JPM MBS Credit Monthly 2011-06-03 605013

SPG Research
US Fixed Income Strategy

J.P. Morgan Securities LLC
June 3, 2011
MBS Credit Monthly
Credit Commentary
Performance Summary Charts & Projections
43
44
45
46
Matthew Jozoff
AC
(212) 834-3121
matthew.j.jozoff@jpmorgan.com
John Sim
(212) 834-3124
john.sim@jpmorgan.com
Asif Sheikh
(212) 834-5338
asif.a.sheikh@jpmorgan.com
Modification Summary
Historical Series
Re-default Summary
HAMP Report
Projected Balance and Payments
Distribution of Originally AAA Bonds
47
48
49
50
51
52
Performance Charts by Shelf and Vintage
Historical Charts by Product Type and Vintage

2007 Shelf Summary
2006 Shelf Summary
2005 Shelf Summary
2004 Shelf Summary
Robert Saltarelli
(212) 622-4569
robert.t.saltarelli@jpmorgan.com
Kaustub Samant
(212) 834-5444
kaustub.s.samant@jpmorgan.com
Ratings Analysis
By Servicer
By Shelf
Pipeline Age and Timeline Extension
Timeline Extension by Servicer
ARM Reset Analysis
22
23
24
25
28
29
30
32
33
35
42
Loan Modification Report
Underwater Loans and Expected Defaults

Negative Equity
Roll to Delinquent and Unemployment by CLTV
CPR/CDR/Severity
Delinquencies
Servicer Advancing
Liquidation timeline
Home Equity
Roll Rates: Borrower (Always Current) & Lender
Transition Matrices
Delinquency by CLTV
Liquidation Timeline and Performance Quality Ranking
1
2
4
6
7
8
9
11
13
15
16
17
Trends By Sector (Formerly SOS)
Credit Index Remittance Data

Credit Index Modification Summary
Cohort Snapshot by Product Type and Vintage
Historical Roll Rates to Liquidation
Loss Projections by Cohort
HPI Model Scenario Assumptions
Default Attribution
Prepay Attribution by WAC
Prepay Attribution by Cur CTLV
Affordability and Shadow Inventory Concentration
Shadow Inventory and Projections
Universe Breakout
53
57
64
71
78
Securitized Products Weekly

June 3, 2011
John SimAC (1-212) 834-3124
Asif Sheikh (1-212) 834-5338
Abhishek Mistry (1-212) 834-4662

Kaustub Samant (1-212) 834-5444
Non-agency RMBS
Commentary
Exhibit 1: Weaker credits have retraced to levels

from a year ago, while prime mortgages have only
marginally declined
Synthetic prices normalized to June 1st, 2010
PrimeX.FRM.1
ABX.07-2.PENAAA
125%
Weaker credits have now fully retraced to levels

from a year ago, while prime assets have held up
much better
The initial catalyst was Maiden Lane II and other
bank selling. However, weaker home prices and
other risks (stop advance policies, modifications
and rising severities) are also behind the
repricing of the distressed floater market
Our bias has been to hold prime and Alt-A fixedrate paper and we maintain that view. We expect
weaker credit floaters (subprime and Alt-A) to
continue to cheapen
Overall, option ARMs are likely to be pulled
lower as well, but we do find select opportunities
given the cheapening of the sector
We revise our base case home price forecast,
largely based on existing home sales coming in
lower than expected
120%
115%
110%
105%
100%
95%
90%
Jun-10
Feb-11
Apr-11
Jun-11
Shadow Inventory, housing inventory and existing home sales (millions)

9
8
Shadown inventory (mils.)

Housing inventory (mils.)
Existing home sales (mils.)
7
6
As weve discussed over the past several months,

there are increasing risks to the downside in
home prices as the supply/demand imbalance
puts further pressure on home prices. However,
regional divergence is expected to magnify
AC
Dec-10
Exhibit 2: The supply/demand imbalance continues

to pressure home prices
The credit curve continues to steepen as weaker credits

underperform. We have watched 9 months of gains in
ABX.07-2.PENAAA wash away in the past 3 months
(Exhibit 1). Our bias has been to hold prime and Alt-A
fixed-rate paper and we maintain that view. We expect
weaker credit floaters (subprime and Alt-A) to continue
to cheapen. Overall, option ARMs are likely to be pulled
lower as well, but we do see select opportunities given
the cheapening of the sector.
Oct-10
Source: J.P. Morgan, Markit
Our new base case is down 5% from here (Q1

2011) and bottoming in mid-2012. We expect
home prices to modestly improve over the
summer months
Market commentary
Aug-10
4
3
2
0
Sep-02 Jan-04 May-05 Sep-06 Jan-08 May-09 Sep-10
Note: as of 11Q1
Source: J.P. Morgan, Case/Shiller
The subprime market is particularly challenged. Not only

are liquidations from Maiden Lane II pressuring the
market, but other U.S and European bank selling is also
emerging. Note that Dexia bank is planning to sell U.S.
MBS from their legacy financial products portfolio.
Roughly $8.6 billion (current face) are subprime and AltA floaters. In addition to the selling, more investors are
pricing in stop advances, modifications and the potential
for higher severities. We recommend waiting for better
opportunities in subprime.
Indicates certifying analyst. See last page for analyst certification and important disclosures.

June 3, 2011
Home price forecast revised lower,

rolling downside risk remains
The most recent Case/Shiller national index for Q1 2011
hit 125, breaking through a new low and reaching our
base case forecast. We expected a peak-through of -34%
by mid-2011; this was realized a quarter sooner than we
originally projected. We have been warning of risks to
the downside for the past 6 months. Our original forecast
was based on the belief that existing home sales would
average 5.5 million in 2011. Actual sales, however,
appear to be averaging closer to 5mm. The delicate
supply/demand balance will continue to be challenging
for the remainder of this year and into 2012.
Consequently, we revise our base case home price
forecast to a new peak-to-trough of -37% (or another 4%
decline from Q1 2011), bottoming in mid-2012. See
Exhibit 3, for an early indication. We will incorporate
these changes into our daily PrimeX/ABX analytics and
Credit monthly.
Rolling downside risk remains. As mentioned earlier,
the main reason for our downward revision to our home
price forecast is weak demand (i.e. existing home sales
coming in weaker than expected). Comparing housing
inventory (supply) and existing home sales (demand), we
can see that not only is the pace of demand important but
so is the conversion of shadow inventory into real
inventory (Exhibit 2). Net demand (existing home sales
minus housing supply) will be a key factor driving nearterm home prices and we caution that downside risks still
remain if existing home sales continue to decline or the
pace of distressed sales (liquidations from the shadow
inventory) increase. We expect net demand to linger near
1 million in 2011 (roughly 5 million EHS and 4 million
housing inventory), and creep higher in 2012. If this
holds, then we believe that our base case forecast is
reasonable. However, we can see that if net demand
comes in less than expected then home prices can decline
more (Exhibit 4 and 5).
Exhibit 3: Revised home price forecast down

another 4-5% by 2012
Preliminary home price forecasts
Peak to Peak to Current
Scenario Trough Current to Trough
Benign
-35.0%
-34.0%
-1.5%
2011
2012
HPA
HPA 2011p 2012p
EHS
EHS
-5.3%
2.0%
5.37
5.92
Base
-36.8%
-34.0%
-4.3%
-7.5%
0.5%
5.00
5.64
Negativ e
-38.8%
-34.0%
-7.3%
-9.9% -1.2%
4.60
5.36
Sev ere
-40.7%
-34.0%
-10.2%
-11.4% -2.8%
4.17
4.61
Depression -43.1%
-34.0%
-13.8%
-13.1% -4.9%
4.00
4.50
Note: as of 11Q1
Source: J.P. Morgan, Case/Shiller, NAR
Exhibit 4: Net demand is expected to be around 1

million 2011
Net demand (EHS housing supply) and national Case/Shiller hpi
5
Net demand (mils; left)
CS HPI (right)
210
190
170
150
130
110
Mar-00 Jul-01 Nov-02Mar-04 Jul-05 Nov-06Mar-08 Jul-09 Nov-10Mar-12
Note: as of 11Q1
Exhibit 5: Net demand will continue to pressure

home prices
Net housing demand regressed against yoy(%) hpa
20%
15%
10%
%YOY HPA
John SimAC (1-212) 834-3124

Asif Sheikh (1-212) 834-5338
5%
0%
-5%
-10%
y = 0.0714x - 0.1661
R = 0.858
-15%
-20%
-25%
Regional divergence is expected to magnify with

distressed sales pressuring home prices. For example, in
the latest CoreLogic report, home prices in New York
and Texas (ex-distressed sales) were both up roughly
2.5% yoy. Contrast this with Arizona and Nevada
AC
1
2
3
4
Net housing demand (EHS-Inv), mils.
(including distressed sales) both being down just over

11% yoy.

June 3, 2011
John SimAC (1-212) 834-3124
Asif Sheikh (1-212) 834-5338

Subprime repricing is justified, we still

find value in prime and select option
ARMs
The downside risk to yield is greater for weaker credits.
Often the stated loss adjusted yield has additional
downside risks that investors are increasingly pricing in.
For example, we run a sample subprime bond using a
basic, but reasonable, scenario that results in 80%
expected defaults. The starting loss adjusted yield is
10%. However, P&I advances have only been running at
50% or lower for this bond. Total delinquent loans are
roughly 50%, so we assume that this will hold going
forward and the yield drops to 7.75%. We also assume
that 50% of the remaining loans will be modified or there
will be an effective WAC drift of 100bp. This knocks the
yield down to 6.15%. Now we assume that severities
pick up from 80% to 85%, which is not at all
unreasonable given the continued decline in home prices.
This brings the risk adjusted yield to 5% or half of the
original stated yield.
If we assume that investors are willing to accept a 7%
risk adjusted yield (accounting for all of the adjustments
mentioned) then this suggests that the bond would need
to be priced at $32 rather than $37 (a $5 point
correction). While we only focused on LCF subprime in
this example, similar results were found for PENAAA.
Carrying similar logic into other sectors, we find that SSr
option ARMs can offer value at current levels. Of course,
severity plays a significant role in the valuation of option
ARMs, just like subprime, but we argue that it is much
easier to find bonds where severities are expected to run
at or lower than 70% (fast liquidating servicers, high loan
balance loans, etc). In our example, the stated loss
adjusted yield declines from 9.5% to 7%. Therefore, if
investors pricing in the adjustments and are ok with a 7%
yield then no further price correction is warranted. Of
course, there will be bonds where the expected severity
could be higher (or lower). The servicer and loan balance
are key factors to consider.
Our last example, is a 2007 vintage prime 30-year 6%
pass-through priced at $90 with a 5.25% loss adjusted
yield. Assuming a modest modification scenario and
higher severities, the risk adjusted yield drops to 4.6%.
Prices could be pushed a little lower, on the heels of
AC
Exhibit 6: Subprime repricing is justified, option

ARMs and Prime should fare better
Subprime Example
Price
$37
CMLTI 2007-AMC3 A2D
(Starting Yield) =>
(50% P&I Advance, 50% DQ) =>
(200bp Mod, 50% loans) =>
(85% Severity) =>
Yield
10.00%
7.75%
6.15%
5.00%
DM
750
520
360
240
Starting Yield Assumptions

10CDR ramping to 15CDR in 12m, 15CDR tail
2 CPR, 80% Severity (Expected Defaults: 80%)
Price @ 7% risk adjusted yield (450 DM) is $32
Modified Duration is 5.5yrs
Option ARM Example

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

1 CPR, 65% Severity (Expected Defaults: 80%)
Price @ 7% risk adjusted yield (450 DM) is $52
Prime Example
JPMMT 2007-S3 1A35
(Starting Yield) =>
(55% Severity) =>
Price
$90
Yield
5.25%
5.00%
4.60%

8 CPR, 50% Severity (Expected Defaults 40%)
Price @ 5.0% risk adjusted yield is $88.5
Source: J.P. Morgan
pressure from weaker credits, but only marginally. Prime

bonds with attractive carry have REIT sponsorship as
levered ROE hover in the mid-to-high teens. The risk is
if severities rise to 60%; however, we think that is
unlikely given current severities are running in the mid40s. Regardless, the risk adjusted yield at 60% severity is
4.125%.

New York, June 3, 2011
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SPG Research
June 3, 2011
Credit Index Remittance Data

May
60+
DLQ
6.87
12.51
1M Vol
CPR
13.1
13.8
1M
CDR
2.8
6.7
Loss
Sev
44.9
49.9
Cum
Loss
1.25
2.90
New
DLQ
0.27
0.42
Apr
60+ 1M Vol
DLQ CPR
6.80
14.6
12.45 13.6
1M
CDR
3.6
4.7
Loss
Sev
45.1
44.7
Cum
Loss
1.19
2.76
New
DLQ
-0.03
0.19
1M Change
60+ 1M Vol
DLQ CPR
0.07 -1.6
0.06
0.1
1M Loss Cum New

CDR Sev Loss DLQ
-0.9 -0.3 0.06 0.30
2.0 5.2 0.15 0.23
Index
PrimeX.FRM
Series
1
2
PrimeX.ARM
1
2
11.23
16.30
11.4
10.6
4.0
8.4
44.3
41.0
1.88
4.32
0.31
0.64
11.34
16.36
12.7
15.4
4.8
8.0
42.2
47.9
1.81 -0.21
4.18 0.20
-0.11
-0.07
-1.3
-4.8
-0.8
0.3
2.1
-6.9
0.07 0.53
0.15 0.44
Prime
ALL
11.73
12.2
5.4
45.0
2.59
0.41
11.74
14.1
5.3
45.0
2.48
0.04
-0.01
-1.9
0.2
0.0
0.10 0.37
AltA.Fixed.OC
06-2
07-1
07-2
28.62
29.39
28.56
4.5
3.4
3.8
7.5
9.9
11.4
64.0
65.9
68.4
9.99
10.23
11.33
0.18
0.50
0.32
28.82
29.83
29.07
4.9
3.5
4.2
10.5 62.9 9.81 -0.28

12.9 62.2 9.96 -0.80
10.1 66.4 10.94 -0.66
-0.20
-0.43
-0.50
-0.4
-0.1
-0.3
-3.0
-3.0
1.3
1.2
3.7
2.0
0.19 0.46
0.27 1.30
0.39 0.98
AltA.Fixed.SS
06-1
06-2
07-1
07-2
20.72
23.48
28.43
24.61
4.6
4.4
3.9
5.1
5.4
8.2
7.3
7.1
64.5
65.8
59.2
61.9
4.70
7.88
8.74
7.58
0.36
0.50
0.72
0.33
20.79
23.72
28.68
25.02
5.2
6.2
4.6
6.6
6.6
8.4
10.7
8.4
60.5
62.1
57.8
59.0
-0.28
-0.62
-0.70
-0.96
-0.06
-0.24
-0.24
-0.41
-0.6
-1.7
-0.8
-1.6
-1.2
-0.2
-3.4
-1.3
4.0
3.7
1.5
2.9
0.17
0.23
0.20
0.27
0.64
1.12
1.42
1.29
AltA.ARM.OC
06-1
06-2
07-1
07-2
24.37
37.30
36.61
39.64
1.5
2.8
3.3
4.0
9.7
9.4
13.1
13.7
57.9
64.4
61.2
62.9
9.65
14.39
15.69
15.57
0.35
0.33
0.38
0.32
24.75
37.40
36.85
39.97
2.2
2.6
3.4
4.4
12.2
12.4
16.3
15.0
55.8 9.48 -0.13

62.8 14.16 -0.26
63.6 15.38 -0.16
57.4 15.13 -0.03
-0.38
-0.10
-0.24
-0.33
-0.6
0.2
0.0
-0.4
-2.5
-3.1
-3.2
-1.2
2.1
1.6
-2.4
5.5
0.17
0.23
0.31
0.44
0.49
0.59
0.54
0.35
AltA.ARM.SS
06-1
06-2
07-1
07-2
23.88
32.73
32.97
36.41
3.3
3.6
5.7
4.5
8.8
12.7
13.2
12.3
55.0
60.1
56.5
57.5
8.49
12.46
12.01
14.49
0.45
0.52
0.22
0.66
24.00
33.40
33.50
36.46
3.8
3.0
5.1
4.2
12.5
14.2
15.0
14.3
54.1 8.31 -0.22

59.1 12.17 -0.29
59.5 11.69 -0.08
54.6 14.13 0.14
-0.13
-0.67
-0.53
-0.05
-0.6
0.7
0.6
0.3
-3.7
-1.5
-1.8
-2.0
0.9
1.0
-2.9
2.9
0.18
0.29
0.32
0.36
0.67
0.81
0.30
0.52
Alt-A
ALL
29.85
3.9
10.0
61.7
10.88
0.41
30.15
4.3
12.0 59.8 10.61 -0.36
-0.30
-0.4
-2.0
1.8
0.27 0.76
Option.ARM
06-1
06-2
07-1
07-2
41.23
44.58
43.32
43.27
1.6
1.3
1.4
1.7
8.2
12.1
10.1
11.8
60.2
64.8
63.9
62.4
7.78
12.93
16.29
15.41
0.29
0.61
0.40
0.57
41.44
44.44
43.27
43.19
1.8
1.2
0.8
1.6
11.0
13.6
15.1
16.2
60.4 7.62 -0.35

62.6 12.62 -0.03
64.8 15.99 0.01
61.3 15.00 0.29
-0.21
0.13
0.05
0.08
-0.2
0.1
0.6
0.2
-2.7
-1.5
-5.0
-4.4
-0.1
2.2
-0.9
1.1
0.16
0.31
0.30
0.41
Option ARM
ALL
43.10
1.5
10.6
62.8
13.10
0.47
43.09
1.3
14.0 62.3 12.81 -0.02
0.01
0.2
-3.4
0.6
0.30 0.49
ABX.HE
06-1
06-2
07-1
07-2
35.45
39.17
42.41
40.83
1.6
1.1
1.5
1.4
9.0
10.8
11.3
10.6
73.7
79.2
78.9
75.3
13.36
19.07
21.94
24.03
-0.07
0.25
-0.11
0.17
36.00
39.55
43.17
41.39
2.0
1.0
2.1
1.4
9.7
13.3
12.9
12.1
-0.85
-0.75
-0.93
-1.00
-0.55
-0.38
-0.76
-0.56
-0.4
0.2
-0.6
0.0
-0.7
-2.5
-1.7
-1.5
-1.3
-1.0
0.7
1.0
0.14
0.24
0.39
0.38
Subprime
ALL
39.46
1.4
10.4
76.8
19.60
0.06
40.03
1.6
12.0 77.0 19.31 -0.88
-0.56
-0.2
-1.6
-0.2
0.29 0.94
75.1
80.2
78.2
74.4
4.53
7.64
8.53
7.31
13.22
18.83
21.55
23.65
0.65
0.64
0.39
0.28
0.79
1.00
0.82
1.16
Source: JPMorgan, Remittance Reports
A-1
SPG Research
June 3, 2011
Credit Index Modifications - Current Period
Index
PrimeX.FRM
Deals
Series w/Mods
1
14
2
12
Current Period
Num
% of
Mods Mod Dls
12
0.1%
29
0.2%
% of
All Bal
0.1%
0.1%
Pmt
Reduc
809
827
#
Prin
0
2
#
Rate
10
25
#
Capit
10
28
#
Other
0
0
Prin
Reduc
0
58,600
Rate
Reduc
3.05
3.12
Capit
Amt
466,847
300,749
PrimeX.ARM
1
2
17
11
30
23
0.1%
0.3%
0.1%
0.2%
360
629
0
1
23
20
18
21
1
0
0
77,700
2.28
3.11
156,566
213,992
Prime
ALL
54
94
0.2%
0.1%
627
78
77
64,967
2.86
264,954
AltA.Fixed.OC
06-2
07-1
07-2
11
12
14
47
62
126
0.5%
0.5%
0.6%
0.3%
0.4%
0.6%
536
558
704
1
0
3
45
54
108
25
49
108
1
4
1
42,100
0
74,273
3.49
3.68
3.86
29,964
26,483
27,349
AltA.Fixed.SS
06-1
06-2
07-1
07-2
7
10
9
6
26
44
27
50
0.3%
0.4%
0.3%
0.6%
0.1%
0.2%
0.2%
0.2%
218
465
308
797
9
5
5
3
12
31
14
42
3
33
4
43
6
4
6
3
34,666
133,343
55,291
84,781
2.79
4.01
3.66
3.28
19,775
20,634
24,542
37,260
AltA.ARM.OC
06-1
06-2
07-1
07-2
14
11
14
11
45
84
104
70
0.2%
0.5%
0.6%
0.4%
0.2%
0.4%
0.5%
0.3%
236
419
576
486
0
7
6
6
37
52
92
49
35
56
59
59
2
15
4
4
0
49,731
77,992
54,807
1.69
2.00
3.13
3.37
26,810
21,002
25,744
28,442
AltA.ARM.SS
06-1
06-2
07-1
07-2
11
12
10
9
31
72
47
58
0.1%
0.4%
0.5%
0.3%
0.1%
0.3%
0.4%
0.3%
123
182
458
425
7
9
4
4
18
37
35
48
18
41
32
48
5
17
6
5
59,112
128,525
148,632
109,732
2.09
2.20
3.25
4.07
29,512
28,022
29,896
26,849
Alt-A
ALL
161
893
0.4%
0.3%
477
69
674
613
83
80,048
3.22
27,207
Option.ARM
06-1
06-2
07-1
07-2
5
10
11
9
19
61
118
89
0.2%
0.4%
0.4%
0.5%
0.1%
0.3%
0.3%
0.3%
210
343
1,139
258
5
7
11
2
8
37
89
70
13
20
84
59
4
17
15
3
107,908
117,745
103,655
321,646
1.47
1.77
2.08
3.82
23,425
23,972
28,889
21,403
Option ARM
ALL
35
287
0.4%
0.2%
635
25
204
176
39
125,890
2.60
25,417
ABX.HE
06-1
06-2
07-1
07-2
15
15
16
17
244
312
345
618
0.9%
1.0%
0.9%
1.2%
0.7%
0.8%
0.7%
1.0%
180
253
333
376
51
15
55
106
132
231
201
395
77
64
160
277
69
63
93
117
39,483
57,021
47,061
47,716
2.09
2.39
2.93
3.23
22,976
17,138
22,089
22,988
Subprime
ALL
63
1,519
1.0%
0.8%
309
227
959
578
342
46,323
2.81
22,090
ALL
ALL
313
2,793
0.5%
0.4%
407
324
1,915
1,444
465
59,817
2.93
37,618
A-2
SPG Research
June 3, 2011
Credit Index Modifications - Cumulative
Index
PrimeX.FRM
Deals
Series w/Mods
1
14
2
12
Cumulative
Num
% of
% of
Mods Mod Dls All Bal
476
4%
3%
1,214
7%
6%
Pmt
Reduc
691
880
#
Prin
145
498
#
Rate
422
1,153
#
Capit
153
313
#
Other
25
28
Prin
Reduc
9,174
8,979
Rate
Reduc
0.10
0.20
Capit
Amt
130,007
100,310
% prin.
forgiven
2.0%
1.8%
PrimeX.ARM
1
2
17
11
1,121
592
5%
8%
4%
6%
481
975
285
113
867
543
647
231
46
15
27,568
20,423
0.13
0.23
43,210
74,572
6.1%
3.6%
Prime
ALL
54
3,403
6%
5%
739
1,041
2,985
1,344
114
15,338
0.17
71,779
3.1%
AltA.Fixed.OC
06-2
07-1
07-2
11
12
14
1,804
2,431
4,969
14%
17%
21%
10%
14%
20%
296
382
508
163
250
606
1,544
2,088
3,873
1,713
2,255
4,641
28
33
43
16,071
29,667
41,917
0.40
0.65
0.86
19,376
18,339
20,901
6.2%
12.5%
14.3%
AltA.Fixed.SS
06-1
06-2
07-1
07-2
7
10
9
6
993
1,855
1,635
1,690
10%
15%
16%
19%
4%
9%
10%
7%
417
472
670
829
194
385
446
536
858
1,554
1,422
1,612
830
1,610
1,315
1,121
26
33
46
10
47,025
40,902
48,188
71,082
0.30
0.65
0.70
0.70
17,546
18,588
18,181
26,133
17.6%
14.9%
15.9%
21.2%
AltA.ARM.OC
06-1
06-2
07-1
07-2
14
11
14
11
7,055
4,987
5,970
2,906
21%
20%
26%
17%
20%
17%
24%
12%
187
523
567
452
1,132
715
1,189
499
6,273
4,482
5,479
1,978
3,783
4,380
5,335
2,458
75
113
113
27
4,544
38,784
16,587
59,704
0.65
0.75
1.25
0.52
16,744
18,563
20,365
25,520
2.3%
13.1%
5.3%
16.9%
AltA.ARM.SS
06-1
06-2
07-1
07-2
11
12
10
9
5,565
4,809
2,348
2,434
15%
20%
20%
15%
13%
18%
16%
12%
228
502
615
659
1,106
793
384
536
4,974
4,326
2,162
2,279
2,364
4,056
1,992
1,924
79
94
44
37
16,109
46,104
56,892
71,978
0.36
0.70
0.72
0.74
16,780
19,466
23,694
24,030
8.8%
15.9%
16.7%
19.4%
Alt-A
ALL
161
51,451
19%
14%
450
8,934
44,904
39,777
801
35,493
0.71
20,045
12.8%
Option.ARM
06-1
06-2
07-1
07-2
5
10
11
9
1,567
3,427
6,498
3,823
19%
20%
20%
19%
5%
12%
16%
12%
484
382
259
215
381
959
1,088
806
1,137
2,751
5,198
3,430
1,222
2,653
5,951
3,276
30
92
52
44
64,570
55,452
40,158
27,857
0.32
0.37
0.57
0.70
17,841
18,856
21,144
23,806
17.7%
15.0%
10.4%
6.7%
Option ARM
ALL
35
15,315
20%
12%
299
3,234
12,516
13,102
218
44,504
0.54
21,038
11.5%
ABX.HE
06-1
06-2
07-1
07-2
15
15
16
17
16,385
23,126
21,564
29,240
48%
57%
49%
50%
40%
44%
37%
41%
318
371
394
521
7,522
7,576
5,814
10,254
13,299
19,626
17,567
24,621
13,525
19,439
18,588
23,968
367
626
415
708
9,521
10,358
16,229
22,587
1.63
2.07
1.63
2.06
16,175
17,450
17,404
18,263
6.0%
5.9%
8.5%
11.0%
Subprime
ALL
63
90,315
51%
40%
415
31,166
75,113
75,520
2,116
15,275
1.89
17,468
8.2%
ALL
ALL
313
160,484
23%
17%
422
44,375 135,518 129,743
3,249
21,477
1.34
19,181
8.9%
A-3
SPG Research
June 3, 2011
Non-agency Performance Summary Data

Cur Bal
($bn)
15.4
33.0
31.9
38.4
Factor
0.2908
0.4648
0.4502
0.5381
May Remit
60+ 1M Vol 1M
DLQ
CPR CDR
5.6
17.6
0.8
10.2
13.7
3.4
14.2
12.4
5.3
13.8
13.6
5.4
Loss Cum
Sev
Sev
48.4 31.3
43.9 40.8
49.5 44.5
46.3 44.6
Cum New
Loss DLQ
0.2% 0.8
1.3% 1.0
2.2% 1.1
2.2% 1.1
1M Change
60+ 1M Vol 1M Loss Cum Cum New
DLQ
CPR CDR Sev Sev Loss DLQ
0.2
-5.7 -0.8 15.8
0.4 0.0% 0.2
0.0
-2.6
0.2 -1.0
0.1 0.1% 0.3
0.0
-3.1 -0.4 -0.1
0.2 0.1% 0.1
0.0
-1.0
0.3 -3.0
0.1 0.1% 0.1
Product
Prime Fixed
Vintage
2004
2005
2006
2007
Prime Hybrid
2004
2005
2006
2007
34.4
48.2
32.0
19.7
0.2496
0.4404
0.4539
0.5381
8.3
12.4
20.6
21.6
12.0
11.0
11.4
12.0
2.7
5.6
7.6
8.0
37.5
43.9
48.5
51.5
32.5
40.7
45.9
46.6
0.5%
2.1%
3.9%
4.3%
0.8
1.0
1.4
1.4
-0.1
-0.1
0.0
-0.1
-0.8
-1.3
-3.1
-1.0
-0.4
-0.5
-1.8
-0.5
-0.1
-0.7
-1.5
3.4
0.2
0.1
0.1
0.2
0.0%
0.1%
0.1%
0.2%
0.2
0.2
0.2
0.2
Alt-A Fixed
2004
2005
2006
2007
23.8
64.1
66.2
37.3
0.3199
0.4702
0.5011
0.6027
12.7
19.7
29.9
28.0
7.8
6.0
4.5
5.4
2.2
4.9
8.1
7.4
54.7
59.4
63.1
61.7
42.4
50.5
56.4
55.5
1.2%
4.0%
8.7%
7.6%
1.4
1.6
2.0
1.7
0.1
0.1
-0.2
-0.3
-0.9
-1.1
-0.5
-0.8
-0.7
-1.3
-1.5
-2.1
2.0
1.0
0.7
1.6
0.3
0.2
0.2
0.2
0.0%
0.1%
0.2%
0.2%
0.3
0.4
0.6
0.3
Alt-A Hybrid
2004
2005
2006
2007
26.4
64.0
68.5
29.7
0.1753
0.3378
0.4237
0.5055
17.3
26.4
38.3
37.7
4.2
3.7
4.3
5.6
5.2
9.0
12.5
12.8
48.1
57.2
63.8
58.9
41.2 2.1%
50.2 8.2%
56.2 15.5%
55.6 14.7%
1.6
1.6
1.9
1.9
-0.2
-0.3
-0.4
-0.8
-1.1
-0.8
-0.1
0.2
-1.3
-1.9
-2.4
-3.0
-0.2
0.4
-1.4
-0.1
0.1
0.1
0.1
0.1
0.0%
0.1%
0.3%
0.3%
0.4
0.4
0.4
0.4
Option ARM
2004
2005
2006
2007
9.4
46.1
85.3
40.7
0.1666
0.3037
0.4950
0.6585
34.7
46.2
47.5
45.1
3.5
1.4
1.6
2.7
7.6
9.9
11.8
12.0
48.1
58.8
63.4
61.2
43.1 1.9%
51.8 8.0%
56.8 15.6%
56.3 13.8%
1.9
1.8
2.0
2.1
-0.1
0.1
0.0
0.1
0.7
-0.1
0.1
0.3
-0.8
-3.7
-3.5
-2.9
-3.5
-1.3
0.9
2.0
0.1
0.1
0.1
0.1
0.1%
0.2%
0.3%
0.4%
0.5
0.4
0.4
0.4
Subprime Fixed
2004
2005
2006
2007
24.8
35.6
36.4
12.1
0.3028
0.4564
0.5532
0.6751
17.5
25.0
32.6
35.9
3.5
2.9
2.2
2.2
3.0
4.6
5.8
5.2
66.0
69.4
74.4
77.2
54.5
57.4
64.3
66.9
2.8%
5.7%
9.2%
8.3%
1.5
1.7
1.9
1.9
0.0
-0.1
0.1
0.3
-1.7
-0.3
-0.4
0.0
-0.4
-0.7
-0.8
-0.7
-1.0
0.5
0.4
1.9
0.2
0.2
0.2
0.3
0.0%
0.1%
0.2%
0.2%
0.2
0.3
0.3
0.2
Subprime Hybrid
2004
2005
2006
2007
20.6
75.1
118.7
31.3
0.0677
0.1793
0.3514
0.5406
42.0
45.8
50.3
50.0
1.5
1.2
1.0
1.2
7.2
11.2
11.8
9.1
76.4
75.5
79.4
76.9
51.9 4.6%
57.7 13.2%
64.4 22.5%
65.4 18.4%
2.3
2.1
1.9
1.9
0.0
-0.4
-0.2
-0.1
-0.2
0.1
0.0
-0.1
-1.6
-1.4
-2.0
-2.2
-1.1
0.0
0.3
0.4
0.1
0.1
0.2
0.2
0.0%
0.1%
0.3%
0.3%
0.5
0.3
0.3
0.3
2004
2005
2006
2007
All
* Data as of May remits
154.8
366.1
439.1
209.1
1169.2
0.2311
0.3607
0.4445
0.5767
0.4137
17.8
28.3
38.6
33.2
31.6
7.3
5.1
3.8
6.2
5.1
3.8
7.5
10.1
8.9
8.2
53.4
59.8
66.5
60.6
61.6
42.1 1.8%
50.6 6.8%
57.6 14.1%
55.0 10.2%
52.9 9.5%
1.4
1.6
1.8
1.7
1.7
0.0
-0.1
-0.1
-0.2
-0.1
-1.3
-0.7
-0.6
-0.4
-0.7
-0.8
-1.4
-2.1
-1.7
-1.6
1.3
-0.1
0.1
0.6
0.3
0.2
0.2
0.2
0.1
0.2
0.0%
0.1%
0.3%
0.3%
0.2%
0.3
0.3
0.4
0.3
0.3
Overall
Source: JPMorgan, Loan Performance
A-4
SPG Research
June 3, 2011
Non-agency Performance Summary Charts

Delinquency
Voluntary Prepays
60
1M Vol CPR
60+ DLQ (%)
50
40
30
20
10
Prime
Fixed
Prime
Hybrid
Alt-A Fixed
Alt-A
Hybrid
Option
ARM
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
20
18
16
14
12
10
8
6
4
2
0
Subprime Subprime
Fixed
Hybrid
Prime
Fixed
Prime
Hybrid
Liquidation
Loss Severity
12
1M CDR
10
8
6
4
2
Alt-A
Hybrid
Option
ARM
Prime Fixed
Subprime Subprime
Fixed
Hybrid
Prime
Hybrid
Cum Severity
Alt-A Fixed Alt-A Hybrid
Option
ARM
Subprime Subprime
Fixed
Hybrid
Cum Loss
80
70
60
50
40
30
20
10
0
25%
Cum Loss
20%
15%
10%
5%
Prime
Fixed
Prime
Hybrid
Alt-A Fixed
Alt-A
Hybrid
Option
ARM
Subprime Subprime
Fixed
Hybrid
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
0%
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
Cum Severity
Subprime Subprime
Fixed
Hybrid
90
80
70
60
50
40
30
20
10
0
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
Alt-A Fixed
Option
ARM
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
2004
2005
2006
2007
Prime
Hybrid
Alt-A
Hybrid
Loss Severity
14
Prime
Fixed
Alt-A Fixed
Prime
Fixed
Prime
Hybrid
Alt-A Fixed
Alt-A
Hybrid
Option
ARM
Subprime Subprime
Fixed
Hybrid
A-5
SPG Research
June 3, 2011
Roll Rates to Liquidation

Five Year Roll Rates to Liquidation
Sector
Prime Fixed
Prime ARM
Alt-A Fixed
Alt-A Hybrid
Option ARM
Subprime Fixed
Subprime Hybrid
Vintage
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
Historical CPR Current

30.3
0.6%
20.2
3.7%
15.9
8.1%
12.7
3.5%
10.4
10%
12.5
14%
9.4
3.4%
6.9
8%
4.7
14%
3.8
8%
2.9
15%
3.1
24%
2.5
12%
1.2
23%
1.0
26%
5.0
7%
3.2
10%
2.4
12%
1.5
16%
0.9
22%
0.9
21%
30D
5%
18%
28%
17%
33%
40%
11%
21%
28%
21%
31%
42%
25%
40%
43%
12%
15%
17%
21%
28%
28%
60D
14%
35%
43%
34%
55%
59%
23%
37%
42%
37%
49%
57%
41%
55%
57%
20%
23%
24%
28%
36%
35%
90D
20%
43%
51%
46%
64%
66%
35%
49%
53%
52%
62%
65%
53%
64%
65%
29%
32%
30%
36%
44%
42%
F/C
27%
57%
65%
56%
75%
76%
48%
62%
66%
64%
72%
73%
60%
71%
73%
41%
45%
43%
46%
55%
53%
REO
91%
99%
98%
97%
99%
99%
98%
98%
99%
98%
99%
99%
98%
99%
99%
96%
97%
97%
96%
97%
97%
Proj Def
2%
8%
15%
7%
17%
26%
8%
17%
28%
17%
29%
43%
27%
44%
48%
13%
18%
22%
29%
38%
38%
30D
6%
23%
36%
23%
45%
53%
21%
41%
58%
48%
67%
78%
65%
88%
90%
34%
48%
56%
70%
83%
83%
60D
15%
40%
51%
41%
64%
68%
33%
55%
68%
60%
76%
85%
73%
92%
93%
40%
53%
61%
73%
85%
85%
90D
22%
49%
58%
52%
72%
74%
44%
64%
74%
70%
83%
88%
80%
94%
95%
47%
59%
64%
76%
87%
87%
F/C
29%
62%
71%
62%
81%
83%
56%
75%
82%
77%
88%
92%
83%
96%
96%
56%
67%
71%
80%
90%
90%
REO
92%
99%
99%
98%
99%
99%
98%
99%
99%
99%
99%
100%
99%
100%
100%
97%
98%
99%
99%
99%
99%
Proj Def
2%
12%
24%
13%
31%
40%
17%
37%
57%
45%
65%
78%
66%
89%
91%
34%
49%
59%
73%
85%
86%
Lifetime Roll Rates to Liquidation

Sector
Prime Fixed
Prime ARM
Alt-A Fixed
Alt-A Hybrid
Option ARM
Subprime Fixed
Subprime Hybrid
Vintage
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
2004 and earlier
2005
2006-2007
CPR
30.3
20.2
15.9
12.7
10.4
12.5
9.4
6.9
4.7
3.8
2.9
3.1
2.5
1.2
1.0
5.0
3.2
2.4
1.5
0.9
0.9
Current
1.1%
8%
17%
9.8%
24%
29%
13%
30%
48%
39%
57%
69%
58%
84%
87%
29%
43%
53%
68%
81%
81%
Roll rates to liquidation based on past 6 months' historical experience. Projected defaults are implied by the given roll rates and the
current delinquency pipeline, as a percentage of current balance
Source: J.P. Morgan, Loan Performance
A-6
SPG Research
June 3, 2011
Loss Projections by Cohort

Non-agency Transition Loan-level Model
Prime Fixed
Orig
Full Doc FICO LTV
Orig
CTLV
Cur
LTV
Cur
CLTV
60+
Always
Cur
Reperf
Dlq
Loss to
Date
64
65
51
52
3.3
79.9
15.7
4.4
0.03
68
69
69
71
5.2
77.8
15.6
6.6
0.17
737
71
73
94
97
9.6
74.4
14.1
11.5
50.2
736
73
77
106
111
13.7
68.2
15.9
5.7
45.0
739
74
79
104
111
13.5
70.6
6.0
51.0
737
71
74
90
94
10.2
Orig
CTLV
Cur
LTV
Cur
CLTV
Orig Year
Factor
Inv
2003
0.1862
4.3
57.6
736
2004
0.3001
7.6
55.4
734
2005
0.4685
6.3
52.7
2006
0.4515
6.3
2007
0.5372
Combined
0.3701
Base*
Future
Dflt
Severely Neg
Future
Proj
Dflt
Sev
Proj
Sev
Cum
Loss
3.7
15
0.2
4.4
9.3
32
1.2
11.3
1.00
19.9
47
5.8
15.9
1.87
28.6
52
13.7
15.7
2.07
28.8
73.2
14.8
12.0
0.96
60+
Always
Cur
Reperf
Dlq
Loss to
Date
Life Roll Rates
Cum
Loss
Future
Dflt
Cum
Loss
19
0.2
2.0
0.1
38
1.6
2.5
0.4
23.4
53
7.3
12.5
3.8
9.4
32.4
57
11.2
23.7
7.5
51
10.6
33.0
55
12.9
23.7
8.5
20.7
49
5.1
23.9
53
6.2
15.4
3.8
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Cum
Loss
Prime Hybrid ARM

Orig
Full Doc FICO LTV
Orig Year
Factor
Inv
2003
0.1486
9.5
53.0
730
65
67
61
62
5.5
75.9
17.2
6.9
0.14
6.3
21
0.4
7.7
25
0.5
12.7
0.5
2004
0.2474
9.5
51.9
733
70
73
80
84
8.6
74.6
15.3
10.1
0.55
15.7
36
2.4
19.6
41
3.2
14.2
1.8
2005
0.4452
10.2
52.6
737
71
75
103
108
12.4
70.6
15.1
14.3
2.11
30.8
50
9.8
36.8
54
12.1
31.2
9.0
2006
0.4547
11.4
39.0
734
72
75
111
116
19.5
62.0
15.9
22.1
3.38
43.4
54
14.9
49.6
58
17.7
39.6
13.1
2007
0.5316
12.3
36.2
736
72
76
108
114
21.6
60.5
15.4
24.1
4.02
45.7
53
18.2
52.2
57
21.7
40.7
15.4
Combined
0.3198
10.5
47.6
735
70
74
95
100
13.4
69.1
15.6
15.3
1.48
29.0
49
6.6
34.0
53
8.1
28.1
5.8
Orig Year
Factor
Inv
Orig
CTLV
Cur
LTV
Cur
CLTV
60+
Always
Cur
Reperf
Dlq
Loss to
Date
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Cum
Loss
2003
0.2245
31.4
37.3
717
70
71
60
61
7.2
84.1
7.4
8.5
0.58
10.9
28
1.3
12.6
31
1.6
15.8
1.6
2004
0.3216
29.1
38.0
713
73
75
78
80
11.6
77.4
9.5
13.1
1.15
21.6
40
4.2
24.6
44
5.1
17.5
3.4
2005
0.4730
20.1
35.7
715
72
77
98
103
18.0
69.6
10.5
19.8
4.05
36.7
54
14.0
40.5
57
15.9
37.4
13.5
2006
0.5012
17.7
23.8
706
74
80
108
116
27.7
54.2
15.8
30.0
8.75
51.0
59
24.8
54.6
62
27.1
56.9
25.6
2007
0.6041
16.6
23.7
712
73
77
105
112
26.2
57.3
14.4
28.3
7.58
48.0
57
24.9
52.0
60
27.8
56.3
27.0
Combined
0.4394
20.6
30.1
711
73
77
98
103
21.1
64.4
12.6
23.1
4.90
39.8
55
15.1
43.3
59
16.9
43.2
15.5
Orig
CTLV
Cur
LTV
Cur
CLTV
60+
Always
Cur
Reperf
Dlq
Loss to
Date
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Cum
Loss
1.6
Alt-A Fixed
Orig
Full Doc FICO LTV
Alt-A Hybrid ARM

Orig
Full Doc FICO LTV
Orig Year
Factor
Inv
2003
0.1005
23.0
34.7
716
71
73
71
73
10.8
79.2
8.9
11.9
0.53
15.1
26
1.1
17.9
29
1.4
43.2
2004
0.1785
21.7
38.4
714
74
80
92
99
16.2
69.9
12.3
17.8
2.16
33.5
42
5.3
38.7
45
6.2
45.4
5.5
2005
0.3400
20.2
31.9
716
75
82
113
123
24.7
60.1
13.4
26.5
8.27
52.5
54
19.7
57.7
57
21.8
64.8
20.2
2006
0.4238
17.7
24.0
710
76
84
121
134
36.0
45.0
16.7
38.3
15.25
66.6
59
33.2
70.9
61
35.7
77.2
34.4
2007
0.5098
16.8
19.2
716
75
81
117
127
34.9
46.7
16.0
37.3
14.76
66.9
59
36.2
71.7
62
39.5
77.0
37.8
Combined
0.3271
19.0
27.9
713
75
82
113
124
29.1
54.0
14.8
31.2
8.96
56.8
56
20.6
61.6
58
22.5
68.4
21.4
Orig
CTLV
Cur
LTV
Cur
CLTV
60+
Always
Cur
Reperf
Dlq
Loss to
Date
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Cum
Loss
3.1
Option ARM
Orig
Full Doc FICO LTV
Orig Year
Factor
Inv
2003
0.1061
21.7
29.1
688
71
72
77
78
19.9
61.4
16.1
22.5
0.66
28.2
37
1.9
34.4
41
2.4
63.1
2004
0.1698
13.1
24.7
696
73
74
100
102
33.2
52.3
12.6
35.2
1.85
45.8
49
6.1
52.5
52
7.1
66.2
7.3
2005
0.3090
19.2
16.9
704
75
78
128
132
44.2
40.2
13.2
46.6
8.02
66.8
60
21.7
72.0
63
23.8
88.9
24.5
2006
0.4975
15.7
9.9
706
76
80
136
144
45.0
37.0
15.4
47.6
15.53
73.5
63
40.0
77.8
65
43.2
91.0
43.9
2007
0.6539
16.4
11.5
713
76
79
129
135
42.0
42.5
12.8
44.7
13.74
70.8
62
43.6
75.8
65
47.9
90.7
50.4
Combined
0.4099
16.6
12.9
707
75
79
130
136
43.4
39.9
14.1
46.0
10.86
69.6
61
29.6
74.4
64
32.3
89.1
33.2
Subprime Fixed
Orig Year
Factor
Inv
Orig
CTLV
Cur
LTV
Cur
CLTV
60+
Always
Cur
Reperf
Dlq
Loss to
Date
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Cum
Loss
2003
0.1711
8.4
Orig
Full Doc FICO LTV
68.2
654
77
78
70
71
14.5
62.1
20.4
17.5
2.22
26.9
42
4.2
30.4
44
4.6
33.1
4.6
2004
0.2761
7.5
71.7
650
77
79
82
83
17.5
58.2
21.0
20.7
3.97
36.2
53
8.8
40.4
55
9.8
33.7
8.9
2005
0.3892
5.9
72.0
642
77
81
100
103
24.4
48.3
23.7
28.0
12.48
50.7
68
24.7
54.7
70
26.4
48.7
25.4
2006
0.4661
5.4
69.5
636
77
82
108
114
30.6
39.7
25.9
34.4
20.50
62.1
75
42.1
65.4
77
44.1
57.8
40.8
2007
0.6251
5.1
69.1
625
77
80
107
110
33.6
35.4
26.9
37.7
13.49
64.7
72
43.3
67.9
74
46.0
58.3
39.8
Combined
0.3483
6.2
70.5
641
77
80
97
100
25.0
47.6
23.9
28.6
10.26
50.5
68
21.8
54.2
70
23.2
48.1
21.6
Orig
CTLV
Cur
LTV
Cur
CLTV
60+
Always
Cur
Reperf
Dlq
Loss to
Date
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Proj
Sev
Cum
Loss
Future
Dflt
Cum
Loss
3.7
Subprime Hybrid ARM

Orig
Full Doc FICO LTV
Orig Year
Factor
Inv
2003
0.0329
6.6
69.2
605
81
83
84
86
31.0
26.3
37.6
36.0
2.84
53.5
36
3.7
56.5
37
3.8
71.8
2004
0.0682
6.4
65.5
613
82
86
97
102
41.2
21.2
33.0
45.7
4.74
67.5
47
7.4
70.6
49
7.7
73.0
7.1
2005
0.1811
6.3
59.5
625
81
87
116
125
45.1
19.5
31.2
49.2
14.28
78.4
60
23.2
80.8
61
24.0
84.9
23.5
2006
0.3505
5.5
56.9
624
81
88
124
134
47.7
18.5
29.9
51.6
24.65
84.3
68
45.0
86.4
70
46.6
85.3
45.1
2007
0.5369
5.7
59.8
619
81
85
121
127
47.5
19.4
29.2
51.4
19.98
83.1
70
51.4
85.8
72
54.1
85.2
51.9
Combined
0.2022
5.8
58.9
622
81
87
119
127
46.1
19.3
30.6
50.1
13.90
80.5
63
24.7
82.9
64
25.6
84.0
24.8
* Cum loss numbers are projected losses (including losses already incurred) as % of orig bal. Future defaults are % of current bal.
A-7
SPG Research
June - 2011
200
Projections
180
160
140
120
100
benign
CS US HPI
Benign
neg
Base
sev
Negative
dep
base
Severely
Negative
Housing
Depression
-12.9
Curr-trough
-2.4
-3.4
-5.7
-8.6
Peak-trough
-33.0
-33.7
-35.2
-37.2
-40.2
Bottom Time
2011Q1
2011Q1
2012Q1
2012Q4
2012Q4
*current = 10Q4
Source: JPM HPI Model Version: CS10Q4
Existing Home
Sales
projections (MM)
Benign
Base
Negative
Severely
Negative
Housing
Depression
2007
5.65
5.65
5.65
5.65
5.65
2008
4.91
4.91
4.91
4.91
4.91
2009
5.16
5.16
5.16
5.16
5.16
2010
4.91
4.91
4.91
4.91
4.91
2011p
5.47
5.54
5.03
4.52
4.00
2012p
5.96
5.96
5.68
5.40
4.65
Source: Moody's Economy.com

A-8
SPG Research
June 3, 2011
Default Attribution Summary - Prime and Alt-A

Prime Fixed 2007
Always Current
CCLTV
Curr Bal
Exp Def
<60
2.5%
0.6%
60-70
2.2%
1.3%
70-80
4.1%
2.5%
80-90
7.7%
4.3%
90-100
11.2%
7.2%
100-110
12.0%
11.2%
110-120
10.0%
16.2%
120+
21.9%
28.1%
Defaults
10%
Delinquent
Curr Bal
Exp Def
0.1%
45.5%
0.2%
55.1%
0.5%
62.7%
1.0%
71.3%
1.6%
78.9%
2.1%
84.8%
2.4%
87.7%
7.8%
93.1%
14%
Reperforming
Curr Bal
Exp Def
0.25%
2.2%
0.24%
7.1%
0.56%
11.5%
1.08%
16.7%
1.69%
23.3%
1.92%
32.3%
1.87%
40.0%
5.05%
53.9%
5%
Prime ARM 2007

Always Current
CCLTV
Curr Bal
Exp Def
<60
2.2%
0.5%
60-70
1.8%
1.8%
70-80
3.1%
3.7%
80-90
5.3%
7.0%
90-100
7.9%
12.6%
100-110
10.2%
20.3%
110-120
8.7%
29.8%
120+
21.9%
45.1%
Defaults
16%
Delinquent
Curr Bal
Exp Def
0.1%
49.4%
0.3%
62.9%
0.5%
61.4%
1.2%
75.5%
2.1%
81.8%
3.0%
89.8%
3.6%
92.3%
14.0%
95.8%
23%
Reperforming
Curr Bal
Exp Def
0.23%
1.6%
0.27%
5.0%
0.51%
10.3%
0.93%
17.1%
1.29%
28.0%
1.99%
40.6%
2.02%
52.4%
6.96%
67.3%
7%
Prime Fixed 2006

Always Current
CCLTV
Curr Bal
Exp Def
<60
2.9%
0.6%
60-70
2.6%
1.3%
70-80
4.9%
2.4%
80-90
8.4%
4.4%
90-100
10.9%
7.4%
100-110
10.5%
11.2%
110-120
8.8%
16.2%
120+
20.8%
27.2%
Defaults
10%
Delinquent
Curr Bal
Exp Def
0.2%
47.0%
0.2%
57.3%
0.6%
64.4%
1.2%
72.9%
1.8%
79.2%
2.3%
84.8%
2.0%
87.1%
8.1%
92.5%
14%
Reperforming
Curr Bal
Exp Def
0.30%
3.6%
0.36%
6.3%
0.82%
10.2%
1.30%
16.5%
1.94%
22.9%
1.92%
30.8%
1.88%
38.1%
5.21%
52.2%
5%
Prime ARM 2006

Always Current
CCLTV
Curr Bal
Exp Def
<60
2.4%
0.6%
60-70
1.9%
1.7%
70-80
3.4%
3.8%
80-90
5.5%
7.0%
90-100
8.0%
12.0%
100-110
9.6%
19.6%
110-120
8.2%
27.2%
120+
24.6%
44.1%
Defaults
16%
Delinquent
Curr Bal
Exp Def
0.2%
40.0%
0.3%
53.9%
0.7%
62.8%
1.2%
72.5%
1.9%
81.4%
2.7%
87.4%
2.8%
90.6%
13.1%
94.4%
20%
Reperforming
Curr Bal
Exp Def
0.27%
2.2%
0.31%
5.8%
0.52%
11.0%
0.88%
17.8%
1.32%
28.6%
1.74%
40.0%
1.71%
49.4%
6.98%
64.7%
7%
Prime Fixed 2005

Always Current
CCLTV
Curr Bal
Exp Def
<60
7.8%
0.6%
60-70
6.1%
1.5%
70-80
9.6%
2.6%
80-90
11.9%
4.7%
90-100
12.3%
7.8%
100-110
9.3%
12.3%
110-120
6.9%
16.3%
120+
13.7%
25.2%
Defaults
8%
Delinquent
Curr Bal
Exp Def
0.4%
39.7%
0.4%
54.6%
0.8%
63.2%
1.4%
72.4%
1.7%
78.8%
1.6%
84.4%
1.4%
87.0%
4.2%
90.9%
10%
Reperforming
Curr Bal
Exp Def
0.63%
2.1%
0.56%
5.4%
1.02%
8.7%
1.55%
14.6%
1.61%
21.7%
1.35%
29.9%
1.17%
36.5%
2.61%
47.7%
3%
Prime ARM 2005

Always Current
CCLTV
Curr Bal
Exp Def
<60
4.3%
0.6%
60-70
3.4%
1.7%
70-80
5.9%
3.1%
80-90
8.8%
5.8%
90-100
10.2%
10.4%
100-110
10.8%
17.5%
110-120
8.7%
24.3%
120+
21.2%
37.4%
Defaults
14%
Delinquent
Curr Bal
Exp Def
0.1%
35.2%
0.2%
50.7%
0.5%
61.8%
1.0%
68.6%
1.5%
78.0%
2.1%
85.1%
1.8%
87.7%
7.8%
92.3%
13%
Reperforming
Curr Bal
Exp Def
0.47%
1.0%
0.40%
4.5%
0.70%
7.2%
1.20%
13.1%
1.41%
22.6%
1.63%
31.7%
1.47%
43.6%
4.23%
56.5%
4%
Alt-A Fixed 2007

Always Current
CCLTV
Curr Bal
Exp Def
<60
2.7%
1.8%
60-70
2.3%
3.9%
70-80
3.8%
6.5%
80-90
5.8%
10.3%
90-100
6.8%
15.1%
100-110
7.2%
19.7%
110-120
5.5%
24.7%
120+
13.2%
37.9%
Defaults
10%
Delinquent
Curr Bal
Exp Def
0.4%
38.6%
0.5%
59.8%
1.2%
66.5%
2.5%
77.8%
3.4%
84.4%
4.9%
88.8%
4.1%
90.8%
15.6%
94.5%
29%
Reperforming
Curr Bal
Exp Def
0.69%
6.2%
0.64%
13.1%
1.12%
19.8%
1.93%
27.4%
2.57%
36.5%
2.98%
44.2%
2.59%
52.2%
7.71%
63.5%
9%
Alt-A ARM 2007

Always Current
CCLTV
Curr Bal
Exp Def
<60
1.1%
1.2%
60-70
0.9%
3.2%
70-80
1.8%
7.0%
80-90
2.8%
11.9%
90-100
4.1%
20.7%
100-110
5.2%
30.1%
110-120
5.0%
37.6%
120+
15.8%
55.6%
Defaults
14%
Delinquent
Curr Bal
Exp Def
0.2%
33.7%
0.2%
53.6%
0.7%
65.9%
1.6%
78.7%
2.5%
85.6%
4.0%
91.7%
4.3%
93.9%
28.7%
97.0%
40%
Reperforming
Curr Bal
Exp Def
0.25%
8.3%
0.32%
12.6%
0.53%
21.1%
1.02%
30.6%
1.62%
43.6%
2.25%
55.9%
2.44%
62.9%
12.65%
77.0%
14%
Alt-A Fixed 2006

Always Current
CCLTV
Curr Bal
Exp Def
<60
2.5%
2.1%
60-70
2.0%
4.4%
70-80
3.5%
7.0%
80-90
5.0%
11.2%
90-100
6.0%
15.5%
100-110
6.4%
20.7%
110-120
4.9%
25.6%
120+
13.2%
40.7%
Defaults
10%
Delinquent
Curr Bal
Exp Def
0.4%
43.5%
0.5%
53.9%
1.3%
68.6%
2.4%
78.1%
3.5%
84.1%
4.5%
89.0%
3.9%
90.4%
18.3%
94.1%
31%
Reperforming
Curr Bal
Exp Def
0.61%
6.8%
0.61%
11.9%
1.21%
19.6%
1.94%
27.7%
2.48%
35.9%
3.09%
44.2%
2.45%
51.3%
9.16%
64.1%
10%
Alt-A ARM 2006

Always Current
CCLTV
Curr Bal
Exp Def
<60
0.9%
1.9%
60-70
0.7%
4.0%
70-80
1.6%
7.3%
80-90
2.7%
11.4%
90-100
3.7%
18.0%
100-110
5.0%
27.5%
110-120
4.4%
35.8%
120+
17.6%
55.1%
Defaults
14%
Delinquent
Curr Bal
Exp Def
0.1%
28.7%
0.2%
53.8%
0.6%
67.3%
1.4%
75.3%
2.1%
84.7%
3.6%
89.4%
3.7%
91.9%
30.0%
96.0%
39%
Reperforming
Curr Bal
Exp Def
0.22%
5.3%
0.27%
14.6%
0.44%
18.0%
0.94%
28.1%
1.35%
37.3%
2.18%
51.8%
2.25%
60.8%
14.00%
76.1%
14%
Alt-A Fixed 2005

Always Current
CCLTV
Curr Bal
Exp Def
<60
5.6%
1.6%
60-70
4.3%
3.6%
70-80
7.0%
6.0%
80-90
8.3%
9.3%
90-100
8.7%
13.5%
100-110
7.1%
18.2%
110-120
5.2%
23.6%
120+
12.9%
37.7%
Defaults
10%
Delinquent
Curr Bal
Exp Def
0.5%
38.3%
0.8%
57.3%
1.5%
67.2%
2.6%
76.1%
2.9%
83.6%
3.1%
87.3%
2.7%
89.3%
9.6%
93.7%
20%
Reperforming
Curr Bal
Exp Def
0.95%
4.6%
1.07%
9.6%
1.70%
16.4%
2.32%
24.4%
2.19%
30.7%
2.15%
41.4%
1.64%
47.6%
5.14%
60.8%
6%
Alt-A ARM 2005

Always Current
CCLTV
Curr Bal
Exp Def
<60
1.5%
1.0%
60-70
1.6%
3.3%
70-80
3.1%
5.8%
80-90
5.0%
9.2%
90-100
6.2%
15.9%
100-110
7.0%
22.7%
110-120
6.1%
31.4%
120+
20.4%
50.8%
Defaults
16%
Delinquent
Curr Bal
Exp Def
0.2%
35.2%
0.2%
55.3%
0.7%
66.7%
1.5%
74.6%
2.3%
80.8%
3.1%
86.5%
3.0%
90.0%
18.3%
94.6%
26%
Reperforming
Curr Bal
Exp Def
0.25%
3.4%
0.42%
9.1%
0.84%
12.9%
1.25%
22.1%
2.07%
33.8%
2.35%
42.9%
2.33%
51.5%
10.17%
70.3%
10%
Source: J.P. Morgan
A-9
SPG Research
June 3, 2011
Default Attribution Summary - Subprime and Option ARM

SubPrime Fixed 2007
Always Current
CCLTV
Curr Bal
Exp Def
<60
1.4%
11.9%
60-70
1.3%
16.8%
70-80
2.6%
22.8%
80-90
4.4%
30.5%
90-100
5.1%
38.8%
100-110
4.9%
44.8%
110-120
3.2%
50.1%
120+
6.3%
62.3%
Defaults
12%
Delinquent
Curr Bal
Exp Def
0.6%
62.7%
0.9%
69.2%
1.8%
76.2%
3.8%
82.3%
5.5%
86.7%
6.5%
88.7%
5.7%
89.7%
16.7%
92.2%
37%
Reperforming
Curr Bal
Exp Def
0.74%
26.6%
0.87%
31.8%
1.67%
38.3%
3.21%
45.3%
4.14%
51.8%
4.43%
56.5%
3.94%
59.5%
10.37%
63.8%
16%
SubPrime ARM 2007

Always Current
CCLTV
Curr Bal
Exp Def
<60
0.3%
12.1%
60-70
0.4%
16.5%
70-80
0.8%
23.3%
80-90
1.4%
31.1%
90-100
2.4%
41.8%
100-110
2.7%
52.4%
110-120
2.3%
62.4%
120+
5.9%
78.9%
Defaults
9%
Delinquent
Curr Bal
Exp Def
0.3%
61.9%
0.4%
72.6%
1.1%
78.4%
2.7%
83.8%
4.8%
88.6%
6.8%
91.5%
7.2%
93.6%
30.9%
96.6%
51%
Reperforming
Curr Bal
Exp Def
0.44%
34.0%
0.49%
39.1%
0.93%
46.5%
1.84%
57.7%
2.94%
67.0%
3.86%
74.2%
4.10%
80.5%
14.99%
88.3%
23%
SubPrime Fixed 2006

Always Current
CCLTV
Curr Bal
Exp Def
<60
1.7%
11.4%
60-70
1.6%
16.1%
70-80
3.1%
21.7%
80-90
5.2%
29.2%
90-100
5.6%
36.8%
100-110
5.7%
43.1%
110-120
3.7%
48.3%
120+
8.4%
61.3%
Defaults
14%
Delinquent
Curr Bal
Exp Def
0.4%
57.1%
0.7%
66.6%
1.6%
76.0%
3.0%
81.2%
4.4%
85.4%
5.6%
87.6%
5.1%
88.7%
17.2%
91.9%
33%
Reperforming
Curr Bal
Exp Def
0.59%
24.8%
0.68%
29.3%
1.51%
36.6%
2.64%
43.7%
3.60%
49.8%
4.12%
55.2%
3.47%
57.2%
10.43%
63.0%
15%
SubPrime ARM 2006

Always Current
CCLTV
Curr Bal
Exp Def
<60
0.2%
11.1%
60-70
0.2%
21.6%
70-80
0.5%
24.9%
80-90
1.4%
32.6%
90-100
1.9%
43.8%
100-110
2.5%
52.3%
110-120
2.0%
61.0%
120+
6.0%
79.2%
Defaults
9%
Delinquent
Curr Bal
Exp Def
0.2%
63.1%
0.3%
71.6%
0.8%
77.8%
2.1%
84.6%
3.8%
88.8%
5.7%
91.6%
6.4%
93.4%
35.9%
96.1%
52%
Reperforming
Curr Bal
Exp Def
0.32%
36.7%
0.37%
43.3%
0.78%
50.5%
1.68%
56.7%
2.58%
65.5%
3.43%
72.7%
3.70%
79.2%
17.05%
87.0%
24%
SubPrime Fixed 2005

Always Current
CCLTV
Curr Bal
Exp Def
<60
3.8%
9.4%
60-70
3.7%
13.8%
70-80
6.4%
19.7%
80-90
8.3%
25.3%
90-100
7.8%
32.0%
100-110
5.8%
38.4%
110-120
3.6%
43.7%
120+
8.7%
56.0%
Defaults
15%
Delinquent
Curr Bal
Exp Def
0.7%
54.0%
1.0%
65.8%
2.3%
72.7%
3.7%
80.0%
4.2%
83.6%
4.4%
86.1%
3.1%
86.7%
10.2%
89.9%
25%
Reperforming
Curr Bal
Exp Def
0.82%
19.6%
0.99%
25.3%
2.20%
32.5%
3.18%
41.1%
3.29%
46.2%
3.01%
50.4%
2.33%
52.8%
6.76%
58.8%
11%
SubPrime ARM 2005

Always Current
CCLTV
Curr Bal
Exp Def
<60
0.4%
12.6%
60-70
0.5%
17.2%
70-80
1.4%
21.0%
80-90
2.5%
30.1%
90-100
3.0%
38.7%
100-110
2.8%
49.6%
110-120
2.1%
61.3%
120+
6.4%
77.2%
Defaults
10%
Delinquent
Curr Bal
Exp Def
0.2%
58.5%
0.5%
70.7%
1.6%
77.8%
3.2%
82.8%
5.2%
87.7%
6.4%
90.5%
6.1%
92.1%
27.7%
95.0%
47%
Reperforming
Curr Bal
Exp Def
0.33%
33.2%
0.48%
36.2%
1.30%
43.9%
2.32%
51.8%
3.34%
61.6%
4.02%
69.6%
3.65%
75.8%
14.64%
83.3%
22%
Option ARM 2007

Always Current
CCLTV
Curr Bal
Exp Def
<60
0.6%
4.1%
60-70
0.6%
6.1%
70-80
1.0%
9.7%
80-90
2.2%
16.1%
90-100
3.8%
25.8%
100-110
5.3%
36.1%
110-120
6.2%
46.6%
120+
23.1%
66.6%
Defaults
22%
Delinquent
Curr Bal
Exp Def
0.0%
53.8%
0.1%
62.7%
0.3%
63.9%
0.8%
70.5%
1.8%
79.5%
3.3%
82.1%
4.6%
86.8%
33.2%
92.1%
40%
Reperforming
Curr Bal
Exp Def
0.10%
19.9%
0.12%
37.0%
0.19%
44.9%
0.44%
45.0%
0.76%
50.9%
1.10%
60.7%
1.42%
67.6%
8.78%
81.5%
10%
Option ARM 2006

Always Current
CCLTV
Curr Bal
Exp Def
<60
0.5%
4.3%
60-70
0.5%
5.5%
70-80
1.0%
9.4%
80-90
1.9%
14.5%
90-100
3.1%
22.6%
100-110
4.1%
33.4%
110-120
4.5%
44.7%
120+
21.2%
67.9%
Defaults
19%
Delinquent
Curr Bal
Exp Def
0.1%
44.6%
0.1%
53.2%
0.2%
61.9%
0.9%
73.9%
1.6%
77.7%
2.7%
80.1%
3.8%
84.8%
38.6%
92.5%
43%
Reperforming
Curr Bal
Exp Def
0.07%
23.7%
0.10%
41.6%
0.23%
37.9%
0.42%
41.6%
0.70%
52.6%
1.08%
58.3%
1.38%
65.7%
11.24%
81.5%
11%
Option ARM 2005

Always Current
CCLTV
Curr Bal
Exp Def
<60
0.9%
7.0%
60-70
1.0%
7.4%
70-80
2.0%
10.7%
80-90
3.3%
15.8%
90-100
4.6%
24.6%
100-110
5.3%
35.9%
110-120
5.3%
45.9%
120+
18.6%
62.8%
Defaults
18%
Delinquent
Curr Bal
Exp Def
0.1%
47.9%
0.2%
51.4%
0.5%
63.2%
1.3%
70.0%
2.2%
75.1%
3.5%
79.0%
4.1%
85.2%
34.6%
91.0%
41%
Reperforming
Curr Bal
Exp Def
0.08%
25.8%
0.14%
30.5%
0.28%
34.1%
0.60%
38.4%
0.97%
42.6%
1.40%
51.6%
1.49%
61.1%
7.67%
73.8%
8%
Source: J.P. Morgan
A-10
SPG Research
June 3, 2011
Prepay Attribution Summary by WAC - Prime

Prime Fixed 2007
Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.24%
0.0
4.5-5.0
0.04%
0.0
5.0-5.5
0.06%
1.9
5.5-6.0
1.29%
8.2
6.0-6.5
19.32%
9.2
6.5-7.0
41.37%
9.7
7.0-7.5
8.02%
12.2
7.5+
1.27%
16.2
Prepays
9.9
Delinquent
Curr Bal
1yr CPR
0.75%
0.0
0.14%
0.0
0.26%
0.0
0.23%
0.2
2.62%
0.6
7.74%
0.7
2.76%
0.8
1.24%
0.7
0.6
Total
7.8
Reperforming
Curr Bal
1yr CPR
3.95%
0.0
0.43%
0.3
0.62%
0.3
0.42%
1.9
1.91%
7.1
3.99%
8.1
1.05%
9.9
0.30%
13.9
4.9
Prime ARM 2007

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.81%
4.6
4.5-5.0
0.39%
5.4
5.0-5.5
0.97%
7.9
5.5-6.0
4.14%
10.1
6.0-6.5
20.20%
10.6
6.5-7.0
26.17%
10.6
7.0-7.5
7.35%
10.0
7.5+
1.04%
11.9
Prepays
10.4
Delinquent
Curr Bal
1yr CPR
1.31%
0.1
0.30%
0.1
0.48%
0.1
1.36%
0.5
5.79%
0.6
9.19%
0.7
4.90%
0.6
1.38%
0.5
0.6
Total
7.3
Reperforming
Curr Bal
1yr CPR
4.45%
0.2
0.54%
0.1
0.63%
2.1
0.67%
7.1
2.66%
8.4
3.66%
8.9
1.35%
9.4
0.25%
10.7
5.4
Prime Fixed 2006

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.20%
0.3
4.5-5.0
0.02%
0.0
5.0-5.5
0.09%
3.6
5.5-6.0
0.98%
9.3
6.0-6.5
13.29%
9.8
6.5-7.0
41.98%
10.1
7.0-7.5
12.44%
11.1
7.5+
0.81%
13.8
Prepays
10.2
Delinquent
Curr Bal
1yr CPR
0.74%
0.0
0.15%
0.1
0.25%
0.0
0.24%
0.3
2.08%
0.6
8.50%
0.7
3.84%
0.7
0.66%
0.7
0.6
Total
8.0
Reperforming
Curr Bal
1yr CPR
4.28%
0.0
0.44%
0.1
0.55%
0.5
0.39%
2.6
1.47%
7.1
4.63%
8.6
1.79%
9.9
0.17%
8.6
5.2
Prime ARM 2006

Always Current
WAC
Curr Bal
1yr CPR
<4.5
10.59%
3.9
4.5-5.0
0.13%
3.7
5.0-5.5
0.42%
8.0
5.5-6.0
3.24%
9.5
6.0-6.5
16.63%
8.8
6.5-7.0
25.51%
8.3
7.0-7.5
6.32%
8.6
7.5+
0.65%
8.2
Prepays
7.8
Delinquent
Curr Bal
1yr CPR
4.31%
0.2
0.23%
0.1
0.42%
0.1
1.03%
0.6
4.24%
0.5
8.45%
0.5
3.34%
0.6
0.78%
0.7
0.5
Total
5.6
Reperforming
Curr Bal
1yr CPR
5.59%
0.8
0.37%
0.4
0.48%
1.0
0.43%
4.0
2.04%
7.1
3.55%
7.0
1.15%
6.6
0.12%
6.5
4.0
Prime Fixed 2005

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.12%
0.3
4.5-5.0
0.07%
8.6
5.0-5.5
1.99%
10.5
5.5-6.0
20.02%
10.1
6.0-6.5
46.05%
9.8
6.5-7.0
8.79%
10.4
7.0-7.5
0.64%
12.3
7.5+
0.04%
13.0
Prepays
10.0
Delinquent
Curr Bal
1yr CPR
0.51%
0.0
0.09%
0.1
0.20%
0.6
2.00%
0.8
6.58%
0.7
2.07%
0.7
0.29%
0.5
0.04%
0.5
0.7
Total
8.5
Reperforming
Curr Bal
1yr CPR
2.26%
0.0
0.27%
0.4
0.35%
3.4
1.78%
8.1
4.45%
8.3
1.27%
8.7
0.12%
11.2
0.00%
9.6
6.2
Prime ARM 2005

Always Current
WAC
Curr Bal
1yr CPR
<4.5
41.44%
7.1
4.5-5.0
0.33%
10.8
5.0-5.5
2.46%
13.0
5.5-6.0
15.10%
11.5
6.0-6.5
11.94%
9.7
6.5-7.0
1.84%
7.5
7.0-7.5
0.10%
9.6
7.5+
0.19%
6.7
Prepays
8.6
Delinquent
Curr Bal
1yr CPR
9.63%
0.4
0.14%
0.1
0.40%
0.7
1.91%
0.8
2.12%
0.7
0.70%
0.7
0.10%
0.2
0.09%
0.3
0.5
Total
7.1
Reperforming
Curr Bal
1yr CPR
7.73%
4.2
0.20%
0.9
0.44%
5.9
1.47%
10.5
1.38%
8.0
0.23%
7.0
0.02%
9.8
0.04%
4.0
5.5
Prime Fixed 2004

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.06%
1.9
4.5-5.0
0.80%
9.5
5.0-5.5
9.90%
12.1
5.5-6.0
30.56%
12.2
6.0-6.5
33.57%
12.4
6.5-7.0
7.41%
14.0
7.0-7.5
0.63%
14.8
7.5+
0.05%
21.1
Prepays
12.4
Delinquent
Curr Bal
1yr CPR
0.23%
0.0
0.07%
0.9
0.33%
1.3
1.52%
2.0
3.30%
1.4
1.50%
1.3
0.27%
1.7
0.01%
1.0
1.5
Total
11.4
Reperforming
Curr Bal
1yr CPR
0.96%
0.1
0.18%
2.9
0.81%
8.1
2.62%
10.8
3.84%
11.1
1.21%
13.2
0.16%
12.4
0.02%
20.9
9.8
Prime ARM 2004

Always Current
WAC
Curr Bal
1yr CPR
<4.5
63.55%
15.2
4.5-5.0
1.58%
16.7
5.0-5.5
5.84%
18.7
5.5-6.0
6.53%
15.2
6.0-6.5
2.10%
13.1
6.5-7.0
0.33%
12.6
7.0-7.5
0.17%
9.6
7.5+
0.04%
9.5
Prepays
15.4
Delinquent
Curr Bal
1yr CPR
8.46%
1.3
0.14%
1.5
0.52%
1.5
0.69%
1.3
0.26%
1.4
0.10%
1.3
0.15%
0.6
0.00%
0.0
1.3
Total
13.5
Reperforming
Curr Bal
1yr CPR
7.83%
10.5
0.23%
7.0
0.52%
11.6
0.60%
11.7
0.24%
11.5
0.07%
8.8
0.05%
7.8
0.00%
8.1
10.6
Prime Fixed 2003

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.07%
6.8
4.5-5.0
1.64%
12.2
5.0-5.5
15.93%
14.3
5.5-6.0
35.45%
16.0
6.0-6.5
29.57%
17.5
6.5-7.0
4.69%
19.9
7.0-7.5
0.31%
23.8
7.5+
0.05%
25.3
Prepays
16.4
Delinquent
Curr Bal
1yr CPR
0.08%
0.1
0.05%
4.1
0.40%
3.5
1.26%
3.5
2.03%
3.2
0.66%
3.0
0.15%
3.1
0.05%
2.4
3.2
Total
15.6
Reperforming
Curr Bal
1yr CPR
0.34%
0.2
0.13%
7.0
0.85%
12.0
2.62%
14.2
2.94%
15.8
0.64%
18.2
0.07%
17.7
0.03%
24.4
14.2
Prime ARM 2003

Always Current
WAC
Curr Bal
1yr CPR
<4.5
60.10%
21.6
4.5-5.0
3.83%
23.1
5.0-5.5
12.39%
29.9
5.5-6.0
5.93%
30.3
6.0-6.5
1.63%
26.9
6.5-7.0
0.37%
21.3
7.0-7.5
0.10%
11.8
7.5+
0.02%
16.2
Prepays
23.5
Delinquent
Curr Bal
1yr CPR
4.97%
3.7
0.27%
3.3
0.63%
5.3
0.39%
6.6
0.21%
5.4
0.10%
3.6
0.04%
1.3
0.01%
0.3
4.1
Total
21.8
Reperforming
Curr Bal
1yr CPR
7.08%
17.7
0.36%
16.3
0.77%
22.7
0.50%
24.9
0.21%
23.2
0.06%
18.4
0.02%
22.6
0.00%
7.7
18.6
Prime Fixed 2002LE

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.05%
0.0
4.5-5.0
0.03%
11.9
5.0-5.5
0.46%
16.6
5.5-6.0
9.51%
19.5
6.0-6.5
25.86%
21.0
6.5-7.0
27.55%
24.4
7.0-7.5
11.95%
30.8
7.5+
4.49%
39.7
Prepays
24.5
Delinquent
Curr Bal
1yr CPR
0.23%
0.1
0.06%
0.3
0.17%
0.0
0.34%
5.2
1.39%
4.1
2.44%
5.2
1.97%
6.9
1.88%
7.8
5.7
Total
22.6
Reperforming
Curr Bal
1yr CPR
0.39%
0.2
0.08%
2.3
0.28%
1.6
0.85%
14.7
2.47%
18.1
3.77%
21.4
2.23%
27.3
1.53%
35.9
21.9
Prime ARM 2002LE

Always Current
WAC
Curr Bal
1yr CPR
<4.5
65.04%
25.4
4.5-5.0
0.44%
24.3
5.0-5.5
1.96%
34.6
5.5-6.0
4.08%
32.9
6.0-6.5
4.39%
29.6
6.5-7.0
2.23%
20.0
7.0-7.5
0.15%
20.0
7.5+
0.04%
30.3
Prepays
26.1
Delinquent
Curr Bal
1yr CPR
7.77%
5.8
0.09%
1.2
0.26%
0.5
0.22%
1.0
0.32%
7.4
0.02%
4.3
0.00%
0.0
0.19%
5.5
5.5
Total
23.6
Reperforming
Curr Bal
1yr CPR
10.85%
21.2
0.07%
15.6
0.18%
14.6
0.50%
29.3
0.39%
10.9
0.70%
13.5
0.03%
6.7
0.09%
4.5
20.5
Source: J.P. Morgan
A-11
SPG Research
June 3, 2011
Prepay Attribution Summary by WAC - Alt-A

Alt-A Fixed 2007
Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.29%
0.0
4.5-5.0
0.05%
0.2
5.0-5.5
0.11%
2.0
5.5-6.0
0.63%
7.6
6.0-6.5
7.10%
8.3
6.5-7.0
24.26%
8.8
7.0-7.5
10.13%
9.6
7.5+
4.62%
11.5
Prepays
9.1
Delinquent
Curr Bal
1yr CPR
2.47%
0.0
0.42%
0.0
0.65%
0.1
0.36%
0.2
2.58%
0.7
11.11%
0.6
8.53%
0.6
6.44%
0.5
0.5
Total
5.3
Reperforming
Curr Bal
1yr CPR
7.83%
0.0
0.60%
0.2
0.67%
0.3
0.40%
1.4
1.28%
5.9
4.64%
7.3
3.07%
8.0
1.75%
10.2
4.2
Alt-A ARM 2007

Always Current
WAC
Curr Bal
1yr CPR
<4.5
1.15%
2.8
4.5-5.0
0.21%
2.7
5.0-5.5
0.70%
7.1
5.5-6.0
2.60%
8.5
6.0-6.5
9.47%
9.7
6.5-7.0
12.82%
9.3
7.0-7.5
6.36%
8.6
7.5+
3.42%
9.5
Prepays
9.0
Delinquent
Curr Bal
1yr CPR
4.72%
0.1
0.61%
0.1
1.20%
0.1
1.79%
0.2
5.82%
0.6
10.18%
0.5
8.45%
0.4
9.44%
0.3
0.4
Total
4.1
Reperforming
Curr Bal
1yr CPR
11.20%
0.3
0.67%
0.4
0.72%
1.6
0.76%
5.1
1.71%
7.6
2.80%
7.3
1.84%
6.9
1.37%
8.3
3.1
Alt-A Fixed 2006

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.29%
0.0
4.5-5.0
0.04%
0.0
5.0-5.5
0.09%
1.7
5.5-6.0
0.37%
6.2
6.0-6.5
3.78%
8.4
6.5-7.0
16.45%
8.8
7.0-7.5
13.96%
9.7
7.5+
8.63%
10.9
Prepays
9.4
Delinquent
Curr Bal
1yr CPR
2.42%
0.0
0.38%
0.0
0.88%
0.0
0.47%
0.1
1.63%
0.5
7.80%
0.6
10.36%
0.6
10.90%
0.5
0.5
Total
5.2
Reperforming
Curr Bal
1yr CPR
7.57%
0.0
0.76%
0.1
0.89%
0.2
0.42%
1.1
0.91%
4.8
3.61%
7.4
4.29%
8.3
3.10%
9.5
4.5
Alt-A ARM 2006

Always Current
WAC
Curr Bal
1yr CPR
<4.5
6.24%
3.6
4.5-5.0
0.26%
2.2
5.0-5.5
0.56%
4.4
5.5-6.0
1.40%
6.7
6.0-6.5
6.13%
7.3
6.5-7.0
11.95%
7.0
7.0-7.5
6.98%
6.5
7.5+
3.15%
6.1
Prepays
6.2
Delinquent
Curr Bal
1yr CPR
9.48%
0.1
0.68%
0.0
1.06%
0.1
1.24%
0.2
3.32%
0.3
8.63%
0.3
8.68%
0.2
8.57%
0.2
0.2
Total
2.8
Reperforming
Curr Bal
1yr CPR
11.63%
0.7
0.85%
0.3
0.96%
0.4
0.71%
2.3
1.30%
4.9
2.46%
5.3
2.05%
5.4
1.71%
4.1
2.2
Alt-A Fixed 2005

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.19%
0.4
4.5-5.0
0.04%
1.7
5.0-5.5
0.50%
7.1
5.5-6.0
7.23%
8.4
6.0-6.5
28.35%
8.2
6.5-7.0
15.77%
9.2
7.0-7.5
4.91%
10.2
7.5+
2.09%
13.1
Prepays
8.8
Delinquent
Curr Bal
1yr CPR
1.17%
0.0
0.23%
0.0
0.58%
0.1
1.45%
0.7
7.27%
0.6
7.07%
0.6
3.58%
0.5
2.41%
0.4
0.5
Total
6.3
Reperforming
Curr Bal
1yr CPR
3.80%
0.0
0.44%
0.1
0.79%
0.6
1.16%
6.0
5.07%
7.2
3.52%
8.1
1.52%
9.4
0.87%
10.8
5.6
Alt-A ARM 2005

Always Current
WAC
Curr Bal
1yr CPR
<4.5
30.46%
5.5
4.5-5.0
0.76%
4.1
5.0-5.5
1.06%
9.1
5.5-6.0
5.94%
9.4
6.0-6.5
7.79%
7.7
6.5-7.0
3.61%
7.3
7.0-7.5
0.90%
7.3
7.5+
0.37%
7.2
Prepays
6.5
Delinquent
Curr Bal
1yr CPR
17.45%
0.3
0.76%
0.2
0.79%
0.1
2.01%
0.5
3.55%
0.4
2.85%
0.3
1.32%
0.3
0.70%
0.2
0.3
Total
4.0
Reperforming
Curr Bal
1yr CPR
13.89%
2.5
0.71%
1.5
0.71%
3.0
1.22%
5.5
1.76%
5.6
0.88%
6.6
0.33%
6.2
0.18%
4.7
3.2
Alt-A Fixed 2004

Always Current
WAC
Curr Bal
1yr CPR
<4.5
1.10%
9.5
4.5-5.0
0.53%
7.8
5.0-5.5
2.69%
9.0
5.5-6.0
10.96%
9.7
6.0-6.5
29.04%
10.5
6.5-7.0
17.83%
11.2
7.0-7.5
4.38%
13.6
7.5+
1.83%
17.4
Prepays
10.8
Delinquent
Curr Bal
1yr CPR
0.76%
0.2
0.15%
0.5
0.54%
0.7
1.26%
1.1
5.02%
1.1
5.23%
0.9
2.17%
1.1
1.26%
1.3
1.0
Total
8.8
Reperforming
Curr Bal
1yr CPR
2.38%
1.2
0.29%
0.9
0.77%
3.3
1.76%
8.2
4.59%
9.1
3.66%
9.8
1.19%
11.9
0.62%
13.9
7.9
Alt-A ARM 2004

Always Current
WAC
Curr Bal
1yr CPR
<4.5
50.20%
10.6
4.5-5.0
1.36%
10.8
5.0-5.5
1.94%
13.7
5.5-6.0
3.62%
13.0
6.0-6.5
2.33%
10.8
6.5-7.0
0.82%
10.2
7.0-7.5
0.18%
9.6
7.5+
0.09%
10.8
Prepays
10.9
Delinquent
Curr Bal
1yr CPR
16.05%
0.9
0.63%
0.6
0.75%
0.4
1.03%
0.9
0.90%
0.6
0.53%
1.0
0.22%
1.0
0.19%
0.8
0.9
Total
8.0
Reperforming
Curr Bal
1yr CPR
15.91%
6.6
0.69%
4.9
0.63%
4.7
0.86%
9.3
0.58%
7.8
0.30%
7.4
0.13%
5.7
0.05%
7.6
6.7
Alt-A Fixed 2003

Always Current
WAC
Curr Bal
1yr CPR
<4.5
1.91%
12.3
4.5-5.0
0.93%
7.3
5.0-5.5
5.94%
10.7
5.5-6.0
19.95%
12.5
6.0-6.5
27.40%
13.9
6.5-7.0
13.74%
15.4
7.0-7.5
4.20%
18.0
7.5+
2.64%
22.7
Prepays
14.0
Delinquent
Curr Bal
1yr CPR
0.63%
1.3
0.12%
0.6
0.42%
1.3
1.44%
2.2
3.11%
2.2
2.40%
2.1
1.32%
2.2
1.10%
2.6
2.1
Total
12.3
Reperforming
Curr Bal
1yr CPR
1.53%
2.2
0.20%
3.3
0.78%
6.2
2.44%
10.7
3.63%
12.0
2.43%
13.5
0.93%
15.4
0.83%
18.0
11.0
Alt-A ARM 2003

Always Current
WAC
Curr Bal
1yr CPR
<4.5
62.73%
19.7
4.5-5.0
0.83%
18.1
5.0-5.5
1.75%
23.8
5.5-6.0
1.75%
24.7
6.0-6.5
1.15%
20.0
6.5-7.0
0.80%
14.3
7.0-7.5
0.21%
15.1
7.5+
0.06%
18.0
Prepays
19.8
Delinquent
Curr Bal
1yr CPR
12.02%
2.7
0.31%
0.7
0.45%
1.5
0.45%
0.8
0.31%
3.5
0.20%
1.5
0.15%
0.2
0.17%
1.4
2.6
Total
16.7
Reperforming
Curr Bal
1yr CPR
13.36%
15.5
0.74%
17.0
1.01%
15.9
0.76%
18.9
0.38%
17.5
0.33%
11.2
0.04%
10.8
0.07%
18.6
15.7
Alt-A Fixed 2002LE

Always Current
WAC
Curr Bal
1yr CPR
<4.5
0.28%
0.4
4.5-5.0
0.02%
2.2
5.0-5.5
0.42%
12.0
5.5-6.0
3.62%
15.2
6.0-6.5
13.37%
17.1
6.5-7.0
21.15%
19.7
7.0-7.5
13.30%
24.4
7.5+
15.81%
31.7
Prepays
22.5
Delinquent
Curr Bal
1yr CPR
0.65%
0.1
0.12%
0.0
0.33%
0.1
0.36%
2.4
1.62%
3.5
2.69%
4.1
2.77%
4.6
7.13%
5.2
4.3
Total
19.2
Reperforming
Curr Bal
1yr CPR
1.70%
0.1
0.18%
0.0
0.45%
1.7
0.37%
9.6
1.63%
13.4
3.09%
18.3
2.71%
21.9
6.21%
29.2
19.8
Alt-A ARM 2002LE

Always Current
WAC
Curr Bal
1yr CPR
<4.5
56.48%
22.3
4.5-5.0
0.20%
33.9
5.0-5.5
1.05%
23.4
5.5-6.0
1.47%
28.0
6.0-6.5
1.38%
34.4
6.5-7.0
2.20%
28.7
7.0-7.5
0.61%
25.6
7.5+
1.19%
33.2
Prepays
23.2
Delinquent
Curr Bal
1yr CPR
11.88%
4.7
0.12%
1.9
0.60%
0.9
0.46%
1.5
0.50%
0.7
0.64%
2.6
0.23%
1.8
0.70%
8.2
4.3
Total
19.0
Reperforming
Curr Bal
1yr CPR
15.74%
16.5
0.19%
10.1
0.64%
2.0
0.54%
7.5
1.13%
22.1
0.81%
14.6
0.37%
31.2
0.89%
25.0
16.6
Source: J.P. Morgan
A-12
SPG Research
June 3, 2011
Prepay Attribution Summary by Cur CLTV - Prime

Prime Fixed 2007
Always Current
CCLTV
Curr Bal
1yr CPR
<60
2.47%
24.0
60-70
2.16%
22.6
70-80
4.08%
19.2
80-90
7.73%
15.9
90-100
11.25%
11.9
100-110
11.99%
8.9
110-120
10.03%
7.1
120+
21.89%
4.1
Prepays
9.9
Delinquent
Curr Bal
1yr CPR
0.13%
5.2
0.18%
3.9
0.47%
2.6
1.04%
2.0
1.60%
1.1
2.07%
0.6
2.41%
0.5
7.84%
0.2
0.6
Total
7.8
Reperforming
Curr Bal
1yr CPR
0.25%
20.0
0.24%
16.3
0.56%
13.7
1.08%
10.4
1.69%
7.3
1.92%
4.6
1.87%
3.1
5.05%
1.4
4.9
Prime ARM 2007

Always Current
CCLTV
Curr Bal
1yr CPR
<60
2.16%
34.1
60-70
1.84%
28.4
70-80
3.11%
23.1
80-90
5.27%
18.2
90-100
7.91%
13.1
100-110
10.19%
9.0
110-120
8.72%
6.7
120+
21.88%
3.9
Prepays
10.4
Delinquent
Curr Bal
1yr CPR
0.09%
10.3
0.26%
4.5
0.54%
4.7
1.15%
2.3
2.07%
1.3
2.97%
0.4
3.60%
0.3
14.04%
0.1
0.6
Total
7.3
Reperforming
Curr Bal
1yr CPR
0.23%
29.5
0.27%
23.9
0.51%
19.2
0.93%
14.8
1.29%
9.2
1.99%
5.4
2.02%
3.7
6.96%
1.5
5.4
Prime Fixed 2006

Always Current
CCLTV
Curr Bal
1yr CPR
<60
2.91%
23.5
60-70
2.65%
22.7
70-80
4.89%
19.9
80-90
8.37%
16.1
90-100
10.92%
11.5
100-110
10.46%
8.7
110-120
8.81%
6.8
120+
20.82%
3.8
Prepays
10.2
Delinquent
Curr Bal
1yr CPR
0.19%
5.4
0.20%
3.1
0.60%
2.9
1.20%
1.7
1.80%
1.0
2.34%
0.5
2.04%
0.3
8.09%
0.1
0.6
Total
8.0
Reperforming
Curr Bal
1yr CPR
0.30%
18.8
0.36%
16.8
0.82%
14.1
1.30%
10.6
1.94%
6.8
1.92%
4.6
1.88%
3.1
5.21%
1.2
5.2
Prime ARM 2006

Always Current
CCLTV
Curr Bal
1yr CPR
<60
2.44%
27.3
60-70
1.89%
23.3
70-80
3.40%
18.5
80-90
5.49%
14.2
90-100
7.96%
10.0
100-110
9.55%
6.8
110-120
8.16%
4.8
120+
24.60%
2.4
Prepays
7.8
Delinquent
Curr Bal
1yr CPR
0.16%
7.9
0.27%
4.9
0.68%
3.1
1.20%
1.8
1.92%
0.8
2.70%
0.3
2.77%
0.2
13.09%
0.1
0.5
Total
5.6
Reperforming
Curr Bal
1yr CPR
0.27%
24.8
0.31%
17.5
0.52%
14.4
0.88%
10.5
1.32%
6.7
1.74%
3.7
1.71%
2.5
6.98%
0.9
4.0
Prime Fixed 2005

Always Current
CCLTV
Curr Bal
1yr CPR
<60
7.84%
17.6
60-70
6.14%
17.6
70-80
9.63%
15.4
80-90
11.89%
12.2
90-100
12.35%
8.7
100-110
9.32%
6.2
110-120
6.86%
4.7
120+
13.68%
2.8
Prepays
10.0
Delinquent
Curr Bal
1yr CPR
0.37%
4.4
0.40%
2.5
0.80%
1.8
1.38%
1.1
1.65%
0.6
1.59%
0.3
1.36%
0.2
4.23%
0.1
0.7
Total
8.5
Reperforming
Curr Bal
1yr CPR
0.63%
15.1
0.56%
14.6
1.02%
12.3
1.55%
8.9
1.61%
5.9
1.35%
3.9
1.17%
2.6
2.61%
1.2
6.2
Prime ARM 2005

Always Current
CCLTV
Curr Bal
1yr CPR
<60
4.27%
24.5
60-70
3.44%
21.2
70-80
5.89%
17.3
80-90
8.85%
13.1
90-100
10.23%
9.2
100-110
10.81%
6.0
110-120
8.75%
4.2
120+
21.16%
2.1
Prepays
8.7
Delinquent
Curr Bal
1yr CPR
0.11%
8.2
0.23%
5.2
0.53%
2.7
0.97%
1.4
1.53%
0.7
2.06%
0.3
1.82%
0.2
7.83%
0.1
0.5
Total
7.1
Reperforming
Curr Bal
1yr CPR
0.47%
20.1
0.40%
18.0
0.70%
14.1
1.20%
11.0
1.41%
6.6
1.63%
4.0
1.47%
2.5
4.23%
1.1
5.5
Prime Fixed 2004

Always Current
CCLTV
Curr Bal
1yr CPR
<60
29.11%
14.8
60-70
13.96%
15.5
70-80
14.69%
13.4
80-90
10.78%
10.2
90-100
6.40%
6.8
100-110
3.53%
5.1
110-120
1.89%
4.1
120+
2.61%
2.9
Prepays
12.4
Delinquent
Curr Bal
1yr CPR
0.94%
4.0
0.91%
3.3
1.27%
1.6
1.35%
1.0
0.92%
0.4
0.63%
0.3
0.50%
0.1
0.71%
0.1
1.5
Total
11.4
Reperforming
Curr Bal
1yr CPR
2.34%
13.7
1.59%
14.0
1.95%
11.6
1.48%
7.8
1.01%
4.9
0.61%
2.8
0.34%
2.0
0.47%
1.4
9.9
Prime ARM 2004

Always Current
CCLTV
Curr Bal
1yr CPR
<60
14.80%
24.4
60-70
10.55%
22.6
70-80
13.85%
18.7
80-90
12.70%
14.4
90-100
10.27%
10.1
100-110
7.33%
6.9
110-120
4.70%
4.9
120+
5.93%
2.8
Prepays
15.4
Delinquent
Curr Bal
1yr CPR
0.42%
6.5
0.65%
4.6
1.23%
2.8
1.72%
1.3
1.72%
0.7
1.38%
0.3
1.05%
0.2
2.15%
0.1
1.3
Total
13.5
Reperforming
Curr Bal
1yr CPR
1.04%
21.5
1.04%
19.0
1.55%
15.2
1.69%
10.6
1.27%
7.5
1.08%
3.8
0.72%
2.6
1.14%
1.4
10.6
Prime Fixed 2003

Always Current
CCLTV
Curr Bal
1yr CPR
<60
60.14%
17.1
60-70
14.47%
17.2
70-80
7.69%
14.4
80-90
3.36%
11.1
90-100
1.14%
7.5
100-110
0.49%
5.1
110-120
0.24%
3.9
120+
0.17%
3.0
Prepays
16.4
Delinquent
Curr Bal
1yr CPR
1.86%
4.8
1.10%
3.3
0.86%
2.0
0.49%
1.3
0.19%
0.6
0.08%
0.4
0.04%
0.0
0.05%
0.2
3.2
Total
15.6
Reperforming
Curr Bal
1yr CPR
4.32%
15.7
1.74%
14.9
0.92%
11.4
0.41%
7.9
0.15%
6.7
0.05%
3.1
0.02%
1.3
0.01%
1.6
14.3
Prime ARM 2003

Always Current
CCLTV
Curr Bal
1yr CPR
<60
40.79%
26.5
60-70
18.69%
25.4
70-80
12.55%
21.4
80-90
6.73%
16.3
90-100
3.25%
11.5
100-110
1.21%
8.3
110-120
0.56%
5.5
120+
0.60%
3.3
Prepays
23.6
Delinquent
Curr Bal
1yr CPR
1.28%
8.5
1.46%
6.0
1.44%
3.0
1.06%
1.7
0.68%
1.1
0.31%
0.4
0.19%
0.2
0.20%
0.0
4.0
Total
21.8
Reperforming
Curr Bal
1yr CPR
3.42%
22.9
2.07%
21.8
1.63%
16.4
0.94%
12.0
0.51%
8.0
0.20%
5.0
0.10%
3.4
0.13%
1.5
18.6
Prime Fixed 2002LE

Always Current
CCLTV
Curr Bal
1yr CPR
<60
60.76%
25.7
60-70
11.00%
23.3
70-80
5.26%
19.8
80-90
1.91%
15.9
90-100
0.43%
11.9
100-110
0.25%
6.7
110-120
0.13%
4.8
120+
0.17%
4.1
Prepays
24.6
Delinquent
Curr Bal
1yr CPR
4.48%
8.1
2.09%
4.2
1.00%
3.0
0.61%
0.9
0.12%
1.1
0.13%
0.5
0.02%
0.0
0.04%
0.0
5.7
Total
22.7
Reperforming
Curr Bal
1yr CPR
7.90%
24.2
2.07%
21.2
0.86%
16.3
0.41%
10.6
0.17%
7.7
0.07%
2.5
0.04%
4.0
0.08%
1.3
22.0
Prime ARM 2002LE

Always Current
CCLTV
Curr Bal
1yr CPR
<60
51.33%
28.7
60-70
13.69%
25.8
70-80
6.29%
20.6
80-90
4.27%
15.7
90-100
1.75%
9.0
100-110
0.49%
7.5
110-120
0.20%
4.6
120+
0.33%
3.5
Prepays
26.1
Delinquent
Curr Bal
1yr CPR
3.10%
9.0
2.17%
5.7
1.56%
2.8
1.24%
2.7
0.45%
0.7
0.10%
0.7
0.13%
0.1
0.12%
0.7
5.5
Total
23.6
Reperforming
Curr Bal
1yr CPR
7.44%
22.9
2.86%
21.0
1.05%
18.9
0.76%
11.8
0.33%
6.0
0.15%
3.7
0.11%
3.0
0.10%
0.2
20.5
Source: J.P. Morgan
A-13
SPG Research
June 3, 2011
Prepay Attribution Summary by Cur CLTV - Alt-A

Alt-A Fixed 2007
Always Current
CCLTV
Curr Bal
1yr CPR
<60
2.69%
18.6
60-70
2.28%
18.2
70-80
3.78%
15.7
80-90
5.75%
13.1
90-100
6.80%
9.8
100-110
7.23%
7.5
110-120
5.49%
6.2
120+
13.18%
3.6
Prepays
9.1
Delinquent
Curr Bal
1yr CPR
0.39%
5.3
0.50%
3.1
1.16%
2.2
2.49%
1.4
3.38%
0.7
4.89%
0.4
4.14%
0.3
15.60%
0.1
0.5
Total
5.3
Reperforming
Curr Bal
1yr CPR
0.69%
14.4
0.64%
11.6
1.12%
9.7
1.93%
8.4
2.57%
5.6
2.98%
3.7
2.59%
2.6
7.71%
1.1
4.2
Alt-A ARM 2007

Always Current
CCLTV
Curr Bal
1yr CPR
<60
1.07%
31.9
60-70
0.93%
26.1
70-80
1.83%
21.7
80-90
2.82%
17.0
90-100
4.06%
12.1
100-110
5.20%
8.3
110-120
5.02%
6.6
120+
15.81%
3.6
Prepays
9.0
Delinquent
Curr Bal
1yr CPR
0.19%
10.2
0.19%
5.3
0.68%
3.4
1.65%
1.6
2.55%
0.9
3.97%
0.4
4.34%
0.2
28.66%
0.1
0.4
Total
4.1
Reperforming
Curr Bal
1yr CPR
0.25%
20.3
0.32%
18.2
0.53%
12.3
1.02%
10.8
1.62%
6.4
2.25%
3.8
2.44%
2.7
12.65%
0.9
3.1
Alt-A Fixed 2006

Always Current
CCLTV
Curr Bal
1yr CPR
<60
2.48%
18.2
60-70
1.96%
18.3
70-80
3.53%
16.6
80-90
5.05%
13.8
90-100
6.03%
10.7
100-110
6.42%
8.4
110-120
4.95%
6.9
120+
13.21%
3.6
Prepays
9.4
Delinquent
Curr Bal
1yr CPR
0.43%
5.1
0.53%
3.7
1.31%
1.9
2.43%
1.3
3.50%
0.7
4.47%
0.4
3.89%
0.3
18.29%
0.1
0.5
Total
5.2
Reperforming
Curr Bal
1yr CPR
0.61%
16.3
0.61%
13.9
1.21%
11.7
1.94%
8.9
2.48%
6.6
3.09%
4.3
2.45%
3.1
9.16%
1.1
4.5
Alt-A ARM 2006

Always Current
CCLTV
Curr Bal
1yr CPR
<60
0.88%
23.3
60-70
0.74%
19.7
70-80
1.65%
16.9
80-90
2.69%
12.5
90-100
3.66%
9.8
100-110
5.00%
6.4
110-120
4.41%
4.8
120+
17.64%
2.4
Prepays
6.2
Delinquent
Curr Bal
1yr CPR
0.10%
5.6
0.22%
4.3
0.56%
2.1
1.44%
1.2
2.12%
0.5
3.55%
0.3
3.71%
0.2
29.97%
0.0
0.2
Total
2.8
Reperforming
Curr Bal
1yr CPR
0.22%
15.1
0.27%
10.9
0.44%
10.9
0.94%
8.1
1.35%
5.9
2.18%
3.1
2.25%
2.0
14.00%
0.7
2.2
Alt-A Fixed 2005

Always Current
CCLTV
Curr Bal
1yr CPR
<60
5.55%
15.4
60-70
4.25%
15.5
70-80
7.00%
13.5
80-90
8.35%
11.4
90-100
8.72%
8.8
100-110
7.14%
6.4
110-120
5.16%
4.9
120+
12.91%
2.5
Prepays
8.8
Delinquent
Curr Bal
1yr CPR
0.53%
3.5
0.75%
2.4
1.53%
1.5
2.59%
1.0
2.94%
0.5
3.11%
0.3
2.67%
0.2
9.62%
0.0
0.5
Total
6.3
Reperforming
Curr Bal
1yr CPR
0.95%
13.9
1.07%
13.3
1.70%
10.7
2.32%
8.6
2.19%
6.1
2.15%
3.9
1.64%
2.3
5.14%
1.0
5.6
Alt-A ARM 2005

Always Current
CCLTV
Curr Bal
1yr CPR
<60
1.52%
22.6
60-70
1.59%
19.0
70-80
3.06%
15.3
80-90
5.00%
12.1
90-100
6.19%
8.7
100-110
6.98%
5.9
110-120
6.12%
4.2
120+
20.43%
1.9
Prepays
6.5
Delinquent
Curr Bal
1yr CPR
0.15%
4.1
0.25%
3.7
0.67%
1.7
1.55%
1.2
2.31%
0.8
3.12%
0.3
3.04%
0.2
18.33%
0.1
0.3
Total
4.0
Reperforming
Curr Bal
1yr CPR
0.25%
18.9
0.42%
13.5
0.84%
11.8
1.25%
8.5
2.07%
5.2
2.35%
3.6
2.33%
2.3
10.17%
0.8
3.2
Alt-A Fixed 2004

Always Current
CCLTV
Curr Bal
1yr CPR
<60
16.82%
13.2
60-70
10.79%
14.0
70-80
11.62%
13.1
80-90
9.92%
10.8
90-100
7.82%
8.0
100-110
4.62%
5.6
110-120
2.83%
4.2
120+
3.94%
2.7
Prepays
10.9
Delinquent
Curr Bal
1yr CPR
1.30%
2.7
1.61%
2.2
2.64%
1.6
2.96%
0.9
2.58%
0.5
1.83%
0.3
1.27%
0.2
2.20%
0.1
1.0
Total
8.8
Reperforming
Curr Bal
1yr CPR
2.45%
12.1
2.17%
11.5
2.74%
10.6
2.49%
7.5
2.05%
5.6
1.22%
3.3
0.89%
1.9
1.24%
1.3
7.9
Alt-A ARM 2004

Always Current
CCLTV
Curr Bal
1yr CPR
<60
5.31%
22.5
60-70
5.30%
19.8
70-80
8.16%
16.4
80-90
9.24%
13.0
90-100
9.08%
9.3
100-110
7.59%
6.4
110-120
5.50%
4.2
120+
10.37%
2.3
Prepays
10.9
Delinquent
Curr Bal
1yr CPR
0.39%
6.4
0.89%
3.9
1.71%
2.3
2.70%
1.3
3.23%
0.7
2.93%
0.3
2.44%
0.2
6.01%
0.1
0.9
Total
8.0
Reperforming
Curr Bal
1yr CPR
0.86%
19.2
1.23%
17.1
2.00%
13.0
2.83%
9.3
3.05%
6.1
2.64%
3.6
2.06%
2.4
4.47%
1.0
6.7
Alt-A Fixed 2003

Always Current
CCLTV
Curr Bal
1yr CPR
<60
40.09%
14.4
60-70
13.95%
15.7
70-80
10.50%
14.5
80-90
6.17%
12.3
90-100
3.11%
9.5
100-110
1.55%
7.4
110-120
0.59%
5.7
120+
0.75%
3.2
Prepays
14.0
Delinquent
Curr Bal
1yr CPR
2.75%
3.8
1.97%
2.5
2.18%
1.9
1.64%
1.1
0.91%
0.5
0.51%
0.4
0.26%
0.2
0.31%
0.1
2.1
Total
12.4
Reperforming
Curr Bal
1yr CPR
4.72%
13.1
2.73%
12.6
2.19%
10.5
1.46%
9.5
0.79%
6.3
0.44%
4.5
0.19%
2.5
0.23%
1.3
11.0
Alt-A ARM 2003

Always Current
CCLTV
Curr Bal
1yr CPR
<60
23.50%
25.5
60-70
13.51%
23.0
70-80
12.71%
19.0
80-90
9.56%
14.4
90-100
5.39%
10.4
100-110
2.19%
7.1
110-120
1.13%
5.2
120+
1.27%
2.5
Prepays
19.8
Delinquent
Curr Bal
1yr CPR
1.61%
6.9
2.38%
4.8
2.76%
2.3
2.92%
1.3
2.11%
0.9
1.04%
0.4
0.67%
0.2
0.57%
0.1
2.5
Total
16.7
Reperforming
Curr Bal
1yr CPR
4.18%
23.7
3.03%
20.2
3.41%
15.6
2.63%
11.9
1.78%
6.9
0.69%
5.2
0.43%
2.7
0.52%
1.1
15.7
Alt-A Fixed 2002LE

Always Current
CCLTV
Curr Bal
1yr CPR
<60
41.97%
23.6
60-70
11.37%
23.3
70-80
7.61%
20.9
80-90
3.86%
20.0
90-100
1.80%
16.4
100-110
0.58%
11.7
110-120
0.28%
6.9
120+
0.51%
5.2
Prepays
22.5
Delinquent
Curr Bal
1yr CPR
6.06%
6.6
3.14%
4.1
2.83%
2.8
1.73%
2.3
0.97%
1.3
0.36%
1.1
0.14%
0.2
0.45%
0.2
4.3
Total
19.2
Reperforming
Curr Bal
1yr CPR
7.67%
24.2
3.09%
19.5
2.48%
18.1
1.49%
15.3
0.81%
8.5
0.39%
6.5
0.16%
2.8
0.25%
1.6
19.8
Alt-A ARM 2002LE

Always Current
CCLTV
Curr Bal
1yr CPR
<60
38.44%
25.4
60-70
12.95%
22.7
70-80
7.18%
20.9
80-90
3.18%
16.9
90-100
1.63%
11.4
100-110
0.43%
7.2
110-120
0.40%
4.2
120+
0.38%
2.7
Prepays
23.2
Delinquent
Curr Bal
1yr CPR
5.33%
6.4
3.97%
5.3
2.23%
2.6
1.93%
1.1
0.64%
0.7
0.38%
1.0
0.10%
0.0
0.54%
0.0
4.2
Total
19.0
Reperforming
Curr Bal
1yr CPR
9.84%
19.6
4.28%
14.9
3.23%
17.1
1.33%
10.2
1.07%
8.8
0.31%
5.6
0.12%
1.0
0.10%
1.0
16.6
Source: J.P. Morgan
A-14
SPG Research
Jun-2011
Affordability and Shadow Inventory Concentration

Same-house monthly payment over time with various mortgage products
Unaffordable period
$2,500
$2,250
$2,000
Conf 30Y Fixed
ARM
$1,750
$1,500
$1,250
$1,000
Switch to IO
Option ARM
$750
'00
'01
'02
'03
'04
'05
'06
'07
'08
'09
'10
'11
'12
Home price/rent ratios by MSA
50 - 100
120 - 130
100 - 110
130 - 140
110 - 120
140 - 170
Shadow inventory concentration (90+ dlq by MSA)
3.4% - 8.6%
8.6% - 10.1%
12.7% - 14.3%
14.3% - 16.5%
10.1% - 11.2%
11.2% - 12.7%
16.5% - 26.7%
Source: J.P. Morgan, Loan Performance, LPS, Axiometrics, Freddie Mac, bankrate.com, Case-Shiller
A-15
SPG Research
June 3, 2011
Shadow Inventory and Projections
Millions
Shadow Inventory
Liquidations
Annual Defaults (mm, left)
projected
REO Inventory
F/C Inventory
30/60/90 DLQ
8
7
3.0
projected
2.5
6
4
3
2
1
0
'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15
F/C Inventory - peaking mid 2011

3,000,000
2,500,000
2,000,000
5%
historical
2.0
historical
6%
% of Loans Outstanding (right)
4%
1.5
3%
1.0
2%
0.5
1%
0.0
0%
'06
'07
'08
'09
'10
'11
'12
'13
'14
'15
REO Inventory - peaking early 2012

800,000
Slow
Base
Fast
Historical
700,000
600,000
Slow
Base
Fast
Historical
500,000
1,500,000
400,000
300,000
1,000,000
200,000
500,000
100,000
0
Mar-00
Sep-02
Mar-05
Sep-07
Mar-10
Sep-12
Mar-15
Mar-00
Sep-02
Mar-05
Sep-07
Mar-10
Sep-12
Mar-15
Base scenario assumes an initial monthly 3.3% FCL to REO pace ramping to 4.4% in two years. Short sales are 48% of liquidations
Slow scenario assumes an initial monthly 3.3% FCL to REO pace ramping to 4.2% in two years. Short sales are 43% of liquidations
Fast scenario assumes an initial monthly 3.3% FCL to REO pace ramping to 5.0% in two years. Short sales are 53% of liquidations
Historical delinquencies and liquidations from MBA data. Projections are taken from JPMorgan Loan Level Transition Model
Source: J.P. Morgan, Loan Performance, Mortgage Bankers Association
A-16
SPG Research
June 3, 2011
Non-agency Universe Breakout

May Remit Breakout
Agency
Portfolio
Securitized:
Prime Fixed
Prime ARM
Alt-A Fixed
Alt-A ARM
Option ARM
Subprime Fixed
Subprime ARM
Junior Lien
Non-agency MBS
Total 1st lien
Cur Bal
Delinquencies
($bn)
# Loans
DQ
F/C
5,045.1 33,404,995 1,706,619 748,189
2,458.9 12,950,000 2,131,648 995,155
146.0
164.9
218.6
196.9
185.2
131.8
273.0
22.4
324,197
339,957
1,023,761
615,488
459,563
924,341
1,403,871
546,553
1,338.9 5,637,731
8,820.5 51,446,173
22,709
26,324
86,872
77,241
89,279
136,490
316,960
68,271
12,121
18,304
84,836
83,448
87,641
80,973
271,291
872
REO Other BK
Always
Cur
Reperf Newly Entered

Cur
DQ
F/C
REO
1,720
3,594
17,693
20,804
20,099
14,212
59,407
768
963
1,394
6,497
5,910
3,641
10,142
13,930
4,356
237,384
236,314
716,570
343,662
197,162
452,626
297,947
373,854
43,972
49,720
102,086
77,478
56,936
224,122
430,900
89,742
3,114
3,719
9,660
6,628
6,104
16,339
29,941
9,471
1,192
1,721
6,534
5,943
5,380
7,568
21,048
93
279
532
2,460
2,744
2,778
1,796
6,251
18
824,147 639,487 138,298

4,594,143 2,381,958
46,833
2,855,520
1,074,956
84,977
49,480
REO Other BK
Always
Cur
Reperf Newly Entered

Cur
DQ
F/C
REO
Paid
Short
$ Amt
Off Liquidated Modified Sales Paid Off Liquidated Modified
4,524
2,883
4,664
1,512
487
2,382
1,227
2,267
802
1,421
4,543
5,432
4,319
3,393
12,210
6,423
16,858 19,947
38,544
560
511
2,497
1,880
1,303
5,340
8,259
956
438
800
1,739
2,248
1,736
1,469
4,328
6,282
2.0
1.6
1.1
0.7
0.2
0.3
0.2
0.1
0.4
0.7
1.1
1.8
1.8
0.5
2.5
0.3
0.3
0.3
0.7
0.7
0.6
1.0
1.8
0.0
21,306 19,039
6.2
9.1
5.3
1-Month Change*
Cur Bal
($bn)
# Loans
Delinquencies
DQ
Securitized:
Prime Fixed
Prime ARM
Alt-A Fixed
Alt-A ARM
Option ARM
Subprime Fixed
Subprime ARM
Junior Lien
-3.6
-2.6
-7.7
-6.4
-2.4
-5.8
-11.5
-0.7
-7,366
-4,374
-32,872
-20,403
-5,221
-50,658
-59,901
-14,673
-262
-176
-3,673
-3,411
257
-8,168
-15,818
-3,551
59
-117
-2,890
-4,500
-2,932
-2,656
-8,952
-83
-62
-49
-1,104
-1,474
333
-726
-3,770
-26
-6
57
-270
18
-19
-434
-128
-49
-6,822
-3,966
-23,668
-9,684
-3,752
-25,589
-15,183
-7,994
1,083
1,318
429
542
2,380
-11,822
-13,148
-98
391
738
601
154
151
1,959
4,151
248
-206
-543
-1,444
-1,498
-2,422
-1,590
-4,060
-44
-19 -1,287
-129 -1,256
-286
-586
-483
-292
-307
-31
-26
-653
-362
-172
0 -904
-69
-187
-1,110
-1,601
-1,457
-610
-2,730
-1,968
-33
-33
23
-17
-339
-220
-489
-496
-166
-454
-1,130
-237
-2,924
-921
-194 -1,884
-0.6
-0.8
-0.2
-0.1
0.0
-0.1
0.0
0.0
0.0
-0.1
-0.3
-0.5
-0.6
-0.1
-0.6
-0.1
0.0
0.0
-0.1
-0.2
-0.1
-0.2
-0.6
0.0
Non-agency MBS
-40.7
-195,469
-34,802
-22,071
-6,878
-831
-96,659
-19,316
8,393
-11,808
-1,611 -5,181
-9,731
-5,252 -4,262
-1.9
-2.3
-1.1
F/C
Paid
Short
$ Amt
Off Liquidated Modified Sales Paid Off Liquidated Modified
Loan counts, delinquencies, and foreclosure estimates are from a combination of Loan Performance, Lender Processing Services, and MBA data. *May overstate changes due to not all data being available yet
Source: J.P. Morgan, Loan Performance, Mortgage Bankers Association, Lender Processing Services
A-17
SPG Research
June 3, 2011
Non-agency Universe Breakout (cont)

Delinquent Loans (30/60/90+D excl F/C, REO)
(Annual)
(Last 5 Mos)
1,200
1,000
# Securitized Loans (000s)
Subprime ARM
900
Subprime Fixed
1,000
800
Option ARM
800
Alt-A ARM
700
Alt-A Fixed
600
Prime ARM
600
500
Prime Fixed
400
400
300
200
200
100
0
0
2000
2003
2006
2009
Jan-11
Mar-11
May-11
Jan-11
Mar-11
May-11
Jan-11
Mar-11
May-11
Loans in Foreclosure
800
800
Subprime ARM
700
700
Subprime Fixed
Option ARM
600
600
Alt-A ARM
500
Alt-A Fixed
400
Prime ARM
500
400
Prime Fixed
300
300
200
200
100
100
0
2000
2003
2006
2009
Loans in REO
400
180
Subprime ARM
350
160
Subprime Fixed
300
Option ARM
140
Alt-A ARM
120
250
Alt-A Fixed
200
Prime ARM
100
Prime Fixed
80
150
60
100
40
50
20
0
2000
2003
2006
2009
A-18
SPG Research
June 3, 2011

Always Current
(Annual)
9,000
8,000
(Last 5 Mos)
3,000
Subprime ARM
Subprime Fixed
7,000
2,500
Option ARM
Alt-A ARM
6,000
2,000
Alt-A Fixed
5,000
Prime ARM
4,000
Prime Fixed
1,500
3,000
1,000
2,000
500
1,000
0
0
2000
2003
2006
2009
Jan-11
Mar-11
May-11
Newly Delinquent
2,500
120
Subprime ARM
Subprime Fixed
2,000
100
Option ARM
Alt-A ARM
80
Alt-A Fixed
1,500
Prime ARM
60
Prime Fixed
1,000
40
500
20
0
2000
2003
2006
2009
Jan-11
Mar-11
May-11
Mar-11
May-11
Newly in Foreclosure
1,400
70
Subprime ARM
1,200
60
Subprime Fixed
Option ARM
1,000
50
Alt-A ARM
Alt-A Fixed
800
40
Prime ARM
Prime Fixed
600
30
400
20
200
10
0
2000
2003
2006
2009
Jan-11
A-19
SPG Research
June 3, 2011

Newly in REO
(Annual)
600
(Last 5 Mos)
25
Subprime ARM
Subprime Fixed
500
20
Option ARM
Alt-A ARM
400
Alt-A Fixed
15
Prime ARM
300
Prime Fixed
10
200
5
100
0
0
2000
2003
2006
2009
Jan-11
Mar-11
May-11
Jan-11
Mar-11
May-11
Jan-11
Mar-11
May-11
Paid Off (Prepay)

2,500
30
Subprime ARM
Subprime Fixed
2,000
25
Option ARM
Alt-A ARM
Alt-A Fixed
1,500
Prime ARM
Prime Fixed
20
15
1,000
10
500
0
2000
2003
2006
2009
Liquidated (Default)
800
45
Subprime ARM
700
40
Subprime Fixed
600
Option ARM
35
Alt-A ARM
30
500
Alt-A Fixed
400
Prime ARM
25
Prime Fixed
20
300
15
200
10
100
0
2000
2003
2006
2009
A-20
SPG Research
June 3, 2011

Modified
(Annual)
450
Subprime ARM
400
(Last 5 Mos)
30
Subprime Fixed
350
Option ARM
300
Alt-A ARM
25
20
Alt-A Fixed
250
Prime ARM
200
15
Prime Fixed
150
10
100
5
50
0
0
2000
2003
2006
2009
Jan-11
Mar-11
May-11
Jan-11
Mar-11
May-11
* Note we do not identify mods before 2007
Short Sales (from 60+ or F/C)

200
180
18
Subprime ARM
Subprime Fixed
16
160
Option ARM
14
140
Alt-A ARM
120
Alt-A Fixed
100
12
Prime ARM
10
Prime Fixed
80
60
40
20
0
2000
2003
2006
2009
A-21
Securitized Products Research

Jun-11
60%
25
50%
20
40%
15
30%
10
20%
10%
18
# loans underwater
nderwater (mm)
m)
30
Additional underwater loans
% market
ket underwater
# loans underwater
nderwater (mm)
m)
Number of underwater loans, if home prices decline further
0%
Flat
14
12
9.8
10
8
6.2
6
4
2.8
2
0
-5% HPA -10% HPA -15% HPA -20% HPA
Flat
Expected defaults, if home prices decline further
-5% HPA
-10% HPA
-15% HPA
7
Above water
20
15
10
5
6.2
6.1
5.9
5.5
4.6
Flat
-5% HPA
-10% HPA
-15% HPA
-20% HPA
Expected
cted defaults (mm)
m)
Under water
-20% HPA
Additional expected defaults
25
Expected
cted defaults (mm)
m)
15.6
16
6.6
6
5
4.4
4
3
2.7
1.3
1
0
Flat
-5% HPA
Note: Each home price scenario assumes a linear drop over 2011, followed by a 2.8% yoy recovery for 2012 onwards.
Source: JPMorgan, LoanPerformance, LPS, MBA, Case-Shiller, eMBS
-10% HPA
-15% HPA
-20% HPA
A-22

Jun-11
% Underwater by loan balance

All Loans
Pool type
Bal ($ bn)
% underwater
Prime Fixed
150
41%
Prime ARM
169
47%
Alt-A Fixed
223
49%
Alt-A ARM
225
73%
Subprime Fixed
135
40%
Subprime ARM
280
73%
Option ARM
167
82%
Junior Lien
23
72%
Non-agency Total
1,372
60%
Always Current
Bal ($ bn)
% underwater
126
37%
136
42%
144
39%
118
63%
62
29%
49
60%
67
72%
15
69%
717
47%
C
CA-FL-AZ-NV
ex CA-FL-AZ-NV
ALL
70%
Reperforming
Bal ($ bn) % underwater
9
61%
10
64%
28
60%
33
81%
34
43%
88
71%
23
84%
4
74%
230
68%
Always Current to 30 roll rate (%) by CLTV

Unemployment on right axis
% of loans underwater (balance-weighted) by state

80%
Delinquent
Bal ($ bn)
% underwater
15
66%
22
71%
51
68%
73
86%
39
54%
144
79%
77
91%
3
86%
425
78%
60%
7%
12%
6%
10%
5%
50%
8%
4%
6%
40%
3%
30%
4%
2%
20%
2%
1%
10%
0%
0%
2004
2005
2006
2007
2008
2009
2010
2011
0%
Jan-08
Jul-08
<90
Source: J.P. Morgan, LoanPerformance
Jan-09
90-110
Jul-09
Jan-10
110-130
Jul-10
Jan-11
>130
Unemployment
Source: J.P. Morgan, LoanPerformance, Bureau of Labor Statistics

A-23

Jun-2011
Voluntary CPR
Subprime
45%
40%
35%
30%
25%
20%
15%
10%
5%
0%
2000
2001
2002
2003
2004
2005
2006
2007
ARM
2008
2009
2010
2011
2009
2010
2011
2010
2011
FRM
Alt-A
60%
50%
40%
30%
20%
10%
0%
2000
2001
2002
2003
2004
2005
ARM
2006
2007
2008
FRM
Option ARM
Prime
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
2000
2001
2002
2003
2004
ARM
Source: LoanPerformance, J.P. Morgan
2005
2006
2007
2008
2009
FRM
A-25

Jun-2011
Default Rates (CDR)

Subprime
20%
18%
16%
14%
12%
10%
8%
6%
4%
2%
0%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2010
2011
Alt-A
16%
14%
12%
10%
8%
6%
4%
2%
0%
ARM
FRM
Option ARM
Prime
6%
5%
4%
3%
2%
1%
0%
2000
2001
2002
2003
2004
ARM
2005
2006
2007
2008
2009
FRM
Note: Defaults includes liquidations from REO, as well as from short sales (i.e. when loans are in a 90+/foreclosure stage)
A-26

Jun-2011
Severity
Subprime
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
2000
2001
2002
2003
2004
2005
From 90+
2006
2007
2008
2009
From foreclosure
2010
2011
From REO
Alt-A
70%
60%
50%
40%
30%
20%
10%
0%
2000
2001
2002
2003
2004
2005
From 90+
2006
2007
2008
2009
From foreclosure
2010
2011
From REO
Prime
60%
50%
40%
30%
20%
10%
0%
2000
2001
2002
From 90+
2003
2004
2005
2006
From foreclosure
2007
2008
2009
2010
2011
From REO
A-27

Jun-2011
Delinquencies
Subprime
25%
20%
15%
10%
5%
0%
2000
2001
2002
2003
30-59
2004
2005
60-89
2006
2007
2008
90+ days
2009
2010
Fclr
2011
REO
Alt-A
16%
14%
12%
10%
8%
6%
4%
2%
0%
2000
2001
2002
2003
30-59
2004
2005
60-89
2006
2007
2008
90+ days
2009
2010
Fclr
2011
REO
Prime
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
2000
2001
30-59
2002
2003
2004
60-89
2005
2006
90+ days
2007
2008
2009
Fclr
2010
2011
REO
A-28

Jun-2011
Servicer Advances (for delinquent loans)

Subprime
120%
100%
80%
60%
40%
20%
0%
2000
2001
2002
2003
2004
2005
90+
2006
2007
2008
2009
Foreclosure
2010
2011
2010
2011
2010
2011
REO
Alt-A
120%
100%
80%
60%
40%
20%
0%
2000
2001
2002
2003
2004
2005
90+
2006
2007
2008
2009
Foreclosure
REO
Prime
120%
100%
80%
60%
40%
20%
0%
2000
2001
2002
90+
2003
2004
2005
2006
Foreclosure
2007
2008
2009
REO
A-29

Jun-2011
Months in foreclosure
Subprime
22
20
18
16
14
12
10
8
6
4
2
2000
2001
2002
2003
2004
CA
2005
2006
2007
FL
2008
2009
2010
NY
2011
US
Alt-A
22
20
18
16
14
12
10
8
6
4
2
2000
2001
2002
2003
2004
CA
2005
2006
2007
FL
2008
2009
2010
NY
2011
US
Prime
12
11
10
9
8
7
6
5
4
3
2
2000
2001
2002
2003
CA
2004
2005
2006
FL
2007
2008
2009
2010
2011
US
A-30

Jun-2011
Months in REO
Subprime
11
10
9
8
7
6
5
4
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Alt-A
10
9
8
7
6
5
4
3
2
2004
2005
2006
2007
ARM
2008
2009
FRM
2010
2011
Option ARM
Prime
18
16
14
12
10
8
6
4
2
0
2004
2005
2006
2007
ARM
2008
2009
2010
2011
FRM
A-31

Jun-2011
Equity
Subprime
40%
30%
20%
10%
0%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2010
2011
-10%
-20%
-30%
Alt-A
60%
40%
20%
0%
-20%
-40%
-60%
ARM
FRM
Option ARM
Prime
60%
50%
40%
30%
20%
10%
0%
2000
2001
2002
2003
2004
ARM
2005
2006
2007
2008
2009
FRM
A-32

Jun-2011
Borrower-driven rolls
Subprime
8%
7%
7%
6%
6%
5%
5%
4%
4%
3%
3%
2%
2%
1%
1%
0%
0%
2004
2005
2006
2007
Always Current to 30
2008
2009
All Current to 30
2010
2011
60+ to current (non-mod), Right Axis
Alt-A
4.0%
10%
3.5%
9%
8%
3.0%
7%
2.5%
6%
2.0%
5%
1.5%
4%
3%
1.0%
2%
0.5%
1%
0.0%
0%
2004
2005
2006
2007
2008
2009
All Current to 30
2010
2011
Prime
0.9%
15%
0.8%
13%
0.7%
11%
0.6%
9%
0.5%
7%
0.4%
5%
0.3%
3%
0.2%
0.1%
1%
0.0%
-1%
2004
2005
2006
2007
2008
All Current to 30
2009
2010
2011
A-33

Jun-2011
Lender-driven rolls
Subprime
25%
20%
15%
10%
5%
0%
2004
2005
2006
2007
90+ to Foreclosure
2008
2009
Foreclosure to REO
2010
2011
REO to Liquidation
Alt-A
40%
35%
30%
25%
20%
15%
10%
5%
0%
2004
2005
2006
2007
90+ to Foreclosure
2008
2009
Foreclosure to REO
2010
2011
REO to Liquidation
Prime
40%
35%
30%
25%
20%
15%
10%
5%
0%
2004
2005
2006
90+ to Foreclosure
2007
2008
Foreclosure to REO
2009
2010
2011
REO to Liquidation
A-34

June 3, 2011
Subprime ARM
1-month
o t ttransition
a s t o matrices
at ces
Implied
p ed roll
o rates
ates (t
(transitions
a s t o s to de
default)
au t)
Apr-11 to May-11
To
From
Prepay
Current
0.1%
30-59
0.0%
60-89
0.0%
90
90+
0.0%
0 0%
Frcl
0.0%
REO
0.0%
To
Current
95.7%
19.5%
6.2%
4.5%
4 5%
1.1%
0.0%
To
30-59
4.0%
46.0%
9.6%
0.3%
0 3%
0.1%
0.0%
To
60-89
0.1%
31.3%
32.9%
0.8%
0 8%
0.0%
0.0%
To
90+
0.0%
0.3%
39.9%
86.5%
86 5%
4.5%
0.2%
To
Frcl
0.0%
2.7%
11.1%
7.0%
7 0%
91.4%
0.6%
To
REO
0.0%
0.0%
0.0%
0.1%
0 1%
2.0%
87.0%
To
Default
0.0%
0.1%
0.1%
0.8%
0 8%
0.8%
12.2%
OutFrom
standing
6-month
Current
48.75%
0.2%
30-59
4.11%
1.5%
60-89
2.17%
3.2%
90+
90
17.85%
17 85%
4.4%
4 4%
Frcl
22.30%
7.0%
REO
4.84%
53.3%
Impld def by roll rates
(weighted avg)
1-year
0.9%
4.7%
7.9%
9.3%
9 3%
15.8%
76.7%
9.69%
2-year
4.1%
12.3%
17.7%
19.2%
19 2%
30.3%
91.9%
17.52%
3-year
9.0%
19.6%
26.1%
27.7%
27 7%
40.0%
95.2%
24.21%
5-year
20.3%
31.8%
38.4%
40.0%
40 0%
51.7%
96.7%
35.39%
10-year
44.2%
52.9%
57.9%
59.0%
59 0%
67.4%
97.8%
55.27%
20-year
69.5%
74.6%
77.4%
78.0%
78 0%
82.6%
98.9%
75.74%
Life
79.6%
83.2%
85.2%
85.7%
85 7%
88.7%
99.3%
83.95%
Mar-11 to Apr-11
To
Prepay
From
Current
0.1%
30-59
0.0%
60-89
0.0%
90+
0.0%
Frcl
0.0%
REO
0.0%
To
Current
96.3%
27.1%
10.3%
4.9%
1.5%
0.0%
To
30-59
30 59
3.5%
44.0%
12.2%
0.3%
0.1%
0.0%
To
60-89
60 89
0.0%
26.1%
31.1%
0.9%
0.0%
0.0%
To
90+
0.0%
0.3%
34.2%
84.8%
4.5%
0.2%
To
Frcl
0.0%
2.5%
12.0%
7.8%
90.8%
0.5%
To
REO
0.0%
0.0%
0.0%
0.2%
2.1%
85.5%
To
Default
0.0%
0.0%
0.2%
1.0%
0.9%
13.8%
OutFrom
standing
6 month
6-month
Current
48.75%
0.2%
30-59
4.11%
1.4%
60-89
2.17%
3.4%
90+
17.85%
5.4%
Frcl
22.30%
7.9%
REO
4.84%
58.0%
( i ht d avg))
(weighted
1
1-year
year
0.8%
4.2%
8.3%
10.9%
17.5%
81.0%
10.48%
2 year
2-year
3.3%
10.6%
17.8%
21.3%
32.2%
94.0%
17.94%
3 year
3-year
7.1%
16.3%
25.1%
29.2%
41.2%
96.4%
23.70%
5 year
5-year
15.7%
25.8%
35.1%
39.3%
51.0%
97.4%
32.58%
10 year
10-year
34.7%
43.1%
50.7%
54.1%
63.4%
98.1%
48.33%
20 year
20-year
57.7%
63.4%
68.4%
70.7%
76.7%
98.8%
66.71%
Life
68.9%
73.3%
77.0%
78.7%
83.2%
99.1%
75.67%
Feb-11 to Mar-11
To
From
Prepay
Current
0.1%
30-59
0.0%
60-89
0.0%
90+
0.0%
Frcl
0.0%
REO
0.0%
To
Current
95.2%
21.9%
8.2%
4.2%
1.3%
0.0%
To
30-59
4.5%
43.7%
9.0%
0.3%
0.1%
0.0%
To
60-89
0.1%
31.5%
30.3%
0.7%
0.1%
0.0%
To
90+
0.0%
0.7%
41.7%
87.3%
4.6%
0.2%
To
Frcl
0.0%
2.1%
10.7%
6.6%
91.4%
0.5%
To
REO
0.0%
0.0%
0.0%
0.1%
1.8%
88.1%
To
Default
0.0%
0.0%
0.1%
0.8%
0.7%
11.1%
OutFrom
standing
6-month
Current
48.75%
0.2%
30-59
4.11%
1.3%
60-89
2.17%
2.9%
90+
17.85%
4.3%
Frcl
22.30%
6.3%
REO
4.84%
50.0%
(weighted avg)
1-year
0.9%
4.1%
7.1%
8.7%
14.0%
73.7%
9.00%
2-year
3.9%
10.7%
15.8%
17.8%
27.2%
90.5%
16.30%
3-year
8.5%
17.2%
23.4%
25.7%
36.3%
94.6%
22.62%
5-year
19.3%
28.8%
35.2%
37.5%
47.7%
96.4%
33.34%
10-year
42.5%
49.9%
54.8%
56.5%
64.0%
97.6%
53.04%
20-year
68.5%
72.8%
75.6%
76.6%
80.7%
98.7%
74.45%
Life
79.7%
82.7%
84.7%
85.3%
88.0%
99.2%
83.73%
1-year
1.0%
4.8%
8.0%
9.7%
15.6%
75.7%
9 72%
9.72%
2-year
4.5%
12.5%
18.1%
20.1%
30.0%
91.5%
17 82%
17.82%
3-year
9.9%
20.1%
26.7%
28.9%
39.9%
95.1%
24 87%
24.87%
5-year
22.1%
32.9%
39.7%
41.8%
52.0%
96.7%
36 73%
36.73%
10-year
47.2%
55.2%
60.0%
61.6%
68.6%
97.9%
57 59%
57.59%
20-year
72.5%
77.0%
79.7%
80.5%
84.2%
98.9%
78 14%
78.14%
Life
82.0%
85.2%
87.0%
87.6%
90.0%
99.3%
85 85%
85.85%
6-month average (10/2010 thru 04/2011)
From
Current
30-59
60-89
90+
Frcl
REO
To
Prepay
0.1%
0.0%
0.0%
0.0%
0.0%
0.0%
To
Current
95.2%
20.8%
7.4%
4.3%
1.4%
0.0%
To
30-59
4.5%
44.0%
9.2%
0.3%
0.1%
0.0%
To
60-89
0.1%
31.8%
30.9%
0.7%
0.0%
0.0%
To
90+
0.0%
0.5%
40.7%
86.2%
4.4%
0.2%
To
Frcl
0.0%
2.8%
11.6%
7.6%
91.3%
0.5%
To
REO
0.0%
0.0%
0.0%
0.2%
2.0%
87.4%
To
Default
0.0%
0.0%
0.1%
0.8%
0.8%
11.8%
OutFrom
standing
6-month
Current
48.75%
0.2%
30-59
4.11%
1.5%
60-89
2.17%
3.2%
90+
17.85%
4.7%
Frcl
22.30%
6.9%
REO
4.84%
52.2%
(weighted avg)
A-35

June 3, 2011
Subprime Fixed
1-month
o t ttransition
a s t o matrices
at ces
Implied
p ed roll
o rates
ates (t
(transitions
a s t o s to de
default)
au t)
Apr-11 to May-11
To
From
Prepay
Current
0.3%
30-59
0.1%
60-89
0.1%
90
90+
0.0%
0 0%
Frcl
0.1%
REO
0.0%
To
Current
97.3%
21.4%
8.0%
4.8%
4 8%
1.7%
0.0%
To
30-59
2.4%
47.8%
10.7%
0.4%
0 4%
0.1%
0.0%
To
60-89
0.0%
28.2%
35.5%
1.1%
1 1%
0.1%
0.0%
To
90+
0.0%
0.3%
37.0%
86.9%
86 9%
4.7%
0.1%
To
Frcl
0.0%
2.2%
8.6%
6.1%
6 1%
90.6%
0.6%
To
REO
0.0%
0.0%
0.0%
0.1%
0 1%
2.0%
86.2%
To
Default
0.0%
0.0%
0.1%
0.6%
0 6%
0.7%
13.1%
OutFrom
standing
6-month
Current
70.85%
0.1%
30-59
3.71%
1.0%
60-89
1.83%
2.4%
90+
90
11.26%
11 26%
3.6%
3 6%
Frcl
10.61%
6.5%
REO
1.74%
56.0%
(weighted avg)
1-year
0.4%
3.3%
6.1%
7.6%
7 6%
14.6%
79.2%
4.30%
2-year
1.9%
8.6%
13.6%
15.7%
15 7%
27.2%
93.2%
8.18%
3-year
4.2%
13.2%
19.5%
22.0%
22 0%
34.8%
95.9%
11.68%
5-year
9.8%
20.3%
27.3%
30.0%
30 0%
42.9%
96.9%
17.82%
10-year
22.4%
32.2%
38.6%
41.1%
41 1%
52.3%
97.4%
29.65%
20-year
37.8%
46.0%
51.3%
53.3%
53 3%
62.3%
98.0%
43.73%
Life
45.3%
52.8%
57.5%
59.3%
59 3%
67.1%
98.3%
50.64%
Mar-11 to Apr-11
To
Prepay
From
Current
0.4%
30-59
0.1%
60-89
0.1%
90+
0.1%
Frcl
0.1%
REO
0.0%
To
Current
97.5%
29.4%
11.7%
5.7%
2.4%
0.0%
To
30-59
30 59
2.1%
45.7%
13.3%
0.5%
0.1%
0.0%
To
60-89
60 89
0.0%
22.6%
32.8%
1.3%
0.1%
0.0%
To
90+
0.0%
0.2%
32.6%
84.8%
4.5%
0.2%
To
Frcl
0.0%
1.9%
9.3%
6.7%
90.1%
0.4%
To
REO
0.0%
0.0%
0.0%
0.1%
1.9%
85.1%
To
Default
0.0%
0.0%
0.1%
0.7%
0.8%
14.3%
OutFrom
standing
6 month
6-month
Current
70.85%
0.1%
30-59
3.71%
0.9%
60-89
1.83%
2.5%
90+
11.26%
4.1%
Frcl
10.61%
7.1%
REO
1.74%
59.4%
( i ht d avg))
(weighted
1
1-year
year
0.4%
2.8%
6.1%
8.3%
15.4%
82.1%
4.51%
2 year
2-year
1.5%
6.7%
12.7%
16.1%
27.3%
94.3%
7.91%
3 year
3-year
3.1%
9.8%
17.3%
21.3%
33.8%
96.3%
10.56%
5 year
5-year
6.8%
14.4%
22.6%
27.1%
39.9%
97.0%
14.71%
10 year
10-year
14.7%
22.1%
30.0%
34.3%
46.1%
97.3%
22.23%
20 year
20-year
24.5%
31.3%
38.4%
42.3%
52.8%
97.6%
31.30%
Life
29.5%
35.9%
42.7%
46.3%
56.1%
97.8%
35.91%
Feb-11 to Mar-11
To
From
Prepay
Current
0.3%
30-59
0.1%
60-89
0.1%
90+
0.0%
Frcl
0.1%
REO
0.0%
To
Current
96.9%
23.8%
9.3%
4.7%
2.0%
0.0%
To
30-59
2.7%
45.8%
9.4%
0.4%
0.1%
0.0%
To
60-89
0.0%
28.3%
33.1%
1.0%
0.1%
0.0%
To
90+
0.0%
0.5%
39.2%
87.6%
5.0%
0.2%
To
Frcl
0.0%
1.5%
8.8%
5.6%
90.4%
0.4%
To
REO
0.0%
0.0%
0.0%
0.1%
1.6%
87.3%
To
Default
0.0%
0.0%
0.1%
0.5%
0.7%
12.1%
OutFrom
standing
6-month
Current
70.85%
0.1%
30-59
3.71%
0.9%
60-89
1.83%
2.2%
90+
11.26%
3.1%
Frcl
10.61%
5.9%
REO
1.74%
53.1%
(weighted avg)
1-year
0.4%
2.8%
5.3%
6.5%
12.8%
76.8%
3.94%
2-year
1.8%
7.1%
11.6%
13.3%
23.5%
92.4%
7.38%
3-year
4.0%
11.0%
16.6%
18.7%
30.1%
95.7%
10.48%
5-year
9.0%
17.2%
23.6%
25.8%
37.4%
96.8%
15.99%
10-year
20.3%
28.2%
34.2%
36.3%
46.5%
97.3%
26.79%
20-year
34.5%
41.3%
46.4%
48.2%
56.6%
97.8%
39.95%
Life
41.7%
47.9%
52.6%
54.3%
61.7%
98.1%
46.62%
1-year
0.5%
3.3%
6.0%
7.5%
13.8%
77.8%
4 24%
4.24%
2-year
2.1%
8.3%
13.3%
15.4%
25.7%
92.3%
8 09%
8.09%
3-year
4.5%
12.9%
19.1%
21.5%
33.0%
95.3%
11 61%
11.61%
5-year
10.2%
19.8%
26.8%
29.5%
40.9%
96.4%
17 77%
17.77%
10-year
22.4%
31.6%
38.0%
40.5%
50.5%
97.0%
29 36%
29.36%
20-year
36.3%
44.3%
49.7%
51.9%
60.0%
97.6%
42 20%
42.20%
Life
42.5%
49.9%
55.0%
56.9%
64.3%
97.9%
47 89%
47.89%
From
Current
30-59
60-89
90+
Frcl
REO
To
Prepay
0.4%
0.1%
0.1%
0.1%
0.1%
0.0%
To
Current
96.9%
22.9%
8.4%
4.8%
2.0%
0.0%
To
30-59
2.7%
46.3%
10.2%
0.4%
0.1%
0.0%
To
60-89
0.0%
28.1%
33.9%
1.1%
0.1%
0.0%
To
90+
0.0%
0.4%
38.3%
86.5%
4.7%
0.2%
To
Frcl
0.0%
2.2%
9.0%
6.5%
90.5%
0.5%
To
REO
0.0%
0.0%
0.0%
0.1%
1.9%
86.7%
To
Default
0.0%
0.0%
0.1%
0.6%
0.7%
12.6%
OutFrom
standing
6-month
Current
70.85%
0.1%
30-59
3.71%
1.0%
60-89
1.83%
2.4%
90+
11.26%
3.6%
Frcl
10.61%
6.2%
REO
1.74%
54.5%
(weighted avg)
A-36

June 3, 2011
Option ARM
1-month
o t ttransition
a s t o matrices
at ces
Implied
p ed roll
o rates
ates (t
(transitions
a s t o s to de
default)
au t)
Apr-11 to May-11
To
From
Prepay
Current
0.2%
30-59
0.2%
60-89
0.1%
90
90+
0.0%
0 0%
Frcl
0.0%
REO
0.0%
To
Current
97.4%
14.0%
4.0%
1.7%
1 7%
0.5%
0.0%
To
30-59
2.4%
41.9%
6.0%
0.1%
0 1%
0.0%
0.0%
To
60-89
0.0%
43.0%
27.9%
0.4%
0 4%
0.0%
0.0%
To
90+
0.0%
0.1%
50.5%
90.7%
90 7%
4.5%
0.2%
To
Frcl
0.0%
0.6%
11.0%
5.3%
5 3%
91.2%
0.4%
To
REO
0.0%
0.1%
0.1%
0.4%
0 4%
2.8%
86.5%
To
Default
0.0%
0.1%
0.3%
1.4%
1 4%
0.8%
12.8%
OutFrom
standing
6-month
Current
53.90%
0.2%
30-59
2.52%
3.2%
60-89
1.67%
6.0%
90+
90
17.79%
17 79%
8.1%
8 1%
Frcl
19.84%
8.8%
REO
4.29%
55.2%
(weighted avg)
1-year
1.1%
9.3%
14.1%
16.2%
16 2%
20.9%
78.7%
11.47%
2-year
5.0%
22.2%
29.7%
31.8%
31 8%
40.9%
93.4%
21.52%
3-year
10.8%
33.3%
42.1%
44.3%
44 3%
54.2%
96.6%
30.14%
5-year
24.5%
49.2%
58.2%
60.3%
60 3%
68.9%
98.1%
44.05%
10-year
52.4%
70.2%
76.6%
78.0%
78 0%
83.4%
99.0%
65.94%
20-year
75.8%
85.2%
88.6%
89.4%
89 4%
92.1%
99.5%
82.91%
Life
82.0%
89.1%
91.7%
92.4%
92 4%
94.3%
99.7%
87.40%
Mar-11 to Apr-11
To
Prepay
From
Current
0.2%
30-59
0.1%
60-89
0.1%
90+
0.1%
Frcl
0.1%
REO
0.0%
To
Current
97.5%
19.4%
5.3%
1.9%
0.7%
0.0%
To
30-59
30 59
2.3%
40.3%
8.6%
0.2%
0.0%
0.0%
To
60-89
60 89
0.0%
39.3%
28.3%
0.5%
0.0%
0.0%
To
90+
0.0%
0.2%
43.3%
87.4%
4.6%
0.2%
To
Frcl
0.0%
0.7%
14.1%
7.8%
90.6%
0.4%
To
REO
0.0%
0.0%
0.1%
0.4%
3.0%
82.1%
To
Default
0.0%
0.1%
0.3%
1.8%
1.0%
17.3%
OutFrom
standing
6 month
6-month
Current
53.90%
0.2%
30-59
2.52%
3.2%
60-89
1.67%
7.0%
90+
17.79%
10.0%
Frcl
19.84%
11.3%
REO
4.29%
67.3%
( i ht d avg))
(weighted
1
1-year
year
1.0%
9.8%
16.7%
20.0%
25.5%
88.1%
13.50%
2 year
2-year
5.0%
23.2%
34.2%
38.1%
46.8%
97.0%
24.06%
3 year
3-year
10.8%
33.9%
46.7%
51.0%
59.6%
98.3%
32.57%
5 year
5-year
24.1%
48.6%
61.4%
65.5%
72.7%
98.9%
45.57%
10 year
10-year
50.4%
68.0%
77.1%
79.9%
84.5%
99.4%
65.40%
20 year
20-year
73.2%
82.9%
87.9%
89.4%
91.8%
99.7%
81.41%
Life
79.8%
87.2%
90.9%
92.1%
93.9%
99.8%
86.03%
Feb-11 to Mar-11
To
From
Prepay
Current
0.2%
30-59
0.0%
60-89
0.1%
90+
0.1%
Frcl
0.0%
REO
0.0%
To
Current
97.1%
13.5%
4.2%
1.6%
0.6%
0.0%
To
30-59
2.7%
40.6%
5.7%
0.1%
0.0%
0.0%
To
60-89
0.0%
45.0%
25.7%
0.3%
0.0%
0.0%
To
90+
0.0%
0.1%
47.4%
88.6%
4.0%
0.2%
To
Frcl
0.0%
0.6%
16.8%
7.7%
92.1%
0.3%
To
REO
0.0%
0.0%
0.1%
0.5%
2.5%
84.7%
To
Default
0.0%
0.1%
0.1%
1.1%
0.7%
14.9%
OutFrom
standing
6-month
Current
53.90%
0.2%
30-59
2.52%
2.7%
60-89
1.67%
5.2%
90+
17.79%
7.1%
Frcl
19.84%
8.4%
REO
4.29%
61.3%
(weighted avg)
1-year
1.0%
8.9%
13.4%
15.3%
20.1%
84.0%
11.30%
2-year
5.2%
22.7%
30.0%
31.9%
39.9%
95.9%
21.56%
3-year
11.8%
34.7%
43.2%
45.2%
53.3%
98.0%
30.78%
5-year
27.4%
52.1%
60.4%
62.3%
69.0%
98.8%
46.09%
10-year
58.0%
74.6%
79.9%
81.0%
84.9%
99.4%
70.01%
20-year
81.7%
89.2%
91.6%
92.1%
93.8%
99.8%
87.07%
Life
87.1%
92.6%
94.2%
94.5%
95.8%
99.8%
90.96%
1-year
1.1%
9.6%
14.8%
17.3%
21.8%
84.4%
12 11%
12.11%
2-year
5.5%
23.7%
31.9%
34.6%
42.1%
95.8%
22 68%
22.68%
3-year
12.1%
35.6%
45.2%
48.0%
55.4%
97.7%
31 90%
31.90%
5-year
27.4%
52.4%
61.9%
64.5%
70.6%
98.6%
46 83%
46.83%
10-year
57.1%
74.0%
80.1%
81.8%
85.3%
99.3%
69 70%
69.70%
20-year
80.0%
88.1%
91.0%
91.9%
93.5%
99.7%
86 02%
86.02%
Life
85.3%
91.4%
93.5%
94.2%
95.3%
99.8%
89 80%
89.80%
From
Current
30-59
60-89
90+
Frcl
REO
To
Prepay
0.2%
0.1%
0.1%
0.0%
0.0%
0.0%
To
Current
97.2%
14.8%
4.1%
1.6%
0.6%
0.0%
To
30-59
2.6%
41.0%
6.4%
0.1%
0.0%
0.0%
To
60-89
0.0%
43.0%
27.6%
0.4%
0.0%
0.0%
To
90+
0.0%
0.2%
47.6%
88.2%
4.4%
0.2%
To
Frcl
0.0%
0.8%
13.9%
7.8%
91.4%
0.4%
To
REO
0.0%
0.0%
0.1%
0.5%
2.6%
84.1%
To
Default
0.0%
0.1%
0.2%
1.4%
0.9%
15.3%
OutFrom
standing
6-month
Current
53.90%
0.2%
30-59
2.52%
3.1%
60-89
1.67%
6.0%
90+
17.79%
8.3%
Frcl
19.84%
9.3%
REO
4.29%
62.1%
(weighted avg)
A-37

June 3, 2011
Alt-A ARM
1-month
o t ttransition
a s t o matrices
at ces
Implied
p ed roll
o rates
ates (t
(transitions
a s t o s to de
default)
au t)
Apr-11 to May-11
To
From
Prepay
Current
0.5%
30-59
0.1%
60-89
0.4%
90
90+
0.0%
0 0%
Frcl
0.1%
REO
0.0%
To
Current
97.8%
15.4%
5.1%
2.7%
2 7%
0.8%
0.0%
To
30-59
1.7%
39.3%
6.5%
0.2%
0 2%
0.1%
0.0%
To
60-89
0.0%
44.2%
24.5%
0.5%
0 5%
0.0%
0.0%
To
90+
0.0%
0.2%
46.1%
87.0%
87 0%
4.8%
0.2%
To
Frcl
0.0%
0.6%
16.8%
7.4%
7 4%
90.1%
0.4%
To
REO
0.0%
0.0%
0.1%
0.3%
0 3%
2.9%
85.5%
To
Default
0.0%
0.2%
0.4%
2.0%
2 0%
1.2%
13.8%
OutFrom
standing
6-month
Current
67.50%
0.2%
30-59
2.14%
4.3%
60-89
1.39%
7.9%
90+
90
11.12%
11 12%
10.8%
10 8%
Frcl
14.33%
11.0%
REO
3.52%
58.3%
(weighted avg)
1-year
1.0%
11.7%
17.6%
20.4%
20 4%
24.7%
81.5%
9.87%
2-year
4.4%
25.3%
34.2%
36.9%
36 9%
45.4%
94.8%
17.94%
3-year
9.2%
35.5%
45.7%
48.4%
48 4%
57.7%
97.4%
24.69%
5-year
19.7%
48.2%
58.5%
61.1%
61 1%
69.7%
98.4%
35.37%
10-year
39.3%
62.8%
71.1%
73.2%
73 2%
79.6%
99.0%
51.89%
20-year
55.0%
72.9%
79.1%
80.9%
80 9%
85.5%
99.3%
64.55%
Life
59.2%
75.6%
81.2%
82.8%
82 8%
87.0%
99.4%
67.86%
Mar-11 to Apr-11
To
Prepay
From
Current
0.5%
30-59
0.2%
60-89
0.0%
90+
0.0%
Frcl
0.1%
REO
0.0%
To
Current
97.8%
21.1%
7.0%
3.3%
0.9%
0.0%
To
30-59
30 59
1.6%
38.9%
9.4%
0.3%
0.1%
0.0%
To
60-89
60 89
0.0%
38.7%
25.0%
0.7%
0.0%
0.0%
To
90+
0.0%
0.2%
42.0%
83.7%
5.2%
0.3%
To
Frcl
0.0%
0.6%
16.1%
9.1%
89.2%
0.6%
To
REO
0.0%
0.0%
0.0%
0.3%
3.4%
81.9%
To
Default
0.0%
0.2%
0.4%
2.5%
1.2%
17.2%
OutFrom
standing
6 month
6-month
Current
67.50%
0.2%
30-59
2.14%
4.2%
60-89
1.39%
8.8%
90+
11.12%
12.9%
Frcl
14.33%
13.1%
REO
3.52%
66.7%
( i ht d avg))
(weighted
1
1-year
year
1.0%
11.5%
19.5%
24.0%
28.9%
87.3%
11.08%
2 year
2-year
4.2%
24.3%
36.7%
41.6%
50.5%
96.3%
19.09%
3 year
3-year
8.5%
33.1%
47.3%
52.4%
61.9%
97.7%
25.25%
5 year
5-year
17.6%
43.7%
58.0%
62.9%
71.9%
98.4%
34.41%
10 year
10-year
34.3%
56.4%
68.4%
72.4%
79.6%
98.9%
48.27%
20 year
20-year
48.2%
66.0%
75.6%
78.8%
84.4%
99.2%
59.32%
Life
52.0%
68.7%
77.6%
80.6%
85.7%
99.2%
62.42%
Feb-11 to Mar-11
To
From
Prepay
Current
0.4%
30-59
0.1%
60-89
0.0%
90+
0.1%
Frcl
0.0%
REO
0.0%
To
Current
97.7%
16.0%
4.9%
2.5%
0.7%
0.0%
To
30-59
1.9%
39.4%
7.2%
0.1%
0.1%
0.0%
To
60-89
0.0%
43.6%
25.0%
0.5%
0.0%
0.0%
To
90+
0.0%
0.2%
46.0%
87.3%
4.6%
0.2%
To
Frcl
0.0%
0.6%
16.3%
7.4%
90.8%
0.6%
To
REO
0.0%
0.0%
0.1%
0.4%
2.8%
85.2%
To
Default
0.0%
0.1%
0.4%
1.7%
1.0%
14.0%
OutFrom
standing
6-month
Current
67.50%
0.2%
30-59
2.14%
3.6%
60-89
1.39%
6.9%
90+
11.12%
9.4%
Frcl
14.33%
9.9%
REO
3.52%
58.7%
(weighted avg)
1-year
0.9%
10.3%
16.0%
18.5%
22.8%
81.6%
9.27%
2-year
4.3%
23.5%
32.3%
34.7%
43.1%
94.5%
17.20%
3-year
9.2%
33.8%
44.1%
46.4%
55.7%
97.0%
24.10%
5-year
20.2%
47.3%
57.8%
60.0%
68.7%
98.2%
35.42%
10-year
41.5%
63.6%
71.9%
73.6%
80.0%
98.9%
53.47%
20-year
58.9%
75.1%
81.0%
82.2%
86.8%
99.3%
67.57%
Life
63.6%
78.1%
83.5%
84.5%
88.6%
99.4%
71.32%
1-year
1.0%
11.0%
17.1%
19.9%
24.5%
83.1%
9 80%
9.80%
2-year
4.4%
24.8%
34.2%
37.1%
45.3%
95.2%
17 97%
17.97%
3-year
9.4%
35.2%
46.1%
49.0%
57.7%
97.4%
24 89%
24.89%
5-year
20.2%
48.1%
59.3%
62.1%
70.1%
98.4%
35 89%
35.89%
10-year
40.1%
63.2%
72.1%
74.3%
80.3%
99.0%
52 71%
52.71%
20-year
55.5%
73.3%
80.0%
81.8%
86.2%
99.3%
65 08%
65.08%
Life
59.3%
75.7%
82.0%
83.6%
87.6%
99.4%
68 10%
68.10%
From
Current
30-59
60-89
90+
Frcl
REO
To
Prepay
0.5%
0.1%
0.1%
0.0%
0.1%
0.0%
To
Current
97.6%
16.5%
5.3%
2.8%
0.8%
0.0%
To
30-59
1.8%
39.0%
7.0%
0.2%
0.0%
0.0%
To
60-89
0.0%
43.3%
25.1%
0.5%
0.0%
0.0%
To
90+
0.0%
0.3%
44.8%
85.0%
4.9%
0.2%
To
Frcl
0.0%
0.7%
17.1%
9.2%
90.1%
0.5%
To
REO
0.0%
0.0%
0.1%
0.4%
3.0%
84.7%
To
Default
0.0%
0.2%
0.4%
1.9%
1.1%
14.6%
OutFrom
standing
6-month
Current
67.50%
0.2%
30-59
2.14%
3.9%
60-89
1.39%
7.4%
90+
11.12%
10.2%
Frcl
14.33%
10.8%
REO
3.52%
60.5%
(weighted avg)
A-38

June 3, 2011
Alt-A Fixed
1-month transition matrices
Implied
p
roll rates ((transitions to default))
Apr-11 to May-11
To
From
Prepay
Current
0.6%
30-59
0.3%
60-89
0.3%
90+
0.1%
0 1%
Frcl
0.1%
REO
0.0%
To
Current
98.1%
17.9%
6.0%
3.4%
3 4%
0.8%
0.0%
To
30-59
1.3%
40.9%
8.4%
0.3%
0 3%
0.0%
0.0%
To
60-89
0.0%
39.6%
28.0%
0.7%
0 7%
0.0%
0.0%
To
90+
0.0%
0.2%
41.6%
86.5%
86 5%
3.7%
0.1%
To
Frcl
0.0%
1.0%
15.4%
7.4%
7 4%
91.9%
0.7%
To
REO
0.0%
0.0%
0.1%
0.3%
0 3%
2.4%
84.4%
To
Default
0.0%
0.1%
0.3%
1.3%
1 3%
1.0%
14.8%
OutFrom
standing
6-month
Current
77.14%
0.1%
30-59
1.96%
2.7%
60-89
1.18%
5.4%
90+
7.38%
7 38%
7.5%
7 5%
Frcl
10.39%
9.2%
REO
1.95%
60.7%
(weighted avg)
1-year
0.5%
7.9%
12.8%
15.0%
15 0%
20.9%
83.0%
5.61%
2-year
2.4%
18.1%
26.4%
28.6%
28 6%
39.3%
94.8%
10.54%
3-year
5.1%
26.0%
36.2%
38.6%
38 6%
50.6%
96.9%
14.89%
5-year
11.5%
36.1%
47.3%
49.8%
49 8%
62.0%
97.9%
22.17%
10-year
24.5%
47.7%
58.1%
60.5%
60 5%
71.1%
98.4%
34.29%
20-year
36.3%
56.4%
65.4%
67.5%
67 5%
76.4%
98.7%
44.74%
Life
40.0%
59.1%
67.5%
69.6%
69 6%
77.9%
98.8%
47.96%
Mar-11 to Apr-11
To
Prepay
From
Current
0.7%
30-59
0.2%
60-89
0.1%
90+
0.1%
Frcl
0.1%
REO
0.0%
To
Current
98.0%
24.8%
8.3%
4.2%
1.0%
0.0%
To
30-59
30 59
1.2%
40.1%
10.1%
0.4%
0.0%
0.0%
To
60-89
60 89
0.0%
33.7%
28.1%
0.9%
0.0%
0.0%
To
90+
90
0.0%
0.2%
38.0%
83.9%
4.2%
0.1%
To
Frcl
0.0%
1.0%
15.1%
8.7%
90.8%
0.5%
To
REO
0.0%
0.0%
0.0%
0.3%
2.7%
80.9%
To
Default
0.0%
0.1%
0.3%
1.5%
1.1%
18.4%
OutFrom
standing
6 month
6-month
Current
77.14%
0.1%
30-59
1.96%
2.5%
60-89
1.18%
5.7%
90+
7.38%
8.3%
Frcl
10.39%
11.0%
REO
1.95%
69.4%
( i ht d avg))
(weighted
1
1-year
year
0.4%
7.1%
13.6%
16.7%
24.2%
89.2%
6.12%
2 year
2-year
2.0%
15.9%
26.9%
30.8%
42.6%
96.9%
10.75%
3 year
3-year
4.2%
22.1%
35.4%
39.8%
52.7%
97.9%
14.44%
5 year
5-year
9.2%
29.5%
44.0%
48.7%
61.8%
98.3%
20.09%
10 year
10-year
18.7%
38.3%
52.0%
56.4%
68.2%
98.6%
28.97%
20 year
20-year
27.3%
45.1%
57.5%
61.5%
72.1%
98.8%
36.58%
Life
30.0%
47.3%
59.3%
63.1%
73.3%
98.8%
38.96%
Feb-11 to Mar-11
To
From
Prepay
Current
0.7%
30-59
0.2%
60-89
0.2%
90+
0.1%
Frcl
0.1%
REO
0.0%
To
Current
97.8%
19.1%
5.9%
3.4%
0.9%
0.0%
To
30-59
1.5%
41.2%
6.7%
0.2%
0.0%
0.0%
To
60-89
0.0%
38.4%
27.8%
0.7%
0.0%
0.0%
To
90+
0.0%
0.2%
44.6%
87.3%
4.0%
0.1%
To
Frcl
0.0%
0.7%
14.5%
6.9%
91.8%
0.4%
To
REO
0.0%
0.0%
0.1%
0.5%
2.3%
84.3%
To
Default
0.0%
0.1%
0.2%
0.9%
0.9%
15.2%
OutFrom
standing
6-month
Current
77.14%
0.1%
30-59
1.96%
2.3%
60-89
1.18%
4.6%
90+
7.38%
6.0%
Frcl
10.39%
8.7%
REO
1.95%
62.1%
(weighted avg)
1-year
0.5%
6.8%
11.5%
13.0%
19.7%
84.6%
5.31%
2-year
2.3%
16.3%
24.4%
26.1%
37.1%
96.0%
10.06%
3-year
5.1%
23.9%
33.9%
35.7%
47.9%
97.8%
14.35%
5-year
11.6%
33.7%
44.9%
46.9%
59.0%
98.5%
21.62%
10-year
24.4%
45.7%
56.0%
57.9%
68.5%
98.8%
33.72%
20-year
35.6%
54.4%
63.5%
65.1%
74.1%
99.1%
43.69%
Life
38.8%
56.9%
65.5%
67.1%
75.7%
99.1%
46.53%
1-year
1
0.5%
7.2%
12.2%
14.2%
20.6%
84.6%
5.50%
2-year
2
2.3%
17.1%
25.8%
28.0%
38.4%
95.6%
10.35%
3-year
3
5.1%
24.8%
35.4%
37.9%
49.4%
97.4%
14.65%
5-year
5
11.3%
34.5%
46.3%
48.9%
60.4%
98.1%
21.73%
10-year
10
23.2%
45.6%
56.6%
59.1%
69.3%
98.6%
32.92%
20-year
20
32.6%
53.0%
62.9%
65.1%
74.0%
98.8%
41.36%
Lif
Life
35.0%
54.8%
64.4%
66.6%
75.1%
98.9%
43.47%
From
F
Current
30-59
60-89
90+
Frcl
REO
To
P
Prepay
0.8%
0.2%
0.2%
0.1%
0.1%
0.0%
To
Currentt
C
97.8%
19.3%
6.2%
3.6%
0.9%
0.0%
To
30-59
30 59
1.4%
40.8%
7.7%
0.3%
0.0%
0.0%
To
60-89
60 89
0.0%
38.5%
27.5%
0.7%
0.0%
0.0%
To
90+
90
0.0%
0.2%
43.0%
85.4%
3.9%
0.1%
To
Frcl
F l
0.0%
0.9%
15.1%
8.4%
91.7%
0.5%
To
REO
0.0%
0.0%
0.1%
0.5%
2.4%
83.9%
To
Default
D f lt
0.0%
0.1%
0.2%
1.1%
0.9%
15.4%
OutFrom
F
standing
t di
6-month
6
th
Current
77.14%
0.1%
30-59
1.96%
2.4%
60-89
1.18%
4.9%
90+
7.38%
6.7%
Frcl
10.39%
9.1%
REO
1.95%
62.6%
(weighted avg)
A-39

June 3, 2011
Prime ARM
Implied
p
Apr-11 to May-11
To
From
Prepay
Current
1.1%
30-59
0.5%
60-89
0.5%
90+
0.2%
0 2%
Frcl
0.4%
REO
0.0%
To
Current
98.2%
15.5%
5.8%
2.8%
2 8%
0.9%
0.0%
To
30-59
0.7%
31.3%
5.7%
0.2%
0 2%
0.0%
0.0%
To
60-89
0.0%
46.0%
22.5%
0.5%
0 5%
0.0%
0.0%
To
90+
0.0%
0.2%
51.5%
85.9%
85 9%
3.5%
0.3%
To
Frcl
0.0%
5.7%
13.0%
8.2%
8 2%
90.4%
0.2%
To
REO
0.0%
0.1%
0.4%
0.3%
0 3%
2.5%
82.9%
To
Default
0.0%
0.6%
0.7%
2.0%
2 0%
2.2%
16.6%
OutFrom
standing
6-month
Current
86.81%
0.1%
30-59
0.96%
6.7%
60-89
0.67%
9.7%
90+
4.56%
4 56%
11.7%
11 7%
Frcl
5.97%
15.9%
REO
1.03%
65.8%
(weighted avg)
1-year
0.6%
15.7%
20.7%
22.9%
22 9%
31.4%
87.3%
4.62%
2-year
2.3%
30.1%
37.9%
40.5%
40 5%
51.8%
97.1%
8.44%
3-year
4.4%
38.8%
48.0%
51.0%
51 0%
62.1%
98.4%
11.59%
5-year
8.8%
46.8%
56.8%
59.9%
59 9%
70.2%
98.9%
16.40%
10-year
15.9%
52.6%
62.1%
65.1%
65 1%
74.3%
99.1%
23.14%
20-year
20.4%
55.2%
64.2%
67.2%
67 2%
75.7%
99.1%
27.29%
Life
21.3%
55.7%
64.6%
67.5%
67 5%
75.9%
99.2%
28.06%
Mar-11 to Apr-11
To
Prepay
From
Current
1.6%
30-59
0.3%
60-89
0.5%
90+
0.3%
Frcl
0.2%
REO
0.0%
To
Current
97.6%
18.2%
7.8%
2.6%
0.9%
0.0%
To
30-59
30 59
0.7%
33.6%
5.6%
0.2%
0.1%
0.0%
To
60-89
60 89
0.0%
42.1%
22.8%
0.4%
0.0%
0.0%
To
90+
90
0.0%
0.2%
43.9%
83.4%
4.9%
0.7%
To
Frcl
0.0%
5.2%
18.6%
10.5%
88.6%
0.7%
To
REO
0.0%
0.0%
0.0%
0.3%
3.1%
77.6%
To
Default
0.0%
0.4%
0.7%
2.3%
2.2%
21.0%
OutFrom
standing
6 month
6-month
Current
86.81%
0.1%
30-59
0.96%
6.3%
60-89
0.67%
10.5%
90+
4.56%
13.4%
Frcl
5.97%
17.6%
REO
1.03%
73.6%
( i ht d avg))
(weighted
1
1-year
year
0.6%
15.9%
23.0%
26.3%
34.6%
90.5%
5.03%
2 year
2-year
2.3%
30.5%
41.2%
45.5%
55.3%
96.3%
8.98%
3 year
3-year
4.5%
38.7%
51.0%
55.8%
65.3%
97.3%
12.08%
5 year
5-year
8.5%
46.0%
59.0%
64.1%
72.9%
98.0%
16.47%
10 year
10-year
13.8%
50.6%
63.2%
68.2%
76.4%
98.3%
21.54%
20 year
20-year
16.0%
52.1%
64.3%
69.2%
77.2%
98.3%
23.62%
Life
16.3%
52.2%
64.5%
69.3%
77.3%
98.3%
23.83%
Feb-11 to Mar-11
To
From
Prepay
Current
1.1%
30-59
0.1%
60-89
0.1%
90+
0.1%
Frcl
0.2%
REO
0.0%
To
Current
98.1%
15.3%
5.2%
2.7%
0.8%
0.0%
To
30-59
0.8%
34.2%
5.3%
0.3%
0.0%
0.0%
To
60-89
0.0%
47.1%
21.4%
0.4%
0.0%
0.0%
To
90+
0.0%
0.3%
53.2%
85.3%
3.5%
0.3%
To
Frcl
0.0%
2.7%
14.3%
9.3%
90.8%
0.6%
To
REO
0.0%
0.1%
0.2%
0.3%
2.7%
81.5%
To
Default
0.0%
0.3%
0.4%
1.7%
2.0%
17.6%
OutFrom
standing
6-month
Current
86.81%
0.1%
30-59
0.96%
5.0%
60-89
0.67%
8.3%
90+
4.56%
10.2%
Frcl
5.97%
15.0%
REO
1.03%
67.5%
(weighted avg)
1-year
0.5%
13.5%
19.2%
21.1%
30.6%
87.8%
4.41%
2-year
2.3%
28.6%
37.4%
39.5%
51.7%
96.3%
8.37%
3-year
4.7%
38.3%
48.7%
51.0%
62.9%
97.7%
11.85%
5-year
9.7%
47.9%
59.1%
61.6%
72.5%
98.4%
17.39%
10-year
17.9%
55.1%
65.7%
68.1%
77.7%
98.7%
25.31%
20-year
23.1%
58.3%
68.3%
70.5%
79.5%
98.8%
30.07%
Life
24.0%
58.8%
68.7%
70.9%
79.8%
98.8%
30.90%
1-year
1
0.6%
14.4%
20.3%
22.5%
30.1%
87.2%
4.51%
2-year
2
2.3%
28.9%
37.8%
40.5%
50.6%
96.5%
8.40%
3-year
3
4.6%
37.9%
48.3%
51.2%
61.2%
97.9%
11.68%
5-year
5
9.1%
46.5%
57.6%
60.7%
70.0%
98.5%
16.68%
10-year
10
15.9%
52.5%
63.2%
66.1%
74.6%
98.7%
23.19%
20-year
20
19.4%
54.8%
65.1%
67.9%
76.0%
98.8%
26.47%
Lif
Life
19.9%
55.1%
65.3%
68.1%
76.1%
98.8%
26.92%
From
F
Current
30-59
60-89
90+
Frcl
REO
To
P
Prepay
1.4%
0.3%
0.3%
0.2%
0.2%
0.0%
To
Currentt
C
97.9%
15.5%
5.5%
2.7%
1.0%
0.0%
To
30-59
30 59
0.7%
33.6%
5.2%
0.2%
0.0%
0.0%
To
60-89
60 89
0.0%
46.9%
21.9%
0.5%
0.0%
0.0%
To
90+
90
0.0%
0.2%
52.6%
84.4%
4.0%
0.3%
To
Frcl
F l
0.0%
3.0%
13.6%
9.7%
90.1%
0.4%
To
REO
0.0%
0.1%
0.2%
0.3%
2.7%
82.3%
To
Default
D f lt
0.0%
0.4%
0.7%
2.0%
2.0%
17.0%
OutFrom
F
standing
t di
6-month
6
th
Current
86.81%
0.1%
30-59
0.96%
5.8%
60-89
0.67%
9.3%
90+
4.56%
11.4%
Frcl
5.97%
14.9%
REO
1.03%
66.3%
(weighted avg)
A-40

June 3, 2011
Prime Fixed
Implied
p
Apr-11 to May-11
To
From
Prepay
Current
1.5%
30-59
0.5%
60-89
0.5%
90+
0.1%
0 1%
Frcl
0.3%
REO
0.0%
To
Current
97.9%
16.3%
6.4%
3.4%
3 4%
1.0%
0.0%
To
30-59
0.6%
37.5%
6.0%
0.3%
0 3%
0.0%
0.0%
To
60-89
0.0%
39.3%
25.9%
0.5%
0 5%
0.0%
0.0%
To
90+
0.0%
0.1%
47.8%
86.4%
86 4%
3.9%
0.2%
To
Frcl
0.0%
6.0%
12.3%
7.0%
7 0%
90.6%
0.7%
To
REO
0.0%
0.0%
0.4%
0.4%
0 4%
2.4%
78.7%
To
Default
0.0%
0.2%
0.8%
1.9%
1 9%
1.8%
20.4%
OutFrom
standing
6-month
Current
89.94%
0.1%
30-59
0.94%
5.3%
60-89
0.55%
9.0%
90+
3.89%
3 89%
10.9%
10 9%
Frcl
4.09%
14.5%
REO
0.58%
73.3%
(weighted avg)
1-year
0.5%
13.3%
19.0%
21.1%
21 1%
29.1%
91.1%
3.19%
2-year
1.7%
25.7%
34.1%
36.7%
36 7%
48.1%
97.1%
5.96%
3-year
3.4%
33.2%
42.9%
45.7%
45 7%
57.7%
97.9%
8.31%
5-year
6.5%
40.1%
50.7%
53.7%
53 7%
65.6%
98.4%
11.89%
10-year
11.3%
44.9%
55.3%
58.4%
58 4%
69.7%
98.6%
16.58%
20-year
13.8%
46.7%
56.9%
59.9%
59 9%
70.8%
98.7%
18.95%
Life
14.1%
47.0%
57.1%
60.1%
60 1%
71.0%
98.7%
19.28%
Mar-11 to Apr-11
To
Prepay
From
Current
1.8%
30-59
0.5%
60-89
0.3%
90+
0.2%
Frcl
0.3%
REO
0.0%
To
Current
97.5%
19.5%
7.2%
4.0%
1.2%
0.1%
To
30-59
30 59
0.6%
34.9%
7.8%
0.2%
0.1%
0.0%
To
60-89
60 89
0.0%
38.2%
25.0%
0.7%
0.0%
0.0%
To
90+
90
0.0%
0.2%
43.5%
84.8%
4.4%
0.0%
To
Frcl
0.0%
6.7%
15.4%
7.4%
90.0%
0.9%
To
REO
0.0%
0.0%
0.1%
0.4%
2.5%
76.8%
To
Default
0.0%
0.1%
0.6%
2.3%
1.5%
22.3%
OutFrom
standing
6 month
6-month
Current
89.94%
0.1%
30-59
0.94%
4.8%
60-89
0.55%
9.0%
90+
3.89%
12.2%
Frcl
4.09%
13.3%
REO
0.58%
76.4%
( i ht d avg))
(weighted
1
1-year
year
0.4%
12.5%
18.9%
22.3%
27.5%
92.4%
3.13%
2 year
2-year
1.6%
23.7%
33.1%
36.5%
45.5%
97.1%
5.70%
3 year
3-year
3.0%
30.1%
40.8%
44.4%
54.4%
97.7%
7.77%
5 year
5-year
5.6%
35.7%
47.2%
50.9%
61.3%
98.1%
10.72%
10 year
10-year
9.0%
39.4%
50.8%
54.4%
64.6%
98.3%
14.11%
20 year
20-year
10.4%
40.5%
51.8%
55.3%
65.3%
98.3%
15.44%
Life
10.5%
40.6%
51.8%
55.4%
65.4%
98.3%
15.56%
Feb-11 to Mar-11
To
From
Prepay
Current
1.9%
30-59
0.3%
60-89
0.5%
90+
0.1%
Frcl
0.2%
REO
0.0%
To
Current
97.5%
15.7%
5.9%
3.5%
1.1%
0.0%
To
30-59
0.6%
36.6%
5.1%
0.2%
0.0%
0.0%
To
60-89
0.0%
43.6%
23.5%
0.4%
0.1%
0.0%
To
90+
0.0%
0.2%
50.1%
88.4%
4.5%
0.0%
To
Frcl
0.0%
3.2%
14.3%
5.8%
90.1%
0.8%
To
REO
0.0%
0.2%
0.1%
0.6%
2.1%
78.6%
To
Default
0.0%
0.1%
0.4%
1.0%
1.8%
20.5%
OutFrom
standing
6-month
Current
89.94%
0.1%
30-59
0.94%
3.8%
60-89
0.55%
6.2%
90+
3.89%
7.2%
Frcl
4.09%
13.4%
REO
0.58%
73.6%
(weighted avg)
1-year
0.4%
10.4%
14.7%
15.5%
26.4%
91.4%
2.72%
2-year
1.5%
21.4%
28.3%
29.2%
43.1%
97.3%
5.13%
3-year
2.9%
28.4%
36.5%
37.6%
51.9%
98.0%
7.20%
5-year
5.5%
35.1%
44.2%
45.5%
59.5%
98.4%
10.30%
10-year
9.1%
39.7%
48.9%
50.3%
63.7%
98.6%
13.99%
20-year
10.6%
41.1%
50.1%
51.6%
64.7%
98.6%
15.44%
Life
10.8%
41.2%
50.2%
51.7%
64.7%
98.6%
15.57%
1-year
1
0.4%
11.1%
16.4%
18.3%
25.3%
90.2%
2.84%
2-year
2
1.5%
22.2%
30.1%
32.1%
42.7%
96.6%
5.29%
3-year
3
2.8%
28.9%
38.2%
40.4%
52.0%
97.5%
7.31%
5-year
5
5.2%
35.3%
45.5%
47.8%
59.7%
97.9%
10.16%
10-year
10
8.1%
39.3%
49.6%
51.9%
63.7%
98.2%
13.16%
20-year
20
9.1%
40.1%
50.4%
52.7%
64.3%
98.2%
14.08%
Lif
Life
9.1%
40.2%
50.5%
52.7%
64.4%
98.2%
14.13%
From
F
Current
30-59
60-89
90+
Frcl
REO
To
P
Prepay
2.3%
0.3%
0.3%
0.1%
0.2%
0.0%
To
Currentt
C
97.1%
17.1%
6.2%
3.8%
1.1%
0.0%
To
30-59
30 59
0.6%
35.4%
5.6%
0.2%
0.0%
0.0%
To
60-89
60 89
0.0%
43.3%
24.6%
0.6%
0.0%
0.0%
To
90+
90
0.0%
0.2%
49.6%
86.5%
4.2%
0.1%
To
Frcl
F l
0.0%
3.5%
12.8%
6.7%
90.7%
0.8%
To
REO
0.0%
0.0%
0.2%
0.6%
2.2%
79.2%
To
Default
D f lt
0.0%
0.1%
0.6%
1.5%
1.5%
19.8%
OutFrom
F
standing
t di
6-month
6
th
Current
89.94%
0.1%
30-59
0.94%
4.2%
60-89
0.55%
7.5%
90+
3.89%
9.2%
Frcl
4.09%
12.3%
REO
0.58%
72.0%
(weighted avg)
A-41

June 3, 2011
Subprime 60+ Delinquencies (%) by CLTV
Alt A 60+ Delinquencies (%) by CLTV

45%
60%
40%
50%
35%
30%
40%
25%
20%
30%
15%
10%
20%
5%
10%
0%
1: <80
2: 80-90
3: 90-100
4: 100-110
5: >=110
1: <80
2: 80-90
3: 90-100
4: 100-110
5: >=110
Dec-08
Jun-09
Dec-09
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
May-11
Jun-10
Dec-10
May-11
Option ARM 60+ Delinquencies (%) by CLTV
Prime 60+ Delinquencies (%) by CLTV

20%
60%
50%
16%
40%
12%
30%
8%
20%
4%
10%
0%
0%
1: <80
2: 80-90
3: 90-100
4: 100-110
5: >=110
1: <80
2: 80-90
3: 90-100
4: 100-110
5: >=110
Dec-08
Jun-09
Dec-09
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
May-11
Jun-10
Dec-10
May-11
A-42
SPG Research
June 3, 2011
Liquidation Timelines and Performance Quality by Servicer

Sector
Servicer
Prime
Wells Fargo
Prime
WaMu
Prime
Chase
Prime
Bank of America
Prime
Countrywide
Prime
Cenlar
Prime
GMAC
Prime
PHH
Prime
Citi
Prime
National City
Alt-A
Countrywide
Alt-A
IndyMac
Alt-A
Aurora
Alt-A
Wells Fargo
Alt-A
GMAC
Alt-A
Bank of America
Alt-A
EMC
Alt-A
WaMu
Alt-A
Greenpoint
Alt-A
Chase
Option ARM Countrywide
Option ARM WaMu
Option ARM EMC
Option ARM American Home Mortgage
Option ARM IndyMac
Option ARM GMAC
Option ARM Downey
Option ARM HomeComings
Option ARM Greenpoint
Option ARM Aurora
Subprime
Option One
Subprime
Wells Fargo
Subprime
Countrywide
Subprime
Ocwen
Subprime
Ameriquest
Subprime
Chase
Subprime
Saxon
Subprime
EMC
Subprime
HomeEq
Subprime
WaMu
(Past 6 months data)
Timing
Rank
5
8
1
10
3
7
9
4
6
2
1
6
5
10
9
7
2
4
3
8
10
4
7
5
9
2
6
8
1
3
4
9
10
3
7
2
8
1
5
6
# of
Dflts
3,430
890
981
664
586
217
220
133
75
118
3,691
4,256
5,089
4,833
4,693
1,199
3,173
1,144
1,491
1,051
4,410
2,437
1,279
2,122
2,075
891
543
837
663
111
7,920
7,989
3,799
4,631
5,596
3,246
3,442
3,760
2,868
2,981
Liquidation Source
60+ F/C REO
18% 23% 59%
19% 43% 38%
36% 39% 25%
59%
5% 36%
64%
7% 29%
17% 31% 53%
11% 35% 54%
17% 13% 71%
16% 56% 28%
23% 37% 40%
56%
7% 37%
8% 28% 63%
6% 13% 81%
13%
8% 78%
17% 12% 71%
34%
6% 59%
32% 10% 58%
12% 25% 63%
39%
7% 53%
25% 31% 44%
46%
5% 49%
11% 33% 56%
35% 11% 55%
19% 13% 68%
7% 22% 71%
17% 22% 61%
4% 19% 78%
3% 14% 83%
26%
9% 65%
31%
5% 64%
14% 22% 64%
10%
5% 85%
34% 11% 55%
9% 17% 74%
14% 30% 56%
25% 33% 42%
7% 24% 70%
66%
6% 28%
15% 30% 55%
27% 12% 61%
Months in Bucket
60+ F/C REO
6.8
6.1
4.7
6.6
8.2
5.1
6.7
8.6
5.6
10.2
8.1
6.4
9.0
9.2
6.8
3.9
8.3
7.5
5.9
7.1
5.9
6.3
4.5
6.3
7.5
6.6
6.3
4.6
7.0 10.2
7.3
9.4
7.7
5.1
8.6
6.5
6.6
6.3
5.5
6.1
8.3
6.6
6.0
8.5
7.1
7.5
8.7
6.7
8.5
6.8
5.8
4.4
8.9
7.4
6.1
9.0
9.8
6.6 10.7
6.2
9.4
9.7
7.6
4.9
9.3
5.8
10.2
6.4
5.5
4.2
9.4
7.0
5.7
7.9
6.8
5.1
7.3
6.0
5.8
5.4
8.1
7.3
6.1
5.6
7.5
4.2
5.6
8.6
4.3
6.6
5.9
9.4
7.7
8.8
9.0
7.0
10.8 12.0
9.5
5.6
6.8
9.2
6.3 11.0
7.0
5.9 12.4
6.0
8.1
9.1
7.2
9.9
6.8
6.4
8.0
7.3
9.6
10.2
6.6
7.5
Avg Time
to Liq
14.6
15.2
13.6
15.9
14.3
14.9
15.4
14.6
14.8
14.1
14.3
16.9
16.9
18.3
18.1
17.0
16.5
16.9
16.6
17.3
18.3
16.4
17.6
16.5
17.9
14.9
17.4
17.9
14.3
15.8
18.9
22.9
23.9
18.6
19.6
17.7
21.7
14.0
19.4
19.5
Quality
Rank
5
9
8
7
10
6
2
3
1
4
9
4
1
3
6
2
8
5
10
7
10
6
9
5
4
3
1
8
2
7
5
6
10
1
2
7
4
9
3
8
Always
Cur
79%
62%
69%
68%
59%
73%
68%
80%
78%
71%
51%
56%
67%
63%
50%
72%
48%
63%
50%
58%
31%
52%
33%
47%
46%
42%
46%
43%
39%
46%
26%
31%
21%
27%
38%
29%
23%
26%
33%
22%
60+
9%
18%
14%
14%
19%
11%
7%
6%
5%
10%
35%
23%
20%
22%
28%
21%
35%
25%
36%
33%
55%
37%
49%
34%
32%
24%
24%
42%
26%
39%
34%
35%
58%
27%
27%
39%
34%
46%
28%
47%
Always Cur
to 30 Roll Modded
0.5%
4.0%
0.8%
5.0%
0.6%
2.0%
0.5%
3.0%
0.9%
6.0%
0.6%
2.0%
0.3%
8.0%
0.4%
2.0%
0.3%
5.0%
0.4%
4.0%
1.2%
13.0%
1.0%
16.0%
0.6%
8.0%
0.8%
13.0%
1.0%
21.0%
0.5%
4.0%
0.7%
16.0%
0.8%
9.0%
1.0%
9.0%
0.8%
4.0%
2.0%
10.0%
1.2%
6.0%
2.9%
16.0%
1.6%
15.0%
1.7%
13.0%
2.0%
31.0%
1.2%
29.0%
2.1%
6.0%
1.6%
34.0%
1.5%
11.0%
1.3%
47.0%
1.0%
38.0%
1.2%
20.0%
1.1%
55.0%
0.9%
34.0%
1.2%
34.0%
1.2%
36.0%
1.5%
36.0%
1.3%
28.0%
1.3%
42.0%
# of
Loans
126,246
53,121
46,399
38,095
26,916
9,494
16,377
11,856
12,207
10,161
73,860
81,489
92,586
89,570
76,293
75,677
49,617
37,159
35,683
30,504
73,200
50,486
39,658
33,303
35,112
14,520
8,835
8,878
7,851
5,161
182,091
154,553
116,905
143,949
119,125
111,639
84,650
100,771
84,889
77,300
Balance
($bn)
$
60.0
$
29.3
$
23.7
$
17.9
$
13.4
$
6.4
$
6.3
$
5.8
$
5.5
$
4.3
$
29.2
$
28.8
$
26.6
$
23.2
$
20.7
$
12.7
$
11.6
$
9.7
$
8.9
$
7.8
$
29.3
$
25.9
$
14.9
$
13.4
$
12.4
$
6.2
$
3.4
$
3.2
$
2.8
$
2.2
$
34.0
$
24.8
$
20.3
$
20.3
$
18.9
$
18.7
$
14.6
$
13.8
$
13.8
$
13.5
A-43
SPG Research
June 3, 2011
Liquidation Timelines and Performance Quality by Shelf

Timing
Sector
Shelf
Rank
Prime
WFMBS
7
Prime
CWHL
6
Prime
WAMU
9
Prime
JPMMT
4
Prime
GSR
3
Prime
BOAMS
10
Prime
TMST
5
Prime
RFMSI
1
Prime
BAFC
8
Prime
CHASE
2
Alt-A
CWALT
8
Alt-A
RALI
1
Alt-A
SARM
4
Alt-A
GSAA
2
Alt-A
INDX
7
Alt-A
BALTA
6
Alt-A
MSM
9
Alt-A
DBALT
10
Alt-A
RAST
3
Alt-A
BAFC
5
Option ARM CWALT
10
Option ARM HVMLT
5
Option ARM WAMU
2
Option ARM LXS
4
Option ARM SAMI
6
Option ARM RALI
8
Option ARM GPMF
1
Option ARM INDX
7
Option ARM WMALT
9
Option ARM AHMA
3
Subprime
CWL
10
Subprime
MSAC
9
Subprime
FFML
6
Subprime
BSABS
1
Subprime
ACE
8
Subprime
SASC
7
Subprime
SVHE
5
Subprime
LBMLT
4
Subprime
JPMAC
3
Subprime
RASC
2
(Past 6 months data)
# of
Dflts
3,194
947
835
789
648
431
335
534
613
419
6,006
3,788
2,148
3,290
2,405
2,738
1,798
2,594
1,033
1,397
3,246
3,552
1,417
3,079
1,742
2,501
1,816
1,218
1,143
1,020
7,220
4,301
3,643
3,953
3,192
3,329
2,606
2,671
2,074
3,722
Liquidation SourceMonths in Bucket

60+ F/C REO 60+ F/C REO
15% 23% 62% 6.7
6.1
4.6
32% 7% 61% 9.9
3.5
3.8
19% 43% 38% 6.5
8.4
5.0
39% 23% 38% 7.4
7.2
6.0
38% 20% 42% 7.3
6.6
5.8
59% 5% 36% 10.2
8.4
6.4
21% 29% 50% 4.8
7.2
7.2
11% 54% 35% 4.6
8.1
5.0
36% 17% 47% 7.9
7.0
5.5
31% 56% 14% 5.5 10.7
5.3
23% 6% 71% 8.9
5.4
5.6
13% 37% 50% 3.7
9.1
5.2
10% 15% 75% 7.0
5.7
5.5
35% 12% 53% 6.1
8.0
7.8
7% 31% 62% 4.7
9.1
6.1
31% 9% 60% 7.8
7.3
6.5
16% 15% 69% 6.0
8.4
7.2
25% 10% 65% 6.4
9.1
7.5
6% 30% 63% 4.5
8.5
6.2
29% 9% 62% 6.3
8.5
6.9
24% 6% 70% 11.2
6.2
4.9
30% 11% 59% 7.3
8.7
7.0
10% 35% 54% 4.6
8.8
5.5
15% 14% 71% 6.8
6.6
6.3
46% 7% 48% 8.9
9.3
7.1
3% 14% 83% 7.4
6.3
5.3
25% 13% 62% 8.0
5.2
5.6
6% 32% 62% 5.3
8.8
6.6
9% 31% 60% 5.2 10.2
6.1
18% 17% 64% 4.4
9.0
6.7
29% 11% 60% 11.6
9.0
8.3
19% 17% 64% 9.1
9.5
8.2
19% 8% 74% 8.2
7.5
7.0
63% 6% 31% 9.9
6.6
6.1
14% 15% 71% 7.2
8.3
8.7
15% 9% 76% 7.6
8.7
7.0
14% 22% 64% 6.6
9.3
7.3
29% 12% 58% 10.5
6.3
7.5
20% 40% 40% 5.9 13.3
6.1
22% 24% 54% 4.6 11.6
5.4
Avg Time
to Liq
14.7
14.6
15.1
14.1
13.8
15.9
14.1
13.6
15.0
13.8
17.0
14.2
16.2
15.4
16.8
16.7
18.0
18.1
16.2
16.6
19.3
17.5
15.4
16.9
17.5
17.9
15.3
17.6
18.1
15.9
23.0
22.1
19.6
14.2
20.5
20.3
19.3
19.1
19.0
16.6
Quality
Rank
1
7
10
8
6
4
3
2
8
5
6
1
3
10
5
8
4
9
2
7
10
6
2
5
9
7
4
1
8
3
10
6
5
8
4
2
3
9
7
1
Always
Cur
82%
64%
61%
67%
68%
70%
76%
66%
67%
72%
61%
62%
66%
48%
54%
50%
58%
48%
63%
59%
31%
37%
58%
41%
33%
43%
40%
46%
34%
48%
27%
23%
30%
27%
24%
29%
24%
24%
26%
29%
60+
8%
15%
20%
15%
13%
12%
9%
9%
15%
14%
26%
18%
21%
35%
25%
34%
23%
34%
19%
28%
56%
45%
32%
39%
52%
43%
37%
30%
50%
33%
51%
44%
40%
44%
39%
35%
36%
47%
43%
32%
Always Cur
to 30 Roll
0.4%
0.8%
0.8%
0.8%
0.7%
0.4%
0.5%
0.5%
0.8%
0.4%
0.8%
0.7%
0.8%
1.1%
1.0%
0.7%
0.9%
1.1%
0.7%
0.9%
1.6%
1.8%
1.1%
1.9%
2.4%
2.0%
2.0%
1.7%
2.1%
1.5%
1.2%
1.1%
1.4%
1.2%
1.2%
1.1%
1.3%
1.2%
1.5%
1.2%
Proj 1Y
DLQ
Modded
12%
4.0%
21%
4.0%
26%
5.0%
21%
2.0%
19%
5.0%
15%
2.0%
14%
2.0%
13%
13.0%
21%
4.0%
17%
2.0%
32%
6.0%
23%
18.0%
27%
8.0%
41%
14.0%
31%
17.0%
38%
14.0%
29%
18.0%
40%
15.0%
24%
13.0%
34%
9.0%
62%
8.0%
53%
14.0%
40%
4.0%
48%
14.0%
62%
10.0%
53%
5.0%
47%
21.0%
39%
14.0%
59%
12.0%
42%
15.0%
55%
22.0%
47%
31.0%
45%
34.0%
48%
36.0%
42%
45.0%
39%
39.0%
40%
48.0%
50%
41.0%
48%
37.0%
36%
40.0%
# of
Loans
130,156
64,752
43,784
36,487
36,080
30,212
19,810
27,246
21,302
20,442
291,803
111,457
48,491
61,087
41,819
54,045
39,408
44,013
34,839
29,490
58,729
56,352
34,523
41,395
31,660
26,110
21,991
21,966
16,406
16,446
380,623
113,806
104,764
84,214
81,864
84,573
65,402
67,098
60,687
85,172
Balance
($bn)
$
60.7
$
30.6
$
25.2
$
17.6
$
17.1
$
13.8
$
11.9
$
10.9
$
10.7
$
10.6
$
65.8
$
21.7
$
18.4
$
15.4
$
14.3
$
14.1
$
11.8
$
11.4
$
11.0
$
9.8
$
23.5
$
21.5
$
19.1
$
15.6
$
12.2
$
9.7
$
7.8
$
7.4
$
6.8
$
6.5
$
51.7
$
18.9
$
15.3
$
13.3
$
12.6
$
11.8
$
11.8
$
11.4
$
11.0
$
10.8
A-44
SPG Research
June 3, 2011
Pipeline Age and Timeline Extension

Months in state for existing pipeline
18
60+ Age
16
F/C Age
REO Age
14
12
10
8
6
4
2
0
Jan-07
Sep-07
May-08
Jan-09
Sep-09
May-10
Jan-11
Time to liquidation
Based on existing pipeline and recent liquidations
By Product
40
Series1
40
Series2
Subprime
Option ARM
Alt-A
Prime
35
35
30
30
25
25
20
20
15
10
15
5
0
10
Jan-07
Sep-07
May-08
Jan-09
Sep-09
May-10
Jan-11
Jan-07
Sep-07
May-08
Jan-09
Sep-09
May-10
Jan-11
A-45
SPG Research
June 3, 2011
Timeline Extension by Servicer

Bal
# of Months in State (Pipeline)
Pace Months in State (Liquidation)
Timeline
Sector
Servicer
($ bn)
Loans
60+
F/C
REO
Total vs Avg
60+
F/C
REO
Total Extension
Prime
Wells Fargo
60.0 128,115
9.9
7.0
4.5
21.4
-5.3
6.8
6.1
4.7
17.6
3.8
Prime
WaMu
29.3
53,785
11.4
11.2
5.5
28.1
1.3
6.6
8.2
5.1
19.9
8.2
Prime
Chase
23.7
47,095
13.5
11.3
5.8
30.6
3.8
6.7
8.6
5.6
20.9
9.7
Prime
Bank of America
17.9
38,685
15.1
10.7
5.5
31.3
4.6
10.2
8.1
6.4
24.7
6.6
Prime
Countrywide
13.4
27,257
13.8
13.0
6.1
32.8
6.1
9.0
9.2
6.8
25.0
7.8
Prime
Cenlar
6.4
9,642
12.7
9.1
5.9
27.6
0.9
3.9
8.3
7.5
19.8
7.9
Prime
GMAC
6.3
16,582
8.5
8.7
4.8
22.0
-4.7
5.9
7.1
5.9
18.9
3.1
Prime
PHH
5.8
12,024
8.1
7.7
7.0
22.9
-3.9
6.3
4.5
6.3
17.0
5.8
Prime
Citi
5.5
12,552
8.9
8.1
4.0
21.1
-5.7
7.5
6.6
6.3
20.4
0.7
Prime
National City
4.3
10,284
10.0
10.1
9.5
29.6
2.8
4.6
7.0
10.2
21.8
7.8
Alt-A
Countrywide
30.7
77,808
15.2
14.6
5.8
35.6
3.1
7.3
9.4
7.7
24.4
11.1
Alt-A
IndyMac
30.7
85,584
11.4
12.3
6.1
29.8
-2.6
5.1
8.6
6.5
20.2
9.6
Alt-A
Aurora
28.5
97,810
14.5
9.7
5.4
29.6
-2.9
6.6
6.3
5.5
18.3
11.2
Alt-A
Wells Fargo
23.2
90,593
12.0
10.4
5.9
28.3
-4.1
6.1
8.3
6.6
21.0
7.3
Alt-A
GMAC
22.1
78,631
13.8
12.5
6.7
32.9
0.5
6.0
8.5
7.1
21.6
11.3
Alt-A
EMC
17.2
63,911
15.0
9.8
6.7
31.4
-1.0
8.5
6.8
5.8
21.1
10.3
Alt-A
Bank of America
12.7
76,277
14.1
12.1
6.5
32.7
0.2
7.5
8.7
6.7
22.8
9.8
Alt-A
WaMu
9.8
37,764
11.3
12.9
6.6
30.8
-1.6
4.4
8.9
7.4
20.7
10.1
Alt-A
Greenpoint
8.9
35,976
15.3
14.6
7.8
37.7
5.3
6.1
9.0
9.8
24.9
12.8
Alt-A
Chase
7.8
30,824
15.9
12.2
7.3
35.4
3.0
6.6
10.7
6.2
23.5
11.9
Option ARM
Countrywide
27.8
70,528
18.2
14.6
5.6
38.3
7.6
9.4
9.7
7.6
26.7
11.6
Option ARM
WaMu
25.7
50,637
12.6
13.3
6.5
32.3
1.5
4.9
9.3
5.8
20.0
12.3
Option ARM
American Home Mortgage
12.1
30,665
9.4
13.0
5.6
28.0
-2.8
4.2
9.4
7.0
20.6
7.4
Option ARM
IndyMac
10.5
30,765
12.2
13.2
6.5
31.9
1.2
5.7
7.9
6.8
20.5
11.5
Option ARM
EMC
9.3
25,979
15.6
9.0
6.0
30.6
-0.1
10.2
6.4
5.5
22.2
8.5
Option ARM
GMAC
4.7
11,491
12.4
10.6
6.2
29.3
-1.5
5.1
7.3
6.0
18.4
10.8
Option ARM
Downey
3.4
8,922
12.5
7.0
8.3
27.8
-3.0
5.8
5.4
8.1
19.3
8.5
Option ARM
HomeComings
3.0
8,432
15.3
10.3
5.3
30.9
0.1
7.3
6.1
5.6
19.0
11.9
Option ARM
Greenpoint
2.8
7,938
13.4
8.4
6.4
28.2
-2.5
7.5
4.2
5.6
17.4
10.8
Option ARM
RFC
0.8
2,276
13.6
12.0
4.6
30.2
-0.5
6.1
8.0
6.3
20.4
9.8
Subprime
Option One
33.6 173,303
14.1
11.2
6.7
32.0
-2.9
5.9
9.4
7.7
23.0
9.0
Subprime
Wells Fargo
24.3 143,142
15.6
10.8
6.6
33.0
-1.8
8.8
9.0
7.0
24.8
8.2
Subprime
Countrywide
19.8 106,137
20.3
14.6
8.1
43.0
8.2
10.8
12.0
9.5
32.3
10.7
Subprime
Ocwen
19.4 122,100
15.4
9.0
8.7
33.0
-1.8
5.6
6.8
9.2
21.6
11.5
Subprime
Ameriquest
18.8 119,352
13.9
12.2
7.0
33.1
-1.8
6.3
11.0
7.0
24.2
8.8
Subprime
Chase
18.5 107,202
13.1
13.9
6.8
33.7
-1.1
5.9
12.4
6.0
24.3
9.4
Subprime
Saxon
14.3
78,513
18.6
11.9
7.0
37.4
2.6
8.1
9.1
7.2
24.3
13.1
Subprime
HomeEq
13.5
78,572
19.3
9.3
8.4
37.0
2.1
8.0
7.3
9.6
24.8
12.1
Subprime
WaMu
13.3
71,811
15.9
9.1
8.4
33.4
-1.4
10.2
6.6
7.5
24.2
9.2
Subprime
EMC
12.5
69,847
17.0
8.5
7.3
32.7
-2.1
9.9
6.8
6.4
23.2
9.6
Note: Pace vs avg indicates speed relative to other servicers. Negative numbers are faster. Timeline extension is the difference between months in inventory vs historical liquidations.
A-46
SPG Research
June 3, 2011
Modification Summary
By Product Type
Modified
Product Type
Prime Fixed
Prime Hybrid
Alt-A Fixed
Alt-A Hybrid
Option ARM
Subprime Fixed
Subprime Hybrid
Total
Count*
11,424
12,272
79,980
77,744
45,469
199,275
501,168
927,332
Loan Perf Mods

Bal
($ bn)
5.6
6.3
20.9
26.6
19.5
29.7
105.3
213.8
% of
Out
4%
4%
11%
15%
12%
23%
41%
Bal
($ bn)
4.6
129.1
12.2
1.4
42.9
23.6
% of
Out
Bal
($ bn)
11.3
5.6
5.8
4.4
5.5
5.6
5.2
5.0
5.1
4.0
4.6
4.8
4.1
4.5
3.8
3.3
4.1
5.9
3.5
4.5
% of
Out
22%
45%
31%
40%
29%
48%
34%
24%
21%
40%
41%
49%
35%
66%
54%
31%
37%
7%
39%
14%
Princ
269
312
2,556
2,321
4,668
5,587
4,659
20,372
JPM Identified Mods
Rate
7,995
8,319
43,734
49,400
24,148
102,223
314,787
550,606
Cap
Only
357
896
4,984
5,357
2,492
11,674
30,715
56,475
Princ
114
123
911
599
966
3,633
436
6,782
Rate
2,125
1,781
21,673
12,367
8,433
60,206
84,119
190,704
Cap
Only
564
841
6,122
7,700
4,762
15,952
66,452
102,393
Average
Rate
Drop
2.81
2.46
2.78
2.90
2.23
3.68
3.64
3.41
Forgive
Amt
105,212
98,640
81,891
95,720
104,539
47,705
60,276
73,011
Cap
Amt
22,107
24,243
16,147
19,148
21,414
10,442
15,788
15,407
% Pmt
Chg
-23
-21
-20
-20
-16
-21
-21
-20
Rate
Drop
4.02
3.59
Forgive
Amt
72,400
Cap
Amt
3.52
2.85
74,847
15,815
12,373
% Pmt
Chg
-40
-25
4
-36
-21
-1
Cap
Amt
11,625
13,350
15,818
12,770
14,908
15,995
14,007
14,947
15,770
12,664
17,202
18,280
16,167
16,022
14,649
13,196
15,604
16,139
21,464
16,534
% Pmt
Chg
-14
-23
-20
-9
-21
23
-23
-22
-21
-20
-25
-26
-22
-21
-18
-22
-10
-28
-16
-26
-12
By Mod Type
Modified
Mod Type
LP Principal
LP Rate
LP Cap Only
JPM Principal
JPM Rate
JPM Cap Only
Count
20,372
550,606
56,475
6,782
190,704
102,393
Loan Perf Mods

Princ
20,372
JPM Identified Mods

Rate
Cap
Only
Princ
Rate
Average
Cap
Only
550,606
17,030
13,176
56,475
6,782
190,704
102,393
Twenty Most Active Shelves

Modified
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Shelf
CWL
ACE
MSAC
RASC
BSABS
SVHE
FFML
SASC
CMLTI
GSAMP
LBMLT
OOMLT
SAIL
CARR
NCHET
RAMP
JPMAC
CWALT
ARSI
RALI
Count
57,620
31,602
29,476
27,047
27,042
26,480
26,252
24,065
22,658
22,558
21,836
20,577
20,500
19,749
19,650
19,016
18,939
17,605
16,868
15,397
Loan Perf Mods

Princ
241
454
262
4
82
208
295
246
344
1,229
76
101
73
5
55
12
184
517
123
180
Rate
23,984
19,562
16,170
17,958
16,169
17,103
18,328
13,321
14,911
15,180
15,172
10,334
12,219
12,068
10,896
12,182
13,825
7,790
13,391
9,594
JPM Identified Mods

Cap
Only
8,120
1,290
2,064
1,820
2,473
854
1,209
1,733
1,538
1,087
900
1,407
1,447
197
382
893
753
1,357
175
509
Princ
313
219
150
44
84
108
91
119
120
92
61
113
63
1
61
54
54
309
66
176
Rate
12,506
6,598
4,997
5,513
5,525
5,121
3,139
6,436
4,027
3,276
4,028
4,738
4,490
5,145
6,490
4,580
2,149
3,801
1,500
4,079
Cap
Only
12,456
3,479
5,833
1,708
2,709
3,086
3,190
2,210
1,718
1,694
1,599
3,884
2,208
2,333
1,766
1,295
1,974
3,831
1,613
859
Average
Rate
Drop
2.96
4.04
3.92
3.03
2.78
4.14
3.34
3.60
3.45
4.08
3.50
4.25
3.69
2.28
2.58
3.01
4.28
2.74
4.36
2.52
Forgive
Amt
57,580
47,052
44,598
52,825
53,938
53,113
50,224
59,126
65,696
49,307
64,968
83,812
53,520
96,800
45,153
52,218
55,147
79,009
57,200
94,038
* Includes loans identified by LP or JPM logic as having been modified. The totals here only include loans that are still outstanding
A-47
SPG Research
June 3, 2011
Modification History
Number of Mods by Product Type
Mod Type
Prime Fixed
Prime ARM
Alt-A Fixed
Alt-A ARM
Option ARM
Subprime Fixed
Subprime ARM
Total
May
504
460
2,259
1,704
1,173
5,498
7,577
19,175
Apr
534
439
2,560
2,145
1,322
6,656
10,246
23,902
% Chg
-6%
5%
-12%
-21%
-11%
-17%
-26%
-20%
Number of Mods by Mod Type

To Date
11,904
13,150
92,498
88,384
49,352
249,985
607,299
1,112,572
Mod Type
LP Identified
Principal
Rate
Cap Only
May
Apr
% Chg
To Date
520
5,126
448
785
6,937
469
-34%
-26%
-4%
23,852
644,698
74,064
JPM Identified
Principal
Rate
Cap Only
1,105
8,555
3,421
999
10,953
3,759
11%
-22%
-9%
7,376
230,584
131,998
19,175
23,902
-20%
1,112,572
Total
Time Series by Product

45,000
Subprime
Option ARM
Alt-A
Prime
40,000
# of Mods
35,000
30,000
25,000
20,000
15,000
10,000
5,000
0
Jan-07
Jul-07
Jan-08
Jul-08
Jan-09
Jul-09
Jul-08
Jan-09
Jul-09
Jan-10
Jul-10
Jan-11
Time Series by Type

45,000
Cap Only
40,000
# of Mods
35,000
Rate
Principal
30,000
25,000
20,000
15,000
10,000
5,000
0
Jan-07
Jul-07
Jan-08
Jan-10
Jul-10
Jan-11
Includes all modifications, including loans that have since paid down or been liquidated
A-48
SPG Research
June 3, 2011
Redefault Summary
Summary Table
Modification
LP Identified
Principal
Rate
Cap Only
JPM Identified
Principal
Rate
Cap Only
By Mod Type
3M
6M
9M
12M
15M
5%
12%
23%
13%
25%
44%
19%
34%
55%
27%
42%
62%
35%
50%
68%
80%
70%
60%
50%
40%
7%
14%
18%
16%
29%
39%
25%
39%
50%
31%
46%
58%
38%
52%
65%
LP Cap Only
JPM Cap Only
JPM Rate
LP Rate
JPM Prin
LP Prin
30%
20%
10%
0%
By Payment Chg
>20% Dec
9%
19%
28%
35%
44%
10-20% Dec
14%
31%
41%
49%
56%
0-10% Dec
Unch
Inc
17%
17%
24%
35%
36%
45%
46%
47%
56%
54%
54%
63%
60%
60%
68%
12
16
20
24
By Payment Change
80%
70%
60%
By Modification Date
1H07
27%
2H07
32%
1H08
25%
2H08
28%
1H09
17%
2H09
13%
1H10
8%
2H10
9%
50%
52%
56%
50%
49%
36%
26%
17%
18%
63%
67%
63%
59%
47%
33%
24%
68%
72%
69%
65%
52%
39%
28%
70%
75%
72%
69%
54%
43%
40%
Inc
Unch
0-10% Dec
10-20% Dec
>20% Dec
30%
20%
10%
0%
0
12
16
20
24
By Modification Date
80%
70%
60%
50%
1H07
2H07
1H08
2H08
1H09
2H09
1H10
2H10
40%
30%
20%
10%
0%
0
12
16
20
24
Redefault is defined as 60+ delinquency

Includes all modifications on loans that were 60+ days delinquent at the time of modification
A-49
SPG Research
June 3, 2011
HAMP Report
HAMP Modification Activity by Servicer
Numbers through Mar 2011
Est Eligible
Mar
Total
% of
Mar
Total
% of
Active
60+ DLQ
Offers
Offers
Elig
Started
Started
Elig
Perm Mods
% of
Elig
Bank of America
383,154
16,865
509,907
133%
12,622
378,584
99%
107,010
28%
J.P. Morgan Chase Bank
199,075
5,665
299,987
151%
8,190
241,843
121%
75,973
38%
Wells Fargo Bank
153,401
4,736
307,687
201%
3,628
223,052
145%
80,111
52%
CitiMortgage
93,451
1,445
174,885
187%
1,140
129,545
139%
44,736
48%
American Home Mortgage
49,370
594
34,748
70%
1,670
31,597
64%
20,762
42%
Ocwen
40,796
878
46,364
114%
723
43,242
106%
26,058
64%
Litton Loan
40,289
1,077
67,493
168%
698
50,533
125%
23,879
59%
OneWest Bank
40,265
929
41,072
102%
227
36,111
90%
8,924
22%
Aurora Loan Services
31,566
717
31,173
99%
651
54,355
172%
23,629
75%
Nationstar Mortgage
Total
27,673
442
50,633
183%
315
39,722
144%
13,619
49%
1,341,857
36,546
1,820,372
136%
36,827
1,559,023
116%
586,916
44%
Monthly Activity
180
Thousands of Modifications
difications
Trial Mods
159
160
145
140
110
120
Perm Mods
135
119
115
118
94
100
80
60
55
50
88
53
71
61
36
40
5
11
Aug Sep
Oct
20
68
48
48
26
15
51
18
37
30 32 30 28 26 3736
33 31 28 30
28
27
24 30
23
20
0
May Jun
Jul
Nov Dec
Jan
Feb
Mar
Apr
May Jun
Jul
Aug Sep
Oct
Nov Dec
Jan
Feb
Mar
Full report available at http://www.financialstability.gov
Source: J.P. Morgan, Treasury
A-50
SPG Research
June 3, 2011
ARM Resets
Monthly Balance of Resets ($ bn) by Product
Monthly Avg Pmt Shock (%) by Product
Historical
Historical
120
Subprime
Option ARM
Alt-A
Prime
30
25
Prime
Alt-A
Option ARM
Subprime
100
80
20
60
15
40
20
10
0
5
-20
-40
0
00
01
02
03
04
05
06
07
08
09
10
00
11
Yearly Reset Balance Projections

Year
2011
2012
2013
2014
2015
2016
2017
2018
Prime
11
17
12
11
13
10
8
0
01
02
03
04
05
06
07
08
09
10
11
Monthly Reset Balance Projections
Reset Balance ($bn)

Alt-A Option ARM Subprime
26
59
3
33
50
5
11
1
0
8
0
0
9
0
0
11
5
1
8
7
0
0
0
0
Total
99
104
24
20
22
27
22
0
# of
Loans
248,227
239,962
53,136
35,611
45,992
55,350
41,951
830
Subprime
Option ARM
Alt-A
Prime
30
25
20
15
10
5
0
Jun-11
Dec-11
Jun-12
Dec-12
Jun-13
Dec-13
Monthly Avg Pmt Shock (%) by Product

Projected (constant rates)
Projected (forward rates)
Prime
Alt-A
Option ARM
Subprime
50
40
30
50
40
30
20
20
10
10
-10
-10
-20
Prime
Alt-A
Option ARM
Subprime
-20
Jun-11
Oct-11
Mar-12
Jun-11
Oct-11
Mar-12
Yearly Payment Projections
Year
2011
2012
2013
2014
2015
2016
2017
2018
(constant rates)
Avg Payment
Current Reset
% Shock
2,751 2,890
9%
2,994 3,123
9%
3,618 3,353
-3%
4,315 4,105
-1%
3,339 3,721
14%
3,782 4,114
13%
3,976 4,381
16%
5,293 5,286
3%
Pmt Change
% Inc
% Dec
65%
35%
64%
36%
24%
76%
31%
69%
82%
18%
73%
27%
76%
24%
59%
41%
Rate
Current Reset
4.66 3.37
5.30 3.26
5.92 2.94
5.91 2.88
5.61 3.03
5.68 3.21
5.81 3.00
6.33 3.13
Chg
-1.30
-2.04
-2.98
-3.04
-2.58
-2.48
-2.81
-3.19
(forward rates)
Avg Payment
Reset % Shock
2,934
10%
3,416
19%
4,212
22%
5,486
32%
5,134
57%
5,832
61%
6,304
67%
7,601
48%
Pmt Change
Rate
% Inc % Dec Reset Chg
67% 33% 3.50 -1.16
76% 24% 4.09 -1.20
88% 12% 5.33 -0.59
94%
6% 5.95 0.03
100%
0% 6.85 1.24
99%
1% 7.34 1.66
99%
1% 7.32 1.51
98%
2% 7.53 1.20
A-51
SPG Research
June 3, 2011
Ratings Downgrades
Balance Distribution of Originally AAA Bonds by Worst Current Rating
Investment Grade
AAA
AA
Sector
Vintage
Prime
2003
2004
2005
2006
2007
All
54%
24%
7%
16%
10%
16%
Alt-A
2003
2004
2005
2006
2007
All
Subprime
2003
2004
2005
2006
2007
All
All Non-agy
Non-investment Grade
BB
B
CCC
BBB
13%
9%
4%
1%
0%
3%
19%
19%
5%
1%
1%
5%
11%
22%
10%
2%
1%
6%
3%
13%
11%
4%
2%
5%
0%
9%
25%
17%
6%
12%
0%
4%
30%
22%
34%
25%
0%
0%
8%
38%
46%
28%
46%
11%
2%
0%
0%
2%
18%
8%
1%
1%
1%
1%
21%
9%
1%
0%
0%
1%
10%
24%
1%
0%
0%
2%
3%
13%
2%
0%
1%
1%
3%
20%
9%
2%
1%
4%
0%
12%
56%
33%
29%
35%
0%
3%
28%
63%
68%
55%
11%
27%
13%
5%
4%
6%
15%
27%
11%
1%
3%
4%
24%
20%
9%
1%
0%
3%
21%
8%
5%
1%
3%
3%
18%
9%
16%
3%
2%
5%
7%
6%
14%
5%
3%
5%
1%
2%
18%
26%
26%
24%
3%
1%
13%
60%
59%
50%
7%
3%
3%
3%
3%
6%
30%
46%
Originally AAA-rated securities are grouped by the lowest current rating by Moody's, S&P, and Fitch.
Source: J.P. Morgan, Moody's, S&P, Fitch
A-52
SPG Research
June 3, 2011
Historical Vintage Performance (2007 Orig)

Voluntary Prepays
60
25
50
20
1M Voluntary CRR
60+ Delinquency (%)
Delinquency
40
30
20
15
10
5
10
0
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Jan-10
Apr-11
Apr-10
Liquidation
Oct-10
Jan-11
Apr-11
Jan-11
Apr-11
Loss Severity
90
16
80
14
70
Loss Severity (%)
18
12
1M CDR
Jul-10
10
8
6
60
50
40
30
20
10
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jan-10
Apr-10
Jul-10
Oct-10
Cum Loss
20.0%
18.0%
Legend:
Cum Loss (%)
16.0%
Jumbo Fixed
Jumbo Hybrid
Alt-A Fixed
Alt-A Hybrid
Option ARM
Subprime Fixed
Subprime Hybrid
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
A-53
SPG Research
June 3, 2011

Delinquency
Voluntary Prepays
70
25
20
1M Voluntary CRR
60+ Delinquency (%)
60
50
40
30
20
15
10
5
10
0
0
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Jan-10
Apr-11
Liquidation
80
16
70
Loss Severity (%)
90
18
14
1M CDR
Jul-10
Oct-10
Jan-11
Apr-11
Jan-11
Apr-11
Loss Severity
20
12
10
8
6
60
50
40
30
20
10
0
Jan-10
Apr-10
0
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jan-10
Apr-10
Jul-10
Oct-10
Cum Loss
25.0%
Legend:
Cum Loss (%)
20.0%
Jumbo Fixed
Jumbo Hybrid
Alt-A Fixed
Alt-A Hybrid
Option ARM
Subprime Fixed
Subprime Hybrid
15.0%
10.0%
5.0%
0.0%
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
A-54
SPG Research
June 3, 2011

Voluntary Prepays
60
30
50
25
1M Voluntary CRR
60+ Delinquency (%)
Delinquency
40
30
20
10
15
10
5
0
Jan-10
20
0
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jan-10
Liquidation
80
18
70
16
Oct-10
Jan-11
Apr-11
Jan-11
Apr-11
60
Loss Severity
14
1M CDR
Jul-10
Loss Severity
20
12
10
8
6
50
40
30
20
10
2
0
Jan-10
Apr-10
0
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jan-10
Apr-10
Jul-10
Oct-10
Cum Loss
14.0%
Legend:
12.0%
Jumbo Fixed
Jumbo Hybrid
Alt-A Fixed
Alt-A Hybrid
Option ARM
Subprime Fixed
Subprime Hybrid
Cum Loss (%)
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
A-55
SPG Research
June 3, 2011

Voluntary Prepays
50
40
45
35
40
1M Voluntary CRR
60+ Delinquency (%)
Delinquency
35
30
25
20
15
10
30
25
20
15
10
5
5
0
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jan-10
Liquidation
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jan-11
Apr-11
Loss Severity
14
90
12
80
70
Loss Severity
1M CDR
10
8
6
4
60
50
40
30
20
10
0
Jan-10
0
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jan-10
Apr-10
Jul-10
Oct-10
Cum Loss
5.0%
4.5%
Legend:
Cum Loss (%)
4.0%
Jumbo Fixed
Jumbo Hybrid
Alt-A Fixed
Alt-A Hybrid
Option ARM
Subprime Fixed
Subprime Hybrid
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
A-56
60
40
30
20
10
BAFC
70
MHL
Cum Severity
FHASI
0
BAFC
MHL
FHASI
BOAMS
BOAMS
GSAA
GSAA
JPMMT
JPMMT
RFMSI
RFMSI
Liquidation
BAFC
MHL
FHASI
BOAMS
GSAA
JPMMT
RFMSI
CHASE
CHASE
CHASE
10
CWHL
15
CWHL
20
WFMBS
25
1M Voluntary CRR
30
WFMBS
Loss Severity (%)
BAFC
MHL
FHASI
BOAMS
GSAA
JPMMT
RFMSI
CHASE
CWHL
WFMBS
60+ Delinquency (%)
Delinquency
CWHL
50
Cum Loss (%)
BAFC
MHL
FHASI
BOAMS
GSAA
JPMMT
RFMSI
CHASE
CWHL
WFMBS
1M CDR
35
WFMBS
BAFC
MHL
FHASI
BOAMS
GSAA
JPMMT
RFMSI
CHASE
CWHL
WFMBS
Cum Severity (%)
SPG Research
June 3, 2011
Prime Fixed Shelf Summary - 2007 Vintage

Voluntary Prepays
25
20
15
10
5
Loss Severity
60
50
40
30
20
1
10
Cum Loss
5.00%
4.50%
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
A-57
9.00%
60
8.00%
50
30
20
10
RFMSI
70
CHASE
Cum Severity
FHASI
STARM
2
RFMSI
CHASE
CHASE
RFMSI
FHASI
CMLTI
BSARM
JPMMT
THR
FHASI
100
90
80
70
60
50
40
30
20
10
0
STARM
Loss Severity
STARM
CMLTI
CMLTI
BSARM
BSARM
12
JPMMT
Liquidation
JPMMT
14
THR
THR
10
WFMBS
30
WFMBS
15
WAMU
20
1M Voluntary CRR
25
WAMU
10
Loss Severity (%)
RFMSI
CHASE
FHASI
STARM
CMLTI
BSARM
JPMMT
THR
WFMBS
WAMU
60+ Delinquency (%)
Delinquency
WFMBS
40
Cum Loss (%)
RFMSI
CHASE
FHASI
STARM
CMLTI
BSARM
JPMMT
THR
WFMBS
WAMU
1M CDR
35
WAMU
RFMSI
CHASE
FHASI
STARM
CMLTI
BSARM
JPMMT
THR
WFMBS
WAMU
Cum Severity (%)
SPG Research
June 3, 2011
Prime Hybrid Shelf Summary - 2007 Vintage

Voluntary Prepays
25
20
15
10
5
5
Cum Loss
7.00%
6.00%
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
A-58
Cum Severity
12.0%
60
10.0%
40
30
20
10
0
8.0%
6.0%
4.0%
2.0%
0.0%
FHAMS
14.0%
70
FHAMS
80
DBALT
Cum Loss
DBALT
0
CFLX
CFLX
BAFC
BAFC
10
RAST
12
RAST
14
LMT
Liquidation
LMT
FHAMS
DBALT
CFLX
BAFC
RAST
LMT
0
WFALT
WFALT
10
WFALT
15
CMALT
20
CMALT
CMALT
35
RALI
25
CWALT
30
1M Voluntary CRR
8
40
RALI
CWALT
Loss Severity (%)
FHAMS
DBALT
CFLX
BAFC
RAST
LMT
WFALT
CMALT
RALI
CWALT
60+ Delinquency (%)
Delinquency
RALI
50
Cum Loss (%)
FHAMS
DBALT
CFLX
BAFC
RAST
LMT
WFALT
CMALT
RALI
CWALT
1M CDR
45
CWALT
FHAMS
DBALT
CFLX
BAFC
RAST
LMT
WFALT
CMALT
RALI
CWALT
Cum Severity (%)
SPG Research
June 3, 2011
Alt-A Fixed Shelf Summary - 2007 Vintage

Voluntary Prepays
Loss Severity
100
90
80
70
60
50
40
30
20
10
0
A-59
52
48
46
44
42
MSM
GSAA
BALTA
BCAP
MSM
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
BAFC
Cum Loss
BAFC
GSAA
54
BALTA
56
BCAP
Cum Severity
DBALT
Liquidation
DBALT
MSM
BAFC
GSAA
BALTA
BCAP
DBALT
0
CWHL
CWHL
CWHL
10
SARM
20
SARM
10
SARM
50
CWALT
30
INDX
40
1M Voluntary CRR
12
CWALT
INDX
18
16
14
12
10
8
6
4
2
0
Loss Severity (%)
MSM
BAFC
GSAA
BALTA
BCAP
DBALT
CWHL
SARM
CWALT
INDX
60+ Delinquency (%)
Delinquency
CWALT
50
Cum Loss (%)
MSM
BAFC
GSAA
BALTA
BCAP
DBALT
CWHL
SARM
CWALT
INDX
1M CDR
60
INDX
MSM
BAFC
GSAA
BALTA
BCAP
DBALT
CWHL
SARM
CWALT
INDX
Cum Severity (%)
SPG Research
June 3, 2011
Alt-A Hybrid Shelf Summary - 2007 Vintage

Voluntary Prepays
Loss Severity
70
60
50
40
30
20
10
A-60
54
52
48
20.0%
15.0%
10.0%
50
5.0%
0.0%
HVMLT
RALI
DBALT
AHM
AHM
INDX
58
INDX
25.0%
BSARM
Cum Loss
BSARM
HVMLT
60
RALI
62
DBALT
Cum Severity
SAMI
Liquidation
SAMI
AHM
INDX
BSARM
HVMLT
RALI
DBALT
SAMI
0
CWALT
10
CWALT
20
CWALT
30
WMALT
LXS
40
1M Voluntary CRR
50
WMALT
LXS
20
18
16
14
12
10
8
6
4
2
0
Loss Severity (%)
AHM
INDX
BSARM
HVMLT
RALI
DBALT
SAMI
CWALT
WMALT
LXS
60+ Delinquency (%)
Delinquency
WMALT
56
Cum Loss (%)
AHM
INDX
BSARM
HVMLT
RALI
DBALT
SAMI
CWALT
WMALT
LXS
1M CDR
60
LXS
AHM
INDX
BSARM
HVMLT
RALI
DBALT
SAMI
CWALT
WMALT
LXS
Cum Severity (%)
SPG Research
June 3, 2011
Option ARM Shelf Summary - 2007 Vintage

Voluntary Prepays
4.5
4
3.5
3
2.5
2
1.5
1
0.5
0
Loss Severity
70
60
50
40
30
20
10
A-61
70
60
40
30
20
10
0
WMHE
WMHE
OOMLT
WMHE
SAST
SVHE
CMLTI
FFMER
ACE
20.0%
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
ACE
Cum Loss
ACE
100
90
80
70
60
50
40
30
20
10
0
OOMLT
SAST
SVHE
CMLTI
Loss Severity
OOMLT
SAST
80
SVHE
Cum Severity
CMLTI
Liquidation
FFMER
0
SASC
10
FFMER
20
SASC
RAMC
50
SASC
CWL
RAMC
30
1M Voluntary CRR
40
CWL
10
9
8
7
6
5
4
3
2
1
0
Loss Severity (%)
WMHE
ACE
OOMLT
SAST
SVHE
CMLTI
FFMER
SASC
RAMC
CWL
60+ Delinquency (%)
Delinquency
RAMC
50
Cum Loss (%)
WMHE
ACE
OOMLT
SAST
SVHE
CMLTI
FFMER
SASC
RAMC
CWL
1M CDR
60
CWL
WMHE
ACE
OOMLT
SAST
SVHE
CMLTI
FFMER
SASC
RAMC
CWL
Cum Severity (%)
SPG Research
June 3, 2011
Subprime Fixed Shelf Summary - 2007 Vintage

Voluntary Prepays
A-62
Cum Severity
BSABS
SAST
BSABS
SAST
BNCMT
BNCMT
WMHE
10
WMHE
14
CMLTI
16
CMLTI
18
MSAC
Liquidation
MSAC
BSABS
SAST
BNCMT
WMHE
CMLTI
MSAC
0
OOMLT
OOMLT
0.5
SVHE
10
OOMLT
20
SVHE
2.5
FFMER
Delinquency
SVHE
60
FFMER
30
CWL
40
1M Voluntary CRR
50
CWL
12
Loss Severity (%)
BSABS
SAST
BNCMT
WMHE
CMLTI
MSAC
OOMLT
SVHE
FFMER
CWL
60+ Delinquency (%)
FFMER
72
70
68
66
64
62
60
58
56
54
52
Cum Loss (%)
BSABS
SAST
BNCMT
WMHE
CMLTI
MSAC
OOMLT
SVHE
FFMER
CWL
1M CDR
70
CWL
BSABS
SAST
BNCMT
WMHE
CMLTI
MSAC
OOMLT
SVHE
FFMER
CWL
Cum Severity (%)
SPG Research
June 3, 2011
Subprime Hybrid Shelf Summary - 2007 Vintage

Voluntary Prepays
1.5
1
Loss Severity
90
80
70
60
50
40
30
20
10
0
Cum Loss
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
A-63
Cum Severity
60
50
30
20
10
Cum Loss
8.00%
7.00%
6.00%
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
CHASE
JPMMT
GSAA
CMSI
CMSI
CMSI
BOAMS
BOAMS
BOAMS
10
BAFC
20
BAFC
30
BAFC
40
CSMC
50
CSMC
Loss Severity
CSMC
CHASE
60
CHASE
70
10
JPMMT
12
JPMMT
Liquidation
GSAA
GSAA
0
RFMSI
RFMSI
Delinquency
RFMSI
CWHL
25
CWHL
10
WFMBS
15
1M Voluntary CRR
20
WFMBS
Loss Severity (%)
CMSI
BOAMS
BAFC
CSMC
CHASE
JPMMT
GSAA
RFMSI
CWHL
WFMBS
60+ Delinquency (%)
30
25
CWHL
40
Cum Loss (%)
CMSI
BOAMS
BAFC
CSMC
CHASE
JPMMT
GSAA
RFMSI
CWHL
WFMBS
1M CDR
30
WFMBS
CMSI
BOAMS
BAFC
CSMC
CHASE
JPMMT
GSAA
RFMSI
CWHL
WFMBS
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
20
15
10
A-64
Cum Severity
7.00%
50
6.00%
40
5.00%
30
20
10
1.00%
0.00%
GSAA
2.00%
GSAA
3.00%
SEMT
4.00%
SEMT
Cum Loss
RFMSI
RFMSI
CMLTI
CMLTI
BAFC
BAFC
60
BSARM
70
12
BSARM
80
14
THR
16
THR
Liquidation
GSAA
SEMT
RFMSI
CMLTI
BAFC
BSARM
THR
JPMMT
JPMMT
Delinquency
JPMMT
WFMBS
10
WFMBS
15
WAMU
20
1M Voluntary CRR
25
WAMU
10
Loss Severity (%)
GSAA
SEMT
RFMSI
CMLTI
BAFC
BSARM
THR
JPMMT
WFMBS
WAMU
60+ Delinquency (%)

30
WFMBS
60
Cum Loss (%)
GSAA
SEMT
RFMSI
CMLTI
BAFC
BSARM
THR
JPMMT
WFMBS
WAMU
1M CDR
35
WAMU
GSAA
SEMT
RFMSI
CMLTI
BAFC
BSARM
THR
JPMMT
WFMBS
WAMU
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
20
18
16
14
12
10
8
6
4
2
0
Loss Severity
50
40
30
20
10
A-65
Cum Severity
Cum Loss
70
16.00%
60
14.00%
50
12.00%
30
20
10
0
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
DBALT
DBALT
10
CSMC
CSMC
BOAA
BOAA
CMALT
70
CMALT
12
MSM
80
MSM
14
WMALT
Liquidation
WMALT
DBALT
CSMC
BOAA
CMALT
MSM
WMALT
0
LMT
LMT
LMT
10
RAST
15
RAST
RAST
30
RALI
RALI
20
CWALT
35
1M Voluntary CRR
25
CWALT
10
Loss Severity (%)
DBALT
CSMC
BOAA
CMALT
MSM
WMALT
LMT
RAST
RALI
CWALT
60+ Delinquency (%)
Delinquency
RALI
40
Cum Loss (%)
DBALT
CSMC
BOAA
CMALT
MSM
WMALT
LMT
RAST
RALI
CWALT
1M CDR
40
CWALT
DBALT
CSMC
BOAA
CMALT
MSM
WMALT
LMT
RAST
RALI
CWALT
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
Loss Severity
60
50
40
30
20
A-66
Cum Severity
80
60
40
30
20
0
25.00%
20.00%
15.00%
10.00%
10
5.00%
0.00%
SARM
DBALT
CWALT
BALTA
CMLTI
IMSA
70
IMSA
Cum Loss
IMSA
BAFC
10
BAFC
20
BAFC
30
JPALT
40
JPALT
50
JPALT
60
CMLTI
Loss Severity
CMLTI
SARM
SARM
70
DBALT
80
12
DBALT
90
14
CWALT
16
CWALT
Liquidation
BALTA
BALTA
10
GSAA
50
GSAA
20
INDX
30
1M Voluntary CRR
40
INDX
10
Loss Severity (%)
IMSA
BAFC
JPALT
CMLTI
SARM
DBALT
CWALT
BALTA
GSAA
INDX
60+ Delinquency (%)
Delinquency
GSAA
50
Cum Loss (%)
IMSA
BAFC
JPALT
CMLTI
SARM
DBALT
CWALT
BALTA
GSAA
INDX
1M CDR
60
INDX
IMSA
BAFC
JPALT
CMLTI
SARM
DBALT
CWALT
BALTA
GSAA
INDX
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
10
9
8
7
6
5
4
3
2
1
0
A-67
Cum Severity
60
58
56
52
50
48
44
GPMF
GPMF
AHMA
AHMA
10
Cum Loss
25.0%
20.0%
15.0%
10.0%
46
5.0%
0.0%
BSARM
BSARM
RALI
RALI
WAMU
10
WAMU
60
WMALT
12
WMALT
70
14
SAMI
Liquidation
SAMI
80
16
GPMF
AHMA
BSARM
RALI
WAMU
WMALT
SAMI
LXS
LXS
10
LXS
20
CWALT
60
CWALT
30
HVMLT
40
1M Voluntary CRR
50
HVMLT
18
Loss Severity (%)
GPMF
AHMA
BSARM
RALI
WAMU
WMALT
SAMI
LXS
CWALT
HVMLT
60+ Delinquency (%)
Delinquency
CWALT
54
Cum Loss (%)
GPMF
AHMA
BSARM
RALI
WAMU
WMALT
SAMI
LXS
CWALT
HVMLT
1M CDR
70
HVMLT
GPMF
AHMA
BSARM
RALI
WAMU
WMALT
SAMI
LXS
CWALT
HVMLT
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
5
4.5
4
3.5
3
2.5
2
1.5
1
0.5
0
Loss Severity
50
40
30
20
A-68
Cum Severity
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
GSAMP
LBMLT
GSAMP
LBMLT
SVHE
12.0%
SVHE
14.0%
MSAC
Cum Loss
MSAC
0
RAMC
RAMC
JPMAC
JPMAC
SASC
SASC
CMLTI
Liquidation
CMLTI
FFML
CWL
Loss Severity (%)
GSAMP
LBMLT
SVHE
MSAC
RAMC
JPMAC
SASC
CMLTI
FFML
CWL
GSAMP
LBMLT
SVHE
MSAC
RAMC
JPMAC
SASC
CMLTI
FFML
CWL
60+ Delinquency (%)
1M Voluntary CRR
Delinquency
FFML
72
70
68
66
64
62
60
58
56
54
Cum Loss (%)
GSAMP
LBMLT
SVHE
MSAC
RAMC
JPMAC
SASC
CMLTI
FFML
CWL
1M CDR
50
45
40
35
30
25
20
15
10
5
0
CWL
GSAMP
LBMLT
SVHE
MSAC
RAMC
JPMAC
SASC
CMLTI
FFML
CWL
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
4.5
3.5
2.5
1.5
0.5
Loss Severity
100
90
80
70
60
50
40
30
20
10
0
A-69
30.0%
66
64
25.0%
60
58
56
5.0%
54
0.0%
GSAMP
68
SVHE
Cum Severity
GSAMP
SVHE
0
LBMLT
LBMLT
MLMI
MLMI
JPMAC
12
JPMAC
14
CMLTI
16
CMLTI
Liquidation
ACE
GSAMP
SVHE
LBMLT
MLMI
JPMAC
CMLTI
ACE
ACE
10
FFML
20
FFML
30
FFML
40
MSAC
50
CWL
60
1M Voluntary CRR
70
MSAC
CWL
10
Loss Severity (%)
GSAMP
SVHE
LBMLT
MLMI
JPMAC
CMLTI
ACE
FFML
MSAC
CWL
60+ Delinquency (%)
Delinquency
MSAC
62
Cum Loss (%)
GSAMP
SVHE
LBMLT
MLMI
JPMAC
CMLTI
ACE
FFML
MSAC
CWL
1M CDR
80
CWL
GSAMP
SVHE
LBMLT
MLMI
JPMAC
CMLTI
ACE
FFML
MSAC
CWL
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
2
1.8
1.6
1.4
1.2
1
0.8
0.6
0.4
0.2
0
Loss Severity
100
90
80
70
60
50
40
30
20
10
0
Cum Loss
20.0%
15.0%
10.0%
A-70
Cum Severity
60
50
30
20
10
5.00%
4.50%
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
JPMMT
BOAMS
BAFC
GSAA
WFMBS
CWHL
CSFB
CMSI
CMSI
Cum Loss
CMSI
RFMSI
10
RFMSI
20
RFMSI
30
CSMC
40
CSMC
50
CSMC
60
CSFB
JPMMT
Loss Severity
CSFB
JPMMT
0
BOAMS
BOAMS
BAFC
70
BAFC
80
10
GSAA
Liquidation
GSAA
12
WFMBS
CWHL
Loss Severity (%)
CMSI
RFMSI
CSMC
CSFB
JPMMT
BOAMS
BAFC
GSAA
WFMBS
CWHL
60+ Delinquency (%)
1M Voluntary CRR
Delinquency
WFMBS
40
Cum Loss (%)
CMSI
RFMSI
CSMC
CSFB
JPMMT
BOAMS
BAFC
GSAA
WFMBS
CWHL
1M CDR
20
18
16
14
12
10
8
6
4
2
0
CWHL
CMSI
RFMSI
CSMC
CSFB
JPMMT
BOAMS
BAFC
GSAA
WFMBS
CWHL
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
25
20
15
10
5
A-71
3.00%
42
2.50%
38
36
2.00%
1.50%
1.00%
34
0.50%
32
0.00%
CMLTI
BOAMS
MANA
44
MANA
3.50%
BAFC
Cum Loss
BAFC
46
CMLTI
Cum Severity
BOAMS
0
GSR
GSR
THR
THR
BSARM
50
BSARM
60
8
7
WAMU
Liquidation
WAMU
JPMMT
WFMBS
Loss Severity (%)
MANA
BAFC
CMLTI
BOAMS
GSR
THR
BSARM
WAMU
JPMMT
WFMBS
MANA
BAFC
CMLTI
BOAMS
GSR
THR
BSARM
WAMU
JPMMT
WFMBS
60+ Delinquency (%)
1M Voluntary CRR
Delinquency
JPMMT
40
Cum Loss (%)
MANA
BAFC
CMLTI
BOAMS
GSR
THR
BSARM
WAMU
JPMMT
WFMBS
1M CDR
18
16
14
12
10
8
6
4
2
0
WFMBS
MANA
BAFC
CMLTI
BOAMS
GSR
THR
BSARM
WAMU
JPMMT
WFMBS
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
20
18
16
14
12
10
8
6
4
2
0
Loss Severity
40
30
20
10
A-72
Cum Severity
70
8.0%
60
7.0%
50
6.0%
30
20
10
0
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
LMT
Cum Loss
LMT
0
FHAMS
FHAMS
10
BSABS
BSABS
MSM
MSM
SASC
50
SASC
60
BOAA
BOAA
70
RALI
Liquidation
RALI
0
LMT
FHAMS
BSABS
MSM
SASC
BOAA
RALI
RAST
RAST
10
RAST
25
WMALT
12
WMALT
10
CWALT
15
1M Voluntary CRR
20
CWALT
Loss Severity (%)
LMT
FHAMS
BSABS
MSM
SASC
BOAA
RALI
RAST
WMALT
CWALT
60+ Delinquency (%)
Delinquency
WMALT
40
Cum Loss (%)
LMT
FHAMS
BSABS
MSM
SASC
BOAA
RALI
RAST
WMALT
CWALT
1M CDR
30
CWALT
LMT
FHAMS
BSABS
MSM
SASC
BOAA
RALI
RAST
WMALT
CWALT
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
Loss Severity
40
30
20
A-73
30
20
10
Cum Loss
50
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
BAFC
ARMT
GSAA
CWHL
INDX
BALTA
SARM
CWALT
CWALT
CWALT
10
RALI
20
RALI
30
RALI
40
AHM
50
AHM
14.0%
BAFC
Loss Severity
AHM
60
BAFC
Cum Severity
ARMT
ARMT
GSAA
GSAA
60
CWHL
10
CWHL
70
INDX
Liquidation
INDX
12
BALTA
SARM
Loss Severity (%)
CWALT
RALI
AHM
BAFC
ARMT
GSAA
CWHL
INDX
BALTA
SARM
60+ Delinquency (%)
1M Voluntary CRR
Delinquency
BALTA
40
Cum Loss (%)
CWALT
RALI
AHM
BAFC
ARMT
GSAA
CWHL
INDX
BALTA
SARM
1M CDR
50
45
40
35
30
25
20
15
10
5
0
SARM
CWALT
RALI
AHM
BAFC
ARMT
GSAA
CWHL
INDX
BALTA
SARM
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
A-74
60
50
30
20
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
INDX
DSLA
RALI
DSLA
RALI
CWHL
14.0%
CWHL
16.0%
SAMI
Cum Loss
SAMI
10
INDX
Cum Severity
GPMF
Liquidation
GPMF
DSLA
RALI
CWHL
SAMI
INDX
GPMF
0
LXS
LXS
LXS
10
WAMU
20
WAMU
Delinquency
WAMU
HVMLT
60
HVMLT
30
CWALT
40
1M Voluntary CRR
50
CWALT
20
18
16
14
12
10
8
6
4
2
0
Loss Severity (%)
DSLA
RALI
CWHL
SAMI
INDX
GPMF
LXS
WAMU
HVMLT
CWALT
60+ Delinquency (%)
HVMLT
40
Cum Loss (%)
DSLA
RALI
CWHL
SAMI
INDX
GPMF
LXS
WAMU
HVMLT
CWALT
1M CDR
70
CWALT
DSLA
RALI
CWHL
SAMI
INDX
GPMF
LXS
WAMU
HVMLT
CWALT
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
Loss Severity
70
60
50
40
30
20
10
A-75
20
10
0
FFML
PPSI
BSABS
RAMP
ARSI
SAIL
NCHET
FFML
10.0%
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
RAMC
Cum Loss
RAMC
PPSI
30
BSABS
60
RAMP
70
ARSI
Cum Severity
SAIL
80
AMSI
Liquidation
NCHET
40
CWL
Loss Severity (%)
FFML
RAMC
PPSI
BSABS
RAMP
ARSI
SAIL
NCHET
AMSI
CWL
FFML
RAMC
PPSI
BSABS
RAMP
ARSI
SAIL
NCHET
AMSI
CWL
60+ Delinquency (%)
1M Voluntary CRR
Delinquency
AMSI
50
Cum Loss (%)
FFML
RAMC
PPSI
BSABS
RAMP
ARSI
SAIL
NCHET
AMSI
CWL
10
9
8
7
6
5
4
3
2
1
0
1M CDR
45
40
35
30
25
20
15
10
5
0
CWL
FFML
RAMC
PPSI
BSABS
RAMP
ARSI
SAIL
NCHET
AMSI
CWL
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
4.5
4
3.5
3
2.5
2
1.5
1
0.5
0
Loss Severity
100
90
80
70
60
50
40
30
20
10
0
A-76
70
60
50
30
20
10
RAMP
Cum Severity
RASC
RAMP
RASC
0
NCHET
10
NCHET
AMSI
AMSI
ACE
ACE
70
BSABS
80
12
BSABS
90
14
LBMLT
Liquidation
LBMLT
16
RAMP
RASC
NCHET
AMSI
ACE
BSABS
LBMLT
SAIL
SAIL
10
SAIL
20
FFML
60
FFML
30
CWL
40
1M Voluntary CRR
50
CWL
10
Loss Severity (%)
RAMP
RASC
NCHET
AMSI
ACE
BSABS
LBMLT
SAIL
FFML
CWL
60+ Delinquency (%)
Delinquency
FFML
40
Cum Loss (%)
RAMP
RASC
NCHET
AMSI
ACE
BSABS
LBMLT
SAIL
FFML
CWL
1M CDR
70
CWL
RAMP
RASC
NCHET
AMSI
ACE
BSABS
LBMLT
SAIL
FFML
CWL
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
2.5
2
1.5
1
0.5
0
Loss Severity
60
50
40
30
20
Cum Loss
20.0%
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
A-77
35
25
20
15
10
FHASI
40
MARM
45
BAFC
Cum Severity
RFMSI
0
FHASI
MARM
BAFC
RFMSI
WFMBS
0.2
WFMBS
0.4
CMSI
0.8
0.6
CMSI
120
GSAA
1.4
GSAA
140
1.6
CSFB
Liquidation
CSFB
1.8
BOAMS
CWHL
1.2
Loss Severity (%)
FHASI
MARM
BAFC
RFMSI
WFMBS
CMSI
GSAA
CSFB
BOAMS
CWHL
FHASI
MARM
BAFC
RFMSI
WFMBS
CMSI
GSAA
CSFB
BOAMS
CWHL
60+ Delinquency (%)
1M Voluntary CRR
Delinquency
BOAMS
30
Cum Loss (%)
FHASI
MARM
BAFC
RFMSI
WFMBS
CMSI
GSAA
CSFB
BOAMS
CWHL
1M CDR
10
9
8
7
6
5
4
3
2
1
0
CWHL
FHASI
MARM
BAFC
RFMSI
WFMBS
CMSI
GSAA
CSFB
BOAMS
CWHL
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
30
25
20
15
10
5
Loss Severity
100
80
60
40
20
Cum Loss
0.60%
0.50%
0.40%
0.30%
0.20%
0.10%
0.00%
A-78
10
SEMT
20
MARM
30
THR
1.00%
GSR
50
CWHL
1.20%
WAMU
Cum Severity
SEMT
MARM
THR
GSR
CWHL
WAMU
JPMMT
Liquidation
JPMMT
60
SEMT
MARM
THR
GSR
CWHL
WAMU
JPMMT
BOAMS
BOAMS
20
BOAMS
20
BSARM
25
BSARM
WFMBS
10
1M Voluntary CRR
15
WFMBS
5
4.5
4
3.5
3
2.5
2
1.5
1
0.5
0
Loss Severity (%)
SEMT
MARM
THR
GSR
CWHL
WAMU
JPMMT
BOAMS
BSARM
WFMBS
60+ Delinquency (%)
Delinquency
BSARM
40
Cum Loss (%)
SEMT
MARM
THR
GSR
CWHL
WAMU
JPMMT
BOAMS
BSARM
WFMBS
1M CDR
25
WFMB
S
SEMT
MARM
THR
GSR
CWHL
WAMU
JPMMT
BOAMS
BSARM
WFMBS
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
15
10
5
Loss Severity
60
50
40
30
20
10
Cum Loss
0.80%
0.60%
0.40%
0.20%
0.00%
A-79
MSM
DBALT
GSAA
10
BSABS
20
RAST
50
RALI
Cum Severity
BOAA
60
MSM
DBALT
GSAA
BSABS
RAST
RALI
BOAA
MALT
SASC
Liquidation
MALT
30
CWALT
4.5
4
3.5
3
2.5
2
1.5
1
0.5
0
Loss Severity (%)
MSM
DBALT
GSAA
BSABS
RAST
RALI
BOAA
MALT
SASC
CWALT
MSM
DBALT
GSAA
BSABS
RAST
RALI
BOAA
MALT
SASC
CWALT
60+ Delinquency (%)
1M Voluntary CRR
Delinquency
SASC
40
Cum Loss (%)
MSM
DBALT
GSAA
BSABS
RAST
RALI
BOAA
MALT
SASC
CWALT
1M CDR
20
18
16
14
12
10
8
6
4
2
0
CWALT
MSM
DBALT
GSAA
BSABS
RAST
RALI
BOAA
MALT
SASC
CWALT
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
14
12
10
8
Loss Severity
100
90
80
70
60
50
40
30
20
10
0
Cum Loss
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
A-80
Cum Severity
CSFB
CWALT
MSM
MARM
4
CSFB
INDX
CWHL
ARMT
CSFB
CWALT
10
CWALT
20
MSM
30
MSM
40
MARM
Loss Severity
MARM
INDX
INDX
50
CWHL
CWHL
60
ARMT
Liquidation
ARMT
8
IMM
IMM
IMM
10
BALTA
30
BALTA
15
SARM
20
1M Voluntary CRR
25
SARM
Loss Severity (%)
CSFB
CWALT
MSM
MARM
INDX
CWHL
ARMT
IMM
BALTA
SARM
60+ Delinquency (%)
Delinquency
BALTA
50
45
40
35
30
25
20
15
10
5
0
Cum Loss (%)
CSFB
CWALT
MSM
MARM
INDX
CWHL
ARMT
IMM
BALTA
SARM
1M CDR
35
SARM
CSFB
CWALT
MSM
MARM
INDX
CWHL
ARMT
IMM
BALTA
SARM
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
9
8
7
6
5
4
3
2
1
0
Cum Loss
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
A-81
10
BAFC
20
SARM
30
GPMF
50
SAMI
60
MALT
Cum Severity
40
30
20
10
0
GPMF
SAMI
MALT
DSLA
INDX
HVMLT
CWHL
BAFC
50
BAFC
60
SARM
Loss Severity
SARM
GPMF
SAMI
MALT
DSLA
DSLA
80
70
INDX
20
INDX
Liquidation
HVMLT
5
WAMU
BAFC
SARM
GPMF
SAMI
MALT
DSLA
INDX
HVMLT
CWHL
WAMU
60+ Delinquency (%)
1M Voluntary CRR
Delinquency
HVMLT
90
CWHL
10
WAMU
15
Loss Severity (%)
25
CWHL
40
Cum Loss (%)
BAFC
SARM
GPMF
SAMI
MALT
DSLA
INDX
HVMLT
CWHL
WAMU
1M CDR
50
45
40
35
30
25
20
15
10
5
0
WAMU
BAFC
SARM
GPMF
SAMI
MALT
DSLA
INDX
HVMLT
CWHL
WAMU
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
20
18
16
14
12
10
8
6
4
2
0
Cum Loss
5.0%
4.5%
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
A-82
Cum Severity
40
30
20
3.0%
10
2.0%
1.0%
0.0%
POPLR
4.0%
POPLR
5.0%
BSABS
6.0%
60
BSABS
7.0%
70
WFHET
80
WFHET
Cum Loss
RAMP
RAMP
NCHET
NCHET
AMSI
AMSI
SAIL
Liquidation
SAIL
POPLR
BSABS
WFHET
RAMP
NCHET
AMSI
SAIL
0
PPSI
PPSI
PPSI
25
MSAC
MSAC
10
CWL
15
1M Voluntary CRR
20
CWL
Loss Severity (%)
POPLR
BSABS
WFHET
RAMP
NCHET
AMSI
SAIL
PPSI
MSAC
CWL
60+ Delinquency (%)
Delinquency
MSAC
50
Cum Loss (%)
POPLR
BSABS
WFHET
RAMP
NCHET
AMSI
SAIL
PPSI
MSAC
CWL
1M CDR
30
CWL
POPLR
BSABS
WFHET
RAMP
NCHET
AMSI
SAIL
PPSI
MSAC
CWL
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
Loss Severity
100
90
80
70
60
50
40
30
20
10
0
A-83
Cum Severity
70
60
50
30
20
10
0
NCHET
NCHET
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
BSABS
Cum Loss
BSABS
RAMP
RAMP
FFML
FFML
12
LBMLT
14
LBMLT
16
AMSI
Liquidation
AMSI
NCHET
BSABS
RAMP
FFML
LBMLT
AMSI
0
SAIL
SAIL
0.5
SAIL
10
MSAC
20
MSAC
Delinquency
MSAC
2.5
PPSI
60
PPSI
30
CWL
40
1M Voluntary CRR
50
CWL
10
Loss Severity (%)
NCHET
BSABS
RAMP
FFML
LBMLT
AMSI
SAIL
MSAC
PPSI
CWL
60+ Delinquency (%)
PPSI
40
Cum Loss (%)
NCHET
BSABS
RAMP
FFML
LBMLT
AMSI
SAIL
MSAC
PPSI
CWL
1M CDR
70
CWL
NCHET
BSABS
RAMP
FFML
LBMLT
AMSI
SAIL
MSAC
PPSI
CWL
Cum Severity (%)
SPG Research
June 3, 2011

Voluntary Prepays
1.5
1
Loss Severity
100
90
80
70
60
50
40
30
20
10
0
A-84

JPM MBS Credit Monthly 2011-06-03 605013

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JPM MBS Credit Monthly 2011-06-03 605013

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SPG Research

US Fixed Income Strategy

MBS Credit Monthly

Performance Summary Charts & Projections

Projected Balance and Payments

Distribution of Originally AAA Bonds

Performance Charts by Shelf and Vintage

Historical Charts by Product Type and Vintage

ARM Reset Analysis

Loan Modification Report

Underwater Loans and Expected Defaults

Liquidation Timeline and Performance Quality Ranking

Trends By Sector (Formerly SOS)

Credit Index Remittance Data

Securitized Products Weekly

Abhishek Mistry (1-212) 834-4662

Exhibit 1: Weaker credits have retraced to levels

Weaker credits have now fully retraced to levels

Shadow Inventory, housing inventory and existing home sales (millions)

Shadown inventory (mils.)

As weve discussed over the past several months,

Exhibit 2: The supply/demand imbalance continues

The credit curve continues to steepen as weaker credits

Source: J.P. Morgan, Markit

Our new base case is down 5% from here (Q1

The subprime market is particularly challenged. Not only

Securitized Products Weekly

Home price forecast revised lower,

Exhibit 3: Revised home price forecast down

HPA 2011p 2012p

Exhibit 4: Net demand is expected to be around 1

Net demand (mils; left)

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

Exhibit 5: Net demand will continue to pressure

John SimAC (1-212) 834-3124

Regional divergence is expected to magnify with

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

(including distressed sales) both being down just over

Securitized Products Weekly

Abhishek Mistry (1-212) 834-4662

Subprime repricing is justified, we still

Exhibit 6: Subprime repricing is justified, option

Starting Yield Assumptions

Option ARM Example

Starting Yield Assumptions

Starting Yield Assumptions

pressure from weaker credits, but only marginally. Prime

Securitized Products Weekly

Securitized Products Weekly

*Percentage of investment banking clients in each rating category.

Copyright 2010 JPMorgan Chase & Co. All rights reserved.

Credit Index Remittance Data

1M Loss Cum New

10.5 62.9 9.81 -0.28

55.8 9.48 -0.13

54.1 8.31 -0.22

12.0 59.8 10.61 -0.36

60.4 7.62 -0.35

14.0 62.3 12.81 -0.02

12.0 77.0 19.31 -0.88

Source: JPMorgan, Remittance Reports

Credit Index Modifications - Current Period