporting The reporting requirements reiterate existing reporting rules, but also impose new requirements. Servicers are now required to file a servicer compliance statement, an assessment of compliance with servicing criteria and an attestation of compliance from a registered public accounting firm as an exhibit to the Form 10-K. Reg AB also sets our new servicing criteria and broadens the definition of servicer to include any person responsible for the management and collection of the pool assets or making allocations or distributions to holder of the ABS (regardless of whether they are called a "servicer" or are a party to the deal documentation). This would include trustees and paying agents, but may also include vendors and other sub-contractors who may be "participating in the servicing function." The industry is struggling with implementing these new servicing requirements.

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Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Special feature

Fourth quarter issuance review

2005 proved to be yet another record breaking issuance year in the U.S. CMBS market as interest rates remained relatively low on a historical basis and strong property markets led to brisk property sales. The fourth quarter is set to close the year with quarterly issuance of $57 billion (Chart 3) and full-year issuance of $168 billion, up 103.7% and 80.6%, respectively, from the same period a year ago.

Chart 3: U.S. CMBS Quarterly Issuance

($ mn)

60,000 56,970

50,000 39,427 32,956 30,000 18,977 27,968 24,626 21,545 38,786

40,000

20,000

10,000

0 2004Q1 2004Q2 2004Q3 2004Q4 2005Q1 2005Q2 2005Q3 2005Q4

Source: Commercial Mortgage Alert, JPMorgan

Fixed-rate conduit/fusion deals continued to dominate with about $136 billion in issuance (representing about 81% of all domestic issuance), as larger loans begat larger deals and pushed issuance volumes to a level that is 84% higher than the 2004 record conduit/fusion issuance of $74 billion. Multi-borrower floating-rate issuance totaled $19 billion or 42% more than in 2004, while single asset/single borrower issuance surged with $11 billion of issuance, a year-over-year increase of 142%. On top of the heavy issuance volume came the "borrower's market" as competition among lenders increased, amidst compressing margins, to win loans. While we have previously discussed the underwriting trends in conduit/fusion deals, we decided to finish the year by highlighting some of the more important ones as we expect these trends to continue into 2006. Fixed-rate deals continue to get larger Over the past year the average deal size has increased as increasingly larger loans have been included. In fact, we have recently seen largest loans as large as $350 million, compared to a year ago when the largest loans typically topped out at just over $200 million. As a result, the size of the average deal has increased dramatically and during the fourth quarter of 2005 was $2.8 billion, or more than double the average deal size of $1.3 billion in 2004.

5

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA,(1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Loan diversity trends continue to improve Although loan sizes have increased, recently issued transactions have also contained more loans. Compared to a year ago when the average fixed-rate deal had approximately 150 loans, during the fourth quarter of 2005 the average transaction contained 200 loans, which has led to lower top 10 loan concentrations (the average top 10 concentration for deals issued in the fourth quarter declined to 39% compared to 44% for those issued during the first quarter). Moody's Herfindahl score (Chart 4) has also reversed course, showing improvement in 2005.

Chart 4: Diversity trends continue to improve

80 48%

70 44% 60 56 40.70% 40%

50

40 36% 30 Moody's Herfindahl Score (LH-axis) Top 10 Loan (RH-axis) 20 2001 2002 2003 2004 2005 32%

Source: Rating agency presale reports, JPMorgan

Fewer shadow rated loans as whole loan execution is more widely adopted Shadow-rated investment-grade loan concentrations remained low in the fourth quarter at 12%, down from a high of 26% in the first quarter of 2004 as more loans are executed in whole-loan fashion rather than an A/B note execution due to larger deal sizes which enable deals to absorb larger loans. Interest-only loan exposure continues to increase In the fourth quarter, the average percentage of interest-only loan exposure (full- or partial-term) in a given deal remained flat at 68% to that seen during the third quarter (Chart 5). As we suggested in our 2006 outlook, however, we are beginning to see full-term IO concentrations decline at the expense of more partial-term IOs. The average deal in the fourth quarter of 2005 contained 24% full-term IO and 44% partial-term IO versus 31% full-term IO and 36.6% partial-term IO in the third quarter.

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Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Chart 5: Full-term and partial-term IO concentrations

80% 70% 60% 50% 40% 30% 25% 20% 10% 0% 2004Q1 2004Q2 2004Q3 2004Q4 2005Q1 2005Q2 % Full-term Interest Only 2005Q3 2005Q4 13% 15% 17% 22% 28% 33% 23% 28% 31% 24% 35% 38% 37% 44%

11%

% Partial-term Interest Only

Source: Rating agency presale reports, JPMorgan

Leverage continued to climb while subordination levels declined Chart 6 illustrates what many investors are most concerned about: record high rating agency stressed leverage levels amidst low absolute subordination levels. Moody's stressed LTVs reached a new high in the fourth quarter with an average LTV of 99%.

Chart 6: Moody's stressed LTV versus triple-B subordination levels

100% BBB Subordination Lev el (RH-ax is) Moody 's LTV (LH-ax is) 95% 7% 99.4% 9%

8%

6% 90% 4.561% 5% 4%

85%

3%

80% '02Q3 '02Q4 '03Q1 '03Q2 '03Q3 '03Q4 '04Q1 '04Q2 '04Q3 '04Q4 '05Q1 '05Q2 '05Q3 '05Q4

2%

Source: Rating agency presale reports, JPMorgan

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Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA,(1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

In fact, during the second half of the year 12 deals had average Moody's stressed LTV levels of over 100% compared to just one deal in the first half of the year (which priced at the end of June). Finally, it is interesting to note that subordination levels, with the exception of single-B CMBS subordination levels, have all continued to decline in 2005 despite "frothy" underwriting standards (Table 2).

Table 2: CMBS subordination levels continue to decline

AAA (Jr) Subord. Level 2001 2002 2003 2004 2005 % 1-year change % 4-year change 20.51% 19.40% 16.44% 13.73% 12.71% -7.43% -38.02% AA Subord. Level 16.31% 15.75% 13.40% 11.14% 10.52% -5.62% -35.52% A Subord. Level 12.65% 11.98% 9.81% 8.15% 7.82% -4.06% -38.19% BBB Subord. Level 8.46% 8.21% 6.24% 4.88% 4.55% -6.70% -46.13% BB Subord. Level 4.43% 4.10% 3.22% 2.68% 2.48% -7.14% -43.95% B Subord. Level 2.24% 2.10% 1.79% 1.57% 1.58% 0.67% -29.38%

Source: Rating agency presale reports, JPMorgan

When we compare the percentage changes in subordination over the last several years, it appears as if the higher rated tranches (particularly the double- and singleAs) have suffered the least amount of subordination decreases at the expense of the lower-rated tranches (triple-B and below). This supports our recommendation for investors to move up-in-credit in 2006 as we believe triple-B and triple-B minus bond spreads may have a propensity to widen relative to triple-As.

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Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Appendix I: Index of 4th quarter CMBS weeklies

Special Feature Assessing refinance risk in the face of higher interest rates & looser underwriting standards Property market fundamentals continue to improve Comparing historical CMBS and corporate bond excess spread returns NAREIT Recap & Analyzing the upcoming refinance pipeline Tight-windowed bonds may offer value as interest rates rise How sensitive are 2005 vintage triple-B CMBS to 10-year full-term IOs? Regulation AB overview & fourth quarter issuance review Date October 14, 2005 October 21, 2005 October 28, 2005 November 4, 2005 November 18, 2005 December 9, 2005 December 16, 2005

Appendix II: "Best Charts" of 4th quarter CMBS weeklies

Spread differential between 10-year AAA CMBS & 10-year Agency debenture ASW

CMBS Weekly Report, 12/9/05, Chart 1

80 70 60 Spread differential (bp) 50 40 30 20 10 0 04/30/99 08/30/99 12/30/99 04/30/00 08/30/00 12/30/00 04/30/01 08/30/01 12/30/01 04/30/02 08/30/02 12/30/02 04/30/03 08/30/03 12/30/03 04/30/04 08/30/04 12/30/04 04/30/05 08/30/05

Source: JPMorgan

9

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Double-A CMBS ­ Triple-A CMBS historical spread differential

CMBS Weekly Report, 12/09/05, Chart 2

30 25 Spread differential (bp) 20 15 10 5 0 04/30/99 08/30/99 12/30/99 04/30/00 08/30/00 12/30/00 04/30/01 08/30/01 12/30/01 04/30/02 08/30/02 12/30/02 04/30/03 08/30/03 12/30/03 04/30/04 08/30/04 12/30/04 04/30/05 08/30/05

Tier 2

Source: JPMorgan

CMBS Weekly Report, 12/09/05, Chart 3

0 -2 -4 Yield Change (bp) -6 -8 -10 -12 -14 -16 0%

Scenario 1 - Triple-B extension analysis

CMBS Weekly Report, 12/09/05, Chart 4

0

Scenario 2 - Triple-B extension/default analysis

Tier 1

-2 -4 Yield Change (bp) -6 Tier 1 -8 -10 -12 -14

Tier 2

Tier 3

Tier 3

-16

5% 10% 15% 20% 25%

0%

5%

10%

15%

20%

25%

% WAL Extension

% WAL Extension

Source: JPMorgan, Intex

Source: JPMorgan, Intex

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Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Triple-B extension analysis ­ Scenario 1 CMBS Weekly Report, 12/09/05, Table 2

Base Case Scenario 1 - Extension Yield % WAL Deal Name BACM 2005-1 BSCMS 2005-PWR8 CGCMT 2005-C3 CSFB 2005-C1 CSFB 2005-C2 CSFB 2005-C3 CSFB 2005-C4 GCCFC 2005-GG3 GECMC 2005-C1 GECMC 2005-C2 GECMC 2005-C3 GMACC 2005-C1 JPMCC 2005-CIBC11 JPMCC 2005-LDP1 JPMCC 2005-LDP2 JPMCC 2005-LDP3 JPMCC 2005-LDP4 LBUBS 2005-C3 LBUBS 2005-C5 MLMT 2005-CIP1 WBCMT 05-C16 WBCMT 2005-C17 WBCMT 2005-C18 WBCMT 2005-C19 WBCMT 2005-C20 BACM 2005-4 JPMCC 2005-CIBC12 LBUBS 2005-C1 MLMT 2005-MCP1 BACM 2005-3 COMM 2005-LP5 GCCFC 2005-GG5 GSMS 2005-GG4 LBUBS 2005-C2 LBUBS 2005-C7 MSC 2005-TOP17

Source: Intex, JPMorgan

10-year Full-term IO Loans Number of Extended Total % of deal 2.56% 4.22% 0.28% 6.11% 0.21% 12.22% 5.37% 1.88% 5.42% 4.57% 10.58% 0.24% 0.00% 8.57% 5.57% 8.31% 5.65% 19.89% 28.25% 3.48% 2.62% 6.37% 6.18% 13.83% 17.70% 14.65% 7.88% 23.31% 6.90% 18.49% 5.57% 13.87% 19.47% 12.11% 22.98% 24.23% loans extended 1 2 1 1 1 1 3 1 1 2 5 1 0 2 2 2 3 2 8 3 1 13 2 7 9 5 1 2 1 5 2 4 5 2 5 3 Loan % of Deal 2.33% 0.34% 0.28% 2.51% 0.09% 2.01% 3.07% 1.88% 0.80% 0.79% 3.30% 0.24% 0.00% 1.87% 0.35% 2.84% 1.54% 1.21% 4.52% 1.44% 0.33% 1.29% 0.42% 2.86% 2.99% 8.15% 0.64% 7.38% 6.90% 10.66% 5.35% 10.33% 7.59% 10.99% 2.14% 10.10% Chg (bp) -0.37 0.00 -0.02 -0.75 0.00 -0.90 -0.02 0.00 -0.03 -0.01 -0.10 0.00 0.00 -0.38 -0.01 -0.01 -0.07 -0.64 0.00 -0.02 -0.01 -0.06 -0.03 -0.15 -0.04 -2.52 -2.01 -1.76 -7.23 -5.80 -3.70 -6.35 -5.48 -3.48 -3.22 -5.94

Class WAL G G G G G G G G G H H G G G J G G J J G G G G G G G G H G H G G G H J G

Yield

WAL

Yield TIER 1

Extension 0.32% 0.00% 0.00% 0.88% 0.00% 1.57% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.11% 0.00% 0.00% 0.00% 1.09% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.25% 5.33% 2.41% 0.00% 9.60% 9.78% 8.43% 8.85% 10.71% 8.50% 8.62%

9.30 6.1930% 9.50 6.1984% 9.43 6.1965% 9.10 6.1877% 9.34 6.1942% 9.57 6.2005% 9.60 6.2012% 9.24 6.1916% 9.16 6.1893% 9.41 6.1961% 9.75 6.2053% 9.49 6.1983% 14.08 6.3005% 9.25 6.1918% 9.51 6.1987% 9.68 6.2035% 9.85 6.2080% 12.88 6.2785% 14.23 6.3031% 9.68 6.2032% 9.09 6.1875% 9.26 6.1920% 9.43 6.1965% 9.52 6.1990% 9.68 6.2034% 9.85 6.2080% 9.94 6.2103% 9.12 6.1883% 9.58 6.2007% 9.58 6.2007% 9.41 6.1961% 9.84 6.2076% 9.49 6.1983% 9.34 6.1942% 10.00 6.2119% 9.17 6.1896%

9.33 6.1893% 9.50 6.1984% 9.43 6.1963% 9.18 6.1802% 9.34 6.1942% 9.72 6.1915% 9.60 6.2010% 9.24 6.1916% 9.16 6.1890% 9.41 6.1960% 9.75 6.2043% 9.49 6.1983% 14.08 6.3005% 9.26 6.1880% 9.51 6.1986% 9.68 6.2034% 9.85 6.2073% 13.02 6.2721% 14.23 6.3031% 9.68 6.2030% 9.09 6.1874% 9.26 6.1914% 9.43 6.1962% 9.52 6.1975% 9.68 6.2030% TIER 2 10.17 6.1828% 10.47 6.1902% 9.34 6.1707% 9.58 6.1284% TIER 3 10.50 6.1427% 10.33 6.1591% 10.67 6.1441% 10.33 6.1435% 10.34 6.1594% 10.85 6.1797% 9.96 6.1302%

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Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Triple-B extension/default analysis ­ Scenario 2 CMBS Weekly Report, 12/09/05, Table 3

Base Case Scenario 2 - Extension and Default Yield % WAL Deal Name BACM 2005-1 BSCMS 2005-PWR8 CGCMT 2005-C3 CSFB 2005-C1 CSFB 2005-C2 CSFB 2005-C3 CSFB 2005-C4 GCCFC 2005-GG3 GECMC 2005-C1 GECMC 2005-C2 GECMC 2005-C3 GMACC 2005-C1 JPMCC 2005-CIBC11 JPMCC 2005-LDP1 JPMCC 2005-LDP2 JPMCC 2005-LDP3 JPMCC 2005-LDP4 LBUBS 2005-C5 MLMT 2005-CIP1 WBCMT 05-C16 WBCMT 2005-C17 WBCMT 2005-C18 WBCMT 2005-C19 WBCMT 2005-C20 BACM 2005-4 JPMCC 2005-CIBC12 LBUBS 2005-C1 LBUBS 2005-C3 BACM 2005-3 COMM 2005-LP5 GCCFC 2005-GG5 GSMS 2005-GG4 LBUBS 2005-C2 LBUBS 2005-C7 MLMT 2005-MCP1 MSC 2005-TOP17

Source: Intex, JPMorgan

10-year Full-term IO Loans Total % Number Extended Number of Defaulted of loans Loan % of Deal 2.33% 0.34% 0.28% 2.51% 0.09% 2.01% 3.07% 1.88% 0.80% 0.79% 3.30% 0.24% 0.00% 1.87% 0.35% 2.84% 1.54% 4.52% 1.44% 0.33% 1.29% 0.42% 2.86% 2.99% 8.15% 0.64% 7.38% 1.21% 10.66% 5.35% 10.33% 7.59% 10.99% 2.14% 6.90% 10.10% loans defaulted 1 1 1 1 1 1 2 1 1 1 3 1 0 1 1 1 2 4 2 1 7 1 4 5 3 1 1 1 3 1 2 3 1 3 1 2 Loan % of Deal 2.33% 0.11% 0.28% 2.51% 0.09% 2.01% 2.12% 1.88% 0.80% 0.31% 1.55% 0.24% 0.00% 0.83% 0.25% 0.99% 0.68% 2.16% 1.32% 0.33% 0.63% 0.21% 2.15% 2.63% 6.85% 0.64% 4.89% 0.73% 10.25% 5.02% 7.54% 6.99% 5.84% 1.79% 6.90% 2.22%

Chg (bp) -0.37 0.00 -0.02 -0.75 0.00 -1.39 -0.40 0.00 -0.03 -0.01 -0.10 0.00 0.00 -0.38 -0.01 -0.01 -0.07 -0.59 -0.02 -0.01 -0.06 -0.03 -0.15 0.00 -9.38 -3.84 -7.25 -4.67 -11.02 -7.19 -13.29 -11.02 -6.38 -6.25 -13.77 -11.27

Class WAL G G G G G G G G G H H G G G J G G J G G G G G G G G H J H G G G H J G G

Yield

WAL

Yield

Extension TIER 1 0.32% 0.00% 0.00% 0.88% 0.00% 2.51% 0.52% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.11% 0.00% 0.00% 0.00% 0.98% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% TIER 2 13.40% 11.27% 13.71% 9.70% TIER 3 20.04% 20.40% 18.60% 19.39% 21.41% 18.00% 20.04% 19.74%

of deal extended 2.56% 4.22% 0.28% 6.11% 0.21% 12.22% 5.37% 1.88% 5.42% 4.57% 10.58% 0.24% 0.00% 8.57% 5.57% 8.31% 5.65% 28.25% 3.48% 2.62% 6.37% 6.18% 13.83% 17.70% 14.65% 7.88% 23.31% 19.89% 18.49% 5.57% 13.87% 19.47% 12.11% 22.98% 6.90% 24.23% 1 2 1 1 1 1 3 1 1 2 5 1 0 2 2 2 3 8 3 1 13 2 7 9 5 1 2 2 5 2 4 5 2 5 1 3

9.30 6.1930% 9.50 6.1984% 9.43 6.1965% 9.10 6.1877% 9.34 6.1942% 9.57 6.2005% 9.60 6.2012% 9.24 6.1916% 9.16 6.1893% 9.41 6.1961% 9.75 6.2053% 9.49 6.1983% 14.08 6.3005% 9.25 6.1918% 9.51 6.1987% 9.68 6.2035% 9.85 6.2080% 14.23 6.3031% 9.68 6.2032% 9.09 6.1875% 9.26 6.1920% 9.43 6.1965% 9.52 6.1990% 9.68 6.2034% 9.85 6.2080% 9.94 6.2103% 9.12 6.1883% 12.88 6.2785% 9.58 6.2007% 9.41 6.1961% 9.84 6.2076% 9.49 6.1983% 9.34 6.1942% 10.00 6.2119% 9.58 6.2007% 9.17 6.1896%

9.33 6.1893% 9.50 6.1984% 9.43 6.1963% 9.18 6.1802% 9.34 6.1942% 9.81 6.1866% 9.65 6.1972% 9.24 6.1916% 9.16 6.1890% 9.41 6.1960% 9.75 6.2043% 9.49 6.1983% 14.08 6.3005% 9.26 6.1880% 9.51 6.1986% 9.68 6.2034% 9.85 6.2073% 14.37 6.2972% 9.68 6.2030% 9.09 6.1874% 9.26 6.1914% 9.43 6.1962% 9.52 6.1975% 9.68 6.2034% 11.17 6.1142% 11.06 6.1719% 10.37 6.1158% 14.13 6.2318% 11.50 6.0905% 11.33 6.1242% 11.67 6.0747% 11.33 6.0881% 11.34 6.1304% 11.80 6.1494% 11.50 6.0630% 10.98 6.0769%

12

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

12-month horizon returns for a parallel shift and flattening/steepening of the yield curve

CMBS Weekly Report, 11/18/05, Table 1

CSFB 2005-C5 AAB Flattening/steepening 2/10 Yield Curve (bp) -30 -75 Yield Curve Shift (bp) -50 -25 0 25 50 75 10.205% 8.903% 7.613% 6.335% 5.070% 3.817% 2.576% -20 -10 0 9.320% 8.026% 6.744% 5.475% 4.218% 2.973% 1.741% 10 9.106% 7.814% 6.534% 5.267% 4.012% 2.770% 1.539% 20 8.832% 7.543% 6.266% 5.002% 3.749% 2.509% 1.281% 30 8.559% 7.273% 5.998% 4.736% 3.487% 2.249% 1.024% Yield Curve Shift (bp) -75 -50 -25 0 25 50 75 9.930% 9.655% 8.630% 8.357% 7.342% 7.072% 6.067% 5.800% 4.805% 4.540% 3.554% 3.292% 2.316% 2.057% Difference between A3 and AAB bonds (bp) Flattening/steepening 2/10 Yield Curve (bp) -30 -3.10 -0.79 1.44 3.57 5.63 7.59 9.47 -20 -1.70 0.60 2.79 4.91 6.93 8.86 10.72 -10 -0.29 1.98 4.14 6.23 8.23 10.14 11.96 0 1.06 3.30 5.44 7.50 9.47 11.34 13.15 10 2.50 4.70 6.83 8.85 10.79 12.65 14.44 20 3.88 6.05 8.14 10.15 12.07 13.91 15.66 30 5.25 7.40 9.47 11.45 13.34 15.15 16.88

CSFB 2005-C5 A3 Flattening/steepening 2/10 Yield Curve (bp) -30 -75 Yield Curve Shift (bp) -50 -25 0 25 50 75 10.174% 8.895% 7.627% 6.371% 5.126% 3.893% 2.671% -20 -10 0 9.330% 8.059% 6.798% 5.550% 4.313% 3.087% 1.872% 10 9.131% 7.861% 6.602% 5.356% 4.120% 2.896% 1.684% 20 8.871% 7.603% 6.347% 5.103% 3.870% 2.648% 1.438% 30 8.612% 7.347% 6.093% 4.851% 3.620% 2.401% 1.193% 9.913% 9.652% 8.636% 8.377% 7.370% 7.114% 6.116% 5.862% 4.874% 4.622% 3.643% 3.394% 2.423% 2.176%

Source: Intex, JPMorgan

12-month horizon returns with extensions and defaults

CMBS Weekly Report, 11/18/05, Table 2

CSFB 2005-C5 AAB Flattening/steepening 2/10 Yield Curve (bp) -30 -75 Yield Curve Shift (bp) -50 -25 0 25 50 75 10.205% 8.903% 7.613% 6.335% 5.070% 3.817% 2.576% -20 -10 0 10 9.106% 7.814% 6.534% 5.267% 4.012% 2.770% 1.539% 20 8.832% 7.543% 6.266% 5.002% 3.749% 2.509% 1.281% 30 8.559% 7.273% 5.998% 4.736% 3.487% 2.249% 1.024% Yield Curve Shift (bp) -75 -50 -25 0 25 50 9.930% 9.655% 9.320% 8.630% 8.357% 8.026% 7.342% 7.072% 6.744% 6.067% 5.800% 5.475% 4.805% 4.540% 4.218% 3.554% 3.292% 2.973% 2.316% 2.057% 1.741% Difference between A3 and AAB bonds (bp) Flattening/steepening 2/10 Yield Curve (bp) -30 21.45 15.05 8.75 2.54 -3.58 -20 17.73 11.39 5.12 -1.05 -10 14.03 7.73 1.51 -4.62 0 10.43 4.16 -2.01 10 6.68 0.45 -5.67 20 3.02 -3.17 30 -0.63 -6.76

-9.26 -12.81

-8.09 -11.73 -15.26 -18.77

-7.12 -10.66 -14.08 -17.68 -21.17 -24.65

-9.62 -13.12 -16.61 -20.00 -23.55 -27.00 -30.43

75 -15.56 -19.02 -22.47 -25.82 -29.33 -32.74 -36.14

CSFB 2005-C5 A3 Flattening/steepening 2/10 Yield Curve (bp) -30 -75 Yield Curve Shift (bp) -50 -25 0 25 50 75 -20 -10 0 10 9.173% 7.818% 6.477% 5.150% 3.836% 2.534% 1.246% 20 8.863% 7.511% 6.173% 4.849% 3.538% 2.239% 0.954% 30 8.553% 7.205% 5.870% 4.549% 3.240% 1.945% 0.662% 10.420% 10.107% 9.795% 9.424% 9.053% 7.700% 6.360% 5.034% 3.721% 2.421% 8.743% 8.434% 8.067% 7.393% 7.087% 6.724% 6.057% 5.754% 5.394% 4.733% 4.433% 4.077% 3.423% 3.126% 2.773% 2.126% 1.832% 1.483%

Source: Intex, JPMorgan 13

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Refinance pipeline by year of maturity and loan type

CMBS Weekly Report, 11/4/05, Chart 3 ($bn)

$60 $50 $40 $30 $20 $10 $2006 2007 2008 2009 Amortizing 2010 2011 2012 Full Term IO 2013 2014 2015 All Loans $60 $50 $40 $30 $20 $10 $2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 10-Year Loans

Partial IO

Amortizing

Partial IO

Full Term IO

$60 $50 $40 $30 $20 $10 $2006 2007 2008 2009

5-Year Loans

$60 $50 $40 $30 $20 $10 $-

7-Year Loans

2010

2011

2012 Full Term IO

2013

2014

2015

2006

2007

2008

2009 Amortizing

2010

2011

2012

2013

2014

2015

Amortizing

Partial IO

Partial IO

Full Term IO

Source: Trepp, JPMorgan

Average issuer balloon LTV by year of maturity and loan type

CMBS Weekly Report, 11/4/05, Chart 4 (%)

80 70 60 50 40 30 20 10 0 2006 2007 2008 2009 2010 2011 Full 2012 2013 Partial 2014 2015

All Loans 80 70 60 50 40 30 20 10 0 2006 2007 2008 2009 Amortizing

10-Year Loans

2010

2011 Full

2012 Partial

2013

2014

2015

Amortizing 5-Year Loans

80 70 60 50 40 30 20 10 0 2006 2007 2008 2009

80 70 60 50 40 30 20 10

7-Year Loans

2010 Amortizing

2011 Full

2012

2013 Partial

2014

2015

0 2006 2007 2008 2009 2010 2011 Full 2012 2013 Partial 2014 2015 Amortizing

14

Source: Trepp, JPMorgan

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Average gross coupon by year of maturity and loan type

CMBS Weekly Report, 11/4/05, Table 1 (%)

Year of Maturity 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Source: Trepp, JPMorgan 5-Year 7.85 7.23 6.66 5.28 5.29 5.39 Amortizing 7-Year 7.64 7.93 8.00 7.41 7.04 5.66 5.58 5.74 5.62 5.60 10-Year 8.38 8.84 8.28 7.29 7.98 8.38 7.55 7.08 6.19 5.90 5.71 6.86 5.51 4.79 4.94 5.06 7.43 8.07 6.16 6.00 4.89 4.97 5.11 5.53 5.26 5-Year Full IO 7-Year 10-Year 8.82 8.49 8.70 7.00 7.48 8.12 7.11 6.52 5.34 5.28 5.25 5-Year 8.61 6.89 6.46 5.09 5.13 5.38 7.69 8.33 6.80 6.09 5.35 5.35 5.34 5.15 5.30 Partial IO 7-Year 10-Year 8.08 8.98 8.42 7.11 7.22 8.45 7.21 6.66 5.70 5.51 5.40 8.13 8.57 8.14 7.14 7.48 7.66 7.28 6.92 6.14 5.82 5.59 Total

Triple-B spreads vs Moody's beginning LTV

CMBS Weekly Report, 10/28/05, Chart 1

130 125 120

Triple-B spreads vs full-term IO %

CMBS Weekly Report, 10/28/05, Chart 2

130 125 120 BBB Pricing Spreads to Swaps 115 110 105 100 95 90 85 80 75 70 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% y = 37.324x + 89.222 R2 = 0.4268

BBB Pricing Spreads to Swaps

115 110 105 100 95 90 85 80 75 70 75% 80% 85% 90% Moody's LTV Actual 10yr BBB Spreads Predicted 10yr BBB Spreads 95% 100% 105% y = 118.1x - 13.556 R2 = 0.7202

Full Term IO % Actual 10yr BBB Spreads Predicted 10yr BBB Spreads

Source: Moody's, MCM, JPMorgan

Source: Moody's, MCM,JPMorgan

Risk-adjusted excess spread return (in bp) over long swap spread investment for a portfolio of CMBS and Corporate bank bonds

CMBS Weekly Report, 10/28/05, Chart 3

100

50

0

-50

-100

-150

-200 2000 2001 CMBS AAA-A Portfolio 2002 2003 2004 2005

JULI Liquid 10-yr Fin Inst

Source: JPMorgan 15

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

U.S. real estate market flows by property type

CMBS Weekly Report, 10/21/05, Chart 3

18 16 14 Capital Inflows ($Bn) 12 10 8 6 4 2 0 2001 Apartment

Source: Real Capital Analytics

2002 Industrial

2003 Office

2004 Retail

2005Q1-3

U.S. real estate market flows by investor type

CMBS Weekly Report, 10/21/05, Chart 4

20

15

Net capital flows ($bn)

10

5

0

-5

-10 foreign inst'l private - local private - nat'l reit/public user/other

2001

Source: Trepp, JPMorgan

2002

2003

2004

2005Q1-Q3

16

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Ratings performance by vintage for conduit/fusion deals*

CMBS Weekly Report, 10/21/05, Table 1

Year of Action 2000 Bond Vintage 1994 1995 1996 1997 Total 1994 1995 1995 1996 1997 1998 Total 1994 1995 1996 1997 1998 1999 2000 Total 1995 1996 1997 1998 1999 2000 2001 Total 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 Total 1995 1996 1997 1998 1999 2000 2001 2002 2003 Total Upgrade 2 13 9 24 3 3 24 45 13 14 102 3 8 22 10 19 6 68 15 30 27 25 41 5 143 2 26 26 71 48 40 30 16 259 2 3 17 36 35 40 75 79 20 307 903 2 2 3 2 9 6 3 2 11 2 13.0 129.5 3 25.0 102.3 36.1 13.0 14 3 9 18 9 16 5 3 2 65 1 8 21 11 13 30 42 5 131 240 4.5 8.3 20.5 7.6 8 4 4 3 1 2 Investment-grade Downgrade Ratio 4.0 11.0 3.3 9.5 1 1 1 5 Below-investment-grade Upgrade Downgrade Ratio 1 2 5 0.4 3 3 6 0.5 9 11 0.8 1 3 9 3 5 2 4 14 1 5 6 18 10 5 3 48 3 23 15 7 34 4 86 1 2 5 4 6 36 15 5 73 2 1 4 2 3 10 5 27 260 1.0 4.9 0.9 5.5 4.3 3.0 0.9 0.5 2.0 0.1 0.2 0.1 0.1 0.3 0.2 1.5 1.8 4.5 1.5 1.0 1.8 0.9 0.2 0.2 0.1 0.5 0.2 1.3 Upgrade 3 15 12 3 33 3 4 27 54 13 14 115 3 9 23 11 24 6 0 76 19 34 30 26 43 5 0 157 0 5 35 44 80 64 49 33 18 0 324 3 3 25 57 46 53 105 121 25 438 1143 Total Downgrade 0 5 0 6 11 0 0 3 5 2 4 14 1 7 8 21 12 5 3 57 3 0 29 18 9 34 4 97 1 2 7 4 6 0 36 15 0 5 75 2 1 4 0 2 3 13 0 5 30 285 1.0 1.4 4.8 0.1 1.6 2.5 5.0 11.0 13.3 1.4 2.2 4.3 1.5 3.0 6.3 23.0 17.7 8.1 5.0 14.6 4.0 Ratio 3.0 0.5 3.0 9.0 10.8 6.5 3.5 8.2 3.0 1.3 2.9 0.5 2.0 1.2 1.3 6.3

2001

13

2002

2003

2004

2

2005

3 25

Grand Total

* As of October 12, 2005

Source: JPMorgan

17

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Balloon LTV and DSCR Results

CMBS Weekly Report, 10/14/05, Table 2

Balloon LTV 10-year Amortizing Loan

-3% -2% -1% 0% 1% 2% 3% -3.0% 50.6% 64.3% 78.1% 91.8% 105.6% 119.3% 133.0% Annual Change in Net Cash Flow -2.0% -1.0% 0.0% 1.0% 2.0% 45.6% 41.2% 37.3% 33.8% 30.6% 58.1% 52.4% 47.4% 42.9% 38.9% 70.5% 63.7% 57.6% 52.1% 47.2% 82.9% 74.9% 67.7% 61.3% 55.5% 95.3% 86.1% 77.8% 70.5% 63.9% 107.7% 97.3% 88.0% 79.6% 72.2% 120.1% 108.5% 98.1% 88.8% 80.5% 3.0% 27.8% 35.3% 42.8% 50.4% 57.9% 65.5% 73.0% -3% -2% -1% 0% 1% 2% 3%

Balloon DSCR

Annual Change in Net Cash Flow -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 1.51 1.68 1.86 2.05 2.27 2.50 2.76 1.33 1.48 1.64 1.81 2.00 2.20 2.43 1.18 1.31 1.45 1.60 1.77 1.96 2.16 1.06 1.17 1.30 1.43 1.58 1.75 1.92 0.95 1.05 1.16 1.29 1.42 1.57 1.73 0.86 0.95 1.05 1.16 1.29 1.42 1.56 0.78 0.87 0.96 1.06 1.17 1.29 1.42

Change in Cap Rate

10-year Amortizing Loan with 3-year IO Period

-3% -2% -1% 0% 1% 2% 3% -3.0% 54.1% 68.8% 83.5% 98.2% 112.9% 127.6% 142.3% Annual Change in Net Cash Flow -2.0% -1.0% 0.0% 1.0% 2.0% 48.8% 44.1% 39.9% 36.1% 32.7% 62.1% 56.1% 50.7% 45.9% 41.6% 75.4% 68.1% 61.6% 55.8% 50.5% 88.6% 80.1% 72.4% 65.6% 59.4% 101.9% 92.1% 83.3% 75.4% 68.3% 115.2% 104.1% 94.1% 85.2% 77.2% 128.5% 116.1% 105.0% 95.0% 86.1% 3.0% 29.7% 37.8% 45.8% 53.9% 62.0% 70.0% 78.1% -3% -2% -1% 0% 1% 2% 3% Annual Change in Net Cash Flow -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 1.42 1.57 1.74 1.92 2.12 2.34 2.58 1.25 1.38 1.53 1.69 1.87 2.06 2.27 1.11 1.22 1.36 1.50 1.66 1.83 2.01 0.99 1.09 1.21 1.34 1.48 1.63 1.80 0.89 0.98 1.09 1.20 1.33 1.47 1.62 0.80 0.89 0.98 1.09 1.20 1.33 1.46 0.73 0.81 0.90 0.99 1.09 1.21 1.33

Change in Cap Rate

10-year Full-term IO Loan

-3% -2% -1% 0% 1% 2% 3% -3.0% 60.4% 76.8% 93.2% 109.6% 126.0% 142.4% 158.8% Annual Change in Net Cash Flow -2.0% -1.0% 0.0% 1.0% 2.0% 54.5% 49.2% 44.5% 40.3% 36.5% 69.3% 62.6% 56.6% 51.3% 46.4% 84.1% 76.0% 68.7% 62.2% 56.4% 98.9% 89.3% 80.8% 73.2% 66.3% 113.7% 102.7% 92.9% 84.1% 76.2% 128.5% 116.1% 105.0% 95.1% 86.1% 143.3% 129.5% 117.1% 106.0% 96.1% 3.0% 33.1% 42.1% 51.1% 60.1% 69.1% 78.1% 87.1% -3% -2% -1% 0% 1% 2% 3% Annual Change in Net Cash Flow -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 1.27 1.41 1.56 1.72 1.90 2.10 2.31 1.12 1.24 1.37 1.52 1.67 1.85 2.04 0.99 1.10 1.22 1.34 1.48 1.64 1.81 0.88 0.98 1.09 1.20 1.33 1.46 1.61 0.80 0.88 0.98 1.08 1.19 1.31 1.45 0.72 0.80 0.88 0.98 1.08 1.19 1.31 0.65 0.73 0.80 0.89 0.98 1.08 1.19

Change in Cap Rate

5-year Full-term IO Loan

-3% -2% -1% 0% 1% 2% 3% -3.0% 51.8% 65.9% 80.0% 94.1% 108.2% 122.3% 136.4% Annual Change in Net Cash Flow -2.0% -1.0% 0.0% 1.0% 2.0% 49.2% 46.8% 44.5% 42.4% 40.3% 62.6% 59.5% 56.6% 53.9% 51.3% 76.0% 72.3% 68.7% 65.4% 62.2% 89.4% 85.0% 80.8% 76.9% 73.2% 102.8% 97.7% 92.9% 88.4% 84.1% 116.2% 110.4% 105.0% 99.9% 95.1% 129.5% 123.1% 117.1% 111.4% 106.1% 3.0% 38.4% 48.8% 59.3% 69.7% 80.1% 90.6% 101.0% -3% -2% -1% 0% 1% 2% 3% Annual Change in Net Cash Flow -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 1.48 1.56 1.64 1.72 1.81 1.90 1.99 1.30 1.37 1.44 1.52 1.59 1.67 1.76 1.15 1.21 1.28 1.34 1.41 1.48 1.56 1.03 1.08 1.14 1.20 1.26 1.32 1.39 0.93 0.98 1.03 1.08 1.13 1.19 1.25 0.84 0.88 0.93 0.98 1.03 1.08 1.13 0.76 0.80 0.84 0.89 0.93 0.98 1.03

Change in Cap Rate

Source: JPMorgan

18

Change in Coupon

Change in Coupon

Change in Coupon

Change in Coupon

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Outlook & recommendations

Spread outlook

Security AAA Basis Outlook Stable to slightly tighter Logic Triple-A spreads have firmed, TRS levels make it unattractive versus owning the cash bonds and January issuance is expected to be light. Concern about higher leverage, low subordination levels and increased CDS protection buying lead us to believe that BBB spreads may tier with a widening bias. Comments

BBB Basis

Stable to wider

Relative value recommendations

Sector AAA CMBS to 10-year FNMA debentures AA & A rated CMBS vs Ultraand SuperSenior AAAs 5- and 7-year triple-A CMBS Recommendation Buy AAA CMBS ­ Sell Agency debentures Overweight purchases of AA and A bonds Logic CMBS offers a spread pick-up of about 41bp. Comments

Spread differential between double- and triple-A CMBS remains near the widest it has been in over two years. Furthermore, higher yields and credit quality concerns has enticed real money BBB buyers to move up in credit to double- and single-A. Sector has become undervalued as fear regarding extension risk has resulted in many bonds trading too cheaply. We think that 11bp is too wide of a differential, even once lower subordination and a concession for limited liquidity is factored in. With funding at LIBOR minus 5 and AAA cash spreads at historical wides, trade is not as attractive as it has been

Limited supply of double- and single-A bonds makes this trade subject to liquidity constraints.

Buy select new issue 5- and 7year AAAs

Investors should consider the diversity and quality of the loans whose cash flows will repay these bonds. Furthermore, limited liquidity of these bonds makes this trade most accessible for buy-and-hold accounts. Given our expectation for tighter spreads into year-end, and the recent stability junior As have exhibited, we think it makes sense to move slightly down-in-credit to pick up 11bp.

Ultra-senior vs junior AAAs CMBS Index Trade

Buy junior triple-As

Neutral

19

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Market data

Deals in the market

Size Pricing Lead Deal Name LCMS 2005MF1 TYF 2005LUX BACM 2005-6 ($mn) Date 389 Wk. of MS Rating S M Deal O S 0.0% 0.0% Property Mix Multi0.0% 98.0% 0.0% 0.0% Sub Levels (%) Indu AAA* BBB 0.0% 2.1% 0.0% 12.500% 5.500% N/A N/A 5yr AAA TBD L+19a L+25a

(3.0 Yrs)

Pricing Levels 10yr AAA TBD N/A AA TBD A TBD BBB TBD L+85a BBBTBD L+110a IO2 TBD N/A

U/W Agency Type1 Office Retail family Hotel strial Other

12/19 425 Wk. of CSFB 12/19 2,942 12/16 BoA, BS

0.0% 100.0% 0.0%

L+35a L+52a

S

C

38.6% 15.6% 23.6% 11.4% 1.5%

9.3%

30.000% 4.750% 20.000% 12.130%

S+22

S+30 S+34 S+42

S+49

S+59

S+120

S+175

N/A

CSFB 2005TFL3 CSFB 2005C6

495 12/15 CSFB

FS

MF

0.0%

0.0%

0.0%

76.5% 0.0% 23.5% 47.500% 5.800% 30.300%

L+20

(1.7 Yrs)

L+28

(1.8 Yrs)

L+35

L+50

L+140

L+230 L+300

N/A

2,505 12/14 CSFB

SM

C

29.0% 29.9% 29.1%

5.8%

3.3%

3.0%

30.000% 4.875% 20.000% 12.875%

23

30 35 42

50

60

120

195

75

1 Deal Type: C=Conduit/Fusion, MF=Multiborrower floater, S=Single Asset/Single Borrower, O=Other; Multifamily% includes manufactured housing/mobile home parks 2 IOs are priced to WAL 100CPR after YM and LO

Issuance summary

This ($ mn) Conduit and Fusion Multiborrow er Floater Single Asset/Single Borrow er Other3 U.S. Total International CRE CDO4 Agency Week 13,855 495 14,349 4,993 Quarter to Date 46,989 7,264 1,838 64 56,156 19,152 2,655 2005 YTD 136,165 18,649 10,359 2,152 167,325 68,882 13,528 3,348 Q3 05 30,332 4,593 3,420 441 38,786 15,836 4,576 974 Q2 05 32,380 2,342 3,983 722 39,427 22,803 3,887 1,035 Q1 05 26,464 4,450 1,117 925 32,956 11,092 2,410 1,339 Q4 04 22,401 3,707 820 1,038 27,966 11,344 346 986 Q3 04 14,420 6,227 900 21,547 7,697 2,134 1,973 2004 Total 73,960 13,094 4,441 1,618 93,113 34,877 4,208 6,220 2003 Total 54,282 15,032 7,612 925 77,851 20,803 2,178 7,983 2002 Total 36,274 11,564 3,424 812 52,074 28,706 8,359 6,850 2001 Total 40,462 10,506 13,586 2,599 67,153 22,714 2,295 4,931 2000 Total 29,795 11,232 4,766 1,100 46,893 12,116 648 1,328

3 Other category includes lease-backed deals, etc. 4 CRE CDO data reflect U.S. and international deals that are composed entirely of CMBS or commercial real estate loans.

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] David Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Rating agency actions

Deal Name BACM 2002-2 BSCMS 1998-C1 COMM 2001-J2 CSFB 2000-C1 FUBOA 2001-C1 FUBOA 2001-C1 GECMC 2002-3 GMACC 2002-C2 GMACC 2002-FL1 JPMC 2000-C10 JPMC 2000-C10 JPMCC 2001-CIBC2 JPMCC 2002-C2 JPMCC 2002-C2 MLMT 2002-FED SBM7 2002-KEY2 Action Date 12/15/05 12/15/05 12/13/05 12/09/05 12/15/05 12/15/05 12/12/05 12/13/05 12/14/05 12/14/05 12/14/05 12/15/05 12/14/05 12/14/05 12/14/05 12/15/05 Classes Affected B,C,D,E,F,G,H,J,K,L,M B,C,D,E B,C,D,E,E-CS,E-IO,F,G, OM-1,OM-2,OM-3 B,C,D,E,F,G,H B,C L,M,N,O,P B,C,D,E,F,G,H,J,K,L B,C,D,E,F,G,H,J,K,L,M F,X B,C,D J,K,L,M B,C,D,E,F,G,H B,C,D,E,F,G SP1,SP2,SP3 B-1,B-2,B-3,B-4,B-5 B,C,D Agency Fitch Fitch S&P S&P Moody's Moody's S&P S&P Moody's Moody's Moody's Fitch S&P S&P S&P Moody's Action Upgrade Upgrade Upgrade Upgrade Upgrade Downgrade Upgrade Upgrade Downgrade Upgrade Downgrade Upgrade Upgrade Downgrade Downgrade Upgrade Old Rating AA,AA-,A+,A,A-,BBB+,BBB, BBB-,BB+,BB,BBAA,A,BBB,BBBAA,A-,BBB+,BBB-,BBB-,BBB-, BBB-,B,BBB,BBB-,BB+ AA,A,A-,BBB,BBB-,BB+,BB Aa2,A1 Ba2,Ba3,B2,Caa1,Caa2 AA,AA-,A,A-,BBB+,BBB,BBB-, BB+,BB,BBAA,AA-,A,A-,BBB+,BBB,BBB-, BB+,BB,BB-,B+ Ba2,Aaa Aa1,A1,A3 Ba3,B2,B3,Caa1 AA,A,A-,BBB,BBB-,BB+,BB AA,AA-,A,A-,BBB,BBBBBB-,BB,BBA,A-,BBB+,BBB,BBBAa2,Aa3,A1 New Rating AA+,AA,AA-,A+,A,A-,BBB+,BBB, BBB-,BB+,BB AAA,AA,BBB+,BBB AAA,AA,A+,A-,A-,A-,BBB+,BB,A,A-, BBB AAA,AAA,AAA,AA-,A-,BBB-,BB+ Aa1,Aa3 Ba3,B1,B3,Caa3,Ca AAA,AAA,AA+,AA,AA-,A,A-,BBB, BBB-,BB AAA,AAA,AAA,AA+,AA,A+,A-, BBB+,BBB-,BB+,BBB3,B3 Aaa,Aa3,A2 B1,B3,Caa2,Ca AAA,AA,A+,BBB+,BBB,BBB-,BB+ AAA,AAA,AA,A+,BBB+,BBB BB-,B,BBBB,BBB-,BB+,BB,BBAa1,Aa2,Aa3

Source: JPMorgan, Commercial Mortgage Alert, Bloomberg, MCM Corporate Watch, CRE Direct, Rating Agencies

21

Alan L. Todd, CFA (1-212) 834-9388 [email protected] Yuriko Iwai, CFA (1-212) 834-9380 [email protected] Dave Zhou (1-212) 834-5302 [email protected]

Global Structured Finance Research CMBS Weekly Report December 16, 2005

Spread databank *

Current Week Spread Statistics 3 Year AAA 5 Year Tight Window AAA 5 Year Wide Window AAA 10 Year Ultra AAA 10 Year Mezzanine AAA 10 Year Junior AAA 10 Year Generic AAA 10 Year AA 10 Year A 10 Year A10 Year BBB+ 10 Year BBB 10 Year BBB3 Year AAA 5 Year Tight Window AAA 5 Year Wide Window AAA 10 Year Ultra AAA 10 Year Mezzanine AAA 10 Year Junior AAA 10 Year Generic AAA 10 Year AA 10 Year A 10 Year A10 Year BBB+ 10 Year BBB 10 Year BBBPAC IO Benchmark Corporate Spreads DJ IG Main 5yr CDX Spread 9 20 23 28 30 39 32 47 58 68 105 125 190 57 72 75 82 84 93 86 101 112 122 159 179 244 75 47 Yield 4.93% 5.11% 5.14% 5.28% 5.30% 5.39% 5.32% 5.47% 5.58% 5.68% 6.05% 6.25% 6.90% 4.93% 5.11% 5.14% 5.28% 5.30% 5.39% 5.32% 5.47% 5.58% 5.68% 6.05% 6.25% 6.90% 5.67% 1 WK 0 (2) (2) (1) (2) (1) (1) 0 0 0 0 5 0 (0) (4) (4) (3) (4) (3) (3) (2) (2) (2) (2) 3 (2) 10 (2) Change 1 MTH (1) (2) (2) (1) (1) 0 (2) 1 1 1 10 20 15 3 2 2 (0) (0) 1 (1) 2 2 2 11 21 16 10 (5) YTD (15) 5 (2) N/A 5 10 4 11 14 14 35 45 68 (11) 14 4 N/A 14 19 15 22 25 25 46 56 79 30 2 Tight 5 10 17 22 18 23 21 28 38 47 65 77 118 46 51 58 65 60 65 62 67 77 88 106 118 159 45 43 3- Year Rolling Avg. Spread Historicals** YTD 129 77 25 (15) (52) (104) (52) (40) 9.20 3.76 5.75 10.00 7.75 7.00 7.50 9.25 12.75 (0.75) (1.00) 13.00 Tight 1.07% 2.02% 3.10% 4.16% 1 9 6 19 17 28 32 29 39 40 40 37 31 50 51 26 12 MTH 11 18 24 26 26 32 40 51 99 54 63 68 72 71 78 85 95 144 56 51 3- Year Trailing Avg. Spread Historicals**

For the week ending December 15, 2005

Current Percentile Rank Wide 0% To 100% 38 4% 27 40% 46 7% 30 75% 32 84% 40 91% 48 52% 61 81% 78 84% 85 83% 130 79% 146 85% 190 99% 91 28% 82 79% 105 59% 86 87% 88 93% 96 96% 106 81% 113 91% 127 87% 134 92% 179 87% 195 94% 246 99% 145 77% 95 10% Current Percentile Rank Wide 0% To 100% 4.46% 97% 4.54% 96% 4.79% 86% 5.50% 28% 158 1% 272 1% 119 1% 107 4% 46 100% 66 81% 72 74% 66 97% 76 77% 81 64% 80 70% 74 89% 66 95% 90 29% 89 28% 56 96% First Data Date Feb-04 May-05 Oct-04 Oct-04 Date of 3-Year Historical Tight Mar-05 Mar-05 Mar-05 Aug-05 Mar-05 Mar-05 Mar-05 Feb-05 Feb-05 Mar-05 Apr-04 Jan-05 Nov-04 Mar-05 Feb-05 Feb-05 Jun-05 Feb-05 Feb-05 Feb-05 Feb-05 Feb-05 Feb-05 Mar-04 Feb-05 Feb-05 May-05 Mar-05 Wide Jan-03 Apr-04 Dec-02 Dec-05 Dec-05 Dec-05 Dec-02 Dec-02 Dec-02 Jan-03 Dec-02 Dec-02 Dec-05 Aug-03 May-04 Aug-03 Dec-05 Dec-05 Dec-05 Aug-03 Aug-03 Dec-02 Jan-03 Dec-02 Dec-02 Dec-05 Dec-02 Apr-03

CMBS Spread to Swaps

Feb-04 May-05 Oct-04 Oct-04

CMBS Spread to Treasuries

Apr-03 First Data Date

Current Week Treasuries and Swaps 2 Year Treasury 5 Year Treasury 10 Year Treasury 30 Year Treasury 2-5s Treasury Curve 2-10s Treasury Curve 5-10s Treasury Curve 10-30s Treasury Curve 2 Year Swap 3 Year Swap 4 Year Swap 5 Year Swap 6 Year Swap 7 Year Swap 8 Year Swap 9 Year Swap 10 Year Swap 15 Year Swap 20 Year Swap 30 Year Swap Z-Score Statistics 3 Year AAA 5 Year Tight Window AAA 5 Year Wide Window AAA 10 Year Ultra AAA 10 Year Mezzanine AAA 10 Year Junior AAA 10 Year AA 10 Year A 10 Year BBB 3 Year AAA 5 Year Tight Window AAA 5 Year Wide Window AAA 10 Year Ultra AAA 10 Year Mezzanine AAA 10 Year Junior AAA 10 Year AA 10 Year A 10 Year BBB PAC IO Benchmark Corporate Spreads DJ IG Main 5yr CDX Spread Yield 4.36% 4.38% 4.47% 4.67% 1 WK 0 2 0 0 1 (0) (1) 0 0.71 (0.49) (1.00) (1.75) (1.50) (1.75) (1.75) (2.00) (1.75) (1.75) (1.75) (1.75) 1 MTH 10 22 25 29 31 39 47 58 115 56 73 76 84 86 94 101 112 170 65 49

Change 1 MTH (0) (1) 1 2 (1) 1 2 1 3.90 3.76 3.75 3.75 3.50 2.75 2.08 1.00 0.50 0.50 0.50 (0.25)

Date of 3-Year Historical Tight Jun-03 Jun-03 Jun-03 Jun-03 Dec-05 Dec-05 Nov-05 Nov-05 May-03 May-03 May-03 May-03 May-03 Feb-05 Jun-05 May-03 May-03 Jun-05 Jun-05 May-03 Wide Nov-05 Nov-05 Jun-04 May-04 Aug-03 Aug-03 Jul-03 Jun-03 Dec-05 Aug-03 Aug-03 Aug-03 Aug-03 Aug-03 Aug-03 Aug-03 Aug-03 Aug-03 Aug-03 Nov-05

``

2 11 9 20 46.45 47.76 49.75 51.75 52.50 52.75 53.25 53.50 54.25 59.50 59.75 52.75

4.83% 4.84% 4.87% 4.90% 4.92% 4.94% 4.96% 4.98% 5.01% 5.11% 5.02% 5.20%

Z-Score*** 6 MTH 12 MTH -0.8 -0.5 0.0 0.5 -1.0 -0.3 0.8 0.8 0.9 1.2 1.1 1.4 1.1 1.0 1.5 1.1 2.1 1.8 1.5 0.8 1.3 3.0 1.2 1.0 1.3 1.8 1.3 1.9 1.4 2.8 1.5 0.9 1.6 0.9 2.6 1.3 10.6 1.0 -1.2 -3.9

Average 3 MTH 6 MTH 10 10 21 20 25 24 28 26 30 28 38 36 46 45 57 56 108 110 55 52 70 66 73 70 78 73 80 75 89 83 96 92 107 103 159 157 65 65 49 51

1 MTH 0.5 1.1 1.1 0.7 0.8 0.5 0.5 0.5 7.9 1.7 2.5 2.5 1.9 2.1 1.9 1.8 1.8 8.6 0.0 1.8

Standard Deviation 6 MTH 3 MTH 0.9 0.7 1.7 1.2 1.1 1.2 2.3 1.3 2.8 1.4 3.2 1.3 1.6 1.4 1.4 1.3 7.4 7.7 2.9 1.9 4.7 3.7 3.9 3.1 6.7 5.2 7.3 5.4 7.5 5.2 5.6 4.5 5.8 4.9 8.7 9.9 1.0 0.0 1.6 4.2

12 MTH 4.9 3.8 2.4 2.3 3.8 5.0 6.5 7.0 14.2 5.7 6.5 5.0 6.5 7.0 8.2 9.6 10.2 16.7 9.7 6.1

* Spread and yield changes are expressed in basis points. ** Calculates percentiles off a trailing 3-year average, unless specified otherwise in the First Data Date column. *** Indicates the number of standard deviations this week's data are from the mean of the applicable period. A positive (negative) Z-score indicates that this week's data are wider (tighter) than the mean 22

CMBS Spread to Treasuries

CMBS Spread to Swaps

Research Distribution

To amend research distribution please contact Kathryn Burfitt, Research Administration, (212) 270-0740, [email protected]

Analyst Certification

The analyst(s) denoted by an "AC" certifies that: (1) all of the views expressed in this research accurately reflect his or her personal views about any and all of the subject securities or issuers; and (2) no part of any of the analyst's compensation was, is, or will be directly or indirectly related to the specific recommendations or views expressed by the analyst(s) in this research. J.P. Morgan Europe Ltd. 125 London Wall London EC2Y 5AJ

Tel. (44 20) 7777-1821

J.P. Morgan Securities Ltd. 60 Victoria Embankment London EC4Y 0JP J.P. Morgan Securities Inc. 270 Park Avenue New York, N.Y. 10017

Tel. (212) 270-0740 Tel. (44 20) 7600-2300

J.P. Morgan Securities (Asia Pacific) Ltd. Chater House, 26/F 8 Connaught Road Central, Hong Kong

Tel. (852) 2800-7000

J.P. Morgan Securities Asia Pte. Ltd. Akasaka Park Building 2-20 Akasaka 5-chome Minato-ku, Tokyo 107-6151, Japan

Tel. (813) 5573-1185

Conflict of Interest: This research contains the views, opinions and recommendations of JPMorgan credit research analysts. Research analysts routinely consult with JPMorgan trading desk personnel in formulating views, opinions and recommendations in preparing research. Trading desks may trade, or have traded, as principal on the basis of the research analyst(s) views and report(s). Therefore, this research may not be independent from the proprietary interests of JPMorgan trading desks which may conflict with your interests. In addition, research analysts receive compensation based, in part, on the quality and accuracy of their analysis, client feedback, trading desk and firm revenues and competitive factors. As a general matter, JPMorgan and/or its affiliates normally make a market and trade as principal in fixed income securities discussed in research reports. Analysts' Compensation: The research analysts responsible for the preparation of this report receive compensation based upon various factors, including the quality and accuracy of research, client feedback, competitive factors and overall firm revenues. The firm's overall revenues include revenues from its investment banking and fixed income business units. Ratings System: JPMorgan uses the following sector/issuer portfolio weightings: Overweight (over the next three months, the recommended risk position is expected to outperform the relevant index, sector, or benchmark), Neutral (over the next three months, the recommended risk position is expected to perform in line with the relevant index, sector, or benchmark), and Underweight (over the next three months, the recommended risk position is expected to underperform the relevant index, sector, or benchmark). JPMorgan uses the following fundamental credit recommendations: Improving (the issuer's credit profile/credit rating likely improves over the next six to twelve months), Stable (the issuer's long-term credit profile/credit rating likely remains the same over the next six to twelve months), Deteriorating (the issuer's long-term credit profile/credit rating likely falls over the next six to twelve months), Defaulting (there is some likelihood that the issuer defaults over the next six to twelve months). Legal Entities: JPMorgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities Inc. is a member of NYSE and SIPC. JPMorgan Chase Bank, N.A. is a member of FDIC and is authorized and regulated in the UK by the Financial Services Authority. J.P. Morgan Futures Inc., is a member of the NFA. J.P. Morgan Securities Ltd. (JPMSL) is a member of the London Stock Exchange and is authorized and regulated by the Financial Services Authority. J.P. Morgan Equities Limited is a member of the Johannesburg Securities Exchange and is regulated by the FSB. J.P. Morgan Securities (Asia Pacific) Limited (CE number AAJ321) is regulated by the Hong Kong Monetary Authority. JPMorgan Chase Bank, N.A., Singapore branch is regulated by the Monetary Authority of Singapore ("MAS"). JPMorgan Securities (Malaysia) Sdn Bhd (18146-X) (formerly known as J.P. Morgan Malaysia Sdn Bhd) is a Participating Organization of Bursa Malaysia Securities Bhd and is licensed as a dealer by the Securities Commission in Malaysia. J.P. Morgan Securities Asia Private Limited is regulated by the MAS and the Financial Services Agency in Japan. J.P. Morgan Australia Limited (ABN 52 002 888 011/AFS Licence No: 238188) (JPMAL) is regulated by ASIC. General: Information has been obtained from sources believed to be reliable but JPMorgan does not warrant its completeness or accuracy except with respect to any disclosures relative to JPMSI and/or its affiliates and the analyst's involvement with the issuer. Opinions and estimates are general in nature and constitute our judgment as at the date of this material and are subject to change without notice. Past performance is not indicative of future results. The investments and strategies discussed here may not be suitable for all investors or any particular class of investors; if you have any doubts you should consult your investment advisor. The investments discussed may fluctuate in price or value. Changes in rates of exchange may have an adverse effect on the value of investments. This material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. 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Korea: This report may have been edited or contributed to from time to time by affiliates of J.P. Morgan Securities (Far East) Ltd, Seoul branch. Revised November 21, 2005 Copyright 2005 JPMorgan Chase & Co. All rights reserved. Additional information available upon request. *JPMSI or an affiliate has managed or co-managed an offering of securities within the past twelve months. ^A senior employee, executive officer, or director of JPMSI and/or its affiliates is a director of the company.

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