ABS East 2008: RMBS Data Reporting

1. ABS East 2008:RMBS Data Reporting Applied Analytics

2. Sept. data shows higher delinquencyacross the entire mortgage market Applied Analytics

3. Sept. delinquency increases fastest for option ARMs and Alt-A Applied Analytics

4. Sept. non-agency data indicatesARMs now twice as bad as FRMs Applied Analytics

5. 2008 vintage, compared to 2006/7,starts better, but is worsening Applied Analytics

6. Sept. data shows that subprime/Alt-A foreclosures may be leveling off Applied Analytics

7. RMBS Data Reporting Ned Myers Chief Marketing Officer Lewtan Technologies 781-672-1110 nmyers@lewtan.com

8. Timeline 2007 • January 08 – Bank of America takes over Countrywide • March 08 Bear Stearns acquired by JP Morgan Chase • July 2008 IndyMac bank failure • August 2008 Commerzbank buys Dresdner Kleinwort Wasserstein • August 2008 LBBW buys SachsenLB • February 07 – New Century declares bankruptcy • June 2007 - Bear Stearns - 2 key hedge funds fail • September 07 - Northern Rock run on the bank • October 07 – Write-downs begin…. (Citi, Merrill, UBS, HSBC, Bear, Lehman, etc…)…what was projected as $250b in the spring of 08 is now likely to easily exceed $1 trillion dollars. 2008

9. Timeline 2008 • September 7 Federal takeover of Fannie Mae and Freddie Mac • - September 14 Merrill Lynch sold to Bank of America • September 15 Lehman Brothers files for bankruptcy protection • - September 17 US Federal Reserve loans $85 billion to AIG • - September 17 Reserve Primary Money Market fund “breaks the buck” • September 18 - HBOS acquired by Lloyds • September 19 Paulson financial rescue plan unveiled • September 21 Goldman Sachs, Morgan Stanley to become Bank Holding Companies • September 25 Washington Mutual seized by OTS / FDIC and its banking assets sold to JPMorganChase • September 28 - Bradford & Bingley bailout • September 29 Citigroup announces Wachovia Banking Operations acquisition • September 29 Emergency Economic Stabilization Act defeated in the US House of Reps • September 30 Dow Jones Falls 777 Points, Largest One Day Point Drop • October 2 - Fortis/Dexia bailouts • October 3 – Wells Fargo trumps Citi bid for Wachovia • October 6 – German governnment guarantees all bank deposits and bails out Hypo Real Estate

10. Why is RMBS reporting difficult to understand? • Inconsistent data models / field naming, etc. • Underlying regulatory bodies dictate different internal reporting rules that do not lend themselves to ‘apples to apples’ comparisons • Templates for the remittance report don't always apply • It’s a lot of work to gather: inconsistency in formatting which makes 'electronic' data not really available electronically • Lots of "misc." fields with different names that reflect adjustments which aren't always clear

11. Do I have a shortfall? • Trustee ‘A’ doesn't distinguish between basis risk shortfall and real interest shortfalls where the bondholder doesn't get paid • Up to the discretion of the servicers and trustees - shortfalls could be due to lags in liquidations, unforeseen losses in liquidations, election not to advance P&I, write-downs • Lots of servicers just report deferred interest and not shortfalls • Non-recoverable shortfalls have many names • Sometimes there is simply a lack of information • No glossary per trustee or remittance report; oftentimes the glossary deficiency is missing from the prospectus as well so the fields are left to interpretation • E.g,. Unpaid interest shortfall does not roll up into deferred interest… after assuming it was basis risk shortfall, the trustee determined but it actually was 'shifting interest' - a cross-collateralized pool enhancement

12. ABS East 2008 RMBS Data Reporting • Evan FirestoneFirestone Consulting • Evan.Firestone@att.net October 2008

13. RMBS Data Reporting • What’s changing in how deals are analyzed? • Focus on deal structure  collateral • Collateral is not homogeneous • Focus on prepayments  defaults • Past performance is not indicative of future results ABS East 2008

14. RMBS Data Reporting • Time frames for data availability: • Loan origination • Deal closing • Monthly reporting • Type of data release: • Aggregate reporting vs. loan-level data ABS East 2008

15. RMBS Data Reporting • New Initiative: Project RESTART from ASF • Standardize disclosure and definition of loan-level data elements • Disclose 130+ fields at origination, 200+ fields ongoing • Parties involved include issuers, servicers, rating agencies, investors • Historic opportunity to comment on a new direction • www. AmericanSecuritization. com ABS East 2008

16. RMBS Data Reporting • Origination channel retail vs. broker • Documentation definitions • Debt-to-Income validate income • LTV original and updated • FICO original and updated • Loan losses loan-level with attribution • Loan modifications loan-level with description ABS East 2008

17. RMBS Data Reporting • Loan-To-Value Ratio • How much does the borrower have invested in the property? • How much equity does the borrower have (+ or -)? • Original LTV Was original appraisal correct? • Combined LTV Are there additional liens on the property? • Updated LTV What is the current value of the property? ABS East 2008

18. ABS East 2008 RMBS Data Reporting October 2008