Frank Sillman Expert Report 9019 Filing in ResCap Bankruptcy 2013-10-18

UNITED STATES BANKRUPTCY COURT
SOUTHERN DISTRICT OF NEW YORK
)
In re: ) Case No. 12-12020 (MG)
)
RESIDENTIAL CAPITAL, LLC, et al., ) Chapter 11
)
Debtors. ) Jointly Administered
)
EXPERT REPORT OF FRANK SILLMAN

I am an expert in the origination and securitization of mortgage loans. I have particular
experience with loan repurchases, loss reserves for mortgage loans, loan underwriting standards,
and the re-underwriting of loans underlying mortgage-backed securities.
I have been asked by the Debtors to offer expert testimony in connection with
confirmation of the proposed Chapter 11 plan for Residential Capital, LLC, et al. [Docket No.
4153].
SUMMARY OF OPINIONS
1. I have formed the following opinions concerning the proposed RMBS
Settlement:
 Aggregate Lifetime Losses. The aggregate lifetime losses that

will potentially be incurred by trusts included in the RMBS
Settlement range from $42.1 billion to $42.9 billion.
 Underwriting Defect Rates. My analysis of loans underwritten

between 2004 and 2007, including a forensic re-underwriting
of 1500 loans from that period, showed an average material
underwriting defect rate of 43.5 percent. For loans issued
before 2004, my analysis showed an average material
underwriting defect rate of 35.1 percent.
 Likely Damages After Legal Defenses and Litigation Costs.

The likely amount of recoverable damages, after consideration
of legal defenses and litigation costs, ranges from $7.38 billion
to $8.6 billion.
2. I have formed the following opinions concerning the proposed Ambac
Settlement:
 Aggregate Lifetime Losses. The aggregate lifetime shortfalls

that will potentially be experienced by the Debtor-sponsored
bonds insured by Ambac range from $225.6 million to $237.8
million.
 Likely Damages. Ambac seeks rescissory damages or the

equivalent thereof which, if awarded, would allow Ambac to
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recover all its losses. Ambac could also recover additional
amounts for interest, fees, and claims regarding the servicing of
trusts not sponsored by the Debtors. The likely amount of
recoverable damages with respect to the Debtor-sponsored
trusts ranges from $180.5 million to $237.8 million.
3. I have formed the following opinions concerning the proposed Assured
Settlement:

that will potentially be experienced by the bonds insured by
Assured range from $73.6 million to $77.6 million.
 Likely Damages. Assured seeks rescissory damages or the

equivalent thereof, which, if awarded, would allow Assured to
recover all its losses. Assured could also recover additional
amounts for interest and fees, and for certain servicing claims.
The likely range of recoverable damages with respect to the
Debtor-sponsored trusts (excluding certain servicing-related
claims that I have not analyzed) ranges from $58.9 million to
$77.6 million.
4. I have formed the following opinions concerning the proposed FGIC
Settlement:

that will potentially be experienced by the bonds initially
insured by FGIC range from $1.64 billion to $1.71 billion.
 Likely Damages. FGIC seeks rescissory damages or the

equivalent thereof, which, if awarded, would allow FGIC to
recover all its losses. FGIC could also recover additional
amounts for interest and fees. The likely range of recoverable
damages with respect to the Debtor-sponsored trusts ranges
from $1.31 billion to $1.7 billon.
5. I have formed the following opinions concerning the proposed MBIA
Settlement:

that will potentially be experienced by the bonds insured by
MBIA range from $2.19 billion to $2.22 billion.
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 Likely Damages. MBIA seeks rescissory damages or the
equivalent thereof, which, if awarded, would allow MBIA to
recover all its losses. MBIA could also recover additional
amounts for interest, fees, and claims regarding trusts not
sponsored by the Debtors. The likely amount of recoverable
damages with respect to the Debtor-sponsored trusts ranges
from $1.75 billion to $2.22 billion.
BACKGROUND AND QUALIFICATIONS
6. I serve as Managing Partner for Fortace, LLC, an advisory and consulting
firm to banks, mortgage companies, insurance companies, trustees and other investors. My
curriculum vitae is attached as Annex A.
7. A key area of my work with Fortace relates to reviewing and opining on
the reasonableness of demands for the repurchase of mortgage loans based on alleged breaches
of representations and warranties. I have performed repurchase demand work for insurers and
lenders who have issued repurchase demands to sellers based on alleged breaches of
representations and warranties. As part of this work, I have developed loan audit selection
criteria, reviewed contractual obligations, performed loan-level audits, made recommendations
as to whether or not a repurchase demand should be issued, and participated in negotiations with
sellers on whether to repurchase loans. I have also performed work for sellers who have
received repurchase demands from trustees, insurers, and lenders for alleged breaches of
representations and warranties. As part of this work, I have reviewed contractual obligations,
reviewed repurchase demands and related findings and supporting evidence, performed loan
level audits, made recommendations to sellers as to whether representations or warranties were
breached, and participated in negotiations on whether to repurchase loans.
8. I have approximately 25 years of experience in the mortgage banking
industry. I have held senior executive positions at a federally insured bank, at a Wall Street
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investment bank, and at privately-held mortgage banking companies. I have managed residential
mortgage origination and loan operations, secondary marketing of mortgage loans, capital
market activities, treasury functions, and warehouse lending related to mortgage loan origination.
In particular, I have extensive experience in the residential mortgage market, including
origination, securitization, loss reserves, and repurchase-related activities related to Fannie Mae,
Freddie Mac, FHA, Prime Jumbo, Alt-A, subprime, home equity lines of credit, and closed-end
second lien residential mortgage loans.
DOCUMENTS, PUBLICATIONS, PRIOR TESTIMONY, EXHIBITS, AND

COMPENSATION
9. Attached as Annex B is a list of the documents I considered in forming my
opinions. I have not authored any publications in the last ten years, and I have not testified as an
expert at trial or by deposition in the last four years other than in these proceedings. Attached as
Annexes C through I are the exhibits which summarize or support my opinions.
10. Fortace’s compensation is set forth in the Debtors’ Application for an
Order Authorizing Employment and Retention of Fortace LLC as Consultant to the Debtors
Nunc Pro Tunc to May 21, 2012, filed July 6, 2012 [Dkt. 704].
BASIS OF MY OPINIONS
I. BACKGROUND
11. The Plan seeks to resolve claims asserted by the trustees of RMBS trusts
sponsored and/or serviced by the Debtors, as well as claims asserted by four monoline insurance
companies that insured certain of the bonds. The RMBS Settlement, unlike the previous RMBS
settlement agreement, does not include bonds for which a monoline insurer provided insurance.
Insured bonds are the subject of separate settlement agreements. Accordingly, I have formed
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separate opinions regarding the RMBS Settlement and monoline insurer settlements, which are
addressed in separate sections of this report.
A. Overview of the Debtors’ Mortgage Securitization Process.
12. The Debtors sponsored RMBS trusts covering a wide range of different
mortgage products. The Debtors also sold mortgage loans to third parties for inclusion in RMBS
sponsored by those third parties. In both situations, the loans are transferred to the RMBS trusts
through agreements in which the Debtors provided certain representations and warranties. The
representations and warranties may vary from RMBS trust to RMBS trust, but typically include,
among others, representations concerning accuracy of certain loan-level disclosures, that the
loans substantially complied with the Debtors’ underwriting guidelines, and that there was
proper documentation of the loans.
13. The RMBS trusts then issued bonds1 that are sold to investors or retained
by the Debtors. The structure of the trusts provides credit support that allows for payment to
some or all of the bonds even if some of the mortgage loans default or are liquidated with
collateral losses. There are a number of types of credit support, including overcollateralization
(placing more collateral in the trust than the face value of the bonds), excess spread (paying out
lower interest rates to bond holders than is received from the mortgagees), and subordination
(separating the bonds into tranches with different payment priorities so that subordinate bonds
absorb losses and provide support to the senior bonds).
14. As a way to further enhance the credit support of the bonds, a sponsor may
choose to obtain bond insurance for some of the bonds in a trust from a monoline bond insurance
company. The insurance, or “wrap,” guarantees full, complete and timely principal and interest
1
In this Report, the term bonds refers to all interests in the RMBS trusts, including any residual interests.
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payments to the holders of wrapped bonds issued by the RMBS trust. For this guarantee, the
monoline charges a premium or fee. The presence of the bond wrap is an added third-party
guarantee to the wrapped bond holders in addition to the underlying credit structure of the
RMBS trust, which reduces the overall risk to the wrapped bond holders. The Debtors utilized
bond wraps on 142 of the 581 Debtor-sponsored trusts.
B. The Debtors’ Alleged Breaches of Representations and Warranties.
15. If a seller breaches its representations and warranties to the trust, typically
by providing loans that deviate from the representations, the seller may be required to repurchase
the defective loan(s).
16. Generally, the standard for analyzing a breach of representations and
warranties requires an assessment of: (a) whether the alleged loan defect or alleged breach is an
actual and material breach of representations and warranties, and (b) whether such breach was
material and adverse to the interests of the bond holders (cumulatively the “R&W Repurchase
Standard”). If the R&W Repurchase Standard is met, the seller is required to repurchase non-
liquidated loans at the purchase price, or to reimburse the RMBS trust for any losses incurred in
the liquidation of the loan, as defined in the applicable agreements. If the R&W Repurchase
Standard is not met, the seller does not have an obligation to repurchase the loan or reimburse the
RMBS trust for liquidated losses.
17. When a trust is subject to a bond wrap at issuance, sellers generally also
provide representations and warranties to the monoline issuing the wrap and provide that certain
of the representations and warranties made to the trusts inure to the benefit of the monoline.
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18. The applicable agreements also provide remedies to the monoline that
include, if certain conditions are met, reimbursement from the seller for any payments made by
the monoline arising out of a breach of a representation and warranty.
II. OPINIONS REGARDING THE RMBS SETTLEMENT.
19. The RMBS Settlement covers all claims belonging to trusts sponsored by
the Debtors between 1999 and 2007.2 The 392 trusts sponsored between 2004 and 2007 were the
subject of a previous RMBS settlement agreement. The RMBS Settlement also releases all
claims belonging to 185 trusts sponsored by the Debtors between 1999 and 2004 (for a total of
581 trusts) that are the subject of this Report. 3
20. In addition, the RMBS Settlement covers all claims belonging to trusts
that were not sponsored by the Debtors but for which a Debtor either sold and/or serviced some
portion of the underlying mortgage loans. Of these, 160 trusts have representation and warranty
claims that are also included in my analysis.4
21. The RMBS Settlement does not provide for recovery to the trusts with
respect to any bonds insured by the monolines, so those wrapped bonds are not included in my
analysis of the RMBS Settlement.
2
The 741 trusts analyzed here are based on a list of trusts provided by the Debtors prior to the finalization of the
Plan schedules filed on October 11, 2013. I am in the process of ascertaining and reconciling any discrepancies.
3
I understand that the trustees’ claims with respect to FGIC wrapped trusts were released as part of the FGIC
settlement (other than claims with respect to any non-wrapped bonds), so the release of the trustees’ claims for the
47 FGIC wrapped trusts is not included in the valuation of the RMBS Settlement, leaving a total of 534 Debtor-
sponsored trusts for the RMBS Settlement analysis.
4
I also understand that the RMBS Settlement provides for a $96 million payment in settlement of recognized cure
claims based on allegations of improper loan servicing by the Debtors. I have not been asked to form any opinions
regarding the settlement of those servicing claims, or certain allowed claim amounts in settlement of other servicing
claims.
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A. The Debtor-Sponsored Trusts’ Estimated Aggregate Lifetime Losses.
22. There are a variety of methods accepted in the financial services industry
to estimate RMBS lifetime losses. I am familiar and have experience with these methods. To
form the opinions stated in this report, I employed a trust-level methodology based on frequency
and severity rates. Frequency and severity rate-based loss forecasting and historically-based
assumption development are two of the accepted methods for deriving an estimate of potential
repurchase exposure. These two methodologies are regularly used by market participants,
financial institutions and experts to estimate repurchase exposures, including estimates provided
by financial institutions in their regulatory filings, and independent third-party expert reports.
Accordingly, the methodologies I used in this report are generally accepted in the industry as
sound means of estimating lifetime losses.
Model Process Overview
Remittance Preliminary Assumptions Assumptions Illumination & Outputs

Data Development Validation Intex Loss
Process Process Models
Lower
Industry
Range
RMBS
Forecasted
Remittance
Settlement Remaining
Data
Trusts Lifetime
Forecasted Losses
Assumptions
Validated
Remaining
User Model Lifetime
Input Calculated against
actual Loss Model
Assumptions Assumptions Process
Trusts Higher
performance Range
Trusts Forecasted
Remittance Remaining
Data Lifetime
Losses
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23. Step 1 - The first step in developing estimated loss ranges for RMBS
trusts is to obtain the historical borrower loan payment remittance data (“Remit Data”) for both
(1) the trusts, and (2) other industry RMBS trusts which consist of loan products and
securitization structures similar to the trusts.5 This Remit Data contains hundreds of data fields
including loan level payment histories, prepayment data, default data and loan level losses. The
Remit Data may be available on either a loan level basis or at a trust level basis. For the 581
Debtor-sponsored trusts, we were able to obtain loan level data from Loan Performance6 (“LP”)
and Intex.7 We utilized Remit Data from September 2013.
24. Step 2a – I employed Illumination (formerly WestPat LLC) to run their
proprietary RMBS estimated loss and cash flow model (the “Illumination Model”) to determine
estimated lifetime loss ranges for the trusts and tranches of wrapped bonds within the trusts for
which loan level Remit Data was available. The Illumination Model requires loan level Remit
Data. The Illumination Model is a commercially available estimated loss and cash flow model
used by mortgage lenders, mortgage bond investors and money managers to estimate loan losses
and cash flows and to value RMBS mortgage bonds.
25. Step 2b – For the trusts for which only trust level Remit Data was
available, I utilized the Intex Model, as defined below, to determine estimated lifetime loss
ranges for both the trusts and the tranches of wrapped bonds within those trusts. The Intex
Model is a commercially available cash flow model used by mortgage lenders, mortgage bond
5
The Illumination Model groups the RMBS trusts into the following categories: Alt A/Sub Prime, Prime, HELOC &
Fixed 2nds.
6
CoreLogic Loan Performance is a provider of RMBS loan remittance data.
7
Intex Solutions, Inc. is a provider of structured fixed income cash flow models and RMBS remittance data.
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investors and money managers to estimate loan losses, cash flows and value RMBS mortgage
bonds (“Intex Model”).
26. Step 3 – Illumination and Intex Model assumption requirements and
discussion:
(a) Illumination Model assumptions:
(i) The Illumination Model independently develops its

Validated Trust Assumptions for forecasting cash flows
and estimated losses from actual historical performance of
certain key data elements (“HIST PERF”) from the Remit
Data for each of the trusts:
(a) Actual Trust Losses to date.
(b) Actual Severity Rates to date.
(c) Actual Constant Default Rates to date (“CDR”) aka

Roll Rates or Frequency Rates.
(d) Actual Voluntary Constant Prepayment Rates

(“VCPR”).
(e) Actual Loan Level Payment Histories to date

(“PAY HIST”) aka Pay Strings.
(ii) Additionally, I provided a few macroeconomic assumptions

to Illumination for use in the Illumination Model based on
industry available data and my expert experience in
developing these assumptions:
(a) Forward Yield Curve from September 30, 2013.
(b) The unemployment rate8 utilized was 8.1% from

August 2013. The unemployment rate was held
constant for the life of the loans.
(c) The current Combined Loan To Value (“CLTV”)

was calculated using Case-Shiller9 home price data
8
U.S. Bureau of Labor Statistics.
9
S&P/Case-Shiller Home Price Index is a leading measure of the U.S. residential housing market.
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as of July 2013. The model uses the zip code when
available. If the zip code is not available, the model
uses Metropolitan Statistical Area (“MSA”) level or
state level data. Once the CLTV is updated, it is
varied over time based on our Forward Home Price
Index assumptions described below.
(d) FICO scores - The model does not update

Borrowers’ FICO scores, the model utilizes the
Borrowers’ origination FICO scores.
(e) LP and Intex Remit Data reflect the Trusts’ actual

Losses to Date after applying any mortgage
insurance claims paid to the Trusts. The LP and
Intex Remit Data do not include any Monoline
insurance claims paid to the Trustee for the benefit
of the CertificateHolders.
(f) Forward Home Price Index (“HPI”) for distressed

home sales.
(g) The Illumination Model varies time to foreclosure

by state. The Illumination Model utilized time to
foreclosure history through March 2012.
(b) Intex Model assumptions:
(i) The Intex Model requires the user to develop and input
assumptions into the model. I provided assumptions for
use in the Intex Model based on industry available data and
my expert experience in developing these assumptions:
(a) Forward Yield Curve from September 30, 2013.
(b) VCPR – determined after reviewing each individual

Settlement Trusts’ 6 month, 12 month and monthly
time series trends.
(c) CDR - determined after reviewing each individual

Settlement Trusts’ 6 month, 12 month and monthly
time series trends.
(d) Severity Rates - determined after reviewing each

individual Settlement Trusts’ monthly time series
Severity trends.
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Validating the Industry RMBS Assumptions
4b. The Illumination Model

performs a series of regression
analyses to validate the
4a. The Illumination Model Preliminary Industry Loss
evaluates the Industry Remit Assumptions against the actual
Data to develop Preliminary performance of these Industry
Industry Loss Assumptions RMBS Trusts
utilized to forecast remaining
lifetime losses for Industry
RMBS Trusts
4b. The Illumination Model 4b. Once the Preliminary
reviews the results of these Industry Loss Assumptions
regression analyses, modifies accurately forecast the actual
its assumptions and reruns the performance, they are deemed
regressions analyses over and Preliminary Trusts
over until the Preliminary Assumptions and ready to be
Industry Loss Assumptions applied against the Trusts
closely match the actual Remit data
Industry RMBS losses to date.
27. Step 4a – The Illumination Model evaluates RMBS trust historical Remit
Data for loan products and securitization structures similar to the trusts from the available
industry Remit Data from LP or Intex (“Industry RMBS Remit Data”) to develop the Preliminary
Industry RMBS Loss Assumptions utilized to estimate the remaining lifetime losses for these
Industry RMBS Trusts.
28. Step 4b - The Illumination Model then performs a series of regression
analyses to validate the Preliminary Industry RMBS Assumptions against the actual performance
of these Industry RMBS Trusts to create the validated assumptions for the Industry RMBS Trusts
(“Validated Industry RMBS Trust Assumptions”).
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Validating the Trusts Assumptions and Forecasted Remaining Lifetime Losses
4d. The Illumination Model

performs a series of regression
analyses to validate the
4c. The Illumination Model Preliminary Trusts
then evaluates the Preliminary Assumptions against the
Trusts Assumptions for the use actual performance of the
of forecasting the remaining Trusts.
lifetime losses for the Trusts.
4d. The Illumination Model 4d. Once the Preliminary

reviews the results of these Settlement Trusts
regression analyses , modifies Assumptions closely match
its assumptions and reruns the the actual performance, they
regressions analyses over and are deemed Validated Trust
over until the Preliminary Assumptions and they are
Trusts Assumptions closely applied to the Trusts to
match the actual Trusts losses forecast the remaining lifetime
to dates. losses.
29. Step 4c - The Illumination Model then applies these Validated Industry
RMBS Trust Assumptions to the Trusts (“Preliminary Trusts Assumptions”). The Illumination
Model then performs a series of regression analyses to validate these Preliminary Trust
Assumptions against the actual performance of the trusts to obtain the validated Settlement Trust
assumptions (“Validated Trusts Assumptions”).
30. Step 4d - After this last regression analysis step, the Illumination Model
then utilizes the Validated Trust Assumptions for each of the trusts to forecast the remaining
lifetime losses for the trusts and for each tranche of bonds within each trust.
31. Step 5 - Determining the Forecasted Remaining Lifetime Losses for the
Non-Wrapped Trusts: I added the forecasted remaining lifetime losses of the non-wrapped trusts
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from the both the Illumination and Intex Models, for both the lower and higher ranges. For the
429 non-wrapped Debtor-sponsored trusts, the aggregate results were:
Forecasted Remaining Lifetime Losses
(in billions)
# of
Lower Range Higher Range
Trusts
Non‐Wrapped Trusts 429 $7.4 $8.0
32. Step 6 - Determining the Actual Losses to Date for the Non-Wrapped
Trusts: I added the actual trust losses to date for the trusts (other than shortfalls to the wrapped
bonds) from both the LP and Intex Remit Data. For the 429 non-wrapped Debtor-sponsored
trusts, the aggregate actual trust losses to date are $29.6 billion.
33. Step 7 – Determining the Total Estimated Lifetime Loss ranges for the
Non-Wrapped Trusts: I added the total actual trust losses to date to the forecasted remaining
lifetime losses to determine the total estimated lifetime loss for both the lower and higher ranges.
The calculations are illustrated below:
Total Estimated Losses for the Non‐Wrapped Debtor‐sponsored Trusts
(in billions)
Actual Losses to Date $29.6 $29.6
Forecasted Remaining Lifetime Losses $7.4 $8.0
Total Estimated Lifetime Losses $37.0 $37.6
34. The difference between the high and low ends of the range is explained by
the different assumptions supplied to the model. There are four assumptions that were varied
between the higher and lower estimated lifetime losses: constant default rate; severity; voluntary
constant prepayment rate; and forward home price index.
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35. Step 8- Determining the Forecasted Remaining Lifetime Losses for the
Non-Wrapped Bonds Within the Wrapped Trusts: I added the forecasted remaining lifetime
losses for the non-wrapped bonds within the wrapped trusts other than those wrapped by FGIC,
from the both the Illumination and Intex Models, for both the lower and higher ranges. The
calculations for the forecasted remaining lifetime losses to the non-wrapped bonds within
wrapped trusts are illustrated below:
Forecasted Remaining Lifetime Losses
(in billions)
# of
Trusts
105 $0.43 $0.46
36. Step 9 - Determining the Actual Losses to Date for the Non-Wrapped
Trusts: I added the actual trust losses to date for the non-wrapped bonds within the wrapped
trusts from both the LP and Intex Remit Data. For the non-wrapped bonds in the 105 wrapped
Debtor-sponsored trusts, the aggregate actual trust losses to date are $3.1 billion.
37. Step 10 – Determining the Total Estimated Lifetime Loss ranges for the
Non-Wrapped Bonds Within Wrapped Trusts: I added the total actual trust losses to date to the
forecasted remaining lifetime losses to determine the total estimated lifetime loss for the non-
wrapped bonds within wrapped trusts, for both the lower and higher ranges. The calculations are
illustrated below:
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Total Estimated Losses for the Non‐Wrapped Bonds in
Wrapped Debtor‐sponsored Trusts
(in billions)
Actual Losses to Date $3.1 $3.1
Forecasted Remaining Lifetime Losses $0.43 $0.46
Total Estimated Lifetime Losses $3.53 $3.56
38. Step 11 – Adding the Total Estimated Lifetime Loss ranges for the Non-
Wrapped Trusts and the Non-Wrapped Bonds Within Wrapped Trusts: for both the lower and
higher ranges, I added the total estimated lifetime loss for the non-wrapped trusts to the total
estimated lifetime loss for the non-wrapped bonds within wrapped trusts. The calculations are
illustrated below.
LOWER RANGE
(in billions)
Forecasted
# of Actual Losses Total Estimated
Remaining Lifetime
Trusts to Date Lifetime Losses
Losses
Non‐Wrapped Trusts 429 $29.6 $7.3 $36.9
Non‐Wrapped Bonds in
105 $3.1 $0.43 $3.53
Wrapped Trusts
Total 534 $32.7 $7.73 $40.4
HIGHER RANGE
(in billions)
Forecasted
# of Actual Losses Total Estimated
Remaining Lifetime
Trusts to Date Lifetime Losses
Losses
Non‐Wrapped Trusts 429 $29.6 $8.0 $37.6
Non‐Wrapped Bonds in
105 $3.1 $0.46 $3.57
Wrapped Trusts
Total 534 $32.7 $8.46 $41.13
39. The trust level data and calculations for the non-wrapped Debtor-
sponsored trusts are set forth in Annex C.
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B. The Estimated Aggregate Lifetime Losses For Trusts Not Sponsored
by the Debtors.
40. The RMBS Settlement also resolves claims belonging to 160 trusts that
were not sponsored by the Debtors. These non-Debtor-sponsored trusts will be allocated a
portion of the RMBS Settlement based on the percentage of the loans in each trust for which one
of the Debtors was the seller (typically meaning they originated the underlying loan). I have
conducted a preliminary analysis to estimate a range of potential lifetime losses for the non-
Debtor-sponsored trusts and my work to refine that analysis and narrow the estimated range is
ongoing.
41. Schedules 3g and 3r to the Plan identify the non-Debtor-sponsored trusts
with potential repurchase claims against the Debtors based on loans within the trusts sold by the
Debtors. Those schedules also set forth the percentage of loans within each trust that were sold
by the Debtors, based on analysis conducted by Duff & Phelps (“Duff”).
42. First, I reviewed the methodology that Duff used to determine the seller
percentage for the non-Debtor-sponsored trusts. Duff relied on the percentage of loans identified
in the bond offering documents as having been sold by the Debtors. Where that information was
not available in the offering documents, Duff used the percentage of loans being serviced by the
Debtors. Duff’s methodology is reasonable and is based on public historical information. I
independently confirmed the seller percentages set forth on Schedules 3g and 3r for a sample of
the trusts, based on the same methodology. Having found no errors, I relied on seller
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percentages set forth in Schedules 3g and 3r for the remainder of the trusts.10 The average Seller
Percentage for the non-Debtor-sponsored trusts on the schedules is 7.5%.
43. Second, using the same data sources that I used for my analysis of the
Debtor-sponsored trusts, I independently collected the current outstanding balance and the total
collateral losses to date (as of September 2013 remittance) for each of the non-Debtor-sponsored
trusts identified on Schedules 3g and 3r. Actual losses to date make up the majority of the losses
for deals originated prior to 2007, as demonstrated by my analysis of the Debtor-sponsored
trusts. For the 160 non-Debtor-sponsored trusts, the aggregate actual trust losses to date are
$1.32 billion.
44. Third, I adjusted the actual losses to reflect the percentage of the collateral
that was sold by the Debtors, as reflected by the Seller Percentage described above, to determine
the portion of the trust collateral losses potentially attributable to the Debtors. I performed this
calculation at the trust level, applying each trust’s Seller Percentage to its respective actual trust
losses to date.
45. Fourth, I estimated that the non-Debtor-sponsored trusts would, on
average, experience future losses in the same proportion to outstanding collateral balance that
was forecast by my cash flow modeling of the Debtor-sponsored trusts. The non-Debtor-
sponsored trusts span a similar range of years (1999 to 2007) and product types, and the loans in
those trusts that were sold by Debtors are therefore likely to perform similarly, on average, to the
loans in the Debtor-sponsored deals from the same time period.
10
Schedules 3g and 3r were updated in a supplemental filing on October 11, 2013. My analysis relied on the prior
version of the Schedules filed with the Plan on August 23, 2013, and I am in the process of updating my analysis to
account for any discrepancies.
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46. Fifth, I determined that for the 581 Debtor-sponsored trusts for which I
had generated forecasts using trust-level cash flow models, the lower and higher range estimates
of forecast lifetime potential losses were 14.6% to 15.9% of the outstanding collateral balance,
on average. The figures are:
Debtor‐sponsored Trusts
Total Outsanding
# of Forecasted Remaining Forecasted Remaining
Principal Balance
Trusts Lifetime Losses Lifetime Losses
(“OPB”)
billions % of OPB Billions % of OPB
581 $55.5 $8.1 14.6% $8.8 15.9%
47. Sixth, I used those percentages to estimate the total potential lifetime
losses to the portion of the collateral in the non-Debtor-sponsored trusts that was sold by the
Debtors, based on the current total outstanding balance for the non-Debtor-sponsored trusts. The
figures are:
Non‐Debtor‐sponsored Trusts
Total Outsanding Adjusted for
# of Forecasted Remaining Forecasted Remaining
Principal Balance Seller
Trusts Lifetime Losses Lifetime Losses
(“OPB”) Percentage
billions % of OPB billions % of OPB
160 $29.3 7.5% $0.3 14.6% $0.4 15.9%
48. Adding the Total Estimated Lifetime Loss ranges for the Debtor-
sponsored Trusts and the non-Debtor-sponsored Trusts: for both the lower and higher ranges, I
then added the total estimated lifetime loss for the Debtor-sponsored trusts to the total estimated
lifetime loss for the non-Debtor-sponsored trusts. The calculations are illustrated below
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Total Non‐Wrapped Forecasted Lifetime Losses
(in billions)
Debtor‐sponsored Trusts $40.5 $41.2
Non‐ Debtor‐sponsored Trusts $1.6 $1.7
Total $42.1 $42.9
49. The trust level data and calculations for the non-Debtor-sponsored trusts
are set forth in Annex D. I am in the process of updating and refining my analysis based on the
updated Plan schedules.
C. Underwriting Defect Rates For Debtor-Sponsored and Non-

Sponsored Trusts.
50. The second step of my analysis involved estimating the number of loans
with material underwriting defects. This allowed me to calculate the losses that will be incurred
on loans sold in material breach of representations and warranties.
51. For my analysis of the prior RMBS settlement, I estimated the number of
loans with material underwriting defects using two distinct, and widely-accepted, methodologies.
The first methodology was based on the Debtors’ historical loan repurchase experience. After
performing that initial analysis, I had the opportunity to conduct a forensic re-underwriting of
approximately 1,500 randomly-selected loans securitized between 2004 and 2007. This allowed
me to determine, for a representative sample of loans within those trusts, the potential level of
material underwriting defects.11
52. The two methods produced similar results. For purposes of this Report, I
relied on the results from the second methodology—my forensic underwriting analysis—and
11
The expedited re-underwriting review did not consider the potential to cure missing documentation defects, or
certain other arguments that might justify deviations from the general underwriting guidelines, so the actual level of
material defects may be lower than the rates of potential underwriting defects identified here.
-21-
then multiplied the amount of estimated aggregate lifetime losses by the likely material defect
rate determined through that underwriting analysis in order to determine the amount of losses
that will be incurred on loans with likely material defects.
53. The approximately 1,500 loans reviewed for my underwriting analysis
were chosen from the 392 trusts involved in the prior settlement. Dr. Brad Cornell, a consultant
hired by the Official Committee of Unsecured Creditors, made a random selection of 1,500 loans
from across all 392 trusts involved in the earlier RMBS settlement. I assumed, for purposes of
my analysis, that his sample selection was properly randomized and representative of the entire
population of approximately 1.6 million loans underlying the 392 trusts involved in the earlier
settlement.
54. A team of forty-two loan underwriters, and three underwriting managers,
working under my direction, re-underwrote these loans using the Debtors’ own underwriting
guidelines. The underwriters have a minimum of three years of experience in one or more of the
following areas: residential mortgage underwriting, mortgage loan auditing, mortgage loan
quality control and mortgage re-underwriting experience. The underwriting managers have five
or more years of experience in one or more of these same areas.
55. The re-underwriting process involved a review of each loan’s “loan file.”
My team considered, and recalculated, the various credit and other metrics used in the
underwriting process, including debt-to-income ratios, loan-to-value ratios, and combined loan-
to-value ratios. My team also considered income documentation, employment documentation,
asset documentation; appraisals, credit scores and reports, insurance documentation, title
documentation and insurance, and other transaction details as necessary when available. The
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team of underwriters also used various industry-standard third-party verification tools to help
validate origination information.
56. As a first step, my team of underwriters, underwriting managers and I
familiarized ourselves with the applicable underwriting guidelines and automated underwriting
system (AUS) loan approval formats to ensure that our re-underwriting analysis of the loan files
was based on those requirements. These included the GMAC RFC Client Guides, GMAC RFC
Client Guide Bulletins, other Lender underwriting guidelines, as applicable, and AUS Loan
Approval formats.
57. Next, my team conducted a review of the loan file (where available) for
each of the 1500 loans, and recalculated and recorded various credit and other metrics relevant to
the underwriting analysis. These metrics included, among others, the debt-to-income ratio, loan-
to-value ratio, and combined loan-to-value ratio. My team also otherwise reviewed the loans for
compliance with the AUS loan approval or applicable underwriting guidelines.
58. The re-underwriting process included, among other things, a review of the
following characteristics and a comparison of those characteristics to the applicable underwriting
guidelines or AUS, as applicable:
(a) Income: The income related documentation, if any, required to
satisfy the underwriting guidelines;
(b) Employment: The employment related documentation, if any,
required to satisfy the underwriting guidelines;
(c) Assets: The asset related documentation, if any, required to satisfy
the underwriting guidelines;
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(d) Appraisal: The appraisal related documentation, if any, required to
(e) Credit: The credit related documentation, if any, required to
(f) Insurance: The insurance documentation, if any, required to
(g) Title: The title documentation, if any, required to satisfy the
underwriting guidelines; and
(h) Transaction details: The transaction related documentation, if any,
including the Purchase Contract if applicable, required to satisfy the underwriting guidelines.
59. During the course of the review, my team used various industry-accepted
third-party re-verification tools to help validate origination information.
(i) MERS: The MERS Link report allowed the underwriters to check
if there were any undisclosed mortgages at the time of origination of the subject loan that were
not disclosed by the borrower and not included in their debt-to-income ratios.
(j) Accurint: The Deep Skip Search report allowed the underwriters
to validate whether or not the borrower(s) were associated with the subject property during the
required period after the close of the subject loan for owner occupied transactions.
(k) The Work Number: The Current and Previous Employment report
available through The Work Number allowed the underwriters to validate income and
employment for borrowers whose employers provide employment data to The Work Number.
(l) Verbal Verification of Employment (VVOE): If the underwriters
were unable to obtain the employment information from The Work Number, then he or she
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might elect to obtain the employment information directly from the employer and record the
results on a VVOE form.
60. The underwriters recorded the results of their review on a spreadsheet
template, entitled “Re-Underwriting Findings Summary Report,” that I designed for this purpose.
Among other things, the underwriters records kept track of the product type (such as subprime or
HELOC) of each loan reviewed.
61. Once the underwriters completed their work, the underwriting managers
performed quality control checks on a portion of the results to assess the accuracy and
completeness of the information presented. As part of these reviews, the underwriting managers
validated the accuracy of the underwriters’ findings against the data and documents in the
imaged loan files, checked some or all of the underwriters’ calculations, and referred to the
applicable guidelines or AUS as needed.
62. After the underwriting managers completed their review of the findings, I
then reviewed the Re-Underwriting Findings Summary Report for each and every one of the
loans, and made the ultimate determination as to whether a loan was “materially defective” based
on the information available. To the extent I deemed it necessary or desirable to refer to the
actual loan file or underwriting guidelines, the AUS or Loan Approval, or the governing
agreements, those materials were available to me and I made use of them. I also had
conversations with the underwriters and underwriting managers on my team during which I
posed questions and obtained clarification regarding various aspects of the loans reviewed if I
felt it was necessary.
-25-
63. If the loan was underwritten substantially in accordance with the
applicable guidelines or AUS, I designated the loan to be in substantial compliance (“In
Substantial Compliance”).
64. If the loan appeared based on the review to have defects that materially
increased the risk of the loan, I deemed the loan to be materially defective (“Materially
Defective”).12 Ultimately, there is a degree of subjectivity in the determination of whether a loan
substantially complies with the guidelines or whether any deviation is material, and I endeavored
to be conservative in those judgments so as not to understate the potential level of material
defects.
65. After reviewing the work performed by my team of underwriters, I
determined that 652 of the loans in the sample, or 43.5%, had material underwriting defects.
66. For trusts formed before 2004, I analyzed early payment defaults to
determine a defect rate for the loans prior to 2004. There is a known correlation between early
payment defaults and significant underwriting defects.13 Accordingly, I analyzed early
delinquency rates in order to estimate the defect rate for the pre-2004 trusts. Using aggregate
loan performance data for the Debtors’ RMBS shelves prior to and after 2004, as available from
the Vision website, I compared the rate of severely delinquent loans (i.e. loans that were 90 days
or more delinquent, or in foreclosure or REO) at 12 months after issuance of each vintage. From
that comparison, I created a ratio of the Debtors’ average severely delinquent percentage prior to
12
For purposes of this expedited review, I used a lack of substantial compliance with applicable guidelines as a
proxy for breaches of contractual representations and warranties; consideration of additional information, including
specific aspects of the securitization transaction documents, could impact the results.
13
See Early Payment Default – Links to Fraud and Impact on Mortgage Lenders and Investment Banks, BasePoint
Analytics LLC (2007), attached hereto as Annex G.
-26-
2004, as compared to 2004 and after. To estimate the pre-2004 defect rate, I then multiplied that
ratio by the 43.5% defect rate of the 2004-2007 trusts.
67. On average, 4.23% of the 2004 to 2007 loans were severely delinquent
one year after issuance, whereas 3.41% of the pre-2004 loans were severely delinquent one year
after issuance. In other words, the severe delinquency rate prior to 2004 was 80.6% of the later
severely delinquent rate. Based on the correlation between severe delinquencies and
underwriting defects, I applied a defect rate for the pre-2004 loans that was 80.6% of the 2004 to
2007 defect rate, which works out to a 35.1% defect rate for the pre-2004 loans. The
delinquency ratio data and calculations are set forth in Annex E.
D. Likely Damages After Factoring In Legal Defenses And Litigation Expenses.
68. The third step in my analysis involved estimating the likely damages that
could be recovered by the trusts after consideration of legal defenses to repurchase demands and
litigation costs. I did this by applying a discount (the “Settlement Factor”) to the amount of
losses on loans with material defects. The discount was based on the Debtors’ own historical
repurchase experience, industry repurchase data, my own experience with loan repurchase
demands, and the opinions of other experts regarding legal defenses and litigation expenses. I
then multiplied the amount of losses that will be incurred on loans with material defects with the
Settlement Factor I calculated.
69. I determined it is appropriate to use a Settlement Factor of 41% to 47%.
70. The Debtors had, over the preceding five years, received and responded to
requests for the repurchase of thousands of loans based on alleged breaches of representations or
warranties. Most of the requests were made by Fannie Mae, Freddie Mac, and some came from
various mortgage loan insurers. The Debtors’ historical experience in accepting, or rejecting,
-27-
repurchase demands offers a robust pre-litigation source of verifiable and objective data
regarding the effectiveness of the Debtors’ legal and factual defenses.
71. Prior to March 2012, there was not much in terms of public disclosures
with any insight into Settlement Factors for alleged breaches of representations and warranties.
However, beginning in March of 2012, Fannie Mae, Freddie Mac and over a dozen Private Label
Sellers have filed Regulation AB 15-G repurchase demand data with the SEC, including their
rate of agreed repurchases.
72. The Debtors’ historical repurchase demand experience with Fannie Mae
and Freddie Mac is publicly reported in those entities’ SEC filings and has been summarized in a
report published by the Inside Mortgage Finance publication. I used data for repurchase
demands by Fannie Mae and Freddie Mac, rather than repurchase demand data for private label
securities (like those included in the RMBS settlement trusts), because the government-
sponsored enterprises’ data are much more robust and reliable.
73. The Debtors’ 2006-2008 GSE historical repurchase data, based on both
Fannie Mae and Freddie Mac’s Regulation AB 15-G SEC filings, as summarized in Inside
Mortgage Finance’s Special Report (“IMF Special Report”),14 are as follows:
Seller/Originators Repurchase Repurchased Pending Disputed

Demands
(millions)
GMAC Mortgage / $1,537.81 67.56% 2.60% .50%
Ally (the Debtors)
All Seller / $65,836.91 49.54% 12.58% 4.15%
Originators
14
In this Special Report, the Debtor is referred to as “GMAC Mortgage / Ally.” An excerpt of this report is
attached hereto as Annex H.
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74. As reflected in the above chart, the average GSE Agree Rates for all
sellers was 49.54% and 67.56% for the Debtors. In our assumptions, we discount the GSE agree
rates based on the less stringent representations and warranties found in the Debtors’ trusts’
governing agreements when compared to the stronger representations and warranties found in the
Fannie Mae and Freddie Mac agreements. For example, in many of Debtors’ trusts’ governing
agreements there is little to no fraud representation or warranty language, and the requirements
to conform to the Underwriting Guidelines are often qualified with “generally” or “substantially”
in compliance with the Underwriting Guidelines, which are both lower standards than are found
in Fannie Mae or Freddie Mac agreements.
75. The GSEs have requested sellers to repurchase approximately $66 billion
in loans as noted in their recent SEC filings as summarized in IMF Special Report,15 while
industry estimates forecast that sellers of non-GSE securities, known as PLS, will repurchase
hundreds of billions in loans, resulting in seller losses of approximately $133 billion according to
Compass Point Research.16 As of the date of my review in connection with the prior RMBS
settlement, the data regarding repurchase demands concerning private label securities, suffered
from a large percentage of unresolved demands. For example, 82% of repurchase demands from
private-label trusts remain unresolved, while only 3.1% of Fannie Mae and Freddie Mac remain
unresolved. Rather than using an incomplete and unreliable data set, I relied on repurchase
demand data from Fannie Mae and Freddie Mac.
15
See Annex H.
16
See Annex I: Compass Point Research on Mortgage Repurchases Part II: Private Label RMBS Investors Take
Aim, dated August 17, 2010.
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76. According to data contained in SEC filings for Fannie Mae and Freddie
Mac, the Debtors accepted 67.5% of all repurchase demands asserted by Fannie Mae and Freddie
Mac. Industry data published by the Inside Mortgage Finance publication shows that all sellers
of mortgage-backed securities accepted 49.5% of all repurchase demands asserted by Fannie
Mae and Freddie Mac. Thus, the Debtors’ acceptance rate for repurchase demands is
substantially higher than that of the industry as a whole.
77. I recognize that, in the litigation context, plaintiffs would strongly dispute
the application of any discount based on the strength of representations and warranties at issue.
Nonetheless, in my analysis, I applied a substantial discount to the Debtors’ acceptance rate due
to the more stringent representations and warranties found in the governing agreements for loans
sold to Fannie Mae and Freddie Mac. In other words, I assumed that the Debtors would have
stronger repurchase defenses, and would prevail more often, in disputes with owners of the
private label mortgage-backed securities than the Debtors would in disputes with Fannie Mae
and Freddie Mac.
78. In preparation for my Original Declaration, I also reviewed the publicly-
available settlement information relating to the following settlements:
Seller/Originator Securitization Type Settlement Amount Date

Bank of America PLS $8,500,000,000 June 201117
Lehman PLS $40,000,000 November 2011
Bank of America Fannie Mae $1,520,000,000 January 2012
Bank of America Freddie Mac $1,280,000,000 January 2012
79. Both the Bank of America (“BofA”) and Lehman PLS settlements and the
corresponding RMBS trusts are similar in terms of the securitization structure, issuance years,
mortgage loan product mix, governing agreements and R&W repurchase standards.
17
Bank of America settlement for 530 trusts is pending court approval.
-30-
80. Based on the above and in consideration of the costs, risks and
uncertainties if the parties do not mutually agree on the repurchase population and have to resort
to litigation to resolve their differences, we have discounted the Debtors’ GSE repurchase rates
and have assumed the trusts’ Settlement Factor ranges between a low of 41% and a high of 47%.
The following chart shows a comparison of this Settlement Factor to that used in the BofA
Expert Report and Lehman Expert Declaration:
Description Settlement Factor Assumptions

Trusts 41% 47%
BofA Expert Report 40% 40%
Lehman Expert Declaration 30% 40%
81. The Settlement Factor assumptions for the lower range are similar in this
Report and the BofA Expert Report, while the Lehman Expert Declaration lower range
assumption is a more aggressive assumption than in my Report or the BofA Expert Report. The
Settlement Factor assumptions for the higher range utilized in this Report are higher than those
used in both the BofA Expert Report and the Lehman Expert Declaration. I concluded that
higher Settlement Factor assumptions in this Report are correlated to the Debtors’ substantially
higher actual rate of agreement with the GSEs when compared to the industry as a whole,
67.56% versus 49.54%. Given the above, these Settlement Factor assumptions are in my
professional opinion reasonable for the trusts.
82. Applying the total estimated lifetime loss, defect rate, and Settlement
Factor figures set forth above, the range of the Debtors potential liability to the trusts included in
the RMBS Settlement is $7.4 billion to $8.6 billion. The calculations are:
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Estimated Losses on Final Range of
Defect Settlement
Lifetime x = Defective x = Likely
Rate Factor Range
Losses Loans Damages
Low High Low High Low High Low High
2004-2007
$38.2 $38.9 43.5% $16.6 $16.9 41% 47% $6.8 $7.9
Trusts
Pre-2004
$3.89 $3.93 35.1% $1.36 $1.38 41% 47% $.56 $.65
Trusts
Total $42.1 $42.9 $18.0 $18.3 $7.4 $8.6
III. OPINIONS REGARDING THE MONOLINE SETTLEMENTS.
83. The Plan seeks to resolve claims asserted by four monoline insurance
companies relating to RMBS trusts for which they provided insurance, promising to pay
investors to compensate for any shortfall in principal or interest payments to wrapped bonds.18
84. As a result, the first step in my analysis of the Debtors’ potential liability
to the monolines was to estimate the potential lifetime payments by each monoline to cover
shortfalls in principal and interest payments to the wrapped bonds.
A. Methodology for Estimating Aggregate Lifetime Shortfall Exposure.
85. I estimated the monolines’ aggregate lifetime shortfall exposure using the
same Illumination and Intex cash flow models discussed above, to simulate the cash flows to
each tranche of bonds. Those models allowed me to obtain forecasted cash flows not just at the
trust level, but also for specific tranches of bonds.
86. The shortfall to wrapped bonds is not the same as the collateral losses to
the trust issuing the bonds for a number of reasons. RMBS are premised on the assumption that
some mortgages will default, and one of the key features of RMBS securitization structures is to
18
I understand that certain monolines also asserted claims against Ally Financial, Inc., and that all four monoline
settlements and the RMBS settlement form part of the Plan that includes a third party release of claims against
AFI. I have been informed that the third party release is beneficial to the Debtors, the creditors and third parties but
I have not performed any calculations to estimate the value of that third party release.
-32-
provide protection, or credit support, so that payments can be made to investors of certain more
senior bonds even if there are some losses on the underlying mortgages. The level of credit
support available to protect investors in any given bonds depends on the expected level of losses
at the time of the transaction, the credit support structure of the trust and the level of risk (and
resulting higher return) selected by the investor.
87. There are a number of types of credit support available to insulate
wrapped bonds from collateral losses, including overcollateralization, excess spread, and
subordination, as discussed above. Monoline insurers do not wrap the lowest, equity tranche of
bonds in the RMBS structure. In some transactions, there may also be additional tranches of
subordinate bonds that are not wrapped. Because of these and other credit enhancement features,
not every decline in the value of collateral will result in a failure to make required timely
payments of interest and principal to wrapped bonds.
88. The credit support available to wrapped bonds changes on a monthly
basis based on factors such as the accumulation of excess spread, so the timing of collateral
losses is important and one cannot determine the extent to which those losses will result in
shortfalls to any particular tranche of bonds without running a cash flow model that simulates the
payments coming in and out of the RMBS trust on a monthly basis.
89. Consistent with my analysis of the non-wrapped trusts, I used the
Illumination and Intex cash flow models to determine the extent to which future collateral losses
on the underlying mortgages would result in payment shortfalls to each tranche of wrapped
bonds and thus potential claims payments by the monolines.
90. In modeling the cash flows for the wrapped bonds, I used the same
variables and assumptions as I used to model lifetime collateral losses for the Debtors’ non-
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wrapped trusts. However, the Illumination and Intex models have a feature to forecast payments
from the monoline insurer that reduce forecasted loss to the wrapped bonds, because the ultimate
loss to the bond holders, net of payments from the monoline, is an important consideration to
bond investors. For my purpose of estimating potential losses to the monolines, I set this feature
of the model to assume that there would be no payments from the monoline. As a result, the
model output of future losses to the wrapped bonds reflects the entire potential future shortfall of
principal and interest for which the monoline is potentially liable.19
B. Estimating Potential Monoline Damages and Accounting for Settlement
91. The second step of my analysis was to consider potential defenses and
other considerations in litigating or settling the monoline claims. The nature of the monolines’
claims is different than the trusts’ claims and therefore my evaluation of the Debtors’ potential
liability to the monolines, and of the litigation and settlement factors, is also different.
92. First, I understand that the monolines have asserted claims – such as
claims for fraudulent inducement and material breach of contract – under which, upon proving
material breaches of representations and warranties, they would be entitled to recover the entire
aggregate lifetime shortfalls on all the trusts for which they provided insurance. If the foregoing
is correct, then there is no need to consider the extent to which each monoline’s shortfall resulted
from material underwriting defects. Instead, the full amount of the shortfalls I calculated in step
one of my analysis could be recovered by each monoline without reduction.
93. Second, the monolines assert that they are also entitled to indemnification
of legal expenses, costs, and interest under the governing agreements. Therefore, in addition to
19
I did not evaluate the impact of any potentially offsetting premiums paid to the monolines, which I understand to
be relatively small compared to the claims and, as noted below, would also have been factored in to the comparable
settlements discussed herein.
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defenses that might lead the monolines to recover less than the wrapped bond shortfalls, I also
must consider the possibility that the monolines would recover more than the wrapped bond
shortfalls.
94. I also understand that RMBS sponsors have argued that monolines may
only recover the shortfall in principal and interest payments caused by the Debtors’ failure to
repurchase defective loans.
95. As discussed above, for my analysis of loans in the Debtor-sponsored non-
wrapped trusts, I conducted a re-underwriting of approximately 1500 loans of various types sold
by the Debtors between 2004 and 2007. However, the sample of loans underwritten for that
analysis is not necessarily representative of the loans in any trust wrapped by a monoline. The
Debtors structured their RMBS issuances to securitize different types of loans in different trusts.
For example, the trusts with the designation “HE” in the name (such as GMACM 2005-HE3) are
backed by home equity loans, whereas the trusts designated RALI “QH” are backed by Alt-A
loans. Each trust therefore has distinct characteristics that may impact the defect rates.
Comparing the defect rates between different product types within my original sample revealed
wide range of likely defects, from approximately 20% to 60%, depending on the product type.
However, those subsets of my initial underwriting sample are not necessarily statistically
representative of any product type as whole from 2004 to 2007, nor within any particular vintage
or trust. Moreover, each monoline’s potential liability is unevenly distributed among the trusts it
wrapped, so variation in the defect rate for any particular vintage or trust could be material.
96. Given the time constraints, it was not possible to conduct additional
sampling and review the hundreds or thousands of additional loan files that would be necessary
to construct representative loan samples for each wrapped trust. Therefore, I did not apply a
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defect rate to the wrapped trusts, and my work to evaluate the potential impact of varying defect
rates is ongoing.
97. I looked at recent monoline settlements to determine a likely range of
potential liability to the monolines based on the bond losses. The monoline settlement values, as
compared to the monolines’ potential bond loss exposure being settled, reflect the combined
influence of (i) any discount based on legal defenses or other litigation considerations, (ii) the
monolines’ claims for indemnification for fees, expenses and interest, and (iii) any potential
offset for premiums received by the monolines.
98. In preparation for this Report, I reviewed publicly-available settlement
information relating to the following settlements:
Monoline Seller/Originator Date Collateral Bond Settlement Notes

Losses Losses Payment
Assured Bank of America April 2011 $1.3b $0 $1.1b Plus 80% of future
bond losses
Syncora Bank of America July 2012 - $402m $375m Plus transfer of
securities
Assured UBS May 2013 - 308.2m20 358m Plus future loss
sharing
MBIA Flagstar May 2013 $225m $165m $110m Plus other
consideration
Assured Flagstar June 2013 - $89.1 $106.5 After trial awarding
full losses, fees and
costs
99. The publicly available information did include not all material terms of the
settlements, including, for example, the value of certain non-cash consideration or expected
future claims. As a result, it is difficult to draw precise conclusions from these settlements. The
20
This figure was based the complaint and does not account for any additional bond losses incurred between that
time and settlement.
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available information does demonstrate, however, that settlement of monoline claims at a small
discount, if any, to estimated bond losses, is within the range of recent settlements.
100. The Assured v. Bank of America (April 2011) settlement disclosed the
actual collateral losses to date ($1.3 billion) as well as settlement payment ($1.1 billion), which
reflects payment of approximately 85% of the collateral losses to date, even though none of the
collateral losses had yet translated into bond losses reimbursed by Assured. The settlement also
provided that Bank of America would pay 80% of any future losses on the wrapped bonds, up to
a cap of approximately five times the losses to date.
101. The more recent Syncora v. Bank of America settlement (July 2012)
disclosed the actual bond losses reimbursed by Syncora ($145 million) and the outstanding but
unpaid claims to Syncora ($257 million), as well as the up-front settlement amount ($375
million). The settlement reflected a payment of 93% of the claim amounts to Syncora to date.
No information was provided concerning expected future payments by Syncora. However, the
settlement did also provide for additional consideration to Syncora including the transfer of
certain securities, the value of which was not disclosed. Therefore, it is unclear whether the
settlement amount reflected any reduction from Syncora’s expected payment obligations.
102. In connection with the Assured v. Flagstar settlement (June 2013), I also
reviewed the opinion written by Judge Rakoff following the Assured v. Flagstar trial (February
2013). After trial, the court awarded Assured full reimbursement for its payments made under
the policy ($89.1 million), as well as legal expenses and other costs to be determined later. It did
so based on evidence that Flagstar’s obligation to repurchase defective loans would have been
sufficient to cover the entire loss to bonds wrapped by Assured. The parties subsequently settled
for $106.5 million, on top of which Flagstar will also reimburse Assured for all future claims on
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its insurance policies. This settlement after trial thus reflects a roughly 15-20% premium over
the total shortfall to the wrapped bonds.
103. Based on these recent monoline settlements and the possibility that the
monolines could recover more than the wrapped bond losses, I determined that it was appropriate
to apply a Settlement Factor range from 80% of the total expected bond losses to 100% of the
total bond losses, while recognizing that a payment above the total bond losses to account for
potential indemnification expenses and interest payments, as occurred in Assured v. Flagstar, is
not outside the range of reasonableness.
104. The trust level data and calculations for the bonds wrapped by each of the
four monolines are set forth in Annex F.
C. Opinions Regarding the Ambac Settlement.
105. The Plan seeks to resolve claims asserted by Ambac relating to 64 Debtor-
sponsored RMBS trusts for which Ambac provided insurance, promising to pay investors to
compensate for any shortfall in principal or interest payments in the Wrapped bonds.21 My
analysis is limited to evaluating the claim for potential shortfall in principal and interest
payments on the Debtor-sponsored wrapped bonds.
106. As a result, the first step in my analysis of Ambac’s damages was to
estimate Ambac’s potential lifetime payments to cover shortfalls in principal and interest
payments to the wrapped bonds in the trusts wrapped by Ambac.
21
In addition, the Ambac settlement resolves claims with respect to non-Debtor-sponsored trusts wrapped by
Ambac, for which Ambac has asserted claims against the Debtors based on the Debtors’ servicing. My analysis of
the Ambac settlement does not address those additional claims. As noted above, my analysis of the non-Debtor-
sponsored trusts is ongoing.
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1. Ambac’s Estimated Aggregate Lifetime Shortfall Exposure.
107. I estimated Ambac’s aggregate lifetime shortfall exposure using the same
Illumination and Intex cash flow models discussed above to simulate the cash flows to each
tranche of bonds.
108. First, I collected the data concerning actual shortfalls to the wrapped
bonds in each trust insured by Ambac as of September 2013. Second, I forecasted the potential
lifetime shortfall for the specific tranches of bonds wrapped by Ambac, using the same low range
and high range assumptions that I used to calculate trust losses set forth above.
109. The actual shortfalls, and the low range and high range forecasted
remaining lifetime shortfalls to bonds wrapped by Ambac are:
Forecasted Remaining Lifetime
Actual Wrapped Wrapped Bond Shortfall
Trust Bond Losses (in millions)
(in millions)
2004‐KS4 $2.2 $5.6 $6.5
2004‐RS1 $0.0 $0.0 $0.0
2004‐RS5 $1.3 $8.1 $9.3
2004‐RS9 $1.8 $2.3 $2.7
2006‐QH1 $49.8 $2.4 $3.9
GMACM 2001‐HLTV1 $0.0 $0.0 $0.0
GMACM 2001‐HLTV2 $0.0 $0.0 $0.0
GMACM 2002‐HLTV1 $0.0 $0.0 $0.0
GMACM 2002‐RP2 $0.0 $0.0 $0.0
GMACM 2005‐HE3 $98.0 $4.6 $9.9
RAMP 1999‐RS1 $0.0 $0.0 $0.0
RAMP 2001‐RS1 $0.0 $0.0 $0.0
RAMP 2001‐RS3 $0.0 $0.0 $0.0
RAMP 2002‐RP1 $0.0 $0.0 $0.0
RAMP 2002‐RS1 $0.0 $0.0 $0.0
RAMP 2002‐RS2 $0.0 $0.0 $0.0
RAMP 2002‐RS4 $0.0 $0.0 $0.0
RAMP 2002‐RS5 $0.0 $0.0 $0.0
RAMP 2002‐RS6 $0.0 $0.0 $0.0
RAMP 2002‐RS7 $0.0 $0.0 $0.0
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(in millions)
RAMP 2002‐RZ4 $0.0 $0.0 $0.0
RAMP 2003‐RP1 $0.0 $0.0 $0.0
RAMP 2003‐RP2 $0.0 $0.0 $0.0
RAMP 2003‐RS1 $0.0 $0.0 $0.0
RAMP 2003‐RS2 $0.0 $0.0 $0.0
RAMP 2003‐RS3 $0.0 $0.0 $0.0
RAMP 2003‐RS4 $0.0 $0.0 $0.0
RAMP 2003‐RS5 $0.0 $0.0 $0.0
RAMP 2003‐RS6 $0.0 $0.0 $0.0
RAMP 2003‐RS7 $0.0 $0.0 $0.0
RAMP 2003‐RS8 $0.0 $0.0 $0.0
RAMP 2003‐RS9 $0.0 $0.0 $0.0
RAMP 2003‐RZ1 $0.0 $0.0 $0.0
RAMP 2003‐RZ2 $0.0 $0.0 $0.0
RAMP 2003‐RZ3 $0.0 $0.0 $0.0
RAMP 2003‐RZ4 $0.0 $0.0 $0.0
RAMP 2003‐RZ5 $0.0 $0.0 $0.0
RASC 2002‐KS1 $1.9 $8.6 $9.7
RASC 2002‐KS4 $12.0 $0.4 $0.6
RASC 2002‐KS6 $5.5 $1.2 $1.2
RASC 2002‐KS8 $8.3 $10.4 $11.1
RASC 2003‐KS4 $0.0 $0.0 $0.0
RASC 2003‐KS5 $0.0 $0.0 $0.0
RASC 2003‐KS9 $0.0 $1.2 $2.1
RFMSII 1999‐HI1 $0.0 $0.0 $0.0
RFMSII 1999‐HI4 $0.0 $0.0 $0.0
RFMSII 1999‐HI6 $0.0 $0.0 $0.0
RFMSII 1999‐HI8 $0.0 $0.0 $0.0
RFMSII 2000‐HI1 $0.0 $0.0 $0.0
RFMSII 2000‐HI2 $0.0 $0.0 $0.0
RFMSII 2000‐HI3 $0.0 $0.0 $0.0
RFMSII 2000‐HI4 $0.0 $0.0 $0.0
RFMSII 2000‐HI5 $0.0 $0.0 $0.0
RFMSII 2000‐HL1 $0.0 $0.0 $0.0
RFMSII 2001‐HI1 $0.0 $0.0 $0.0
RFMSII 2001‐HI2 $0.0 $0.0 $0.0
RFMSII 2001‐HI3 $0.0 $0.0 $0.0
RFMSII 2001‐HI4 $0.0 $0.0 $0.0
RFMSII 2001‐HS2 $0.0 $0.0 $0.0
RFMSII 2002‐HI1 $0.0 $0.0 $0.0
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(in millions)
RFMSII 2002‐HI2 $0.0 $0.0 $0.0
RFMSII 2002‐HI3 $0.0 $0.0 $0.0
RFMSII 2003‐HI3 $0.0 $0.0 $0.0
RFMSII 2003‐HS4 $0.0 $0.0 $0.0
Total $180.8 $44.8 $57.0
110. Third, I added the actual bond shortfalls to the forecasted potential
shortfalls, to determine the total potential lifetime shortfalls to the wrapped bonds. The
calculations of the low range and the high range total potential lifetime shortfalls for the bonds
wrapped by Ambac are:
LOWER RANGE
Forecasted
Actual Total Potential
Remaining Lifetime
Wrapped Lifetime
Trust + Wrapped Bond =
Bond Losses Wrapped Bond
Shortfall
(in millions) Shortfall
(in millions)
2004‐KS4 $2.2 $5.6 $7.8
2004‐RS1 $0.0 $0.0 $0.0
2004‐RS5 $1.3 $8.1 $9.4
2004‐RS9 $1.8 $2.3 $4.0

2006‐QH1 $49.8 $2.4 $52.3

GMACM 2001‐HLTV1 $0.0 $0.0 $0.0

GMACM 2001‐HLTV2 $0.0 $0.0 $0.0

GMACM 2002‐HLTV1 $0.0 $0.0 $0.0

GMACM 2002‐RP2 $0.0 $0.0 $0.0

GMACM 2005‐HE3 $98.0 $4.6 $102.6
RAMP 1999‐RS1 $0.0 $0.0 $0.0
RAMP 2001‐RS1 $0.0 $0.0 $0.0
RAMP 2001‐RS3 $0.0 $0.0 $0.0
RAMP 2002‐RP1 $0.0 $0.0 $0.0
RAMP 2002‐RS1 $0.0 $0.0 $0.0
RAMP 2002‐RS2 $0.0 $0.0 $0.0
RAMP 2002‐RS4 $0.0 $0.0 $0.0
RAMP 2002‐RS5 $0.0 $0.0 $0.0
RAMP 2002‐RS6 $0.0 $0.0 $0.0
RAMP 2002‐RS7 $0.0 $0.0 $0.0
-41-
LOWER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
RAMP 2002‐RZ4 $0.0 $0.0 $0.0
RAMP 2003‐RP1 $0.0 $0.0 $0.0
RAMP 2003‐RP2 $0.0 $0.0 $0.0
RAMP 2003‐RS1 $0.0 $0.0 $0.0
RAMP 2003‐RS2 $0.0 $0.0 $0.0
RAMP 2003‐RS3 $0.0 $0.0 $0.0
RAMP 2003‐RS4 $0.0 $0.0 $0.0
RAMP 2003‐RS5 $0.0 $0.0 $0.0
RAMP 2003‐RS6 $0.0 $0.0 $0.0
RAMP 2003‐RS7 $0.0 $0.0 $0.0
RAMP 2003‐RS8 $0.0 $0.0 $0.0
RAMP 2003‐RS9 $0.0 $0.0 $0.0

RAMP 2003‐RZ1 $0.0 $0.0 $0.0

RAMP 2003‐RZ2 $0.0 $0.0 $0.0

RAMP 2003‐RZ3 $0.0 $0.0 $0.0

RAMP 2003‐RZ4 $0.0 $0.0 $0.0

RAMP 2003‐RZ5 $0.0 $0.0 $0.0
RASC 2002‐KS1 $1.9 $8.6 $10.5
RASC 2002‐KS4 $12.0 $0.4 $12.3
RASC 2002‐KS6 $5.5 $1.2 $6.7
RASC 2002‐KS8 $8.3 $10.4 $18.7
RASC 2003‐KS4 $0.0 $0.0 $0.0
RASC 2003‐KS5 $0.0 $0.0 $0.0
RASC 2003‐KS9 $0.0 $1.2 $1.2
RFMSII 1999‐HI1 $0.0 $0.0 $0.0
RFMSII 1999‐HI4 $0.0 $0.0 $0.0
RFMSII 1999‐HI6 $0.0 $0.0 $0.0
RFMSII 1999‐HI8 $0.0 $0.0 $0.0
RFMSII 2000‐HI1 $0.0 $0.0 $0.0
RFMSII 2000‐HI2 $0.0 $0.0 $0.0
RFMSII 2000‐HI3 $0.0 $0.0 $0.0
RFMSII 2000‐HI4 $0.0 $0.0 $0.0
RFMSII 2000‐HI5 $0.0 $0.0 $0.0
RFMSII 2000‐HL1 $0.0 $0.0 $0.0
RFMSII 2001‐HI1 $0.0 $0.0 $0.0
RFMSII 2001‐HI2 $0.0 $0.0 $0.0
RFMSII 2001‐HI3 $0.0 $0.0 $0.0
RFMSII 2001‐HI4 $0.0 $0.0 $0.0
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LOWER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
RFMSII 2001‐HS2 $0.0 $0.0 $0.0
RFMSII 2002‐HI1 $0.0 $0.0 $0.0
RFMSII 2002‐HI2 $0.0 $0.0 $0.0
RFMSII 2002‐HI3 $0.0 $0.0 $0.0
RFMSII 2003‐HI3 $0.0 $0.0 $0.0
RFMSII 2003‐HS4 $0.0 $0.0 $0.0
Total $180.8 $44.8 $225.6
HIGHER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
2004‐KS4 $2.2 $6.5 $8.7
2004‐RS1 $0.0 $0.0 $0.0
2004‐RS5 $1.3 $9.3 $10.6
2004‐RS9 $1.8 $2.7 $4.4
2006‐QH1 $49.8 $3.9 $53.7
GMACM 2001‐HLTV1 $0.0 $0.0 $0.0
GMACM 2001‐HLTV2 $0.0 $0.0 $0.0
GMACM 2002‐HLTV1 $0.0 $0.0 $0.0

GMACM 2002‐RP2 $0.0 $0.0 $0.0

GMACM 2005‐HE3 $98.0 $9.9 $107.9

RAMP 1999‐RS1 $0.0 $0.0 $0.0

RAMP 2001‐RS1 $0.0 $0.0 $0.0

RAMP 2001‐RS3 $0.0 $0.0 $0.0

RAMP 2002‐RP1 $0.0 $0.0 $0.0
RAMP 2002‐RS1 $0.0 $0.0 $0.0
RAMP 2002‐RS2 $0.0 $0.0 $0.0
RAMP 2002‐RS4 $0.0 $0.0 $0.0
RAMP 2002‐RS5 $0.0 $0.0 $0.0
RAMP 2002‐RS6 $0.0 $0.0 $0.0
RAMP 2002‐RS7 $0.0 $0.0 $0.0
RAMP 2002‐RZ4 $0.0 $0.0 $0.0
RAMP 2003‐RP1 $0.0 $0.0 $0.0
RAMP 2003‐RP2 $0.0 $0.0 $0.0
RAMP 2003‐RS1 $0.0 $0.0 $0.0
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HIGHER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
RAMP 2003‐RS2 $0.0 $0.0 $0.0
RAMP 2003‐RS3 $0.0 $0.0 $0.0
RAMP 2003‐RS4 $0.0 $0.0 $0.0
RAMP 2003‐RS5 $0.0 $0.0 $0.0
RAMP 2003‐RS6 $0.0 $0.0 $0.0
RAMP 2003‐RS7 $0.0 $0.0 $0.0
RAMP 2003‐RS8 $0.0 $0.0 $0.0
RAMP 2003‐RS9 $0.0 $0.0 $0.0
RAMP 2003‐RZ1 $0.0 $0.0 $0.0
RAMP 2003‐RZ2 $0.0 $0.0 $0.0
RAMP 2003‐RZ3 $0.0 $0.0 $0.0
RAMP 2003‐RZ4 $0.0 $0.0 $0.0

RAMP 2003‐RZ5 $0.0 $0.0 $0.0

RASC 2002‐KS1 $1.9 $9.7 $11.6

RASC 2002‐KS4 $12.0 $0.6 $12.6

RASC 2002‐KS6 $5.5 $1.2 $6.7

RASC 2002‐KS8 $8.3 $11.1 $19.4
RASC 2003‐KS4 $0.0 $0.0 $0.0
RASC 2003‐KS5 $0.0 $0.0 $0.0
RASC 2003‐KS9 $0.0 $2.1 $2.1
RFMSII 1999‐HI1 $0.0 $0.0 $0.0
RFMSII 1999‐HI4 $0.0 $0.0 $0.0
RFMSII 1999‐HI6 $0.0 $0.0 $0.0
RFMSII 1999‐HI8 $0.0 $0.0 $0.0
RFMSII 2000‐HI1 $0.0 $0.0 $0.0
RFMSII 2000‐HI2 $0.0 $0.0 $0.0
RFMSII 2000‐HI3 $0.0 $0.0 $0.0
RFMSII 2000‐HI4 $0.0 $0.0 $0.0
RFMSII 2000‐HI5 $0.0 $0.0 $0.0
RFMSII 2000‐HL1 $0.0 $0.0 $0.0
RFMSII 2001‐HI1 $0.0 $0.0 $0.0
RFMSII 2001‐HI2 $0.0 $0.0 $0.0
RFMSII 2001‐HI3 $0.0 $0.0 $0.0
RFMSII 2001‐HI4 $0.0 $0.0 $0.0
RFMSII 2001‐HS2 $0.0 $0.0 $0.0
RFMSII 2002‐HI1 $0.0 $0.0 $0.0
RFMSII 2002‐HI2 $0.0 $0.0 $0.0
RFMSII 2002‐HI3 $0.0 $0.0 $0.0
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HIGHER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
RFMSII 2003‐HI3 $0.0 $0.0 $0.0
RFMSII 2003‐HS4 $0.0 $0.0 $0.0
Total $180.8 $57.0 $237.8
111. As reflected in the charts above, the aggregate total potential lifetime
shortfall to the bonds wrapped by Ambac ranges from $225.6 million to $237.8 million, which
does not include amounts for indemnification of fees, expenses and interest.
2. Estimating Potential Liability Accounting for Settlement
112. The second step in my analysis was to account for potential settlement.
As discussed above, based on a review of recent monoline settlements, I observed that monoline
claims had recently settled for between 80% and 120% of the wrapped bond shortfalls.
113. I understand that in addition to the shortfall in principal or interest
payments, Ambac asserts claims against the Debtors for interest and indemnification of
expenses. However, I have not reviewed the basis for those additional claimed amounts and my
analysis of Ambac’s claims is limited to evaluating potential liability with respect to the shortfall
to the wrapped bonds. I determined that settlement of the bond shortfall claims might range
from 80% to 100% of potential lifetime shortfalls. However, I recognize that monoline claims
have settled for amounts in excess of the bond shortfalls in certain circumstances.
114. To establish the high end of my range of potential liability with respect to
the bond shortfalls, I used 100% of the potential lifetime shortfall to the bonds based on my
higher range assumptions. For the lower end of my range, I started with 100% of the potential
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lifetime shortfall to the bonds based on my lower range assumptions, and then discounted that
number to 80%. The calculations are:

Range of Debtors’

Settlement Factor Potential Liability to
Total Bond
Ambac
Shortfall X =
Low High Low High
Range Range Range Range
Lower Range Total
$225.6 80% ‐
Potential Shortfall
$180.5 $237.8
Higher Range Total
$237.8 ‐ 100%
Potential Shortfall
D. Opinions Regarding the Assured Settlement.
115. The Plan seeks to resolve claims asserted by Assured relating to three
Debtor-sponsored RMBS trusts for which Assured provided insurance, promising to pay
investors to compensate for any shortfall in principal or interest payments in the wrapped bonds.
My analysis is limited to evaluating the claim for potential shortfall in principal and interest
payments on the Debtor-sponsored wrapped bonds. 22
116. As a result, the first step in my analysis of Assured’s damages was to
estimate Assured’s potential lifetime payments to cover shortfalls in principal and interest
payments to the wrapped bonds in the trusts wrapped by Assured.
1. Assured’s Estimated Aggregate Lifetime Shortfall Exposure.
117. I estimated Assured’s aggregate lifetime shortfall exposure using the same
tranche of bonds.
22
I understand that Assured asserted servicing claims with respect to additional Debtor-sponsored trusts. I have not
analyzed those claims.
-46-
bonds in each trust insured by Assured as of September 2013. Second, I forecasted the potential
lifetime shortfall for the specific tranches of bonds wrapped by Assured, using the same low
range and high range assumptions that I used to calculate trust losses set forth above.
remaining lifetime shortfalls to bonds wrapped by Assured are:
(in millions)
GMACM 2004‐HE3 $18.7 $2.7 $6.6
HEL 2006‐HSA3 $51.8 $0.4 $0.5
RFMSI 2005‐S5 $0.0 $0.0 $0.0
Total $70.5 $3.1 $7.1
wrapped by Assured are:
LOWER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
GMACM 2004‐HE3 $18.7 $2.7 $21.4
HEL 2006‐HSA3 $51.8 $0.4 $52.2
RFMSI 2005‐S5 $0.0 $0.0 $0.0
Total $70.5 $3.1 $73.6
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HIGHER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
GMACM 2004‐HE3 $18.7 $6.6 $25.3
HEL 2006‐HSA3 $51.8 $0.5 $52.3
RFMSI 2005‐S5 $0.0 $0.0 $0.0
Total $70.5 $7.1 $77.6
shortfall to the bonds wrapped by Assured ranges from $73.6 million to $77.6 million, which
does not include amounts for indemnification of fees, expenses and interest.
payments, Assured asserts claims against the Debtors for interest and indemnification of
expenses. However, I have not reviewed the basis for those additional claimed amounts and my
analysis of Assured’s claims is limited to evaluating potential liability with respect to the
shortfall to the wrapped bonds. I determined that settlement of the bond shortfall claims might
range from 80% to 100% of potential lifetime shortfalls. However, I recognize that monoline
claims have settled for amounts in excess of the bond shortfalls in certain circumstances.
-48-

Range of Debtors’

Total Bond Settlement Factor Potential Liability to

Shortfall Assured (millions)
X =
(millions)
Low High Low High
Lower Range Total
$73.6 80% ‐
Potential Shortfall
$58.9 $77.6
Higher Range Total
$77.6 ‐ 100%
Potential Shortfall
E. Opinions Regarding the FGIC Settlement.
125. The Plan seeks to resolve claims asserted by FGIC relating to 47 Debtor-
sponsored RMBS trusts for which FGIC provided insurance, promising to pay investors to
compensate for any shortfall in principal or interest payments in the wrapped bonds. My
analysis evaluates the claim for potential shortfall in principal and interest payments on the
Debtor-sponsored wrapped bonds.
126. I understand that FGIC commuted its policies and therefore has no future
exposure with respect to the Debtor-sponsored trusts. My analysis estimates the potential
exposure to FGIC in the absence of a settlement and commutation.23 As a result, the first step in
my analysis was to estimate FGIC’s potential exposure in the absence of the FGIC settlement
and commutation, starting with FGIC’s potential lifetime payments to cover shortfalls in
principal and interest payments to the wrapped bonds in those two trusts.
23
I understand that, as part of the FGIC settlement agreement, the trustees already released certain claims with
respect to the FGIC-wrapped trusts, and the value of those releases was considered in the context of evaluating the
benefits of settlement. For purposes of this Report, in connection with evaluation of the FGIC allowed claims, I
limit my analysis to the Debtors’ potential liability to FGIC based on the lifetime estimated shortfall to FGIC-
wrapped bonds.
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1. FGIC’s Estimated Aggregate Lifetime Shortfall Exposure.
127. I estimated FGIC’s aggregate lifetime shortfall exposure using the same
tranche of bonds.
bonds in each trust insured by FGIC as of September 2013. Second, I forecasted the potential
lifetime shortfall for the specific tranches of bonds wrapped by FGIC, using the same low range
remaining lifetime shortfalls to bonds wrapped by FGIC are:
Actual Forecasted Remaining Lifetime
Wrapped Bond Wrapped Bond Shortfall
Trust (in millions)
Losses
(in millions) Lower Range Higher Range
GMACM 2005‐HE2 $3.2 $2.0 $2.7
GMACM 2006‐HE1 $111.0 $45.2 $75.1
GMACM 2006‐HE2 $62.8 $8.7 $9.6
GMACM 2006‐HE3 $105.0 $2.0 $3.7
GMACM 2006‐HE5 $0.0 $0.0 $0.0
GMACM 2007‐HE2 $161.0 $7.0 $9.2
GMACM 2001‐HE3 $1.2 $0.0 $0.2
GMACM 2001‐HE2 $1.3 $0.0 $0.0
GMACM 2002‐HE1 $0.0 $0.3 $1.0
GMACM 2002‐HE4 $0.0 $0.0 $0.0
GMACM 2003‐HE1 $0.0 $0.0 $0.0
GMACM 2003‐HE2 $0.0 $0.0 $0.0
GMACM 2004‐HE1 $1.6 $0.0 $5.4
GMACM 2004‐HE5 $0.0 $0.0 $0.0
GMACM 2005‐HE1 $37.7 $3.3 $8.7
GMACM 2006‐HLTV1 $0.0 $0.0 $0.0
GMACM 2004‐HLTV1 $0.0 $0.0 $0.0
RFMSII 2005‐HS1 $13.8 $48.5 $49.5
RFMSII 2005‐HS2 $24.9 $58.6 $59.5
RFMSII 2005‐HSA1 $32.7 $38.9 $39.2
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Actual Forecasted Remaining Lifetime
Trust Wrapped Bond Wrapped Bond Shortfall
Losses (in millions)
RFMSII Trust 2006‐HSA2 $51.1 $71.2 $76.4
RFMSII 2006‐HI2 $0.0 $31.5 $32.4
RFMSII 2006‐HI3 $0.0 $12.3 $13.0
RFMSII 2006‐HI4 $7.3 $43.2 $44.6
RFMSII 2006‐HI5 $1.2 $47.9 $49.2
RFMSII 2007‐HI1 $0.0 $54.0 $55.6
RAMP 2004‐RS7 $8.6 $17.1 $18.5
RAMP 2004‐RZ2 $4.8 $7.1 $7.5
RAMP 2005‐EFC7 $38.8 $11.9 $14.6
RAMP 2005‐NC1 $62.9 $17.0 $19.6
RAMP 2005‐RS9 $110.5 $14.5 $16.5
RASC 2001‐KS1 $0.0 $2.8 $3.4
RASC 2004‐KS7 $4.2 $8.0 $8.8
RASC 2004‐KS9 $4.0 $3.0 $3.6
RASC 2005‐EMX5 $39.5 $4.9 $5.9
RASC 2007‐EMX1 $45.0 $55.7 $61.2
RFMSII 2003‐HS1 $0.0 $0.0 $0.0
RFMSII 2005‐HI1 $0.0 $0.0 $0.0
RFMSII 2002‐HS3 $0.0 $0.0 $0.0
RFMSII 2003‐HS2 $0.0 $0.0 $0.0
RFMSII 2004‐HI2 $0.0 $0.0 $0.0
RFMSII 2004‐HI3 $0.0 $0.0 $0.0
RFMSII 2004‐HS1 $0.0 $0.0 $0.0
RFMSII 2004‐HS3 $0.0 $0.0 $0.0
RFMSI 2005‐S2 $0.0 $0.0 $0.0
RFMSI 2005‐S7 $1.1 $3.0 $3.2
RFMSII 2006‐HSA1 $74.9 $6.1 $6.7
Total $1,009.9 $625.8 $704.6
wrapped by FGIC are:
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LOWER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
GMACM 2005‐HE2 $3.2 $2.0 $5.2
GMACM 2006‐HE1 $111.0 $45.2 $156.2
GMACM 2006‐HE2 $62.8 $8.7 $71.4
GMACM 2006‐HE3 $105.0 $2.0 $107.1
GMACM 2006‐HE5 $0.0 $0.0 $0.0
GMACM 2007‐HE2 $161.0 $7.0 $168.1
GMACM 2001‐HE3 $1.2 $0.0 $1.2
GMACM 2001‐HE2 $1.3 $0.0 $1.3
GMACM 2002‐HE1 $0.0 $0.3 $0.4
GMACM 2002‐HE4 $0.0 $0.0 $0.0
GMACM 2003‐HE1 $0.0 $0.0 $0.0
GMACM 2003‐HE2 $0.0 $0.0 $0.0

GMACM 2004‐HE1 $1.6 $0.0 $1.6

GMACM 2004‐HE5 $0.0 $0.0 $0.0

GMACM 2005‐HE1 $37.7 $3.3 $41.0

GMACM 2006‐HLTV1 $0.0 $0.0 $0.0

GMACM 2004‐HLTV1 $0.0 $0.0 $0.0
RFMSII 2005‐HS1 $13.8 $48.5 $62.3
RFMSII 2005‐HS2 $24.9 $58.6 $83.4
RFMSII 2005‐HSA1 $32.7 $38.9 $71.6
RFMSII Trust 2006‐ $51.1 $71.2 $122.3
HSA2
RFMSII 2006‐HI2 $0.0 $31.5 $31.5
RFMSII 2006‐HI3 $0.0 $12.3 $12.3
RFMSII 2006‐HI4 $7.3 $43.2 $50.5
RFMSII 2006‐HI5 $1.2 $47.9 $49.1
RFMSII 2007‐HI1 $0.0 $54.0 $54.0
RAMP 2004‐RS7 $8.6 $17.1 $25.7
RAMP 2004‐RZ2 $4.8 $7.1 $11.9
RAMP 2005‐EFC7 $38.8 $11.9 $50.6
RAMP 2005‐NC1 $62.9 $17.0 $79.8
RAMP 2005‐RS9 $110.5 $14.5 $125.0
RASC 2001‐KS1 $0.0 $2.8 $2.8
RASC 2004‐KS7 $4.2 $8.0 $12.2
RASC 2004‐KS9 $4.0 $3.0 $7.0
RASC 2005‐EMX5 $39.5 $4.9 $44.4
RASC 2007‐EMX1 $45.0 $55.7 $100.8
RFMSII 2003‐HS1 $0.0 $0.0 $0.0
RFMSII 2005‐HI1 $0.0 $0.0 $0.0
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LOWER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
RFMSII 2002‐HS3 $0.0 $0.0 $0.0
RFMSII 2003‐HS2 $0.0 $0.0 $0.0
RFMSII 2004‐HI2 $0.0 $0.0 $0.0
RFMSII 2004‐HI3 $0.0 $0.0 $0.0
RFMSII 2004‐HS1 $0.0 $0.0 $0.0
RFMSII 2004‐HS3 $0.0 $0.0 $0.0
RFMSI 2005‐S2 $0.0 $0.0 $0.0
RFMSI 2005‐S7 $1.1 $3.0 $4.1
RFMSII 2006‐HSA1 $74.9 $6.1 $81.0
Total $1,009.9 $625.8 $1,635.7
HIGHER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
GMACM 2005‐HE2 $3.2 $2.7 $5.8
GMACM 2006‐HE1 $111.0 $75.1 $186.1
GMACM 2006‐HE2 $62.8 $9.6 $72.4
GMACM 2006‐HE3 $105.0 $3.7 $108.7
GMACM 2006‐HE5 $0.0 $0.0 $0.0
GMACM 2007‐HE2 $161.0 $9.2 $170.3
GMACM 2001‐HE3 $1.2 $0.2 $1.3
GMACM 2001‐HE2 $1.3 $0.0 $1.3
GMACM 2002‐HE1 $0.0 $1.0 $1.0
GMACM 2002‐HE4 $0.0 $0.0 $0.0
GMACM 2003‐HE1 $0.0 $0.0 $0.0

GMACM 2003‐HE2 $0.0 $0.0 $0.0

GMACM 2004‐HE1 $1.6 $5.4 $7.0

GMACM 2004‐HE5 $0.0 $0.0 $0.0

GMACM 2005‐HE1 $37.7 $8.7 $46.4

GMACM 2006‐HLTV1 $0.0 $0.0 $0.0

GMACM 2004‐HLTV1 $0.0 $0.0 $0.0
RFMSII 2005‐HS1 $13.8 $49.5 $63.3
RFMSII 2005‐HS2 $24.9 $59.5 $84.3
-53-
HIGHER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
RFMSII 2005‐HSA1 $32.7 $39.2 $71.8
RFMSII Trust 2006‐HSA2 $51.1 $76.4 $127.5
RFMSII 2006‐HI2 $0.0 $32.4 $32.4
RFMSII 2006‐HI3 $0.0 $13.0 $13.0
RFMSII 2006‐HI4 $7.3 $44.6 $51.9
RFMSII 2006‐HI5 $1.2 $49.2 $50.4
RFMSII 2007‐HI1 $0.0 $55.6 $55.6
RAMP 2004‐RS7 $8.6 $18.5 $27.1
RAMP 2004‐RZ2 $4.8 $7.5 $12.3
RAMP 2005‐EFC7 $38.8 $14.6 $53.4
RAMP 2005‐NC1 $62.9 $19.6 $82.5
RAMP 2005‐RS9 $110.5 $16.5 $127.0

RASC 2001‐KS1 $0.0 $3.4 $3.4

RASC 2004‐KS7 $4.2 $8.8 $13.1

RASC 2004‐KS9 $4.0 $3.6 $7.6

RASC 2005‐EMX5 $39.5 $5.9 $45.4

RASC 2007‐EMX1 $45.0 $61.2 $106.3
RFMSII 2003‐HS1 $0.0 $0.0 $0.0
RFMSII 2005‐HI1 $0.0 $0.0 $0.0
RFMSII 2002‐HS3 $0.0 $0.0 $0.0
RFMSII 2003‐HS2 $0.0 $0.0 $0.0
RFMSII 2004‐HI2 $0.0 $0.0 $0.0
RFMSII 2004‐HI3 $0.0 $0.0 $0.0
RFMSII 2004‐HS1 $0.0 $0.0 $0.0
RFMSII 2004‐HS3 $0.0 $0.0 $0.0
RFMSI 2005‐S2 $0.0 $0.0 $0.0
RFMSI 2005‐S7 $1.1 $3.2 $4.3
RFMSII 2006‐HSA1 $74.9 $6.7 $81.6
Total $1,009.9 $704.6 $1,714.5
shortfall to the bonds wrapped by FGIC ranges from $1.64 billion to $1.71 billion, which does
not include amounts for indemnification of fees, expenses and interest.
-54-
payments, FGIC asserts claims against the Debtors for interest and indemnification of expenses.
However, I have not reviewed the basis for those additional claimed amounts and my analysis of
FGIC’s claims is limited to evaluating potential liability with respect to the shortfall to the
wrapped bonds. I determined that settlement of the bond shortfall claims might range from 80%
to 100% of potential lifetime shortfalls. However, I recognize that monoline claims have settled
for amounts in excess of the bond shortfalls in certain circumstances.
higher range assumptions. For the lower end of my range, I started with the 100% of the
potential liability with respect to the Bond shortfalls is 100% of the potential lifetime shortfall to
the bonds based on my lower range assumptions, and then discounted that number to 80%. The
calculations are:

Range of Debtors’


Shortfall FGIC (millions)
X =
(millions)
Low High Low High
Lower Range Total
$1,635.7 80% ‐
Potential Shortfall
$1,308.6 $1,714.5
Higher Range Total
$1,714.5 ‐ 100%
Potential Shortfall
-55-
F. Opinions Regarding the MBIA Settlement.
135. The Plan seeks to resolve claims asserted by MBIA relating to 24 Debtor-
sponsored RMBS trusts for which MBIA provided insurance, promising to pay investors to
compensate for any shortfall in principal or interest payments in the wrapped bonds.24
136. As a result, the first step in my analysis of MBIA’s damages was to
estimate MBIA’s potential lifetime payments to cover shortfalls in principal and interest
payments to the holders of the wrapped bonds in those 24 trusts.
1. MBIA’s Estimated Aggregate Lifetime Shortfall Exposure.
137. I estimated MBIA’s aggregate lifetime shortfall exposure using the same
Illumination and Intex cash flow models discussed above to simulate the cash flows to the
holders of each tranche of bonds.
bonds in each trust insured by MBIA as of September 2013. Second, I forecasted the potential
lifetime shortfall for the specific tranches of bonds wrapped by MBIA, using the same low range
remaining lifetime shortfalls to bonds wrapped by MBIA are:
(in millions)
GMAC 2000‐HE2 $3.1 $0.2 $0.3
GMAC 2000‐HE4 $2.2 $0.6 $0.8
GMAC 2002‐HE3 $0.0 $0.0 $0.0
24
In addition, the MBIA settlement resolves claims with respect to non-Debtor- sponsored trusts wrapped by MBIA.
My analysis of the MBIA settlement does not address those additional claims. As noted above, my analysis of the
non-Debtor sponsored trusts is ongoing.
-56-
(in millions)
GMAC 2003‐GH1 $0.0 $0.0 $0.0
GMAC 2004 Variable $0.0 $0.0 $0.0
GMAC 2004‐HE4 $36.1 $3.4 $8.3
GMAC 2004‐J1 $0.0 $0.0 $0.0
GMAC 2004‐J2 $0.0 $0.0 $0.0
GMAC 2006‐HE4 $235.6 $13.9 $30.8
GMAC 2007‐HE1 $157.7 $6.4 $8.1
RALI 2002‐QS15 $0.0 $0.0 $0.0
RALI 2003‐QS1 $0.0 $0.0 $0.0
RALI 2003‐QS8 $0.0 $0.0 $0.0
RALI 2003‐S13 $0.0 $0.0 $0.0
RALI 2003‐S4 $0.0 $0.0 $0.0
RFC 2004‐HS2 $1.7 $0.7 $0.7
RFC 2004‐S4 $0.0 $0.0 $0.0
RFC 2006‐HSA4 $110.5 $3.0 $3.5
RFC 2006‐HSA5 $107.9 $5.9 $6.4
RFC 2007‐HSA1 $235.5 $5.6 $7.9
RFC 2007‐HSA2 $778.3 $24.7 $27.3
RFC 2007‐HSA3 $429.6 $25.9 $28.1
RFMSI 2004‐SR1 $0.0 $0.0 $0.0
RFMSII 2003‐HS3 $0.0 $0.0 $0.0
Total $2,098.2 $90.3 $122.0
wrapped by MBIA are:
LOWER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
GMAC 2000‐HE2 $3.1 $0.2 $3.3
GMAC 2000‐HE4 $2.2 $0.6 $2.8
GMAC 2002‐HE3 $0.0 $0.0 $0.0
-57-
LOWER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
GMAC 2003‐GH1 $0.0 $0.0 $0.0
GMAC 2004 Variable $0.0 $0.0 $0.0
GMAC 2004‐HE4 $36.1 $3.4 $39.5
GMAC 2004‐J1 $0.0 $0.0 $0.0
GMAC 2004‐J2 $0.0 $0.0 $0.0
GMAC 2006‐HE4 $235.6 $13.9 $249.5
GMAC 2007‐HE1 $157.7 $6.4 $164.1
RALI 2002‐QS15 $0.0 $0.0 $0.0
RALI 2003‐QS1 $0.0 $0.0 $0.0
RALI 2003‐QS8 $0.0 $0.0 $0.0
RALI 2003‐S13 $0.0 $0.0 $0.0
RALI 2003‐S4 $0.0 $0.0 $0.0

RFC 2004‐HS2 $1.7 $0.7 $2.4

RFC 2004‐S4 $0.0 $0.0 $0.0

RFC 2006‐HSA4 $110.5 $3.0 $113.5

RFC 2006‐HSA5 $107.9 $5.9 $113.8

RFC 2007‐HSA1 $235.5 $5.6 $241.2
RFC 2007‐HSA2 $778.3 $24.7 $802.9
RFC 2007‐HSA3 $429.6 $25.9 $455.5
RFMSI 2004‐SR1 $0.0 $0.0 $0.0
RFMSII 2003‐HS3 $0.0 $0.0 $0.0
Total $2,098.2 $90.3 $2,188.5
HIGHER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
GMAC 2000‐HE2 $3.1 $0.3 $3.4
GMAC 2000‐HE4 $2.2 $0.8 $2.9
GMAC 2002‐HE3 $0.0 $0.0 $0.0
GMAC 2003‐GH1 $0.0 $0.0 $0.0
GMAC 2004 Variable $0.0 $0.0 $0.0
GMAC 2004‐HE4 $36.1 $8.3 $44.4
GMAC 2004‐J1 $0.0 $0.0 $0.0
GMAC 2004‐J2 $0.0 $0.0 $0.0
-58-
HIGHER RANGE
Forecasted
Remaining Lifetime
Wrapped Lifetime
Shortfall
(in millions)
GMAC 2006‐HE4 $235.6 $30.8 $266.4
GMAC 2007‐HE1 $157.7 $8.1 $165.8
RALI 2002‐QS15 $0.0 $0.0 $0.0
RALI 2003‐QS1 $0.0 $0.0 $0.0
RALI 2003‐QS8 $0.0 $0.0 $0.0
RALI 2003‐S13 $0.0 $0.0 $0.0
RALI 2003‐S4 $0.0 $0.0 $0.0
RFC 2004‐HS2 $1.7 $0.7 $2.4
RFC 2004‐S4 $0.0 $0.0 $0.0
RFC 2006‐HSA4 $110.5 $3.5 $114.0
RFC 2006‐HSA5 $107.9 $6.4 $114.2
RFC 2007‐HSA1 $235.5 $7.9 $243.4
RFC 2007‐HSA2 $778.3 $27.3 $805.5
RFC 2007‐HSA3 $429.6 $28.1 $457.7
RFMSI 2004‐SR1 $0.0 $0.0 $0.0
RFMSII 2003‐HS3 $0.0 $0.0 $0.0
Total $2,098.2 $122.0 $2,220.2
shortfall to the bonds wrapped by MBIA ranges from $2.19 billion to $2.22 billion, which does
not include amounts for indemnification of fees, expenses and interest.
claims had recently settled for between 80% and 120% of the wrapped Bond shortfalls.
payments, MBIA asserts claims against the Debtors for interest and indemnification of expenses.
However, I have not reviewed the basis for those additional claimed amounts and my analysis of
MBIA’s claims is limited to evaluating potential liability with respect to the shortfall to the
-59-
wrapped bonds. I determined that settlement of the bond shortfall claims might range from 80%
to 100% of potential lifetime shortfalls. However, I recognize that monoline claims have settled
for amounts in excess of the bond shortfalls in certain circumstances.

Range of Debtors’


Shortfall MBIA (millions)
X =
(millions)
Low High Low High
Lower Range Total
$2,188.5 80% ‐
Potential Shortfall
1,750.8 $2,220.2
Higher Range Total
$2,220.2 ‐ 100%
Potential Shortfall
-60-
CONCLUSION
145. In summary, for this Report I utilized a trust level cash flow model process
regularly used by market participants and financial institutions to estimate the Debtors’ potential
exposure to the Debtor-sponsored trusts based on collateral losses to the trusts. I used the same
model to estimate potential exposure to Ambac, Assured, FGIC, and MBIA for shortfalls on
wrapped bonds in Debtor-sponsored trusts. I also estimated the Debtors’ potential exposure for
loans sold by the Debtors and included non-Debtor-sponsored trusts, based on the performance
of the similar loans in the Debtor-sponsored trusts. Accordingly, the methodologies that I used
in this Report are generally accepted in the industry as a sound means of estimating repurchase
exposure. Based on my analysis described above, it is my opinion that:
(a) a reasonable range of potential exposure to the trusts included in
the RBMS Settlement is $7.38 billion to $8.6 billion;
(b) a reasonable range of potential exposure to Ambac is $180.5
million to $237.8 million;
(c) a reasonable range of potential exposure to Assured is $58.9
million to $77.6 million;
(d) a reasonable range of potential exposure to FGIC is $1.3 billion to
$1.7 billon; and
(e) a reasonable range of potential exposure to MBIA is $1.75 billion
to $2.22 billion.
Dated: October 18, 2013
________________
Frank Sillman
-61-
ny-1113838
ANNEX A
Curriculum Vitae of
Frank Sillman
Manhattan Beach, CA 90266
Office Phone (310) 545-4548
Email: fsillman@fortace.com
Summary of  27 years of senior executive management experience in sales, marketing, operations,

qualifications secondary marketing, loan securitization, risk mitigation and consulting. This included
managing four multi-billion dollar, nationwide lending divisions and building innovative,
de novo operating divisions. My responsibilities also included managing Secondary
Marketing, Treasury, IT systems design/implementation, Accounting and Forecasting.
 Experience in building and managing scalable, profitable and low cost businesses.
 Helped design and implement risk based management models, risk mitigation
strategies and integrated imaging systems.
 Hired and developed a strong team of senior sales, marketing, operational, finance and
risk management executives.
Professional Fortace LLC 2008 to Present Los Angeles, CA

experience Managing Partner, Re-Underwriting & Consulting practice
Co-Founded and actively manages the leading Residential Mortgage Re-Underwriting &
Consulting firm that assists National banks, leading law firms and nationwide Mortgage
Banking firms in (1) managing risks associated with the origination and servicing of
residential mortgage loans and (2) the development and implementation of cost
management programs & processes. We developed a proprietary workflow system (FAS)
that allows us to securely investigate, document and provide supporting documentation to
help our clients reduce their RMBS and mortgage related risk exposure, mitigate potential
losses and exceed their internal ROI objectives. Additionally we created a Cost
Management and Accountability program that allowed our customers to dramatically cut
costs and efficiently manage those costs on an ongoing basis.
IMB Bank 1998 to 2008 Pasadena, CA

Executive Vice President, Mortgage Banking Group
Responsible for the Mortgage Banking businesses for a top ten nationwide residential
mortgage originator, with peak mortgage production of $100 Billion in 2006. Built and
managed our Retail, Wholesale, Correspondent and Warehouse Lending businesses.
This included the recruiting and retention of our nationwide sales and sales management
organization, development of a highly automated Marketing team that was leveraged over
all four divisions and a nationwide, low cost, decentralized operational infrastructure
including processing, underwriting, funding and post closing. We originated and sold via
loan securitizations and whole loan sales Agency, FHA, Private Label, Heloc, and Jumbo
residential loan production. I also helped design and implement an industry leading POS
pricing, ratelock, automated underwriting and imaging platform that improved customer
satisfaction, improved operational efficiencies, enhanced risk mitigation and lowered costs.
TCM/AHC Mortgage 1992-1998 Los Angeles, CA

Senior Vice President, Loan Production and Secondary Marketing
Responsible for retail mortgage banking loan production and secondary marketing for a
medium size mortgage banker. Grew the mortgage banking production volumes from
scratch in 1992 to $100 million plus per month. I helped grow the business from an
Curriculum Vitae of
Frank Sillman
Manhattan Beach, CA 90266
Office Phone (310) 545-4548
Email: fsillman@fortace.com
unprofitable Mortgage Brokerage model to a profitable Mortgage Banking model while

building the operation infrastructure to properly manage the compliance, underwriting,
closing and sales of closed loans into the secondary market.
Shearson Lehman Mortgage 1986-1992 Newport Beach, Ca

Senior Vice President, Secondary Marketing, Treasury and Warehouse
Lending
Managed all aspects of our Secondary Marketing activities including hedging, loan sales.
Securitization and pricing. I managed our Treasury department which including daily
Treasury operations, bank and commercial paper financing arrangements and applicable
accounting. I also oversaw our $500,000,000 Warehouse Lending business.
Education University of California, San Diego - Bachelor of Arts
Expert
Witness  Litigation Consulting & Expert Witness services in following areas: (1) Mortgage
Experience Origination process and controls, (2) Client Underwriting Guidelines, (3) Quality
Control processes, (4) Residential Loan Securitization including Origination and
Servicing Securitization Representations & Warranties.
 Fact Witness Deposition strategy and preparation
 Contributory Loss Analysis for Securitization Representation and Warranty losses
 Expert Report - Residential Capital, LLC Chapter 11 Bankruptcy – 9019 1st Expert
Declaration on $8.6 billion RMBS Trust Settlement Agreement filed 6/11/12 -
UNITED STATES BANKRUPTCY COURT SOUTHERN DISTRICT OF NEW
YORK - Case No. 12-12020 (MG)
 Expert Report - Residential Capital, LLC Chapter 11 Bankruptcy – 9019
Supplemental Expert Declaration on $8.6 billion RMBS Trust Settlement
Agreement filed 9/28/12 - UNITED STATES BANKRUPTCY COURT SOUTHERN
DISTRICT OF NEW YORK - Case No. 12-12020 (MG)
 Expert Report - Residential Capital, LLC Chapter 11 Bankruptcy – 9019 Expert
Reply Declaration on RMBS Trust Settlement Agreement filed 01/15/13 - UNITED
STATES BANKRUPTCY COURT SOUTHERN DISTRICT OF NEW YORK - Case
No. 12-12020 (MG)
 Expert Report - Residential Capital, LLC Chapter 11 Bankruptcy – 9019
Supplemental Declaration on RMBS Trust Settlement Agreement filed 02/19/13 -
UNITED STATES BANKRUPTCY COURT SOUTHERN DISTRICT OF NEW
YORK - Case No. 12-12020 (MG)
 Expert Deposition Testimony - Residential Capital, LLC Chapter 11 Bankruptcy –
RMBS Trust Settlement Agreement Expert Deposition given 11/20/12 (7 hours 20
minutes) - UNITED STATES BANKRUPTCY COURT SOUTHERN DISTRICT OF
NEW YORK - Case No. 12-12020 (MG)
ANNEX B
Annex B
Documents Relied On by Frank Sillman
Document Title, Bates Numbers Document Date
Filings in These Chapter 11 Proceedings

Debtor’s Application for an Order Authorizing Employment and July 6, 2012
Retention of Fortace LLC as Consultant to the Debtors Nunc Pro Tunc
(Docket No. 704)
Joint Chapter 11 Plan Proposed by Residential Capital, LLC, et al. July 3, 2013
(Docket No. 4153)
Plan Schedules 3G and 4G, filed in In re Residential Capital, LLC, et al. August 23, 2013
(Docket No. 4819-2)
Disclosure Statement for the Joint Chapter 11 Plan Proposed By August 23, 2013
Residential Capital, LLC, et al. and the Official Committee of
Unsecured Creditors, Exhibit 9, “Methodology for Calculation of
Recognized Claims,”
(Docket No. 4819-3)
Other Court Papers

Assured Guaranty Municipal Corp. v. UBS Real Estate Securities, Inc.,
Case No. 12-01579 (HB) (JCF), (S.D.N.Y.)
Assured Guaranty Municipal Corp. v. Flagstar Bank, FSB, et al.,

Case No. 11-2375 (JSR), (S.D.N.Y.)
Assured Guaranty Municipal Corp. v. Flagstar Bank, 11-cv-2375 (JSR),

2013 U.S. Dist. Lexis 16682 (S.D.N.Y.)
MBIA Insurance Corp.v. Countrywide Home Loans, Inc., Bank of America Corp.,
Index No. 602825/2008 (Supreme Court of New York)
MBIA Insurance Corp.v. Flagstar ABS, LLC et al.,

Index No. 13-0262 (S.D.N.Y)
Syncora Guarantee Inc.v. Countrywide Home Loans, Inc., Bank of America Corp.,
Index No. 650042/2009 (Supreme Court of New York)
In re Lehman Brothers Holdings Inc., Case No. 08-13555 (JMP), Docket January 12, 2012
No. 24255, Declaration of Zachary Trumpp in Support of Debtors’ Motion
Pursuant to Section 8.4 of the Modified Third Amended Joint Chapter 11 Plan
Articles, Books, and Other Documents
BasePoint Analytics LLC, White Paper, “Early Payment Default – 2007
Links to Fraud and Impact on Mortgage Lenders and Investment Banks”
Federal Housing Finance Agency Office of Inspector General, “Evaluation September 27, 2011
of the Federal Housing Finance Agency’s Oversight of Freddie Mac’s
Repurchase Settlement with Bank of America,” Evaluation Report No.
EVL-2011-006
Gamaitoni, Chris, CompassPoint Research & Trading, LLC, “Mortgage August 17, 2010
Repurchases Part II: Private Label RMBS Investors Take Aim –
Quantifying the Risks”
Inside Mortgage Finance Publications, Analyzing GSE Mortgage 2006-2008

Buyback Demands: Lender Impact Varies Significantly –
GSE Buyback Demand Activity
Lin, Brian, RRMS Advisors, Opinion Concerning Contemplated Settlement June 7, 2011
Amount for 530 Trusts
Performance Summary Reports by Issue Year for RALI QA Series ARM, RALI QH
Series ARM, RALI QO Series ARM, RALI QS Series 15-Yr FRM, RALI
QS Series 30-Yr FRM, RAMP RS Series ARM, RAMP RS Series FRM,
RAMP RZ Series ARM, RAMP RZ Series FRM, RASC KS Series ARM,
RASC KS Series FRM, RFMSI S Series 15-Yr FRM, RFMSI S Series 30-Yr
FRM, RFMSI SA Series ARM, RFMSII HI Series 125 CLTV, RFMSII HS
Series CES, RFMSII HS Series HELOC, RFMSII HSA Series CES, RFMSII
HSA Series HELOC
Data Sources
AUS Loan Approval Formats
CoreLogic Loan Performance
Deep Skin Search
GMAC RGC Client Guide Bulletins
GMAC RFC Client Guides
Illumination
Intex Solutions, Inc.
MERS Link Report
S&P/Case-Shiller Home Price Index
U.S. Bureau of Labor Statistics
All Annexes to this Report, to the extent not listed above

ANNEX C
ResCap Proposed Settlement
Trust Level Model
Debtor Sponsored Trusts
Non‐Monoline Trusts Only
September 2013 Distribution
LOWER RANGE HIGHER RANGE
Lower Range ‐ Est. Loss Lower Range ‐ Est. Higher Range ‐ Est. Higher Range ‐ Est.
Shelf Series Curr OB (in 000's) Cum Loss To Date CDR Severity CRR Cum Loss To Date CDR Severity CRR
Going Forward Loss Total Loss Going Forward Loss Total
GMACM 2004‐AR1 71,130,200 4,677,779 2,509,952 7,187,731 1.64% 57.80% 19.33% 4,677,779 3,111,182 7,788,961
1.65% 68.16% 18.22%
GMACM 2004‐AR2 72,769,100 5,681,241 265,791 5,947,032 0.59% 11.09% 12.73% 5,681,241 425,711 6,106,952
0.69% 14.70% 12.10%
GMACM 2004‐GH1 43,058,300 4,284,730 1,497,660 5,782,390 1.08% 46.91% 5.74% 4,284,730 1,639,062 5,923,792
1.12% 48.51% 5.34%
RFMSII 2004‐HI1 17,692,700 27,074,938 1,132,846 28,207,784 3.56% 110.97% 10.23% 27,074,938 1,303,245 28,378,183 3.75% 110.95% 9.18%
GMACM 2004‐J1 41,449,700 1,069,794 762,025 1,831,818 0.44% 57.47% 7.41% 1,069,794 820,586 1,890,380
0.47% 56.95% 6.92%
GMACM 2004‐J2 51,868,300 1,750,506 823,787 2,574,292 0.51% 47.12% 8.92% 1,750,506 886,027 2,636,533
0.53% 47.19% 8.29%
GMACM 2004‐J3 47,476,800 776,404 1,330,583 2,106,987 0.73% 60.14% 9.19% 776,404 1,393,284 2,169,687
0.74% 60.03% 8.47%
GMACM 2004‐J4 80,562,000 2,828,046 1,385,929 4,213,975 0.56% 50.04% 9.84% 2,828,046 1,448,287 4,276,333
0.56% 50.05% 9.16%
GMACM 2004‐J5 74,924,500 3,033,075 2,551,886 5,584,960 1.92% 32.90% 11.62% 3,033,075 2,703,654 5,736,728
1.92% 33.34% 10.81%
GMACM 2004‐J6 54,200,200 1,487,621 787,023 2,274,644 0.63% 94.18% 8.79% 1,487,621 796,223 2,283,844
0.61% 95.04% 8.29%
RAMP 2004‐KR1 73,407,300 133,258,572 2,334,501 135,593,073 1.53% 61.65% 4.27% 133,258,572 2,654,123 135,912,695 1.57% 62.42% 3.90%
RAMP 2004‐KR2 57,072,500 100,636,556 5,243,125 105,879,681 5.11% 61.34% 3.36% 100,636,556 6,969,134 107,605,690 5.45% 63.50% 3.03%
RASC 2004‐KS1 64,134,100 40,554,112 6,491,589 47,045,701 1.66% 80.42% 4.61% 40,554,112 6,890,004 47,444,116 1.71% 81.74% 4.27%
RASC 2004‐KS10 75,024,900 73,104,584 16,012,354 89,116,938 3.62% 82.01% 4.90% 73,104,584 17,023,420 90,128,004 3.71% 83.52% 4.52%
RASC 2004‐KS11 45,108,200 54,655,152 11,340,463 65,995,615 3.71% 82.76% 3.21% 54,655,152 12,016,865 66,672,017 3.88% 83.54% 3.00%
RASC 2004‐KS12 40,221,700 46,410,304 8,065,094 54,475,398 3.00% 71.73% 1.70% 46,410,304 8,770,531 55,180,835 3.23% 72.97% 1.56%
RASC 2004‐KS2 72,261,000 46,719,720 10,627,714 57,347,434 2.69% 73.87% 4.30% 46,719,720 11,382,994 58,102,714 2.75% 75.90% 3.93%
RASC 2004‐KS3 53,876,500 35,315,496 9,713,270 45,028,766 3.26% 81.36% 5.04% 35,315,496 10,488,742 45,804,238 3.36% 83.58% 4.59%
RASC 2004‐KS5 90,354,000 59,102,836 11,617,347 70,720,183 2.26% 79.66% 5.36% 59,102,836 12,576,761 71,679,597 2.33% 81.28% 4.87%
RASC 2004‐KS6 73,056,700 61,229,444 8,480,531 69,709,975 1.96% 74.96% 3.87% 61,229,444 9,073,459 70,302,903 2.04% 76.25% 3.57%
RASC 2004‐KS8 57,444,700 39,351,372 5,509,589 44,860,961 1.72% 76.48% 5.58% 39,351,372 6,028,931 45,380,303 1.79% 78.24% 5.11%
RFMSI 2004‐PS1 5,980,287 30 6,966 6,996 0.10% 60.00% 22.00% 30 22,454 22,484 0.25% 68.00% 15.00%
RALI 2004‐QA1 16,543,200 3,229,475 787,234 4,016,709 1.14% 53.24% 5.43% 3,229,475 838,679 4,068,154
1.14% 55.31% 5.08%
RALI 2004‐QA2 43,350,100 9,869,127 2,371,420 12,240,547 1.54% 51.73% 7.58% 9,869,127 2,552,818 12,421,945 1.62% 51.89% 7.19%
RALI 2004‐QA3 34,917,300 5,779,931 2,705,734 8,485,665 1.95% 82.69% 13.85% 5,779,931 2,795,933 8,575,863
1.91% 82.40% 12.77%
RALI 2004‐QA4 36,353,500 6,987,875 875,181 7,863,055 0.61% 46.61% 4.90% 6,987,875 906,234 7,894,109
0.63% 46.15% 4.68%
RALI 2004‐QA5 51,874,200 9,747,886 2,754,024 12,501,910 1.86% 41.11% 7.70% 9,747,886 3,002,431 12,750,317 1.97% 41.50% 7.25%
RALI 2004‐QA6 116,803,000 33,420,062 10,864,515 44,284,577 3.04% 45.41% 6.90% 33,420,062 11,581,717 45,001,779 3.14% 45.94% 6.46%
RALI 2004‐QS1 53,749,000 5,166,856 2,526,323 7,693,179 1.12% 60.44% 7.21% 5,166,856 2,684,456 7,851,312
1.15% 60.90% 6.69%
RALI 2004‐QS10 42,536,000 5,152,431 1,843,499 6,995,930 1.18% 51.73% 7.05% 5,152,431 1,975,695 7,128,125
1.23% 51.66% 6.43%
RALI 2004‐QS11 41,108,800 4,882,028 1,265,738 6,147,765 0.84% 52.27% 7.41% 4,882,028 1,404,882 6,286,910
0.89% 52.57% 6.80%
RALI 2004‐QS12 90,791,900 8,263,536 5,034,804 13,298,340 1.40% 56.57% 7.25% 8,263,536 5,433,780 13,697,316 1.44% 57.66% 6.65%
RALI 2004‐QS13 19,586,100 897,439 220,604 1,118,042 0.60% 69.93% 3.85% 897,439 227,579 1,125,017
0.63% 69.05% 3.55%
RALI 2004‐QS14 47,721,600 5,112,041 2,003,578 7,115,619 1.03% 54.95% 6.67% 5,112,041 2,177,279 7,289,320
1.07% 55.85% 6.09%
Page 1 of 13
Trust Level Model
RALI 2004‐QS15 44,823,500 7,241,985 2,157,660 9,399,645 1.08% 58.29% 6.13% 7,241,985 2,303,516 9,545,501
1.09% 60.00% 5.59%
RALI 2004‐QS16 122,331,000 14,065,906 8,089,458 22,155,364 1.85% 48.35% 5.95% 14,065,906 8,762,708 22,828,614 1.91% 48.96% 5.34%
RALI 2004‐QS2 55,629,300 5,925,063 2,173,061 8,098,124 1.41% 47.20% 10.21% 5,925,063 2,451,198 8,376,261
1.56% 47.33% 9.74%
RALI 2004‐QS3 25,989,500 1,043,520 150,964 1,194,483 0.30% 83.50% 7.21% 1,043,520 201,448 1,244,968
0.24% 84.91% 6.35%
RALI 2004‐QS4 60,224,800 5,043,315 2,514,519 7,557,833 1.49% 56.54% 6.95% 5,043,315 2,789,365 7,832,680
1.55% 57.11% 6.33%
RALI 2004‐QS5 56,830,500 5,772,119 3,088,620 8,860,739 1.60% 62.57% 6.18% 5,772,119 3,254,167 9,026,286
1.62% 63.78% 5.62%
RALI 2004‐QS6 21,433,700 897,816 140,477 1,038,293 0.33% 82.01% 6.28% 897,816 149,316 1,047,132
0.35% 80.74% 5.90%
RALI 2004‐QS7 95,533,100 8,740,955 4,159,185 12,900,140 1.25% 47.27% 6.10% 8,740,955 4,476,714 13,217,669 1.25% 49.44% 5.63%
RALI 2004‐QS8 60,188,900 6,018,703 2,170,631 8,189,334 1.27% 37.74% 5.81% 6,018,703 2,314,869 8,333,571
1.29% 38.65% 5.37%
RALI 2004‐QS9 14,266,900 1,092,000 122,849 1,214,849 0.37% 91.46% 4.89% 1,092,000 127,460 1,219,460
0.39% 90.07% 4.56%
RFSC 2004‐RP1 22,246,340 21,298,410 1,498,742 22,797,152 1.50% 70.00% 7.00% 21,298,410 1,756,222 23,054,632 2.50% 75.00% 5.00%
RAMP 2004‐RS10 118,295,000 132,690,520 11,697,699 144,388,219 1.84% 72.14% 5.75% 132,690,520 12,881,048 145,571,568 1.93% 73.54% 5.20%
RAMP 2004‐RS11 94,168,700 92,311,920 16,125,928 108,437,848 3.12% 67.86% 4.07% 92,311,920 17,591,061 109,902,981 3.30% 69.28% 3.77%
RAMP 2004‐RS12 111,300,000 103,672,080 11,176,891 114,848,971 1.77% 72.79% 5.16% 103,672,080 11,971,205 115,643,285 1.82% 73.70% 4.70%
RAMP 2004‐RS2 60,517,400 63,638,240 5,241,262 68,879,502 1.82% 69.25% 6.63% 63,638,240 5,619,555 69,257,795 1.86% 70.78% 6.16%
RAMP 2004‐RS3 79,427,200 29,713,598 9,383,593 39,097,191 2.48% 66.26% 5.28% 29,713,598 10,315,758 40,029,356 2.61% 68.01% 4.83%
RAMP 2004‐RS4 90,811,600 81,105,512 12,434,079 93,539,591 2.28% 77.15% 4.50% 81105512 13,731,051 94836562.55 2.45% 78.55% 4.20%
RAMP 2004‐RS6 84,914,900 73,307,024 5,580,781 78,887,805 1.60% 74.54% 10.80% 73,307,024 6,085,464 79,392,488 1.67% 75.15% 10.14%
RAMP 2004‐RS8 101,475,000 77,282,208 14,103,086 91,385,294 2.68% 87.90% 9.08% 77,282,208 14,917,840 92,200,048 2.70% 88.56% 8.29%
RAMP 2004‐RZ1 44,934,500 23,841,754 3,353,855 27,195,609 1.39% 71.59% 6.06% 23,841,754 3,706,498 27,548,252 1.44% 73.70% 5.42%
RAMP 2004‐RZ3 38,288,300 21,006,242 2,299,533 23,305,775 1.46% 69.78% 10.49% 21,006,242 2,513,640 23,519,882 1.50% 70.13% 9.40%
RAMP 2004‐RZ4 36,602,300 19,763,292 3,638,905 23,402,197 1.95% 67.57% 5.94% 19,763,292 3,974,611 23,737,903 2.02% 68.55% 5.31%
RFMSI 2004‐S1 29,979,300 387,804 247,108 634,912 0.35% 40.33% 10.51% 387,804 266,669 654,473 0.35% 41.40% 9.83%
RFMSI 2004‐S3 14,648,700 24,459 21,159 45,619 0.07% 85.11% 2.59% 24,459 21,365 45,825 0.07% 80.02% 2.30%
RFMSI 2004‐S5 52,723,400 636,206 911,463 1,547,669 0.73% 34.88% 7.79% 636,206 989,351 1,625,557
0.78% 34.65% 7.38%
RFMSI 2004‐S6 62,354,400 1,300,639 524,557 1,825,196 0.87% 16.34% 10.31% 1,300,639 655,066 1,955,705
0.87% 19.85% 9.81%
RFMSI 2004‐S7 8,834,810 11,889 219,359 231,248 0.85% 119.10% 5.97% 11,889 222,356 234,245 0.84% 114.89% 5.45%
RFMSI 2004‐S8 33,929,300 1,071,380 1,518,877 2,590,257 1.43% 54.28% 10.44% 1,071,380 1,602,432 2,673,812
1.45% 54.16% 9.76%
RFMSI 2004‐S9 92,269,400 4,352,376 1,506,477 5,858,852 0.73% 36.00% 10.02% 4,352,376 1,620,226 5,972,601
0.76% 35.57% 9.25%
RFMSI 2004‐SA1 33,397,000 1,551,026 1,436,724 2,987,750 1.14% 63.69% 10.02% 1,551,026 1,450,280 3,001,305
1.09% 64.89% 9.33%
RAMP 2004‐SL1 49,934,200 5,123,360 3,504,509 8,627,868 2.45% 73.77% 0.49% 5,123,360 4,286,744 9,410,103
2.49% 74.72% 0.44%
RAMP 2004‐SL2 39,977,000 6,650,167 40,041 6,690,208 0.58% 114.61% 99.97% 6,650,167 42,649 6,692,816
0.62% 114.84% 99.97%
RAMP 2004‐SL3 21,811,200 2,423,027 15,119 2,438,146 0.63% 68.15% 99.97% 2,423,027 16,123 2,439,150
0.44% 59.55% 99.97%
RAMP 2004‐SL4 23,294,100 1,522,422 368,148 1,890,570 7.84% 119.95% 99.97% 1,522,422 401,555 1,923,977
7.73% 119.90% 99.97%
Page 2 of 13
Trust Level Model
RAAC 2004‐SP1 21,315,800 5,450,655 1,400,472 6,851,127 1.62% 85.74% 3.18% 5,450,655 1,456,468 6,907,123
1.66% 85.98% 2.87%
RAAC 2004‐SP2 12,489,300 306,458 333,147 639,605 1.79% 80.13% 10.34% 306,458 475,656 782,114 1.91% 81.34% 10.19%
RAAC 2004‐SP3 51,543,000 2,895,378 3,418,117 6,313,495 1.56% 72.44% 8.08% 2,895,378 3,700,319 6,595,697
1.63% 72.99% 7.47%
GMACM 2005‐AA1 43,397,324 15,694,805 2,509,595 18,204,400 0.99% 73.10% 6.19% 15,694,805 2,789,551 18,484,356 0.46% 72.96% 6.23%
GMACM 2005‐AF1 78,584,528 10,518,431 3,671,445 14,189,876 1.35% 60.50% 4.72% 10,518,431 3,988,255 14,506,685 1.44% 61.73% 4.41%
GMACM 2005‐AF2 92,898,500 37,280,396 10,983,417 48,263,814 2.37% 69.48% 7.47% 37,280,396 12,166,787 49,447,183 2.55% 69.70% 6.92%
RASC 2005‐AHL1 59,881,800 90,548,952 21,622,982 112,171,934 4.91% 78.78% 1.45% 90,548,952 23,021,946 113,570,898 5.17% 80.20% 1.31%
RASC 2005‐AHL2 77,305,800 89,717,216 20,313,986 110,031,202 3.75% 72.69% 1.96% 89,717,216 21,908,936 111,626,152 3.97% 74.39% 1.81%
RASC 2005‐AHL3 87,603,200 110,649,984 22,151,704 132,801,688 3.34% 74.53% 1.84% 110,649,984 24,010,163 134,660,147 3.54% 76.30% 1.66%
GMACM 2005‐AR1 79,879,700 8,390,226 764,048 9,154,274 0.38% 37.98% 10.83% 8,390,226 1,034,456 9,424,682
0.46% 42.36% 10.65%
GMACM 2005‐AR2 106,252,000 16,511,864 1,889,101 18,400,965 0.65% 38.90% 7.97% 16,511,864 2,158,636 18,670,500 0.72% 38.69% 7.33%
GMACM 2005‐AR3 121,242,000 17,472,642 1,429,311 18,901,953 2.01% 11.48% 13.32% 17,472,642 1,758,779 19,231,421 2.17% 12.89% 12.90%
GMACM 2005‐AR4 93,353,000 15,779,360 2,930,942 18,710,302 2.45% 76.40% 21.25% 15,779,360 3,814,577 19,593,937 2.44% 76.77% 20.03%
GMACM 2005‐AR5 165,753,000 24,410,584 7,298,751 31,709,335 0.95% 73.27% 9.68% 24,410,584 7,550,812 31,961,396 0.96% 72.32% 9.08%
GMACM 2005‐AR6 189,951,000 31,817,008 7,381,582 39,198,590 1.58% 45.95% 12.60% 31,817,008 7,980,478 39,797,486 1.61% 46.76% 11.80%
RAMP 2005‐EFC1 120,931,000 129,732,152 24,310,433 154,042,585 3.98% 62.35% 3.60% 129,732,152 26,416,180 156,148,332 4.21% 63.82% 3.34%
RAMP 2005‐EFC2 82,897,300 99,621,624 16,555,046 116,176,670 3.31% 67.16% 2.56% 99,621,624 18,112,156 117,733,780 3.52% 69.02% 2.35%
RAMP 2005‐EFC3 104,512,000 108,962,064 26,050,866 135,012,930 5.44% 66.51% 3.63% 108,962,064 31,755,460 140,717,524 5.76% 68.69% 3.33%
RAMP 2005‐EFC4 109,555,000 127,554,616 28,616,675 156,171,291 5.60% 65.20% 4.20% 127,554,616 30,775,436 158,330,052 5.86% 66.53% 3.85%
RAMP 2005‐EFC5 120,392,000 123,280,328 26,840,517 150,120,845 3.61% 68.38% 2.63% 123,280,328 29,187,042 152,467,370 3.83% 70.03% 2.40%
RAMP 2005‐EFC6 110,428,000 126,799,432 25,228,226 152,027,658 3.64% 67.04% 2.19% 126,799,432 27,469,947 154,269,379 3.90% 68.52% 2.01%
RASC 2005‐EMX1 76,515,500 50,803,252 17,304,653 68,107,905 3.76% 80.01% 3.93% 50,803,252 18,465,034 69,268,286 3.93% 80.82% 3.57%
RASC 2005‐EMX2 80,822,000 63,786,520 23,402,656 87,189,176 4.79% 84.12% 3.92% 63,786,520 24,701,910 88,488,430 4.92% 85.38% 3.59%
RASC 2005‐EMX3 96,797,700 111,250,344 34,534,681 145,785,025 5.75% 82.90% 2.83% 111,250,344 36,469,231 147,719,575 5.89% 84.18% 2.45%
RASC 2005‐EMX4 81,595,800 102,258,680 27,464,118 129,722,798 5.16% 83.20% 2.72% 102,258,680 29,166,638 131,425,318 5.36% 84.42% 2.40%
RFMSII 2005‐HI2 40,483,100 40,735,232 4,395,183 45,130,415 3.55% 109.68% 10.07% 40,735,232 5,719,056 46,454,288 3.67% 109.68% 9.12%
RFMSII 2005‐HI3 50,566,400 42,996,004 6,038,741 49,034,745 2.87% 109.39% 8.89% 42,996,004 6,422,393 49,418,397 2.98% 109.38% 8.07%
GMACM 2005‐J1 150,252,000 11,658,749 4,561,316 16,220,065 0.95% 48.89% 9.66% 11,658,749 4,947,801 16,606,550 0.99% 48.86% 8.83%
RASC 2005‐KS1 57,899,100 59,461,776 11,612,403 71,074,179 4.27% 71.71% 3.79% 59,461,776 14,641,987 74,103,763 4.44% 73.39% 3.46%
RASC 2005‐KS10 213,167,000 265,082,016 54,148,242 319,230,258 4.18% 72.07% 2.55% 265,082,016 61,175,371 326,257,387 4.41% 73.22% 2.36%
RASC 2005‐KS11 248,301,000 283,284,352 67,393,710 350,678,062 4.50% 68.84% 2.32% 283,284,352 72,778,888 356,063,240 4.80% 70.39% 2.17%
RASC 2005‐KS12 204,726,000 251,591,936 47,239,459 298,831,395 3.63% 68.77% 2.23% 251,591,936 51,146,247 302,738,183 3.86% 70.34% 2.07%
RASC 2005‐KS2 43,146,600 50,069,324 8,796,811 58,866,135 3.77% 79.80% 6.28% 50,069,324 9,302,536 59,371,860 3.92% 80.24% 5.97%
RASC 2005‐KS3 42,914,800 42,793,288 6,367,234 49,160,522 2.64% 65.70% 3.77% 42,793,288 7,003,734 49,797,022 2.81% 67.13% 3.46%
Page 3 of 13
Trust Level Model
RASC 2005‐KS4 44,996,200 45,376,136 9,244,726 54,620,862 4.02% 67.74% 2.88% 45,376,136 10,981,489 56,357,625 4.17% 69.85% 2.70%
RASC 2005‐KS5 43,999,800 49,249,000 10,469,744 59,718,744 3.78% 72.91% 2.82% 49,249,000 11,256,082 60,505,082 3.96% 74.66% 2.62%
RASC 2005‐KS6 77,537,000 81,880,192 13,998,839 95,879,031 3.80% 64.12% 2.24% 81,880,192 18,472,647 100,352,839 4.03% 65.95% 2.09%
RASC 2005‐KS7 58,618,500 58,379,920 14,575,320 72,955,240 4.21% 72.11% 3.28% 58,379,920 15,700,912 74,080,832 4.41% 73.61% 2.99%
RASC 2005‐KS8 186,595,000 186,829,760 46,773,188 233,602,948 3.91% 72.32% 2.43% 186,829,760 50,438,008 237,267,768 4.11% 74.22% 2.23%
RASC 2005‐KS9 85,554,600 78,648,304 19,982,330 98,630,634 3.86% 70.33% 2.86% 78,648,304 21,822,866 100,471,170 4.11% 71.97% 2.60%
RALI 2005‐QA1 47,988,200 19,594,604 1,151,504 20,746,108 1.19% 26.07% 6.24% 19,594,604 1,273,240 20,867,844 1.28% 26.25% 5.81%
RALI 2005‐QA10 178,706,000 75,980,488 20,208,468 96,188,956 2.79% 50.03% 5.30% 75,980,488 22,591,620 98,572,108 2.99% 51.44% 4.87%
RALI 2005‐QA11 153,695,000 65,176,612 16,303,719 81,480,331 5.56% 61.05% 9.34% 65,176,612 29,664,180 94,840,792 5.63% 61.72% 8.81%
RALI 2005‐QA12 80,807,000 36,210,288 11,443,403 47,653,691 2.85% 69.62% 7.24% 36,210,288 12,402,314 48,612,602 2.97% 70.03% 6.62%
RALI 2005‐QA13 168,366,000 90,168,016 24,516,810 114,684,826 5.38% 44.35% 7.34% 90,168,016 28,101,785 118,269,801 5.69% 45.31% 6.72%
RALI 2005‐QA2 100,380,000 28,536,422 8,525,922 37,062,344 2.29% 43.51% 5.11% 28,536,422 9,790,815 38,327,237 2.48% 45.61% 4.76%
RALI 2005‐QA3 97,515,000 32,828,676 12,618,604 45,447,280 3.44% 59.73% 3.44% 32,828,676 16,901,112 49,729,788 3.58% 61.09% 3.13%
RALI 2005‐QA4 131,573,000 38,587,508 11,213,261 49,800,769 3.94% 39.63% 3.39% 38,587,508 14,210,644 52,798,152 4.15% 41.81% 3.11%
RALI 2005‐QA5 10,595,300 8,403,523 299,430 8,702,953 1.26% 31.28% 7.72% 8,403,523 340,515 8,744,038
1.34% 32.72% 7.28%
RALI 2005‐QA6 123,975,000 42,395,160 8,391,603 50,786,763 1.89% 48.91% 6.82% 42,395,160 9,280,099 51,675,259 2.01% 49.48% 6.28%
RALI 2005‐QA7 161,925,000 41,583,120 13,107,263 54,690,383 2.69% 43.71% 3.68% 41,583,120 17,691,067 59,274,187 2.91% 46.18% 3.39%
RALI 2005‐QA8 134,355,000 48,617,872 18,366,301 66,984,173 3.31% 51.13% 4.30% 48,617,872 20,294,497 68,912,369 3.43% 53.82% 4.01%
RALI 2005‐QA9 192,114,000 78,550,000 17,575,962 96,125,962 2.35% 45.48% 4.94% 78,550,000 19,280,061 97,830,061 2.47% 46.57% 4.52%
RALI 2005‐QO1 151,577,000 91,492,320 24,950,771 116,443,091 3.06% 64.85% 4.14% 91,492,320 26,633,609 118,125,929 3.23% 65.49% 3.97%
RALI 2005‐QO2 87,290,600 66,217,468 15,870,522 82,087,990 3.98% 58.22% 4.45% 66,217,468 16,770,550 82,988,018 4.19% 58.23% 4.20%
RALI 2005‐QO3 104,330,000 93,061,992 16,097,869 109,159,861 3.45% 49.80% 3.45% 93,061,992 17,469,788 110,531,780 3.72% 50.57% 3.34%
RALI 2005‐QO4 171,241,000 154,346,784 30,078,842 184,425,626 3.26% 63.07% 3.84% 154,346,784 32,090,752 186,437,536 3.43% 63.93% 3.68%
RALI 2005‐QO5 274,604,000 271,638,656 43,278,663 314,917,319 2.73% 61.94% 3.58% 271,638,656 46,553,973 318,192,629 2.91% 62.63% 3.45%
RALI 2005‐QS1 60,732,100 6,317,292 2,328,455 8,645,747 1.27% 50.37% 6.48% 6,317,292 3,070,848 9,388,140
1.34% 50.11% 5.88%
RALI 2005‐QS10 83,401,700 16,841,712 7,892,340 24,734,052 2.15% 67.18% 8.46% 16,841,712 8,435,999 25,277,711 2.16% 68.63% 7.70%
RALI 2005‐QS11 68,584,700 13,352,807 4,754,478 18,107,285 1.59% 58.94% 7.14% 13,352,807 5,258,712 18,611,519 1.64% 60.35% 6.39%
RALI 2005‐QS12 167,267,000 35,396,628 16,090,236 51,486,864 2.55% 51.41% 6.49% 35,396,628 17,477,194 52,873,822 2.60% 52.59% 5.82%
RALI 2005‐QS13 226,287,000 47,740,092 27,815,877 75,555,969 2.80% 55.19% 5.16% 47,740,092 30,202,165 77,942,257 2.88% 56.67% 4.63%
RALI 2005‐QS14 162,316,000 36,436,456 5,182,883 41,619,339 1.44% 71.23% 4.09% 36,436,456 5,306,232 41,742,688 1.46% 71.36% 3.75%
RALI 2005‐QS15 140,032,000 38,810,980 13,391,564 52,202,544 1.87% 67.35% 6.53% 38,810,980 14,881,733 53,692,713 1.94% 68.94% 5.77%
RALI 2005‐QS16 144,263,000 37,338,056 16,266,995 53,605,051 2.27% 61.22% 5.10% 37,338,056 17,517,711 54,855,767 2.33% 62.49% 4.59%
RALI 2005‐QS17 171,629,000 57,454,800 20,807,270 78,262,070 2.63% 58.53% 5.55% 57,454,800 22,582,171 80,036,971 2.74% 59.38% 5.05%
RALI 2005‐QS2 60,018,400 6,908,540 3,559,473 10,468,013 1.56% 50.78% 6.50% 6,908,540 3,813,463 10,722,002 1.60% 51.71% 5.97%
Page 4 of 13
Trust Level Model
RALI 2005‐QS3 121,543,000 16,516,756 9,219,681 25,736,437 1.81% 61.99% 6.10% 16,516,756 11,148,005 27,664,761 1.89% 62.83% 5.52%
RALI 2005‐QS4 63,100,200 8,997,134 3,346,524 12,343,658 1.78% 51.51% 5.96% 8,997,134 4,506,358 13,503,492 1.84% 52.03% 5.34%
RALI 2005‐QS6 77,996,700 14,549,124 4,525,332 19,074,456 1.40% 59.18% 7.72% 14,549,124 4,902,785 19,451,909 1.44% 60.13% 7.03%
RALI 2005‐QS7 112,233,000 19,669,164 10,528,216 30,197,380 2.75% 47.09% 6.15% 19,669,164 11,601,839 31,271,003 2.87% 48.45% 5.62%
RALI 2005‐QS8 18,857,500 1,126,144 406,263 1,532,407 0.87% 86.15% 5.85% 1,126,144 426,599 1,552,742
0.90% 86.48% 5.40%
RALI 2005‐QS9 112,687,000 20,427,054 8,539,071 28,966,125 1.84% 58.75% 7.38% 20,427,054 9,326,729 29,753,783 1.89% 59.56% 6.57%
RAAC 2005‐RP1 49,275,460 40,328,883 2,600,866.78 42,929,749 0.75% 115.00% 8.00% 40,328,883 6,095,685.02 46,424,568 1.50% 125.00% 6.00%
RAAC 2005‐RP2 63,926,902 36,422,338 6,888,978.80 43,311,317 2.00% 80.00% 5.00% 36,422,338 11,171,980.87 47,594,319 3.00% 86.00% 4.00%
RAAC 2005‐RP3 61,442,327 48,812,005 8,208,847.30 57,020,853 2.00% 90.00% 5.00% 48,812,005 13,761,264.34 62,573,270 3.00% 100.00% 4.00%
RAMP 2005‐RS1 119,135,000 108,060,368 15,413,269.43 123,473,637 2.71% 67.41% 5.90% 108,060,368 16,665,866.19 124,726,234 2.77% 68.91% 5.29%
RAMP 2005‐RS2 76,812,500 86,405,144 12,503,454.19 98,908,598 2.59% 72.27% 3.64% 86,405,144 13,608,072.34 100,013,216 2.74% 73.45% 3.35%
RAMP 2005‐RS3 116,569,000 81,556,952 13,009,787.87 94,566,740 2.18% 68.04% 5.75% 81,556,952 14,351,578.66 95,908,531 2.32% 68.79% 5.26%
RAMP 2005‐RS4 77,809,900 68,499,384 14,347,234.78 82,846,619 3.47% 72.86% 5.45% 68,499,384 15,506,836.42 84,006,220 3.61% 74.10% 4.99%
RAMP 2005‐RS5 71,906,600 60,394,280 7,477,624.91 67,871,905 1.87% 73.35% 6.02% 60,394,280 8,175,356.28 68,569,636 1.99% 74.31% 5.64%
RAMP 2005‐RS6 158,462,000 154,750,976 28,063,271.17 182,814,247 2.98% 74.45% 4.88% 154,750,976 30,366,787.09 185,117,763 3.11% 75.29% 4.38%
RAMP 2005‐RS7 99,680,700 64,248,840 18,979,563.69 83,228,404 3.54% 67.29% 4.53% 64,248,840 20,789,695.43 85,038,535 3.74% 68.61% 4.09%
RAMP 2005‐RS8 133,600,000 110,883,920 25,141,049.02 136,024,969 3.40% 65.81% 3.81% 110,883,920 27,510,911.45 138,394,831 3.60% 67.26% 3.49%
RAMP 2005‐RZ1 29,751,100 18,001,520 2,468,632.55 20,470,153 1.57% 75.79% 7.65% 18,001,520 2,692,271.64 20,693,792 1.63% 76.39% 6.93%
RAMP 2005‐RZ2 52,815,700 49,061,136 7,084,538.39 56,145,674 4.29% 67.60% 8.40% 49,061,136 9,329,213.01 58,390,349 4.37% 68.83% 7.58%
RAMP 2005‐RZ3 69,017,300 66,842,724 11,594,913.44 78,437,637 2.70% 74.09% 4.25% 66,842,724 12,422,257.80 79,264,982 2.79% 75.12% 3.82%
RAMP 2005‐RZ4 86,481,900 87,630,912 13,068,332.18 100,699,244 2.96% 68.63% 6.05% 87,630,912 14,263,321.96 101,894,234 3.07% 69.91% 5.45%
RFMSI 2005‐S1 67,904,700 4,529,274 2,059,051.11 6,588,325 0.92% 52.34% 9.65% 4,529,274 2,125,972.68 6,655,247
0.92% 51.82% 8.98%
RFMSI 2005‐S3 15,126,800 117,860 113,407.78 231,268 0.43% 66.02% 7.49% 117,860 123,837.94 241,698 0.44% 69.15% 6.91%
RFMSI 2005‐S4 54,471,900 5,355,274 1,650,442.50 7,005,716 1.27% 42.56% 11.66% 5,355,274 1,754,288.27 7,109,562
1.29% 42.19% 10.71%
RFMSI 2005‐S6 94,730,700 5,918,915 1,701,824.69 7,620,740 1.11% 26.03% 10.23% 5,918,915 1,872,399.65 7,791,315
1.14% 26.30% 9.26%
RFMSI 2005‐S8 101,271,000 10,350,910 3,306,923.46 13,657,833 1.09% 44.60% 9.13% 10,350,910 3,888,095.44 14,239,005 1.20% 45.46% 8.26%
RFMSI 2005‐S9 94,515,200 16,396,569 2,643,061.75 19,039,631 1.36% 42.35% 8.97% 16,396,569 3,456,038.62 19,852,608 1.43% 42.89% 8.16%
RFMSI 2005‐SA1 42,935,500 5,297,655 1,048,756.19 6,346,411 1.56% 40.37% 6.83% 5,297,655 1,308,875.17 6,606,530
1.57% 42.67% 6.61%
RFMSI 2005‐SA2 125,388,000 17,543,368 4,238,928.37 21,782,296 1.30% 37.01% 7.80% 17,543,368 5,089,309.67 22,632,678 1.36% 41.15% 7.18%
RFMSI 2005‐SA3 162,767,000 27,648,460 3,213,149.19 30,861,609 0.74% 43.70% 10.72% 27,648,460 3,541,176.87 31,189,637 0.77% 44.31% 10.09%
RFMSI 2005‐SA4 260,666,000 42,539,240 5,614,998.38 48,154,238 0.82% 45.29% 11.39% 42,539,240 6,225,272.45 48,764,512 0.84% 46.56% 10.56%
RFMSI 2005‐SA5 110,919,000 26,268,070 6,601,646.30 32,869,716 2.70% 46.48% 9.49% 26,268,070 8,178,001.94 34,446,072 2.88% 47.33% 8.72%
RAMP 2005‐SL1 50,936,700 10,001,677 284.23 10,001,961 0.00% 120.00% 5.23% 10,001,677 284.23 10,001,961 0.00% 120.00% 4.97%
RAMP 2005‐SL2 29,122,000 6,526,876 ‐ 6,526,876 0.00% 0.00% 14.97% 6,526,876 ‐ 6,526,876
0.00% 0.00% 14.62%
Page 5 of 13
Trust Level Model
RAAC 2005‐SP1 97,612,900 2,005,153 3,929,143.77 5,934,297 2.82% 54.66% 13.13% 2,005,153 4,369,170.70 6,374,323
2.79% 55.68% 12.31%
RAAC 2005‐SP2 86,620,200 27,690,902 11,225,821.28 38,916,723 2.41% 95.56% 2.27% 27,690,902 13,140,374.92 40,831,277 2.50% 96.26% 2.07%
RAAC 2005‐SP3 62,296,700 32,805,006 11,080,209.37 43,885,215 3.30% 86.73% 6.53% 32,805,006 11,795,375.71 44,600,382 3.41% 87.41% 6.02%
GMACM 2006‐AR1 167,861,000 41,549,824 9,025,553.63 50,575,378 1.83% 41.35% 8.27% 41,549,824 10,069,728.13 51,619,552 1.96% 41.98% 7.71%
GMACM 2006‐AR2 113,332,000 33,769,368 5,513,836.12 39,283,204 4.81% 53.56% 10.25% 33,769,368 7,160,254.89 40,929,623 5.04% 55.53% 9.71%
RAMP 2006‐EFC1 105,673,000 131,527,288 24,804,718.33 156,332,006 4.04% 65.08% 2.57% 131,527,288 26,856,994.84 158,384,283 4.28% 66.57% 2.36%
RAMP 2006‐EFC2 119,431,000 113,343,304 31,898,098.82 145,241,403 3.67% 73.76% 2.53% 113,343,304 34,677,640.35 148,020,944 3.91% 75.42% 2.33%
RASC 2006‐EMX1 76,411,700 103,261,992 26,022,508.12 129,284,500 4.21% 89.66% 1.58% 103,261,992 27,439,028.08 130,701,020 4.35% 90.71% 1.33%
RASC 2006‐EMX2 99,740,000 154,469,824 39,380,096.33 193,849,920 5.73% 86.28% 2.16% 154,469,824 41,426,749.41 195,896,573 5.93% 87.29% 1.89%
RASC 2006‐EMX3 148,997,000 248,248,192 64,452,974.86 312,701,167 6.39% 89.97% 2.64% 248,248,192 67,185,085.69 315,433,278 6.56% 90.75% 2.37%
RASC 2006‐EMX4 138,656,000 231,413,104 55,874,623.77 287,287,728 5.23% 89.15% 1.92% 231,413,104 58,601,959.69 290,015,064 5.39% 90.10% 1.67%
RASC 2006‐EMX5 129,272,000 212,265,456 47,994,865.64 260,260,322 4.54% 87.98% 1.90% 212,265,456 50,700,812.69 262,966,269 4.72% 89.15% 1.67%
RASC 2006‐EMX6 150,715,000 230,764,512 56,193,921.69 286,958,434 4.45% 89.76% 2.18% 230,764,512 59,740,004.05 290,504,516 4.65% 90.79% 1.91%
RASC 2006‐EMX7 122,508,000 191,037,456 54,838,415.24 245,875,871 6.35% 93.73% 3.65% 191,037,456 57,866,935.09 248,904,391 6.58% 94.54% 3.28%
RASC 2006‐EMX8 182,523,000 293,947,328 98,291,205.00 392,238,533 6.04% 98.39% 1.47% 293,947,328 102,053,195.26 396,000,523 6.18% 99.25% 1.25%
RASC 2006‐EMX9 202,529,000 314,238,976 108,753,051.28 422,992,027 6.61% 95.14% 1.68% 314,238,976 113,705,960.54 427,944,937 6.81% 96.31% 1.45%
RFMSII 2006‐HI1 57,295,600 51,822,240 7,793,874.56 59,616,115 3.15% 109.07% 8.61% 51,822,240 8,258,043.37 60,080,283 3.25% 109.09% 7.80%
GMACM 2006‐J1 154,537,000 21,031,638 10,032,389.02 31,064,027 2.13% 46.68% 8.77% 21,031,638 10,722,109.85 31,753,748 2.15% 47.35% 7.99%
RASC 2006‐KS1 161,535,000 181,602,512 41,608,461.66 223,210,974 4.05% 71.34% 2.45% 181,602,512 44,888,248.14 226,490,760 4.29% 72.80% 2.26%
RASC 2006‐KS2 186,041,000 225,987,888 46,915,521.85 272,903,410 3.96% 68.77% 2.09% 225,987,888 50,980,277.41 276,968,165 4.22% 70.49% 1.93%
RASC 2006‐KS3 207,859,000 295,889,728 54,348,661.45 350,238,389 4.41% 68.87% 2.96% 295,889,728 58,692,774.37 354,582,502 4.67% 70.16% 2.71%
RASC 2006‐KS4 154,981,000 179,118,544 30,386,815.29 209,505,359 2.99% 72.86% 3.58% 179,118,544 33,074,216.54 212,192,761 3.21% 73.62% 3.32%
RASC 2006‐KS5 179,152,000 195,692,576 44,314,070.74 240,006,647 4.01% 70.91% 3.22% 195,692,576 47,946,344.92 243,638,921 4.23% 72.68% 2.98%
RASC 2006‐KS6 148,413,000 154,937,872 35,658,316.29 190,596,188 3.29% 75.68% 2.58% 154,937,872 38,471,304.43 193,409,176 3.48% 77.22% 2.41%
RASC 2006‐KS7 150,402,000 157,809,344 35,248,182.76 193,057,527 3.63% 68.54% 2.68% 157,809,344 38,312,670.34 196,122,014 3.88% 69.95% 2.48%
RASC 2006‐KS8 159,988,000 170,108,208 46,022,787.43 216,130,995 4.34% 72.20% 2.64% 170,108,208 49,573,737.21 219,681,945 4.59% 73.74% 2.44%
RASC 2006‐KS9 351,699,000 437,484,384 110,516,764.79 548,001,149 4.43% 75.82% 2.57% 437,484,384 118,829,065.83 556,313,450 4.68% 77.37% 2.36%
RAMP 2006‐NC1 91,619,500 132,652,648 21,983,659.53 154,636,308 4.56% 65.80% 3.91% 132,652,648 23,892,055.99 156,544,704 4.85% 66.98% 3.59%
RAMP 2006‐NC2 160,407,000 195,440,320 40,624,129.70 236,064,450 3.65% 73.50% 2.69% 195,440,320 43,839,681.20 239,280,001 3.87% 74.57% 2.45%
RAMP 2006‐NC3 115,964,000 138,252,672 36,017,154.96 174,269,827 4.49% 77.65% 2.61% 138,252,672 38,349,631.20 176,602,303 4.68% 78.54% 2.31%
RALI 2006‐QA1 169,418,000 108,642,664 10,994,798.34 119,637,462 2.47% 33.81% 6.43% 108,642,664 12,867,329.36 121,509,993 2.75% 34.61% 5.79%
RALI 2006‐QA10 112,308,000 96,227,384 21,978,540.57 118,205,925 3.95% 56.11% 4.03% 96,227,384 23,696,527.27 119,923,911 4.17% 57.21% 3.78%
RALI 2006‐QA11 111,893,000 103,249,992 14,971,373.43 118,221,365 3.10% 46.34% 4.27% 103,249,992 16,643,961.17 119,893,953 3.34% 47.62% 4.01%
RALI 2006‐QA2 119,201,000 76,290,344 11,076,564.31 87,366,908 1.99% 41.93% 2.44% 76,290,344 12,367,008.47 88,657,352 2.16% 43.04% 2.26%
Page 6 of 13
Trust Level Model
RALI 2006‐QA3 107,832,000 79,872,008 12,184,250.14 92,056,258 2.90% 42.58% 4.24% 79,872,008 13,572,986.23 93,444,994 3.07% 44.18% 3.91%
RALI 2006‐QA4 84,136,300 64,069,456 11,746,782.24 75,816,238 2.61% 57.22% 4.04% 64,069,456 12,753,170.22 76,822,626 2.75% 58.23% 3.75%
RALI 2006‐QA5 180,920,000 134,513,328 31,100,617.84 165,613,946 3.79% 55.83% 4.89% 134,513,328 33,661,413.81 168,174,742 3.97% 56.92% 4.52%
RALI 2006‐QA6 157,120,000 157,140,672 24,618,582.84 181,759,255 3.24% 50.73% 3.45% 157,140,672 26,876,632.82 184,017,305 3.44% 51.83% 3.16%
RALI 2006‐QA7 162,266,000 158,975,872 26,413,594.48 185,389,466 4.93% 44.14% 5.59% 158,975,872 29,144,596.11 188,120,468 5.21% 45.61% 5.17%
RALI 2006‐QA8 220,316,000 218,725,584 31,563,682.04 250,289,266 2.78% 52.56% 3.66% 218,725,584 34,711,601.54 253,437,186 2.96% 53.98% 3.42%
RALI 2006‐QA9 93,397,800 70,440,208 15,584,628.23 86,024,836 4.29% 47.62% 4.52% 70,440,208 17,255,411.08 87,695,619 4.56% 49.33% 4.20%
RALI 2006‐QO1 207,064,000 205,811,424 49,579,983.01 255,391,407 3.78% 82.38% 4.90% 205,811,424 51,609,108.80 257,420,533 3.81% 83.67% 4.61%
RALI 2006‐QO10 302,866,000 297,754,720 76,237,613.44 373,992,333 5.07% 58.29% 3.57% 297,754,720 81,540,579.54 379,295,300 5.32% 59.46% 3.35%
RALI 2006‐QO2 138,880,000 159,708,656 25,921,381.93 185,630,038 3.61% 61.83% 4.56% 159,708,656 27,763,223.49 187,471,879 3.80% 62.69% 4.33%
RALI 2006‐QO3 180,685,000 166,210,208 33,160,900.48 199,371,108 3.53% 56.79% 3.65% 166,210,208 35,697,972.44 201,908,180 3.78% 57.53% 3.52%
RALI 2006‐QO5 315,201,000 306,931,776 75,196,494.23 382,128,270 4.46% 62.52% 3.63% 306,931,776 79,146,117.44 386,077,893 4.66% 62.98% 3.44%
RALI 2006‐QO6 384,094,000 376,267,360 85,445,935.37 461,713,295 4.43% 55.85% 3.33% 376,267,360 92,088,304.22 468,355,664 4.70% 56.93% 3.13%
RALI 2006‐QO7 503,856,000 462,720,096 127,152,792.94 589,872,889 4.93% 63.37% 4.10% 462,720,096 135,153,224.66 597,873,321 5.17% 64.16% 3.86%
RALI 2006‐QO8 425,437,000 409,652,384 91,508,096.63 501,160,481 3.84% 61.42% 3.67% 409,652,384 96,702,852.11 506,355,236 4.03% 61.89% 3.50%
RALI 2006‐QO9 191,938,000 279,543,437 34,985,518.44 314,528,955 4.18% 43.54% 1.40% 279,543,437 37,134,282.28 316,677,719 4.33% 44.77% 1.29%
RALI 2006‐QS1 104,112,000 32,860,416 9,155,938.95 42,016,355 1.90% 52.85% 4.62% 32,860,416 9,999,910.46 42,860,326 2.04% 52.62% 4.18%
RALI 2006‐QS10 182,088,000 68,550,712 31,442,045.15 99,992,757 2.98% 68.85% 4.72% 68,550,712 33,387,546.32 101,938,258 3.06% 69.41% 4.26%
RALI 2006‐QS11 259,514,000 108,321,120 49,822,666.69 158,143,787 3.54% 65.83% 4.66% 108,321,120 53,600,409.15 161,921,529 3.66% 66.82% 4.18%
RALI 2006‐QS12 167,521,000 93,753,704 29,928,563.86 123,682,268 3.37% 72.25% 6.88% 93,753,704 32,089,736.17 125,843,440 3.40% 73.93% 6.28%
RALI 2006‐QS13 200,154,000 84,866,872 31,764,038.00 116,630,910 3.14% 61.01% 4.93% 84,866,872 34,692,652.86 119,559,525 3.31% 62.21% 4.56%
RALI 2006‐QS14 231,506,000 122,005,152 44,500,825.57 166,505,978 3.77% 66.52% 5.65% 122,005,152 47,977,858.93 169,983,011 3.89% 67.57% 5.13%
RALI 2006‐QS15 173,665,000 90,586,080 36,399,679.65 126,985,760 3.96% 66.91% 5.00% 90,586,080 39,254,489.71 129,840,570 4.07% 68.41% 4.50%
RALI 2006‐QS16 262,746,000 121,998,320 55,073,323.86 177,071,644 3.95% 67.09% 4.92% 121,998,320 59,401,932.92 181,400,253 4.09% 68.27% 4.44%
RALI 2006‐QS17 189,373,000 92,826,968 43,059,309.65 135,886,278 4.58% 67.17% 5.39% 92,826,968 45,827,887.62 138,654,856 4.66% 68.40% 4.89%
RALI 2006‐QS18 399,059,000 221,006,848 72,603,797.15 293,610,645 3.00% 71.37% 4.75% 221,006,848 77,733,977.42 298,740,825 3.11% 72.19% 4.33%
RALI 2006‐QS2 273,557,000 89,840,944 40,976,788.92 130,817,733 3.33% 58.84% 5.37% 89,840,944 44,381,312.53 134,222,257 3.42% 60.14% 4.83%
RALI 2006‐QS3 281,278,000 135,170,320 39,911,970.07 175,082,290 3.25% 61.94% 6.86% 135,170,320 43,417,228.58 178,587,549 3.37% 62.99% 6.24%
RALI 2006‐QS4 241,118,000 101,682,368 36,421,815.58 138,104,184 2.77% 65.78% 4.99% 101,682,368 39,717,172.26 141,399,540 2.88% 67.26% 4.48%
RALI 2006‐QS5 220,486,000 104,462,496 34,183,179.32 138,645,675 2.92% 63.97% 4.92% 104,462,496 36,660,690.79 141,123,187 2.99% 65.12% 4.46%
RALI 2006‐QS6 259,260,000 126,188,336 50,495,836.70 176,684,173 3.85% 64.69% 5.17% 126,188,336 54,298,068.14 180,486,404 3.98% 65.54% 4.65%
RALI 2006‐QS7 159,391,000 85,710,288 30,575,528.10 116,285,816 3.66% 62.09% 4.00% 85,710,288 32,855,523.02 118,565,811 3.77% 63.61% 3.63%
RALI 2006‐QS8 306,202,000 151,491,712 63,733,463.97 215,225,176 3.93% 69.26% 5.29% 151,491,712 67,940,100.93 219,431,813 4.02% 70.22% 4.79%
RALI 2006‐QS9 161,707,000 89,479,344 37,088,955.96 126,568,300 5.54% 58.33% 5.21% 89,479,344 39,510,970.72 128,990,315 5.64% 59.69% 4.75%
Page 7 of 13
Trust Level Model
RAAC 2006‐RP1 73,894,256 54,513,153 3,737,774.28 58,250,927 0.75% 95.00% 7.00% 54,513,153 8,987,458.93 63,500,612 1.50% 105.00% 5.00%
RAAC 2006‐RP2 84,118,192 95,656,452 16,434,700.15 112,091,152 3.00% 90.00% 5.00% 95,656,452 23,756,250.75 119,412,703 4.00% 100.00% 4.50%
RAAC 2006‐RP3 76,299,251 103,009,997 23,762,741.97 126,772,739 4.00% 100.00% 4.00% 103,009,997 31,802,289.68 134,812,287 5.00% 110.00% 3.50%
RAAC 2006‐RP4 117,579,211 99,996,947 24,307,553.83 124,304,501 3.00% 100.00% 6.00% 99,996,947 34,230,514.15 134,227,461 4.00% 105.00% 5.00%
RAMP 2006‐RS1 240,398,000 268,328,864 62,394,721.83 330,723,586 4.52% 65.18% 2.82% 268,328,864 67,185,690.41 335,514,554 4.75% 66.57% 2.56%
RAMP 2006‐RS2 179,109,000 186,614,528 47,423,907.17 234,038,435 4.57% 68.03% 3.25% 186,614,528 51,164,116.56 237,778,645 4.82% 69.41% 2.97%
RAMP 2006‐RS3 173,811,000 163,307,936 50,007,682.72 213,315,619 4.81% 68.78% 2.89% 163,307,936 53,507,872.31 216,815,808 5.02% 69.98% 2.58%
RAMP 2006‐RS4 218,022,000 275,999,616 69,375,644.80 345,375,261 4.91% 76.15% 3.07% 275,999,616 74,318,840.48 350,318,456 5.14% 77.44% 2.77%
RAMP 2006‐RS5 107,452,000 100,960,232 30,760,843.65 131,721,076 5.75% 68.05% 4.25% 100,960,232 32,826,864.68 133,787,097 5.96% 69.06% 3.83%
RAMP 2006‐RS6 94,082,200 116,071,472 23,260,826.30 139,332,298 4.01% 71.70% 3.78% 116,071,472 25,092,692.84 141,164,165 4.20% 73.06% 3.45%
RAMP 2006‐RZ1 111,985,000 111,517,128 17,451,496.49 128,968,624 2.74% 72.99% 5.48% 111,517,128 18,818,217.20 130,335,345 2.83% 73.97% 4.96%
RAMP 2006‐RZ2 82,348,200 107,809,872 18,297,242.91 126,107,115 4.23% 69.76% 5.06% 107,809,872 19,712,858.32 127,522,730 4.40% 70.89% 4.59%
RAMP 2006‐RZ3 189,473,000 234,627,360 57,705,632.56 292,332,993 4.69% 76.71% 3.24% 234,627,360 69,803,609.63 304,430,970 4.90% 78.20% 2.98%
RAMP 2006‐RZ4 250,781,000 291,810,560 68,179,730.11 359,990,290 3.79% 76.64% 2.77% 291,810,560 73,216,840.14 365,027,400 4.02% 77.66% 2.56%
RAMP 2006‐RZ5 140,548,000 167,821,296 39,942,042.79 207,763,339 4.23% 75.01% 3.53% 167,821,296 43,113,325.12 210,934,621 4.48% 75.94% 3.21%
RFMSI 2006‐S1 104,563,000 18,580,054 3,513,946.15 22,094,000 1.35% 39.23% 10.08% 18,580,054 3,957,418.96 22,537,473 1.42% 40.35% 9.32%
RFMSI 2006‐S10 235,770,000 48,625,508 14,579,519.15 63,205,027 2.17% 42.14% 8.84% 48,625,508 15,728,869.05 64,354,377 2.20% 42.97% 8.14%
RFMSI 2006‐S11 166,975,000 34,687,496 10,495,719.59 45,183,216 2.95% 34.31% 9.33% 34,687,496 11,425,153.61 46,112,650 2.99% 35.21% 8.56%
RFMSI 2006‐S12 317,167,000 55,954,076 9,731,112.38 65,685,188 0.41% 77.91% 16.11% 55,954,076 11,144,205.05 67,098,281 0.45% 80.05% 15.32%
RFMSI 2006‐S2 72,130,500 14,480,171 3,477,914.87 17,958,086 1.76% 43.11% 9.73% 14,480,171 3,910,139.57 18,390,311 1.86% 43.89% 8.89%
RFMSI 2006‐S3 94,131,000 22,820,258 6,954,659.35 29,774,917 2.52% 46.98% 9.55% 22,820,258 7,682,237.25 30,502,495 2.61% 48.15% 8.80%
RFMSI 2006‐S4 94,980,300 15,215,365 4,556,751.01 19,772,116 2.16% 32.29% 8.33% 15,215,365 5,055,995.15 20,271,360 2.19% 34.05% 7.69%
RFMSI 2006‐S5 192,066,000 40,615,088 14,224,863.11 54,839,951 2.56% 43.61% 8.72% 40,615,088 15,678,032.56 56,293,121 2.63% 44.87% 7.94%
RFMSI 2006‐S6 151,955,000 37,926,424 8,092,714.37 46,019,138 1.95% 43.97% 10.23% 37,926,424 8,984,662.98 46,911,087 2.04% 44.70% 9.45%
RFMSI 2006‐S7 126,798,000 28,830,190 8,981,241.52 37,811,432 2.13% 50.47% 9.12% 28,830,190 9,924,508.21 38,754,698 2.20% 51.75% 8.40%
RFMSI 2006‐S8 111,925,000 25,765,740 10,281,756.98 36,047,497 2.97% 50.38% 9.81% 25,765,740 10,836,751.60 36,602,492 2.97% 51.05% 9.13%
RFMSI 2006‐S9 102,249,000 24,611,726 5,694,669.03 30,306,395 1.55% 54.39% 9.72% 24,611,726 6,313,981.11 30,925,707 1.60% 55.79% 8.94%
RFMSI 2006‐SA1 93,343,700 26,678,300 3,423,521.26 30,101,821 1.91% 29.88% 9.97% 26,678,300 4,035,427.32 30,713,727 2.07% 31.38% 9.28%
RFMSI 2006‐SA2 260,918,000 83,832,176 20,547,779.61 104,379,956 4.48% 32.66% 8.38% 83,832,176 24,922,709.72 108,754,886 4.70% 32.35% 7.86%
RFMSI 2006‐SA3 94,405,800 28,849,486 5,157,551.35 34,007,037 1.91% 55.08% 13.80% 28,849,486 5,356,601.00 34,206,087 1.92% 54.19% 12.87%
RFMSI 2006‐SA4 79,874,400 31,590,606 1,281,942.59 32,872,549 0.56% 33.61% 6.99% 31,590,606 1,484,907.46 33,075,513 0.63% 33.96% 6.72%
RAAC 2006‐SP1 56,160,400 67,229,632 10,071,483.48 77,301,115 2.56% 66.94% 1.49% 67,229,632 12,087,403.06 79,317,035 2.82% 67.04% 1.39%
RAAC 2006‐SP2 76,004,700 73,882,032 16,076,430.43 89,958,462 3.49% 72.44% 3.28% 73,882,032 17,306,740.96 91,188,773 3.66% 73.60% 2.95%
RAAC 2006‐SP3 75,144,000 62,703,300 15,458,661.19 78,161,961 4.31% 66.74% 4.72% 62,703,300 16,529,658.79 79,232,959 4.52% 67.43% 4.40%
Page 8 of 13
Trust Level Model
RAAC 2006‐SP4 81,881,600 53,271,208 11,468,942.70 64,740,151 2.34% 79.54% 3.90% 53,271,208 12,206,139.70 65,477,348 2.44% 80.16% 3.65%
GMACM 2007‐HE3 114,190,447 107,431,287 8,866,701.50 116,297,989 3.43% 103.96% 8.71% 107,431,287 9,400,679.18 116,831,967 3.49% 104.18% 7.72%
RASC 2007‐KS1 139,154,000 137,901,744 33,271,442.75 171,173,187 3.57% 66.70% 2.47% 137,901,744 36,304,514.25 174,206,258 3.81% 68.32% 2.25%
RASC 2007‐KS2 340,770,000 366,682,272 99,783,176.83 466,465,449 3.80% 74.11% 1.80% 366,682,272 107,470,237.27 474,152,509 4.05% 75.47% 1.66%
RASC 2007‐KS3 486,350,000 466,503,616 147,374,458.46 613,878,074 4.56% 71.74% 2.52% 466,503,616 157,673,643.01 624,177,259 4.80% 73.18% 2.33%
RASC 2007‐KS4 87,434,500 95,489,152 29,333,235.22 124,822,387 4.82% 75.25% 2.08% 95,489,152 31,142,218.03 126,631,370 5.04% 76.77% 1.93%
RALI 2007‐QA1 131,898,000 106,556,560 21,912,241.12 128,468,801 3.26% 51.79% 3.33% 106,556,560 23,891,198.63 130,447,759 3.45% 53.18% 3.11%
RALI 2007‐QA2 104,185,000 100,350,624 15,854,384.39 116,205,008 3.40% 46.20% 3.39% 100,350,624 17,195,223.48 117,545,847 3.59% 47.41% 3.20%
RALI 2007‐QA3 280,502,000 270,874,944 43,346,422.33 314,221,366 2.87% 52.59% 3.30% 270,874,944 47,365,205.02 318,240,149 3.10% 53.26% 3.09%
RALI 2007‐QA4 64,657,100 71,406,680 13,082,303.77 84,488,984 3.26% 62.37% 3.26% 71,406,680 14,062,919.33 85,469,599 3.43% 63.22% 3.02%
RALI 2007‐QA5 160,637,000 132,693,904 22,236,256.92 154,930,161 3.66% 41.87% 4.03% 132,693,904 24,183,418.08 156,877,322 3.84% 42.98% 3.72%
RALI 2007‐QH1 205,060,000 173,080,880 34,784,408.47 207,865,288 3.00% 57.99% 3.29% 173,080,880 37,026,554.92 210,107,435 3.18% 58.34% 3.12%
RALI 2007‐QH2 126,633,000 118,749,672 33,939,086.50 152,688,758 6.65% 52.81% 3.42% 118,749,672 36,139,043.31 154,888,715 7.03% 53.91% 3.26%
RALI 2007‐QH3 129,829,000 124,914,440 24,581,446.95 149,495,887 3.09% 59.43% 2.79% 124,914,440 26,441,687.54 151,356,128 3.31% 60.19% 2.67%
RALI 2007‐QH4 170,646,000 127,040,496 42,935,026.44 169,975,522 6.12% 53.30% 3.78% 127,040,496 45,954,731.13 172,995,227 6.40% 54.77% 3.57%
RALI 2007‐QH5 214,651,000 167,367,632 40,277,435.92 207,645,068 3.15% 57.23% 2.77% 167,367,632 42,616,208.67 209,983,841 3.29% 58.04% 2.65%
RALI 2007‐QH6 260,873,000 198,236,480 54,346,655.03 252,583,135 4.05% 53.91% 3.10% 198,236,480 58,266,218.67 256,502,699 4.33% 54.59% 2.95%
RALI 2007‐QH7 159,235,000 108,551,888 35,612,510.47 144,164,398 6.07% 45.92% 3.42% 108,551,888 37,896,656.69 146,448,545 6.38% 46.87% 3.24%
RALI 2007‐QH8 241,780,000 190,100,416 54,200,233.17 244,300,649 4.48% 52.80% 2.72% 190,100,416 57,993,811.53 248,094,228 4.76% 53.77% 2.60%
RALI 2007‐QH9 264,160,000 189,462,720 65,035,399.56 254,498,120 4.37% 56.25% 1.99% 189,462,720 69,084,524.07 258,547,244 4.65% 57.03% 1.91%
RALI 2007‐QO1 227,154,000 203,088,016 61,246,053.84 264,334,070 4.96% 57.40% 2.31% 203,088,016 65,365,494.17 268,453,510 5.23% 58.80% 2.20%
RALI 2007‐QO2 189,409,000 173,127,472 50,263,824.10 223,391,296 4.92% 62.04% 3.39% 173,127,472 53,268,419.32 226,395,891 5.14% 63.08% 3.22%
RALI 2007‐QO3 114,697,000 95,646,920 27,085,364.58 122,732,285 4.43% 60.31% 3.95% 95,646,920 28,722,433.47 124,369,353 4.62% 61.34% 3.76%
RALI 2007‐QO4 199,702,000 158,369,120 46,732,124.37 205,101,244 3.92% 64.18% 3.77% 158,369,120 49,783,051.83 208,152,172 4.12% 65.00% 3.56%
RALI 2007‐QO5 101,488,000 71,781,592 28,244,090.97 100,025,683 6.81% 57.16% 4.63% 71,781,592 29,830,337.00 101,611,929 7.11% 57.98% 4.39%
RALI 2007‐QS1 514,166,000 205,924,944 65,799,314.55 271,724,259 2.64% 55.75% 5.00% 205,924,944 71,520,337.50 277,445,282 2.75% 56.96% 4.57%
RALI 2007‐QS10 187,295,000 88,095,432 31,183,417.81 119,278,850 2.99% 60.85% 4.23% 88,095,432 34,052,702.42 122,148,134 3.11% 62.62% 3.84%
RALI 2007‐QS11 115,299,000 64,526,632 20,848,480.66 85,375,113 3.77% 58.23% 4.94% 64,526,632 22,381,103.65 86,907,736 3.92% 59.00% 4.51%
RALI 2007‐QS2 218,323,000 86,062,256 46,286,092.33 132,348,348 4.22% 62.83% 4.62% 86,062,256 49,862,528.25 135,924,784 4.30% 64.61% 4.14%
RALI 2007‐QS3 400,111,000 178,849,408 84,874,864.84 263,724,273 3.86% 65.43% 4.39% 178,849,408 91,459,690.85 270,309,099 3.99% 66.93% 3.98%
RALI 2007‐QS4 281,095,000 132,726,448 60,795,619.89 193,522,068 5.63% 61.00% 7.32% 132,726,448 64,839,033.20 197,565,481 5.79% 61.83% 6.79%
RALI 2007‐QS5 185,069,000 79,613,944 30,436,299.45 110,050,243 3.12% 63.78% 5.24% 79,613,944 32,820,042.86 112,433,987 3.24% 64.60% 4.77%
RALI 2007‐QS6 318,949,000 162,357,904 49,608,340.29 211,966,244 3.63% 55.49% 5.85% 162,357,904 53,606,396.37 215,964,300 3.77% 56.42% 5.38%
RALI 2007‐QS7 353,706,000 137,847,936 50,281,147.26 188,129,083 2.81% 53.23% 3.73% 137,847,936 54,666,675.19 192,514,611 2.94% 54.51% 3.41%
Page 9 of 13
Trust Level Model
RALI 2007‐QS8 299,528,000 110,000,536 56,705,801.27 166,706,337 3.37% 62.60% 4.03% 110,000,536 61,022,599.03 171,023,135 3.48% 63.90% 3.63%
RALI 2007‐QS9 314,816,000 136,486,560 50,961,218.29 187,447,778 3.23% 57.11% 4.57% 136,486,560 55,686,732.88 192,173,293 3.38% 58.43% 4.16%
RAAC 2007‐RP1 125,009,784 97,583,582 16,000,283.63 113,583,865 1.50% 95.00% 4.00% 97,583,582 28,793,868.39 126,377,450 2.50% 102.00% 3.00%
RAAC 2007‐RP2 94,633,637 77,819,856 25,695,858.68 103,515,714 3.00% 102.00% 3.00% 77,819,856 35,870,900.12 113,690,756 4.00% 110.00% 2.50%
RAAC 2007‐RP3 124,499,411 142,543,564 43,630,746.41 186,174,311 5.00% 85.00% 3.50% 142,543,564 56,848,785.18 199,392,349 6.00% 92.00% 2.50%
RAAC 2007‐RP4 103,992,215 105,847,953 43,357,279.56 149,205,232 4.50% 100.00% 3.00% 105,847,953 58,467,075.88 164,315,029 5.50% 110.00% 2.00%
RAMP 2007‐RS1 155,948,000 125,306,384 50,965,975.08 176,272,359 5.13% 80.81% 4.35% 125,306,384 54,120,616.48 179,427,000 5.31% 81.25% 3.88%
RAMP 2007‐RS2 134,519,000 136,505,712 41,203,760.94 177,709,473 4.99% 77.26% 4.39% 136,505,712 44,057,083.31 180,562,795 5.18% 78.11% 3.93%
RAMP 2007‐RZ1 105,726,000 114,385,728 27,964,050.39 142,349,778 3.90% 71.86% 3.04% 114,385,728 30,325,335.86 144,711,064 4.11% 73.25% 2.73%
RFMSI 2007‐S1 163,319,000 32,508,594 10,603,296.26 43,111,890 2.63% 40.62% 10.29% 32,508,594 12,021,568.50 44,530,162 2.72% 42.25% 9.33%
RFMSI 2007‐S2 159,531,000 27,262,366 13,717,619.70 40,979,986 3.11% 44.99% 9.84% 27,262,366 15,049,178.15 42,311,544 3.18% 46.06% 8.99%
RFMSI 2007‐S3 189,809,000 39,978,232 9,956,023.21 49,934,255 1.73% 42.37% 8.34% 39,978,232 10,974,340.56 50,952,573 1.79% 43.07% 7.57%
RFMSI 2007‐S4 113,085,000 22,693,986 6,233,224.84 28,927,211 1.36% 52.38% 7.79% 22,693,986 6,831,775.79 29,525,762 1.40% 53.28% 7.05%
RFMSI 2007‐S5 192,919,000 34,898,348 14,906,868.60 49,805,217 2.66% 42.64% 8.38% 34,898,348 16,235,808.64 51,134,157 2.72% 43.56% 7.69%
RFMSI 2007‐S6 254,708,000 59,653,252 16,106,551.41 75,759,803 2.30% 35.02% 6.72% 59,653,252 17,746,265.24 77,399,517 2.36% 36.46% 6.20%
RFMSI 2007‐S7 167,964,000 30,685,534 9,969,674.36 40,655,208 1.97% 44.34% 9.29% 30,685,534 11,176,028.45 41,861,562 2.03% 45.90% 8.41%
RFMSI 2007‐S8 156,350,000 38,799,972 12,133,632.87 50,933,605 2.80% 42.39% 9.03% 38,799,972 13,310,509.79 52,110,482 2.87% 43.36% 8.26%
RFMSI 2007‐S9 52,375,600 10,835,202 3,071,243.89 13,906,446 1.21% 73.13% 10.01% 10,835,202 3,301,525.80 14,136,728 1.23% 72.73% 9.08%
RFMSI 2007‐SA1 92,558,200 37,352,004 1,318,561.88 38,670,566 0.75% 23.09% 7.53% 37,352,004 1,420,268.57 38,772,273 0.77% 23.78% 7.30%
RFMSI 2007‐SA2 124,351,000 46,953,572 12,908,179.50 59,861,752 4.09% 54.60% 9.43% 46,953,572 17,372,667.98 64,326,240 4.28% 54.39% 9.10%
RFMSI 2007‐SA3 128,708,000 48,091,736 1,497,854.76 49,589,591 0.51% 34.56% 11.24% 48,091,736 1,567,928.94 49,659,665 0.59% 28.68% 10.65%
RFMSI 2007‐SA4 138,022,000 50,466,544 1,475,677.42 51,942,221 0.53% 38.54% 15.33% 50,466,544 1,891,581.91 52,358,126 0.61% 40.93% 14.47%
RAAC 2007‐SP1 115,973,000 49,744,780 21,829,237.53 71,574,018 3.15% 78.87% 5.12% 49,744,780 23,489,426.64 73,234,207 3.28% 79.81% 4.66%
RAAC 2007‐SP2 112,366,000 84,580,024 32,138,663.32 116,718,687 3.83% 78.43% 3.05% 84,580,024 34,690,498.02 119,270,522 4.01% 79.91% 2.72%
RAAC 2007‐SP3 134,150,000 92,288,840 31,957,279.80 124,246,120 2.80% 80.42% 2.82% 92,288,840 35,171,475.06 127,460,315 3.01% 81.80% 2.55%
GMACM 2003‐J10 10,537,500 1,342 268,947 270,289 1.19% 98.19% 4.63% 1,342 271,771 273,113 1.21% 97.04% 4.25%
GMACM 2003‐AR1 45,197,800 2,108,188 74,231 2,182,418 0.12% 30.36% 16.81% 2,108,188 70,916 2,179,103
0.12% 29.58% 16.05%
GMACM 2003‐AR2 57,176,500 1,127,589 82,643 1,210,232 0.33% 5.08% 6.62% 1,127,589 159,142 1,286,731
0.36% 9.06% 6.44%
GMACM 2003‐GH2 40,839,400 5,142,159 1,926,488 7,068,648 1.35% 54.22% 5.66% 5,142,159 2,048,878 7,191,037
1.38% 55.32% 5.32%
GMACM 2003‐J5 11,212,100 172,479 16,661 189,140 0.07% 89.22% 3.94% 172,479 17,406 189,885 0.08% 89.08% 3.57%
GMACM 2003‐J6 39,249,900 422,020 365,014 787,035 0.29% 50.99% 8.96% 422,020 363,541 785,561 0.29% 49.67% 8.39%
GMACM 2003‐J7 49,888,000 620,441 975,966 1,596,408 0.72% 41.42% 8.08% 620,441 1,027,331 1,647,772
0.74% 41.12% 7.57%
GMACM 2003‐J8 57,316,100 851,528 757,588 1,609,116 0.34% 57.69% 7.95% 851,528 779,728 1,631,256
0.34% 57.51% 7.43%
GMACM 2003‐J9 50,256,400 999,199 1,441,001 2,440,200 1.05% 44.38% 9.17% 999,199 1,508,484 2,507,683
1.04% 45.38% 8.62%
Page 10 of 13
Trust Level Model
GMACM 2010‐1 25,581,091 8,944,455 1,516,202 10,460,656 1.00% 105.00% 12.00% 8,944,455 3,836,248 12,780,703 2.00% 110.00% 8.00%
GMACM 2010‐2 214,522,150 16,647,190 4,412,633 21,059,823 1.20% 41.50% 1.59% 16,647,190 4,906,889 21,554,079 1.25% 42.60% 1.51%
RALI 1999‐QS4 180,155
27,670 ‐ 27,670 0.00% 0.00% 0.00% 27,670 ‐ 27,670 0.00% 0.00% 0.00%
RALI 2001‐QS13 1,796,650 301,852 7,218 309,070 0.34% 90.74% 3.99% 301,852 7,455 309,306 0.35% 90.24% 3.44%
RALI 2001‐QS16 6,619,120 1,949,395 260,165 2,209,561 0.89% 67.25% 6.72% 1,949,395 279,747 2,229,142
0.93% 68.04% 6.40%
RALI 2001‐QS17 5,432,610 1,885,256 515,502 2,400,758 1.65% 89.72% 6.60% 1,885,256 503,536 2,388,792
1.63% 87.70% 6.39%
RALI 2001‐QS18 9,718,020 2,588,240 825,244 3,413,483 2.22% 58.50% 6.09% 2,588,240 871,701 3,459,940
2.29% 59.28% 5.83%
RALI 2001‐QS19 2,597,030 312,485 24,174 336,660 0.56% 111.86% 3.07% 312,485 24,566 337,051 0.58% 110.19% 2.65%
RALI 2002‐QS1 11,179,300 1,904,898 268,854 2,173,752 0.71% 52.75% 7.75% 1,904,898 298,839 2,203,737
0.76% 54.01% 7.36%
RALI 2002‐QS10 2,496,550 571,188 349 571,537 0.02% 12.64% 9.02% 571,188 554 571,742 0.03% 13.37% 8.68%
RALI 2002‐QS11 14,429,100 2,954,325 543,175 3,497,500 1.25% 48.86% 8.61% 2,954,325 599,219 3,553,544
1.30% 50.93% 8.15%
RALI 2002‐QS12 18,731,000 3,179,002 1,626,344 4,805,346 2.08% 66.02% 6.83% 3,179,002 1,724,525 4,903,527
2.09% 68.16% 6.43%
RALI 2002‐QS13 6,296,570 654,041 114,829 768,870 1.19% 86.39% 5.74% 654,041 114,280 768,321 1.17% 87.10% 5.38%
RALI 2002‐QS14 14,914,300 1,819,878 1,166,803 2,986,681 4.75% 29.16% 7.32% 1,819,878 1,246,765 3,066,643
4.66% 31.08% 6.95%
RALI 2002‐QS16 5,138,820 245,594 80,333 325,928 0.80% 108.05% 4.69% 245,594 81,985 327,580 0.81% 107.85% 4.04%
RALI 2002‐QS17 28,919,100 4,004,214 1,599,039 5,603,253 1.34% 60.27% 6.31% 4,004,214 1,709,851 5,714,065
1.37% 61.40% 5.85%
RALI 2002‐QS18 11,831,600 602,532 186,089 788,621 0.83% 98.69% 4.98% 602,532 186,586 789,118 0.84% 97.14% 4.63%
RALI 2002‐QS19 48,032,600 5,399,650 2,188,235 7,587,885 0.98% 66.24% 6.33% 5,399,650 2,311,628 7,711,278
1.01% 66.59% 5.99%
RALI 2002‐QS2 8,713,780 1,369,443 446,086 1,815,530 1.03% 67.66% 5.23% 1,369,443 466,110 1,835,553
1.03% 69.90% 4.88%
RALI 2002‐QS3 16,069,600 3,444,894 1,197,211 4,642,104 1.78% 71.75% 8.75% 3,444,894 1,245,236 4,690,130
1.82% 71.16% 8.23%
RALI 2002‐QS4 4,338,830 412,889 34,905 447,794 0.49% 102.46% 2.84% 412,889 36,602 449,491 0.51% 102.64% 2.51%
RALI 2002‐QS5 14,504,800 3,697,314 762,892 4,460,206 1.73% 46.27% 6.39% 3,697,314 811,449 4,508,763
1.78% 47.35% 6.14%
RALI 2002‐QS6 20,885,800 3,656,902 1,149,907 4,806,809 1.00% 80.33% 6.40% 3,656,902 1,220,861 4,877,764
1.04% 80.41% 6.05%
RALI 2002‐QS7 15,217,800 2,401,107 352,100 2,753,207 0.88% 41.04% 7.77% 2,401,107 389,896 2,791,003
0.91% 43.12% 7.41%
RALI 2002‐QS8 3,388,100 349,587 35,728 385,315 0.69% 93.42% 4.73% 349,587 35,858 385,445 0.69% 93.66% 4.44%
RALI 2002‐QS9 14,107,500 2,780,649 362,529 3,143,178 0.65% 70.27% 10.63% 2,780,649 373,361 3,154,010
0.66% 69.32% 10.06%
RALI 2003‐QA1 12,675,700 2,666,857 853,816 3,520,672 2.11% 46.94% 6.97% 2,666,857 951,133 3,617,990
2.26% 48.51% 6.75%
RALI 2003‐QS10 84,633,100 5,837,929 2,443,816 8,281,745 0.61% 65.06% 6.17% 5,837,929 2,629,886 8,467,815
0.63% 65.53% 5.73%
RALI 2003‐QS11 86,692,000 6,531,428 2,890,632 9,422,060 0.76% 60.37% 6.19% 6,531,428 3,012,661 9,544,089
0.76% 61.21% 5.75%
RALI 2003‐QS12 22,515,500 581,491 258,234 839,725 0.63% 86.02% 5.25% 581,491 262,716 844,207 0.64% 86.23% 4.79%
RALI 2003‐QS13 96,865,400 5,656,400 4,932,346 10,588,746 1.14% 63.53% 6.47% 5,656,400 5,257,091 10,913,490 1.16% 65.00% 6.04%
RALI 2003‐QS14 20,261,500 592,329 132,615 724,944 0.32% 89.26% 2.78% 592,329 138,948 731,278 0.33% 89.93% 2.50%
RALI 2003‐QS15 88,816,100 6,431,615 4,301,167 10,732,782 1.16% 55.13% 5.20% 6,431,615 4,587,646 11,019,261 1.19% 56.03% 4.82%
RALI 2003‐QS16 17,796,900 739,870 256,858 996,728 0.64% 101.18% 4.72% 739,870 253,986 993,856 0.63% 101.79% 4.42%
Page 11 of 13
Trust Level Model
RALI 2003‐QS17 111,242,000 7,073,351 4,883,486 11,956,836 0.97% 60.24% 5.66% 7,073,351 5,069,494 12,142,844 0.98% 60.47% 5.29%
RALI 2003‐QS18 16,428,400 258,305 100,053 358,358 0.28% 96.28% 3.75% 258,305 100,233 358,538 0.28% 95.03% 3.47%
RALI 2003‐QS19 73,498,300 5,503,560 1,121,994 6,625,554 0.62% 33.47% 6.48% 5,503,560 1,201,314 6,704,874
0.61% 35.59% 6.05%
RALI 2003‐QS2 38,176,100 3,894,436 1,160,090 5,054,526 0.96% 46.97% 7.13% 3,894,436 1,290,829 5,185,265
1.02% 48.15% 6.71%
RALI 2003‐QS20 21,343,400 690,376 239,320 929,696 0.48% 96.52% 1.47% 690,376 261,949 952,325 0.53% 96.07% 1.44%
RALI 2003‐QS21 46,079,200 5,354,450 2,103,864 7,458,314 0.89% 67.33% 5.66% 5,354,450 2,255,661 7,610,110
0.91% 68.41% 5.25%
RALI 2003‐QS22 57,256,200 4,282,535 2,897,840 7,180,375 1.31% 52.71% 5.91% 4,282,535 3,112,867 7,395,402
1.35% 53.60% 5.47%
RALI 2003‐QS23 17,029,000 596,536 340,621 937,157 1.02% 86.64% 5.79% 596,536 353,642 950,178 1.04% 88.10% 5.38%
RALI 2003‐QS3 12,428,500 631,877 28,027 659,904 0.13% 83.06% 4.20% 631,877 28,037 659,914 0.13% 84.86% 3.86%
RALI 2003‐QS4 43,827,400 4,683,848 1,843,400 6,527,248 0.97% 64.54% 7.12% 4,683,848 1,928,630 6,612,477
0.99% 64.23% 6.67%
RALI 2003‐QS5 15,902,100 797,833 126,996 924,830 0.36% 109.37% 4.92% 797,833 124,015 921,848 0.35% 108.68% 4.59%
RALI 2003‐QS6 34,531,800 3,477,561 851,191 4,328,752 0.94% 40.93% 7.99% 3,477,561 935,802 4,413,363
0.99% 41.57% 7.46%
RALI 2003‐QS7 43,519,500 2,879,596 806,514 3,686,110 0.38% 62.95% 5.49% 2,879,596 831,804 3,711,400
0.38% 64.40% 5.09%
RALI 2003‐QS9 15,217,500 568,672 214,311 782,983 0.69% 97.30% 4.48% 568,672 215,306 783,978 0.69% 97.30% 4.13%
RAMP 2001‐RS2 4,399,014 11,231,765 492,746 11,724,511 2.00% 100.00% 6.00% 11,231,765 794,929 12,026,694 3.00% 102.00% 4.00%
RAMP 2002‐RS3 18,844,200 22,155,498 2,054,789 24,210,287 2.16% 70.25% 2.99% 22,155,498 2,214,804 24,370,302 2.26% 72.04% 2.82%
RAMP 2002‐RZ2 10,061,900 11,376,191 1,606,771 12,982,962 3.67% 78.55% 8.24% 11,376,191 1,742,006 13,118,197 3.78% 79.72% 7.42%
RAMP 2002‐RZ3 21,991,200 21,050,438 1,855,922 22,906,360 1.69% 69.61% 5.51% 21,050,438 2,030,353 23,080,791 1.76% 71.37% 5.01%
RAMP 2002‐SL1 10,692,946 293,200 188,894 482,094 0.50% 95.00% 12.00% 293,200 249,997 543,197 0.60% 98.00% 10.00%
RAMP 2003‐RS10 80,556,100 83,885,856 5,238,297 89,124,153 1.35% 71.29% 6.81% 83,885,856 5,783,544 89,669,400 1.41% 72.97% 6.23%
RAMP 2003‐RS11 140,888,000 89,645,064 19,292,976 108,938,040 2.74% 73.95% 6.04% 89,645,064 20,923,221 110,568,285 2.87% 74.79% 5.50%
RAMP 2003‐SL1 28,974,595 1,392,562 545,124 1,937,686 0.75% 50.00% 10.00% 1,392,562 865,305 2,257,867
1.00% 55.00% 8.00%
RASC 2001‐KS2 51,174,600 101,113,080 7,108,827 108,221,907 2.91% 79.93% 3.98% 101,113,080 7,659,123 108,772,203 3.06% 81.39% 3.73%
RASC 2001‐KS3 60,639,700 121,518,872 10,828,074 132,346,946 3.41% 81.67% 2.25% 121,518,872 11,510,204 133,029,076 3.53% 83.61% 2.09%
RASC 2002‐KS2 31,971,100 79,880,448 3,733,160 83,613,608 2.26% 77.26% 3.61% 79,880,448 3,992,289 83,872,737 2.34% 78.96% 3.35%
RASC 2003‐KS10 97,438,000 45,396,460 10,701,596 56,098,056 2.15% 73.17% 5.46% 45,396,460 11,505,830 56,902,290 2.21% 74.96% 5.07%
RASC 2003‐KS11 84,476,200 73,522,408 8,224,917 81,747,325 1.78% 71.02% 4.16% 73,522,408 8,841,744 82,364,152 1.83% 72.97% 3.82%
RASC 2003‐KS12 83,572,900 62,672,284 11,640,485 74,312,769 2.64% 74.19% 3.88% 62,672,284 12,599,844 75,272,128 2.76% 76.06% 3.62%
RASC 2003‐KS3 11,554,900 19,063,186 3,038,630 22,101,816 5.14% 72.64% 3.89% 19,063,186 3,266,051 22,329,237 5.39% 74.84% 3.76%
RASC 2003‐KS6 13,520,000 20,004,462 2,212,624 22,217,086 2.11% 88.93% 3.51% 20,004,462 2,367,126 22,371,588 2.21% 90.36% 3.34%
RASC 2003‐KS7 95,194,400 40,266,224 10,401,121 50,667,345 2.26% 73.57% 5.74% 40,266,224 11,381,290 51,647,514 2.39% 75.37% 5.40%
RASC 2003‐KS8 60,280,000 28,246,624 7,311,108 35,557,732 2.22% 74.59% 4.37% 28,246,624 7,884,594 36,131,218 2.31% 76.44% 4.06%
RFMSI 2003‐S10 29,743,000 518,521 47,408 565,929 0.14% 20.15% 10.56% 518,521 45,720 564,241 0.12% 20.52% 9.93%
RFMSI 2003‐S11 16,473,200 355,856 213,333 569,189 0.63% 96.85% 6.47% 355,856 209,115 564,971 0.62% 96.02% 6.05%
Page 12 of 13
Trust Level Model
RFMSI 2003‐S12 32,946,300 1,576,319 18,927 1,595,245 0.07% 18.83% 15.26% 1,576,319 16,158 1,592,477
0.06% 18.02% 14.63%
RFMSI 2003‐S14 11,756,000 1,114 94,340 95,454 0.84% 44.23% 3.99% 1,114 98,776 99,890 0.86% 44.98% 3.66%
RFMSI 2003‐S15 12,163,100 36,076 13,471 49,547 0.15% 32.83% 6.39% 36,076 16,322 52,398 0.15% 40.13% 5.88%
RFMSI 2003‐S16 15,849,400 79,567 2,306 81,872 0.01% 68.43% 2.08% 79,567 2,672 82,239 0.01% 69.63% 1.81%
RFMSI 2003‐S17 53,865,700 454,644 1,030,393 1,485,037 0.70% 46.64% 10.07% 454,644 1,120,032 1,574,676
0.72% 47.77% 9.49%
RFMSI 2003‐S18 17,318,600 32,224 108,785 141,010 0.27% 97.99% 2.40% 32,224 110,864 143,088 0.28% 98.06% 2.01%
RFMSI 2003‐S19 38,975,600 717,160 528,027 1,245,187 0.37% 61.81% 10.34% 717,160 546,829 1,263,989
0.37% 61.45% 9.66%
RFMSI 2003‐S6 8,103,380 22,752 17 22,770 0.00% 120.00% 10.93% 22,752 0 22,753 0.00% 120.00% 10.28%
RFMSI 2003‐S7 62,850,000 734,738 551,224 1,285,961 0.34% 46.79% 11.24% 734,738 575,111 1,309,848
0.34% 47.29% 10.54%
RFMSI 2003‐S9 5,632,760 96,178 2,551 98,729 0.06% 17.34% 14.64% 96,178 3,170 99,348 0.05% 22.20% 14.02%
RFMS2 1998‐HI2 ‐ 36,874,298 ‐ 36,874,298 0.00% 0.00% 0.00% 36,874,298 ‐ 36,874,298 0.00% 0.00% 0.00%
RFMS2 2002‐HI4 8,345,310 29,426,514 1,019,481 30,445,995 4.27% 112.18% 10.87% 29,426,514 1,085,504 30,512,018 4.46% 112.20% 9.98%
RFMS2 2002‐HI5 8,906,660 23,183,006 1,042,973 24,225,979 4.17% 111.87% 11.99% 23,183,006 1,117,854 24,300,860 4.36% 111.81% 10.86%
RFMS2 2002‐HS1 1,744,870 3,813,717 34,168 3,847,885 0.95% 111.65% 11.83% 3,813,717 35,572 3,849,289
0.98% 111.89% 11.36%
RFMS2 2002‐HS2 2,358,680 3,841,103 295,469 4,136,572 5.18% 110.70% 8.67% 3,841,103 304,789 4,145,892
5.31% 110.76% 8.20%
RFMS2 2003‐HI1 10,162,800 21,516,042 956,846 22,472,888 2.84% 111.78% 9.23% 21,516,042 1,022,489 22,538,531 2.97% 111.82% 8.41%
RFMS2 2003‐HI2 13,542,700 26,120,772 1,209,162 27,329,934 2.62% 109.41% 9.64% 26,120,772 1,275,156 27,395,928 2.70% 109.46% 8.83%
RFMS2 2003‐HI4 23,149,400 33,091,528 2,269,820 35,361,348 2.92% 110.23% 10.90% 33,091,528 2,451,552 35,543,080 3.07% 110.26% 9.83%
RFSC 2002‐RM1 4,174,950 261,814 190 262,003 0.01% 27.04% 14.43% 261,814 118 261,931 0.01% 34.00% 14.00%
RFSC 2003‐RM1 19,661,200 267,819 94,108 361,927 0.23% 36.38% 10.91% 267,819 103,322 371,141 0.23% 37.78% 10.27%
RFSC 2003‐RM2 29,451,200 480,656 295,912 776,568 0.38% 41.87% 8.96% 480,656 294,608 775,264 0.37% 41.71% 8.45%
Page 13 of 13
ANNEX D
Non Debtor Sponsored Trust Forecasted Loss Analysis
Forecasted Losses for Forecasted Losses
Seller Debtor Collateral
Name Current Collat Bal Collateral Losses to Date Debtors Loans for Debtors Loans
Percentage Losses To Date
BAFC 2005‐3 B1 46,122,697.72 1,269,318.97 4.30% $ 54,581 $ 319,307 $ 349,652
BAFC 2005‐4 B1 70,633,534.00 1,132,495.00 6.30% $ 71,347 $ 716,436 $ 784,520
BAFC 2005‐5 B1 116,254,211.04 6,106,889.63 16.22% $ 990,537 $ 3,035,886 $ 3,324,389
BAFC 2005‐6 B1 116,126,157.51 11,559,009.03 7.32% $ 845,542 $ 1,367,635 $ 1,497,603
BAFC 2005‐7 XB1 226,602,473.84 15,132,022.11 2.60% $ 393,433 $ 948,558 $ 1,038,700
BAFC 2005‐8 B1 165,117,351.03 12,904,064.20 9.14% $ 1,179,431 $ 2,429,768 $ 2,660,671
BAFC 2006‐1 B1 133,175,040.69 12,828,598.85 3.96% $ 508,013 $ 849,071 $ 929,759
BAFC 2006‐4 B1 107,617,528.57 15,920,476.16 15.90% $ 2,531,356 $ 2,754,901 $ 3,016,702
BAFC 2007‐4 SB1 374,631,864.82 110,490,119.40 2.42% $ 2,673,861 $ 1,459,641 $ 1,598,352
CARR 2006‐RFC1 M1 188,518,789.66 177,453,492.52 100.00% $ 177,453,493 $ 30,351,525 $ 33,235,863
CARR 2007‐RFC1 M1 352,439,398.34 235,854,273.44 100.00% $ 235,854,273 $ 56,742,743 $ 62,135,066
GSR 2004‐10F B1 119,729,567.90 1,214,279.34 17.47% $ 212,135 $ 3,367,598 $ 3,687,624
GSR 2005‐5F B1 267,976,137.60 8,039,575.23 4.61% $ 370,624 $ 1,988,946 $ 2,177,957
GSR 2006‐2F B1 242,722,593.48 30,647,030.70 1.20% $ 367,764 $ 468,940 $ 513,504
GSR 2006‐4F B1 211,115,424.41 38,180,162.27 18.88% $ 7,208,415 $ 6,417,233 $ 7,027,070
GSR 2007‐AR1 B1 551,503,329.33 153,290,998.52 5.00% $ 7,664,550 $ 4,439,602 $ 4,861,502
GSR 2007‐OA2 B1 175,584,650.31 139,784,331.56 5.00% $ 6,989,217 $ 1,413,456 $ 1,547,779
GSR 2007‐4F B1 250,572,320.52 40,678,893.35 2.73% $ 1,110,534 $ 1,101,341 $ 1,206,002
HVMLT 2003‐1 B1 13,325,184.80 310,198.79 53.17% $ 164,933 $ 1,140,685 $ 1,249,086
HVMLT 2003‐2 B1 52,419,897.69 2,075,474.82 0.16% $ 3,321 $ 13,503 $ 14,787
HVMLT 2004‐4 B1 18,997,613.22 4,037,526.93 5.32% $ 214,796 $ 162,718 $ 178,182
HVMLT 2007‐2 B1 438,147,007.80 473,299,029.09 10.28% $ 48,655,140 $ 7,251,683 $ 7,940,819
HVMLT 2007‐7 B1 687,432,372.74 403,255,328.40 12.06% $ 48,632,593 $ 13,347,599 $ 14,616,036
LXS 2006‐12N M1 541,595,693.40 452,457,102.57 16.77% $ 75,877,056 $ 14,622,921 $ 16,012,553
LXS 2007‐12N 1M1 481,227,054.99 414,854,693.06 2.73% $ 11,325,533 $ 2,115,137 $ 2,316,141
LXS 2007‐15N M1i 1,194,475,460.76 839,423,396.47 15.50% $ 130,110,626 $ 29,808,135 $ 32,640,834
LXS 2007‐2N M1 442,711,580.23 423,197,520.70 35.47% $ 150,108,161 $ 25,281,797 $ 27,684,353
LXS 2007‐4N M1 730,049,817.03 656,792,828.16 14.63% $ 96,088,791 $ 17,195,812 $ 18,829,949
MLMI 2003‐A2 1M1 41,833,644.42 575,621.62 5.11% $ 29,414 $ 344,170 $ 376,876
MLMI 2003‐A4 M1 15,627,901.33 1,598,267.12 11.96% $ 191,153 $ 300,925 $ 329,522
SARM 2007‐6 M1 256,667,820.06 188,543,866.46 0.75% $ 1,414,079 $ 309,926 $ 339,379
SASC 2002‐4H B1 7,260,032.40 1,150,499.26 19.86% $ 228,489 $ 232,137 $ 254,197
ARMT 2005‐10 CB1 291,823,806.58 109,131,627.32 4.50% $ 4,910,923 $ 2,114,263 $ 2,315,184
ARMT 2005‐11 CB1 277,803,109.02 171,982,573.12 4.50% $ 7,739,216 $ 2,012,684 $ 2,203,951
ARMT 2005‐9 CB1 226,421,855.07 94,578,444.99 9.00% $ 8,512,060 $ 3,280,853 $ 3,592,636
BAFC 2006‐2 B1 228,956,363.31 27,324,741.29 0.99% $ 270,515 $ 364,934 $ 399,614
BAFC 2007‐3 3B1 301,910,869.22 144,575,443.24 1.84% $ 2,660,188 $ 894,381 $ 979,375
BAFC 2007‐7 XB1 262,133,367.49 97,001,333.69 0.71% $ 688,709 $ 299,645 $ 328,120
BSABS 2004‐AC1 M1 25,982,686.10 4,917,772.69 1.36% $ 66,882 $ 56,892 $ 62,298
BSABS 2004‐AC7 M1 58,623,547.58 10,417,928.68 2.40% $ 250,030 $ 226,521 $ 248,048
BALTA 2005‐4 1B1 474,967,929.93 136,195,982.91 0.32% $ 435,827 $ 244,703 $ 267,958
CSFB 2005‐10 CB1 335,350,443.65 79,958,062.24 4.58% $ 3,662,079 $ 2,472,807 $ 2,707,801
CSFB 2005‐11 CB1 204,781,429.16 48,428,055.60 3.02% $ 1,462,527 $ 995,688 $ 1,090,310
CSFB 2005‐12 B1 284,518,724.58 129,779,877.73 3.35% $ 4,347,626 $ 1,534,552 $ 1,680,382
CSFB 2005‐3 CB1 205,340,258.27 17,841,546.85 9.00% $ 1,605,739 $ 2,975,380 $ 3,258,134
CSFB 2005‐4 CB1 186,248,487.75 13,478,507.07 9.00% $ 1,213,066 $ 2,698,741 $ 2,955,205
CSFB 2005‐5 CB1 169,739,598.31 11,867,711.14 2.54% $ 301,440 $ 694,133 $ 760,097
CSFB 2005‐6 CB1 177,800,723.35 37,228,999.25 7.63% $ 2,840,573 $ 2,184,157 $ 2,391,720
CSFB 2005‐8 B1 346,630,511.64 81,085,500.62 3.39% $ 2,748,798 $ 1,891,875 $ 2,071,662
CSFB 2005‐9 CB1 268,676,244.50 56,479,462.48 2.77% $ 1,564,481 $ 1,198,215 $ 1,312,083
CSMC 2006‐1 CB1 319,049,007.94 63,126,907.00 0.19% $ 119,941 $ 97,597 $ 106,872
CSMC 2006‐8 CB1 100,139,703.08 52,851,576.29 2.50% $ 1,321,289 $ 403,062 $ 441,366
CSMC 2006‐9 CB1 384,769,281.97 52,402,966.45 0.09% $ 47,163 $ 55,753 $ 61,051
CSMC 2007‐6 CB1 230,873,399.93 87,071,115.46 0.49% $ 426,648 $ 182,136 $ 199,445
CSMC 2007‐7 CB1 105,579,478.51 53,159,377.14 0.21% $ 111,635 $ 35,696 $ 39,089
GPMF 2006‐HE1 AX 178,750,225.91 916,315,108.20 0.44% $ 4,031,786 $ 126,627 $ 138,660
GSMPS 2006‐RP2 B1 150,485,404.38 4,395,009.33 3.55% $ 156,023 $ 860,099 $ 941,835
GSR 2003‐2F B1 6,324,259.93 168,313.20 32.89% $ 55,358 $ 334,888 $ 366,713
GSR 2005‐6F B1 209,893,038.63 16,656,342.52 2.68% $ 446,390 $ 905,646 $ 991,711
GSR 2005‐8F B1 257,586,313.65 27,882,335.28 9.00% $ 2,509,410 $ 3,732,426 $ 4,087,122
GSR 2005‐9F 1B1 253,077,549.16 40,471,050.23 0.42% $ 169,978 $ 171,131 $ 187,394
GSR 2005‐AR3 1B1 263,202,444.06 51,928,750.67 7.89% $ 4,097,178 $ 3,343,434 $ 3,661,164
GSR 2005‐AR7 1B1 541,742,306.18 55,078,809.77 2.82% $ 1,553,222 $ 2,459,618 $ 2,693,359
Page 1 of 3
GSR 2006‐3F B1 206,316,647.64 32,062,166.40 1.45% $ 464,901 $ 481,646 $ 527,418
GSR 2006‐AR1 B1 445,081,525.21 92,797,904.97 5.00% $ 4,639,895 $ 3,582,906 $ 3,923,394
GSR 2007‐HEL1 A 27,476,093.65 59,353,463.35 2.50% $ 1,483,837 $ 110,591 $ 121,101
HALO 2007‐AR2 B1 165,083,926.22 59,793,616.24 0.33% $ 197,319 $ 87,709 $ 96,044
HVMLT 2006‐13 B1 58,327,757.06 28,413,406.99 2.18% $ 619,412 $ 204,719 $ 224,173
LXS 2006‐10N 1M1 382,187,689.94 315,091,243.17 0.46% $ 1,449,420 $ 283,048 $ 309,947
MASTR 2003‐2 30B1 24,350,423.66 403,626.41 9.00% $ 36,326 $ 352,838 $ 386,368
MASTR 2003‐4 B1 55,308,119.33 58,048.65 0.38% $ 221 $ 33,838 $ 37,053
MLMI 2005‐A6 B1 238,997,124.73 101,722,445.69 5.00% $ 5,086,122 $ 1,923,927 $ 2,106,760
RBSGC 2007‐B 1B1 230,329,486.75 59,256,348.76 0.11% $ 65,182 $ 40,791 $ 44,668
RBSGC 2005‐A B1 127,023,989.81 17,487,597.03 4.50% $ 786,942 $ 920,289 $ 1,007,745
SAIL 2006‐2 B1 209,909,319.89 358,738,849.52 0.78% $ 2,798,163 $ 263,604 $ 288,655
SAMI 2003‐AR1 B1 37,877,040.02 4,732,583.08 100.00% $ 4,732,583 $ 6,098,203 $ 6,677,722
SARM 2007‐3 M1 410,080,988.69 186,136,312.24 2.95% $ 5,491,021 $ 1,947,680 $ 2,132,770
SASC 2002‐9 M1 36,747,563.22 2,181,496.67 0.80% $ 17,452 $ 47,331 $ 51,829
SASC 2006‐BC2 M1 298,566,729.28 376,223,415.61 0.90% $ 3,386,011 $ 432,623 $ 473,736
BAFC 2006‐5 B1 186,498,486.14 25,870,286.61 2.50% $ 646,757 $ 750,656 $ 821,992
CSFB 2002‐34 CB1 16,539,377.44 6,243,406.45 9.00% $ 561,907 $ 239,656 $ 262,430
CSFB 2002‐AR33 CB1 7,345,786.47 1,832,263.04 9.00% $ 164,904 $ 106,440 $ 116,556
FMRMT 2003‐A A 371,000.00 0.00 100.00% $ ‐ $ 59,731 $ 65,407
GSMPS 2004‐4 B1 207,260,266.89 8,345,613.22 9.00% $ 751,105 $ 3,003,201 $ 3,288,599
GSMPS 2005‐LT1 M1 17,666,468.76 13,584,197.07 3.44% $ 467,296 $ 97,844 $ 107,142
GSMPS 2005‐RP2 B1 231,817,456.40 7,846,283.19 2.36% $ 185,172 $ 880,814 $ 964,518
GSMPS 2005‐RP3 B1 243,809,547.73 7,421,963.37 2.23% $ 165,510 $ 875,349 $ 958,535
GSMPS 2006‐RP1 B1 204,967,165.37 2,802,580.36 5.00% $ 140,129 $ 1,649,986 $ 1,806,786
GSR 2005‐7F B1 89,474,278.65 5,226,284.39 9.00% $ 470,366 $ 1,296,482 $ 1,419,688
LMT 2005‐1 B1 314,801,584.26 44,031,767.40 1.37% $ 603,235 $ 694,358 $ 760,343
SASC 05‐RF2 B1 46,337,074.48 998,298.00 9.00% $ 89,847 $ 671,424 $ 735,230
SASC 05‐RF4 B1 65,857,439.58 2,535,253.21 9.00% $ 228,173 $ 954,274 $ 1,044,960
SASC 05‐RF6 B1 31,434,360.49 1,490,600.68 9.00% $ 134,154 $ 455,484 $ 498,769
SASC 2001‐8A B1i 3,630,674.96 281,888.42 9.00% $ 25,370 $ 52,608 $ 57,608
SASC 2002‐12 A6 97,226,745.85 1,069,268.39 9.00% $ 96,234 $ 1,408,816 $ 1,542,697
SASC 2005‐RF1 B1 52,953,753.51 1,542,184.32 9.00% $ 138,797 $ 767,300 $ 840,217
SASC 2005‐S7 M1 68,433,230.85 156,172,007.09 9.00% $ 14,055,481 $ 991,598 $ 1,085,830
SASI 1993‐6 B1 1,751,608.03 3,969,649.23 4.50% $ 178,634 $ 12,690 $ 13,896
TMTS 2005‐11 1B1 66,492,102.17 236,911,559.96 4.50% $ 10,661,020 $ 481,735 $ 527,515
TMTS 2005‐13SL B1 41,194,133.87 207,622,651.03 4.50% $ 9,343,019 $ 298,451 $ 326,814
GSAA 2005‐9 B1 187,166,225.22 68,198,725.33 19.48% $ 13,285,112 $ 5,870,057 $ 6,427,895
LUM 2006‐3 1M1 171,265,032.41 156,450,712.16 28.35% $ 44,353,777 $ 7,817,136 $ 8,560,006
LUM 2006‐4 B1 93,250,428.28 110,100,804.37 11.87% $ 13,068,965 $ 1,782,081 $ 1,951,434
LUM 2006‐5 B1 135,120,732.80 119,719,056.93 51.86% $ 62,086,303 $ 11,281,852 $ 12,353,978
SARM 2004‐4 B1 211,455,292.52 14,334,860.08 0.06% $ 8,601 $ 20,427 $ 22,368
SEMT 2005‐2 B1 41,285,244.15 1,700,864.02 14.65% $ 249,177 $ 973,774 $ 1,066,313
ARMT 2004‐5 CB1 139,809,733.62 38,841,928.74 4.50% $ 1,747,887 $ 1,012,922 $ 1,109,181
ARMT 2005‐1 CB1 131,026,190.77 47,799,123.49 4.50% $ 2,150,961 $ 949,285 $ 1,039,496
BSABS 2007‐SD2 1B1 126,945,319.11 66,297,117.34 0.01% $ 6,630 $ 2,044 $ 2,238
BSABS 2007‐SD3 M1 163,591,733.89 101,154,998.56 0.71% $ 718,200 $ 187,002 $ 204,773
BALTA 2006‐4 1B1 1,188,978,495.84 1,268,938,617.75 0.19% $ 2,410,983 $ 363,709 $ 398,272
BALTA 2006‐5 1B1 301,710,595.75 335,916,414.84 0.20% $ 671,833 $ 97,151 $ 106,383
BALTA 2006‐8 1B1 372,575,295.91 334,951,789.44 0.52% $ 1,741,749 $ 311,920 $ 341,562
BSSLT 2007‐SV1A M1 252,944,594.77 443,417,142.35 2.50% $ 11,085,429 $ 1,018,102 $ 1,114,853
GSMPS 2005‐RP1 B1 237,765,150.17 6,370,646.80 1.35% $ 86,004 $ 516,783 $ 565,893
GSR 2006‐AR2 1B1 312,256,066.25 66,254,679.05 5.00% $ 3,312,734 $ 2,513,661 $ 2,752,537
MALT 2004‐12 B1 102,976,582.62 7,773,956.81 2.50% $ 194,349 $ 414,481 $ 453,869
MALT 2004‐4 B1 102,935,784.12 5,411,522.17 2.50% $ 135,288 $ 414,317 $ 453,689
MALT 2004‐6 B1 123,236,768.29 7,502,240.72 4.50% $ 337,601 $ 892,850 $ 977,699
MALT 2004‐7 B1 133,077,768.93 7,196,677.51 4.50% $ 323,850 $ 964,148 $ 1,055,772
MALT 2004‐8 B1 97,366,165.39 7,672,622.47 4.50% $ 345,268 $ 705,418 $ 772,454
MALT 2005‐3 B1 125,812,710.72 10,502,859.71 2.50% $ 262,571 $ 506,396 $ 554,520
MALT 2005‐4 B1 69,024,119.83 12,647,354.06 4.50% $ 569,131 $ 500,080 $ 547,603
MALT 2005‐5 B1 116,712,304.30 18,236,215.02 2.50% $ 455,905 $ 469,767 $ 514,409
MALT 2006‐1 B1 101,688,520.15 22,995,242.18 0.72% $ 165,566 $ 117,877 $ 129,079
MALT 2007‐HF1 B1 83,629,002.26 48,146,776.73 4.80% $ 2,311,045 $ 646,285 $ 707,702
Page 2 of 3
MARP 2005‐1 B1 93,190,654.67 2,290,006.22 9.00% $ 206,101 $ 1,350,333 $ 1,478,656
MARP 2005‐2 B1 131,510,321.99 3,688,057.92 0.89% $ 32,824 $ 188,441 $ 206,349
MARP 2006‐1 B1 98,051,734.13 2,738,868.61 0.17% $ 4,656 $ 26,837 $ 29,387
MARP 2006‐2 B1 78,129,508.40 2,614,919.56 4.42% $ 115,579 $ 555,985 $ 608,821
MASTR 2002‐7 B1 14,805,774.06 591,786.94 5.81% $ 34,383 $ 138,495 $ 151,656
MASTR 2004‐1 B1 64,402,369.38 282,841.71 9.00% $ 25,456 $ 933,190 $ 1,021,872
MASTR 2004‐10 B1 44,067,883.52 1,050,096.55 9.00% $ 94,509 $ 638,544 $ 699,225
MASTR 2004‐11 B1 56,791,450.69 1,560,433.21 8.04% $ 125,459 $ 735,131 $ 804,992
MASTR 2004‐3 B1 31,533,417.85 126,042.44 9.00% $ 11,344 $ 456,919 $ 500,341
MASTR 2004‐4 B1 23,982,657.04 548,503.73 2.65% $ 14,535 $ 102,322 $ 112,046
MASTR 2004‐5 B1 25,717,911.09 695,297.66 3.29% $ 22,875 $ 136,225 $ 149,171
MASTR 2004‐6 B1 72,833,505.09 406,535.99 2.80% $ 11,383 $ 328,333 $ 359,535
MASTR 2004‐9 30B1 70,024,324.32 1,316,768.33 5.95% $ 78,348 $ 670,798 $ 734,545
MSSTR 2005‐2 B1 30,763,034.12 974,046.97 1.37% $ 13,344 $ 67,854 $ 74,302
SACO 2007‐1 B1 32,159,533.01 165,850,750.85 5.00% $ 8,292,538 $ 258,884 $ 283,486
SEMT 2004‐10 B1 74,785,297.02 5,930,963.12 4.50% $ 266,893 $ 541,819 $ 593,309
SEMT 2004‐11 B1 92,260,808.38 3,452,979.83 2.90% $ 100,136 $ 430,766 $ 471,702
SEMT 2004‐12 B1 73,390,264.41 4,125,968.69 3.10% $ 127,905 $ 366,291 $ 401,100
SEMT 2004‐4 B1 51,691,737.27 3,614,964.97 1.99% $ 71,938 $ 165,615 $ 181,354
SEMT 2004‐5 B1 62,109,278.03 2,981,797.87 4.50% $ 134,181 $ 449,982 $ 492,744
SEMT 2004‐6 B1 68,571,799.65 4,515,964.90 4.19% $ 189,219 $ 462,579 $ 506,538
SEMT 2004‐7 B1 96,288,490.72 3,726,487.99 4.41% $ 164,338 $ 683,658 $ 748,627
SEMT 2004‐8 B1 83,748,130.83 4,425,869.66 3.88% $ 171,724 $ 523,158 $ 572,874
SEMT 2004‐9 B1 88,217,333.73 4,194,499.50 4.50% $ 188,752 $ 639,135 $ 699,872
SEMT 2005‐1 B1 54,122,801.65 3,113,942.36 4.50% $ 140,127 $ 392,120 $ 429,383
SEMT 2005‐3 B1 56,109,354.53 3,010,209.45 4.50% $ 135,459 $ 406,512 $ 445,144
SEMT 2005‐4 1B1 63,201,958.30 990,812.32 2.35% $ 23,284 $ 239,125 $ 261,849
SEMT 2007‐1 B1 266,670,302.01 54,148,315.15 1.66% $ 898,862 $ 712,703 $ 780,432
SEMT 2007‐2 1B1 471,810,637.03 36,561,138.98 2.50% $ 914,028 $ 1,899,038 $ 2,079,505
SEMT 2007‐3 1B1 318,436,503.08 36,315,480.38 2.50% $ 907,887 $ 1,281,707 $ 1,403,509
SEMT 2007‐4 B1 79,653,463.36 10,154,058.02 2.50% $ 253,851 $ 320,605 $ 351,073
FNR 2002‐66 A1 72,889,552.08 0.00 4.50% $ ‐ $ 528,085 $ 578,269
LMT 2006‐7 B1 295,490,128.27 128,870,358.42 2.45% $ 3,157,324 $ 1,165,561 $ 1,276,325
SASC 2008‐RF1 B1 61,908,177.98 3,718,569.58 5.00% $ 185,928 $ 498,361 $ 545,721
Page 3 of 3
ANNEX E
Pre 2004 Defect Rate Analysis
90+ Day & FC &
Since Deal
Shelf / Series Year Vintage Original Pool Balance Current Pool Balance REO Delq
Issue Mth Count
% Curr Bal
RFMSI S ‐ 15 Yr FRM 2003 Pre‐2004 12 11 $ 2,790,880,068 $ 1,995,086,546 0.00%
RFMSI S ‐30 Yr FRM 2003 Pre‐2004 12 8 $ 4,057,362,334 $ 3,057,866,905 0.00%
RFMSI SA ‐ ARM 2001 Pre‐2004 12 1 $ 199,421,312 $ 76,342,036 0.00%
RFMSI SA ‐ ARM 2002 Pre‐2004 12 2 $ 780,001,352 $ 221,155,588 0.00%
RFMSI S ‐ 15 Yr FRM 2000 Pre‐2004 12 4 $ 692,917,501 $ 477,921,310 0.13%
RALI QS ‐ 15 Yr FRM 2003 Pre‐2004 12 9 $ 1,823,919,708 $ 1,479,403,124 0.10%
RFMSI S ‐30 Yr FRM 2002 Pre‐2004 12 8 $ 3,665,732,589 $ 1,793,076,823 0.11%
RALI QS ‐ 15 Yr FRM 2000 Pre‐2004 12 2 $ 214,317,765 $ 166,142,450 0.13%
RALI QS ‐ 15 Yr FRM 2002 Pre‐2004 12 5 $ 1,014,182,335 $ 685,091,255 0.11%
RFMSI S ‐ 15 Yr FRM 2002 Pre‐2004 12 12 $ 3,126,622,483 $ 1,373,978,543 0.05%
RFMSI S ‐ 15 Yr FRM 2001 Pre‐2004 12 8 $ 1,809,165,990 $ 1,099,656,041 0.08%
RFMSI S ‐30 Yr FRM 2001 Pre‐2004 12 21 $ 8,628,974,031 $ 5,499,682,637 0.12%
RFMSI S ‐30 Yr FRM 2000 Pre‐2004 12 12 $ 4,102,984,959 $ 2,688,786,040 0.39%
RALI QS ‐ 15 Yr FRM 2001 Pre‐2004 12 3 $ 514,006,874 $ 377,481,588 0.24%
RALI QS ‐ 30 Yr FRM 2003 Pre‐2004 12 14 $ 6,661,907,841 $ 5,102,859,658 0.28%
RALI QS ‐ 30 Yr FRM 2002 Pre‐2004 12 14 $ 5,701,209,991 $ 3,610,204,790 0.82%
RALI QS ‐ 30 Yr FRM 2001 Pre‐2004 12 16 $ 4,346,273,626 $ 3,029,452,305 0.86%
RAMP RZ ‐ ARM 2003 Pre‐2004 12 1 $ 125,000,140 $ 97,778,067 1.10%
RALI QS ‐ 30 Yr FRM 2000 Pre‐2004 12 12 $ 3,061,833,143 $ 2,125,993,789 1.60%
RAMP RZ ‐ FRM 2003 Pre‐2004 12 5 $ 3,305,001,828 $ 2,653,618,153 1.41%
RAMP RZ ‐ FRM 2000 Pre‐2004 12 1 $ 175,000,110 $ 115,550,205 2.51%
RASC KS ‐ FRM 2003 Pre‐2004 12 8 $ 4,375,000,775 $ 3,513,908,518 2.28%
RAMP RZ ‐ FRM 2002 Pre‐2004 12 4 $ 1,890,005,063 $ 1,466,742,553 2.48%
RAMP RS ‐ FRM 2003 Pre‐2004 12 11 $ 6,030,006,620 $ 4,620,294,185 2.62%
RAMP RZ ‐ FRM 2001 Pre‐2004 12 4 $ 890,004,267 $ 642,168,114 2.72%
RASC KS ‐ ARM 2003 Pre‐2004 12 11 $ 9,925,011,602 $ 7,468,368,229 4.50%
RASC KS ‐ FRM 2002 Pre‐2004 12 5 $ 3,450,001,931 $ 2,750,984,965 5.30%
RAMP RS ‐ ARM 2003 Pre‐2004 12 11 $ 7,035,010,545 $ 5,569,704,088 5.55%
RAMP RS ‐ FRM 2002 Pre‐2004 12 7 $ 2,862,343,599 $ 1,933,227,693 5.61%
RASC KS ‐ ARM 2002 Pre‐2004 12 7 $ 8,050,009,344 $ 6,486,375,932 5.93%
RASC KS ‐ FRM 2000 Pre‐2004 12 5 $ 2,450,005,810 $ 2,004,796,337 8.24%
RAMP RS ‐ FRM 2001 Pre‐2004 12 3 $ 892,170,872 $ 593,954,111 7.20%
RAMP RS ‐ FRM 2000 Pre‐2004 12 4 $ 475,133,800 $ 341,382,277 10.44%
RASC KS ‐ FRM 2001 Pre‐2004 12 3 $ 2,475,000,871 $ 1,969,344,779 7.66%
RASC KS ‐ ARM 2000 Pre‐2004 12 5 $ 3,850,008,581 $ 3,217,912,914 9.16%
RAMP RS ‐ ARM 2002 Pre‐2004 12 6 $ 893,147,154 $ 687,667,220 8.67%
RASC KS ‐ ARM 2001 Pre‐2004 12 4 $ 3,750,002,373 $ 3,003,774,055 8.78%
RAMP RS ‐ ARM 2000 Pre‐2004 12 4 $ 600,060,614 $ 391,394,531 12.49%
RALI QA ‐ ARM 2003 Pre‐2004 12 5 $ 2,422,605,271 $ 2,144,218,614 17.45%
RAMP RS ‐ ARM 2001 Pre‐2004 12 3 $ 449,775,137 $ 320,782,831 15.94%
RFMSII HS ‐ CES 2003 Pre‐2004 12 3 $ 1,225,000,337 $ 811,465,513 0.11%
RFMSII HS ‐ CES 2002 Pre‐2004 12 3 $ 960,001,568 $ 490,852,687 0.24%
RFMSII HS ‐ HELOC 2003 Pre‐2004 12 4 $ 940,000,558 $ 572,476,529 0.26%
RFMSII HS ‐ CES 2001 Pre‐2004 12 3 $ 985,001,268 $ 625,420,196 0.28%
RFMSII HI ‐ 125 CLTV 2003 Pre‐2004 12 4 $ 1,042,007,690 $ 859,022,067 0.76%
RFMSII HI ‐ 125 CLTV 2000 Pre‐2004 12 5 $ 2,636,318,548 $ 2,340,431,633 0.81%
RFMSI SA ‐ ARM 2003 Pre‐2004 No Sheet
TOTAL Pre‐2004 $ 95,278,323,692 3.41%
Page 1 of 3
90+ Day & FC &
Since Deal
Issue Mth Count
% Curr Bal
RFMSI S ‐ 15 Yr FRM 2004 2004‐2007 12 6 $ 868,881,829 $ 744,384,875 0.00%
RFMSI SA ‐ ARM 2004 2004‐2007 12 1 $ 250,052,758 $ 204,860,794 0.00%
RFMSI S ‐ 15 Yr FRM 2005 2004‐2007 12 2 $ 386,415,265 $ 340,051,174 0.00%
RFMSI S ‐ 15 Yr FRM 2006 2004‐2007 12 2 $ 419,584,468 $ 341,067,256 0.00%
RALI QS ‐ 15 Yr FRM 2007 2004‐2007 12 1 $ 97,351,539 $ 83,271,255 0.50%
RFMSI S ‐ 15 Yr FRM 2007 2004‐2007 12 3 $ 146,222,744 $ 123,139,820 0.38%
RFMSI S ‐30 Yr FRM 2004 2004‐2007 12 7 $ 2,502,195,211 $ 2,067,961,424 0.06%
RFMSI S ‐30 Yr FRM 2005 2004‐2007 12 8 $ 2,441,753,199 $ 2,243,349,920 0.12%
RFMSI SA ‐ ARM 2005 2004‐2007 12 5 $ 2,676,963,213 $ 2,283,344,294 0.13%
RFMSI S ‐30 Yr FRM 2006 2004‐2007 12 12 $ 6,380,807,461 $ 5,534,485,759 0.24%
RALI QS ‐ 15 Yr FRM 2004 2004‐2007 12 5 $ 702,581,251 $ 590,128,321 0.13%
RALI QS ‐ 15 Yr FRM 2005 2004‐2007 12 3 $ 338,991,135 $ 291,832,118 0.30%
RALI QS ‐ 15 Yr FRM 2006 2004‐2007 12 4 $ 446,277,599 $ 378,390,618 0.42%
RALI QS ‐ 30 Yr FRM 2004 2004‐2007 12 12 $ 3,662,371,110 $ 2,822,432,158 0.42%
RFMSI SA ‐ ARM 2006 2004‐2007 12 4 $ 1,699,516,781 $ 1,425,857,835 1.04%
RALI QS ‐ 30 Yr FRM 2005 2004‐2007 12 16 $ 5,762,944,371 $ 4,817,911,156 0.66%
RALI QA ‐ ARM 2004 2004‐2007 12 6 $ 2,222,050,021 $ 1,585,675,851 0.51%
RALI QO ‐ ARM 2005 2004‐2007 12 5 $ 3,708,889,469 $ 3,028,072,258 0.42%
RALI QA ‐ ARM 2005 2004‐2007 12 13 $ 6,380,157,493 $ 4,919,610,442 0.77%
RFMSI S ‐30 Yr FRM 2007 2004‐2007 12 9 $ 4,051,078,712 $ 3,787,295,984 1.17%
RASC KS ‐ FRM 2004 2004‐2007 12 12 $ 2,290,003,927 $ 1,857,193,279 1.57%
RAMP RS ‐ FRM 2005 2004‐2007 12 9 $ 1,570,722,582 $ 1,280,104,412 1.88%
RALI QH ‐ ARM 2006 2004‐2007 12 1 $ 340,487,638 $ 317,106,521 3.28%
RAMP RZ ‐ FRM 2004 2004‐2007 12 4 $ 915,001,304 $ 716,628,397 1.45%
RAMP RS ‐ FRM 2004 2004‐2007 12 12 $ 4,175,005,102 $ 3,211,323,198 1.69%
RASC KS ‐ FRM 2005 2004‐2007 12 12 $ 1,440,489,275 $ 1,193,916,665 2.69%
RALI QO ‐ ARM 2006 2004‐2007 12 10 $ 10,101,365,345 $ 8,929,712,386 2.70%
RAMP RZ ‐ FRM 2005 2004‐2007 12 4 $ 308,114,946 $ 262,183,722 2.44%
RAMP RZ ‐ ARM 2004 2004‐2007 12 4 $ 685,017,067 $ 515,459,652 1.97%
RFMSI SA ‐ ARM 2007 2004‐2007 12 4 $ 1,474,619,663 $ 1,317,036,207 3.07%
RALI QS ‐ 30 Yr FRM 2006 2004‐2007 12 18 $ 12,312,652,224 $ 10,122,196,185 3.49%
RASC KS ‐ ARM 2004 2004‐2007 12 12 $ 7,800,004,501 $ 5,619,699,191 3.13%
RAMP RZ ‐ FRM 2006 2004‐2007 12 5 $ 689,737,543 $ 619,996,187 3.94%
RAMP RZ ‐ ARM 2005 2004‐2007 12 4 $ 1,007,295,593 $ 824,836,869 3.55%
RASC KS ‐ FRM 2006 2004‐2007 12 9 $ 1,527,435,360 $ 1,290,436,374 5.41%
RALI QA ‐ ARM 2006 2004‐2007 12 11 $ 5,554,418,370 $ 4,504,963,952 6.28%
RAMP RS ‐ ARM 2005 2004‐2007 12 9 $ 5,464,282,280 $ 4,103,626,011 4.98%
RAMP RS ‐ ARM 2004 2004‐2007 12 12 $ 8,040,021,691 $ 6,197,378,136 5.27%
RAMP RS ‐ FRM 2006 2004‐2007 12 6 $ 1,687,209,733 $ 1,362,035,662 5.24%
RAMP RZ ‐ FRM 2007 2004‐2007 12 1 $ 99,886,968 $ 90,061,248 6.32%
RASC KS ‐ ARM 2005 2004‐2007 12 12 $ 7,620,783,002 $ 5,680,409,729 6.10%
RALI QO ‐ ARM 2007 2004‐2007 12 5 $ 2,211,048,783 $ 2,084,083,430 8.00%
RALI QS ‐ 30 Yr FRM 2007 2004‐2007 12 11 $ 7,599,672,338 $ 6,867,864,734 7.07%
RALI QH ‐ ARM 2007 2004‐2007 12 9 $ 4,232,718,503 $ 4,087,541,897 7.47%
RASC KS ‐ FRM 2007 2004‐2007 12 4 $ 804,057,336 $ 731,093,762 9.00%
RAMP RZ ‐ ARM 2006 2004‐2007 12 5 $ 2,297,037,625 $ 1,926,433,207 10.06%
RAMP RS ‐ ARM 2006 2004‐2007 12 6 $ 2,753,023,961 $ 2,154,863,598 10.55%
RASC KS ‐ ARM 2006 2004‐2007 12 9 $ 5,762,450,629 $ 4,582,615,995 11.35%
RAMP RZ ‐ ARM 2007 2004‐2007 12 1 $ 240,449,694 $ 194,726,645 14.55%
RAMP RS ‐ FRM 2007 2004‐2007 12 2 $ 542,044,050 $ 476,377,192 15.45%
RALI QA ‐ ARM 2007 2004‐2007 12 5 $ 2,422,605,271 $ 2,144,218,614 17.45%
RAMP RS ‐ ARM 2007 2004‐2007 12 2 $ 341,002,371 $ 303,018,201 18.63%
RASC KS ‐ ARM 2007 2004‐2007 12 4 $ 2,204,033,433 $ 1,932,292,683 20.40%
Page 2 of 3
90+ Day & FC &
Since Deal
Issue Mth Count
% Curr Bal
RFMSII HSA ‐ HELOC 2005 2004‐2007 12 1 $ 100,973,458 $ 59,445,355 1.56%
RFMSII HS ‐ HELOC 2005 2004‐2007 12 2 $ 525,000,326 $ 296,993,085 0.72%
RFMSII HS ‐ HELOC 2004 2004‐2007 12 3 $ 720,000,109 $ 430,847,271 0.26%
RFMSII HSA ‐ HELOC 2006 2004‐2007 12 4 $ 1,044,310,329 $ 673,917,056 2.22%
RFMSII HSA ‐ HELOC 2007 2004‐2007 12 2 $ 784,105,449 $ 581,319,792 5.51%
RFMSII HS ‐ CES 2004 2004‐2007 12 2 $ 635,000,276 $ 438,990,801 0.31%
RFMSII HI ‐ 125 CLTV 2004 2004‐2007 12 3 $ 730,015,540 $ 585,009,719 0.79%
RFMSII HS ‐ CES 2005 2004‐2007 12 2 $ 900,000,035 $ 694,318,106 0.25%
RFMSII HSA ‐ CES 2005 2004‐2007 12 1 $ 178,529,931 $ 129,571,020 1.11%
RFMSII HI ‐ 125 CLTV 2005 2004‐2007 12 3 $ 705,002,822 $ 576,387,924 0.78%
RFMSII HSA ‐ CES 2006 2004‐2007 12 2 $ 763,769,849 $ 576,499,330 0.71%
RFMSII HI ‐ 125 CLTV 2006 2004‐2007 12 5 $ 1,204,469,744 $ 1,059,274,961 1.08%
RFMSII HSA ‐ CES 2007 2004‐2007 12 2 $ 1,891,463,190 $ 1,501,889,357 7.31%
RFMSII HI ‐ 125 CLTV 2007 2004‐2007 12 1 $ 257,532,198 $ 236,395,082 1.45%
TOTAL 2004‐2007 $ 132,955,416,113 4.23%
TOTAL COMBINED $ 228,233,739,805 3.89%
Ratio: 80.7%
2004‐2007: 43.5%
Pre‐2004: 35.1%
Page 3 of 3
ANNEX F
Trust Level Model
Monoline Estimated Loss
Lower Range ‐ Bonds Lower Range ‐ Lower Range ‐ Lower Higher Range ‐ Bonds Higher Range ‐ Higher Range ‐ Higher

Collateral Cum Loss To Monoline Payment Lower Ranger ‐ Lower Range ‐ Higher Range ‐ Higher
Bonds Loss To Date Expected Loss Going Collateral Expected Collateral Expected Range ‐ Expected Loss Going Collateral Expected Collateral Expected Range ‐ Monoline CE %
Date To Date Severity CRR Sev Range ‐ CRR
Forward Loss Going Forward Cum Loss Total CDR Forward Loss Going Forward Cum Loss Total CDR
Shelf Series Class Curr OB
GMACM 2004‐HE1 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HE1 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HE1 A3 97,747,569 ‐ 920,856 $ ‐ $ 3,287,780 FGIC
GMACM 2004‐HE1 VPRN 67,380,121 ‐ 634,773 $ ‐ $ 2,135,951 FGIC
GMACM 2004‐HE1 Total 167,920,024 72,368,422 ‐ 1,555,630 $ ‐ 12,880,947 $ 85,249,369 2.00% 99.00% 8.00% $ 5,423,731 20,399,000 92,767,422 3.00% 100.00% 6.00% FGIC 1.66%
GMACM 2004‐HE3 Total 168,811,827 80,546,315 18,691,890 ‐ $ 2,742,524 7,696,057 $ 88,242,372 2.00% 90.00% 10.00% $ 6,652,133 11,207,542 91,753,857 3.00% 95.00% 7.00% FSA 0.00%
GMACM 2004‐HE3 A1 ‐ ‐ ‐ $ ‐ $ ‐ FSA
GMACM 2004‐HE3 A2 ‐ ‐ ‐ $ ‐ $ ‐ FSA
GMACM 2004‐HE3 A3 98,334,904 11,098,742 ‐ $ 1,638,809 $ 3,980,302 FSA
GMACM 2004‐HE3 A1VN ‐ ‐ ‐ $ ‐ $ ‐ FSA
GMACM 2004‐HE3 A2VN 67,275,321 7,593,148 ‐ $ 1,103,715 $ 2,671,831 FSA
GMACM 2004‐HE3 A3VN ‐ ‐ ‐ $ ‐ $ ‐ FSA
GMACM 2004‐HE4 Total 179,534,395 103,103,306 36,140,625 ‐ $ 3,380,461 11,459,858 $ 114,563,165 2.00% 93.00% 10.00% $ 8,256,622 19,048,742 122,152,048 3.00% 99.00% 7.00% MBIA 0.00%
GMACM 2004‐HE4 A1 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐HE4 A2 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐HE4 A3 94,228,042 18,968,289 ‐ $ 1,792,040 $ 4,388,692 MBIA
GMACM 2004‐HE4 A1VN ‐ ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐HE4 A2VN 85,306,353 17,172,336 ‐ $ 1,588,421 $ 3,867,930 MBIA
GMACM 2004‐HE4 A3VN ‐ ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐HE5 Total 44,349,329 17,112,486 ‐ ‐ $ ‐ 3,164,245 $ 20,276,730 1.59% 104.70% 8.66% $ ‐ 3,377,805 20,490,291 1.66% 104.94% 8.11% FGIC 6.40%
GMACM 2004‐HE5 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HE5 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HE5 A3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HE5 A4 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HE5 A5 35,634,099 ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HE5 A6 5,877,239 ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HE5 AIO ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI2 Total 25,382,300 37,300,736 ‐ ‐ $ ‐ 2,127,370 $ 39,428,106 2.26% 109.74% 9.19% $ ‐ 2,240,111 39,540,847 2.33% 109.74% 8.42% FGIC 12.40%
RFMSII 2004‐HI2 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI2 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI2 A3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI2 A4 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI2 A5 35,634,099 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI2 A6 5,877,239 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI2 AIO ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI3 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI3 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI3 A3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI3 A4 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HI3 A5 20,980,285 ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HLTV1 Total 16,536,830 20,046,152 ‐ ‐ $ ‐ 956,082 $ 21,002,233 1.23% 102.57% 10.96% $ ‐ 1,069,815 21,115,967 1.31% 102.76% 9.77% FGIC 17.29%
GMACM 2004‐HLTV1 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HLTV1 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HLTV1 A3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2004‐HLTV1 A4 13,677,385 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS1 Total 20,680,200 13,037,183 ‐ ‐ $ ‐ 667,857 $ 13,705,040 1.03% 108.97% 13.76% $ ‐ 725,331 13,762,514 1.09% 108.93% 12.87% FGIC 11.00%/12.40%
RFMSII 2004‐HS1 AIIO ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS1 AI6 2,186,542 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS1 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS1 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS1 AI3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS1 AI4 2,848,384 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS1 AI5 7,300,000 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS1 AII 5,064,106 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2004‐HS2 Total 32,502,285 19,130,618 1,675,855 ‐ $ 707,751 1,729,401 $ 20,860,019 1.53% 105.79% 12.13% $ 745,470 1,815,032 20,945,650 1.56% 105.90% 11.30% MBIA 0%/1.39%
RFMSII 2004‐HS2 AI1 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSII 2004‐HS2 AI2 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSII 2004‐HS2 AI3 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSII 2004‐HS2 AI4 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSII 2004‐HS2 AI5 17,980,425 927,091 ‐ $ 682,232 $ 717,976 MBIA
RFMSII 2004‐HS2 AI6 1,636,052 84,357 ‐ $ 25,519 $ 27,494 MBIA
RFMSII 2004‐HS2 AII 11,636,809 664,407 ‐ $ ‐ $ ‐ MBIA
RFMSII 2004‐HS3 Total 13,987,300 10,353,150 ‐ ‐ $ ‐ 741,183 $ 11,094,333 1.22% 102.53% 11.05% $ ‐ 794,774 11,147,924 1.28% 102.62% 10.30% FGIC 1.35%
RFMSII 2004‐HS3 A 12,600,282 ‐ ‐ $ ‐ $ ‐ FGIC
RASC 2004‐KS4 AI6 8,092,111 43,618 ‐ $ 44,335 $ 61,030 Ambac
RASC 2004‐KS4 AI1 ‐ ‐ $ ‐ $ ‐ Ambac
RASC 2004‐KS4 AI2 ‐ ‐ $ ‐ $ ‐ Ambac
RASC 2004‐KS4 AI3 ‐ ‐ $ ‐ $ ‐ Ambac
RASC 2004‐KS4 AI4 9,595,465 51,721 ‐ $ 93 $ 835 Ambac
Page 1 of 22
Trust Level Model

RASC 2004‐KS4 AI5 29,700,000 160,088 ‐ $ 1,356,045 $ 1,698,438 Ambac
RASC 2004‐KS4 A2A 14,373,704 77,477 830,783 $ 429,707 $ 520,665 Ambac
RASC 2004‐KS4 A2B1 ‐ ‐ $ ‐ $ ‐ Ambac
RASC 2004‐KS4 A2B2 ‐ ‐ $ ‐ $ ‐ Ambac
RASC 2004‐KS4 A2B3 17,774,603 95,808 981,150 $ 3,742,439 $ 4,224,809 Ambac
RASC 2004‐KS4 Total 76,934,910 52,487,248 428,712 1,811,933 $ 5,572,619 7,846,870 $ 60,334,118 1.99% 66.72% 4.45% $ 6,505,777 8,586,723 61,039,983 2.10% 68.36% 4.13% Ambac 3.15%/0%
RASC 2004‐KS7 Total 69,362,406 44,466,644 ‐ 4,248,427.00 $ 7,990,972 10,232,873 $ 54,699,517 2.79% 70.54% 4.20% $ 8,824,581 11,025,110 55,453,990 2.92% 71.93% 3.90% FGIC 0%/0%
RASC 2004‐KS7 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RASC 2004‐KS7 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RASC 2004‐KS7 AI3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC

RASC 2004‐KS7 AI4 11,634,081 ‐ 50,958 $ 122,605 $ 193,290 FGIC
RASC 2004‐KS7 AI5 21,114,184 ‐ 85,816 $ 3,393,952 $ 3,821,586 FGIC
28,107
RASC 2004‐KS7 AI6 6,029,235 ‐ $ 134,658 $ 174,639 FGIC
1,984,380
RASC 2004‐KS7 A2A 16,086,883 ‐ $ 2,123,503 $ 2,257,616 FGIC
RASC 2004‐KS7 A2B1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RASC 2004‐KS7 A2B2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
2,099,166
RASC 2004‐KS7 A2B3 16,834,791 ‐ $ 2,216,254 $ 2,377,450 FGIC
RASC 2004‐KS9 Total 53,596,000 33,635,636 ‐ 3,988,990 $ 3,037,370 8,401,285 $ 42,036,921 2.62% 74.66% 3.05% $ 3,632,007 8,991,522 42,627,158 2.73% 76.17% 2.80% FGIC 0%/0%
RASC 2004‐KS9 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RASC 2004‐KS9 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RASC 2004‐KS9 AI3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC

RASC 2004‐KS9 AI4 5,174,464 ‐ 133,019 $ ‐ $ 260 FGIC
424,027
RASC 2004‐KS9 AI5 17,875,973 ‐ $ 2,038,987 $ 2,282,852 FGIC
RASC 2004‐KS9 AI6 5,947,705 ‐ 161,054 $ 68,261 $ 95,077 FGIC
RASC 2004‐KS9 AII1 ‐ ‐ $ ‐ $ ‐ FGIC
RASC 2004‐KS9 AII2 ‐ ‐ $ ‐ $ ‐ FGIC

RASC 2004‐KS9 AII3 11,158,449 ‐ 1,453,729 $ 430,766 $ 574,561 FGIC
RASC 2004‐KS9 AII4 13,948,062 ‐ 1,817,161 $ 499,356 $ 679,258 FGIC
RAMP 2004‐RS1 AI6B 21,746,752 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 MII1 19,225,889 ‐ ‐ $ ‐ $ ‐ Ambac
Page 2 of 22
Trust Level Model

RAMP 2004‐RS1 AI6A 16,886,053 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 MII2 8,797,661 ‐ ‐ $ 1,001,258 $ 1,164,109 Ambac

RAMP 2004‐RS1 MI1 8,099,314 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 AI7 7,123,967 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 MI2 4,198,266 ‐ ‐ $ ‐ $ ‐ Ambac

RAMP 2004‐RS1 MI3 944,383 ‐ 2,260,304 $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 MII3 587,730 ‐ 1,448,912 $ 587,730 $ 587,730 Ambac
RAMP 2004‐RS1 AI1 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 AI2 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 AI3 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 AI4 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 AI5 ‐ ‐ ‐ $ ‐ $ ‐ Ambac

RAMP 2004‐RS1 MI4 ‐ ‐ 5,432,345 $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 AIIA ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 AIIB ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 MII4 ‐ ‐ 2,789,984 $ ‐ $ ‐ Ambac

RAMP 2004‐RS1 MII5 ‐ ‐ 2,966,501 $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 MII6 ‐ ‐ 6,194,908 $ ‐ $ ‐ Ambac
RAMP 2004‐RS1 Total 87,343,300 81,504,648 ‐ 21,092,955 $ 1,588,988 7,229,517 $ 88,734,165 1.71% 68.02% 5.92% $ 1,751,839 8,034,466 89,539,114 1.83% 69.45% 5.53% Ambac 25.13%
RAMP 2004‐RS5 AI6 9,280,347 45,652 171,506 $ 360,470 $ 450,937 Ambac
RAMP 2004‐RS5 AI1 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS5 AI2 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS5 AI3 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS5 AI4 ‐ ‐ $ ‐ $ ‐ Ambac
Page 3 of 22
Trust Level Model

RAMP 2004‐RS5 AI5 55,684,418 273,921 851,683 $ 7,722,679 $ 8,834,106 Ambac
RAMP 2004‐RS5 MII1 25,949,117 ‐ $ 623,596 $ 692,587 Ambac
RAMP 2004‐RS5 MII2 8,584,993 ‐ $ 4,281,816 $ 4,537,161 Ambac

RAMP 2004‐RS5 MII3 2,101,300 ‐ $ 2,101,300 $ 2,101,300 Ambac
1,113,107
RAMP 2004‐RS5 MII4 1,897,431 $ 1,897,431 $ 1,897,431 Ambac

RAMP 2004‐RS5 A2A ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS5 A2B1 ‐ ‐ $ ‐ $ ‐ Ambac

RAMP 2004‐RS5 A2B2 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS5 A2B3 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS5 MII5 ‐ 2,941,033 $ ‐ $ ‐ Ambac
RAMP 2004‐RS5 Total 100,487,000 72,405,816 319,573 5,077,329 $ 16,987,291 14,771,337 $ 87,177,153 2.76% 67.36% 4.81% $ 18,513,521 16,523,008 88,928,824 2.95% 69.86% 4.49% Ambac 0.00%
RAMP 2004‐RS7 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2004‐RS7 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2004‐RS7 AI3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2004‐RS7 AI4 15,648,379 ‐ 863,731 $ 495,563 $ 560,586 FGIC
RAMP 2004‐RS7 AI5 53,278,528 ‐ 2,051,472 $ 10,819,022 $ 11,637,422 FGIC
RAMP 2004‐RS7 AI6 8,695,475 ‐ 525,380 $ 562,938 $ 622,147 FGIC
RAMP 2004‐RS7 A2A 17,693,238 ‐ 2,016,555 $ 2,515,792 $ 2,663,273 FGIC
RAMP 2004‐RS7 A2B1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2004‐RS7 A2B2 12,537,764 ‐ 2,534,376 $ 1,555,811 $ 1,651,965 FGIC
RAMP 2004‐RS7 A3 23,482,583 ‐ 565,015 $ 1,171,417 $ 1,366,559 FGIC
RAMP 2004‐RS7 Total 128,740,313 81,547,166 ‐ 8,556,529 $ 17,120,543 20,764,468 $ 102,311,634 2.90% 71.09% 4.79% $ 18,501,951 22,285,082 103,777,658 3.04% 71.84% 4.46% FGIC 0.00%
RAMP 2004‐RS9 MII1 29,376,197 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 AI1 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 AI2 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 AI3 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 AI4 5,341,529 38,518 173,576 $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 AI5 36,420,808 262,630 927,128 $ 2,225,305 $ 2,599,331 Ambac
RAMP 2004‐RS9 AI6 9,022,853 65,064 285,293 $ 59,796 $ 79,293 Ambac
RAMP 2004‐RS9 MII2 10,431,546 ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 MII3 5,107,686 ‐ ‐ $ 3,646,915 $ 4,356,373 Ambac
RAMP 2004‐RS9 MII4 1,652,275 ‐ 3,555,945 $ 1,652,275 $ 1,652,275 Ambac
RAMP 2004‐RS9 AII1 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 AII2 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 AII3 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 MII5 ‐ ‐ 4,506,631 $ ‐ $ ‐ Ambac
RAMP 2004‐RS9 Total 95,231,600 89,536,504 366,211 9,448,573 $ 7,584,291 9,090,644 $ 98,627,148 2.09% 68.75% 7.49% $ 8,687,272 10,173,097 99,709,601 2.18% 70.77% 6.69% Ambac 0.00%
RAMP 2004‐RZ2 Total 54,656,300 29,608,290 ‐ 4,797,309 $ 7,085,430 5,110,705 $ 34,718,995 2.23% 66.27% 8.24% $ 7,506,209 5,640,104 35,248,394 2.31% 67.97% 7.50% FGIC 0%/0.52%
RAMP 2004‐RZ2 AIO ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2004‐RZ2 AI6 8,947,673 ‐ 1,271,248 $ 190,081 $ 227,189 FGIC
RAMP 2004‐RZ2 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2004‐RZ2 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2004‐RZ2 AI3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2004‐RZ2 AI4 12,406,553 ‐ 1,309,854 $ 166,742 $ 207,430 FGIC
RAMP 2004‐RZ2 AI5 26,683,793 ‐ 2,216,207 $ 6,728,606 $ 7,071,590 FGIC
RAMP 2004‐RZ2 AII 7,873,710 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2004‐S4 1AV 33,647,388 ‐ ‐ $ ‐ $ ‐ MBIA
Page 4 of 22
Trust Level Model

RFMSI 2004‐S4 2AV 13,122,082 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1A4 11,560,765 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2A7 4,278,748 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2A6 3,308,683 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2A8 2,476,127 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2A3 1,706,734 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1M1 1,696,570 ‐ ‐ $ 115 $ 123 MBIA
RFMSI 2004‐S4 2A2 1,014,237 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1A8 692,364 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1M2 589,516 ‐ ‐ $ 271,697 $ 277,132 MBIA
RFMSI 2004‐S4 1A3 18,909,000 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2M1 151,415 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1M3 135,078 ‐ 164,815 $ 130,629 $ 130,711 MBIA
RFMSI 2004‐S4 2M2 60,554 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2M3 45,391 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2B3 30,299 ‐ 351 $ 19,900 $ 19,746 MBIA
RFMSI 2004‐S4 2B1 30,267 ‐ ‐ $ 1,352 $ 1,098 MBIA
RFMSI 2004‐S4 2B2 15,124 ‐ ‐ $ 4,605 $ 4,371 MBIA
RFMSI 2004‐S4 1A1 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1A2 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1A5 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1A6 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1A7 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2A1 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2A4 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 2A5 ‐ ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1B1 ‐ ‐ 314,252 $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1B2 ‐ ‐ 219,708 $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 1B3 ‐ ‐ 256,701 $ ‐ $ ‐ MBIA
RFMSI 2004‐S4 Total 47,036,800 950,675 ‐ 955,827 $ 428,297 272,246 $ 1,222,921 0.15% 57.92% 8.00% $ 433,181 273,730 1,224,405 0.15% 55.96% 7.49% MBIA 7.20%
GMACM 2004‐VFT Total 101,305,729 31,316,190 ‐ ‐ $ ‐ 8,561,489 $ 39,877,678 2.00% 95.00% 10.00% $ ‐ 14,404,161 45,511,751 3.00% 98.00% 7.00% MBIA 22.26%
GMACM 2004‐VFT A1 78,757,785 ‐ ‐ $ ‐ $ ‐ MBIA
RAMP 2005‐EFC7 AI1 ‐ FGIC
RAMP 2005‐EFC7 AI2 ‐ FGIC
RAMP 2005‐EFC7 AI3 37,671,785 3,587,505 9,179,882 FGIC
RAMP 2005‐EFC7 AI4 58,068,756 5,529,920 9,085,080 $ 9,124,934 $ 11,219,860 FGIC
RAMP 2005‐EFC7 A2 32,832,436 3,126,651 8,267,560 $ 2,730,108 $ 3,361,785 FGIC
RAMP 2005‐EFC7 Total 128,609,888 143,956,196 12,244,076 26,532,522 $ 11,855,042 32,526,320 $ 176,482,516 3.99% 65.62% 1.59% $ 14,581,645 34,970,114 178,918,978 4.24% 67.04% 1.48% FGIC 0.00%
RASC 2005‐EMX5 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RASC 2005‐EMX5 A2 29,501,252 8,311,029 12,503,475 $ ‐ $ 12,991 FGIC
RASC 2005‐EMX5 A3 34,155,212 9,622,132 9,048,338 $ 4,926,903 $ 5,869,726 FGIC
RASC 2005‐EMX5 Total 65,022,000 101,494,616 17,933,161 21,551,813 $ 4,926,903 20,289,661 $ 121,784,277 4.35% 87.44% 2.86% $ 5,882,717 21,362,556 122,857,172 4.46% 88.65% 2.57% FGIC 0.00%
GMACM 2005‐HE1 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2005‐HE1 A2 106,178,190 6,174,990 13,019,543 $ 1,681,193 $ 4,416,170 FGIC
GMACM 2005‐HE1 A3 90,924,911 5,287,908 11,149,190 $ 1,439,677 $ 3,781,755 FGIC
GMACM 2005‐HE1 A1VN 11,387,036 662,234 1,396,276 $ 180,299 $ 473,610 FGIC
GMACM 2005‐HE1 A2VN ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2005‐HE1 A3VN ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2005‐HE1 Total 209,096,697 128,660,543 12,125,132 25,565,008 $ 3,301,168 15,185,192 $ 143,845,735 2.00% 90.00% 10.00% $ 8,671,535 25,968,314 154,362,166 3.00% 95.00% 7.00% FGIC 0.00%
GMACM 2005‐HE2 Total 114,102,000 44,595,335 ‐ 3,190,404 $ 1,987,286 7,810,001 $ 52,405,336 1.58% 105.44% 11.08% $ 2,656,066 8,655,252 53,250,588 1.69% 105.62% 10.11% FGIC 0.00%
GMACM 2005‐HE2 AIO ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2005‐HE2 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2005‐HE2 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2005‐HE2 A3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2005‐HE2 A4 66,216,355 ‐ 1,850,137 $ 1,152,437 $ 1,540,266 FGIC
GMACM 2005‐HE2 A5 28,833,569 ‐ 805,621 $ 501,823 $ 670,701 FGIC
GMACM 2005‐HE2 A6 19,134,910 ‐ 534,646 $ 333,026 $ 445,099 FGIC
GMACM 2005‐HE3 A1 ‐ ‐ ‐ $ ‐ $ ‐ Ambac
GMACM 2005‐HE3 A2 128,539,943 28,961,668 13,263,332 $ 1,988,028 $ 4,273,533 Ambac
GMACM 2005‐HE3 A3 105,606,820 23,794,547 10,896,989 $ 1,633,339 $ 3,511,082 Ambac
Page 5 of 22
Trust Level Model

GMACM 2005‐HE3 A1VN 64,230,439 14,471,927 6,627,587 $ 993,403 $ 2,135,452 Ambac
GMACM 2005‐HE3 A2VN ‐ ‐ 0 $ ‐ $ ‐ Ambac
GMACM 2005‐HE3 A3VN ‐ ‐ 0 $ ‐ $ ‐ Ambac
GMACM 2005‐HE3 Total 298,377,202 189,242,815 67,228,142 30,787,908 $ 4,614,770 6,991,130 $ 196,233,945 2.00% 90.00% 9.00% $ 9,920,068 19,968,962 208,498,200 3.00% 92.00% 8.00% Ambac 0.00%
RFMSII 2005‐HI1 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HI1 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HI1 A3 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HI1 A4 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HI1 A5 25,965,961 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HS1 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HS1 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HS1 AI3 38,311,579 3,513,115 ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HS1 AI4 49,232,000 4,514,501 ‐ $ 33,282,431 $ 33,849,125 FGIC
RFMSII 2005‐HS1 AI5 20,089,167 1,842,147 ‐ $ 547,018 $ 568,223 FGIC
RFMSII 2005‐HS1 AII 42,979,477 3,941,154 ‐ $ 14,665,016 $ 15,062,433 FGIC
RFMSII 2005‐HS1 Total 119,885,000 101,797,208 13,810,917 ‐ $ 48,494,466 9,991,903 $ 111,789,111 2.12% 105.54% 14.29% $ 49,479,781 10,684,664 112,481,872 2.18% 105.59% 13.01% FGIC 0.00%
RFMSII 2005‐HS2 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HS2 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HS2 AI3 37,748,782 7,954,042 ‐ $ 12,087,824 $ 12,698,300 FGIC
RFMSII 2005‐HS2 AI4 26,450,000 5,573,277 ‐ $ 26,450,000 $ 26,450,000 FGIC
RFMSII 2005‐HS2 AI5 17,922,200 3,776,385 ‐ $ 1,499,931 $ 1,486,243 FGIC
RFMSII 2005‐HS2 AII 35,828,933 7,549,511 ‐ $ 18,544,567 $ 18,861,279 FGIC
RFMSII 2005‐HS2 Total 80,255,954 100,440,256 24,853,214 ‐ $ 58,582,322 9,075,794 $ 109,516,050 2.69% 105.46% 12.25% $ 59,495,822 9,834,832 110,275,088 2.81% 105.49% 11.17% FGIC 0.00%
RFMSII 2005‐HSA1 Total 30,371,900 73,263,216 32,655,876 ‐ $ 38,904,154 5,460,400 $ 78,723,616 4.25% 107.30% 10.55% $ 39,188,950 5,690,737 78,953,953 4.35% 107.32% 9.90% FGIC 0.00%
RFMSII 2005‐HSA1 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HSA1 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2005‐HSA1 AI3 15,463,683 9,204,374 ‐ $ 11,459,185 $ 11,601,896 FGIC
RFMSII 2005‐HSA1 AII 14,560,431 8,666,736 ‐ $ 10,000,895 $ 10,101,154 FGIC
RAMP 2005‐NC1 AI1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2005‐NC1 AI2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2005‐NC1 AI3 41,596,569 6,837,034 9,664,682 $ 197,206 $ 289,821 FGIC
RAMP 2005‐NC1 AI4 51,227,557 8,420,035 7,384,124 $ 8,772,312 $ 10,058,405 FGIC
RAMP 2005‐NC1 AII 84,088,096 13,821,169 16,742,018 $ 8,001,058 $ 9,241,506 FGIC
RAMP 2005‐NC1 Total 176,912,223 195,351,552 29,078,238 33,790,825 $ 16,970,576 39,954,246 $ 235,305,798 3.38% 69.95% 2.68% $ 19,589,732 44,156,473 239,508,025 3.64% 71.46% 2.37% FGIC 0.00%
RAMP 2005‐RS9 AI3 19,770,898 5,424,434 8,248,907.30 $ ‐ $ ‐ FGIC
RAMP 2005‐RS9 AI4 122,495,752 33,608,495 18,302,640.14 $ 8,735,990.480 $ 9,921,154 FGIC
RAMP 2005‐RS9 AII 93,216,656 25,575,348 19,301,373.20 $ 5,806,808.950 $ 6,590,800 FGIC
RAMP 2005‐RS9 AI1 ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2005‐RS9 AI2 ‐ ‐ $ ‐ $ ‐ FGIC
RAMP 2005‐RS9 Total 235,483,305 249,793,280 64,608,278 45,852,920.64 $ 14,542,799 42,845,550 $ 292,638,830 3.53% 59.15% 3.60% $ 16,511,954 46,124,953 295,918,233 3.74% 59.97% 3.36% FGIC 0.00%
RFMSI 2005‐S2 AV 58,044,888 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 A2 15,255,841 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 A6 14,226,337 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 M1 3,447,589 ‐ 137,194 $ 2,762,817 $ 3,043,532 FGIC
RFMSI 2005‐S2 A3 1,203,720 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 A1 23,350,000 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 A4 721,727 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 AP 561,402 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 M2 ‐ ‐ 1,468,533 $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 M3 ‐ ‐ 740,276 $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 B1 ‐ ‐ 498,104 $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 B3 ‐ ‐ 401,973 $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 B2 ‐ ‐ 374,380 $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 A5 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S2 Total 58,183,700 3,922,714 ‐ 3,620,460 $ 2,762,817 1,392,773 $ 5,315,488 1.18% 30.21% 8.50% $ 3,043,532 1,605,788 5,528,502 1.25% 31.63% 7.81% FGIC 5.94%
RFMSI 2005‐S5 AV 57,203,292 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 A8 25,326,000 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 A6 15,926,729 ‐ ‐ $ ‐ $ ‐ FSA
Page 6 of 22
Trust Level Model

RFMSI 2005‐S5 A1 5,368,657 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 A5 5,288,120 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 M1 3,418,414 ‐ 58,184 $ 2,745,130 $ 3,000,452 FSA
RFMSI 2005‐S5 A7 1,122,364 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 A4 388,296 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 A2 25,326,000 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 A3 281,432 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 AP 83,281 ‐ ‐ $ ‐ $ ‐ FSA
RFMSI 2005‐S5 M2 ‐ ‐ 1,339,005 $ ‐ $ ‐ FSA
RFMSI 2005‐S5 M3 ‐ ‐ 730,845 $ ‐ $ ‐ FSA
RFMSI 2005‐S5 B1 ‐ ‐ 488,173 $ ‐ $ ‐ FSA
RFMSI 2005‐S5 B2 ‐ ‐ 368,566 $ ‐ $ ‐ FSA
RFMSI 2005‐S5 B3 ‐ ‐ 369,051 $ ‐ $ ‐ FSA
RFMSI 2005‐S5 Total 57,368,200 3,721,383 ‐ 3,353,825 $ 2,745,130 1,298,614 $ 5,019,997 1.11% 31.46% 9.23% $ 3,000,452 1,509,153 5,230,536 1.19% 32.73% 8.53% FSA 5.98%
RFMSI 2005‐S7 AV 89,583,610 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSI 2005‐S7 A6 23,155,340 ‐ ‐ $ 1,192,621 $ 1,258,680 FGIC
RFMSI 2005‐S7 A8 17,135,513 ‐ 148,372 $ 2,139,783 $ 2,297,889 FGIC
RFMSI 2005‐S7 A5 10,937,630 ‐ 94,706 $ 1,365,827 $ 1,466,747 FGIC
RFMSI 2005‐S7 A1 6,936,533 ‐ ‐ $ 632,434 $ 698,548 FGIC
RFMSI 2005‐S7 A9 2,461,743 ‐ 221,811 $ 1,701,600 $ 1,814,730 FGIC
RFMSI 2005‐S7 A4 2,252,540 ‐ ‐ $ 205,397 $ 226,934 FGIC
RFMSI 2005‐S7 A3 1,836,512 ‐ 15,902 $ 229,333 $ 246,278 FGIC
RFMSI 2005‐S7 A2 24,048,761 873,493 208,239 $ 3,003,069 $ 3,224,962 FGIC
RFMSI 2005‐S7 AP 472,597 ‐ ‐ $ 25,455 $ 28,407 FGIC
RFMSI 2005‐S7 A7 345,577 ‐ 82,558 $ 337,509 $ 338,152 FGIC
RFMSI 2005‐S7 M1 ‐ ‐ 5,868,203 $ ‐ $ ‐ FGIC
RFMSI 2005‐S7 M2 ‐ ‐ 2,098,547 $ ‐ $ ‐ FGIC
RFMSI 2005‐S7 M3 ‐ ‐ 1,055,104 $ ‐ $ ‐ FGIC
RFMSI 2005‐S7 B1 ‐ ‐ 908,180 $ ‐ $ ‐ FGIC
RFMSI 2005‐S7 B2 ‐ ‐ 757,311 $ ‐ $ ‐ FGIC
RFMSI 2005‐S7 B3 ‐ ‐ 623,646 $ ‐ $ ‐ FGIC
RFMSI 2005‐S7 Total 89,940,900 12,553,896 873,493 12,082,579 $ 10,833,027 5,077,417 $ 17,631,313 2.04% 40.96% 8.30% $ 11,601,325 5,682,238 18,236,134 2.15% 41.75% 7.56% FGIC 0.00%
GMACM 2006‐HE1 A 451,180,891 37,548,715 73,430,059 $ 45,248,782 $ 75,107,895 FGIC
GMACM 2006‐HE2 A1 ‐ 256,787 $ ‐ $ ‐ FGIC
GMACM 2006‐HE2 A2 ‐ 1,968,259 $ ‐ $ ‐ FGIC
GMACM 2006‐HE2 A3 56,519,785 5,595,565 29,047,166 $ 1,220,136 $ 1,400,113 FGIC
GMACM 2006‐HE2 A4 65,317,422 6,466,547 19,422,578 $ 7,458,296 $ 8,219,621 FGIC
GMACM 2006‐HE3 A1 ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2006‐HE3 A2 44,143,671 5,870,631 16,302,965 $ 428,356 $ 777,262 FGIC
GMACM 2006‐HE3 A3 78,420,493 10,429,077 28,961,946 $ 760,967 $ 1,380,792 FGIC
GMACM 2006‐HE3 A4 39,041,841 5,192,142 14,418,778 $ 378,849 $ 687,431 FGIC
GMACM 2006‐HE3 A5 47,487,863 6,315,372 17,538,029 $ 460,807 $ 836,145 FGIC
GMACM 2006‐HE4 A1 192,162,837 107,201,764 ‐ $ 6,617,235 $ 14,400,405 MBIA
GMACM 2006‐HE4 A2 127,248,796 70,988,208 ‐ $ 4,381,884 $ 9,535,841 MBIA
GMACM 2006‐HE4 A3 102,931,633 57,422,407 ‐ $ 2,863,088 $ 6,870,858 MBIA
GMACM 2006‐HE4 A1VP ‐ ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2006‐HE4 A2VP ‐ ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2006‐HE4 A3VP ‐ ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2006‐HE5 1A1 141,631,690 ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2006‐HE5 2A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2006‐HE5 2A2 96,957,048 ‐ ‐ $ ‐ $ ‐ FGIC
GMACM 2006‐HE5 Total 261,728,831 213,825,691 ‐ ‐ $ ‐ 10,565,077 $ 224,390,768 1.35% 103.26% 10.82% $ ‐ 11,402,551 225,228,242 1.40% 103.46% 9.81% FGIC 8.84%
RFMSII 2006‐HI2 Total 70,497,500 60,756,772 ‐ ‐ $ 31,451,643 8,501,547 $ 69,258,319 2.59% 108.63% 8.25% $ 32,444,176 9,159,965 69,916,737 2.72% 108.63% 7.43% FGIC 0.00%
RFMSII 2006‐HI2 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2006‐HI2 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2006‐HI2 A3 13,493,433 ‐ ‐ $ ‐ $ ‐ FGIC
Page 7 of 22
Trust Level Model

RFMSII 2006‐HI2 A4 72,434,000 ‐ ‐ $ 31,451,643 $ 32,444,176 FGIC
RFMSII 2006‐HI3 A1 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2006‐HI3 A2 ‐ ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2006‐HI3 A3 14,735,150 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2006‐HI3 A4 65,142,000 ‐ ‐ $ 12,294,425 $ 13,041,657 FGIC
RFMSII 2006‐HI4 A1 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2006‐HI4 A2 ‐ ‐ $ ‐ $ ‐ FGIC
RFMSII 2006‐HI4 A3 23,872,278 1,734,052 ‐ $ ‐ $ ‐ FGIC
RFMSII 2006‐HI4 A4 76,826,000 5,580,544 ‐ $ 43,188,451 $ 44,607,234 FGIC
RFMSII 2006‐HI4 Total 78,225,500 86,402,568 7,314,597 ‐ $ 43,188,451 14,340,252 $ 100,742,820 3.74% 107.93% 8.86% $ 44,607,234 15,474,795 101,877,363 3.91% 107.96% 7.95% FGIC 0.00%
RFMSII 2006‐HI5 A1 ‐ ‐ ‐ ‐ ‐ FGIC
RFMSII 2006‐HI5 A2 ‐ ‐ ‐ ‐ ‐ FGIC
RFMSII 2006‐HI5 A3 29,191,116 328,322 ‐ ‐ ‐ FGIC
RFMSII 2006‐HI5 A4 77,476,000 871,399 ‐ 47,931,156 49,174,333 FGIC
RFMSII 2006‐HI5 Total 83,707,200 77,030,264 1,199,721 ‐ $ 47,931,156 15,678,836 $ 92,709,100 4.03% 108.29% 8.36% $ 49,174,333 16,662,923 93,693,187 4.15% 108.29% 7.45% FGIC 0.00%
GMACM 2006‐HLTV1 Total 55,971,600 50,035,564 ‐ ‐ $ ‐ 4,445,759 $ 54,481,323 1.81% 105.84% 14.81% $ ‐ 5,111,520 55,147,084 1.98% 105.92% 13.52% FGIC 0.00%
GMACM 2006‐HLTV1 A1 ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2006‐HLTV1 A4 27,264,010 ‐ ‐ ‐ ‐ FGIC
GMACM 2006‐HLTV1 A5 28,901,170 ‐ ‐ ‐ ‐ FGIC
RFMSII 2006‐HSA1 Total 72,413,600 103,180,136 42,509,719 32,424,895 $ 6,107,118 12,058,088 $ 115,238,224 4.00% 106.29% 11.81% $ 6,693,047 12,902,569 116,082,705 4.13% 106.30% 10.62% FGIC 0.00%
RFMSII 2006‐HSA1 A1 ‐ ‐ ‐ ‐ ‐ FGIC
RFMSII 2006‐HSA1 A2 ‐ ‐ 3,686,164 ‐ ‐ FGIC
RFMSII 2006‐HSA1 A3 23,728,118 13,929,367 10,388,601 907,667 1,041,109 FGIC
RFMSII 2006‐HSA1 A4 33,068,374 19,412,475 9,848,627 4,679,880 5,060,168 FGIC
RFMSII 2006‐HSA1 A5 15,617,112 9,167,877 8,501,504 519,571 591,769 FGIC
RFMSII 2006‐HSA2 AI1 ‐ ‐ ‐ ‐ ‐ FGIC
RFMSII 2006‐HSA2 AI2 ‐ ‐ ‐ ‐ ‐ FGIC
RFMSII 2006‐HSA2 AI3 34,995,879 17,828,177 ‐ 25,287,643 27,606,925 FGIC
RFMSII 2006‐HSA2 AII 26,143,079 13,318,238 ‐ 19,516,175 21,070,132 FGIC
RFMSII 2006‐HSA2 Total 63,558,218 124,693,080 51,067,703 ‐ $ 71,233,683 14,376,925 $ 139,070,005 5.00% 92.00% 8.00% $ 76,419,916 18,861,621 143,554,701 6.00% 96.00% 6.00% FGIC 0.00%
RFMSII 2006‐HSA3 Total 24,513,461 57,970,296 51,769,902 ‐ $ 413,828 1,456,752 $ 59,427,048 1.96% 103.88% 8.22% $ 493,819 1,823,012 62,703,696 2.03% 104.01% 7.58% FSA 0.73%
RFMSII 2006‐HSA3 A 24,333,449 51,769,902 ‐ 413,828 493,819 FSA
RFMSII 2006‐HSA4 Total 59,299,200 126,816,360 110,487,924 ‐ $ 3,037,613 10,265,806 $ 137,082,166 2.86% 104.81% 8.46% $ 3,476,040 11,159,837 137,976,197 3.01% 104.81% 7.64% MBIA 0.00%
RFMSII 2006‐HSA4 A 55,665,741 110,487,924 ‐ 3,037,613 3,476,040 MBIA
RFMSII 2006‐HSA5 A 42,812,413 107,897,626 ‐ 5,891,787 6,351,865 MBIA
RALI 2006‐QH1 A1 92,334,354 5,971,617 ‐ 84 107 Ambac
RALI 2006‐QH1 A2 17,419,698 1,126,599 21,670,936 2,438,860 3,856,099 Ambac
RALI 2006‐QH1 A3 ‐ ‐ 21,042,963 ‐ ‐ Ambac
RALI 2006‐QH1 Total 120,038,000 119,826,680 7,098,216 60,588,899.25 $ 2,438,945 21,288,500 $ 141,115,180 3.45% 52.16% 2.88% $ 3,856,206 22,993,386 142,820,066 3.71% 52.89% 2.76% Ambac 0.00%
RALI 2006‐QH1 M1 ‐ ‐ 8,342,000 ‐ ‐ Ambac
RALI 2006‐QH1 M2 ‐ ‐ 4,426,000 ‐ ‐ Ambac
RALI 2006‐QH1 M3 ‐ ‐ 1,703,000 ‐ ‐ Ambac
RALI 2006‐QH1 M4 ‐ ‐ 1,702,000 ‐ ‐ Ambac
RALI 2006‐QH1 M5 ‐ ‐ 1,702,000 ‐ ‐ Ambac
RASC 2007‐EMX1 A11 ‐ ‐ 1,407,086 ‐ ‐ FGIC
RASC 2007‐EMX1 A12 ‐ ‐ 2,413,677 ‐ ‐ FGIC
RASC 2007‐EMX1 A13 90,989,548 390,659 13,795,939 10,118,628 11,651,215 FGIC
RASC 2007‐EMX1 A14 40,294,097 173,001 6,054,458 18,761,097 20,074,872 FGIC
RASC 2007‐EMX1 A2 117,792,077 505,734 20,303,877 26,870,133 29,520,716 FGIC
RASC 2007‐EMX1 Total 250,913,000 234,697,392 1,069,394 43,975,036.65 $ 55,749,857 99,058,996 $ 333,756,388 5.33% 77.94% 1.71% $ 61,246,803 105,276,599 339,973,991 5.58% 79.63% 1.55% FGIC 0.00%
GMACM 2007‐HE1 A1 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2007‐HE1 A2 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2007‐HE1 A3 71,215,595 39,751,726 ‐ 1,555,463 1,983,271 MBIA
GMACM 2007‐HE1 A4 123,871,000 69,143,368 ‐ 2,838,135 3,599,015 MBIA
Page 8 of 22
Trust Level Model

GMACM 2007‐HE1 A5 87,430,022 48,802,433 ‐ 1,971,241 2,504,455 MBIA
GMACM 2007‐HE2 A1 18,378,965 1,232,841 7,162,708 372,589 488,581 FGIC
GMACM 2007‐HE2 A2 75,893,365 5,090,843 29,577,400 1,515,200 1,986,855 FGIC
GMACM 2007‐HE2 A3 97,534,024 6,542,475 38,011,265 1,947,253 2,553,398 FGIC
GMACM 2007‐HE2 A4 77,188,926 5,177,748 30,082,310 1,541,066 2,020,772 FGIC
GMACM 2007‐HE2 A5 28,378,373 1,903,590 11,059,708 566,570 742,933 FGIC
GMACM 2007‐HE2 A6 55,131,520 3,698,161 21,486,028 1,100,693 1,443,319 FGIC
RFMSII 2007‐HI1 A1 ‐ ‐ ‐ ‐ ‐ FGIC
RFMSII 2007‐HI1 A2 ‐ ‐ ‐ ‐ ‐ FGIC
RFMSII 2007‐HI1 A3 41,412,224 ‐ ‐ ‐ ‐ FGIC
RFMSII 2007‐HI1 A4 78,740,000 ‐ ‐ 53,956,576 55,611,957 FGIC
RFMSII 2007‐HSA1 A 91,726,187 235,545,026 ‐ 5,646,108 7,902,774 MBIA
RFMSII 2007‐HSA2 A1V ‐ ‐ ‐ ‐ ‐ MBIA
RFMSII 2007‐HSA2 A1F ‐ ‐ ‐ ‐ ‐ MBIA
RFMSII 2007‐HSA2 A2 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSII 2007‐HSA2 A3 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSII 2007‐HSA2 A4 44,637,239 158,350,167 ‐ 4,382,736 4,957,372 MBIA
RFMSII 2007‐HSA2 A5 71,956,000 255,263,205 ‐ 13,746,386 14,957,181 MBIA
RFMSII 2007‐HSA2 A6 102,791,801 364,652,907 ‐ 6,537,375 7,348,694 MBIA
RFMSII 2007‐HSA3 AI1 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSII 2007‐HSA3 AI4 31,468,912 84,107,706 ‐ 5,262,628 5,688,159 MBIA
RFMSII 2007‐HSA3 AII 50,216,633 134,215,184 ‐ 7,498,473 8,258,703 MBIA
GMACM 2000‐HE2 Total 3,442,378 19,597,626 3,085,230 ‐ $ 221,417 198,391 $ 19,796,018 2.00% 102.00% 6.00% $ 319,458 307,920 19,905,546 3.00% 105.00% 5.00% MBIA 0.00%
GMACM 2000‐HE2 A1 3,317,985 2,967,294 ‐ 216,592 312,569 MBIA
GMACM 2000‐HE2 A2 131,874 117,936 ‐ 4,825 6,889 MBIA
GMACM 2000‐HE4 Total 4,057,665 10,995,712 2,189,373 ‐ $ 616,045 506,158 $ 11,501,870 4.00% 103.00% 5.00% $ 756,772 660,404 11,656,116 5.00% 107.00% 4.00% MBIA 0.00%
GMACM 2000‐HE4 A1 3,627,559 1,957,302.72 ‐ 571,564 701,834 MBIA
GMACM 2000‐HE4 A2 430,106 232,070 ‐ 44,480 54,938 MBIA
GMACM 2002‐HE4 Total 10,341,976 6,610,637 ‐ ‐ $ ‐ 418,575 $ 7,029,212 1.00% 95.00% 8.00% $ ‐ 869,475 7,480,112 2.00% 98.00% 7.00% FGIC 29.71%
GMACM 2002‐HE4 A1 ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2002‐HE4 A2 7,269,423 ‐ ‐ ‐ ‐ FGIC
GMACM 2002‐HE4 AIO ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2002‐HE1 Total 14,162,836 10,407,694 ‐ 44,711 $ 316,246 1,271,734 $ 11,679,428 3.00% 95.00% 15.00% $ 989,269 1,812,762 12,220,456 4.00% 98.00% 13.00% FGIC 0.13%
GMACM 2002‐HE1 A1 ‐ ‐ 11,178 79,062 247,317 FGIC
GMACM 2002‐HE1 A2 7,269,423 ‐ 33,534 237,185 741,952 FGIC
GMACM 2002‐HE3 Total 34,602,128 14,803,800 ‐ ‐ $ ‐ 869,209 $ 15,673,009 1.00% 93.00% 18.00% $ ‐ 1,848,311 16,652,111 2.00% 95.00% 16.00% MBIA 8.88%
GMACM 2002‐HE3 A1 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2002‐HE3 A2 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2002‐HE3 A3 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2003‐HE1 Total 36,788,966 17,735,703 ‐ ‐ $ ‐ 820,238 $ 18,555,941 1.00% 90.00% 20.00% $ ‐ 1,760,687 19,496,390 2.00% 93.00% 18.00% FGIC 2.91%
GMACM 2003‐HE1 A1 ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2003‐HE1 A2 ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2003‐HE1 A3 35,719,160 ‐ ‐ ‐ ‐ FGIC
GMACM 2001‐HLT1 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
GMACM 2001‐HLT1 AI7 2,906,599 ‐ ‐ ‐ ‐ Ambac
Page 9 of 22
Trust Level Model

GMACM 2001‐HLT1 AII ‐ ‐ ‐ ‐ ‐ Ambac
GMACM 2001‐HLT1 Total 4,406,599 29,469,015 ‐ ‐ $ ‐ 265,940 $ 29,734,955 2.00% 93.00% 15.00% $ ‐ 440,519 29,909,535 3.00% 95.00% 12.00% Ambac 34.00%
GMACM 2001‐HE2 Total 10,045,635 14,582,601 ‐ 1,330,249 $ ‐ 1,203,491 $ 15,786,092 4.00% 95.00% 3.00% $ 2,915 1,542,508 16,125,109 5.00% 97.00% 2.00% FGIC 2.41%
GMACM 2001‐HE2 IA1 3,950,455 ‐ 315,088 ‐ 2,915 FGIC
GMACM 2001‐HE2 IA2 1,975,789 ‐ 1,015,161 ‐ ‐ FGIC
GMACM 2001‐HE2 IIA1 ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2001‐HE2 IIA7 2,879,579 ‐ ‐ ‐ ‐ FGIC
GMACM 2001‐HE3 Total 4,620,410 5,359,493 ‐ 1,151,551 $ ‐ 421,066 $ 5,780,559 2.00% 95.00% 6.00% $ 194,373 648,551 6,008,044 3.00% 97.00% 5.00% FGIC 0.18%
GMACM 2001‐HE3 A1 2,680,196 ‐ 753,313 ‐ 120,223 FGIC
GMACM 2001‐HE3 A2 1,895,866 ‐ 398,237 ‐ 74,150 FGIC
GMACM 2001‐HLT2 AI 3,827,057 ‐ ‐ ‐ ‐ Ambac
GMACM 2001‐HLT2 AII ‐ ‐ ‐ ‐ ‐ Ambac
GMACM 2001‐HLT2 Total 4,773,332 16,984,409 ‐ ‐ $ ‐ 700,609 $ 17,685,018 4.00% 90.00% 8.00% $ ‐ 924,766 17,909,175 5.00% 91.00% 6.00% Ambac 19.82%
GMACM 2002‐HLT1 A1 4,979,166 ‐ ‐ ‐ ‐ Ambac
GMACM 2002‐HLT1 A2 ‐ ‐ ‐ ‐ ‐ Ambac
GMACM 2002‐HLT1 Total 6,034,166 19,599,349 ‐ ‐ $ ‐ 910,995 $ 20,510,344 4.00% 95.00% 8.00% $ ‐ 1,212,539 20,811,888 5.00% 97.00% 6.00% Ambac 17.48%
RFSC 2002‐RP2 A1 6,619,593 ‐ ‐ ‐ ‐ Ambac
RFSC 2002‐RP2 AIO ‐ ‐ ‐ ‐ ‐ Ambac
RFSC 2002‐RP2 Total 7,486,933 17,801,727 ‐ ‐ $ ‐ 1,207,536 $ 19,009,263 3.00% 100.00% 6.00% $ ‐ 1,783,218 19,584,945 4.00% 105.00% 4.00% Ambac 11.58%
GMACM 2003‐GH1 M1 1,450,052 ‐ ‐ ‐ ‐ MBIA
GMACM 2003‐GH1 M2 1,318,229 ‐ ‐ ‐ ‐ MBIA
GMACM 2003‐GH1 B 970,440 ‐ ‐ ‐ 83,158 MBIA
GMACM 2003‐GH1 A1 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2003‐GH1 A2 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2003‐GH1 A3 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2003‐GH1 A4 ‐ ‐ ‐ ‐ ‐ MBIA
GMACM 2003‐GH1 A5 15,323,486 ‐ ‐ ‐ ‐ MBIA
GMACM 2003‐GH1 Total 20,181,700 4,560,366 ‐ ‐ $ ‐ 1,471,000 $ 6,031,366 1.55% 76.27% 4.90% $ 83,158 1,552,659 6,113,025 1.58% 77.23% 4.51% MBIA 24.07%
GMACM 2003‐HE2 Total 15,250,458 6,614,661 ‐ ‐ $ ‐ 481,915 $ 7,096,576 1.00% 90.00% 12.00% $ ‐ 1,062,319 7,676,980 2.00% 95.00% 10.00% FGIC 20.81%
GMACM 2003‐HE2 A1 ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2003‐HE2 A2 ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2003‐HE2 A3 ‐ ‐ ‐ ‐ ‐ FGIC
GMACM 2003‐HE2 A4 6,548,778 ‐ ‐ ‐ ‐ FGIC
GMACM 2003‐HE2 A5 5,528,450 ‐ ‐ ‐ ‐ FGIC
GMACM 2003‐HE2 AIO ‐ ‐ ‐ ‐ ‐ FGIC
RALI 2002‐QS15 CB 15,145,480 ‐ ‐ ‐ ‐ MBIA
RALI 2002‐QS15 NB3 5,379,000 ‐ ‐ ‐ ‐ MBIA
RALI 2002‐QS15 M1 5,331,927 ‐ ‐ ‐ ‐ MBIA
RALI 2002‐QS15 M2 2,088,081 ‐ ‐ 249,118 325,163 MBIA
RALI 2002‐QS15 M3 1,579,864 ‐ ‐ 1,147,396 1,190,212 MBIA
RALI 2002‐QS15 B1 194,595 ‐ 466,547 177,194 176,130 MBIA
RALI 2002‐QS15 AP 21,007 ‐ ‐ ‐ ‐ MBIA
RALI 2002‐QS15 NB2 5,379,000 1,573 ‐ ‐ ‐ MBIA
RALI 2002‐QS15 AV ‐ ‐ ‐ ‐ ‐ MBIA
RALI 2002‐QS15 NB1 ‐ ‐ ‐ ‐ ‐ MBIA
RALI 2002‐QS15 B2 ‐ ‐ 1,368,036 ‐ ‐ MBIA
RALI 2002‐QS15 B3 ‐ ‐ 1,198,455 ‐ ‐ MBIA
RALI 2002‐QS15 Total 29,882,400 3,114,670 1,573 3,033,038 $ 1,573,708 1,316,093 $ 4,430,763 1.15% 53.53% 5.94% $ 1,691,506 1,434,093 4,548,763 1.21% 54.39% 5.59% MBIA 30.92%
RALI 2003‐QS1 M1 5,644,504 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A13 2,483,466 ‐ ‐ 15 20 MBIA
RALI 2003‐QS1 A14 2,483,466 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 M2 2,270,525 ‐ ‐ 447,553 525,410 MBIA
RALI 2003‐QS1 A6 1,703,536 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 M3 1,698,988 ‐ 361,401 1,459,322 1,490,062 MBIA
RALI 2003‐QS1 A2 1,571,968 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A4 929,201 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A5 929,201 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A1 743,308 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A3 445,985 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A9 364,897 ‐ ‐ ‐ ‐ MBIA
Page 10 of 22
Trust Level Model

RALI 2003‐QS1 A10 364,897 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 AP 201,609 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A8 19,075,000 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A7 ‐ ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A11 ‐ ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 A12 ‐ ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 AV ‐ ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS1 B1 ‐ ‐ 1,288,762 ‐ ‐ MBIA
RALI 2003‐QS1 B2 ‐ ‐ 1,355,631 ‐ ‐ MBIA
RALI 2003‐QS1 B3 ‐ ‐ 1,390,444 ‐ ‐ MBIA
RALI 2003‐QS1 Total 37,305,100 4,360,272 ‐ 4,396,237 $ 1,906,890 1,293,469 $ 5,653,741 1.07% 50.05% 7.93% $ 2,015,492 1,390,645 5,750,917 1.09% 51.20% 7.42% MBIA 25.89%
RALI 2003‐QS8 A6 12,814,656 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 A4 4,533,549 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 A5 4,533,549 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 M1 3,564,665 ‐ ‐ 631,176 727,713 MBIA
RALI 2003‐QS8 A1 3,147,651 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 A2 1,573,825 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 M2 1,489,375 ‐ ‐ 1,359,943 1,380,381 MBIA
RALI 2003‐QS8 A7 1,476,889 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 M3 206,738 ‐ 1,247,050 181,426 180,595 MBIA
RALI 2003‐QS8 AP 198,753 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 A3 5,921,000 ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 AV ‐ ‐ ‐ ‐ ‐ MBIA
RALI 2003‐QS8 B1 ‐ ‐ 872,964 ‐ ‐ MBIA
RALI 2003‐QS8 B2 ‐ ‐ 1,020,774 ‐ ‐ MBIA
RALI 2003‐QS8 B3 ‐ ‐ 899,815 ‐ ‐ MBIA
RALI 2003‐QS8 Total 35,098,500 4,084,189 ‐ 4,040,603 $ 2,172,545 1,537,855 $ 5,622,044 1.04% 60.49% 6.63% $ 2,288,689 1,635,812 5,720,001 1.07% 61.44% 6.26% MBIA 15.06%
RAMP 2001‐RS1 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS1 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS1 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS1 AI4 5,838,303 ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS1 AII 3,092,229 ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS1 Total 9,547,120 23,733,322 ‐ ‐ $ ‐ 1,296,015 $ 25,029,337 4.53% 68.60% 6.60% $ ‐ 1,342,778 25,076,100 4.47% 71.20% 6.37% Ambac 0%/15.44%
RAMP 2001‐RS1 AIIO ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS3 AI5 8,704,343 ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS3 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS3 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS3 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS3 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS3 AII 4,352,387 ‐ ‐ ‐ ‐ Ambac
RAMP 2001‐RS3 Total 14,795,300 29,441,794 ‐ ‐ $ ‐ 2,359,843 $ 31,801,637 3.83% 77.91% 3.60% $ ‐ 2,490,105 31,931,899 3.90% 80.02% 3.38% Ambac 8.33%/14.55%
RAMP 2001‐RS3 AIO ‐ ‐ ‐ ‐ ‐ Ambac
RFSC 2002‐RP1 A1 5,056,112 ‐ ‐ ‐ ‐ Ambac
RFSC 2002‐RP1 Total 6,084,370 17,156,209 ‐ ‐ $ ‐ 547,502 $ 17,703,711 3.08% 64.78% 8.99% $ ‐ 584,988 17,741,197 3.18% 66.35% 8.69% Ambac 16.90%
RAMP 2002‐RS1 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS1 AI5 7,768,232 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS1 MII2 1,936,284 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS1 MI1 1,811,974 ‐ 343,940 1,344,901 1,425,430 Ambac
RAMP 2002‐RS1 MII3 421,059 ‐ 2,211,798 177,928 192,459 Ambac
RAMP 2002‐RS1 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS1 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS1 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS1 MI2 ‐ ‐ 1,813,310 ‐ ‐ Ambac
RAMP 2002‐RS1 MI3 ‐ ‐ 2,080,041 ‐ ‐ Ambac
RAMP 2002‐RS1 AII ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS1 MII1 ‐ ‐ ‐ ‐ ‐ Ambac
Page 11 of 22
Trust Level Model

RAMP 2002‐RS2 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS2 AI5 9,269,436 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS2 MII2 1,953,827 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS2 MI1 1,452,115 ‐ ‐ 349,768 411,823 Ambac
RAMP 2002‐RS2 MI2 740,115 ‐ 104,750 524,426 523,689 Ambac
RAMP 2002‐RS2 MII3 151,028 ‐ 1,573,316 ‐ ‐ Ambac
RAMP 2002‐RS2 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS2 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS2 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS2 MI3 ‐ ‐ 2,622,288 ‐ ‐ Ambac
RAMP 2002‐RS2 AII ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS2 MII1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS2 Total 13,484,700 19,218,928 ‐ 4,300,354 $ 874,194 1,504,700 $ 20,723,628 2.31% 87.04% 6.22% $ 935,512 1,579,022 20,797,950 2.35% 88.33% 5.86% Ambac 17.15%
RAMP 2002‐RS4 AI6 11,223,398 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS4 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS4 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS4 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS4 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS4 AI5 1,587,973 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS4 AII 1,481,977 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS4 Total 16,541,300 23,580,908 ‐ ‐ $ ‐ 1,414,540 $ 24,995,448 1.91% 73.65% 6.16% $ ‐ 1,544,386 25,125,294 2.03% 74.85% 5.82% Ambac 10.12%
RAMP 2002‐RS5 AI6 9,251,316 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS5 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS5 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS5 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS5 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS5 AI5 2,969,083 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS5 AII 5,739,940 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS6 AI7 13,262,395 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS6 AI6 4,359,844 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS6 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS6 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS6 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS6 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS6 AI5 5,818,160 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS6 AII 2,392,439 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS7 A1 17,884,963 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RS7 AIO ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RZ4 A 12,522,420 ‐ ‐ ‐ ‐ Ambac
RAMP 2002‐RZ4 Total 21,756,500 18,108,402 ‐ ‐ $ ‐ 1,924,548 $ 20,032,950 2.03% 69.92% 7.42% $ ‐ 2,113,995 20,222,397 2.10% 72.08% 6.83% Ambac 42.21%
RAMP 2002‐RZ4 AIO ‐ ‐ ‐ ‐ ‐ Ambac
RFSC 2003‐RP1 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RFSC 2003‐RP1 M2 10,436,266 ‐ ‐ ‐ ‐ Ambac
RFSC 2003‐RP1 M3 2,679,664 ‐ 6,976,336 528,910 1,579,751 Ambac
RFSC 2003‐RP1 M1 ‐ ‐ ‐ ‐ ‐ Ambac
RFSC 2003‐RP1 Total 13,174,896 26,215,997 ‐ 6,976,336 $ 528,910 1,546,380 $ 27,762,377 2.00% 95.00% 6.00% $ 1,579,751 2,598,288 28,814,284 3.00% 100.00% 4.00% Ambac n/a
RFSC 2003‐RP2 A1 682,621 ‐ ‐ ‐ ‐ Ambac
RFSC 2003‐RP2 M2 9,209,556 ‐ ‐ ‐ ‐ Ambac
RFSC 2003‐RP2 M1 4,118,000 ‐ ‐ ‐ ‐ Ambac
Page 12 of 22
Trust Level Model

RFSC 2003‐RP2 Total 19,870,454 15,818,761 ‐ ‐ $ ‐ 1,093,210 $ 16,911,971 1.00% 105.00% 10.00% $ ‐ 2,416,143 18,234,904 2.00% 110.00% 8.00% Ambac 96.56%
RFSC 2003‐RP2 M3 ‐ ‐ ‐ ‐ ‐ Ambac
RFSC 2003‐RP2 M4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 AI6 9,911,838 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 AII 7,373,117 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 AI5 6,583,451 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 MI1 1,679,505 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 MI2 940,337 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS1 MI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS2 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS2 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS2 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS2 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS2 AI5 22,484,651 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS2 AI6 15,548,402 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS2 AII 11,303,649 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS3 AI5 4,823,972 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS3 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS3 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS3 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS3 AI4 16,682,154 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS3 AII 9,388,971 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS4 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS4 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS4 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS4 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS4 AI5 31,019,882 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS4 AI6 6,462,850 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS4 AIIA 5,293,965 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS4 AIIB 5,569,046 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS5 AI6 5,890,993 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS5 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS5 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS5 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS5 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS5 AI5 43,448,371 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS6 AI6 8,358,902 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS6 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS6 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS6 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS6 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS6 AI5 50,013,814 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 AI5 57,822,916 ‐ ‐ ‐ ‐ Ambac
Page 13 of 22
Trust Level Model

RAMP 2003‐RS7 MII1 11,342,104 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 AI6 8,477,589 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 MI2 6,146,451 ‐ ‐ 268,395 535,163 Ambac
RAMP 2003‐RS7 MI1 5,209,821 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 MII3 4,160,477 ‐ 2,440,821 3,833,041 3,980,933 Ambac
RAMP 2003‐RS7 MII2 3,960,718 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 MI3 1,075,774 ‐ 6,948,027 1,075,774 1,075,774 Ambac
RAMP 2003‐RS7 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 AIIA ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 AIIB ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS7 Total 98,904,400 59,388,992 ‐ 9,388,848 $ 5,177,210 5,240,000 $ 64,628,992 1.05% 78.87% 7.62% $ 5,591,871 5,691,300 65,080,292 1.10% 79.21% 7.06% Ambac Class PIF
RAMP 2003‐RS8 AI6A 35,148,315 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 AI8 13,722,032 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 MII1 12,932,405 ‐ ‐ 1,233,088 1,372,132 Ambac
RAMP 2003‐RS8 AI7 7,784,254 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 MI1 6,814,278 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 MI2 6,736,116 ‐ ‐ 1,569,421 2,238,459 Ambac
RAMP 2003‐RS8 MII2 5,504,525 ‐ ‐ 3,740,573 3,753,494 Ambac
RAMP 2003‐RS8 AI6B 18,679,353 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 MI3 2,952,737 ‐ ‐ 2,937,312 2,928,002 Ambac
RAMP 2003‐RS8 MII4 1,866,440 ‐ ‐ 1,866,440 1,866,440 Ambac
RAMP 2003‐RS8 MII3 1,758,916 ‐ 4,343,746 1,758,916 1,758,916 Ambac
RAMP 2003‐RS8 MII5 186,290 ‐ 1,702,363 186,290 186,290 Ambac
RAMP 2003‐RS8 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS8 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 AI6A 23,714,528 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 MII1 15,476,850 ‐ ‐ 1,105,987 1,378,372 Ambac
RAMP 2003‐RS9 MI1 7,811,995 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 AI7 7,757,021 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 MII2 5,766,544 ‐ ‐ 4,701,196 4,816,438 Ambac
RAMP 2003‐RS9 MI2 5,697,978 ‐ ‐ 3,762,947 4,668,304 Ambac
RAMP 2003‐RS9 AI6B 15,863,325 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 MII3 2,297,660 ‐ ‐ 2,297,660 2,297,660 Ambac
RAMP 2003‐RS9 MII4 2,232,834 ‐ 168,612 2,232,834 2,232,834 Ambac
RAMP 2003‐RS9 MI3 1,560,818 ‐ 4,331,902 1,465,097 1,452,000 Ambac
RAMP 2003‐RS9 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RS9 MII5 ‐ ‐ 2,582,543 ‐ ‐ Ambac
RAMP 2003‐RZ1 AI7 5,245,891 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ1 AI6 6,121,499 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ1 AI1A ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ1 AI1B ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ1 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
Page 14 of 22
Trust Level Model

RAMP 2003‐RZ1 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ1 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ1 AI5 11,523,771 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ1 AII 12,803,927 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ2 M1 2,525,334 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ2 A1 12,679,088 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ2 M2 2,044,927 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ2 M3 81,880 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 A6 14,261,959 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 A5A 9,831,106 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 M1 4,431,961 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 M2 3,472,635 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 A5B 10,923,451 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 M3 150,218 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ3 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 M1 14,842,099 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 A7 12,517,792 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 M2 11,943,189 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 M3 3,671,656 ‐ ‐ 2,886,755 3,556,944 Ambac
RAMP 2003‐RZ4 A6 64,197,530 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 A5 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ4 Total 107,536,000 35,008,260 ‐ ‐ $ 2,886,755 6,573,823 $ 41,582,083 1.57% 62.96% 8.75% $ 3,556,944 7,422,318 42,430,578 1.67% 64.38% 7.92% Ambac 28.42%
RAMP 2003‐RZ5 A6A 21,808,429 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 A7 15,265,480 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 M2 10,861,779 ‐ ‐ 2,405,887 2,967,396 Ambac
RAMP 2003‐RZ5 M1 8,089,380 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 A6B 28,577,794 ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 M3 548,504 ‐ 6,076,302 507,333 501,324 Ambac
RAMP 2003‐RZ5 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 A5 ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 AV ‐ ‐ ‐ ‐ ‐ Ambac
RAMP 2003‐RZ5 Total 85,439,000 34,950,384 ‐ 6,076,302 $ 2,913,221 6,755,985 $ 41,706,369 2.04% 63.68% 8.88% $ 3,468,720 7,477,893 42,428,277 2.12% 65.21% 8.06% Ambac 22.90%
RASC 2001‐KS1 AI6 10,275,061 ‐ ‐ 15,631 30,574 FGIC
RASC 2001‐KS1 AI1 ‐ ‐ ‐ ‐ ‐ FGIC
RASC 2001‐KS1 AI2 ‐ ‐ ‐ ‐ ‐ FGIC
RASC 2001‐KS1 AI3 ‐ ‐ ‐ ‐ ‐ FGIC
RASC 2001‐KS1 AI4 ‐ ‐ ‐ ‐ ‐ FGIC
RASC 2001‐KS1 AI5 18,970,444 ‐ ‐ 2,734,814 3,360,343 FGIC
RASC 2001‐KS1 AII 622,768 ‐ ‐ ‐ ‐ FGIC
RASC 2001‐KS1 Total 43,762,800 128,338,992 ‐ ‐ $ 2,750,444 9,843,256 $ 138,182,248 4.27% 86.28% 2.12% $ 3,390,917 10,474,788 138,813,780 4.45% 87.97% 1.93% FGIC 0.00%
RASC 2002‐KS1 AI6 17,285,122 76,169 420,668 690,462 824,468 Ambac
RASC 2002‐KS1 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS1 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS1 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS1 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS1 AI5 42,594,940 187,700 924,349 6,346,802 7,207,389 Ambac
RASC 2002‐KS1 AIIA 10,141,322 44,689 106,687 852,858 886,261 Ambac
RASC 2002‐KS1 AIIB 8,727,616 38,459 97,148 739,467 768,134 Ambac
RASC 2002‐KS1 Total 77,861,800 148,825,456 347,017 1,548,852 $ 8,629,589 14,335,728 $ 163,161,184 3.60% 76.22% 1.94% $ 9,686,251 15,358,738 164,184,194 3.77% 78.04% 1.80% Ambac 0.00%
Page 15 of 22
Trust Level Model

RASC 2002‐KS4 AI6 9,114,477 915,048 1,470,443 5,720 13,634 Ambac
RASC 2002‐KS4 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS4 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS4 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS4 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS4 AI5 28,481,554 2,859,404 2,712,287 291,508 567,207 Ambac
RASC 2002‐KS4 AIIA 14,536,652 1,459,407 718,465 32,956 34,688 Ambac
RASC 2002‐KS4 AIIB 12,390,712 1,243,965 589,794 28,451 29,850 Ambac
RASC 2002‐KS4 Total 64,979,500 115,200,320 6,477,823 5,490,990 $ 358,635 10,931,170 $ 126,131,490 3.14% 85.61% 4.42% $ 645,379 11,626,724 126,827,044 3.23% 87.23% 4.04% Ambac 0.76%
RASC 2002‐KS4 AIIO ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS6 AI6 8,527,643 425,085 722,111 ‐ ‐ Ambac
RASC 2002‐KS6 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS6 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS6 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS6 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS6 AI5 25,920,883 1,292,100 1,207,831 ‐ ‐ Ambac
RASC 2002‐KS6 AII 15,484,958 771,892 1,108,580 1,208,063 1,208,063 Ambac
RASC 2002‐KS6 Total 50,236,600 73,390,432 2,489,076 3,038,522 $ 1,208,063 5,674,229 $ 79,064,661 2.23% 73.50% 3.44% $ 1,208,063 6,064,703 79,455,135 2.27% 76.25% 3.23% Ambac 3.39%
RASC 2002‐KS6 AIO ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS8 A6 15,637,678 712,310 851,529 1,031,150 1,123,548 Ambac
RASC 2002‐KS8 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS8 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS8 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS8 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2002‐KS8 A5 50,099,005 2,282,053 4,412,030 9,364,073 10,016,676 Ambac
RASC 2002‐KS8 Total 66,313,300 46,179,160 2,994,362 5,263,559 $ 10,395,223 11,640,736 $ 57,819,896 3.07% 84.18% 3.96% $ 11,140,224 12,411,615 58,590,775 3.18% 85.73% 3.66% Ambac 0.00%
RASC 2002‐KS8 AIO ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 AI5 32,057,300 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 AI6 16,627,780 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 MI1 8,294,550 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 MI2 5,924,678 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 MI3 4,882,106 ‐ ‐ 2,295,624 3,556,092 Ambac
RASC 2003‐KS4 AIIA 4,043,332 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 AIIB 5,214,003 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 AIII 3,121,101 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS4 Total 83,145,900 52,333,468 ‐ ‐ $ 2,295,624 10,366,115 $ 62,699,583 2.32% 74.77% 4.26% $ 3,556,092 11,135,049 63,468,517 2.42% 76.09% 3.99% Ambac 29.09%/8.14%
RASC 2003‐KS5 AI6 4,408,601 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS5 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS5 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS5 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS5 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS5 AI5 24,217,361 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS5 AIIA 6,791,278 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS5 AIIB 4,534,845 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS5 Total 44,589,000 29,806,584 ‐ ‐ $ ‐ 6,289,252 $ 36,095,836 2.50% 78.52% 4.11% $ ‐ 6,694,593 36,501,177 2.55% 80.60% 3.82% Ambac 8.11%/13.38%
RASC 2003‐KS9 AI6 10,052,842 ‐ ‐ ‐ 2,532 Ambac
RASC 2003‐KS9 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS9 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS9 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS9 AI4 4,418,891 ‐ ‐ ‐ ‐ Ambac
RASC 2003‐KS9 AI5 49,853,000 ‐ ‐ ‐ 807,069 Ambac
RASC 2003‐KS9 A2A 10,824,007 ‐ ‐ 690,810 746,207 Ambac
RASC 2003‐KS9 A2B 11,716,122 ‐ ‐ 487,626 551,683 Ambac
RASC 2003‐KS9 Total 90,067,900 48,063,936 ‐ ‐ $ 1,178,436 9,305,239 $ 57,369,175 1.98% 76.02% 5.82% $ 2,107,492 10,006,237 58,070,173 2.05% 77.34% 5.37% Ambac 4.82%/0.00%
Page 16 of 22
Trust Level Model

RFMSI 2003‐S13 AV 29,747,847 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 A2 18,260,000 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 A3 9,027,916 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 M1 1,517,369 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 M2 465,435 ‐ ‐ 310,639 332,401 MBIA
RFMSI 2003‐S13 M3 354,978 ‐ ‐ 344,505 344,915 MBIA
RFMSI 2003‐S13 AP 122,049 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 B1 100 ‐ 312,335 ‐ ‐ MBIA
RFMSI 2003‐S13 A1 18,260,000 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 A4 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 A5 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 A6 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 A7 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S13 B2 ‐ ‐ 284,853 ‐ ‐ MBIA
RFMSI 2003‐S13 B3 ‐ ‐ 513,538 ‐ ‐ MBIA
RFMSI 2003‐S13 Total 29,843,200 1,152,820 ‐ 1,110,725 $ 655,144 92,155 $ 1,244,975 0.34% 15.00% 9.82% $ 677,316 94,758 1,247,578 0.33% 15.36% 9.29% MBIA 7.86%
RFMSI 2003‐S4 AV 20,050,469 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A4 11,146,417 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 M1 1,329,421 ‐ ‐ 7,809 9,211 MBIA
RFMSI 2003‐S4 M2 460,832 ‐ ‐ 134,981 142,250 MBIA
RFMSI 2003‐S4 M3 362,732 ‐ ‐ 307,131 312,218 MBIA
RFMSI 2003‐S4 AP 155,861 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 B1 67,596 ‐ 49,766 60,368 60,396 MBIA
RFMSI 2003‐S4 A3 6,527,000 ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A1 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A2 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A5 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A6 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A7 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A8 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A9 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A10 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A11 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A12 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 A13 ‐ ‐ ‐ ‐ ‐ MBIA
RFMSI 2003‐S4 B2 ‐ ‐ 222,214 ‐ ‐ MBIA
RFMSI 2003‐S4 B3 ‐ ‐ 353,689 ‐ ‐ MBIA
RFMSI 2003‐S4 Total 20,132,600 639,159 ‐ 625,669 $ 510,289 372,188 $ 1,011,347 0.69% 48.98% 11.21% $ 524,074 379,757 1,018,916 0.68% 49.46% 10.64% MBIA 11.08%
RFMS2 1999‐HI1 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI1 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI1 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI1 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI1 A5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI1 A6 1,203,928 ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI1 Total 3,402,371 40,895,988 ‐ ‐ $ ‐ 420,343 $ 41,316,331 3.71% 111.80% 11.24% $ ‐ 445,284 41,341,272 3.86% 111.86% 10.47% Ambac 64.62%
RFMS2 1999‐HI4 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI4 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI4 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI4 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI4 A5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI4 A6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI4 A7 661,684 ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI6 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI6 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI6 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI6 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
Page 17 of 22
Trust Level Model

RFMS2 1999‐HI6 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI6 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI6 AI7 2,236,286 ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI6 AI8 887,847 ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI6 AII ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI8 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI8 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI8 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI8 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI8 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI8 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI8 AI7 1,762,877 ‐ ‐ ‐ ‐ Ambac
RFMS2 1999‐HI8 AI8 287,862 ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI1 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI1 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI1 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI1 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI1 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI1 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI1 AI7 2,046,593 ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI2 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI2 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI2 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI2 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI2 AI5 2,238,412 ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI3 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI3 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI3 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI3 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI3 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI3 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI3 AI7 3,341,017 ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI4 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI4 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI4 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI4 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI4 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI4 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI4 AI7 4,683,582 ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI5 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI5 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI5 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI5 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI5 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI5 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HI5 AI7 6,106,260 ‐ ‐ ‐ ‐ Ambac
Page 18 of 22
Trust Level Model

RFMS2 2001‐HI1 A 3,103,105 ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI2 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI2 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI2 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI2 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI2 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI2 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI2 AI7 1,916,227 ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI2 AIO ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI3 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI3 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI3 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI3 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI3 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI3 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI3 AI7 7,136,117 ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI4 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI4 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI4 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI4 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI4 A5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI4 A6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HI4 A7 7,081,215 ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HS2 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HS2 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HS2 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HS2 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HS2 A5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2001‐HS2 Total 1,398,380 4,097,670 ‐ ‐ $ ‐ 6,045 $ 4,103,715 0.23% 112.76% 8.48% $ ‐ 6,671 4,104,340 0.25% 112.53% 7.89% Ambac Classes PIF
RFMS2 2001‐HS2 AIO ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI1 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI1 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI1 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI1 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI1 A5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI1 A6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI1 A7 6,980,699 ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI2 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI2 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI2 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI2 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI2 AI5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI2 AI6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI2 AI7 3,795,681 ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI2 AII 1,788,996 ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI3 A1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI3 A2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI3 A3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI3 A4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI3 A5 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI3 A6 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI3 A7 8,375,182 ‐ ‐ ‐ ‐ Ambac
RFMS2 2002‐HI3 Total 10,250,200 32,152,084 ‐ ‐ $ ‐ 1,045,575 $ 33,197,659 3.27% 112.36% 7.90% $ ‐ 1,112,837 33,264,921 3.42% 112.32% 7.16% Ambac 18.29%
RFMS2 2002‐HS3 Total 3,594,250 3,914,926 ‐ ‐ $ ‐ 231,035 $ 4,145,961 2.36% 111.88% 11.64% $ ‐ 243,082 4,158,009 2.44% 111.86% 10.61% FGIC 71.46%
RFMS2 2002‐HS3 1A1 ‐ ‐ ‐ ‐ ‐ FGIC
Page 19 of 22
Trust Level Model

RFMS2 2002‐HS3 1A2 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2002‐HS3 1A3 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2002‐HS3 1A4 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2002‐HS3 1A5 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2002‐HS3 1A6 449,294 ‐ ‐ ‐ ‐ FGIC
RFMS2 2002‐HS3 2A 634,765 ‐ ‐ ‐ ‐ FGIC
RFMS2 2002‐HS3 AIO ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HI3 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2003‐HI3 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2003‐HI3 AI3 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2003‐HI3 AI4 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2003‐HI3 AI5 6,767,415 ‐ ‐ ‐ ‐ Ambac
RFMS2 2003‐HI3 AII 6,672,672 ‐ ‐ ‐ ‐ Ambac
RFMS2 2003‐HI3 Total 16,390,400 26,662,514 ‐ ‐ $ ‐ 2,015,106 $ 28,677,620 3.95% 110.79% 10.99% $ ‐ 2,128,118 28,790,632 4.08% 110.80% 10.10% Ambac 16.47%/19.50%
RFMS2 2003‐HS1 AIIO ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS1 AI6 824,095 ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS1 AI1 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS1 AI2 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS1 AI3 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS1 AI4 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS1 AI5 3,934,641 ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS1 AII 1,633,532 ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 AI4 7,474,135 ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 AIIA 1,620,875 ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 AIIB 2,467,479 ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 MI1 345,976 ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 AIIO ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 AIA ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 AIB ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 AI2 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 AI3 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 MI2 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS2 MI3 ‐ ‐ ‐ ‐ ‐ FGIC
RFMS2 2003‐HS3 Total 23,314,700 10,098,988 ‐ ‐ $ ‐ 1,339,457 $ 11,438,445 1.98% 108.87% 16.27% $ ‐ 1,460,304 11,559,292 2.11% 108.87% 15.18% MBIA 0.00%
RFMS2 2003‐HS3 AI1 ‐ ‐ ‐ ‐ ‐ MBIA
RFMS2 2003‐HS3 AI2 ‐ ‐ ‐ ‐ ‐ MBIA
RFMS2 2003‐HS3 AI3 ‐ ‐ ‐ ‐ ‐ MBIA
RFMS2 2003‐HS3 AI4 13,651,768 ‐ ‐ ‐ ‐ MBIA
RFMS2 2003‐HS3 A2A 2,474,433 ‐ ‐ ‐ ‐ MBIA
RFMS2 2003‐HS3 A2B 2,053,044 ‐ ‐ ‐ ‐ MBIA
RFMS2 2003‐HS3 AIIO ‐ ‐ ‐ ‐ ‐ MBIA
RFMS2 2003‐HS4 AIA 3,436,178 ‐ ‐ ‐ ‐ Ambac
RFMS2 2003‐HS4 AIB 2,378,740 ‐ ‐ ‐ ‐ Ambac
RFMS2 2003‐HS4 Total 8,567,730 5,533,338 ‐ ‐ $ ‐ 424,538 $ 5,957,876 1.20% 102.72% 8.96% $ ‐ 462,365 5,995,703 1.29% 102.57% 8.49% Ambac 14.59%
RASC 1999‐RS1 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 1999‐RS1 AI2 ‐ ‐ ‐ ‐ ‐ Ambac
RASC 1999‐RS1 AI3 1,792,364 ‐ ‐ ‐ ‐ Ambac
RASC 1999‐RS1 AII 1,120,192 ‐ ‐ ‐ ‐ Ambac
RASC 1999‐RS1 Total 3,652,234 3,793,159 ‐ ‐ $ ‐ 10,992 $ 3,804,151 0.23% 33.13% 10.11% $ ‐ 13,777 3,666,011 0.27% 34.20% 9.13% Ambac 17.49%
RFMS2 2000‐HL1 AI1 ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HL1 AI2 361,718 ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HL1 AII ‐ ‐ ‐ ‐ ‐ Ambac
RFMS2 2000‐HL1 Total 1,031,029 8,105,735 ‐ ‐ $ ‐ 21,183 $ 8,126,918 1.22% 45.31% 7.69% $ ‐ 25,197 8,130,932 1.41% 46.32% 7.35% Ambac 64.92%
GMACM 2004‐JI IO 37,035,243.92 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A3 16,774,000.00 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A20 16,660,094.88 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI M1 2,361,777.14 ‐ ‐ $ 77,530 $ 121,027 MBIA
GMACM 2004‐JI M2 953,508.19 ‐ ‐ $ 587,998 $ 624,219 MBIA
GMACM 2004‐JI A21 876,916.16 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI M3 633,882.45 ‐ ‐ $ 633,882 $ 633,882 MBIA
GMACM 2004‐JI B1 179,507.84 ‐ 229,904 $ 165,534 $ 164,818 MBIA
GMACM 2004‐JI PO 163,997.89 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A4 $ ‐ $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A5 $ ‐ $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A6 $ ‐ $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A7 $ ‐ $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A8 $ 781,707 $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A9 $ ‐ $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A10 $ ‐ $ ‐ $ ‐ $ ‐ $ ‐ MBIA
Page 20 of 22
Trust Level Model

GMACM 2004‐JI A11 $ ‐ $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A12 $ ‐ $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A13 $ 1,693,031 $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A1 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A2 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A14 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A15 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A16 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A17 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A18 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI Total $ 41,078,423 $ 1,079,779 $ ‐ $ 1,113,980 $ 1,464,944 1,774,653 $ 2,854,432 0.43% 57.02% 6.40% $ 1,543,947 1,852,225 2,932,004 0.47% 56.92% 6.29% MBIA 10.05%
GMACM 2004‐JI A19 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI A22 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐JI B2 0 ‐ 404,083 $ ‐ $ ‐ MBIA
GMACM 2004‐JI B3 0 ‐ 479,992 $ ‐ $ ‐ MBIA
GMACM 2004‐J2 WAC_IO 30,679,090.47 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 A10 15,303,291.14 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 A7 7,203,716.72 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 A4 3,027,366.41 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 M1 3,014,988.16 ‐ ‐ $ 93,243 $ 159,730 MBIA
GMACM 2004‐J2 A9 1,445,278.95 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 M2 1,283,429.16 ‐ ‐ $ 1,074,921 $ 1,116,901 MBIA
GMACM 2004‐J2 A11 830,234.16 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 PO 715,390.36 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 M3 690,504.76 ‐ 60,560 $ 667,972 $ 666,957 MBIA
GMACM 2004‐J2 A12 471,157.88 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 A8 $ 17,566,000 $ ‐ $ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 Total $ 51,551,358 $ 1,776,708 $ ‐ $ 1,683,480 $ 1,836,135 2,236,917 $ 4,013,625 0.49% 47.01% 7.70% $ 1,943,588 2,349,927 4,126,635 0.53% 48.59% 7.54% MBIA 9.68%
GMACM 2004‐J2 A1 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 A2 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 A3 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 A5 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 A6 0 ‐ ‐ $ ‐ $ ‐ MBIA
GMACM 2004‐J2 B1 0 ‐ 551,762 $ ‐ $ ‐ MBIA
GMACM 2004‐J2 B2 0 ‐ 513,428 $ ‐ $ ‐ MBIA
GMACM 2004‐J2 B3 0 ‐ 557,730 $ ‐ $ ‐ MBIA
GSR 2007‐HEL1 Total $ 26,894,539 $ 56,359,724 $ 65,349,240 $ ‐ $ 4,469,033 5,134,028 $ 61,493,752 3.42% 105.81% 11.11% $ 4,992,354 5,772,318 62,132,042 3.65% 105.84% 9.82% MBIA 0.00%
GSR 2007‐HEL1 A $ 26,089,153 $ 63,388,763 $ ‐ $ 4,335,203 $ 4,842,853 MBIA
GSR 2007‐HEL1 S $ 805,386 $ 1,960,477 $ ‐ $ 133,830 $ 149,501 MBIA
RAST 2003‐A10 AX 47,538,659.35 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A10 A4 18,887,098.24 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A10 A1 14,384,320.49 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A10 A3 9,150,000.00 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A10 B1 6,155,771.76 ‐ ‐ $ 1,914,790 $ 2,138,816 MBIA
RAST 2003‐A10 A5 3,665,430.26 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A10 B2 1,455,136.94 ‐ ‐ $ 1,356,057 $ 1,370,208 MBIA
RAST 2003‐A10 B3 1,145,750.05 ‐ ‐ $ 1,111,669 $ 1,109,363 MBIA
RAST 2003‐A10 PO 470,749.07 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A10 B4 7,900.37 ‐ 633,769 $ ‐ $ ‐ MBIA
RAST 2003‐A10 A2 $ 13,725,000 $ ‐ $ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A10 Total $ 69,047,157 $ 2,041,563 $ ‐ $ 2,453,310 $ 4,382,516 2,982,547 $ 5,024,110 1.08% 51.80% 5.29% $ 4,618,388 3,198,258 5,239,821 1.16% 51.67% 5.14% MBIA 12.69%
RAST 2003‐A10 B5 0 ‐ 362,650 $ ‐ $ ‐ MBIA
RAST 2003‐A10 B6 0 ‐ 1,456,891 $ ‐ $ ‐ MBIA
RAST 2003‐A7 A3 20,754,852.88 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 A4 20,754,852.88 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 A9 15,081,000.00 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 B1 10,745,024.60 ‐ ‐ $ 131,687 $ 209,910 MBIA
RAST 2003‐A7 A12 3,538,858.26 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 B2 2,710,243.41 ‐ ‐ $ 1,441,889 $ 1,594,424 MBIA
RAST 2003‐A7 B3 2,237,768.32 ‐ ‐ $ 2,235,149 $ 2,236,162 MBIA
RAST 2003‐A7 A5 2,000,000.00 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 A7 1,984,866.76 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 B4 938,532.19 ‐ ‐ $ 938,532 $ 938,532 MBIA
RAST 2003‐A7 A10 937,820.85 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 B6 623,315.07 ‐ 1,580,565 $ 623,315 $ 623,315 MBIA
RAST 2003‐A7 B5 377,621.67 ‐ ‐ $ 377,622 $ 377,622 MBIA
RAST 2003‐A7 A11 255,769.32 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 PO 41,208.48 ‐ ‐ $ 1,746 $ 1,774 MBIA
RAST 2003‐A7 A8 $ 15,081,000 $ 18,182 $ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 Total $ 62,345,039 $ 1,175,993 $ 18,182 $ 1,580,565 $ 5,749,940 3,873,567 $ 5,049,560 1.43% 58.25% 5.81% $ 5,981,739 4,078,193 5,254,186 1.50% 58.29% 5.66% MBIA 28.47%
RAST 2003‐A7 A1 0 ‐ ‐ $ ‐ $ ‐ MBIA
Page 21 of 22
Trust Level Model

RAST 2003‐A7 A2 0 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 A6 0 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 A13 0 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2003‐A7 A14 0 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2006‐A1 AX 234,874,680.81 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2006‐A1 1A3 69,396,696.16 ‐ 3,811,327 $ 13,307,868 $ 14,319,282 MBIA
RAST 2006‐A1 1A6 67,920,441.78 ‐ 3,730,250 $ 14,515,374 $ 15,512,720 MBIA
RAST 2006‐A1 1A7 67,920,441.78 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2006‐A1 1A1 43,891,814.40 ‐ ‐ $ 8,574,945 $ 9,234,153 MBIA
RAST 2006‐A1 3A2 32,665,486.00 ‐ 266,794 $ 12,404,079 $ 12,980,809 MBIA
RAST 2006‐A1 1A8 28,684,982.25 ‐ 1,575,404 $ 5,500,780 $ 5,918,846 MBIA
RAST 2006‐A1 3A1 28,580,504.08 ‐ 233,430 $ 10,852,887 $ 11,357,494 MBIA
RAST 2006‐A1 2A1 24,132,474.25 ‐ 502,653 $ 4,810,076 $ 5,149,205 MBIA
RAST 2006‐A1 3A3 8,535,538.07 ‐ 69,714 $ 3,241,203 $ 3,391,904 MBIA
RAST 2006‐A1 3A4 8,489,121.21 ‐ 971,663 $ 3,223,578 $ 3,373,458 MBIA
RAST 2006‐A1 1A4 3,917,545.31 ‐ 215,155 $ 837,224 $ 894,750 MBIA
RAST 2006‐A1 1A5 3,917,545.31 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2006‐A1 PO 1,609,522.26 ‐ 383,419 $ 179,750 $ 200,139 MBIA
RAST 2006‐A1 1A2 1,032,608.90 ‐ 2,428,762 $ 39,994 $ 35,532 MBIA
RAST 2006‐A1 WRAP_1A8 $ 312,371,618 $ 5,754,498 $ ‐ $ 3,487,603 $ 3,752,781 MBIA
RAST 2006‐A1 2A2 0 ‐ 1,508,529 $ ‐ $ ‐ MBIA
RAST 2006‐A1 3A5 0 ‐ 7,418,722 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IB1 0 ‐ 12,856,714 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IB2 0 ‐ 13,702,221 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IB3 0 ‐ 3,359,416 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IIB1 0 ‐ 5,081,912 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IIB2 0 ‐ 2,130,089 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IIB3 0 ‐ 1,423,707 $ ‐ $ ‐ MBIA
RAST 2006‐A1 P 0 ‐ ‐ $ ‐ $ ‐ MBIA
RAST 2006‐A1 IB4 0 ‐ 3,082,041 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IB5 0 ‐ 2,526,398 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IB6 0 ‐ 1,691,211 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IIB4 0 ‐ 1,071,324 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IIB5 0 ‐ 834,296 $ ‐ $ ‐ MBIA
RAST 2006‐A1 IIB6 0 ‐ 716,936 $ ‐ $ ‐ MBIA
RAST 2006‐A1 Total $ 312,371,618 $ 70,130,992 $ 5,754,498 $ 71,592,088 $ 80,975,360 35,730,838 $ 105,861,830 2.61% 56.84% 5.89% $ 86,121,071 39,731,986 109,862,978 2.77% 58.30% 5.39% MBIA 6.65%/4.75%
RFMSI 2004‐SR1 Total $ 14,503,630 $ 5,046,456 $ ‐ $ ‐ $ ‐ ‐ $ 5,046,456 0.13% 27.11% 24.31% $ ‐ ‐ 5,046,456 0.19% 28.31% 22.69% MBIA 3.34%
RFMSI 2004‐SR1 A5 484,300.30 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐SR1 A4 $ 14,019,000 $ ‐ $ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐SR1 A1 0 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐SR1 A2 0 ‐ ‐ $ ‐ $ ‐ MBIA
RFMSI 2004‐SR1 A3 0 ‐ ‐ $ ‐ $ ‐ MBIA
x x x x x x x x x x x x x x x x x x x x x
Page 22 of 22
ANNEX G
White Paper
EARLY PAYMENT DEFAULT – LINKS TO FRAUD AND
IMPACT ON MORTGAGE LENDERS AND INVESTMENT
BANKS
© 2007 BasePoint Analytics LLC. All Rights Reserved.

Executive Summary
BasePoint wanted to investigate the link between fraud and its
impact on early payment performance
BasePoint Analytics worked with several lenders over the past year to
investigate and understand the increasing trends in Early Payment
Default (EPD). Early Payment Defaults are typically classified as loans
which become delinquent by more than sixty days in their first year.
However, this definition varies by lender. Overall, lenders are
experiencing an increase in serious delinquency within the first
several months of the loan life. In particular, non-prime lenders are
being hit by this trend.
One of the goals of the BasePoint study was to investigate the link
between fraud and payment trends during the early life of a loan. In
general, the earlier the serious delinquency occurs, the more likely it
is linked to a significant misrepresentation on the original loan
application.
Millions of historic loans were examined during the study
The fraud scientists at BasePoint Analytics, a leading fraud analytics

and consulting firm, analyzed over 3 million loans that were originated
between 1997 and 2006. The 3 million loans reviewed included over
16,000 examples of early payment defaults and loans that went into
foreclosure.
BasePoint found that the percentage of EPD loans that can be

attributed to a fraudulent misrepresentation on the original application
varies from between 30% and 70%. The ratio varies based on a
number of factors, including Portfolio type, Loan program,
Underwriting policies, and EDP/FPD definitions and measurement
periods.
The main drivers of EPD identified in the study were:
1. Loan program risk – e.g. Purchase, 80/20, Stated Income

2. Broker risk - Prior and current risk of broker
3. Borrower credit profile
4. Borrower income levels and employment characteristics
5. First Time Home Buyers
6. Seller Concessions
7. Geographic risk related to property and prior fraud experience
in that area
© 2007 BasePoint Analytics LLC All Rights Reserved. BasePoint Confidential
2
A small percentage of brokers accounted for most of the risk
The study also demonstrated that a small percentage of brokers

contribute a disproportionate amount of loans that result in EPD. At
one lender studied, less than 10% of brokers accounted for 100% of
EPD, fraud and repurchase requests. This outcome was not unique.
This study revealed that nearly all the EPD loans came through a
small number of brokers.
Traditional credit risk tools don’t predict default risk well when
the underlying information in the application is fraud
And finally, the study found that when egregious misrepresentations
are made on a mortgage application, the value of the credit score to
predict EPD deteriorates. Traditionally mortgage lenders and
investment banks have relied on credit scores to assess the risk of a
borrower. Credit scores effectively predict risk when the facts on the
application are true. However, when a borrower or broker
misrepresents fundamental characteristics such as: income,
employment, debt or the value of the property, the credit score risk
assessment isn’t as effective.
BasePoint also found that predictive analytics can be employed to

effectively identify 40% or more of Early Payment Default risk prior to
loan funding. This provides lenders and investment banks with a
valuable tool in controlling their EDP losses.
3
Understanding the Relationship between Early
Payment Default (EPD) and Mortgage Fraud
Through its work with leading mortgage lenders, BasePoint has had
the opportunity to review data from several lenders to analyze
linkages between EPD and material misrepresentations on the original
loan application, classified as fraud.
BasePoint analyzed over 3 million loans that were originated between

1997 and 2006. The 3 million loans reviewed included over 16,000
loans that were confirmed to contain egregious misrepresentations in
the loan file that later led to a default. These misrepresentations
included fraud such as: income inflated by as much as 500%,
appraisals that overvalued the property by 50% or more, fictitious
employers and falsified tax returns.
The study concluded that misrepresentations can grossly affect the

risk of a loan, finding that loans containing egregious
misrepresentations were up to 5 times more likely to default in the
first six months than loans that did not.
BasePoint found that the percentage of EPD loans that can be linked
to a fraudulent misrepresentation on the original application varies
from between 30% and 70%. The ratio varies based on a number of
factors including Portfolio type, Loan program, Underwriting policies,
and EDP/FPD definitions and measurement periods.
The main drivers of fraud and EPD identified in the study are:
Loan program risk (for example, stated income, low doc, 100%
CLTV, and low credit profile)
Broker risk
Borrower credit profile (either low credit profile or credit profile

not matching loan program – an indication of a straw buyer)
Borrower income levels and employment characteristics

First Time Home Buyers
Seller Concessions
Geographic risk related to property and prior fraud experience
in that area
4
The BasePoint study uncovered that the most common reasons for EPD were
comprised of these layered risk factors (several factors combined to create
high risk applications), including:
Credit risk not matching with stated income (for example, low credit
scores and high income)
Age not matching with income (young borrower, very high income)
First Time Homebuyer with 100% CLTV loans
Self Employed Borrowers combined with other risk factors
Key misrepresentation types that demonstrated to be indicators of

Early Payment Default include:
Occupancy
Stated income
Property valuation (for example, appraisals not matching the
area or neighborhood)
Stated income loans were higher risk overall in terms of fraud levels. The
study found that there are specific drivers that made certain stated income
loans more risky than others:
Degree to which the stated income exceeded normal income for a

given ZIP code.
Broker’s risk level - brokers that submitted more stated income loans
as a percentage of their total book of business were higher risk.
Broker’s historical performance in terms of the number of prior loans
that resulted in fraud or EPD. Brokers that had higher risk of bad
performance and submitting stated income loans were more likely to
be involved in fraud.
Stated income compared to the Debt to Income ratio (DTI). A higher
DTI and a higher income indicated a higher risk of income fabrication.
The Mortgage Asset Research Institute, Inc. (MARI) reported in their Eighth
Periodic Mortgage Fraud Case Report to the Mortgage Bankers Association in
April 2006 that one of their customers reviewed a sample of 100 stated
income loans and found that when compared to IRS figures, “almost 60% of
the stated amounts were exaggerated by more than 50%.” Clearly these
types of income exaggerations significantly increase the risk of default.
5
The BasePoint study also determined that a small percentage of brokers
contribute a disproportionate amount of loans that result in EPD. At one non-
prime lender studied, less than 10% of brokers accounted for 100% of EPD,
fraud and repurchase requests. This was not unique to this lender. In
general, the study revealed that EPD is concentrated within certain brokers,
with nearly all the bad loans linked to a relatively small amount of brokers.
Early Payment Default risk is concentrated to a very few brokers
BasePoint discovered that most

risk of early payment default for
lenders came from
approximately 6% to 8% of
brokers. The overwhelming
majority of brokers submitted
no early payment defaults, even
those brokers that submitted
extremely high volumes.
Brokers that submit loans with homogenous characteristics, such as

common employers, and loans with more combined risk factors, such
as CLTV, Loan Type, Credit Score, and Employment Type, will be
more likely to have loans involved in early pay defaults, discount sales
and repurchase requests.
Mortgage brokers originate the majority of non-prime mortgages and

the current broker incentive structure is completely focused on closing
as many loans as possible at the most favorable terms for the lender.
Brokers are not accountable for the quality or performance of the loan
once it closes. When a loan closes, in addition to their broker fee,
they may also receive a yield-spread premium from the lender for
closing a higher interest rate loan. The brokers have a financial
incentive to place borrowers into loans with higher interest rates than
they might otherwise qualify to obtain. This incentive structure, along
with stated income and low documentation loan programs, provide
ample opportunity for the small number of unscrupulous brokers to
take advantage of the system by perpetrating fraud and by closing
loans with an increased propensity to default.
The study also revealed that geography impacts EPD rates. At one
lender included in the study, the top 20 risky areas accounted for
about 14% of volume, but accounted for 45% of EPD, 25% of
confirmed frauds, and 20% of repurchased loans.
6
And finally, the study found that when egregious misrepresentations
are made on a mortgage application, the value of the credit score to
predict EPD deteriorates. Traditionally mortgage lenders and
investment banks have relied on credit scores to assess the risk of a
borrower. Credit scores effectively predict risk when the facts on the
application are true. However, when a borrower or broker
misrepresents fundamental characteristics such as: income,
employment, debt or the value of the property, the credit score risk
assessment isn’t as effective.
Findings on the Impact of EDP

The increase in early payment defaults is placing a profitability strain
on originators. The majority of US mortgage loans are packaged and
sold on the secondary market to investment banks. The investment
banks have the right to return purchased loans if they experience EPD
generally in the first 90 days after purchase (however the time period
can vary by agreement).
Correlated to the increase in EPD being seen throughout the industry,
an increase in associated repurchase requests is putting financial
pressure on many lenders, especially those with large non-prime
portfolios. This has been the cause of several prominent lenders
going out of business or selling their non-prime wholesale lending
units during late 2006 and early 2007. Other lenders have been
forced to dramatically increase their loss reserves, causing quarterly
losses and significant impacts on company valuations.
“Many lenders are facing increases in repurchase requests and early
payment defaults. In an effort to help lenders deal with these
challenges, BasePoint has rigorously studied the issue and found a
direct correlation between EPD and mortgage fraud,” said Tim Grace,
president and CEO of BasePoint. “We can demonstrate for lenders and
investment banks how they can substantially reduce their EPD losses,
often within a short period of time. The cost of mortgage fraud is
borne by every person or family who buys or sells a home. That’s why
BasePoint continues to focus on developing advanced software
solutions to put a stop to mortgage fraud before it happens.”
One of the study’s primary findings was the tremendous impact of

EPD on lender profitability. Lenders are experiencing as much as
$100 million per month in First Payment Defaults alone. The study
found that EPD rates vary considerably by lender, based on factors
such as loan program mix, and underwriting policy. What the lenders
share is a common concern regarding an EPD escalation trend.
7
Lender impact examples:
EPD Rate (percentage Measurement

of origination volume) Period
Lender A 2.5% First month
Lender B 4.0% First month
Lender C 8.0% First 8 months
As a result of the increases in EPD and associated loan repurchase

requests lenders are taking drastic action to curtail losses:
Making sweeping changes to underwriting policy

Eliminating underperforming loan programs
Selling portfolios
Modifying profitability projections
In addition, investment banks are no longer willing to purchase pools

of loans from loan programs that have demonstrated higher incidents
of EPD. This gives the lender few options other than to curtail those
programs entirely. This essentially forces lenders to reduce their
origination volumes (through major underwriting policy changes or
loan program eliminations).
While many of these changes may appear prudent given the current
environment, BasePoint believes that there are more targeted, data-
driven solutions to retain the good origination volume that will now be
lost, while substantially reducing both fraud and EPD risk. Now is the
time that lenders need to preserve as many new loans which would
perform as well as possible, while strategically eliminating fraud as
well as loans with a high risk of EPD. Eliminating good loan volume
through these dramatic and overarching policy changes can in fact
exacerbate their profit squeeze in the short-term. Increasing defaults
and shrinking origination volume results in higher loss ratios and less
revenue to offset losses which will continue to roll through from loans
originated in 2005 and 2006.
It is also important to note that as this study has revealed, EPD is not
solely a credit-quality issue. Many lenders, especially in the non-prime
market, have reacted to this increase in their EPD losses by making
sweeping policy changes, including somewhat arbitrary increases in
credit score cutoffs. For non-prime lenders, this can actually make
8
both the fraud and EPD problem worse, as adverse selection takes
place.
Here is an example of how this adverse selection can happen. In an

effort to fend off increasing delinquencies, a lender may choose to
increase their minimum credit score cut-offs. In doings so, many
performing loans will now been eliminated with the credit score cut-off
increase. While it may lower the overall number of EPD loans, the rate
may actually get worse. Now the loans they are booking are higher
credit score, non-prime loans. These higher credit score borrowers
should be able to qualify for a prime product. BasePoint has found this
to be a risky population in sub-prime portfolios. They may actually
carry more risk than the segment that has been eliminated. As a
result of the increased credit score requirement, the originator may
adversely select a more risky population.
Mortgage originators are not alone in their concern for this increase in
EPD. Investment banks that purchase pools of mortgage loans are
also impacted by this trend. Traditionally, investment banking firms
relied on credit and compliance tools to manage their delinquency risk.
However, this study found that while average credit scores have been
increasing in many loan pools, fraud rates, default rates and loan
repurchase rates are also on the rise.
Tools to Mitigate EPD Losses

In addition to investigating the relationship between fraud and EPD,
and understanding the impact of EPD on lenders and investment
banks, the BasePoint study was also designed to evaluate the
effectiveness of predictive analytics in identifying EPD risk during the
origination process for lenders, and the due diligence process for
investment banks.
The study concluded that predictive models can be deployed early in

the loan process to help lenders predict which loans are likely to
default early, enabling the loans to be rejected pre-funding. In fact,
predictive models such as BasePoint’s FraudMark™ for Origination
correctly identify 40% of a lender’s loans pre-funding that, if booked,
would result in EPD.
As a part of this study, a sample of loans was evaluated to determine

the effectiveness of the credit score and the FraudMark score to
identify EPD risk. The following chart demonstrates that at a 15%
review rate, FraudMark for Origination detects over 35% of EPD dollars
pre-funding, which is 260% better than the credit score in predicting
EPD risk.
9
Review Credit Score FraudMark™ FraudMark
Rate EPD $ for Origination Lift over
Detection EPD $ Credit Score
Rate Detection Rate Detection
5% 5% 14% 180%
10% 7% 27% 286%
15% 10% 36% 260%
This illustrates that a predictive model built specifically to target fraud

can also accurately identify EPD risk. This is not surprising now that
we understand the inherent relationships between EPD and fraud.
FraudMark uses sophisticated analytic scoring technology to identify

suspicious mortgage loan applications, enabling the lender to quickly
and effectively stop them before funding. These models accurately
predict the likelihood of a loan containing fraud that will result in
financial loss to the lender. FraudMark enables lenders to decrease
fraud losses by automatically identifying loans that have the highest
associated fraud risk. Over the past year FraudMark has helped
lenders prevent nearly $1 billion in suspicious loans from funding.
But as demonstrated, the overlap between EPD and fraud is not

complete. There are credit risk factors and other significant events
such as natural disaster, medical crisis, and loss of employment that
impact EPD and are unrelated to fraud. BasePoint is in the process of
designing a predictive analytic solution to more specifically target EPD,
and will include both the indicators of fraud that are also linked to EPD,
as well on the other credit risk factors and socio-economic factors that
predict EPD.
The concept of mining historical loan applications for data patterns

that provide clues to when an application is fraudulent or has a high
propensity for EPD is a technique called “pattern recognition”. This
technique to detect fraud in its earliest stages has been successfully
employed in various sectors of the financial services industry for many
years.
One of the most important aspects of building a successful predictive

model is selecting the model target. When a single model is used to
attack multiple business problems, thus multiple targets, often the
10
performance of the model deteriorates. That is why BasePoint
recommends a multiple-model approach to successfully attack the
unique but related business problems of fraud and Early Payment
Default.
Due to the impact of broker risk on EPD losses, broker monitoring is

another way to help lenders control their risk.
BasePoint had found that brokers who submit loans with homogenous
characteristics, such as common employers, and loans with more
combined risk factors, such as CLTV, riskier loan types, credit score,
and employment type, are more likely to have loans involved in early
pay defaults, discount sales and repurchase requests. Because of
this, BasePoint has developed patent-pending Dynamic TRAITS™
technology, which tracks the history of a broker to catch anomalies
and escalation of risk over time. The TRAITS technology produces a
score that indicates the level of risk on any given broker, and is
refreshed daily to augment the FraudMark score.
These predictive analytic and broker monitoring solutions can help

lenders and investment banks quickly and precisely reduce their EPD
losses and improve their profitability.
Lenders are Taking Action to Mitigate EPD Risk

EPD is a significant and growing financial issue for lenders. While
there are thousands of unique scenarios that can lead to EPD, the
patterns and trends can be detected with advanced analytic solutions.
In addition to established underwriting and due diligence practices,
advanced analytics and pattern recognition can be leveraged to help
lenders mitigate their EPD exposure. These tools have been
successfully used in other segments of the financial industry for
decades.
Lenders and investment banks alike are taking action to adopt

analytic solutions to help control EPD.
11
About BasePoint Analytics
BasePoint Analytics is a leading fraud analytics and consulting
company serving the mortgage and banking industries. Using science
to analyze historical transactions, BasePoint develops advanced fraud
and EPD scores to fit each organization's unique needs. Lenders
benefit from sophisticated predictive analytics that quickly identify
fraudulent and other risky activity, minimizing losses while
accelerating the processing of performing applications and
transactions. Leveraging a client’s existing technology, BasePoint
provides clients with immediate results and quick return on
investment.
Leading Scientists and Top Industry Consultants

BasePoint's team of renowned scientists is dedicated to building state-
of-the-art predictive models using the latest advanced techniques. Our
fraud and EPD specialists have innovated transactional, application and
account-based models that are detecting fraud and EPD in some of the
largest organizations across the globe. BasePoint is committed to
investing heavily in research and development to provide you with the
industry's most effective defense against fraud.
Having successfully managed fraud and risk operations for dozens of

the world's highest profile organizations, BasePoint's elite team of
consultants has deep domain expertise. Clients can have confidence
these professionals will successfully guide you to significant fraud and
risk reduction through the integration of analytic models, tools,
strategy alignment, and operational best-in-class processes.
A Global Focus
Fraud and EPD risk do not have geographic boundaries and neither
does BasePoint. Our experts have spent years understanding the
global nature of fraud and risk migration, and more than a decade
researching fraud, risk trends and management throughout the world.
Whether your organization is local, national, or spans many
continents, we have the expertise and solutions to help.
12
ANNEX H
I Analyzing GSE Mortgage Buyback Demands: Lender lmpact Varies Significantly
I GSE Buyback Demand Activity: 2006-2008

(Dollars in Miilions)
t
Repiiichasd Demandt::ir,' Ll---- jt i iii bispqsiiion,at oCmands
Rank Seller/Oriqinator Volume Pct Assets Repurchased Wthdrawn Disputed Pending
1 COUNTRYWDE s16,2'16.06 3.13% 47.71o/o 32.40% 5.47% 15.45%
WELLS FARGO $7,073.59 1.AsVo 49.76% 43.11o/o 6.14% 7.75%
t
2
3 CHASE HOME FINANCE $6,766.26 3.24% 52.060/0 4O.72d/o 2.860/0 8.25o/o
4 BANK OF AMERICA $5,373.05 3.44% 39.46% 42.18% 8.460/o 11.25%

( CITIMORTGAGE $3,966.04 2.430h 53.50% 29.72o/o 1.49% 16.?204
SUNTRUST MORTGAGE INC. 3.08% 57.39% 32.77o/o 1.81% 12.37%
I
6 $3,026.1 1
7 GMAC MORTGAGE/ALLY $1,537.81 1.49% 67.56"/o 35.62% 0.50% z.ovlo

TAYLOR, BEAN & W-IITAKER MORTGAGE $1,464.46 3.12Vo 24.12Vo 23.2Oo/o 0.63% 0.26%
q FLAGSTAR BANK, FSB $1,224.15 2.460/o 4D.92o/o 39.02o/o 1.360/o 19.'l9o/o
I
10 U.S. BANK N.A. s1,094.07 1.9AYo 49.04% 45.45% 5.290k 4.93%
11 AMSOUTH BANK $996.93 2.79o/" 51.47o/o 36.10% 2.37o/o 10.35%
12 WASHINGTON MUTUAL $979.84 0.96% 90.33% 36j70h 3.77o/o 12.93o/o
13 NATIONAL CITY BANK $744.1 E 1.85Vo 64.460/o 16.21% 1.11Vo 19.67%
I 14
'16
INDYMAC BANK, FSB
WACHOVIA MORTGAGE, FSB
LEHMAN BROTHERS
$736.87
$714.08
$71 1.96
1.30o/o
1.63%
2.600/o
82.91o/o
65.92%
3.7Oo/o
36.65%
13.14Vo
2O.85o/o
9.05%
1.360/0
3.72o/o
O.O7o/o
1.74o/o
2.34%
9.79%
67 .89o/o
I
17 MORGAN STANLEY $638.70 6.25% 70.310/o 4.6o0/o
'18 HSBC MORTGAGE CORPORATION (USA) $580.65 2.60% 69.43% 21.960/o O.74o/o 9.20ok
19 FIRST HORIZON HOME LOAN $521.36 1.90% 46.170/o 34.91% 2.43Vo 18.24%
20 ABN AMRO MORTGAGE GROUP, INC. $493.62 1.61% 50.10% 40.79% 2.88% 12.37%
ll
21 EMC MORTGAGE CORPORATION $491.62 7.O4Vo 53.53% 66.50% 4.81Vo 9.96%
22 FIFTH THIRD BANK $490.1 2 2.15o/o 56.89% 43.02% 0.80o/o 2.99o/o
23 GREENPOINT MORTGAGE FUNDING, INC. $403.94 9.90% 39.33% 38.670/o 1.18% 25.12%
24 OHIO SAVINGS BANK $326.03 1.57% 53.25o/o 38.21Vo 1.72Vr 7 .O7ok
I 25
26
27
28
DB STRUCTURED PRODUCTS, INC.
PHH MORTGAGE/CENDANT
FREEDOM MORTGAGE CORPORATION
BRANCH BANKING & TRUST
$283.0
$279.84
$278.35
$21 2.39
1 8.48%
0.79%
4.76Vo
1.O2%
45.74%
34.54o/o
55.89%
61.05%
56.'13%
50.84%
25.35%
33.39%
6.69%
1.46%
1.1'lo/o
2.960/o
4.270k
16.O10/o
18.05%
3.84%
Il 29
30
31
GOLDMAN SACHS MORTGAGE COMPANY
HOMEBANC MORTGAGE CORPORATION
PULTE MORTGAGE LLC
$1 97.98
$110.12
$95.95
3.04Vo
3.59o/o
1.28o/o
35.58%
45.17o/o
15.58o/o
61.68Yo
52.76Vo
55.620/0
5.64"/o
3.12o/o
6.810/o
7.8O%
2.354/o
2'1.98o/o
I REGIONS BANK $90.30 1.14% 72.08o/o 25.39% 2.40o/o 4.7 4o/o
33 DLJ MORTGAGE CAPITAL INC, $80.05 4.14% 40.35% 74.22% 9.25o/o 3.28%
34 BANKUNITED, FEDERAL SAVINGS BANK 977.94 6.15% 7.27o/o 92.03% 0.00% o.48%
35 MORTGAGE ACCESS/WEICHERT FINANCIAL $69.79 1.93o/o 23.72% 58.98% 3.51o/o 15.68%
ll 36
37
38
PROVIDENT FUNDING ASSOCIATES
USAA FEDERAL SAVINGS BANK
SOVEREIGN BANK
$69.08
966.81
$65.60
1.98%
O.47Vo
0.84Vo
31.600/o
53.97%
55.55%
67 .49%
36.340/o
28.33o/o
4.49o/o
1.91Vo
2.97o/o
2.78o/o
16.06%
.77%
I
39 E"TRADE BANK $53.36 5.88% 22.35% 68.29% 9.19% 2.500/o
40 IRWN MORTGAGE CORPORATION $44.31 1.31% 56.99% 29.73% o.770/o 12.51%

41 FIRST NATIONAL BANK OF NEVADA $42.76 20.1'lo/o 57.35ok 62.9'10/o 0.85% 0.00%
42 CENTEX/HAR\AIf,ODSTREETFUNDING $40.22 2.91o/o 41.31% 53.80% '16.310/o 2.260/0
I 43 1.55% 21 .83Vo 6.85%

CHEVY CHASE BANK FSB $36.91 61.27oh 1o.83o/o
44 PNC MORTGAGE $32.23 0.87% 63.61% 33.60% 1.17o/o 6.310/o
45 GOLDEN FIRST MORTGAGE CORPORATION $30.82 41.97o/o 0.00% 100.0070 0.00% 0.00%
o.72% 21.43% 63.47% 7.98o/o LO4Vo
I
46 M&T MORTGAGE CORPORATION $29.41
47 CTX MORTGAGE COMPANY LLC $27.54 2.12o/o 29.78% 33.05% 1s.15% 22.01%
48 NOMURA CREDIT & CAPITAL, INC. $26.1 0 17.O8% 55.33% 79.41% 0.00% 1.24%
49 UNIVERSAL MORTGAGE CORPORATION $25.75 2.75% 35.28% 'l9.37o/o 0.00% 54.35o/o
I
50 COLONIAL SAVINGS FA $23.36 1.05o/o 62.06% 27.17% 1.24o/o 10.05%
51 OPTEUM FINANCIAL SERVICES, LLC $22.55 3.11o/o 5O.28o/o 31.52o/o 1.660/o 16.53%
R&G MORTGAGE CORPORATION $21.1 6 1.48o/o 59.15% 36.140/o 3.87"/" 2.860/o
53 DO\\NEY SAVINGS AND LOAN ASSOCIATION $19.7s O.7Eo/o 67.880/o 17.47Vo 0.00% '14.650/o
I 54
55
56
AMERICAN HOME MORTGAGE CORPORATION
MORTGAGE LENDERS NETWORK USA, INC
METLIFE HOME LOANS
$18.04
$17.00
$1 6.94
1.43o/o
1.650/o
2.2Oo/o
1.45o/o
23.A6%
34.46%
41.35o/o
68.72d/o
52.85o/o
4.31o/o
15-72o/o
0.55%
2.78o/o
4.77o/o
12.14o/o
rl Copyright @ lnside Mortgage Finance Publications (301) 951-1240 Page 11

Analyzing GSE Mortgage Buyback Demands: Lender lmpact Varies Significantly
Reaurclase Demands Disposition of Demands

Rank Seller/Orioinator Volume Pct Assets Reourchased Wthdrawn DisDuted Pendino
646 THE FARMERS AND MECHANICS BANK $0.08 0.28o/o o.oo% 0.00% 100.00% 0.00%
648 MVB MORTGAGE CORPORATION $0.08 5.28o/o o.oo% 1 00.00% 0.00% 0.00%
649 HERITAGE FEDERAL CREDIT UNION $0.07 0.14o/o o.oo% 100.000/o 0.00% 0.00%
650 ALTRA FEDERAL CREDIT UNION $0.07 0.06% 1 00.00% 0.00% O.OOo/o 0.00%
653 COMMUNITY NATIONAL BANK $0.07 O.19Yo 0.00% 0.00% 100 00% O.OOo/o
652 MINSTER BANK $0.07 0.52o/o 0.00% 1 00.00% 0.000/o O.OOVI
651 PEOPLES COMMUNITY BANK $0.07 1.O8o/o 0.00% 0.00% 0.00% 0.00%
655 MAUCH CHUNKTRUST CO, $0.07 o.37% 1 00.00% o.oovo 0.000/o 0.00%
654 THE CITIZENS SAVINGS BANK $0.07 o.45% 0.00% 1 00.00% 0.00% o.oo%
656 FINANCIAL PLUS FEDERAL CREDIT UNION $0.07 0.86% 0.00% 0.00% 100.00% 0.00%
657 AMERICAN BANK & TRUST $0.07 o.1404 1 00.00% 0.00% 0.00% o.o0%
658 VANDYK MORTGAGE CORPORATION $0.07 11.26Vo 100.00% 0.00% 0.00% o.o0%
659 FARMERS CITIZENS BANK $0.07 o.92% 100.00% 425.OOV| 0.00% 0.00%
660 CHRISTIAN COMMUNITY CREDIT UNION $0.07 0.27% 1 00.00% 0.00% 0.00% 0.00%
661 MARKLEBANK $0.07 0.37% 0.00% '100.00% 0.00% 0.00%
662 DAKOTALAND FEDERAL CREDIT UNION $0.06 1.48Vo 100.00% 0.00% 0.00% O.0oo/o
663 DHCU COMMUNIry CREDIT UNION $0.06 0.20% 1 00.00% 0.00% O.0Oo/o 0.00%
664 CARLSBAD NATIONAL BANK $0.06 O.'l9o/o 1 00.00% 0.00% 0.00% 0.00%
665 DELTA COUNTY CREDIT UNION $0.06 0.31o/o 100.00% 0.00% 0.00% 0.00%
666 COMMUNITY TRUST BANK, INC $0.06 0.05% 100.00% 0.00% o.00vo 0.00%
668 GOLDEN MORTGAGE BANKERS $0.06 0.55% O.0oo/o 39.34Vo 0.00% 0.00%
667 THE NATIONAL BANK $0.06 1j8% 0.00% 1 00.00% o.00% 0.00%
669 HEART\ /ELL MORTGAGE CORPORATION $0.06 0.78% 0.00% 1 00.00% 0.00% 0.00%
670 FIRST FARMERS BANK & TRUST $0.06 0.08% 0.00% 1 00.00% 0.00% o.oo%
671 FIRST NATIONAL BANK OF GRANT PARK $0.06 0.00% 0.00% 1 00.00% 0.00%
672 TO\AA AND COUNTRY BANC IiIORTGAGE SERVICES s0 06 0_06% 100.00% O.OOVI 0.007o o.oo%
673 MID-IVIISSOURI MORTGAGECOMPANY $0.06 12.10% 0.007o 0.00% 0.00% O.00Vo
674 NEWREPUBLIC SAVINGS BANK $0.06 0.41% 100.00% 0.00% 0.00% 0.00%
675 WEST END BANK, S.B. $0.05 0.28Vo 0.00% 1 00.00% 0.00% 0.00%
676 INDIANA UNIVERSIry CREDIT UNION $0.05 0.41o/o 1 00.00% 0.00% 0.00% 0.00%
677 AMERICANTRUST FEDERAL SAVINGS BANK $0.05 0.39% O.0oo/o '100.00% 0.00% 0.00%
678 THE STATE BANK AND TRUST COMPANY $0.0s 0.11vo 0.00% 1 00.00% o.o0% O.0Oo/o
579 HERGETBANK, NATIONALASSOCIATION $0.05 O.260/o 1 00.00% 0.00% 0.00% 0.00%

680 CHEVIOT SAVINGS BANK $0.05 o.25Vo 0.00% 100.00% 0.00% O.jOYo
681 FIRST FEDERAL SAVINGS BANK OF IOWA $0.04 0.09% 1 00.00% 0.00% O.OOo/o 0.00%
682 CFCU COMMUNITY CREDIT UNION $0.04 0.17% 1 00.00% 0.00% 0.00% O.OOo/o
683 BAYBANK $0.03 0.24% 't 00.00% 0.00% 0.00% 0.00%

684 PULASKI BANK, A SAVINGS BANK $0.03 0.190h 1 00.00% 0.00% 0.00% 0.00o/o
685 IDAHO CENTRAL CREDIT UNION $0.03 0.18% 0.00% 1 00.00% 0.00% 0.00%
686 SOY CAPITAL BANK AND TRUST COMPANY 90.03 0.19% 0.00% 1 00.00% 0.00% 0.00%
687 MACKINAC SAVINGS BANK $0.02 7.75% 0.00% 1 00.00% 0.o0% 0.00%
688 NORTHERN MICHIGAN BANK & TRUST $0.02 0.03% 100.00% 0.00% 0.00% 0.00%
Grand Total $65.836.91 2.40% 45.54% 35.75% 4.15% 12.58%
Note: Data cover rcpurchase demands on moftgages secuitized by Fannie Mae and Freddie Mac frcm 2006 through 2008. Sellerhiginator data are for sellers of
Source: /nside Moftgage Finance analysis of Fannie Mae and Freddie Mac SEC dlsclosures
Copyright @ lnside Mortgage Finance Publications (301) 951-1240 Page22

ANNEX I
Mortgage Finance
Mortgage Repurchases Part II: Private Label RMBS Investors Take Aim -
Quantifying the Risks
August 17, 2010 Summary
Chris Gamaitoni During the course of mortgage loan sales, selling lenders make certain representations and
202-534-1387 warranties to buyers such as the GSEs and bond investors that hold the securitized loans. Breaches
cgamaitoni@compasspointllc.com of these representations and warranties cause the selling lender to have to repurchase the loan or
indemnify the buyer against future losses. As analyzed in our March 15, 2010 report “GSE
Jason Stewart Mortgage Repurchase Risk Poses Future Headwinds: Quantifying the Losses”, we estimated the
202-540-7306 potential unrecognized liability related to GSE repurchase requests. Due to increasing litigation
jstewart@compasspointllc.com activity by private label RMBS investors, we believe that liability may also lurk for
originators/underwriters of the initial securitizations and could approach 5% to 15% of
Mike Turner tangible book value. As such, based upon information contained in pending lawsuits, we have
202-534-1380
mturner@compasspointllc.com
analyzed securitization data in an attempt to frame the potential liability that could exist. See the
table below for a summary of estimated losses.
Key Points
 FHLB lawsuits. Since late 2009, several FHLBs have filed suit against multiple underwriters
of Alt-A and subprime MBS deals citing inaccurate claims in the initial prospectus such as the
percentage of high LTV loans, amount of investor properties, or number of underwriting
exceptions. Utilizing sales information from foreclosed properties within the deal, the suits
have compiled convincing data to show that the loan underwriting was materially worse than
stated in the initial prospectus. Combined, the lawsuits (FHLBs of Pittsburgh, Seattle, San
Francisco) are requesting rescission on about $25.6B in MBS purchases.
 Investor syndicate with substantial clout gearing to pursue loan buybacks. An investor
group representing $500B in MBS securities has sent letters to Trustees of mortgage backed
securitizations requesting that they enforce servicing breaches related to improperly originated
loans. According to a July 21 Reuters article, the group has topped the required 25%
ownership threshold needed to enforce Trustees to compel the servicers to hand over
documentation (i.e. loan files), or be removed from the deal.
 FHFA subpoenas. On July 12, the Federal Housing Finance Agency (FHFA), issued 64
subpoenas seeking documents for MBS securities that Freddie and Fannie had invested in.
Previously, the GSE’s had been requesting documentation (i.e. loan files) to determine
potential reps and warranty breaches; however, due to a lack of success, the FHFA was forced
to use their subpoena power to compel the documentation.
 Potential liability. With the majority of the subprime/Alt-A originators out of business, most
of the litigation is targeted at the underwriters of the initial securitizations. The suits generally
claim, among other items, that the underwriters of the securitizations misrepresented the
profile of loan standards within the initial prospectus.
Total Alt‐A & Subprime RMBS Repurchase Request Loss Estimates
Worst Case Base Case Best Case
Company Ticker Rating Loss ($M) Per Share* % of TBV Loss ($M) Per Share* % of TBV Loss ($M) Per Share* % of TBV
Bank of America BAC NR 44,977 $2.69 22% 35,204 $2.11 17% 16,728 $1.00 8%
JP Morgan JPM NR 32,922 $4.93 19% 23,941 $3.59 13% 9,006 $1.35 5%
Deutsche Bank DB NR 20,892 $18.65 31% 14,070 $12.56 21% 4,463 $3.98 7%
Goldman Sachs GS NR 15,103 $16.77 15% 11,194 $12.43 11% 4,197 $4.66 4%
RBS Greenwich RBS NR 15,282 $0.16 19% 9,417 $0.10 12% 1,919 $0.02 2%
Credit Suisse CS NR 12,151 $6.15 30% 8,898 $4.50 22% 3,743 $1.89 9%
UBS UBS.N NR 12,262 $1.94 22% 8,350 $1.32 15% 2,830 $0.45 5%
Morgan Stanley MS NR 8,312 $3.56 15% 7,855 $3.37 14% 4,498 $1.93 8%
Citigroup CS NR 9,964 $0.21 5% 7,819 $0.16 4% 3,729 $0.08 2%
Barclays BCS NR 3,789 $0.19 4% 3,583 $0.18 3% 2,068 $0.10 2%
HSBC HBC NR 3,555 $0.12 2% 3,515 $0.12 2% 2,071 $0.07 1%
Total 179,210 133,846 55,253
* after‐tax (assume 40%)
Source: Compass Point Research & Trading LLC, Bloomberg, Inside MBS & ABS, Asset Backed Alert
See Important Disclosures on the Last Page of this Report

Compass Point Research & Trading, LLC
Mortgage Repurchases Part II: Private Label RMBS Investors Take Aim—Quantifying the Risks 2
Litigation Background: a Brief History

Since September 2008, there have been a number of Date Action Amount
Sep‐08 a MBIA sues Countrywide and BAC $1.4B
lawsuits aimed at originators of subprime and Alt-A
Status: In April 2010, the Judge denied motion to dismiss (some
mortgages by either investors in private label (non- counts). All parties have appealed the Judge's ruling, and such
government guaranteed) RMBS securities, or the appeals are pending. Discovery has commenced.
companies that insured them. In 2008 and 2009, bond
Dec‐08 b Greenwich Financial sues Countrywide Decl. Jdg.
insurers MBIA, Syncora, and FGIC all filed separate Status: Awaiting ruling from NY State Supreme regarding
lawsuits against Countrywide (later amended to include Countrywide's motion to dismiss
Bank of America). Generally, these lawsuits claim that a
Jan‐09 c Syncora sues Countrywide and BAC $0.4B
significant portion of the loans underlying the Status: In April 2010, the Judge granted Defendant's motion to
securitizations that they guaranteed failed to comply with dismiss (some counts). Appeals are pending. Judge has ordered
the underwriting guidelines or other reps and warranties. Countrywide to produce all loan files regarding 3 securitizations.
Defendants' have filed counterclaims against Syncora for breach
In December 2008, Greenwich Financial, on behalf of a of contract. Syncora has agreed to stay proceedings against BAC.
bondholder group, filed suit against Countrywide charging Claims against Countrywide continue.
that they violated securitization agreements in modifying Sep‐09 d FHLB Pittsburgh lawsuits ‐ multiple defendants $2.6B
loans as part of their $8B settlement with Attorney Status: After being removed from state court to federal court,
Generals from multiple states. the cases were remanded back to Court of Common Pleas in Dec.
2009. Defendants in each lawsuit have filed motions to dismiss
Since late 2009/early 2010, lawsuits have been filed on the with the Court, and a hearing on the motions is scheduled for
August 25, 2010.
behalf of the Federal Home Loan Banks of Pittsburgh,
Seattle and San Francisco. Similar to some of the Dec‐09 e FGIC sues Countrywide (now BAC) $1B
mortgage insurer lawsuits, the lawsuits all claim that, Status: Judge granted Countrywide's motion to dismiss only as to
the claims of negligent misrepresentation and breach of implied
among other things, a significant portion of the loans
covenant of good faith and fair dealing. The Judge denied the
underlying the securitizations did not comply with the motion to dismiss as to the claims of fraud. Both parties have
standards that were cited within the securitization filed appeals, which are pending.
prospectus. However, unlike the lawsuits by the mortgage
Dec‐09 f FHLB Seattle lawsuits ‐ multiple defendants $4B
insurers which are directed at the originator, the FHLB Status: Cases moved to Federal court. On July 29, 2010, Plantiffs
suits are against the underwriters of the securitizations. argued motion to remand all cases to State court. Awaiting
Accordingly, the suits believe the underwriters should be decision.
held liable since they misrepresented the information Mar‐10 g FHLB San Francisco lawsuits ‐ mutiple defendants $19B
contained in the prospectus. They are seeking rescission Status: Cases filed in state court and removed to federal court by
on approximately $25.6 billion in RMBS purchases. defendants. FHLB has filed motion to remand to state court.
Motion hearing set for 9/17/10.
In July 2010, an investor syndicate purportedly Jul‐10 h FHFA issues 64 subpoenas for loan files N/A
representing $500B in MBS sent letters to numerous Status: unknown, private
trustees of mortgage backed securitizations requesting that Jul‐10 i Investor group announces intentions to file suit $500B
they enforce servicing breaches related to improperly Status: nothing publicly filed yet
originated loans. The group was formed in order to Aug‐10 j NY Federal Reserve engages in actions to enforce $70B
assemble enough representation to exceed the required repurchases on faulty mortgages acquired through Bear
25% or 50% thresholds needed to compel the trustee to Stearns and AIG
take action against the servicer. For reference, the trustee Status: unknown, private
technically manages the securitization trust, and has the Sources
duty to ensure the servicer complies with all requirements a. http://www.mbi a .com/i nves tor/l ega l _proceedi ngs .html
b. Greenwi ch Fi nanci al Servi ces , et a l . v. Countrywi de Fi na cni al Corp., et a l .; SCROLL
in the securitization documents. Statements from the
c. Syncora Gua rantee Inc. v. Countrywi de Home Loa ns , Inc., et a l .; SCROLL
syndicate’s attorneys have stated that they have 25%
d. FHLB of Pi tts burgh's Form 10‐Q for the Quarter Ended June 30, 2010; PACER
voting rights for over 2,300 deals, 50% in over 900 deals, e. Fi nanci al Gua ranty Ins ura nce Compa ny v. Countrywi de Home Loans , Inc.; SCROLL
and 66% in more than 450 deals. The group is represented f. FHLB of Sea ttl e 's Form 10‐Q for the Quarter Ended June 30, 2010; PACER
by Talcott Franklin, a Dallas-based firm that was founded g. FHLB of San Fra nci s co 's Form 10‐Q for the Qua rter Ended June 30, 2010; PACER
by an attorney who previously worked on a bondholder h. Jul y 12, 2010 Federal Hous i ng Fi nance Agency news rel eas e
lobbying effort that was related to the Greenwich Financial i . Jul y 21, 2010 Reuters a rti cl e "Mortgage bond hol ders get l ega l es ge: buybacks s een"
litigation. The firm appears to have been established j. Aug 4, 2010 Bl oomerg arti cl e "N.Y. Fed Ma y Requi re Banks to Buy Ba ck fa ul ty Mortga ges , As s ets "
specifically for taking on this effort.
Chris Gamaitoni | 202-540-7387 | cgamaitoni@compasspointllc.com

Jason Stewart | 202-540-7306 | jstewart@compasspointllc.com
Mike Turner | 202-534-1380 | mturner@compasspointllc.com
Also in July 2010, the FHFA, acting on behalf of Fannie and Freddie, issued 64 subpoenas seeking documents related to private-
label mortgage backed securities in which they invested. The FHFA intends to utilize the information to determine whether the
issuers (underwriters) and others may be liable for certain losses suffered. The ultimate goal is “to determine whether
misrepresentations, breaches of warranties, or other acts of omissions occurred that would require them to repurchase loans
underlying the securitizations.” (July 12, 2010 Federal Housing Finance Agency news release)
Most recently, the New York Federal Reserve stated in August that they are engaged in actions to enforce repurchases on faulty
mortgages acquired through Bear Stearns and AIG. (August 4, 2010 Bloomberg article)
Litigation Background: The Real Issue—Access to the Loan Files

All the lawsuits generally make similar claims—that a significant portion of the underlying loans failed to comply with the
underwriting guidelines or other reps and warranties and thus misrepresentations and material omissions were made in connection
with the sale of private label RMBS. As background, during the securitization of loans, the underwriter (or originator, in the case of
the mortgage insurer) makes certain representations and warranties that the underlying loans conform with the standards set forth in
the securitization prospectus. Some of the most common misrepresentations cited in the lawsuits that have been filed are:
 Stated loan-to-value ratios were lower than actual LTVs

 Failure to disclose additional liens on properties
 Property values were based on overstated valuations
 Overstating the number of mortgages on primary residences
 Originators of mortgage loans securing collateral pools departed from underwriting standards
In order to have conclusive proof that a significant portion of the underlying loans did not conform to the initial underwriting
guidelines, the best source of information is loan file documentation. This point is made clear via statements in the FHFA
subpoenas; “… the Conservator is seeking the contents of loan files, which include documents used in the underwriting process, such
as loan applications and property appraisals.” (July 12, 2010 FHFS news release) While the GSEs, via the FHFA, have the power to
subpoena the servicers of the securitization to turn over the documentation, other RMBS investors, such as the FHLB, do not have
direct access to the files and must litigate in an attempt to gain access to the loan files. Based on the information provided, there
appear to be two routes currently implemented by investors:
 File suit against the securitization underwriter. Utilizing statistical analyses of trust performance, the FHLB suits have
attempted to prove that the only way for the underlying loan performance to have performed as poorly as they did was if the
underwriting was materially different than stated. If a judge does not dismiss the case, the plaintiffs are likely to gain access to
the loan files via the discovery phase of the litigation (there has been no decision in the FHLB cases yet). To date, among the
various lawsuits listed above, only in Syncora v. Countrywide/BAC have the defendants been ordered to produce loan files.
or
 Garner the required 25% or 50% voting rights from securitization investors in order to compel the trustee to force the servicer
to provide the required documentation (or be removed as acting trustee). This is the route the $500B investor group is initially
taking. Thus, the group conceivably should have a greater chance of accessing loan files as the deciding factor may not hinge on
a judge’s decision.
As previously noted, the FHLB suits are requesting rescission of about $25.6B in RMBS purchases. However, we believe these
suits, the investor syndicate, the GSE’s and the Fed, ultimately are looking to have the underwriter, or the originator (if they are not
bankrupt), repurchase only the underlying loans that did not abide by the underwriting standards stated in the prospectus.
Litigation Background: Do the Lawsuits Stand a Chance?
At first glance, many of the lawsuits sound like a Hail Mary by investors that have lost money on soured RMBS purchases. Our
skepticism increases substantially when you consider that the claims of “faulty” mortgages are being made by entities such as the
GSEs, FHLBs or mortgage insurers that have deep access to mortgage data and are deemed experts. However, a closer look at the
FHLB lawsuits provide fairly convincing evidence that the loans were significantly worse than stated and the cases could have merit.
Recall, as stated above, one of the primary goals of the lawsuit is to gain access to the loan files, as they will likely provide more
convincing proof of their claims. Thus, the initial lawsuit only needs to provide enough evidence to convince the judge to deny
motions to dismiss and enter the discovery phase which will potentially provide the plaintiffs access to the loan files.

Accordingly, below are two examples that were cited in the San Francisco FHLB’s lawsuit of underwriting misrepresentations
allegedly made in connection with the sale of Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2007-1.
“Untrue or misleading statements about the LTVs of the mortgage loans.” Utilizing an Automated Valuation Model (AVM),
the FHLB estimated the actual average loan-to-values for underlying mortgages and compared them to statements made in the
prospectus. Their analysis of 2,578 loans (58% of the entire pool), found that 414 loans, or 16%, had LTVs in excess of 100%,
versus the statement in the prospectus that zero loans had LTVs in excess of 100%. Below is the results of their analysis taken from
the lawsuit:
Item 62. Details of the results of the AVM analysis:
Number of loans 4,345
Number of properties on which there was enough information for the
model to determine a true market value 2,578
Number of loans on which the stated value was 105% or more of the
true market value as reported by the model 1,741
Aggregate amount by which the stated value of those properties
exceeded their true market values as reported by the model $159,299,961
Number of loans on which the stated value was 95% or less of the
trust market value as reported by the model 289
Aggregate amount by which the true market values of those
properties exceed their stated values $18,366,289
Number of loans with LTVs over 100% as stated by Defendants ‐
Number of loans with LTVs over 100% , as determined by the model 414
Weighted‐average LTV, as staed by Defendants (group 3) 72.2%
Weighted‐average LTV, as determined by the model (group 3) 86.6%
Source: Schedule 1 to First Amended Complaint, FHLB San Francisco v. Credit Suisse Securities (USA) LLC, et al. (emphasis added)
“Untrue or misleading statements about owner-occupancy of the properties that secured the mortgage loans” Based on their
analysis, the FHLB estimated that among the 4,345 loans in this securitization, misstatements were made regarding 521 loans.
Below is the info included in the lawsuit:
Items 96. Details of properties that were stated to be owner‐occupied, but were not:
(a) Number of loans on which the owner of the property instructed tax authorities to
send the property tax billed to him or her at a different address: 243
(b) Number of loans on which the owner of the property could have, but did not,
designate the property as his or her homestead: 325
(c) Number of loans on which the owner of the property owned three or more
properties: 30
(d) Eliminating duplicates, number of loans about which one or more of statements (a)
through (c) is true: 521
Source: Schedule 1 to First Amended Complaint, FHLB San Francisco v. Credit Suisse Securities (USA) LLC, et al.
In summary, the lawsuit claims that the defendants made untrue or misleading statements on 50.6% of the loans securitized in
Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2007-1 (p. 3, First Amended Complaint, FHLB San Francisco
v. Credit Suisse Securities (USA) LLC, et al.) And, that is just one of the 116 securitizations that the San Francisco FHLB alleges
were misrepresented. Where do the FHLB lawsuits stand? None of them have entered discovery. The Pittsburgh cases were moved
from state court to federal court, then back to state court and are awaiting a ruling regarding the defendants’ motions to dismiss. The
Seattle and San Francisco suits have been moved to federal court, but the FHLB has pending motions to remand those proceedings to
state court. While the FHLB lawsuits are in limbo, the lawsuit filed by MBIA has had more progress that could have negative
implications for the defendants of the other suits. In April 2010, Judge Bransten partially denied Bank of America’s motion
to dismiss, and held that BAC is the successor-in-interest to Countrywide and thus vicariously liable for the conduct of

Countrywide if Countrywide is ultimately found liable (p. 15, April 29, 2010 Order of Judge Bransten, MBIA Insurance Corp. v.
Coutnrywide Home Loans, Inc., et al.). The case was ordered to move forward on the fraud and breach of implied covenant of
good faith and fair dealing causes of action. Since the Judge’s decision in April, both Bank of America and the FHLB have
appealed the ruling.
The same Judge is also sitting for the Syncora and FGIC lawsuits which are similar to the MBIA case. Importantly, in Syncora’s
case against Countrywide, in May of this year Judge Bransten ordered Countrywide to produce to Syncora the loan origination files
for all of the loans in three separate securitizations originated by Countrywide and insured by Syncora (May 7, 2010 Order of Judge
Bransten, Syncora Guarantee Inc. v. Countrywide Home Loans, Inc., et al.). This ruling may set a precedent for the MBIA and
FGIC lawsuits should Countrywide and BAC resist producing the loan origination files in those cases.
While these lawsuits could be extremely slow to progress, we believe the FHFA subpoenas, Fed requests, and the actions being taken
on behalf of the investor syndicate may proceed at a faster pace, given they are likely to gain access to the coveted loan files much
sooner. With access to loan files potentially a matter of when, not if, the next question we consider is whether access to loan files
will really be the smoking gun many expect. To gain some perspective on how pervasive the problem of defective mortgages was,
we refer investors to the April 7, 2010 testimony of Richard Bowen, III, before the Financial Crisis Inquiry Commission. Mr.
Bowen was the Business Chief Underwriter for Correspondent Lending in the Consumer Lending Group at Citigroup in charge of
over $90B in residential mortgage production. Below are excerpts of his testimony:
“In mid-2006, I discovered that over 60% of these mortgages purchased and sold were defective. Because Citi had given reps and
warrants to the investors that the mortgages were not defective, the investors could force Citi to repurchase many billions of dollars
of these defective assets. This situation represented a large potential risk to the shareholders of Citigroup. I started issuing warnings
in June of 2006 and attempted to get management to address these critical risk issues. These warnings continued through 2007 and
went to all levels of the Consumer Lending Group. We continued to purchase and sell to investors even larger volumes of mortgages
through 2007. And defective mortgages increased during 2007 to over 80% of production.”
Source: http://subprimeshakeout.blogspot.com/2010/06/sec-demands-more-disclosure-from-jp.html
We defer investors to legal experts to opine on the potential outcomes of the outstanding lawsuits; however, given the potential
evidence that the loan files could uncover, it would not be surprising to us to see settlements develop once data from the loan files
access has been attained.
Who is Exposed to Alt-A Underwriting Risk?

With the majority of the top Alt-A and subprime mortgage originators out of business, the litigation has largely been centered on the
underwriters of the securitizations. Should investor suits ultimately be successful in recovering damages from the underwriters, we
would expect the underwriters to turn to the originators of the loans (so long as they are not affiliated with the underwriter or
bankrupt) and attempt to recover those damages. Since this process is likely to take some time and we have quantifiable data points
with regard to underwriter exposure, we have focused this report only on framing the potential liability of Alt-A and subprime
RMBS underwriters.
We believe that there is a material risk related to the past underwriting of Alt-A loans in the banking sector due to representation and
warranties underwriters made to the buyers of Alt-A RMBS. Based on data compiled from Inside MBS & ABS, our analysis of the
FHLBs suits, and actual performance data of the ‘05 to ‘07 Alt-A RMBS vintages, we estimate that the total liability for rescission
requests on Alt-A RMBS to be $67.9 billion. Our worst and best case estimates for industry wide losses is $99.1 billion and $13.4
billion, respectively.
JP Morgan (JPM—NR) tops the list with $13.1 billion of estimated losses largely due to the company’s acquisition of Bear Stearns,
who topped the underwriting league tables with $132.9 billion of Alt-A RMBS underwritten during that time (according to Inside
MBS & ABS). Deutsche Bank sits at the number two spot with $10.3 billion of estimated losses and Bank of America comes in
third with $10.2 billion of estimated losses largely due to their acquisition of Countrywide, which underwrote $85.4 billion of Alt-A
RMBS, or 86% of Bank of America’s total exposure, during the time period (according to Inside MBS & ABS). See the following
table for complete details on company specific exposure.

Alt‐A RMBS Repurchase Request Loss Estimates
JP Morgan JPM NR 21,080 $3.16 12% 13,110 $1.96 7% 2,718 $0.41 2%
UBS UBS.N NR 8,989 $1.42 16% 5,472 $0.87 10% 1,148 $0.18 2%
Citigroup C NR 4,164 $0.09 2% 2,527 $0.05 1% 683 $0.01 0%
Total 99,090 67,920 13,371
Source: Compass Point Research & Trading LLC, Bloomberg, Inside MBS & ABS
Methodology for Quantifying Risk

Using data from Inside Mortgage Finance, we start with the league tables recording the top lead underwriters of Alt-A RMBS from
2005 through 2007. Since the majority of the rescission requests in the FHLBs suits were focused on loans underwritten in the years
2005 through 2007, we confined our initial data set to Alt-A RMBS underwritten and issued during those years. Ultimate losses will
be dependent on three main factors; rescission percentage, default rate, and severity of loss on repurchased loans. Since these factors
will vary based on vintage (or year underwritten), we use average statistics by vintage to estimate the liability. While these factors
may also vary by issuer, we have not been able to identify any meaningful public statistic that correlates to the FHLBs suits
rescission request percentage. Therefore, while we acknowledge there may be slight rescission rate differences between issuers, we
believe using a vintage average is a suitable data point for framing the analysis.
Worst Case Alt-A Loss Estimate
In the worst case scenario, we assume that the rescission requests identified in the FHLB suits are indicative of the total potential
pool of loans that could be rescinded industry-wide. While we cannot opine on whether or not the suit’s rescission percentage will
ultimately be proven accurate, we believe that the data set forth in each particular suit is substantial enough to establish a worst case
scenario. We then apply a success ratio, assuming that not all rescission requests will be honored or result in a loss. Finally, we
apply a loss severity estimate to produce a net loss for loans repurchased. The mathematical equation used to estimate worst case
losses is set forth below:
(weighted average rescission request by year) x (success ratio) x (severity of loss) = loss estimate
Alt‐A Worst Case Scenario Assumptions Worst Case Alt‐A Net Repurchase Loss Estimates
2007 2006 2005 '05 ‐ '07 % of orig. 2007 2006 2005
FHLB Rescission Rate 54.5% 49.1% 43.2% Bear Stearns 21,080 15.9% 6,686 8,965 5,429
Success Ratio 75.0% 60.0% 50.0% Lehman Brothers 20,264 16.6% 8,143 7,545 4,576
Severity of Loss 60.0% 55.0% 50.0% Deutsche Bank 16,763 16.9% 7,268 5,941 3,553
Source: Compass Point Research & Trading LLC, Bloomberg, Countrywide Securities 13,300 15.6% 3,798 5,852 3,650
Inside MBS & ABS Bank of America 3,085 22.1% 2,407 678 0
Total Bank of America 16,386 16.5% 6,205 6,530 3,650
RBS Greenwich Capital 15,282 15.5% 4,415 6,485 4,382
Goldman Sachs 9,625 16.9% 3,361 4,821 1,444
UBS 8,989 15.8% 3,052 3,467 2,469
Credit Suisse 6,801 21.1% 4,629 2,172 0
Citigroup 4,164 22.5% 3,442 722 0
Total 119,354 47,202 46,648 25,504

Base Case Alt-A Loss Estimate
In the base case scenario, we assume that rescission requests are limited to all seriously delinquent and defaulted loans that have
occurred up to and including July 2010. We then apply a success ratio, assuming that not all rescission requests will be honored or
result in a loss. Finally, we apply a loss severity estimate to produce a net loss for loans repurchased. The mathematical equation
used to estimate worst case losses is set forth below:
(total 60+ day delinquent loan balance & cumulative gross defaults through July 2010) x (success ratio) x (severity) = loss estimate
Alt‐A Base Case Estimate Assumptions Base Case Alt‐A Net Repurchase Loss Estimates
2007 2006 2005 '05 ‐ '07 % of orig. 2007 2006 2005
Balance 71.6% 52.1% 38.0% Bear Stearns 13,110 9.9% 3,765 7,303 2,042
Net Losses 3.8% 5.2% 1.0% Lehman Brothers 12,453 10.2% 4,586 6,146 1,721
Severity 60.0% 55.0% 45.0% Deutsche Bank 10,269 10.4% 4,093 4,840 1,336
Gross Losses 6.3% 9.4% 2.2% Countrywide Securities 8,279 9.7% 2,139 4,767 1,373
REO 2.0% 2.4% 1.2% Bank of America 1,908 13.6% 1,356 552 0
Foreclosure 9.8% 13.6% 6.7%
RBS Greenwich Capital 9,417 9.5% 2,486 5,283 1,648
Bankrupt 2.2% 3.0% 1.8% Goldman Sachs 6,363 11.2% 1,893 3,927 543
Delinquent Loans 17.3% 20.6% 11.2% UBS 5,472 9.6% 1,719 2,825 928
Gross SDQ 37.7% 48.9% 23.1% Credit Suisse 4,376 13.6% 2,607 1,769 0
Success Ratio 80.0% 80.0% 80.0% Citigroup 2,527 13.7% 1,938 588 0
Total 74,174 26,583 38,001 9,590
Source: Compass Point Research & Trading LLC, Bloomberg,
Inside MBS & ABS Source: Compass Point Research & Trading LLC, Bloomberg, Inside MBS & ABS
As a point of reference, First Horizon (FHN—NR) noted in the company’s latest 10-Q filing that they have witnessed average
rescission rates of between 40% and 50% of the repurchase and make-whole requests (similar to our “success ratio”) and observed
loss severities (measured as a percentage of the unpaid principal balance) ranging between 50% and 55% of the repurchased loans.
This would result in an approximate loss severity of between 20% and 28%. The majority of FHN’s loan repurchase requests made
to date have occurred on prime loans, which should bear a lower ultimate severity than Alt-A loans. We believe this benchmark
compares favorably to our base case scenario for Alt-A loan repurchase risk.
Best Case Alt-A Loss Estimate
In the best case scenario, we assume that rescission requests are limited to all seriously delinquent and defaulted loans that occurred
up to eighteen months after issuance. We then apply a success ratio, assuming that not all rescission requests will be honored or
(total 60+ day delinquent loan balance & cumulative gross defaults @ 18 months after issuance) x (success ratio) x (severity) = loss estimate
Alt‐A Best Case Estimate Assumptions Best Case Alt‐A Net Repurchase Loss Estimates
2007 2006 2005 '05 ‐ '07 % of orig. 2007 2006 2005
Balance 88.1% 79.4% 71.6% Bear Stearns 2,718 2.0% 1,120 1,319 279
Net Losses 0.3% 0.1% 0.0% Lehman Brothers 2,709 2.2% 1,364 1,110 235
Severity 60.0% 55.0% 50.0% Deutsche Bank 2,274 2.3% 1,217 874 183
Countrywide Securities 1,685 2.0% 636 861 188
Gross Losses 0.5% 0.2% 0.0%
Bank of America 503 3.6% 403 100 0
REO 1.5% 1.4% 0.3%
Total Bank of America 2,188 2.2% 1,039 961 188
Foreclosure 3.5% 2.7% 0.7% RBS Greenwich Capital 1,919 1.9% 739 954 225
Bankrupt 0.6% 0.5% 0.2% Goldman Sachs 1,346 2.4% 563 709 74
Delinquent Loans 6.8% 4.3% 1.4% UBS 1,148 2.0% 511 510 127
Gross SDQ 6.9% 4.0% 0.9% Credit Suisse 1,095 3.4% 775 319 0
Success Ratio 60.0% 60.0% 60.0% Citigroup 683 3.7% 576 106 0
Source: Compass Point Research & Trading LLC, Bloomberg, Total 16,080 7,905 6,863 1,312
Inside MBS & ABS

Who is Exposed to Subprime Underwriting Risk?

We believe that there is material risk related to the past underwriting of subprime loans in the banking sector due to the
representation and warranties underwriters made to the buyers of subprime RMBS. While we have yet to see a lawsuit, we believe
the consortium of investors represented by the law firm Talcott Franklin P.C. intends to pursue a strategy that ultimately results in
the rescission of loans that they believe breach the underwriters representation and warranties. Should investors be successful in
recovering damages from the underwriters, we would expect the underwriters to turn to the originators of the loans (so long as they
are not affiliated with the underwriter or bankrupt) and attempt to recover those damages. Since this process is likely to take some
time and we now have quantifiable data points with regard to underwriter exposure, we have focused this report only on framing the
potential liability for underwriters and not originators.
Subprime Issuance by Year ($Mil.)
Rank* Issuer Total '05‐'07 Mkt Share 2007 2006 2005 2004 2003 2002 2001 2000
1 Countrywide 85,993 15.8% 19,509 26,345 40,140 42,650 9,671 4,591 3,381 1,631
2 Lehman Brothers 49,597 9.1% 18,652 17,635 13,310 13,773 8,774 10,213 10,702 8,942
3 RBS Greenwich 47,721 8.8% 19,520 11,207 16,993 21,461 10,634 8,211 8,408 4,361
4 Merrill Lynch 45,667 8.4% 21,936 12,019 11,712 7,318 2,899 200 649 176
5 Morgan Stanley 37,572 6.9% 23,656 6,373 7,543 8,523 6,433 6,393 1,634 1,343
6 Bear Stearns 37,382 6.9% 13,360 11,169 12,854 13,095 10,783 9,336 6,748 10,097
7 Credit Suisse 31,436 5.8% 7,161 9,732 14,543 11,930 3,727 7,121 9,573 2,122
8 Goldman Sachs 31,274 5.8% 6,802 13,166 11,307 9,506 2,538 4,314 0 346
9 Citigroup 28,588 5.3% 14,026 5,888 8,674 4,368 12,077 0 0 0
10 Bank of America 24,487 4.5% 10,179 3,956 10,352 14,128 6,368 4,508 4,792 2,417
11 J.P. Morgan 22,833 4.2% 11,360 7,001 4,472 8,453 13,690 3,717 5,773 0
12 Deutsche Bank 20,066 3.7% 10,169 4,313 5,584 9,681 7,785 5,567 3,120 0
13 UBS 18,068 3.3% 5,366 5,830 6,873 5,050 3,580 3,038 0 237
14 Barclays 17,723 3.3% 9,578 4,738 3,406 1,717 0 0 0 0
15 HSBC 16,890 3.1% 6,708 9,678 504 0 0 0 0 0
16 WaMu Capital 11,284 2.1% 3,488 2,142 5,655 3,903 0 0 0 0
17 GMAC RFC 5,402 1.0% 987 2,335 2,080 497 242 0 0 0
18 Friedman Billings Ramsey 4,002 0.7% 0 324 3,678 660 0 0 0 0
19 Terwin Capital 3,375 0.6% 166 2,307 902 1,082 96 0 0 0
20 Wachovia 2,225 0.4% 1,062 648 515 0 0 1,651 451 0
21 Societe Generale 991 0.2% 177 814 0 0 0 0 0 0
22 RBC Capital 899 0.2% 386 513 0 0 0 246 0 0
23 BMO Capital 196 0.0% 106 90 0 0 0 0 0 0
24 SunTrust 185 0.0% 185 0 0 0 0 0 0 0
25 Banc One Capital 0 0.0% 0 0 0 0 892 100 0 0
Total 543,855 204,540 158,222 181,093 177,795 100,190 69,205 55,229 31,673
Source: Compass Point Research & Trading LLC, Bloomberg, Asset Backed Alert
Based on data compiled from Asset Backed Alert, our analysis of the FHLBs suits, and actual performance data of the ‘05 to ‘07
subprime RMBS vintages, we estimate that the total liability for rescission requests on subprime RMBS to be $80.3 billion. Our
worst and best case estimates for industry wide losses is $89.3 billion and $46.6 billion, respectively.
Bank of America (BAC—NR) tops the list with $25.0 billion of estimated losses largely due to their acquisition of Countrywide and
Merrill Lynch, who underwrote $86.0 billion and $45.7 billion of subprime RMBS, respectively, during the time period. JP Morgan
(JPM—NR) sits at the number two spot with estimated losses of $10.8 billion based on subprime underwriting exposure of $60.2
billion based in part on the company’s acquisition of Bear Stearns, who underwrote $37.4 billion of subprime RMBS during that
time. See the at the top of the following page for complete details on company specific loss exposure.

Subprime RMBS Repurchase Request Loss Estimates
JP Morgan JPM NR 11,842 $1.77 7% 10,831 $1.62 6% 6,288 $0.94 4%
Morgan Stanley MS NR 8,312 $3.56 15% 7,855 $3.37 14% 4,498 $1.93 8%
Citigroup CS NR 5,800 $0.12 3% 5,292 $0.11 3% 3,047 $0.06 2%
Barclays BCS NR 3,789 $0.19 4% 3,583 $0.18 3% 2,068 $0.10 2%
HSBC HBC NR 3,555 $0.12 2% 3,515 $0.12 2% 2,071 $0.07 1%
UBS UBS.N NR 3,273 $0.52 6% 2,878 $0.46 5% 1,681 $0.27 3%
Total 89,309 80,329 46,626
Methodology for Quantifying Risk

Using data from Asset Backed Alert, we start with the league tables recording the top lead underwriters of subprime RMBS from
2005 through 2007. Since the majority of the rescission requests in the FHLB suits were focused on loans underwritten in the years
2005 through 2007, we confined our initial data set to subprime RMBS underwritten and issued during those years. Ultimate losses
will be dependent on three main factors; rescission percentage, default rate, and severity of loss on repurchased loans. Since these
factors will vary based on vintage (or year underwritten), we use average statistics by vintage to estimate the liability. While these
factors may also vary by issuer, we have not been able to identify any meaningful public statistic that correlates to the FHLB suits
rescission request percentage. Therefore, while we acknowledge there may be slight rescission rate differences between issuers, we
believe using a vintage average is a suitable data point for framing the analysis.
Worst Case Subprime Loss Estimate
In the worst case scenario, we assume that the rescission requests identified in the FHLB suits are a good proxy for the total potential
pool of loans that could be rescinded industry-wide. While we cannot opine on whether or not the suit’s rescission percentage will
ultimately be proven accurate, we believe that the data set forth in each particular suit is substantial enough to establish a worst case
scenario. We then apply a success ratio, assuming that not all rescission requests will be honored or result in a loss. Finally, we
apply a loss severity estimate to produce a net loss for loans repurchased. The mathematical equation used to estimate worst case
losses is set forth below:
(weighted average rescission request by year) x (success ratio) x (severity of loss) = loss estimate
Subprime Worst Case Scenario Assumptions Worst Case Subprime Net Repurchase Loss Estimates
2007 2006 2005 '05 ‐ '07 % of orig. 2007 2006 2005
FHLB Rescission Rate 54.5% 49.1% 43.2% Countrywide 14,609 17.0% 5,188 4,657 4,763
Success Ratio 80.0% 80.0% 80.0% Merrill Lynch 9,348 20.5% 5,834 2,125 1,390
Severity of Loss 65.0% 55.0% 50.0% Bank of America 4,635 18.9% 2,707 699 1,228
Source: Compass Point Research & Trading LLC, Bloomberg, Bear Stearns 7,052 18.9% 3,553 1,974 1,525
Asset Backed Alert
J.P. Morgan 4,789 21.0% 3,021 1,238 531
Total J.P. Morgan 11,842 19.7% 6,574 3,212 2,056
RBS Greenwich 9,189 19.3% 5,191 1,981 2,017
Morgan Stanley 8,312 22.1% 6,291 1,127 895
Credit Suisse 5,350 17.0% 1,904 1,721 1,726
Goldman Sachs 5,478 17.5% 1,809 2,327 1,342
Citigroup 5,800 20.3% 3,730 1,041 1,029
Deutsche Bank 4,129 20.6% 2,704 763 663
UBS 3,273 18.1% 1,427 1,031 816
Barclays 3,789 21.4% 2,547 838 404
HSBC 3,555 21.0% 1,784 1,711 60
Total 89,309 47,689 23,232 18,388

Base Case Subprime Loss Estimate
In the base case scenario, we assume that rescission requests are limited to all seriously delinquent and defaulted loans that have
occurred up to and including July 2010. We then apply a success ratio, assuming that not all rescission requests will be honored or
(total 60+ day delinquent loan balance & cumulative gross defaults through July 2010) x (success ratio) x (severity) = loss estimate
Subprime Base Case Estimate Assumptions Base Case Subprime Net Repurchase Loss Estimates
2007 2006 2005 '05 ‐ '07 % of orig. 2007 2006 2005
Balance 60.2% 29.2% 16.5% Countrywide 12,321 14.3% 5,161 4,653 2,508
Net Losses 19.0% 16.3% 5.6% Merrill Lynch 8,657 19.0% 5,803 2,123 732
Bank of America 4,038 16.5% 2,693 699 647
Severity 65.0% 60.0% 55.0%
Gross Losses 29.3% 27.1% 10.1%
Bear Stearns 6,310 16.9% 3,534 1,973 803
REO 4.1% 4.4% 3.3%
J.P. Morgan 4,521 19.8% 3,005 1,236 279
Foreclosure 16.4% 15.9% 11.5%
Total J.P. Morgan 10,831 18.0% 6,539 3,209 1,082
Bankrupt 3.1% 3.6% 4.0%
RBS Greenwich 8,205 17.2% 5,164 1,979 1,062
Delinquent Loans 12.3% 9.3% 6.2%
Morgan Stanley 7,855 20.9% 6,258 1,126 471
Gross SDQ 65.2% 60.3% 35.0%
Credit Suisse 4,522 14.4% 1,894 1,719 908
Success Ratio 80.0% 80.0% 80.0%
Goldman Sachs 4,831 15.4% 1,799 2,325 706
Citigroup 5,292 18.5% 3,710 1,040 542
Asset Backed Alert
Deutsche Bank 3,801 18.9% 2,690 762 349
UBS 2,878 15.9% 1,419 1,030 429
Barclays 3,583 20.2% 2,534 837 213
HSBC 3,515 20.8% 1,775 1,709 31
Total 80,329 47,440 23,210 9,680
Best Case Subprime Loss Estimate Source: Compass Point Research & Trading LLC, Bloomberg, Asset Backed Alert
In the best case scenario, we assume that rescission requests are limited to all seriously delinquent and defaulted loans that occurred
up to eighteen months after issuance. We then apply a success ratio, assuming that not all rescission requests will be honored or
(total 60+ day delinquent loan balance & cumulative gross defaults @ 18 months after issuance) x (success ratio) x (severity) = loss estimate
Subprime Best Case Estimate Assumptions Best Case Subprime Net Repurchase Loss Estimates
2007 2006 2005 '05 ‐ '07 % of orig. 2007 2006 2005
Balance 82.1% 78.7% 55.5% Countrywide 7,215 8.4% 2,916 2,859 1,440
Net Losses 4.3% 2.0% 0.4% Merrill Lynch 5,004 11.0% 3,279 1,304 420
Severity 60.0% 40.0% 40.0% Bank of America 2,322 9.5% 1,522 429 371
Gross Losses 7.2% 5.1% 1.1% Total Bank of America 14,541 9.3% 7,717 4,592 2,231
REO 6.0% 5.4% 2.1% Bear Stearns 3,670 9.8% 1,997 1,212 461
Foreclosure 12.4% 9.0% 4.1%
J.P. Morgan 2,618 11.5% 1,698 760 160
Bankrupt 1.8% 1.7% 1.4%
Total J.P. Morgan 6,288 10.4% 3,695 1,972 621
Delinquent Loans 2.3% 1.9% 0.3%
RBS Greenwich 4,744 9.9% 2,918 1,216 609
Gross SDQ 6.9% 4.0% 0.9%
Morgan Stanley 4,498 12.0% 3,536 692 271
Success Ratio 60.0% 60.0% 60.0%
Credit Suisse 2,648 8.4% 1,070 1,056 522
Goldman Sachs 2,851 9.1% 1,017 1,429 405
Asset Backed Alert
Citigroup 3,047 10.7% 2,097 639 311
Deutsche Bank 2,188 10.9% 1,520 468 200
UBS 1,681 9.3% 802 633 246
Barclays 2,068 11.7% 1,432 514 122
HSBC 2,071 12.3% 1,003 1,050 18
Total 46,626 26,808 14,260 5,557

What Reserves have been Recorded?

Based upon our review of quarterly filings, JPM appears to be the only underwriter that has potentially reserved for repurchases as it
relates to private label litigation. In 1Q10, JPM recorded a $2.3B charge in litigation reserves for “mortgage-related” matters.
When asked a question on their earnings call regarding the charge, management responded “to think about that as we have
repurchase reserves that we’ve talked about related to the GSEs as an ongoing expense we’ve been reserving for. This (charge)
relates to the broader question of all other ideas for claims against us from private investors”. A review of the litigation section of
JPM’s 2009 10-K and their 1Q10 10-Q shows that the only change is the mention of the FHLB San Francisco lawsuit (the Seattle
and Pittsburgh lawsuits were mentioned in the 10-K). Interestingly, the charge was also recorded in the quarter immediately
following a request from the SEC for more information regarding their repurchase reserves. Two weeks following the release of
their 4Q09 earnings, JPM received a letter on January 29, 2010 from the SEC requesting disclosures on how the company establishes
repurchase reserves for various reps and warranties, including GSE’s, monoline insurers and any private loan repurchase requests
(http://www.sec.gov—JPM March 2, 2010 Correspondence).
Our review of quarterly filings found that BAC had a $3.9B reserve for all mortgage repurchase requests (on $11.1B in requests
made), JPM had a $2.3B reserve for mortgage repurchases (which is separate from their $2.3B litigation reserve charge in 1Q10),
and Citigroup had a $727MM reserve for mortgage repurchases. Importantly, BAC’s 2Q10 quarterly filing noted that they have only
received $33MM in private label MBS repurchase requests thus far. Below is a table of the applicable reserves.
Unpaid principal bal. ‐ in millions BAC JPM C
Unresolved mortgage repurchase requests 11,100 2,880 4,478
GSEs 5,600 1,400 4,166
Monolines 4,000 1,700 98
Other investors 1,400 na 214
Private label MBS investors 33 na na
Reserve for repurchases 3,900 2,332 727

Litigation reserve (estimate) na 2,300 na
Subtotal 3,900 4,632 727

Source: Company filings, Compass Point Research

Compass Point Research & Trading, LLC 12
Important Disclosures
Analyst Certification
I, Chris Gamaitoni, hereby certify that the views expressed in this research report accurately reflect our personal views about the
subject securities or issues. We further certify that we have not received direct or indirect compensation in exchange for expressing
specific recommendations or views in this report.
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As of the end of the month immediately preceding the date of publication of this research report (or of the second most recent month
if the publication date is less than 10 calendar days after the end of the most recent month), neither Compass Point Research &
Trading, LLC, nor any of its affiliates own any of the subject company(ies)'s equity securities.
The research analyst named in the certification above holds a financial interest in the common stock of Citigroup (NYSE: C), which
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Compass Point Research & Trading, LLC 13
Important Disclosures, cont’d

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Frank Sillman Expert Report 9019 Filing in ResCap Bankruptcy 2013-10-18

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Frank Sillman Expert Report 9019 Filing in ResCap Bankruptcy 2013-10-18

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UNITED STATES BANKRUPTCY COURT

SOUTHERN DISTRICT OF NEW YORK

EXPERT REPORT OF FRANK SILLMAN

and the re-underwriting of loans underlying mortgage-backed securities.

1. I have formed the following opinions concerning the proposed RMBS

 Aggregate Lifetime Losses. The aggregate lifetime losses that

 Underwriting Defect Rates. My analysis of loans underwritten

 Likely Damages After Legal Defenses and Litigation Costs.

2. I have formed the following opinions concerning the proposed Ambac

 Aggregate Lifetime Losses. The aggregate lifetime shortfalls

 Likely Damages. Ambac seeks rescissory damages or the

3. I have formed the following opinions concerning the proposed Assured

 Aggregate Lifetime Losses. The aggregate lifetime shortfalls

 Likely Damages. Assured seeks rescissory damages or the

4. I have formed the following opinions concerning the proposed FGIC

 Aggregate Lifetime Losses. The aggregate lifetime shortfalls

 Likely Damages. FGIC seeks rescissory damages or the

5. I have formed the following opinions concerning the proposed MBIA

 Aggregate Lifetime Losses. The aggregate lifetime shortfalls

BACKGROUND AND QUALIFICATIONS

6. I serve as Managing Partner for Fortace, LLC, an advisory and consulting

curriculum vitae is attached as Annex A.

7. A key area of my work with Fortace relates to reviewing and opining on

criteria, reviewed contractual obligations, performed loan-level audits, made recommendations

level audits, made recommendations to sellers as to whether representations or warranties were

breached, and participated in negotiations on whether to repurchase loans.

8. I have approximately 25 years of experience in the mortgage banking

In particular, I have extensive experience in the residential mortgage market, including

second lien residential mortgage loans.

DOCUMENTS, PUBLICATIONS, PRIOR TESTIMONY, EXHIBITS, AND

9. Attached as Annex B is a list of the documents I considered in forming my

Annexes C through I are the exhibits which summarize or support my opinions.

10. Fortace’s compensation is set forth in the Debtors’ Application for an

addressed in separate sections of this report.

A. Overview of the Debtors’ Mortgage Securitization Process.

proper documentation of the loans.

absorb losses and provide support to the senior bonds).

bond wraps on 142 of the 581 Debtor-sponsored trusts.

B. The Debtors’ Alleged Breaches of Representations and Warranties.

the defective loan(s).

16. Generally, the standard for analyzing a breach of representations and

RMBS trust for liquidated losses.

the monoline arising out of a breach of a representation and warranty.

II. OPINIONS REGARDING THE RMBS SETTLEMENT.

581 trusts) that are the subject of this Report. 3

claims that are also included in my analysis.4

analysis of the RMBS Settlement.

sound means of estimating lifetime losses.

Model Process Overview

Remittance Preliminary Assumptions Assumptions Illumination & Outputs

and Intex.7 We utilized Remit Data from September 2013.

24. Step 2a – I employed Illumination (formerly WestPat LLC) to run their

and cash flows and to value RMBS mortgage bonds.

bonds (“Intex Model”).

26. Step 3 – Illumination and Intex Model assumption requirements and

(a) Illumination Model assumptions:

(i) The Illumination Model independently develops its

(a) Actual Trust Losses to date.

(b) Actual Severity Rates to date.

(c) Actual Constant Default Rates to date (“CDR”) aka

(d) Actual Voluntary Constant Prepayment Rates

(e) Actual Loan Level Payment Histories to date

(ii) Additionally, I provided a few macroeconomic assumptions

(a) Forward Yield Curve from September 30, 2013.