Chotin Asset Management Corporation

2. Chotin Asset Management Corporation Overview • Chotin Asset Management Corporation (“CAMCO") is an affiliate of The Chotin Group Corporation ("TCG") and encompasses all of the asset management functions of the firm. • TCG, a private company, has been in business for 20 years and has been actively involved in structured debt financings and asset securitization primarily for its own account. TCG has been a key player in the more credit sensitive subordinate and residual real estate security markets. • TCG and affiliated companies have extensive experience analyzing, acquiring, and managing significant portfolios of structured product assets including CMO, MBS, and various other credit-sensitive ABS in all market environments, generally with a "hold-to-maturity" strategy. • CAMCO’s investment process is a bottom-up team approach with a commitment to quantitative analysis, risk management and pre/post acquisition surveillance. • Through National Mortgage Corporation ("NMC") (an affiliated company) TCG originated over $1 billion of nonconforming mortgage loans from 1991 to 1999. • Through its FAIC and FAIC II shelves, TCG securitized and structured in excess of $3.95 billion of NMC-originated and third party loans. • CAMCO’s subsidiary Chotin Fund Management Corporation (“CFMC”) is the collateral manager of seven ABS CDOs. ____________________ Source: The Chotin Group Corporation. As of August 28, 2006. 20

3. Chotin Asset Management Corporation History of The Chotin Group Corporation and Steven B. Chotin ____________________ Source: The Chotin Group Corporation. As of August 28, 2006. 21

4. Chotin Asset Management Corporation Relevant Affiliated Companies Chotin Asset Management Corporation Chotin Fund Management Corporation Formerly known as Fund America Management Corporation is the manager of the CDO issuance platform Fund America Investors Corporation & Fund America Investors Corporation II Limited purpose finance companies established to issue public bonds and other similar securities collateralized by mortgage loans, mortgage certificates and other mortgage-related assets. As of August, 2006, TCG has structured and issued over $3.95 billion in RMBS through its Fund America Investors securitization platforms. Fund America Ventures Corporation Invested, for its own account, in excess of $500 million in mortgage related securities. In 1996, FAVC issued a resecuritization of $72 million in bonds. National Mortgage Corporation Nationwide sub-prime Originator, Servicer and Mortgage Banker 1991-1999 ____________________ Source: The Chotin Group Corporation. As of August 28, 2005.

5. Chotin Asset Management Corporation CDO Platform • In 2003, TCG through FAMC extended its core competencies of credit analysis and financial structuring to establish itself as a value added investor and asset manager of multi-sector CDOs of ABS CFMC cash-flow CDOs under management ____________________ Source: The Chotin Group Corporation. As of August 28, 2006 23

6. Chotin Asset Management Corporation Organizational Chart ____________________ Source: The Chotin Group Corporation. As of August 28, 2006

7. CAMCO’s Investment Objectives: Create products backed by a well-diversified pool of quality assets, with the assets selected for their long-term potential to generate superior risk-adjusted returns Focus on real estate ABS, primarily residential MBS and ABS CDOs Bottom-up approach to asset selection Rigorous analytical approach applied by team Collateral and deal structure paramount Macro economic overview helps identify troubled sectors Investment Committee approves all purchases Modified Static Structure Limited trading reinforces proper asset selection up front, while allowing proactive loss mitigation Avoids incentives that encourage aggressive portfolio postures Chotin Asset Management Corporation Investment Philosophy ____________________ Source: The Chotin Group Corporation. As of August 28, 2006. 24

8. Chotin Asset Management Corporation Structured Finance Process • Asset Selection • Bottom-up credit focus • Pool and loan level data used to estimate default and loss probabilities • Indices database monitored for relative performance comparison • Cash flow modeling under multiple interest rate and prepayment scenarios • Mortgage originator and servicer due diligence and review • Constant monitoring of performance against initial expectations • Surveillance & Monitoring • Assets are monitored for collateral performance, structural features performance and relative performance against appropriate cohorts: • OC growth, stagnation or deterioration • Losses exceeding excess interest • “DPIPE”, a classic delinquency analysis • Step-Down trigger analysis • Assets ranked monthly based on relative performance versus proprietary indices • Rating agency action monitored • Monthly and quarterly trustee reports are reconciled against asset-level cash flows and performance levels. ____________________ Source: The Chotin Group Corporation. As of August 28, 2006.

9. Chotin Asset Management Corporation Structured Finance Process Collateral Characteristics • Macro Economic Outlook • Loan level analysis • Pool level analysis • FICO • LTV • FRM % vs. ARM % • 2nd Lien % • Industry Trends Deal Structure • Cash flow structure • Performance stress runs • Defaults • Loss Severity • Prepayments • Interest rates Originator, Servicer, Manager • Evaluate underwriting guidelines • Historical performance • Diligence call and/or visit • Ratings ____________________ Source: The Chotin Group Corporation. As of August 28, 2006. 29

10. Structure and collateral complexion drives asset selection from the bottom-up. Chotin Asset Management Corporation Structured Finance Process (cont’d) Collateral Characteristics • CDO Surveillance & Monitoring • Ratings Tests • Compliance Tests • Quality Tests Proactive Loss Mitigation Deal Structure Analytics CDO Portfolio Purchase • Asset & Collateral Review • Delinquency Performance • Ratings Migration • Pricing Surveillance Originator, Servicer, Manager Information used to enhance analytics ____________________ Source: The Chotin Group Corporation. As of August 28, 2006. 31

11. Chotin Asset Management Corporation A Tale of Two Mortgage Pools, Same Dealer Shelf • Bond #2 - Issued June 2004 • Argent collateral, Ameriquest wholesale • Avg. FICO 620 • Baa3/No S&P Rating • Initial Total Support: 3.55% • Bond #1 - Issued July 2004 • New Century originated collateral • Avg. FICO 616 • Baa3/BBB- • Initial Total Support: 3.40% Positive Attributes Positive Attributes • FICO < 550: 16.6% • Avg. LTV: 79% • 98% 1st Lien • 10% IOs • 6.5% Investor Loans • Avg. Loan Size: $167k • 3% IL; 3% MI; <2% OH; <2% IN • Avg. FICO: 620 (FICO < 550: 11%) • 100% 1st Lien • 63% Full Documentation • No IOs Negative Attributes • Avg. LTV: 87% (LTVs > 90%: 30%) • 27% Investor Loans • 8% IL; 7% MI; 7% OH; 6% IN • Avg. Loan Size: $78k (55% < $100k) Negative Attributes • 64% Cash Out Refinance • 42% Reduced Documentation • Small Servicer (Saxon) Note: The information above is historical and represents the attributes of a particular investment we made. It should not be considered to be indicative of our possible future investments, nor should it be extrapolated to be indicative of our possible future performance, each of which could differ significantly. ____________________ Source: The Chotin Group Corporation. As of August 28, 2006. 24

12. CAMCO invested in Bond #1 and rejected Bond #2 Chotin Asset Management Corporation Note: The information above is historical and represents the attributes of a particular investment we made. It should not be considered to be indicative of our possible future investments, nor should it be extrapolated to be indicative of our possible future performance, each of which could differ significantly. ____________________ Source: The Chotin Group Corporation. As of August 28, 2006.

13. Chotin Asset Management Corporation Was CAMCO right? Performance to date1: • Bond #2 • Cumulative losses: 3.80% • REO: 5.37% • 60+ Delinquency: 6.18% • Moody’s Downgrade from Baa3 to B3 • Bond #1 • Cumulative losses: .36% • REO: 1.56% • 60+ Delinquency: 1.69% • No Change in Ratings (Baa3/BBB-) Through both a quantitative and qualitative analysis, we steered clear of the sub-performing asset. Note: The information above is historical and represents the attributes of a particular investment we made. It should not be considered to be indicative of our possible future investments, nor should it be extrapolated to be indicative of our possible future performance, each of which could differ significantly. 1Performance data as of July 31, 2006 and based on original collateral balances. ____________________ Source: The Chotin Group Corporation. As of August 28, 2006.

14. Biographies

15. Chotin Asset Management Corporation Biographies • Mr. Chotin founded The Chotin Group Corporation in 1984 as a firm specializing in asset securitization and structured financings. In subsequent years Mr. Chotin created a group of affiliates to invest in a variety of asset classes and to provide securitization services to the investment banking community. He served as Senior Vice President of MDC Corporation (NYSE: "MDC"), where he played a primary role in the formation of American Southwest Financial Corporation, one of the first mortgage banking conduits serving participants nationwide. Mr. Chotin also created Home American Mortgage Corporation, a full-service mortgage banking operation for MDC. • Steven B. Chotin Founder & Chairman • Helen M. Dickens President and Chief Operating Officer • Ms. Dickens is responsible for strategic planning and implementation of all structured finance and operational activities. She joined Chotin in 1989 as manager of accounting and was promoted to Chief Operating Officer in 1995, and to President in 2002. She has managed all phases of the asset securitization process as well as securities trading and operations. Prior to joining Chotin, Ms. Dickens was Corporate Secretary of Uniwest Financial Corporation, a savings and loan holding company with 13 branches. She was responsible for accounting, human resources and shareholder relations. Ms. Dickens holds a Bachelor of Science degree in Accounting from Metropolitan State College. • Mr. Pashel is responsible for structuring and implementation of structured finance and new business products. Prior to joining Chotin in 2004, Mr. Pashel’s employment included Deson Ventures and Greyrock Capital Partners, both groups specializing in middle market private equity and M&A advisory services. Mr. Pashel also owned and operated numerous companies in the real estate and aviation industries. Mr. Pashel was educated at Brandeis University. • Zachary H Pashel Executive Vice President and Co-Head of Structured Finance ____________________ Source: The Chotin Group Corporation. As of August 28, 2006. 37

16. Chotin Asset Management Corporation Biographies (cont’d) • John G. Grant, CFA Senior Vice President/Chief Investment Officer and Co-Head of Structured Finance • He joined Chotin in 2004 after a decade at ING Investment Management, where he served as Senior Vice President and Senior Portfolio Manager. From 1988 to 1993, Mr. Grant was a Senior Investment Officer at Allmerica Asset Management, and prior to that time he served as an Analyst at United Investment Research. Mr. Grant holds a Bachelor of Arts degree in Sociology from Boston University and an MBA from Northeastern University. In addition, he has earned the right to use the Chartered Financial Analyst designation. • Mr. Stemmermann is responsible for fixed income trading and portfolio management. His primary responsibilities include credit analysis and the acquisition of assets for our CDOs. Prior to joining Chotin in 2005, Mr. Stemmermann worked at ING Investment Management as an analyst and junior portfolio manager from 2001 through 2004. The Georgia Institute of Technology awarded Mr. Stemmermann both a Bachelor of Science degree in Industrial and Systems Engineering and a Master of Science degree in Quantitative and Computational Finance. In addition, he has earned the right to use the Chartered Financial Analyst designation. • Jeffrey Stemmermann, CFA Vice President/Portfolio Manager • Jim Peaslee, CFA Vice President/Portfolio Manager • Mr. Peaslee is responsible for fixed income trading and portfolio management. He joined Chotin in 2005 after twelve years in structured finance at Great-West Life & Annuity Insurance Co. where he managed portfolios consisting of Home Equity ABS, Franchise Loans and Affordable Housing Tax Credits. From 1988-1991, Mr. Peaslee was a Staff Auditor with Ernst & Young. Mr. Peaslee holds a Bachelor of Arts from the University of Oregon and a Master of Business Administration and a Master of Public Health from the A.B. Freeman School of Business, Tulane University. In addition, he has earned the right to use the Chartered Financial Analyst designation. ____________________ Source: The Chotin Group Corporation. As of August 28, 2006. 38

17. Chotin Asset Management Corporation Biographies (cont’d) • Ms. Snyder is a member of the fixed income trading and analytics team. She is responsible for maintaining our transaction database and supervises the surveillance and monitoring process. Ms. Snyder holds a Bachelor of Science degree in Applied Mathematics with an emphasis in Computer Science from the University of Colorado at Boulder. • Hilary U. Snyder Investment/Surveillance Analyst • Chris Medema Investment/Surveillance Analyst • Mr. Medema is a member of the fixed income trading and analytics team. He supports the portfolio managers with credit analysis across all asset classes with an emphasis in residential mortgage backed securities. His duties extend to surveillance and loss modeling. Prior to joining TCG, Mr. Medema spent two years working as an analyst for a Colorado based hedge fund group and asset management firm. He holds Bachelor of Arts degrees in both Mathematics and Economics from the University of Colorado, Boulder. • Mr. Wolf is a member of the fixed income trading and analytics team. He supports the portfolio managers with credit analysis across all asset types and is actively involved in the surveillance and monitoring process. Prior to joining TCG, Mr. Wolf was an investment analyst concentrating on commercial loans at Merchants Mortgage and Trust and was a field coordinator for the Joe Lieberman for President Campaign. He holds a Bachelor of Science degree in Business Management from the University of Colorado, Boulder. • Andy Wolf Investment/Surveillance Analyst • David Frederick Vice President/Treasurer • Mr. Frederick is responsible for managing all accounting functions at The Chotin Group. Prior to joining Chotin in 2005, David served as SVP and CFO of Duke Energy Field Services, the nations largest natural gas processor headquartered in Denver, CO. David moved to Denver in 1998 from Houston, Texas, where he held various positions with Duke Energy and its predecessor company, Pan Energy Corp. David started his career with Deloitte and Touche where he spent seven years in the audit. David graduated from the University of Houston in 1981 with a BBA in accounting and is a Certified Public Accountant. ____________________ Source: The Chotin Group Corporation. As of August 28, 2005. 39

18. Chotin Asset Management Corporation Biographies (cont’d) • Mr. Reisman is responsible for managing all of the legal aspects of the work of Chotin and its affiliates.  Prior to joining Chotin, Mr. Reisman was a senior associate with Skadden, Arps, Slate, Meagher & Flom in London, England.  Mr. Reisman’s work there was of a general corporate nature.  Before joining Skadden, Mr. Reisman was an associate with Cahill Gordon & Reindel in New York, specializing in corporate finance.   Mr. Reisman received his J.D. from the University of Chicago Law School and his B.A. from Dartmouth College. • Richard J. Reisman Vice President and General Counsel • David Frederick Chief Financial Officer • Mr. Frederick is responsible for managing all accounting functions at The Chotin Group. Prior to joining Chotin in 2005, David served as SVP and CFO of Duke Energy Field Services, the nations largest natural gas processor headquartered in Denver, CO. David moved to Denver in 1998 from Houston, Texas, where he held various positions with Duke Energy and its predecessor company, Pan Energy Corp. David started his career with Deloitte and Touche where he spent seven years in the audit. David graduated from the University of Houston in 1981 with a BBA in accounting and is a Certified Public Accountant. ____________________ Source: The Chotin Group Corporation. As of August 28, 2005. 39