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WaMu Asset Acceptance Corp. · FWP · WaMu Asset Acceptance Corp. · On 1/26/07

Filed On 1/26/07, 5:01pm ET   ·   Accession Number 1277277-7-55   ·   SEC File 333-130795

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

 1/26/07  WaMu Asset Acceptance Corp.       FWP                    2:20M  WaMu Asset Acceptance Corp.       Kelly Cecelia Anne/FA

Free Writing Prospectus   —   Rule 163/433
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Slide 1

Subprime Mortgage Program

January 2007


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:
Volatile interest rates and the impact on mortgage rates;
Economic trends that negatively impact the real estate lending environment;
Risks related to the option adjustable-rate mortgage product;
Risks related to subprime lending;
Operational risks;
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;
General business and economic conditions, including movements in interest rates, the slope of the yield curve, and the potential overextension of housing prices in certain geographic markets; and
Reputational risk.
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

23 

-

Documentation trends

-

Forward looking statement

24 

-

Loan purpose trends

-

Index

25 

-

Occupancy trends

-

Subprime Mortgage Overview

26 

-

Long Beach Deal Stats 2006 - 2007

-

Subprime business expansion

28 

-

Appraisal review

-

Mortgage business realignment

29 

-

Consumer compliance

-

Organization Chart

30 

-

Subprime Mortgage Conduit Overview

-

Management experience

31 

-

Conduit strategy

-

Long Beach Mortgage Overview

32 

-

Risk management- sellers

10 

-

Historical timeline

33 

-

Risk management - mortgages

11 

-

Map of loan fulfillment centers

34 

-

Collateral profile

12 

-

Production trend

35 

-

Subprime Servicing Overview

13 

-

Changes in credit standards

36 

-

Default management organization chart

16 

-

2004 shift in credit quality

37 

-

Servicing management experience

17 

-

Serious delinquent trends

38 

-

Servicer ratings

18 

-

Piggyback performance trends

39 

-

Recent improvements

19 

-

FICO distribution trends

40 

-

Impact of improvements

20 

-

FICO distribution trends

42 

-

Washington Mutual Overview

21 

-

Piggyback trends

48 

-

Contacts

22 

-

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

Realignment of all WaMu’s residential mortgage businesses under one roof

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;
Separate default management teams and strategies for prime and subprime;
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 9 mos

15.751

* 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
→ Established First Time Home Buyer definition: no residential ownership for 24 months
→ 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
Minimum credit scores established:
- Full Doc ≤ 90% LTV/CLTV = 550
- Full Doc > 90% LTV/CLTV = 600
- Stated Income = 620
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
 


Slide 14

Improving credit standards since 2004 (cont)

Jun 2006 → Established maximum loan of $500,000 for non-owner occupied properties with LTV > 85%
Oct 2006 → Raised minimum credit history standard for high CLTV loans
Nov 2006 → Raised piggyback stated income FICO score minimum to 640
→ Revised bankruptcy discharge seasoning requirement to be dependent on LTV/CLTV rather
than borrower quality (note Premium A+ requires minimum 24 months since bankruptcy
regardless of LTV/CLTV)
36 months: LTV/CLTV = 90.01% - 100.00% (previously 95.01% - 100%)
24 months: LTV/CLTV = 85.01% - 90.00%
18 months: LTV/CLTV = 80.01% - 85.00%
→ First Time Home Buyers
Stated Income non-piggyback loan, established FICO minimum at 620
HistoryPro report on all subject properties
→ New guidelines for borrowers with a vested interest in a property but with no mortgage history
→ Minimum credit history
LTV/CLTV ≥ 90%: 1 of 3 trade lines minimum high credit balance of $2,500
Premium A+: 3 trade lines with a minimum of 24 months activity on at least one
→ Disallowed borrowers from switching to Stated Income from Full/Limited Doc
Jan 2007 → Minimum loan amount increased to $50,000 for 1st liens and $15,000 for 2nd liens → Maximum loans to one borrower decreased from 10 loans to 3 loans
→ Maximum aggregate loan amount to one borrower decreased from $6MM to $2.5MM → Minimum credit score for non-piggyback 1st liens increased
Stated income and 95% LTV/CLTV = 640
Full doc and >80% LTV/CLTV = 540
Full doc and ≤ 80% = 500
 


Slide 15

Improving credit standards since 2004 (cont)

Jan 2007 → Non-owner occupied purchase money loans: FICO minimum = 660; LTV/CLTV maximum = 80%
→ Revised minimum credit history requirements
Purchase money and LTV/CLTV ≥ 90% = 3 trade lines open for 24 months plus 1 open trade line with minimum high credit $2500 open ≥ 12 months
All non-owner occupied loans = 3 trade lines open for 24 months plus 1 open trade line with minimum high credit $2500 open ≥ 12 months
→ Limited seller concessions
→ Established maximum LTV/CLTV for Georgia, Michigan and Ohio loans
Full doc = 90%
Limited doc / stated income = 80%
→ Established maximum LTV/CLTV and minimum FICO for Illinois and Indiana loans
Full doc and LTV/CLTV > 95%: minimum FICO = 640
Stated income: minimum FICO = 640 and maximum LTV/CLTV = 95%
→ Reduced the maximum age at funding of qualifying documents from 90 days to 60 days
→ Require 12 months canceled checks for verification of rent
→ Original LTV/CLTV used when refinancing properties owned ≤ 6 months
→ Original LTV/CLTV used when refinancing owner-occupied properties owned ≤ 12 months
→ Purchase money loans on properties owned by seller ≤ 6 months are disallowed
→ Property value increases > 20% in 12 months require a driveby appraisal and documented support
→ Established guidelines for loans backed by properties inherited within the prior 12 months


 


Slide 16

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 17

Proactive response to negative industry trends 

Subprime performance has deteriorated in 2006 more for Long Beach than the industry

 

2003

2004

2005

2006

Industry

0.88%

0.80%

1.32%

2.53%

Long Beach

1.29%

0.65%

1.32%

4.18%

 

2003

2004

2005

2006

Industry

1.19%

0.93%

1.55%

4.11%

Long Beach

1.89%

0.86%

1.59%

4.98%

Management actions have been effective in reducing these and other high-risk loan types

 

2003

2004

2005

2006

Industry

9.22%

13.49%

22.07%

23.49%

Long Beach

22.59%

35.38%

41.35%

43.46%

 

 

 

2006-1

58.4%

 

2006-2

52.5%

 

2006-3

53.1%

 

2006-4

61.1%

 

2006-5

44.1%

 

2006-6

48.3%

 

2006-7

46.2%

 

2006-8

44.7%

 

2006-9

41.8%

 

2006-10

37.3%

 

2006-11

32.9%

 

 Source: LoanPerformance, Washington Mutual
Data as of December 21, 2006


Slide 18
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 19

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 20

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 21

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 22

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 23

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 24

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 25

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 26

2006 Transaction Balance

<
  Aggregate 2006-1 2006-2 2006-3 2006-4 2006-5 2006-6 2006-7 2006-8 2006-9 2006-10 2006-11
Issue Date Feb 7, 2006 Mar 7, 2006 Apr 6, 2006 May 9, 2006 Jun 15, 2006 Jul 26, 2006 Aug 30, 2006 Sep 21, 2006 Oct 12, 2006 Nov 9, 2006 Dec 14, 2006
Aggregate Pool Size (billions) $  18 $  2.50 $  3.00 $  1.74 $  1.92 $  1.93 $  1.69 $  1.60 $  1.38 $  1.52 $  1.01 $  1.50
Average Loan Size $  221,218 $  203,813 $  213,779 $  194,309 $  200,960 $  212,127 $  212,882 $  214,166 $  217,404 $  215,152 $  235,110
Weighted Average Coupon 8.25% 8.54% 8.51% 8.55% 8.60% 8.39% 8.39% 8.46% 8.53% 8.47% 8.20%
     ARM Gross Margin 5.11% 5.10% 5.10% 5.10% 5.10% 5.10% 5.09% 5.11% 5.10% 5.11% 5.11%
FICO 633 632 634 635 631 639 638 639 639 635 639
     FICO < 600 26.7% 25.7% 23.0% 20.0% 23.1% 18.7% 18.8% 18.7% 18.9% 21.2% 21.1%
Original Loan to Value Ratio 79.7% 80.9% 80.7% 80.8% 80.9% 80.9% 80.8% 81.2% 81.8% 81.7% 81.3%
Combined Loan to Value Ratio 90.7% 90.8% 90.6% 92.4% 89.2% 90.2% 89.7% 89.9% 89.9% 88.9% 87.7%
Debt to Income Ratio 41.6% 41.7% 41.4% 41.7% 41.0% 41.5% 41.5% 39.4% 39.5% 39.5% 39.3%
1st Liens 100.0% 633 96.3% 631 96.0% 633 95.0% 633 95.0% 630 95.0% 638 94.6% 637 94.0% 638 93.8% 637 93.8% 634 93.8% 638
2nd Liens   0.0% na 3.7% 659 4.0% 661 5.0% 660 5.0% 657 5.0% 658 5.4% 658 6.0% 658 6.3% 658 6.2% 655 6.3% 659
1sts Liens with 2nd Liens (Total Pool) 58.4% 653 52.5% 654 53.1% na 61.1% 650 44.1% 651 48.3% 657 46.2% 657 44.7% 657 41.8% 657 37.3% 654 32.9% 657
1sts Liens with 2nd Liens (% of 1sts) 58.4% 653 54.5% 654 55.4% na 64.3% 650 46.4% 651 50.9% 657 48.9% 657 47.6% 657 44.5% 657 39.6% 654 35.1% 657
Adjustable Rate Mortgages 91.3% 633 88.1% 632 87.3% 633 85.9% 634 82.8% 630 83.9% 638 83.9% 636 82.6% 636 81.9% 636 78.8% 631 75.9% 634
Fixed Rate Mortgages 8.7% 628 11.9% 632 12.7% 638 14.1% 639 17.3% 637 16.2% 643 16.1% 646 17.4% 655 18.2% 653 21.2% 652 24.2% 657
Loans with Prepay Penalties 67.8% 633 66.1% 632 67.9% 634 67.3% 636 67.9% 631 71.7% 640 69.1% 640 75.1% 640 74.9% 641 75.5% 637 79.5% 640
Interest Only Loans 7.6% 674 8.5% 667 8.1% 664 7.1% 662 7.3% 668 6.4% 669 6.3% 666 7.5% 666 6.3% 671 8.5% 669 8.8% 665
40 Year Amortization 44.6% 648 45.0% 645 44.9% 649 41.7% 652 45.0% 640 52.8% 647 52.1% 646 46.3% 648 49.3% 646 43.9% 640 49.9% 642
Full Documentation 46.3% 610 43.6% 609 42.6% 612 44.0% 614 48.7% 617 51.0% 624 53.6% 626 52.3% 629 52.5% 628 57.7% 626 60.3% 632
Stated Income 49.2% 655 52.5% 652 53.6% 653 52.4% 652 46.8% 648 44.2% 656 41.4% 653 41.9% 654 42.1% 653 38.3% 649 34.9% 652
Limited Documentation 4.6% 616 3.9% 616 3.8% 614 3.7% 629 4.5% 621 4.8% 634 5.0% 632 5.8% 629 5.5% 631 4.0% 630 4.9% 630
Owner Occupied 89.6% 631 89.1% 630 88.7% 632 90.6% 634 89.2% 628 91.4% 636 91.4% 636 91.1% 637 89.7% 636 90.5% 632 91.4% 636
Non-owner Occupied 9.1% 649 9.6% 646 9.8% 649 8.6% 646 9.2% 660 7.4% 665 7.1% 665 7.5% 669 8.5% 665 7.9% 662 7.3% 670
2nd Home   1.3% 641 1.3% 650 1.5% 642 0.8% 644 1.6% 645 1.2% 643 1.4% 641 1.4% 650 1.8% 638 1.7% 660 1.3% 649
Purchase 63.2% 649 61.9% 650 60.7% 652 68.3% 649 56.8% 647 56.2% 654 52.3% 656 51.7% 657 49.5% 655 46.0% 654 40.1% 657
Cashout 33.2% 604 34.2% 603 35.5% 606 28.6% 605 39.7% 611 39.4% 619 43.9% 619 41.3% 619 42.0% 619 45.8% 617 52.3% 625
Rate/Term Refi 3.7% 607 3.8% 602 3.9% 613 3.1% 602 3.6% 609 4.4% 617 3.8% 611 6.9% 631 8.5% 640 8.2% 632 7.6% 639
California 39.9% 644 39.8% 643 41.4% 645 38.2% 647 38.2% 641 41.8% 648 39.5% 648 39.6% 648 40.1% 647 35.9% 645 45.5% 649
Florida 8.2% 629 7.5% 632 8.7% 626 9.1% 636 9.8% 628 10.4% 636 11.6% 633 11.8% 635 9.8% 635 10.3% 630 7.1% 627
Illinois 6.7% 639 5.5% 633 4.6% 639 5.6% 632 4.7% 632 4.0% 645 4.8% 636 2.9% 639 4.5% 641 3.5% 632 3.3% 639
Texas   4.8% 610 4.5% 617 4.2% 613 5.3% 623 5.5% 620