jpm_mbs_credit_monthly___2011-06-03_605013

SPG Research US Fixed Income Strategy J.P. Morgan Securities LLC June 3, 2011

MBS Credit Monthly • Credit Commentary

• Performance Summary Charts & Projections

− Credit Index Remittance Data 1 − Credit Index Modification Summary 2 − Cohort Snapshot by Product Type and Vintage 4 − Historical Roll Rates to Liquidation 6 − Loss Projections by Cohort 7 − HPI Model Scenario Assumptions 8 − Default Attribution 9 − Prepay Attribution by WAC 11 − Prepay Attribution by Cur CTLV 13 − Affordability and Shadow Inventory Concentration 15 − Shadow Inventory and Projections 16 − Universe Breakout 17

• Trends By Sector (Formerly SOS)

− Underwater Loans and Expected Defaults 22 − Negative Equity 23 − Roll to Delinquent and Unemployment by CLTV 24 − CPR/CDR/Severity 25 − Delinquencies 28 − Servicer Advancing 29 − Liquidation timeline 30 − Home Equity 32 − Roll Rates: Borrower (Always Current) & Lender 33 − Transition Matrices 35 − Delinquency by CLTV 42

• Liquidation Timeline and Performance Quality Ranking

− By Servicer 43 − By Shelf 44 − Pipeline Age and Timeline Extension 45 − Timeline Extension by Servicer 46

• Loan Modification Report

− Modification Summary 47 − Historical Series 48 − Re-default Summary 49 − HAMP Report 50

• ARM Reset Analysis

− Projected Balance and Payments 51

• Ratings Analysis

− Distribution of Originally AAA Bonds 52

• Performance Charts by Shelf and Vintage

− Historical Charts by Product Type and Vintage 53 − 2007 Shelf Summary 57 − 2006 Shelf Summary 64 − 2005 Shelf Summary 71 − 2004 Shelf Summary 78

Matthew JozoffAC (212) 834-3121 [email protected]

John Sim (212) 834-3124 [email protected]

Asif Sheikh (212) 834-5338 [email protected]

Robert Saltarelli (212) 622-4569 [email protected]

Kaustub Samant (212) 834-5444 [email protected]

Securitized Products Weekly US Fixed Income Strategy June 3, 2011

John SimAC (1-212) 834-3124 Abhishek Mistry (1-212) 834-4662 Asif Sheikh (1-212) 834-5338 Kaustub Samant (1-212) 834-5444

AC Indicates certifying analyst. See last page for analyst certification and important disclosures. 1

Non-agency RMBS Commentary

• Weaker credits have now fully retraced to levels from a year ago, while prime assets have held up much better

• The initial catalyst was Maiden Lane II and other bank selling. However, weaker home prices and other risks (stop advance policies, modifications and rising severities) are also behind the repricing of the distressed floater market

• Our bias has been to hold prime and Alt-A fixed-rate paper and we maintain that view. We expect weaker credit floaters (subprime and Alt-A) to continue to cheapen

• Overall, option ARMs are likely to be pulled lower as well, but we do find select opportunities given the cheapening of the sector

• We revise our base case home price forecast, largely based on existing home sales coming in lower than expected

• Our new base case is down 5% from here (Q1 2011) and bottoming in mid-2012. We expect home prices to modestly improve over the summer months

• As we’ve discussed over the past several months, there are increasing risks to the downside in home prices as the supply/demand imbalance puts further pressure on home prices. However, regional divergence is expected to magnify

Market commentary

The credit curve continues to steepen as weaker credits underperform. We have watched 9 months of gains in ABX.07-2.PENAAA wash away in the past 3 months (Exhibit 1). Our bias has been to hold prime and Alt-A fixed-rate paper and we maintain that view. We expect weaker credit floaters (subprime and Alt-A) to continue to cheapen. Overall, option ARMs are likely to be pulled lower as well, but we do see select opportunities given the cheapening of the sector.

The subprime market is particularly challenged. Not only are liquidations from Maiden Lane II pressuring the market, but other U.S and European bank selling is also emerging. Note that Dexia bank is planning to sell U.S. MBS from their legacy financial products portfolio. Roughly $8.6 billion (current face) are subprime and Alt-A floaters. In addition to the selling, more investors are pricing in stop advances, modifications and the potential for higher severities. We recommend waiting for better opportunities in subprime.

Exhibit 2: The supply/demand imbalance continues to pressure home prices Shadow Inventory, housing inventory and existing home sales (millions)

0123456789

Sep-02 Jan-04 May-05 Sep-06 Jan-08 May-09 Sep-10

Shadown inventory (mils.)Housing inventory (mils.)Existing home sales (mils.)

Note: as of 11Q1 Source: J.P. Morgan, Case/Shiller

Exhibit 1: Weaker credits have retraced to levels from a year ago, while prime mortgages have only marginally declined Synthetic prices normalized to June 1st, 2010

90%

95%

100%

105%

110%

115%

120%

125%

Jun-10 Aug-10 Oct-10 Dec-10 Feb-11 Apr-11 Jun-11

PrimeX.FRM.1ABX.07-2.PENAAA

Source: J.P. Morgan, Markit




Home price forecast revised lower, rolling downside risk remains

The most recent Case/Shiller national index for Q1 2011 hit 125, breaking through a new low and reaching our base case forecast. We expected a peak-through of -34% by mid-2011; this was realized a quarter sooner than we originally projected. We have been warning of risks to the downside for the past 6 months. Our original forecast was based on the belief that existing home sales would average 5.5 million in 2011. Actual sales, however, appear to be averaging closer to 5mm. The delicate supply/demand balance will continue to be challenging for the remainder of this year and into 2012.

Consequently, we revise our base case home price forecast to a new peak-to-trough of -37% (or another 4% decline from Q1 2011), bottoming in mid-2012. See Exhibit 3, for an early indication. We will incorporate these changes into our daily PrimeX/ABX analytics and Credit monthly.

Rolling downside risk remains. As mentioned earlier, the main reason for our downward revision to our home price forecast is weak demand (i.e. existing home sales coming in weaker than expected). Comparing housing inventory (supply) and existing home sales (demand), we can see that not only is the pace of demand important but so is the conversion of shadow inventory into real inventory (Exhibit 2). Net demand (existing home sales minus housing supply) will be a key factor driving near-term home prices and we caution that downside risks still remain if existing home sales continue to decline or the pace of distressed sales (liquidations from the shadow inventory) increase. We expect net demand to linger near 1 million in 2011 (roughly 5 million EHS and 4 million housing inventory), and creep higher in 2012. If this holds, then we believe that our base case forecast is reasonable. However, we can see that if net demand comes in less than expected then home prices can decline more (Exhibit 4 and 5).

Regional divergence is expected to magnify with distressed sales pressuring home prices. For example, in the latest CoreLogic report, home prices in New York and Texas (ex-distressed sales) were both up roughly 2.5% yoy. Contrast this with Arizona and Nevada (including distressed sales) both being down just over

11% yoy.

Exhibit 4: Net demand is expected to be around 1 million 2011 Net demand (EHS – housing supply) and national Case/Shiller hpi

110

130

150

170

190

210

0

1

2

3

4

5

Mar-00 Jul-01Nov-02Mar-04 Jul-05Nov-06Mar-08 Jul-09Nov-10Mar-12

Net demand (mils; left) CS HPI (right)

Note: as of 11Q1 Source: J.P. Morgan, Case/Shiller, NAR Exhibit 5: Net demand will continue to pressure home prices Net housing demand regressed against yoy(%) hpa

y = 0.0714x - 0.1661R² = 0.858

-25%-20%-15%-10%

-5%0%5%

10%15%20%

0 1 2 3 4 5

%YO

Y H

PA

Net housing demand (EHS-Inv), mils.

Source: J.P. Morgan, Case/Shiller, NAR

Exhibit 3: Revised home price forecast – down another 4-5% by 2012 Preliminary home price forecasts

ScenarioPeak to Trough

Peak to Current

Current to Trough

2011HPA

2012HPA

EHS 2011p

EHS 2012p

Benign -35.0% -34.0% -1.5% -5.3% 2.0% 5.37 5.92Base -36.8% -34.0% -4.3% -7.5% 0.5% 5.00 5.64

Negativ e -38.8% -34.0% -7.3% -9.9% -1.2% 4.60 5.36Sev ere -40.7% -34.0% -10.2% -11.4% -2.8% 4.17 4.61

Depression -43.1% -34.0% -13.8% -13.1% -4.9% 4.00 4.50 Note: as of 11Q1 Source: J.P. Morgan, Case/Shiller, NAR




Subprime repricing is justified, we still find value in prime and select option ARMs

The downside risk to yield is greater for weaker credits. Often the stated loss adjusted yield has additional downside risks that investors are increasingly pricing in. For example, we run a sample subprime bond using a basic, but reasonable, scenario that results in 80% expected defaults. The starting loss adjusted yield is 10%. However, P&I advances have only been running at 50% or lower for this bond. Total delinquent loans are roughly 50%, so we assume that this will hold going forward and the yield drops to 7.75%. We also assume that 50% of the remaining loans will be modified or there will be an effective WAC drift of 100bp. This knocks the yield down to 6.15%. Now we assume that severities pick up from 80% to 85%, which is not at all unreasonable given the continued decline in home prices. This brings the risk adjusted yield to 5% or half of the original stated yield.

If we assume that investors are willing to accept a 7% risk adjusted yield (accounting for all of the adjustments mentioned) then this suggests that the bond would need to be priced at $32 rather than $37 (a $5 point correction). While we only focused on LCF subprime in this example, similar results were found for PENAAA.

Carrying similar logic into other sectors, we find that SSr option ARMs can offer value at current levels. Of course, severity plays a significant role in the valuation of option ARMs, just like subprime, but we argue that it is much easier to find bonds where severities are expected to run at or lower than 70% (fast liquidating servicers, high loan balance loans, etc…). In our example, the stated loss adjusted yield declines from 9.5% to 7%. Therefore, if investors pricing in the adjustments and are ok with a 7% yield then no further price correction is warranted. Of course, there will be bonds where the expected severity could be higher (or lower). The servicer and loan balance are key factors to consider.

Our last example, is a 2007 vintage prime 30-year 6% pass-through priced at $90 with a 5.25% loss adjusted yield. Assuming a modest modification scenario and higher severities, the risk adjusted yield drops to 4.6%. Prices could be pushed a little lower, on the heels of

pressure from weaker credits, but only marginally. Prime bonds with attractive carry have REIT sponsorship as levered ROE hover in the mid-to-high teens. The risk is if severities rise to 60%; however, we think that is unlikely given current severities are running in the mid-40s. Regardless, the risk adjusted yield at 60% severity is 4.125%.

Exhibit 6: Subprime repricing is justified, option ARMs and Prime should fare better Subprime Example

Price Yield DMCMLTI 2007-AMC3 A2D $37(Starting Yield) => 10.00% 750(50% P&I Advance, 50% DQ) => 7.75% 520(200bp Mod, 50% loans) => 6.15% 360(85% Severity) => 5.00% 240

Starting Yield Assumptions10CDR ramping to 15CDR in 12m, 15CDR tail2 CPR, 80% Severity (Expected Defaults: 80%)Price @ 7% risk adjusted yield (450 DM) is $32Modified Duration is 5.5yrs

Option ARM ExamplePrice Yield DM

CWALT 2007-OA2 1A1 $52(Starting Yield) => 9.50% 700(90% P&I Advance, 50% DQ) => 9.00% 650(200bp Mod, 25% loans) => 8.50% 600(70% Severity) => 7.00% 450

Starting Yield Assumptions10CDR ramping to 15CDR in 12m, 15CDR tail1 CPR, 65% Severity (Expected Defaults: 80%)Price @ 7% risk adjusted yield (450 DM) is $52Modified Duration is 4.5yrs

Prime ExamplePrice Yield

JPMMT 2007-S3 1A35 $90(Starting Yield) => 5.25%(200bp Mod, 12% loans) => 5.00%(55% Severity) => 4.60%

Starting Yield Assumptions4CDR ramping to 8CDR in 12m, 8CDR tail8 CPR, 50% Severity (Expected Defaults 40%)Price @ 5.0% risk adjusted yield is $88.5Modified Duration is 4.5yrs

Source: J.P. Morgan

Securitized Products Weekly US Fixed Income Strategy New York, June 3, 2011

AC Indicates certifying analyst. See last page for analyst certification and important disclosures.

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Securitized Products Weekly US Fixed Income Strategy New York, June 3, 2011

AC Indicates certifying analyst. See last page for analyst certification and important disclosures.

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Overweight Neutral Underweight (buy) (hold) (sell)

JPM Global Equity Research Coverage 42% 40% 18%

IB clients* 44% 47% 37%

JPMSI Equity Research Coverage 38% 47% 15% IB clients* 62% 57% 47%

*Percentage of investment banking clients in each rating category. For purposes only of NASD/NYSE ratings distribution rules, our Overweight rating falls into a buy rating category; our Neutral rating falls into a hold rating category; and our Underweight rating falls into a sell rating category.

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Copyright 2010 JPMorgan Chase & Co. All rights reserved.

SPG ResearchUS Fixed Income StrategyJ.P. Morgan Securities LLCJune 3, 2011

Credit Index Remittance Data

May Apr 1M Change

60+ 1M Vol 1M Loss Cum New 60+ 1M Vol 1M Loss Cum New 60+ 1M Vol 1M Loss Cum NewIndex Series DLQ CPR CDR Sev Loss DLQ DLQ CPR CDR Sev Loss DLQ DLQ CPR CDR Sev Loss DLQ

PrimeX.FRM 1 6.87 13.1 2.8 44.9 1.25 0.27 6.80 14.6 3.6 45.1 1.19 -0.03 0.07 -1.6 -0.9 -0.3 0.06 0.302 12.51 13.8 6.7 49.9 2.90 0.42 12.45 13.6 4.7 44.7 2.76 0.19 0.06 0.1 2.0 5.2 0.15 0.23

PrimeX.ARM 1 11.23 11.4 4.0 44.3 1.88 0.31 11.34 12.7 4.8 42.2 1.81 -0.21 -0.11 -1.3 -0.8 2.1 0.07 0.532 16.30 10.6 8.4 41.0 4.32 0.64 16.36 15.4 8.0 47.9 4.18 0.20 -0.07 -4.8 0.3 -6.9 0.15 0.44

Prime ALL 11.73 12.2 5.4 45.0 2.59 0.41 11.74 14.1 5.3 45.0 2.48 0.04 -0.01 -1.9 0.2 0.0 0.10 0.37

AltA.Fixed.OC 06-2 28.62 4.5 7.5 64.0 9.99 0.18 28.82 4.9 10.5 62.9 9.81 -0.28 -0.20 -0.4 -3.0 1.2 0.19 0.4607-1 29.39 3.4 9.9 65.9 10.23 0.50 29.83 3.5 12.9 62.2 9.96 -0.80 -0.43 -0.1 -3.0 3.7 0.27 1.3007-2 28.56 3.8 11.4 68.4 11.33 0.32 29.07 4.2 10.1 66.4 10.94 -0.66 -0.50 -0.3 1.3 2.0 0.39 0.98

AltA.Fixed.SS 06-1 20.72 4.6 5.4 64.5 4.70 0.36 20.79 5.2 6.6 60.5 4.53 -0.28 -0.06 -0.6 -1.2 4.0 0.17 0.6406-2 23.48 4.4 8.2 65.8 7.88 0.50 23.72 6.2 8.4 62.1 7.64 -0.62 -0.24 -1.7 -0.2 3.7 0.23 1.1207-1 28.43 3.9 7.3 59.2 8.74 0.72 28.68 4.6 10.7 57.8 8.53 -0.70 -0.24 -0.8 -3.4 1.5 0.20 1.42

07-2 24.61 5.1 7.1 61.9 7.58 0.33 25.02 6.6 8.4 59.0 7.31 -0.96 -0.41 -1.6 -1.3 2.9 0.27 1.29

AltA.ARM.OC 06-1 24.37 1.5 9.7 57.9 9.65 0.35 24.75 2.2 12.2 55.8 9.48 -0.13 -0.38 -0.6 -2.5 2.1 0.17 0.4906-2 37.30 2.8 9.4 64.4 14.39 0.33 37.40 2.6 12.4 62.8 14.16 -0.26 -0.10 0.2 -3.1 1.6 0.23 0.5907-1 36.61 3.3 13.1 61.2 15.69 0.38 36.85 3.4 16.3 63.6 15.38 -0.16 -0.24 0.0 -3.2 -2.4 0.31 0.5407-2 39.64 4.0 13.7 62.9 15.57 0.32 39.97 4.4 15.0 57.4 15.13 -0.03 -0.33 -0.4 -1.2 5.5 0.44 0.35

AltA.ARM.SS 06-1 23.88 3.3 8.8 55.0 8.49 0.45 24.00 3.8 12.5 54.1 8.31 -0.22 -0.13 -0.6 -3.7 0.9 0.18 0.6706-2 32.73 3.6 12.7 60.1 12.46 0.52 33.40 3.0 14.2 59.1 12.17 -0.29 -0.67 0.7 -1.5 1.0 0.29 0.8107-1 32.97 5.7 13.2 56.5 12.01 0.22 33.50 5.1 15.0 59.5 11.69 -0.08 -0.53 0.6 -1.8 -2.9 0.32 0.3007-2 36.41 4.5 12.3 57.5 14.49 0.66 36.46 4.2 14.3 54.6 14.13 0.14 -0.05 0.3 -2.0 2.9 0.36 0.52

Alt-A ALL 29.85 3.9 10.0 61.7 10.88 0.41 30.15 4.3 12.0 59.8 10.61 -0.36 -0.30 -0.4 -2.0 1.8 0.27 0.76

Option.ARM 06-1 41.23 1.6 8.2 60.2 7.78 0.29 41.44 1.8 11.0 60.4 7.62 -0.35 -0.21 -0.2 -2.7 -0.1 0.16 0.6506-2 44.58 1.3 12.1 64.8 12.93 0.61 44.44 1.2 13.6 62.6 12.62 -0.03 0.13 0.1 -1.5 2.2 0.31 0.6407-1 43.32 1.4 10.1 63.9 16.29 0.40 43.27 0.8 15.1 64.8 15.99 0.01 0.05 0.6 -5.0 -0.9 0.30 0.39

07-2 43.27 1.7 11.8 62.4 15.41 0.57 43.19 1.6 16.2 61.3 15.00 0.29 0.08 0.2 -4.4 1.1 0.41 0.28

Option ARM ALL 43.10 1.5 10.6 62.8 13.10 0.47 43.09 1.3 14.0 62.3 12.81 -0.02 0.01 0.2 -3.4 0.6 0.30 0.49

A-1

ABX.HE 06-1 35.45 1.6 9.0 73.7 13.36 -0.07 36.00 2.0 9.7 75.1 13.22 -0.85 -0.55 -0.4 -0.7 -1.3 0.14 0.7906-2 39.17 1.1 10.8 79.2 19.07 0.25 39.55 1.0 13.3 80.2 18.83 -0.75 -0.38 0.2 -2.5 -1.0 0.24 1.0007-1 42.41 1.5 11.3 78.9 21.94 -0.11 43.17 2.1 12.9 78.2 21.55 -0.93 -0.76 -0.6 -1.7 0.7 0.39 0.8207-2 40.83 1.4 10.6 75.3 24.03 0.17 41.39 1.4 12.1 74.4 23.65 -1.00 -0.56 0.0 -1.5 1.0 0.38 1.16

Subprime ALL 39.46 1.4 10.4 76.8 19.60 0.06 40.03 1.6 12.0 77.0 19.31 -0.88 -0.56 -0.2 -1.6 -0.2 0.29 0.94

Source: JPMorgan, Remittance Reports

A-1


Credit Index Modifications - Current Period

Current Period

Deals Num % of % of Pmt # # # # Prin Rate CapitIndex Series w/Mods Mods Mod Dls All Bal Reduc Prin Rate Capit Other Reduc Reduc Amt

PrimeX.FRM 1 14 12 0.1% 0.1% 809 0 10 10 0 0 3.05 466,8472 12 29 0.2% 0.1% 827 2 25 28 0 58,600 3.12 300,749

PrimeX.ARM 1 17 30 0.1% 0.1% 360 0 23 18 1 0 2.28 156,5662 11 23 0.3% 0.2% 629 1 20 21 0 77,700 3.11 213,992

Prime ALL 54 94 0.2% 0.1% 627 3 78 77 1 64,967 2.86 264,954

AltA.Fixed.OC 06-2 11 47 0.5% 0.3% 536 1 45 25 1 42,100 3.49 29,96407-1 12 62 0.5% 0.4% 558 0 54 49 4 0 3.68 26,48307-2 14 126 0.6% 0.6% 704 3 108 108 1 74,273 3.86 27,349

AltA.Fixed.SS 06-1 7 26 0.3% 0.1% 218 9 12 3 6 34,666 2.79 19,77506-2 10 44 0.4% 0.2% 465 5 31 33 4 133,343 4.01 20,63407-1 9 27 0.3% 0.2% 308 5 14 4 6 55,291 3.66 24,542

07-2 6 50 0.6% 0.2% 797 3 42 43 3 84,781 3.28 37,260

AltA.ARM.OC 06-1 14 45 0.2% 0.2% 236 0 37 35 2 0 1.69 26,81006-2 11 84 0.5% 0.4% 419 7 52 56 15 49,731 2.00 21,00207-1 14 104 0.6% 0.5% 576 6 92 59 4 77,992 3.13 25,74407-2 11 70 0.4% 0.3% 486 6 49 59 4 54,807 3.37 28,442

AltA.ARM.SS 06-1 11 31 0.1% 0.1% 123 7 18 18 5 59,112 2.09 29,51206-2 12 72 0.4% 0.3% 182 9 37 41 17 128,525 2.20 28,02207-1 10 47 0.5% 0.4% 458 4 35 32 6 148,632 3.25 29,89607-2 9 58 0.3% 0.3% 425 4 48 48 5 109,732 4.07 26,849

Alt-A ALL 161 893 0.4% 0.3% 477 69 674 613 83 80,048 3.22 27,207

Option.ARM 06-1 5 19 0.2% 0.1% 210 5 8 13 4 107,908 1.47 23,42506-2 10 61 0.4% 0.3% 343 7 37 20 17 117,745 1.77 23,97207-1 11 118 0.4% 0.3% 1,139 11 89 84 15 103,655 2.08 28,889

07-2 9 89 0.5% 0.3% 258 2 70 59 3 321,646 3.82 21,403

Option ARM ALL 35 287 0.4% 0.2% 635 25 204 176 39 125,890 2.60 25,417

A-2

ABX.HE 06-1 15 244 0.9% 0.7% 180 51 132 77 69 39,483 2.09 22,97606-2 15 312 1.0% 0.8% 253 15 231 64 63 57,021 2.39 17,13807-1 16 345 0.9% 0.7% 333 55 201 160 93 47,061 2.93 22,08907-2 17 618 1.2% 1.0% 376 106 395 277 117 47,716 3.23 22,988

Subprime ALL 63 1,519 1.0% 0.8% 309 227 959 578 342 46,323 2.81 22,090

ALL ALL 313 2,793 0.5% 0.4% 407 324 1,915 1,444 465 59,817 2.93 37,618

A-2


Credit Index Modifications - Cumulative

Cumulative

Deals Num % of % of Pmt # # # # Prin Rate Capit % prin.Index Series w/Mods Mods Mod Dls All Bal Reduc Prin Rate Capit Other Reduc Reduc Amt forgiven

PrimeX.FRM 1 14 476 4% 3% 691 145 422 153 25 9,174 0.10 130,007 2.0%2 12 1,214 7% 6% 880 498 1,153 313 28 8,979 0.20 100,310 1.8%

PrimeX.ARM 1 17 1,121 5% 4% 481 285 867 647 46 27,568 0.13 43,210 6.1%2 11 592 8% 6% 975 113 543 231 15 20,423 0.23 74,572 3.6%

Prime ALL 54 3,403 6% 5% 739 1,041 2,985 1,344 114 15,338 0.17 71,779 3.1%

AltA.Fixed.OC 06-2 11 1,804 14% 10% 296 163 1,544 1,713 28 16,071 0.40 19,376 6.2%07-1 12 2,431 17% 14% 382 250 2,088 2,255 33 29,667 0.65 18,339 12.5%07-2 14 4,969 21% 20% 508 606 3,873 4,641 43 41,917 0.86 20,901 14.3%

AltA.Fixed.SS 06-1 7 993 10% 4% 417 194 858 830 26 47,025 0.30 17,546 17.6%06-2 10 1,855 15% 9% 472 385 1,554 1,610 33 40,902 0.65 18,588 14.9%07-1 9 1,635 16% 10% 670 446 1,422 1,315 46 48,188 0.70 18,181 15.9%

07-2 6 1,690 19% 7% 829 536 1,612 1,121 10 71,082 0.70 26,133 21.2%

AltA.ARM.OC 06-1 14 7,055 21% 20% 187 1,132 6,273 3,783 75 4,544 0.65 16,744 2.3%06-2 11 4,987 20% 17% 523 715 4,482 4,380 113 38,784 0.75 18,563 13.1%07-1 14 5,970 26% 24% 567 1,189 5,479 5,335 113 16,587 1.25 20,365 5.3%07-2 11 2,906 17% 12% 452 499 1,978 2,458 27 59,704 0.52 25,520 16.9%

AltA.ARM.SS 06-1 11 5,565 15% 13% 228 1,106 4,974 2,364 79 16,109 0.36 16,780 8.8%06-2 12 4,809 20% 18% 502 793 4,326 4,056 94 46,104 0.70 19,466 15.9%07-1 10 2,348 20% 16% 615 384 2,162 1,992 44 56,892 0.72 23,694 16.7%07-2 9 2,434 15% 12% 659 536 2,279 1,924 37 71,978 0.74 24,030 19.4%

Alt-A ALL 161 51,451 19% 14% 450 8,934 44,904 39,777 801 35,493 0.71 20,045 12.8%

Option.ARM 06-1 5 1,567 19% 5% 484 381 1,137 1,222 30 64,570 0.32 17,841 17.7%06-2 10 3,427 20% 12% 382 959 2,751 2,653 92 55,452 0.37 18,856 15.0%07-1 11 6,498 20% 16% 259 1,088 5,198 5,951 52 40,158 0.57 21,144 10.4%

07-2 9 3,823 19% 12% 215 806 3,430 3,276 44 27,857 0.70 23,806 6.7%

Option ARM ALL 35 15,315 20% 12% 299 3,234 12,516 13,102 218 44,504 0.54 21,038 11.5%

A-3

ABX.HE 06-1 15 16,385 48% 40% 318 7,522 13,299 13,525 367 9,521 1.63 16,175 6.0%06-2 15 23,126 57% 44% 371 7,576 19,626 19,439 626 10,358 2.07 17,450 5.9%07-1 16 21,564 49% 37% 394 5,814 17,567 18,588 415 16,229 1.63 17,404 8.5%07-2 17 29,240 50% 41% 521 10,254 24,621 23,968 708 22,587 2.06 18,263 11.0%

Subprime ALL 63 90,315 51% 40% 415 31,166 75,113 75,520 2,116 15,275 1.89 17,468 8.2%

ALL ALL 313 160,484 23% 17% 422 44,375 135,518 129,743 3,249 21,477 1.34 19,181 8.9%

A-3


Non-agency Performance Summary Data

May Remit 1M Change

Cur Bal 60+ 1M Vol 1M Loss Cum Cum New 60+ 1M Vol 1M Loss Cum Cum NewProduct Vintage ($bn) Factor DLQ CPR CDR Sev Sev Loss DLQ DLQ CPR CDR Sev Sev Loss DLQ

Prime Fixed 2004 15.4 0.2908 5.6 17.6 0.8 48.4 31.3 0.2% 0.8 0.2 -5.7 -0.8 15.8 0.4 0.0% 0.22005 33.0 0.4648 10.2 13.7 3.4 43.9 40.8 1.3% 1.0 0.0 -2.6 0.2 -1.0 0.1 0.1% 0.32006 31.9 0.4502 14.2 12.4 5.3 49.5 44.5 2.2% 1.1 0.0 -3.1 -0.4 -0.1 0.2 0.1% 0.12007 38.4 0.5381 13.8 13.6 5.4 46.3 44.6 2.2% 1.1 0.0 -1.0 0.3 -3.0 0.1 0.1% 0.1

Prime Hybrid 2004 34.4 0.2496 8.3 12.0 2.7 37.5 32.5 0.5% 0.8 -0.1 -0.8 -0.4 -0.1 0.2 0.0% 0.22005 48.2 0.4404 12.4 11.0 5.6 43.9 40.7 2.1% 1.0 -0.1 -1.3 -0.5 -0.7 0.1 0.1% 0.22006 32.0 0.4539 20.6 11.4 7.6 48.5 45.9 3.9% 1.4 0.0 -3.1 -1.8 -1.5 0.1 0.1% 0.22007 19.7 0.5381 21.6 12.0 8.0 51.5 46.6 4.3% 1.4 -0.1 -1.0 -0.5 3.4 0.2 0.2% 0.2

Alt-A Fixed 2004 23.8 0.3199 12.7 7.8 2.2 54.7 42.4 1.2% 1.4 0.1 -0.9 -0.7 2.0 0.3 0.0% 0.32005 64.1 0.4702 19.7 6.0 4.9 59.4 50.5 4.0% 1.6 0.1 -1.1 -1.3 1.0 0.2 0.1% 0.42006 66.2 0.5011 29.9 4.5 8.1 63.1 56.4 8.7% 2.0 -0.2 -0.5 -1.5 0.7 0.2 0.2% 0.6

2007 37.3 0.6027 28.0 5.4 7.4 61.7 55.5 7.6% 1.7 -0.3 -0.8 -2.1 1.6 0.2 0.2% 0.3

Alt-A Hybrid 2004 26.4 0.1753 17.3 4.2 5.2 48.1 41.2 2.1% 1.6 -0.2 -1.1 -1.3 -0.2 0.1 0.0% 0.42005 64.0 0.3378 26.4 3.7 9.0 57.2 50.2 8.2% 1.6 -0.3 -0.8 -1.9 0.4 0.1 0.1% 0.42006 68.5 0.4237 38.3 4.3 12.5 63.8 56.2 15.5% 1.9 -0.4 -0.1 -2.4 -1.4 0.1 0.3% 0.42007 29.7 0.5055 37.7 5.6 12.8 58.9 55.6 14.7% 1.9 -0.8 0.2 -3.0 -0.1 0.1 0.3% 0.4

Option ARM 2004 9.4 0.1666 34.7 3.5 7.6 48.1 43.1 1.9% 1.9 -0.1 0.7 -0.8 -3.5 0.1 0.1% 0.52005 46.1 0.3037 46.2 1.4 9.9 58.8 51.8 8.0% 1.8 0.1 -0.1 -3.7 -1.3 0.1 0.2% 0.42006 85.3 0.4950 47.5 1.6 11.8 63.4 56.8 15.6% 2.0 0.0 0.1 -3.5 0.9 0.1 0.3% 0.42007 40.7 0.6585 45.1 2.7 12.0 61.2 56.3 13.8% 2.1 0.1 0.3 -2.9 2.0 0.1 0.4% 0.4

Subprime Fixed 2004 24.8 0.3028 17.5 3.5 3.0 66.0 54.5 2.8% 1.5 0.0 -1.7 -0.4 -1.0 0.2 0.0% 0.22005 35.6 0.4564 25.0 2.9 4.6 69.4 57.4 5.7% 1.7 -0.1 -0.3 -0.7 0.5 0.2 0.1% 0.3

2006 36.4 0.5532 32.6 2.2 5.8 74.4 64.3 9.2% 1.9 0.1 -0.4 -0.8 0.4 0.2 0.2% 0.32007 12.1 0.6751 35.9 2.2 5.2 77.2 66.9 8.3% 1.9 0.3 0.0 -0.7 1.9 0.3 0.2% 0.2

A-4

Subprime Hybrid 2004 20.6 0.0677 42.0 1.5 7.2 76.4 51.9 4.6% 2.3 0.0 -0.2 -1.6 -1.1 0.1 0.0% 0.52005 75.1 0.1793 45.8 1.2 11.2 75.5 57.7 13.2% 2.1 -0.4 0.1 -1.4 0.0 0.1 0.1% 0.32006 118.7 0.3514 50.3 1.0 11.8 79.4 64.4 22.5% 1.9 -0.2 0.0 -2.0 0.3 0.2 0.3% 0.32007 31.3 0.5406 50.0 1.2 9.1 76.9 65.4 18.4% 1.9 -0.1 -0.1 -2.2 0.4 0.2 0.3% 0.3

Overall 2004 154.8 0.2311 17.8 7.3 3.8 53.4 42.1 1.8% 1.4 0.0 -1.3 -0.8 1.3 0.2 0.0% 0.32005 366.1 0.3607 28.3 5.1 7.5 59.8 50.6 6.8% 1.6 -0.1 -0.7 -1.4 -0.1 0.2 0.1% 0.32006 439.1 0.4445 38.6 3.8 10.1 66.5 57.6 14.1% 1.8 -0.1 -0.6 -2.1 0.1 0.2 0.3% 0.42007 209.1 0.5767 33.2 6.2 8.9 60.6 55.0 10.2% 1.7 -0.2 -0.4 -1.7 0.6 0.1 0.3% 0.3All 1169.2 0.4137 31.6 5.1 8.2 61.6 52.9 9.5% 1.7 -0.1 -0.7 -1.6 0.3 0.2 0.2% 0.3

* Data as of May remits

Source: JPMorgan, Loan Performance

A-4


Non-agency Performance Summary Charts

Delinquency Voluntary Prepays

Liquidation Loss Severity

Cum Severity Cum Loss

0

10

20

30

40

50

60

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed

Prime Hybrid

Alt-A Fixed Alt-A Hybrid

Option ARM

Subprime Fixed

Subprime Hybrid

60+

DL

Q (%

)

02468101214161820

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed

Prime Hybrid


Option ARM

Subprime Fixed

Subprime Hybrid

1M V

ol C

PR

0

2

4

6

8

10

12

14

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed

Prime Hybrid


Option ARM

Subprime Fixed

Subprime Hybrid

1M C

DR

0

10

20

30

40

50

60

70

80

90

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed Prime Hybrid

Alt-A Fixed Alt-A Hybrid Option ARM

Subprime Fixed

Subprime Hybrid

Lo

ss S

ever

ity

60

70

80

Cu

m S

ever

ity

20%

25%

A-5


0

10

20

30

40

50

60

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed

Prime Hybrid


Option ARM

Subprime Fixed

Subprime Hybrid

60+

DL

Q (%

)

02468101214161820

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed

Prime Hybrid


Option ARM

Subprime Fixed

Subprime Hybrid

1M V

ol C

PR

0

2

4

6

8

10

12

14

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed

Prime Hybrid


Option ARM

Subprime Fixed

Subprime Hybrid

1M C

DR

0

10

20

30

40

50

60

70

80

90

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed Prime Hybrid

Alt-A Fixed Alt-A Hybrid Option ARM

Subprime Fixed

Subprime Hybrid

Lo

ss S

ever

ity

0

10

20

30

40

50

60

70

80

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed

Prime Hybrid


Option ARM

Subprime Fixed

Subprime Hybrid

Cu

m S

ever

ity

0%

5%

10%

15%

20%

25%

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

2004

2005

2006

2007

Prime Fixed

Prime Hybrid


Option ARM

Subprime Fixed

Subprime Hybrid

Cu

m L

oss

A-5


Roll Rates to Liquidation

Five Year Roll Rates to LiquidationSector Vintage Historical CPR Current 30D 60D 90D F/C REO Proj Def

Prime Fixed 2004 and earlier 30.3 0.6% 5% 14% 20% 27% 91% 2%

2005 20.2 3.7% 18% 35% 43% 57% 99% 8%

2006-2007 15.9 8.1% 28% 43% 51% 65% 98% 15%

Prime ARM 2004 and earlier 12.7 3.5% 17% 34% 46% 56% 97% 7%

2005 10.4 10% 33% 55% 64% 75% 99% 17%

2006-2007 12.5 14% 40% 59% 66% 76% 99% 26%

Alt-A Fixed 2004 and earlier 9.4 3.4% 11% 23% 35% 48% 98% 8%

2005 6.9 8% 21% 37% 49% 62% 98% 17%

2006-2007 4.7 14% 28% 42% 53% 66% 99% 28%

Alt-A Hybrid 2004 and earlier 3.8 8% 21% 37% 52% 64% 98% 17%

2005 2.9 15% 31% 49% 62% 72% 99% 29%

2006-2007 3.1 24% 42% 57% 65% 73% 99% 43%

Option ARM 2004 and earlier 2.5 12% 25% 41% 53% 60% 98% 27%

2005 1.2 23% 40% 55% 64% 71% 99% 44%

2006-2007 1.0 26% 43% 57% 65% 73% 99% 48%

Subprime Fixed 2004 and earlier 5.0 7% 12% 20% 29% 41% 96% 13%

2005 3.2 10% 15% 23% 32% 45% 97% 18%

2006-2007 2.4 12% 17% 24% 30% 43% 97% 22%

Subprime Hybrid 2004 and earlier 1.5 16% 21% 28% 36% 46% 96% 29%

2005 0.9 22% 28% 36% 44% 55% 97% 38%

2006-2007 0.9 21% 28% 35% 42% 53% 97% 38%

Lifetime Roll Rates to LiquidationSector Vintage CPR Current 30D 60D 90D F/C REO Proj Def

Prime Fixed 2004 and earlier 30.3 1.1% 6% 15% 22% 29% 92% 2%

2005 20.2 8% 23% 40% 49% 62% 99% 12%

2006-2007 15.9 17% 36% 51% 58% 71% 99% 24%

Prime ARM 2004 and earlier 12.7 9.8% 23% 41% 52% 62% 98% 13%

2005 10.4 24% 45% 64% 72% 81% 99% 31%

2006-2007 12.5 29% 53% 68% 74% 83% 99% 40%

Alt-A Fixed 2004 and earlier 9.4 13% 21% 33% 44% 56% 98% 17%

2005 6.9 30% 41% 55% 64% 75% 99% 37%

2006-2007 4.7 48% 58% 68% 74% 82% 99% 57%

Alt-A Hybrid 2004 and earlier 3.8 39% 48% 60% 70% 77% 99% 45%

2005 2.9 57% 67% 76% 83% 88% 99% 65%

2006-2007 3.1 69% 78% 85% 88% 92% 100% 78%

Option ARM 2004 and earlier 2.5 58% 65% 73% 80% 83% 99% 66%

2005 1.2 84% 88% 92% 94% 96% 100% 89%

2006-2007 1.0 87% 90% 93% 95% 96% 100% 91%

Subprime Fixed 2004 and earlier 5.0 29% 34% 40% 47% 56% 97% 34%

2005 3.2 43% 48% 53% 59% 67% 98% 49%

2006-2007 2.4 53% 56% 61% 64% 71% 99% 59%

Subprime Hybrid 2004 and earlier 1.5 68% 70% 73% 76% 80% 99% 73%

2005 0.9 81% 83% 85% 87% 90% 99% 85%

2006-2007 0.9 81% 83% 85% 87% 90% 99% 86%

Roll rates to liquidation based on past 6 months' historical experience. Projected defaults are implied by the given roll rates and the

current delinquency pipeline, as a percentage of current balance

Source: J.P. Morgan, Loan Performance

A-6


Loss Projections by Cohort

Non-agency Transition Loan-level Model Life Roll RatesPrime Fixed Base* Severely Neg

Orig Year Factor Inv Full Doc FICOOrig LTV

Orig CTLV

Cur LTV

Cur CLTV 60+

Always Cur Reperf Dlq

Loss to Date

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Cum Loss

2003 0.1862 4.3 57.6 736 64 65 51 52 3.3 79.9 15.7 4.4 0.03 3.7 15 0.2 4.4 19 0.2 2.0 0.1

2004 0.3001 7.6 55.4 734 68 69 69 71 5.2 77.8 15.6 6.6 0.17 9.3 32 1.2 11.3 38 1.6 2.5 0.4

2005 0.4685 6.3 52.7 737 71 73 94 97 9.6 74.4 14.1 11.5 1.00 19.9 47 5.8 23.4 53 7.3 12.5 3.8

2006 0.4515 6.3 50.2 736 73 77 106 111 13.7 68.2 15.9 15.9 1.87 28.6 52 9.4 32.4 57 11.2 23.7 7.5

2007 0.5372 5.7 45.0 739 74 79 104 111 13.5 70.6 13.7 15.7 2.07 28.8 51 10.6 33.0 55 12.9 23.7 8.5

Combined 0.3701 6.0 51.0 737 71 74 90 94 10.2 73.2 14.8 12.0 0.96 20.7 49 5.1 23.9 53 6.2 15.4 3.8

Prime Hybrid ARM


Orig CTLV

Cur LTV

Cur CLTV 60+


Loss to Date

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Cum Loss

2003 0.1486 9.5 53.0 730 65 67 61 62 5.5 75.9 17.2 6.9 0.14 6.3 21 0.4 7.7 25 0.5 12.7 0.5

2004 0.2474 9.5 51.9 733 70 73 80 84 8.6 74.6 15.3 10.1 0.55 15.7 36 2.4 19.6 41 3.2 14.2 1.8

2005 0.4452 10.2 52.6 737 71 75 103 108 12.4 70.6 15.1 14.3 2.11 30.8 50 9.8 36.8 54 12.1 31.2 9.0

2006 0.4547 11.4 39.0 734 72 75 111 116 19.5 62.0 15.9 22.1 3.38 43.4 54 14.9 49.6 58 17.7 39.6 13.1

2007 0.5316 12.3 36.2 736 72 76 108 114 21.6 60.5 15.4 24.1 4.02 45.7 53 18.2 52.2 57 21.7 40.7 15.4

Combined 0.3198 10.5 47.6 735 70 74 95 100 13.4 69.1 15.6 15.3 1.48 29.0 49 6.6 34.0 53 8.1 28.1 5.8

Alt-A Fixed


Orig CTLV

Cur LTV

Cur CLTV 60+


Loss to Date

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Cum Loss

2003 0.2245 31.4 37.3 717 70 71 60 61 7.2 84.1 7.4 8.5 0.58 10.9 28 1.3 12.6 31 1.6 15.8 1.6

2004 0.3216 29.1 38.0 713 73 75 78 80 11.6 77.4 9.5 13.1 1.15 21.6 40 4.2 24.6 44 5.1 17.5 3.4

2005 0.4730 20.1 35.7 715 72 77 98 103 18.0 69.6 10.5 19.8 4.05 36.7 54 14.0 40.5 57 15.9 37.4 13.5

2006 0.5012 17.7 23.8 706 74 80 108 116 27.7 54.2 15.8 30.0 8.75 51.0 59 24.8 54.6 62 27.1 56.9 25.6

2007 0.6041 16.6 23.7 712 73 77 105 112 26.2 57.3 14.4 28.3 7.58 48.0 57 24.9 52.0 60 27.8 56.3 27.0

Combined 0.4394 20.6 30.1 711 73 77 98 103 21.1 64.4 12.6 23.1 4.90 39.8 55 15.1 43.3 59 16.9 43.2 15.5

Alt-A Hybrid ARM


Orig CTLV

Cur LTV

Cur CLTV 60+


Loss to Date

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Cum Loss

2003 0.1005 23.0 34.7 716 71 73 71 73 10.8 79.2 8.9 11.9 0.53 15.1 26 1.1 17.9 29 1.4 43.2 1.6

2004 0.1785 21.7 38.4 714 74 80 92 99 16.2 69.9 12.3 17.8 2.16 33.5 42 5.3 38.7 45 6.2 45.4 5.5

2005 0.3400 20.2 31.9 716 75 82 113 123 24.7 60.1 13.4 26.5 8.27 52.5 54 19.7 57.7 57 21.8 64.8 20.2

2006 0.4238 17.7 24.0 710 76 84 121 134 36.0 45.0 16.7 38.3 15.25 66.6 59 33.2 70.9 61 35.7 77.2 34.4

2007 0.5098 16.8 19.2 716 75 81 117 127 34.9 46.7 16.0 37.3 14.76 66.9 59 36.2 71.7 62 39.5 77.0 37.8

Combined 0.3271 19.0 27.9 713 75 82 113 124 29.1 54.0 14.8 31.2 8.96 56.8 56 20.6 61.6 58 22.5 68.4 21.4

Option ARM


Orig CTLV

Cur LTV

Cur CLTV 60+


Loss to Date

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Cum Loss

2003 0.1061 21.7 29.1 688 71 72 77 78 19.9 61.4 16.1 22.5 0.66 28.2 37 1.9 34.4 41 2.4 63.1 3.1

2004 0.1698 13.1 24.7 696 73 74 100 102 33.2 52.3 12.6 35.2 1.85 45.8 49 6.1 52.5 52 7.1 66.2 7.3

2005 0.3090 19.2 16.9 704 75 78 128 132 44.2 40.2 13.2 46.6 8.02 66.8 60 21.7 72.0 63 23.8 88.9 24.5

2006 0.4975 15.7 9.9 706 76 80 136 144 45.0 37.0 15.4 47.6 15.53 73.5 63 40.0 77.8 65 43.2 91.0 43.9

2007 0.6539 16.4 11.5 713 76 79 129 135 42.0 42.5 12.8 44.7 13.74 70.8 62 43.6 75.8 65 47.9 90.7 50.4

Combined 0.4099 16.6 12.9 707 75 79 130 136 43.4 39.9 14.1 46.0 10.86 69.6 61 29.6 74.4 64 32.3 89.1 33.2

Subprime Fixed


Orig CTLV

Cur LTV

Cur CLTV 60+


Loss to Date

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Cum Loss

2003 0.1711 8.4 68.2 654 77 78 70 71 14.5 62.1 20.4 17.5 2.22 26.9 42 4.2 30.4 44 4.6 33.1 4.6

2004 0.2761 7.5 71.7 650 77 79 82 83 17.5 58.2 21.0 20.7 3.97 36.2 53 8.8 40.4 55 9.8 33.7 8.9

2005 0.3892 5.9 72.0 642 77 81 100 103 24.4 48.3 23.7 28.0 12.48 50.7 68 24.7 54.7 70 26.4 48.7 25.4

2006 0.4661 5.4 69.5 636 77 82 108 114 30.6 39.7 25.9 34.4 20.50 62.1 75 42.1 65.4 77 44.1 57.8 40.8

2007 0.6251 5.1 69.1 625 77 80 107 110 33.6 35.4 26.9 37.7 13.49 64.7 72 43.3 67.9 74 46.0 58.3 39.8

Combined 0.3483 6.2 70.5 641 77 80 97 100 25.0 47.6 23.9 28.6 10.26 50.5 68 21.8 54.2 70 23.2 48.1 21.6

Subprime Hybrid ARM


Orig CTLV

Cur LTV

Cur CLTV 60+


Loss to Date

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Proj Sev

Cum Loss

Future Dflt

Cum Loss

2003 0.0329 6.6 69.2 605 81 83 84 86 31.0 26.3 37.6 36.0 2.84 53.5 36 3.7 56.5 37 3.8 71.8 3.7

2004 0.0682 6.4 65.5 613 82 86 97 102 41.2 21.2 33.0 45.7 4.74 67.5 47 7.4 70.6 49 7.7 73.0 7.1

2005 0.1811 6.3 59.5 625 81 87 116 125 45.1 19.5 31.2 49.2 14.28 78.4 60 23.2 80.8 61 24.0 84.9 23.5

2006 0.3505 5.5 56.9 624 81 88 124 134 47.7 18.5 29.9 51.6 24.65 84.3 68 45.0 86.4 70 46.6 85.3 45.1

2007 0.5369 5.7 59.8 619 81 85 121 127 47.5 19.4 29.2 51.4 19.98 83.1 70 51.4 85.8 72 54.1 85.2 51.9

Combined 0.2022 5.8 58.9 622 81 87 119 127 46.1 19.3 30.6 50.1 13.90 80.5 63 24.7 82.9 64 25.6 84.0 24.8

* Cum loss numbers are projected losses (including losses already incurred) as % of orig bal. Future defaults are % of current bal.


A-7

SPG ResearchUS Fixed Income StrategyJ.P. Morgan Securities LLCJune - 2011

CS US HPI Benign Base NegativeSeverelyNegative

HousingDepression

Curr-trough -2.4 -3.4 -5.7 -8.6 -12.9

Peak-trough -33.0 -33.7 -35.2 -37.2 -40.2

Bottom Time 2011Q1 2011Q1 2012Q1 2012Q4 2012Q4

100

120

140

160

180

200

benign neg sev dep base

Projections

Bottom Time 2011Q1 2011Q1 2012Q1 2012Q4 2012Q4

*current = 10Q4

Source: JPM HPI Model Version: CS10Q4

Existing Home Sales projections (MM) Benign Base Negative

SeverelyNegative

HousingDepression

2007 5.65 5.65 5.65 5.65 5.65

2008 4.91 4.91 4.91 4.91 4.91

2009 5.16 5.16 5.16 5.16 5.16

2010 4.91 4.91 4.91 4.91 4.91

2011p 5.47 5.54 5.03 4.52 4.00

2012p 5.96 5.96 5.68 5.40 4.65

Source: Moody's Economy.com

A-8


Default Attribution Summary - Prime and Alt-A

Prime Fixed 2007 Prime ARM 2007

Always Current Delinquent Reperforming Always Current Delinquent Reperforming

CCLTV Curr Bal Exp Def Curr Bal Exp Def Curr Bal Exp Def CCLTV Curr Bal Exp Def Curr Bal Exp Def Curr Bal Exp Def

<60 2.5% 0.6% 0.1% 45.5% 0.25% 2.2% <60 2.2% 0.5% 0.1% 49.4% 0.23% 1.6%

60-70 2.2% 1.3% 0.2% 55.1% 0.24% 7.1% 60-70 1.8% 1.8% 0.3% 62.9% 0.27% 5.0%

70-80 4.1% 2.5% 0.5% 62.7% 0.56% 11.5% 70-80 3.1% 3.7% 0.5% 61.4% 0.51% 10.3%

80-90 7.7% 4.3% 1.0% 71.3% 1.08% 16.7% 80-90 5.3% 7.0% 1.2% 75.5% 0.93% 17.1%

90-100 11.2% 7.2% 1.6% 78.9% 1.69% 23.3% 90-100 7.9% 12.6% 2.1% 81.8% 1.29% 28.0%

100-110 12.0% 11.2% 2.1% 84.8% 1.92% 32.3% 100-110 10.2% 20.3% 3.0% 89.8% 1.99% 40.6%

110-120 10.0% 16.2% 2.4% 87.7% 1.87% 40.0% 110-120 8.7% 29.8% 3.6% 92.3% 2.02% 52.4%

120+ 21.9% 28.1% 7.8% 93.1% 5.05% 53.9% 120+ 21.9% 45.1% 14.0% 95.8% 6.96% 67.3%

Defaults 10% 14% 5% Defaults 16% 23% 7%




<60 2.9% 0.6% 0.2% 47.0% 0.30% 3.6% <60 2.4% 0.6% 0.2% 40.0% 0.27% 2.2%

60-70 2.6% 1.3% 0.2% 57.3% 0.36% 6.3% 60-70 1.9% 1.7% 0.3% 53.9% 0.31% 5.8%

70-80 4.9% 2.4% 0.6% 64.4% 0.82% 10.2% 70-80 3.4% 3.8% 0.7% 62.8% 0.52% 11.0%

80-90 8.4% 4.4% 1.2% 72.9% 1.30% 16.5% 80-90 5.5% 7.0% 1.2% 72.5% 0.88% 17.8%

90-100 10.9% 7.4% 1.8% 79.2% 1.94% 22.9% 90-100 8.0% 12.0% 1.9% 81.4% 1.32% 28.6%

100-110 10.5% 11.2% 2.3% 84.8% 1.92% 30.8% 100-110 9.6% 19.6% 2.7% 87.4% 1.74% 40.0%

110-120 8.8% 16.2% 2.0% 87.1% 1.88% 38.1% 110-120 8.2% 27.2% 2.8% 90.6% 1.71% 49.4%

120+ 20.8% 27.2% 8.1% 92.5% 5.21% 52.2% 120+ 24.6% 44.1% 13.1% 94.4% 6.98% 64.7%





<60 7.8% 0.6% 0.4% 39.7% 0.63% 2.1% <60 4.3% 0.6% 0.1% 35.2% 0.47% 1.0%

60-70 6.1% 1.5% 0.4% 54.6% 0.56% 5.4% 60-70 3.4% 1.7% 0.2% 50.7% 0.40% 4.5%

70-80 9.6% 2.6% 0.8% 63.2% 1.02% 8.7% 70-80 5.9% 3.1% 0.5% 61.8% 0.70% 7.2%

80-90 11.9% 4.7% 1.4% 72.4% 1.55% 14.6% 80-90 8.8% 5.8% 1.0% 68.6% 1.20% 13.1%

90-100 12.3% 7.8% 1.7% 78.8% 1.61% 21.7% 90-100 10.2% 10.4% 1.5% 78.0% 1.41% 22.6%

100-110 9.3% 12.3% 1.6% 84.4% 1.35% 29.9% 100-110 10.8% 17.5% 2.1% 85.1% 1.63% 31.7%

110-120 6.9% 16.3% 1.4% 87.0% 1.17% 36.5% 110-120 8.7% 24.3% 1.8% 87.7% 1.47% 43.6%

120+ 13.7% 25.2% 4.2% 90.9% 2.61% 47.7% 120+ 21.2% 37.4% 7.8% 92.3% 4.23% 56.5%


Alt-A Fixed 2007 Alt-A ARM 2007



<60 2.7% 1.8% 0.4% 38.6% 0.69% 6.2% <60 1.1% 1.2% 0.2% 33.7% 0.25% 8.3%

60-70 2.3% 3.9% 0.5% 59.8% 0.64% 13.1% 60-70 0.9% 3.2% 0.2% 53.6% 0.32% 12.6%

70-80 3.8% 6.5% 1.2% 66.5% 1.12% 19.8% 70-80 1.8% 7.0% 0.7% 65.9% 0.53% 21.1%

80-90 5.8% 10.3% 2.5% 77.8% 1.93% 27.4% 80-90 2.8% 11.9% 1.6% 78.7% 1.02% 30.6%

90-100 6.8% 15.1% 3.4% 84.4% 2.57% 36.5% 90-100 4.1% 20.7% 2.5% 85.6% 1.62% 43.6%

100-110 7.2% 19.7% 4.9% 88.8% 2.98% 44.2% 100-110 5.2% 30.1% 4.0% 91.7% 2.25% 55.9%

110-120 5.5% 24.7% 4.1% 90.8% 2.59% 52.2% 110-120 5.0% 37.6% 4.3% 93.9% 2.44% 62.9%

120+ 13.2% 37.9% 15.6% 94.5% 7.71% 63.5% 120+ 15.8% 55.6% 28.7% 97.0% 12.65% 77.0%





<60 2.5% 2.1% 0.4% 43.5% 0.61% 6.8% <60 0.9% 1.9% 0.1% 28.7% 0.22% 5.3%

60-70 2.0% 4.4% 0.5% 53.9% 0.61% 11.9% 60-70 0.7% 4.0% 0.2% 53.8% 0.27% 14.6%

70-80 3.5% 7.0% 1.3% 68.6% 1.21% 19.6% 70-80 1.6% 7.3% 0.6% 67.3% 0.44% 18.0%

80-90 5.0% 11.2% 2.4% 78.1% 1.94% 27.7% 80-90 2.7% 11.4% 1.4% 75.3% 0.94% 28.1%

90-100 6.0% 15.5% 3.5% 84.1% 2.48% 35.9% 90-100 3.7% 18.0% 2.1% 84.7% 1.35% 37.3%

100-110 6.4% 20.7% 4.5% 89.0% 3.09% 44.2% 100-110 5.0% 27.5% 3.6% 89.4% 2.18% 51.8%

110-120 4.9% 25.6% 3.9% 90.4% 2.45% 51.3% 110-120 4.4% 35.8% 3.7% 91.9% 2.25% 60.8%

120+ 13.2% 40.7% 18.3% 94.1% 9.16% 64.1% 120+ 17.6% 55.1% 30.0% 96.0% 14.00% 76.1%





<60 5.6% 1.6% 0.5% 38.3% 0.95% 4.6% <60 1.5% 1.0% 0.2% 35.2% 0.25% 3.4%

60-70 4.3% 3.6% 0.8% 57.3% 1.07% 9.6% 60-70 1.6% 3.3% 0.2% 55.3% 0.42% 9.1%

70-80 7.0% 6.0% 1.5% 67.2% 1.70% 16.4% 70-80 3.1% 5.8% 0.7% 66.7% 0.84% 12.9%

80-90 8.3% 9.3% 2.6% 76.1% 2.32% 24.4% 80-90 5.0% 9.2% 1.5% 74.6% 1.25% 22.1%

90-100 8.7% 13.5% 2.9% 83.6% 2.19% 30.7% 90-100 6.2% 15.9% 2.3% 80.8% 2.07% 33.8%

100-110 7.1% 18.2% 3.1% 87.3% 2.15% 41.4% 100-110 7.0% 22.7% 3.1% 86.5% 2.35% 42.9%

110-120 5.2% 23.6% 2.7% 89.3% 1.64% 47.6% 110-120 6.1% 31.4% 3.0% 90.0% 2.33% 51.5%

120+ 12.9% 37.7% 9.6% 93.7% 5.14% 60.8% 120+ 20.4% 50.8% 18.3% 94.6% 10.17% 70.3%


Source: J.P. Morgan

A-9


Default Attribution Summary - Subprime and Option ARM

SubPrime Fixed 2007 SubPrime ARM 2007



<60 1.4% 11.9% 0.6% 62.7% 0.74% 26.6% <60 0.3% 12.1% 0.3% 61.9% 0.44% 34.0%

60-70 1.3% 16.8% 0.9% 69.2% 0.87% 31.8% 60-70 0.4% 16.5% 0.4% 72.6% 0.49% 39.1%

70-80 2.6% 22.8% 1.8% 76.2% 1.67% 38.3% 70-80 0.8% 23.3% 1.1% 78.4% 0.93% 46.5%

80-90 4.4% 30.5% 3.8% 82.3% 3.21% 45.3% 80-90 1.4% 31.1% 2.7% 83.8% 1.84% 57.7%

90-100 5.1% 38.8% 5.5% 86.7% 4.14% 51.8% 90-100 2.4% 41.8% 4.8% 88.6% 2.94% 67.0%

100-110 4.9% 44.8% 6.5% 88.7% 4.43% 56.5% 100-110 2.7% 52.4% 6.8% 91.5% 3.86% 74.2%

110-120 3.2% 50.1% 5.7% 89.7% 3.94% 59.5% 110-120 2.3% 62.4% 7.2% 93.6% 4.10% 80.5%

120+ 6.3% 62.3% 16.7% 92.2% 10.37% 63.8% 120+ 5.9% 78.9% 30.9% 96.6% 14.99% 88.3%





<60 1.7% 11.4% 0.4% 57.1% 0.59% 24.8% <60 0.2% 11.1% 0.2% 63.1% 0.32% 36.7%

60-70 1.6% 16.1% 0.7% 66.6% 0.68% 29.3% 60-70 0.2% 21.6% 0.3% 71.6% 0.37% 43.3%

70-80 3.1% 21.7% 1.6% 76.0% 1.51% 36.6% 70-80 0.5% 24.9% 0.8% 77.8% 0.78% 50.5%

80-90 5.2% 29.2% 3.0% 81.2% 2.64% 43.7% 80-90 1.4% 32.6% 2.1% 84.6% 1.68% 56.7%

90-100 5.6% 36.8% 4.4% 85.4% 3.60% 49.8% 90-100 1.9% 43.8% 3.8% 88.8% 2.58% 65.5%

100-110 5.7% 43.1% 5.6% 87.6% 4.12% 55.2% 100-110 2.5% 52.3% 5.7% 91.6% 3.43% 72.7%

110-120 3.7% 48.3% 5.1% 88.7% 3.47% 57.2% 110-120 2.0% 61.0% 6.4% 93.4% 3.70% 79.2%

120+ 8.4% 61.3% 17.2% 91.9% 10.43% 63.0% 120+ 6.0% 79.2% 35.9% 96.1% 17.05% 87.0%





<60 3.8% 9.4% 0.7% 54.0% 0.82% 19.6% <60 0.4% 12.6% 0.2% 58.5% 0.33% 33.2%

60-70 3.7% 13.8% 1.0% 65.8% 0.99% 25.3% 60-70 0.5% 17.2% 0.5% 70.7% 0.48% 36.2%

70-80 6.4% 19.7% 2.3% 72.7% 2.20% 32.5% 70-80 1.4% 21.0% 1.6% 77.8% 1.30% 43.9%

80-90 8.3% 25.3% 3.7% 80.0% 3.18% 41.1% 80-90 2.5% 30.1% 3.2% 82.8% 2.32% 51.8%

90-100 7.8% 32.0% 4.2% 83.6% 3.29% 46.2% 90-100 3.0% 38.7% 5.2% 87.7% 3.34% 61.6%

100-110 5.8% 38.4% 4.4% 86.1% 3.01% 50.4% 100-110 2.8% 49.6% 6.4% 90.5% 4.02% 69.6%

110-120 3.6% 43.7% 3.1% 86.7% 2.33% 52.8% 110-120 2.1% 61.3% 6.1% 92.1% 3.65% 75.8%

120+ 8.7% 56.0% 10.2% 89.9% 6.76% 58.8% 120+ 6.4% 77.2% 27.7% 95.0% 14.64% 83.3%


Option ARM 2007

Always Current Delinquent Reperforming

CCLTV Curr Bal Exp Def Curr Bal Exp Def Curr Bal Exp Def

<60 0.6% 4.1% 0.0% 53.8% 0.10% 19.9%

60-70 0.6% 6.1% 0.1% 62.7% 0.12% 37.0%

70-80 1.0% 9.7% 0.3% 63.9% 0.19% 44.9%

80-90 2.2% 16.1% 0.8% 70.5% 0.44% 45.0%

90-100 3.8% 25.8% 1.8% 79.5% 0.76% 50.9%

100-110 5.3% 36.1% 3.3% 82.1% 1.10% 60.7%

110-120 6.2% 46.6% 4.6% 86.8% 1.42% 67.6%

120+ 23.1% 66.6% 33.2% 92.1% 8.78% 81.5%

Defaults 22% 40% 10%

Option ARM 2006



<60 0.5% 4.3% 0.1% 44.6% 0.07% 23.7%

60-70 0.5% 5.5% 0.1% 53.2% 0.10% 41.6%

70-80 1.0% 9.4% 0.2% 61.9% 0.23% 37.9%

80-90 1.9% 14.5% 0.9% 73.9% 0.42% 41.6%

90-100 3.1% 22.6% 1.6% 77.7% 0.70% 52.6%

100-110 4.1% 33.4% 2.7% 80.1% 1.08% 58.3%

110-120 4.5% 44.7% 3.8% 84.8% 1.38% 65.7%

120+ 21.2% 67.9% 38.6% 92.5% 11.24% 81.5%

Defaults 19% 43% 11%

Option ARM 2005



<60 0.9% 7.0% 0.1% 47.9% 0.08% 25.8%

60-70 1.0% 7.4% 0.2% 51.4% 0.14% 30.5%

70-80 2.0% 10.7% 0.5% 63.2% 0.28% 34.1%

80-90 3.3% 15.8% 1.3% 70.0% 0.60% 38.4%

90-100 4.6% 24.6% 2.2% 75.1% 0.97% 42.6%

100-110 5.3% 35.9% 3.5% 79.0% 1.40% 51.6%

110-120 5.3% 45.9% 4.1% 85.2% 1.49% 61.1%

120+ 18.6% 62.8% 34.6% 91.0% 7.67% 73.8%

Defaults 18% 41% 8%

Source: J.P. Morgan

A-10


Prepay Attribution Summary by WAC - Prime

Prime Fixed 2007 Total 7.8 Prime ARM 2007 Total 7.3


WAC Curr Bal 1yr CPR Curr Bal 1yr CPR Curr Bal 1yr CPR WAC Curr Bal 1yr CPR Curr Bal 1yr CPR Curr Bal 1yr CPR

<4.5 0.24% 0.0 0.75% 0.0 3.95% 0.0 <4.5 0.81% 4.6 1.31% 0.1 4.45% 0.2

4.5-5.0 0.04% 0.0 0.14% 0.0 0.43% 0.3 4.5-5.0 0.39% 5.4 0.30% 0.1 0.54% 0.1

5.0-5.5 0.06% 1.9 0.26% 0.0 0.62% 0.3 5.0-5.5 0.97% 7.9 0.48% 0.1 0.63% 2.1

5.5-6.0 1.29% 8.2 0.23% 0.2 0.42% 1.9 5.5-6.0 4.14% 10.1 1.36% 0.5 0.67% 7.1

6.0-6.5 19.32% 9.2 2.62% 0.6 1.91% 7.1 6.0-6.5 20.20% 10.6 5.79% 0.6 2.66% 8.4

6.5-7.0 41.37% 9.7 7.74% 0.7 3.99% 8.1 6.5-7.0 26.17% 10.6 9.19% 0.7 3.66% 8.9

7.0-7.5 8.02% 12.2 2.76% 0.8 1.05% 9.9 7.0-7.5 7.35% 10.0 4.90% 0.6 1.35% 9.4

7.5+ 1.27% 16.2 1.24% 0.7 0.30% 13.9 7.5+ 1.04% 11.9 1.38% 0.5 0.25% 10.7

Prepays 9.9 0.6 4.9 Prepays 10.4 0.6 5.4




<4.5 0.20% 0.3 0.74% 0.0 4.28% 0.0 <4.5 10.59% 3.9 4.31% 0.2 5.59% 0.8

4.5-5.0 0.02% 0.0 0.15% 0.1 0.44% 0.1 4.5-5.0 0.13% 3.7 0.23% 0.1 0.37% 0.4

5.0-5.5 0.09% 3.6 0.25% 0.0 0.55% 0.5 5.0-5.5 0.42% 8.0 0.42% 0.1 0.48% 1.0

5.5-6.0 0.98% 9.3 0.24% 0.3 0.39% 2.6 5.5-6.0 3.24% 9.5 1.03% 0.6 0.43% 4.0

6.0-6.5 13.29% 9.8 2.08% 0.6 1.47% 7.1 6.0-6.5 16.63% 8.8 4.24% 0.5 2.04% 7.1

6.5-7.0 41.98% 10.1 8.50% 0.7 4.63% 8.6 6.5-7.0 25.51% 8.3 8.45% 0.5 3.55% 7.0

7.0-7.5 12.44% 11.1 3.84% 0.7 1.79% 9.9 7.0-7.5 6.32% 8.6 3.34% 0.6 1.15% 6.6

7.5+ 0.81% 13.8 0.66% 0.7 0.17% 8.6 7.5+ 0.65% 8.2 0.78% 0.7 0.12% 6.5

Prepays 10.2 0.6 5.2 Prepays 7.8 0.5 4.0




<4.5 0.12% 0.3 0.51% 0.0 2.26% 0.0 <4.5 41.44% 7.1 9.63% 0.4 7.73% 4.2

4.5-5.0 0.07% 8.6 0.09% 0.1 0.27% 0.4 4.5-5.0 0.33% 10.8 0.14% 0.1 0.20% 0.9

5.0-5.5 1.99% 10.5 0.20% 0.6 0.35% 3.4 5.0-5.5 2.46% 13.0 0.40% 0.7 0.44% 5.9

5.5-6.0 20.02% 10.1 2.00% 0.8 1.78% 8.1 5.5-6.0 15.10% 11.5 1.91% 0.8 1.47% 10.5

6.0-6.5 46.05% 9.8 6.58% 0.7 4.45% 8.3 6.0-6.5 11.94% 9.7 2.12% 0.7 1.38% 8.0

6.5-7.0 8.79% 10.4 2.07% 0.7 1.27% 8.7 6.5-7.0 1.84% 7.5 0.70% 0.7 0.23% 7.0

7.0-7.5 0.64% 12.3 0.29% 0.5 0.12% 11.2 7.0-7.5 0.10% 9.6 0.10% 0.2 0.02% 9.8

7.5+ 0.04% 13.0 0.04% 0.5 0.00% 9.6 7.5+ 0.19% 6.7 0.09% 0.3 0.04% 4.0

Prepays 10.0 0.7 6.2 Prepays 8.6 0.5 5.5




<4.5 0.06% 1.9 0.23% 0.0 0.96% 0.1 <4.5 63.55% 15.2 8.46% 1.3 7.83% 10.5

4.5-5.0 0.80% 9.5 0.07% 0.9 0.18% 2.9 4.5-5.0 1.58% 16.7 0.14% 1.5 0.23% 7.0

5.0-5.5 9.90% 12.1 0.33% 1.3 0.81% 8.1 5.0-5.5 5.84% 18.7 0.52% 1.5 0.52% 11.6

5.5-6.0 30.56% 12.2 1.52% 2.0 2.62% 10.8 5.5-6.0 6.53% 15.2 0.69% 1.3 0.60% 11.7

6.0-6.5 33.57% 12.4 3.30% 1.4 3.84% 11.1 6.0-6.5 2.10% 13.1 0.26% 1.4 0.24% 11.5

6.5-7.0 7.41% 14.0 1.50% 1.3 1.21% 13.2 6.5-7.0 0.33% 12.6 0.10% 1.3 0.07% 8.8

7.0-7.5 0.63% 14.8 0.27% 1.7 0.16% 12.4 7.0-7.5 0.17% 9.6 0.15% 0.6 0.05% 7.8

7.5+ 0.05% 21.1 0.01% 1.0 0.02% 20.9 7.5+ 0.04% 9.5 0.00% 0.0 0.00% 8.1

Prepays 12.4 1.5 9.8 Prepays 15.4 1.3 10.6




<4.5 0.07% 6.8 0.08% 0.1 0.34% 0.2 <4.5 60.10% 21.6 4.97% 3.7 7.08% 17.7

4.5-5.0 1.64% 12.2 0.05% 4.1 0.13% 7.0 4.5-5.0 3.83% 23.1 0.27% 3.3 0.36% 16.3

5.0-5.5 15.93% 14.3 0.40% 3.5 0.85% 12.0 5.0-5.5 12.39% 29.9 0.63% 5.3 0.77% 22.7

5.5-6.0 35.45% 16.0 1.26% 3.5 2.62% 14.2 5.5-6.0 5.93% 30.3 0.39% 6.6 0.50% 24.9

6.0-6.5 29.57% 17.5 2.03% 3.2 2.94% 15.8 6.0-6.5 1.63% 26.9 0.21% 5.4 0.21% 23.2

6.5-7.0 4.69% 19.9 0.66% 3.0 0.64% 18.2 6.5-7.0 0.37% 21.3 0.10% 3.6 0.06% 18.4

7.0-7.5 0.31% 23.8 0.15% 3.1 0.07% 17.7 7.0-7.5 0.10% 11.8 0.04% 1.3 0.02% 22.6

7.5+ 0.05% 25.3 0.05% 2.4 0.03% 24.4 7.5+ 0.02% 16.2 0.01% 0.3 0.00% 7.7

Prepays 16.4 3.2 14.2 Prepays 23.5 4.1 18.6

Prime Fixed 2002LE Total 22.6 Prime ARM 2002LE Total 23.6



<4.5 0.05% 0.0 0.23% 0.1 0.39% 0.2 <4.5 65.04% 25.4 7.77% 5.8 10.85% 21.2

4.5-5.0 0.03% 11.9 0.06% 0.3 0.08% 2.3 4.5-5.0 0.44% 24.3 0.09% 1.2 0.07% 15.6

5.0-5.5 0.46% 16.6 0.17% 0.0 0.28% 1.6 5.0-5.5 1.96% 34.6 0.26% 0.5 0.18% 14.6

5.5-6.0 9.51% 19.5 0.34% 5.2 0.85% 14.7 5.5-6.0 4.08% 32.9 0.22% 1.0 0.50% 29.3

6.0-6.5 25.86% 21.0 1.39% 4.1 2.47% 18.1 6.0-6.5 4.39% 29.6 0.32% 7.4 0.39% 10.9

6.5-7.0 27.55% 24.4 2.44% 5.2 3.77% 21.4 6.5-7.0 2.23% 20.0 0.02% 4.3 0.70% 13.5

7.0-7.5 11.95% 30.8 1.97% 6.9 2.23% 27.3 7.0-7.5 0.15% 20.0 0.00% 0.0 0.03% 6.7

7.5+ 4.49% 39.7 1.88% 7.8 1.53% 35.9 7.5+ 0.04% 30.3 0.19% 5.5 0.09% 4.5

Prepays 24.5 5.7 21.9 Prepays 26.1 5.5 20.5

Source: J.P. Morgan

A-11


Prepay Attribution Summary by WAC - Alt-A

Alt-A Fixed 2007 Total 5.3 Alt-A ARM 2007 Total 4.1



<4.5 0.29% 0.0 2.47% 0.0 7.83% 0.0 <4.5 1.15% 2.8 4.72% 0.1 11.20% 0.3

4.5-5.0 0.05% 0.2 0.42% 0.0 0.60% 0.2 4.5-5.0 0.21% 2.7 0.61% 0.1 0.67% 0.4

5.0-5.5 0.11% 2.0 0.65% 0.1 0.67% 0.3 5.0-5.5 0.70% 7.1 1.20% 0.1 0.72% 1.6

5.5-6.0 0.63% 7.6 0.36% 0.2 0.40% 1.4 5.5-6.0 2.60% 8.5 1.79% 0.2 0.76% 5.1

6.0-6.5 7.10% 8.3 2.58% 0.7 1.28% 5.9 6.0-6.5 9.47% 9.7 5.82% 0.6 1.71% 7.6

6.5-7.0 24.26% 8.8 11.11% 0.6 4.64% 7.3 6.5-7.0 12.82% 9.3 10.18% 0.5 2.80% 7.3

7.0-7.5 10.13% 9.6 8.53% 0.6 3.07% 8.0 7.0-7.5 6.36% 8.6 8.45% 0.4 1.84% 6.9

7.5+ 4.62% 11.5 6.44% 0.5 1.75% 10.2 7.5+ 3.42% 9.5 9.44% 0.3 1.37% 8.3

Prepays 9.1 0.5 4.2 Prepays 9.0 0.4 3.1




<4.5 0.29% 0.0 2.42% 0.0 7.57% 0.0 <4.5 6.24% 3.6 9.48% 0.1 11.63% 0.7

4.5-5.0 0.04% 0.0 0.38% 0.0 0.76% 0.1 4.5-5.0 0.26% 2.2 0.68% 0.0 0.85% 0.3

5.0-5.5 0.09% 1.7 0.88% 0.0 0.89% 0.2 5.0-5.5 0.56% 4.4 1.06% 0.1 0.96% 0.4

5.5-6.0 0.37% 6.2 0.47% 0.1 0.42% 1.1 5.5-6.0 1.40% 6.7 1.24% 0.2 0.71% 2.3

6.0-6.5 3.78% 8.4 1.63% 0.5 0.91% 4.8 6.0-6.5 6.13% 7.3 3.32% 0.3 1.30% 4.9

6.5-7.0 16.45% 8.8 7.80% 0.6 3.61% 7.4 6.5-7.0 11.95% 7.0 8.63% 0.3 2.46% 5.3

7.0-7.5 13.96% 9.7 10.36% 0.6 4.29% 8.3 7.0-7.5 6.98% 6.5 8.68% 0.2 2.05% 5.4

7.5+ 8.63% 10.9 10.90% 0.5 3.10% 9.5 7.5+ 3.15% 6.1 8.57% 0.2 1.71% 4.1

Prepays 9.4 0.5 4.5 Prepays 6.2 0.2 2.2




<4.5 0.19% 0.4 1.17% 0.0 3.80% 0.0 <4.5 30.46% 5.5 17.45% 0.3 13.89% 2.5

4.5-5.0 0.04% 1.7 0.23% 0.0 0.44% 0.1 4.5-5.0 0.76% 4.1 0.76% 0.2 0.71% 1.5

5.0-5.5 0.50% 7.1 0.58% 0.1 0.79% 0.6 5.0-5.5 1.06% 9.1 0.79% 0.1 0.71% 3.0

5.5-6.0 7.23% 8.4 1.45% 0.7 1.16% 6.0 5.5-6.0 5.94% 9.4 2.01% 0.5 1.22% 5.5

6.0-6.5 28.35% 8.2 7.27% 0.6 5.07% 7.2 6.0-6.5 7.79% 7.7 3.55% 0.4 1.76% 5.6

6.5-7.0 15.77% 9.2 7.07% 0.6 3.52% 8.1 6.5-7.0 3.61% 7.3 2.85% 0.3 0.88% 6.6

7.0-7.5 4.91% 10.2 3.58% 0.5 1.52% 9.4 7.0-7.5 0.90% 7.3 1.32% 0.3 0.33% 6.2

7.5+ 2.09% 13.1 2.41% 0.4 0.87% 10.8 7.5+ 0.37% 7.2 0.70% 0.2 0.18% 4.7

Prepays 8.8 0.5 5.6 Prepays 6.5 0.3 3.2




<4.5 1.10% 9.5 0.76% 0.2 2.38% 1.2 <4.5 50.20% 10.6 16.05% 0.9 15.91% 6.6

4.5-5.0 0.53% 7.8 0.15% 0.5 0.29% 0.9 4.5-5.0 1.36% 10.8 0.63% 0.6 0.69% 4.9

5.0-5.5 2.69% 9.0 0.54% 0.7 0.77% 3.3 5.0-5.5 1.94% 13.7 0.75% 0.4 0.63% 4.7

5.5-6.0 10.96% 9.7 1.26% 1.1 1.76% 8.2 5.5-6.0 3.62% 13.0 1.03% 0.9 0.86% 9.3

6.0-6.5 29.04% 10.5 5.02% 1.1 4.59% 9.1 6.0-6.5 2.33% 10.8 0.90% 0.6 0.58% 7.8

6.5-7.0 17.83% 11.2 5.23% 0.9 3.66% 9.8 6.5-7.0 0.82% 10.2 0.53% 1.0 0.30% 7.4

7.0-7.5 4.38% 13.6 2.17% 1.1 1.19% 11.9 7.0-7.5 0.18% 9.6 0.22% 1.0 0.13% 5.7

7.5+ 1.83% 17.4 1.26% 1.3 0.62% 13.9 7.5+ 0.09% 10.8 0.19% 0.8 0.05% 7.6

Prepays 10.8 1.0 7.9 Prepays 10.9 0.9 6.7




<4.5 1.91% 12.3 0.63% 1.3 1.53% 2.2 <4.5 62.73% 19.7 12.02% 2.7 13.36% 15.5

4.5-5.0 0.93% 7.3 0.12% 0.6 0.20% 3.3 4.5-5.0 0.83% 18.1 0.31% 0.7 0.74% 17.0

5.0-5.5 5.94% 10.7 0.42% 1.3 0.78% 6.2 5.0-5.5 1.75% 23.8 0.45% 1.5 1.01% 15.9

5.5-6.0 19.95% 12.5 1.44% 2.2 2.44% 10.7 5.5-6.0 1.75% 24.7 0.45% 0.8 0.76% 18.9

6.0-6.5 27.40% 13.9 3.11% 2.2 3.63% 12.0 6.0-6.5 1.15% 20.0 0.31% 3.5 0.38% 17.5

6.5-7.0 13.74% 15.4 2.40% 2.1 2.43% 13.5 6.5-7.0 0.80% 14.3 0.20% 1.5 0.33% 11.2

7.0-7.5 4.20% 18.0 1.32% 2.2 0.93% 15.4 7.0-7.5 0.21% 15.1 0.15% 0.2 0.04% 10.8

7.5+ 2.64% 22.7 1.10% 2.6 0.83% 18.0 7.5+ 0.06% 18.0 0.17% 1.4 0.07% 18.6

Prepays 14.0 2.1 11.0 Prepays 19.8 2.6 15.7

Alt-A Fixed 2002LE Total 19.2 Alt-A ARM 2002LE Total 19.0



<4.5 0.28% 0.4 0.65% 0.1 1.70% 0.1 <4.5 56.48% 22.3 11.88% 4.7 15.74% 16.5

4.5-5.0 0.02% 2.2 0.12% 0.0 0.18% 0.0 4.5-5.0 0.20% 33.9 0.12% 1.9 0.19% 10.1

5.0-5.5 0.42% 12.0 0.33% 0.1 0.45% 1.7 5.0-5.5 1.05% 23.4 0.60% 0.9 0.64% 2.0

5.5-6.0 3.62% 15.2 0.36% 2.4 0.37% 9.6 5.5-6.0 1.47% 28.0 0.46% 1.5 0.54% 7.5

6.0-6.5 13.37% 17.1 1.62% 3.5 1.63% 13.4 6.0-6.5 1.38% 34.4 0.50% 0.7 1.13% 22.1

6.5-7.0 21.15% 19.7 2.69% 4.1 3.09% 18.3 6.5-7.0 2.20% 28.7 0.64% 2.6 0.81% 14.6

7.0-7.5 13.30% 24.4 2.77% 4.6 2.71% 21.9 7.0-7.5 0.61% 25.6 0.23% 1.8 0.37% 31.2

7.5+ 15.81% 31.7 7.13% 5.2 6.21% 29.2 7.5+ 1.19% 33.2 0.70% 8.2 0.89% 25.0

Prepays 22.5 4.3 19.8 Prepays 23.2 4.3 16.6

Source: J.P. Morgan

A-12


Prepay Attribution Summary by Cur CLTV - Prime



CCLTV Curr Bal 1yr CPR Curr Bal 1yr CPR Curr Bal 1yr CPR CCLTV Curr Bal 1yr CPR Curr Bal 1yr CPR Curr Bal 1yr CPR

<60 2.47% 24.0 0.13% 5.2 0.25% 20.0 <60 2.16% 34.1 0.09% 10.3 0.23% 29.5

60-70 2.16% 22.6 0.18% 3.9 0.24% 16.3 60-70 1.84% 28.4 0.26% 4.5 0.27% 23.9

70-80 4.08% 19.2 0.47% 2.6 0.56% 13.7 70-80 3.11% 23.1 0.54% 4.7 0.51% 19.2

80-90 7.73% 15.9 1.04% 2.0 1.08% 10.4 80-90 5.27% 18.2 1.15% 2.3 0.93% 14.8

90-100 11.25% 11.9 1.60% 1.1 1.69% 7.3 90-100 7.91% 13.1 2.07% 1.3 1.29% 9.2

100-110 11.99% 8.9 2.07% 0.6 1.92% 4.6 100-110 10.19% 9.0 2.97% 0.4 1.99% 5.4

110-120 10.03% 7.1 2.41% 0.5 1.87% 3.1 110-120 8.72% 6.7 3.60% 0.3 2.02% 3.7

120+ 21.89% 4.1 7.84% 0.2 5.05% 1.4 120+ 21.88% 3.9 14.04% 0.1 6.96% 1.5

Prepays 9.9 0.6 4.9 Prepays 10.4 0.6 5.4




<60 2.91% 23.5 0.19% 5.4 0.30% 18.8 <60 2.44% 27.3 0.16% 7.9 0.27% 24.8

60-70 2.65% 22.7 0.20% 3.1 0.36% 16.8 60-70 1.89% 23.3 0.27% 4.9 0.31% 17.5

70-80 4.89% 19.9 0.60% 2.9 0.82% 14.1 70-80 3.40% 18.5 0.68% 3.1 0.52% 14.4

80-90 8.37% 16.1 1.20% 1.7 1.30% 10.6 80-90 5.49% 14.2 1.20% 1.8 0.88% 10.5

90-100 10.92% 11.5 1.80% 1.0 1.94% 6.8 90-100 7.96% 10.0 1.92% 0.8 1.32% 6.7

100-110 10.46% 8.7 2.34% 0.5 1.92% 4.6 100-110 9.55% 6.8 2.70% 0.3 1.74% 3.7

110-120 8.81% 6.8 2.04% 0.3 1.88% 3.1 110-120 8.16% 4.8 2.77% 0.2 1.71% 2.5

120+ 20.82% 3.8 8.09% 0.1 5.21% 1.2 120+ 24.60% 2.4 13.09% 0.1 6.98% 0.9

Prepays 10.2 0.6 5.2 Prepays 7.8 0.5 4.0




<60 7.84% 17.6 0.37% 4.4 0.63% 15.1 <60 4.27% 24.5 0.11% 8.2 0.47% 20.1

60-70 6.14% 17.6 0.40% 2.5 0.56% 14.6 60-70 3.44% 21.2 0.23% 5.2 0.40% 18.0

70-80 9.63% 15.4 0.80% 1.8 1.02% 12.3 70-80 5.89% 17.3 0.53% 2.7 0.70% 14.1

80-90 11.89% 12.2 1.38% 1.1 1.55% 8.9 80-90 8.85% 13.1 0.97% 1.4 1.20% 11.0

90-100 12.35% 8.7 1.65% 0.6 1.61% 5.9 90-100 10.23% 9.2 1.53% 0.7 1.41% 6.6

100-110 9.32% 6.2 1.59% 0.3 1.35% 3.9 100-110 10.81% 6.0 2.06% 0.3 1.63% 4.0

110-120 6.86% 4.7 1.36% 0.2 1.17% 2.6 110-120 8.75% 4.2 1.82% 0.2 1.47% 2.5

120+ 13.68% 2.8 4.23% 0.1 2.61% 1.2 120+ 21.16% 2.1 7.83% 0.1 4.23% 1.1

Prepays 10.0 0.7 6.2 Prepays 8.7 0.5 5.5




<60 29.11% 14.8 0.94% 4.0 2.34% 13.7 <60 14.80% 24.4 0.42% 6.5 1.04% 21.5

60-70 13.96% 15.5 0.91% 3.3 1.59% 14.0 60-70 10.55% 22.6 0.65% 4.6 1.04% 19.0

70-80 14.69% 13.4 1.27% 1.6 1.95% 11.6 70-80 13.85% 18.7 1.23% 2.8 1.55% 15.2

80-90 10.78% 10.2 1.35% 1.0 1.48% 7.8 80-90 12.70% 14.4 1.72% 1.3 1.69% 10.6

90-100 6.40% 6.8 0.92% 0.4 1.01% 4.9 90-100 10.27% 10.1 1.72% 0.7 1.27% 7.5

100-110 3.53% 5.1 0.63% 0.3 0.61% 2.8 100-110 7.33% 6.9 1.38% 0.3 1.08% 3.8

110-120 1.89% 4.1 0.50% 0.1 0.34% 2.0 110-120 4.70% 4.9 1.05% 0.2 0.72% 2.6

120+ 2.61% 2.9 0.71% 0.1 0.47% 1.4 120+ 5.93% 2.8 2.15% 0.1 1.14% 1.4

Prepays 12.4 1.5 9.9 Prepays 15.4 1.3 10.6




<60 60.14% 17.1 1.86% 4.8 4.32% 15.7 <60 40.79% 26.5 1.28% 8.5 3.42% 22.9

60-70 14.47% 17.2 1.10% 3.3 1.74% 14.9 60-70 18.69% 25.4 1.46% 6.0 2.07% 21.8

70-80 7.69% 14.4 0.86% 2.0 0.92% 11.4 70-80 12.55% 21.4 1.44% 3.0 1.63% 16.4

80-90 3.36% 11.1 0.49% 1.3 0.41% 7.9 80-90 6.73% 16.3 1.06% 1.7 0.94% 12.0

90-100 1.14% 7.5 0.19% 0.6 0.15% 6.7 90-100 3.25% 11.5 0.68% 1.1 0.51% 8.0

100-110 0.49% 5.1 0.08% 0.4 0.05% 3.1 100-110 1.21% 8.3 0.31% 0.4 0.20% 5.0

110-120 0.24% 3.9 0.04% 0.0 0.02% 1.3 110-120 0.56% 5.5 0.19% 0.2 0.10% 3.4

120+ 0.17% 3.0 0.05% 0.2 0.01% 1.6 120+ 0.60% 3.3 0.20% 0.0 0.13% 1.5

Prepays 16.4 3.2 14.3 Prepays 23.6 4.0 18.6

Prime Fixed 2002LE Total 22.7 Prime ARM 2002LE Total 23.6



<60 60.76% 25.7 4.48% 8.1 7.90% 24.2 <60 51.33% 28.7 3.10% 9.0 7.44% 22.9

60-70 11.00% 23.3 2.09% 4.2 2.07% 21.2 60-70 13.69% 25.8 2.17% 5.7 2.86% 21.0

70-80 5.26% 19.8 1.00% 3.0 0.86% 16.3 70-80 6.29% 20.6 1.56% 2.8 1.05% 18.9

80-90 1.91% 15.9 0.61% 0.9 0.41% 10.6 80-90 4.27% 15.7 1.24% 2.7 0.76% 11.8

90-100 0.43% 11.9 0.12% 1.1 0.17% 7.7 90-100 1.75% 9.0 0.45% 0.7 0.33% 6.0

100-110 0.25% 6.7 0.13% 0.5 0.07% 2.5 100-110 0.49% 7.5 0.10% 0.7 0.15% 3.7

110-120 0.13% 4.8 0.02% 0.0 0.04% 4.0 110-120 0.20% 4.6 0.13% 0.1 0.11% 3.0

120+ 0.17% 4.1 0.04% 0.0 0.08% 1.3 120+ 0.33% 3.5 0.12% 0.7 0.10% 0.2

Prepays 24.6 5.7 22.0 Prepays 26.1 5.5 20.5

Source: J.P. Morgan

A-13


Prepay Attribution Summary by Cur CLTV - Alt-A




<60 2.69% 18.6 0.39% 5.3 0.69% 14.4 <60 1.07% 31.9 0.19% 10.2 0.25% 20.3

60-70 2.28% 18.2 0.50% 3.1 0.64% 11.6 60-70 0.93% 26.1 0.19% 5.3 0.32% 18.2

70-80 3.78% 15.7 1.16% 2.2 1.12% 9.7 70-80 1.83% 21.7 0.68% 3.4 0.53% 12.3

80-90 5.75% 13.1 2.49% 1.4 1.93% 8.4 80-90 2.82% 17.0 1.65% 1.6 1.02% 10.8

90-100 6.80% 9.8 3.38% 0.7 2.57% 5.6 90-100 4.06% 12.1 2.55% 0.9 1.62% 6.4

100-110 7.23% 7.5 4.89% 0.4 2.98% 3.7 100-110 5.20% 8.3 3.97% 0.4 2.25% 3.8

110-120 5.49% 6.2 4.14% 0.3 2.59% 2.6 110-120 5.02% 6.6 4.34% 0.2 2.44% 2.7

120+ 13.18% 3.6 15.60% 0.1 7.71% 1.1 120+ 15.81% 3.6 28.66% 0.1 12.65% 0.9

Prepays 9.1 0.5 4.2 Prepays 9.0 0.4 3.1




<60 2.48% 18.2 0.43% 5.1 0.61% 16.3 <60 0.88% 23.3 0.10% 5.6 0.22% 15.1

60-70 1.96% 18.3 0.53% 3.7 0.61% 13.9 60-70 0.74% 19.7 0.22% 4.3 0.27% 10.9

70-80 3.53% 16.6 1.31% 1.9 1.21% 11.7 70-80 1.65% 16.9 0.56% 2.1 0.44% 10.9

80-90 5.05% 13.8 2.43% 1.3 1.94% 8.9 80-90 2.69% 12.5 1.44% 1.2 0.94% 8.1

90-100 6.03% 10.7 3.50% 0.7 2.48% 6.6 90-100 3.66% 9.8 2.12% 0.5 1.35% 5.9

100-110 6.42% 8.4 4.47% 0.4 3.09% 4.3 100-110 5.00% 6.4 3.55% 0.3 2.18% 3.1

110-120 4.95% 6.9 3.89% 0.3 2.45% 3.1 110-120 4.41% 4.8 3.71% 0.2 2.25% 2.0

120+ 13.21% 3.6 18.29% 0.1 9.16% 1.1 120+ 17.64% 2.4 29.97% 0.0 14.00% 0.7

Prepays 9.4 0.5 4.5 Prepays 6.2 0.2 2.2




<60 5.55% 15.4 0.53% 3.5 0.95% 13.9 <60 1.52% 22.6 0.15% 4.1 0.25% 18.9

60-70 4.25% 15.5 0.75% 2.4 1.07% 13.3 60-70 1.59% 19.0 0.25% 3.7 0.42% 13.5

70-80 7.00% 13.5 1.53% 1.5 1.70% 10.7 70-80 3.06% 15.3 0.67% 1.7 0.84% 11.8

80-90 8.35% 11.4 2.59% 1.0 2.32% 8.6 80-90 5.00% 12.1 1.55% 1.2 1.25% 8.5

90-100 8.72% 8.8 2.94% 0.5 2.19% 6.1 90-100 6.19% 8.7 2.31% 0.8 2.07% 5.2

100-110 7.14% 6.4 3.11% 0.3 2.15% 3.9 100-110 6.98% 5.9 3.12% 0.3 2.35% 3.6

110-120 5.16% 4.9 2.67% 0.2 1.64% 2.3 110-120 6.12% 4.2 3.04% 0.2 2.33% 2.3

120+ 12.91% 2.5 9.62% 0.0 5.14% 1.0 120+ 20.43% 1.9 18.33% 0.1 10.17% 0.8

Prepays 8.8 0.5 5.6 Prepays 6.5 0.3 3.2




<60 16.82% 13.2 1.30% 2.7 2.45% 12.1 <60 5.31% 22.5 0.39% 6.4 0.86% 19.2

60-70 10.79% 14.0 1.61% 2.2 2.17% 11.5 60-70 5.30% 19.8 0.89% 3.9 1.23% 17.1

70-80 11.62% 13.1 2.64% 1.6 2.74% 10.6 70-80 8.16% 16.4 1.71% 2.3 2.00% 13.0

80-90 9.92% 10.8 2.96% 0.9 2.49% 7.5 80-90 9.24% 13.0 2.70% 1.3 2.83% 9.3

90-100 7.82% 8.0 2.58% 0.5 2.05% 5.6 90-100 9.08% 9.3 3.23% 0.7 3.05% 6.1

100-110 4.62% 5.6 1.83% 0.3 1.22% 3.3 100-110 7.59% 6.4 2.93% 0.3 2.64% 3.6

110-120 2.83% 4.2 1.27% 0.2 0.89% 1.9 110-120 5.50% 4.2 2.44% 0.2 2.06% 2.4

120+ 3.94% 2.7 2.20% 0.1 1.24% 1.3 120+ 10.37% 2.3 6.01% 0.1 4.47% 1.0

Prepays 10.9 1.0 7.9 Prepays 10.9 0.9 6.7




<60 40.09% 14.4 2.75% 3.8 4.72% 13.1 <60 23.50% 25.5 1.61% 6.9 4.18% 23.7

60-70 13.95% 15.7 1.97% 2.5 2.73% 12.6 60-70 13.51% 23.0 2.38% 4.8 3.03% 20.2

70-80 10.50% 14.5 2.18% 1.9 2.19% 10.5 70-80 12.71% 19.0 2.76% 2.3 3.41% 15.6

80-90 6.17% 12.3 1.64% 1.1 1.46% 9.5 80-90 9.56% 14.4 2.92% 1.3 2.63% 11.9

90-100 3.11% 9.5 0.91% 0.5 0.79% 6.3 90-100 5.39% 10.4 2.11% 0.9 1.78% 6.9

100-110 1.55% 7.4 0.51% 0.4 0.44% 4.5 100-110 2.19% 7.1 1.04% 0.4 0.69% 5.2

110-120 0.59% 5.7 0.26% 0.2 0.19% 2.5 110-120 1.13% 5.2 0.67% 0.2 0.43% 2.7

120+ 0.75% 3.2 0.31% 0.1 0.23% 1.3 120+ 1.27% 2.5 0.57% 0.1 0.52% 1.1

Prepays 14.0 2.1 11.0 Prepays 19.8 2.5 15.7

Alt-A Fixed 2002LE Total 19.2 Alt-A ARM 2002LE Total 19.0



<60 41.97% 23.6 6.06% 6.6 7.67% 24.2 <60 38.44% 25.4 5.33% 6.4 9.84% 19.6

60-70 11.37% 23.3 3.14% 4.1 3.09% 19.5 60-70 12.95% 22.7 3.97% 5.3 4.28% 14.9

70-80 7.61% 20.9 2.83% 2.8 2.48% 18.1 70-80 7.18% 20.9 2.23% 2.6 3.23% 17.1

80-90 3.86% 20.0 1.73% 2.3 1.49% 15.3 80-90 3.18% 16.9 1.93% 1.1 1.33% 10.2

90-100 1.80% 16.4 0.97% 1.3 0.81% 8.5 90-100 1.63% 11.4 0.64% 0.7 1.07% 8.8

100-110 0.58% 11.7 0.36% 1.1 0.39% 6.5 100-110 0.43% 7.2 0.38% 1.0 0.31% 5.6

110-120 0.28% 6.9 0.14% 0.2 0.16% 2.8 110-120 0.40% 4.2 0.10% 0.0 0.12% 1.0

120+ 0.51% 5.2 0.45% 0.2 0.25% 1.6 120+ 0.38% 2.7 0.54% 0.0 0.10% 1.0

Prepays 22.5 4.3 19.8 Prepays 23.2 4.2 16.6

Source: J.P. Morgan

A-14

SPG ResearchUS Fixed Income StrategyJ.P. Morgan Securities LLCJun-2011

Affordability and Shadow Inventory Concentration

Same-house monthly payment over time with various mortgage products

Home price/rent ratios by MSA

50 - 100100 - 110110 - 120

120 - 130130 - 140140 - 170

$750

$1,000

$1,250

$1,500

$1,750

$2,000

$2,250

$2,500

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12

ARM

Switch to IO Option ARM

Unaffordable period

Conf 30Y Fixed

A-15

Shadow inventory concentration (90+ dlq by MSA)

Source: J.P. Morgan, Loan Performance, LPS, Axiometrics, Freddie Mac, bankrate.com, Case-Shiller

50 - 100100 - 110110 - 120

120 - 130130 - 140140 - 170

3.4% - 8.6%8.6% - 10.1%10.1% - 11.2%11.2% - 12.7%

12.7% - 14.3%14.3% - 16.5%16.5% - 26.7%

$750

$1,000

$1,250

$1,500

$1,750

$2,000

$2,250

$2,500

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12

ARM

Switch to IO Option ARM

Unaffordable period

Conf 30Y Fixed

A-15


Shadow Inventory and Projections

Shadow Inventory Liquidations

F/C Inventory - peaking mid 2011 REO Inventory - peaking early 2012

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000Slow

Base

Fast

Historical

200,000

300,000

400,000

500,000

600,000

700,000

800,000Slow

Base

Fast

Historical

0

1

2

3

4

5

6

7

8

9

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15

Mil

lio

ns

REO Inventory

F/C Inventory

30/60/90 DLQ

historical

projected

0%

1%

2%

3%

4%

5%

6%

0.0

0.5

1.0

1.5

2.0

2.5

3.0

'06 '07 '08 '09 '10 '11 '12 '13 '14 '15

Annual Defaults (mm, left)

% of Loans Outstanding (right)

historical

projected

A-16

Base scenario assumes an initial monthly 3.3% FCL to REO pace ramping to 4.4% in two years. Short sales are 48% of liquidations

Slow scenario assumes an initial monthly 3.3% FCL to REO pace ramping to 4.2% in two years. Short sales are 43% of liquidations

Fast scenario assumes an initial monthly 3.3% FCL to REO pace ramping to 5.0% in two years. Short sales are 53% of liquidations

Historical delinquencies and liquidations from MBA data. Projections are taken from JPMorgan Loan Level Transition Model

Source: J.P. Morgan, Loan Performance, Mortgage Bankers Association

0

500,000

1,000,000

1,500,000

2,000,000

2,500,000

3,000,000

Mar-00 Sep-02 Mar-05 Sep-07 Mar-10 Sep-12 Mar-15

Slow

Base

Fast

Historical

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

800,000

Mar-00 Sep-02 Mar-05 Sep-07 Mar-10 Sep-12 Mar-15

Slow

Base

Fast

Historical

0

1

2

3

4

5

6

7

8

9

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15

Mil

lio

ns

REO Inventory

F/C Inventory

30/60/90 DLQ

historical

projected

0%

1%

2%

3%

4%

5%

6%

0.0

0.5

1.0

1.5

2.0

2.5

3.0

'06 '07 '08 '09 '10 '11 '12 '13 '14 '15

Annual Defaults (mm, left)

% of Loans Outstanding (right)

historical

projected

A-16


Non-agency Universe Breakout

May Remit BreakoutCur Bal Delinquencies Always Reperf Newly Entered Paid Short $ Amt

($bn) # Loans DQ F/C REO Other BK Cur Cur DQ F/C REO Off Liquidated Modified Sales Paid Off Liquidated Modified

Agency 5,045.1 33,404,995 1,706,619 748,189

Portfolio 2,458.9 12,950,000 2,131,648 995,155

Securitized:

Prime Fixed 146.0 324,197 22,709 12,121 1,720 963 237,384 43,972 3,114 1,192 279 4,524 802 560 438 2.0 0.4 0.3

Prime ARM 164.9 339,957 26,324 18,304 3,594 1,394 236,314 49,720 3,719 1,721 532 2,883 1,421 511 800 1.6 0.7 0.3

Alt-A Fixed 218.6 1,023,761 86,872 84,836 17,693 6,497 716,570 102,086 9,660 6,534 2,460 4,664 4,543 2,497 1,739 1.1 1.1 0.7

Alt-A ARM 196.9 615,488 77,241 83,448 20,804 5,910 343,662 77,478 6,628 5,943 2,744 1,512 5,432 1,880 2,248 0.7 1.8 0.7

Option ARM 185.2 459,563 89,279 87,641 20,099 3,641 197,162 56,936 6,104 5,380 2,778 487 4,319 1,303 1,736 0.2 1.8 0.6

Subprime Fixed 131.8 924,341 136,490 80,973 14,212 10,142 452,626 224,122 16,339 7,568 1,796 2,382 3,393 5,340 1,469 0.3 0.5 1.0

Subprime ARM 273.0 1,403,871 316,960 271,291 59,407 13,930 297,947 430,900 29,941 21,048 6,251 1,227 12,210 8,259 4,328 0.2 2.5 1.8

Junior Lien 22.4 546,553 68,271 872 768 4,356 373,854 89,742 9,471 93 18 2,267 6,423 956 6,282 0.1 0.3 0.0

Non-agency MBS 1,338.9 5,637,731 824,147 639,487 138,298 46,833 2,855,520 1,074,956 84,977 49,480 16,858 19,947 38,544 21,306 19,039 6.2 9.1 5.3

Total 1st lien 8,820.5 51,446,173 4,594,143 2,381,958

1-Month Change*Cur Bal Delinquencies Always Reperf Newly Entered Paid Short $ Amt

($bn) # Loans DQ F/C REO Other BK Cur Cur DQ F/C REO Off Liquidated Modified Sales Paid Off Liquidated Modified

Securitized:

Prime Fixed -3.6 -7,366 -262 59 -62 -6 -6,822 1,083 391 -206 -19 -1,287 -69 -33 -33 -0.6 0.0 0.0

Prime ARM -2.6 -4,374 -176 -117 -49 57 -3,966 1,318 738 -543 -129 -1,256 -187 23 -17 -0.8 -0.1 0.0

A-17

Prime ARM -2.6 -4,374 -176 -117 -49 57 -3,966 1,318 738 -543 -129 -1,256 -187 23 -17 -0.8 -0.1 0.0

Alt-A Fixed -7.7 -32,872 -3,673 -2,890 -1,104 -270 -23,668 429 601 -1,444 -286 -586 -1,110 -339 -220 -0.2 -0.3 -0.1

Alt-A ARM -6.4 -20,403 -3,411 -4,500 -1,474 18 -9,684 542 154 -1,498 -483 -292 -1,601 -489 -496 -0.1 -0.5 -0.2

Option ARM -2.4 -5,221 257 -2,932 333 -19 -3,752 2,380 151 -2,422 -307 -31 -1,457 -166 -454 0.0 -0.6 -0.1

Subprime Fixed -5.8 -50,658 -8,168 -2,656 -726 -434 -25,589 -11,822 1,959 -1,590 -26 -653 -610 -1,130 -237 -0.1 -0.1 -0.2

Subprime ARM -11.5 -59,901 -15,818 -8,952 -3,770 -128 -15,183 -13,148 4,151 -4,060 -362 -172 -2,730 -2,924 -921 0.0 -0.6 -0.6

Junior Lien -0.7 -14,673 -3,551 -83 -26 -49 -7,994 -98 248 -44 0 -904 -1,968 -194 -1,884 0.0 -0.1 0.0

Non-agency MBS -40.7 -195,469 -34,802 -22,071 -6,878 -831 -96,659 -19,316 8,393 -11,808 -1,611 -5,181 -9,731 -5,252 -4,262 -1.9 -2.3 -1.1

Loan counts, delinquencies, and foreclosure estimates are from a combination of Loan Performance, Lender Processing Services, and MBA data. *May overstate changes due to not all data being available yet

Source: J.P. Morgan, Loan Performance, Mortgage Bankers Association, Lender Processing Services

A-17


Non-agency Universe Breakout (cont)

Delinquent Loans (30/60/90+D excl F/C, REO)

Loans in Foreclosure

0

200

400

600

800

1,000

1,200

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

100

200

300

400

500

600

700

800

900

1,000

Jan-11 Mar-11 May-11

0

100

200

300

400

500

600

700

800

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

100

200

300

400

500

600

700

800

(Annual) (Last 5 Mos)

A-18

Loans in REO


0

200

400

600

800

1,000

1,200

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

100

200

300

400

500

600

700

800

900

1,000


0

100

200

300

400

500

600

700

800

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

100

200

300

400

500

600

700

800


0

50

100

150

200

250

300

350

400

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

20

40

60

80

100

120

140

160

180



A-18



Always Current

Newly Delinquent

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

500

1,000

1,500

2,000

2,500

3,000


0

500

1,000

1,500

2,000

2,500

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

20

40

60

80

100

120


A-19

Newly in Foreclosure


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

500

1,000

1,500

2,000

2,500

3,000


0

500

1,000

1,500

2,000

2,500

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

20

40

60

80

100

120


0

200

400

600

800

1,000

1,200

1,400

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

10

20

30

40

50

60

70



A-19



Newly in REO

Paid Off (Prepay)

0

100

200

300

400

500

600

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

5

10

15

20

25


0

500

1,000

1,500

2,000

2,500

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

5

10

15

20

25

30


A-20

Liquidated (Default)


0

100

200

300

400

500

600

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

5

10

15

20

25


0

500

1,000

1,500

2,000

2,500

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

5

10

15

20

25

30


0

100

200

300

400

500

600

700

800

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

5

10

15

20

25

30

35

40

45



A-20



Modified

* Note we do not identify mods before 2007

Short Sales (from 60+ or F/C)

0

50

100

150

200

250

300

350

400

450

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

5

10

15

20

25

30



0

20

40

60

80

100

120

140

160

180

200

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

2

4

6

8

10

12

14

16

18

A-21


0

50

100

150

200

250

300

350

400

450

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

5

10

15

20

25

30



0

20

40

60

80

100

120

140

160

180

200

2000 2003 2006 2009

# S

ecu

riti

zed

Lo

ans

(000

s)

Subprime ARM

Subprime Fixed

Option ARM

Alt-A ARM

Alt-A Fixed

Prime ARM

Prime Fixed

0

2

4

6

8

10

12

14

16

18


A-21

Securitized Products Research

Number of underwater loans, if home prices decline further Additional underwater loans

Jun-11

60%30m

) 15.616

18

m)

30%

40%

50%

60%

15

20

25

30

ket u

nder

wat

er

nder

wat

er (m

m)

6.2

9.8

15.6

8

10

12

14

16

18

nder

wat

er (m

m)

0%

10%

20%

30%

40%

50%

60%

0

5

10

15

20

25

30

Flat -5% HPA -10% HPA -15% HPA -20% HPA

% m

arke

t und

erw

ater

# lo

ans

unde

rwat

er (m

m)

2.8

6.2

9.8

15.6

0

2

4

6

8

10

12

14

16

18


# lo

ans

unde

rwat

er (m

m)

Expected defaults, if home prices decline further Additional expected defaults

0%

10%

20%

30%

40%

50%

60%

0

5

10

15

20

25

30


% m

arke

t und

erw

ater

# lo

ans

unde

rwat

er (m

m)

2.8

6.2

9.8

15.6

0

2

4

6

8

10

12

14

16

18


# lo

ans

unde

rwat

er (m

m)

25

m) Under water Above water

6.6

6

7

m)

0%

10%

20%

30%

40%

50%

60%

0

5

10

15

20

25

30


% m

arke

t und

erw

ater

# lo

ans

unde

rwat

er (m

m)

2.8

6.2

9.8

15.6

0

2

4

6

8

10

12

14

16

18


# lo

ans

unde

rwat

er (m

m)

10

15

20

25

cted

def

aults

(m


2.7

4.4

6.6

2

3

4

5

6

7

cted

def

aults

(m

m)

0%

10%

20%

30%

40%

50%

60%

0

5

10

15

20

25

30


% m

arke

t und

erw

ater

# lo

ans

unde

rwat

er (m

m)

2.8

6.2

9.8

15.6

0

2

4

6

8

10

12

14

16

18


# lo

ans

unde

rwat

er (m

m)

6.2 6.1 5.9 5.5 4.60

5

10

15

20

25


Expe

cted

def

aults

(m


1.3

2.7

4.4

6.6

0

1

2

3

4

5

6

7


Expe

cted

def

aults

(m

m)

Note: Each home price scenario assumes a linear drop over 2011, followed by a 2.8% yoy recovery for 2012 onwards.Source: JPMorgan, LoanPerformance, LPS, MBA, Case-Shiller, eMBS A-22


% Underwater by loan balance

Pool type Bal ($ bn) % underwater Bal ($ bn) % underwater Bal ($ bn) % underwater Bal ($ bn) % underwaterReperforming

Jun-11

All Loans Always Current DelinquentPool type Bal ($ bn) % underwater Bal ($ bn) % underwater Bal ($ bn) % underwater Bal ($ bn) % underwaterPrime Fixed 150 41% 126 37% 15 66% 9 61%Prime ARM 169 47% 136 42% 22 71% 10 64%Alt-A Fixed 223 49% 144 39% 51 68% 28 60%Alt-A ARM 225 73% 118 63% 73 86% 33 81%Subprime Fixed 135 40% 62 29% 39 54% 34 43%Subprime ARM 280 73% 49 60% 144 79% 88 71%Option ARM 167 82% 67 72% 77 91% 23 84%Option ARM 167 82% 67 72% 77 91% 23 84%Junior Lien 23 72% 15 69% 3 86% 4 74%Non-agency Total 1,372 60% 717 47% 425 78% 230 68%

Always Current to 30 roll rate (%) by CLTV% of loans underwater (balance-weighted) by state Unemployment on right axis

80% C 12%7%

50%

60%

70%

80% CA-FL-AZ-NVex CA-FL-AZ-NVALL

8%

10%

12%

4%

5%

6%

7%

10%

20%

30%

40%

50%

60%

70%

80% CA-FL-AZ-NVex CA-FL-AZ-NVALL

0%

2%

4%

6%

8%

10%

12%

0%

1%

2%

3%

4%

5%

6%

7%

0%

10%

20%

30%

40%

50%

60%

70%

80%

2004 2005 2006 2007 2008 2009 2010 2011

CA-FL-AZ-NVex CA-FL-AZ-NVALL

0%

2%

4%

6%

8%

10%

12%

0%

1%

2%

3%

4%

5%

6%

7%

Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11

<90 90-110 110-130 >130 Unemployment

Source: J.P. Morgan, LoanPerformance Source: J.P. Morgan, LoanPerformance, Bureau of Labor Statistics

A-23

Securitized Products ResearchJun-2011

Subprime

Alt-A

Prime

Source: LoanPerformance, J.P. Morgan A-25

Voluntary CPR

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM

0%

10%

20%

30%

40%

50%

60%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM Option ARM

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM


Subprime

Alt-A

Prime

Note: Defaults includes liquidations from REO, as well as from short sales (i.e. when loans are in a 90+/foreclosure stage)Source: LoanPerformance, J.P. Morgan A-26

Default Rates (CDR)

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

0%

2%

4%

6%

8%

10%

12%

14%

16%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM Option ARM

0%

1%

2%

3%

4%

5%

6%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM


Subprime

Alt-A

Prime


Severity

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

From 90+ From foreclosure From REO

0%

10%

20%

30%

40%

50%

60%

70%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011


0%

10%

20%

30%

40%

50%

60%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011



Subprime

Alt-A

Prime


Delinquencies

0%

5%

10%

15%

20%

25%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

30-59 60-89 90+ days Fclr REO

0%

2%

4%

6%

8%

10%

12%

14%

16%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

30-59 60-89 90+ days Fclr REO

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

30-59 60-89 90+ days Fclr REO


Subprime

Alt-A

Prime


Servicer Advances (for delinquent loans)

0%

20%

40%

60%

80%

100%

120%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

90+ Foreclosure REO

0%

20%

40%

60%

80%

100%

120%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

90+ Foreclosure REO

0%

20%

40%

60%

80%

100%

120%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

90+ Foreclosure REO


Subprime

Alt-A

Prime


Months in foreclosure

2

4

6

8

10

12

14

16

18

20

22

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

CA FL NY US

2

4

6

8

10

12

14

16

18

20

22

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

CA FL NY US

2

3

4

5

6

7

8

9

10

11

12

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

CA FL US


Subprime

Alt-A

Prime


Months in REO

4

5

6

7

8

9

10

11

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

2

3

4

5

6

7

8

9

10

2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM Option ARM

0

2

4

6

8

10

12

14

16

18

2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM


Subprime

Alt-A

Prime


Equity

-30%

-20%

-10%

0%

10%

20%

30%

40%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

-60%

-40%

-20%

0%

20%

40%

60%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM Option ARM

0%

10%

20%

30%

40%

50%

60%

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

ARM FRM


Subprime

Alt-A

Prime


Borrower-driven rolls

0%

1%

2%

3%

4%

5%

6%

7%

0%

1%

2%

3%

4%

5%

6%

7%

8%

2004 2005 2006 2007 2008 2009 2010 2011

Always Current to 30 All Current to 30 60+ to current (non-mod), Right Axis

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

2004 2005 2006 2007 2008 2009 2010 2011


-1%

1%

3%

5%

7%

9%

11%

13%

15%

0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

2004 2005 2006 2007 2008 2009 2010 2011



Subprime

Alt-A

Prime


Lender-driven rolls

0%

5%

10%

15%

20%

25%

2004 2005 2006 2007 2008 2009 2010 2011

90+ to Foreclosure Foreclosure to REO REO to Liquidation

0%

5%

10%

15%

20%

25%

30%

35%

40%

2004 2005 2006 2007 2008 2009 2010 2011


0%

5%

10%

15%

20%

25%

30%

35%

40%

2004 2005 2006 2007 2008 2009 2010 2011



Implied roll rates (transitions to default)

June 3, 2011

1-month transition matricesSubprime ARM

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From

Out-standing 6-month 1-year 2-year 3-year 5-year 10-year 20-year Life

Current 0.1% 95.7% 4.0% 0.1% 0.0% 0.0% 0.0% 0.0% Current 48.75% 0.2% 0.9% 4.1% 9.0% 20.3% 44.2% 69.5% 79.6%30-59 0.0% 19.5% 46.0% 31.3% 0.3% 2.7% 0.0% 0.1% 30-59 4.11% 1.5% 4.7% 12.3% 19.6% 31.8% 52.9% 74.6% 83.2%60-89 0.0% 6.2% 9.6% 32.9% 39.9% 11.1% 0.0% 0.1% 60-89 2.17% 3.2% 7.9% 17.7% 26.1% 38.4% 57.9% 77.4% 85.2%90 0 0% 4 5% 0 3% 0 8% 86 5% 7 0% 0 1% 0 8% 90 17 85% 4 4% 9 3% 19 2% 27 7% 40 0% 59 0% 78 0% 85 7%

p ed o ates (t a s t o s to de au t)

Apr-11 to May-11

o t t a s t o at ces

90+ 0.0% 4.5% 0.3% 0.8% 86.5% 7.0% 0.1% 0.8% 90+ 17.85% 4.4% 9.3% 19.2% 27.7% 40.0% 59.0% 78.0% 85.7%Frcl 0.0% 1.1% 0.1% 0.0% 4.5% 91.4% 2.0% 0.8% Frcl 22.30% 7.0% 15.8% 30.3% 40.0% 51.7% 67.4% 82.6% 88.7%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.6% 87.0% 12.2% REO 4.84% 53.3% 76.7% 91.9% 95.2% 96.7% 97.8% 98.9% 99.3%

Impld def by roll rates 9.69% 17.52% 24.21% 35.39% 55.27% 75.74% 83.95%(weighted avg)

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Mar-11 to Apr-11

From Prepay Current 30 59 60 89 90+ Frcl REO Default From standing 6 month 1 year 2 year 3 year 5 year 10 year 20 year LifeCurrent 0.1% 96.3% 3.5% 0.0% 0.0% 0.0% 0.0% 0.0% Current 48.75% 0.2% 0.8% 3.3% 7.1% 15.7% 34.7% 57.7% 68.9%30-59 0.0% 27.1% 44.0% 26.1% 0.3% 2.5% 0.0% 0.0% 30-59 4.11% 1.4% 4.2% 10.6% 16.3% 25.8% 43.1% 63.4% 73.3%60-89 0.0% 10.3% 12.2% 31.1% 34.2% 12.0% 0.0% 0.2% 60-89 2.17% 3.4% 8.3% 17.8% 25.1% 35.1% 50.7% 68.4% 77.0%90+ 0.0% 4.9% 0.3% 0.9% 84.8% 7.8% 0.2% 1.0% 90+ 17.85% 5.4% 10.9% 21.3% 29.2% 39.3% 54.1% 70.7% 78.7%Frcl 0.0% 1.5% 0.1% 0.0% 4.5% 90.8% 2.1% 0.9% Frcl 22.30% 7.9% 17.5% 32.2% 41.2% 51.0% 63.4% 76.7% 83.2%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.5% 85.5% 13.8% REO 4.84% 58.0% 81.0% 94.0% 96.4% 97.4% 98.1% 98.8% 99.1%

Impld def by roll rates 10.48% 17.94% 23.70% 32.58% 48.33% 66.71% 75.67%( i ht d )(weighted avg)

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.1% 95.2% 4.5% 0.1% 0.0% 0.0% 0.0% 0.0% Current 48.75% 0.2% 0.9% 3.9% 8.5% 19.3% 42.5% 68.5% 79.7%30-59 0.0% 21.9% 43.7% 31.5% 0.7% 2.1% 0.0% 0.0% 30-59 4.11% 1.3% 4.1% 10.7% 17.2% 28.8% 49.9% 72.8% 82.7%60-89 0.0% 8.2% 9.0% 30.3% 41.7% 10.7% 0.0% 0.1% 60-89 2.17% 2.9% 7.1% 15.8% 23.4% 35.2% 54.8% 75.6% 84.7%90+ 0.0% 4.2% 0.3% 0.7% 87.3% 6.6% 0.1% 0.8% 90+ 17.85% 4.3% 8.7% 17.8% 25.7% 37.5% 56.5% 76.6% 85.3%

Feb-11 to Mar-11

90+ 0.0% 4.2% 0.3% 0.7% 87.3% 6.6% 0.1% 0.8% 90+ 17.85% 4.3% 8.7% 17.8% 25.7% 37.5% 56.5% 76.6% 85.3%Frcl 0.0% 1.3% 0.1% 0.1% 4.6% 91.4% 1.8% 0.7% Frcl 22.30% 6.3% 14.0% 27.2% 36.3% 47.7% 64.0% 80.7% 88.0%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.5% 88.1% 11.1% REO 4.84% 50.0% 73.7% 90.5% 94.6% 96.4% 97.6% 98.7% 99.2%


To To To To To To To To Out-

6-month average (10/2010 thru 04/2011)

From Prepay Current 30-59 60-89 90+ Frcl REO Default From standing 6-month 1-year 2-year 3-year 5-year 10-year 20-year LifeCurrent 0.1% 95.2% 4.5% 0.1% 0.0% 0.0% 0.0% 0.0% Current 48.75% 0.2% 1.0% 4.5% 9.9% 22.1% 47.2% 72.5% 82.0%30-59 0.0% 20.8% 44.0% 31.8% 0.5% 2.8% 0.0% 0.0% 30-59 4.11% 1.5% 4.8% 12.5% 20.1% 32.9% 55.2% 77.0% 85.2%60-89 0.0% 7.4% 9.2% 30.9% 40.7% 11.6% 0.0% 0.1% 60-89 2.17% 3.2% 8.0% 18.1% 26.7% 39.7% 60.0% 79.7% 87.0%90+ 0.0% 4.3% 0.3% 0.7% 86.2% 7.6% 0.2% 0.8% 90+ 17.85% 4.7% 9.7% 20.1% 28.9% 41.8% 61.6% 80.5% 87.6%Frcl 0.0% 1.4% 0.1% 0.0% 4.4% 91.3% 2.0% 0.8% Frcl 22.30% 6.9% 15.6% 30.0% 39.9% 52.0% 68.6% 84.2% 90.0%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.5% 87.4% 11.8% REO 4.84% 52.2% 75.7% 91.5% 95.1% 96.7% 97.9% 98.9% 99.3%

Impld def by roll rates 9 72% 17 82% 24 87% 36 73% 57 59% 78 14% 85 85%Impld def by roll rates 9.72% 17.82% 24.87% 36.73% 57.59% 78.14% 85.85%(weighted avg)

Source: J.P. Morgan, LoanPerformance A-35



June 3, 2011

1-month transition matricesSubprime Fixed

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.3% 97.3% 2.4% 0.0% 0.0% 0.0% 0.0% 0.0% Current 70.85% 0.1% 0.4% 1.9% 4.2% 9.8% 22.4% 37.8% 45.3%30-59 0.1% 21.4% 47.8% 28.2% 0.3% 2.2% 0.0% 0.0% 30-59 3.71% 1.0% 3.3% 8.6% 13.2% 20.3% 32.2% 46.0% 52.8%60-89 0.1% 8.0% 10.7% 35.5% 37.0% 8.6% 0.0% 0.1% 60-89 1.83% 2.4% 6.1% 13.6% 19.5% 27.3% 38.6% 51.3% 57.5%90 0 0% 4 8% 0 4% 1 1% 86 9% 6 1% 0 1% 0 6% 90 11 26% 3 6% 7 6% 15 7% 22 0% 30 0% 41 1% 53 3% 59 3%


Apr-11 to May-11


90+ 0.0% 4.8% 0.4% 1.1% 86.9% 6.1% 0.1% 0.6% 90+ 11.26% 3.6% 7.6% 15.7% 22.0% 30.0% 41.1% 53.3% 59.3%Frcl 0.1% 1.7% 0.1% 0.1% 4.7% 90.6% 2.0% 0.7% Frcl 10.61% 6.5% 14.6% 27.2% 34.8% 42.9% 52.3% 62.3% 67.1%REO 0.0% 0.0% 0.0% 0.0% 0.1% 0.6% 86.2% 13.1% REO 1.74% 56.0% 79.2% 93.2% 95.9% 96.9% 97.4% 98.0% 98.3%


FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Mar-11 to Apr-11



FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.3% 96.9% 2.7% 0.0% 0.0% 0.0% 0.0% 0.0% Current 70.85% 0.1% 0.4% 1.8% 4.0% 9.0% 20.3% 34.5% 41.7%30-59 0.1% 23.8% 45.8% 28.3% 0.5% 1.5% 0.0% 0.0% 30-59 3.71% 0.9% 2.8% 7.1% 11.0% 17.2% 28.2% 41.3% 47.9%60-89 0.1% 9.3% 9.4% 33.1% 39.2% 8.8% 0.0% 0.1% 60-89 1.83% 2.2% 5.3% 11.6% 16.6% 23.6% 34.2% 46.4% 52.6%90+ 0.0% 4.7% 0.4% 1.0% 87.6% 5.6% 0.1% 0.5% 90+ 11.26% 3.1% 6.5% 13.3% 18.7% 25.8% 36.3% 48.2% 54.3%

Feb-11 to Mar-11

90+ 0.0% 4.7% 0.4% 1.0% 87.6% 5.6% 0.1% 0.5% 90+ 11.26% 3.1% 6.5% 13.3% 18.7% 25.8% 36.3% 48.2% 54.3%Frcl 0.1% 2.0% 0.1% 0.1% 5.0% 90.4% 1.6% 0.7% Frcl 10.61% 5.9% 12.8% 23.5% 30.1% 37.4% 46.5% 56.6% 61.7%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.4% 87.3% 12.1% REO 1.74% 53.1% 76.8% 92.4% 95.7% 96.8% 97.3% 97.8% 98.1%









June 3, 2011

1-month transition matricesOption ARM

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.2% 97.4% 2.4% 0.0% 0.0% 0.0% 0.0% 0.0% Current 53.90% 0.2% 1.1% 5.0% 10.8% 24.5% 52.4% 75.8% 82.0%30-59 0.2% 14.0% 41.9% 43.0% 0.1% 0.6% 0.1% 0.1% 30-59 2.52% 3.2% 9.3% 22.2% 33.3% 49.2% 70.2% 85.2% 89.1%60-89 0.1% 4.0% 6.0% 27.9% 50.5% 11.0% 0.1% 0.3% 60-89 1.67% 6.0% 14.1% 29.7% 42.1% 58.2% 76.6% 88.6% 91.7%90 0 0% 1 7% 0 1% 0 4% 90 7% 5 3% 0 4% 1 4% 90 17 79% 8 1% 16 2% 31 8% 44 3% 60 3% 78 0% 89 4% 92 4%


Apr-11 to May-11


90+ 0.0% 1.7% 0.1% 0.4% 90.7% 5.3% 0.4% 1.4% 90+ 17.79% 8.1% 16.2% 31.8% 44.3% 60.3% 78.0% 89.4% 92.4%Frcl 0.0% 0.5% 0.0% 0.0% 4.5% 91.2% 2.8% 0.8% Frcl 19.84% 8.8% 20.9% 40.9% 54.2% 68.9% 83.4% 92.1% 94.3%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.4% 86.5% 12.8% REO 4.29% 55.2% 78.7% 93.4% 96.6% 98.1% 99.0% 99.5% 99.7%


FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Mar-11 to Apr-11



FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.2% 97.1% 2.7% 0.0% 0.0% 0.0% 0.0% 0.0% Current 53.90% 0.2% 1.0% 5.2% 11.8% 27.4% 58.0% 81.7% 87.1%30-59 0.0% 13.5% 40.6% 45.0% 0.1% 0.6% 0.0% 0.1% 30-59 2.52% 2.7% 8.9% 22.7% 34.7% 52.1% 74.6% 89.2% 92.6%60-89 0.1% 4.2% 5.7% 25.7% 47.4% 16.8% 0.1% 0.1% 60-89 1.67% 5.2% 13.4% 30.0% 43.2% 60.4% 79.9% 91.6% 94.2%90+ 0.1% 1.6% 0.1% 0.3% 88.6% 7.7% 0.5% 1.1% 90+ 17.79% 7.1% 15.3% 31.9% 45.2% 62.3% 81.0% 92.1% 94.5%

Feb-11 to Mar-11

90+ 0.1% 1.6% 0.1% 0.3% 88.6% 7.7% 0.5% 1.1% 90+ 17.79% 7.1% 15.3% 31.9% 45.2% 62.3% 81.0% 92.1% 94.5%Frcl 0.0% 0.6% 0.0% 0.0% 4.0% 92.1% 2.5% 0.7% Frcl 19.84% 8.4% 20.1% 39.9% 53.3% 69.0% 84.9% 93.8% 95.8%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.3% 84.7% 14.9% REO 4.29% 61.3% 84.0% 95.9% 98.0% 98.8% 99.4% 99.8% 99.8%









June 3, 2011

1-month transition matricesAlt-A ARM

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.5% 97.8% 1.7% 0.0% 0.0% 0.0% 0.0% 0.0% Current 67.50% 0.2% 1.0% 4.4% 9.2% 19.7% 39.3% 55.0% 59.2%30-59 0.1% 15.4% 39.3% 44.2% 0.2% 0.6% 0.0% 0.2% 30-59 2.14% 4.3% 11.7% 25.3% 35.5% 48.2% 62.8% 72.9% 75.6%60-89 0.4% 5.1% 6.5% 24.5% 46.1% 16.8% 0.1% 0.4% 60-89 1.39% 7.9% 17.6% 34.2% 45.7% 58.5% 71.1% 79.1% 81.2%90 0 0% 2 7% 0 2% 0 5% 87 0% 7 4% 0 3% 2 0% 90 11 12% 10 8% 20 4% 36 9% 48 4% 61 1% 73 2% 80 9% 82 8%


Apr-11 to May-11


90+ 0.0% 2.7% 0.2% 0.5% 87.0% 7.4% 0.3% 2.0% 90+ 11.12% 10.8% 20.4% 36.9% 48.4% 61.1% 73.2% 80.9% 82.8%Frcl 0.1% 0.8% 0.1% 0.0% 4.8% 90.1% 2.9% 1.2% Frcl 14.33% 11.0% 24.7% 45.4% 57.7% 69.7% 79.6% 85.5% 87.0%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.4% 85.5% 13.8% REO 3.52% 58.3% 81.5% 94.8% 97.4% 98.4% 99.0% 99.3% 99.4%


FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Mar-11 to Apr-11



FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.4% 97.7% 1.9% 0.0% 0.0% 0.0% 0.0% 0.0% Current 67.50% 0.2% 0.9% 4.3% 9.2% 20.2% 41.5% 58.9% 63.6%30-59 0.1% 16.0% 39.4% 43.6% 0.2% 0.6% 0.0% 0.1% 30-59 2.14% 3.6% 10.3% 23.5% 33.8% 47.3% 63.6% 75.1% 78.1%60-89 0.0% 4.9% 7.2% 25.0% 46.0% 16.3% 0.1% 0.4% 60-89 1.39% 6.9% 16.0% 32.3% 44.1% 57.8% 71.9% 81.0% 83.5%90+ 0.1% 2.5% 0.1% 0.5% 87.3% 7.4% 0.4% 1.7% 90+ 11.12% 9.4% 18.5% 34.7% 46.4% 60.0% 73.6% 82.2% 84.5%

Feb-11 to Mar-11

90+ 0.1% 2.5% 0.1% 0.5% 87.3% 7.4% 0.4% 1.7% 90+ 11.12% 9.4% 18.5% 34.7% 46.4% 60.0% 73.6% 82.2% 84.5%Frcl 0.0% 0.7% 0.1% 0.0% 4.6% 90.8% 2.8% 1.0% Frcl 14.33% 9.9% 22.8% 43.1% 55.7% 68.7% 80.0% 86.8% 88.6%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.6% 85.2% 14.0% REO 3.52% 58.7% 81.6% 94.5% 97.0% 98.2% 98.9% 99.3% 99.4%









June 3, 2011

1-month transition matricesAlt-A Fixed

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.6% 98.1% 1.3% 0.0% 0.0% 0.0% 0.0% 0.0% Current 77.14% 0.1% 0.5% 2.4% 5.1% 11.5% 24.5% 36.3% 40.0%30-59 0.3% 17.9% 40.9% 39.6% 0.2% 1.0% 0.0% 0.1% 30-59 1.96% 2.7% 7.9% 18.1% 26.0% 36.1% 47.7% 56.4% 59.1%60-89 0.3% 6.0% 8.4% 28.0% 41.6% 15.4% 0.1% 0.3% 60-89 1.18% 5.4% 12.8% 26.4% 36.2% 47.3% 58.1% 65.4% 67.5%90+ 0 1% 3 4% 0 3% 0 7% 86 5% 7 4% 0 3% 1 3% 90+ 7 38% 7 5% 15 0% 28 6% 38 6% 49 8% 60 5% 67 5% 69 6%

p ( )

Apr-11 to May-11

90+ 0.1% 3.4% 0.3% 0.7% 86.5% 7.4% 0.3% 1.3% 90+ 7.38% 7.5% 15.0% 28.6% 38.6% 49.8% 60.5% 67.5% 69.6%Frcl 0.1% 0.8% 0.0% 0.0% 3.7% 91.9% 2.4% 1.0% Frcl 10.39% 9.2% 20.9% 39.3% 50.6% 62.0% 71.1% 76.4% 77.9%REO 0.0% 0.0% 0.0% 0.0% 0.1% 0.7% 84.4% 14.8% REO 1.95% 60.7% 83.0% 94.8% 96.9% 97.9% 98.4% 98.7% 98.8%


FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Mar-11 to Apr-11

From Prepay Current 30 59 60 89 90 Frcl REO Default From standing 6 month 1 year 2 year 3 year 5 year 10 year 20 year LifeCurrent 0.7% 98.0% 1.2% 0.0% 0.0% 0.0% 0.0% 0.0% Current 77.14% 0.1% 0.4% 2.0% 4.2% 9.2% 18.7% 27.3% 30.0%30-59 0.2% 24.8% 40.1% 33.7% 0.2% 1.0% 0.0% 0.1% 30-59 1.96% 2.5% 7.1% 15.9% 22.1% 29.5% 38.3% 45.1% 47.3%60-89 0.1% 8.3% 10.1% 28.1% 38.0% 15.1% 0.0% 0.3% 60-89 1.18% 5.7% 13.6% 26.9% 35.4% 44.0% 52.0% 57.5% 59.3%90+ 0.1% 4.2% 0.4% 0.9% 83.9% 8.7% 0.3% 1.5% 90+ 7.38% 8.3% 16.7% 30.8% 39.8% 48.7% 56.4% 61.5% 63.1%Frcl 0.1% 1.0% 0.0% 0.0% 4.2% 90.8% 2.7% 1.1% Frcl 10.39% 11.0% 24.2% 42.6% 52.7% 61.8% 68.2% 72.1% 73.3%REO 0.0% 0.0% 0.0% 0.0% 0.1% 0.5% 80.9% 18.4% REO 1.95% 69.4% 89.2% 96.9% 97.9% 98.3% 98.6% 98.8% 98.8%


FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 0.7% 97.8% 1.5% 0.0% 0.0% 0.0% 0.0% 0.0% Current 77.14% 0.1% 0.5% 2.3% 5.1% 11.6% 24.4% 35.6% 38.8%30-59 0.2% 19.1% 41.2% 38.4% 0.2% 0.7% 0.0% 0.1% 30-59 1.96% 2.3% 6.8% 16.3% 23.9% 33.7% 45.7% 54.4% 56.9%60-89 0.2% 5.9% 6.7% 27.8% 44.6% 14.5% 0.1% 0.2% 60-89 1.18% 4.6% 11.5% 24.4% 33.9% 44.9% 56.0% 63.5% 65.5%90+ 0.1% 3.4% 0.2% 0.7% 87.3% 6.9% 0.5% 0.9% 90+ 7.38% 6.0% 13.0% 26.1% 35.7% 46.9% 57.9% 65.1% 67.1%

Feb-11 to Mar-11

90+ 0.1% 3.4% 0.2% 0.7% 87.3% 6.9% 0.5% 0.9% 90+ 7.38% 6.0% 13.0% 26.1% 35.7% 46.9% 57.9% 65.1% 67.1%Frcl 0.1% 0.9% 0.0% 0.0% 4.0% 91.8% 2.3% 0.9% Frcl 10.39% 8.7% 19.7% 37.1% 47.9% 59.0% 68.5% 74.1% 75.7%REO 0.0% 0.0% 0.0% 0.0% 0.1% 0.4% 84.3% 15.2% REO 1.95% 62.1% 84.6% 96.0% 97.8% 98.5% 98.8% 99.1% 99.1%


FTo

PTo

C tTo

30 59To

60 89To90

ToF l

ToREO

ToD f lt F

Out-t di 6 th 1 2 3 5 10 20 Lif



Impld def by roll rates 5.50% 10.35% 14.65% 21.73% 32.92% 41.36% 43.47%Impld def by roll rates 5.50% 10.35% 14.65% 21.73% 32.92% 41.36% 43.47%(weighted avg)




June 3, 2011

1-month transition matricesPrime ARM

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 1.1% 98.2% 0.7% 0.0% 0.0% 0.0% 0.0% 0.0% Current 86.81% 0.1% 0.6% 2.3% 4.4% 8.8% 15.9% 20.4% 21.3%30-59 0.5% 15.5% 31.3% 46.0% 0.2% 5.7% 0.1% 0.6% 30-59 0.96% 6.7% 15.7% 30.1% 38.8% 46.8% 52.6% 55.2% 55.7%60-89 0.5% 5.8% 5.7% 22.5% 51.5% 13.0% 0.4% 0.7% 60-89 0.67% 9.7% 20.7% 37.9% 48.0% 56.8% 62.1% 64.2% 64.6%90+ 0 2% 2 8% 0 2% 0 5% 85 9% 8 2% 0 3% 2 0% 90+ 4 56% 11 7% 22 9% 40 5% 51 0% 59 9% 65 1% 67 2% 67 5%

p ( )

Apr-11 to May-11

90+ 0.2% 2.8% 0.2% 0.5% 85.9% 8.2% 0.3% 2.0% 90+ 4.56% 11.7% 22.9% 40.5% 51.0% 59.9% 65.1% 67.2% 67.5%Frcl 0.4% 0.9% 0.0% 0.0% 3.5% 90.4% 2.5% 2.2% Frcl 5.97% 15.9% 31.4% 51.8% 62.1% 70.2% 74.3% 75.7% 75.9%REO 0.0% 0.0% 0.0% 0.0% 0.3% 0.2% 82.9% 16.6% REO 1.03% 65.8% 87.3% 97.1% 98.4% 98.9% 99.1% 99.1% 99.2%


FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Mar-11 to Apr-11



FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 1.1% 98.1% 0.8% 0.0% 0.0% 0.0% 0.0% 0.0% Current 86.81% 0.1% 0.5% 2.3% 4.7% 9.7% 17.9% 23.1% 24.0%30-59 0.1% 15.3% 34.2% 47.1% 0.3% 2.7% 0.1% 0.3% 30-59 0.96% 5.0% 13.5% 28.6% 38.3% 47.9% 55.1% 58.3% 58.8%60-89 0.1% 5.2% 5.3% 21.4% 53.2% 14.3% 0.2% 0.4% 60-89 0.67% 8.3% 19.2% 37.4% 48.7% 59.1% 65.7% 68.3% 68.7%90+ 0.1% 2.7% 0.3% 0.4% 85.3% 9.3% 0.3% 1.7% 90+ 4.56% 10.2% 21.1% 39.5% 51.0% 61.6% 68.1% 70.5% 70.9%

Feb-11 to Mar-11

90+ 0.1% 2.7% 0.3% 0.4% 85.3% 9.3% 0.3% 1.7% 90+ 4.56% 10.2% 21.1% 39.5% 51.0% 61.6% 68.1% 70.5% 70.9%Frcl 0.2% 0.8% 0.0% 0.0% 3.5% 90.8% 2.7% 2.0% Frcl 5.97% 15.0% 30.6% 51.7% 62.9% 72.5% 77.7% 79.5% 79.8%REO 0.0% 0.0% 0.0% 0.0% 0.3% 0.6% 81.5% 17.6% REO 1.03% 67.5% 87.8% 96.3% 97.7% 98.4% 98.7% 98.8% 98.8%


FTo

PTo

C tTo

30 59To

60 89To90

ToF l

ToREO

ToD f lt F

Out-t di 6 th 1 2 3 5 10 20 Lif







June 3, 2011

1-month transition matricesPrime Fixed

FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 1.5% 97.9% 0.6% 0.0% 0.0% 0.0% 0.0% 0.0% Current 89.94% 0.1% 0.5% 1.7% 3.4% 6.5% 11.3% 13.8% 14.1%30-59 0.5% 16.3% 37.5% 39.3% 0.1% 6.0% 0.0% 0.2% 30-59 0.94% 5.3% 13.3% 25.7% 33.2% 40.1% 44.9% 46.7% 47.0%60-89 0.5% 6.4% 6.0% 25.9% 47.8% 12.3% 0.4% 0.8% 60-89 0.55% 9.0% 19.0% 34.1% 42.9% 50.7% 55.3% 56.9% 57.1%90+ 0 1% 3 4% 0 3% 0 5% 86 4% 7 0% 0 4% 1 9% 90+ 3 89% 10 9% 21 1% 36 7% 45 7% 53 7% 58 4% 59 9% 60 1%

p ( )

Apr-11 to May-11

90+ 0.1% 3.4% 0.3% 0.5% 86.4% 7.0% 0.4% 1.9% 90+ 3.89% 10.9% 21.1% 36.7% 45.7% 53.7% 58.4% 59.9% 60.1%Frcl 0.3% 1.0% 0.0% 0.0% 3.9% 90.6% 2.4% 1.8% Frcl 4.09% 14.5% 29.1% 48.1% 57.7% 65.6% 69.7% 70.8% 71.0%REO 0.0% 0.0% 0.0% 0.0% 0.2% 0.7% 78.7% 20.4% REO 0.58% 73.3% 91.1% 97.1% 97.9% 98.4% 98.6% 98.7% 98.7%


FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Mar-11 to Apr-11



FromTo

PrepayTo

CurrentTo

30-59To

60-89To90+

ToFrcl

ToREO

ToDefault From


Current 1.9% 97.5% 0.6% 0.0% 0.0% 0.0% 0.0% 0.0% Current 89.94% 0.1% 0.4% 1.5% 2.9% 5.5% 9.1% 10.6% 10.8%30-59 0.3% 15.7% 36.6% 43.6% 0.2% 3.2% 0.2% 0.1% 30-59 0.94% 3.8% 10.4% 21.4% 28.4% 35.1% 39.7% 41.1% 41.2%60-89 0.5% 5.9% 5.1% 23.5% 50.1% 14.3% 0.1% 0.4% 60-89 0.55% 6.2% 14.7% 28.3% 36.5% 44.2% 48.9% 50.1% 50.2%90+ 0.1% 3.5% 0.2% 0.4% 88.4% 5.8% 0.6% 1.0% 90+ 3.89% 7.2% 15.5% 29.2% 37.6% 45.5% 50.3% 51.6% 51.7%

Feb-11 to Mar-11

90+ 0.1% 3.5% 0.2% 0.4% 88.4% 5.8% 0.6% 1.0% 90+ 3.89% 7.2% 15.5% 29.2% 37.6% 45.5% 50.3% 51.6% 51.7%Frcl 0.2% 1.1% 0.0% 0.1% 4.5% 90.1% 2.1% 1.8% Frcl 4.09% 13.4% 26.4% 43.1% 51.9% 59.5% 63.7% 64.7% 64.7%REO 0.0% 0.0% 0.0% 0.0% 0.0% 0.8% 78.6% 20.5% REO 0.58% 73.6% 91.4% 97.3% 98.0% 98.4% 98.6% 98.6% 98.6%


FTo

PTo

C tTo

30 59To

60 89To90

ToF l

ToREO

ToD f lt F

Out-t di 6 th 1 2 3 5 10 20 Lif






Subprime 60+ Delinquencies (%) by CLTV Alt A 60+ Delinquencies (%) by CLTV

June 3, 2011

10%

20%

30%

40%

50%

60%

1: <80 2: 80-90 3: 90-100 4: 100-110 5: >=110

Dec-08 Jun-09 Dec-09

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

1: <80 2: 80-90 3: 90-100 4: 100-110 5: >=110

Dec-08 Jun-09 Dec-09

Option ARM 60+ Delinquencies (%) by CLTV Prime 60+ Delinquencies (%) by CLTV


0%

10%

20%

30%

40%

50%

60%

1: <80 2: 80-90 3: 90-100 4: 100-110 5: >=110

Dec-08 Jun-09 Dec-09Jun-10 Dec-10 May-11

10%

20%

30%

40%

50%

60%

1: <80 2: 80-90 3: 90-100 4: 100-110 5: >=110


0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

1: <80 2: 80-90 3: 90-100 4: 100-110 5: >=110


0%

4%

8%

12%

16%

20%

1: <80 2: 80-90 3: 90-100 4: 100-110 5: >=110



Liquidation Timelines and Performance Quality by Servicer

Timing # of Liquidation Source Months in Bucket Avg Time Quality Always Always Cur # of BalanceSector Servicer Rank Dflts 60+ F/C REO 60+ F/C REO to Liq Rank Cur 60+ to 30 Roll Modded Loans ($bn)Prime Wells Fargo 5 3,430 18% 23% 59% 6.8 6.1 4.7 14.6 5 79% 9% 0.5% 4.0% 126,246 60.0$ Prime WaMu 8 890 19% 43% 38% 6.6 8.2 5.1 15.2 9 62% 18% 0.8% 5.0% 53,121 29.3$ Prime Chase 1 981 36% 39% 25% 6.7 8.6 5.6 13.6 8 69% 14% 0.6% 2.0% 46,399 23.7$ Prime Bank of America 10 664 59% 5% 36% 10.2 8.1 6.4 15.9 7 68% 14% 0.5% 3.0% 38,095 17.9$ Prime Countrywide 3 586 64% 7% 29% 9.0 9.2 6.8 14.3 10 59% 19% 0.9% 6.0% 26,916 13.4$ Prime Cenlar 7 217 17% 31% 53% 3.9 8.3 7.5 14.9 6 73% 11% 0.6% 2.0% 9,494 6.4$ Prime GMAC 9 220 11% 35% 54% 5.9 7.1 5.9 15.4 2 68% 7% 0.3% 8.0% 16,377 6.3$ Prime PHH 4 133 17% 13% 71% 6.3 4.5 6.3 14.6 3 80% 6% 0.4% 2.0% 11,856 5.8$ Prime Citi 6 75 16% 56% 28% 7.5 6.6 6.3 14.8 1 78% 5% 0.3% 5.0% 12,207 5.5$ Prime National City 2 118 23% 37% 40% 4.6 7.0 10.2 14.1 4 71% 10% 0.4% 4.0% 10,161 4.3$ Alt-A Countrywide 1 3,691 56% 7% 37% 7.3 9.4 7.7 14.3 9 51% 35% 1.2% 13.0% 73,860 29.2$ Alt-A IndyMac 6 4,256 8% 28% 63% 5.1 8.6 6.5 16.9 4 56% 23% 1.0% 16.0% 81,489 28.8$ Alt-A Aurora 5 5,089 6% 13% 81% 6.6 6.3 5.5 16.9 1 67% 20% 0.6% 8.0% 92,586 26.6$ Alt-A Wells Fargo 10 4,833 13% 8% 78% 6.1 8.3 6.6 18.3 3 63% 22% 0.8% 13.0% 89,570 23.2$ Alt-A GMAC 9 4,693 17% 12% 71% 6.0 8.5 7.1 18.1 6 50% 28% 1.0% 21.0% 76,293 20.7$ Alt-A Bank of America 7 1,199 34% 6% 59% 7.5 8.7 6.7 17.0 2 72% 21% 0.5% 4.0% 75,677 12.7$ Alt-A EMC 2 3,173 32% 10% 58% 8.5 6.8 5.8 16.5 8 48% 35% 0.7% 16.0% 49,617 11.6$ Alt-A WaMu 4 1,144 12% 25% 63% 4.4 8.9 7.4 16.9 5 63% 25% 0.8% 9.0% 37,159 9.7$

Alt-A Greenpoint 3 1,491 39% 7% 53% 6.1 9.0 9.8 16.6 10 50% 36% 1.0% 9.0% 35,683 8.9$

Alt-A Chase 8 1,051 25% 31% 44% 6.6 10.7 6.2 17.3 7 58% 33% 0.8% 4.0% 30,504 7.8$ Option ARM Countrywide 10 4,410 46% 5% 49% 9.4 9.7 7.6 18.3 10 31% 55% 2.0% 10.0% 73,200 29.3$ Option ARM WaMu 4 2,437 11% 33% 56% 4.9 9.3 5.8 16.4 6 52% 37% 1.2% 6.0% 50,486 25.9$ Option ARM EMC 7 1,279 35% 11% 55% 10.2 6.4 5.5 17.6 9 33% 49% 2.9% 16.0% 39,658 14.9$ Option ARM American Home Mortgage 5 2,122 19% 13% 68% 4.2 9.4 7.0 16.5 5 47% 34% 1.6% 15.0% 33,303 13.4$ Option ARM IndyMac 9 2,075 7% 22% 71% 5.7 7.9 6.8 17.9 4 46% 32% 1.7% 13.0% 35,112 12.4$

A-43

Option ARM IndyMac 9 2,075 7% 22% 71% 5.7 7.9 6.8 17.9 4 46% 32% 1.7% 13.0% 35,112 12.4$ Option ARM GMAC 2 891 17% 22% 61% 5.1 7.3 6.0 14.9 3 42% 24% 2.0% 31.0% 14,520 6.2$ Option ARM Downey 6 543 4% 19% 78% 5.8 5.4 8.1 17.4 1 46% 24% 1.2% 29.0% 8,835 3.4$ Option ARM HomeComings 8 837 3% 14% 83% 7.3 6.1 5.6 17.9 8 43% 42% 2.1% 6.0% 8,878 3.2$ Option ARM Greenpoint 1 663 26% 9% 65% 7.5 4.2 5.6 14.3 2 39% 26% 1.6% 34.0% 7,851 2.8$ Option ARM Aurora 3 111 31% 5% 64% 8.6 4.3 6.6 15.8 7 46% 39% 1.5% 11.0% 5,161 2.2$ Subprime Option One 4 7,920 14% 22% 64% 5.9 9.4 7.7 18.9 5 26% 34% 1.3% 47.0% 182,091 34.0$ Subprime Wells Fargo 9 7,989 10% 5% 85% 8.8 9.0 7.0 22.9 6 31% 35% 1.0% 38.0% 154,553 24.8$ Subprime Countrywide 10 3,799 34% 11% 55% 10.8 12.0 9.5 23.9 10 21% 58% 1.2% 20.0% 116,905 20.3$ Subprime Ocwen 3 4,631 9% 17% 74% 5.6 6.8 9.2 18.6 1 27% 27% 1.1% 55.0% 143,949 20.3$ Subprime Ameriquest 7 5,596 14% 30% 56% 6.3 11.0 7.0 19.6 2 38% 27% 0.9% 34.0% 119,125 18.9$ Subprime Chase 2 3,246 25% 33% 42% 5.9 12.4 6.0 17.7 7 29% 39% 1.2% 34.0% 111,639 18.7$ Subprime Saxon 8 3,442 7% 24% 70% 8.1 9.1 7.2 21.7 4 23% 34% 1.2% 36.0% 84,650 14.6$ Subprime EMC 1 3,760 66% 6% 28% 9.9 6.8 6.4 14.0 9 26% 46% 1.5% 36.0% 100,771 13.8$ Subprime HomeEq 5 2,868 15% 30% 55% 8.0 7.3 9.6 19.4 3 33% 28% 1.3% 28.0% 84,889 13.8$ Subprime WaMu 6 2,981 27% 12% 61% 10.2 6.6 7.5 19.5 8 22% 47% 1.3% 42.0% 77,300 13.5$ (Past 6 months data)Source: J.P. Morgan, Loan Performance

A-43


Liquidation Timelines and Performance Quality by Shelf

Timing # of Liquidation SourceMonths in Bucket Avg Time Quality Always Always Cur Proj 1Y # of BalanceSector Shelf Rank Dflts 60+ F/C REO 60+ F/C REO to Liq Rank Cur 60+ to 30 Roll DLQ Modded Loans ($bn)Prime WFMBS 7 3,194 15% 23% 62% 6.7 6.1 4.6 14.7 1 82% 8% 0.4% 12% 4.0% 130,156 60.7$ Prime CWHL 6 947 32% 7% 61% 9.9 3.5 3.8 14.6 7 64% 15% 0.8% 21% 4.0% 64,752 30.6$ Prime WAMU 9 835 19% 43% 38% 6.5 8.4 5.0 15.1 10 61% 20% 0.8% 26% 5.0% 43,784 25.2$ Prime JPMMT 4 789 39% 23% 38% 7.4 7.2 6.0 14.1 8 67% 15% 0.8% 21% 2.0% 36,487 17.6$ Prime GSR 3 648 38% 20% 42% 7.3 6.6 5.8 13.8 6 68% 13% 0.7% 19% 5.0% 36,080 17.1$ Prime BOAMS 10 431 59% 5% 36% 10.2 8.4 6.4 15.9 4 70% 12% 0.4% 15% 2.0% 30,212 13.8$ Prime TMST 5 335 21% 29% 50% 4.8 7.2 7.2 14.1 3 76% 9% 0.5% 14% 2.0% 19,810 11.9$ Prime RFMSI 1 534 11% 54% 35% 4.6 8.1 5.0 13.6 2 66% 9% 0.5% 13% 13.0% 27,246 10.9$ Prime BAFC 8 613 36% 17% 47% 7.9 7.0 5.5 15.0 8 67% 15% 0.8% 21% 4.0% 21,302 10.7$ Prime CHASE 2 419 31% 56% 14% 5.5 10.7 5.3 13.8 5 72% 14% 0.4% 17% 2.0% 20,442 10.6$ Alt-A CWALT 8 6,006 23% 6% 71% 8.9 5.4 5.6 17.0 6 61% 26% 0.8% 32% 6.0% 291,803 65.8$ Alt-A RALI 1 3,788 13% 37% 50% 3.7 9.1 5.2 14.2 1 62% 18% 0.7% 23% 18.0% 111,457 21.7$ Alt-A SARM 4 2,148 10% 15% 75% 7.0 5.7 5.5 16.2 3 66% 21% 0.8% 27% 8.0% 48,491 18.4$ Alt-A GSAA 2 3,290 35% 12% 53% 6.1 8.0 7.8 15.4 10 48% 35% 1.1% 41% 14.0% 61,087 15.4$ Alt-A INDX 7 2,405 7% 31% 62% 4.7 9.1 6.1 16.8 5 54% 25% 1.0% 31% 17.0% 41,819 14.3$ Alt-A BALTA 6 2,738 31% 9% 60% 7.8 7.3 6.5 16.7 8 50% 34% 0.7% 38% 14.0% 54,045 14.1$ Alt-A MSM 9 1,798 16% 15% 69% 6.0 8.4 7.2 18.0 4 58% 23% 0.9% 29% 18.0% 39,408 11.8$ Alt-A DBALT 10 2,594 25% 10% 65% 6.4 9.1 7.5 18.1 9 48% 34% 1.1% 40% 15.0% 44,013 11.4$

Alt-A RAST 3 1,033 6% 30% 63% 4.5 8.5 6.2 16.2 2 63% 19% 0.7% 24% 13.0% 34,839 11.0$

Alt-A BAFC 5 1,397 29% 9% 62% 6.3 8.5 6.9 16.6 7 59% 28% 0.9% 34% 9.0% 29,490 9.8$ Option ARM CWALT 10 3,246 24% 6% 70% 11.2 6.2 4.9 19.3 10 31% 56% 1.6% 62% 8.0% 58,729 23.5$ Option ARM HVMLT 5 3,552 30% 11% 59% 7.3 8.7 7.0 17.5 6 37% 45% 1.8% 53% 14.0% 56,352 21.5$ Option ARM WAMU 2 1,417 10% 35% 54% 4.6 8.8 5.5 15.4 2 58% 32% 1.1% 40% 4.0% 34,523 19.1$ Option ARM LXS 4 3,079 15% 14% 71% 6.8 6.6 6.3 16.9 5 41% 39% 1.9% 48% 14.0% 41,395 15.6$ Option ARM SAMI 6 1,742 46% 7% 48% 8.9 9.3 7.1 17.5 9 33% 52% 2.4% 62% 10.0% 31,660 12.2$

A-44

Option ARM SAMI 6 1,742 46% 7% 48% 8.9 9.3 7.1 17.5 9 33% 52% 2.4% 62% 10.0% 31,660 12.2$ Option ARM RALI 8 2,501 3% 14% 83% 7.4 6.3 5.3 17.9 7 43% 43% 2.0% 53% 5.0% 26,110 9.7$ Option ARM GPMF 1 1,816 25% 13% 62% 8.0 5.2 5.6 15.3 4 40% 37% 2.0% 47% 21.0% 21,991 7.8$ Option ARM INDX 7 1,218 6% 32% 62% 5.3 8.8 6.6 17.6 1 46% 30% 1.7% 39% 14.0% 21,966 7.4$ Option ARM WMALT 9 1,143 9% 31% 60% 5.2 10.2 6.1 18.1 8 34% 50% 2.1% 59% 12.0% 16,406 6.8$ Option ARM AHMA 3 1,020 18% 17% 64% 4.4 9.0 6.7 15.9 3 48% 33% 1.5% 42% 15.0% 16,446 6.5$ Subprime CWL 10 7,220 29% 11% 60% 11.6 9.0 8.3 23.0 10 27% 51% 1.2% 55% 22.0% 380,623 51.7$ Subprime MSAC 9 4,301 19% 17% 64% 9.1 9.5 8.2 22.1 6 23% 44% 1.1% 47% 31.0% 113,806 18.9$ Subprime FFML 6 3,643 19% 8% 74% 8.2 7.5 7.0 19.6 5 30% 40% 1.4% 45% 34.0% 104,764 15.3$ Subprime BSABS 1 3,953 63% 6% 31% 9.9 6.6 6.1 14.2 8 27% 44% 1.2% 48% 36.0% 84,214 13.3$ Subprime ACE 8 3,192 14% 15% 71% 7.2 8.3 8.7 20.5 4 24% 39% 1.2% 42% 45.0% 81,864 12.6$ Subprime SASC 7 3,329 15% 9% 76% 7.6 8.7 7.0 20.3 2 29% 35% 1.1% 39% 39.0% 84,573 11.8$ Subprime SVHE 5 2,606 14% 22% 64% 6.6 9.3 7.3 19.3 3 24% 36% 1.3% 40% 48.0% 65,402 11.8$ Subprime LBMLT 4 2,671 29% 12% 58% 10.5 6.3 7.5 19.1 9 24% 47% 1.2% 50% 41.0% 67,098 11.4$ Subprime JPMAC 3 2,074 20% 40% 40% 5.9 13.3 6.1 19.0 7 26% 43% 1.5% 48% 37.0% 60,687 11.0$ Subprime RASC 2 3,722 22% 24% 54% 4.6 11.6 5.4 16.6 1 29% 32% 1.2% 36% 40.0% 85,172 10.8$ (Past 6 months data)Source: J.P. Morgan, Loan Performance

A-44


Pipeline Age and Timeline Extension

Months in state for existing pipeline

Time to liquidationBased on existing pipeline and recent liquidations By Product

0

2

4

6

8

10

12

14

16

18

Jan-07 Sep-07 May-08 Jan-09 Sep-09 May-10 Jan-11

60+ Age F/C Age

REO Age

35

40

Series1 Series2

35

40 Subprime Option ARM

Alt-A Prime

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0

2

4

6

8

10

12

14

16

18


60+ Age F/C Age

REO Age

10

15

20

25

30

35

40


Series1 Series2

0

5

10

15

20

25

30

35

40


Subprime Option ARM

Alt-A Prime

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Timeline Extension by Servicer

Bal # of Months in State (Pipeline) Pace Months in State (Liquidation) TimelineSector Servicer ($ bn) Loans 60+ F/C REO Total vs Avg 60+ F/C REO Total ExtensionPrime Wells Fargo 60.0 128,115 9.9 7.0 4.5 21.4 -5.3 6.8 6.1 4.7 17.6 3.8Prime WaMu 29.3 53,785 11.4 11.2 5.5 28.1 1.3 6.6 8.2 5.1 19.9 8.2Prime Chase 23.7 47,095 13.5 11.3 5.8 30.6 3.8 6.7 8.6 5.6 20.9 9.7Prime Bank of America 17.9 38,685 15.1 10.7 5.5 31.3 4.6 10.2 8.1 6.4 24.7 6.6Prime Countrywide 13.4 27,257 13.8 13.0 6.1 32.8 6.1 9.0 9.2 6.8 25.0 7.8Prime Cenlar 6.4 9,642 12.7 9.1 5.9 27.6 0.9 3.9 8.3 7.5 19.8 7.9Prime GMAC 6.3 16,582 8.5 8.7 4.8 22.0 -4.7 5.9 7.1 5.9 18.9 3.1Prime PHH 5.8 12,024 8.1 7.7 7.0 22.9 -3.9 6.3 4.5 6.3 17.0 5.8Prime Citi 5.5 12,552 8.9 8.1 4.0 21.1 -5.7 7.5 6.6 6.3 20.4 0.7Prime National City 4.3 10,284 10.0 10.1 9.5 29.6 2.8 4.6 7.0 10.2 21.8 7.8Alt-A Countrywide 30.7 77,808 15.2 14.6 5.8 35.6 3.1 7.3 9.4 7.7 24.4 11.1Alt-A IndyMac 30.7 85,584 11.4 12.3 6.1 29.8 -2.6 5.1 8.6 6.5 20.2 9.6Alt-A Aurora 28.5 97,810 14.5 9.7 5.4 29.6 -2.9 6.6 6.3 5.5 18.3 11.2Alt-A Wells Fargo 23.2 90,593 12.0 10.4 5.9 28.3 -4.1 6.1 8.3 6.6 21.0 7.3Alt-A GMAC 22.1 78,631 13.8 12.5 6.7 32.9 0.5 6.0 8.5 7.1 21.6 11.3Alt-A EMC 17.2 63,911 15.0 9.8 6.7 31.4 -1.0 8.5 6.8 5.8 21.1 10.3Alt-A Bank of America 12.7 76,277 14.1 12.1 6.5 32.7 0.2 7.5 8.7 6.7 22.8 9.8Alt-A WaMu 9.8 37,764 11.3 12.9 6.6 30.8 -1.6 4.4 8.9 7.4 20.7 10.1

Alt-A Greenpoint 8.9 35,976 15.3 14.6 7.8 37.7 5.3 6.1 9.0 9.8 24.9 12.8

Alt-A Chase 7.8 30,824 15.9 12.2 7.3 35.4 3.0 6.6 10.7 6.2 23.5 11.9Option ARM Countrywide 27.8 70,528 18.2 14.6 5.6 38.3 7.6 9.4 9.7 7.6 26.7 11.6Option ARM WaMu 25.7 50,637 12.6 13.3 6.5 32.3 1.5 4.9 9.3 5.8 20.0 12.3Option ARM American Home Mortgage 12.1 30,665 9.4 13.0 5.6 28.0 -2.8 4.2 9.4 7.0 20.6 7.4Option ARM IndyMac 10.5 30,765 12.2 13.2 6.5 31.9 1.2 5.7 7.9 6.8 20.5 11.5Option ARM EMC 9.3 25,979 15.6 9.0 6.0 30.6 -0.1 10.2 6.4 5.5 22.2 8.5

A-46

Option ARM EMC 9.3 25,979 15.6 9.0 6.0 30.6 -0.1 10.2 6.4 5.5 22.2 8.5Option ARM GMAC 4.7 11,491 12.4 10.6 6.2 29.3 -1.5 5.1 7.3 6.0 18.4 10.8Option ARM Downey 3.4 8,922 12.5 7.0 8.3 27.8 -3.0 5.8 5.4 8.1 19.3 8.5Option ARM HomeComings 3.0 8,432 15.3 10.3 5.3 30.9 0.1 7.3 6.1 5.6 19.0 11.9Option ARM Greenpoint 2.8 7,938 13.4 8.4 6.4 28.2 -2.5 7.5 4.2 5.6 17.4 10.8Option ARM RFC 0.8 2,276 13.6 12.0 4.6 30.2 -0.5 6.1 8.0 6.3 20.4 9.8Subprime Option One 33.6 173,303 14.1 11.2 6.7 32.0 -2.9 5.9 9.4 7.7 23.0 9.0Subprime Wells Fargo 24.3 143,142 15.6 10.8 6.6 33.0 -1.8 8.8 9.0 7.0 24.8 8.2Subprime Countrywide 19.8 106,137 20.3 14.6 8.1 43.0 8.2 10.8 12.0 9.5 32.3 10.7Subprime Ocwen 19.4 122,100 15.4 9.0 8.7 33.0 -1.8 5.6 6.8 9.2 21.6 11.5Subprime Ameriquest 18.8 119,352 13.9 12.2 7.0 33.1 -1.8 6.3 11.0 7.0 24.2 8.8Subprime Chase 18.5 107,202 13.1 13.9 6.8 33.7 -1.1 5.9 12.4 6.0 24.3 9.4Subprime Saxon 14.3 78,513 18.6 11.9 7.0 37.4 2.6 8.1 9.1 7.2 24.3 13.1Subprime HomeEq 13.5 78,572 19.3 9.3 8.4 37.0 2.1 8.0 7.3 9.6 24.8 12.1Subprime WaMu 13.3 71,811 15.9 9.1 8.4 33.4 -1.4 10.2 6.6 7.5 24.2 9.2Subprime EMC 12.5 69,847 17.0 8.5 7.3 32.7 -2.1 9.9 6.8 6.4 23.2 9.6Note: Pace vs avg indicates speed relative to other servicers. Negative numbers are faster. Timeline extension is the difference between months in inventory vs historical liquidations.Source: J.P. Morgan, Loan Performance

A-46


Modification Summary

By Product TypeModified Loan Perf Mods JPM Identified Mods Average

Bal % of Cap Cap Rate Forgive Cap % PmtProduct Type Count* ($ bn) Out Princ Rate Only Princ Rate Only Drop Amt Amt ChgPrime Fixed 11,424 5.6 4% 269 7,995 357 114 2,125 564 2.81 105,212 22,107 -23Prime Hybrid 12,272 6.3 4% 312 8,319 896 123 1,781 841 2.46 98,640 24,243 -21Alt-A Fixed 79,980 20.9 11% 2,556 43,734 4,984 911 21,673 6,122 2.78 81,891 16,147 -20Alt-A Hybrid 77,744 26.6 15% 2,321 49,400 5,357 599 12,367 7,700 2.90 95,720 19,148 -20Option ARM 45,469 19.5 12% 4,668 24,148 2,492 966 8,433 4,762 2.23 104,539 21,414 -16Subprime Fixed 199,275 29.7 23% 5,587 102,223 11,674 3,633 60,206 15,952 3.68 47,705 10,442 -21Subprime Hybrid 501,168 105.3 41% 4,659 314,787 30,715 436 84,119 66,452 3.64 60,276 15,788 -21Total 927,332 213.8 20,372 550,606 56,475 6,782 190,704 102,393 3.41 73,011 15,407 -20

By Mod TypeModified Loan Perf Mods JPM Identified Mods Average

Bal % of Cap Cap Rate Forgive Cap % PmtMod Type Count ($ bn) Out Princ Rate Only Princ Rate Only Drop Amt Amt ChgLP Principal 20,372 4.6 20,372 4.02 72,400 -40LP Rate 550,606 129.1 550,606 3.59 17,030 -25LP Cap Only 56,475 12.2 56,475 13,176 4JPM Principal 6,782 1.4 6,782 3.52 74,847 -36JPM Rate 190,704 42.9 190,704 2.85 15,815 -21JPM Cap Only 102,393 23.6 102,393 12,373 -1

Twenty Most Active ShelvesModified Loan Perf Mods JPM Identified Mods Average

Bal % of Cap Cap Rate Forgive Cap % PmtRank Shelf Count ($ bn) Out Princ Rate Only Princ Rate Only Drop Amt Amt Chg

1 CWL 57,620 11.3 22% 241 23,984 8,120 313 12,506 12,456 2.96 57,580 11,625 -142 ACE 31,602 5.6 45% 454 19,562 1,290 219 6,598 3,479 4.04 47,052 13,350 -233 MSAC 29,476 5.8 31% 262 16,170 2,064 150 4,997 5,833 3.92 44,598 15,818 -204 RASC 27,047 4.4 40% 4 17,958 1,820 44 5,513 1,708 3.03 52,825 12,770 -95 BSABS 27,042 5.5 29% 82 16,169 2,473 84 5,525 2,709 2.78 53,938 14,908 -216 SVHE 26,480 5.6 48% 208 17,103 854 108 5,121 3,086 4.14 53,113 15,995 -23

A-47

6 SVHE 26,480 5.6 48% 208 17,103 854 108 5,121 3,086 4.14 53,113 15,995 237 FFML 26,252 5.2 34% 295 18,328 1,209 91 3,139 3,190 3.34 50,224 14,007 -228 SASC 24,065 5.0 24% 246 13,321 1,733 119 6,436 2,210 3.60 59,126 14,947 -219 CMLTI 22,658 5.1 21% 344 14,911 1,538 120 4,027 1,718 3.45 65,696 15,770 -20

10 GSAMP 22,558 4.0 40% 1,229 15,180 1,087 92 3,276 1,694 4.08 49,307 12,664 -2511 LBMLT 21,836 4.6 41% 76 15,172 900 61 4,028 1,599 3.50 64,968 17,202 -2612 OOMLT 20,577 4.8 49% 101 10,334 1,407 113 4,738 3,884 4.25 83,812 18,280 -2213 SAIL 20,500 4.1 35% 73 12,219 1,447 63 4,490 2,208 3.69 53,520 16,167 -2114 CARR 19,749 4.5 66% 5 12,068 197 1 5,145 2,333 2.28 96,800 16,022 -1815 NCHET 19,650 3.8 54% 55 10,896 382 61 6,490 1,766 2.58 45,153 14,649 -2216 RAMP 19,016 3.3 31% 12 12,182 893 54 4,580 1,295 3.01 52,218 13,196 -1017 JPMAC 18,939 4.1 37% 184 13,825 753 54 2,149 1,974 4.28 55,147 15,604 -2818 CWALT 17,605 5.9 7% 517 7,790 1,357 309 3,801 3,831 2.74 79,009 16,139 -1619 ARSI 16,868 3.5 39% 123 13,391 175 66 1,500 1,613 4.36 57,200 21,464 -2620 RALI 15,397 4.5 14% 180 9,594 509 176 4,079 859 2.52 94,038 16,534 -12

* Includes loans identified by LP or JPM logic as having been modified. The totals here only include loans that are still outstanding


A-47


Modification History

Number of Mods by Product Type Number of Mods by Mod TypeMod Type May Apr % Chg To Date Mod Type May Apr % Chg To DatePrime Fixed 504 534 -6% 11,904 LP IdentifiedPrime ARM 460 439 5% 13,150 Principal 520 785 -34% 23,852Alt-A Fixed 2,259 2,560 -12% 92,498 Rate 5,126 6,937 -26% 644,698Alt-A ARM 1,704 2,145 -21% 88,384 Cap Only 448 469 -4% 74,064Option ARM 1,173 1,322 -11% 49,352Subprime Fixed 5,498 6,656 -17% 249,985 JPM IdentifiedSubprime ARM 7,577 10,246 -26% 607,299 Principal 1,105 999 11% 7,376Total 19,175 23,902 -20% 1,112,572 Rate 8,555 10,953 -22% 230,584

Cap Only 3,421 3,759 -9% 131,998

Total 19,175 23,902 -20% 1,112,572

Time Series by Product

Time Series by Type

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11

# of M

ods

SubprimeOption ARMAlt-APrime

A-48

Includes all modifications, including loans that have since paid down or been liquidated


0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000


# of M

ods


0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000


# of M

ods

Cap Only Rate

Principal

A-48


Redefault Summary

Summary Table By Mod TypeModification 3M 6M 9M 12M 15MLP IdentifiedPrincipal 5% 13% 19% 27% 35%Rate 12% 25% 34% 42% 50%Cap Only 23% 44% 55% 62% 68%

JPM IdentifiedPrincipal 7% 16% 25% 31% 38%Rate 14% 29% 39% 46% 52%Cap Only 18% 39% 50% 58% 65%

By Payment Chg>20% Dec 9% 19% 28% 35% 44%10-20% Dec 14% 31% 41% 49% 56% By Payment Change0-10% Dec 17% 35% 46% 54% 60%Unch 17% 36% 47% 54% 60%Inc 24% 45% 56% 63% 68%

By Modification Date1H07 27% 52% 63% 68% 70%2H07 32% 56% 67% 72% 75%1H08 25% 50% 63% 69% 72%2H08 28% 49% 59% 65% 69%1H09 17% 36% 47% 52% 54%2H09 13% 26% 33% 39% 43%1H10 8% 17% 24% 28%2H10 9% 18%

By Modification Date

0%10%20%30%40%50%60%70%80%

0 4 8 12 16 20 24

LP Cap OnlyJPM Cap OnlyJPM RateLP RateJPM PrinLP Prin

0%10%20%30%40%50%60%70%80%

0 4 8 12 16 20 24

IncUnch0-10% Dec10-20% Dec>20% Dec

50%

60%

70%

80%

A-49

Redefault is defined as 60+ delinquencyIncludes all modifications on loans that were 60+ days delinquent at the time of modification


0%10%20%30%40%50%60%70%80%

0 4 8 12 16 20 24

LP Cap OnlyJPM Cap OnlyJPM RateLP RateJPM PrinLP Prin

0%10%20%30%40%50%60%70%80%

0 4 8 12 16 20 24

IncUnch0-10% Dec10-20% Dec>20% Dec

0%

10%

20%

30%

40%

50%

60%

70%

80%

0 4 8 12 16 20 24

1H072H071H082H081H092H091H102H10

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HAMP Report

HAMP Modification Activity by ServicerNumbers through Mar 2011

Est Eligible Mar Total % of Mar Total % of Active % of60+ DLQ Offers Offers Elig Started Started Elig Perm Mods Elig

Bank of America 383,154 16,865 509,907 133% 12,622 378,584 99% 107,010 28%J.P. Morgan Chase Bank 199,075 5,665 299,987 151% 8,190 241,843 121% 75,973 38%Wells Fargo Bank 153,401 4,736 307,687 201% 3,628 223,052 145% 80,111 52%CitiMortgage 93,451 1,445 174,885 187% 1,140 129,545 139% 44,736 48%American Home Mortgage 49,370 594 34,748 70% 1,670 31,597 64% 20,762 42%Ocwen 40,796 878 46,364 114% 723 43,242 106% 26,058 64%Litton Loan 40,289 1,077 67,493 168% 698 50,533 125% 23,879 59%OneWest Bank 40,265 929 41,072 102% 227 36,111 90% 8,924 22%Aurora Loan Services 31,566 717 31,173 99% 651 54,355 172% 23,629 75%

Nationstar Mortgage 27,673 442 50,633 183% 315 39,722 144% 13,619 49%

Total 1,341,857 36,546 1,820,372 136% 36,827 1,559,023 116% 586,916 44%

Monthly Activity

110119

145135

159

115 118

94120140160180

difica

tions

Trial Mods

Perm Mods

A-50

Full report available at http://www.financialstability.gov

Source: J.P. Morgan, Treasury

55

110119

145135

159

115 118

94 8871

48

26 1828 23 31 30 30 32 27 20

37

5 11 1536

50 53 61 6848 51

37 33 2824

30 30 28 26 36

020406080

100120140160180

May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar

Thou

sand

s of M

odific

ation

s

Trial Mods

Perm Mods

A-50


ARM Resets

Monthly Balance of Resets ($ bn) by Product Monthly Avg Pmt Shock (%) by ProductHistorical Historical

Yearly Reset Balance Projections Monthly Reset Balance ProjectionsReset Balance ($bn) # of

Year Prime Alt-A Option ARM Subprime Total Loans

2011 11 26 59 3 99 248,227

2012 17 33 50 5 104 239,962

2013 12 11 1 0 24 53,136

2014 11 8 0 0 20 35,611

2015 13 9 0 0 22 45,992

2016 10 11 5 1 27 55,350

2017 8 8 7 0 22 41,951

2018 0 0 0 0 0 830

Monthly Avg Pmt Shock (%) by ProductProjected (constant rates) Projected (forward rates)

0

5

10

15

20

25

30

Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13


0

5

10

15

20

25

30

00 01 02 03 04 05 06 07 08 09 10 11

Subprime

Option ARMAlt-A

Prime

-40

-20

0

20

40

60

80

100

120

00 01 02 03 04 05 06 07 08 09 10 11

PrimeAlt-AOption ARMSubprime

40

50 PrimeAlt-AOption ARMSubprime

30

40

50 PrimeAlt-AOption ARMSubprime

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Yearly Payment Projections(constant rates) (forward rates)

Year Current Reset % Shock % Inc % Dec Current Reset Chg Reset % Shock % Inc % Dec Reset Chg

2011 2,751 2,890 9% 65% 35% 4.66 3.37 -1.30 2,934 10% 67% 33% 3.50 -1.16

2012 2,994 3,123 9% 64% 36% 5.30 3.26 -2.04 3,416 19% 76% 24% 4.09 -1.20

2013 3,618 3,353 -3% 24% 76% 5.92 2.94 -2.98 4,212 22% 88% 12% 5.33 -0.59

2014 4,315 4,105 -1% 31% 69% 5.91 2.88 -3.04 5,486 32% 94% 6% 5.95 0.03

2015 3,339 3,721 14% 82% 18% 5.61 3.03 -2.58 5,134 57% 100% 0% 6.85 1.24

2016 3,782 4,114 13% 73% 27% 5.68 3.21 -2.48 5,832 61% 99% 1% 7.34 1.66

2017 3,976 4,381 16% 76% 24% 5.81 3.00 -2.81 6,304 67% 99% 1% 7.32 1.51

2018 5,293 5,286 3% 59% 41% 6.33 3.13 -3.19 7,601 48% 98% 2% 7.53 1.20


Pmt Change RateAvg Payment Pmt Change Rate Avg Payment

0

5

10

15

20

25

30

Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13


0

5

10

15

20

25

30

00 01 02 03 04 05 06 07 08 09 10 11

Subprime

Option ARMAlt-A

Prime

-40

-20

0

20

40

60

80

100

120

00 01 02 03 04 05 06 07 08 09 10 11


-20

-10

0

10

20

30

40

50

Jun-11 Oct-11 Mar-12


-20

-10

0

10

20

30

40

50

Jun-11 Oct-11 Mar-12


A-51


Ratings Downgrades

Balance Distribution of Originally AAA Bonds by Worst Current Rating

Investment Grade Non-investment GradeSector Vintage AAA AA A BBB BB B CCC C

Prime 2003 54% 13% 19% 11% 3% 0% 0% 0%2004 24% 9% 19% 22% 13% 9% 4% 0%2005 7% 4% 5% 10% 11% 25% 30% 8%2006 16% 1% 1% 2% 4% 17% 22% 38%2007 10% 0% 1% 1% 2% 6% 34% 46%All 16% 3% 5% 6% 5% 12% 25% 28%

Alt-A 2003 46% 18% 21% 10% 3% 3% 0% 0%2004 11% 8% 9% 24% 13% 20% 12% 3%2005 2% 1% 1% 1% 2% 9% 56% 28%2006 0% 1% 0% 0% 0% 2% 33% 63%2007 0% 1% 0% 0% 1% 1% 29% 68%All 2% 1% 1% 2% 1% 4% 35% 55%

Subprime 2003 11% 15% 24% 21% 18% 7% 1% 3%2004 27% 27% 20% 8% 9% 6% 2% 1%2005 13% 11% 9% 5% 16% 14% 18% 13%2006 5% 1% 1% 1% 3% 5% 26% 60%2007 4% 3% 0% 3% 2% 3% 26% 59%All 6% 4% 3% 3% 5% 5% 24% 50%

All Non-agy 7% 3% 3% 3% 3% 6% 30% 46%

Originally AAA-rated securities are grouped by the lowest current rating by Moody's, S&P, and Fitch.

Source: J.P. Morgan, Moody's, S&P, Fitch

A-52


Historical Vintage Performance (2007 Orig)



0

5

10

15

20

25

Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

1M CDR

0

10

20

30

40

50

60

70

80

90

Loss Severity (%)

0

10

20

30

40

50

60


60+ Delinquency (%)

A-53

Cum Loss


0

5

10

15

20

25


1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18


1M CDR

0

10

20

30

40

50

60

70

80

90


Loss Severity (%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%


Cum Loss (%)

Jumbo FixedJumbo Hybrid

Alt-A FixedAlt-A Hybrid

Option ARMSubprime Fixed

Subprime Hybrid

Legend:

0

10

20

30

40

50

60


60+ Delinquency (%)

A-53





0

5

10

15

20

25


1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

20

1M CDR

0

10

20

30

40

50

60

70

80

90

Loss Severity (%)

0

10

20

30

40

50

60

70


60+ Delinquency (%)

A-54

Cum Loss


0

5

10

15

20

25


1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

20


1M CDR

0

10

20

30

40

50

60

70

80

90


Loss Severity (%)

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%


Cum Loss (%)

Jumbo FixedJumbo HybridAlt-A FixedAlt-A HybridOption ARMSubprime FixedSubprime Hybrid

Legend:

0

10

20

30

40

50

60

70


60+ Delinquency (%)

A-54





0

10

20

30

40

50

60


60+ Delinquency (%)

0

5

10

15

20

25

30


1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

20

1M CDR

0

10

20

30

40

50

60

70

80

Loss Severity

A-55

Cum Loss


0

10

20

30

40

50

60


60+ Delinquency (%)

0

5

10

15

20

25

30


1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

20


1M CDR

0

10

20

30

40

50

60

70

80


Loss Severity

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%


Cum Loss (%)

Jumbo FixedJumbo HybridAlt-A FixedAlt-A HybridOption ARMSubprime FixedSubprime Hybrid

Legend:

A-55





0

5

10

15

20

25

30

35

40

45

50


60+ Delinquency (%)

0

5

10

15

20

25

30

35

40


1M Voluntary CRR

0

2

4

6

8

10

12

14

1M CDR

0

10

20

30

40

50

60

70

80

90

Loss Severity

A-56

Cum Loss


0

5

10

15

20

25

30

35

40

45

50


60+ Delinquency (%)

0

5

10

15

20

25

30

35

40


1M Voluntary CRR

0

2

4

6

8

10

12

14


1M CDR

0

10

20

30

40

50

60

70

80

90


Loss Severity

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%


Cum Loss (%)

Jumbo Fixed

Jumbo Hybrid

Alt-A Fixed

Alt-A Hybrid

Option ARM

Subprime Fixed

Subprime Hybrid

Legend:

A-56


Prime Fixed Shelf Summary - 2007 Vintage



0

5

10

15

20

25

30

35

WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

60+ Delinquency (%)

0

5

10

15

20

25

WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

1M CDR

0

10

20

30

40

50

60WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

Loss Severity (%)

A-57


0

5

10

15

20

25

30

35

WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

60+ Delinquency (%)

0

5

10

15

20

25

WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

1M CDR

0

10

20

30

40

50

60WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

Loss Severity (%)

0

10

20

30

40

50

60

70

WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

Cum Severity (%)

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

WFMBS

CWHL

CHASE

RFMSI

JPMMT

GSAA

BOAMS

FHASI

MHL

BAFC

Cum Loss (%)

A-57


Prime Hybrid Shelf Summary - 2007 Vintage



0

5

10

15

20

25

30

35

WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

60+ Delinquency (%)

0

5

10

15

20

25

WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

1M Voluntary CRR

0

2

4

6

8

10

12

14

WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

1M CDR

0

10

20

30

40

50

60

70

80

90

100WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

Loss Severity (%)

A-58


0

5

10

15

20

25

30

35

WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

60+ Delinquency (%)

0

5

10

15

20

25

WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

1M Voluntary CRR

0

2

4

6

8

10

12

14

WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

1M CDR

0

10

20

30

40

50

60

70

80

90

100WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

Loss Severity (%)

0

10

20

30

40

50

60

70

WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

Cum Severity (%)

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

WAMU

WFMBS

THR

JPMMT

BSARM

CMLT

I

STARM

FHASI

CHASE

RFMSI

Cum Loss (%)

A-58


Alt-A Fixed Shelf Summary - 2007 Vintage



0

5

10

15

20

25

30

35

40

45

CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

1M Voluntary CRR

0

2

4

6

8

10

12

14

CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

Loss Severity (%)

A-59


0

5

10

15

20

25

30

35

40

45

CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

1M Voluntary CRR

0

2

4

6

8

10

12

14

CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

Loss Severity (%)

0

10

20

30

40

50

60

70

80

CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

Cum Severity (%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

CWALT

RALI

CMALT

WFALT

LMT

RAST

BAFC

CFLX

DBALT

FHAMS

Cum Loss (%)

A-59


Alt-A Hybrid Shelf Summary - 2007 Vintage



0

10

20

30

40

50

60

INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

60+ Delinquency (%)

0

2

4

6

8

10

12

INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

1M CDR

0

10

20

30

40

50

60

70INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

Loss Severity (%)

A-60


0

10

20

30

40

50

60

INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

60+ Delinquency (%)

0

2

4

6

8

10

12

INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

1M CDR

0

10

20

30

40

50

60

70INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

Loss Severity (%)

42

44

46

48

50

52

54

56

INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

Cum Severity (%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

INDX

CWALT

SARM

CWHL

DBALT

BCAP

BALT

A

GSAA

BAFC

MSM

Cum Loss (%)

A-60


Option ARM Shelf Summary - 2007 Vintage



0

10

20

30

40

50

60

LXS

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

LXS

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

20

LXS

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

1M CDR

0

10

20

30

40

50

60

70LX

S

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

Loss Severity (%)

A-61


0

10

20

30

40

50

60

LXS

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

LXS

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

20

LXS

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

1M CDR

0

10

20

30

40

50

60

70LX

S

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

Loss Severity (%)

48

50

52

54

56

58

60

62

LXS

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

Cum Severity (%)

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

LXS

WMALT

CWALT

SAMI

DBALT

RALI

HVMLT

BSARM

INDX

AHM

Cum Loss (%)

A-61


Subprime Fixed Shelf Summary - 2007 Vintage



0

10

20

30

40

50

60

CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

60+ Delinquency (%)

0

1

2

3

4

5

6

CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

10

CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

Loss Severity (%)

A-62


0

10

20

30

40

50

60

CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

60+ Delinquency (%)

0

1

2

3

4

5

6

CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

10

CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

Loss Severity (%)

0

10

20

30

40

50

60

70

80

CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

Cum Severity (%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

CWL

RAMC

SASC

FFMER

CMLT

I

SVHE

SAST

OOMLT

ACE

WMHE

Cum Loss (%)

A-62


Subprime Hybrid Shelf Summary - 2007 Vintage



0

10

20

30

40

50

60

70

CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

1M CDR

0

10

20

30

40

50

60

70

80

90CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

Loss Severity (%)

A-63


0

10

20

30

40

50

60

70

CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

1M CDR

0

10

20

30

40

50

60

70

80

90CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

Loss Severity (%)

52

54

56

58

60

62

64

66

68

70

72

CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

Cum Severity (%)

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

CWL

FFMER

SVHE

OOMLT

MSAC

CMLT

I

WMHE

BNCMT

SAST

BSABS

Cum Loss (%)

A-63





0

5

10

15

20

25

30

WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

60+ Delinquency (%)

0

5

10

15

20

25

30

WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

1M Voluntary CRR

0

2

4

6

8

10

12

WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

1M CDR

0

10

20

30

40

50

60

70WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

Loss Severity (%)

A-64


0

5

10

15

20

25

30

WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

60+ Delinquency (%)

0

5

10

15

20

25

30

WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

1M Voluntary CRR

0

2

4

6

8

10

12

WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

1M CDR

0

10

20

30

40

50

60

70WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

Loss Severity (%)

0

10

20

30

40

50

60

WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

Cum Severity (%)

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

WFMBS

CWHL

RFMSI

GSAA

JPMMT

CHASE

CSMC

BAFC

BOAMS

CMSI

Cum Loss (%)

A-64





0

5

10

15

20

25

30

35

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

60+ Delinquency (%)

0

2

4

6

8

10

12

14

16

18

20

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

1M CDR

0

10

20

30

40

50

60

70

80

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

Loss Severity (%)

A-65


0

5

10

15

20

25

30

35

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

60+ Delinquency (%)

0

2

4

6

8

10

12

14

16

18

20

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

1M CDR

0

10

20

30

40

50

60

70

80

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

Loss Severity (%)

0

10

20

30

40

50

60

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

Cum Severity (%)

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

WAMU

WFMBS

JPMMT

THR

BSARM

BAFC

CMLT

I

RFMSI

SEMT

GSAA

Cum Loss (%)

A-65





0

5

10

15

20

25

30

35

40

CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

1M Voluntary CRR

0

2

4

6

8

10

12

14

CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

1M CDR

0

10

20

30

40

50

60

70

80CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

Loss Severity (%)

A-66


0

5

10

15

20

25

30

35

40

CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

1M Voluntary CRR

0

2

4

6

8

10

12

14

CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

1M CDR

0

10

20

30

40

50

60

70

80CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

Loss Severity (%)

0

10

20

30

40

50

60

70

CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

Cum Severity (%)

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

CWALT

RALI

RAST

LMT

WMALT

MSM

CMALT

BOAA

CSMC

DBALT

Cum Loss (%)

A-66





0

10

20

30

40

50

60

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

9

10

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

1M CDR

0

10

20

30

40

50

60

70

80

90

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

Loss Severity (%)

A-67


0

10

20

30

40

50

60

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

9

10

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

1M CDR

0

10

20

30

40

50

60

70

80

90

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

Loss Severity (%)

0

10

20

30

40

50

60

70

80

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

Cum Severity (%)

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

INDX

GSAA

BALT

A

CWALT

DBALT

SARM

CMLT

I

JPALT

BAFC

IMSA

Cum Loss (%)

A-67





0

10

20

30

40

50

60

70

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

1M CDR

0

10

20

30

40

50

60

70

80

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

Loss Severity (%)

A-68


0

10

20

30

40

50

60

70

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

1M CDR

0

10

20

30

40

50

60

70

80

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

Loss Severity (%)

44

46

48

50

52

54

56

58

60

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

Cum Severity (%)

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

HVMLT

CWALT

LXS

SAMI

WMALT

WAMU

RALI

BSARM

AHMA

GPMF

Cum Loss (%)

A-68





0

5

10

15

20

25

30

35

40

45

50

CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

Loss Severity (%)

A-69


0

5

10

15

20

25

30

35

40

45

50

CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

Loss Severity (%)

54

56

58

60

62

64

66

68

70

72

CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

Cum Severity (%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

CWL

FFML

CMLT

I

SASC

JPMAC

RAMC

MSAC

SVHE

LBMLT

GSAMP

Cum Loss (%)

A-69





0

10

20

30

40

50

60

70

80

CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

60+ Delinquency (%)

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

2

CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

Loss Severity (%)

A-70


0

10

20

30

40

50

60

70

80

CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

60+ Delinquency (%)

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

2

CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

Loss Severity (%)

54

56

58

60

62

64

66

68

CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

Cum Severity (%)

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

CWL

MSAC

FFML

ACE

CMLT

I

JPMAC

MLM

I

LBMLT

SVHE

GSAMP

Cum Loss (%)

A-70





0

2

4

6

8

10

12

14

16

18

20

CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

60+ Delinquency (%)

0

5

10

15

20

25

CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

1M Voluntary CRR

0

2

4

6

8

10

12

CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

1M CDR

0

10

20

30

40

50

60

70

80CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

Loss Severity (%)

A-71


0

2

4

6

8

10

12

14

16

18

20

CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

60+ Delinquency (%)

0

5

10

15

20

25

CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

1M Voluntary CRR

0

2

4

6

8

10

12

CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

1M CDR

0

10

20

30

40

50

60

70

80CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

Loss Severity (%)

0

10

20

30

40

50

60

CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

Cum Severity (%)

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

CWHL

WFMBS

GSAA

BAFC

BOAMS

JPMMT

CSFB

CSMC

RFMSI

CMSI

Cum Loss (%)

A-71





0

2

4

6

8

10

12

14

16

18

WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

60+ Delinquency (%)

0

2

4

6

8

10

12

14

16

18

20

WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

1M CDR

0

10

20

30

40

50

60WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

Loss Severity (%)

A-72


0

2

4

6

8

10

12

14

16

18

WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

60+ Delinquency (%)

0

2

4

6

8

10

12

14

16

18

20

WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

1M CDR

0

10

20

30

40

50

60WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

Loss Severity (%)

32

34

36

38

40

42

44

46

WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

Cum Severity (%)

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

WFMBS

JPMMT

WAMU

BSARM

THR

GSR

BOAMS

CMLT

I

BAFC

MANA

Cum Loss (%)

A-72





0

5

10

15

20

25

30

CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

60+ Delinquency (%)

0

2

4

6

8

10

12

CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

1M Voluntary CRR

0

1

2

3

4

5

6

7

CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

1M CDR

0

10

20

30

40

50

60

70CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

Loss Severity (%)

A-73


0

5

10

15

20

25

30

CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

60+ Delinquency (%)

0

2

4

6

8

10

12

CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

1M Voluntary CRR

0

1

2

3

4

5

6

7

CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

1M CDR

0

10

20

30

40

50

60

70CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

Loss Severity (%)

0

10

20

30

40

50

60

70

CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

Cum Severity (%)

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

CWALT

WMALT

RAST

RALI

BOAA

SASC

MSM

BSABS

FHAMS

LMT

Cum Loss (%)

A-73





0

5

10

15

20

25

30

35

40

45

50

SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

1M Voluntary CRR

0

2

4

6

8

10

12

SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

1M CDR

0

10

20

30

40

50

60

70SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

Loss Severity (%)

A-74


0

5

10

15

20

25

30

35

40

45

50

SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

1M Voluntary CRR

0

2

4

6

8

10

12

SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

1M CDR

0

10

20

30

40

50

60

70SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

Loss Severity (%)

0

10

20

30

40

50

60

SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

Cum Severity (%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

SARM

BALT

A

INDX

CWHL

GSAA

ARMT

BAFC

AHM

RALI

CWALT

Cum Loss (%)

A-74





0

10

20

30

40

50

60

70

CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

60+ Delinquency (%)

0

1

2

3

4

5

6

CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

20

CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

1M CDR

0

10

20

30

40

50

60

70CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

Loss Severity (%)

A-75


0

10

20

30

40

50

60

70

CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

60+ Delinquency (%)

0

1

2

3

4

5

6

CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

18

20

CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

1M CDR

0

10

20

30

40

50

60

70CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

Loss Severity (%)

0

10

20

30

40

50

60

CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

Cum Severity (%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

CWALT

HVMLT

WAMU

LXS

GPMF

INDX

SAMI

CWHL

RALI

DSLA

Cum Loss (%)

A-75





0

5

10

15

20

25

30

35

40

45

CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

10

CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

Loss Severity (%)

A-76


0

5

10

15

20

25

30

35

40

45

CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

9

10

CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

1M CDR

0

10

20

30

40

50

60

70

80

90

100CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

Loss Severity (%)

0

10

20

30

40

50

60

70

80

CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

Cum Severity (%)

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

CWL

AMSI

NCHET

SAIL

ARSI

RAMP

BSABS

PPSI

RAMC

FFML

Cum Loss (%)

A-76





0

10

20

30

40

50

60

70

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

1M CDR

0

10

20

30

40

50

60

70

80

90

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

Loss Severity (%)

A-77


0

10

20

30

40

50

60

70

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

1M CDR

0

10

20

30

40

50

60

70

80

90

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

Loss Severity (%)

0

10

20

30

40

50

60

70

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

Cum Severity (%)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

CWL

FFML

SAIL

LBMLT

BSABS

ACE

AMSI

NCHET

RASC

RAMP

Cum Loss (%)

A-77





0

1

2

3

4

5

6

7

8

9

10

CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

60+ Delinquency (%)

0

5

10

15

20

25

30

CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

1M Voluntary CRR

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

1M CDR

0

20

40

60

80

100

120

140CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

Loss Severity (%)

A-78


0

1

2

3

4

5

6

7

8

9

10

CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

60+ Delinquency (%)

0

5

10

15

20

25

30

CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

1M Voluntary CRR

0

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

1M CDR

0

20

40

60

80

100

120

140CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

Loss Severity (%)

0

5

10

15

20

25

30

35

40

45

CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

Cum Severity (%)

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

CWHL

BOAMS

CSFB

GSAA

CMSI

WFMBS

RFMSI

BAFC

MARM

FHASI

Cum Loss (%)

A-78





0

5

10

15

20

25

WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

60+ Delinquency (%)

0

5

10

15

20

25

WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

1M Voluntary CRR

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

1M CDR

0

10

20

30

40

50

60WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

Loss Severity (%)

A-79


0

5

10

15

20

25

WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

60+ Delinquency (%)

0

5

10

15

20

25

WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

1M Voluntary CRR

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

1M CDR

0

10

20

30

40

50

60WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

Loss Severity (%)

0

10

20

30

40

50

60

WFMBS

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

Cum Severity (%)

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

WFMB

S

BSARM

BOAMS

JPMMT

WAMU

CWHL

GSR

THR

MARM

SEMT

Cum Loss (%)

A-79





0

2

4

6

8

10

12

14

16

18

20

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

60+ Delinquency (%)

0

2

4

6

8

10

12

14

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

1M Voluntary CRR

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

1M CDR

0

10

20

30

40

50

60

70

80

90

100

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

Loss Severity (%)

A-80


0

2

4

6

8

10

12

14

16

18

20

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

60+ Delinquency (%)

0

2

4

6

8

10

12

14

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

1M Voluntary CRR

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

1M CDR

0

10

20

30

40

50

60

70

80

90

100

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

Loss Severity (%)

0

10

20

30

40

50

60

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

Cum Severity (%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

CWALT

SASC

MALT

BOAA

RALI

RAST

BSABS

GSAA

DBALT

MSM

Cum Loss (%)

A-80





0

5

10

15

20

25

30

35

SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

9

SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

1M CDR

0

10

20

30

40

50

60SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

Loss Severity (%)

A-81


0

5

10

15

20

25

30

35

SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

60+ Delinquency (%)

0

1

2

3

4

5

6

7

8

9

SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

1M Voluntary CRR

0

1

2

3

4

5

6

7

8

SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

1M CDR

0

10

20

30

40

50

60SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

Loss Severity (%)

0

5

10

15

20

25

30

35

40

45

50

SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

Cum Severity (%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

SARM

BALT

A

IMM

ARMT

CWHL

INDX

MARM

MSM

CWALT

CSFB

Cum Loss (%)

A-81





0

5

10

15

20

25

30

35

40

45

50

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

60+ Delinquency (%)

0

2

4

6

8

10

12

14

16

18

20

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

1M Voluntary CRR

0

5

10

15

20

25

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

1M CDR

0

10

20

30

40

50

60

70

80

90

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

Loss Severity (%)

A-82


0

5

10

15

20

25

30

35

40

45

50

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

60+ Delinquency (%)

0

2

4

6

8

10

12

14

16

18

20

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

1M Voluntary CRR

0

5

10

15

20

25

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

1M CDR

0

10

20

30

40

50

60

70

80

90

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

Loss Severity (%)

0

10

20

30

40

50

60

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

Cum Severity (%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

WAMU

CWHL

HVMLT

INDX

DSLA

MALT

SAMI

GPMF

SARM

BAFC

Cum Loss (%)

A-82





0

5

10

15

20

25

30

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

60+ Delinquency (%)

0

1

2

3

4

5

6

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

1M Voluntary CRR

0

1

2

3

4

5

6

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

1M CDR

0

10

20

30

40

50

60

70

80

90

100

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

Loss Severity (%)

A-83


0

5

10

15

20

25

30

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

60+ Delinquency (%)

0

1

2

3

4

5

6

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

1M Voluntary CRR

0

1

2

3

4

5

6

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

1M CDR

0

10

20

30

40

50

60

70

80

90

100

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

Loss Severity (%)

0

10

20

30

40

50

60

70

80

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

Cum Severity (%)

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

CWL

MSAC

PPSI

SAIL

AMSI

NCHET

RAMP

WFHET

BSABS

POPLR

Cum Loss (%)

A-83





0

10

20

30

40

50

60

70

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

1M CDR

0

10

20

30

40

50

60

70

80

90

100

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

Loss Severity (%)

A-84


0

10

20

30

40

50

60

70

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

60+ Delinquency (%)

0

0.5

1

1.5

2

2.5

3

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

1M Voluntary CRR

0

2

4

6

8

10

12

14

16

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

1M CDR

0

10

20

30

40

50

60

70

80

90

100

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

Loss Severity (%)

0

10

20

30

40

50

60

70

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

Cum Severity (%)

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

CWL

PPSI

MSAC

SAIL

AMSI

LBMLT

FFML

RAMP

BSABS

NCHET

Cum Loss (%)

A-84

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