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II ! ndustry and CFC Overview - Angelo R. Mozllo, Olainllan and CEO

II Financial Review - Eric P, Sieracki~ alief Financial Officer

II Mortgage Banking Overview ~ Eric P. Sieracki~ Olief Financial Officer

II Banking ~ Jinl Furasb - President & CEO~ Countrywide Bank

II Credit Risk Management - Jobn McMurray~ Chief Credit Officer

II Econonlic Outlook and rvicing Hedge ~ Jeff Speakes~ alief Economist

~ • Capita! Management and Liquidity ~ Jennifer Sandefur~ Treasurer o o I

m g IJ Capita! Markets ~ Grant Couch~ Olief Operating Officer ~ esc; o o ...... w o ...... CD en

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II Mortgage Market Review and Outiook

II Update On The ClSEs

II Servicing Fee Reduction

II Building Business Diversity

II 2010 wals

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.~ Mortgage Debt Outstanding (1)

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1995 1996 1997 1998 1999

(1) Source: Inside Mortgage Rnance

2000 2001

Year Ended

(2) Source: Fannie Mae Economic & Mortgage Market Developments- January 18, 2006

2002 2003 2004 2005

$9.9

2006 Est.(2)

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(dollars in trillions)

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$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0 1995 1996

Source: MBA

$3.8

$2.2

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006E

~. Purchase Volume.\I Non-Purchase Volume <> Average Ten Year Treasury Yield

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Mortgage volunles to be in tbe $2.2 $3.2(1) trillion range:

popu!a.r rate en\/~ronrnent)

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2002 2003

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Prime m Subprime .... y ..

Seconds m Othe{-'

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:AltA

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Non-US investors becoming iarge buyers of US$ MBS(1)

II Rating trends i'lave been positive for severai years

P reported 17,674 RM

beginning of 2005 (2)

credit classes outstanding at the

Moody~s revised its ratings on 457 transactions in 2005 (3)

up~}rades

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~:;ource:

Comparison of the House and Senate Bills' Major Provisions

New Regulator Yes Yes

Portfolio Size Periodic regulatory review Limits per new regulator's criteria

New Programs Regulatory approval Regulatory approval

Af'for'dable housing fund Yes

Requirements Subject to new regulatory guidelines Subject to new regulatory guidelines

: (".l'nfnrlmi~ln Loan Limits Adjustments for high cost areas I\b adjustment

Ii! Fannie Mae Restatement

13

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Historical Average Loan Balance, Servicing Cost and Minimum Servicing Fee in Dollars

180,000 450

160,000 400 ..... "\A-'-' .... c

140,000 350 ~ ..... CU "\A-

10.

'-' 120,000 r 300 '5 ~ .. ,/ .. ' cr c .. ' ........ ~ tU CI

~ 100,000 250 c '0

c '~

.9 80,000 200 CU II)

g ell tU ~ 10.

60,000 150 ~ '~ < CU

II)

40,000 100 .s ~,

'" ,,,

" " ~ 20,000 50

o o 1984 1987 1989 1991 1993 1995 1997 1999 2001 2003

~ Average Loan Balance (LHS) ....•••...... Servicing Fee (RHS)"~'" Cost to Service (RHS)

(1) Cost to service calculated for calendar year for 2003 and 2004. All previous years reflect fiscal year servicing costs

$400

$350

$300

$250

$200

$150

Historical Difference Between Servicing Cost and Minimum Servicing Fee in Dollars

1991 1994 1997 2000 2003

Source: Countrywide Home Loans

15

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Lowering rninimurn required servicing fees to 12,5 bps would:

conslderat1ons aside)

III Rating agencies see change as a credit positive for originators

~rnp(:lct qua~lty ()f' Hquldity

16

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(11 F'isGa! ,:/~::ar ~::nc.~:ad (~:) Flsc;':l! YBar Bnci~:KJ

Mortgage Banking Other Businesses (Capital Markets, Insurance & Global) Banking

F::abruar,:/ 2~1, -1 ~19G F(:;t1ru;:l;·Y' ;28) ;~:OO 1 19

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~

2000

(billions of dollars)

$232

2002 2003 2004 2005

Year Ended

20

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!8! Continued growth IS key to ~ong-term ba~ance of CfC,f's tn~siness mode~

~ Servicing Portfolio

ml····Servicing Revenue

Dec-01(1) Dec-02 Dec-03 Dec-04

$1,111

Dec-OS

21

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en

(C)()i!flrS in rni!!ic)ns)

18 Leverage CHL infrastructure for asset generation and deposit gathering

II Optimize best execution

tar~let rnarket prov1de ~on~1"terrn

opportunit!8S

BaJ1k aGqujn.~(i ~n r.i1ay 200"1 -_. F-or p{::1"10t1 !\,/a~-l to [)E1c{::rn!)t::r 31, Bt~fo:·t~ pro\ ... !s~c:n 1~C::· ~GHn !osse~:;

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Dec~04 Dec~05

~ Interest EXDense •••••• Interest Income

"''''''<l.~''''''"WNet Interest Income(2)

22

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II Production market share of 15,7% (1)

18 Servidng tTlarket share of 12,1% (1)

18 Bank assets of $73 billion

!II Production rnarket share to approach 30%

181 Servicing market share to approach 20%

II Bank assets to approach $250 billion

Production Market Share

Servicing Market Share

_2005

Bank Assets

2010 Goals

",30%

",20%

"'$2508n

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CD

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II 2005 Operational and Financial Highlights

II 2006 Guidance

27

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Consumer 1'»10rtgage

L.em::ilng L.aws

Mortgage Banking Segment Il} Regulator

"Wei! Capitalized"

Countrywide Bank

(1) Functional description for illustrative purposes only; may not match legal description

"

Bank Holding Company

Regulator

Assets ~ $115bn (l)

Equity ~ $13bn

~:t)~~ ~lt§"Y~V§t:~~~

{:~~~:§~t~~~~ ~~1~~~rk~~t§

Capita! Markets Segment (2)

Regulator of subsidiaries

Insuram:;e Segment Assets f2}

(2) As of December 31 , 2005 - For segment balance sheet detail please refer to slide 153 of this presentation 29

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(1) I ncludes production from Countrywide Bank and Capital Markets (2) Market share source: Inside Mortgage Rnance Numbers may not be exact due to rounding

1, O~ 5~:~i~) 1.2~ 1~ ~~tll ~ ___________________________________ J

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~~lt ~';.~-;~: ~~~~"& ~ 4~ ~ 4"'S '$..",..: ~""": ")'-" "",-,,, , ........... ~ ~ ______________________________ "J

Numbers may not be exact due to rounding

t~~"ts .11 ~~5 ~~-:-: ~(~s.~~

31

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....... ,""""""""""""""""""""""""'""""""""""", ... :,."-""""" ....... ,""""""', ... """"', .................................... , l l

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2000 Pre-tax Earnings (1)

$586 Million in Earnings

(1) - 12 months ended February 28, 2001 Numbers may not be exact due to rounding

.~. Mortgage Banking

~ Banking

•••••••• capital Markets

.~. Insurance

., Global & Other

2005 Pre-tax Earnings

$4.1 Billion in Earnings

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CFC Consolidated Earnings

Market

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IIlIl Financial view

ma industry Topics Fair \IE~JueAccount~nQ fc)t"

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BAC-FCIC-E-0000730835

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m » o I

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m I o o o o ...... w o 00 w en

(cic)!iars

2000 2001

~ Purchase

$491

2002 2003 2004 2005

Year Ended

m Refinance

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m » o I

"T1 o o I

m I o o o o ...... w o 00 w ......

2000 2001 2002 2003 2004

Year Ended

16,641 857

2005 2000 2001 2002 2003 2004 2005

Year Ended

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]:~]§t§t~~t§~)~] * B~~~§~)r§§ S~~~~~e ~lts§~~t {:~s&l~~~l*-~ ,, .................................................................................................................................................................................................................................................................................................................................................................................................................................... , .................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................................... :,;..: ................................... "

747

:7

£t,~)~~::.~ s.~5t~$b .~~~~~~~~~~~~~~~~~~~~:~~~:~~~:~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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m » o I

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Market share source:

2000 2001 2002 2003 2004 2005

Year Ended

~ Servicing Portfolio<> Market Share

/ nside Mortgage Rnance 45

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m » o I

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m I o o o o ...... w g 46 ~ o

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2000* 2001 2002 2003 2004 2005

Year Ended

~. MSR Cap Rate MSR Multiph;~

* MSR cap rate and multiple as of November 30, 2000; Multiple is the MSR cap rate divided by the weighted average servicing fee for the entire servicing portfolio 47

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m » o I

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m » o I

"T1 o o I

m I o o o o ...... w o 00 ~ w

Ti'le FASB issued an exposure draft to anow companies to eiect accounting for MSRs on a fair value basis (FA&156)

()ne t~tne vo1untElf')/ e!ection

Ii if adopted by Countrywide~ would be applied retroactively to January 1, 2006

underlyinQ VEtlUe

(1) As of December 31, 2005

o o ::J -c: CD ::J !:!': Q)


m » o I

"T1 o o I

m I o o o o ...... w o 00 ~ ~

(c.1C)! !(3rS

$5

$4

$3

ifI $2 c:

(}

00 1A- $1

$0

($1)

($2) 2000(1) 2001 (2)

~ Net Production .& Servicing

(1) For the fiscal year ended February 28, 2001 (2) For the ten months ended December 2001

145

125

105

85

65 00

45 0. .Q

25

5

-15

~35

~55

2002 2003 2004 2005

Year Ended

.......... Servicing Margin

50

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m » o I

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m I o o o o ...... w o 00 ~ 0'1

51

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m I o o o o ...... w o 00 ~ en

52

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m I o o o o ...... w o 00 ~ ......

./\\./()r~ltl~S ~1JlrlL~~1~ ~:i()~){)~;~t ~)r()(~L~C:t~()r1 ()f ~~·1 t)t)~,,"'1 ~)(0r f~rl~1Jl(;~~1J (;~}rltt~}r \l~:~ .. ~rlC~L~~:;try' [~\,,·'~}r[~·~1f0 ()f ~~~)" 7~f\/~ {":)

53

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(''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''""""""j

I • Management Team I l""""""""""""""""""""""',, .................................................................. ,,)

•. financia~ Performance

54

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m » o I

"T1 o o I

m I o o o o ...... w o 00 ~ CD

55

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m » o I

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m I o o o o ...... w o 00 0'1 o

Countrywide Home loans

FHLMC, FNMA, OTS

Great Western Bank, FSB

mwv A Capital Co!'porat~on Glendale Federal Bank

It~nLti~l~~htn~~l_~~~f:J~!~§~~§~~L~~~lt~~~_J}J~~ Bank of Amer~ca

Chevy Chase Bank

Countrywide Home loans

Citigroup Associates F~rst Capita! Corp

Wells Fargo Bank, NA

First Federal Bank of California Wells Fargo Bank, NA

Union Bank of California

Countrywide Home Loans CiUbank, NA

Washington Mutua! Bank

Guaranty Bank

Capital One, McKinsey &. Co,

Bank of America

Washington Mutua! Bank

PriceWaterhouseCoopers

KPMG Bank of America

Bank of America

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m » o I

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• Management Team

("""""""""""""""""""""""''''''''''''''''''''''''''''''''''''''''''''''''''''''''''"""""'1

I •. financia~ Performance I l",-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-,-~,-,-,-,-,-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-'-,'-,.)

57

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m » o I

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$51.1 $41.0

Countrywide Bank Balance Sheet (dollars in billions)

$71.0 $73.0 78% growth rate

Other Assets

•• Investments

•• Loans Held for Invesment, Net

Period Ended

•• Deposits

Borrowings

Other Liabilities

Shareholders Equity

58

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m » o I

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m I o o o o ...... w o 00 0'1 W

$0.5

2001* 2002

Pre-tax Earnings (1)

(dollars in millions)

2003

Year Ended 2004

$1,017

2005

59

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Confidential Treatment Requested BAC-FCIC-E-00007308S4

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m » o I

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m I o o o o ...... w o 00 0'1 0'1

61

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m » o I

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m I o o o o ...... w o 00 0'1 en

!8 Strengthens fundmng and lJquh:Hty (StabHity and Security)

• Enhances Mortgage Market Dominance

• Grows Tang~b~e Ba~ance Sheet (reduces significance of MSR Asset)

62

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m » o I

"T1 o o I

m I o o o o ...... w o 00 0'1 ......

Origination Channels

63

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m » o I

"T1 o o I

m I o o o o ...... w o 00 0'1 00

• Management Team


~.,.~ ................................................................................................................. '\

I 19· funding and liquidity I \""""""""""""""""""""""''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''"""", .. )

64

o o ::J -c: CD ::J !:!': Q)


m » o I

"T1 o o I

m I o o o o ...... w o 00 0'1 CD

65

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m » o I

"T1 o o I

m I o o o o ...... w o 00 en o

Continuing to roUout ~ commercia~ product suite !9 Growing escrow b~~ances driven by CfCfs ~oan servicing portfoUo

Deposit Portfolio (dollars in billions)

~' ,'W 720/0 CAGR ~ ~ $60 ,. ,. ,.

m: Consumer Deposits (1) ~ :-:-:-: .. ~ ::::::: Commercial DeposITs ~ $40 ,. m: Escrow Funds ~

~ ,. ,. ,. ---" $20

Dec-04 Dec-OS Dec-06E

66

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m » o I

"T1 o o I

m I o o o o ...... w o 00 en ....Jo.

!9 Presence in only 27 rnarkets and 1 OO/~ of C..ountrywide retail mortgage offices

II Targeting the !argest and fastest growing segrnent of the deposit rnarket ~ CDs and Savi ngs deposits

!9 The deposit !eve! of our typical FC surpasses that of a rnature j traditional industry average bank branch in just over one year) and exceeds $300 rninion within four years

• Future FC expansion vvUi help drive aAD branch growth in nevv marketsj resulting in increased efficiency for CFC

Average Balances of Fe locations over Time

(dollars in millions) 308 6,000

Industry Deposit Balances (dollars in billions)

~ Time & Savings: CAffi=6.6%

•••••• Checkable Deposits: CAGR= 6.1 % . ,.~. m •... ~ .~. m IIII

5,000

0-6 6-12 12-18 18-24 24-30 30-36 36+ Months Open

'* ~,*rilltllllllill 4,000

3,000

2,000

1,000

0 "<j" LO c.o f"- ro 0) 0 0 C\J C') "<j" "<j" "<j" "<j" LO LO 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 ,- ,- ,- ,- ,- ,- C\J C\J C\J C\J C\J C\J C\J C\J C\J C\J

* Source: Federal Reserve Flow of Funds a ~ 8 a a ~ 67

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m » o I

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!8 Focused on large j scalable market opportunities vvhere the Bank has a cornpetitive

advantage

!8 The Bank currently holds 1031 balances from Title and Escrow cOfllpaniesl vvhich are

stable and will continue to grovv as this business !11atures

• The Bank is developing back office processing infrastructure to provide expanded

products and services to Title and Escrovv companies, CHL, and other industries in

order to attract low-cost operating deposits

68

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m » o I

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m I o o o o ...... w o 00 en w

18 The Bank is a rnember of the FHLB-Atlanta and is authorized to borrovv up to 50{Kl of total assets from the FHLB

18 As of Dec 31 j approxirnately 50C;~ of advances are fixed rate

18 Future Capital Markets borrovvings v1Im indude FHLB Advances and Repos

18 Capital rnarkets borrovvings1 in the form of repurchase agreernents and Fed Fundsj

are used in part to srnooth intra-I'nonth volatility associated vvlth escrow balances

R,epos ljS~~ti rS) S~110t1trl ()lJt e$(:f"()"t:\~

tla~&":)~~ce V()~&lti~~ty

1,400,000

1,200,000

1,000,000

800,000

600,000

400,000

200,000

Time

I [] P&I ~ Repo I

69

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m » o I

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C::ep ana!ysis shows assets and liabilities to be also weI! !'natched in the + /-1 OObps scenariosl indicator of the Bank's ability to perforrn weI! in a wide range of interest rate environrnents

Asset I Liability Duration Matching(1

)

(dollars in billions)

60

50 40

30

20 10

0 <lYr 1-3Yr

Maturity Data as of 12/31/05. Percentages of total assets/liabilities

~ Assets ~ Lia bilities

>3Yr

70

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m » o I

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• Management Team


("""""""""""""""""""""""""""""""""""""""""""""""""""""""""1

I !8 Portfo~ mo Strategy I l ... """""""""""""""""""""""""","""""""""""""""""""""""""""""',.,)

71

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m » o I

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118

118

Bank assets are dorninated by ITlortgage loans originated through CHL

Mortgage assets enjoy deep) liquid secondary nlarkets>

118 Credit risk of residential mortgages IS lovv relative to other asset classes.

Bank focus is on areas of core cornpetencies

Loa n Portfolio

~ Fixed Rate (1st & 2nd)

"~Hybrids & Other ARMs

~ Pay-Option ARMs

~ HELOCs

$0.04 $1.9

Dec-01 Dec-02 Dec-03 Period Ended

$63.4

Dec-04 Dec-OS

~:Se~~~)~i E~~(~etl [)~C~ 3~~l 2{}t15 1""""""""""""""'T"6;:~~~~~~i""""""""""""""""T""""60'~~"""""]

,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,J,,,~,~~,~~~:~,,,l,,,,,,,,~,E~:~:,,,,,,,,L"""~~~~S~"""J"""~:;;,~!~;~;,,,,J ~ ~,~~~ ~ .. ~~'~~ ~ ~ ~~ .. ~ ~ ~ "7"7{S,,~,,~ 71 "'1 ~ t~ ~~ i ~l:~"~ ~:..:: ~;s..:""~:,,% ... .}~,,,.. :~.. ...:& ... :s..1\~ .... ': ~!~ ,''\§: ~ ". .... "".~ ~ ~~s't, .. "',,",, .' '-~~

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Comparison First 5 Years: 90% LTV 30yr Fixed vs. 78% LTV PayOption (minimum payment)

10 20 30 40 50 60 Months

""""""'" MTA PayOption wi 3% Margin (MTA=3.618% , CMT =4.35%)

30yr Fix (Noterate=6.75%)

96

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Conforming Delinquency By Loan Type 1.0%

(1) -co 0::: ~ 0 r::::

0.5% (1)

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C

0.0%

2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

Age By Month

,~~~~~~~~~, CONF FRM - Fully Amortizing (70%, 723) ~"""'w CONF ARM - Fully Amortizing (74%, 722)

"""'"'' CONF ARM Interest-Only (72%, 724)

Loan Type (LTV, FICO) gO-day ever MBA delinquency as a percentage of original principal balance for vintages >= 2003 (Data as of Dec-05)

97

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Nonconforming Delinquency By Loan Type

2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

Age By Month

~~~~~~~~~~~v NC FRM - Fully Amortizing (73%, 720) ~~~~~~~~~~~~, NC ARM - Fully Amortizing (74%, 725)

~~~~~~~~~~~~, NC ARM Interest-Only (75%,726) - PayOption ARM (75%,711)

Loan Type (LTV, FICO) gO-day ever MBA delinquency as a percentage of original principal balance for vintages >= 2003 (Data as of Dec-05)

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Non-Prime Delinquency By Loan Type

10.00/0

9.00/0

8.00/0

7.00/0

6.00/0

5.00/0

4.00/0

3.00/0

2.00/0

1.00/0

0.00/0

2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18

Age By Month ,~~~~~~~~~~~~, FRM Fully Amortizing (750/0, 618) """""~'" ARM Fully Amortizing (810/0, 603)

""""~"'" ARM Interest-Only (820/0, 639)

Loan Type (LTV, FICO)

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100

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101

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102

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103

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104

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Headline CPI % Change - Year to Year

Headl! ne peE \Y", Change - Year to Year

8~----------------------------------------------------~8

6 6

4 4

2 2

0 0 I I I I I I I I

90 95 00 05 Sources: BLS, BEA IHaver 02116/06

105

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Spot Oil Price: West Texas intermediate

% Change ~ Year to Year

150~------------------------------------------------------~i50

100 iOO

50 50

o 0

~50 ~50 "1"1 "1"1"1' '1"1 "I" 1"1' '1"1 "I" 1"1' '1"1 "I" 1"1' '1"1 "1"1"1' '1"1 "I" 1"1' '1"1 "I" 1"1' '1"1 "I" 1"1'

96 97 98 99 00 01 02 03 04 05 Source: Wall Street Journal IHaver Analytics 02/16/06

106

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Core CPI % Change - Year to Year

Core peE % Change ~ Year to Year

~----------------------------------------------------~6

5 5

4 4

3

2 2

0T-~--r-~~~~~-r~~~-r~--~~~--r-~~--r-~-T0 I I I I I I I I 90 95 00 05

Sources: BLS, BEA IHaver 02116/06

101

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Feder al Funds Rate

Feder a! Funds Rate 18- rna nth Mav! ngA ver age

8~-----------------------------------------------------------L8

6 6

4 4

2 2

o o 96

Source: Federal Reserve Board IHaver Analytics 02/16/06

108

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120/0

90/0

60/0

30/0

00/0

-30/0 1979 1980 1981

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70 75

10-Year Treasury Note Yield "/0 po8.

Federal Funds Rate

80 85 90 Source: Federal Reserve Board IHaver Analytics

95 00 05

02/16/06

110

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i0-Year Treasury Note Yield at Constant Maturity

"lop.a .

16~----------------------------------------------------~16

12 12

8 8

4

o o 55 60 65 70 75 80 85 90 95 00 05

Source: Federal Reserve Board IHaver Analytics 02122106

111

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Housing Starts: 1 Unit

SAAR, Theus, Units

2000~------------

1750

1500

1250

1000

750

500

90 95 Source: Census Bureau IHaver Analytics

00

------------"'L. 2000

as 02/16/06

i750

1500

1250

1000

750

500

112

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r:::: CD en -CD a.

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600

500

400

300

200

100

o 1975 1978 1981

Inventory of New Homes

1984 1987 1990

Year

1993 1996 1999 2002 2005

113

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MBA Purchase App!ications

SA, Mar-i 6-90",1 00

550~-----------------------------------------------------------L550

500 500

450 450

400 400

350 350

300 300

250 250

Source: Mortgage Bankers Association IHaver Analytics 02/16/06

114

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Composite Housing Affordabillty Index

Median inc:::QuaHfying Inc",100

150~--------------------------------------------------------~150

140

130

120

110

100

90 I I

90 I I

95 I I

00 Source: National Association of Realtors IHaver Analytics

140

130

120

110

100

90

02/16/06

115

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o

House Price Index! United States t:l/o Change ~ Year to Year

Disposable Persona~ ~ncome % Change ~ Year to Year

1500~--------------------------------------------------~ 15.0

12.5

10.0

705 7.5

5.0 5.0

2.5

0.0 0.0 lad lasl Igd lod 1051

Sources: OFHEO, BEA IHaver 02116/06

116

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Household Growth

Ownership Growth

Price Appreciation

LTV Growth

Single-family mortgage debt growth

Actual

1993-2003

Ten Year Growth Rates

Housing Alliance Forecast*

8.250/0

CFC Forecast

*The Housing Alliance is a consortium of Fannie Mae, NAR, Freddie Mac, NAHB, and the

Independent Community Bankers of America

111

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18 Slower but still solid real growth

18 Contained inflation

18 Fed pauses by mid-year

18 Fed bias towards ease by year-end

• Slowdown in housing

• Home price appreciation in low single digits

• Mortgage originations down about 20~/o

118

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W

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MSR Valuation

Servicing Hedge

121

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en 122

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• Contractual Cash Flows

• Proprietary Prepayment Model

• OAS Methodology

• Calibration to ! ndicators of Market Value

123

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00

Each quarter the mode! is calibrated to indicators of market value

These indicators include

II Table of impli OAS is obtained using CFC model applied to each indicator of market value

II Weights applied to determine if change in overall OAS is required

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II Take into account production econol'l1ics

II Supplement Macro Hedge in protecting the value of MSRs

II Mininlize earnings volatility

II Manage hedge cost

128

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III An acceptable risk tolerance profile:

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lIJ ALCD reviews and sets ongoing para~l1eters for hedging process

Ii Hedge &Jbcommittee (subcommittee of ALCD) tlleets daily

Ii Estimates M value across shocks in interest rates and other risk factors (rate volatility~ spreads~ yield curve shape)

lIJ Establishes and maintains hedge position which provides desired degree of coverage while constraining the cost of the hedge

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II Cotllpliance witb Board~approved limits

III Actual hedge gain/loss compared to predicted gainlloss

III Actual hedge gain/loss conlpared to MSR impairment/recovery

133

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18 Minirnum servicing fee

18 Fair value accounting

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II Ratings and Capital Manage~llent

18 Liquidity Management Overview

II Summary

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III 9Jbstantial liquidity cushion exists to fund current operations and future growH'l

II Adequate funding diversity maintained at all times

III Asset funded in accordance to their with their liquidity profile

III Continuing to expand investor base and build liquidity for future growth

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II1II CO\!1! nternational, Ltd. (CO\!1I) and Countrywide Capital Markets Asia, ltd, (CO\!1A)

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II Credit risk limits approved by Credit OJmmittee at counterparty level

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II Balanced business rnodel strategically designed to perform across a variety of interest rate environments

III Focused production strategies in place to drive future market share growth

~ Bra,nch Etnd sa~es h:Yce expz)Jlsion

~ Jolnt ventures and opportun1sUc Nl&J\

III ~rvicing portfolio of $1 < 1 Trillion is well positioned for a rising rate environnlent

II ())untrywide Bank!s ability to leverage CHL5s existing infrastructure further diversifies the company!s revenue nlix and enhances liquidity

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II Operating perfonllance across ail businesses re~llains strong

II liquidity and alternate liquidity have strengtbened as nlarkets bave evolved and matured

II Our prirne-quality mortgage portfolio continues to perform wel!~ with low deiinquencies and charge-offs tbat are in-line witb expected seasoning

II Disciplined capita! management at both tbe business level and on a consolidated basis

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documatrix print job for 'fciccmorain' (part 1)

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