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SECURITIZATION RESEARCH U.S. Residential Credit | 26 October 2011 Sandeep Bordia [email protected] Aaron Haan [email protected] Harkaran Talwar [email protected] Jasraj Vaidya [email protected] Dennis Lee [email protected] +1 212 412 2099 PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 61 ABX and PrimeX Monitor – October 2011 October 2011 remittance October remittance reports showed liquidations slowing down in the ABX indices. Voluntary speeds were higher for PrimeX, particularly for the ARM.2 and FRM.2 indices, and 60+ delinquent balances as a percentage of total balances generally fell for most ABX indices and gained in PrimeX FRM indices. In ABX, foreclosed loans as a percentage of balance continued to increase, lead by Countrywide and First Franklin deals now serviced by Bank of America, such as CWL 2006-18 in ABX 07-1. In PrimeX ARM.2, prepayments went up, as shown in RFMSI 2007-SA2, which posted double-digit increases in CPR. Valuations On an unleveraged basis, the ABX 07 PAAA and AAA indices are trading at an 11-14% yield, while the PrimeX indices are trading at a 5-7% yield. Within ABX, our favorite long pick at current levels is 07-1 PAAA. In PrimeX, we continue to like FRM.1 and ARM.1 on a leveraged basis. See Add to PrimeX Longs, October 6, 2011, for more details. September 2011 detailed remittance Current to delinquent roll rates were flat month-over-month and remain higher than three months prior for the ABX indices and PrimeX indices. The long-term trend of improving roll rates remains intact. Voluntary prepayments (CRR) increased for PrimeX. For the other indices, it remained fairly stable. CDRs rose in ABX and PrimeX as servicers worked to liquidate inventory. Loss severities increased for the ABX indices. 60+days to foreclosure roll rates increased for ABX indices and decreased for PrimeX indices. Foreclosure to REO rolls were flat. REO to liquidation roll rates were higher in ABX. We expect 60+ days to foreclosure roll rates to improve gradually as servicers upgrade their foreclosure processing. Contents Overall index summary September remittance report summary ......................................................................... 2 Historical prices .................................................................................................................... 3 Loss adjusted yields and projected losses ...................................................................... 4 Yield sensitivity to price levels .......................................................................................... 5 Delinquency, performance and roll rates ...................................................................... 6 Current characteristics, modification update ............................................................... 7 Bond level summary ......................................................................................................................... 8 Appendix I- Index level collateral performance Roll, modification and liquidations over time ............................................................. 26 Liquidation timelines ........................................................................................................ 34 Appendix II – Deal level collateral performance Delinquency composition ............................................................................................... 36 Performance metrics ........................................................................................................ 40 Roll rates ............................................................................................................................. 44 Loan modification update ............................................................................................... 48 Current characteristics ..................................................................................................... 56 Glossary ............................................................................................................................................ 60 Unless otherwise indicated, sources for all charts and tables are Intex, LoanPerformance, Markit, Bloomberg, Barclays Capital.

ABX and PrimeX Monitor - October 2011

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Page 1: ABX and PrimeX Monitor - October 2011

SECURITIZATION RESEARCH U.S. Residential Credit | 26 October 2011

Sandeep Bordia [email protected] Aaron Haan [email protected] Harkaran Talwar [email protected]

Jasraj Vaidya [email protected] Dennis Lee [email protected] +1 212 412 2099

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 61

ABX and PrimeX Monitor – October 2011 October 2011 remittance

October remittance reports showed liquidations slowing down in the ABX indices. Voluntary speeds were higher for PrimeX, particularly for the ARM.2 and FRM.2 indices, and 60+ delinquent balances as a percentage of total balances generally fell for most ABX indices and gained in PrimeX FRM indices.

In ABX, foreclosed loans as a percentage of balance continued to increase, lead by Countrywide and First Franklin deals now serviced by Bank of America, such as CWL 2006-18 in ABX 07-1. In PrimeX ARM.2, prepayments went up, as shown in RFMSI 2007-SA2, which posted double-digit increases in CPR.

Valuations

On an unleveraged basis, the ABX 07 PAAA and AAA indices are trading at an 11-14% yield, while the PrimeX indices are trading at a 5-7% yield. Within ABX, our favorite long pick at current levels is 07-1 PAAA. In PrimeX, we continue to like FRM.1 and ARM.1 on a leveraged basis. See Add to PrimeX Longs, October 6, 2011, for more details.

September 2011 detailed remittance

Current to delinquent roll rates were flat month-over-month and remain higher than three months prior for the ABX indices and PrimeX indices. The long-term trend of improving roll rates remains intact.

Voluntary prepayments (CRR) increased for PrimeX. For the other indices, it remained fairly stable. CDRs rose in ABX and PrimeX as servicers worked to liquidate inventory. Loss severities increased for the ABX indices.

60+days to foreclosure roll rates increased for ABX indices and decreased for PrimeX indices. Foreclosure to REO rolls were flat. REO to liquidation roll rates were higher in ABX. We expect 60+ days to foreclosure roll rates to improve gradually as servicers upgrade their foreclosure processing.

Contents Overall index summary

September remittance report summary ......................................................................... 2

Historical prices .................................................................................................................... 3

Loss adjusted yields and projected losses...................................................................... 4

Yield sensitivity to price levels .......................................................................................... 5

Delinquency, performance and roll rates ...................................................................... 6

Current characteristics, modification update ............................................................... 7

Bond level summary ......................................................................................................................... 8

Appendix I- Index level collateral performance

Roll, modification and liquidations over time .............................................................26

Liquidation timelines ........................................................................................................34

Appendix II – Deal level collateral performance

Delinquency composition ...............................................................................................36

Performance metrics ........................................................................................................40

Roll rates .............................................................................................................................44

Loan modification update ...............................................................................................48

Current characteristics .....................................................................................................56

Glossary ............................................................................................................................................60

Unless otherwise indicated, sources for all charts and tables are Intex, LoanPerformance, Markit, Bloomberg, Barclays Capital.

Page 2: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 2

October remittance initial report

Oct Δ1 m Oct Δ1 m Oct Δ1 m Oct Δ1 m Oct Δ1 m Oct Δ1 m

ABX 06-1 21% 37.4 (0.7) 20.0 0.4 3.7 (0.1) 0.8 0.2 10.0 (1.0) 82.1 1.9

ABX 06-2 26% 41.2 (0.4) 22.7 0.5 3.8 (0.1) 0.8 (0.3) 10.5 (0.8) 84.3 (5.6)

ABX 07-1 39% 44.6 (0.0) 23.2 0.6 4.0 (0.1) 1.3 (0.3) 9.5 (2.2) 95.0 (1.2)ABX 07-2 46% 42.6 (0.4) 21.7 0.5 4.2 (0.1) 0.4 (0.9) 10.0 (1.7) 85.0 (6.2)

FRM.1 47% 9.2 0.9 3.9 0.2 0.8 0.2 15.4 (0.8) 1.9 0.4 44.0 (6.7)

FRM.2 47% 13.9 0.5 7.4 0.1 1.0 0.1 15.9 3.5 3.7 (0.1) 77.0 11.9

ARM.1 42% 11.9 0.0 6.0 (0.0) 0.9 0.0 14.9 3.1 4.5 0.3 64.9 15.4

ARM.2 42% 18.3 (0.3) 10.1 (0.1) 1.4 (0.3) 16.2 5.1 8.4 (0.8) 62.6 8.4

IndexCollateral

Factor60+ Delinq (% balance) Foreclosure (%balance) REO (%balance) Overall CRR Overall CDR Severity

October remittance initial report – Deals of interest

Oct Δ1 m Oct Δ1 m Oct Δ1 m Oct Δ1 m Oct Δ1 m Oct Δ1 mABX 07-1 CWL 2006-18 51% 61.0 (0.0) 30.5 3.7 5.0 0.3 (0.3) (0.6) 7.6 3.7 97.4 (17.7)

ARM.2 RFMSI 2007-SA2 43% 15.0 (1.3) 10.4 (0.4) 0.5 (0.7) 28.5 16.4 11.5 -3.8 49.6 15.1

Overall CDR Severity60+ Delinq (% balance) Foreclosure (%balance) REO (%balance) Overall CRRDeal

Collateral Factor

Index

Note: Tables on this page are based on October 25, 2011, trustee-provided remittance reports. CDR and severity calculations are not available for all deals in PrimeX. All other sections of this report are based on September 26, 2011, remittances loan level data. Source: Trustee remittance reports, Bloomberg, Markit, Barclays Capital

Page 3: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 3

Historical prices

ABX PAAA Prices ABX AAA Prices ABX AA Prices

20

30

40

50

60

70

80

90

100

Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11

06-1 PAAA 06-2 PAAA07-1 PAAA 07-2 PAAA

20

30

40

50

60

70

80

90

100

Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11

06-1 AAA 06-2 AAA07-1 AAA 07-2 AAA

0

10

20

30

40

50

60

70

Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-1106-1 AA 06-2 AA07-1 AA 07-2 AA

ABX A Prices ABX BBB Prices PrimeX Prices

0

5

10

15

20

25

30

Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11

06-1 A 06-2 A07-1 A 07-2 A

2

3

4

5

6

7

8

9

Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11

06-1 BBB 06-2 BBB07-1 BBB 07-2 BBB

80

90

100

110

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

FRM.1 FRM.2

ARM.1 ARM.2

Source: Barclays Capital

Page 4: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 4

Loss adjusted yields and projected losses

Severe Stress

Stress Base OptimisticVery

OptimisticSevere Stress

Stress Base OptimisticVery

OptimisticPAAA 79 - 8 2.3% 4.8% 6.7% 8.3% 9.5% 2.1 21 16 13 11 9 4.9%AAA 83 - 27 5.0% 6.1% 6.8% 7.5% 8.0% 2.9 8 4 3 2 2 5.4%

AA 31 - 25 6.1% 10.8% 14.4 % 16.9% 18.5% 6.0 64 43 27 22 17 10.5%A 16 - 9 -53.3% -30.0% 0.9% 4.4% 8.1% 2.3 100 100 92 87 79 -2.2%

PAAA 66 - 25 5.2% 8.5% 11.3 % 13.8% 15.4% 2.5 27 20 14 10 7 9.3%AAA 40 - 27 6.0% 9.2% 11.8 % 13.4% 14.7% 6.2 51 35 25 19 15 8.4%

AA 14 - 7 -2.8% -4.7% -5.1% 0.8% 5.4% 1.8 94 94 94 91 87 -8.6%PAAA 40 - 1 6.9% 10.6% 14.3 % 17.4% 19.8% 3.9 53 44 34 26 21 10.9%

AAA 32 - 17 6.0% 8.7% 11.0 % 12.3% 13.2% 6.0 63 54 45 38 32 6.9%PAAA 33 - 9 6.3% 9.7% 12.9 % 15.3% 17.1% 5.0 64 54 44 36 29 9.1%

AAA 31 - 25 6.2% 9.0% 11.8 % 13.9% 15.2% 5.5 66 59 50 42 34 7.4%FRM.1 102 - 23 3.7% 4.4% 4.9% 4.9% 4.9% 3.8 15 9 5 4 3 3.2%

FRM.2 90 - 1 4.3% 5.3% 6.2% 6.8% 7.2% 3.8 31 24 19 16 14 4.2%ARM.1 98 - 1 3.9% 5.1% 6.0% 6.4% 6.6% 4.0 15 9 5 2 1 4.3%

ARM.2 84 - 18 4.5% 5.9% 7.1% 7.9% 8.4% 4.1 33 27 21 17 15 5.0%

ABX 07-2

PrimeX

Index

ABX 06-1

ABX 06-2

ABX 07-1

Pro jected Tranche Lo ssBase Spread

DurationSub-ind ex Market Price

Loss Adjusted YieldsIndex Yield @

Flat Libor

Yield and loss sensitivity to model CDR

0.5x CDR0.75x CDR

0.9x CDR Base CDR 1.1x CDR1.25x CDR

1.5x CDR 0.5x CDR0.75x CDR

0.9x CDR Base CDR 1.1x CDR1.25x CDR

1.5x CDR

PAAA 79 - 8 9.0% 7.8% 7.1% 6.7% 6.2% 5.7% 4.8% 6 10 12 13 14 15 17AAA 83 - 27 6.9% 6.9% 6.9% 6.8% 6.8% 6.8% 6.7% 2 3 3 3 3 3 4

AAA 31 - 25 17.6% 16.1% 15.1% 14.4% 13.6% 12.2% 9.3% 7 20 25 27 32 39 53A 16 - 9 16.0% 7.2% 2.2% 0.9% -1.4% -8.7% -50.5% 44 82 91 92 95 99 100

PAAA 66 - 25 13.6% 12.7% 11.9% 11.3% 10.7% 9.9% 8.3% 4 8 12 14 16 19 23AAA 40 - 27 13.6% 12.8% 12.2% 11.8% 11.3% 10.4% 8.8% 8 16 22 25 28 33 41

AA 14 - 7 15.5% 4.8% -0.9% -5 .1% -6.1% -6.6% -6.9% 55 88 92 94 94 94 94PAAA 40 - 1 18.4% 16.4% 15.1% 14.3% 13.5% 12.3% 10.3% 11 23 30 34 37 42 48

AAA 32 - 17 13.0% 11.9% 11.4% 11.0% 10.4% 9.6% 8.0% 18 33 41 45 49 53 58PAAA 33 - 9 15.4% 14.5% 13.5% 12.9% 12.3% 11.3% 9.6% 19 32 40 44 48 52 58

AAA 31 - 25 14.3% 13.4% 12.4% 11.8% 11.1% 10.2% 8.5% 20 38 47 50 53 57 62FRM.1 102 - 23 5.5% 5.2% 5.0% 4.9% 4.7% 4.5% 4.1% 3 4 5 5 6 7 8

FRM.2 90 - 1 7.5% 6.9% 6.5% 6.2% 5.9% 5.5% 4.9% 14 17 18 19 20 21 23ARM.1 98 - 1 6.7% 6.4% 6.1% 6.0% 5.8% 5.5% 5.0% 1 3 4 5 5 7 8

ARM.2 84 - 18 8.6% 7.9% 7.4% 7.1% 6.8% 6.3% 5.5% 14 18 20 21 22 24 26

ABX 07-2

PrimeX

Index

ABX 06-1

ABX 06-2

ABX 07-1

Projected Tranche LossSub-index Market Price

Loss Adjusted Yields

Note: Prices from October 24, 2011. Yields are calculated on a cash-equivalent unlevered basis. Home price appreciation scenarios can be seen in detail on Barclays Capital Live, keyword HPA.

Page 5: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 5

Sensitivity of yields to different price levels

Price Yield Price Yield Price Yield Price Yield98.7 5.9% 86.0 7.3% 94.0 7.0% 80.6 8.2%

100.7 5.3% 88.0 6.8% 96.0 6.5% 82.6 7.6%

102.7 4.9% 90.0 6.2% 98.0 6.0% 84.6 7.1%

104.7 4.4% 92.0 5.7% 100.0 5.5% 86.6 6.5%106.7 3.9% 94.0 5.2% 102.0 5.0% 88.6 6.0%

Price Yield Price Yield Price Yield Price Yield75.3 9.8% 79.8 8.8% 27.8 16.7% 12.3 3.3%77.3 8.2% 81.8 7.8% 29.8 15.5% 14.3 2.0%

79.3 6.7% 83.8 6.8% 31.8 14.4% 16.3 0.9%81.3 5.3% 85.8 6.0% 33.8 13.5% 18.3 0.0%

83.3 4.1% 87.8 5.1% 35.8 12.6% 20.3 -0.7%

Price Yield Price Yield Price Yield62.8 14.1% 36.8 13.6% 10.2 0.0%

64.8 12.7% 38.8 12.7% 12.2 -2.8%

66.8 11.3% 40.8 11.8% 14.2 -5.1%68.8 10.0% 42.8 11.0% 16.2 -7.0%

70.8 8.9% 44.8 10.2% 18.2 -8.6%

Price Yield Price Yield Price Yield Price Yield36.0 17.5% 28.5 13.3% 29.3 15.8% 27.8 14.6%

38.0 15.8% 30.5 12.1% 31.3 14.3% 29.8 13.1%40.0 14.3% 32.5 11.0% 33.3 12.9% 31.8 11.8%

42.0 13.0% 34.5 9.9% 35.3 11.7% 33.8 10.6%

44.0 11.7% 36.5 9.0% 37.3 10.6% 35.8 9.5%

ABX07-1 PAAA ABX07-1 AAA ABX07-2 PAAA ABX07-2 AAA

ABX06-2 PAAA ABX06-2 AAA ABX06-2 AA

PrimeX. ARM.2

ABX06-1 PAAA ABX06-1 AAA ABX06-1 AA ABX06-1 A

PrimeX. FRM.1 PrimeX. FRM.2 PrimeX. ARM.1

`

Page 6: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 6

September remittance data

Delinquency composition

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABX 06-1 21% 75 25.8 (0.2) (0.6) 39.4 (0.3) (0.5) 20.3 0.8 1.6 4.1 (0.2) (0.2) 47.6 0.6 1.6ABX 06-2 27% 70 22.1 (0.2) (0.5) 41.1 (0.2) (0.3) 22.1 0.3 0.9 3.9 (0.0) (0.2) 49.1 0.5 1.6ABX 07-1 37% 63 20.7 (0.2) (0.6) 44.0 (0.3) (0.8) 22.2 0.5 0.9 4.1 (0.0) (0.2) 46.3 0.7 1.9ABX 07-2 47% 57 20.4 (0.3) (0.7) 42.8 (0.3) (0.6) 21.1 0.4 0.6 4.3 (0.1) (0.3) 47.9 0.7 2.2

PrimeX.FRM1 47% 73 86.8 (0.3) (0.7) 7.4 0.1 0.5 3.7 0.1 0.3 0.5 (0.0) (0.0) 3.6 0.1 0.4PrimeX.FRM2 46% 58 75.3 (0.4) (1.3) 12.2 (0.1) 0.2 7.1 (0.2) 0.2 1.0 0.1 0.2 11.2 0.3 1.0PrimeX.ARM1 41% 76 82.9 (0.0) (0.4) 10.5 0.0 0.0 5.9 0.0 0.2 0.9 0.1 0.1 3.6 0.1 0.4PrimeX.ARM2 41% 58 70.5 (0.3) (0.8) 17.5 (0.2) (0.1) 10.1 (0.0) 0.2 1.5 (0.1) (0.1) 11.4 0.4 1.8

Index Factor60+ Delinq (%balance) Foreclosure (%balance)

WALAAlways Current (%balance) REO (%balance) Modified (%balance)

Performance trends

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABX 06-1 21% 75 1.4 (0.4) 0.1 10.7 (0.2) 0.2 73 1 1 10.1 0.1 0.2 67 (4) 0 39 (9) (9)ABX 06-2 27% 70 1.5 0.4 0.7 11.9 1.3 (1.3) 84 5 5 10.9 1.2 (1.7) 78 3 2 44 (1) (0)ABX 07-1 37% 63 1.3 0.2 0.0 12.9 1.2 1.0 88 3 2 11.6 1.2 0.9 80 2 2 45 1 (4)ABX 07-2 47% 57 1.4 0.3 0.2 13.0 1.0 1.5 81 0 3 11.4 0.6 1.2 75 1 0 43 0 (2)

PrimeX.FRM1 47% 73 18.4 2.8 4.9 2.9 1.0 (0.0) 43 (8) (16) 2.8 1.0 0.0 23 (7) (11) 39 (20) (8)PrimeX.FRM2 46% 58 12.0 0.7 1.2 5.7 1.1 1.3 48 (4) (5) 5.4 1.0 1.3 41 4 (2) 62 7 (6)PrimeX.ARM1 41% 76 10.9 (0.6) (1.5) 6.3 2.0 2.0 33 1 3 6.2 1.9 1.9 28 (3) (1) 75 34 24PrimeX.ARM2 41% 58 10.8 1.6 (1.5) 10.3 0.6 (1.9) 48 (3) 7 10.2 0.5 (1.8) 45 (4) 6 62 (14) 1

Index Factor WALALiquidation Severity % ShortsaleOverall CRR Overall CDR Severity with mods Liquidation CDR

Roll rates

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABX 06-1 3.8 (0.4) 0.2 1.2 (0.1) (0.0) 13.4 2.3 3.1 2.1 0.1 (0.4) 13.4 1.9 1.2 5.4 0.6 0.6ABX 06-2 4.1 (0.5) 0.2 1.5 (0.1) 0.1 12.9 (0.0) 1.5 2.4 0.0 0.3 13.8 2.1 (3.2) 4.9 0.8 0.4ABX 07-1 4.3 (0.1) 0.3 1.8 (0.1) 0.1 12.1 2.1 2.5 2.2 (0.1) 0.1 14.5 1.1 3.3 4.5 0.5 0.1ABX 07-2 4.5 (0.1) 0.4 2.0 0.1 0.4 11.9 1.7 1.6 2.1 (0.1) (0.4) 14.4 1.3 2.5 4.9 0.6 0.6

PrimeX.FRM1 0.5 0.1 (0.0) 0.4 0.1 0.0 12.0 (0.8) (8.7) 2.0 0.8 (1.7) 15.9 8.5 1.9 2.3 (0.7) (1.8)PrimeX.FRM2 1.1 0.1 0.1 0.6 (0.0) 0.0 11.0 (3.2) (8.5) 3.0 1.1 1.4 15.8 (0.5) 3.4 4.6 0.4 (0.1)PrimeX.ARM1 0.6 (0.2) (0.1) 0.4 (0.1) (0.1) 12.1 (1.3) (2.8) 3.8 0.4 0.6 9.8 (7.9) (4.7) 2.7 0.1 0.3PrimeX.ARM2 1.4 0.2 0.5 1.0 0.2 0.4 14.6 (1.9) (2.8) 1.3 (1.9) (1.4) 18.7 2.5 (7.4) 2.3 0.2 (0.0)

REO to Liq Rolls Cure RateCurrent to Dq rolls Always Cur to Dq rolls 60+ to Fcl Rolls Fcl to REO rollsIndex

Note: All data on this page and next are based on September 26, 2011 remittances.

Page 7: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 7

Loan modification update

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABX 06-1 47.6 0.6 1.6 53.1 0.7 1.7 0.8 0.1 (0.0) 1.0 0.1 0.0 38 2 (12) 2 (2) (2)ABX 06-2 49.1 0.5 1.6 54.2 0.6 1.6 0.8 0.1 (0.1) 1.0 0.2 (0.0) 42 (10) (9) 5 2 2ABX 07-1 46.3 0.7 1.9 51.2 0.7 2.0 0.9 0.1 (0.1) 1.2 0.2 (0.0) 41 (8) (12) 4 1 (3)ABX 07-2 47.9 0.7 2.2 51.6 0.7 2.2 0.9 (0.1) (0.2) 1.2 0.1 (0.1) 35 (12) (16) 6 0 (1)

PrimeX.FRM1 3.6 0.1 0.4 3.9 0.1 0.4 0.1 (0.1) (0.0) 0.1 (0.1) (0.0) 100 59 31 0 (1) 0PrimeX.FRM2 11.2 0.3 1.0 12.0 0.4 1.1 0.3 (0.1) 0.0 0.4 (0.0) 0.1 54 (9) (29) 3 3 3PrimeX.ARM1 3.6 0.1 0.4 4.6 0.2 0.5 0.1 0.0 0.0 0.2 0.1 0.0 48 23 17 0 0 (9)PrimeX.ARM2 11.4 0.4 1.8 12.7 0.4 1.8 0.4 0.0 (0.1) 0.4 (0.0) (0.2) 50 36 17 0 0 (1)

Mod rate w PNI(%)Ever modified w PNI (%) Share of Rate Red (%) Share of Debt Forg (%)Mod rate(%)Index

Ever modified (%)

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABX 06-1 21 (2) (0) 24 6 9 3.8 0.3 0.1 25 (9) (6) 12 0 1 31 3 3ABX 06-2 24 2 3 22 5 9 4.2 0.1 (0.0) 30 4 6 16 3 3 33 3 2ABX 07-1 28 1 5 19 5 9 4.4 0.1 (0.1) 35 4 8 12 0 (1) 34 6 3ABX 07-2 25 4 (2) 21 12 12 4.4 (0.1) (0.0) 33 5 7 11 (1) (0) 34 2 4

PrimeX.FRM1 0 0 (17) 0 (2) 0 0.8 (0.5) (0.6) 0 (2) (11) 2 (0) 0 10 0 (7)PrimeX.FRM2 26 18 20 17 9 5 2.5 (0.1) (0.0) 15 (1) 4 5 0 1 26 4 (0)PrimeX.ARM1 19 18 4 19 10 (14) 0.6 0.1 0.1 14 2 (1) 3 (42) (0) 15 3 0PrimeX.ARM2 14 2 (8) 10 (2) (5) 1.3 0.2 (0.3) 10 (11) (15) 1 (1) (2) 17 10 1

IndexPrincipal Recapped (%)Share of PNI (%)Share of Debt+Rate (%) Payment reduced (%)Rate Reduced Amount Forgiven (%)

Current Characteristics

ABX 06-1 21% 629 108 114 113 121 5.9 64 31 6.1 36 33 95 60 7.5 23.7ABX 06-2 27% 622 116 122 122 130 6.1 63 21 5.3 38 36 94 60 7.9 23.9ABX 07-1 37% 622 120 127 127 135 6.5 63 14 1.5 36 35 95 58 9.0 24.7ABX 07-2 47% 620 121 128 127 135 6.1 61 16 3.2 29 35 94 50 7.8 22.8

PrimeX.FRM1 47% 737 96 100 103 108 5.8 52 11 1.3 47 47 94 59 0.8 10.0PrimeX.FRM2 46% 733 105 112 114 123 6.2 53 34 2.7 46 43 95 77 1.5 11.6PrimeX.ARM1 41% 736 95 99 104 108 3.9 48 84 0.6 52 60 91 50 1.0 14.4PrimeX.ARM2 41% 739 112 118 118 126 5.2 48 90 1.4 51 53 93 74 1.8 15.5

%2ndsAdv due

(%curbal)Mths to

liq dn%PMI %Pur

%CA+FL

%OwnerMTM-

CLTV(d q)W AC

%Full Doc

%IOFICOMTM-

LTVMTM-CLTV

MTM-LTV (dq)

In dex Factor

Page 8: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 8

BOND LEVEL STATS

Page 9: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 9

Stress Base OptimisticACE 2005-HE7 A2C 9% 4.7% 0.49 24.1 56.4 0.0% 0.0 0.0 0.0 0.3 0.3 81.2 57.6 34.4 98.4

AMSI 2005-R11 A2C 22% 11.8% 0.47 19.0 51.0 0.0% 0.0 0.0 0.0 0.7 0.7 53.4 34.3 20.0 96.1ARSI 2005-W2 A2B1 14% 7.2% 0.44 20.0 46.4 0.0% 0.0 0.0 0.0 1.2 1.3 59.3 37.0 24.6 92.9

BSABS 2005-HE11 A2 17% 9.0% 0.49 25.5 69.2 0.0% 0.0 0.0 0.0 0.6 0.6 67.0 50.0 27.8 96.4CWL 2005-BC5 3A2 0%

FFML 2005-FF12 A2B 34% 18.2% 0.50 22.1 47.1 0.0% 0.0 0.0 0.0 2.8 3.3 78.0 52.2 31.1 85.9GSAMP 2005-HE4 A2B 0%

HEAT 2005-8 2A3 1% 0.8% 0.50 21.2 57.4 0.0% 0.0 0.0 0.0 0.1 0.1 65.1 41.0 99.5JPMAC 2005-OPT1 A3 0%LBMLT 2005-WL2 3A3 0%

MABS 2005-NC2 A3 68% 36.0% 0.49 20.1 8.0 0.0% 45.2 36.6 29.4 3.5 17.6 74.0 47.5 30.6 54.6MLMI 2005-AR1 A3A3 0%MSAC 2005-HE5 A2B 0%NCHET 2005-4 A2B 11% 5.7% 0.51 22.9 74.2 0.0% 0.0 0.0 0.0 0.9 1.0 64.7 44.3 23.5 94.5

RASC 2005-KS11 AI3 9% 5.0% 0.44 20.6 55.0 0.0% 0.0 0.0 0.0 0.3 0.3 64.8 41.6 27.3 98.0RAMP 2005-EFC4 A2 3% 1.7% 0.51 23.6 83.6 0.0% 0.0 0.0 0.0 0.3 0.3 60.6 38.8 22.0 98.3SABR 2005-HE1 A3B 0%

SVHE 2005-4 2A3 0%SASC 2005-WF4 A3 0%SAIL 2005-HE3 A4 0%

9% 100% 0.49 21.9 38.5 16.3 13.2 10.6 2.1 7.2 69.7 46.1 28.2 79.3

Stress Base OptimisticACE 2005-HE7 A2D 100% 7.3% 0.57 24.1 56.4 0.0% 0.0 0.0 0.0 3.2 3.7 81.2 57.6 34.4 84.2

AMSI 2005-R11 A2D 100% 7.3% 0.57 19.0 51.0 0.0% 0.0 0.0 0.0 3.4 3.7 53.4 34.3 20.0 82.9ARSI 2005-W2 A2C 100% 7.3% 0.60 20.0 46.4 0.0% 0.0 0.0 0.0 5.1 5.8 59.3 37.0 24.6 77.2

BSABS 2005-HE11 A3 100% 7.3% 0.58 25.5 69.2 0.0% 0.0 0.0 0.0 2.1 2.2 67.0 50.0 27.8 88.1CWL 2005-BC5 3A3 79% 5.7% 0.61 20.7 68.4 0.0% 0.0 0.0 0.0 1.2 1.3 69.4 47.3 20.5 92.9

FFML 2005-FF12 A2C 100% 7.3% 0.57 22.1 47.1 0.0% 0.0 0.0 0.0 8.1 9.5 78.0 52.2 31.1 70.5GSAMP 2005-HE4 A2C 15% 1.1% 0.61 24.6 95.0 0.0% 0.0 0.0 0.0 0.3 0.3 67.2 45.0 21.6 98.5

HEAT 2005-8 2A4 100% 7.3% 0.60 21.2 57.4 0.0% 0.0 0.0 0.0 2.1 2.3 65.1 41.0 88.7JPMAC 2005-OPT1 A4 10% 0.7% 0.59 21.9 89.3 0.0% 0.0 0.0 0.0 0.2 0.2 61.4 34.7 11.8 98.9LBMLT 2005-WL2 3A4 0%

MABS 2005-NC2 A4 100% 7.3% 0.59 20.1 8.0 0.0% 51.2 42.2 34.3 4.4 20.2 74.0 47.5 30.6 48.2MLMI 2005-AR1 A3A4 20% 1.4% 0.65 0.0% 0.0 0.0 0.0 0.2 0.2 80.8 53.6 19.8 98.6MSAC 2005-HE5 A2C 22% 1.6% 0.58 21.7 87.4 0.0% 0.0 0.0 0.0 0.7 0.8 72.6 51.0 21.5 95.7NCHET 2005-4 A2C 100% 7.3% 0.61 22.9 74.2 0.0% 0.0 0.0 0.0 2.2 2.3 64.7 44.3 23.5 87.7

RASC 2005-KS11 AI4 100% 7.3% 0.55 20.6 55.0 0.0% 0.0 0.0 0.0 2.5 2.7 64.8 41.6 27.3 86.5RAMP 2005-EFC4 A3 100% 7.3% 0.61 23.6 83.6 0.0% 0.0 0.0 0.0 1.1 1.1 60.6 38.8 22.0 93.8SABR 2005-HE1 A3C 36% 2.6% 0.57 23.4 67.3 0.0% 0.0 0.0 0.0 2.1 2.2 81.4 59.3 29.4 89.0

SVHE 2005-4 2A4 59% 4.3% 0.59 25.7 69.1 0.0% 0.0 0.0 0.0 1.1 1.1 67.4 47.2 25.0 93.6SASC 2005-WF4 A4 72% 5.2% 0.60 17.6 65.3 0.0% 0.0 0.0 0.0 1.7 1.8 49.8 29.5 13.6 90.3SAIL 2005-HE3 A5 66% 4.8% 0.60 18.2 59.9 0.0% 0.0 0.0 0.0 2.3 2.6 65.1 43.2 31.8 88.0

69% 100% 0.59 21.8 57.8 3.7 3.1 2.5 2.9 4.3 66.6 44.4 25.5 83.9

Base proj coll def (%curbal)

Base proj coll def (%curbal)

Base cum loss (%origbal)

Base cum loss (%origbal)

Index

ABX 06-1PAAA

Overall

Base spr. Duration

Base Avg Life

Base proj coll loss (%curbal)

Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateCash price

@index yield

Overall

Index Sub-index FactorEff

weightBond

CouponOriginal

C/E

Projected bond loss (%curbal)

Base Avg Life

Base proj coll loss (%curbal)

Cash price @index yield

ABX 06-1AAA

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Note: To see home price appreciation scenarios, visit Barclays Capital live, keyword HPA.

Page 10: ABX and PrimeX Monitor - October 2011

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26 October 2011 10

Stress Base OptimisticACE 2005-HE7 M2 100% 5.3% 0.70 16.8 13.9 - 100.0 100.0 100.0 1.5 2.6 75.9 54.2 30.4 2.7

AMSI 2005-R11 M2 100% 5.3% 0.71 12.8 28.9 - 12.0 0.0 0.0 8.6 12.9 53.1 34.2 19.2 32.1ARSI 2005-W2 M2 100% 5.3% 0.75 13.9 18.1 - 100.0 68.9 31.6 6.6 11.3 56.2 36.1 22.9 13.0

BSABS 2005-HE11 M2 100% 5.3% 0.69 17.8 37.4 - 41.4 0.0 0.0 8.2 13.1 67.0 50.0 27.8 33.8CWL 2005-BC5 M2 100% 5.3% 0.72 13.9 42.4 - 33.8 0.0 0.0 8.5 13.1 69.3 50.8 21.3 32.7

FFML 2005-FF12 M2 100% 5.3% 0.71 15.1 19.6 - 100.0 100.0 97.1 2.3 3.9 72.3 48.5 28.4 4.6GSAMP 2005-HE4 M2 100% 5.3% 0.73 16.9 53.8 - 0.0 0.0 0.0 4.1 4.8 67.2 44.9 21.1 57.7

HEAT 2005-8 M2 100% 5.3% 0.69 14.1 16.9 - 100.0 75.4 47.0 6.5 9.3 65.1 41.9 24.3 11.8JPMAC 2005-OPT1 M2 100% 5.3% 0.71 14.8 45.4 - 0.0 0.0 0.0 4.9 5.8 56.4 32.5 12.2 52.5LBMLT 2005-WL2 M2 100% 5.3% 0.73 14.3 41.1 - 14.1 0.0 0.0 6.9 9.9 71.1 46.1 20.0 40.2MABS 2005-NC2 M2 0%MLMI 2005-AR1 M1 100% 5.3% 0.74 - 8.5 0.0 0.0 4.3 6.2 73.8 50.0 19.4 54.7MSAC 2005-HE5 M2 100% 5.3% 0.67 14.8 44.9 - 12.5 0.0 0.0 6.3 8.4 70.6 49.9 21.0 43.8NCHET 2005-4 M2 100% 5.3% 0.75 15.8 42.5 - 4.9 0.0 0.0 7.3 9.9 64.5 44.2 20.9 39.0

RASC 2005-KS11 M2 100% 5.3% 0.66 13.8 25.0 - 61.1 9.9 0.0 9.0 15.7 61.0 39.7 26.1 27.5RAMP 2005-EFC4 M2 100% 5.3% 0.68 16.1 44.9 - 0.0 0.0 0.0 5.3 6.4 60.6 38.8 22.0 49.9SABR 2005-HE1 M1 100% 5.3% 0.67 16.1 9.1 - 73.5 61.1 51.0 5.8 5.8 74.2 52.8 26.9 18.7

SVHE 2005-4 M2 100% 5.3% 0.71 17.4 36.4 - 50.2 3.6 0.0 8.4 14.1 67.4 47.2 26.8 31.1SASC 2005-WF4 M2 100% 5.3% 0.67 11.9 39.9 - 0.0 0.0 0.0 6.7 8.2 50.3 30.2 14.0 42.9SAIL 2005-HE3 M2 100% 5.3% 0.73 11.3 14.5 - 100.0 100.0 92.1 2.3 3.7 64.8 43.1 19.5 4.5

95% 100% 0.71 14.8 30.2 42.7 27.3 22.0 6.0 8.7 65.3 44.0 22.3 31.2

Stress Base OptimisticACE 2005-HE7 M5 0%

AMSI 2005-R11 M5 100% 7.4% 0.92 7.7 11.0 - 100.0 100.0 100.0 2.0 3.9 53.1 34.2 19.2 5.0ARSI 2005-W2 M5 31% 2.3% 0.90 8.9 0.0 - 100.0 100.0 100.0 0.3 0.4 56.2 36.1 22.9 0.5

BSABS 2005-HE11 M4 100% 7.4% 0.89 11.5 11.3 - 100.0 100.0 100.0 1.3 2.4 67.0 50.0 27.8 2.8CWL 2005-BC5 M5 100% 7.4% 1.00 8.4 21.3 - 100.0 100.0 100.0 1.6 3.2 69.3 50.8 21.3 4.1

FFML 2005-FF12 M5 67% 5.0% 0.91 9.6 0.0 - 100.0 100.0 100.0 0.4 0.6 72.3 48.5 28.4 0.7GSAMP 2005-HE4 M5 100% 7.4% 0.87 10.7 20.9 - 100.0 100.0 99.6 2.2 4.0 67.2 44.9 21.1 5.3

HEAT 2005-8 M5 0%JPMAC 2005-OPT1 M5 35% 2.6% 0.88 9.4 18.7 - 100.0 100.0 23.9 3.3 6.3 56.4 32.5 12.2 9.4LBMLT 2005-WL2 M5 100% 7.4% 0.88 9.2 8.6 - 100.0 100.0 100.0 0.9 1.8 71.1 46.1 20.0 2.0MABS 2005-NC2 M5 0%MLMI 2005-AR1 M2 100% 7.4% 0.91 - 100.0 86.5 67.6 5.2 6.1 73.8 50.0 19.4 8.1MSAC 2005-HE5 M5 100% 7.4% 0.86 9.2 11.0 - 100.0 100.0 100.0 0.9 1.8 70.6 49.9 21.0 2.0NCHET 2005-4 M5 100% 7.4% 0.92 10.2 17.4 - 100.0 100.0 100.0 1.6 3.2 64.5 44.2 20.9 3.9

RASC 2005-KS11 M5 100% 7.4% 0.87 8.3 1.2 - 100.0 100.0 100.0 0.8 1.5 61.0 39.7 26.1 1.7RAMP 2005-EFC4 M5 100% 7.4% 0.87 10.3 15.3 - 100.0 100.0 81.9 2.6 4.7 60.6 38.8 22.0 6.4SABR 2005-HE1 M2 19% 1.4% 0.89 10.0 0.0 - 100.0 100.0 100.0 0.3 0.4 74.2 52.8 26.9 0.5

SVHE 2005-4 M5 100% 7.4% 0.92 11.1 11.4 - 100.0 100.0 100.0 1.0 2.1 67.4 47.2 26.8 2.4SASC 2005-WF4 M5 100% 7.4% 0.86 7.7 21.2 - 100.0 0.0 0.0 9.1 20.6 50.3 30.2 14.0 23.8SAIL 2005-HE3 M5 0%

68% 100% 0.90 9.5 11.6 100.0 91.6 86.9 2.3 4.3 64.8 43.7 21.8 5.3

Base proj coll def (%curbal)

Base proj coll def (%curbal)

Base cum loss (%origbal)

Base cum loss (%origbal)

Index Sub-index

ABX 06-1AA

FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

Original C/E

Overall

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

ABX 06-1A

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Overall

Page 11: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 11

Stress Base OptimisticACE 2005-HE7 M8 0%

AMSI 2005-R11 M8 70% 14.9% 2.74 4.4 0.0 - 100.0 100.0 100.0 0.4 0.8 53.1 34.2 19.2 2.2ARSI 2005-W2 M8 0%

BSABS 2005-HE11 M7 0%CWL 2005-BC5 M8 100% 21.2% 2.24 4.2 5.5 - 100.0 100.0 100.0 0.6 1.4 69.3 50.8 21.3 3.0FFML 2005-FF12 B2 0%

GSAMP 2005-HE4 B2 49% 10.4% 1.54 6.2 0.0 - 100.0 100.0 100.0 0.3 0.4 67.2 44.9 21.1 0.7HEAT 2005-8 M8 0%

JPMAC 2005-OPT1 M8 46% 9.8% 1.64 5.2 5.7 - 100.0 100.0 100.0 0.9 2.0 56.4 32.5 12.2 3.1LBMLT 2005-WL2 M8 0%MABS 2005-NC2 M8 0%MLMI 2005-AR1 B2 39% 8.2% 1.69 - 100.0 100.0 100.0 0.1 0.2 73.8 50.0 19.4 0.3MSAC 2005-HE5 B2 0%NCHET 2005-4 M8 68% 14.4% 1.54 6.0 0.0 - 100.0 100.0 100.0 0.2 0.3 64.5 44.2 20.9 0.5

RASC 2005-KS11 M8 0%RAMP 2005-EFC4 M8 0%

SABR 2005-HE1 B2 0%SVHE 2005-4 M8 0%

SASC 2005-WF4 M8 100% 21.2% 1.99 5.1 9.6 - 100.0 100.0 100.0 1.3 3.2 50.3 30.2 14.0 5.3SAIL 2005-HE3 M8 0%

24% 100% 1.99 5.2 3.7 100.0 100.0 100.0 0.6 1.4 61.1 40.6 18.3 2.5

Stress Base OptimisticACE 2005-HE7 M9 0%

AMSI 2005-R11 M9 0%ARSI 2005-W2 M9 0%

BSABS 2005-HE11 M8 0%CWL 2005-BC5 B 100% 39.1% 2.24 3.0 0.7 - 100.0 100.0 100.0 0.4 0.7 69.3 50.8 21.3 1.6

FFML 2005-FF12 B3 0%GSAMP 2005-HE4 B3 0%

HEAT 2005-8 B1 0%JPMAC 2005-OPT1 M9 56% 21.9% 2.09 4.2 2.2 - 100.0 100.0 100.0 0.6 1.3 56.4 32.5 12.2 2.6LBMLT 2005-WL2 M9 0%MABS 2005-NC2 M9 0%MLMI 2005-AR1 B3 0%MSAC 2005-HE5 B3 0%NCHET 2005-4 M9 0%

RASC 2005-KS11 M9 0%RAMP 2005-EFC4 M9 0%

SABR 2005-HE1 B3 0%SVHE 2005-4 M9 0%

SASC 2005-WF4 M9 100% 39.1% 2.74 4.3 6.3 - 100.0 100.0 100.0 0.9 2.2 50.3 30.2 14.0 5.2SAIL 2005-HE3 M9 0%

13% 100% 2.41 3.8 3.2 100.0 100.0 100.0 0.6 1.4 59.1 38.7 16.5 3.2

Base proj coll def (%curbal)

Base proj coll def (%curbal)

Base cum loss (%origbal)

Base cum loss (%origbal)

Original C/E

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

ABX 06-1BBB

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Original C/E

Overall

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

ABX 06-2BBB-

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Overall

Page 12: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 12

Stress Base OptimisticACE 2006-NC1 A2C 39% 3.4% 0.44 21.5 38.9 0.0% 0.0 0.0 0.0 1.0 1.1 69.7 47.1 33.4 89.3ARSI 2006-W1 A2C 61% 5.3% 0.43 22.4 23.2 0.0% 38.8 28.3 16.1 3.0 12.3 69.1 46.5 35.9 52.3

CWL 2006-8 2A3 100% 8.7% 0.40 19.8 27.9 0.0% 35.8 25.0 16.5 3.4 4.6 78.7 62.4 45.7 53.1BSABS 2006-HE3 A2 33% 2.9% 0.42 25.3 56.6 0.0% 0.0 0.0 0.0 1.6 1.8 77.4 58.1 33.3 83.9CARR 2006-NC1 A3 83% 7.3% 0.45 23.5 41.2 0.0% 1.2 0.0 0.0 2.2 2.6 72.3 51.7 32.7 78.8FFML 2006-FF4 A2 40% 3.5% 0.43 20.2 32.1 0.0% 15.7 5.1 0.0 2.6 5.2 73.1 51.0 32.4 71.3

GSAMP 2006-HE3 A2C 100% 8.7% 0.40 24.9 30.3 0.0% 16.3 6.4 0.1 3.0 7.0 71.3 48.9 37.7 66.8HEAT 2006-4 2A3 62% 5.4% 0.41 19.7 27.5 0.0% 0.0 0.0 0.0 1.9 2.2 69.7 48.0 80.9

JPMAC 2006-FRE1 A3 19% 1.7% 0.43 25.1 55.9 0.0% 0.0 0.0 0.0 1.6 1.8 78.0 53.6 32.0 84.1LBMLT 2006-1 2A3 56% 4.9% 0.43 20.7 17.3 0.0% 55.0 46.4 38.8 3.1 21.3 82.5 58.9 38.3 46.0MABS 2006-NC1 A3 47% 4.1% 0.43 21.0 40.6 0.0% 0.0 0.0 0.0 1.7 1.9 71.1 50.4 31.1 83.3MLMI 2006-HE1 A2C 78% 6.8% 0.44 26.0 50.6 0.0% 0.0 0.0 0.0 2.6 3.2 80.9 61.2 40.4 75.7MSAC 2006-HE2 A2C 51% 4.4% 0.42 20.5 18.6 0.0% 32.0 23.5 15.3 2.1 10.6 74.7 52.9 38.4 62.0

MSAC 2006-WMC2 A2C 87% 5.8% 0.39 18.7 0.0 20.7% 71.3 65.7 61.0 3.1 21.4 82.3 61.8 49.7 27.0RAMP 2006-NC2 A2 34% 3.0% 0.43 19.5 30.1 0.0% 4.0 0.0 0.0 2.4 3.0 65.9 44.9 33.3 76.7RASC 2006-KS3 AI3 40% 3.5% 0.41 22.3 40.8 0.0% 0.0 0.0 0.0 1.1 1.2 65.3 45.5 33.5 88.4SABR 2006-OP1 A2B 0%

SVHE 2006-OPT5 2A3 76% 6.6% 0.39 22.1 27.6 0.0% 28.0 18.1 8.3 2.8 10.9 70.9 48.2 35.9 60.8SASC 2006-WF2 A3 67% 5.8% 0.39 22.1 43.3 0.0% 0.0 0.0 0.0 1.6 1.8 60.5 42.6 29.3 83.8

SAIL 2006-4 A4 95% 8.3% 0.39 17.3 3.9 0.0% 30.0 19.2 10.7 3.2 12.2 76.3 52.3 37.9 54.358% 100% 0.42 21.7 29.5 19.9 14.3 9.8 2.5 7.3 73.5 52.4 37.1 66.5

Stress Base OptimisticACE 2006-NC1 A2D 100% 5.2% 0.57 21.5 38.9 0.0% 15.8 0.0 0.0 5.9 8.9 69.7 47.1 33.4 51.9ARSI 2006-W1 A2D 100% 5.2% 0.54 22.4 23.2 0.0% 46.4 34.7 19.7 4.2 15.0 69.1 46.5 35.9 42.0

CWL 2006-8 2A4 100% 5.2% 0.49 19.8 27.9 0.0% 69.4 59.8 47.9 8.8 11.2 78.7 62.4 45.7 18.1BSABS 2006-HE3 A3 100% 5.2% 0.52 25.3 56.6 0.0% 0.0 0.0 0.0 5.3 6.1 77.4 58.1 33.3 58.3CARR 2006-NC1 A4 100% 5.2% 0.55 23.5 41.2 0.0% 34.0 0.0 0.0 8.1 11.4 72.3 51.7 32.7 44.5FFML 2006-FF4 A3 100% 5.2% 0.52 20.2 32.1 0.0% 37.1 23.3 5.4 7.4 15.2 73.1 51.0 32.4 38.0

GSAMP 2006-HE3 A2D 100% 5.2% 0.74 24.9 30.3 0.0% 34.4 21.6 7.6 7.6 17.8 71.3 48.9 37.7 36.5HEAT 2006-4 2A4 100% 5.2% 0.52 19.7 27.5 0.0% 53.0 31.3 11.0 7.2 17.0 69.7 48.0 35.4

JPMAC 2006-FRE1 A4 100% 5.2% 0.53 25.1 55.9 0.0% 0.0 0.0 0.0 5.4 6.4 78.0 53.6 32.0 57.1LBMLT 2006-1 2A4 100% 5.2% 0.54 20.7 17.3 0.0% 69.2 61.4 54.5 5.0 27.9 82.5 58.9 38.3 31.2MABS 2006-NC1 A4 100% 5.2% 0.54 21.0 40.6 0.0% 23.9 0.0 0.0 6.6 9.1 71.1 50.4 31.1 50.5

MLMI 2006-HE1 A2D 100% 5.2% 0.55 26.0 50.6 0.0% 3.2 0.0 0.0 7.7 9.7 80.9 61.2 40.4 46.8MSAC 2006-HE2 A2D 100% 5.2% 0.51 20.5 18.6 0.0% 55.0 47.2 39.0 4.9 20.2 74.7 52.9 38.4 33.9

MSAC 2006-WMC2 A2D 87% 3.4% 0.49 18.7 0.0 20.7% 71.3 65.7 61.0 3.0 21.4 82.3 61.8 49.7 27.0RAMP 2006-NC2 A3 100% 5.2% 0.53 19.5 30.1 0.0% 35.4 8.3 0.0 8.8 13.7 65.9 44.9 33.3 38.5RASC 2006-KS3 AI4 100% 5.2% 0.51 22.3 40.8 0.0% 0.0 0.0 0.0 5.2 6.6 65.3 45.5 33.5 57.8SABR 2006-OP1 A2C 53% 2.8% 0.54 17.4 68.3 0.0% 0.0 0.0 0.0 1.8 2.0 65.0 37.3 17.0 81.9

SVHE 2006-OPT5 2A4 100% 5.2% 0.48 22.1 27.6 0.0% 50.2 41.8 30.6 6.8 22.7 70.9 48.2 35.9 31.2SASC 2006-WF2 A4 100% 5.2% 0.55 22.1 43.3 0.0% 0.0 0.0 0.0 5.7 6.8 60.5 42.6 29.3 55.5

SAIL 2006-4 A5 100% 5.2% 0.55 17.3 3.9 0.0% 100.0 100.0 100.0 4.5 39.3 76.3 52.3 37.9 8.897% 100% 0.54 21.5 33.5 35.1 24.6 18.5 6.2 14.6 72.7 51.3 35.3 41.6

Base proj coll def (%curbal)

Base proj coll def (%curbal)

Base cum loss (%origbal)

Base cum loss (%origbal)

Original C/E

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

ABX 06-2PAAA

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Original C/E

Overall

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

ABX 06-2AAA

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Overall

Page 13: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 13

Stress Base OptimisticACE 2006-NC1 M2 100% 6.3% 0.67 14.7 9.6 - 100.0 100.0 100.0 1.4 2.4 64.4 44.2 28.7 2.5ARSI 2006-W1 M2 28% 1.7% 0.67 14.8 0.0 - 100.0 100.0 100.0 0.4 0.5 64.9 44.7 32.6 0.4

CWL 2006-8 M2 100% 6.3% 0.56 12.9 13.0 - 100.0 100.0 100.0 1.0 1.8 77.5 61.0 43.9 1.6BSABS 2006-HE3 M2 100% 6.3% 0.62 16.7 20.0 - 100.0 100.0 100.0 1.8 3.0 77.4 58.1 33.3 3.2CARR 2006-NC1 M2 100% 6.3% 0.66 16.4 20.6 - 100.0 100.0 100.0 2.0 3.5 72.3 51.7 32.7 4.0FFML 2006-FF4 M2 100% 6.3% 0.62 13.4 6.0 - 100.0 100.0 100.0 1.0 1.8 73.1 51.0 32.4 1.6

GSAMP 2006-HE3 M2 100% 6.3% 0.54 17.2 0.0 - 100.0 100.0 100.0 0.8 1.3 70.4 49.1 37.2 1.1HEAT 2006-4 M2 99% 6.2% 0.57 12.9 0.0 - 100.0 100.0 100.0 0.7 1.2 67.7 47.4 30.3 1.0

JPMAC 2006-FRE1 M2 100% 6.3% 0.66 17.4 25.1 - 100.0 100.0 95.9 2.4 4.0 76.2 53.5 31.4 5.0LBMLT 2006-1 M2 17% 1.1% 0.65 14.1 0.0 - 100.0 100.0 100.0 0.2 0.2 76.4 54.2 36.5 0.2

MABS 2006-NC1 M2 100% 6.3% 0.65 14.3 13.0 - 100.0 100.0 100.0 1.5 2.6 71.1 50.4 31.1 2.7MLMI 2006-HE1 M2 100% 6.3% 0.64 18.4 20.1 - 100.0 100.0 100.0 1.6 2.8 72.7 55.2 33.6 3.0MSAC 2006-HE2 M2 22% 1.4% 0.59 13.9 0.0 - 100.0 100.0 100.0 0.2 0.2 74.8 53.0 36.5 0.2

MSAC 2006-WMC2 M2 0%RAMP 2006-NC2 M2 100% 6.3% 0.62 13.0 5.3 - 100.0 100.0 100.0 1.2 2.2 65.9 44.9 33.3 2.1RASC 2006-KS3 M2 100% 6.3% 0.58 14.9 10.3 - 100.0 100.0 100.0 2.1 3.2 64.1 43.7 31.8 3.5SABR 2006-OP1 M2 100% 6.3% 0.63 11.4 41.7 - 0.0 0.0 0.0 6.6 7.8 61.2 34.4 14.6 58.3

SVHE 2006-OPT5 M2 100% 6.3% 0.52 15.1 6.1 - 100.0 100.0 100.0 0.9 1.7 71.0 48.2 33.2 1.4SASC 2006-WF2 M2 100% 6.3% 0.53 13.6 14.2 - 100.0 100.0 66.7 3.9 5.5 60.5 42.6 29.3 7.2

SAIL 2006-4 M1 17% 1.1% 0.51 10.9 0.0 - 100.0 100.0 100.0 0.2 0.3 74.0 52.0 37.4 0.279% 100% 0.61 14.5 13.0 93.7 93.7 91.3 1.8 2.8 69.8 49.1 32.0 6.2

Stress Base OptimisticACE 2006-NC1 M5 0%ARSI 2006-W1 M5 0%

CWL 2006-8 M5 100% 20.3% 0.69 7.5 1.2 - 100.0 100.0 100.0 0.3 0.5 77.5 61.0 43.9 0.5BSABS 2006-HE3 M5 17% 3.4% 0.79 10.4 0.0 - 100.0 100.0 100.0 0.1 0.1 77.4 58.1 33.3 0.1CARR 2006-NC1 M5 100% 20.3% 0.84 10.9 4.4 - 100.0 100.0 100.0 0.5 0.8 72.3 51.7 32.7 0.9FFML 2006-FF4 M5 0%

GSAMP 2006-HE3 M5 0%HEAT 2006-4 M5 0%

JPMAC 2006-FRE1 M5 100% 20.3% 0.80 11.5 1.2 - 100.0 100.0 100.0 0.5 0.7 76.2 53.5 31.4 0.8LBMLT 2006-1 M5 0%

MABS 2006-NC1 M5 0%MLMI 2006-HE1 M5 38% 7.6% 0.83 12.1 0.0 - 100.0 100.0 100.0 0.2 0.3 72.7 55.2 33.6 0.3MSAC 2006-HE2 M5 0%

MSAC 2006-WMC2 M5 0%RAMP 2006-NC2 M5 0%RASC 2006-KS3 M5 0%SABR 2006-OP1 M5 100% 20.3% 0.83 7.2 23.1 - 100.0 88.3 2.5 4.7 9.7 61.2 34.4 14.6 11.0

SVHE 2006-OPT5 M5 0%SASC 2006-WF2 M5 39% 7.8% 0.64 8.4 0.0 - 100.0 100.0 100.0 0.2 0.3 60.5 42.6 29.3 0.2

SAIL 2006-4 M4 0%25% 100% 0.79 9.7 6.1 100.0 97.6 80.2 1.2 2.4 71.2 50.2 30.9 2.7

Base proj coll def (%curbal)

Base proj coll def (%curbal)

Base cum loss (%origbal)

Base cum loss (%origbal)

Original C/E

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

ABX 06-2AA

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Original C/E

Overall

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

ABX 06-2A

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Overall

Page 14: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 14

Stress Base OptimisticACE 2006-NC1 M8 0%ARSI 2006-W1 M8 0%

CWL 2006-8 M8 0%BSABS 2006-HE3 M8 0%CARR 2006-NC1 M8 0%FFML 2006-FF4 M8 0%

GSAMP 2006-HE3 M8 0%HEAT 2006-4 M8 0%

JPMAC 2006-FRE1 M8 0%LBMLT 2006-1 M8 0%

MABS 2006-NC1 M8 0%MLMI 2006-HE1 B2A 0%MSAC 2006-HE2 B2 0%

MSAC 2006-WMC2 B2 0%RAMP 2006-NC2 M8 0%RASC 2006-KS3 M8 0%SABR 2006-OP1 B2 100% 100.0% 1.64 4.4 10.5 - 100.0 100.0 100.0 1.1 2.5 61.2 34.4 14.6 3.7

SVHE 2006-OPT5 M8 0%SASC 2006-WF2 M8 0%

SAIL 2006-4 M7 0%5% 100% 1.64 4.4 10.5 100.0 100.0 100.0 1.1 2.5 61.2 34.4 14.6 3.7

Stress Base OptimisticACE 2006-NC1 M9 0%ARSI 2006-W1 M9 0%

CWL 2006-8 M9 0%BSABS 2006-HE3 M9 0%CARR 2006-NC1 M9 0%FFML 2006-FF4 B1 0%

GSAMP 2006-HE3 M9 0%HEAT 2006-4 B1 0%

JPMAC 2006-FRE1 M9 0%LBMLT 2006-1 M9 0%

MABS 2006-NC1 M9 0%MLMI 2006-HE1 B3A 0%MSAC 2006-HE2 B3 0%

MSAC 2006-WMC2 B3 0%RAMP 2006-NC2 M9 0%RASC 2006-KS3 M9 0%SABR 2006-OP1 B3 100% 100.0% 2.14 3.4 6.1 - 100.0 100.0 100.0 0.8 1.8 61.2 34.4 14.6 3.5

SVHE 2006-OPT5 M9 0%SASC 2006-WF2 M9 0%

SAIL 2006-4 M8 0%5% 100% 2.14 3.4 6.1 100.0 100.0 100.0 0.8 1.8 61.2 34.4 14.6 3.5

Base proj coll def (%curbal)

Base proj coll def (%curbal)

Index Sub-index FactorEff

weightOriginal

C/ECurrent

C/EBase proj coll

loss (%curbal)Base cum loss

(%origbal)Cash price

@index yield

ABX 06-2BBB

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Base Avg Life

Bond Coupon

Overall

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Cash price

@index yield

ABX 06-2BBB-

Overall

Page 15: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 15

Stress Base OptimisticABFC 2006-OPT2 A3C 97% 5.0% 0.39 21.2 24.8 0.0% 23.0 12.6 4.7 2.3 8.1 75.6 51.0 39.3 60.8

ACE 2006-NC3 A2C 100% 5.1% 0.40 18.6 16.2 0.0% 71.8 65.4 59.4 3.7 25.1 87.0 70.8 59.6 22.8BSABS 2006-HE10 21A2 100% 5.1% 0.41 23.9 23.3 0.0% 48.8 36.6 27.4 4.7 6.8 81.2 63.5 32.8

CARR 2006-NC4 A3 100% 5.1% 0.40 26.0 28.5 0.0% 47.9 36.7 27.6 5.6 8.3 76.9 58.2 46.0 29.8CBASS 2006-CB6 A23 97% 5.0% 0.39 21.5 25.2 0.0% 19.3 8.5 0.7 2.7 8.1 67.9 48.0 59.9CMLTI 2006-WFH3 A3 88% 4.5% 0.38 21.7 42.2 0.0% 0.0 0.0 0.0 1.5 1.7 62.8 43.6 31.5 80.8

CWL 2006-18 2A2 83% 4.2% 0.40 20.2 30.9 0.0% 25.8 16.8 10.2 2.7 4.0 80.9 62.5 50.2 56.6FFML 2006-FF13 A2C 100% 5.1% 0.40 19.2 13.9 0.0% 39.7 30.4 23.4 3.3 13.3 74.0 52.2 41.4 43.5

FHLT 2006-3 2A3 100% 5.1% 0.41 21.8 14.2 - 60.7 53.0 46.8 4.2 22.0 79.2 58.8 47.6 27.8GSAMP 2006-HE5 A2C 100% 5.1% 0.39 23.4 22.8 0.0% 44.4 23.9 9.0 3.9 13.4 67.5 45.8 41.6 48.1

HEAT 2006-7 2A3 100% 5.1% 0.39 20.2 0.0 0.0% 61.3 46.9 36.2 6.5 24.8 69.9 46.8 21.6JPMAC 2006-CH2 AV4 100% 5.1% 0.38 17.5 21.2 0.0% 46.2 35.6 26.0 5.4 18.4 70.5 51.5 42.3 30.7

LBMLT 2006-6 2A3 97% 4.5% 0.39 21.4 0.0 9.0% 62.1 55.3 49.8 2.8 24.4 81.3 59.2 49.1 30.6MABS 2006-NC3 A4 100% 5.0% 0.40 23.2 0.0 1.7% 44.4 36.5 30.6 3.3 18.6 66.2 44.9 45.8 38.9MLMI 2006-HE5 A2C 100% 5.1% 0.39 22.1 12.2 0.0% 55.8 47.4 40.6 4.2 20.8 76.6 56.9 48.3 30.4MSAC 2006-HE6 A2C 100% 5.1% 0.39 21.7 21.3 0.0% 65.4 57.2 50.7 4.0 19.5 85.6 69.2 52.9 25.9RASC 2006-KS9 AI3 100% 5.1% 0.40 21.5 7.7 0.0% 36.4 26.7 20.0 4.2 4.7 68.0 48.1 46.4 41.7SABR 2006-HE2 A2C 100% 5.1% 0.39 22.0 1.5 0.0% 51.7 44.2 38.6 3.4 19.0 69.0 47.2 44.3 34.5SVHE 2006-EQ1 A3 100% 5.1% 0.40 22.4 25.9 0.0% 18.0 7.6 1.0 3.4 8.3 63.9 44.3 37.1 54.8SASC 2006-BC4 A4 100% 5.1% 0.41 18.7 9.0 - 44.6 27.8 15.0 5.3 18.0 74.2 52.8 43.6 32.7

98% 100% 0.40 21.4 16.9 43.7 33.7 26.1 3.9 14.5 73.9 53.7 45.1 39.8

Stress Base OptimisticABFC 2006-OPT2 A3D 100% 5.2% 0.46 21.2 24.8 0.0% 44.0 31.9 21.3 6.4 17.7 75.6 51.0 39.3 38.3

ACE 2006-NC3 A2D 100% 5.2% 0.44 18.6 16.2 0.0% 71.8 65.4 59.4 4.0 25.1 87.0 70.8 59.6 26.2BSABS 2006-HE10 21A3 100% 5.2% 0.48 23.9 23.3 0.0% 69.8 59.6 50.6 9.8 13.8 81.2 63.5 18.5

CARR 2006-NC4 A4 100% 5.2% 0.48 26.0 28.5 0.0% 47.9 36.7 28.4 6.1 8.3 76.9 58.2 46.0 37.0CBASS 2006-CB6 A24 100% 5.2% 0.49 21.5 25.2 0.0% 35.9 23.6 9.5 7.5 18.6 67.9 48.0 39.6CMLTI 2006-WFH3 A4 100% 5.2% 0.47 21.7 42.2 0.0% 0.0 0.0 0.0 5.7 6.8 62.8 43.6 31.5 58.3

CWL 2006-18 2A3 100% 5.2% 0.48 20.2 30.9 0.0% 67.4 55.5 44.6 9.1 11.4 80.9 62.5 50.2 21.6FFML 2006-FF13 A2D 100% 5.2% 0.48 19.2 13.9 0.0% 47.1 38.3 31.6 5.1 16.4 74.0 52.2 41.4 39.7

FHLT 2006-3 2A4 100% 5.2% 0.48 21.8 14.2 - 60.7 53.0 46.8 4.6 22.0 79.2 58.8 47.6 32.8GSAMP 2006-HE5 A2D 100% 5.2% 0.48 23.4 22.8 0.0% 60.1 41.8 25.2 7.1 21.4 67.5 45.8 41.6 40.2

HEAT 2006-7 2A4 100% 1.3% 0.48 20.2 0.0 74.4% 100.0 100.0 100.0 5.4 39.6 69.9 46.8 11.3JPMAC 2006-CH2 AV5 100% 5.2% 0.45 17.5 21.2 0.0% 46.2 35.6 27.4 5.9 18.4 70.5 51.5 42.3 37.8

LBMLT 2006-6 2A4 97% 4.6% 0.49 21.4 0.0 9.0% 62.1 55.3 49.8 3.2 24.4 81.3 59.2 49.1 34.3MABS 2006-NC3 A5 100% 5.1% 0.45 23.2 0.0 1.7% 44.4 36.5 30.6 3.8 18.6 66.2 44.9 45.8 44.3

MLMI 2006-HE5 A2D 100% 5.2% 0.48 22.1 12.2 0.0% 55.8 47.4 40.6 4.6 20.8 76.6 56.9 48.3 35.9MSAC 2006-HE6 A2D 100% 5.2% 0.48 21.7 21.3 0.0% 65.4 57.2 50.7 4.4 19.5 85.6 69.2 52.9 30.4RASC 2006-KS9 AI4 100% 5.2% 0.49 21.5 7.7 0.0% 58.7 47.6 39.2 9.2 11.0 68.0 48.1 46.4 24.4SABR 2006-HE2 A2D 100% 5.2% 0.48 22.0 1.5 0.0% 51.7 44.2 38.6 3.9 19.0 69.0 47.2 44.3 39.5SVHE 2006-EQ1 A4 100% 5.2% 0.49 22.4 25.9 0.0% 30.7 19.3 8.8 7.9 16.7 63.9 44.3 37.1 39.4SASC 2006-BC4 A5 100% 5.2% 0.55 18.7 9.0 - 100.0 100.0 100.0 5.4 39.8 74.2 52.8 43.6 12.1

100% 100% 0.48 21.4 17.8 54.2 45.4 37.8 6.0 18.6 74.0 54.0 45.1 33.9

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Base proj coll def (%curbal)

Cash price @index yield

ABX 07-1PAAA

Overall

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Cash price

@index yieldBase proj coll def (%curbal)

ABX 07-1AAA

Overall

Page 16: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 16

Stress Base OptimisticABFC 2006-OPT2 M2 100% 8.5% 0.53 13.9 4.9 - 100.0 100.0 100.0 0.8 1.5 73.5 50.8 38.7 1.2

ACE 2006-NC3 M2 100% 8.5% 0.52 12.3 3.2 - 100.0 100.0 100.0 0.3 0.5 82.1 66.5 52.6 0.4BSABS 2006-HE10 2M2 100% 8.5% 0.54 15.1 5.6 - 100.0 100.0 100.0 0.6 1.1 81.2 63.5 52.9 0.9

CARR 2006-NC4 M2 100% 8.5% 0.56 15.6 6.6 - 100.0 100.0 100.0 0.7 1.2 76.9 58.2 46.0 1.0CBASS 2006-CB6 M2 100% 8.5% 0.52 14.2 3.6 - 100.0 100.0 100.0 1.0 1.9 67.0 47.2 37.5 1.5

CMLTI 2006-WFH3 M2 100% 8.5% 0.53 13.3 17.5 - 100.0 93.3 55.6 4.5 7.1 62.8 43.6 31.5 7.5CWL 2006-18 M2 100% 8.5% 0.56 13.0 16.9 - 100.0 100.0 100.0 1.1 2.1 80.4 62.4 47.5 1.8

FFML 2006-FF13 M2 50% 4.2% 0.55 12.6 0.0 - 100.0 100.0 100.0 0.3 0.5 73.6 51.5 40.9 0.4FHLT 2006-3 M2 0%

GSAMP 2006-HE5 M2 98% 8.3% 0.55 15.7 0.0 - 100.0 100.0 100.0 0.7 1.2 66.7 46.2 39.5 1.0HEAT 2006-7 M2 0%

JPMAC 2006-CH2 MV2 100% 8.5% 0.51 11.6 8.8 - 100.0 100.0 100.0 0.8 1.7 71.2 52.2 41.2 1.3LBMLT 2006-6 M2 0%

MABS 2006-NC3 M2 0%MLMI 2006-HE5 M2 34% 2.9% 0.54 15.4 0.0 - 100.0 100.0 100.0 0.2 0.2 76.2 56.8 47.2 0.1MSAC 2006-HE6 M2 100% 8.5% 0.54 13.1 1.1 - 100.0 100.0 100.0 0.4 0.5 84.4 68.4 51.8 0.4RASC 2006-KS9 M2S 0%SABR 2006-HE2 M2 0%SVHE 2006-EQ1 M2 100% 8.5% 0.56 15.0 4.9 - 100.0 100.0 100.0 0.9 1.7 63.9 44.3 37.1 1.4SASC 2006-BC4 M2 0%

59% 100% 0.54 13.9 6.2 100.0 99.4 96.2 1.0 1.8 73.7 54.8 43.3 1.6

Stress Base OptimisticABFC 2006-OPT2 M5 0%

ACE 2006-NC3 M5 0%BSABS 2006-HE10 2M5 0%

CARR 2006-NC4 M5 0%CBASS 2006-CB6 M5 0%

CMLTI 2006-WFH3 M5 100% 36.8% 0.63 8.2 2.7 - 100.0 100.0 100.0 0.5 1.0 62.8 43.6 31.5 0.9CWL 2006-18 M5 100% 36.8% 0.66 7.6 6.3 - 100.0 100.0 100.0 0.6 1.1 80.4 62.4 47.5 1.0

FFML 2006-FF13 M5 0%FHLT 2006-3 M5 0%

GSAMP 2006-HE5 M5 0%HEAT 2006-7 M5 0%

JPMAC 2006-CH2 MV5 71% 26.3% 0.62 7.0 0.0 - 100.0 100.0 100.0 0.3 0.4 71.2 52.2 41.2 0.3LBMLT 2006-6 M5 0%

MABS 2006-NC3 M5 0%MLMI 2006-HE5 M5 0%MSAC 2006-HE6 M5 0%RASC 2006-KS9 M5 0%SABR 2006-HE2 M4 0%SVHE 2006-EQ1 M5 0%SASC 2006-BC4 M5 0%

14% 100% 0.64 7.6 3.3 100.0 100.0 100.0 0.5 0.9 71.5 52.8 39.9 0.8

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Base proj coll def (%curbal)

Cash price @index yield

ABX 07-1AA

Overall

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Cash price

@index yieldBase proj coll def (%curbal)

ABX 07-1A

Overall

Page 17: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 17

Stress Base OptimisticACE 2007-HE4 A2C 85% 2.7% 0.54 29.1 0.0 32.8% 79.8 75.8 72.3 2.7 23.9 84.7 63.3 60.0 20.0

BSABS 2007-HE3 1A3 100% 5.1% 0.49 26.2 22.8 0.0% 65.2 52.3 41.7 7.1 7.2 81.3 61.6 56.9 22.9CMLTI 2007-AMC2 A3B 100% 5.1% 0.42 20.4 6.1 - 54.1 46.4 40.6 3.9 22.4 71.5 50.6 54.7 33.3

CWL 2007-1 2A3 100% 5.1% 0.38 20.5 24.7 0.0% 57.7 45.5 35.4 5.5 6.0 82.7 61.3 55.2 29.0FFML 2007-FF1 A2C 100% 5.1% 0.38 17.1 4.1 0.0% 53.6 45.4 39.1 3.9 24.3 76.8 53.0 44.9 34.9

GSAMP 2007-NC1 A2C 100% 5.1% 0.39 24.5 6.3 0.0% 50.2 41.3 34.4 4.2 20.9 75.2 53.1 54.2 34.6HASC 2007-NC1 A3 100% 5.1% 0.42 26.7 22.2 0.0% 54.9 44.9 37.0 5.0 22.5 79.3 59.4 55.0 31.5HEAT 2007-2 2A3 100% 4.7% 0.48 23.5 0.0 9.0% 90.0 73.0 60.2 7.3 37.8 66.6 44.0 51.4 14.4

JPMAC 2007-CH3 A4 100% 5.1% 0.45 20.1 27.7 0.0% 43.5 32.0 21.0 6.5 16.6 71.1 52.0 43.9 32.7FFMER 2007-2 A2C 100% 5.1% 0.48 19.3 7.5 - 54.4 46.6 40.1 4.1 25.2 79.7 55.4 48.4 33.7

MLMI 2007-MLN1 A2C 100% 5.1% 0.50 27.4 17.6 0.0% 55.8 47.8 41.2 4.7 20.6 79.8 56.8 56.1 31.2MSAC 2007-NC3 A2C 100% 5.1% 0.43 26.4 15.2 0.0% 44.3 34.6 27.1 5.0 19.6 69.8 48.3 50.2 35.5

NHELI 2007-2 2A3 100% 5.1% 0.43 25.5 8.8 0.0% 59.3 51.9 46.3 4.1 24.1 72.8 51.0 53.0 29.5NHEL 2007-2 A2C 100% 5.1% 0.42 23.7 25.6 0.0% 64.6 60.2 49.4 6.2 25.6 76.7 55.3 55.9 21.8

OOMLT 2007-5 2A3 100% 5.1% 0.47 24.6 15.6 0.0% 52.8 43.9 37.3 4.8 20.2 74.8 49.0 49.4 31.4RASC 2007-KS2 AI3 100% 5.1% 0.38 24.4 18.4 0.0% 34.5 20.5 10.1 5.7 6.9 67.8 47.0 50.4 41.1SABR 2007-BR4 A2B 100% 5.1% 0.44 27.6 4.5 0.0% 44.1 35.4 29.1 4.1 18.7 67.0 44.2 49.6 38.8

SVHE 2007-OPT1 2A3 100% 5.1% 0.45 24.9 17.6 0.0% 55.0 45.7 38.5 5.0 20.9 75.9 49.6 49.6 29.7SASC 2007-BC1 A4 100% 5.1% 0.37 25.0 27.0 0.0% 32.4 8.6 0.0 6.5 12.5 71.2 47.7 43.0 38.9

WMHE 2007-HE2 2A3 100% 5.1% 0.49 18.9 2.3 0.0% 57.0 49.9 44.2 3.4 20.9 75.7 52.0 53.2 33.599% 100% 0.44 23.8 14.1 54.4 44.2 36.3 5.0 19.6 74.8 52.5 51.5 31.3

Stress Base OptimisticACE 2007-HE4 A2D 85% 2.8% 0.60 29.1 0.0 32.8% 79.8 75.8 72.3 2.8 23.9 84.7 63.3 60.0 21.0

BSABS 2007-HE3 1A4 100% 5.4% 0.59 26.2 22.8 0.0% 74.0 63.6 54.7 8.8 11.1 81.3 61.6 56.9 17.2CMLTI 2007-AMC2 A3C 100% 5.4% 0.49 20.4 6.1 - 54.1 46.4 40.6 4.1 22.4 71.5 50.6 54.7 35.3

CWL 2007-1 2A4 100% 5.4% 0.47 20.5 24.7 0.0% 73.1 63.0 54.2 8.8 10.7 82.7 61.3 55.2 15.3FFML 2007-FF1 A2D 100% 5.4% 0.46 17.1 4.1 0.0% 53.6 45.4 39.1 4.0 24.3 76.8 53.0 44.9 37.0

GSAMP 2007-NC1 A2D 100% 5.4% 0.47 24.5 6.3 0.0% 50.2 41.3 34.4 4.4 20.9 75.2 53.1 54.2 36.7HASC 2007-NC1 A4 100% 5.4% 0.52 26.7 22.2 0.0% 54.9 44.9 37.0 5.1 22.5 79.3 59.4 55.0 33.9HEAT 2007-2 2A4 100% 0.0% 0.61 23.5 0.0 100.0% 100.0 100.0 100.0 5.5 45.2 66.6 44.0 51.4 12.8

JPMAC 2007-CH3 A5 100% 5.4% 0.50 20.1 27.7 0.0% 43.5 32.0 23.8 6.6 16.6 71.1 52.0 43.9 35.6FFMER 2007-2 A2D 100% 5.4% 0.56 19.3 7.5 - 54.4 46.6 40.1 4.3 25.2 79.7 55.4 48.4 35.8

MLMI 2007-MLN1 A2D 100% 5.4% 0.56 27.4 17.6 0.0% 55.8 47.8 41.2 4.8 20.6 79.8 56.8 56.1 33.3MSAC 2007-NC3 A2D 100% 5.4% 0.50 26.4 15.2 0.0% 44.3 34.6 27.1 5.1 19.6 69.8 48.3 50.2 38.1

NHELI 2007-2 2A4 100% 5.4% 0.52 25.5 8.8 0.0% 59.3 51.9 46.3 4.2 24.1 72.8 51.0 53.0 31.4NHEL 2007-2 A2D 100% 5.4% 0.51 23.7 25.6 0.0% 64.6 60.2 58.6 6.3 25.6 76.7 55.3 55.9 24.0

OOMLT 2007-5 2A4 100% 5.4% 0.54 24.6 15.6 0.0% 52.8 43.9 37.3 4.9 20.2 74.8 49.0 49.4 33.6RASC 2007-KS2 AI4 100% 5.4% 0.46 24.4 18.4 0.0% 51.3 37.7 26.7 9.8 14.5 67.8 47.0 50.4 24.1SABR 2007-BR4 A2C 100% 5.4% 0.53 27.6 4.5 0.0% 44.1 35.4 29.1 4.3 18.7 67.0 44.2 49.6 41.2

SVHE 2007-OPT1 2A4 100% 5.4% 0.52 24.9 17.6 0.0% 55.0 45.7 38.5 5.1 20.9 75.9 49.6 49.6 31.8SASC 2007-BC1 A5 100% 5.4% 0.47 25.0 27.0 0.0% 100.0 100.0 64.0 5.9 35.0 71.2 47.7 43.0 13.5

WMHE 2007-HE2 2A4 100% 5.4% 0.60 18.9 2.3 0.0% 57.0 49.9 44.2 3.5 20.9 75.7 52.0 53.2 35.399% 100% 0.52 23.8 14.8 58.5 50.2 41.8 5.5 20.8 75.2 52.9 51.5 30.4

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Base proj coll def (%curbal)

Cash price @index yield

ABX 07-2PAAA

Overall

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Cash price

@index yieldBase proj coll def (%curbal)

ABX 07-2AAA

Overall

Page 18: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 18

Stress Base OptimisticACE 2007-HE4 M2 0%

BSABS 2007-HE3 M2 100% 9.6% 0.74 16.1 4.3 - 100.0 100.0 100.0 0.5 1.0 80.6 61.9 56.5 1.0CMLTI 2007-AMC2 M2 0%

CWL 2007-1 M2 100% 9.6% 0.51 13.2 13.3 - 100.0 100.0 100.0 0.8 1.8 81.7 60.4 53.2 1.2FFML 2007-FF1 M2 0%

GSAMP 2007-NC1 M2 0%HASC 2007-NC1 M2 100% 9.6% 0.55 18.4 4.9 - 100.0 100.0 100.0 0.5 1.0 79.3 59.4 55.0 0.8

HEAT 2007-2 M2 0%JPMAC 2007-CH3 M2 100% 9.6% 0.56 14.0 16.5 - 100.0 100.0 100.0 1.1 2.5 70.0 51.0 42.6 1.8

FFMER 2007-2 M2 0%MLMI 2007-MLN1 M2 100% 9.6% 0.70 19.2 2.0 - 100.0 100.0 100.0 0.5 1.0 78.3 56.9 54.0 0.9MSAC 2007-NC3 M2 89% 8.6% 0.55 18.8 0.0 - 100.0 100.0 100.0 0.3 0.4 70.4 49.8 51.3 0.3

NHELI 2007-2 M2 0%NHEL 2007-2 M2 100% 9.6% 0.56 15.1 9.7 - 100.0 100.0 100.0 0.9 1.9 65.2 46.3 46.0 1.4

OOMLT 2007-5 M2 66% 6.3% 0.64 15.0 0.0 - 100.0 100.0 100.0 0.4 0.5 71.2 48.0 47.2 0.4RASC 2007-KS2 M2 85% 8.2% 0.52 15.9 0.0 - 100.0 100.0 100.0 0.6 1.2 67.6 46.9 49.3 0.8SABR 2007-BR4 M2 0%

SVHE 2007-OPT1 M2 100% 9.6% 0.59 15.9 1.6 - 100.0 100.0 100.0 0.5 0.9 71.6 47.7 47.3 0.7SASC 2007-BC1 M2 100% 9.6% 0.51 12.6 2.1 - 100.0 100.0 100.0 0.5 1.0 71.5 50.8 45.7 0.7

WMHE 2007-HE2 M2 0%52% 100% 0.59 15.8 5.2 100.0 100.0 100.0 0.6 1.2 73.6 52.9 49.9 0.9

Stress Base OptimisticACE 2007-HE4 M5 0%

BSABS 2007-HE3 M5 0%CMLTI 2007-AMC2 M5 0%

CWL 2007-1 M5 100% 33.3% 0.62 7.6 4.4 - 100.0 100.0 100.0 0.4 0.9 81.7 60.4 53.2 0.7FFML 2007-FF1 M5 0%

GSAMP 2007-NC1 M5 0%HASC 2007-NC1 M5 0%

HEAT 2007-2 M5 0%JPMAC 2007-CH3 M5 100% 33.3% 0.94 9.2 7.8 - 100.0 100.0 100.0 0.7 1.5 70.0 51.0 42.6 1.6

FFMER 2007-2 M5 0%MLMI 2007-MLN1 M5 0%MSAC 2007-NC3 M5 0%

NHELI 2007-2 M5 0%NHEL 2007-2 M5 100% 33.3% 0.92 10.3 0.8 - 100.0 100.0 100.0 0.2 0.3 65.2 46.3 46.0 0.3

OOMLT 2007-5 M5 0%RASC 2007-KS2 M5 0%SABR 2007-BR4 M5 0%

SVHE 2007-OPT1 M5 0%SASC 2007-BC1 M5 0%

WMHE 2007-HE2 M5 0%15% 100% 0.83 9.0 4.3 100.0 100.0 100.0 0.4 0.9 72.3 52.6 47.3 0.9

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Base proj coll def (%curbal)

Cash price @index yield

ABX 07-2AA

Overall

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Cash price

@index yieldBase proj coll def (%curbal)

ABX 07-2A

Overall

Page 19: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 19

Stress Base OptimisticACE 2007-HE4 M8 0%

BSABS 2007-HE3 M8 0%CMLTI 2007-AMC2 M8 0%

CWL 2007-1 M8 0%FFML 2007-FF1 B2 0%

GSAMP 2007-NC1 M8 0%HASC 2007-NC1 M8 0%

HEAT 2007-2 M8 0%JPMAC 2007-CH3 M8 100% 100.0% 1.99 5.2 0.4 - 100.0 100.0 100.0 0.3 0.5 70.0 51.0 42.6 1.0

FFMER 2007-2 B2 0%MLMI 2007-MLN1 B2 0%MSAC 2007-NC3 B2 0%

NHELI 2007-2 M8 0%NHEL 2007-2 M8 0%

OOMLT 2007-5 M8 0%RASC 2007-KS2 M8 0%SABR 2007-BR4 B2 0%

SVHE 2007-OPT1 M8 0%SASC 2007-BC1 M8 0%

WMHE 2007-HE2 M8 0%5% 100% 1.99 5.2 0.4 100.0 100.0 100.0 0.3 0.5 70.0 51.0 42.6 1.0

Stress Base OptimisticACE 2007-HE4 M9 0%

BSABS 2007-HE3 M9 0%CMLTI 2007-AMC2 M9 0%

CWL 2007-1 M9 0%FFML 2007-FF1 B3 0%

GSAMP 2007-NC1 M9 0%HASC 2007-NC1 M9 0%

HEAT 2007-2 M9 0%JPMAC 2007-CH3 M9 22% 100.0% 2.34 4.2 0.0 - 100.0 100.0 100.0 0.1 0.1 70.0 51.0 42.6 0.3

FFMER 2007-2 B3 0%MLMI 2007-MLN1 B3 0%MSAC 2007-NC3 B3 0%

NHELI 2007-2 M9 0%NHEL 2007-2 M9 0%

OOMLT 2007-5 M9 0%RASC 2007-KS2 M9 0%SABR 2007-BR4 B3 0%

SVHE 2007-OPT1 M9 0%SASC 2007-BC1 M9 0%

WMHE 2007-HE2 M9 0%1% 100% 2.34 4.2 0.0 100.0 100.0 100.0 0.1 0.1 70.0 51.0 42.6 0.3

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Base proj coll def (%curbal)

Cash price @index yield

ABX 07-2BBB

Overall

Index Sub-index FactorEff

weightBond

CouponOriginal

C/ECurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase Avg

LifeBase proj coll

loss (%curbal)Base cum loss

(%origbal)Cash price

@index yieldBase proj coll def (%curbal)

ABX 07-2BBB-

Overall

Page 20: ABX and PrimeX Monitor - October 2011

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26 October 2011 20

Stress Base OptimisticCHASE 2005-S2 A1 41% 0.3% 5.50 3.5 5.0 - 6.3 2.6 0.6 3.1 3.9 14.5 6.3 3.4 100.0

CHASE 2005-S2 A10 18% 0.2% 1.03 3.5 5.0 - 0.0 0.0 0.0 0.5 0.5 14.5 6.3 3.4 98.2CHASE 2005-S2 A11 18% 0.0% 21.88 3.5 5.0 - 0.0 0.0 0.0 0.5 0.5 14.5 6.3 3.4 106.7CHASE 2005-S2 A12 18% 0.0% 12.94 3.5 5.0 - 0.0 0.0 0.0 0.5 0.5 14.5 6.3 3.4 103.1CHASE 2005-S2 A13 0%CHASE 2005-S2 A14 0%CHASE 2005-S2 A15 100% 0.9% 5.50 3.5 5.0 - 8.1 3.3 0.0 4.0 5.2 14.5 6.3 3.4 100.3CHASE 2005-S2 A16 100% 0.3% 5.50 3.5 5.0 - 11.6 7.4 3.5 6.2 8.2 14.5 6.3 3.4 98.9CHASE 2005-S2 A17 91% 0.4% 5.50 6.8 8.3 - 6.1 2.2 0.4 3.9 5.1 14.5 6.3 3.4 101.1CHASE 2005-S2 A18 91% 0.0% 5.50 3.5 5.0 - 65.2 42.7 12.2 2.1 3.3 14.5 6.3 3.4 67.4CHASE 2005-S2 A19 0%CHASE 2005-S2 A2 0%

CHASE 2005-S2 A20 0%CHASE 2005-S2 A21 0%CHASE 2005-S2 A23 4% 0.0% 5.50 3.5 5.0 - 0.0 0.0 0.0 0.1 0.1 14.5 6.3 3.4 99.7CHASE 2005-S2 A24 0%CHASE 2005-S2 A25 95% 0.7% 5.50 3.5 5.0 - 0.0 0.0 0.0 0.9 0.9 14.5 6.3 3.4 100.3CHASE 2005-S2 A26 100% 0.2% 5.50 3.5 5.0 - 10.1 0.0 0.0 2.4 2.6 14.5 6.3 3.4 101.4CHASE 2005-S2 A27 100% 0.2% 5.50 3.5 5.0 - 11.6 5.5 0.0 5.4 7.1 14.5 6.3 3.4 99.7CHASE 2005-S2 A28 52% 0.1% 5.50 3.5 5.0 - 5.3 1.5 0.0 2.7 3.3 14.5 6.3 3.4 100.6CHASE 2005-S2 A29 139% 0.1% 5.50 3.5 5.0 - 11.8 7.7 3.3 7.2 8.2 14.5 6.3 3.4 99.5CHASE 2005-S2 A3 16% 0.1% 5.50 3.5 5.0 - 0.0 0.0 0.0 0.5 0.5 14.5 6.3 3.4 99.9CHASE 2005-S2 A4 100% 0.1% 5.50 3.5 5.0 - 10.4 1.3 0.0 2.5 3.0 14.5 6.3 3.4 100.5CHASE 2005-S2 A5 48% 0.5% 5.50 3.5 5.0 - 0.0 0.0 0.0 0.8 0.9 14.5 6.3 3.4 100.2CHASE 2005-S2 A6 18% 0.0% 5.50 3.5 5.0 - 0.0 0.0 0.0 0.5 0.5 14.5 6.3 3.4 100.0CHASE 2005-S2 A7 100% 0.1% 5.50 3.5 5.0 - 11.6 0.0 0.0 1.4 1.5 14.5 6.3 3.4 100.6CHASE 2005-S2 A8 100% 0.0% 5.50 3.5 5.0 - 11.6 0.0 0.0 2.2 2.3 14.5 6.3 3.4 101.2CHASE 2005-S2 A9 100% 0.1% 5.50 3.5 5.0 - 11.6 4.5 0.0 4.8 6.3 14.5 6.3 3.4 100.0CHASE 2005-S3 A1 93% 1.0% 5.50 6.6 7.2 - 8.8 4.4 2.2 3.9 5.0 16.1 6.9 4.2 99.3

CHASE 2005-S3 A10 100% 0.3% 5.50 3.4 4.0 - 14.3 9.5 7.2 5.3 6.8 16.1 6.9 4.2 96.2CHASE 2005-S3 A11 0%CHASE 2005-S3 A12 33% 0.2% 5.50 3.4 4.0 - 0.0 0.0 0.0 0.3 0.2 16.1 6.9 4.2 99.8CHASE 2005-S3 A13 100% 0.5% 5.50 3.4 4.0 - 3.9 0.1 0.0 1.3 1.4 16.1 6.9 4.2 100.5CHASE 2005-S3 A14 38% 0.4% 5.50 3.4 4.0 - 14.2 9.4 4.8 5.2 6.8 16.1 6.9 4.2 96.2CHASE 2005-S3 A15 138% 0.0% 5.50 3.4 4.0 - 14.4 9.8 7.7 5.9 6.9 16.1 6.9 4.2 96.6CHASE 2005-S3 A3 27% 0.6% 5.50 3.4 4.0 - 2.6 0.0 0.0 1.0 1.1 16.1 6.9 4.2 100.4CHASE 2005-S3 A4 9% 0.2% 5.50 3.4 4.0 - 0.0 0.0 0.0 0.2 0.2 16.1 6.9 4.2 99.8CHASE 2005-S3 A5 9% 0.1% 5.50 7.8 8.5 - 0.0 0.0 0.0 0.2 0.2 16.1 6.9 4.2 99.8CHASE 2005-S3 A7 100% 0.5% 5.50 3.4 4.0 - 0.0 0.0 0.0 1.0 1.0 16.1 6.9 4.2 100.3CHASE 2005-S3 A8 100% 0.5% 5.50 3.4 4.0 - 13.6 5.5 0.0 3.8 4.9 16.1 6.9 4.2 98.3CHASE 2005-S3 A9 100% 0.5% 5.50 3.4 4.0 - 14.3 9.5 6.9 5.3 6.8 16.1 6.9 4.2 96.2CWHL 2005-21 A1 53% 5.7% 5.50 4.2 4.5 - 12.0 7.5 5.1 3.6 4.8 23.4 10.8 7.3 96.5

CWHL 2005-27 1A1 48% 5.1% 5.50 4.1 4.5 - 15.4 7.4 5.2 3.5 4.5 22.3 10.6 6.4 96.2GSR 2006-1F 2A1 51% 5.4% 6.00 - 17.2 12.4 9.8 3.4 5.2 20.7 9.9 7.0 96.3GSR 2006-6F 3A1 50% 5.3% 6.50 - 32.2 25.9 22.0 3.8 6.6 34.7 17.5 10.5 89.9RFMSI 2005-S6 A8 43% 4.6% 5.25 3.0 4.8 - 5.6 2.2 0.1 3.5 4.8 10.5 4.0 2.3 100.5

Base cum loss (%origbal)

Index Sub-index FactorEff

weightBond

CouponOriginal

C/EBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yieldCurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

DurationBase proj coll def (%curbal)

PrimeX.FRM1

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26 October 2011 21

Stress Base OptimisticSASC 2005-17 4A1 37% 1.2% 5.50 13.5 18.3 - 3.4 0.3 0.0 4.0 5.3 30.8 11.2 7.8 102.5SASC 2005-17 4A2 82% 1.2% 5.50 13.5 18.3 - 3.5 0.3 0.0 4.3 5.6 30.8 11.2 7.8 102.6SASC 2005-17 4A3 13% 0.4% 5.50 13.5 18.3 - 3.0 0.2 0.0 3.2 4.2 30.8 11.2 7.8 101.9SASC 2005-17 4A4 100% 2.1% 5.50 13.5 18.3 - 4.2 0.4 0.0 5.1 6.8 30.8 11.2 7.8 103.2SASC 2005-17 4A5 100% 0.2% 5.50 13.5 18.3 - 4.2 0.4 0.0 5.1 6.8 30.8 11.2 7.8 103.2SASC 2005-17 4A6 95% 1.0% 5.50 3.9 1.8 - 71.6 58.3 42.7 2.4 3.3 30.8 11.2 7.8 52.6

WFMBS 2005-11 1A1 47% 5.1% 5.50 3.3 4.5 - 7.0 3.2 1.2 3.8 5.0 16.5 6.4 100.1WFMBS 2005-12 1A1 51% 5.5% 5.50 10.0 10.4 - 6.2 2.5 1.1 4.7 6.3 19.3 8.4 5.9 101.6WFMBS 2005-14 1A1 93% 1.2% 5.50 12.9 12.4 - 3.6 0.9 0.1 4.5 5.9 13.9 5.8 3.6 102.5WFMBS 2005-14 1A5 138% 1.3% 5.50 12.9 12.4 - 5.7 1.7 0.2 7.0 8.3 13.9 5.8 3.6 103.9WFMBS 2005-14 1A6 54% 0.5% 5.50 9.6 10.9 - 2.1 0.0 0.0 2.1 2.3 13.9 5.8 3.6 101.1WFMBS 2005-14 1A9 24% 1.7% 5.50 3.3 4.6 - 1.4 0.0 0.0 1.2 1.3 13.9 5.8 3.6 100.5WFMBS 2005-17 1A1 54% 5.8% 5.50 9.4 8.3 - 7.8 3.9 2.2 4.5 6.1 19.1 8.6 6.7 100.4WFMBS 2005-18 1A1 52% 5.6% 5.50 3.5 2.1 - 14.3 9.2 6.3 4.6 6.2 21.3 9.1 7.1 96.0

WFMBS 2005-3 A1 11% 0.3% 16.51 2.9 6.6 - 0.0 0.0 0.0 0.5 0.5 10.4 3.7 1.7 105.2WFMBS 2005-3 A2 11% 0.6% 0.49 2.9 6.6 - 0.0 0.0 0.0 0.5 0.5 10.4 3.7 1.7 98.1WFMBS 2005-3 A3 84% 0.9% 5.50 10.0 13.4 - 0.4 0.0 0.0 3.5 4.3 10.4 3.7 1.7 102.2WFMBS 2005-3 A4 100% 1.6% 5.50 2.9 6.6 - 2.4 0.0 0.0 3.5 4.4 10.4 3.7 1.7 102.2WFMBS 2005-6 A1 15% 1.3% 5.25 3.0 5.6 - 0.0 0.0 0.0 0.8 0.8 9.9 3.6 1.9 100.0

WFMBS 2005-6 A12 100% 1.0% 5.50 3.0 5.6 - 2.6 0.0 0.0 4.2 5.2 9.9 3.6 1.9 102.7WFMBS 2005-6 A4 86% 1.1% 5.50 7.8 10.3 - 0.7 0.0 0.0 3.9 5.0 9.9 3.6 1.9 102.5WFMBS 2005-7 A1 41% 4.4% 5.25 6.6 8.3 - 0.9 0.0 0.0 3.5 4.5 10.6 4.0 2.7 101.3WFMBS 2005-8 A1 54% 5.8% 5.50 13.6 13.3 - 3.3 0.8 0.3 4.7 6.2 18.5 8.1 6.4 102.7

WFMBS 2005-9 1A1 5% 0.1% 4.75 3.3 5.0 - 0.0 0.0 0.0 0.2 0.2 13.6 5.6 3.3 99.7WFMBS 2005-9 1A10 100% 0.6% 5.50 3.3 5.0 - 9.3 2.9 0.0 5.5 7.4 13.6 5.6 3.3 101.9WFMBS 2005-9 1A11 92% 0.9% 5.50 13.5 15.1 - 1.4 0.2 0.0 4.5 5.9 13.6 5.6 3.3 102.9WFMBS 2005-9 1A12 92% 0.1% 5.50 3.3 5.0 - 49.6 19.4 0.0 3.6 5.1 13.6 5.6 3.3 89.8WFMBS 2005-9 1A13 5% 0.0% 5.50 3.3 5.0 - 0.0 0.0 0.0 0.2 0.2 13.6 5.6 3.3 99.8WFMBS 2005-9 1A14 78% 0.3% 5.50 3.3 5.0 - 7.5 0.0 0.0 2.7 3.0 13.6 5.6 3.3 101.6WFMBS 2005-9 1A15 100% 0.4% 5.50 3.3 5.0 - 9.3 2.4 0.0 5.4 7.1 13.6 5.6 3.3 102.1WFMBS 2005-9 1A16 139% 0.2% 5.50 3.3 5.0 - 11.0 6.6 0.0 8.7 9.8 13.6 5.6 3.3 101.9WFMBS 2005-9 1A2 48% 0.9% 5.50 3.3 5.0 - 0.8 0.0 0.0 1.2 1.3 13.6 5.6 3.3 100.5WFMBS 2005-9 1A3 0%WFMBS 2005-9 1A4 100% 0.2% 5.50 3.3 5.0 - 9.3 5.0 0.0 7.1 9.8 13.6 5.6 3.3 101.8WFMBS 2005-9 1A6 0%WFMBS 2005-9 1A7 89% 0.3% 5.50 3.3 5.0 - 0.7 0.0 0.0 1.1 1.2 13.6 5.6 3.3 100.4WFMBS 2005-9 1A8 24% 0.4% 5.50 3.3 5.0 - 0.7 0.0 0.0 1.1 1.2 13.6 5.6 3.3 100.4WFMBS 2005-9 1A9 30% 0.3% 5.50 3.3 5.0 - 3.2 0.8 0.0 2.3 2.9 13.6 5.6 3.3 100.9WFMBS 2006-2 1A7 51% 5.5% 5.50 9.9 9.1 - 7.0 3.1 1.5 4.5 6.0 19.0 7.8 6.3 100.9WFMBS 2006-3 A10 100% 0.5% 5.50 3.2 4.5 - 13.6 8.9 4.1 5.6 7.4 16.2 7.1 4.0 97.1WFMBS 2006-3 A11 95% 3.2% 5.50 9.8 11.0 - 6.6 2.6 1.1 4.4 5.7 16.2 7.1 4.0 101.2WFMBS 2006-3 A7 9% 0.2% 5.50 3.2 4.5 - 11.5 2.1 0.0 2.5 3.1 16.2 7.1 4.0 99.9WFMBS 2006-3 A8 0%WFMBS 2006-3 A9 28% 1.1% 5.50 3.2 4.5 - 1.8 0.0 0.0 1.1 1.1 16.2 7.1 4.0 100.4

47% 100% 5.55 5.3 6.9 9.3 5.4 3.6 3.8 5.1 18.7 8.1 5.2 98.9

Base proj coll def (%curbal)

Base cum loss (%origbal)

Overall

Base proj coll loss (%curbal)

Cash price @index yield

PrimeX.FRM1contd..

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Base Avg Life

Bond Coupon

Index Sub-index FactorEff

weightOriginal

C/ECurrent

C/E

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Barclays Capital | ABX and PrimeX Monitor

26 October 2011 22

Stress Base OptimisticCHASE 2006-S4 A14 22% 0.9% 6.00 4.8 2.0 - 16.0 11.6 8.8 2.4 3.3 28.1 14.2 10.0 90.1CHASE 2006-S4 A15 100% 0.9% 6.00 4.8 2.0 - 24.2 19.1 16.4 4.0 5.2 28.1 14.2 10.0 84.0CHASE 2006-S4 A8 100% 5.2% 6.00 4.8 2.0 - 23.4 18.4 15.6 3.8 5.0 28.1 14.2 10.0 84.6GSR 2006-10F 3A1 47% 4.8% 6.00 4.0 2.9 - 19.0 13.6 10.3 3.9 5.1 29.4 15.5 10.0 88.1GSR 2006-8F 3A1 0%GSR 2006-8F 3A3 85% 0.1% 6.25 3.3 3.5 - 21.4 15.1 4.0 3.7 4.7 30.8 16.1 8.0 87.7GSR 2006-8F 3A4 100% 0.8% 6.25 3.3 3.5 - 22.4 16.8 13.4 4.2 5.2 30.8 16.1 8.0 86.3GSR 2006-8F 3A5 29% 1.2% 6.25 3.3 3.5 - 13.9 9.1 7.0 2.4 3.1 30.8 16.1 8.0 92.5GSR 2006-8F 3A6 99% 1.8% 5.75 10.0 10.2 - 16.2 10.6 7.3 4.0 5.2 30.8 16.1 8.0 89.9

JPMMT 2006-S4 A7 49% 5.0% 6.00 4.5 1.7 - 34.8 28.3 24.3 3.6 7.5 34.9 19.3 12.6 80.8PRIME 2007-1 A1 42% 3.5% 6.00 4.0 1.5 - 18.4 13.6 10.4 2.6 3.0 34.7 17.5 11.9 87.6PRIME 2007-1 A2 100% 0.7% 6.00 4.0 1.5 - 44.7 38.4 34.8 8.0 10.6 34.7 17.5 11.9 70.3PRIME 2007-1 A3 100% 0.5% 6.00 16.3 14.1 - 21.7 15.5 12.2 4.9 6.7 34.7 17.5 11.9 87.8PRIME 2007-1 A4 100% 0.4% 5.50 4.0 1.5 - 31.1 25.5 22.3 4.9 6.1 34.7 17.5 11.9 76.1PRIME 2007-1 A5 100% 0.1% 5.50 4.0 1.5 - 31.1 25.5 22.3 4.9 6.1 34.7 17.5 11.9 76.1PRIME 2007-1 A6 100% 0.1% 5.50 4.0 1.5 - 95.1 93.4 91.2 1.0 1.6 34.7 17.5 11.9 14.0PRIME 2007-2 A1 45% 3.9% 6.00 4.3 0.0 - 23.3 18.3 15.0 2.7 3.2 38.9 21.1 15.2 83.3PRIME 2007-2 A2 100% 0.7% 6.00 4.3 0.0 - 48.9 42.7 39.5 8.1 10.3 38.9 21.1 15.2 66.3PRIME 2007-2 A3 100% 1.1% 6.00 4.3 0.0 - 35.3 29.8 26.6 4.8 5.8 38.9 21.1 15.2 74.4

RFMSI 2006-S11 A1 43% 4.4% 6.00 3.5 0.0 - 19.8 15.6 13.1 3.6 4.8 22.0 10.3 7.9 87.0RFMSI 2006-S6 A1 23% 0.0% 6.00 3.6 0.0 - 29.7 24.5 21.3 3.6 6.9 25.6 12.2 9.1 85.4

RFMSI 2006-S6 A10 92% 0.2% 6.00 7.0 3.8 - 27.5 22.2 19.0 3.7 7.1 25.6 12.2 9.1 88.0RFMSI 2006-S6 A11 0%RFMSI 2006-S6 A12 36% 0.8% 6.00 7.0 3.8 - 27.5 22.2 19.0 3.7 7.1 25.6 12.2 9.1 88.0RFMSI 2006-S6 A13 80% 1.1% 6.00 7.0 3.8 - 27.5 22.2 19.0 3.7 7.1 25.6 12.2 9.1 88.0RFMSI 2006-S6 A14 121% 0.5% 6.00 7.0 3.8 - 27.5 22.2 19.0 3.7 7.1 25.6 12.2 9.1 88.0RFMSI 2006-S6 A15 92% 1.0% 6.00 7.0 3.8 - 27.5 22.2 19.0 3.7 7.1 25.6 12.2 9.1 88.0RFMSI 2006-S6 A2 0%RFMSI 2006-S6 A9 35% 1.0% 6.00 7.0 3.8 - 27.5 22.2 19.0 3.7 7.1 25.6 12.2 9.1 88.0RFMSI 2006-S8 A1 35% 0.5% 5.50 3.8 0.7 - 26.7 21.7 18.9 3.2 6.6 23.5 11.6 8.5 85.8

RFMSI 2006-S8 A10 52% 1.3% 6.00 3.8 0.7 - 29.4 24.1 20.9 3.7 7.3 23.5 11.6 8.5 86.5RFMSI 2006-S8 A15 26% 0.1% 6.00 3.8 0.7 - 29.4 24.1 20.9 3.7 7.3 23.5 11.6 8.5 86.5RFMSI 2006-S8 A16 100% 2.1% 6.00 3.8 0.7 - 31.7 26.3 23.1 4.0 8.0 23.5 11.6 8.5 85.3RFMSI 2006-S8 A6 100% 1.5% 6.00 10.0 7.2 - 27.5 22.0 19.0 4.0 8.3 23.5 11.6 8.5 89.8RFMSI 2006-S8 A8 0%RFMSI 2006-S9 A1 100% 1.2% 6.25 7.4 5.3 - 31.5 25.6 22.2 4.0 8.0 26.8 13.6 8.2 87.7

RFMSI 2006-S9 A10 29% 0.7% 6.25 3.8 1.6 - 29.5 23.9 20.4 3.3 6.7 26.8 13.6 8.2 87.2RFMSI 2006-S9 A11 100% 0.5% 6.25 3.8 1.6 - 34.8 28.9 25.5 4.1 8.0 26.8 13.6 8.2 84.6RFMSI 2006-S9 A3 24% 0.7% 5.75 3.8 1.6 - 27.0 21.4 18.0 2.9 6.0 26.8 13.6 8.2 86.6RFMSI 2006-S9 A4 100% 1.0% 5.75 3.8 1.6 - 34.8 28.9 25.5 4.1 8.0 26.8 13.6 8.2 82.2RFMSI 2006-S9 A5 0%RFMSI 2006-S9 A6 0%

Base proj coll def (%curbal)

Base cum loss (%origbal)

Index Sub-index FactorEff

weightBond

CouponOriginal

C/EBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yieldCurrent

C/EImplied Loss

to dateProjected bond loss (%curbal) Base spr.

Duration

PrimeX.FRM2

Page 23: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 23

Stress Base OptimisticRFMSI 2006-S9 A7 0%RFMSI 2007-S4 A1 97% 1.0% 6.00 3.8 0.0 - 30.5 25.0 21.5 3.8 8.0 25.6 11.3 10.9 87.3

RFMSI 2007-S4 A10 95% 0.1% 6.00 3.8 0.0 - 32.1 26.6 23.2 3.7 7.8 25.6 11.3 10.9 85.4RFMSI 2007-S4 A2 44% 1.1% 6.00 3.8 0.0 - 32.1 26.6 23.2 3.7 7.8 25.6 11.3 10.9 85.4RFMSI 2007-S4 A3 96% 0.4% 6.00 3.8 0.0 - 30.5 25.0 21.5 3.8 8.0 25.6 11.3 10.9 87.3RFMSI 2007-S4 A4 44% 1.4% 5.38 3.8 0.0 - 32.1 26.6 23.2 3.7 7.8 25.6 11.3 10.9 82.5RFMSI 2007-S4 A5 40% 0.8% 6.00 3.8 0.0 - 30.5 25.0 21.5 3.8 8.0 25.6 11.3 10.9 87.7RFMSI 2007-S4 A7 0%RFMSI 2007-S4 A8 121% 0.0% 6.00 3.8 0.0 - 32.1 26.6 23.2 3.7 7.8 25.6 11.3 10.9 85.4RFMSI 2007-S4 A9 96% 0.9% 5.50 3.8 0.0 - 30.5 25.0 21.5 3.7 8.0 25.6 11.3 10.9 85.0RFMSI 2007-S5 A3 57% 5.8% 6.00 4.0 0.9 - 29.7 24.2 20.8 3.5 6.7 28.5 12.8 10.6 85.6

RFMSI 2007-S8 1A1 57% 5.8% 6.00 7.5 0.7 - 39.8 33.9 30.0 4.0 9.3 30.0 13.4 13.0 82.3WFMBS 2006-14 A1 34% 3.5% 6.00 3.0 2.7 - 16.7 11.7 8.8 3.8 5.2 25.2 11.9 6.0 90.2WFMBS 2006-15 A1 33% 3.4% 6.00 3.1 3.3 - 14.5 10.0 7.5 3.7 5.1 21.8 10.3 5.4 91.6WFMBS 2007-1 A10 49% 5.0% 5.75 4.3 2.7 - 17.5 12.4 9.6 3.9 5.3 27.0 12.3 8.8 88.5WFMBS 2007-13 A7 47% 4.8% 6.00 3.5 0.9 - 14.1 9.0 6.3 3.9 5.4 24.8 10.6 8.0 92.6WFMBS 2007-4 A4 49% 5.0% 6.00 3.5 1.1 - 20.7 15.2 12.0 4.0 5.4 28.5 13.1 9.3 87.1WFMBS 2007-7 A1 52% 5.3% 6.00 3.8 2.2 - 18.3 12.8 9.5 4.1 5.7 27.0 11.9 8.7 89.4

WFMBS 2007-8 1A2 52% 5.3% 6.00 3.7 0.9 - 18.4 13.4 10.5 4.1 5.6 25.3 11.3 88.849% 100% 5.97 4.8 1.9 24.3 19.0 15.8 3.8 6.0 28.2 13.6 9.3 86.5

Stress Base OptimisticCMLTI 2005-11 A2A 44% 5.4% 2.50 8.2 8.8 - 6.4 2.2 0.5 4.3 5.3 24.0 9.1 6.1 88.5GSR 2005-AR3 6A1 38% 4.6% 2.76 8.0 10.3 - 9.0 3.5 0.7 4.4 5.7 31.6 13.1 7.5 86.4GSR 2005-AR4 3A1 39% 4.7% 2.77 3.7 5.5 - 8.5 4.3 1.9 4.3 5.4 25.1 9.8 5.6 86.5GSR 2005-AR7 2A1 46% 5.7% 2.74 7.1 6.1 - 6.1 2.4 0.7 3.9 4.7 19.1 6.3 4.4 88.9GSR 2006-AR1 2A1 48% 5.9% 2.79 9.0 5.4 - 16.1 10.3 6.9 4.3 5.4 33.1 14.3 10.7 80.9GSR 2006-AR2 5A1 53% 6.5% 5.30 9.0 4.8 - 14.7 8.9 5.6 4.0 5.4 27.0 11.6 8.4 89.0

JPMMT 2005-A3 11A3 26% 3.2% 4.47 4.3 7.7 - 0.0 0.0 0.0 3.3 4.3 3.7 0.6 0.2 94.2JPMMT 2005-A4 1A1 35% 4.3% 5.33 3.7 8.7 - 0.3 0.0 0.0 2.8 3.7 12.3 4.8 2.2 96.9JPMMT 2005-A5 TA1 25% 3.0% 5.43 3.3 8.6 - 0.0 0.0 0.0 2.5 3.4 11.1 4.5 1.4 97.5JPMMT 2005-A7 1A4 39% 4.7% 2.78 6.9 7.8 - 8.4 3.6 1.1 4.4 5.8 28.0 11.6 7.0 86.5JPMMT 2006-A4 4A1 41% 5.0% 5.57 7.7 5.2 - 15.8 10.9 7.9 3.7 5.1 27.7 13.1 6.6 87.9

MLMI 2005-A2 A1 36% 4.5% 2.62 3.6 7.3 - 3.4 0.0 0.0 3.9 4.7 19.6 6.4 3.1 90.4MLMI 2005-A9 2A1E 38% 4.7% 2.76 7.9 6.2 - 12.2 7.3 4.3 4.4 5.5 28.0 11.7 7.3 84.0

WAMU 2005-AR10 1A4 42% 5.2% 2.51 8.3 10.0 - 9.9 4.0 1.0 4.0 5.0 30.0 12.3 7.0 86.8WAMU 2005-AR14 1A4 46% 5.6% 2.61 8.8 9.5 - 13.4 6.9 3.3 4.1 5.0 34.1 14.5 8.7 84.1

WAMU 2005-AR7 A4 38% 4.7% 2.58 4.3 7.4 - 9.1 3.8 0.9 3.9 4.9 27.4 10.4 5.3 87.0WFMBS 2006-AR2 2A1 46% 5.6% 2.73 13.5 10.2 - 11.5 4.7 1.4 4.4 5.4 31.3 12.4 86.6WFMBS 2006-AR4 2A1 45% 5.6% 5.62 8.5 7.3 - 11.8 6.1 3.0 3.9 5.4 28.4 12.7 7.9 93.0WFMBS 2006-AR6 7A1 44% 5.4% 5.05 7.5 7.5 - 2.3 0.1 0.0 3.6 4.6 17.5 6.0 3.5 96.3WFMBS 2006-AR8 2A1 47% 5.7% 2.75 7.7 5.0 - 12.7 7.3 4.3 4.2 5.1 28.5 10.9 8.8 84.5

41% 100% 3.54 7.0 7.4 9.2 4.7 2.4 4.0 5.0 25.3 10.2 5.9 88.4

Base proj coll def (%curbal)

Base proj coll def (%curbal)

Base cum loss (%origbal)

Base cum loss (%origbal)

Original C/E

Overall

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

PrimeX.ARM1

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Overall

Index Sub-index Factor

PrimeX.FRM2contd..

Base proj coll loss (%curbal)

Cash price @index yield

Base spr. Duration

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base Avg Life

Eff weight

Bond Coupon

Original C/E

Page 24: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 24

Stress Base OptimisticCMLTI 2007-AR4 1A1A 47% 5.4% 5.79 7.2 4.6 - 21.6 14.8 10.7 3.6 5.0 38.6 17.7 11.2 83.0CWHL 2007-HY1 1A1 53% 6.1% 5.36 7.8 1.3 - 37.6 30.4 24.7 4.8 5.9 60.1 30.8 21.1 61.5FHASI 2006-AR4 1A1 44% 5.1% 4.98 3.8 0.0 - 25.5 20.5 17.1 4.2 5.8 36.0 16.4 11.8 72.2FHASI 2007-AR1 1A1 43% 5.0% 5.74 6.9 2.8 - 30.5 25.4 21.8 3.6 5.7 44.0 20.3 13.3 71.6FHASI 2007-AR2 1A1 45% 5.2% 5.68 2.9 0.0 - 26.6 21.8 18.8 3.6 5.7 33.7 14.9 12.3 74.8FHASI 2007-AR3 1A1 49% 5.6% 5.91 7.4 0.1 - 27.2 22.0 18.4 3.9 5.6 39.2 17.6 14.1 73.9JPMMT 2006-A7 2A1 43% 4.9% 4.44 7.8 1.1 - 26.6 21.7 18.2 4.0 5.3 40.7 21.0 14.5 68.2JPMMT 2007-A3 3A1 49% 5.6% 5.70 4.5 0.0 - 22.3 16.9 13.7 3.6 5.2 32.9 16.2 11.4 79.6JPMMT 2007-A5 3A1 46% 5.3% 5.52 6.9 2.0 - 20.3 15.1 12.0 3.6 5.3 32.0 15.2 10.0 77.5JPMMT 2007-A6 2A1 49% 5.7% 5.32 7.0 5.3 - 20.7 14.4 10.4 4.0 5.5 41.4 18.7 12.7 77.4RFMSI 2006-SA2 2A1 45% 5.2% 3.60 8.5 0.0 - 55.1 49.8 46.0 4.8 12.1 30.9 13.6 15.7 70.6RFMSI 2006-SA3 2A1 44% 5.0% 3.63 7.7 0.0 - 21.3 16.2 13.2 4.6 6.6 29.8 13.4 12.2 70.4RFMSI 2007-SA2 2A1 45% 5.1% 5.62 4.8 0.0 - 31.5 25.5 21.4 4.2 7.0 34.8 15.8 16.3 74.1RFMSI 2007-SA3 2A1 56% 6.4% 5.69 10.0 0.0 - 37.1 30.6 26.1 4.1 7.2 41.2 18.5 20.2 70.8

WFMBS 2006-AR12 1A1 36% 4.1% 2.74 8.3 0.0 - 21.6 16.0 12.3 4.4 5.6 37.8 15.8 11.0 71.9WFMBS 2006-AR13 A1 36% 4.1% 2.66 3.8 0.0 - 27.4 20.1 15.6 4.2 5.0 42.8 19.9 11.2 69.7WFMBS 2006-AR15 A1 35% 4.1% 5.35 10.6 8.3 - 19.5 12.6 8.4 4.0 5.5 38.2 18.2 9.7 80.6WFMBS 2006-AR17 A1 31% 3.6% 2.99 8.8 1.3 - 22.5 16.3 12.4 4.7 6.3 37.4 16.9 10.1 69.0

WFMBS 2006-AR18 1A1 34% 3.9% 5.65 6.6 6.5 - 13.8 7.9 4.7 4.0 5.7 28.6 12.6 6.5 87.3WFMBS 2006-AR19 A1 41% 4.7% 5.45 8.8 8.5 - 14.0 8.0 4.8 3.8 5.4 30.4 14.0 8.2 87.2

44% 100% 4.98 7.0 2.0 26.7 20.9 17.1 4.1 6.1 37.9 17.6 13.0 74.4

Base proj coll def (%curbal)

Base cum loss (%origbal)

Original C/E

Index Sub-index FactorBase Avg

LifeBase proj coll

loss (%curbal)Cash price

@index yield

PrimeX.ARM2

Current C/E

Implied Loss to date

Projected bond loss (%curbal) Base spr. Duration

Eff weight

Bond Coupon

Overall

Page 25: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 25

APPENDIX I – INDEX LEVEL COLLATERAL PERFORMANCE

Page 26: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 26

Performance across time: ABX06-1

Note: All data on this page and thereafter are based on September 26, 2011 remittances.

Current to delinquent roll rates by mod/payment history Current to prepay roll rates by mod/payment history Severity by mode of liquidation

0

4

8

12

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to Q (%)

Clean Unmodified Clean Modified

Dirty Unmodified Dirty Modified

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to P (%)

Clean Unmodified Clean Modified

Dirty Unmodified Dirty Modified

50

60

70

80

90

100

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Severity (%)

Liquidation Severity REO Severity

Shortsale Severity

Clean unmodified current to delinq roll rates by CLTV Clean unmodified current to prepay roll rates by CLTV REO severities by LTV

0

2

4

6

70 80 90 100 110 120 130 140 150 160 170 180

Mark-to-Market CLTV

CNM to Q

-12m -3m Current

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to P

-12m -3m Current

40

50

60

70

80

90

100

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market LTV

REO Sev

-12m -3m Current

Page 27: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 27

Performance across time: ABX 06-2

Current to delinquent roll rates by mod/payment history Current to prepay roll rates by mod/payment history Severity by mode of liquidation

0

4

8

12

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to Q (%)

Clean Unmodified Clean ModifiedDirty Unmodified Dirty Modified

0.0

0.1

0.2

0.3

0.4

0.5

0.6

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to P (%)

Clean Unmodified Clean Modified

Dirty Unmodified Dirty Modified

50556065707580859095

100

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Severity (%)

Liquidation Severity REO Severity

Shortsale Severity

Clean unmodified current to delinq roll rates by CLTV Clean unmodified current to prepay roll rates by CLTV REO severities by LTV

0

2

4

6

8

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to Q

-12m -3m Current

0.0

0.2

0.4

0.6

0.8

1.0

1.2

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to P

-12m -3m Current

50

60

70

80

90

100

110

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market LTV

REO Sev

-12m -3m Current

Page 28: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 28

Performance across time: ABX 07-1

Current to delinquent roll rates by mod/payment history Current to prepay roll rates by mod/payment history Severity by mode of liquidation

0

4

8

12

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to Q (%)

Clean Unmodified Clean ModifiedDirty Unmodified Dirty Modified

0.0

0.1

0.2

0.3

0.4

0.5

0.6

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to P (%)

Clean Unmodified Clean Modified

Dirty Unmodified Dirty Modified

50

60

70

80

90

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Severity (%)

Liquidation Severity REO Severity

Shortsale Severity

Clean unmodified current to delinq roll rates by CLTV Clean unmodified current to prepay roll rates by CLTV REO severities by LTV

0

2

4

6

8

10

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to Q

-12m -3m Current

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to P

-12m -3m Current

50556065707580859095

100

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market LTV

REO Sev

-12m -3m Current

Page 29: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 29

Performance across time: ABX 07-2

Current to delinquent roll rates by mod/payment history Current to prepay roll rates by mod/payment history Severity by mode of liquidation

0

4

8

12

16

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to Q (%)

Clean Unmodified Clean ModifiedDirty Unmodified Dirty Modified

0.0

0.1

0.2

0.3

0.4

0.5

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to P (%)

Clean Unmodified Clean ModifiedDirty Unmodified Dirty Modified

50

60

70

80

90

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Severity (%)

Liquidation Severity REO Severity

Shortsale Severity

Clean unmodified current to delinq roll rates by CLTV Clean unmodified current to prepay roll rates by CLTV REO severities by LTV

0

2

4

6

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to Q

-12m -3m Current

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to P

-12m -3m Current

40

50

60

70

80

90

100

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market LTV

REO Sev

-12m -3m Current

Page 30: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 30

Performance across time: PrimeX FRM1

Current to delinquent roll rates by mod/payment history Current to prepay roll rates by mod/payment history Severity by mode of liquidation

0

4

8

12

16

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to Q (%) Clean UnmodifiedClean ModifiedDirty Unmodified Dirty Modified

0

2

4

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to P (%) Clean UnmodifiedClean ModifiedDirty Unmodified Dirty Modified

20

30

40

50

60

70

80

90

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Severity (%)Liquidation SeverityREO SeverityShortsale Severity

Clean unmodified current to delinq roll rates by CLTV Clean unmodified current to prepay roll rates by CLTV REO severities by LTV

0

2

4

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to Q-12m -3m Current

0.0

1.0

2.0

3.0

4.0

5.0

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to P-12m -3m Current

0

20

40

60

80

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market LTV

REO Sev-12m -3m Current

Page 31: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 31

Performance across time: PrimeX FRM2

Current to delinquent roll rates by mod/payment history Current to prepay roll rates by mod/payment history Severity by mode of liquidation

0

4

8

12

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to Q (%) Clean UnmodifiedClean ModifiedDirty Unmodified Dirty Modified

0.0

0.4

0.8

1.2

1.6

2.0

2.4

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to P (%) Clean UnmodifiedClean ModifiedDirty Unmodified Dirty Modified

20

25

30

35

40

45

50

55

60

65

70

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Severity (%)Liquidation SeverityREO SeverityShortsale Severity

Clean unmodified current to delinq roll rates by CLTV Clean unmodified current to prepay roll rates by CLTV REO severities by LTV

0

1

2

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to Q-12m -3m Current

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to P-12m -3m Current

0

20

40

60

80

100

120

140

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market LTV

REO Sev-12m -3m Current

Page 32: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 32

Performance across time: PrimeX ARM1

Current to delinquent roll rates by mod/payment history Current to prepay roll rates by mod/payment history Severity by mode of liquidation

0

4

8

12

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to Q (%) Clean UnmodifiedClean ModifiedDirty Unmodified Dirty Modified

0.0

0.5

1.0

1.5

2.0

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to P (%) Clean UnmodifiedClean ModifiedDirty Unmodified Dirty Modified

20

25

30

35

40

45

50

55

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Severity (%)Liquidation SeverityREO SeverityShortsale Severity

Clean unmodified current to delinq roll rates by CLTV Clean unmodified current to prepay roll rates by CLTV REO severities by LTV

0

2

4

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to Q-12m -3m Current

0.0

0.5

1.0

1.5

2.0

2.5

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to P-12m -3m Current

0

20

40

60

80

100

120

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market LTV

REO Sev-12m -3m Current

Page 33: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 33

Performance across time: PrimeX ARM2

Current to delinquent roll rates by mod/payment history Current to prepay roll rates by mod/payment history Severity by mode of liquidation

0

1

2

3

4

5

6

7

8

9

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to Q (%) Clean UnmodifiedClean ModifiedDirty Unmodified Dirty Modified

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

C to P (%) Clean UnmodifiedClean ModifiedDirty Unmodified Dirty Modified

20

30

40

50

60

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Severity (%)Liquidation SeverityREO SeverityShortsale Severity

Clean unmodified current to delinq roll rates by CLTV Clean unmodified current to prepay roll rates by CLTV REO severities by LTV

0

2

4

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to Q-12m -3m Current

0

1

2

3

4

5

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market CLTV

CNM to P-12m -3m Current

0

20

40

60

80

100

70 80 90 100 110 120 130 140 150 160 170 180Mark-to-Market LTV

REO Sev-12m -3m Current

Page 34: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 34

Liquidation timelines across ABX indices

Delinquency to liquidation timelines

Foreclosure to liquidation timelines

8

12

16

20

24

28

32

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

Months ABX 06-1 ABX 06-2ABX 07-1 ABX 07-2PrimeX ARM.1 PrimeX ARM.2PrimeX FRM.1 PrimeX FRM.2

6

10

14

18

22

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

MonthsABX 06-1 ABX 06-2ABX 07-1 ABX 07-2PrimeX ARM.1 PrimeX ARM.2PrimeX FRM.1 PrimeX FRM.2

REO to liquidation timelines

3

4

5

6

7

8

9

10

11

12

Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11

MonthsABX 06-1 ABX 06-2ABX 07-1 ABX 07-2PrimeX ARM.1 PrimeX ARM.2PrimeX FRM.1 PrimeX FRM.2

Note: Liquidation timelines are calculated only for loans that have exited the pool. These may be positively self-selected: some loans are quickly flushed through the foreclosure/REOpipeline while other, perhaps worse, loans stay in REO for long periods without exiting thepool. Liquidation timelines may, therefore, extend further as longer timeline loans, currently in foreclosure or REO, are eventually liquidated.

Page 35: ABX and PrimeX Monitor - October 2011

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26 October 2011 35

APPENDIX II – DEAL LEVEL COLLATERAL PERFORMANCE

Page 36: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 36

September remittance – Delinquency composition

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mACE 2005-HE7 17% 73 21.7 (0.4) (0.8) 43.4 (0.0) (0.3) 22.9 (0.7) 0.6 4.6 0.9 1.2 43.0 0.2 1.1

AMSI 2005-R11 35% 71 41.0 (0.5) (1.2) 24.6 0.2 0.6 13.4 0.3 0.1 2.2 0.2 0.2 45.1 0.4 1.4

ARSI 2005-W2 22% 74 30.6 (0.0) (0.5) 29.1 0.1 0.1 17.2 0.1 0.4 2.8 (0.0) (0.1) 48.1 0.7 2.2

BSABS 2005-HE11 24% 75 27.1 (0.4) (0.7) 44.5 (0.7) (0.9) 23.3 1.6 5.9 1.4 (0.1) (0.5) 38.5 0.4 0.4

CWL 2005-BC5 27% 75 23.4 (0.3) (0.7) 51.2 0.1 (1.2) 22.5 0.9 2.2 3.9 0.8 1.3 43.2 0.2 1.4

FFML 2005-FF12 25% 72 28.5 (0.4) (1.4) 44.1 (0.0) (0.5) 14.9 1.6 1.5 1.8 (0.2) (0.1) 44.1 0.2 1.3

GSAMP 2005-HE4 21% 76 22.4 (0.3) (0.4) 41.0 (1.6) (1.0) 28.1 0.4 1.7 2.1 (0.3) (0.7) 49.1 1.0 2.4

HEAT 2005-8 18% 75 24.1 (0.1) (0.2) 27.4 (0.3) (1.0) 13.5 0.6 1.6 2.5 (0.4) (0.9) 55.2 0.3 2.0

JPMAC 2005-OPT1 16% 78 28.5 (0.0) (0.4) 31.1 0.6 0.6 17.7 1.0 1.0 3.2 (0.1) (0.2) 47.5 0.1 1.2

LBMLT 2005-WL2 15% 77 20.3 (0.5) (0.9) 49.0 (0.4) 0.0 24.6 0.8 2.8 3.1 0.0 0.2 44.1 0.8 1.9

MABS 2005-NC2 18% 74 15.9 (0.1) (1.1) 32.8 (0.0) 0.5 16.0 (0.7) (0.9) 8.1 (0.6) 0.1 71.3 0.9 2.2

MLMI 2005-AR1 18% 77 21.5 0.0 (0.1) 56.8 0.4 0.6 26.6 2.1 4.6 5.4 0.6 1.3 33.5 0.4 1.7

MSAC 2005-HE5 16% 76 20.7 (0.1) (0.6) 46.0 0.5 0.9 21.0 1.0 1.8 4.2 (0.2) 0.6 51.8 0.8 1.7

NCHET 2005-4 30% 75 26.7 0.0 (0.3) 32.6 (0.8) (1.8) 18.7 0.2 0.6 6.0 (0.7) (1.3) 66.0 0.7 1.5

RAMP 2005-EFC4 20% 74 28.7 (0.3) (0.7) 26.1 (1.0) (0.5) 15.4 (0.2) 0.8 2.2 (0.2) (0.3) 41.5 0.3 0.9

RASC 2005-KS11 23% 73 28.7 (0.0) (0.4) 25.7 (1.4) (2.1) 16.4 (1.0) (1.8) 1.6 (0.3) (0.2) 40.5 0.6 1.3

SABR 2005-HE1 13% 75 12.9 0.5 1.2 80.3 (0.3) (0.5) 41.3 8.2 7.1 15.2 (2.6) (4.6) 64.6 1.1 2.3

SAIL 2005-HE3 16% 77 27.4 (0.6) (0.2) 34.6 (1.9) (3.2) 18.1 (0.9) (1.0) 5.5 (0.3) (0.7) 41.3 1.8 3.1

SASC 2005-WF4 23% 74 40.8 (0.1) (0.6) 23.4 (0.0) (0.2) 11.1 0.3 (0.1) 2.9 (0.4) (0.4) 27.7 0.6 1.3

SVHE 2005-4 32% 75 25.9 (0.3) (1.5) 45.2 0.2 0.1 23.2 0.7 2.3 2.5 (0.1) 0.2 55.9 0.4 1.8

ACE 2006-NC1 23% 73 27.8 (0.4) (1.1) 33.9 0.2 1.5 19.8 0.4 (0.1) 4.4 0.3 0.4 42.7 0.7 1.8

ARSI 2006-W1 21% 71 21.3 (0.3) (0.8) 35.5 (0.2) 0.0 22.3 (0.4) (0.7) 4.1 (0.2) 0.5 57.6 0.8 2.2

BSABS 2006-HE3 24% 70 16.7 (0.2) (0.2) 48.8 0.6 1.1 27.4 (0.3) 1.7 3.4 0.1 (0.1) 51.0 0.3 0.5

CARR 2006-NC1 34% 71 26.8 0.3 1.3 35.7 (1.3) (4.3) 19.5 0.8 2.1 8.8 (1.4) (5.6) 65.4 0.7 3.0

CWL 2006-8 46% 65 17.3 0.0 (0.7) 58.8 (0.3) (0.6) 24.7 2.3 3.3 4.5 0.6 1.6 48.4 0.4 1.2

FFML 2006-FF4 26% 69 24.1 (0.5) (0.9) 45.0 (0.6) (1.8) 18.0 1.4 1.7 2.4 (0.1) 0.5 41.4 0.3 1.6

GSAMP 2006-HE3 26% 69 19.7 (0.2) (0.4) 39.8 0.2 (0.6) 12.9 0.2 (1.0) 3.6 (0.1) (0.2) 50.3 0.6 2.0

HEAT 2006-4 24% 70 23.4 (0.3) (0.6) 39.8 0.2 0.1 22.3 0.3 (0.3) 2.8 (0.5) (1.3) 41.3 0.7 1.9

JPMAC 2006-FRE1 25% 71 14.9 (0.1) (0.5) 52.7 (1.1) (0.9) 37.3 0.2 0.8 1.7 (0.4) (0.4) 46.5 0.7 1.6

LBMLT 2006-1 23% 70 16.8 (0.4) (1.0) 52.5 (1.0) (0.5) 26.7 0.1 2.5 3.5 (0.1) (0.4) 47.8 0.4 0.9

MABS 2006-NC1 24% 71 23.9 0.2 (0.1) 38.1 0.8 (0.6) 21.0 0.8 0.6 5.2 0.2 0.7 40.7 0.2 1.4

MLMI 2006-HE1 25% 73 24.1 (0.3) (1.1) 51.0 (1.4) (2.5) 20.1 0.4 (0.6) 3.9 1.3 3.3 43.0 1.2 2.7

MSAC 2006-HE2 23% 70 19.8 (0.1) (0.5) 40.1 (0.5) (1.0) 23.2 0.6 1.1 4.2 (0.4) (1.3) 54.4 0.6 1.7

MSAC 2006-WMC2 25% 66 18.8 (0.3) (0.5) 45.9 0.1 1.1 26.1 (0.0) 0.9 4.9 (0.4) (0.9) 51.6 0.7 1.6

RASC 2006-KS3 24% 69 23.1 (0.2) (0.6) 31.1 (0.8) 0.1 20.4 (1.0) 0.6 3.3 0.6 1.0 42.9 0.5 0.8

RAMP 2006-NC2 26% 70 24.7 (0.4) (1.3) 32.6 0.2 0.5 23.6 0.1 2.3 1.4 0.1 0.1 48.6 0.4 1.0

SABR 2006-OP1 23% 75 30.7 (0.0) (0.3) 30.5 0.4 0.7 17.2 0.3 0.5 3.2 0.1 (0.4) 49.9 0.2 1.0

SAIL 2006-4 27% 67 18.9 (0.1) (0.4) 42.8 0.1 0.4 23.1 (0.1) 0.2 5.3 (0.2) (1.2) 50.1 0.7 2.3

SASC 2006-WF2 29% 67 30.0 (0.2) (0.6) 28.8 (0.3) 0.0 14.1 0.2 1.5 4.1 (0.4) (0.0) 41.5 0.5 1.2

SVHE 2006-OPT5 35% 66 19.0 (0.3) (0.7) 38.5 0.9 1.4 22.0 0.7 1.6 4.0 0.1 (0.0) 66.0 0.5 1.6

60+ Delinq (%balance)WALADealIndex

ABX 06-2

ABX 06-1

FactorAlways Current (%balance) Foreclosure (%balance) REO (%balance) Modified (%balance)

Note: All data on this page and thereafter are based on September 26, 2011, remittances. Source for all charts and tables in this section, unless other specified: LoanPerformance, Bloomberg, Barclays Capital

Page 37: ABX and PrimeX Monitor - October 2011

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26 October 2011 37

September remittance – Delinquency composition continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABFC 2006-OPT2 37% 62 17.8 (0.6) (1.4) 39.9 (1.3) (1.5) 22.9 (0.8) (1.4) 3.5 (0.4) (0.4) 57.6 0.4 1.2

ACE 2006-NC3 49% 61 14.5 (0.2) (0.4) 63.3 (0.5) (0.9) 29.0 1.3 2.7 5.5 0.7 1.3 34.7 0.9 2.1

BSABS 2006-HE10 49% 60 15.2 (0.2) (0.3) 57.0 0.8 0.7 31.6 0.3 6.9 1.7 (0.1) (0.6) 51.1 0.3 1.1

CARR 2006-NC4 47% 63 22.1 (0.0) 0.1 42.0 (0.3) (0.7) 24.2 0.9 2.7 9.0 (0.6) (2.5) 83.6 0.2 1.1

CBASS 2006-CB6 33% 68 23.8 0.1 (0.5) 39.7 (0.4) (0.9) 14.5 (0.8) (2.2) 2.0 (0.2) (0.3) 39.0 0.6 1.5

CMLTI 2006-WFH3 34% 62 29.9 (0.1) (0.5) 31.0 0.3 0.0 14.9 0.3 0.9 4.1 (0.1) 0.1 40.7 0.7 1.6

CWL 2006-18 51% 63 13.4 (0.2) (0.8) 61.1 (0.0) (0.7) 26.8 2.9 3.3 4.7 0.9 1.5 48.7 0.6 1.1

FFML 2006-FF13 36% 63 24.4 (0.3) (0.6) 43.5 (0.7) (1.4) 20.8 1.0 1.8 3.6 (0.3) (0.5) 37.5 1.0 2.2

FHLT 2006-3 32% 62 17.0 0.0 0.0 48.9 0.3 (0.5) 29.7 1.2 1.8 5.2 (0.3) (1.4) 42.5 0.9 1.8

GSAMP 2006-HE5 34% 64 22.9 (0.1) (0.5) 36.2 0.5 0.0 13.4 0.3 (0.3) 3.0 (0.1) 0.1 45.6 0.2 1.4

HEAT 2006-7 27% 63 21.8 0.1 (0.2) 38.4 (0.6) (1.0) 19.1 0.8 0.4 3.6 (0.1) (0.6) 36.0 0.8 2.3

JPMAC 2006-CH2 48% 64 23.2 (0.4) (1.0) 43.0 (0.8) (0.9) 30.3 (0.1) 0.0 1.6 (0.2) (0.3) 43.4 1.1 2.6

LBMLT 2006-6 31% 64 17.9 (0.3) (0.5) 52.9 (1.6) (1.4) 28.4 0.8 3.5 3.0 (0.4) (0.8) 46.9 1.0 2.4

MABS 2006-NC3 34% 61 24.8 (0.3) (0.7) 28.3 (0.0) (2.1) 13.0 0.3 (0.8) 5.9 (0.2) (0.7) 56.0 1.0 2.4

MLMI 2006-HE5 20% 64 18.4 (0.6) (1.0) 53.3 0.0 (1.8) 23.5 0.8 0.1 3.7 0.4 0.8 31.4 0.4 2.5

MSAC 2006-HE6 42% 64 11.2 (0.1) (0.3) 66.4 (0.7) (1.5) 32.2 1.5 3.2 4.7 0.7 1.7 43.0 0.7 1.5

RASC 2006-KS9 37% 61 24.3 (0.1) (0.5) 32.0 0.3 (0.1) 21.5 0.1 0.5 2.4 0.1 (0.2) 45.4 0.5 1.6

SABR 2006-HE2 29% 65 24.8 (0.3) (1.8) 29.9 (0.0) (0.3) 15.0 (0.6) (1.3) 4.0 (0.4) (0.4) 54.6 0.8 2.4

SASC 2006-BC4 39% 61 22.1 (0.5) (0.9) 42.3 (0.1) (0.3) 19.1 (0.5) (1.3) 5.4 (0.2) (0.4) 41.1 0.8 2.1

SVHE 2006-EQ1 36% 63 24.8 (0.3) (1.0) 30.0 (0.4) (1.5) 13.9 (0.3) (2.1) 4.6 (0.3) (0.7) 47.9 0.6 2.9

ACE 2007-HE4 27% 57 18.1 0.0 (0.5) 56.7 0.4 (0.4) 26.7 0.0 (0.4) 15.0 (0.7) (2.4) 38.3 0.1 1.2

BSABS 2007-HE3 55% 57 16.5 (0.2) (1.0) 54.6 0.2 0.8 30.5 1.3 6.4 1.2 (0.0) (0.4) 45.7 0.6 1.3

CMLTI 2007-AMC2 47% 59 19.6 (0.1) (0.3) 36.4 (0.2) (1.1) 17.7 (0.4) (2.3) 5.9 (0.1) (0.4) 66.4 0.4 1.5

CWL 2007-1 64% 57 13.7 (0.3) (0.8) 62.9 (0.2) (0.7) 26.7 1.8 3.6 4.4 0.7 1.3 38.6 0.6 1.7

FFML 2007-FF1 44% 58 24.8 (0.2) (1.2) 47.0 (0.5) (0.8) 16.0 1.3 1.0 2.6 0.0 0.1 35.3 0.8 2.8

GSAMP 2007-NC1 40% 58 18.4 (0.5) (0.6) 44.2 0.2 0.2 16.1 0.1 (0.9) 3.5 (0.0) (0.0) 45.2 0.6 2.2

HEAT 2007-2 33% 58 26.2 0.0 (0.1) 31.8 (1.0) (1.4) 14.9 0.0 0.5 3.3 (0.5) (1.0) 39.5 0.7 2.5

HASC 2007-NC1 48% 57 16.0 (0.2) (0.5) 49.1 0.2 (0.4) 23.1 (0.1) (1.1) 4.9 (0.2) (0.9) 45.4 0.8 4.4

JPMAC 2007-CH3 55% 60 23.3 (0.3) (0.8) 42.9 (0.0) (0.1) 30.7 0.0 1.1 1.5 (0.1) (0.3) 38.2 0.8 2.4

FFMER 2007-2 49% 55 21.2 (0.5) (1.2) 51.5 (0.2) (1.1) 20.8 1.8 1.6 3.0 0.0 0.2 33.2 0.7 2.7

MLMI 2007-MLN1 53% 59 17.4 (0.5) (0.9) 57.9 (0.6) (1.2) 28.8 1.6 2.7 1.9 0.3 0.0 28.4 0.8 2.4

MSAC 2007-NC3 48% 57 19.0 (0.2) (0.4) 36.3 (1.7) (1.8) 16.7 (0.3) (3.1) 6.3 (0.3) (0.2) 53.9 1.0 3.3

NHELI 2007-2 40% 61 19.3 (0.3) (0.9) 30.8 0.5 (0.0) 16.5 2.4 1.5 6.9 (0.4) (0.7) 68.9 0.6 2.2

NHEL 2007-2 54% 55 20.7 (0.6) (0.6) 33.6 (1.2) (1.6) 17.2 (0.2) (0.4) 6.4 (0.2) (0.2) 51.3 0.9 2.9

OOMLT 2007-5 51% 56 19.9 (0.1) (0.4) 36.8 0.3 0.8 22.7 0.3 0.7 3.0 (0.2) (0.5) 63.0 0.3 0.8

RASC 2007-KS2 42% 58 24.0 (0.4) (0.8) 30.4 (0.5) (1.0) 19.9 (0.0) (0.2) 2.3 (0.2) (0.4) 49.0 0.3 1.3

SABR 2007-BR4 42% 57 24.0 (0.4) (0.6) 30.5 0.0 (1.2) 13.7 (0.3) (1.0) 6.2 (0.0) 0.5 54.5 0.8 2.4

SASC 2007-BC1 50% 59 21.9 0.2 (0.4) 41.0 (0.5) (1.0) 18.6 (0.2) (0.4) 2.6 (0.5) (0.7) 51.2 0.7 2.2

SVHE 2007-OPT1 57% 55 21.4 (0.3) (0.8) 34.3 0.3 1.2 21.4 0.5 1.5 2.7 (0.1) (0.3) 65.6 0.3 1.1

WMHE 2007-HE2 49% 56 21.8 (0.3) (0.8) 47.9 (1.3) (1.4) 24.3 (0.8) 0.9 2.6 (0.2) (0.4) 45.3 1.0 2.4

Modified (%balance)60+ Delinq (%balance)Always Current (%balance) Foreclosure (%balance)WALA

ABX 07-2

Index

ABX 07-1

DealREO (%balance)

Factor

Page 38: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 38

September remittance – Delinquency composition continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CMLTI 2005-11 44% 76 87.1 0.9 0.6 8.0 (0.1) (0.3) 4.1 (0.8) 0.2 1.4 0.3 0.5 1.3 (0.3) (0.3)

GSR 2005-AR3 39% 80 74.9 (0.1) (0.3) 16.9 0.1 0.1 6.5 (1.2) (1.1) 1.0 0.5 0.1 3.1 0.0 0.1

GSR 2005-AR4 39% 79 82.4 (0.6) (1.2) 11.1 0.3 0.2 5.7 0.7 (0.4) 2.0 0.3 0.1 1.9 0.0 0.0

GSR 2005-AR7 47% 79 87.3 (0.2) (0.3) 6.4 (0.2) 0.5 3.7 0.9 0.2 0.8 (0.5) 0.8 2.7 0.4 0.4

GSR 2006-AR1 47% 72 73.7 0.3 0.1 15.6 0.7 0.5 9.0 0.5 0.3 1.5 (0.2) 0.1 10.7 0.3 0.5

GSR 2006-AR2 53% 71 83.0 (0.4) (0.3) 6.4 0.0 (0.6) 3.3 (0.7) (0.5) 0.0 0.0 (0.3) 8.5 0.1 0.5

JPMMT 2005-A3 27% 96 94.8 0.2 (0.4) 3.6 0.1 (0.1) 2.5 (0.3) 0.6 0.0 0.0 0.0 0.4 0.0 0.4

JPMMT 2005-A4 37% 77 89.2 0.4 (0.4) 6.0 0.1 0.1 1.9 (1.2) (0.5) 1.9 1.0 1.5 2.1 (0.0) 1.0

JPMMT 2005-A5 26% 76 90.6 (1.5) (2.0) 6.4 0.5 0.8 4.3 0.2 1.2 0.0 0.0 0.0 1.1 0.1 0.1

JPMMT 2005-A7 38% 74 79.1 0.9 0.5 14.3 (0.8) (0.1) 8.7 0.3 1.1 0.6 (0.1) (0.4) 2.3 0.2 0.2

JPMMT 2006-A4 42% 68 79.3 0.4 (1.5) 13.6 (1.1) 0.1 8.0 1.5 (0.3) 0.0 0.0 0.0 7.2 0.9 1.6

MLMI 2005-A2 38% 82 85.1 (0.2) (0.5) 9.7 0.2 0.4 4.8 0.6 0.5 0.7 (0.1) 0.1 1.0 0.1 0.1

MLMI 2005-A9 38% 73 80.7 (0.0) (0.3) 11.9 (0.3) (0.4) 5.5 (0.1) (0.4) 1.7 0.3 0.1 0.8 0.0 0.0

WAMU 2005-AR10 43% 75 79.3 0.0 (0.4) 14.1 0.1 (0.4) 8.7 (0.1) 0.8 0.6 0.0 (0.4) 2.6 0.4 0.7

WAMU 2005-AR14 46% 73 73.7 (0.1) (0.6) 16.9 (0.3) (0.9) 11.2 (0.4) 0.1 0.9 0.2 0.5 4.2 0.5 1.2

WAMU 2005-AR7 39% 76 79.0 (0.5) (1.6) 14.3 0.5 0.3 8.9 0.3 1.6 0.7 0.0 0.1 2.6 0.2 0.4

WFMBS 2006-AR2 44% 73 82.9 0.1 0.9 10.0 (0.2) (0.8) 5.4 (0.1) (0.3) 1.4 (0.2) (0.9) 4.7 0.1 0.4

WFMBS 2006-AR4 46% 68 81.1 (0.0) (0.6) 9.7 0.4 1.1 5.8 0.8 0.6 1.0 (0.1) (0.2) 8.1 0.1 0.2

WFMBS 2006-AR6 45% 74 90.3 (0.5) (0.8) 4.4 0.3 (0.2) 3.1 (0.2) 0.3 0.7 0.4 0.2 3.6 0.1 0.4

WFMBS 2006-AR8 44% 76 84.3 0.1 0.6 10.6 0.3 0.4 7.1 0.1 0.4 0.9 (0.1) (0.5) 2.9 0.0 0.5

CMLTI 2007-AR4 45% 58 77.4 (1.3) (2.9) 14.4 0.2 1.8 8.9 1.8 2.6 1.5 0.2 0.4 5.5 0.2 0.5

CWHL 2007-HY1 49% 56 60.6 0.8 (0.2) 32.0 (2.1) (1.3) 10.4 1.7 1.3 2.2 (1.0) 0.6 7.9 (0.3) 1.0

FHASI 2006-AR4 42% 59 71.9 (0.6) (1.5) 21.0 (0.6) (2.4) 15.4 0.2 (1.6) 1.7 0.0 1.1 8.7 5.1 6.3

FHASI 2007-AR1 40% 56 60.6 (0.6) (1.7) 30.9 0.0 (0.5) 20.6 (2.0) 0.3 2.6 1.4 1.5 1.8 (0.0) 0.7

FHASI 2007-AR2 43% 53 72.4 (2.4) (4.8) 19.2 (1.2) 0.3 15.8 0.0 0.5 0.6 0.0 0.0 3.1 0.1 0.1

FHASI 2007-AR3 45% 50 72.6 (0.3) (1.1) 21.5 0.2 0.2 13.5 (0.4) 1.6 2.9 0.0 0.3 3.9 0.1 0.0

JPMMT 2006-A7 40% 62 61.5 0.2 (1.6) 28.8 0.7 1.2 11.4 0.5 (1.7) 0.4 (0.4) (0.3) 7.7 0.5 1.8

JPMMT 2007-A3 46% 56 73.0 (1.0) (1.4) 19.4 1.5 0.9 6.8 0.8 (0.8) 0.6 (0.1) (0.4) 8.0 1.9 2.4

JPMMT 2007-A5 43% 53 78.4 (0.1) 0.5 14.8 0.3 (0.5) 8.4 (0.3) (0.5) 0.9 0.0 (0.8) 2.5 0.3 0.7

JPMMT 2007-A6 47% 51 69.2 (0.6) (1.0) 19.5 (0.3) 0.2 9.9 (1.0) 0.9 2.0 (0.4) (0.6) 6.7 0.4 0.6

RFMSI 2006-SA2 40% 66 65.8 0.8 1.5 10.7 (1.0) (2.0) 6.6 (0.3) (1.9) 2.0 (0.1) 0.3 36.1 0.0 0.2

RFMSI 2006-SA3 39% 63 62.9 0.7 2.0 8.5 (3.6) (5.8) 4.5 (3.6) (6.3) 2.1 (0.8) (0.3) 38.5 (1.6) 16.4

RFMSI 2007-SA2 43% 57 73.2 0.2 (0.1) 14.1 (0.3) (1.4) 9.9 (0.9) (0.9) 1.0 (0.1) (1.2) 8.9 0.6 1.0

RFMSI 2007-SA3 50% 54 58.8 (0.3) 0.6 13.9 (0.3) (1.4) 10.2 0.9 1.7 1.6 0.0 (0.2) 22.0 0.2 (0.2)

WFMBS 2006-AR12 33% 64 73.2 (0.2) 0.2 17.5 0.7 2.3 11.5 0.1 2.3 0.9 (0.2) (0.6) 11.7 0.1 0.4

WFMBS 2006-AR13 34% 64 69.0 0.0 (0.5) 19.6 0.7 3.3 10.8 0.5 2.9 2.4 (0.1) (0.9) 12.6 0.2 0.5

WFMBS 2006-AR15 34% 62 74.7 (1.1) (0.7) 13.6 0.8 1.0 9.0 0.8 2.5 0.7 0.0 (0.4) 10.8 0.2 0.6

WFMBS 2006-AR17 29% 63 70.0 (0.4) (2.1) 16.5 1.4 2.5 8.4 (0.0) 0.6 3.1 (0.2) 1.1 14.9 0.2 0.8

WFMBS 2006-AR18 34% 61 82.4 0.2 (0.5) 5.6 (0.7) (0.7) 3.6 0.3 (0.4) 0.3 (0.6) (0.7) 10.7 0.2 1.0

WFMBS 2006-AR19 41% 61 82.6 (0.6) (1.2) 8.6 0.3 0.4 6.3 0.5 1.1 1.1 0.2 (0.0) 6.4 0.1 0.4

PrimeX.ARM1

PrimeX.ARM2

Modified (%balance)Index Deal Factor WALA

Always Current (%balance) 60+ Delinq (%balance) Foreclosure (%balance) REO (%balance)

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Barclays Capital | ABX and PrimeX Monitor

26 October 2011 39

September remittance – Delinquency composition continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CHASE 2005-S2 42% 74 88.5 (0.0) 0.0 7.5 (0.7) (1.0) 4.3 (0.1) 0.4 0.3 0.0 0.0 3.0 0.5 1.2

CHASE 2005-S3 45% 73 86.7 (0.2) (1.1) 8.1 (0.1) (0.4) 6.2 0.3 0.6 0.2 0.0 0.0 3.5 0.5 0.8

CWHL 2005-21 53% 74 79.4 (0.7) (1.7) 13.8 0.5 1.5 3.5 0.2 0.2 1.3 0.1 0.3 4.8 0.1 0.5

CWHL 2005-27 49% 72 78.2 (0.3) (0.4) 13.1 0.4 1.4 3.2 1.4 0.9 0.4 (0.6) (0.3) 5.0 0.2 0.5

GSR 2006-1F 52% 71 79.9 (0.3) (1.1) 12.8 0.3 1.2 3.1 (0.2) (0.4) 0.9 0.1 0.3 5.1 0.1 0.4

GSR 2006-6F 48% 66 71.6 (0.2) (0.9) 17.8 0.6 0.2 5.3 (0.6) (2.7) 0.5 0.3 0.3 6.7 0.1 0.9

RFMSI 2005-S6 44% 75 89.0 (0.5) (0.9) 2.9 0.1 0.5 1.7 0.1 0.6 0.0 0.0 0.0 4.7 0.1 0.6

SASC 2005-17 56% 74 81.8 (0.9) (2.1) 12.2 (0.3) 0.2 5.9 0.5 1.6 2.0 0.0 (0.3) 4.0 0.5 0.9

WFMBS 2005-3 33% 80 92.2 (0.2) (0.6) 3.4 0.3 0.3 2.7 0.5 0.3 0.0 0.0 (0.1) 2.2 0.1 0.1

WFMBS 2005-6 36% 76 93.9 0.1 0.1 3.5 0.0 0.2 2.4 (0.1) 0.2 0.2 (0.0) (0.0) 2.5 0.1 0.1

WFMBS 2005-7 42% 75 94.0 (0.7) (0.7) 3.0 0.1 0.3 2.5 0.1 0.7 0.0 0.0 0.0 1.7 0.0 0.1

WFMBS 2005-8 54% 74 89.1 (0.6) (0.5) 4.7 0.1 0.2 3.2 (0.3) (0.4) 0.3 0.0 0.3 3.1 0.2 0.2

WFMBS 2005-9 44% 74 91.4 (0.2) (0.4) 3.8 0.1 0.0 3.0 0.1 0.1 0.1 (0.3) (0.4) 2.3 0.1 0.0

WFMBS 2005-11 48% 73 88.6 (0.1) (0.3) 7.3 0.7 1.0 5.7 0.6 0.9 0.2 0.0 (0.1) 1.8 0.0 0.1

WFMBS 2005-12 51% 73 88.4 (0.1) (0.6) 6.4 (0.3) 1.3 5.2 (0.2) 1.3 0.5 (0.1) 0.3 4.3 0.1 0.2

WFMBS 2005-14 44% 72 91.8 (0.3) (0.1) 5.3 0.1 0.8 3.1 (0.1) 1.1 0.6 0.2 0.1 2.0 0.0 0.1

WFMBS 2005-17 54% 71 88.1 (0.7) (1.7) 5.9 0.3 0.9 3.7 0.4 0.6 1.6 0.0 0.3 4.1 0.0 0.3

WFMBS 2005-18 51% 71 87.8 0.1 0.3 5.5 (0.1) 0.0 1.9 (1.2) (1.3) 0.1 0.0 (0.3) 4.8 0.1 0.2

WFMBS 2006-2 51% 70 88.3 0.2 (0.1) 5.8 0.1 0.8 3.7 0.2 1.2 0.4 (0.2) (0.6) 3.6 0.0 0.3

WFMBS 2006-3 39% 70 88.0 (0.9) (1.0) 6.0 0.5 0.3 3.0 0.3 (0.3) 0.7 0.0 0.2 3.3 0.1 0.3

CHASE 2006-S4 45% 61 74.6 (0.4) (1.2) 14.6 (0.7) (1.8) 9.2 (0.5) (1.3) 0.5 0.0 0.3 8.9 0.3 1.7

GSR 2006-8F 39% 64 71.5 (1.0) (3.3) 17.7 0.5 2.8 7.1 0.7 1.4 1.4 0.0 0.4 7.1 1.0 1.8

GSR 2006-10F 45% 63 72.9 (0.7) (2.8) 14.4 0.5 0.9 3.9 0.1 (0.2) 0.4 0.1 0.0 10.4 0.2 1.4

JPMMT 2006-S4 48% 61 68.1 (0.2) (0.5) 18.3 (0.2) (1.5) 8.7 0.4 (0.8) 1.1 (0.2) (0.7) 8.1 0.4 1.7

PRIME 2007-1 51% 57 70.2 (0.3) (2.2) 19.0 0.0 1.7 11.2 0.2 1.0 1.5 (0.2) 0.2 10.5 0.5 0.8

PRIME 2007-2 54% 57 65.0 (0.4) (2.7) 25.2 0.2 0.5 15.3 0.1 2.2 1.0 0.2 0.6 6.1 0.7 1.1

RFMSI 2006-S6 39% 64 73.6 (0.5) (1.4) 10.2 0.4 1.4 6.7 (0.1) 1.1 1.3 0.0 0.4 15.1 0.6 0.9

RFMSI 2006-S8 43% 62 73.9 (0.4) (0.6) 9.1 (0.2) (0.2) 5.5 (1.5) (1.5) 1.6 1.1 1.3 17.1 0.2 0.9

RFMSI 2006-S9 36% 62 71.7 0.7 0.7 10.5 (1.3) (0.4) 7.3 (1.0) 0.9 1.1 (0.2) (0.1) 20.1 0.7 1.1

RFMSI 2006-S11 42% 60 75.1 (0.6) (1.1) 7.9 (0.8) (0.3) 5.5 (0.8) (0.8) 0.8 0.3 0.5 16.5 (0.0) 0.9

RFMSI 2007-S4 53% 55 71.9 (0.1) (0.5) 9.7 (1.0) (2.8) 6.3 0.5 (0.9) 1.6 (0.3) 0.2 19.8 0.5 2.9

RFMSI 2007-S5 55% 54 71.8 (1.6) (2.5) 11.8 0.2 1.0 7.4 (0.2) (0.1) 0.7 0.1 0.4 14.9 0.2 1.1

RFMSI 2007-S8 52% 51 68.1 0.3 (1.9) 10.3 (0.7) (0.3) 7.5 (0.4) 1.1 0.2 0.2 (0.3) 23.5 0.8 1.8

WFMBS 2006-14 34% 62 82.5 (0.3) (0.1) 10.0 0.5 0.4 6.5 0.1 0.5 0.9 0.2 0.3 5.8 (0.2) 0.3

WFMBS 2006-15 33% 61 82.2 (0.2) (0.9) 8.3 0.2 0.3 5.3 (0.3) (0.5) 1.0 0.1 0.1 6.8 0.1 0.4

WFMBS 2007-1 48% 58 80.4 (0.0) (0.3) 12.3 (0.0) 0.4 8.5 0.0 0.2 0.5 0.1 0.1 5.5 (0.1) (0.2)

WFMBS 2007-4 47% 56 81.8 (0.0) (1.2) 10.3 0.4 1.1 6.9 (0.3) 0.8 1.1 0.1 (0.2) 6.7 0.0 0.4

WFMBS 2007-7 51% 54 83.3 (0.6) (0.9) 8.3 0.3 0.7 5.3 (0.2) 0.4 0.7 0.0 (0.1) 7.4 0.2 0.5

WFMBS 2007-8 51% 53 83.7 (0.4) (1.0) 7.7 0.3 0.9 4.4 (0.3) 0.1 1.1 0.2 0.1 6.7 0.1 0.3

WFMBS 2007-13 46% 51 82.8 (0.7) (1.0) 7.8 (0.1) (0.1) 4.3 (0.0) (0.6) 1.4 0.0 (0.2) 6.9 0.0 0.4

REO (%balance) Modified (%balance)

PrimeX.FRM1

PrimeX.FRM2

Factor WALAAlways Current (%balance) 60+ Delinq (%balance) Foreclosure (%balance)

Index Deal

Page 40: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 40

September remittance – Performance trends

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mACE 2005-HE7 17% 73 4.3 3.5 3.6 8.8 (1.4) (3.1) 83 1 16 8.5 0.1 (3.2) 82 7 17 65 13 27

AMSI 2005-R11 35% 71 1.8 0.9 0.1 7.3 (3.3) (2.8) 65 0 (10) 6.3 (3.5) (3.7) 75 5 (0) 57 (8) 11

ARSI 2005-W2 22% 74 1.2 (1.9) 0.3 11.5 (0.5) (2.5) 66 0 (12) 11.2 0.6 (2.4) 68 (6) (12) 66 9 20

BSABS 2005-HE11 24% 75 1.2 (1.2) 0.5 5.2 (4.6) (0.1) 88 14 18 4.2 (5.4) (0.9) 76 7 19 79 5 (13)

CWL 2005-BC5 27% 75 1.3 (0.4) (1.5) 2.2 (7.9) (2.4) 98 6 10 1.6 (7.6) (2.8) 57 (29) (26) 38 (21) (6)

FFML 2005-FF12 25% 72 1.8 1.2 (0.6) 4.9 (0.2) (5.1) 88 (19) 18 4.5 0.8 (4.3) 76 (28) 19 28 (1) (53)

GSAMP 2005-HE4 21% 76 0.1 (0.6) (1.2) 9.3 3.3 4.3 77 17 (13) 9.3 4.5 4.4 64 3 13 61 (3) (25)

HEAT 2005-8 18% 75 1.5 (3.5) 1.4 10.8 (0.1) (1.6) 81 (7) 1 10.6 0.3 (1.8) 79 (0) (0) 31 12 5

JPMAC 2005-OPT1 16% 78 1.9 1.8 0.4 4.6 (1.9) (2.8) 66 (3) (4) 4.6 (2.0) (2.8) 67 (2) (4) 29 (26) (22)

LBMLT 2005-WL2 15% 77 2.9 1.6 1.4 10.6 2.3 2.4 78 3 (15) 9.9 1.8 2.2 69 (2) (14) 68 8 32

MABS 2005-NC2 18% 74 0.2 0.0 0.1 17.0 0.0 (2.5) 0 0 0 13.7 (0.9) (3.3) 0 0 0 0 (44) (37)

MLMI 2005-AR1 18% 77 0.1 (1.9) (0.9) 6.3 (0.2) 3.2 38 (13) (28) 6.1 0.7 3.4 39 (23) (37) 4 (42) (16)

MSAC 2005-HE5 16% 76 2.4 0.7 1.6 10.9 (0.7) 3.6 81 (14) (9) 10.0 (0.1) 2.8 75 (10) (5) 25 (35) (3)

NCHET 2005-4 30% 75 1.9 (0.9) 1.9 15.3 0.9 (3.1) 73 10 3 14.8 0.7 (3.0) 70 9 2 9 (29) (4)

RAMP 2005-EFC4 20% 74 1.1 (0.4) (1.1) 10.0 0.6 2.2 68 (23) (13) 9.5 0.2 1.9 57 (27) (5) 52 (11) 20

RASC 2005-KS11 23% 73 1.1 (1.4) (0.0) 8.7 (0.9) (0.3) 90 23 (7) 8.2 (1.2) (0.3) 75 16 (15) 27 (27) (33)

SABR 2005-HE1 13% 75 0.0 0.0 (4.5) 40.6 7.2 11.0 76 (20) 18 40.6 7.2 11.0 76 (20) 18 52 35 (23)

SAIL 2005-HE3 16% 77 0.6 (0.0) (0.6) 13.5 (0.8) (0.8) 78 30 24 13.1 2.4 1.3 80 15 14 50 40 16

SASC 2005-WF4 23% 74 3.5 1.8 1.1 10.8 3.8 3.1 75 (8) 10 10.7 4.0 3.2 74 (6) 11 18 (2) 3

SVHE 2005-4 32% 75 0.2 (7.8) (0.9) 5.3 (0.2) 1.8 86 26 25 5.3 0.2 2.9 81 18 17 20 (63) (80)

ACE 2006-NC1 23% 73 3.5 (0.3) 2.6 8.7 (3.9) (0.5) 95 27 26 8.4 (3.6) (0.7) 96 26 26 51 23 18

ARSI 2006-W1 21% 71 2.8 2.2 2.2 16.6 2.5 2.6 72 2 3 16.1 2.8 2.8 75 0 1 63 (1) 4

BSABS 2006-HE3 24% 70 0.1 (0.0) 0.0 8.7 3.1 (5.8) 74 (38) (7) 8.7 3.6 (5.4) 74 (31) (5) 68 20 45

CARR 2006-NC1 34% 71 2.3 2.2 1.8 29.4 0.2 (2.7) 74 0 (4) 29.4 0.2 (2.7) 74 1 (3) 25 7 11

CWL 2006-8 46% 65 0.4 (1.1) (1.2) 12.7 3.7 2.8 90 3 (12) 12.0 3.6 3.1 87 4 4 64 5 (15)

FFML 2006-FF4 26% 69 2.7 1.7 2.4 5.3 0.2 (1.3) 61 6 (10) 4.7 (0.2) (1.4) 70 11 (9) 28 (37) (7)

GSAMP 2006-HE3 26% 69 2.0 1.0 1.7 12.8 2.8 (0.1) 86 3 (11) 12.2 3.1 0.1 82 8 (10) 58 (1) 11

HEAT 2006-4 24% 70 1.6 1.2 1.4 14.0 0.1 1.2 73 (5) (11) 13.0 0.1 0.3 68 (6) (14) 36 18 12

JPMAC 2006-FRE1 25% 71 0.1 (1.3) (1.9) 10.8 6.7 1.6 99 (1) 28 9.5 7.2 1.1 75 0 9 22 0 (73)

LBMLT 2006-1 23% 70 1.7 0.4 (0.2) 11.0 3.2 1.3 92 7 (5) 10.2 2.8 0.7 82 1 (7) 34 (8) (29)

MABS 2006-NC1 24% 71 2.3 0.9 1.9 13.3 7.9 1.2 87 (7) (4) 8.8 3.5 (3.2) 79 (15) (11) 34 (16) 15

MLMI 2006-HE1 25% 73 0.2 0.2 (0.5) 5.2 (0.0) (7.2) 99 58 24 4.1 (0.6) (7.7) 80 34 21 73 (27) 6

MSAC 2006-HE2 23% 70 1.1 (0.1) 0.9 12.9 (2.4) (1.5) 88 2 (2) 12.0 0.6 (2.4) 82 2 (8) 36 15 23

MSAC 2006-WMC2 25% 66 2.1 1.6 0.6 13.2 (3.0) 1.9 84 3 (4) 12.7 0.6 1.5 81 6 (9) 25 (18) (2)

RASC 2006-KS3 24% 69 0.3 (0.5) 0.2 11.2 4.8 (4.4) 78 (24) (7) 10.2 4.4 (4.7) 62 (14) (11) 57 1 18

RAMP 2006-NC2 26% 70 0.1 (1.1) 0.0 6.9 1.0 (13.6) 113 28 25 5.2 (0.5) (12.7) 86 19 11 93 30 31

SABR 2006-OP1 23% 75 0.5 (2.6) (0.0) 7.9 (1.1) (3.0) 76 3 25 7.9 (1.1) (3.0) 76 3 25 24 2 (33)

SAIL 2006-4 27% 67 1.1 0.1 0.5 15.6 (1.5) 1.3 85 10 15 12.1 (4.1) (0.5) 74 3 12 25 2 (15)

SASC 2006-WF2 29% 67 3.4 3.2 1.2 11.2 3.1 (0.0) 86 5 4 10.3 2.2 (0.9) 83 4 1 25 (17) (5)

SVHE 2006-OPT5 35% 66 1.3 0.2 0.1 10.5 (1.2) 0.6 76 11 20 10.3 (0.5) 1.9 77 7 11 35 (17) (24)

Index

ABX 06-1

ABX 06-2

Liquidation SeverityDeal

% ShortsaleOverall CDRFactor

Overall CRRWALA

Severity with mods Liquidation CDR

Page 41: ABX and PrimeX Monitor - October 2011

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26 October 2011 41

September remittance – Performance trends continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABFC 2006-OPT2 37% 62 0.2 (0.2) (2.0) 16.2 6.5 3.8 79 5 3 15.0 6.5 2.6 68 18 (6) 54 (29) (33)

ACE 2006-NC3 49% 61 0.8 0.1 (0.2) 8.6 (1.1) 2.1 104 18 (5) 7.8 (0.8) 2.0 88 12 5 38 (21) (52)

BSABS 2006-HE10 49% 60 1.0 0.5 0.5 9.5 2.2 1.2 77 (3) 4 8.3 1.2 0.7 67 (12) (0) 68 18 (3)

CARR 2006-NC4 47% 63 1.6 0.9 0.3 20.8 (0.6) (13.6) 82 6 0 20.8 (0.6) (13.6) 82 6 0 25 4 7

CBASS 2006-CB6 33% 68 1.5 (0.6) 0.8 14.0 3.6 6.5 78 (1) 6 12.4 3.3 7.1 86 (5) (8) 53 38 6

CMLTI 2006-WFH3 34% 62 1.7 (0.5) (0.2) 10.5 2.3 1.3 93 11 19 9.2 1.6 0.0 85 7 11 23 (17) 0

CWL 2006-18 51% 63 1.1 (0.3) 0.7 4.7 (4.6) (4.9) 109 18 10 4.1 (4.6) (4.7) 96 10 7 58 26 12

FFML 2006-FF13 36% 63 1.9 0.6 (0.5) 15.1 5.2 6.0 67 (4) (7) 14.1 4.9 5.3 73 3 (4) 30 (22) 4

FHLT 2006-3 32% 62 2.6 1.3 2.6 16.5 4.0 5.3 92 3 6 15.9 4.3 5.2 88 3 7 44 23 3

GSAMP 2006-HE5 34% 64 0.8 0.3 0.7 11.0 2.9 1.1 79 (33) (19) 9.9 2.7 1.2 67 (27) (16) 77 12 48

HEAT 2006-7 27% 63 0.1 (2.6) (0.5) 19.5 (0.0) (8.1) 80 10 2 18.0 0.2 (5.7) 78 5 3 36 8 (17)

JPMAC 2006-CH2 48% 64 1.7 0.9 (0.5) 8.5 1.6 0.0 91 11 7 7.7 1.7 0.4 78 8 4 72 (4) 2

LBMLT 2006-6 31% 64 0.3 (0.1) 0.1 11.8 (0.9) 2.3 96 11 14 9.6 (2.4) 1.2 73 (5) 6 37 (6) (10)

MABS 2006-NC3 34% 61 0.6 (0.2) (0.3) 15.7 (4.6) 5.8 112 16 (22) 10.3 (4.1) 4.7 87 17 16 13 (1) (16)

MLMI 2006-HE5 20% 64 0.9 0.6 (1.3) 6.3 (3.2) (1.8) 109 31 20 5.8 (3.1) (1.2) 103 31 26 42 (26) (34)

MSAC 2006-HE6 42% 64 0.1 (0.7) (1.2) 12.2 2.6 0.9 75 (6) 1 11.7 3.0 1.9 78 (12) (8) 72 17 17

RASC 2006-KS9 37% 61 1.7 0.5 (0.8) 11.4 0.9 (1.1) 81 6 (4) 11.1 1.1 (0.7) 73 6 (4) 48 (5) (20)

SABR 2006-HE2 29% 65 1.6 1.4 (0.6) 18.5 5.1 9.5 109 (15) (6) 13.5 5.6 7.9 80 (4) (14) 40 7 10

SASC 2006-BC4 39% 61 4.8 3.4 3.0 13.9 2.0 (1.1) 78 (5) 3 13.1 2.2 (0.9) 74 (5) 8 38 14 3

SVHE 2006-EQ1 36% 63 0.7 (0.4) (0.5) 13.8 0.8 4.1 79 (9) 7 13.4 1.0 4.3 77 (9) 4 30 (10) (1)

ACE 2007-HE4 27% 57 2.1 (1.6) 1.8 25.7 (7.1) 8.5 73 1 (3) 25.7 (7.0) 8.4 73 1 (3) 17 (7) (23)

BSABS 2007-HE3 55% 57 1.1 (1.1) 0.3 10.5 3.7 2.2 90 (9) 2 8.3 4.3 1.6 78 3 (0) 76 9 13

CMLTI 2007-AMC2 47% 59 1.5 (0.2) 0.2 14.3 (1.4) (2.0) 92 7 (2) 11.2 (2.9) (2.7) 81 8 (2) 22 (10) 2

CWL 2007-1 64% 57 0.2 (1.5) (1.1) 9.2 3.7 0.2 90 (7) 4 8.3 3.3 0.3 79 (10) 5 49 2 (2)

FFML 2007-FF1 44% 58 1.2 (0.4) (1.1) 9.6 4.2 0.2 83 9 14 8.0 3.7 0.4 69 8 20 57 23 (19)

GSAMP 2007-NC1 40% 58 0.9 0.5 0.3 10.2 2.0 (4.1) 92 (2) 3 8.7 1.0 (4.7) 81 (0) (1) 71 3 9

HEAT 2007-2 33% 58 2.9 1.7 0.5 20.9 7.2 1.1 80 6 3 19.0 7.0 2.5 76 10 6 36 0 (9)

HASC 2007-NC1 48% 57 0.8 0.8 0.1 14.3 (2.0) 3.3 88 4 6 13.8 0.3 4.4 86 9 13 37 13 (26)

JPMAC 2007-CH3 55% 60 1.9 1.3 (0.5) 6.6 (3.2) 1.0 84 (4) (6) 6.2 (2.5) 1.3 76 (10) (9) 63 (16) 28

FFMER 2007-2 49% 55 1.4 0.1 0.9 7.9 0.9 (0.1) 64 9 5 6.5 0.4 (0.4) 72 8 1 25 (7) (18)

MLMI 2007-MLN1 53% 59 2.0 0.9 1.4 8.2 (1.1) 2.1 59 (3) 1 7.2 (1.9) 1.8 68 4 1 75 29 12

MSAC 2007-NC3 48% 57 0.7 (0.2) 0.4 15.1 3.6 4.6 89 (1) 17 13.5 3.5 4.6 86 (2) 12 25 (23) 5

NHELI 2007-2 40% 61 1.7 0.9 1.1 13.4 2.6 (0.7) 80 0 0 13.4 2.7 (0.7) 79 (1) 0 25 9 (1)

NHEL 2007-2 54% 55 2.2 1.6 1.3 12.5 (2.6) 2.8 87 (4) 6 11.9 (2.7) 3.4 85 (6) (3) 28 (11) 23

OOMLT 2007-5 51% 56 0.5 0.0 (0.8) 13.0 (2.1) 0.9 67 (0) 1 12.9 (2.1) 0.9 68 (0) 1 53 11 5

RASC 2007-KS2 42% 58 1.3 0.5 (0.1) 9.9 (1.5) (4.6) 81 (0) (6) 8.9 (2.0) (4.6) 65 (8) (14) 31 1 (23)

SABR 2007-BR4 42% 57 1.2 0.7 (0.2) 16.0 0.1 (0.6) 91 (12) 21 10.0 0.3 (0.7) 68 (4) (9) 39 (12) (12)

SASC 2007-BC1 50% 59 0.7 0.5 (0.7) 20.5 9.5 13.2 95 12 1 12.7 2.6 6.6 85 12 (1) 28 2 2

SVHE 2007-OPT1 57% 55 1.5 0.8 0.9 9.9 0.4 2.0 61 (8) (11) 9.9 0.4 2.0 62 (8) (11) 45 (10) (14)

WMHE 2007-HE2 49% 56 1.6 0.7 0.1 11.5 3.2 0.4 70 10 (6) 11.2 2.9 0.1 72 11 (4) 59 1 15

Liquidation SeverityLiquidation CDR % Shortsale

ABX 07-1

ABX 07-2

Overall CRR Overall CDR Severity with modsFactor WALAIndex Deal

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26 October 2011 42

September remittance – Performance trends continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CMLTI 2005-11 44% 76 10.2 2.4 (17.2) 9.0 9.0 4.0 35 35 (26) 9.0 9.0 4.0 35 35 (26) 75 75 24

GSR 2005-AR3 39% 80 4.6 4.4 0.9 4.7 (1.8) 1.7 0 (33) (51) 4.7 (1.8) 1.7 0 (33) (51) 100 44 0

GSR 2005-AR4 39% 79 7.9 7.8 (1.8) 8.0 4.8 (3.9) 25 3 (20) 8.0 4.8 (3.9) 25 3 (20) 100 100 23

GSR 2005-AR7 47% 79 0.1 (6.8) (6.2) 5.8 3.5 5.8 33 (12) 33 5.8 3.5 5.8 33 (12) 33 0 (100) 0

GSR 2006-AR1 47% 72 2.7 (1.2) (3.6) 7.8 (3.1) 2.2 45 3 18 7.8 (3.1) 2.2 45 3 18 73 33 19

GSR 2006-AR2 53% 71 8.2 4.5 (3.9) 4.0 (2.5) 0.7 33 (40) (5) 4.0 (2.5) 0.7 33 (40) (5) 100 62 0

JPMMT 2005-A3 27% 96 43.8 10.7 19.5 5.5 5.5 5.5 0 0 0 5.5 5.5 5.5 0 0 0 100 100 100

JPMMT 2005-A4 37% 77 18.7 (18.9) (5.3) 0.7 0.7 0.7 99 99 99 0.0 0.0 0.0 0 0 0 0 0 0

JPMMT 2005-A5 26% 76 41.4 23.5 7.0 11.7 11.7 10.3 25 25 (32) 11.7 11.7 10.3 25 25 (32) 100 100 100

JPMMT 2005-A7 38% 74 0.4 (8.4) (5.0) 16.0 7.4 9.9 23 (12) (9) 16.0 7.4 9.9 23 (12) (9) 77 (23) (23)

JPMMT 2006-A4 42% 68 9.6 (16.8) (15.1) 12.4 6.3 12.3 21 (30) 21 12.2 6.1 12.2 19 (32) 19 100 0 100

MLMI 2005-A2 38% 82 9.9 4.6 3.3 2.5 (1.5) (1.5) 24 (34) (7) 2.4 (1.6) (1.3) 18 (39) (3) 58 (4) (9)

MLMI 2005-A9 38% 73 13.1 12.8 9.4 3.1 (4.0) (2.2) 39 (11) (6) 3.0 (4.2) (2.4) 41 (9) (4) 100 65 0

WAMU 2005-AR10 43% 75 3.3 (4.3) (4.3) 8.6 6.1 4.1 19 (26) (18) 8.6 6.1 4.3 19 (26) (20) 100 0 69

WAMU 2005-AR14 46% 73 5.3 (2.0) 2.3 4.2 (1.8) 3.6 36 19 36 3.5 (2.3) 3.5 43 26 43 76 (24) 76

WAMU 2005-AR7 39% 76 6.5 3.6 (1.8) 1.5 1.5 (6.1) 28 28 (1) 1.5 1.5 (6.1) 29 29 (1) 100 100 33

WFMBS 2006-AR2 44% 73 6.2 0.8 1.8 8.4 (1.8) (2.4) 51 (1) 7 8.4 (1.8) (2.4) 51 (1) 7 52 13 4

WFMBS 2006-AR4 46% 68 5.3 (14.8) (6.9) 2.4 (1.2) (4.9) 44 29 11 2.4 (1.2) (4.9) 44 29 11 47 (20) (19)

WFMBS 2006-AR6 45% 74 19.4 (8.2) 1.8 2.6 (1.9) 1.1 36 (9) 20 2.6 (1.9) 1.2 36 (9) 18 100 100 0

WFMBS 2006-AR8 44% 76 1.5 (6.7) (4.8) 6.5 3.4 (1.8) 38 (6) 1 6.5 3.4 (1.7) 38 (6) 1 51 51 (15)

CMLTI 2007-AR4 45% 58 20.7 6.4 8.9 1.2 (5.1) (7.0) 47 (2) (1) 1.2 (4.6) (6.8) 47 2 1 100 45 53

CWHL 2007-HY1 49% 56 0.2 (10.4) (4.2) 24.8 19.3 24.8 53 (26) 53 23.9 19.2 23.9 50 (18) 50 54 (46) 54

FHASI 2006-AR4 42% 59 12.2 6.4 (1.7) 5.2 (7.8) (19.4) 70 12 10 5.2 (7.8) (19.4) 70 12 10 100 0 43

FHASI 2007-AR1 40% 56 0.1 (11.9) (8.3) 0.0 (7.4) (15.2) 0 (38) (41) 0.0 (7.4) (15.2) 0 (38) (41) 0 (100) (41)

FHASI 2007-AR2 43% 53 10.6 (0.5) (15.9) 13.6 8.7 (0.4) 30 (11) 2 13.6 8.7 (0.4) 30 (11) 2 100 0 30

FHASI 2007-AR3 45% 50 11.2 11.0 4.5 6.4 1.4 (13.6) 49 (5) (28) 6.4 1.4 (13.6) 49 (5) (28) 100 0 79

JPMMT 2006-A7 40% 62 6.7 (3.6) 1.1 7.8 (2.0) (0.4) 52 13 (4) 7.2 (2.5) (0.9) 44 8 (12) 42 (58) (58)

JPMMT 2007-A3 46% 56 47.6 37.0 28.1 7.2 (7.4) (12.1) 61 (0) 13 6.9 (7.7) (11.7) 53 (8) 10 50 (27) (35)

JPMMT 2007-A5 43% 53 18.6 9.5 (7.1) 3.8 (6.2) (9.5) 49 3 4 3.7 (6.2) (9.5) 42 (4) (3) 100 41 0

JPMMT 2007-A6 47% 51 19.1 19.0 (0.4) 5.3 (1.0) 1.6 27 (34) 20 5.3 (1.0) 1.6 27 (34) 20 0 (51) (100)

RFMSI 2006-SA2 40% 66 0.3 0.0 0.1 18.3 11.2 6.9 52 11 5 18.0 11.0 7.5 50 13 12 82 (18) 13

RFMSI 2006-SA3 39% 63 0.1 0.1 0.1 38.6 18.7 22.1 51 4 21 38.5 18.7 22.1 50 5 23 78 (22) (22)

RFMSI 2007-SA2 43% 57 7.6 (4.5) (8.3) 19.8 4.4 8.3 49 13 (4) 19.7 4.4 10.2 48 13 8 91 91 55

RFMSI 2007-SA3 50% 54 10.9 10.9 1.1 1.7 (3.0) (6.6) 122 76 64 1.6 (2.9) (4.8) 100 63 61 100 0 0

WFMBS 2006-AR12 33% 64 2.8 (9.7) (15.6) 9.7 0.6 (10.3) 54 (3) 8 9.7 0.6 (10.3) 54 (3) 8 51 3 2

WFMBS 2006-AR13 34% 64 7.5 2.1 (7.5) 11.4 (0.9) 2.7 51 (15) 25 11.4 (0.9) 2.7 51 (15) 25 49 15 (21)

WFMBS 2006-AR15 34% 62 15.8 3.4 2.4 0.0 (21.1) (5.4) 0 (32) (26) 0.0 (21.1) (5.4) 0 (32) (26) 0 (79) 0

WFMBS 2006-AR17 29% 63 6.1 (13.9) 2.4 11.8 6.8 (14.5) 38 (27) (6) 11.8 6.8 (14.5) 38 (27) (6) 49 (51) 14

WFMBS 2006-AR18 34% 61 6.2 (15.4) (16.3) 14.9 5.0 7.4 42 (4) (4) 14.9 5.0 7.4 42 (4) (4) 53 (29) 27

WFMBS 2006-AR19 41% 61 11.1 (4.2) 6.2 5.1 (2.5) 2.1 53 5 17 5.1 (2.5) 2.1 53 5 17 36 (4) (64)

Liquidation Severity % Shortsale

PrimeX.ARM1

PrimeX.ARM2

Liquidation CDRIndex Deal Factor WALA

Overall CRR Overall CDR Severity with mods

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26 October 2011 43

September remittance – Performance trends continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CHASE 2005-S2 42% 74 16.7 (4.8) (3.7) 5.8 2.9 3.7 12 (10) (58) 5.7 2.8 3.7 12 (10) (58) 100 0 0

CHASE 2005-S3 45% 73 22.1 15.4 3.2 7.7 6.5 6.6 35 (1) (9) 7.7 6.5 6.7 35 (1) (10) 100 0 0

CWHL 2005-21 53% 74 18.4 11.8 9.0 0.0 (3.0) (7.3) 0 (55) (43) 0.0 (3.0) (7.3) 0 (55) (43) 0 (61) (87)

CWHL 2005-27 49% 72 31.3 16.3 27.4 9.3 5.8 9.3 55 19 55 9.3 5.8 9.3 55 19 55 0 (100) 0

GSR 2006-1F 52% 71 12.2 2.0 (1.0) 3.1 0.7 (4.2) 41 (10) 11 3.1 0.7 (4.2) 41 (10) 11 72 1 (15)

GSR 2006-6F 48% 66 7.2 0.8 (1.8) 6.1 6.1 3.8 54 54 (9) 6.1 6.1 3.8 54 54 (9) 100 100 0

RFMSI 2005-S6 44% 75 21.6 (6.9) 14.3 0.3 0.3 (2.5) 100 0 73 0.0 0.0 (2.8) 0 0 (26) 0 0 (100)

SASC 2005-17 56% 74 18.0 10.5 13.8 2.9 2.9 (1.0) 41 41 (1) 2.9 2.9 (0.3) 41 41 (10) 0 0 0

WFMBS 2005-3 33% 80 26.7 5.6 (4.3) 0.0 (3.8) 0.0 100 52 0 0.0 (3.8) 0.0 0 (48) 0 0 (54) 0

WFMBS 2005-6 36% 76 23.8 4.5 4.3 2.9 0.9 0.5 51 26 31 2.9 0.9 0.5 51 26 31 0 (100) (100)

WFMBS 2005-7 42% 75 29.5 10.7 18.2 0.0 (2.5) (0.0) 0 (53) (100) 0.0 (2.5) 0.0 0 (53) 0 0 (100) 0

WFMBS 2005-8 54% 74 11.7 1.2 (4.3) 1.9 (4.4) 1.9 49 (6) (51) 1.9 (4.4) 1.9 48 (6) 48 100 0 100

WFMBS 2005-9 44% 74 26.1 6.9 11.2 3.1 2.4 (4.8) 19 (3) (19) 3.1 2.4 (4.8) 18 (2) (19) 0 (100) (72)

WFMBS 2005-11 48% 73 13.4 (21.8) 5.2 0.0 (1.1) (5.4) 0 (113) (38) 0.0 (1.1) (5.4) 0 (113) (38) 0 0 (60)

WFMBS 2005-12 51% 73 13.3 (4.8) (8.9) 4.1 4.1 (4.5) 45 (55) (6) 4.1 4.1 (4.5) 45 45 (6) 80 80 (2)

WFMBS 2005-14 44% 72 22.2 4.3 12.0 1.5 (1.3) 1.5 0 (47) (100) 1.5 (1.3) 1.5 0 (47) 0 100 0 100

WFMBS 2005-17 54% 71 9.5 (1.8) 2.9 0.0 (3.4) (0.0) 100 80 0 0.0 (3.4) 0.0 0 (20) 0 0 (100) 0

WFMBS 2005-18 51% 71 12.5 3.0 1.2 4.4 4.4 2.8 22 (101) (58) 4.4 4.4 2.8 21 21 (58) 100 100 100

WFMBS 2006-2 51% 70 11.5 (1.1) (10.1) 4.2 2.8 2.2 46 21 (39) 4.1 2.8 2.2 46 23 (38) 33 (67) 33

WFMBS 2006-3 39% 70 20.2 3.6 9.6 0.0 0.0 (3.0) 100 0 48 0.0 0.0 (3.0) 0 0 (51) 0 0 (50)

CHASE 2006-S4 45% 61 4.5 (15.0) (1.5) 4.8 (2.6) 4.8 65 8 65 4.5 (2.8) 4.5 70 12 70 100 0 100

GSR 2006-8F 39% 64 20.4 1.4 6.0 0.0 (0.4) (0.9) 0 (100) (84) 0.0 0.0 (0.9) 0 0 (84) 0 0 0

GSR 2006-10F 45% 63 21.7 12.1 21.6 3.2 0.5 0.4 26 (29) (12) 3.2 0.5 0.4 24 (31) (14) 100 0 0

JPMMT 2006-S4 48% 61 4.2 2.2 (9.4) 6.7 (4.7) 3.9 57 33 (28) 6.4 (4.8) 3.9 51 31 (24) 31 (56) (34)

PRIME 2007-1 51% 57 14.6 6.3 6.9 8.0 6.2 2.6 60 (0) 14 8.0 6.2 2.6 60 (0) 14 0 (18) (71)

PRIME 2007-2 54% 57 0.7 (20.2) (6.3) 5.2 5.2 3.3 55 55 (6) 4.4 4.4 2.6 42 42 (18) 0 0 (100)

RFMSI 2006-S6 39% 64 17.6 9.0 (4.6) 5.2 0.9 5.1 74 57 (26) 5.1 1.1 5.1 64 58 64 59 (41) 59

RFMSI 2006-S8 43% 62 3.7 (3.2) (2.6) 0.1 (0.8) (3.4) 100 (11) 29 0.0 (0.8) (2.7) 0 (77) (42) 0 (100) (100)

RFMSI 2006-S9 36% 62 7.8 7.6 (3.8) 14.5 11.5 12.5 33 (13) (91) 14.5 11.5 13.8 31 (5) (43) 84 (16) (16)

RFMSI 2006-S11 42% 60 15.3 1.2 1.7 7.0 2.8 (2.7) 47 5 3 6.8 2.7 (2.8) 41 6 (0) 82 50 (6)

RFMSI 2007-S4 53% 55 3.9 (0.2) (4.6) 5.8 (5.4) 2.3 42 (32) 2 5.7 (4.7) 2.2 37 (27) 4 32 (68) (68)

RFMSI 2007-S5 55% 54 19.2 5.2 5.1 4.7 (2.1) 0.2 29 (20) (13) 2.7 (4.0) (1.7) 31 (14) (6) 65 (35) (19)

RFMSI 2007-S8 52% 51 24.5 13.5 18.1 16.8 10.6 14.5 46 23 0 16.5 10.9 14.2 39 33 7 100 62 0

WFMBS 2006-14 34% 62 6.4 (4.8) (13.4) 2.9 2.9 (10.9) 53 (47) 4 2.9 2.9 (10.9) 53 53 4 100 100 77

WFMBS 2006-15 33% 61 19.4 (0.1) 4.2 5.3 (1.2) 1.4 45 (4) 6 5.3 (1.2) 1.4 45 (4) 7 66 27 (28)

WFMBS 2007-1 48% 58 10.7 6.6 1.6 7.4 (0.5) 1.1 45 (1) 0 7.4 (0.5) 1.1 45 (1) 0 61 3 31

WFMBS 2007-4 47% 56 9.1 (8.2) (4.5) 5.8 (0.6) (2.2) 48 10 4 5.8 (0.6) (2.2) 48 11 3 88 23 30

WFMBS 2007-7 51% 54 15.0 2.9 2.3 4.3 (1.6) (1.0) 39 2 (9) 4.3 (1.6) (1.0) 38 1 (9) 67 18 0

WFMBS 2007-8 51% 53 15.7 3.6 6.9 3.1 1.5 (4.0) 43 0 (8) 3.1 1.5 (4.0) 42 1 (8) 100 87 31

WFMBS 2007-13 46% 51 5.8 (5.9) (0.4) 2.3 (0.3) (0.3) 57 (8) 46 2.3 (0.3) (0.3) 57 (8) 46 100 100 0

Overall CDRIndex Deal

PrimeX.FRM2

Severity with mods Liquidation Severity % Shortsale

PrimeX.FRM1

Liquidation CDRFactor WALA

Overall CRR

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26 October 2011 44

September remittance – Roll rates (bp)

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mACE 2005-HE7 3.6 (0.7) (0.4) 1.4 (0.4) 0.5 8.9 (2.2) 1.6 5.3 3.5 3.8 7.2 (2.8) (10.4) 3.7 0.1 (0.7)

AMSI 2005-R11 3.8 0.4 0.0 1.6 0.2 0.3 14.1 3.2 (0.5) 3.4 1.7 1.8 11.8 (3.0) (9.1) 6.7 (0.7) 0.3

ARSI 2005-W2 4.4 0.3 0.4 0.9 (0.3) (0.3) 13.0 (0.2) (0.9) 1.5 (0.5) (0.4) 11.7 (1.9) (8.3) 5.0 (1.4) (1.6)

BSABS 2005-HE11 3.0 (1.0) (2.0) 1.4 0.5 0.3 11.3 1.2 3.6 0.0 0.0 (0.2) 5.2 (7.0) 3.4 4.1 1.0 1.1

CWL 2005-BC5 3.3 (0.2) 1.3 0.9 (0.0) 0.4 13.2 5.1 6.4 4.2 2.4 0.4 2.7 (8.3) (7.7) 2.2 (1.1) (0.7)

FFML 2005-FF12 2.1 (1.3) (0.3) 1.5 (0.6) 0.3 9.1 2.9 5.9 1.6 (2.3) 0.2 13.9 (0.2) 6.1 3.1 0.6 (0.2)

GSAMP 2005-HE4 4.9 1.5 0.3 1.9 1.4 0.8 13.9 2.9 4.5 0.3 (0.2) (0.8) 13.2 7.8 11.0 6.3 2.5 1.3

HEAT 2005-8 4.0 (0.4) 1.3 0.9 0.3 (0.0) 14.0 (3.9) 6.4 1.8 (0.3) (1.0) 22.2 0.5 1.0 6.0 (1.8) 1.4

JPMAC 2005-OPT1 3.4 (0.5) (0.9) 0.3 (0.5) (0.8) 16.6 7.7 4.1 1.1 (1.9) (3.0) 8.4 0.9 (2.2) 7.1 (0.6) 1.3

LBMLT 2005-WL2 4.4 (1.5) (0.5) 2.5 0.5 1.3 13.0 2.6 2.0 1.2 (0.1) (1.0) 8.9 (0.2) (5.8) 5.0 1.3 1.3

MABS 2005-NC2 4.2 (2.2) (0.5) 1.9 (0.5) (0.4) 16.1 (2.1) 1.6 3.1 (0.7) (0.2) 14.1 5.8 2.3 6.0 (0.2) 0.7

MLMI 2005-AR1 2.3 (0.4) (1.9) 0.3 0.1 (1.6) 15.4 4.7 7.8 2.9 2.3 (0.4) 10.6 5.4 5.2 1.2 (1.6) (2.8)

MSAC 2005-HE5 4.2 (1.8) (0.4) 0.8 (1.8) (1.5) 10.1 (0.2) 1.4 2.9 0.7 2.2 15.0 6.6 3.4 4.1 0.7 1.7

NCHET 2005-4 3.2 (0.8) 1.1 0.6 (0.5) (0.4) 13.5 (2.0) (4.6) 2.4 (1.0) (1.5) 18.2 6.5 0.4 6.3 1.4 0.6

RAMP 2005-EFC4 3.2 (1.7) (1.2) 1.8 0.7 1.1 12.3 0.5 2.1 2.3 2.3 (2.7) 16.7 5.4 (3.2) 11.7 4.3 2.5

RASC 2005-KS11 4.8 1.4 1.4 0.7 (0.2) (0.3) 12.9 5.0 (2.9) 1.5 0.5 (1.1) 27.6 9.5 9.2 12.6 6.0 6.1

SA BR 2005-HE1 8.8 4.4 6.3 0.0 0.0 0.0 23.9 13.7 18.0 0.0 (1.9) (2.7) 11.5 (2.4) 7.9 1.0 1.0 0.1

SAIL 2005-HE3 3.1 (0.7) (0.1) 1.3 0.5 (0.3) 12.5 2.8 (2.8) 1.9 (0.6) (0.9) 10.4 (3.8) (0.9) 6.0 0.1 0.9

SASC 2005-WF4 3.0 (0.1) 0.7 0.8 (0.0) 0.2 14.8 5.0 3.8 3.2 (0.3) 0.8 23.6 9.6 7.9 6.1 (1.8) (0.6)

SVHE 2005-4 3.2 (2.1) (0.2) 1.5 (1.1) 0.3 10.0 (0.4) 4.6 1.3 (0.8) (1.2) 14.1 10.6 14.1 3.6 1.9 0.1

ACE 2006-NC1 2.8 (2.2) (3.1) 1.3 0.1 0.0 12.7 (0.8) (2.9) 2.7 0.0 0.5 8.6 (9.0) (4.2) 4.9 (2.8) (0.9)

ARSI 2006-W1 4.6 (1.4) 0.1 1.6 0.0 0.5 18.2 (0.7) (1.9) 1.6 (2.1) (0.6) 12.9 1.3 (1.1) 6.8 1.1 1.6

BSABS 2006-HE3 6.3 (0.9) 2.0 1.8 0.9 0.0 11.2 (6.9) (3.2) 0.0 (1.9) (1.1) 7.4 (0.2) (15.8) 2.6 (2.0) (0.7)

CARR 2006-NC1 4.3 0.4 0.6 1.1 (0.4) (0.0) 24.8 3.1 6.3 2.9 1.5 (2.0) 21.0 1.7 3.7 5.0 0.9 0.9

CWL 2006-8 3.5 (1.1) (0.6) 0.9 (1.7) (0.5) 15.0 5.6 9.7 4.2 0.5 1.5 9.9 0.9 3.3 2.7 0.7 (0.2)

FFML 2006-FF4 2.8 (0.9) (0.3) 1.5 0.8 0.6 11.6 5.6 6.9 0.7 (1.8) 0.3 11.4 4.9 (6.4) 4.5 1.9 0.9

GSAMP 2006-HE3 3.9 (1.0) 0.3 1.4 0.2 1.0 3.6 (1.1) 1.3 2.4 (1.1) 0.4 12.3 3.2 (1.9) 4.0 (0.5) (0.8)

HEAT 2006-4 3.4 (1.2) (0.9) 2.0 0.1 0.7 11.4 2.7 (4.6) 1.3 (0.4) (1.0) 22.2 (2.3) 2.7 3.8 0.8 (0.3)

JPMAC 2006-FRE1 3.7 (0.7) 0.3 1.4 (1.6) 0.3 9.1 0.6 (0.4) 0.5 0.1 (0.2) 30.8 23.7 28.6 5.4 2.1 3.0

LBMLT 2006-1 5.2 1.1 0.8 2.8 0.8 0.9 11.5 0.5 2.2 1.7 1.1 0.4 16.2 6.5 8.3 4.4 1.7 2.0

MABS 2006-NC1 2.7 (0.7) (0.9) 0.5 (0.5) 0.1 12.8 2.8 3.5 2.7 1.1 0.5 10.2 5.5 (7.5) 2.9 (3.4) (3.9)

MLMI 2006-HE1 4.2 0.3 0.3 0.9 (1.1) (1.6) 11.3 4.9 7.4 7.0 (1.6) 6.3 3.6 3.6 (36.9) 5.7 3.9 3.2

MSAC 2006-HE2 5.5 0.2 1.2 1.0 (0.0) (0.3) 13.3 2.0 1.1 1.1 (0.2) 0.4 14.7 (1.1) (3.0) 5.9 2.6 1.4

MSAC 2006-WMC2 3.7 (0.6) (0.3) 1.9 (0.5) (0.9) 10.5 (0.6) (1.5) 1.6 0.3 (0.1) 16.0 5.0 4.2 3.6 1.5 1.0

RASC 2006-KS3 4.1 0.2 (0.0) 1.8 0.9 0.5 9.5 (10.2) (7.5) 4.6 1.4 2.3 14.8 4.7 (16.9) 7.4 1.8 0.3

RAMP 2006-NC2 3.5 (1.5) 1.2 2.2 1.5 2.2 20.5 (1.3) 9.8 0.4 0.1 (2.1) 2.3 (9.9) (36.2) 6.1 0.1 (0.7)

SABR 2006-OP1 4.3 1.0 0.6 0.7 (0.1) (0.8) 14.7 2.0 2.6 4.1 1.9 (1.0) 16.8 (1.8) 4.1 5.6 1.4 0.5

SAIL 2006-4 4.4 (0.3) 0.5 1.6 (0.1) (1.0) 8.8 (4.5) (3.9) 2.6 1.0 0.9 14.8 (3.8) 4.7 4.4 1.2 (0.6)

SASC 2006-WF2 4.1 (0.7) 0.5 1.2 (0.3) (0.8) 10.3 (8.2) 0.4 1.8 (1.3) (0.8) 15.2 6.0 (0.5) 7.8 3.2 1.4

SVHE 2006-OPT5 5.4 0.1 1.1 1.8 (0.0) 1.0 16.9 3.4 4.6 3.0 1.8 0.7 14.7 4.0 7.1 4.5 (0.7) (0.7)

REO to Liq RollsDeal

Cure RateAlways Cur to Dq rollsCurrent to Dq rolls 60+ to Fcl RollsIndex

Fcl to REO rolls

ABX 06-1

ABX 06-2

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September remittance – Roll rates (bp) continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABFC 2006-OPT2 5.0 (0.3) 1.3 4.7 1.8 2.9 9.4 (0.1) 3.1 0.8 (0.8) (0.7) 15.7 12.4 12.0 5.0 (1.0) 0.2

ACE 2006-NC3 3.0 (0.2) (0.7) 1.5 0.8 (0.7) 13.1 2.7 7.8 3.9 2.5 1.0 8.9 2.2 7.3 2.4 1.0 (0.1)

BSABS 2006-HE10 3.5 (1.3) (0.4) 1.6 0.6 0.0 9.5 (7.5) 1.1 0.4 (0.0) 0.3 12.8 (2.6) 5.0 2.1 1.1 0.3

CARR 2006-NC4 5.0 (0.1) (0.1) 1.3 (0.4) 0.2 22.1 (0.3) 1.2 3.0 0.2 (1.3) 15.1 (0.2) (6.7) 4.4 0.8 0.3

CBASS 2006-CB6 4.4 0.8 (0.6) 0.8 (1.2) (2.3) 1.7 (0.1) (0.9) 1.5 (1.8) 1.5 23.3 (6.4) 13.6 5.0 1.1 1.0

CMLTI 2006-WFH3 5.0 0.2 2.1 1.1 0.2 (0.1) 12.7 (0.3) (1.8) 2.8 (0.0) (3.1) 14.9 5.1 (1.5) 6.1 0.3 0.7

CWL 2006-18 3.7 (0.2) 0.6 1.1 (1.3) (0.6) 17.3 7.4 13.9 4.2 1.3 2.0 3.8 (10.3) (9.6) 2.2 0.2 (0.2)

FFML 2006-FF13 4.0 (0.4) 0.1 2.1 0.9 0.7 12.3 3.8 4.1 2.7 0.3 0.6 23.0 12.5 9.5 5.2 1.9 2.1

FHLT 2006-3 4.7 0.3 2.6 0.2 (0.9) (0.5) 14.1 5.3 1.3 1.6 0.4 0.1 14.6 0.8 6.4 2.1 (0.3) (2.1)

GSAMP 2006-HE5 4.7 1.1 0.9 1.2 0.2 0.4 4.5 1.5 (0.5) 0.7 (2.3) (0.5) 6.5 (1.2) (10.1) 3.0 (1.1) (2.4)

HEAT 2006-7 3.5 (0.6) (2.4) 1.0 (1.3) (1.8) 17.3 6.3 5.7 4.0 1.0 1.5 28.3 0.4 5.0 4.7 0.9 (0.4)

JPMAC 2006-CH2 4.0 0.1 0.7 1.8 0.2 0.4 11.1 2.7 (4.6) 0.4 (0.1) (0.3) 10.6 3.6 0.5 5.3 1.6 2.6

LBMLT 2006-6 4.2 (1.7) 0.3 2.2 (0.3) (0.8) 9.9 (1.9) (0.7) 0.4 (1.2) (0.4) 15.7 (1.4) 6.1 5.9 3.5 1.8

MABS 2006-NC3 5.7 1.3 2.1 2.6 0.4 0.8 12.0 8.8 1.5 3.0 (1.3) (3.1) 12.9 (4.1) 7.2 5.9 (3.6) (2.2)

MLMI 2006-HE5 4.5 0.2 1.7 3.2 1.2 1.9 9.7 4.0 4.8 2.6 0.5 0.9 8.7 0.7 3.1 2.7 0.3 (1.0)

MSAC 2006-HE6 4.8 1.2 0.0 1.5 (0.9) 1.1 15.9 3.6 10.4 2.9 0.2 1.6 7.3 (2.3) (5.7) 1.8 (0.2) (0.4)

RASC 2006-KS9 3.7 (1.0) (0.4) 0.9 (1.1) (0.5) 18.1 (0.7) 1.9 2.7 0.3 0.4 22.0 3.2 8.0 6.0 0.4 0.6

SA BR 2006-HE2 4.3 (1.6) (0.8) 2.5 (1.6) (1.3) 11.5 5.4 4.5 1.8 0.1 0.9 16.3 6.1 9.2 8.1 0.2 1.8

SASC 2006-BC4 3.6 (0.7) (0.1) 2.1 0.6 0.7 6.2 (3.1) (3.6) 2.1 (1.4) (1.1) 12.9 (0.1) (0.5) 3.5 0.5 (0.6)

SVHE 2006-EQ1 4.2 (0.0) 0.0 2.2 (0.4) 1.5 12.9 4.7 1.6 3.6 0.9 2.0 17.3 4.2 7.4 7.4 1.7 (0.1)

ACE 2007-HE4 5.3 (1.2) 0.2 1.5 (3.8) 0.3 12.5 3.2 (3.0) 3.5 (0.5) (3.5) 13.1 (1.7) 7.2 2.0 (0.1) 1.2

BSABS 2007-HE3 5.1 (0.3) 2.4 1.8 (1.0) 0.2 11.6 (2.4) 0.7 0.4 0.1 0.2 13.6 5.5 1.6 2.3 (0.8) (0.3)

CMLTI 2007-AMC2 5.4 0.6 1.0 1.5 0.3 (0.2) 18.2 7.1 7.1 3.3 0.1 (0.1) 12.8 (0.9) (2.5) 6.0 1.8 1.6

CWL 2007-1 4.0 (0.3) 0.3 2.7 0.4 1.4 13.7 2.8 9.3 4.1 1.8 1.6 9.8 3.2 (2.0) 2.5 0.6 0.2

FFML 2007-FF1 3.2 (0.4) (0.4) 1.5 (0.4) (0.4) 8.6 4.8 2.8 1.8 0.7 0.5 11.9 2.6 5.1 4.2 0.7 0.7

GSAMP 2007-NC1 4.3 0.5 0.7 2.9 1.7 1.4 2.1 (0.2) 0.2 1.2 (1.3) (0.0) 6.2 (0.3) (6.1) 4.2 1.5 0.4

HEAT 2007-2 3.9 0.3 (0.0) 1.6 (0.0) (0.3) 15.3 5.3 5.0 3.9 1.9 (1.7) 28.6 12.2 9.1 4.6 (0.0) (0.3)

HASC 2007-NC1 4.7 (0.7) 2.0 2.2 0.8 1.6 8.1 3.0 0.0 2.3 (0.1) (0.7) 15.3 (1.9) 9.8 2.8 (0.5) (1.2)

JPMAC 2007-CH3 3.8 (0.4) (0.0) 1.1 (0.2) (0.3) 13.8 1.5 (1.1) 0.3 (0.3) (0.2) 11.6 2.7 (1.2) 3.7 (0.0) 0.1

FFMER 2007-2 4.4 (0.3) 1.5 2.8 1.1 0.9 11.3 5.0 7.1 2.2 0.1 1.7 14.0 1.8 3.0 3.8 0.4 0.4

MLMI 2007-MLN1 3.5 (0.0) 1.1 2.9 1.0 1.6 11.6 5.1 8.5 1.7 1.1 1.0 9.8 (13.7) 0.6 2.7 1.5 (0.6)

MSAC 2007-NC3 5.6 2.3 (0.2) 2.1 1.3 0.5 13.2 4.7 (2.7) 3.0 (0.1) 0.9 13.6 6.6 4.4 7.2 0.7 1.9

NHELI 2007-2 4.6 (0.7) 0.0 2.2 (0.5) 1.0 21.8 11.1 11.9 2.8 (2.0) (2.8) 12.1 1.5 (0.3) 6.9 (0.0) 0.4

NHEL 2007-2 5.1 0.7 (0.3) 3.1 2.4 2.0 16.1 3.9 1.5 2.6 (0.5) 0.9 11.4 (0.4) 1.5 7.9 2.0 2.7

OOMLT 2007-5 4.9 (0.5) 1.0 1.3 0.3 (0.3) 12.6 (3.7) (5.5) 1.4 (1.0) (1.3) 16.8 (6.1) 0.4 4.8 0.1 (0.6)

RASC 2007-KS2 4.5 0.1 0.5 1.9 0.6 (0.1) 8.2 (8.6) (8.9) 1.6 (0.6) 0.1 21.4 (3.2) 2.1 7.7 1.6 2.3

SABR 2007-BR4 4.9 0.8 0.4 2.7 1.2 0.2 9.0 (2.3) 6.3 2.9 (2.7) (1.9) 8.6 1.5 (0.1) 7.6 (0.1) (0.5)

SASC 2007-BC1 3.4 (1.2) (1.1) 0.8 (1.8) 0.1 6.5 (1.6) (4.7) 1.0 0.0 (1.5) 25.8 8.2 13.9 5.6 1.4 1.0

SVHE 2007-OPT1 5.3 (0.1) (0.4) 1.6 (0.1) (0.8) 16.6 (1.0) 0.8 1.5 0.5 (0.9) 16.6 4.3 6.7 6.5 1.0 (0.0)

WMHE 2007-HE2 4.0 (0.5) (0.0) 1.6 (0.4) (0.8) 8.0 (2.9) (3.9) 0.8 (0.2) (0.7) 14.3 3.4 (2.7) 5.2 0.5 2.3

60+ to Fcl RollsDeal

REO to Liq Rolls Cure RateCurrent to Dq rolls Always Cur to Dq rolls Fcl to REO rolls

ABX 07-1

ABX 07-2

Index

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September remittance – Roll rates (bp) continued...

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CMLTI 2005-11 0.0 (0.6) (1.0) 0.0 (0.6) (1.1) 7.7 (16.2) (7.9) 9.9 3.4 9.9 17.5 17.5 (1.4) 2.0 (0.8) 2.0

GSR 2005-AR3 0.4 (0.2) (0.9) 0.4 0.1 (0.5) 3.5 0.1 3.5 7.0 7.0 4.3 0.0 (34.0) 0.0 0.0 (2.2) 0.0

GSR 2005-AR4 1.5 (0.3) 1.1 1.2 0.0 0.8 24.4 18.4 3.7 6.0 6.0 6.0 0.0 (13.8) (13.0) 0.0 0.0 0.0

GSR 2005-AR7 0.8 0.4 0.6 0.7 0.7 0.4 36.6 20.6 31.4 0.0 (25.2) 0.0 38.6 38.6 38.6 4.3 4.3 4.3

GSR 2006-AR1 0.1 (1.7) (0.7) 0.0 (1.2) (0.5) 20.1 4.1 1.1 0.0 (3.9) (1.0) 10.9 (19.5) (3.7) 3.6 3.1 (0.4)

GSR 2006-AR2 0.6 (0.3) (0.3) 0.7 (0.1) 0.4 0.0 (9.8) 0.0 0.0 0.0 0.0 0.0 (100.0) 0.0 4.5 (0.3) (0.1)

JPMMT 2005-A3 0.0 (0.4) 0.0 0.0 (0.4) 0.0 0.0 (38.6) 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

JPMMT 2005-A4 0.0 (0.5) 0.0 0.0 0.0 0.0 0.0 (12.3) (23.2) 30.3 30.3 9.6 0.0 0.0 0.0 7.1 0.4 (1.7)

JPMMT 2005-A5 1.1 0.9 1.1 1.1 1.1 1.1 0.0 0.0 (20.5) 0.0 0.0 0.0 0.0 0.0 (100.0) 0.0 0.0 0.0

JPMMT 2005-A7 0.5 (0.3) (0.8) 0.3 (0.6) (0.8) 11.6 (3.3) (5.7) 0.0 0.0 (3.1) 49.1 49.1 49.1 1.6 1.6 (2.1)

JPMMT 2006-A4 0.7 0.2 0.2 0.4 0.2 (0.1) 16.7 13.3 (9.7) 0.0 0.0 0.0 0.0 0.0 0.0 6.2 6.2 0.7

MLMI 2005-A2 0.6 0.0 (0.2) 0.3 (0.1) (0.0) 14.9 9.2 (3.2) 0.0 (5.0) (2.4) 10.4 (7.5) (7.1) 1.9 (1.6) 0.0

MLMI 2005-A9 0.0 (0.9) (1.0) 0.0 (0.3) (0.6) 14.4 (1.1) (10.7) 4.3 0.2 (0.6) 0.0 (25.2) 0.0 1.5 (6.8) 1.5

WAMU 2005-AR10 0.8 (0.5) (0.1) 0.6 (0.3) 0.2 15.3 1.5 13.2 0.0 (3.4) (5.7) 0.0 0.0 (36.2) 3.5 (0.6) 1.6

WAMU 2005-AR14 1.6 0.8 0.6 0.4 (0.1) (0.5) 8.0 (6.0) (10.3) 2.4 0.1 1.8 9.8 9.8 9.8 5.3 1.0 2.5

WAMU 2005-AR7 0.5 (0.4) 0.1 0.6 (0.4) 0.1 4.3 (10.8) (2.3) 0.0 (1.5) 0.0 0.0 0.0 (30.0) 3.0 (0.5) (0.4)

WFMBS 2006-AR2 0.6 (0.1) (0.2) 0.4 (0.0) (0.2) 8.2 (1.5) (16.6) 2.8 (2.1) (4.7) 21.6 (6.8) 1.0 2.4 0.8 (0.6)

WFMBS 2006-AR4 0.9 (0.6) 0.0 0.1 (0.7) (0.7) 20.9 16.3 4.5 0.0 (9.4) (4.2) 10.2 (6.4) (8.6) 7.1 7.1 6.1

WFMBS 2006-AR6 1.2 1.0 0.1 0.8 0.5 0.1 26.7 0.8 13.4 11.5 11.5 7.2 0.0 (59.6) 0.0 0.0 (7.9) (4.0)

WFMBS 2006-AR8 0.5 (0.2) (0.1) 0.4 0.3 (0.1) 9.5 (10.8) (16.4) 1.8 (0.4) (4.5) 27.2 0.8 7.1 0.0 (1.0) (3.8)

CMLTI 2007-AR4 1.4 1.0 1.3 1.3 1.1 1.3 31.1 16.0 23.4 2.7 (5.5) 0.8 0.0 (26.3) (26.1) 2.1 1.0 (0.9)

CWHL 2007-HY1 2.0 2.0 1.5 1.0 1.0 0.4 8.1 6.7 8.1 0.0 (7.2) (3.4) 32.5 32.5 32.5 1.9 (2.5) 0.8

FHASI 2006-AR4 0.9 (0.4) 0.9 0.9 (0.4) 0.9 8.0 8.0 (20.9) 0.0 0.0 0.0 0.0 0.0 (64.1) 6.3 6.3 6.3

FHASI 2007-AR1 0.8 (0.2) 0.8 0.9 (0.2) 0.9 0.0 (16.0) (21.7) 6.4 6.4 6.4 0.0 0.0 (43.2) 2.2 0.1 (0.9)

FHASI 2007-AR2 3.9 2.4 3.9 4.1 3.1 4.1 31.5 31.5 (12.8) 0.0 0.0 (3.5) 0.0 0.0 (100.0) 2.0 2.0 2.0

FHASI 2007-AR3 0.5 (0.4) (0.4) 0.5 (0.5) 0.5 8.3 (11.9) (17.8) 0.0 0.0 (3.7) 0.0 0.0 (40.3) 0.0 0.0 (1.4)

JPMMT 2006-A7 0.3 (2.6) (1.8) 0.0 (1.9) (2.3) 6.3 (1.5) (7.2) 0.0 0.0 0.0 46.8 46.8 46.8 3.7 1.1 2.7

JPMMT 2007-A3 0.3 (0.9) (1.1) 0.0 (1.2) (1.5) 6.1 (3.4) (0.9) 2.1 (3.0) (1.3) 42.1 (1.2) 13.9 6.0 5.2 3.0

JPMMT 2007-A5 0.0 (0.6) (1.0) 0.0 0.0 (0.3) 12.9 (20.2) 0.7 0.0 0.0 (5.3) 0.0 (30.4) 0.0 1.6 (0.4) 1.6

JPMMT 2007-A6 0.5 (0.5) 0.1 0.6 0.6 0.1 0.0 (9.1) (4.6) 0.0 0.0 (4.3) 18.5 8.6 18.5 3.7 3.7 2.2

RFMSI 2006-SA2 0.9 0.2 (0.1) 0.4 0.4 (0.3) 17.4 5.3 5.9 3.0 (5.4) (1.3) 14.3 14.3 (4.1) 2.2 (4.1) (8.0)

RFMSI 2006-SA3 3.0 3.0 3.0 2.9 2.9 2.9 0.0 0.0 0.0 0.0 (11.2) 0.0 30.5 30.5 30.5 0.0 0.0 0.0

RFMSI 2007-SA2 0.6 (1.1) (0.5) 0.7 (1.3) (0.5) 0.0 (46.5) (33.9) 0.0 0.0 (2.5) 14.2 (41.2) (7.9) 5.0 5.0 3.2

RFMSI 2007-SA3 1.5 0.7 1.1 0.0 0.0 (0.5) 24.8 (0.9) (7.0) 0.0 (2.0) 0.0 0.0 0.0 0.0 2.2 (10.9) (6.8)

WFMBS 2006-AR12 1.8 (0.5) (0.5) 1.1 0.5 0.4 6.6 0.2 (13.3) 1.9 1.9 (2.5) 39.7 7.1 (7.7) 1.0 1.0 (0.4)

WFMBS 2006-AR13 1.1 (1.3) (2.0) 0.7 (1.2) (0.5) 8.8 (9.6) (7.1) 3.3 0.2 3.3 19.9 (2.9) 13.3 0.7 (1.0) (0.6)

WFMBS 2006-AR15 2.4 1.6 0.4 1.0 0.2 (0.5) 8.1 0.4 (8.7) 0.0 0.0 0.0 0.0 (39.3) (31.3) 0.0 (5.1) (4.6)

WFMBS 2006-AR17 3.0 (0.4) 2.7 1.4 0.0 1.4 29.0 (11.0) 23.7 3.0 (2.2) (3.9) 16.0 16.0 (38.2) 2.9 2.9 1.0

WFMBS 2006-AR18 1.8 1.2 1.8 0.9 0.5 0.9 29.3 16.5 (2.0) 0.0 (7.3) (5.1) 69.6 49.1 30.3 0.0 0.0 0.0

WFMBS 2006-AR19 0.9 0.2 0.1 1.0 0.3 0.2 55.8 7.7 40.6 4.5 (2.1) (1.4) 29.2 (12.7) 29.2 1.7 (0.1) 0.2

Cure Rate

PrimeX.ARM1

PrimeX.ARM2

Index DealCurrent to Dq rolls Always Cur to Dq rolls 60+ to Fcl Rolls REO to Liq RollsFcl to REO rolls

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September remittance – Roll rates (bp) continued...

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CHASE 2005-S2 0.3 0.0 0.1 0.3 0.0 0.1 19.6 10.1 19.6 0.0 0.0 0.0 0.0 0.0 0.0 7.5 6.0 2.3

CHASE 2005-S3 0.6 0.2 0.5 0.5 0.0 0.4 12.5 (0.7) 7.2 0.0 (0.6) 0.0 0.0 0.0 0.0 3.0 (1.1) (1.2)

CWHL 2005-21 0.5 (0.2) (0.5) 0.5 (0.1) (0.4) 12.1 7.0 11.1 3.4 (2.7) 0.8 0.0 (9.4) (7.8) 2.9 2.9 (0.3)

CWHL 2005-27 0.3 (0.4) (1.2) 0.3 0.3 (0.8) 15.5 15.5 12.4 12.7 12.7 12.7 79.5 79.5 79.5 3.7 0.4 1.1

GSR 2006-1F 0.4 (0.5) (0.6) 0.3 (0.4) (0.4) 1.6 (0.2) (5.4) 1.8 (3.0) (4.5) 8.7 0.6 (9.4) 2.9 1.0 (0.1)

GSR 2006-6F 0.8 (1.0) (0.3) 0.5 (0.5) (0.1) 2.1 0.3 (5.9) 4.7 4.7 4.7 0.0 0.0 0.0 1.5 (3.1) (1.0)

RFMSI 2005-S6 0.6 0.6 0.2 0.3 0.3 0.3 7.9 7.9 7.9 0.0 0.0 0.0 0.0 0.0 0.0 12.3 (2.5) 2.9

SASC 2005-17 1.1 0.7 0.7 0.8 0.4 0.4 12.8 (0.3) (11.7) 4.5 4.5 (3.0) 12.9 12.9 0.5 2.2 (2.3) (0.5)

WFMBS 2005-3 0.0 (0.6) 0.0 0.0 (0.6) 0.0 24.0 24.0 (33.6) 0.0 0.0 0.0 0.0 (100.0) 0.0 0.0 (2.8) (7.0)

WFMBS 2005-6 0.0 0.0 (0.4) 0.0 0.0 0.0 32.7 (17.0) (5.6) 9.1 9.1 9.1 100.0 100.0 100.0 0.0 0.0 (10.1)

WFMBS 2005-7 0.5 0.5 0.1 0.5 0.5 0.1 0.0 (22.9) (31.5) 0.0 0.0 0.0 0.0 0.0 0.0 0.0 (6.6) 0.0

WFMBS 2005-8 0.6 0.2 0.2 0.7 0.4 0.7 16.7 7.8 (32.0) 0.0 (2.4) 0.0 0.0 0.0 0.0 5.4 5.4 1.6

WFMBS 2005-9 0.5 0.2 0.1 0.3 0.0 0.1 0.0 0.0 (46.2) 0.0 (1.6) 0.0 65.3 65.3 33.1 0.0 (4.9) (7.2)

WFMBS 2005-11 0.3 (0.0) 0.3 0.0 0.0 0.0 15.2 (10.9) 15.2 0.0 0.0 (2.0) 0.0 (30.0) (46.5) 0.0 0.0 (5.1)

WFMBS 2005-12 0.4 0.1 (0.4) 0.3 0.1 (0.4) 29.6 (33.6) (15.2) 0.0 0.0 (4.7) 12.8 12.8 (55.0) 4.1 2.2 4.1

WFMBS 2005-14 0.5 0.5 (0.3) 0.2 0.2 (0.2) 0.0 (16.3) (5.8) 4.7 4.7 (13.2) 0.0 0.0 0.0 0.0 (2.0) (2.8)

WFMBS 2005-17 1.1 0.6 1.1 0.7 0.2 0.7 20.6 20.6 (1.0) 0.0 0.0 (6.5) 0.0 0.0 0.0 0.0 0.0 0.0

WFMBS 2005-18 0.1 (0.1) 0.1 0.2 0.2 0.2 12.2 2.3 (1.4) 0.0 0.0 (2.9) 0.0 0.0 (34.1) 0.0 0.0 0.0

WFMBS 2006-2 0.2 (0.5) (0.8) 0.0 0.0 (1.0) 0.0 (9.0) (33.1) 0.0 0.0 (15.5) 38.4 38.4 17.5 0.0 (5.0) (8.4)

WFMBS 2006-3 0.9 0.7 0.7 0.8 0.5 0.5 5.1 (0.5) (19.7) 0.0 (8.9) (8.5) 0.0 0.0 (39.2) 0.0 (1.9) (3.2)

CHASE 2006-S4 1.6 1.2 0.9 1.1 0.5 0.8 1.1 (7.6) (11.1) 0.0 0.0 0.0 0.0 0.0 0.0 4.7 (2.3) 2.0

GSR 2006-8F 1.8 0.8 0.5 0.6 (0.2) (0.0) 5.2 1.2 2.8 0.0 (3.1) 0.0 0.0 0.0 (7.7) 2.5 (2.1) (0.9)

GSR 2006-10F 0.4 (1.1) (1.1) 0.5 (0.9) (0.6) 5.9 5.9 3.0 3.5 3.5 3.5 0.0 0.0 0.0 5.3 (0.9) 0.9

JPMMT 2006-S4 1.2 0.4 (0.5) 0.7 (0.2) 0.4 7.9 1.7 (6.0) 1.3 1.3 1.3 27.6 19.1 23.6 3.6 (1.2) (2.2)

PRIME 2007-1 1.6 0.2 1.0 0.5 (0.6) 0.3 14.2 3.6 (4.3) 4.5 0.5 4.5 42.6 33.0 32.4 3.0 0.7 (0.7)

PRIME 2007-2 1.3 (0.5) 0.0 1.0 (0.5) 0.4 9.9 (3.0) (1.2) 3.9 0.2 1.1 48.8 48.8 48.8 4.3 1.8 0.5

RFMSI 2006-S6 1.5 (0.0) (0.8) 0.8 0.2 0.4 0.0 (47.0) (10.9) 2.8 (0.0) 1.7 14.2 14.2 14.2 7.7 3.3 7.7

RFMSI 2006-S8 0.8 (0.2) 0.5 0.3 (0.2) (0.1) 3.8 (8.7) (19.1) 15.8 15.8 15.8 0.0 0.0 0.0 5.9 5.9 (0.3)

RFMSI 2006-S9 0.3 (0.2) (0.7) 0.0 0.0 (0.9) 0.0 (15.0) (36.1) 0.0 0.0 (1.5) 15.5 15.5 15.5 5.9 (1.4) (2.7)

RFMSI 2006-S11 1.4 (0.0) 0.4 0.9 0.9 0.2 11.0 (15.8) (16.7) 6.5 6.5 6.5 21.7 (11.6) (1.1) 7.8 6.0 2.6

RFMSI 2007-S4 0.3 (0.3) (0.1) 0.4 0.2 0.1 21.6 9.3 (4.9) 0.0 0.0 0.0 16.9 16.9 16.9 9.1 0.9 4.4

RFMSI 2007-S5 2.1 0.9 0.6 1.6 0.8 0.6 8.0 (9.1) (5.4) 2.8 0.6 2.8 13.3 13.3 (2.9) 6.4 1.4 (1.4)

RFMSI 2007-S8 0.7 (1.6) (0.7) 0.0 (1.6) (1.1) 25.5 (2.4) 2.1 2.4 2.4 2.4 0.0 (100.0) 0.0 15.7 9.3 2.7

WFMBS 2006-14 1.3 0.6 0.4 0.5 (0.0) (0.1) 24.0 24.0 12.0 3.3 (3.2) 1.3 0.0 0.0 (66.8) 0.0 (3.4) (6.1)

WFMBS 2006-15 0.7 0.1 0.3 0.3 (0.2) 0.0 11.4 3.2 (21.4) 2.7 (0.9) 0.4 16.6 (16.7) 14.1 1.4 (3.2) (3.1)

WFMBS 2007-1 0.6 0.1 (0.2) 0.4 0.2 0.0 15.1 3.4 (5.4) 2.7 1.0 2.7 74.3 12.8 23.6 0.8 (0.4) (1.3)

WFMBS 2007-4 0.8 (0.1) 0.0 0.4 (0.4) (0.4) 4.4 (16.2) (25.1) 1.8 (0.5) (1.8) 6.1 (12.6) (16.0) 1.3 (2.8) (1.2)

WFMBS 2007-7 1.0 0.2 0.1 0.8 0.2 0.2 6.9 (16.7) (22.2) 2.7 0.5 (1.3) 18.8 (14.2) (3.5) 2.0 (1.1) (0.5)

WFMBS 2007-8 0.8 0.5 0.1 0.4 0.1 (0.2) 18.6 (1.2) (12.8) 3.9 0.2 (2.3) 0.0 (14.2) (22.5) 0.0 (2.8) (3.7)

WFMBS 2007-13 1.1 0.6 0.8 0.9 0.9 0.6 25.4 25.4 12.4 0.0 (3.7) (9.9) 0.0 (15.1) 0.0 5.2 (0.3) 1.9

PrimeX.FRM1

Fcl to REO rollsCurrent to Dq rolls Always Cur to Dq rolls

PrimeX.FRM2

60+ to Fcl RollsIndex Deal

REO to Liq Rolls Cure Rate

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26 October 2011 48

September remittance – Loan modification update

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mACE 2005-HE7 43.0 0.2 1.1 48.2 0.5 1.3 0.4 (0.5) (0.2) 0.6 (0.4) (0.3) 40 (5) (2) 10 10 10

AMSI 2005-R11 45.1 0.4 1.4 47.5 0.7 2.0 1.1 0.2 (0.4) 1.5 0.2 (0.2) 23 (26) (31) 0 (3) 0

ARSI 2005-W2 48.1 0.7 2.2 50.1 0.7 2.2 1.0 (0.2) (0.3) 1.4 0.1 (0.0) 34 (14) (14) 0 0 (3)

BSABS 2005-HE11 38.5 0.4 0.4 45.7 0.9 1.1 0.5 0.3 0.1 0.9 0.6 0.3 17 (36) 17 0 (13) (28)

CWL 2005-BC5 43.2 0.2 1.4 52.1 0.2 1.5 0.9 (0.2) 0.1 0.9 (0.4) 0.1 67 32 (9) 8 (10) 8

FFML 2005-FF12 44.1 0.2 1.3 48.7 0.3 1.4 0.4 (0.1) (0.1) 0.7 0.1 (0.0) 41 14 15 0 0 (21)

GSAMP 2005-HE4 49.1 1.0 2.4 54.2 1.0 2.5 1.8 1.2 0.7 2.0 1.2 0.8 42 1 (14) 0 (12) 0

HEAT 2005-8 55.2 0.3 2.0 61.8 0.3 1.6 0.4 (0.8) (0.5) 0.5 (0.7) (0.6) 62 (7) (22) 0 (7) 0

JPMAC 2005-OPT1 47.5 0.1 1.2 50.7 0.4 1.9 0.1 (0.6) (0.5) 0.5 (0.6) (0.1) 13 (43) (65) 0 0 0

LBMLT 2005-WL2 44.1 0.8 1.9 50.2 0.9 2.1 1.2 0.6 0.4 1.6 0.9 0.5 44 (4) 11 2 2 0

MABS 2005-NC2 71.3 0.9 2.2 73.8 0.6 1.4 0.8 0.6 0.3 1.0 0.6 0.5 32 17 2 0 0 0

MLMI 2005-AR1 33.5 0.4 1.7 36.1 0.3 1.7 0.7 (0.3) (0.3) 0.7 (0.3) (0.9) 33 7 (15) 0 0 0

MSAC 2005-HE5 51.8 0.8 1.7 56.6 0.8 1.7 0.8 (0.0) 0.3 0.9 (0.1) 0.3 64 49 (3) 0 (1) 0

NCHET 2005-4 66.0 0.7 1.5 69.9 0.5 1.4 1.9 0.5 0.7 1.9 0.4 0.6 43 (18) (1) 0 0 0

RAMP 2005-EFC4 41.5 0.3 0.9 53.0 0.2 0.4 0.6 0.2 (0.3) 0.7 (0.1) (0.3) 0 (20) (53) 0 0 0

RASC 2005-KS11 40.5 0.6 1.3 51.9 0.9 2.0 0.7 0.2 0.1 1.3 0.6 0.6 27 (11) (32) 0 (5) (3)

SA BR 2005-HE1 64.6 1.1 2.3 71.4 1.4 2.1 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

SAIL 2005-HE3 41.3 1.8 3.1 44.2 1.8 2.7 1.2 0.0 0.1 1.9 0.5 0.8 52 25 16 0 0 (5)

SASC 2005-WF4 27.7 0.6 1.3 37.5 0.4 1.1 0.4 (0.2) (0.3) 0.4 (0.4) (0.3) 47 (1) (30) 9 (2) 9

SVHE 2005-4 55.9 0.4 1.8 59.3 0.4 1.6 1.0 0.2 (0.6) 1.0 0.2 (0.7) 47 37 (0) 0 0 0

ACE 2006-NC1 42.7 0.7 1.8 46.8 0.7 2.0 0.4 0.0 (0.5) 0.5 0.2 (0.6) 65 (20) 35 0 0 0

ARSI 2006-W1 57.6 0.8 2.2 59.4 1.2 2.6 1.1 0.1 (0.0) 1.8 0.7 0.6 21 (31) (31) 3 (2) 3

BSABS 2006-HE3 51.0 0.3 0.5 56.6 0.3 0.7 0.3 (0.5) (0.1) 0.4 (0.7) 0.0 38 (14) 4 0 0 0

CARR 2006-NC1 65.4 0.7 3.0 68.6 0.6 2.9 0.5 (0.1) (0.3) 0.7 (0.3) (0.3) 76 8 2 0 0 0

CWL 2006-8 48.4 0.4 1.2 57.8 0.4 1.3 0.7 (0.3) (0.5) 0.8 (0.3) (0.5) 63 (2) 4 0 0 (7)

FFML 2006-FF4 41.4 0.3 1.6 45.7 0.3 1.5 1.2 0.7 0.3 1.4 0.8 0.5 70 22 11 0 0 0

GSAMP 2006-HE3 50.3 0.6 2.0 54.5 0.5 1.9 0.3 (0.5) (0.6) 0.6 (0.3) (0.6) 30 (38) (7) 2 (5) (5)

HEAT 2006-4 41.3 0.7 1.9 48.4 0.8 2.0 0.6 0.0 0.2 0.7 0.1 0.2 36 (7) (17) 12 (27) 12

JPMAC 2006-FRE1 46.5 0.7 1.6 52.0 0.8 1.8 1.4 0.5 1.0 1.9 0.9 1.4 10 1 (19) 0 0 0

LBMLT 2006-1 47.8 0.4 0.9 52.7 0.4 1.0 1.1 0.8 0.6 1.3 0.7 0.7 38 2 25 2 (6) (2)

MABS 2006-NC1 40.7 0.2 1.4 45.8 (0.1) 1.2 0.3 (0.4) (1.1) 0.3 (0.8) (1.3) 54 (3) (29) 46 46 46

MLMI 2006-HE1 43.0 1.2 2.7 43.9 1.5 2.9 1.7 1.2 0.5 2.2 1.6 0.8 56 (19) 3 7 7 3

MSAC 2006-HE2 54.4 0.6 1.7 57.6 0.7 1.7 1.1 0.5 0.5 1.2 0.4 0.5 49 7 (24) 6 6 2

MSAC 2006-WMC2 51.6 0.7 1.6 55.0 0.6 1.6 0.7 0.3 0.0 0.8 0.3 0.1 43 (2) (44) 0 0 0

RASC 2006-KS3 42.9 0.5 0.8 56.0 0.3 0.6 0.7 0.2 (0.5) 0.7 0.2 (0.5) 35 18 8 0 0 (1)

RAMP 2006-NC2 48.6 0.4 1.0 60.2 0.2 0.8 0.9 0.2 (0.1) 1.0 0.1 (0.2) 19 (8) (1) 0 0 (16)

SABR 2006-OP1 49.9 0.2 1.0 51.9 0.4 1.3 0.1 (0.3) (0.7) 0.5 (0.1) (0.4) 12 (49) (84) 0 0 0

SAIL 2006-4 50.1 0.7 2.3 54.3 0.6 2.1 1.0 0.4 (0.3) 1.1 0.5 (0.4) 46 14 1 1 (7) (9)

SASC 2006-WF2 41.5 0.5 1.2 48.9 0.4 0.7 0.4 0.2 (0.1) 0.5 0.2 (0.2) 43 (40) (14) 21 21 21

SVHE 2006-OPT5 66.0 0.5 1.6 67.8 0.6 1.6 1.0 (0.4) (0.1) 1.3 (0.3) 0.1 31 (32) (5) 0 0 (2)

Mod rate w PNI(%)Ever modified w PNI (%) Share of Debt Forg (%)Deal

Mod rate(%)Ever modified (%) Share of Rate Red (%)Index

ABX 06-1

ABX 06-2

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September remittance – Loan modification update continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mACE 2005-HE7 8 4 (11) 36 26 0 4.3 0.4 0.6 11 (3) (12) 12 4 3 21 2 (7)

AMSI 2005-R11 7 1 7 26 (5) 15 5.4 0.4 0.1 31 (9) 31 12 (1) (1) 39 6 11

ARSI 2005-W2 6 (14) (2) 30 21 21 4.3 0.1 0.1 31 (3) 8 10 (4) (5) 42 15 6

BSABS 2005-HE11 30 (5) (4) 43 43 3 1.8 0.1 (1.0) 42 1 23 16 (5) 13 25 9 0

CWL 2005-BC5 25 10 19 0 (14) 0 4.2 1.4 0.0 20 (8) (10) 19 7 10 22 5 (3)

FFML 2005-FF12 19 (41) 10 40 27 5 4.1 0.3 (0.2) 33 (1) 2 8 (0) 1 40 1 23

GSAMP 2005-HE4 33 25 2 8 (8) (2) 4.1 (0.4) (1.1) 17 (41) (25) 15 5 (5) 31 7 (7)

HEAT 2005-8 10 (14) 10 28 28 12 3.0 (0.2) 0.1 50 24 50 12 (5) 0 23 1 7

JPMAC 2005-OPT1 0 (7) (9) 87 51 74 7.6 3.7 2.1 0 (166) (115) 17 (9) 0 53 23 32

LBMLT 2005-WL2 26 (3) (5) 23 8 1 4.5 0.0 (0.1) 31 14 1 12 (0) 0 38 (1) (4)

MABS 2005-NC2 32 32 (38) 19 (37) 19 3.9 (0.4) (0.4) 52 52 21 5 3 5 47 16 7

MLMI 2005-AR1 13 (23) 6 0 (8) (39) 4.9 0.4 0.5 13 (10) (9) 9 (4) (1) 30 (0) 6

MSAC 2005-HE5 11 (54) (11) 7 (8) (3) 3.0 (1.9) (0.8) 10 (19) (1) 13 (1) (0) 22 (28) (4)

NCHET 2005-4 13 5 2 1 (7) (8) 4.1 (0.1) 0.3 26 4 (19) 12 2 3 41 (5) 4

RAMP 2005-EFC4 83 59 53 17 (39) 1 2.4 (0.6) (0.2) 15 0 4 18 3 0 21 (5) (11)

RASC 2005-KS11 31 1 1 42 16 37 2.9 0.7 (0.3) 27 18 7 16 2 1 27 7 (9)

SA BR 2005-HE1 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

SAIL 2005-HE3 8 (30) (36) 37 23 36 3.7 (0.5) (0.0) 22 (8) 4 17 7 1 39 2 6

SASC 2005-WF4 21 13 11 14 (11) 10 3.8 0.7 1.3 14 (4) (19) 12 (4) (3) 27 6 5

SVHE 2005-4 24 (21) (9) 0 0 (6) 4.3 1.1 0.9 10 (2) (14) 12 2 2 31 (0) (1)

ACE 2006-NC1 10 (5) 10 25 25 2 5.0 1.0 1.4 26 2 26 21 (1) 18 41 4 28

ARSI 2006-W1 2 (9) (12) 40 29 35 4.2 (1.2) (0.7) 27 5 4 21 5 9 34 (2) 8

BSABS 2006-HE3 33 10 33 29 5 17 2.0 (0.1) (1.1) 2 (34) 2 17 4 4 10 (9) (16)

CARR 2006-NC1 0 0 0 24 (8) 8 2.6 0.4 0.7 0 0 0 14 6 5 20 1 6

CWL 2006-8 23 9 (1) 14 0 7 4.3 0.1 0.3 35 11 6 9 (2) (6) 26 5 (2)

FFML 2006-FF4 16 (3) (14) 14 (2) 7 5.0 0.9 0.7 8 (7) (9) 8 6 (4) 37 12 (1)

GSAMP 2006-HE3 21 8 (3) 43 43 25 4.7 (0.9) (0.8) 58 31 36 19 6 4 41 11 8

HEAT 2006-4 29 14 10 18 18 (10) 4.5 1.1 0.7 45 3 25 14 (7) 2 36 11 7

JPMAC 2006-FRE1 63 (13) 31 27 12 5 5.1 0.2 (0.1) 25 (1) (23) 10 (3) 1 53 4 1

LBMLT 2006-1 46 24 (14) 10 (24) 7 5.0 0.7 (0.4) 23 (8) 5 14 (2) (3) 39 5 (0)

MABS 2006-NC1 0 0 0 0 (38) (13) 2.5 (1.8) (1.8) 13 13 13 18 8 3 14 (19) (19)

MLMI 2006-HE1 16 (4) (14) 21 16 10 3.0 (2.0) (1.3) 34 7 2 13 8 (2) 23 (7) (5)

MSAC 2006-HE2 19 3 19 15 (16) (6) 4.4 0.7 0.3 35 5 17 14 4 (1) 27 1 (3)

MSAC 2006-WMC2 34 29 34 17 (25) 14 4.8 (0.2) (0.0) 27 18 27 16 4 2 39 0 7

RASC 2006-KS3 59 (14) (10) 7 (5) 4 3.9 0.3 0.3 37 13 20 22 11 8 40 3 8

RAMP 2006-NC2 52 (11) 7 6 (4) (13) 3.5 1.0 (0.1) 38 32 16 35 25 9 28 (3) (5)

SABR 2006-OP1 0 0 0 77 47 73 6.4 2.2 1.3 0 0 0 13 1 5 47 30 27

SAIL 2006-4 39 (9) 11 11 (1) (0) 4.8 0.3 0.3 35 6 2 15 (2) 6 37 (1) (0)

SASC 2006-WF2 8 8 2 17 5 (7) 3.6 (0.0) (0.1) 47 47 36 8 (6) 0 26 (2) (11)

SVHE 2006-OPT5 3 (6) (32) 26 14 13 5.0 0.1 (0.4) 23 (21) (3) 13 (0) 5 33 6 (1)

Index DealPrincipal Recapped (%)Share of PNI (%)Share of Debt+Rate (%) Amount Forgiven (%)

ABX 06-1

ABX 06-2

Payment reduced (%)Rate Reduced

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26 October 2011 50

September remittance – Loan modification update continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABFC 2006-OPT2 57.6 0.4 1.2 59.3 0.5 1.5 0.6 (0.9) (0.5) 1.4 (0.5) 0.0 16 (43) (64) 0 0 0

ACE 2006-NC3 34.7 0.9 2.1 42.7 0.9 2.3 1.1 0.1 (0.1) 1.2 0.1 (0.1) 42 (2) (2) 3 2 (1)

BSABS 2006-HE10 51.1 0.3 1.1 53.8 0.2 1.0 0.6 0.4 (0.0) 0.7 0.4 (0.0) 39 (12) (21) 2 2 (6)

CARR 2006-NC4 83.6 0.2 1.1 84.8 0.2 1.1 0.5 (0.0) (0.3) 0.7 0.1 (0.2) 70 (20) (17) 0 0 0

CBASS 2006-CB6 39.0 0.6 1.5 43.3 0.8 2.1 0.7 (0.1) (0.0) 0.8 (0.1) (0.0) 52 13 48 0 0 0

CMLTI 2006-WFH3 40.7 0.7 1.6 48.6 0.6 1.4 0.8 0.2 0.1 0.9 0.2 0.0 24 (34) (53) 12 12 12

CWL 2006-18 48.7 0.6 1.1 58.2 0.5 1.1 0.8 0.1 (0.1) 1.0 0.3 (0.0) 61 2 2 0 0 (5)

FFML 2006-FF13 37.5 1.0 2.2 41.6 1.1 2.4 0.9 0.4 0.2 1.0 0.4 0.3 42 16 (32) 0 0 0

FHLT 2006-3 42.5 0.9 1.8 45.4 0.9 1.8 0.5 0.0 (0.7) 0.6 0.0 (0.7) 32 (14) (37) 6 6 5

GSAMP 2006-HE5 45.6 0.2 1.4 49.3 0.3 1.8 0.7 0.0 (0.3) 0.7 (0.2) (0.4) 30 16 (15) 0 0 (5)

HEAT 2006-7 36.0 0.8 2.3 44.0 0.9 2.6 0.9 0.7 (0.2) 0.9 0.6 (0.4) 33 10 33 41 15 (27)

JPMAC 2006-CH2 43.4 1.1 2.6 46.8 1.2 2.8 1.4 0.5 0.6 1.7 0.8 0.8 39 (16) 3 5 (8) 3

LBMLT 2006-6 46.9 1.0 2.4 51.7 0.7 2.1 2.1 1.2 0.8 2.2 1.3 0.8 41 (0) 8 2 (8) (13)

MABS 2006-NC3 56.0 1.0 2.4 57.6 0.9 2.2 1.6 (0.0) (0.6) 1.7 0.1 (0.5) 36 3 (10) 0 (1) (10)

MLMI 2006-HE5 31.4 0.4 2.5 33.5 0.6 2.7 0.6 (0.2) (0.6) 0.9 (0.0) (0.4) 40 (21) (16) 2 (2) (2)

MSAC 2006-HE6 43.0 0.7 1.5 49.6 0.4 1.3 1.2 0.4 0.2 1.2 0.5 0.1 70 10 27 0 0 0

RASC 2006-KS9 45.4 0.5 1.6 60.1 1.0 2.0 0.5 (0.1) (0.2) 0.9 0.2 0.1 16 (42) (18) 0 0 (6)

SA BR 2006-HE2 54.6 0.8 2.4 56.1 0.8 2.2 1.8 (0.0) 0.5 1.8 (0.0) 0.5 48 30 2 3 (7) (0)

SASC 2006-BC4 41.1 0.8 2.1 47.3 0.9 2.5 0.8 0.0 (0.4) 0.9 0.0 (0.5) 59 4 (23) 3 3 (0)

SVHE 2006-EQ1 47.9 0.6 2.9 50.5 1.1 3.4 0.9 (0.4) (0.6) 2.0 0.6 0.3 25 (53) (51) 1 (1) (1)

ACE 2007-HE4 38.3 0.1 1.2 40.6 0.2 1.2 0.0 (0.4) (0.0) 0.0 (0.4) (0.0) 0 (9) 0 0 0 0

BSABS 2007-HE3 45.7 0.6 1.3 48.7 0.7 1.5 0.4 (0.2) (0.2) 0.5 (0.3) (0.1) 9 (1) (36) 23 19 12

CMLTI 2007-AMC2 66.4 0.4 1.5 68.8 0.4 1.5 1.2 0.3 (1.9) 1.3 0.2 (2.0) 41 9 (17) 7 3 3

CWL 2007-1 38.6 0.6 1.7 48.2 0.6 1.6 0.7 (0.0) (0.2) 0.9 0.0 (0.2) 38 (12) (22) 5 5 5

FFML 2007-FF1 35.3 0.8 2.8 39.1 0.8 2.6 1.1 0.4 0.1 1.1 0.5 0.1 37 (9) 5 7 (4) 2

GSAMP 2007-NC1 45.2 0.6 2.2 48.0 0.7 2.4 0.7 (0.0) (0.1) 0.9 0.2 0.1 26 (27) (12) 8 1 2

HEAT 2007-2 39.5 0.7 2.5 43.5 0.8 2.8 0.7 (0.0) (0.4) 1.0 0.1 (0.3) 6 6 6 65 (6) (17)

HASC 2007-NC1 45.4 0.8 4.4 49.6 0.9 4.4 0.9 (1.1) (0.3) 1.0 (1.0) (0.2) 51 (17) (23) 0 0 (9)

JPMAC 2007-CH3 38.2 0.8 2.4 42.0 0.8 2.6 1.0 0.3 0.4 1.1 0.4 0.4 49 3 5 0 (7) (1)

FFMER 2007-2 33.2 0.7 2.7 37.2 0.8 2.8 0.9 (0.0) (0.1) 1.1 0.0 (0.0) 26 (19) (24) 0 0 0

MLMI 2007-MLN1 28.4 0.8 2.4 30.7 0.9 2.4 1.0 0.3 (0.5) 1.1 0.4 (0.6) 32 28 (28) 0 0 0

MSAC 2007-NC3 53.9 1.0 3.3 57.5 1.3 3.3 1.4 (0.1) 0.4 2.2 0.6 0.9 36 (25) (19) 1 (5) (5)

NHELI 2007-2 68.9 0.6 2.2 71.1 0.7 2.1 0.9 (0.4) (0.7) 1.2 (0.1) (0.5) 68 (23) (9) 0 0 (1)

NHEL 2007-2 51.3 0.9 2.9 53.5 1.1 3.1 1.2 (0.2) (0.2) 1.8 0.3 0.3 52 (21) (25) 1 (1) 1

OOMLT 2007-5 63.0 0.3 0.8 64.9 0.3 0.9 0.5 (0.3) (0.5) 1.0 0.0 (0.3) 49 (30) (32) 0 0 0

RASC 2007-KS2 49.0 0.3 1.3 60.2 0.3 1.3 0.5 (0.1) (0.1) 0.7 (0.1) (0.1) 16 (14) (5) 0 0 (20)

SABR 2007-BR4 54.5 0.8 2.4 58.6 0.7 2.1 2.2 (0.6) (0.5) 2.5 (0.5) (0.4) 20 (20) (10) 3 1 2

SASC 2007-BC1 51.2 0.7 2.2 54.5 0.8 2.3 1.4 0.3 0.0 1.5 0.4 0.1 42 (7) (19) 2 (2) (3)

SVHE 2007-OPT1 65.6 0.3 1.1 67.6 0.4 1.3 0.5 (0.3) (0.6) 1.2 0.3 (0.2) 35 (45) (41) 0 0 0

WMHE 2007-HE2 45.3 1.0 2.4 47.9 1.0 2.4 1.3 0.1 0.6 1.5 0.2 0.7 74 (10) (10) 0 0 0

Mod rate w PNI(%)Ever modified w PNI (%) Share of Debt Forg (%)

ABX 07-2

IndexMod rate(%)

DealEver modified (%) Share of Rate Red (%)

ABX 07-1

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September remittance – Loan modification update continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 mABFC 2006-OPT2 13 (6) 13 55 36 40 6.5 0.2 1.3 89 59 89 12 1 3 45 11 13

ACE 2006-NC3 36 4 11 14 5 0 4.8 0.9 (0.3) 32 (4) (1) 19 2 3 34 7 (2)

BSABS 2006-HE10 50 25 33 10 (14) 4 3.0 0.4 0.4 26 6 (9) 11 (3) 1 21 12 5

CARR 2006-NC4 0 0 0 26 16 13 3.7 0.1 0.1 0 0 0 6 (5) (5) 16 4 (4)

CBASS 2006-CB6 31 (4) (33) 17 0 2 4.4 (1.1) (1.4) 25 (7) (6) 6 (10) (4) 48 6 (1)

CMLTI 2006-WFH3 53 25 46 12 5 (4) 3.9 0.4 0.3 30 0 25 16 1 1 40 6 10

CWL 2006-18 19 (1) (5) 20 14 12 4.5 (0.0) (0.3) 36 9 7 11 6 (1) 32 6 8

FFML 2006-FF13 41 8 33 16 (19) 1 4.5 (0.6) (0.0) 17 (12) (8) 13 4 6 30 (7) 3

FHLT 2006-3 38 (4) 13 11 0 8 5.0 (0.2) (0.4) 37 (0) 13 22 9 6 26 (14) (11)

GSAMP 2006-HE5 36 19 (3) 7 (25) (5) 4.4 1.4 (1.2) 26 (4) (9) 7 (4) (14) 33 18 (7)

HEAT 2006-7 0 0 0 0 (34) (13) 2.7 0.6 2.7 44 24 8 12 (1) 5 19 17 (15)

JPMAC 2006-CH2 35 10 (12) 19 14 12 4.5 0.1 (0.4) 20 (10) (12) 13 2 (0) 35 2 (5)

LBMLT 2006-6 51 22 15 6 (4) (0) 5.1 0.4 (0.1) 28 (2) 5 15 2 (3) 39 7 (3)

MABS 2006-NC3 52 (3) 27 6 6 6 4.8 (0.2) 0.8 54 8 27 8 (0) (2) 46 7 25

MLMI 2006-HE5 17 (4) (12) 33 25 26 4.1 (0.2) (0.4) 49 9 14 12 (0) (1) 36 7 2

MSAC 2006-HE6 17 (16) (11) 7 2 (8) 4.3 (0.5) (0.9) 20 5 1 12 (1) (5) 36 1 (2)

RASC 2006-KS9 14 4 (25) 46 27 30 3.7 0.4 (0.7) 23 (19) 11 20 8 10 33 16 24

SA BR 2006-HE2 49 (22) 8 0 0 (6) 4.2 (0.5) (0.6) 49 20 (2) 7 (3) (14) 46 13 5

SASC 2006-BC4 12 (22) 10 16 4 4 4.2 (0.1) (0.1) 56 24 36 9 (4) (5) 29 (3) (0)

SVHE 2006-EQ1 0 (5) 0 54 51 49 5.6 (0.0) (0.1) 4 (36) (6) 15 (1) 6 35 10 12

ACE 2007-HE4 0 0 (100) 0 (8) 0 0.0 (2.6) (2.8) 0 0 (3) 0 (16) (21) 1 (8) (22)

BSABS 2007-HE3 50 (20) 6 17 2 17 3.1 (0.0) (0.9) 46 1 13 15 2 (0) 33 (5) 5

CMLTI 2007-AMC2 41 17 28 6 (9) 2 5.0 0.4 1.6 39 (0) (3) 9 2 1 35 10 21

CWL 2007-1 35 10 6 16 4 10 5.1 0.8 0.4 28 1 (4) 10 (2) (3) 34 5 9

FFML 2007-FF1 51 8 (8) 5 5 1 5.1 0.2 0.3 30 3 (5) 7 (1) (4) 40 8 (1)

GSAMP 2007-NC1 40 8 (10) 25 18 20 4.5 (0.5) (0.8) 35 10 9 10 (3) (6) 38 2 2

HEAT 2007-2 0 0 0 26 13 15 2.0 2.0 2.0 31 (3) (3) 9 (2) (3) 25 2 (5)

HASC 2007-NC1 10 (9) (3) 18 13 14 2.8 0.1 (1.3) 32 3 7 25 12 11 17 (3) (9)

JPMAC 2007-CH3 29 2 0 12 8 (3) 4.6 (1.1) (0.2) 23 (1) (4) 12 (1) 3 35 0 (2)

FFMER 2007-2 55 17 20 18 2 12 4.6 (0.6) (0.5) 22 4 (2) 10 0 4 38 1 2

MLMI 2007-MLN1 38 22 22 10 (2) (3) 5.7 1.0 0.4 16 4 (5) 14 7 5 44 (4) 16

MSAC 2007-NC3 14 (15) 4 34 34 10 4.8 (0.6) (0.2) 53 20 21 11 (7) 0 32 (3) 7

NHELI 2007-2 2 2 (9) 26 23 16 5.7 0.5 0.7 38 38 34 6 (3) (1) 41 18 16

NHEL 2007-2 3 (4) (8) 34 30 30 6.9 0.0 0.4 34 17 6 17 (1) 4 49 3 16

OOMLT 2007-5 0 0 0 49 36 32 4.8 (0.3) (0.1) 0 0 0 11 (0) (2) 34 (13) 1

RASC 2007-KS2 58 39 14 26 3 10 3.6 (0.5) (0.0) 32 8 13 14 1 6 42 25 13

SABR 2007-BR4 23 (5) (20) 12 6 6 4.6 (0.2) (0.0) 45 (3) 17 8 1 (1) 35 5 8

SASC 2007-BC1 45 1 19 10 9 3 4.3 (0.7) (0.9) 26 (4) (5) 12 2 3 34 (7) 1

SVHE 2007-OPT1 0 0 0 56 40 38 4.6 0.0 0.2 0 0 0 10 (3) 0 33 4 (1)

WMHE 2007-HE2 4 4 4 18 6 1 5.4 0.6 0.8 35 35 35 14 (1) 3 44 3 9

Principal Recapped (%)Share of PNI (%)Share of Debt+Rate (%) Amount Forgiven (%)Index Deal

Payment reduced (%)

ABX 07-1

ABX 07-2

Rate Reduced

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26 October 2011 52

September remittance – Loan modification update continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CMLTI 2005-11 1.3 (0.3) (0.3) 2.4 (0.3) 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

GSR 2005-AR3 3.1 0.0 0.1 4.8 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

GSR 2005-AR4 1.9 0.0 0.0 4.9 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

GSR 2005-AR7 2.7 0.4 0.4 4.6 0.4 0.0 0.3 0.3 0.3 0.3 0.3 0.3 100 100 100 0 0 0

GSR 2006-AR1 10.7 0.3 0.5 13.0 0.3 0.6 0.2 0.1 (0.1) 0.2 0.1 (0.4) 48 (52) 33 0 0 0

GSR 2006-AR2 8.5 0.1 0.5 10.0 0.5 0.6 0.0 0.0 0.0 0.3 0.3 0.3 0 0 0 0 0 0

JPMMT 2005-A3 0.4 0.0 0.4 0.4 0.0 0.0 0.0 (0.3) 0.0 0.0 (0.3) 0.0 0 (100) 0 0 0 0

JPMMT 2005-A4 2.1 (0.0) 1.0 2.2 (0.0) 1.0 0.0 (0.9) 0.0 0.0 (0.9) (0.1) 0 (100) 0 0 0 0

JPMMT 2005-A5 1.1 0.1 0.1 1.1 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

JPMMT 2005-A7 2.3 0.2 0.2 4.0 (0.3) 0.1 0.2 0.2 0.1 0.2 0.2 (0.4) 100 100 100 0 0 0

JPMMT 2006-A4 7.2 0.9 1.6 8.0 0.9 1.7 0.8 0.8 0.2 0.8 0.8 0.2 37 37 (63) 0 0 0

MLMI 2005-A2 1.0 0.1 0.1 2.0 0.1 0.2 0.1 0.1 (0.1) 0.1 0.1 (0.1) 0 0 0 0 0 (100)

MLMI 2005-A9 0.8 0.0 0.0 4.2 0.5 0.6 0.0 0.0 0.0 0.4 0.4 0.2 0 0 0 0 0 0

WAMU 2005-AR10 2.6 0.4 0.7 3.2 0.4 0.9 0.5 0.4 0.3 0.5 0.2 0.2 100 55 100 0 0 0

WAMU 2005-AR14 4.2 0.5 1.2 4.7 0.5 1.3 0.5 0.1 0.1 0.6 (0.0) 0.2 42 (9) 14 0 0 0

WAMU 2005-AR7 2.6 0.2 0.4 3.7 0.2 0.4 0.1 0.0 0.0 0.1 0.0 0.0 100 0 0 0 0 0

WFMBS 2006-AR2 4.7 0.1 0.4 4.8 0.1 0.4 0.1 0.0 (0.0) 0.1 0.0 (0.0) 0 0 0 0 0 0

WFMBS 2006-AR4 8.1 0.1 0.2 8.5 0.1 0.3 0.0 0.0 (0.1) 0.0 0.0 (0.1) 0 0 (100) 0 0 0

WFMBS 2006-AR6 3.6 0.1 0.4 3.6 0.1 0.4 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2006-AR8 2.9 0.0 0.5 2.9 0.0 0.5 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

CMLTI 2007-AR4 5.5 0.2 0.5 5.9 0.2 0.6 0.1 (0.0) (0.1) 0.1 (0.0) (0.1) 100 100 51 0 0 0

CWHL 2007-HY1 7.9 (0.3) 1.0 10.6 (0.2) 1.7 0.0 (0.3) 0.0 0.0 (0.7) 0.0 0 0 0 0 0 0

FHASI 2006-AR4 8.7 5.1 6.3 8.7 5.1 6.3 5.0 5.0 4.6 5.0 5.0 4.6 100 100 0 0 0 0

FHASI 2007-AR1 1.8 (0.0) 0.7 1.8 (0.0) 0.7 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

FHASI 2007-AR2 3.1 0.1 0.1 3.5 0.1 0.2 0.0 0.0 0.0 0.0 0.0 (0.4) 0 0 0 0 0 0

FHASI 2007-AR3 3.9 0.1 0.0 3.9 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

JPMMT 2006-A7 7.7 0.5 1.8 8.9 0.3 1.6 0.5 (0.1) 0.2 0.5 (0.1) 0.2 48 48 (52) 0 0 0

JPMMT 2007-A3 8.0 1.9 2.4 8.9 1.9 3.0 1.4 1.3 0.5 1.4 0.9 0.5 56 40 22 0 0 0

JPMMT 2007-A5 2.5 0.3 0.7 2.8 0.3 0.8 0.2 (0.1) 0.2 0.2 (0.1) 0.2 0 (100) 0 0 0 0

JPMMT 2007-A6 6.7 0.4 0.6 7.0 0.4 0.6 0.3 0.3 0.3 0.3 0.3 (0.0) 100 100 100 0 0 0

RFMSI 2006-SA2 36.1 0.0 0.2 40.8 (0.2) (0.1) 0.0 0.0 (3.5) 0.1 0.1 (3.6) 0 0 (23) 0 0 (13)

RFMSI 2006-SA3 38.5 (1.6) 16.4 44.2 (1.3) 16.1 0.0 (6.3) (2.4) 0.0 (6.3) (2.4) 0 (77) (100) 0 0 0

RFMSI 2007-SA2 8.9 0.6 1.0 10.4 0.6 0.6 0.4 0.4 (0.1) 0.4 0.4 (0.1) 100 100 100 0 0 0

RFMSI 2007-SA3 22.0 0.2 (0.2) 29.4 0.3 0.6 0.0 0.0 (0.8) 0.0 (0.5) (0.8) 0 0 0 0 0 0

WFMBS 2006-AR12 11.7 0.1 0.4 11.7 0.1 0.4 0.0 0.0 (0.7) 0.0 0.0 (0.7) 0 0 0 0 0 0

WFMBS 2006-AR13 12.6 0.2 0.5 12.6 0.2 0.5 0.3 0.3 (0.2) 0.3 0.3 (0.2) 0 0 0 0 0 0

WFMBS 2006-AR15 10.8 0.2 0.6 10.8 0.2 0.6 0.0 (0.4) 0.0 0.0 (0.4) 0.0 0 (100) 0 0 0 0

WFMBS 2006-AR17 14.9 0.2 0.8 15.4 0.2 0.8 0.2 0.2 (0.3) 0.2 0.2 (0.3) 0 0 0 0 0 0

WFMBS 2006-AR18 10.7 0.2 1.0 10.7 0.2 1.0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2006-AR19 6.4 0.1 0.4 6.4 0.1 0.4 0.0 0.0 (0.3) 0.0 0.0 (0.3) 0 0 (63) 0 0 0

Mod rate w PNI(%)Ever modified w PNI (%) Share of Rate Red (%) Share of Debt Forg (%)Ever modified (%) Mod rate(%)

PrimeX.ARM2

PrimeX.ARM1

Index Deal

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26 October 2011 53

September remittance – Loan modification update continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CMLTI 2005-11 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

GSR 2005-AR3 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

GSR 2005-AR4 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

GSR 2005-AR7 0 0 0 0 0 0 1.0 1.0 1.0 0 0 0 5 5 5 35 35 35

GSR 2006-AR1 0 0 0 0 0 (50) 1.0 (0.0) (0.0) 0 0 0 18 14 12 28 (9) 7

GSR 2006-AR2 0 0 0 100 100 100 0.0 0.0 0.0 0 0 0 5 5 5 0 0 0

JPMMT 2005-A3 0 0 0 0 0 0 0.0 (1.5) 0.0 0 0 0 0 0 0 0 (9) 0

JPMMT 2005-A4 0 0 0 0 0 (100) 0.0 (3.3) 0.0 0 0 0 0 (5) (6) 0 (46) 0

JPMMT 2005-A5 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

JPMMT 2005-A7 0 0 0 0 (100) (81) 1.0 1.0 1.0 0 0 0 16 (866) 2 26 26 (16)

JPMMT 2006-A4 63 63 63 0 0 0 4.3 4.3 1.4 6 6 6 0 0 (3) 43 43 19

MLMI 2005-A2 100 100 100 0 0 0 1.0 1.0 1.0 10 10 (7) 0 0 0 42 42 (4)

MLMI 2005-A9 0 0 0 100 100 0 0.0 0.0 0.0 0 0 0 4 4 (11) 0 0 0

WAMU 2005-AR10 0 0 (63) 0 (55) (37) 0.9 (0.0) (0.1) 0 0 (12) 2 (6) (3) 24 (14) (21)

WAMU 2005-AR14 46 20 (9) 12 (11) 12 1.0 0.1 (0.1) 24 13 2 6 (1) (1) 41 6 6

WAMU 2005-AR7 0 0 0 0 0 0 0.9 (0.1) (0.1) 0 0 0 0 0 (3) 18 (19) (19)

WFMBS 2006-AR2 0 0 (46) 0 0 0 0.0 0.0 (1.0) 0 0 (4) 0 0 0 48 0 25

WFMBS 2006-AR4 0 0 0 0 0 0 0.0 0.0 (1.5) 0 0 0 0 0 0 0 0 (29)

WFMBS 2006-AR6 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2006-AR8 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

CMLTI 2007-AR4 0 (100) (51) 0 0 0 3.9 (0.6) (0.5) 0 (28) (23) 6 6 (2) 31 12 (3)

CWHL 2007-HY1 0 (51) 0 0 (49) 0 0.0 (3.5) 0.0 0 (29) 0 0 (6) 0 0 (47) 0

FHASI 2006-AR4 0 0 0 0 0 0 3.6 3.6 (0.4) 0 0 0 0 0 (12) 51 51 51

FHASI 2007-AR1 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

FHASI 2007-AR2 0 0 0 0 0 (100) 0.0 0.0 0.0 0 0 0 0 0 (6) 0 0 0

FHASI 2007-AR3 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

JPMMT 2006-A7 0 (100) 0 0 0 0 4.4 1.2 (0.3) 0 (6) 0 3 (11) (21) 12 (5) (7)

JPMMT 2007-A3 44 44 (22) 0 (84) 0 4.0 1.3 (0.3) 11 11 (10) 8 (4) 2 37 37 (3)

JPMMT 2007-A5 100 100 100 0 0 0 4.0 (0.3) 4.0 10 10 10 0 (16) 0 38 29 38

JPMMT 2007-A6 0 0 0 0 0 (100) 4.5 4.5 4.5 0 0 0 0 0 (3) 26 26 26

RFMSI 2006-SA2 0 0 0 100 100 94 0.0 0.0 (3.1) 0 0 (18) 8 8 5 0 0 (42)

RFMSI 2006-SA3 0 0 0 0 0 0 0.0 (3.5) (4.0) 0 0 0 0 0 0 0 (12) (0)

RFMSI 2007-SA2 0 0 (100) 0 0 0 2.6 2.6 (0.4) 0 0 (41) 5 5 5 43 43 (1)

RFMSI 2007-SA3 0 0 (100) 0 (100) 0 0.0 0.0 (3.2) 0 0 (21) 0 (2) 0 0 0 (20)

WFMBS 2006-AR12 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 (21)

WFMBS 2006-AR13 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 47 47 20

WFMBS 2006-AR15 0 0 0 0 0 0 0.0 (2.1) 0.0 0 0 0 0 0 0 0 (31) 0

WFMBS 2006-AR17 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 49 49 13

WFMBS 2006-AR18 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2006-AR19 0 0 0 0 0 0 0.0 0.0 (3.0) 0 0 0 0 0 0 0 0 (28)

Index Deal

PrimeX.ARM1

PrimeX.ARM2

Principal Recapped (%)Share of PNI (%)Share of Debt+Rate (%) Rate Reduced Amount Forgiven (%) Payment reduced (%)

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September remittance – Loan modification update continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CHASE 2005-S2 3.0 0.5 1.2 3.0 0.5 1.2 0.4 0.1 0.3 0.4 0.1 0.3 100 0 0 0 0 0

CHASE 2005-S3 3.5 0.5 0.8 4.2 0.3 1.0 0.4 0.2 (0.1) 0.4 0.0 (0.1) 100 41 25 0 0 0

CWHL 2005-21 4.8 0.1 0.5 5.9 0.1 0.5 0.0 (0.1) 0.0 0.0 (0.1) 0.0 0 (100) 0 0 0 0

CWHL 2005-27 5.0 0.2 0.5 7.1 0.3 0.7 0.0 (0.2) 0.0 0.0 (0.2) 0.0 0 (100) 0 0 0 0

GSR 2006-1F 5.1 0.1 0.4 5.7 0.1 0.5 0.1 0.1 (0.0) 0.1 0.1 (0.0) 100 100 0 0 0 0

GSR 2006-6F 6.7 0.1 0.9 7.3 0.1 0.9 0.0 (0.7) (0.2) 0.0 (0.7) (0.2) 0 (71) (100) 0 (29) 0

RFMSI 2005-S6 4.7 0.1 0.6 5.8 0.1 0.6 0.0 (0.3) (0.0) 0.0 (0.3) (0.0) 0 (100) 0 0 0 0

SASC 2005-17 4.0 0.5 0.9 4.0 0.5 0.9 0.3 (0.0) (0.1) 0.3 (0.0) (0.1) 100 0 100 0 0 0

WFMBS 2005-3 2.2 0.1 0.1 2.2 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2005-6 2.5 0.1 0.1 2.5 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2005-7 1.7 0.0 0.1 1.7 0.0 0.1 0.0 0.0 (0.5) 0.0 0.0 (0.5) 0 0 (100) 0 0 0

WFMBS 2005-8 3.1 0.2 0.2 3.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 100 100 100 0 0 0

WFMBS 2005-9 2.3 0.1 0.0 2.5 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2005-11 1.8 0.0 0.1 1.8 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2005-12 4.3 0.1 0.2 4.3 0.1 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2005-14 2.0 0.0 0.1 2.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2005-17 4.1 0.0 0.3 4.1 0.0 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2005-18 4.8 0.1 0.2 4.8 0.1 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2006-2 3.6 0.0 0.3 3.6 0.0 0.3 0.0 (0.2) (0.1) 0.0 (0.2) (0.1) 0 (100) (100) 0 0 0

WFMBS 2006-3 3.3 0.1 0.3 3.3 0.1 0.3 0.0 (0.1) (0.2) 0.0 (0.1) (0.2) 0 (100) (49) 0 0 0

CHASE 2006-S4 8.9 0.3 1.7 9.6 0.3 1.5 0.7 (0.2) 0.1 0.7 (0.2) 0.1 32 (23) (68) 42 42 42

GSR 2006-8F 7.1 1.0 1.8 7.8 1.0 1.8 0.9 0.3 0.9 0.9 0.3 0.9 100 40 100 0 0 0

GSR 2006-10F 10.4 0.2 1.4 10.7 0.2 1.4 0.2 (0.5) (0.4) 0.2 (0.8) (0.4) 0 (72) (100) 0 0 0

JPMMT 2006-S4 8.1 0.4 1.7 9.3 0.5 2.3 0.4 (0.3) (0.2) 0.4 (0.4) (0.2) 15 (46) (66) 0 0 0

PRIME 2007-1 10.5 0.5 0.8 12.1 0.6 0.9 0.3 0.2 0.2 0.3 0.2 0.2 100 0 0 0 0 0

PRIME 2007-2 6.1 0.7 1.1 8.2 0.7 1.2 0.9 0.5 0.6 0.9 0.5 0.6 68 (32) (32) 0 0 0

RFMSI 2006-S6 15.1 0.6 0.9 16.6 0.4 1.0 0.3 0.3 0.2 0.3 0.1 0.2 100 100 0 0 0 0

RFMSI 2006-S8 17.1 0.2 0.9 18.2 0.4 1.2 0.1 (0.0) (0.8) 0.5 0.4 (0.5) 0 (100) (73) 0 0 0

RFMSI 2006-S9 20.1 0.7 1.1 20.8 1.0 1.5 0.3 (0.2) 0.3 0.6 0.1 0.4 43 (57) 43 0 0 0

RFMSI 2006-S11 16.5 (0.0) 0.9 18.7 0.5 1.5 0.2 (0.1) 0.0 0.6 0.3 0.5 0 (82) (100) 0 0 0

RFMSI 2007-S4 19.8 0.5 2.9 21.4 0.8 3.2 0.7 (1.5) 0.1 0.9 (1.2) 0.3 72 20 (28) 0 0 0

RFMSI 2007-S5 14.9 0.2 1.1 16.4 0.1 1.3 0.2 (0.2) 0.2 0.2 (0.2) 0.1 56 (44) 56 0 0 0

RFMSI 2007-S8 23.5 0.8 1.8 25.0 1.0 1.7 1.0 0.4 0.2 1.3 0.8 0.5 50 (50) (5) 0 0 0

WFMBS 2006-14 5.8 (0.2) 0.3 5.8 (0.2) 0.3 0.0 0.0 (0.1) 0.0 0.0 (0.1) 0 0 (100) 0 0 0

WFMBS 2006-15 6.8 0.1 0.4 6.8 0.1 0.4 0.1 (0.0) (0.0) 0.1 (0.0) (0.0) 100 0 0 0 0 0

WFMBS 2007-1 5.5 (0.1) (0.2) 5.5 (0.1) (0.2) 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2007-4 6.7 0.0 0.4 6.7 0.0 0.4 0.0 (0.1) (0.1) 0.0 (0.1) (0.1) 0 (100) (100) 0 0 0

WFMBS 2007-7 7.4 0.2 0.5 7.4 0.2 0.5 0.1 (0.0) (0.0) 0.1 (0.0) (0.0) 70 (7) (20) 0 0 0

WFMBS 2007-8 6.7 0.1 0.3 6.7 0.1 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0 0 0 0 0 0

WFMBS 2007-13 6.9 0.0 0.4 6.9 0.0 0.4 0.0 0.0 (0.3) 0.0 0.0 (0.3) 0 0 (100) 0 0 0

Mod rate w PNI(%)Ever modified w PNI (%)

PrimeX.FRM2

Share of Rate Red (%)Index Deal

PrimeX.FRM1

Share of Debt Forg (%)Ever modified (%) Mod rate(%)

Page 55: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 55

September remittance – Loan modification update continued…

Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m Current Δ1 m Δ3 m

CHASE 2005-S2 0 0 0 0 0 0 3.1 0.8 (0.9) 0 0 0 13 2 5 34 17 (9)

CHASE 2005-S3 0 0 0 0 (41) 0 3.8 0.5 0.0 0 0 0 12 3 4 38 (6) 7

CWHL 2005-21 0 0 0 0 0 0 0.0 (4.1) 0.0 0 0 0 0 (12) 0 0 0 0

CWHL 2005-27 0 0 0 0 0 0 0.0 (2.5) 0.0 0 0 0 0 0 0 0 (22) 0

GSR 2006-1F 0 0 0 0 0 0 2.9 2.9 0.4 0 0 0 0 0 (5) 25 25 (2)

GSR 2006-6F 0 0 0 0 0 0 0.0 (4.4) (4.6) 0 (2) 0 0 (4) (5) 0 (30) (43)

RFMSI 2005-S6 0 0 0 0 0 0 0.0 (2.1) 0.0 0 0 0 0 (4) 0 0 0 (27)

SASC 2005-17 0 0 (100) 0 0 0 3.9 1.0 1.0 0 0 (18) 7 5 7 66 41 27

WFMBS 2005-3 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2005-6 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2005-7 0 0 0 0 0 0 0.0 0.0 (3.6) 0 0 0 0 0 0 0 0 (61)

WFMBS 2005-8 0 0 0 0 0 0 2.6 2.6 2.6 0 0 0 0 0 0 45 45 45

WFMBS 2005-9 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2005-11 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2005-12 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2005-14 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2005-17 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2005-18 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2006-2 0 0 0 0 0 0 0.0 (3.4) (3.1) 0 0 0 0 0 0 0 (56) (52)

WFMBS 2006-3 0 0 (51) 0 0 0 0.0 (1.4) (3.1) 0 0 (5) 0 0 0 0 (12) (27)

CHASE 2006-S4 26 (19) 26 0 0 0 4.6 0.0 0.3 41 34 41 7 (7) (1) 65 31 34

GSR 2006-8F 0 (40) 0 0 0 0 4.1 0.1 4.1 0 (31) 0 2 (5) 2 32 (7) 32

GSR 2006-10F 100 100 100 0 (28) 0 4.4 1.6 0.3 3 3 3 7 (4) (1) 59 36 15

JPMMT 2006-S4 85 61 66 0 (15) 0 4.5 (0.1) 0.0 13 (12) (16) 12 0 1 51 11 8

PRIME 2007-1 0 0 0 0 0 0 4.1 (0.6) 0.3 0 0 0 6 (2) 6 21 (12) 9

PRIME 2007-2 32 32 32 0 0 0 4.4 (0.1) 0.6 30 30 30 17 14 6 44 (4) (14)

RFMSI 2006-S6 0 0 0 0 (100) 0 2.8 2.8 (1.9) 0 0 0 0 (5) 0 26 26 (46)

RFMSI 2006-S8 23 23 (4) 77 77 77 1.4 (1.9) (1.9) 13 13 3 9 9 1 4 (45) (31)

RFMSI 2006-S9 0 0 0 57 57 (43) 1.8 (1.4) 1.8 0 0 0 10 (1) 4 44 36 44

RFMSI 2006-S11 27 27 27 73 55 73 3.4 0.2 0.1 11 11 11 15 12 2 26 7 (27)

RFMSI 2007-S4 0 (29) 0 28 28 28 3.1 (0.1) 0.8 0 (13) 0 10 (4) 1 21 (6) (4)

RFMSI 2007-S5 44 44 44 0 0 (100) 3.1 (0.1) 3.1 7 7 7 0 (3) (4) 32 23 32

RFMSI 2007-S8 27 27 (19) 24 24 24 3.4 0.1 0.8 12 12 10 8 (2) 1 31 18 11

WFMBS 2006-14 0 0 0 0 0 0 0.0 0.0 (4.1) 0 0 0 0 0 0 0 0 (34)

WFMBS 2006-15 0 0 0 0 0 0 3.0 0.5 (1.6) 0 0 0 0 0 0 27 (2) (12)

WFMBS 2007-1 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2007-4 0 0 0 0 0 0 0.0 (2.1) (2.1) 0 0 0 0 0 0 0 (27) (25)

WFMBS 2007-7 30 7 20 0 0 0 2.5 (0.7) 0.3 2 (0) (0) 0 0 0 40 (4) 13

WFMBS 2007-8 0 0 0 0 0 0 0.0 0.0 0.0 0 0 0 0 0 0 0 0 0

WFMBS 2007-13 0 0 0 0 0 0 0.0 0.0 (1.1) 0 0 0 0 0 0 0 0 (14)

Index Deal

PrimeX.FRM1

PrimeX.FRM2

Share of PNI (%) Principal Recapped (%)Share of Debt+Rate (%) Amount Forgiven (%) Payment reduced (%)Rate Reduced

Page 56: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 56

September remittance – Current characteristics

ACE 2005-HE7 17% 634 117 117 123 123 6.0 49 28 0.0 49 45 96 45 9.4 30

AMSI 2005-R11 35% 640 105 106 109 110 5.8 75 22 0.0 3 28 97 11 3.5 20

ARSI 2005-W2 22% 620 105 110 114 121 5.3 62 7 0.0 33 37 94 50 4.5 18

BSABS 2005-HE11 24% 632 104 109 112 118 6.7 67 29 0.0 29 31 92 44 8.5 20

CWL 2005-BC5 27% 627 106 114 112 121 6.4 66 24 0.0 28 29 98 72 11.3 15

FFML 2005-FF12 25% 654 115 132 120 139 6.0 70 60 0.0 66 41 97 119 6.5 25

GSAMP 2005-HE4 21% 622 105 113 109 118 5.9 65 26 0.0 47 28 93 74 7.7 24

HEAT 2005-8 18% 622 108 118 112 122 5.7 58 23 0.1 41 32 96 86 5.1 24

JPMAC 2005-OPT1 16% 613 92 96 97 103 5.7 62 15 0.0 25 20 92 46 5.0 19

LBMLT 2005-WL2 15% 623 104 117 107 121 6.3 65 6 0.0 56 30 91 111 9.5 24

MABS 2005-NC2 18% 653 117 134 121 142 4.5 29 100 0.0 56 53 95 126 5.2 27

MLMI 2005-AR1 18% 626 112 116 117 121 6.7 65 36 50.5 28 36 94 29 11.4 22

MSAC 2005-HE5 16% 636 107 107 111 111 6.0 55 21 0.0 47 35 95 46 10.0 27

NCHET 2005-4 30% 623 112 119 122 131 5.5 65 32 0.0 35 40 93 59 4.7 29

RAMP 2005-EFC4 20% 624 104 112 113 123 5.8 78 21 0.0 39 20 97 70 3.9 13

RASC 2005-KS11 23% 619 104 111 111 119 6.1 69 13 0.0 36 24 93 63 4.5 21

SA BR 2005-HE1 13% 637 114 114 115 115 6.7 71 100 0.0 21 46 100 32 19.6 33

SAIL 2005-HE3 16% 624 110 114 113 119 6.0 68 22 36.2 28 34 91 34 7.3 22

SASC 2005-WF4 23% 624 103 104 115 117 5.5 89 14 34.6 20 28 98 22 3.6 26

SVHE 2005-4 32% 626 107 113 113 121 5.8 58 28 0.0 29 31 94 58 8.0 33

ACE 2006-NC1 23% 626 111 111 117 117 5.7 65 22 0.0 38 45 92 30 6.7 35

ARSI 2006-W1 21% 614 118 124 128 135 5.3 68 22 0.0 33 38 94 46 5.9 19

BSABS 2006-HE3 24% 606 118 124 122 128 6.5 52 28 0.0 27 36 91 48 10.5 24

CARR 2006-NC1 34% 624 119 128 128 139 6.1 65 43 0.0 38 36 95 67 6.2 32

CWL 2006-8 46% 614 123 131 130 140 6.9 66 26 0.0 35 40 99 58 13.8 35

FFML 2006-FF4 26% 649 118 130 123 136 6.6 61 47 0.0 56 38 97 82 7.9 22

GSAMP 2006-HE3 26% 624 114 127 119 134 6.4 60 19 0.0 53 27 95 96 8.0 24

HEAT 2006-4 24% 622 111 118 119 129 6.2 73 18 0.5 33 37 94 60 7.7 20

JPMAC 2006-FRE1 25% 626 116 130 118 131 5.7 63 15 0.0 53 32 94 107 10.9 21

LBMLT 2006-1 23% 623 117 132 121 137 6.4 60 8 0.0 54 40 91 110 10.5 26

MABS 2006-NC1 24% 625 114 119 120 126 6.4 32 23 0.0 30 40 91 47 8.5 18

MLMI 2006-HE1 25% 633 113 123 123 136 6.3 58 27 0.0 39 47 94 77 10.9 23

MSAC 2006-HE2 23% 625 116 116 120 120 6.1 62 11 0.0 40 30 97 47 8.1 28

MSAC 2006-WMC2 25% 639 130 130 136 136 6.2 54 14 0.0 49 45 97 50 9.1 24

RASC 2006-KS3 24% 620 109 117 115 126 6.2 66 16 0.0 36 26 95 68 5.0 17

RAMP 2006-NC2 26% 620 115 121 121 130 6.1 66 15 0.0 31 36 93 58 5.6 15

SABR 2006-OP1 23% 631 103 103 111 111 5.6 60 23 68.9 33 26 94 33 4.5 28

SAIL 2006-4 27% 615 123 129 126 132 6.2 59 17 34.9 31 40 91 47 8.8 18

SASC 2006-WF2 29% 611 114 116 123 125 6.1 100 11 0.8 30 24 96 24 4.9 25

SVHE 2006-OPT5 35% 603 116 121 120 126 5.4 65 8 0.0 28 33 94 46 5.4 25

MTM-LTVFICO WACMTM-

CLTV(dq)MTM-LTV

(dq)MTM-CLTV

Deal Factor %PMIMths to

liqdnAdv due

(%curbal)Index

ABX 06-1

%2nds%Owner%CA+FL%Pur%IO%Full Doc

ABX 06-2

Page 57: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 57

September remittance – Current characteristics continued…

ABFC 2006-OPT2 37% 602 117 120 120 124 6.1 59 11 0.0 27 33 94 44 7.2 22

ACE 2006-NC3 49% 623 125 125 132 132 7.1 63 16 0.0 39 40 92 34 15.8 33

BSABS 2006-HE10 49% 608 128 131 133 137 6.6 56 14 0.0 13 44 95 30 10.7 27

CARR 2006-NC4 47% 618 127 136 136 147 6.2 65 19 0.0 35 35 94 66 7.1 34

CBASS 2006-CB6 33% 619 114 114 119 119 6.7 64 13 1.0 23 45 94 15 7.6 23

CMLTI 2006-WFH3 34% 622 118 122 125 130 6.0 81 11 11.2 45 24 93 43 5.3 24

CWL 2006-18 51% 605 123 130 129 137 7.1 68 26 0.0 34 39 97 53 14.3 30

FFML 2006-FF13 36% 647 119 135 125 142 6.6 73 27 0.0 71 27 97 108 7.5 21

FHLT 2006-3 32% 628 125 133 129 138 6.6 68 5 0.0 36 33 93 65 11.8 36

GSAMP 2006-HE5 34% 620 111 121 121 134 6.4 64 5 0.0 35 25 96 74 7.1 22

HEAT 2006-7 27% 626 108 118 121 133 7.9 62 11 0.0 41 39 95 71 8.5 23

JPMAC 2006-CH2 48% 634 122 131 128 138 5.9 41 3 0.0 34 36 97 64 7.4 23

LBMLT 2006-6 31% 633 125 138 131 146 6.4 65 6 0.0 46 47 94 97 9.8 18

MABS 2006-NC3 34% 616 118 125 125 134 6.0 70 17 0.0 31 36 92 56 5.2 20

MLMI 2006-HE5 20% 629 120 131 125 138 6.4 54 31 0.0 34 39 96 74 12.3 28

MSAC 2006-HE6 42% 624 126 126 131 131 7.1 56 14 0.0 46 39 94 46 16.7 26

RASC 2006-KS9 37% 623 120 128 131 142 6.3 63 9 0.0 35 28 97 59 5.5 18

SA BR 2006-HE2 29% 622 115 124 121 134 5.9 63 12 0.0 36 35 95 76 5.9 17

SASC 2006-BC4 39% 618 125 125 131 131 6.3 66 17 18.4 21 45 96 20 8.3 26

SVHE 2006-EQ1 36% 631 115 123 118 127 6.0 67 10 0.0 41 19 94 64 5.7 24

ACE 2007-HE4 27% 624 128 136 132 141 7.0 51 23 0.0 32 50 94 56 11.2 28

BSABS 2007-HE3 55% 620 130 135 134 139 6.7 58 22 0.0 21 42 95 35 10.0 26

CMLTI 2007-AMC2 47% 613 125 132 136 145 5.3 69 18 0.0 26 38 96 52 6.7 25

CWL 2007-1 64% 608 126 132 131 139 6.7 60 26 21.8 32 38 97 48 13.6 30

FFML 2007-FF1 44% 655 122 135 128 143 6.4 63 23 0.0 57 35 96 94 7.5 22

GSAMP 2007-NC1 40% 616 116 122 120 128 6.2 63 20 0.0 30 35 93 53 8.3 22

HEAT 2007-2 33% 624 102 109 120 129 8.0 65 9 0.0 35 29 93 61 6.5 24

HASC 2007-NC1 48% 616 125 132 130 137 6.4 60 19 0.0 26 37 93 51 10.4 31

JPMAC 2007-CH3 55% 618 117 124 125 135 6.4 44 13 0.0 26 31 94 54 7.5 23

FFMER 2007-2 49% 642 118 130 124 137 6.9 68 13 0.0 57 23 96 86 9.0 22

MLMI 2007-MLN1 53% 620 115 119 119 124 6.8 56 23 0.0 23 17 95 41 13.2 30

MSAC 2007-NC3 48% 619 121 127 128 136 5.8 64 19 0.0 27 36 93 51 7.0 21

NHELI 2007-2 40% 627 130 141 136 149 5.1 62 10 0.0 41 40 95 67 4.5 22

NHEL 2007-2 54% 607 116 118 123 126 6.2 61 6 11.6 15 32 95 26 7.6 27

OOMLT 2007-5 51% 611 123 126 125 128 4.8 60 15 0.0 25 30 90 28 4.9 18

RASC 2007-KS2 42% 614 115 120 123 128 6.1 61 13 0.0 27 24 94 45 4.8 15

SABR 2007-BR4 42% 615 116 122 124 132 5.7 65 18 0.0 26 32 94 45 4.7 12

SASC 2007-BC1 50% 625 131 134 135 139 5.6 64 25 16.7 18 43 94 25 6.3 16

SVHE 2007-OPT1 57% 599 124 126 127 129 4.8 50 4 0.0 22 37 96 24 4.3 16

WMHE 2007-HE2 49% 631 125 131 129 136 6.1 73 11 13.8 19 41 93 51 8.3 24

Adv due (%curbal)

Mths to liqdn

%Pur %CA+FL %Owner %2ndsFactor FICO MTM-LTVMTM-CLTV

%IO %PMIDealMTM-LTV

(dq)MTM-

CLTV(dq)WAC

%Full Doc

ABX 07-1

ABX 07-2

Index

Page 58: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 58

September remittance – Current characteristics continued…

CMLTI 2005-11 44% 740 97 104 105 112 3.0 49 85 1.1 62 53 88 77 0.6 14

GSR 2005-AR3 39% 734 98 107 102 112 3.0 40 92 0.5 63 70 93 89 2.0 6

GSR 2005-AR4 39% 740 95 103 106 115 3.0 47 86 1.0 73 56 92 87 1.2 22

GSR 2005-AR7 47% 741 91 98 104 109 3.0 50 92 0.0 54 87 91 70 0.5 23

GSR 2006-AR1 47% 732 106 113 115 122 3.1 51 89 0.8 53 55 92 67 1.4 11

GSR 2006-AR2 53% 738 101 107 122 127 5.6 63 96 0.4 45 53 93 67 0.6 32

JPMMT 2005-A3 27% 743 48 48 52 52 4.7 83 0 0.0 38 27 95 8 0.5 11

JPMMT 2005-A4 37% 727 82 82 114 114 5.6 75 89 1.2 49 44 86 20 0.6 0

JPMMT 2005-A5 26% 716 83 83 95 95 5.7 90 54 0.4 59 46 87 17 0.6 0

JPMMT 2005-A7 38% 737 98 98 108 108 3.0 40 82 1.6 69 60 90 36 1.7 17

JPMMT 2006-A4 42% 740 101 103 116 117 5.8 46 86 1.0 63 53 90 37 1.3 15

MLMI 2005-A2 38% 736 86 87 92 93 3.0 24 95 0.1 34 73 97 30 1.0 16

MLMI 2005-A9 38% 734 102 102 110 110 3.0 49 90 1.1 56 51 86 34 1.2 28

WAMU 2005-AR10 43% 739 101 101 111 111 2.9 19 97 0.0 32 76 95 19 1.3 15

WAMU 2005-AR14 46% 737 102 104 106 107 3.0 23 96 0.2 33 76 93 26 1.5 19

WAMU 2005-AR7 39% 738 96 96 100 100 3.0 21 94 0.1 45 70 94 20 1.3 5

WFMBS 2006-AR2 44% 735 109 117 116 124 3.0 45 91 0.7 46 85 87 74 0.8 15

WFMBS 2006-AR4 46% 739 108 115 114 124 5.9 49 88 0.4 56 59 90 73 0.9 7

WFMBS 2006-AR6 45% 743 94 101 95 100 5.3 53 84 0.2 55 53 94 70 0.4 20

WFMBS 2006-AR8 44% 731 102 110 105 114 3.0 51 90 0.8 56 64 93 89 1.0 12

CMLTI 2007-AR4 45% 736 107 116 112 123 6.1 31 91 1.6 53 49 89 83 1.6 8

CWHL 2007-HY1 49% 739 120 127 129 137 5.6 40 93 1.7 32 64 95 83 3.6 21

FHASI 2006-AR4 42% 740 114 114 117 117 5.7 56 93 1.4 45 40 96 33 2.2 38

FHASI 2007-AR1 40% 747 112 112 116 116 6.0 58 90 1.3 47 33 91 38 3.1 0

FHASI 2007-AR2 43% 751 110 110 113 113 5.9 68 85 0.5 51 38 97 38 1.9 11

FHASI 2007-AR3 45% 743 110 119 125 135 6.3 67 83 3.5 62 32 92 93 2.4 6

JPMMT 2006-A7 40% 738 114 114 130 130 4.7 42 85 1.7 65 60 94 51 3.4 16

JPMMT 2007-A3 46% 738 106 106 113 113 6.0 40 87 0.6 50 59 92 36 1.8 15

JPMMT 2007-A5 43% 741 107 115 120 130 6.1 64 92 1.3 48 43 88 73 1.6 13

JPMMT 2007-A6 47% 746 112 121 109 121 6.1 45 89 1.9 52 59 95 78 2.1 21

RFMSI 2006-SA2 40% 733 111 118 113 123 3.2 61 90 1.5 45 51 95 79 1.1 13

RFMSI 2006-SA3 39% 732 108 116 118 132 3.3 69 86 1.0 36 49 96 93 1.2 16

RFMSI 2007-SA2 43% 739 110 117 119 125 5.6 62 92 2.9 29 46 94 75 1.2 8

RFMSI 2007-SA3 50% 726 112 120 113 125 5.2 49 92 2.0 25 61 100 82 1.5 46

WFMBS 2006-AR12 33% 732 116 126 120 131 3.0 42 94 1.8 60 60 93 98 1.4 11

WFMBS 2006-AR13 34% 737 116 124 120 130 2.9 16 94 0.0 50 84 91 81 1.8 13

WFMBS 2006-AR15 34% 744 114 125 120 133 6.1 43 96 0.8 66 62 90 106 1.5 0

WFMBS 2006-AR17 29% 735 123 132 131 139 3.3 16 92 0.3 55 82 91 83 1.3 15

WFMBS 2006-AR18 34% 742 108 117 116 129 6.1 43 87 0.9 76 45 92 93 0.8 19

WFMBS 2006-AR19 41% 740 105 114 114 125 6.2 42 88 0.9 65 42 90 91 1.1 19

Mths to liqdn

%CA+FL %Owner %2ndsAdv due

(%curbal)%Full Doc

%IO %PMI %PurFactor FICO MTM-LTVMTM-CLTV

MTM-LTV (dq)

MTM-CLTV(dq)

WAC

PrimeX.ARM1

PrimeX.ARM2

Index Deal

Page 59: ABX and PrimeX Monitor - October 2011

Barclays Capital | ABX and PrimeX Monitor

26 October 2011 59

September remittance – Current characteristics continued…

CHASE 2005-S2 42% 728 91 91 93 93 5.8 59 0 1.0 45 49 95 29 1.1 10

CHASE 2005-S3 45% 727 89 89 91 91 5.8 56 0 2.0 46 42 92 25 1.1 16

CWHL 2005-21 53% 738 99 103 110 115 5.8 43 26 2.4 53 50 95 67 1.7 0

CWHL 2005-27 49% 741 99 99 108 108 5.8 53 15 3.2 53 49 91 37 1.6 34

GSR 2006-1F 52% 742 103 108 117 122 5.9 45 53 1.0 54 50 94 63 1.6 20

GSR 2006-6F 48% 735 104 108 113 118 6.3 45 32 2.3 54 49 91 66 2.5 19

RFMSI 2005-S6 44% 744 90 94 98 101 5.7 77 25 1.6 46 35 96 64 0.3 0

SASC 2005-17 56% 738 91 97 98 105 5.7 29 67 0.0 41 52 93 53 1.3 13

WFMBS 2005-3 33% 733 80 84 87 92 5.8 43 0 1.3 37 52 93 53 0.4 0

WFMBS 2005-6 36% 740 88 92 91 98 5.8 53 0 1.2 49 43 96 62 0.3 17

WFMBS 2005-7 42% 741 91 97 108 115 5.8 54 0 1.8 59 40 93 71 0.2 0

WFMBS 2005-8 54% 742 100 106 102 108 5.7 46 0 0.8 51 50 94 71 0.3 11

WFMBS 2005-9 44% 740 91 96 100 107 5.7 57 0 0.6 45 45 95 65 0.4 11

WFMBS 2005-11 48% 730 94 99 91 93 5.8 68 0 1.1 43 44 96 60 0.6 0

WFMBS 2005-12 51% 739 104 110 106 111 5.8 63 0 1.0 53 47 95 75 0.4 18

WFMBS 2005-14 44% 735 94 98 102 104 5.8 58 0 1.3 44 43 95 59 0.6 15

WFMBS 2005-17 54% 740 105 110 115 121 5.8 39 0 0.5 39 53 95 62 0.5 0

WFMBS 2005-18 51% 739 106 111 108 119 5.9 40 0 0.8 43 55 97 70 0.5 5

WFMBS 2006-2 51% 739 102 108 116 123 6.0 50 0 0.4 47 50 97 65 0.5 11

WFMBS 2006-3 39% 727 94 98 110 114 6.1 60 0 1.3 41 38 95 57 0.7 0

CHASE 2006-S4 45% 734 99 111 113 131 6.4 54 17 0.7 56 40 95 93 2.4 11

GSR 2006-8F 39% 732 106 111 120 126 6.4 60 24 4.1 52 48 92 61 2.5 0

GSR 2006-10F 45% 736 107 111 121 127 6.1 48 19 1.3 43 54 92 64 1.8 10

JPMMT 2006-S4 48% 730 109 109 116 116 6.3 43 43 2.5 42 48 92 35 2.7 20

PRIME 2007-1 51% 732 104 111 112 120 6.0 52 49 4.3 32 37 95 71 2.2 25

PRIME 2007-2 54% 732 106 114 112 120 6.2 48 37 3.9 40 34 94 79 3.7 22

RFMSI 2006-S6 39% 733 103 108 108 111 6.1 65 32 1.9 45 46 96 65 1.1 19

RFMSI 2006-S8 43% 731 108 113 116 123 6.1 67 30 2.3 44 47 96 64 1.3 0

RFMSI 2006-S9 36% 727 106 110 119 128 6.3 69 29 2.3 46 46 95 69 1.1 17

RFMSI 2006-S11 42% 731 100 106 114 124 6.1 63 25 3.9 36 40 95 65 0.9 7

RFMSI 2007-S4 53% 730 101 108 108 115 5.8 61 41 3.0 26 39 99 74 1.4 13

RFMSI 2007-S5 55% 727 101 107 103 113 6.0 55 31 2.8 28 40 97 70 1.3 4

RFMSI 2007-S8 52% 727 109 116 115 124 5.8 65 44 6.1 37 40 95 86 0.9 6

WFMBS 2006-14 34% 737 104 112 116 127 6.5 50 28 0.9 64 43 94 90 1.2 14

WFMBS 2006-15 33% 737 105 112 115 122 6.4 54 25 2.0 63 36 93 87 1.0 9

WFMBS 2007-1 48% 732 107 115 111 122 6.2 44 31 3.2 54 33 93 92 1.4 11

WFMBS 2007-4 47% 736 109 119 118 128 6.2 43 35 1.7 49 45 94 95 1.1 13

WFMBS 2007-7 51% 740 111 120 119 130 6.1 39 45 1.9 54 53 94 96 0.7 11

WFMBS 2007-8 51% 741 109 119 117 128 6.1 46 45 1.3 54 48 96 98 0.8 5

WFMBS 2007-13 46% 742 105 112 111 117 6.2 39 43 3.1 57 40 94 85 0.8 14

%Owner %2ndsAdv due

(%curbal)Mths to

liqdnFactor FICO MTM-LTV

MTM-CLTV

MTM-LTV (dq)

MTM-CLTV(dq)

WAC%Full Doc

%CA+FL

PrimeX.FRM2

Index Deal

PrimeX.FRM1

%IO %PMI %Pur

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Glossary

Page 4: Losses and yields Losses and yields calculated using Barclays Capital residential credit model HPA scenarios: All in terms of nation Case Shiller levels. Extreme stress – Down 30%. Stress – down 20%, Base – Down 10%, Flat HPA – 0 HPA, Optimistic – Up 10%

Home prices expected to bottom by Q2 2011, recovering very gradually thereafter All scenarios incorporate a mix of different types of loan modification CDR multiples applied on Base case CDR

Page 5: Price sensitivity Base case yield sensitivity shown

Pages 6, 37-40: Delinquency composition Factor: Current balance/Original balance (%) WALA: Weighted average loan age of the pool (months) Always current: % of outstanding bal that have never been 30+OTS delinquent. 60+ delinq: % of outstanding bal that are in 60 OTS or worse delinquency state Foreclosure: % of outstanding bal that are in Foreclosure REO: % of outstanding bal that are in REO Modified: % of outstanding bal that have been modified. Modifications are identified

using our custom logic based on Loan Performance data

Pages 6, 41-44: Performance trends Overall CRR: Annualized voluntary prepay rate (%). Includes any change in balance from Current OTS due to loans being paid in full, curtailments or capitalization.

Overall CDR: Annualized default rate (%). Includes any balance reduction from delinquent status due to liquidations, modifications etc.

Loan level severity: (Loan Performance reported loss / Loan performance reported defaults). Includes changes in balance and losses due to modifications and liquidations

Liquidation CDR: Annualized default rate (%). Only includes any balance reduction from delinquent status due to liquidations

Liquidation severity: (Loan Performance reported loss / Loan performance reported defaults). Only includes changes in balance and losses due to liquidations

% short sales: Share of short sales in all liquidations

Pages 6, 45-48: Roll Rates Current to delinquent rolls: % of current loans in previous month moving to 30+OTS in current month. Basis points

Always current to delinquent rolls: % of always current loans in previous month moving to 30+OTS in current month. Basis points

60+ to fcl rolls: % of 60+ OTS loans in previous month moving to Foreclosure in current month. Basis points

Fcl to REO rolls: % of Foreclosed loans in previous month moving to REO in current month. Basis points

REO to liquidation rolls: % of REO loans in previous month exiting the pool in current month. Basis points

Cure rate: % of 30+ OTS loans in previous month moving to Current OTS in current month. Basis points

Pages 7, 49-56: Loan Modification update (All numbers are based on our custom logic to identify loan modifications from Loan Performance data)

Ever modified: Share of modified loans in outstanding balance, excludes P&I mods Ever modified with PNI: Share of all modified loans in outstanding balance including Mod rate: Percentage of outstanding balance modified in current month, excludes P&I mods

Mod rate PNI: Percentage of outstanding balance modified in current month including P&I

Share of rate reduction: Share of rate reduction modifications in current month mods Share of debt FORG: Share of debt forbearance/forgiveness mods in current month mods

Share of debt+rate: Share of combo debt forgiveness and rate reduction mods in current month mods

Share of PNI: Share of pure principal and interest recapitalization mods in current month mods

Rate reduced: Average rate reduced for rate reduction mods Amount forgiven: Average principal forgiven/forborne for debt forgiveness/forbearance mods. % of pre-mod outstanding balance

Principal recapped: Average balance recapitalized/all principal recapitalization mods. % of pre-mod outstanding balance

Payment reduction: Average reduction in monthly payments for modified loans. % of pre-mod monthly payment.

Pages 7, 57-60 Current Characteristics MTM-LTV: Case-Shiller marked-to-market LTV for outstanding loans MTM-CLTV: Case-Shiller marked-to-market CLTV for outstanding loans MTM-LTV (dq): Case-Shiller marked-to-market LTV for 30+ OTS delinquents MTM-LTV (dq): Case-Shiller marked-to-market CLTV for 30+ OTS delinquents. Advances due: P&I advances that should have been paid by servicer (% of outstanding) Months to Liquidation: Number of months for average loan to liquidate from initial delinquency

Pages 9-25: Bond level details Factor: Current outstanding bond face / Original bond face Eff weight: Current effective weight of bond in index Bond coupon: Current month coupon accrued on bond Original C/E: Original credit support for bond at time of issuance Current C/E: Current credit support for bond Implied loss to date: Implied loss applicable to bond as part of synthetic index – applicable only to implied write-down bonds

Projected bond loss: projected loss as percentage of current face Base mod duration: Modified duration in base case Base avg life: Average life of bond in base case Base proj coll loss: Projected collateral loss in base case as % of current outstanding collateral

Cash price@index yield: Cash bond priced at base case loss adjusted yield calculated for corresponding synthetic index from market price

Pages 27-34: Performance charts Clean unmodified: Loans that have never been 30+OTS delinquent or modified Clean modified: Loans that have never been 30+OTS delinquent but have been modified Dirty unmodified: Current loans that have been 30+OTS delinquent and are unmodified Dirty modified: Current loans that have been 30+OTS delinquent and are modified

Page 35: Liquidation timelines Delinquency to liquidation timelines: No. of months for a loan to liquidate from the first month it goes delinquent

Foreclosure to liquidation timelines: No. of months for a loan to liquidate from the first month it goes into foreclosure

REO to liquidation timelines: No. of months for a loan to liquidate from first month it in REO

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Analyst Certification(s) We, Sandeep Bordia, Aaron Haan, Dennis Lee, Harkaran Talwar and Jasraj Vaidya, hereby certify (1) that the views expressed in this research report accurately reflect our personal views about any or all of thesubject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this researchreport. Important Disclosures For current important disclosures regarding companies that are the subject of this research report, please send a written request to: Barclays Capital Research Compliance, 745 Seventh Avenue, 17th Floor, NewYork, NY 10019 or refer to https://ecommerce.barcap.com/research/cgi-bin/all/disclosuresSearch.pl or call 212-526-1072. Barclays Capital does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that Barclays Capital may have a conflict of interest that could affect theobjectivity of this report. Any reference to Barclays Capital includes its affiliates. Barclays Capital and/or an affiliate thereof (the "firm") regularly trades, generally deals as principal and generally provides liquidity (asmarket maker or otherwise) in the debt securities that are the subject of this research report (and related derivatives thereof). The firm's proprietary trading accounts may have either a long and / or short position insuch securities and / or derivative instruments, which may pose a conflict with the interests of investing customers. Where permitted and subject to appropriate information barrier restrictions, the firm's fixed income research analysts regularly interact with its trading desk personnel to determine current prices of fixed income securities. The firm's fixed income research analyst(s) receive compensation based on various factors including, but not limited to, the quality of their work, the overall performance of the firm (including the profitability of the investment banking department), the profitability and revenues of the Fixed IncomeDivision and the outstanding principal amount and trading value of, the profitability of, and the potential interest of the firms investing clients in research with respect to, the asset class covered by the analyst. To theextent that any historical pricing information was obtained from Barclays Capital trading desks, the firm makes no representation that it is accurate or complete. All levels, prices and spreads are historical and do notrepresent current market levels, prices or spreads, some or all of which may have changed since the publication of this document. Barclays Capital produces a variety of research products including, but not limitedto, fundamental analysis, equity-linked analysis, quantitative analysis, and trade ideas. Recommendations contained in one type of research product may differ from recommendations contained in other types ofresearch products, whether as a result of differing time horizons, methodologies, or otherwise.

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