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Criteria | Structured Finance | RMBS: Methodology And Assumptions: Transaction-Specific Lifetime Loss Projections For Prime, Subprime, And Alternative-A U.S. RMBS Issued In 2005-2007Publication date: 02-Feb-2010 10:33:42 EST

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(Editor's Note: This article supersedes "Revised Projected Losses For U.S. Subprime RMBS Transactions Issued In 2005, 2006, And 2007," published July 22, 2009, "Revised Projected Losses For U.S. Alternative-A RMBS Transactions Issued In 2005, 2006, And 2007," published July 23, 2009, and "Revised Projected Losses For U.S. Prime Jumbo RMBS Transactions Issued In 2005-2007," published June 17, 2009. The article complements the approach we outlined in "Revised Lifetime Loss Projections For Prime And Certain Subprime And Alt-A U.S. RMBS Issued in 2005-2007," published Jan. 15, 2010, and "Standard & Poor's Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For Transactions Issued In 2005, 2006, And 2007," published July 6, 2009.) 1. Standard & Poor's Ratings Services is providing its transaction-specific loss projections for U.S. residential mortgage-backed securities (RMBS) backed by prime, Alternative-A (Alt-A), and subprime collateral issued in 2005, 2006, and 2007. We revised our loss projections for all of the prime and certain of the subprime and Alt-A transactions from these vintages. These loss projections represent the lifetime losses we expect the individual structure groups from each transaction to incur as a percent of the original structure balances. 2. We provide a complete list of projected losses for the individual structures in tables 2, 3, and 4 in the "Methodology And Assumptions" section of this article. 3. In addition, we are refining our rating stresses to more explicitly incorporate higher loss severity assumptions. When performing our cash flow analyses, we will generally increase our loss severity and default assumptions to generate the stressed losses applicable for each rating category. 4. This article is related to our criteria article "Principles-Based Rating Methodology For Global Structured Finance Securities," which we published on May 29, 2007.

SCOPE OF THE CRITERIA5. Standard & Poor's is updating its rating stresses, while also publishing its assumptions pertaining to transaction-specific projected losses, for U.S. RMBS transactions backed by prime, subprime, and Alt-A collateral issued in 2005-2007. For a description of the methodology and assumptions we used to derive these projected losses, see "Revised Lifetime Loss Projections For Prime And Certain Subprime And Alt-A U.S. RMBS Issued in 2005-2007," published Jan. 15, 2010. 6. The update focuses on the following: Given the performance deterioration we've observed for U.S. RMBS transactions over time, as well as the incorporation of upto-date performance information into our rating analyses, we've updated our deal-specific loss projections for prime and certain subprime and Alt-A transactions issued in 2005-2007. When performing our cash flow analysis, we will generally increase our loss severity and default assumptions to generate the applicable stressed rating loss.

SUMMARY OF CRITERIA UPDATE7. To derive our updated loss projections for the 2005-2007 vintage prime, subprime, and Alt-A transactions, we applied the criteria we described in "Revised Lifetime Loss Projections For Prime And Certain Subprime And Alt-A U.S. RMBS Issued in 2005-2007," published Jan. 15, 2010. 8. Based on these updates, our overall vintage and product-specific lifetime weighted average loss projections for 2005-2007 vintage prime, subprime, and Alt-A RMBS are as follows: 9. For outstanding prime transactions,

http://www.standardandpoors.com/prot/ratings/articles/en/us/?assetID=1245205677212

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13. 11. 18. 17.

2005 vintage losses have increased to approximately 4.00% from approximately 2.82%; 2006 vintage losses have increased to approximately 6.60% from approximately 5.08%; and 2007 vintage losses have increased to approximately 9.75% from approximately 6.97%. For Alt-A transactions, 2005 vintage losses have increased to approximately 11.25% from approximately 10.00%; 2006 vintage losses have increased to approximately 26.25% from approximately 22.50%; and 2007 vintage losses have increased to approximately 31.25% from approximately 27.00%. Our loss projections for each Alt-A cohort will change as shown in table 1.Table 1 Alt-A Loss Projections Updated loss projection (%) 2005 vintage Fixed/long-reset hybrid Option ARM Short-reset hybrid Total 2006 vintage Fixed/long-reset hybrid Option ARM Short-reset hybrid Total 2007 vintage Fixed/long-reset hybrid Option ARM Short-reset hybrid Total 26.25 37.50 40.75 31.25 22.25 34.50 32.00 27.00 25.00 26.75 30.50 26.25 20.30 25.30 25.25 22.50 9.60 13.25 14.75 11.25 7.85 13.15 12.75 10.00 Previous loss projection (%)

12. For subprime transactions, 2005 vintage losses have increased to approximately 15.40% from approximately 14.00%; 2006 vintage losses have increased to approximately 35.00% from approximately 32.00%; and 2007 vintage losses have increased to approximately 43.20% from approximately 40.00%. When performing our ratings analysis, we will apply the loss projections outlined herein. When reviewing U.S. prime, subprime, and Alt-A RMBS transactions, we will generally stress these base-case loss assumptions according to the respective rating stress we are applying in our analysis. For example, to maintain a 'B' rating on a class, we assess whether, in our view, the class could absorb the base-case loss assumptions we used in our analysis. To maintain a rating higher than 'B', we assess whether the class could withstand losses exceeding our base-case loss assumptions at a percentage specific to each rating category, up to 235% of remaining losses for an 'AAA' rating on a prime class and 150% of remaining losses for an 'AAA' rating on an Alt-A or subprime class. 14. When applying the above-mentioned rating stresses in our cash flow analysis, we will generally increase our loss severity and default assumptions to generate the applicable stressed loss applicable for the rating category. To derive our loss severity assumptions for more stressful scenarios, we incorporated changes in loss severities within different rating stresses in our LEVELS model, which we described in "Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans," published Sept. 10, 2009. We then derive our default assumptions for different rating stresses using our stressed loss and loss severity assumptions.

IMPACT ON OUTSTANDING RATINGS15. We think our updated loss assumptions will not result in a large number of rating actions for subprime and Alt-A classes, but the updates may have a more significant impact on prime transactions. We expect the changes in loss assumptions to generally have an impact on our recovery analytics and the related recovery percentages for the affected transactions.

EFFECTIVE DATE AND TRANSITION16. These criteria are effective immediately for all 2005-2007 vintage prime, Alt-A, and subprime RBMS transactions. We will begin reviewing the applicable transactions using our updated loss assumptions over the next several months and expect to update our ratings as we deem appropriate.

METHODOLOGY AND ASSUMPTIONSAs a result of applying our updated methodology and assumptions, we have revised our transaction-specific loss projections for a significant portion of the 2005-2007 vintage prime, subprime, and Alt-A transactions we rate. The changes resulted primarily from our review of more recent performance information. For the prime transactions, the changes also reflected revisions to our loss severity 10. assumptions for these vintages. In addition, we increased our rating stresses to more explicitly incorporate higher loss severity assumptions. We will incorporate the increased stresses into our cash flow analytics. 19. Our transaction-specific loss projections are as follows:


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Prime RMBS Loss ProjectionsTable 2 Structure-Level Loss Projections For 2005-2007 Vintage Prime RMBS Transaction name Banc of America Fdg 2006-5 Trust Banc of America Fdg 2006-7 Trust Banc of America Fdg Trust 2006-6 Banc of America Funding 2005-1 Trust Banc of America Funding 2005-2 Trust Banc of America Funding 2005-4 Trust Banc of America Funding 2005-5 Trust Banc of America Funding 2005-6 Trust Banc of America Funding 2005-8 Trust Banc of America Funding 2005-D Trust Banc of America Funding 2006-2 Trust Banc of America Funding 2006-2 Trust Banc of America Funding 2006-3 Trust Banc of America Funding 2006-4 Trust Banc of America Funding 2006-B Trust Banc of America Funding 2006-C Trust Banc of America Funding 2006-E Trust Banc of America Funding 2006-F Trust Banc of America Funding 2006--J Trust Banc of America Funding 2007-4 Trust Banc of America Funding 2007-4 Trust Banc of America Funding 2007-C Trust Banc of America Funding 2007-C Trust Banc of America Funding 2007-E Trust Banc of America Mortgage 2005-H Trust Banc of America Mortgage 2005-I Trust Banc of America Mortgage 2005-K Trust Banc of America Mortgage 2006-1 Trust Banc of America Mortgage 2006-2 Trust Banc of America Mortgage 2006-A Trust Banc of America Mortgage 2007-1 Trust Banc of America Mortgage 2007-1 Trust Banc of America Mortgage 2007-3 Trust Banc of America Mortgage 2007-4 Trust Banc of America Mortgage Securities Inc Banc of America Mortgage Securities Inc Banc of America Mortgage Securities Inc Banc of America Mortgage Securities Inc Banc of America Mortgage Trust 2005-10 Banc Of America Mortgage Trust 2005-2 Banc of America Mortgage Trust 2005-4 Banc of America Mortgage Trust 2005-8 Banc of America Mortgage Trust 2005-9 Banc of America Mtg 2006-3 Trust Banc of America Mtg 2006-3 Trust Banc of America Mtg 2006-B Trust Bear Stearns ARM Trust 2005-1 Bear Stearns ARM Trust 2005-10 Bear Stearns ARM Trust 2005-11 Bear Stearns ARM Trust 2005-12 Bear Stearns ARM Trust 2005-12 Bear Stearns ARM Trust 2005-2 Bear Stearns ARM Trust 2005-3 Bear Stearns ARM Trust 2005-4 Bear Stearns ARM Trust 2005-5 Bear Stearns ARM Trust 2005-6 Bear Stearns ARM Trust 2005-7 CUSIP 05950NAA6 05951KAA1 05950RAA7 05946XPV9 05946XSQ7 05946XA29 05946XD34 05946XL92 05946X2A0 06051GDM8 05949QBE4 05949QAA3 058931AA4 05950FAA3 058928AA0 058930AA6 05950DAA8 05950HAA9 05951EAA5 05953YAS0 05953YBR1 059522BG6 059522AS1 05954DAA4 05949CFT8 05949CHM1 05949CMP8 05949YAA6 05950GAA1 05949CRP3 05952HAA7 05952HBM0 05954CAA6 059513CA7 05949CEA0 05949CPD2 05949CAA4 05949CBF2 05949CLF1 05949AT34 05949A5A4 05949CGN0 05949CJF4 05950LAA0 05950LAV4 05950TAA3 07387AAA3 07387AER2 07387AFF7 07387AFV2 07387AGB5 07384M7C0 07387AAV7 07387ABL8 07387ACJ2 07387ADG7 07387ACX1 Original structure balance ($) 708,434,175 334,399,962 718,325,324 200,205,119 353,050,578 300,263,958 479,711,254 488,220,063 595,014,348 1,086,958,012 108,215,724 707,785,263 946,598,202 292,187,398 482,269,295 418,718,809 637,413,148 562,295,597 1,167,908,854 363,579,273 275,041,324 313,551,930 2,561,523,317 457,833,285 706,791,838 792,010,125 481,510,747 302,450,083 326,583,052 322,066,721 674,869,666 352,454,718 635,834,222 444,265,109 719,036,456 354,283,711 402,034,766 172,674,991 545,310,644 325,685,251 275,940,890 228,344,356 516,100,667 282,850,681 56,745,784 763,308,015 720,481,998 2,461,994,558 477,982,017 579,168,835 263,146,081 2,633,284,753 643,692,976 1,617,125,371 1,414,447,170 746,440,833 595,042,937 Loss projection (%) 5.90 6.14 3.78 1.40 1.32 2.39 2.93 3.47 3.47 1.31 2.60 2.74 2.84 8.32 8.14 6.47 9.93 8.05 19.12 12.12 2.09 9.40 3.82 31.28 4.70 5.32 7.94 6.22 5.85 3.50 5.38 5.11 9.99 8.07 4.43 7.81 1.30 1.03 3.08 1.05 1.49 3.09 1.57 7.02 5.43 8.93 5.12 3.41 2.41 14.25 14.36 0.57 6.81 3.61 0.71 7.28 5.56


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Bear Stearns ARM Trust 2005-9 Bear Stearns ARM Trust 2006-2 Bear Stearns ARM Trust 2007-3 Bear Stearns ARM Trust 2007-4 Bear Stearns ARM Trust 2007-5 Chase Mortgage Finance Trust Series 2005-A1 Chase Mortgage Finance Trust Series 2005-A2 Chase Mortgage Finance Trust Series 2006-S4 Chase Mortgage Finance Trust Series 2007-A2 Chase Mortgage Finance Trust Series 2007-A2 Chase Mortgage Finance Trust Series 2007-S1 Chase Mortgage Finance Trust Series 2007-S2 Chase Mortgage Finance Trust Series 2007-S3 Chase Mortgage Finance Trust Series 2007-S4 Chase Mortgage Finance Trust Series 2007-S5 Chase Mtg Fin Trust Ser 2006-S3 Chase Mtg Fin Trust Series 2006-S2 ChaseFlex Trust Series 2005-1 ChaseFlex Trust Series 2005-2 CHL Mortgage Pass Through Trust 2005-26 CHL Mortgage Pass Through Trust 2005-5 CHL Mortgage Pass Through Trust 2006-HYB2 CHL Mortgage Pass -Through Trust 2007-16 CHL Mortgage Pass Through Trust 2007-19 CHL Mortgage Pass Through Trust 2007-19 CHL Mortgage Pass Through Trust 2007-21 CHL Mortgage Pass Through Trust 2007-5 CHL Mortgage Pass Through Trust 2007-6 CHL Mortgage Pass Through Trust 2007-HY5 CHL Mortgage Pass Through Trust 2007-J3 CHL Mortgage Pass-Through Trust 2005-13 CHL Mortgage Pass-Through Trust 2005-14 CHL Mortgage Pass-Through Trust 2005-15 CHL Mortgage Pass-Through Trust 2005-16 CHL Mortgage Pass-Through Trust 2005-17 CHL Mortgage Pass-Through Trust 2005-18 CHL Mortgage Pass-Through Trust 2005-20 CHL Mortgage Pass-Through Trust 2005-23 CHL Mortgage Pass-Through Trust 2005-24 CHL Mortgage Pass-Through Trust 2005-28 CHL Mortgage Pass-Through Trust 2005-29 CHL Mortgage Pass-Through Trust 2005-30 CHL Mortgage Pass-Through Trust 2005-31 CHL Mortgage Pass-Through Trust 2005-HYB10 CHL Mortgage Pass-Through Trust 2005-HYB2 CHL Mortgage Pass-Through Trust 2005-HYB3 CHL Mortgage Pass-Through Trust 2005-HYB4 CHL Mortgage Pass-Through Trust 2005-HYB5 CHL Mortgage Pass-Through Trust 2005-HYB6 CHL Mortgage Pass-Through Trust 2005-HYB7 CHL Mortgage Pass-Through Trust 2005-J3 CHL Mortgage Pass-Through Trust 2006-1 CHL Mortgage Pass-Through Trust 2006-10 CHL Mortgage Pass-Through Trust 2006-13 CHL Mortgage Pass-Through Trust 2006-19 CHL Mortgage Pass-Through Trust 2006-20 CHL Mortgage Pass-Through Trust 2006-21 CHL Mortgage Pass-Through Trust 2006-9 CHL Mortgage Pass-Through Trust 2006-HYB3 CHL Mortgage Pass-Through Trust 2006-J2 CHL Mortgage Pass-Through Trust 2006-J3

07387AEG6 07388DAA6 073881AA2 07401CAS2 07386YAA2 16162WPB9 16162WPV5 16162YAA3 16163LAA0 16163LAN2 16163FAA3 16163EAA6 16163HAA9 161629AA8 161631AA4 16162XAA5 16163BAA2 16165TAA1 16165TAX1 126694MK1 12669GQQ7 126694C63 12544MAA7 12544PAA0 12544PAF9 17025WAA2 12544VAA7 125439AA7 12544BAA1 17025QAA5 12669GB91 12669GK59 12669GQ53 12669G2T7 12669G5M9 126694EH7 126694EY0 126694GU6 126694JR0 126694PF9 126694TD0 126694TQ1 126694UJ5 126694VH8 12669GWQ0 12669GA35 12669GL90 12669G6K2 126694BE7 126694FW3 12669G4J7 126694XB9 1266942A5 12543TAA3 12543XAA4 12544AAA3 12543PAA1 126694W20 1266943U0 126694G93 125433AA0

1,127,924,635 1,186,926,936 811,993,921 747,002,182 401,865,806 1,900,007,729 1,075,062,416 529,816,763 1,343,698,707 456,933,048 430,278,182 610,068,553 1,075,181,901 890,016,924 689,012,528 800,001,980 1,024,294,266 474,003,945 655,068,858 500,007,523 400,000,000 665,877,411 777,000,000 376,992,000 67,994,100 784,900,000 850,000,000 750,000,000 364,383,859 225,908,090 400,000,000 208,000,000 415,000,000 415,000,000 633,000,000 416,000,000 416,000,000 316,000,000 1,042,000,000 416,999,436 298,011,016 517,141,199 627,595,465 1,030,902,770 471,911,361 596,795,062 806,387,921 804,962,952 1,008,710,324 1,040,615,169 384,000,000 375,999,710 603,500,000 521,999,957 1,247,997,961 1,041,000,000 1,021,991,738 418,000,000 981,621,231 175,000,000 217,254,137

4.12 11.31 16.45 15.13 16.05 6.87 7.96 9.12 0.76 4.58 9.18 7.09 9.80 10.98 9.08 8.25 6.00 3.83 4.26 5.08 1.94 15.14 10.52 12.76 21.70 10.75 7.32 10.23 17.23 15.85 3.57 3.92 4.45 4.32 4.83 5.35 4.02 6.38 5.12 5.97 7.28 5.66 13.41 24.47 6.97 7.37 12.15 9.30 11.87 18.08 4.13 5.56 6.44 7.21 6.88 8.83 8.15 6.26 16.15 6.13 1.51


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CHL Mortgage Pass-Through Trust 2007-1 CHL Mortgage Pass-Through Trust 2007-10 CHL Mortgage Pass-Through Trust 2007-11 CHL Mortgage Pass-Through Trust 2007-12 CHL Mortgage Pass-Through Trust 2007-13 CHL Mortgage Pass-Through Trust 2007-14 CHL Mortgage Pass-Through Trust 2007-15 CHL Mortgage Pass-Through Trust 2007-17 CHL Mortgage Pass-Through Trust 2007-18 CHL Mortgage Pass-Through Trust 2007-2 CHL Mortgage Pass-Through Trust 2007-20 CHL Mortgage Pass-Through Trust 2007-3 CHL Mortgage Pass-Through Trust 2007-4 CHL Mortgage Pass-Through Trust 2007-7 CHL Mortgage Pass-Through Trust 2007-8 CHL Mortgage Pass-Through Trust 2007-9 CHL Mortgage Pass-Through Trust 2007-HY1 CHL Mortgage Pass-Through Trust 2007-HY3 CHL Mortgage Pass-Through Trust 2007-HY4 CHL Mortgage Pass-Through Trust 2007-HY7 CHL Mortgage Pass-Through Trust 2007-J1 CHL Mtg Pass Through Trust 2006-18 CHL Mtg Pass-Through Trust 2006-16 CHL Mtg Pass-Through Trust 2006-17 Citicorp Mortgage Securities Inc. Citicorp Mortgage Securities Inc. Citicorp Mortgage Securities Trust Series 2006-4 Citicorp Mortgage Securities Trust Series 2007-4 Citicorp Mortgage Securities Trust, Series 2006-6 Citicorp Mortgage Securities Trust, Series 2007-1 Citicorp Mortgage Securities Trust, Series 2007-2 Citicorp Mortgage Securities Trust, Series 2007-3 Citicorp Mortgage Securities Trust, Series 2007-5 Citicorp Mortgage Securities Trust, Series 2007-7 Citicorp Mtg Secs Trust Ser 2006-5 Citigroup Mortgage Loan Trust 2005-11 Citigroup Mortgage Loan Trust 2005-6 Citigroup Mortgage Loan Trust 2006-AR1 Citigroup Mortgage Loan Trust 2006-AR1 Citigroup Mortgage Loan Trust 2006-AR1 Citigroup Mortgage Loan Trust 2007-2 Citigroup Mortgage Loan Trust 2007-AR4 Citigroup Mortgage Loan Trust 2007-AR4 Citigroup Mortgage Loan Trust 2007-AR8 Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Credit Suisse First Boston Mortgage Securities Corp. Credit Suisse First Boston Mortgage Securities Corp. Credit Suisse First Boston Mortgage Securities Corp. Credit Suisse First Boston Mortgage Securities Corp. Credit Suisse First Boston Mortgage Securities Corp. Credit Suisse First Boston Mortgage Securities Corp. CSFB Mortgage-Backed Pass-Through Certificates Series 2005-1 CSFB Mortgage-Backed Pass-Through Certificates Series 2005-1

170255AA1 12545CAA8 12544LAA9 17025LAA6 17025JAA1 12544DAA7 17025TAA9 12544KAA1 12544JAA4 12544CAA9 12544QAA8 12543RAA7 12544RAA6 12544TAA2 12545AAA2 12544XAA3 12544EAA5 12544WAA5 17025RAA3 12544HAA8 12669MAA6 12543WAA6 170257AA7 17025AAA0 172973Q69 1729733Y3 17310DAD2 17312XAE4 173100AD0 173105AA5 173107AA1 17312FAA1 17312KAA0 173104AA8 17310FAB1 17307GW53 17307GXB9 17307G2Z0 17307G3K2 17307G3Y2 17310SAA5 17311WAA5 17311WAD9 17313FAR3 17307GWE4 17307GK31 17307GF78 17307GK98 17307GH35 17307GE20 17307GT40 17307GA40 17307GB64 225458E46 225458ES3 225458F45 225458FC7 225458G36 225458JW9 22541S6K9 22541S6N3

750,000,000 649,979,588 999,999,533 417,000,000 574,962,714 750,000,000 1,037,917,101 878,585,839 413,464,742 499,997,611 299,992,629 1,146,983,296 1,065,000,000 749,986,933 855,000,000 700,000,000 396,370,777 586,348,690 619,771,036 559,978,366 312,489,841 519,984,191 999,996,196 520,984,825 319,329,234 480,050,373 448,950,704 567,603,895 363,422,632 310,768,711 298,932,041 518,714,942 344,659,426 634,442,772 562,309,922 764,880,018 1,302,376,238 700,546,037 173,244,852 695,842,023 347,780,580 892,808,714 288,699,944 480,325,740 731,362,707 126,420,654 248,078,754 289,351,793 87,594,457 491,349,834 561,461,908 383,359,608 788,169,402 315,464,409 298,996,760 190,674,660 176,683,061 301,553,611 742,911,108 120,161,354 452,417,508

9.07 11.39 11.67 5.72 8.44 5.08 11.73 10.35 10.44 9.29 12.61 9.34 12.10 7.89 12.21 6.80 14.99 12.05 18.87 31.32 17.98 6.05 7.11 8.30 0.55 2.36 2.56 3.87 2.21 3.50 2.57 4.47 3.67 2.92 2.68 3.23 1.79 4.30 3.20 8.81 15.30 7.20 15.21 17.46 1.90 12.21 8.93 6.13 9.12 9.69 21.14 14.79 3.94 2.08 1.69 4.88 4.14 0.86 1.10 3.42 2.06


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CSFB Mortgage-Backed Pass-Through Certificates Series 2005-5 Trust CSFB Mortgage-Backed Pass-Through Certificates Series 2005-5 Trust CSFB Mortgage-Backed Trust Series 2005-11 CSFB Mortgage-Backed Trust Series 2005-12 CSFB Mortgage-Backed Trust Series 2005-4 CSFB Mortgage-Backed Trust Series 2005-4 CSFB Mortgage-Backed Trust Series 2005-6 CSFB Mortgage-Backed Trust Series 2005-6 CSFB Mortgage-Backed Trust Series 2005-9 CSMC Mortgage Backed Trust 2006-7 CSMC Mortgage Backed Trust 2007-4 CSMC Mortgage Backed Trust 2007-6 CSMC Mortgage-Backed Trust Series 2006-1 CSMC Mortgage-Backed Trust Series 2006-1 CSMC Mortgage-Backed Trust Series 2006-2 CSMC Mortgage-Backed Trust Series 2006-2 CSMC Mtg-Bckd Trust 2006-8 Fannie Mae REMIC Trust 2005-W2 First Horizon Mortgage Pass Through Trust 2005-5 First Horizon Mortgage Pass Through Trust 2005-AR2 First Horizon Mortgage Pass Through Trust 2005-AR3 First Horizon Mortgage Pass Through Trust 2006-2 First Horizon Mortgage Pass Through Trust 2006-AR1 First Horizon Mortgage Pass Through Trust 2007-4 First Horizon Mortgage Pass Through Trust 2007-5 First Horizon Mortgage Pass-Through Trust 2005-6 First Horizon Mortgage Pass-Through Trust 2005-7 First Horizon Mortgage Pass-Through Trust 2005-8 First Horizon Mortgage Pass-Through Trust 2005-AR4 First Horizon Mortgage Pass-Through Trust 2005-AR5 First Horizon Mortgage Pass-Through Trust 2006-1 First Horizon Mortgage Pass-Through Trust 2006-AR2 First Horizon Mortgage Pass-Through Trust 2006-AR4 First Horizon Mortgage Pass-Through Trust 2007-1 First Horizon Mortgage Pass-Through Trust 2007-2 First Horizon Mortgage Pass-Through Trust 2007-3 First Horizon Mortgage Pass-Through Trust 2007-6 First Horizon Mortgage Pass-Through Trust 2007-AR1 First Horizon Mortgage Pass-Through Trust 2007-AR2 First Horizon Mortgage Pass-Through Trust 2007-AR3 First Horizon Mtg Pass Through Trust 2006-3 First Horizon Mtg Pass-Through Trust 2006-AR3 Freddie Mac Securities REMIC Trust 2005-S001 Freddie Mac Securities REMIC Trust 2005-S001 Global Mortgage Securitization 2005-A Ltd GMACM Mortgage Loan Trust 2005-J1 GMACM Mortgage Loan Trust 2005-AR1 GMACM Mortgage Loan Trust 2005-AR2 GMACM Mortgage Loan Trust 2005-AR3 GMACM Mortgage Loan Trust 2005-AR4 GMACM Mortgage Loan Trust 2005-AR5 GMACM Mortgage Loan Trust 2005-AR6 GMACM Mortgage Loan Trust 2006-AR1 GMACM Mortgage Loan Trust 2006-AR2 GMACM Mortgage Loan Trust 2006-J1 GSR Mortgage Loan Trust 2005-1F GSR Mortgage Loan Trust 2005-2F GSR Mortgage Loan Trust 2005-5F GSR Mortgage Loan Trust 2005-6F GSR Mortgage Loan Trust 2005-7F GSR Mortgage Loan Trust 2005-8F

225458TF5 225458TX6 2254W0NQ4 225470RS4 225458PF9 225458PJ1 225458B64 225458B80 2254585N4 22942KAA8 126379AX4 12639PAA6 225470UH4 225470UR2 225470A45 225470A29 22942MAA4 31394DJP6 32051GUK9 32051GMU6 32051GQK4 32052LAA1 32051GX83 32056CAA7 32056FAA0 32051GWQ4 32051GB79 32051GK87 32051GTV7 32051GXN0 32051G2A2 32052KAA3 32053AAA4 32053NAA6 320520AA7 32055WAA4 32056QAA6 32053EAA6 32055GAA9 32056JAA2 32052RAA8 32052EAA7 35562QAA6 35562QAC2 378961AP1 36185MBX9 76112BKK5 36185N6M7 36185N6Y1 76112BUD0 76112BXX3 36185MBG6 36185MDN9 36185MET5 36185MEB4 36242DUV3 36242DXY4 362341AA7 362341DK2 362341MH9 362341VN6

484,994,452 224,353,108 368,692,319 418,140,097 283,680,853 486,668,354 194,196,188 332,406,705 323,369,000 573,213,793 596,157,489 681,047,053 617,977,405 261,407,728 593,125,605 248,556,662 558,050,150 578,859,590 365,636,987 281,706,798 315,111,384 431,865,682 212,575,515 346,019,897 456,988,015 247,154,473 210,089,711 310,975,601 425,564,710 216,253,164 302,102,191 171,370,691 349,545,423 225,005,065 210,027,734 225,320,315 274,635,892 327,213,272 424,306,758 456,774,313 422,037,461 229,899,485 2,000,030,000 $2,000,030,000 3,863,864,690 525,500,661 399,767,823 458,443,851 523,717,646 386,070,614 597,174,649 591,988,039 508,664,454 372,995,324 550,003,046 691,667,241 301,655,635 1,676,308,922 949,896,997 422,915,796 957,479,841

0.94 1.74 2.53 16.12 2.80 1.42 0.41 4.38 3.70 13.88 9.79 26.22 7.60 3.62 10.52 5.10 12.36 3.16 2.10 2.97 1.71 2.91 4.95 5.46 6.82 1.96 4.48 2.87 4.89 4.94 2.92 6.65 7.95 7.02 5.95 6.24 20.50 8.01 9.44 10.78 3.27 5.56 4.75 4.72 0.35 3.56 2.65 3.86 3.49 4.31 4.79 6.36 8.06 8.69 4.31 1.42 1.38 0.71 2.23 1.50 3.75


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GSR Mortgage Loan Trust 2005-9F GSR Mortgage Loan Trust 2005-9F GSR Mortgage Loan Trust 2005-AR1 GSR Mortgage Loan Trust 2005-AR2 GSR Mortgage Loan Trust 2005-AR2 GSR Mortgage Loan Trust 2005-AR3 GSR Mortgage Loan Trust 2005-AR3 GSR Mortgage Loan Trust 2005-AR4 GSR Mortgage Loan Trust 2005-AR4 GSR Mortgage Loan Trust 2005-AR5 GSR Mortgage Loan Trust 2005-AR6 GSR Mortgage Loan Trust 2005-AR-7 GSR Mortgage Loan Trust 2005-AR-7 GSR Mortgage Loan Trust 2006-10F GSR Mortgage Loan Trust 2006-1F GSR Mortgage Loan Trust 2006-1F GSR Mortgage Loan Trust 2006-2F GSR Mortgage Loan Trust 2006-3F GSR Mortgage Loan Trust 2006-4F GSR Mortgage Loan Trust 2006-5F GSR Mortgage Loan Trust 2006-7F GSR Mortgage Loan Trust 2006-8F GSR Mortgage Loan Trust 2006-AR1 GSR Mortgage Loan Trust 2006-AR2 GSR Mortgage Loan Trust 2006-AR2 GSR Mortgage Loan Trust 2007-1F GSR Mortgage Loan Trust 2007-4F GSR Mortgage Loan Trust 2007-5F GSR Mortgage Loan Trust 2007-AR1 GSR Mortgage Loan Trust 2007-AR2 GSR Mtg Ln Trust 2006-9F GSR Mtg Ln Trust 2006-9F HarborView Mortgage Loan Trust 2005-1 HarborView Mortgage Loan Trust 2005-4 Harborview Mortgage Loan Trust 2006-2 HSI Asset Loan Obligation Trust 2007-1 HSI Asset Loan Obligation Trust 2007-2 HSI Asset Loan Obligation Trust 2007-AR1 HSI Asset Loan Obligation Trust 2007-AR2 IndyMac IMJA Mortgage Loan Trust 2007-A1 IndyMac IMJA Mortgage Loan Trust 2007-A3 IndyMac INDA Mortgage Loan Trust 2007-AR5 IndyMac INDA Mortgage Loan Trust 2007-AR9 JPMorgan Mortgage Trust 2005-A1 JPMorgan Mortgage Trust 2005-A1 JPMorgan Mortgage Trust 2005-A2 JPMorgan Mortgage Trust 2005-A3 JPMorgan Mortgage Trust 2005-A3 JPMorgan Mortgage Trust 2005-A3 JPMorgan Mortgage Trust 2005-A4 JPMorgan Mortgage Trust 2005-A5 JPMorgan Mortgage Trust 2005-A5 JPMorgan Mortgage Trust 2005-A6 JPMorgan Mortgage Trust 2005-A6 JPMorgan Mortgage Trust 2005-A8 JPMorgan Mortgage Trust 2005-S1 JPMorgan Mortgage Trust 2005-S2 JPMorgan Mortgage Trust 2005-S2 JPMorgan Mortgage Trust 2005-S3 JPMorgan Mortgage Trust 2005-S3 JPMorgan Mortgage Trust 2006-A1

362341Q44 362341T58 36242DUL5 36242DJ20 36242DH48 36242D4R1 362341AL3 362341FR5 362341FG9 362341KU2 362341RQ4 362341XG9 362341WX3 36266WAJ1 362334AF1 362334AC8 362334BN3 362334GM0 362334QD9 36297XAA1 36298NAA2 362611AA3 3623413Y3 36297TAA0 36297TAB8 3622MPBJ6 362669AA1 3622NEAA0 362290AA6 3622N6AA7 3622X7AM8 3622X7AM8 41161PLC5 41161PMV2 41161PJ38 40431TAA9 40432BAA7 40431LAA6 44329EAA9 456652AA4 456669AA8 456680AA5 45670WAA1 466247LZ4 466247LJ0 466247NK5 466247PS6 466247PL1 466247PP2 466247RN5 466247SQ7 466247SD6 466247TH6 466247TE3 466247YH0 466247MP5 466247UM3 466247VN0 466247D26 466247A29 466247E33

685,814,856 138,003,646 685,623,376 185,398,000 709,836,000 317,958,590 1,205,668,111 422,958,000 863,491,800 1,099,472,956 2,802,084,865 799,761,000 997,733,000 428,644,413 539,203,000 847,122,300 738,253,498 667,881,107 643,690,842 516,901,284 609,955,388 622,239,465 1,350,386,698 55,685,800 906,822,000 1,606,484,396 790,100,742 723,453,810 1,744,782,363 1,327,643,250 1,254,017,245 126,326,203 1,416,495,666 540,813,085 409,252,328 325,296,942 453,150,484 434,092,081 420,163,912 262,509,068 222,336,824 372,597,103 382,212,193 401,300,348 1,637,910,891 1,176,883,439 408,574,000 1,050,185,300 437,037,200 940,386,486 344,959,341 850,055,582 250,625,000 1,214,127,600 1,970,261,094 420,596,796 1,119,609,100 197,926,000 127,850,537 1,151,331,708 831,289,125

0.28 0.14 2.30 0.68 3.52 0.64 4.69 1.58 3.71 5.82 1.52 2.23 5.72 7.10 6.55 3.52 4.68 4.94 5.95 4.86 9.63 6.27 6.24 1.14 7.07 4.83 6.61 8.31 12.53 12.62 5.82 1.70 6.17 7.16 5.14 15.36 7.10 21.47 24.63 8.01 13.72 14.83 24.98 0.17 0.28 1.31 0.21 1.62 4.96 1.56 0.71 2.28 4.03 3.30 4.46 2.92 2.68 3.20 5.74 6.46 5.31


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Standard & Poor's

Page 8 of 57

JPMorgan Mortgage Trust 2006-A3 JPMorgan Mortgage Trust 2006-A3 JPMorgan Mortgage Trust 2006-S3 JPMorgan Mortgage Trust 2006-S3 JPMorgan Mortgage Trust 2006-S4 JPMorgan Mortgage Trust 2007-A2 JPMorgan Mortgage Trust 2007-A3 JPMorgan Mortgage Trust 2007-A4 JPMorgan Mortgage Trust 2007-A5 JPMorgan Mortgage Trust 2007-A6 JPMorgan Mortgage Trust 2007-S1 JPMorgan Mortgage Trust 2007-S2 JPMorgan Mortgage Trust 2007-S3 Lehman Mortgage Trust Lehman Mortgage Trust 2006-2 Lehman Mortgage Trust 2006-2 Lehman Mortgage Trust 2006-2 Lehman Mortgage Trust 2006-2 Lehman Mortgage Trust 2006-4 Lehman Mortgage Trust 2007-3 Lehman Mortgage Trust 2007-5 Lehman Mortgage Trust 2007-5 MASTR Adjustable Rate Mortgage Trust 2005-6 MASTR Adjustable Rate Mortgage Trust 2005-7 MASTR Adjustable Rate Mortgage Trust 2006-2 MASTR Asset Securitization Trust 2005-1 MASTR Asset Securitization Trust 2005-2 MASTR Asset Securitization Trust 2006-1 MASTR Asset Securitization Trust 2006-3 MASTR Asset Securitization Trust 2007-1 MASTR Asset Securitization Trust 2007-2 Merrill Lynch Mortgage Backed Securities Trust, Series 2007-1 Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3 Merrill Lynch Mortgage Investors Trust MLMI 2005-A1 Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10 Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A2 Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A7 Merrill Lynch Mortgage Investors Trust Series 2005-2 Merrill Lynch Mortgage Investors Trust Series 2005-A9 Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A Merrill Lynch Mortgage Investors Trust Series MLCC 2005-B Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1 Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2 Merrill Lynch Mortgage Investors Trust Series MLCC 2007-1 Merrill Lynch Mortgage Investors Trust Series MLCC 2007-3 Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A4 Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A5 Merrill Lynch Mortgage Investors Trust, Series 2006-F1 Merrill Lynch Mortgage Investors Trust, Series MLCC 2007-2 Merrill Lynch Mtg Investors Trust Ser 2006-3 Merrill Lynch Mtg Investors Trust Ser 2006-AF1 Merrill Lynch Mtg Investors Trust Ser 2006-AF1 Morgan Stanley Mortgage Loan Trust 2005-1 Morgan Stanley Mortgage Loan Trust 2005-10 Morgan Stanley Mortgage Loan Trust 2005-4 Morgan Stanley Mortgage Loan Trust 2005-7 Morgan Stanley Mortgage Loan Trust 2006-2 MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2 Prime Mortgage Trust 2005-4 Prime Mortgage Trust 2005-4

46628KAA8 46628KAT7 46629AAA9 46629ABR1 46629SAA0 46630PAA3 46630UAA2 46631JAA6 46632BAA2 46632DAA8 46630RAA9 46630WAA8 46631NAA7 52520MAA1 52520MGG2 52520MGJ6 52520MGS6 52520MGJ6 52520RAG7 52521JAG4 52521RAB7 52521RAU5 576433A22 576433C61 576438AA3 57643MKB9 57643MLA0 57643MLX0 55274SAA9 55292AAA6 57646NAA7 59024NAA5 59025JAA3 59020UQC2 59020U2A2 59020USH9 59020UE35 59020UA21 59020U2G9 59020UL37 59020UTB1 59020UWU5 59020U4R3 590219AA9 59023HAA9 59022XAA5 59020UXH3 59020UYL3 590218AA1 59024WAA5 59023PAA1 59023RAA7 59023RAG4 61748HHS3 61748HRS2 61748HJV4 61748HNR8 61748HVE8 61915CAA7 74160MJX1 74160MKL5

1,054,931,550 540,365,920 1,004,703,963 124,268,901 778,192,218 1,033,902,273 720,053,804 787,316,125 1,126,021,227 783,291,273 847,847,024 1,244,485,916 1,844,825,085 956,638,269 147,358,000 77,435,100 76,092,690 24,825,100 249,733,000 250,589,163 354,843,000 697,005,000 607,063,877 407,714,249 750,433,422 274,524,045 339,007,792 419,235,123 440,071,053 336,275,877 334,073,944 453,680,470 304,840,443 559,198,793 786,377,264 988,900,952 463,360,704 1,220,525,429 927,442,200 1,178,985,743 550,001,262 500,005,685 476,561,871 634,771,628 462,223,039 293,596,173 502,099,539 730,706,297 226,864,854 416,548,326 537,919,898 366,466,000 301,757,000 441,146,311 372,999,288 671,580,119 822,911,117 533,840,781 921,858,139 171,077,000 264,124,000

9.73 1.82 4.59 2.43 9.87 8.94 13.04 10.37 10.70 7.46 7.83 10.55 13.66 5.90 3.59 3.57 1.36 10.42 5.64 9.20 21.61 13.17 8.25 14.61 3.67 1.55 2.61 2.64 3.75 10.90 8.45 14.68 12.81 1.09 4.46 1.88 4.30 1.46 6.54 2.40 0.25 0.45 1.97 0.55 1.42 0.71 5.03 2.72 4.01 2.01 1.67 13.17 9.51 1.49 9.23 4.28 6.01 7.22 9.03 0.51 5.55


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Standard & Poor's

Page 9 of 57

Prime Mortgage Trust 2006-2 Prime Mortgage Trust 2007-1 Prime Mortgage Trust 2007-2 Prime Mortgage Trust 2007-3 Prime Mortgage Trust 2007-3 Provident Funding Mortgage Loan Trust 2005-1 Provident Funding Mortgage Loan Trust 2005-2 RAAC Series 2005-SP1 Trust RFMSI Ser 2006-S8 Trust RFMSI Series 2006-S7 Trust RFMSI Series 2005-S1 Trust RFMSI Series 2005-S1 Trust RFMSI Series 2005-S2 Trust RFMSI Series 2005-S4 Trust RFMSI Series 2005-S6 Trust RFMSI Series 2005-S7 Trust RFMSI Series 2005-S8 Trust RFMSI Series 2005-S9 Trust RFMSI Series 2005-SA1 Trust RFMSI Series 2005-SA2 Trust RFMSI Series 2005-SA3 Trust RFMSI Series 2005-SA4 Trust RFMSI Series 2005-SA4 Trust RFMSI Series 2005-SA5 Trust RFMSI Series 2006-S1 Trust RFMSI Series 2006-S10 Trust RFMSI Series 2006-S10 Trust RFMSI Series 2006-S11 Trust RFMSI Series 2006-S12 Trust RFMSI Series 2006-S12 Trust RFMSI Series 2006-S12 Trust RFMSI Series 2006-S2 Trust RFMSI Series 2006-S3 Trust RFMSI Series 2006-S4 Trust RFMSI Series 2006-S5 Trust RFMSI Series 2006-S6 Trust RFMSI Series 2006-S9 Trust RFMSI Series 2006-SA1 Trust RFMSI Series 2006-SA2 Trust RFMSI Series 2006-SA3 Trust RFMSI Series 2006-SA4 Trust RFMSI Series 2007-S1 Trust RFMSI Series 2007-S2 Trust RFMSI Series 2007-S3 Trust RFMSI Series 2007-S4 Trust RFMSI Series 2007-S5 Trust RFMSI Series 2007-S6 Trust RFMSI Series 2007-S6 Trust RFMSI Series 2007-S7 Trust RFMSI Series 2007-S8 Trust RFMSI Series 2007-S9 Trust RFMSI Series 2007-SA1 Trust RFMSI Series 2007-SA2 Trust RFMSI Series 2007-SA3 Trust RFMSI Series 2007-SA4 Trust Sequoia Mortgage Trust 2005-1 Sequoia Mortgage Trust 2005-2 Sequoia Mortgage Trust 2005-4 Sequoia Mortgage Trust 2005-4 Sequoia Mortgage Trust 2006-1 Sequoia Mortgage Trust 2007-1

74161YAA3 74162FAA3 74162JAA5 74162WAA6 74162WAH1 743873AW1 743873BK6 76112BQL7 74957XAA3 74958AAA2 76111XRX3 76111XSD6 76111XTQ6 76111XUS0 76111XXJ7 76111XA29 76111XC50 76111XD91 76111XTB9 76111XVE0 76111XVZ3 76111XYC1 76111XYH0 76111XZA4 76111XJ20 74958DAA6 74958DAH1 74958FAA1 74958EAA4 74958EAB2 74958EAJ5 76111XL76 76111XN74 762010AA4 74957EAA5 74957VAA7 749577AA0 76111XG72 749574AA7 749575AA4 74958CAA8 749581AA2 749583AA8 74958BAA0 74958YAA0 749580AA4 762009AB4 762009AY4 76200RAA6 76200QAA8 74958VAA6 74958WAA4 74958XAA2 74958TAA1 74959AAA1 81744FGM3 81744FGY7 81744FHV2 81744FJG3 81743QAA2 81744HAA1

281,849,596 679,112,102 331,901,017 175,130,000 124,830,000 731,036,759 611,450,330 830,992,062 416,270,444 469,651,185 259,778,000 203,321,000 260,859,542 259,355,464 412,859,719 311,723,395 312,342,460 366,598,962 295,217,162 500,769,317 675,223,681 212,285,900 638,192,000 355,274,430 367,089,279 780,377,000 307,307,000 623,228,121 112,277,000 727,804,000 364,208,000 260,567,948 337,775,844 313,917,718 678,078,630 599,553,773 442,317,845 275,054,445 791,311,594 350,875,768 282,274,974 522,526,573 472,188,313 575,286,246 314,473,351 524,844,826 393,064,000 314,627,000 419,108,278 488,805,833 172,377,289 310,768,077 385,082,343 363,840,377 414,928,866 415,723,644 343,811,806 155,032,000 174,018,000 762,246,764 890,087,313

6.42 10.04 14.17 17.76 4.84 1.75 1.50 0.44 6.86 7.03 1.68 0.38 1.20 2.26 1.92 4.64 4.48 5.14 1.94 3.86 4.43 8.28 4.75 10.07 4.35 4.74 1.39 7.03 5.44 4.71 6.79 4.77 6.33 5.03 6.01 6.53 7.07 8.82 12.18 9.34 11.86 8.04 7.22 8.81 12.37 10.04 11.24 11.07 9.26 10.80 12.29 14.58 15.41 19.47 16.71 0.97 0.72 4.28 1.75 11.06 8.99


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Standard & Poor's

Page 10 of 57

Sequoia Mortgage Trust 2007-2 Sequoia Mortgage Trust 2007-2 Sequoia Mortgage Trust 2007-3 Sequoia Mortgage Trust 2007-3 Sequoia Mortgage Trust 2007-4 STARM Mortgage Loan Trust 2007-2 STARM Mortgage Loan Trust 2007-3 STARM Mortgage Loan Trust 2007-3 STARM Mortgage Loan Trust 2007-4 STARM Mortgage Loan Trust 2007-S1 Structured Adjustable Rate Mortgage Loan Trust Series 2005-12 Structured Adjustable Rate Mortgage Loan Trust Series 2005-15 Structured Adjustable Rate Mortgage Loan Trust Series 2005-17 Structured Adjustable Rate Mortgage Loan Trust Series 2005-17 Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 Structured Adjustable Rate Mortgage Loan Trust Series 2005-20 Structured Adjustable Rate Mortgage Loan Trust Series 2005-20 Structured Adjustable Rate Mortgage Loan Trust Series 2005-21 Structured Adjustable Rate Mortgage Loan Trust Series 2005-21 Structured Adjustable Rate Mortgage Loan Trust Series 2005-23 Structured Adjustable Rate Mortgage Loan Trust Series 2005-23 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1 Structured Adjustable Rate Mortgage Loan Trust, Series 2005-11 Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7 Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7 Structured Asset Mortgage Investments II Trust 2005-AR5 Structured Asset Securities Corporation Trust 2005-1 Structured Asset Securities Corporation Trust 2005-10 Structured Asset Securities Corporation Trust 2005-14 Structured Asset Securities Corporation Trust 2005-14 Structured Asset Securities Corporation Trust 2005-14 Structured Asset Securities Corporation Trust 2005-14 Structured Asset Securities Corporation Trust 2005-16 Structured Asset Securities Corporation Trust 2005-17 Structured Asset Securities Corporation Trust 2005-3 Structured Asset Securities Corporation Trust 2005-5 Structured Asset Securities Corporation Trust 2005-6 TBW Mortgage-Backed Trust Series 2006-1 Thornburg Mortgage Securities Trust 2005-1 Thornburg Mortgage Securities Trust 2005-2 Thornburg Mortgage Securities Trust 2005-3 Thornburg Mortgage Securities Trust 2005-4 Thornburg Mortgage Securities Trust 2006-1 Thornburg Mortgage Securities Trust 2006-2 Thornburg Mortgage Securities Trust 2006-4 Thornburg Mortgage Securities Trust 2006-5 Thornburg Mortgage Securities Trust 2006-6 Thornburg Mortgage Securities Trust 2007-1 Thornburg Mortgage Securities Trust 2007-2 Thornburg Mortgage Securities Trust 2007-3 Thornburg Mortgage Securities Trust 2007-4 Thornburg Mortgage Securities Trust 2007-5 Wachovia Mortgage Loan Trust LLC, Series 2007-A Trust Wachovia Mortgage Loan Trust, LLC Wachovia Mortgage Loan Trust, LLC Series 2005-B Trust Wachovia Mortgage Loan Trust, LLC Series 2006-A Trust WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust WAMU Mortgage Pass-Through Certificates Series 2005-AR12 Trust Wamu Mortgage Pass-Through Certificates Series 2005-AR14 Trust WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust

81744LAA2 81744LAL8 81744MAA0 81744MAM4 81744JAA7 78473TAA8 85554NAD2 85554NAA8 78473WAA1 855541AA6 863579SQ2 863579UL0 863579VH8 863579VP0 863579WZ7 863579XM5 863579A32 863579A24 863579B23 863579B72 863579K31 863579L48 863579KY3 863579RP5 86361BAA5 86361BAE7 86359LPD5 86359B2N0 86359DEU7 86359DJH1 86359DJH1 86359DJH1 86359DJH1 86359DQK6 86359DSB4 86359B3W9 863576AA2 863576BB9 225470S87 885220GZ0 885220HM8 885220HZ9 885220JN4 885220KE2 885220KS1 88522AAA9 88522RAA2 88522NAA1 88522EAA1 88522WAA1 88522XAA9 88522YAA7 88522TAA8 92979DAA3 92977YAA9 92977YBN0 92977TAA0 92922FW20 92922F3F3 92922F4A3 92922F6W3

650,005,000 408,303,000 440,862,000 305,874,000 164,946,961 731,776,775 198,097,000 544,883,800 777,347,152 596,648,002 716,828,943 1,042,956,480 690,842,400 554,833,000 1,270,490,000 762,746,000 297,818,800 316,509,000 572,081,000 688,177,000 433,542,000 679,335,000 1,430,306,458 495,013,231 287,221,562 368,442,610 959,200,037 1,299,875,209 1,705,831,792 284,006,963 299,442,079 207,727,638 99,462,349 1,050,735,513 668,674,040 297,477,845 854,722,282 1,704,139,800 375,535,683 1,265,105,776 1,609,321,899 2,746,381,172 1,454,401,454 1,949,826,957 947,522,751 1,663,981,913 2,686,936,175 1,293,912,633 1,456,459,703 1,313,237,886 1,494,792,756 1,442,387,999 781,825,168 292,751,719 448,544,894 422,156,165 403,179,920 936,457,393 1,054,246,241 1,449,939,913 924,385,187

2.08 10.81 2.25 16.55 16.72 11.51 10.21 11.22 11.89 4.12 8.82 7.16 9.12 5.91 10.38 7.97 17.99 6.49 16.67 8.55 19.07 18.30 5.06 6.11 16.42 18.74 1.69 2.38 1.97 1.29 1.62 2.69 4.57 5.51 4.32 4.04 2.56 1.26 9.71 0.85 1.26 2.44 2.61 2.88 2.26 3.90 3.14 3.44 5.48 4.43 10.53 5.97 7.55 11.25 4.95 4.77 4.06 3.26 4.06 5.37 6.82


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Standard & Poor's

Page 11 of 57

WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust WaMu Mortgage Pass-Through Certificates Series 2005-AR3 Trust WaMu Mortgage Pass-Through Certificates Series 2005-AR4 Trust WaMu Mortgage Pass-Through Certificates Series 2005-AR5 Trust WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust WaMu Mortgage Pass-Through Certificates Series 2006-AR6 Trust WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust WaMu Mortgage Pass-Through Certificates Series 2007-HY3 WaMu Mortgage Pass-Through Certificates Series 2007-HY3 WaMu Mortgage Pass-Through Certificates Series 2007-HY3 WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR12 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR12 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR14 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR14 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR16 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR16 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR18 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR18 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR8 Trust WaMu Mortgage Pass-Through Certificates, Series 2006-AR8 Trust Washington Mutual MSC Mortgage Pass-Through Certificates Series 2005-RA1 Trust Washington Mutual MSC Mortgage Pass-Through Certificates Series 2005-RA1 Trust Wells Fargo Mortgage Backed Securities Wells Fargo Mortgage Backed Securities 2005-1 Trust Wells Fargo Mortgage Backed Securities 2005-12 Trust Wells Fargo Mortgage Backed Securities 2005-13 Trust Wells Fargo Mortgage Backed Securities 2005-14 Trust Wells Fargo Mortgage Backed Securities 2005-14 Trust Wells Fargo Mortgage Backed Securities 2005-9 Trust Wells Fargo Mortgage Backed Securities 2005-AR1 Trust Wells Fargo Mortgage Backed Securities 2005-AR1 Trust Wells Fargo Mortgage Backed Securities 2005-AR10 Trust Wells Fargo Mortgage Backed Securities 2005-AR11 Trust Wells Fargo Mortgage Backed Securities 2005-AR11 Trust Wells Fargo Mortgage Backed Securities 2005-AR12 Trust Wells Fargo Mortgage Backed Securities 2005-AR13 Trust Wells Fargo Mortgage Backed Securities 2005-AR14 Trust Wells Fargo Mortgage Backed Securities 2005-AR15 Trust Wells Fargo Mortgage Backed Securities 2005-AR16 Trust Wells Fargo Mortgage Backed Securities 2005-AR16 Trust Wells Fargo Mortgage Backed Securities 2005-AR7 Trust Wells Fargo Mortgage Backed Securities 2005-AR8 Trust Wells Fargo Mortgage Backed Securities 2005-AR9 Trust Wells Fargo Mortgage Backed Securities 2006-10 Trust Wells Fargo Mortgage Backed Securities 2006-4 Trust Wells Fargo Mortgage Backed Securities 2006-4 Trust Wells Fargo Mortgage Backed Securities 2006-8 Trust Wells Fargo Mortgage Backed Securities 2006-9 Trust Wells Fargo Mortgage Backed Securities 2006-AR1 Trust Wells Fargo Mortgage Backed Securities 2006-AR10 Trust

92922F8K7 9393362A0 92922FF94 92922FL55 92922FQ27 93363EAH8 93363EAA3 92925CDQ2 93363BAA9 92925VAH3 92925VAA8 92925VAM2 92926UAF8 92926UAA9 933634AE7 933634AJ6 933634AA5 933636AG7 933636AA0 933636AJ1 93363NAK1 93363NAA3 93363PAA8 93363PAH3 92925GAG8 92925GAA1 933637AG5 933637AA8 93362FAA1 93362FAF0 9393364J9

999,615,772 750,412,009 750,504,106 501,075,886 851,694,372 201,564,000 1,141,660,000 335,256,076 452,286,241 330,109,000 1,409,176,000 1,302,028,000 207,975,000 1,383,123,000 386,896,000 1,409,120,000 1,206,001,000 377,618,000 1,063,422,000 262,958,000 249,790,000 1,463,589,000 1,323,980,000 378,265,000 506,212,000 952,098,000 431,063,000 1,139,194,000 588,827,000 632,824,000 179,728,000

7.67 2.37 1.96 2.72 3.56 6.01 9.38 4.57 5.41 7.98 17.30 15.04 10.74 15.59 12.37 6.78 19.07 9.41 17.90 10.48 8.79 10.37 11.91 8.89 9.87 12.28 12.67 15.83 11.16 6.55 1.48

9393364G5

117,670,600

3.12

94981RAA4 94982EAA2 94983NAA1 94983MAA3 949832AA7 949832AP4 94982WAA2 949781AA6 949781AC2 94983CAA5 94982RAA3 94982RAC9 94983EAA1 94983DAA3 94982DAA4 949835AA0 94981QAV0 94981QAA6 94982PAA7 94982BAA8 94982HAA5 94984EAP7 94983BAA7 94983BAT6 94983SAA0 94980SAA3 94983JAA0 94983YAA7

1,459,496,327 450,615,029 594,921,377 394,334,856 707,008,215 600,465,643 900,380,808 800,630,000 199,628,000 3,519,944,101 297,164,000 238,828,000 1,806,593,862 1,500,693,807 1,000,007,822 692,949,948 750,283,000 2,992,216,100 900,600,726 1,465,943,321 1,693,579,077 825,873,877 603,592,267 350,351,859 1,400,281,557 1,293,979,414 850,233,563 2,942,525,600

0.96 0.16 2.33 0.35 1.97 3.07 1.72 2.06 1.83 1.29 0.14 0.95 1.71 2.00 1.99 3.72 2.09 1.57 1.04 0.97 1.18 2.86 2.35 3.86 3.15 3.46 3.54 8.62


2/4/2010

Standard & Poor's

Page 12 of 57

Wells Fargo Mortgage Backed Securities 2006-AR11 Trust Wells Fargo Mortgage Backed Securities 2006-AR13 Trust Wells Fargo Mortgage Backed Securities 2006-AR2 Trust Wells Fargo Mortgage Backed Securities 2006-AR3 Trust Wells Fargo Mortgage Backed Securities 2006-AR4 Trust Wells Fargo Mortgage Backed Securities 2006-AR8 Trust Wells Fargo Mortgage Backed Securities 2007-1 Trust Wells Fargo Mortgage Backed Securities 2007-10 Trust Wells Fargo Mortgage Backed Securities 2007-11 Trust Wells Fargo Mortgage Backed Securities 2007-12 Trust Wells Fargo Mortgage Backed Securities 2007-13 Trust Wells Fargo Mortgage Backed Securities 2007-14 Trust Wells Fargo Mortgage Backed Securities 2007-14 Trust Wells Fargo Mortgage Backed Securities 2007-15 Trust Wells Fargo Mortgage Backed Securities 2007-16 Trust Wells Fargo Mortgage Backed Securities 2007-16 Trust Wells Fargo Mortgage Backed Securities 2007-2 Trust Wells Fargo Mortgage Backed Securities 2007-2 Trust Wells Fargo Mortgage Backed Securities 2007-4 Trust Wells Fargo Mortgage Backed Securities 2007-5 Trust Wells Fargo Mortgage Backed Securities 2007-8 Trust Wells Fargo Mortgage Backed Securities 2007-AR4 Trust Wells Fargo Mortgage Backed Securities 2007-AR5 Trust Wells Fargo Mortgage Backed Securities 2007-AR6 Trust Wells Fargo Mortgage Backed Securities 2007-AR9 Trust Wells Fargo Mtg Bckd Secs 2006-13 Trust Wells Fargo Mtg Bckd Secs 2006-16 Trust Wells Fargo Mtg Bckd Secs 2006-AR17 Trust

94984CAA4 94984DAA2 94983KAA7 94983GAA6 94983PAA6 94983VAA3 94984WAA0 949837AA6 94985WAA9 94986FAA5 94985LAA3 949834AC9 949834CN3 949797AA2 94986LAA2 94986LAK0 94984XAK6 94984XAK6 94985RAA0 94985PAA4 94986AAA6 94986CAA2 94986DAA0 949794AA9 94986GAA3 94984JAA9 94984YAA6 94984LAA4

792,251,261 783,985,371 4,177,015,535 602,408,868 1,197,886,871 1,487,893,242 600,991,641 1,700,746,271 3,954,809,376 375,715,934 500,014,780 5,000,250,000 560,478,000 1,350,003,645 800,400,000 550,076,000 400,174,000 1,111,164,000 1,800,061,020 461,281,366 2,750,025,946 421,914,997 604,977,737 1,399,536,070 508,489,334 900,505,500 1,504,850,539 696,102,523

6.64 8.24 4.66 4.72 4.22 4.29 6.69 6.43 6.35 1.76 6.51 4.51 0.87 6.86 0.98 9.68 0.71 8.95 7.55 1.53 5.95 21.30 10.65 19.53 7.28 3.44 0.61 8.59

Alt-A RMBS Loss ProjectionsTable 3 Structure-Level Loss Projections For 2005-2007 Vintage Alt-A RMBS Transaction name Adjustable Rate Mortgage Trust 2005-1 Adjustable Rate Mortgage Trust 2005-1 Adjustable Rate Mortgage Trust 2005-10 Adjustable Rate Mortgage Trust 2005-10 Adjustable Rate Mortgage Trust 2005-10 Adjustable Rate Mortgage Trust 2005-11 Adjustable Rate Mortgage Trust 2005-11 Adjustable Rate Mortgage Trust 2005-12 Adjustable Rate Mortgage Trust 2005-12 Adjustable Rate Mortgage Trust 2005-2 Adjustable Rate Mortgage Trust 2005-2 Adjustable Rate Mortgage Trust 2005-3 Adjustable Rate Mortgage Trust 2005-3 Adjustable Rate Mortgage Trust 2005-4 Adjustable Rate Mortgage Trust 2005-4 Adjustable Rate Mortgage Trust 2005-5 Adjustable Rate Mortgage Trust 2005-5 Adjustable Rate Mortgage Trust 2005-6A Adjustable Rate Mortgage Trust 2005-6A Adjustable Rate Mortgage Trust 2005-7 Adjustable Rate Mortgage Trust 2005-7 Adjustable Rate Mortgage Trust 2005-8 Adjustable Rate Mortgage Trust 2005-8 Adjustable Rate Mortgage Trust 2005-9 Adjustable Rate Mortgage Trust 2005-9 Adjustable Rate Mortgage Trust 2006-1 Adjustable Rate Mortgage Trust 2006-1 Adjustable Rate Mortgage Trust 2006-2 CUSIP 007036FU5 007036FN1 007036TM8 007036TP1 007036TA4 007036UQ7 007036UX2 2254W0MM4 2254W0MD4 007036GW0 007036GR1 007036JB3 007036HU3 007036KK1 007036KB1 007036LV6 007036LG9 007036PA8 007036PG5 007036NB8 007036MQ6 007036QR0 007036QB5 007036SE7 007036RR9 225470B93 225470A78 007034AQ4 Original structure balance ($) 416,590,179 565,052,827 385,850,148 240,739,561 708,615,916 357,617,264 670,200,017 305,272,736 631,489,396 609,918,075 596,772,617 344,957,513 739,211,864 428,120,735 598,246,691 484,201,136 588,913,028 193,963,400 270,882,163 417,804,621 713,664,491 528,904,602 1,018,560,166 496,019,971 470,466,891 279,471,076 1,070,054,645 197,894,355 Loss projection (%) 8.53 4.94 20.18 3.23 7.81 22.40 16.58 23.59 17.67 5.78 4.86 7.89 4.21 8.60 5.27 10.15 6.70 6.08 9.37 11.86 6.64 17.35 7.47 14.38 8.12 27.81 21.08 28.05


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Standard & Poor's

Page 13 of 57

Adjustable Rate Mortgage Trust 2006-2 Adjustable Rate Mortgage Trust 2006-2 Adjustable Rate Mortgage Trust 2006-3 Adjustable Rate Mortgage Trust 2006-3 Adjustable Rate Mortgage Trust 2007-1 Adjustable Rate Mortgage Trust 2007-1 Adjustable Rate Mortgage Trust 2007-2 Adjustable Rate Mortgage Trust 2007-2 Adjustable Rate Mortgage Trust 2007-3 Alliance Bancorp Trust 2007-OA1 Alternative Ln Trust 2006-30T1 Alternative Ln Trust 2006-31CB Alternative Ln Trust 2006-32CB Alternative Ln Trust 2006-34 Alternative Ln Trust 2006-35CB Alternative Ln Trust 2006-36T2 Alternative Ln Trust 2006-J6 Alternative Ln Trust 2006-J7 Alternative Ln Trust 2006-J7 Alternative Ln Trust 2006-OA14 Alternative Ln Trust 2006-OA17 Alternative Ln Trust 2006-OC8 Alternative Loan Trust 2006-19CB Alternative Loan Trust 2005-10CB Alternative Loan Trust 2005-11CB Alternative Loan Trust 2005-13CB Alternative Loan Trust 2005-14 Alternative Loan Trust 2005-14 Alternative Loan Trust 2005-16 Alternative Loan Trust 2005-17 Alternative Loan Trust 2005-17 Alternative Loan Trust 2005-18CB Alternative Loan Trust 2005-19CB Alternative Loan Trust 2005-1CB Alternative Loan Trust 2005-1CB Alternative Loan Trust 2005-2 Alternative Loan Trust 2005-20CB Alternative Loan Trust 2005-21CB Alternative Loan Trust 2005-22T1 Alternative Loan Trust 2005-23CB Alternative Loan Trust 2005-24 Alternative Loan Trust 2005-24 Alternative Loan Trust 2005-25T1 Alternative Loan Trust 2005-26CB Alternative Loan Trust 2005-27 Alternative Loan Trust 2005-28CB Alternative Loan Trust 2005-29CB Alternative Loan Trust 2005-30CB Alternative Loan Trust 2005-31 Alternative Loan Trust 2005-31 Alternative Loan Trust 2005-32T1 Alternative Loan Trust 2005-33CB Alternative Loan Trust 2005-34CB Alternative Loan Trust 2005-36 Alternative Loan Trust 2005-36 Alternative Loan Trust 2005-37T1 Alternative Loan Trust 2005-38 Alternative Loan Trust 2005-3CB Alternative Loan Trust 2005-4 Alternative Loan Trust 2005-40CB Alternative Loan Trust 2005-41

007034AA9 007034AJ0 00703QAD4 00703QAA0 007037AE4 007037AA2 00703AAA5 00703AAD9 00703RAA8 01852TAA1 02146VAA0 02148HAA9 02147XAA5 02148AAA4 02148CAA0 02146XAA6 23244EAA5 23244FAV6 23244FAA2 02146SAA7 12668PAA0 232434AA8 02147QAA0 12667GAW3 12667GHY2 12667GAA1 12667GBZ5 12667GCB7 12667GMC4 12667GRV7 12667GSB0 12667GFB4 12667GFY4 12667F2G9 12667F2Y0 12667F2A2 12667GPT4 12667GKA0 12667GGN7 12667GLB7 12667GNS8 12667GNY5 12667GRB1 12667GTJ2 12667GL76 12667GE82 12667GUD3 12667GL27 12667GYX5 12667GZB2 12667GC68 12667GB44 12667GW41 12667GA52 12667GA29 12667G2T9 12667GY98 12667FW76 12667F6Y6 12667G5G4 12667G3G6

990,475,712 446,911,776 1,143,822,053 321,282,319 816,457,685 608,818,363 194,511,405 469,178,876 628,806,280 319,128,991 475,000,000 874,000,000 624,999,095 202,990,061 624,988,537 744,968,434 187,217,508 158,057,786 195,824,093 954,390,022 1,594,086,056 1,703,286,906 1,572,000,000 1,144,000,000 1,156,749,405 737,000,000 98,408,621 1,156,125,902 654,074,824 891,410,399 277,460,482 749,016,792 419,000,000 707,000,000 375,000,000 262,825,784 1,150,982,699 731,000,000 265,000,000 724,000,000 579,334,918 875,359,710 296,000,000 500,000,000 1,561,780,887 841,999,811 277,000,000 527,000,000 600,858,775 399,571,054 360,000,000 546,000,000 421,000,000 397,422,956 391,935,195 349,000,000 1,864,002,400 1,392,000,000 369,500,000 368,000,000 794,923,498

5.93 20.08 36.21 13.83 44.69 20.99 14.74 42.24 43.53 51.72 18.06 12.74 13.80 19.79 15.08 24.22 13.73 39.65 41.62 30.12 34.42 41.05 10.77 2.98 3.45 3.25 10.67 9.91 8.75 9.25 16.39 3.14 3.16 3.54 5.29 6.82 4.78 4.42 9.30 3.80 11.40 9.55 8.03 4.75 13.93 5.92 5.83 4.57 15.39 11.58 9.06 6.38 5.37 16.81 11.11 10.64 14.47 3.54 5.46 5.79 16.41


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Page 14 of 57

Alternative Loan Trust 2005-42CB Alternative Loan Trust 2005-43 Alternative Loan Trust 2005-44 Alternative Loan Trust 2005-45 Alternative Loan Trust 2005-47CB Alternative Loan Trust 2005-48T1 Alternative Loan Trust 2005-50CB Alternative Loan Trust 2005-51 Alternative Loan Trust 2005-52CB Alternative Loan Trust 2005-53T2 Alternative Loan Trust 2005-54CB Alternative Loan Trust 2005-56 Alternative Loan Trust 2005-58 Alternative Loan Trust 2005-59 Alternative Loan Trust 2005-60T1 Alternative Loan Trust 2005-61 Alternative Loan Trust 2005-61 Alternative Loan Trust 2005-62 Alternative Loan Trust 2005-63 Alternative Loan Trust 2005-64CB Alternative Loan Trust 2005-65CB Alternative Loan Trust 2005-69 Alternative Loan Trust 2005-6CB Alternative Loan Trust 2005-70CB Alternative Loan Trust 2005-71 Alternative Loan Trust 2005-72 Alternative Loan Trust 2005-73CB Alternative Loan Trust 2005-74T1 Alternative Loan Trust 2005-75CB Alternative Loan Trust 2005-76 Alternative Loan Trust 2005-77T1 Alternative Loan Trust 2005-77T1 Alternative Loan Trust 2005-79CB Alternative Loan Trust 2005-7CB Alternative Loan Trust 2005-80CB Alternative Loan Trust 2005-81 Alternative Loan Trust 2005-82 Alternative Loan Trust 2005-84 Alternative Loan Trust 2005-85CB Alternative Loan Trust 2005-86CB Alternative Loan Trust 2005-9CB Alternative Loan Trust 2005-AR1 Alternative Loan Trust 2005-IM1 Alternative Loan Trust 2005-J1 Alternative Loan Trust 2005-J10 Alternative Loan Trust 2005-J11 Alternative Loan Trust 2005-J12 Alternative Loan Trust 2005-J12 Alternative Loan Trust 2005-J13 Alternative Loan Trust 2005-J14 Alternative Loan Trust 2005-J2 Alternative Loan Trust 2005-J3 Alternative Loan Trust 2005-J4 Alternative Loan Trust 2005-J5 Alternative Loan Trust 2005-J6 Alternative Loan Trust 2005-J7 Alternative Loan Trust 2005-J8 Alternative Loan Trust 2005-J9 Alternative Loan Trust 2006-13T1 Alternative Loan Trust 2006-14CB Alternative Loan Trust 2006-17T1

12667G4S9 12667G5S8 12667G3L5 12667G6J7 12668AAA3 12668AFG5 12668ALH6 12668ACG8 12668ABG9 12668AKN4 12668ANT8 12668AGN9 12668AWW1 12668AEV3 12668AUQ6 12668AVL6 12668AVP7 12668ATN5 12668AXB6 12668AA21 12668A2A2 12668AN27 12667F5C5 12668A2K0 12668AH65 12668A3N3 12668A3K9 12668AL37 12668AF67 12668BDC4 12668BCF8 12668BCK7 12668BAA1 12667F4C6 12668BGC1 12668BBN2 12668A5X9 12668BAT0 12668BEE9 12668BFA6 12667GEK5 12668A4P7 12668A4B8 12667F3T0 12667G4G5 12668AHZ1 12668ASP1 12668ASY2 12668AB79 12668AP82 12667F5W1 12667GDA8 12667GMZ3 12667GHA4 12667GVB6 12667GF32 12667GH89 12667G3J0 12668BA29 021468AA1 02146AAA6

420,000,000 453,642,141 800,610,482 1,495,174,856 419,000,000 400,000,000 446,231,985 1,826,103,638 525,000,000 335,588,758 969,000,000 2,569,829,049 800,000,000 2,250,000,000 425,999,932 489,220,956 280,530,581 1,603,926,865 731,236,069 849,418,222 988,531,986 504,721,996 1,158,000,000 497,499,280 173,699,711 741,706,622 363,723,729 369,985,261 417,996,122 1,801,529,620 464,990,531 600,000,000 325,455,036 1,028,000,000 1,275,722,231 943,949,346 345,692,010 957,813,651 1,270,651,967 1,000,000,000 626,000,000 770,873,222 379,910,436 868,371,344 513,900,000 603,305,122 137,738,406 471,330,748 250,813,880 511,100,000 639,946,735 507,775,066 674,633,227 315,241,773 197,445,552 234,856,849 196,899,609 264,574,380 499,726,353 524,999,965 479,999,936

8.07 9.64 16.56 17.40 9.10 11.65 8.40 24.87 6.07 14.12 8.28 26.86 30.88 25.90 10.87 13.49 24.88 29.64 20.38 8.01 7.14 24.87 3.35 7.23 24.50 25.07 7.42 13.58 6.06 25.88 15.75 14.16 12.23 3.20 15.08 37.08 32.84 23.81 8.64 10.71 3.95 30.47 29.47 2.21 8.11 8.21 11.34 25.05 8.69 9.87 4.54 4.30 6.57 5.56 3.42 4.58 4.34 5.52 14.73 14.74 24.95


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Page 15 of 57

Alternative Loan Trust 2006-18CB Alternative Loan Trust 2006-20CB Alternative Loan Trust 2006-21CB Alternative Loan Trust 2006-23CB Alternative Loan Trust 2006-24CB Alternative Loan Trust 2006-25CB Alternative Loan Trust 2006-26CB Alternative Loan Trust 2006-27CB Alternative Loan Trust 2006-28CB Alternative Loan Trust 2006-29T1 Alternative Loan Trust 2006-39CB Alternative Loan Trust 2006-40T1 Alternative Loan Trust 2006-41CB Alternative Loan Trust 2006-41CB Alternative Loan Trust 2006-42 Alternative Loan Trust 2006-43CB Alternative Loan Trust 2006-43CB Alternative Loan Trust 2006-45T1 Alternative Loan Trust 2006-46 Alternative Loan Trust 2006-4CB Alternative Loan Trust 2006-5T2 Alternative Loan Trust 2006-6CB Alternative Loan Trust 2006-7CB Alternative Loan Trust 2006-8T1 Alternative Loan Trust 2006-9T1 Alternative Loan Trust 2006-HY10 Alternative Loan Trust 2006-HY11 Alternative Loan Trust 2006-HY12 Alternative Loan Trust 2006-HY13 Alternative Loan Trust 2006-HY13 Alternative Loan Trust 2006-HY3 Alternative Loan Trust 2006-J1 Alternative Loan Trust 2006-J2 Alternative Loan Trust 2006-J3 Alternative Loan Trust 2006-J4 Alternative Loan Trust 2006-J5 Alternative Loan Trust 2006-J8 Alternative Loan Trust 2006-OA1 Alternative Loan Trust 2006-OA10 Alternative Loan Trust 2006-OA11 Alternative Loan Trust 2006-OA12 Alternative Loan Trust 2006-OA16 Alternative Loan Trust 2006-OA18 Alternative Loan Trust 2006-OA19 Alternative Loan Trust 2006-OA2 Alternative Loan Trust 2006-OA21 Alternative Loan Trust 2006-OA22 Alternative Loan Trust 2006-OA3 Alternative Loan Trust 2006-OA6 Alternative Loan Trust 2006-OA7 Alternative Loan Trust 2006-OA8 Alternative Loan Trust 2006-OA9 Alternative Loan Trust 2006-OC1 Alternative Loan Trust 2006-OC10 Alternative Loan Trust 2006-OC11 Alternative Loan Trust 2006-OC2 Alternative Loan Trust 2006-OC3 Alternative Loan Trust 2006-OC4 Alternative Loan Trust 2006-OC5 Alternative Loan Trust 2006-OC6 Alternative Loan Trust 2006-OC7

02147FAA4 02147MAA9 02147GAA2 02147RAA8 02146TAA5 02147VAA9 02147WAA7 02147YAA3 02147TAA4 02147PAA2 02148JAA5 02148KAA2 02149CAA9 02149CAR2 02148YAA2 02149FAX2 02149FAA2 02149JAA4 02147JAA6 12668BPM9 12668BMU4 12668BB28 12668BXS7 12668BME0 12668BVA8 12668BA86 021466AA5 02146PAA3 02149DAA7 02149DAD1 12668BNF6 12668BJX2 12668BTD5 021469AA9 23242WAA7 12668EAA5 23245LAA8 126694A24 02146QAA1 02147DAA9 23243AAA4 23242GAA2 23244GAA0 12668RAA6 126694R75 23245QAD1 23245PAA9 12668BB44 12668BD91 02146BAA4 02147CAA1 02146YAA4 12668BJD6 23245FAA1 23244JAA4 12668BRC9 021464AA0 021455AA8 02147HAA0 23243DAA8 23243VAA8

1,049,999,240 558,999,788 524,999,565 997,998,621 887,999,462 522,999,072 399,999,712 312,702,676 523,997,502 794,499,936 817,981,805 599,978,354 664,000,000 482,000,000 249,985,911 119,996,943 764,439,114 1,125,986,508 299,999,588 689,889,468 374,889,854 2,183,990,105 555,285,579 360,029,660 529,000,000 539,680,614 447,967,366 802,343,559 245,013,285 646,761,277 254,799,399 790,647,594 247,313,000 255,377,377 432,897,657 428,652,353 469,065,745 1,068,159,354 2,782,512,672 1,250,968,035 1,012,464,086 1,351,244,913 503,019,431 1,225,000,000 1,750,428,288 1,315,000,000 385,374,187 756,979,250 1,043,247,104 1,183,444,985 609,137,086 950,774,710 1,200,470,313 808,234,514 1,100,000,000 836,643,503 674,960,010 574,102,283 792,249,711 627,738,232 584,293,914

14.77 21.61 13.11 18.18 11.40 12.35 20.13 11.63 15.85 20.36 19.83 26.10 14.30 14.15 20.83 36.49 14.87 21.48 19.60 11.66 18.27 11.36 17.92 20.08 16.84 20.42 26.00 18.37 22.57 15.74 28.13 12.57 11.91 11.13 15.18 21.59 24.41 23.19 31.98 33.32 30.02 34.87 32.80 37.04 29.80 31.58 31.62 24.55 26.38 28.55 29.22 30.75 31.54 44.23 44.39 34.47 37.88 36.13 37.64 45.20 41.38


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Page 16 of 57

Alternative Loan Trust 2006-OC9 Alternative Loan Trust 2007-10CB Alternative Loan Trust 2007-11T1 Alternative Loan Trust 2007-12T1 Alternative Loan Trust 2007-13 Alternative Loan Trust 2007-15CB Alternative Loan Trust 2007-16CB Alternative Loan Trust 2007-17CB Alternative Loan Trust 2007-18CB Alternative Loan Trust 2007-19 Alternative Loan Trust 2007-1T1 Alternative Loan Trust 2007-20 Alternative Loan Trust 2007-21CB Alternative Loan Trust 2007-23CB Alternative Loan Trust 2007-24 Alternative Loan Trust 2007-25 Alternative Loan Trust 2007-2CB Alternative Loan Trust 2007-3T1 Alternative Loan Trust 2007-4CB Alternative Loan Trust 2007-5CB Alternative Loan Trust 2007-6 Alternative Loan Trust 2007-7T2 Alternative Loan Trust 2007-8CB Alternative Loan Trust 2007-9T1 Alternative Loan Trust 2007-HY2 Alternative Loan Trust 2007-HY3 Alternative Loan Trust 2007-HY4 Alternative Loan Trust 2007-HY6 Alternative Loan Trust 2007-HY7C Alternative Loan Trust 2007-HY8C Alternative Loan Trust 2007-HY9 Alternative Loan Trust 2007-J1 Alternative Loan Trust 2007-J1 Alternative Loan Trust 2007-OA10 Alternative Loan Trust 2007-OA11 Alternative Loan Trust 2007-OA2 Alternative Loan Trust 2007-OA3 Alternative Loan Trust 2007-OA4 Alternative Loan Trust 2007-OA6 Alternative Loan Trust 2007-OA7 Alternative Loan Trust 2007-OA8 Alternative Loan Trust 2007-OA9 Alternative Loan Trust 2007-OH1 Alternative Loan Trust 2007-OH2 Alternative Loan Trust 2007-OH3 American Home Mortgage Assets Trust 2005-1 American Home Mortgage Assets Trust 2005-1 American Home Mortgage Assets Trust 2005-2 American Home Mortgage Assets Trust 2005-2 American Home Mortgage Assets Trust 2006-1 American Home Mortgage Assets Trust 2006-2 American Home Mortgage Assets Trust 2006-3 American Home Mortgage Assets Trust 2006-4 American Home Mortgage Assets Trust 2006-5 American Home Mortgage Assets Trust 2006-6 American Home Mortgage Assets Trust 2007-1 American Home Mortgage Assets Trust 2007-2 American Home Mortgage Assets Trust 2007-3 American Home Mortgage Assets Trust 2007-3 American Home Mortgage Assets Trust 2007-4 American Home Mortgage Assets Trust 2007-5

23245GAA9 02150HAA4 02150GAA6 02150LAA5 02150MAA3 02151CAA4 02152AAA7 02151HAA3 02151NAA0 02151AAA8 23246KAA9 02151LAA4 02151FAA7 02151EAA0 02151GAA5 02151UAA4 02149HAA8 02149VAA7 02148FAA3 02150EAA1 02150AAA9 02147BAA3 02150FAA8 02150JAA0 02148LAA0 02148DAA8 02150QAA4 02151JAA9 02150VAA3 02150XAA9 02152BAA5 02149MCH0 02149MAA7 02149QAA8 02151WAA0 02149LAA9 02150TAA8 02150DAA3 02150PAA6 126680AA5 02148GAA1 02150YAA7 02150KAA7 02151RAA1 02151DAA2 02660VAE8 02660VAA6 02660VAY4 02660VBH0 02660WAA4 02660XAA2 02660UAA8 02660LAA8 02660KAA0 008684AA0 02660BAA0 026930AA5 026935AA4 026935AH9 026934AA7 026936AA2

550,381,384 750,000,000 591,471,731 867,000,000 209,971,373 673,996,734 1,626,985,343 749,978,305 724,992,781 1,182,451,918 499,962,260 299,999,650 775,000,000 1,038,000,000 548,972,720 671,919,651 1,027,991,186 802,990,861 584,995,652 1,577,994,466 370,965,058 370,953,236 751,737,398 844,950,991 518,558,833 997,240,134 1,460,433,400 872,761,213 1,028,998,652 458,503,791 581,012,001 199,177,324 392,363,845 552,265,412 517,324,844 669,524,121 1,142,765,110 726,337,988 569,747,978 783,087,176 670,057,311 405,337,994 507,808,916 1,003,671,995 587,463,192 462,602,618 335,392,244 414,276,323 149,190,221 1,126,157,063 1,206,537,988 1,690,839,858 1,514,539,850 1,528,015,388 1,256,055,315 1,505,808,822 1,742,877,754 445,571,205 640,127,665 362,975,274 776,597,903

41.83 14.35 22.86 21.31 17.40 11.95 15.18 10.78 12.54 23.35 22.65 19.90 8.94 16.10 39.04 24.25 12.80 19.27 14.06 15.81 17.28 25.13 13.19 23.11 30.80 17.58 24.72 37.47 28.85 29.28 35.28 32.23 23.94 46.95 48.88 39.08 34.22 31.79 36.06 38.22 39.87 46.43 32.01 25.69 32.64 11.51 6.64 9.44 20.09 17.05 22.11 25.11 26.84 26.17 30.85 35.29 34.75 47.20 37.53 33.45 42.69


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Page 17 of 57

American Home Mortgage Investment Trust 2005-1 American Home Mortgage Investment Trust 2005-1 American Home Mortgage Investment Trust 2005-1 American Home Mortgage Investment Trust 2005-2 American Home Mortgage Investment Trust 2005-2 American Home Mortgage Investment Trust 2005-2 American Home Mortgage Investment Trust 2005-2 American Home Mortgage Investment Trust 2005-3 American Home Mortgage Investment Trust 2005-4 American Home Mortgage Investment Trust 2006-1 American Home Mortgage Investment Trust 2006-1 American Home Mortgage Investment Trust 2006-2 American Home Mortgage Investment Trust 2006-2 American Home Mortgage Investment Trust 2006-2 American Home Mortgage Investment Trust 2006-3 American Home Mortgage Investment Trust 2006-3 American Home Mortgage Investment Trust 2006-3 American Home Mortgage Investment Trust 2007-1 American Home Mortgage Investment Trust 2007-2 American Home Mortgage Investment Trust 2007-A Asset-Backed Certificates Trust 2006-IM1 Banc of America Alternative Ln Trust 2006-7 Banc of America Alternative Loan Trust 2006-6 Banc of America Alternative Loan Trust 2006-8 Banc of America Alternative Loan Trust 2007-1 Banc of America Alternative Loan Trust 2007-2 Banc of America Fdg 2006-7 Trust Banc of America Fdg 2006-H Trust Banc of America Fdg 2006-H Trust Banc of America Funding 2006-A Trust Banc of America Funding 2006-A Trust Banc of America Funding 2006-A Trust Banc of America Funding 2005-A Trust Banc of America Funding 2005-A Trust Banc of America Funding 2005-A Trust Banc of America Funding 2005-B Trust Banc of America Funding 2005-B Trust Banc of America Funding 2005-C Trust Banc of America Funding 2005-E Trust Banc of America Funding 2005-E Trust Banc of America Funding 2005-F Trust Banc of America Funding 2005-F Trust Banc of America Funding 2005-G Trust Banc of America Funding 2005-H Banc of America Funding 2005-H Banc of America Funding 2006-8T2 Trust Banc of America Funding 2006-D Trust Banc of America Funding 2006-D Trust Banc of America Funding 2006-D Trust Banc of America Funding 2006-D Trust Banc of America Funding 2006-G Trust Banc of America Funding 2006-I Trust Banc of America Funding 2006-I Trust Banc of America Funding 2006-I Trust Banc of America Funding 2007-1 Trust Banc of America Funding 2007-1 Trust Banc of America Funding 2007-3 Trust Banc of America Funding 2007-3 Trust Banc of America Funding 2007-3 Trust Banc of America Funding 2007-4 Trust Banc of America Funding 2007-5 Trust

02660TDK6 02660TDZ3 02660TCZ4 02660TEN9 02660TER0 02660TEV1 02660TEK5 02660TFV0 02660TGN7 02660THY2 02660TJE4 02660YAK8 02660YAP7 02660YAT9 026929AA7 026929AG4 026929AL3 026932AA1 02660CAA8 026931AA3 126670SN9 059469AA4 059487AA6 06050AAA1 059496AA7 059475AA1 05951KAX1 05950PAS2 05950PAA1 058927AA2 058927AD6 058927AL8 05946XQX4 05946XQY2 05946XQQ9 05946XRW5 05946XRT2 05946XUB7 05946XXH1 05946XXT5 05946XYP2 05946XYV9 05946XB85 05946XG98 05946XJ79 05951UAA9 058933AA0 058933AN2 058933AD4 058933AT9 05950MAA8 05951VAV1 05951VAA7 05951VAF6 05951FAX2 05951FAA2 059515BB1 059515AA4 059515AU0 05953YAA9 059523AX8

460,000,000 170,000,000 3,370,000,000 1,157,489,611 1,379,728,601 240,241,965 2,982,823,758 736,973,839 2,664,529,324 1,706,122,733 275,852,340 346,249,586 134,800,011 183,798,431 701,622,577 351,540,303 572,790,691 1,972,048,479 881,630,055 185,081,297 700,000,400 670,632,423 309,089,231 510,161,065 356,213,915 400,985,066 404,141,969 1,208,214,776 643,325,444 385,437,820 516,260,758 201,321,743 158,132,581 312,065,760 348,245,108 774,939,273 232,194,990 495,361,119 976,930,884 432,102,100 240,171,163 793,998,819 231,781,270 462,203,373 354,997,720 333,329,874 604,510,384 465,796,414 267,601,527 449,432,345 2,529,203,733 557,362,230 758,117,300 204,822,402 398,712,272 442,674,689 101,368,303 599,140,562 190,605,083 399,711,071 54,660,571

11.03 6.26 6.46 6.99 8.73 7.25 9.16 9.72 13.85 13.51 14.58 27.24 23.21 23.13 27.23 24.69 21.76 36.96 27.89 25.54 28.98 16.62 13.49 14.94 17.81 23.07 30.28 32.47 13.84 3.14 19.19 6.79 1.13 9.68 6.15 10.43 6.37 12.22 4.88 12.07 16.80 11.20 2.10 9.44 15.19 24.28 25.59 6.84 8.67 17.96 10.15 16.70 1.37 10.37 10.48 28.92 0.77 35.11 1.25 30.56 47.58


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Standard & Poor's

Page 18 of 57

Banc of America Funding 2007-5 Trust Banc of America Funding 2007-6 Trust Banc of America Funding 2007-7 Trust Banc of America Funding 2007-7 Trust Banc of America Funding 2007-8 Trust Banc of America Funding 2007-8 Trust Banc of America Funding 2007-A Trust Banc of America Funding 2007-B Trust Banc of America Funding 2007-C Trust Banc of America Funding 2007-D Trust Banc of America Funding 2007-D Trust Banc of America Funding 2007-E Trust Banc of America Mortgage 2007-2 Trust Bank of America Funding 2007-2 Trust Bank of America Funding 2007-2 Trust BankUnited Trust 2005-1 BCAP LLC Trust 2006-AA1 BCAP LLC Trust 2006-AA2 BCAP LLC Trust 2007-AA1 BCAP LLC Trust 2007-AA1 BCAP LLC Trust 2007-AA2 BCAP LLC Trust 2007-AA2 BCAP LLC Trust 2007-AA3 BCAP LLC Trust 2007-AA3 BCAP LLC Trust 2007-AA4 BCAP LLC Trust 2007-AA4 BCAP LLC Trust 2007-AA5 Bear Stearns Alt A Trust 2005-4 Bear Stearns Alt A Trust 2005-4 Bear Stearns ALT-A Trust 2005-1 Bear Stearns ALT-A Trust 2005-10 Bear Stearns ALT-A Trust 2005-10 Bear Stearns ALT-A Trust 2005-2 Bear Stearns ALT-A Trust 2005-2 Bear Stearns ALT-A Trust 2005-3 Bear Stearns ALT-A Trust 2005-5 Bear Stearns ALT-A Trust 2005-5 Bear Stearns ALT-A Trust 2005-7 Bear Stearns ALT-A Trust 2005-7 Bear Stearns ALT-A Trust 2005-8 Bear Stearns ALT-A Trust 2005-8 Bear Stearns ALT-A Trust 2005-9 Bear Stearns ALT-A Trust 2005-9 Bear Stearns ALT-A Trust 2006-1 Bear Stearns ALT-A Trust 2006-1 Bear Stearns ALT-A Trust 2006-2 Bear Stearns ALT-A Trust 2006-2 Bear Stearns Alt-A Trust 2006-3 Bear Stearns Alt-A Trust 2006-3 Bear Stearns Alt-A Trust 2006-3 Bear Stearns ALT-A Trust 2006-4 Bear Stearns ALT-A Trust 2006-4 Bear Stearns ALT-A Trust 2006-4 Bear Stearns ALT-A Trust 2006-5 Bear Stearns ALT-A Trust 2006-5 Bear Stearns ALT-A Trust 2006-6 Bear Stearns ALT-A Trust 2006-6 Bear Stearns ALT-A Trust 2006-6 Bear Stearns ALT-A Trust 2006-7 Bear Stearns ALT-A Trust 2006-7 Bear Stearns Alt-A Trust 2006-8

059523AA8 059526AA1 059529AH0 059529AA5 05953LAJ8 05953LAB5 05952DAA6 05952EAA4 059522AA0 05952GAA9 05952GAR2 05954DAN6 05952FAA1 05951GAA0 05951GAN2 06652DAA7 055294AA0 05530MAA7 05530PAA0 05530PAP7 05530NAA5 05530NAP2 05530VAA7 05530VAN9 05530WAP2 05530WAA5 05531AAA2 07386HSP7 07386HSV4 07386HQG9 07386HA27 07386HA50 07386HQR5 07386HQW4 07386HRU7 07386HTY7 07386HUG4 07386HVG3 07386HVR9 07386HWR8 07386HWZ0 07386HXN6 07386HXZ9 07386HA92 07386HB75 07386HH46 07386HE98 07386HK26 07386HK83 07386HN98 073871AA3 073871AN5 073871BL8 073873AA9 073873AJ0 073868AA9 073868AM3 073868AV3 073875AA4 073875AG1 07387QAA8

491,363,154 440,995,928 471,702,676 160,069,241 254,524,098 319,338,893 718,728,214 470,375,790 643,231,598 606,745,995 364,419,135 577,384,439 420,763,252 427,006,778 569,257,532 493,289,027 290,815,354 1,209,872,028 742,467,000 568,179,000 1,062,155,942 396,769,463 581,791,000 650,193,000 258,178,036 534,538,060 278,342,242 384,003,514 1,659,929,353 813,079,506 766,047,782 1,931,590,366 528,676,117 1,180,506,998 1,232,631,402 804,149,861 1,419,399,175 1,846,248,610 2,148,489,501 1,075,856,102 781,229,736 778,372,109 1,719,212,648 832,579,663 914,056,991 671,932,306 978,322,434 921,237,667 1,115,408,409 1,001,116,922 2,642,014,591 1,387,540,063 1,157,489,713 1,038,129,833 374,957,544 722,702,707 309,389,277 869,401,488 575,842,000 694,083,200 657,382,598

29.81 21.34 36.85 13.61 15.70 36.22 22.80 26.71 20.15 21.67 6.32 46.21 19.26 32.22 13.14 18.18 27.52 32.24 26.38 30.80 36.42 18.40 21.77 27.20 19.59 28.67 39.50 9.80 8.10 7.66 21.46 18.54 7.28 5.95 7.56 8.80 8.37 13.13 12.82 17.74 14.56 19.53 17.20 18.73 20.19 31.46 21.84 28.22 22.15 23.74 31.73 27.91 33.10 35.64 26.91 35.97 29.07 29.29 37.54 19.87 41.18


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Page 19 of 57

Bear Stearns Alt-A Trust 2006-8 Bear Stearns Alt-A Trust 2006-8 Bear Stearns ALT-A Trust 2007-1 Bear Stearns ALT-A Trust 2007-1 Bear Stearns ALT-A Trust 2007-2 Bear Stearns ALT-A Trust 2007-2 Bear Stearns ALT-A Trust 2007-3 Bear Stearns ALT-A Trust II 2007-1 Bear Stearns ARM Trust 2006-4 Bear Stearns ARM Trust 2007-1 Bear Stearns ARM Trust 2007-2 Bear Stearns ARM Trust 2007-4 Bear Stearns Asset Backed Securities I Trust Bear Stearns Asset Backed Securities I Trust 2005-AC1 Bear Stearns Asset Backed Securities I Trust 2005-AC2 Bear Stearns Asset Backed Securities I Trust 2005-AC2 Bear Stearns Asset Backed Securities I Trust 2005-AC3 Bear Stearns Asset Backed Securities I Trust 2005-AC3 Bear Stearns Asset Backed Securities I Trust 2005-AC4 Bear Stearns Asset Backed Securities I Trust 2005-AC5 Bear Stearns Asset Backed Securities I Trust 2005-AC5 Bear Stearns Asset Backed Securities I Trust 2005-AC6 Bear Stearns Asset Backed Securities I Trust 2005-AC6 Bear Stearns Asset Backed Securities I Trust 2005-AC7 Bear Stearns Asset Backed Securities I Trust 2005-AC8 Bear Stearns Asset Backed Securities I Trust 2005-AC9 Bear Stearns Asset Backed Securities I Trust 2006-AC1 Bear Stearns Asset Backed Securities I Trust 2006-AC1 Bear Stearns Asset Backed Securities I Trust 2006-AC2 Bear Stearns Asset Backed Securities I Trust 2006-AC2 Bear Stearns Asset Backed Securities I Trust 2006-AC4 Bear Stearns Asset Backed Securities I Trust 2006-AC5 Bear Stearns Asset Backed Securities I Trust 2006-IM1 Bear Stearns Asset Backed Securities I Trust 2007-AC2 Bear Stearns Asset Backed Securities I Trust 2007-AC3 Bear Stearns Asset Backed Securities I Trust 2007-AC4 Bear Stearns Asset Backed Securities I Trust 2007-AC5 Bear Stearns Asset Backed Securities I Trust 2007-AC6 Bear Stearns Asset Bckd Secs I Trust 2006-ST1 Bear Stearns Asset-Backed Securities I Trust 2006-AC3 Bear Stearns Mortgage Funding Trust 2006-AC1 Bear Stearns Mortgage Funding Trust 2006-AR1 Bear Stearns Mortgage Funding Trust 2006-AR1 Bear Stearns Mortgage Funding Trust 2006-AR4 Bear Stearns Mortgage Funding Trust 2006-AR5 Bear Stearns Mortgage Funding Trust 2006-AR5 Bear Stearns Mortgage Funding Trust 2007-AR1 Bear Stearns Mortgage Funding Trust 2007-AR1 Bear Stearns Mortgage Funding Trust 2007-AR2 Bear Stearns Mortgage Funding Trust 2007-AR3 Bear Stearns Mortgage Funding Trust 2007-AR3 Bear Stearns Mortgage Funding Trust 2007-AR5 Bear Stearns Mortgage Funding Trust 2007-AR5 Bear Stearns Mtg Fdg Trust 2006-AR2 Bear Stearns Mtg Fdg Trust 2006-AR2 Bear Stearns Mtg Fdg Trust 2006-AR3 Bear Stearns Mtg Fdg Trust 2006-AR3 BellaVista Mortgage Trust 2005-1 BellaVista Mortgage Trust 2005-2 ChaseFlex Trust Series 2006-1 ChaseFlex Trust Series 2006-2

07387QAM2 07387QAX8 07386XAA4 07386XAH9 073870AA5 073870AG2 07387RAA6 07389KAA9 073882AA0 073880AA4 07401EAA7 07401CAA1 07389XAA1 073879QE1 073879SL3 073879ST6 073879XD5 073879WQ7 073879YG7 073879A32 073879A99 073879L30 073879M54 073879T24 0738792A5 0738794E5 07387UCE9 07387UCT6 07387UGB1 07387UGP0 07388WAA4 073856AA4 07387UFD8 073854AA9 07386VAA8 07378RAA7 07388BAA0 07387TAA2 073886AA1 07387NAA5 07400XAA6 07401LAA1 07401LAQ6 07401JAA6 07401NAA7 07401NAP4 07401MAA9 07401MAE1 07401TAA4 07401VAA9 07401VAP6 07400NAA8 07400NAS9 07401AAA5 07401AAU1 07400HAA1 07400HAQ6 07820QBL8 07820QCC7 16165LAA8 16165MAA6

509,494,315 214,857,589 405,812,921 462,225,396 453,634,421 322,256,590 919,070,222 1,641,748,827 1,316,895,613 1,002,019,247 1,086,615,227 389,838,258 455,775,288 215,212,063 367,121,271 194,942,789 201,646,245 224,591,233 193,687,965 375,440,019 112,812,329 218,010,467 559,376,264 329,023,025 379,854,264 408,321,837 479,487,431 324,460,696 294,412,298 244,820,737 363,151,282 265,037,284 1,067,806,367 387,871,614 373,991,112 408,200,730 449,904,362 259,073,325 183,957,159 534,547,221 246,386,026 480,298,324 514,209,230 510,658,032 849,583,065 1,023,269,558 287,403,462 818,428,815 801,108,419 390,231,874 936,661,232 441,571,495 690,096,326 694,740,344 427,482,500 433,101,502 378,339,473 911,998,609 449,395,184 475,001,017 400,004,539

25.49 8.36 39.51 31.93 43.55 31.06 40.36 33.86 12.00 14.71 20.19 23.08 29.46 7.29 6.30 6.58 9.47 6.14 11.29 10.64 10.12 7.82 9.66 10.44 15.25 17.51 17.14 16.64 23.55 27.79 18.68 32.87 32.79 27.75 27.37 31.82 24.63 30.03 43.93 27.45 29.16 37.73 33.81 41.30 39.89 38.07 39.74 38.59 40.14 39.57 40.39 26.03 30.73 37.30 36.57 42.43 41.17 2.51 4.57 14.21 21.59


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Page 20 of 57

ChaseFlex Trust Series 2007-1 ChaseFlex Trust Series 2007-2 ChaseFlex Trust Series 2007-3 ChaseFlex Trust Series 2007-3 ChaseFlex Trust Series 2007-M1 ChaseFlex Trust Series 2007-M1 Chevy Chase Funding LLC Chevy Chase Funding LLC Chevy Chase Funding LLC Chevy Chase Funding LLC Chevy Chase Funding LLC Chevy Chase Funding LLC Chevy Chase Funding LLC Chevy Chase Funding LLC Mortgage Backed-Certificates, Series 2006-3 Trust Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2006-2 Trust Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2006-4 Trust Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2007-1 Trust Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2007-2 Trust Chevy Chase Funding LLC Trust, Series 2006-1 CHL Mortgage Pass Through Trust 2005-7 CHL Mortgage Pass Through Trust 2005-7 CHL Mortgage Pass Through Trust 2006-TM1 CHL Mortgage Pass-Through Trust 2005-1 CHL Mortgage Pass-Through Trust 2005-11 CHL Mortgage Pass-Through Trust 2005-11 CHL Mortgage Pass-Through Trust 2005-11 CHL Mortgage Pass-Through Trust 2005-2 CHL Mortgage Pass-Through Trust 2005-22 CHL Mortgage Pass-Through Trust 2005-3 CHL Mortgage Pass-Through Trust 2005-4 CHL Mortgage Pass-Through Trust 2005-9 CHL Mortgage Pass-Through Trust 2005-HYB1 CHL Mortgage Pass-Through Trust 2005-HYB1 CHL Mortgage Pass-Through Trust 2005-HYB8 CHL Mortgage Pass-Through Trust 2005-HYB8 CHL Mortgage Pass-Through Trust 2006-3 CHL Mortgage Pass-Through Trust 2006-3 CHL Mortgage Pass-Through Trust 2006-3 CHL Mortgage Pass-Through Trust 2006-HYB1 CHL Mortgage Pass-Through Trust 2006-HYB4 CHL Mortgage Pass-Through Trust 2006-HYB5 CHL Mortgage Pass-Through Trust 2006-OA4 CHL Mortgage Pass-Through Trust 2006-OA5 CHL Mortgage Pass-Through Trust 2006-OA5 CHL Mortgage Pass-Through Trust 2007-HY6 CHL Mortgage Pass-Through Trust 2007-HYB1 CHL Mortgage Pass-Through Trust 2007-HYB2 CHL Mortgage Pass-Through Trust 2007-J2 Citicorp Mortgage Securities Inc. Citicorp Residential Mortgage Trust Series 2007-2 Citigroup Mortgage Loan Trust 2006-AR6 Citigroup Mortgage Loan Trust 2006-AR6 Citigroup Mortgage Loan Trust 2006-AR7 Citigroup Mortgage Loan Trust 2006-AR7 Citigroup Mortgage Loan Trust 2006-AR9 Citigroup Mortgage Loan Trust 2006-AR9 Citigroup Mortgage Loan Trust 2006-WF2

16165VAA6 16165WAA4 16165AAA2 16165AAD6 16165YAA0 16165YAQ5 16678RDB0 16678RDK0 16678RCT2 16678RDT1 16678REB9 16678REK9 16678RET0 16678Y9A4

450,014,110 600,011,458 344,810,665 415,244,838 473,047,388 480,002,175 584,704,615 860,281,086 1,049,845,425 819,112,982 365,715,990 488,511,902 473,357,662 855,410,958

18.56 23.83 23.33 36.76 28.62 37.17 1.62 3.86 2.77 6.70 6.95 8.19 11.72 20.75

16678WAA4

1,387,884,270

14.56

16678XAA2

562,937,487

27.69

16679AAA1

667,667,707

30.92

16679BAA9

719,104,090

46.62

16678RFB8 12669GNL1 12669GNP2 126694U63 12669GRM5 12669GUH2 12669GUM1 12669GUU3 12669GPN5 126694LS5 12669GTP6 12669GML2 12669GYY1 12669GLJ8 12669GLN9 126694QJ0 126694QE1 126694YJ1 126694YM4 126694YQ5 126694WE4 125431AA4 170256AA9 126694E95 126694M62 126694N46 17025MAA4 22239EAA4 125438AA9 12545EAA4 17308FAA7 17312HAA7 17309RAA0 17309RAG7 172987AA7 172987AU3 17310RAA7 17310RAM1 17309BAA5

1,005,746,518 471,950,426 820,834,587 920,492,265 1,087,916,134 164,892,129 634,762,712 492,852,798 1,243,271,916 594,345,150 1,516,559,419 1,189,885,653 1,694,918,825 202,885,200 344,752,300 368,392,000 238,169,900 566,619,000 261,685,000 229,783,000 1,174,056,501 452,870,239 535,097,397 782,174,327 1,134,619,000 236,553,000 1,218,570,771 636,625,427 633,370,163 415,853,334 278,230,168 863,062,412 774,382,681 697,485,495 445,041,336 501,042,421 411,466,972 227,285,707 1,115,645,847

12.90 1.87 6.65 19.62 6.55 6.91 8.32 6.48 6.40 11.05 7.63 4.79 6.78 8.17 4.83 12.71 10.98 19.56 24.31 21.09 22.72 27.74 29.05 27.90 25.50 28.99 21.09 33.46 29.97 22.46 4.11 7.95 17.95 25.67 14.74 18.96 15.43 12.71 22.25


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Page 21 of 57

Citigroup Mortgage Loan Trust 2007-6 Citigroup Mortgage Loan Trust 2007-6 Citigroup Mortgage Loan Trust 2007-AR1 Citigroup Mortgage Loan Trust 2007-AR5 Citigroup Mortgage Loan Trust 2007-AR5 Citigroup Mortgage Loan Trust 2007-OPX1 Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mortgage Loan Trust Inc. Citigroup Mtg Ln Trust 2006-FX1 CitiMortgage Alternative Loan Trust Series 2007-A5 Citimortgage Alternative Loan Trust Series 2007-A6 CitiMortgage Alternative Loan Trust, Series 2006-A1 CitiMortgage Alternative Loan Trust, Series 2007-A3 CMALT (CitiMortgage Alternative Loan Trust), Series 2006-A2 CMALT (CitiMortgage Alternative Loan Trust), Series 2006-A3 CMALT (CitiMortgage Alternative Loan Trust), Series 2006-A4 CMALT (CitiMortgage Alternative Loan Trust), Series 2006-A5 CMALT (CitiMortgage Alternative Loan Trust), Series 2006-A6 CMALT (CitiMortgage Alternative Loan Trust), Series 2006-A7 CMALT (CitiMortgage Alternative Loan Trust), Series 2007-A1 CMALT (CitiMortgage Alternative Loan Trust), Series 2007-A2 CMALT (CitiMortgage Alternative Loan Trust), Series 2007-A4 CMALT (CitiMortgage Alternative Loan Trust), Series 2007-A8 Credit Suisse First Boston Mortgage Securities Corp. CSAB Mortgage Backed Trust 2006-4 CSAB Mortgage-Backed Trust 2006-1 CSAB Mortgage-Backed Trust 2006-2 CSAB Mortgage-Backed Trust 2007-1 CSAB Mortgage-Backed Trust 2007-1 CSAB Mtg-Bckd Trust 2006-3 CSFB Mortgage-Backed Trust Series 2005-11 CSFB Mortgage-Backed Trust Series 2005-12 CSFB Mortgage-Backed Trust Series 2005-6 CSFB Mortgage-Backed Trust Series 2005-8 CSFB Mortgage-Backed Trust Series 2005-8 CSFB Mortgage-Backed Trust Series 2005-8 CSFB Mortgage-Backed Trust Series 2005-9 CSMC Mortgage Backed Trust 2006-5 CSMC Mortgage Backed Trust 2006-7 CSMC Mortgage Backed Trust 2007-5 CSMC Mortgage Backed Trust 2007-5 CSMC Mortgage-Backed Trust 2006-6 CSMC Mortgage-Backed Trust 2007-1 CSMC Mortgage-Backed Trust 2007-1 CSMC Mortgage-Backed Trust 2007-3 CSMC Mortgage-Backed Trust 2007-3 CSMC Mortgage-Backed Trust Series 2006-3 CSMC Mortgage-Backed Trust Series 2006-3 CSMC Mortgage-Backed Trust Series 2006-4 CSMC Mortgage-Backed Trust Series 2006-4 CSMC Mtg-Bckd Trust 2006-9 CSMC Mtg-Bckd Trust 2006-9 CWABS Asset Backed Certificates Trust 2005-IM1 CWABS Asset Backed Certificates Trust 2005-IM3 CWABS Asset-Backed Certificates Trust 2005-AB4

17312VAS7 17312VAA6 17310UAA0 17311LAA9 17311LAH4 17311FAA2 17307GPB8 17307GTA6 17307GVF2 17307GVT2 17307GTG3 17307GXT0 17307GYD4 17307GA24 17309YAA5 12566WAA8 18976GAA4 17309AAA7 12567AAA5 17309CAA3 17309KAA5 17309VAA1 18974BAA7 12566RAA9 12566TAA5 12566QAA1 12566UAA2 12566VAA0 17313MAA5 225458JU3 12628LAA8 22943HAA4 12627HAA8 12629EAA3 12629EAT2 12628KAA0 2254W0NE1 225470RT2 225458XF0 2254582C1 2254582A5 2254582H0 2254585T1 12637VAA5 22942KBB5 22944BAB4 22944BCY2 22942JAA1 126378AA6 126378AV0 12638PAA7 12638PAT6 225470M26 225470L68 12637HAA6 12637HAT5 126380AA2 126380AE4 1266733V2 126670HY7 126670KJ6

236,963,611 830,811,138 824,102,024 761,066,306 169,957,372 574,669,639 415,249,873 92,108,987 586,360,355 253,439,967 827,048,424 262,942,656 356,050,995 548,656,247 420,588,688 951,677,391 970,728,616 506,973,696 499,778,489 212,250,172 326,426,650 314,003,729 597,989,011 496,781,325 633,459,808 631,157,570 686,145,469 633,127,322 514,114,645 281,610,239 748,985,361 377,668,496 1,003,954,034 445,139,653 248,167,548 805,757,561 318,831,876 518,316,215 215,192,359 583,581,613 345,267,913 226,821,063 492,614,000 402,777,763 595,911,276 377,612,999 680,907,880 546,532,251 711,928,793 523,269,204 701,707,186 641,682,972 431,855,427 639,436,354 719,627,427 194,988,308 394,219,005 493,455,650 897,285,000 1,100,000,000 1,600,000,000

42.36 39.07 29.47 21.27 18.76 35.61 3.68 3.92 9.24 7.35 5.49 10.24 4.62 9.30 27.37 17.97 16.40 6.11 16.52 11.97 11.19 15.22 14.63 11.79 15.83 15.77 14.33 15.48 19.55 6.23 31.62 37.85 35.26 31.24 44.02 39.81 17.19 20.22 11.30 6.92 4.56 21.96 10.39 27.17 26.98 49.69 6.91 25.39 28.83 11.91 31.85 5.86 32.87 7.73 32.87 6.54 7.42 11.98 13.24 26.41 25.08


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Standard & Poor's

Page 22 of 57

CWABS Asset-Backed Certificates Trust 2005-AB5 CWABS Trust 2005-HYB9 Deutsche Alt A Securities Inc Mortgage Loan Trust Series 2005-4 Deutsche Alt-A Secs Mtg Ln Trust Ser 2006-AR5 Deutsche Alt-A Secs Mtg Ln Trust Ser 2006-AR5 Deutsche Alt-A Secs Mtg Ln Trust Series 2006-AR4 Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6 Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-AR1 Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2006-AF1 Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-AR3 Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-AR6 Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-OA1 Deutsche Alt-A Securities Mortgage Loan Trust, Se

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