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Long Beach Securities Corp – ‘FWP’ on 11/17/06 re: Long Beach Securities Corp

On:  Friday, 11/17/06, at 3:21pm ET   ·   Accession #:  1277277-6-820   ·   File #:  333-131252

Previous ‘FWP’:  ‘FWP’ on 11/6/06   ·   Next:  ‘FWP’ on 12/12/06   ·   Latest:  ‘FWP’ on 12/12/06

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

11/17/06  Long Beach Securities Corp        FWP                    2:9.5M Long Beach Securities Corp        Kelly Cecelia Anne/FA

Free Writing Prospectus   —   Rule 163/433
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Slide 1

Subprime Mortgage Program

November 2006


Slide 2

Free Writing Prospectus

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you so request.

Foward Looking Statement

This presentation contains forward-looking statements, which are not historical facts and pertain to future operating results. These forward-looking statements are within the meaning of the Private Securities Litigation Reform Act of 1995. These forward-looking statements include, but are not limited to, statements about our plans, objectives, expectations and intentions and other statements contained in this document that are not historical facts. When used in this presentation, the words "expects,""anticipates,""intends,""plans,""believes,""seeks,""estimates,"or words of similar meaning, or future or conditional verbs, such as "will,""would,""should,""could,"or "may"are generally intended to identify forward-looking statements. These forward-looking statements are inherently subject to significant business, economic and competitive uncertainties and contingencies, many of which are beyond our control. In addition, these forward-looking statements are subject to assumptions with respect to future business strategies and decisions that are subject to change. Actual results may differ materially from the results discussed in these forward-looking statements for the reasons, among others, discussed under the heading "Factors That May Affect Future Results"in Washington Mutual's 2005 Annual Report on Form 10-K/A and "Cautionary Statements"in our Form 10-Q/A for the quarter ended March 31, 2006 and Forms 10-Q for the quarters ended June 30, 2006 and September 30, 2006 which include:
general business and economic conditions, including movements in interest rates, the slope of the yield curve, and the overextension of housing prices in certain geographic markets;
rising interest rates, unemployment and decreases in housing prices impact credit performance;
risks related to the option adjustable-rate mortgage product;
risks related to subprime lending;
risks related to credit card operations;
changes in the regulation of financial services companies, housing government-sponsored enterprises and credit card lenders;
competition from banking and nonbanking companies; and
negative public opinion impacts the company's reputation.
There are other factors not described in our 2005 Form 10-K/A and 2006 Forms 10-Q and which are beyond the Company's ability to anticipate or control that could cause results to differ.
 


 

Slide 3

Index

Page

Page

-

Cover

21 

-

Documentation trends

-

Forward looking statement

22 

-

Loan purpose trends

-

Index

23 

-

Occupancy trends

-

Subprime Mortgage Overview

24 

-

Appraisal review

-

Subprime business expansion

25 

-

Appraisal reviews by appraiser

-

Mortgage business realignment

26 

-

Consumer compliance

-

Organization Chart

27 

-

Subprime Mortgage Conduit Overview

-

Management experience

28 

-

Conduit strategy

-

Long Beach Mortgage Overview

29 

-

Risk management- sellers

10 

-

Historical timeline

30 

-

Risk management - mortgages

11 

-

Map of loan fulfillment centers

31 

-

Collateral profile

12 

-

Production trend

32 

-

Subprime Servicing Overview

13 

-

Changes in credit standards

33 

-

Default management organization chart

14 

-

2004 shift in credit quality

34 

-

Servicing management experience

15 

-

Serious delinquent trends

35 

-

Servicer ratings

16 

-

Piggyback perfromance trends

36 

-

Recent improvements

17 

-

FICO distribution trends

37 

-

Impact of improvements

18 

-

FICO distribution trends

38  

-

Washington Mutual Overview

19 

-

Piggyback trends

44 

-

Contacts

20 

-

Piggyback stated income trends


 

Slide 4

Subprime Mortgage Program Overview


Slide 5

WaMu is focusing on higher margin products
WaMu is committed to residential mortgage lending across the entire credit spectrum
      Improve profitability by expanding into higher-margin products offering a favorable risk/return profile
–        
Long Beach Mortgage (broker-sourced subprime mortgage lender)
–         Subprime mortgage conduit (flow and bulk purchases)
–         Alt-A mortgage conduit expansion
–         Mortgage Banker Finance expansion (mortgage warehouse lending)
      Leverage existing expertise and infrastructure to improve efficiency
–        
Subprime mortgage acquisition platform:Since 1999, WaMu has purchased $44 billion ($14 billion outstanding as of Aug. 2006) in subprime mortgages from third-parties
–         Infrastructure:Credit, compliance, capital markets, legal infrastructure already in place to serve needs of Long Beach Mortgage
–         Above average servicing platform:$45 billion in subprime mortgages serviced at September 30, 2006 on a platform that is highly rated by rating agencies


Slide 6

All residential lending channels integrated into the Home Loans division in 2006
Long Beach Mortgage previously under the Commercial division 
Capital markets realignment due to integration of residential lending channels
All subprime mortgage capital markets activities, including Long Beach Mortgage, under the direction of one manager
Evaluation of best execution the same no matter which channel sources the loan
Subprime execution distinct from other product types
Subprime servicing default management fully integrated into WaMu servicing management structure
Upon integrating Long Beach Mortgage into Home Loans, default management for the Long Beach Mortgage portfolio also moved into Home Loans;
Home Loans Default Management has its own default group;
Both the Head of Servicing and the National Default Manager’s careers based in subprime servicing


 

Slide 7

WaMu Subprime  Organization  Kerry Killinger Chairman and CEO Steve Rotella President & COO David Schneider President, Home Loans Ron Cathcart EVP, Enterprise Risk Officer Arlene Hyde Division ExecutivePrime and Nonprime Wholesale Lending David Beck Division Executive Capital Markets John Berens Division Executive Servicing Cheryl Feltgen Division Executive Chief Risk Officer Production Operations Doug Potolsky SVP, Subprime Mortgage Capital Markets Steve Champney SVP, National Default Manager Alex Park SVP, Senior Credit Ofiicer - Subprime Appraisal Review Compliance Long Beach Mortgage Subprime Conduit Specialty Mortgage Finance Prime Subprime


 

Slide 8

Seasoned Management Team

Executive

Division

Title

Joined WaMu

Total Relevant Experience

Previous Employer

Doug Potolsky

Subprime Capital Markets

SVP Capital Markets

    2006

25 years

JP Morgan Chase

Susan Sinn

Long Beach Mortgage

Wholesale Nonprime Operations Manager

    2006

25 years

JP Morgan Chase

Dennis Lau

Specialty Mortgage Finance

FVP

    1987

19 years

Washington Mutual

Jay Weisbrod

Long Beach Mortgage

Wholesale Production Manager

    1994*

16 years

Beneficial

Dave Coultas

Long Beach Mortgage

FVP Capital Markets

    2004

13 years

Washington Mutual

Alex Park

Credit Policy

Senior Credit Officer

    2006

14 years

Fremont

John Berens

Servicing

SVP, Servicing

    2005

24 years

JP Morgan Chase

Steve Champney

Servicing

SVP, Default Manager

    2005

20 years

JP Morgan Chase

* joined Long Beach Bank, F.S.B.


 

Slide 9

Long Beach Mortgage
a division of Washington Mutual Bank


 

Slide 10

The Subprime Mortgage Industry’s Most Experienced Broker-Sourced Lender

The Subprime Mortgage Industry’s Most Experienced Broker-Sourced Lender

1988 Long Beach, fsb establishes Broker-Sourced operation 

1994 Broker-sourced operations expands outside California 

1996 Origination volume exceeds $1 billion in 43 states 

1997 Broker-sourced division sold to newly formed public company* 

1999 Long Beach Mortgage Company acquired by WaMu

2004 New Strategy Implemented 

2006 Long Beach Mortgage became division of WMB

* New companies commence business as Long Beach Financial Corp and Long Beach Mortgage Company, respectively 


 

Slide 11

Loan Fulfillment Centers are Strategically Located in Key Markets

Q2 2006 Top 10 states by dollar volume with average FICO (1st liens only)

Mississippi – N/A

CA 39.0%
FL 10.4%
TX 5.5%
IL 4.4%
NJ 4.2%
WA 4.1%
MD 4.0%
NY 3.1%
VA 2.5%
AZ 2.2%
Other 20.7%
100.0%
 


Slide 12

Long Beach Mortgage* Annual Origination Volume

1998

2.6

1999

3.2

2000

3.9

2001

5.5

2002

8.5

2003

11.497

2004

16.175

2005

29.781

2006 H1

11.092

* Subprime mortgage broker channel


Slide 13

Improving credit standards since 2004

Jan 2004          →        Disallowed < 500 FICO primary borrowers
                        →        Ceased lending on manufactured housing
Jun 2005          →        Eliminated "D"credit eligibility
Dec 2005         →        Raised minimum FICO from 575 to 600 on piggyback loans
Mar 2006         →        Lowered maximum LTV for Full Doc "C"borrowers
                        →        Established minimum FICO score for Non-owner Occupied loans
                        →        Disallowed private party 2nd liens for Non-owner Occupied loans
                        →        Implemented DISSCO screening for all loan submissions to minimize fraud related to
                                    incorrect applicant information and property overvaluation
Apr 2006         →        Increased minimum Net Disposable Income requirements
                        →        Reintroduced bankruptcy seasoning requirements
                        →        Eliminated stated income wage earner loans for First Time Homebuyers
May 2006        →        Raised piggyback stated income FICO score minimum to 620  
                        →        Established additional guidelines for First Time Homebuyers
            Owner-occupied only
            Property type 1-2 units only
            Maximum combined loan amount $750k
            Non-financial institutions 2nd lien loans disallowed for LTV/CLTV ≥ 95%
            Debt-to-income ratio maximum 50%
            2 months reserves (PITI) required on stated income loans with LTV/CLTV > 80%
            Bankruptcy seasoning ≥ 36 months
            Payment shock maximum 200% on PITI
Oct 2006        Raised minimum credit history standard for high CLTV loans    


Slide 14

A Major Shift in Characteristics in 2004

FICO < 500 (left axis)

AVG FICO (right axis)

Manufactured Housing

ABS 2000-LB1

13.2%

568.59

0.0571

LBMLT 2001-1

16.9%

561.92

0.069

LBMLT 2001-2

14.2%

570.52

0.0605

LBMLT 2001-3

12.2%

576.11

0.0571

LBMLT 2001-4

16.0%

567.39

0.054

LBMLT 2002-1

13.4%

588.02

0.0396

LBMLT 2002-2

16.3%

580.19

0.0414

LBMLT 2002-3

14.2%

589.31

0.0402

LBMLT 2002-4

9.3%

602.52

0.0369

LBMLT 2002-5

9.2%

611.61

0.0285

LBMLT 2003-1

7.2%

628.02

0.0248

LBMLT 2003-2

11.0%

603.17

0.03

FNMA 2003-W5

0.2%

661.19

0.0309

LBMLT 2003-3

10.5%

604.82

0.0305

FNMA 2003-W9

0.2%

666.63

0.0303

LBMLT 2003-4

3.8%

635.12

0.0339

LBMLT 2004-1

2.2%

643.17

0

LBMLT 2004-2

0.7%

635.8

0

LBMLT 2004-3

0.5%

637.47

0

LBMLT 2004-4

0.2%

640.99

0

LBMLT 2004-5

0.1%

642.19

0

LBMLT 2004-6

0.1%

636.4

0

LBMLT 2005-1

0.1%

632.8

0

LBMLT 2005-2

0.1%

635.68

0

LBMLT 2005-WL1

0.1%

632.81

0

LBMLT 2005-WL2

0.2%

630.36

0

LBMLT 2005-3

0.0%

654.85

0

LBMLT 2005-WL3

0.0%

641.00

0

LBMLT 2006-WL1

0.0%

639.31

0

LBMLT 2006-1

0.0%

632.83

0

LBMLT 2006-WL2

0.08%

637.00

0

LBMLT 2006-WL3

0.13%

636.00

0

LBMLT 2006-2

0.18%

632.00

0

LBMLT 2006-3

0.24%

634.00

0

LBMLT 2006-4

0.19%

635.00

0

LBMLT 2006-5

0.16%

631.00

0

LBMLT 2006-6

0.00%

639.00

0

LBMLT 2006-7

0.00%

638.00

0

LBMLT 2006-8

0.00%

639.00

0

FICO < 500 (left axis)

AVG FICO (right axis)

Manufactured Housing

ABS 2000-LB1

13.2%

568.59

0.0571

LBMLT 2001-1

16.9%

561.92

0.069

LBMLT 2001-2

14.2%

570.52

0.0605

LBMLT 2001-3

12.2%

576.11

0.0571

LBMLT 2001-4

16.0%

567.39

0.054

LBMLT 2002-1

13.4%

588.02

0.0396

LBMLT 2002-2

16.3%

580.19

0.0414

LBMLT 2002-3

14.2%

589.31

0.0402

LBMLT 2002-4

9.3%

602.52

0.0369

LBMLT 2002-5

9.2%

611.61

0.0285

LBMLT 2003-1

7.2%

628.02

0.0248

LBMLT 2003-2

11.0%

603.17

0.03

FNMA 2003-W5

0.2%

661.19

0.0309

LBMLT 2003-3

10.5%

604.82

0.0305

FNMA 2003-W9

0.2%

666.63

0.0303

LBMLT 2003-4

3.8%

635.12

0.0339

LBMLT 2004-1

2.2%

643.17

0

LBMLT 2004-2

0.7%

635.8

0

LBMLT 2004-3

0.5%

637.47

0

LBMLT 2004-4

0.2%

640.99

0

LBMLT 2004-5

0.1%

642.19

0

LBMLT 2004-6

0.1%

636.4

0

LBMLT 2005-1

0.1%

632.8

0

LBMLT 2005-2

0.1%

635.68

0

LBMLT 2005-WL1

0.1%

632.81

0

LBMLT 2005-WL2

0.2%

630.36

0

LBMLT 2005-3

0.0%

654.85

0

LBMLT 2005-WL3

0.0%

641.00

0

LBMLT 2006-WL1

0.0%

639.31

0

LBMLT 2006-1

0.0%

632.83

0

LBMLT 2006-WL2

0.08%

637.00

0

LBMLT 2006-WL3

0.13%

636.00

0

LBMLT 2006-2

0.18%

632.00

0

LBMLT 2006-3

0.24%

634.00

0

LBMLT 2006-4

0.19%

635.00

0

LBMLT 2006-5

0.16%

631.00

0

LBMLT 2006-6

0.00%

639.00

0

LBMLT 2006-7

0.00%

638.00

0

LBMLT 2006-8

0.00%

639.00

0


 

Slide 15

Proactive response to negative industry trends
Subprime performance has deteriorated in 2006 more for Long Beach than the industry
Management actions have been effective in reducing these and other high-risk loan types

 90+ Delinquencies (MBA) at 6 months seasoning
Securitized 1st Lien ARMs
Originated January - June

2003

2004

2005

2006

Industry

1.23%

1.23%

1.76%

3.19%

Long Beach

1.88%

0.80%

1.74%

4.64%

90+ Delinquencies (MBA) at 6 months seasoning
Securitized 1st Lien ARMs
Originated January - June
Purchase Money, LTV 75.1% - 80%

2004

2005

2006

1.18%

1.78%

4.81%

0.92%

1.95%

5.09%

Securitized 1st Lien ARMs
Originated January to June
Purchase Money Loans, LTV 75.1% - 80%

2003

2004

2005

2006

Industry

14.4%

18.9%

27.5%

28.4%

Long Beach

30.5%

43.6%

46.3%

48.6%

1st liens with Simultaneous 2nd liens

PB %

2006-1

53.6%

2006-2

52.5%

2006-3

53.1%

2006-4

61.1%

2006-5

43.7%

2006-6

48.3%

2006-7

46.2%

2006-8

44.7%

2006-9

41.8%

2006-10

36.70%


Slide 16
Historical performance of Piggyback 1st Liens compared to Stand-alone 1sts with 80% LTV
lifetime Cumulative Default
80% Loan-to-value Ratio

LBMLT 2005-WL1

0.46%

0.07%

28.55%

46.83%

18.28%

0.13%

0.03%

LBMLT 2005-WL2

0.16%

0.10%

27.89%

52.25%

24.36%

0.04%

0.05%

Lifetime Severity
80% Loan-to-value Ratio

total

Default PB

Default Non-PB

Severity PB

Severity Non-PB

Diff

Loss PB

Loss Non-PB

LBMLT 2003-1

2.30%

2.71%

18.73%

48.40%

29.67%

0.43%

1.31%

LBMLT 2003-2

5.70%

4.67%

22.02%

48.16%

26.14%

1.26%

2.25%

LBMLT 2003-3

5.18%

3.96%

27.62%

50.67%

23.05%

1.43%

2.01%

LBMLT 2003-4

1.81%

2.16%

26.04%

45.53%

19.49%

0.47%

0.98%

LBMLT 2004-1

1.71%

1.44%

21.18%

41.80%

20.62%

0.36%

0.60%

LBMLT 2004-2

1.68%

1.71%

25.49%

40.64%

15.15%

0.43%

0.69%

LBMLT 2004-3

1.12%

1.14%

33.13%

46.83%

13.71%

0.37%

0.53%

LBMLT 2004-4

1.37%

1.43%

21.84%

33.44%

11.61%

0.30%

0.48%

LBMLT 2004-5

1.14%

0.32%

18.99%

43.33%

24.34%

0.22%

0.14%

LBMLT 2004-6

0.88%

0.71%

18.79%

45.73%

26.94%

0.16%

0.32%

LBMLT 2005-1

1.14%

0.80%

24.05%

47.50%

23.45%

0.27%

0.38%

LBMLT 2005-2

0.96%

0.27%

32.93%

48.14%

15.21%

0.32%

0.13%

LBMLT 2005-WL1

0.46%

0.07%

28.55%

46.83%

18.28%

0.13%

0.03%

LBMLT 2005-WL2

0.16%

0.10%

27.89%

52.25%

24.36%

0.04%

0.05%

Lifetime Cumulative Loss
80% Loan-to-value Ratio

total

Default PB

Default Non-PB

Severity PB

Severity Non-PB

Diff

Loss PB

Loss Non-PB

LBMLT 2003-1

2.30%

2.71%

18.73%

48.40%

29.67%

0.43%

1.31%

LBMLT 2003-2

5.70%

4.67%

22.02%

48.16%

26.14%

1.26%

2.25%

LBMLT 2003-3

5.18%

3.96%

27.62%

50.67%

23.05%

1.43%

2.01%

LBMLT 2003-4

1.81%

2.16%

26.04%

45.53%

19.49%

0.47%

0.98%

LBMLT 2004-1

1.71%

1.44%

21.18%

41.80%

20.62%

0.36%

0.60%

LBMLT 2004-2

1.68%

1.71%

25.49%

40.64%

15.15%

0.43%

0.69%

LBMLT 2004-3

1.12%

1.14%

33.13%

46.83%

13.71%

0.37%

0.53%

LBMLT 2004-4

1.37%

1.43%

21.84%

33.44%

11.61%

0.30%

0.48%

LBMLT 2004-5

1.14%

0.32%

18.99%

43.33%

24.34%

0.22%

0.14%

LBMLT 2004-6

0.88%

0.71%

18.79%

45.73%

26.94%

0.16%

0.32%

LBMLT 2005-1

1.14%

0.80%

24.05%

47.50%

23.45%

0.27%

0.38%

LBMLT 2005-2

0.96%

0.27%

32.93%

48.14%

15.21%

0.32%

0.13%

LBMLT 2005-WL1

0.46%

0.07%

28.55%

46.83%

18.28%

0.13%

0.03%

LBMLT 2005-WL2

0.16%

0.10%

27.89%

52.25%

24.36%

0.04%

0.05%


Slide 17

Impact of credit changes on FICO distribution
        Fewer sub-600 FICOs
        More FICOs 600 to 650
Average FICO Score and % FICO < 600 - 1sts

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

% < 600 - 1sts

30.41%

30.58%

32.00%

30.14%

26.69%

26.61%

26.11%

26.55%

26.75%

26.49%

26.27%

27.51%

25.17%

26.19%

23.92%

23.02%

21.45%

21.72%

20.88%

20.37%

19.24%

FICO - 1sts < 600

            564.00

         563.00

        563.00

      564.00

      562.00

      564.00

      563.00

      564.00

      561.00

      564.00

      563.00

      563.00

      559.00

    558.00

    555.00

    558.00

    557.00

    560.00

    558.00

    557.00

    558.00

Average FICO Score and % FICO 600 - 650 - 1sts

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

% 600 - 650 - 1sts

35.12%

34.81%

34.85%

35.34%

34.96%

34.58%

35.48%

35.38%

34.97%

34.58%

36.18%

36.56%

37.31%

39.87%

40.73%

42.54%

43.95%

42.48%

43.74%

41.08%

43.37%

FICO - 1sts 600-650

            626.00

         625.00

        626.00

      626.00

      626.00

      626.00

      626.00

      626.00

      626.00

      627.00

      626.00

      625.00

      626.00

    626.00

    627.00

    626.00

    626.00

    626.00

    626.00

    627.00

    626.00

 

 

 

 

 

 

 

 

24.16%

24.08%

24.49%

27.64%

20.34%

19.56%

18.39%

18.53%

20.22%

19.20%

21.20%

18.81%

20.98%

Average FICO Score and % FICO > 650 - 1sts

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

% > 650 - 1sts

34.46%

34.61%

33.15%

34.52%

38.34%

38.81%

38.41%

38.07%

38.29%

38.94%

37.55%

35.93%

37.52%

33.94%

35.36%

34.44%

34.60%

35.80%

35.37%

38.56%

37.39%

FICO - 1sts > 650

            692.00

         691.00

        691.00

      693.00

      694.00

      694.00

      694.00

      694.00

      695.00

      694.00

      693.00

      692.00

      692.00

    692.00

    691.00

    689.00

    689.00

    692.00

    691.00

    693.00

    693.00


Slide 18

Improved FICO characteristics
Improving Average FICO on 1sts
Average FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

FICO - 1sts

            635.80

         629.10

        627.30

      630.10

      634.80

      636.00

      635.80

      635.70

      635.10

      638.20

      634.60

      632.00

      633.90

    630.50

    632.30

    632.20

    633.00

    635.00

    635.00

    638.00

    638.00

FICO - 2nds

            657.50

         653.60

        652.30

      652.90

      656.00

      657.20

      657.50

      656.10

      658.50

      659.90

      656.40

      653.10

      659.70

    659.40

    659.50

    658.20

    657.00

    660.00

    657.00

    660.00

    657.00

And a tighter FICO distribution

FICO Distribution

December 2004

January 2006

August 2006

< 600

30.41%

26.19%

19.24%

600 - 650

35.12%

39.87%

43.37%

> 650

34.46%

33.94%

37.39%


Slide 19

Improvements in collateral mix
Fewer piggyback loans
% of 1sts with a Simultaneous 2nd
 and Average FICO Score

May-06

Jun-06

Jul-06

Aug-06

50.52%

47.37%

46.62%

45.12%

    660.00

    657.00

    660.00

    657.00

% of 1sts without a Simultaneous 2nd

and Average FICO Score

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

50.02%

49.25%

49.48%

52.63%

53.38%

54.88%

      606.22

    608.27

    609.48

    615.20

    618.79

    622.38


Slide 20

A Shift Away from Piggyback Stated Income
Change in Volume – Piggyback

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Piggyback 1st Volume

100%

82%

77%

112%

122%

142%

161%

131%

157%

142%

135%

126%

117%

89%

102%

117%

92%

94%

81%

68%

84%

Piggyback 1st Volume - Stated

100%

87%

82%

122%

137%

167%

194%

157%

189%

169%

158%

141%

150%

116%

131%

139%

103%

98%

82%

69%

86%

All Other 1sts

100%

83%

78%

102%

102%

108%

120%

105%

127%

106%

102%

93%

81%

71%

77%

91%

72%

75%

72%

62%

79%

Non-piggyback 1sts

100%

86%

81%

102%

100%

105%

117%

105%

129%

104%

98%

87%

81%

74%

79%

90%

68%

70%

69%

60%

78%

Change in Volume - Piggyback Stated Income

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Piggyback 1st Volume

100%

82%

77%

112%

122%

142%

161%

131%

157%

142%

135%

126%

117%

89%

102%

117%

92%

94%

81%

68%

84%

Piggyback 1st Volume - Stated

100%

87%

82%

122%

137%

167%

194%

157%

189%

169%

158%

141%

150%

116%

131%

139%

103%

98%

82%

69%

86%

All Other 1sts

100%

83%

78%

102%

102%

108%

120%

105%

127%

106%

102%

93%

81%

71%

77%

91%

72%

75%

72%

62%

79%

Non-piggyback 1sts

100%

86%

81%

102%

100%

105%

117%

105%

129%

104%

98%

87%

81%

74%

79%

90%

68%

70%

69%

60%

78%

Note: base = Dec 2004 monthly origination volume; piggyback = 1st lien loan having a 2nd lien loan originated simultaneously


Slide 21

Higher Average FICOs and more Full Docs
Full Doc 1sts % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Full Doc - 1sts

55.47%

52.69%

53.44%

51.73%

49.96%

48.04%

46.58%

46.81%

46.58%

47.21%

47.45%

48.23%

43.20%

43.11%

42.87%

46.70%

47.80%

52.47%

53.25%

53.35%

52.13%

FICO Full Doc - 1sts

      612.20

      610.10

      606.20

      607.80

      612.40

      612.80

      611.00

      611.30

      612.10

      616.80

      612.20

      611.00

      609.00

    608.70

    611.10

    613.70

    617.00

    621.00

    622.00

    627.00

    628.00

Full Doc - 2nds

46.96%

43.96%

43.64%

42.24%

40.47%

38.12%

36.26%

37.12%

35.93%

36.03%

37.13%

39.10%

30.55%

29.78%

31.09%

35.26%

38.38%

40.93%

42.31%

42.08%

42.07%

FICO Full Doc - 2nds

      635.50

      634.60

      631.20

      629.70

      633.30

      633.80

      631.20

      631.10

      634.50

      635.80

      633.00

      630.20

      640.10

    645.60

    643.50

    644.70

    646.00

    650.00

    647.00

    651.00

    648.00

Stated - 1sts

42.31%

45.01%

44.02%

45.78%

47.75%

49.69%

50.79%

50.71%

50.53%

49.38%

49.27%

47.72%

52.62%

52.59%

53.16%

49.41%

47.77%

42.80%

41.54%

41.40%

42.54%

FICO Stated - 1sts

      653.80

      652.30

      653.80

      656.30

      659.50

      659.60

      660.00

      659.00

      657.50

      660.30

      657.30

      655.00

      655.40

    649.30

    650.90

    649.90

    650.00

    654.00

    652.00

    653.00

    652.00

Stated - 2nds

50.70%

53.85%

53.94%

55.29%

57.34%

59.45%

60.96%

60.46%

61.24%

60.53%

59.28%

56.82%

65.34%

65.47%

65.28%

60.28%

56.63%

53.08%

51.21%

51.16%

51.87%

FICO Stated - 2nds

      671.20

      670.30

      670.30

      671.90

      673.00

      673.30

      674.30

      672.60

      673.80

      675.90

      672.20

      670.40

      670.20

    666.50

    668.00

    666.10

    665.00

    670.00

    666.00

    669.00

    665.00

Limited Doc - 1sts

2.23%

2.30%

2.54%

2.49%

2.29%

2.27%

2.63%

2.49%

2.90%

3.41%

3.29%

4.05%

4.18%

4.30%

3.98%

3.90%

4.43%

4.73%

5.21%

5.25%

5.33%

FICO Limited Doc - 1sts

      625.30

      612.20

      613.50

      612.50

      607.00

      610.10

      608.60

      610.30

      612.30

      616.80

      616.60

      611.00

      619.50

    618.80

    611.80

    630.80

    622.00

    627.00

    629.00

    634.00

    631.00

Limited Doc - 2nds

2.34%

2.19%

2.41%

2.47%

2.20%

2.43%

2.78%

2.42%

2.84%

3.44%

3.59%

4.08%

4.11%

4.76%

3.63%

4.47%

4.99%

5.99%

6.49%

6.76%

6.06%

FICO Limited Doc - 2nds

      642.50

      626.00

      632.70

      623.10

      629.70

      629.40

      632.50

      625.40

      630.30

      630.00

      636.40

      631.40

      640.50

    648.30

    642.60

    656.70

    643.00

    650.00

    647.00

    649.00

    648.00

Stated 1sts % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Full Doc - 1sts

55.47%

52.69%

53.44%

51.73%

49.96%

48.04%

46.58%

46.81%

46.58%

47.21%

47.45%

48.23%

43.20%

43.11%

42.87%

46.70%

47.80%

52.47%

53.25%

53.35%

52.13%

FICO Full Doc - 1sts

      612.20

      610.10

      606.20

      607.80

      612.40

      612.80

      611.00

      611.30

      612.10

      616.80

      612.20

      611.00

      609.00

    608.70

    611.10

    613.70

    617.00

    621.00

    622.00

    627.00

    628.00

Full Doc - 2nds

46.96%

43.96%

43.64%

42.24%

40.47%

38.12%

36.26%

37.12%

35.93%

36.03%

37.13%

39.10%

30.55%

29.78%

31.09%

35.26%

38.38%

40.93%

42.31%

42.08%

42.07%

FICO Full Doc - 2nds

      635.50

      634.60

      631.20

      629.70

      633.30

      633.80

      631.20

      631.10

      634.50

      635.80

      633.00

      630.20

      640.10

    645.60

    643.50

    644.70

    646.00

    650.00

    647.00

    651.00

    648.00

Stated - 1sts

42.31%

45.01%

44.02%

45.78%

47.75%

49.69%

50.79%

50.71%

50.53%

49.38%

49.27%

47.72%

52.62%

52.59%

53.16%

49.41%

47.77%

42.80%

41.54%

41.40%

42.54%

FICO Stated - 1sts

      653.80

      652.30

      653.80

      656.30

      659.50

      659.60

      660.00

      659.00

      657.50

      660.30

      657.30

      655.00

      655.40

    649.30

    650.90

    649.90

    650.00

    654.00

    652.00

    653.00

    652.00

Stated - 2nds

50.70%

53.85%

53.94%

55.29%

57.34%

59.45%

60.96%

60.46%

61.24%

60.53%

59.28%

56.82%

65.34%

65.47%

65.28%

60.28%

56.63%

53.08%

51.21%

51.16%

51.87%

FICO Stated - 2nds

      671.20

      670.30

      670.30

      671.90

      673.00

      673.30

      674.30

      672.60

      673.80

      675.90

      672.20

      670.40

      670.20

    666.50

    668.00

    666.10

    665.00

    670.00

    666.00

    669.00

    665.00

Limited Doc - 1sts

2.23%

2.30%

2.54%

2.49%

2.29%

2.27%

2.63%

2.49%

2.90%

3.41%

3.29%

4.05%

4.18%

4.30%

3.98%

3.90%

4.43%

4.73%

5.21%

5.25%

5.33%

FICO Limited Doc - 1sts

      625.30

      612.20

      613.50

      612.50

      607.00

      610.10

      608.60

      610.30

      612.30

      616.80

      616.60

      611.00

      619.50

    618.80

    611.80

    630.80

    622.00

    627.00

    629.00

    634.00

    631.00

Limited Doc - 2nds

2.34%

2.19%

2.41%

2.47%

2.20%

2.43%

2.78%

2.42%

2.84%

3.44%

3.59%

4.08%

4.11%

4.76%

3.63%

4.47%

4.99%

5.99%

6.49%

6.76%

6.06%

FICO Limited Doc - 2nds

      642.50

      626.00

      632.70

      623.10

      629.70

      629.40

      632.50

      625.40

      630.30

      630.00

      636.40

      631.40

      640.50

    648.30

    642.60

    656.70

    643.00

    650.00

    647.00

    649.00

    648.00

Limited 1sts % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Full Doc - 1sts

55.47%

52.69%

53.44%

51.73%

49.96%

48.04%

46.58%

46.81%

46.58%

47.21%

47.45%

48.23%

43.20%

43.11%

42.87%

46.70%

47.80%

52.47%

53.25%

53.35%

52.13%

FICO Full Doc - 1sts

      612.20

      610.10

      606.20

      607.80

      612.40

      612.80

      611.00

      611.30

      612.10

      616.80

      612.20

      611.00

      609.00

    608.70

    611.10

    613.70

    617.00

    621.00

    622.00

    627.00

    628.00

Full Doc - 2nds

46.96%

43.96%

43.64%

42.24%

40.47%

38.12%

36.26%

37.12%

35.93%

36.03%

37.13%

39.10%

30.55%

29.78%

31.09%

35.26%

38.38%

40.93%

42.31%

42.08%

42.07%

FICO Full Doc - 2nds

      635.50

      634.60

      631.20

      629.70

      633.30

      633.80

      631.20

      631.10

      634.50

      635.80

      633.00

      630.20

      640.10

    645.60

    643.50

    644.70

    646.00

    650.00

    647.00

    651.00

    648.00

Stated - 1sts

42.31%

45.01%

44.02%

45.78%

47.75%

49.69%

50.79%

50.71%

50.53%

49.38%

49.27%

47.72%

52.62%

52.59%

53.16%

49.41%

47.77%

42.80%

41.54%

41.40%

42.54%

FICO Stated - 1sts

      653.80

      652.30

      653.80

      656.30

      659.50

      659.60

      660.00

      659.00

      657.50

      660.30

      657.30

      655.00

      655.40

    649.30

    650.90

    649.90

    650.00

    654.00

    652.00

    653.00

    652.00

Stated - 2nds

50.70%

53.85%

53.94%

55.29%

57.34%

59.45%

60.96%

60.46%

61.24%

60.53%

59.28%

56.82%

65.34%

65.47%

65.28%

60.28%

56.63%

53.08%

51.21%

51.16%

51.87%

FICO Stated - 2nds

      671.20

      670.30

      670.30

      671.90

      673.00

      673.30

      674.30

      672.60

      673.80

      675.90

      672.20

      670.40

      670.20

    666.50

    668.00

    666.10

    665.00

    670.00

    666.00

    669.00

    665.00

Limited Doc - 1sts

2.23%

2.30%

2.54%

2.49%

2.29%

2.27%

2.63%

2.49%

2.90%

3.41%

3.29%

4.05%

4.18%

4.30%

3.98%

3.90%

4.43%

4.73%

5.21%

5.25%

5.33%

FICO Limited Doc - 1sts

      625.30

      612.20

      613.50

      612.50

      607.00

      610.10

      608.60

      610.30

      612.30

      616.80

      616.60

      611.00

      619.50

    618.80

    611.80

    630.80

    622.00

    627.00

    629.00

    634.00

    631.00

Limited Doc - 2nds

2.34%

2.19%

2.41%

2.47%

2.20%

2.43%

2.78%

2.42%

2.84%

3.44%

3.59%

4.08%

4.11%

4.76%

3.63%

4.47%

4.99%

5.99%

6.49%

6.76%

6.06%

FICO Limited Doc - 2nds

      642.50

      626.00

      632.70

      623.10

      629.70

      629.40

      632.50

      625.40

      630.30

      630.00

      636.40

      631.40

      640.50

    648.30

    642.60

    656.70

    643.00

    650.00

    647.00

    649.00

    648.00

Full Doc 2nds % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Full Doc - 1sts

55.47%

52.69%

53.44%

51.73%

49.96%

48.04%

46.58%

46.81%

46.58%

47.21%

47.45%

48.23%

43.20%

43.11%

42.87%

46.70%

47.80%

52.47%

53.25%

53.35%

52.13%

FICO Full Doc - 1sts

      612.20

      610.10

      606.20

      607.80

      612.40

      612.80

      611.00

      611.30

      612.10

      616.80

      612.20

      611.00

      609.00

    608.70

    611.10

    613.70

    617.00

    621.00

    622.00

    627.00

    628.00

Full Doc - 2nds

46.96%

43.96%

43.64%

42.24%

40.47%

38.12%

36.26%

37.12%

35.93%

36.03%

37.13%

39.10%

30.55%

29.78%

31.09%

35.26%

38.38%

40.93%

42.31%

42.08%

42.07%

FICO Full Doc - 2nds

      635.50

      634.60

      631.20

      629.70

      633.30

      633.80

      631.20

      631.10

      634.50

      635.80

      633.00

      630.20

      640.10

    645.60

    643.50

    644.70

    646.00

    650.00

    647.00

    651.00

    648.00

Stated - 1sts

42.31%

45.01%

44.02%

45.78%

47.75%

49.69%

50.79%

50.71%

50.53%

49.38%

49.27%

47.72%

52.62%

52.59%

53.16%

49.41%

47.77%

42.80%

41.54%

41.40%

42.54%

FICO Stated - 1sts

      653.80

      652.30

      653.80

      656.30

      659.50

      659.60

      660.00

      659.00

      657.50

      660.30

      657.30

      655.00

      655.40

    649.30

    650.90

    649.90

    650.00

    654.00

    652.00

    653.00

    652.00

Stated - 2nds

50.70%

53.85%

53.94%

55.29%

57.34%

59.45%

60.96%

60.46%

61.24%

60.53%

59.28%

56.82%

65.34%

65.47%

65.28%

60.28%

56.63%

53.08%

51.21%

51.16%

51.87%

FICO Stated - 2nds

      671.20

      670.30

      670.30

      671.90

      673.00

      673.30

      674.30

      672.60

      673.80

      675.90

      672.20

      670.40

      670.20

    666.50

    668.00

    666.10

    665.00

    670.00

    666.00

    669.00

    665.00

Limited Doc - 1sts

2.23%

2.30%

2.54%

2.49%

2.29%

2.27%

2.63%

2.49%

2.90%

3.41%

3.29%

4.05%

4.18%

4.30%

3.98%

3.90%

4.43%

4.73%

5.21%

5.25%

5.33%

FICO Limited Doc - 1sts

      625.30

      612.20

      613.50

      612.50

      607.00

      610.10

      608.60

      610.30

      612.30

      616.80

      616.60

      611.00

      619.50

    618.80

    611.80

    630.80

    622.00

    627.00

    629.00

    634.00

    631.00

Limited Doc - 2nds

2.34%

2.19%

2.41%

2.47%

2.20%

2.43%

2.78%

2.42%

2.84%

3.44%

3.59%

4.08%

4.11%

4.76%

3.63%

4.47%

4.99%

5.99%

6.49%

6.76%

6.06%

FICO Limited Doc - 2nds

      642.50

      626.00

      632.70

      623.10

      629.70

      629.40

      632.50

      625.40

      630.30

      630.00

      636.40

      631.40

      640.50

    648.30

    642.60

    656.70

    643.00

    650.00

    647.00

    649.00

    648.00

Stated 2nds % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Full Doc - 1sts

55.47%

52.69%

53.44%

51.73%

49.96%

48.04%

46.58%

46.81%

46.58%

47.21%

47.45%

48.23%

43.20%

43.11%

42.87%

46.70%

47.80%

52.47%

53.25%

53.35%

52.13%

FICO Full Doc - 1sts

      612.20

      610.10

      606.20

      607.80

      612.40

      612.80

      611.00

      611.30

      612.10

      616.80

      612.20

      611.00

      609.00

    608.70

    611.10

    613.70

    617.00

    621.00

    622.00

    627.00

    628.00

Full Doc - 2nds

46.96%

43.96%

43.64%

42.24%

40.47%

38.12%

36.26%

37.12%

35.93%

36.03%

37.13%

39.10%

30.55%

29.78%

31.09%

35.26%

38.38%

40.93%

42.31%

42.08%

42.07%

FICO Full Doc - 2nds

      635.50

      634.60

      631.20

      629.70

      633.30

      633.80

      631.20

      631.10

      634.50

      635.80

      633.00

      630.20

      640.10

    645.60

    643.50

    644.70

    646.00

    650.00

    647.00

    651.00

    648.00

Stated - 1sts

42.31%

45.01%

44.02%

45.78%

47.75%

49.69%

50.79%

50.71%

50.53%

49.38%

49.27%

47.72%

52.62%

52.59%

53.16%

49.41%

47.77%

42.80%

41.54%

41.40%

42.54%

FICO Stated - 1sts

      653.80

      652.30

      653.80

      656.30

      659.50

      659.60

      660.00

      659.00

      657.50

      660.30

      657.30

      655.00

      655.40

    649.30

    650.90

    649.90

    650.00

    654.00

    652.00

    653.00

    652.00

Stated - 2nds

50.70%

53.85%

53.94%

55.29%

57.34%

59.45%

60.96%

60.46%

61.24%

60.53%

59.28%

56.82%

65.34%

65.47%

65.28%

60.28%

56.63%

53.08%

51.21%

51.16%

51.87%

FICO Stated - 2nds

      671.20

      670.30

      670.30

      671.90

      673.00

      673.30

      674.30

      672.60

      673.80

      675.90

      672.20

      670.40

      670.20

    666.50

    668.00

    666.10

    665.00

    670.00

    666.00

    669.00

    665.00

Limited Doc - 1sts

2.23%

2.30%

2.54%

2.49%

2.29%

2.27%

2.63%

2.49%

2.90%

3.41%

3.29%

4.05%

4.18%

4.30%

3.98%

3.90%

4.43%

4.73%

5.21%

5.25%

5.33%

FICO Limited Doc - 1sts

      625.30

      612.20

      613.50

      612.50

      607.00

      610.10

      608.60

      610.30

      612.30

      616.80

      616.60

      611.00

      619.50

    618.80

    611.80

    630.80

    622.00

    627.00

    629.00

    634.00

    631.00

Limited Doc - 2nds

2.34%

2.19%

2.41%

2.47%

2.20%

2.43%

2.78%

2.42%

2.84%

3.44%

3.59%

4.08%

4.11%

4.76%

3.63%

4.47%

4.99%

5.99%

6.49%

6.76%

6.06%

FICO Limited Doc - 2nds

      642.50

      626.00

      632.70

      623.10

      629.70

      629.40

      632.50

      625.40

      630.30

      630.00

      636.40

      631.40

      640.50

    648.30

    642.60

    656.70

    643.00

    650.00

    647.00

    649.00

    648.00

Limited 2nds % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Full Doc - 1sts

55.47%

52.69%

53.44%

51.73%

49.96%

48.04%

46.58%

46.81%

46.58%

47.21%

47.45%

48.23%

43.20%

43.11%

42.87%

46.70%

47.80%

52.47%

53.25%

53.35%

52.13%

FICO Full Doc - 1sts

      612.20

      610.10

      606.20

      607.80

      612.40

      612.80

      611.00

      611.30

      612.10

      616.80

      612.20

      611.00

      609.00

    608.70

    611.10

    613.70

    617.00

    621.00

    622.00

    627.00

    628.00

Full Doc - 2nds

46.96%

43.96%

43.64%

42.24%

40.47%

38.12%

36.26%

37.12%

35.93%

36.03%

37.13%

39.10%

30.55%

29.78%

31.09%

35.26%

38.38%

40.93%

42.31%

42.08%

42.07%

FICO Full Doc - 2nds

      635.50

      634.60

      631.20

      629.70

      633.30

      633.80

      631.20

      631.10

      634.50

      635.80

      633.00

      630.20

      640.10

    645.60

    643.50

    644.70

    646.00

    650.00

    647.00

    651.00

    648.00

Stated - 1sts

42.31%

45.01%

44.02%

45.78%

47.75%

49.69%

50.79%

50.71%

50.53%

49.38%

49.27%

47.72%

52.62%

52.59%

53.16%

49.41%

47.77%

42.80%

41.54%

41.40%

42.54%

FICO Stated - 1sts

      653.80

      652.30

      653.80

      656.30

      659.50

      659.60

      660.00

      659.00

      657.50

      660.30

      657.30

      655.00

      655.40

    649.30

    650.90

    649.90

    650.00

    654.00

    652.00

    653.00

    652.00

Stated - 2nds

50.70%

53.85%

53.94%

55.29%

57.34%

59.45%

60.96%

60.46%

61.24%

60.53%

59.28%

56.82%

65.34%

65.47%

65.28%

60.28%

56.63%

53.08%

51.21%

51.16%

51.87%

FICO Stated - 2nds

      671.20

      670.30

      670.30

      671.90

      673.00

      673.30

      674.30

      672.60

      673.80

      675.90

      672.20

      670.40

      670.20

    666.50

    668.00

    666.10

    665.00

    670.00

    666.00

    669.00

    665.00

Limited Doc - 1sts

2.23%

2.30%

2.54%

2.49%

2.29%

2.27%

2.63%

2.49%

2.90%

3.41%

3.29%

4.05%

4.18%

4.30%

3.98%

3.90%

4.43%

4.73%

5.21%

5.25%

5.33%

FICO Limited Doc - 1sts

      625.30

      612.20

      613.50

      612.50

      607.00

      610.10

      608.60

      610.30

      612.30

      616.80

      616.60

      611.00

      619.50

    618.80

    611.80

    630.80

    622.00

    627.00

    629.00

    634.00

    631.00

Limited Doc - 2nds

2.34%

2.19%

2.41%

2.47%

2.20%

2.43%

2.78%

2.42%

2.84%

3.44%

3.59%

4.08%

4.11%

4.76%

3.63%

4.47%

4.99%

5.99%

6.49%

6.76%

6.06%

FICO Limited Doc - 2nds

      642.50

      626.00

      632.70

      623.10

      629.70

      629.40

      632.50

      625.40

      630.30

      630.00

      636.40

      631.40

      640.50

    648.30

    642.60

    656.70

    643.00

    650.00

    647.00

    649.00

    648.00

Note: Long Beach Mortgage does not originate stand-alone 2nds


Slide 22

Higher Average FICOs for each loan purpose

Purchase 1sts % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Purch - 1sts

52.28%

51.52%

50.78%

55.02%

57.94%

60.36%

63.04%

60.71%

60.12%

63.89%

60.77%

61.00%

64.31%

59.81%

59.20%

61.92%

60.28%

53.30%

52.06%

49.89%

48.56%

FICO Purch - 1sts

      649.00

      648.40

      647.80

      649.30

      651.70

      652.90

      652.20

      652.40

      652.00

      654.20

      651.60

      648.10

      650.80

      649.50

      651.10

      647.70

    648.00

    652.00

    653.00

    657.00

    656.00

Purch - 2nds

83.67%

83.68%

81.46%

85.50%

86.17%

87.01%

90.11%

90.17%

88.90%

91.89%

89.38%

87.67%

89.46%

88.15%

87.08%

87.86%

87.83%

84.85%

84.35%

81.91%

81.67%

FICO Purch - 2nds

656.5

      656.00

      655.00

      655.50

      657.90

      659.30

      659.00

      657.30

      660.00

      659.30

      657.80

      655.00

      661.40

      661.10

      661.70

      659.20

    658.00

    662.00

    658.00

    662.00

    659.00

Cashout - 1sts

43.96%

44.58%

45.18%

41.69%

38.75%

36.38%

34.07%

36.35%

37.05%

33.41%

36.07%

35.52%

32.00%

35.98%

36.84%

34.46%

35.94%

42.43%

43.59%

44.25%

43.99%

FICO Cashout - 1sts

      609.70

      609.10

      607.00

      607.60

      611.80

      610.70

      607.60

      609.40

      609.40

      609.90

      607.90

      607.30

      603.40

      601.60

      604.50

      607.20

    611.00

    617.00

    615.00

    618.00

    619.00

Cashout - 2nds

15.13%

14.99%

17.50%

13.79%

13.22%

12.20%

9.13%

9.08%

10.49%

7.51%

10.04%

11.52%

10.07%

11.33%

12.42%

11.63%

11.40%

14.27%

14.50%

14.10%

10.78%

FICO Cashout - 2nds

639.4

      641.90

      640.60

      637.90

      643.70

      644.20

      642.20

      646.00

      645.70

      669.60

      644.70

      640.00

      645.90

      647.00

      644.80

      650.90

    646.00

    648.00

    650.00

    652.00

    653.00

Refi (no cashout) - 1sts

3.76%

3.90%

4.04%

3.29%

3.31%

3.27%

2.89%

2.93%

2.82%

2.71%

3.17%

3.48%

3.69%

4.21%

3.96%

3.63%

3.78%

4.26%

4.35%

5.85%

7.45%

FICO Refi (no cashout) - 1sts

605.6

      602.80

      597.80

      596.10

      607.90

      606.30

      609.70

      608.70

      610.50

      611.30

      612.10

      603.20

      603.90

      607.00

      610.30

      606.10

    620.00

    616.00

    609.00

    621.00

    634.00

Refi (no cashout) - 2nds

1.20%

1.33%

1.04%

0.71%

0.60%

0.79%

0.77%

0.76%

0.61%

0.60%

0.58%

0.81%

0.48%

0.52%

0.50%

0.51%

0.77%

0.88%

1.16%

3.99%

7.55%

FICO Refi (no cashout) - 2nds

640

639.5

638.6

629.5

649.2

631.7

641.3

627

650

624.2

635.3

632.8

637.4

646.9

643.7

640.4

640

650

644

644

647

 Cashout 1sts % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Purch - 1sts

52.28%

51.52%

50.78%

55.02%

57.94%

60.36%

63.04%

60.71%

60.12%

63.89%

60.77%

61.00%

64.31%

59.81%

59.20%

61.92%

60.28%

53.30%

52.06%

49.89%

48.56%

FICO Purch - 1sts

      649.00

      648.40

      647.80

      649.30

      651.70

      652.90

      652.20

      652.40

      652.00

      654.20

      651.60

      648.10

      650.80

      649.50

      651.10

      647.70

    648.00

    652.00

    653.00

    657.00

    656.00

Purch - 2nds

83.67%

83.68%

81.46%

85.50%

86.17%

87.01%

90.11%

90.17%

88.90%

91.89%

89.38%

87.67%

89.46%

88.15%

87.08%

87.86%

87.83%

84.85%

84.35%

81.91%

81.67%

FICO Purch - 2nds

656.5

      656.00

      655.00

      655.50

      657.90

      659.30

      659.00

      657.30

      660.00

      659.30

      657.80

      655.00

      661.40

      661.10

      661.70

      659.20

    658.00

    662.00

    658.00

    662.00

    659.00

Cashout - 1sts

43.96%

44.58%

45.18%

41.69%

38.75%

36.38%

34.07%

36.35%

37.05%

33.41%

36.07%

35.52%

32.00%

35.98%

36.84%

34.46%

35.94%

42.43%

43.59%

44.25%

43.99%

FICO Cashout - 1sts

      609.70

      609.10

      607.00

      607.60

      611.80

      610.70

      607.60

      609.40

      609.40

      609.90

      607.90

      607.30

      603.40

      601.60

      604.50

      607.20

    611.00

    617.00

    615.00

    618.00

    619.00

Cashout - 2nds

15.13%

14.99%

17.50%

13.79%

13.22%

12.20%

9.13%

9.08%

10.49%

7.51%

10.04%

11.52%

10.07%

11.33%

12.42%

11.63%

11.40%

14.27%

14.50%

14.10%

10.78%

FICO Cashout - 2nds

639.4

      641.90

      640.60

      637.90

      643.70

      644.20

      642.20

      646.00

      645.70

      669.60

      644.70

      640.00

      645.90

      647.00

      644.80

      650.90

    646.00

    648.00

    650.00

    652.00

    653.00

Refi (no cashout) - 1sts

3.76%

3.90%

4.04%

3.29%

3.31%

3.27%

2.89%

2.93%

2.82%

2.71%

3.17%

3.48%

3.69%

4.21%

3.96%

3.63%

3.78%

4.26%

4.35%

5.85%

7.45%

FICO Refi (no cashout) - 1sts

605.6

      602.80

      597.80

      596.10

      607.90

      606.30

      609.70

      608.70

      610.50

      611.30

      612.10

      603.20

      603.90

      607.00

      610.30

      606.10

    620.00

    616.00

    609.00

    621.00

    634.00

Refi (no cashout) - 2nds

1.20%

1.33%

1.04%

0.71%

0.60%

0.79%

0.77%

0.76%

0.61%

0.60%

0.58%

0.81%

0.48%

0.52%

0.50%

0.51%

0.77%

0.88%

1.16%

3.99%

7.55%

FICO Refi (no cashout) - 2nds

640

639.5

638.6

629.5

649.2

631.7

641.3

627

650

624.2

635.3

632.8

637.4

646.9

643.7

640.4

640

650

644

644

647

Refi (no cashout) 1sts % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Purch - 1sts

52.28%

51.52%

50.78%

55.02%

57.94%

60.36%

63.04%

60.71%

60.12%

63.89%

60.77%

61.00%

64.31%

59.81%

59.20%

61.92%

60.28%

53.30%

52.06%

49.89%

48.56%

FICO Purch - 1sts

      649.00

      648.40

      647.80

      649.30

      651.70

      652.90

      652.20

      652.40

      652.00

      654.20

      651.60

      648.10

      650.80

      649.50

      651.10

      647.70

    648.00

    652.00

    653.00

    657.00

    656.00

Purch - 2nds

83.67%

83.68%

81.46%

85.50%

86.17%

87.01%

90.11%

90.17%

88.90%

91.89%

89.38%

87.67%

89.46%

88.15%

87.08%

87.86%

87.83%

84.85%

84.35%

81.91%

81.67%

 

FICO Purch - 2nds

656.5

      656.00

      655.00

      655.50

      657.90

      659.30

      659.00

      657.30

      660.00

      659.30

      657.80

      655.00

      661.40

      661.10

      661.70

      659.20

    658.00

    662.00

    658.00

    662.00

    659.00

Cashout - 1sts

43.96%

44.58%

45.18%

41.69%

38.75%

36.38%

34.07%

36.35%

37.05%

33.41%

36.07%

35.52%

32.00%

35.98%

36.84%

34.46%

35.94%

42.43%

43.59%

44.25%

43.99%

FICO Cashout - 1sts

      609.70

      609.10

      607.00

      607.60

      611.80

      610.70

      607.60

      609.40

      609.40

      609.90

      607.90

      607.30

      603.40

      601.60

      604.50

      607.20

    611.00

    617.00

    615.00

    618.00

    619.00

Cashout - 2nds

15.13%

14.99%

17.50%

13.79%

13.22%

12.20%

9.13%

9.08%

10.49%

7.51%

10.04%

11.52%

10.07%

11.33%

12.42%

11.63%

11.40%

14.27%

14.50%

14.10%

10.78%

 

FICO Cashout - 2nds

639.4

      641.90

      640.60

      637.90

      643.70

      644.20

      642.20

      646.00

      645.70

      669.60

      644.70

      640.00

      645.90

      647.00

      644.80

      650.90

    646.00

    648.00

    650.00

    652.00

    653.00

Refi (no cashout) - 1sts

3.76%

3.90%

4.04%

3.29%

3.31%

3.27%

2.89%

2.93%

2.82%

2.71%

3.17%

3.48%

3.69%

4.21%

3.96%

3.63%

3.78%

4.26%

4.35%

5.85%

7.45%

FICO Refi (no cashout) - 1sts

605.6

      602.80

      597.80

      596.10

      607.90

      606.30

      609.70

      608.70

      610.50

      611.30

      612.10

      603.20

      603.90

      607.00

      610.30

      606.10

    620.00

    616.00

    609.00

    621.00

    634.00

Refi (no cashout) - 2nds

1.20%

1.33%

1.04%

0.71%

0.60%

0.79%

0.77%

0.76%

0.61%

0.60%

0.58%

0.81%

0.48%

0.52%

0.50%

0.51%

0.77%

0.88%

1.16%

3.99%

7.55%

FICO Refi (no cashout) - 2nds

640

639.5

638.6

629.5

649.2

631.7

641.3

627

650

624.2

635.3

632.8

637.4

646.9

643.7

640.4

640

650

644

644

647

Purchase 2nds % and FICO Score

 

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Purch - 1sts

52.28%

51.52%

50.78%

55.02%

57.94%

60.36%

63.04%

60.71%

60.12%

63.89%

60.77%

61.00%

64.31%

59.81%

59.20%

61.92%

60.28%

53.30%

52.06%

49.89%

48.56%

FICO Purch - 1sts

         649.00

         648.40

         647.80

         649.30

          651.70

         652.90

         652.20

         652.40

         652.00

         654.20

          651.60

          648.10

         650.80

         649.50

           651.10

         647.70

     648.00

     652.00

     653.00

     657.00

     656.00

Purch - 2nds

83.67%

83.68%

81.46%

85.50%

86.17%

87.01%

90.11%

90.17%

88.90%

91.89%

89.38%

87.67%

89.46%

88.15%

87.08%

87.86%

87.83%

84.85%

84.35%

81.91%

81.67%

FICO Purch - 2nds

656.5

         656.00

         655.00

         655.50

         657.90

         659.30

         659.00

         657.30

         660.00

         659.30

         657.80

         655.00

          661.40

           661.10

          661.70

         659.20

     658.00

     662.00

     658.00

     662.00

     659.00

Cashout - 1sts

43.96%

44.58%

45.18%

41.69%

38.75%

36.38%

34.07%

36.35%

37.05%

33.41%

36.07%

35.52%

32.00%

35.98%

36.84%

34.46%

35.94%

42.43%

43.59%

44.25%

43.99%

FICO Cashout - 1sts

         609.70

          609.10

         607.00

         607.60

           611.80

          610.70

         607.60

         609.40

         609.40

         609.90

         607.90

         607.30

         603.40

          601.60

         604.50

         607.20

       611.00

      617.00

      615.00

      618.00

      619.00

Cashout - 2nds

15.13%

14.99%

17.50%

13.79%

13.22%

12.20%

9.13%

9.08%

10.49%

7.51%

10.04%

11.52%

10.07%

11.33%

12.42%

11.63%

11.40%

14.27%

14.50%

14.10%

10.78%

FICO Cashout - 2nds

639.4

          641.90

         640.60

         637.90

         643.70

         644.20

         642.20

         646.00

         645.70

         669.60

         644.70

         640.00

         645.90

         647.00

         644.80

         650.90

     646.00

     648.00

     650.00

     652.00

     653.00

Refi (no cashout) - 1sts

3.76%

3.90%

4.04%

3.29%

3.31%

3.27%

2.89%

2.93%

2.82%

2.71%

3.17%

3.48%

3.69%

4.21%

3.96%

3.63%

3.78%

4.26%

4.35%

5.85%

7.45%

FICO Refi (no cashout) - 1sts

605.6

         602.80

         597.80

          596.10

         607.90

         606.30

         609.70

         608.70

          610.50

           611.30

           612.10

         603.20

         603.90

         607.00

          610.30

          606.10

     620.00

      616.00

     609.00

      621.00

     634.00

Refi (no cashout) - 2nds

1.20%

1.33%

1.04%

0.71%

0.60%

0.79%

0.77%

0.76%

0.61%

0.60%

0.58%

0.81%

0.48%

0.52%

0.50%

0.51%

0.77%

0.88%

1.16%

3.99%

7.55%

FICO Refi (no cashout) - 2nds

640

639.5

638.6

629.5

649.2

631.7

641.3

627

650

624.2

635.3

632.8

637.4

646.9

643.7

640.4

640

650

644

644

647

Cashout 2nds % and FICO Score

 

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

 

Purch - 1sts

52.28%

51.52%

50.78%

55.02%

57.94%

60.36%

63.04%

60.71%

60.12%

63.89%

60.77%

61.00%

64.31%

59.81%

59.20%

61.92%

60.28%

53.30%

52.06%

49.89%

48.56%

 

FICO Purch - 1sts

              649.00

              648.40

              647.80

              649.30

              651.70

              652.90

              652.20

              652.40

              652.00

              654.20

              651.60

              648.10

              650.80

              649.50

              651.10

              647.70

          648.00

          652.00

          653.00

          657.00

          656.00

 

Purch - 2nds

83.67%

83.68%

81.46%

85.50%

86.17%

87.01%

90.11%

90.17%

88.90%

91.89%

89.38%

87.67%

89.46%

88.15%

87.08%

87.86%

87.83%

84.85%

84.35%

81.91%

81.67%

 

FICO Purch - 2nds

656.5

              656.00

              655.00

              655.50

              657.90

              659.30

              659.00

              657.30

              660.00

              659.30

              657.80

              655.00

              661.40

              661.10

              661.70

              659.20

          658.00

          662.00

          658.00

          662.00

          659.00

 

Cashout - 1sts

43.96%

44.58%

45.18%

41.69%

38.75%

36.38%

34.07%

36.35%

37.05%

33.41%

36.07%

35.52%

32.00%

35.98%

36.84%

34.46%

35.94%

42.43%

43.59%

44.25%

43.99%

 

FICO Cashout - 1sts

              609.70

              609.10

              607.00

              607.60

              611.80

              610.70

              607.60

              609.40

              609.40

              609.90

              607.90

              607.30

              603.40

              601.60

              604.50

              607.20

          611.00

          617.00

          615.00

          618.00

          619.00

 

Cashout - 2nds

15.13%

14.99%

17.50%

13.79%

13.22%

12.20%

9.13%

9.08%

10.49%

7.51%

10.04%

11.52%

10.07%

11.33%

12.42%

11.63%

11.40%

14.27%

14.50%

14.10%

10.78%

 

FICO Cashout - 2nds

639.4

              641.90

              640.60

              637.90

              643.70

              644.20

              642.20

              646.00

              645.70

              669.60

              644.70

              640.00

              645.90

              647.00

              644.80

              650.90

          646.00

          648.00

          650.00

          652.00

          653.00

 

Refi (no cashout) - 1sts

3.76%

3.90%

4.04%

3.29%

3.31%

3.27%

2.89%

2.93%

2.82%

2.71%

3.17%

3.48%

3.69%

4.21%

3.96%

3.63%

3.78%

4.26%

4.35%

5.85%

7.45%

 

FICO Refi (no cashout) - 1sts

605.6

              602.80

              597.80

              596.10

              607.90

              606.30

              609.70

              608.70

              610.50

              611.30

              612.10

              603.20

              603.90

              607.00

              610.30

              606.10

          620.00

          616.00

          609.00

          621.00

          634.00

 

Refi (no cashout) - 2nds

1.20%

1.33%

1.04%

0.71%

0.60%

0.79%

0.77%

0.76%

0.61%

0.60%

0.58%

0.81%

0.48%

0.52%

0.50%

0.51%

0.77%

0.88%

1.16%

3.99%

7.55%

 

FICO Refi (no cashout) - 2nds

640

639.5

638.6

629.5

649.2

631.7

641.3

627

650

624.2

635.3

632.8

637.4

646.9

643.7

640.4

640

650

644

644

647

 

Refi (no cashout) 2nds % and FICO Score

 

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Purch - 1sts

52.28%

51.52%

50.78%

55.02%

57.94%

60.36%

63.04%

60.71%

60.12%

63.89%

60.77%

61.00%

64.31%

59.81%

59.20%

61.92%

60.28%

53.30%

52.06%

49.89%

48.56%

FICO Purch - 1sts

              649.00

              648.40

              647.80

              649.30

              651.70

              652.90

              652.20

              652.40

              652.00

              654.20

              651.60

              648.10

              650.80

              649.50

              651.10

              647.70

          648.00

          652.00

          653.00

          657.00

          656.00

Purch - 2nds

83.67%

83.68%

81.46%

85.50%

86.17%

87.01%

90.11%

90.17%

88.90%

91.89%

89.38%

87.67%

89.46%

88.15%

87.08%

87.86%

87.83%

84.85%

84.35%

81.91%

81.67%

FICO Purch - 2nds

656.5

              656.00

              655.00

              655.50

              657.90

              659.30

              659.00

              657.30

              660.00

              659.30

              657.80

              655.00

              661.40

              661.10

              661.70

              659.20

          658.00

          662.00

          658.00

          662.00

          659.00

Cashout - 1sts

43.96%

44.58%

45.18%

41.69%

38.75%

36.38%

34.07%

36.35%

37.05%

33.41%

36.07%

35.52%

32.00%

35.98%

36.84%

34.46%

35.94%

42.43%

43.59%

44.25%

43.99%

FICO Cashout - 1sts

              609.70

              609.10

              607.00

              607.60

              611.80

              610.70

              607.60

              609.40

              609.40

              609.90

              607.90

              607.30

              603.40

              601.60

              604.50

              607.20

          611.00

          617.00

          615.00

          618.00

          619.00

Cashout - 2nds

15.13%

14.99%

17.50%

13.79%

13.22%

12.20%

9.13%

9.08%

10.49%

7.51%

10.04%

11.52%

10.07%

11.33%

12.42%

11.63%

11.40%

14.27%

14.50%

14.10%

10.78%

FICO Cashout - 2nds

639.4

              641.90

              640.60

              637.90

              643.70

              644.20

              642.20

              646.00

              645.70

              669.60

              644.70

              640.00

              645.90

              647.00

              644.80

              650.90

          646.00

          648.00

          650.00

          652.00

          653.00

Refi (no cashout) - 1sts

3.76%

3.90%

4.04%

3.29%

3.31%

3.27%

2.89%

2.93%

2.82%

2.71%

3.17%

3.48%

3.69%

4.21%

3.96%

3.63%

3.78%

4.26%

4.35%

5.85%

7.45%

FICO Refi (no cashout) - 1sts

605.6

              602.80

              597.80

              596.10

              607.90

              606.30

              609.70

              608.70

              610.50

              611.30

              612.10

              603.20

              603.90

              607.00

              610.30

              606.10

          620.00

          616.00

          609.00

          621.00

          634.00

Refi (no cashout) - 2nds

1.20%

1.33%

1.04%

0.71%

0.60%

0.79%

0.77%

0.76%

0.61%

0.60%

0.58%

0.81%

0.48%

0.52%

0.50%

0.51%

0.77%

0.88%

1.16%

3.99%

7.55%

FICO Refi (no cashout) - 2nds

640

639.5

638.6

629.5

649.2

631.7

641.3

627

650

624.2

635.3

632.8

637.4

646.9

643.7

640.4

640

650

644

644

647


Slide 23

Higher Average FICOs for loans to investors

Owner Occupied 1sts % and FICO Score

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Owner Occ - 1sts

88.72%

87.60%

87.12%

87.78%

88.14%

89.32%

89.22%

89.42%

88.95%

88.68%

89.02%

88.94%

89.26%

88.27%

88.47%

89.24%

91.15%

90.81%

90.92%

90.13%

89.47%

FICO OO - 1sts

      626.90

      625.70

      623.40

      626.80

      631.80

      633.10

      633.20

      632.90

      632.30

      635.30

      632.50

      630.00

      632.10

      628.20

      630.30

      630.40

    631.00

    633.00

    633.00

    635.00

    636.00

 

 

 

 

 

 

 

 

Nonowner Occ - 1sts

10.10%

11.41%

11.63%

10.94%

10.59%

9.45%

9.36%

9.08%

9.83%

10.32%

10.06%

9.74%

9.51%

10.27%

9.89%

9.59%

7.37%

7.86%

7.73%

8.24%

8.73%

FICO NOO - 1sts

      654.20

      655.00

      654.90

      654.30

      657.10

      660.20

      658.80

      657.00

      657.40

      657.50

      650.80

      650.10

      650.20

      646.50

      648.80

      647.50

    661.00

    667.00

    663.00

    669.00

    664.00

 

 

 

 

 

 

 

 

2nd Home - 1sts

1.18%

0.99%

1.25%

1.29%

1.27%

1.23%

1.43%

1.50%

1.22%

1.01%

0.93%

1.32%

1.24%

1.47%

1.65%

1.17%

1.49%

1.34%

1.35%

1.63%

1.80%

FICO 2nd Home - 1sts

665.3

      636.50

      644.70

      654.80

      658.60

      656.80

      646.20

      661.30

      655.70

      702.60

      654.80

      633.70

      641.20

      652.60

      638.70

      646.70

    653.00

    642.00

    635.00

    640.00

    644.00

Nonowner 1sts % and FICO Score

 

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Owner Occ - 1sts

88.72%

87.60%

87.12%

87.78%

88.14%

89.32%

89.22%

89.42%

88.95%

88.68%

89.02%

88.94%

89.26%

88.27%

88.47%

89.24%

91.15%

90.81%

90.92%

90.13%

89.47%

FICO OO - 1sts

     626.90

      625.70

     623.40

     626.80

      631.80

      633.10

     633.20

     632.90

     632.30

      635.30

      632.50

     630.00

      632.10

     628.20

     630.30

     630.40

    631.00

   633.00

   633.00

   635.00

   636.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nonowner Occ - 1sts

10.10%

11.41%

11.63%

10.94%

10.59%

9.45%

9.36%

9.08%

9.83%

10.32%

10.06%

9.74%

9.51%

10.27%

9.89%

9.59%

7.37%

7.86%

7.73%

8.24%

8.73%

FICO NOO - 1sts

      654.20

      655.00

      654.90

      654.30

       657.10

     660.20

      658.80

      657.00

      657.40

       657.50

      650.80

       650.10

      650.20

      646.50

     648.80

      647.50

    661.00

   667.00

   663.00

   669.00

   664.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2nd Home - 1sts

1.18%

0.99%

1.25%

1.29%

1.27%

1.23%

1.43%

1.50%

1.22%

1.01%

0.93%

1.32%

1.24%

1.47%

1.65%

1.17%

1.49%

1.34%

1.35%

1.63%

1.80%

FICO 2nd Home - 1sts

665.3

      636.50

      644.70

      654.80

      658.60

      656.80

     646.20

      661.30

       655.70

      702.60

      654.80

      633.70

      641.20

      652.60

      638.70

      646.70

   653.00

   642.00

   635.00

   640.00

   644.00

2nd Home 1sts % and FICO Score

 

Dec-04

Jan-05

Feb-05

Mar-05

Apr-05

May-05

Jun-05

Jul-05

Aug-05

Sep-05

Oct-05

Nov-05

Dec-05

Jan-06

Feb-06

Mar-06

Apr-06

May-06

Jun-06

Jul-06

Aug-06

Owner Occ - 1sts

88.72%

87.60%

87.12%

87.78%

88.14%

89.32%

89.22%

89.42%

88.95%

88.68%

89.02%

88.94%

89.26%

88.27%

88.47%

89.24%

91.15%

90.81%

90.92%

90.13%

89.47%

FICO OO - 1sts

     626.90

      625.70

     623.40

     626.80

      631.80

      633.10

     633.20

     632.90

     632.30

      635.30

      632.50

     630.00

      632.10

     628.20

     630.30

     630.40

    631.00

   633.00

   633.00

   635.00

   636.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nonowner Occ - 1sts

10.10%

11.41%

11.63%

10.94%

10.59%

9.45%

9.36%

9.08%

9.83%

10.32%

10.06%

9.74%

9.51%

10.27%

9.89%

9.59%

7.37%

7.86%

7.73%

8.24%

8.73%

FICO NOO - 1sts

      654.20

      655.00

      654.90

      654.30

       657.10

     660.20

      658.80

      657.00

      657.40

       657.50

      650.80

       650.10

      650.20

      646.50

     648.80

      647.50

    661.00

   667.00

   663.00

   669.00

   664.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2nd Home - 1sts

1.18%

0.99%

1.25%

1.29%

1.27%

1.23%

1.43%

1.50%

1.22%

1.01%

0.93%

1.32%

1.24%

1.47%

1.65%

1.17%

1.49%

1.34%

1.35%

1.63%

1.80%

FICO 2nd Home - 1sts

665.3

      636.50

      644.70

      654.80

      658.60

      656.80

     646.20

      661.30

       655.70

      702.60

      654.80

      633.70

      641.20

      652.60

      638.70

      646.70

   653.00

   642.00

   635.00

   640.00

   644.00


Slide 24

Risk Management – Appraisal Review
          100% appraisal review by Long Beach Mortgage underwriters
          100% appraisal review to Washington Mutual standards
        OptisValue System is WMB’s rules-based system and checks eligibility of 100% of appraisals
        CoreLogic’s HistoryPro and ThirdParty Scorecard are used on 100% of properties to reduce the risk of fraud
       
HistoryPro calculates an f-score (0 – 25) that represents the likelihood of flipping
          Score 0: appraisal review complete
          Score 1 – 3: CoreLogic’s AVMSelect used to verify value
–         15 AVM vendors tested on > 44,000 properties purchased Q4 2005
–         Top 5 vendors assigned by county
–         Choice of vendor based on accuracy and hit rate of AVM
–         Verification annually
–         AVM value triggers technical review if < 85% or > 120% of appraisal
•          Score 4 – 25: Appraisal sent to vendor management company for a technical review
       
ThirdParty Scorecardcalculates a score (0 – 25) that represents the likelihood the broker is committing collateral fraud; scores > 5 require vendor management company to complete a technical review
          Technical reviews performed by eAppraiseIT (First American) and LSI (Fidelity)
1.        Certified or licensed appraisers perform desktop or driveby review on about 30% of appraisals
2.        Currently, each vendor assigned half of all reviews for each geographic area
3.        Eventually, choice will be based on review quality, valuation accuracy and speed
          Loans underwritten using lower of appraised or revised value (0% tolerance)


Slide 25

Significant portion of appraisals reviewed by an appraiser

 

Wamu Prime Wholesale

Long Beach

% Appraiser Review - Administrative

14%

12%

% Appraiser Reviewed - Technical

18%

28%

% Approved without Appraiser Review

69%

60%

 

 

Wamu Prime Wholesale

Long Beach

 

% Appraiser Review - Administrative

14%

12%

 

 

% Appraiser Reviewed - Technical

18%

28%

 

 

% Approved without Appraiser Review

69%

60%

 


Slide 26

Strong Compliance Culture

Compliance reporting lines are independent of business units 

LBM compliance officers dedicated to loan fulfillment centers

High cost calculations automated in the loan origination system and prohibit approval of high cost loans 

100% of loans are reviewed for, among other things, compliance with key consumer regulations prior to funding

100% of refinance loans must pass a net tangible benefits test

ü          Corporate Compliance Risk reviews a sample of closed loans every month for compliance by loan fulfillment center and the grades are part of the loan fulfillment center’s Key Performance Indicators


Slide 27

Subprime Mortgage Conduit


Slide 28

WaMu Subprime Conduit Strategy
Create a business model that is focused on long-term, stable income growth rather than short-term cash proceeds
Unlike some Wall Street conduits, WaMu’s conduit has significant "skin in the game”
Opportunistically add loans to WaMu’s balance sheet
Develop strong, lasting partnerships with sellers
Focused on middle market subprime lenders (net worth ≈ $5MM on average)
WaMu can provide warehouse funding, takeout, deposit services, etc.
Implement strong risk management systems
Accurate credit risk assessment
Ongoing risk management and feedback to acquisition and credit risk teams
Goal is stable and consistent loan performance
Employ "best in class"servicing tools and techniques
Washington Mutual sells servicing retained and affiliates retain residual ownership
Goal is to attain superior performance given credit quality
Ongoing performance feedback to acquisition and credit risk teams
Create strong relationships with investor partners
Transparency is a key goal


Slide 29

Risk Management – Sellers
Seller due diligence focused on developing a long-term profitable relationship
Thorough review of business and lending practices, underwriting philosophy and guidelines
Comparison to industry standards
Focus on prudent risk management of seller
Limit exposure to predatory lending and full compliance with consumer regulations
Review historical performance and compare to industry norms
Net worth ≈ $5MM on average
Sellers have room to grow their businesses but are not too big to control
WaMu can provide full menu of banking services
Ongoing "Deep Dive"seller performance monitoring using proprietary risk management models
Focus on credit and churning
Performance vs. expectations
Performance vs. other WaMu partners
Performance vs. industry
Seller reps/warrants strictly enforced


Slide 30

Risk Management – Mortgages
Extensive use of models drives performance expectations
Models are constantly re-calibrated to incorporate recent performance history
Clearly established minimum standards
Credit standards reviewed and approved by Washington Mutual Credit Policy Committee
Seller pools are filtered to so that loans meet minimum standards prior to due diligence
NO FICO < 500
MAX LTV/CLTV 100
NO High-risk property types: MH, 5+ units, condotels, coops, time shares
Significant level of loan level due diligence by third-party due diligence firms
100% complete re-underwrite on pools purchased from new sellers
25% - 100% complete re-underwrite for repeat sellers
100% - validation of appraisal using third-party appraisal valuation product
20% - 100% appraisals reviewed using appraiser drive-by review
100% collateral file review by custodian
100% review for consumer compliance
100% review for predatory practices: flipping, equity stripping, fraud
Washington Mutual management reviews all due diligence decisions by third-parties


Slide 31

Collateral profile of conduit channel

Transaction

 

Aggregate

2006-HE1

2006-HE2

2006-HE3

2006-HE4

Closing Date

 

 

Apr 20, 2006

May 25, 2006

Sep 29, 2006

Oct 27, 2006

Pool Size

 

$  1,563,529,554

$  389,194,677

$  472,002,321

$  411,288,638

$  291,043,919

Loan Type

2nd Lien %

4%

3%

6%

4%

5%

 

Adjustable Rate Mortgages

83%

84%

86%

76%

86%

 

Interest Only Loans

22%

35%

21%

20%

12%

 

40 Year Amortization

22%

2%

18%

32%

42%

 

Piggyback 1sts

34%

42%

41%

27%

24%

Coupon

Weighted Average Coupon

8.07%

7.38%

8.30%

8.16%

8.50%

 

     ARM Gross Margin

5.92%

5.69%

6.08%

5.60%

6.42%

Loan Size

Average Loan Size

$  194,504

$  208,039

$  183,018

$  222,559

$  155,389

 

     Loans < $50,000

1%

1%

2%

1%

2%

 

     Loans > $500,000

12%

13%

12%

14%

6%

Borrower Quality

FICO

628

635

625

623

631

 

     FICO < 600

29%

24%

31%

35%

26%

 

0x30 Mortgage/Rent History

75%

79%

79%

79%

58%

 

Debt to Income Ratio

42%

41%

42%

42%

42%

 

     DTI > 55%

1%

0%

2%

0%

0%

Loan-to-Value

Original Loan to Value Ratio

80%

79%

81%

80%

83%

 

     OLTV > 80%

32%

29%

30%

37%

32%

 

Combined Loan to Value Ratio

88%

87%

89%

84%

92%

 

     CLTV > 80%

69%

69%

70%

60%

78%

Documentation

Full Documentation

50%

45%

54%

51%

50%

 

Stated Income

42%

49%

43%

45%

26%

Property

Owner Occupied

95%

96%

96%

93%

94%

 

SFR + PUD

88%

94%

88%

84%

88%

 

California

35%

40%

37%

39%

17%

Purpose

Cashout

50%

48%

45%

65%

37%

 

Purchase

45%

47%

51%

27%

58%


Slide 32

Subprime Servicing



Slide 33

Servicing Default Management Organization

Steve Champney SVP National Default Ed Bach National Mgr Collections & Subprime Loss Mit Ann Thorn National Mgr Asset Recovery Ken Bartell National Mgr FRU/MIS/Budget/Call Strategy & Reporting Renee Johnson National Mgr Strategic Ops Brad Kallner National Mgr Prime Loss Mitigation Danny Lawson Senior Mgr Reserves Open National REO &Special Services Michael Goines Div. Mgr SubPrime IB/OB Beth Boulton Div. Mgr BKR/FLC Timeline Mike Wood Dept Mgr FRU/Loss Analysis Steve Solof Div. Mgr Audit Wendy Woodcock Dept Mgr Ops Support Haran Sundareasan SM II Prime REO - FL Pat Friedberg Div. Mgr SubPrime 30-89 Ann Garbis Div. Mgr BKR/FLC Splc. Loans Karen Gothard Dept Mgr Def. Reporting Open Div. Mgr Sr. Project Mgr Treana Higginbotham Dept. Mgr Workout Spec. Marilyn Sanders Asset Mgr IISP REO - TX Lisa Shepherd Div. Mgr EEPD/FPD Open Div. Mgr AR Vendor Mgmt Greg Purtee Div. Mgr Call Center Strategy Loretta Clark Dept Mgr II Communications and Emp. Morale Julie Mathis Sect. Mgr II Organ. Design Mahala Anderton Div. Mgr Prime Michele Stockdale Div. Mgr P/P & S/P Cynthia Vranesevic Mgr II MIS/Budget Open Div. Mgr Credit Risk Wendy Knafelc Dept. Mgr Spec. Projects Open Div. Mgr SubPrime IB/OB Miguel Perez Dept. Mgr SubPrime LM/Back End Chats Open Dept Mgr SubPrime LM/Front End JaxOpen


Slide 34

Management Experience
Steve Champney, Senior Vice President
National Default Management
Ed Bach
National Manager
Prime/Subprime Collections &
Subprime Loss Mitigation
Location: Jacksonville/Chatsworth
14 Years Experience
Sub-prime FDP/EDP Strategy Integration
Lisa Shepherd – 16 Years Experience
MIS/Budget - Default Technical Support
Cynthia Vranesevic – 16 Years Experience
Brad Kallner
National Manager
Prime Loss Mitigation
Location: Jacksonville
15 Years Experience
Ken Bartell
National Manager
Final Analysis, Dialer, and Default
Reporting
Location: Chatsworth/Jacksonville
21 Years Experience
Danny Lawson
FVP
Reserves
Location: Jacksonville
20 Years Experience
Ann Thorn
National Manager
Asset Recovery
Location: Chatsworth/Jacksonville
16 Years Experience
|
Renee Johnson
National Manager|
Strategic Operations/REO
Location: Jacksonville
18 Years Experience


Slide 35

Servicer Ratings reflect above average ability

WMB’s Subprime Servicer Ratings:

Moody’s – "SQ2"Above Average

"Moody's ratings are based on above average collection abilities, above average loss mitigation results, above average foreclosure timeline and REO management and above average servicer stability." Moody’s Investors Service press release July 8, 2005.

Standard & Poor’s – "Above Average”

"Servicer demonstrates very high ability, efficiency, and competence in managing mid-to-large-sized portfolios, as well as solid management experience, an acceptable track record, internal practices and policies that meet industry or regulatory standards, and a managed-portfolio performance history similar to industry averages."Standard & Poor’s

Fitch – "RPS2+"Full Approval (with Noted Strengths)

"Servicers that receive a level two (2/2+/2-) rating have demonstrated high performance in all relevant categories.  In addition, the level two designations represent the servicer has specific strengths in several areas…" Fitch Ratings


Slide 36

Recent improvements in subprime servicing strategy

Simplified performance incentive plan and increased bonus potential

Developed new capacity and forecasting models to ensure appropriate staffing levels maintained

Added second site in Florida to extend hours of coverage and enhance disaster recovery

Significantly enhanced dialer usage to increase size of calling campaigns and penetration rate;  utilized call blending options resulting in an increase of "Right Party Contacts"and Service Levels

Automated Default operational reports and employee dashboards

Rolled out the "BITB Service Platform"to Subprime Collections and Loss Mitigation enabling customized payment and workout plans

Automated foreclosure referral process resulting in increased consistency and efficiency


Slide 37

Improved Servicing Metrics
Outbound Call Volune

Outbound Call Volume

1522092

2112006

2247487

2263762

2395270

Inbound Call Volune

Inbound Calls Volume

55396

60306

80852

84248

87439

Calls in Campaign

Inbound Calls Volume

55396

60306

80852

84248

87439

 

Penetration Rate

Outbound Call Volume

1522092

2112006

2247487

2263762

2395270


Slide 38

Washington Mutual Overview


Slide 39

Leading Player in All Business Lines
National Rankings
Retail Banking
   Total deposits and retail banking stores          6th
   Debit cards outstanding          3rd 
   Home equity loans     5th
Bank credit card issuer1           6th
Commercial Group
   Multi-family portfolio holdings            1st
Home Loans
   Home lending originations and servicing2        3rd
    Subprime lending3    10th  
1 Nilson Report, 8/06, mid-year 2006 ranking.
2 Inside Mortgage Finance, YTD through 6/30/06 (originations), as of 6/30/06 (servicing)
3 Inside B&C Lending, YTD through 6/30/06


Slide 40

Powerful Distribution Franchise
Presence in 18 of 30 Largest Metropolitan Areas
Retail Banking and Mortgage Lending

   2,225 Retail Stores in 15 States
   3,924 ATMs
   325 Home Loan Centers in 22 States

Wholesale, Consumer Direct and/or Long Beach Mortgage Lending in 49 States
Multi-Family Lending through 46 Offices in 17 Markets
Ask of 9/30/06


Slide 41

Asset Mix Continues to Evolve

$187 billion as of 12/31/99

            Other Assets    Loans Held for Sale      Multi-Family and CRE  Home Equity    Prime Home Loans and MBS            Credit Cards    Subprime

            7.10%  0.40%  9.80%  4.60%  75.80%                        2.40%

$349 billion As of 9/30/06

            Other Assets    Loans Held for Sale      Multi-Family and CRE  Home Equity    Prime Home Loans and MBS            Credit Cards    Subprime

            63122  23637  33275  54364  145634            8807    20080


 

Slide 42

Management Depth Kerry Killinger Chairman and CEO 34 Years of Industry Experience Tom Casey CFO 15 Years Fay Chapman General Counsel 30 Years Steve Rotella President and COO 27 Years Ron Cathcart Chief Enterprise Risk Officer 23 Years John Woods Controller 19 Years Robert Williams Treasurer 20 Years James Corcoran President, Retail Bank 25 years Joseph Saunders President, Credit Cards 37 Years David Schneider President, Home Loans 13 Years Al Brooks President, Commercial 27 Years Deb Horvath Chief Tech. Officer 26 Years Executives shaded in yellow joined Washington Mutual after October 1, 2004


Slide 43

Strong Credit Ratings
Based on WaMu’s strong deposit base, lending franchise and financial strength
Washington Mutual, Inc.  Washington Mutual Bank
Moody's S&P Fitch        Moody's S&P Fitch
Senior Unsecured LT           A3         A-                  A  A2                 A           A
Short Term                          P2         A2                  F1 P1        A1       F1
Subordinated                       Baa1    BBB+   A-            A3       A-        A-
Deposit                             n/a        n/a       n/a   A2       n/r        A+
Preferred Stock                Baa2    BBB      A-  n/r        n/r        n/r
Outlook                                         S          P          S    S          P          S
Moody's

"Ratings reflect its solid consumer deposit and mortgage franchises, with strong market shares in many different geographic markets, as well as its good earnings, sound asset quality and solid management.”1

Standard & Poor's

"WaMu’s successful and explosive de novo branch strategy targets new, high-growth markets for WaMu. This strategy has greatly improved WaMu's retail deposit profile.”2

1 Source: Moody’s, 6/16/05

2 Source: Standard and Poor’s, 6/30/05


Slide 44

Contacts

Doug Potolsky

WaMu Subprime Capital Markets

Senior Vice President

(212) 702-6961

doug.potolsky@wamu.net

Dave Coultas, CFA, CPA

Long Beach Mortgage

FVP, Capital Markets

(206) 302-4158

dave.coultas@wamu.net

Henry Engelken, CFA

WaMu Subprime Capital Markets

FVP, Director of Investor Relations

(212) 702-6965

henry.engelken@wamu.net

Long Beach Mortgage performance information: www.longbeachmortgage.com

Lead underwriter contacts:

Vincent Varca

WaMu Capital Corp.

Director

(212) 702-6931

vincent.varca@wamu.net

Kevin Richmond

WaMu Capital Corp.

Subprime Trader

(212) 702-6921

Kevin.richmond@wamu.net


Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘FWP’ Filing    Date    Other Filings
Filed on:11/17/06
9/30/06
6/30/06
5/25/06
3/31/06424B5,  S-3/A
7/8/05
10/1/04
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