Vous êtes sur la page 1sur 63

U.S.

Residential Credit | 26 October 2011

SECURITIZATION RESEARCH
Sandeep Bordia

sandeep.bordia@barcap.com

Aaron Haan

aaron.haan@barcap.com

Jasraj Vaidya

jasraj.vaidya@barcap.com

Dennis Lee

dennis.lee2@barcap.com

Harkaran Talwar

harkaran.talwar@barcap.com
+1 212 412 2099

ABX and PrimeX Monitor October 2011


October 2011 remittance

October remittance reports showed liquidations slowing down in the ABX indices.
Voluntary speeds were higher for PrimeX, particularly for the ARM.2 and FRM.2
indices, and 60+ delinquent balances as a percentage of total balances generally fell
for most ABX indices and gained in PrimeX FRM indices.
In ABX, foreclosed loans as a percentage of balance continued to increase, lead by
Countrywide and First Franklin deals now serviced by Bank of America, such as CWL
2006-18 in ABX 07-1. In PrimeX ARM.2, prepayments went up, as shown in RFMSI
2007-SA2, which posted double-digit increases in CPR.

Valuations

On an unleveraged basis, the ABX 07 PAAA and AAA indices are trading at an 11-14%
yield, while the PrimeX indices are trading at a 5-7% yield. Within ABX, our favorite
long pick at current levels is 07-1 PAAA. In PrimeX, we continue to like FRM.1 and
ARM.1 on a leveraged basis. See Add to PrimeX Longs, October 6, 2011, for more
details.

September 2011 detailed remittance

Contents
Overall index summary
September remittance report summary ......................................................................... 2
Historical prices .................................................................................................................... 3
Loss adjusted yields and projected losses...................................................................... 4
Yield sensitivity to price levels .......................................................................................... 5
Delinquency, performance and roll rates ...................................................................... 6
Current characteristics, modification update ............................................................... 7
Bond level summary ......................................................................................................................... 8
Appendix I- Index level collateral performance
Roll, modification and liquidations over time .............................................................26
Liquidation timelines ........................................................................................................34
Appendix II Deal level collateral performance
Delinquency composition ...............................................................................................36
Performance metrics ........................................................................................................40

Current to delinquent roll rates were flat month-over-month and remain higher
than three months prior for the ABX indices and PrimeX indices. The long-term
trend of improving roll rates remains intact.

Roll rates .............................................................................................................................44

Voluntary prepayments (CRR) increased for PrimeX. For the other indices, it remained
fairly stable. CDRs rose in ABX and PrimeX as servicers worked to liquidate inventory.
Loss severities increased for the ABX indices.

Glossary ............................................................................................................................................60

60+days to foreclosure roll rates increased for ABX indices and decreased for
PrimeX indices. Foreclosure to REO rolls were flat. REO to liquidation roll rates were
higher in ABX. We expect 60+ days to foreclosure roll rates to improve gradually as
servicers upgrade their foreclosure processing.

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 61

Loan modification update ...............................................................................................48


Current characteristics .....................................................................................................56

Unless otherwise indicated, sources for all charts


LoanPerformance, Markit, Bloomberg, Barclays Capital.

and

tables

are

Intex,

Barclays Capital | ABX and PrimeX Monitor

October remittance initial report


Index

Collateral
Factor

ABX 06-1

60+ Delinq (% balance)

Foreclosure (%balance)

REO (%balance)

Overall CRR

Overall CDR

Severity

Oct

1 m

Oct

1 m

Oct

1 m

Oct

1 m

Oct

1 m

Oct

21%

37.4

(0.7)

20.0

0.4

3.7

(0.1)

0.8

0.2

10.0

(1.0)

82.1

1 m
1.9

ABX 06-2

26%

41.2

(0.4)

22.7

0.5

3.8

(0.1)

0.8

(0.3)

10.5

(0.8)

84.3

(5.6)

ABX 07-1

39%

44.6

(0.0)

23.2

0.6

4.0

(0.1)

1.3

(0.3)

9.5

(2.2)

95.0

(1.2)

ABX 07-2

46%

42.6

(0.4)

21.7

0.5

4.2

(0.1)

0.4

(0.9)

10.0

(1.7)

85.0

(6.2)

FRM.1

47%

9.2

0.9

3.9

0.2

0.8

0.2

15.4

(0.8)

1.9

0.4

44.0

(6.7)

FRM.2

47%

13.9

0.5

7.4

0.1

1.0

0.1

15.9

3.5

3.7

(0.1)

77.0

11.9

ARM.1

42%

11.9

0.0

6.0

(0.0)

0.9

0.0

14.9

3.1

4.5

0.3

64.9

15.4

ARM.2

42%

18.3

(0.3)

10.1

(0.1)

1.4

(0.3)

16.2

5.1

8.4

(0.8)

62.6

8.4

October remittance initial report Deals of interest


Index

Deal

Collateral
Factor

ABX 07-1

CWL 2006-18

ARM.2

RFMSI 2007-SA2

60+ Delinq (% balance)

Foreclosure (%balance)

REO (%balance)

Overall CRR

Overall CDR

Severity

Oct

1 m

Oct

1 m

Oct

1 m

Oct

1 m

Oct

1 m

Oct

1 m

51%

61.0

(0.0)

30.5

3.7

5.0

0.3

(0.3)

(0.6)

7.6

3.7

97.4

(17.7)

43%

15.0

(1.3)

10.4

(0.4)

0.5

(0.7)

28.5

16.4

11.5

-3.8

49.6

15.1

Note: Tables on this page are based on October 25, 2011, trustee-provided remittance reports. CDR and severity calculations are not available for all deals in PrimeX. All other sections of this report are based on September 26, 2011,
remittances loan level data. Source: Trustee remittance reports, Bloomberg, Markit, Barclays Capital

26 October 2011

Barclays Capital | ABX and PrimeX Monitor

Historical prices
ABX PAAA Prices
100
90

ABX AAA Prices


100

70

90

60

80

80

ABX AA Prices

50

70

70

40

60

60

50

50

30

40

40

20

30

30

10

20

20

Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11

Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11

06-1 PAAA
07-1 PAAA

06-1 AAA
07-1 AAA

06-2 PAAA
07-2 PAAA

ABX A Prices

06-2 AAA
07-2 AAA

0
Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11
06-1 AA
06-2 AA
07-1 AA
07-2 AA

ABX BBB Prices

30

25

PrimeX Prices

110

20

100

6
15

10

90

80

0
Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11
06-1 A
07-1 A

06-2 A
07-2 A

Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11


06-1 BBB
07-1 BBB

06-2 BBB
07-2 BBB

Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11


FRM.1

FRM.2

ARM.1

ARM.2

Source: Barclays Capital

26 October 2011

Barclays Capital | ABX and PrimeX Monitor

Loss adjusted yields and projected losses


Loss Adjusted Yields
Index

ABX 06-1

ABX 06-2

ABX 07-1
ABX 07-2

PrimeX

Sub-ind ex

Market Pric e

Severe
Stress

Stress

Base

Optimistic

Very
Optimistic

PAAA
AAA

79 - 8
83 - 27

2.3%
5.0%

4.8%
6.1%

6.7%
6.8%

8.3%
7.5%

9.5%
8.0%

AA
A
PAAA
AAA
AA
PAAA
AAA
PAAA
AAA
FRM.1

31 - 25
16 - 9
66 - 25
40 - 27
14 - 7
40 - 1
32 - 17
33 - 9
31 - 25
102 - 23

6.1%
-53.3%
5.2%
6.0%
-2.8%
6.9%
6.0%
6.3%
6.2%
3.7%

10.8%
-30.0%
8.5%
9.2%
-4.7%
10.6%
8.7%
9.7%
9.0%
4.4%

14.4 %
0.9%
11.3 %
11.8 %
-5.1%
14.3 %
11.0 %
12.9 %
11.8 %
4.9%

16.9%
4.4%
13.8%
13.4%
0.8%
17.4%
12.3%
15.3%
13.9%
4.9%

FRM.2
ARM.1
ARM.2

90 - 1
98 - 1
84 - 18

4.3%
3.9%
4.5%

5.3%
5.1%
5.9%

6.2%
6.0%
7.1%

6.8%
6.4%
7.9%

Base Spread
Duration

P ro jected Tran che Lo ss

Index Yield @
Flat Libor

Severe
Stress

Stress

Base

Optimistic

Very
Optimistic

2.1
2.9

21
8

16
4

13
3

11
2

9
2

4.9%
5.4%

18.5%
8.1%
15.4%
14.7%
5.4%
19.8%
13.2%
17.1%
15.2%
4.9%

6.0
2.3
2.5
6.2
1.8
3.9
6.0
5.0
5.5
3.8

64
100
27
51
94
53
63
64
66
15

43
100
20
35
94
44
54
54
59
9

27
92
14
25
94
34
45
44
50
5

22
87
10
19
91
26
38
36
42
4

17
79
7
15
87
21
32
29
34
3

10.5%
-2.2%
9.3%
8.4%
-8.6%
10.9%
6.9%
9.1%
7.4%
3.2%

7.2%
6.6%
8.4%

3.8
4.0
4.1

31
15
33

24
9
27

19
5
21

16
2
17

14
1
15

4.2%
4.3%
5.0%

Yield and loss sensitivity to model CDR


Loss Adjusted Yields
Index

ABX 06-1

ABX 06-2

ABX 07-1
ABX 07-2

PrimeX

Sub-ind ex

Market Pric e

PAAA
AAA

0.5x CDR

0.75x
CDR

79 - 8
83 - 27

9.0%
6.9%

7.8%
6.9%

AAA
A
PAAA
AAA
AA
PAAA
AAA
PAAA
AAA
FRM.1

31 - 25
16 - 9
66 - 25
40 - 27
14 - 7
40 - 1
32 - 17
33 - 9
31 - 25
102 - 23

17.6%
16.0%
13.6%
13.6%
15.5%
18.4%
13.0%
15.4%
14.3%
5.5%

FRM.2
ARM.1
ARM.2

90 - 1
98 - 1
84 - 18

7.5%
6.7%
8.6%

P rojected Tran che Loss

0.9x CDR Base CDR 1.1x CDR

1.25x
CDR

7.1%
6.9%

6.7%
6.8%

6.2%
6.8%

5.7%
6.8%

4.8%
6.7%

6
2

10
3

16.1%
7.2%
12.7%
12.8%
4.8%
16.4%
11.9%
14.5%
13.4%
5.2%

15.1%
2.2%
11.9%
12.2%
-0.9%
15.1%
11.4%
13.5%
12.4%
5.0%

1 4.4%
0.9%
1 1.3%
1 1.8%
-5 .1%
1 4.3%
1 1.0%
1 2.9%
1 1.8%
4.9%

13.6%
-1.4%
10.7%
11.3%
-6.1%
13.5%
10.4%
12.3%
11.1%
4.7%

12.2%
-8.7%
9.9%
10.4%
-6.6%
12.3%
9.6%
11.3%
10.2%
4.5%

9.3%
-50.5%
8.3%
8.8%
-6.9%
10.3%
8.0%
9.6%
8.5%
4.1%

7
44
4
8
55
11
18
19
20
3

6.9%
6.4%
7.9%

6.5%
6.1%
7.4%

6.2%
6.0%
7.1%

5.9%
5.8%
6.8%

5.5%
5.5%
6.3%

4.9%
5.0%
5.5%

14
1
14

1.5x CDR 0.5x CDR

0.75x
CDR

0.9x CDR Base CDR 1.1x CDR

1.25x
CDR

1.5x CDR

12
3

13
3

14
3

15
3

17
4

20
82
8
16
88
23
33
32
38
4

25
91
12
22
92
30
41
40
47
5

27
92
14
25
94
34
45
44
50
5

32
95
16
28
94
37
49
48
53
6

39
99
19
33
94
42
53
52
57
7

53
100
23
41
94
48
58
58
62
8

17
3
18

18
4
20

19
5
21

20
5
22

21
7
24

23
8
26

Note: Prices from October 24, 2011. Yields are calculated on a cash-equivalent unlevered basis. Home price appreciation scenarios can be seen in detail on Barclays Capital Live, keyword HPA.

26 October 2011

Barclays Capital | ABX and PrimeX Monitor

Sensitivity of yields to different price levels


PrimeX. FRM.1

PrimeX. FRM.2

PrimeX. ARM.1

PrimeX. ARM.2

Price

Yield

Price

Yield

Price

Yield

Price

Yield

98.7
100.7

5.9%
5.3%

86.0
88.0

7.3%
6.8%

94.0
96.0

7.0%
6.5%

80.6
82.6

8.2%
7.6%

102.7

4.9%

90.0

6.2%

98.0

6.0%

84.6

7.1%

104.7
106.7

4.4%
3.9%

92.0
94.0

5.7%
5.2%

100.0
102.0

5.5%
5.0%

86.6
88.6

6.5%
6.0%

ABX06-1 PAAA

ABX06-1 AAA

ABX06-1 AA

ABX06-1 A

Price

Yield

Price

Yield

Price

Yield

Price

Yield

75.3
77.3

9.8%
8.2%

79.8
81.8

8.8%
7.8%

27.8
29.8

16.7%
15.5%

12.3
14.3

3.3%
2.0%

79.3
81.3

6.7%
5.3%

83.8
85.8

6.8%
6.0%

31.8
33.8

14.4%
13.5%

16.3
18.3

0.9%
0.0%

83.3

4.1%

87.8

5.1%

35.8

12.6%

20.3

-0.7%

ABX06-2 PAAA

ABX06-2 AAA

ABX06-2 AA

Price

Yield

Price

Yield

Price

Yield

62.8

14.1%

36.8

13.6%

10.2

0.0%

64.8

12.7%

38.8

12.7%

12.2

-2.8%

66.8
68.8

11.3%
10.0%

40.8
42.8

11.8%
11.0%

14.2
16.2

-5.1%
-7.0%

70.8

8.9%

44.8

10.2%

18.2

-8.6%

ABX07-1 PAAA

ABX07-1 AAA

ABX07-2 PAAA

ABX07-2 AAA

Price

Yield

Price

Yield

Price

Yield

Price

Yield

36.0

17.5%

28.5

13.3%

29.3

15.8%

27.8

14.6%

38.0
40.0

15.8%
14.3%

30.5
32.5

12.1%
11.0%

31.3
33.3

14.3%
12.9%

29.8
31.8

13.1%
11.8%

42.0

13.0%

34.5

9.9%

35.3

11.7%

33.8

10.6%

44.0

11.7%

36.5

9.0%

37.3

10.6%

35.8

9.5%

26 October 2011

Barclays Capital | ABX and PrimeX Monitor

September remittance data


Delinquency composition
Index

Factor

WALA

ABX 06-1
ABX 06-2
ABX 07-1
ABX 07-2
PrimeX.FRM1
PrimeX.FRM2
PrimeX.ARM1
PrimeX.ARM2

21%
27%
37%
47%
47%
46%
41%
41%

75
70
63
57
73
58
76
58

Index

Factor

WALA

ABX 06-1
ABX 06-2
ABX 07-1
ABX 07-2
PrimeX.FRM1
PrimeX.FRM2
PrimeX.ARM1
PrimeX.ARM2

21%
27%
37%
47%
47%
46%
41%
41%

75
70
63
57
73
58
76
58

Always Current (%balance)


1 m
3 m

Current
25.8
22.1
20.7
20.4
86.8
75.3
82.9
70.5

(0.2)
(0.2)
(0.2)
(0.3)
(0.3)
(0.4)
(0.0)
(0.3)

(0.6)
(0.5)
(0.6)
(0.7)
(0.7)
(1.3)
(0.4)
(0.8)

60+ Delinq (%balance)


1 m
3 m

Current
39.4
41.1
44.0
42.8
7.4
12.2
10.5
17.5

(0.3)
(0.2)
(0.3)
(0.3)
0.1
(0.1)
0.0
(0.2)

(0.5)
(0.3)
(0.8)
(0.6)
0.5
0.2
0.0
(0.1)

Foreclosure (%balance)
1 m
3 m

Current
20.3
22.1
22.2
21.1
3.7
7.1
5.9
10.1

0.8
0.3
0.5
0.4
0.1
(0.2)
0.0
(0.0)

REO (%balance)
1 m
3 m

Current
4.1
3.9
4.1
4.3
0.5
1.0
0.9
1.5

1.6
0.9
0.9
0.6
0.3
0.2
0.2
0.2

(0.2)
(0.0)
(0.0)
(0.1)
(0.0)
0.1
0.1
(0.1)

(0.2)
(0.2)
(0.2)
(0.3)
(0.0)
0.2
0.1
(0.1)

Modified (%balance)
1 m
3 m

Current
47.6
49.1
46.3
47.9
3.6
11.2
3.6
11.4

0.6
0.5
0.7
0.7
0.1
0.3
0.1
0.4

1.6
1.6
1.9
2.2
0.4
1.0
0.4
1.8

Performance trends
Overall CRR
Overall CDR
Severity with mods
Liquidation CDR
Liquidation Severity
% Shortsale
1 m
3 m Current 1 m 3 m Current 1 m 3 m Current 1 m 3 m Current 1 m 3 m Current 1 m 3 m
(0.4)
0.1
10.7
(0.2) 0.2
73
1
1
10.1
0.1
0.2
67
(4)
0
39
(9)
(9)
0.4
0.7
11.9
1.3
(1.3)
84
5
5
10.9
1.2
(1.7)
78
3
2
44
(1)
(0)
0.2
0.0
12.9
1.2
1.0
88
3
2
11.6
1.2
0.9
80
2
2
45
1
(4)
0.3
0.2
13.0
1.0
1.5
81
0
3
11.4
0.6
1.2
75
1
0
43
0
(2)
2.8
4.9
2.9
1.0
(0.0)
43
(8)
(16)
2.8
1.0
0.0
23
(7)
(11)
39
(20)
(8)
0.7
1.2
5.7
1.1
1.3
48
(4)
(5)
5.4
1.0
1.3
41
4
(2)
62
7
(6)
(0.6)
(1.5)
6.3
2.0
2.0
33
1
3
6.2
1.9
1.9
28
(3)
(1)
75
34
24
1.6
(1.5)
10.3
0.6
(1.9)
48
(3)
7
10.2
0.5
(1.8)
45
(4)
6
62
(14)
1

Current
1.4
1.5
1.3
1.4
18.4
12.0
10.9
10.8

Roll rates
Index
ABX 06-1
ABX 06-2
ABX 07-1
ABX 07-2
PrimeX.FRM1
PrimeX.FRM2
PrimeX.ARM1
PrimeX.ARM2

Current to Dq rolls
1 m
3 m

Current
3.8
4.1
4.3
4.5
0.5

(0.4)
(0.5)
(0.1)
(0.1)
0.1

1.1
0.6
1.4

Always Cur to Dq rolls


1 m
3 m

0.2
0.2
0.3
0.4
(0.0)

Current
1.2
1.5
1.8
2.0
0.4

(0.1)
(0.1)
(0.1)
0.1
0.1

0.1
(0.2)

0.1
(0.1)

0.6
0.4

0.2

0.5

1.0

60+ to Fcl Rolls


1 m
3 m

(0.0)
0.1
0.1
0.4
0.0

Cu rrent
13.4
12.9
12.1
11.9
12.0

2.3
(0.0)
2.1
1.7
(0.8)

(0.0)
(0.1)

0.0
(0.1)

11.0
12.1

0.2

0.4

14.6

Fcl to REO rolls


1 m 3 m

3.1
1.5
2.5
1.6
(8.7)

Current
2.1
2.4
2.2
2.1
2.0

0.1
0.0
(0.1)
(0.1)
0.8

(3.2)
(1.3)

(8.5)
(2.8)

3.0
3.8

(1.9)

(2.8)

1.3

REO to Liq Rolls


1 m 3 m

(0.4)
0.3
0.1
(0.4)
(1.7)

Current
13.4
13.8
14.5
14.4
15.9

1.9
2.1
1.1
1.3
8.5

1.1
0.4

1.4
0.6

15.8
9.8

(1.9)

(1.4)

18.7

Cure Rate
1 m 3 m

1.2
(3.2)
3.3
2.5
1.9

Current
5.4
4.9
4.5
4.9
2.3

0.6
0.8
0.5
0.6
(0.7)

0.6
0.4
0.1
0.6
(1.8)

(0.5)
(7.9)

3.4
(4.7)

4.6
2.7

0.4
0.1

(0.1)
0.3

2.5

(7.4)

2.3

0.2

(0.0)

Note: All data on this page and next are based on September 26, 2011 remittances.

26 October 2011

Barclays Capital | ABX and PrimeX Monitor

Loan modification update


Index
ABX 06-1
ABX 06-2
ABX 07-1
ABX 07-2
PrimeX.FRM1
PrimeX.FRM2
PrimeX.ARM1
PrimeX.ARM2
Index
ABX 06-1
ABX 06-2

Ever modified (%)


1 m
3 m

Ever modified w PNI (%)


1 m
3 m
0.7
1.7

Mod rate(%)
Current 1 m 3 m
0.8
0.1
(0.0)

Current
47.6

0.6

1.6

Current
53.1

49.1
46.3
47.9
3.6
11.2
3.6

0.5
0.7
0.7
0.1
0.3
0.1

1.6
1.9
2.2
0.4
1.0
0.4

54.2
51.2
51.6
3.9
12.0
4.6

0.6
0.7
0.7
0.1
0.4
0.2

1.6
2.0
2.2
0.4
1.1
0.5

0.8
0.9
0.9
0.1
0.3
0.1

0.1
0.1
(0.1)
(0.1)
(0.1)
0.0

11.4

0.4

1.8

12.7

0.4

1.8

0.4

0.0

Share of Debt+Rate (%)


1 m
3 m

Current
21

(2)

24
28

2
1

25
0

ABX 07-1
ABX 07-2
PrimeX.FRM1
PrimeX.FRM2
PrimeX.ARM1
PrimeX.ARM2

Share of PNI (%)


1 m
3 m

0.1

(0.1)
(0.1)
(0.2)
(0.0)
0.0
0.0

1.0
1.2
1.2
0.1
0.4
0.2

0.2
0.2
0.1
(0.1)
(0.0)
0.1

(0.1)

0.4

(0.0)

Rate Reduced
Current 1 m 3 m
3.8
0.3
0.1

(0)

Current
24

3
5

22
19

5
5

9
9

4.2
4.4

0.1
0.1

4
0

(2)
(17)

21
0

12
(2)

12
0

4.4
0.8

26
19

18
18

20
4

17
19

9
10

5
(14)

14

(8)

10

(2)

(5)

Mod rate w PNI(%)


1 m
3 m

Current
1.0

0.0

(0.0)
(0.0)
(0.1)
(0.0)
0.1
0.0

42
41
35
100
54
48

(10)
(8)
(12)
59
(9)
23

(0.2)

50

36

Amount Forgiven (%)


1 m 3 m

Current
25

(9)

(0.0)
(0.1)

30
35

4
4

(0.1)
(0.5)

(0.0)
(0.6)

33
0

2.5
0.6

(0.1)
0.1

(0.0)
0.1

1.3

0.2

MTM-LTV
MTM(dq)
CLTV(d q)

Share of Rate Red (%)


1 m
3 m

Current
38

(12)

(2)

(2)

(9)
(12)
(16)
31
(29)
17

5
4
6
0
3
0

2
1
0
(1)
3
0

2
(3)
(1)
0
3
(9)

17

(1)

Principal Recapped (%)


1 m
3 m

(6)

Current
12

6
8

16
12

3
0

5
(2)

7
(11)

11
2

15
14

(1)
2

4
(1)

(0.3)

10

(11)

(15)

W AC

%Full
Doc

%IO

%PMI

%Pur

Share of Debt Forg (%)


1 m
3 m

Current
2

Payment reduced (%)


1 m
3 m

Current
31

3
(1)

33
34

3
6

2
3

(1)
(0)

(0)
0

34
10

2
0

4
(7)

5
3

0
(42)

1
(0)

26
15

4
3

(0)
0

(1)

(2)

17

10

Current Characteristics
In dex

Factor

FICO

MTMLTV

MTMCLTV

ABX 06-1
ABX 06-2

21%
27%
37%
47%
47%

629
622
622
620
737

108
116
120
121
96

114
122
127
128
100

113
122
127
127
103

121
130
135
135
108

5.9
6.1
6.5
6.1
5.8

64
63
63
61
52

31
21
14
16
11

6.1
5.3
1.5
3.2
1.3

36
38
36
29
47

33
36
35
35
47

46%
41%

733
736

105
95

112
99

114
104

123
108

6.2
3.9

53
48

34
84

2.7
0.6

46
52

41%

739

112

118

118

126

5.2

48

90

1.4

51

ABX 07-1
ABX 07-2
PrimeX.FRM1
PrimeX.FRM2
PrimeX.ARM1
PrimeX.ARM2

26 October 2011

%CA+
%Owner
FL

%2nds

Adv due
(%curbal)

Mths to
liq dn

95
94
95
94
94

60
60
58
50
59

7.5
7.9
9.0
7.8
0.8

23.7
23.9
24.7
22.8
10.0

43
60

95
91

77
50

1.5
1.0

11.6
14.4

53

93

74

1.8

15.5

Barclays Capital | ABX and PrimeX Monitor

BOND LEVEL STATS

26 October 2011

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 06-1
PAAA

Sub-index
ACE 2005-HE7 A2C
AMSI 2005-R11 A2C
ARSI 2005-W2 A2B1
BSABS 2005-HE11 A2
CWL 2005-BC5 3A2
FFML 2005-FF12 A2B
GSAMP 2005-HE4 A2B
HEAT 2005-8 2A3
JPMAC 2005-OPT1 A3
LBMLT 2005-WL2 3A3
MABS 2005-NC2 A3
MLMI 2005-AR1 A3A3
MSAC 2005-HE5 A2B
NCHET 2005-4 A2B
RASC 2005-KS11 AI3
RAMP 2005-EFC4 A2
SABR 2005-HE1 A3B
SVHE 2005-4 2A3
SASC 2005-WF4 A3
SAIL 2005-HE3 A4
Overall

9%
22%
14%
17%
0%
34%
0%
1%
0%
0%
68%
0%
0%
11%
9%
3%
0%
0%
0%
0%
9%

Sub-index

Factor

Index

ABX 06-1
AAA

Factor

ACE 2005-HE7 A2D


AMSI 2005-R11 A2D
ARSI 2005-W2 A2C
BSABS 2005-HE11 A3
CWL 2005-BC5 3A3
FFML 2005-FF12 A2C
GSAMP 2005-HE4 A2C
HEAT 2005-8 2A4
JPMAC 2005-OPT1 A4
LBMLT 2005-WL2 3A4
MABS 2005-NC2 A4
MLMI 2005-AR1 A3A4
MSAC 2005-HE5 A2C
NCHET 2005-4 A2C
RASC 2005-KS11 AI4
RAMP 2005-EFC4 A3
SABR 2005-HE1 A3C
SVHE 2005-4 2A4
SASC 2005-WF4 A4
SAIL 2005-HE3 A5
Overall

100%
100%
100%
100%
79%
100%
15%
100%
10%
0%
100%
20%
22%
100%
100%
100%
36%
59%
72%
66%
69%

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Projected bond loss (%curbal)

4.7%
11.8%
7.2%
9.0%

0.49
0.47
0.44
0.49

24.1
19.0
20.0
25.5

56.4
51.0
46.4
69.2

0.0%
0.0%
0.0%
0.0%

Stress
0.0
0.0
0.0
0.0

18.2%

0.50

22.1

47.1

0.0%

0.0

0.0

0.8%

0.50

21.2

57.4

0.0%

0.0

36.0%

0.49

20.1

8.0

0.0%

5.7%
5.0%
1.7%

0.51
0.44
0.51

22.9
20.6
23.6

74.2
55.0
83.6

0.0%
0.0%
0.0%

100%

0.49

21.9

38.5

Original
C/E

Current
C/E

Implied Loss
to date

Eff
Bond
weight Coupon
7.3%
7.3%
7.3%
7.3%
5.7%
7.3%
1.1%
7.3%
0.7%

0.57
0.57
0.60
0.58
0.61
0.57
0.61
0.60
0.59

24.1
19.0
20.0
25.5
20.7
22.1
24.6
21.2
21.9

56.4
51.0
46.4
69.2
68.4
47.1
95.0
57.4
89.3

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

7.3%
1.4%
1.6%
7.3%
7.3%
7.3%
2.6%
4.3%
5.2%
4.8%
100%

0.59
0.65
0.58
0.61
0.55
0.61
0.57
0.59
0.60
0.60
0.59

20.1

8.0

21.7
22.9
20.6
23.6
23.4
25.7
17.6
18.2
21.8

87.4
74.2
55.0
83.6
67.3
69.1
65.3
59.9
57.8

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

Base
0.0
0.0
0.0
0.0

Optimistic
0.0
0.0
0.0
0.0

Base spr. Base Avg Base proj coll


def (%curbal)
Duration
Life

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

0.3
0.7
1.2
0.6

0.3
0.7
1.3
0.6

81.2
53.4
59.3
67.0

57.6
34.3
37.0
50.0

34.4
20.0
24.6
27.8

98.4
96.1
92.9
96.4

0.0

2.8

3.3

78.0

52.2

31.1

85.9

0.0

0.0

0.1

0.1

65.1

41.0

45.2

36.6

29.4

3.5

17.6

74.0

47.5

30.6

54.6

0.0
0.0
0.0

0.0
0.0
0.0

0.0
0.0
0.0

0.9
0.3
0.3

1.0
0.3
0.3

64.7
64.8
60.6

44.3
41.6
38.8

23.5
27.3
22.0

94.5
98.0
98.3

16.3

13.2

10.6

2.1

7.2

69.7

46.1

28.2

79.3

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

Projected bond loss (%curbal)


Stress
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0

Base
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0

Optimistic
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0

51.2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
3.7

42.2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
3.1

34.3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
2.5

Base spr. Base Avg Base proj coll


def (%curbal)
Duration
Life

99.5

3.2
3.4
5.1
2.1
1.2
8.1
0.3
2.1
0.2

3.7
3.7
5.8
2.2
1.3
9.5
0.3
2.3
0.2

81.2
53.4
59.3
67.0
69.4
78.0
67.2
65.1
61.4

57.6
34.3
37.0
50.0
47.3
52.2
45.0
41.0
34.7

34.4
20.0
24.6
27.8
20.5
31.1
21.6
11.8

84.2
82.9
77.2
88.1
92.9
70.5
98.5
88.7
98.9

4.4
0.2
0.7
2.2
2.5
1.1
2.1
1.1
1.7
2.3
2.9

20.2
0.2
0.8
2.3
2.7
1.1
2.2
1.1
1.8
2.6
4.3

74.0
80.8
72.6
64.7
64.8
60.6
81.4
67.4
49.8
65.1
66.6

47.5
53.6
51.0
44.3
41.6
38.8
59.3
47.2
29.5
43.2
44.4

30.6
19.8
21.5
23.5
27.3
22.0
29.4
25.0
13.6
31.8
25.5

48.2
98.6
95.7
87.7
86.5
93.8
89.0
93.6
90.3
88.0
83.9

Note: To see home price appreciation scenarios, visit Barclays Capital live, keyword HPA.

26 October 2011

Barclays Capital | ABX and PrimeX Monitor


Index

Sub-index

Factor

ABX 06-1
AA

ACE 2005-HE7 M2
AMSI 2005-R11 M2
ARSI 2005-W2 M2
BSABS 2005-HE11 M2
CWL 2005-BC5 M2
FFML 2005-FF12 M2
GSAMP 2005-HE4 M2
HEAT 2005-8 M2
JPMAC 2005-OPT1 M2
LBMLT 2005-WL2 M2
MABS 2005-NC2 M2
MLMI 2005-AR1 M1
MSAC 2005-HE5 M2
NCHET 2005-4 M2
RASC 2005-KS11 M2
RAMP 2005-EFC4 M2
SABR 2005-HE1 M1
SVHE 2005-4 M2
SASC 2005-WF4 M2
SAIL 2005-HE3 M2

100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
0%
100%
100%
100%
100%
100%
100%
100%
100%
100%
95%

Overall

Index

Sub-index

Factor

ABX 06-1
A

ACE 2005-HE7 M5
AMSI 2005-R11 M5
ARSI 2005-W2 M5
BSABS 2005-HE11 M4
CWL 2005-BC5 M5
FFML 2005-FF12 M5
GSAMP 2005-HE4 M5
HEAT 2005-8 M5
JPMAC 2005-OPT1 M5
LBMLT 2005-WL2 M5
MABS 2005-NC2 M5
MLMI 2005-AR1 M2
MSAC 2005-HE5 M5
NCHET 2005-4 M5
RASC 2005-KS11 M5
RAMP 2005-EFC4 M5
SABR 2005-HE1 M2
SVHE 2005-4 M5
SASC 2005-WF4 M5
SAIL 2005-HE3 M5

0%
100%
31%
100%
100%
67%
100%
0%
35%
100%
0%
100%
100%
100%
100%
100%
19%
100%
100%
0%
68%

Overall

26 October 2011

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Stress

Base

Optimistic

100.0
12.0
100.0
41.4
33.8
100.0
0.0
100.0
0.0
14.1

100.0
0.0
68.9
0.0
0.0
100.0
0.0
75.4
0.0
0.0

100.0
0.0
31.6
0.0
0.0
97.1
0.0
47.0
0.0
0.0

1.5
8.6
6.6
8.2
8.5
2.3
4.1
6.5
4.9
6.9

2.6
12.9
11.3
13.1
13.1
3.9
4.8
9.3
5.8
9.9

8.5
12.5
4.9
61.1
0.0
73.5
50.2
0.0
100.0
42.7

0.0
0.0
0.0
9.9
0.0
61.1
3.6
0.0
100.0
27.3

0.0
0.0
0.0
0.0
0.0
51.0
0.0
0.0
92.1
22.0

4.3
6.3
7.3
9.0
5.3
5.8
8.4
6.7
2.3
6.0

6.2
8.4
9.9
15.7
6.4
5.8
14.1
8.2
3.7
8.7

5.3%
5.3%
5.3%
5.3%
5.3%
5.3%
5.3%
5.3%
5.3%
5.3%

0.70
0.71
0.75
0.69
0.72
0.71
0.73
0.69
0.71
0.73

16.8
12.8
13.9
17.8
13.9
15.1
16.9
14.1
14.8
14.3

13.9
28.9
18.1
37.4
42.4
19.6
53.8
16.9
45.4
41.1

5.3%
5.3%
5.3%
5.3%
5.3%
5.3%
5.3%
5.3%
5.3%
100%

0.74
0.67
0.75
0.66
0.68
0.67
0.71
0.67
0.73
0.71

14.8
15.8
13.8
16.1
16.1
17.4
11.9
11.3
14.8

44.9
42.5
25.0
44.9
9.1
36.4
39.9
14.5
30.2

Original
C/E

Current
C/E

Implied Loss
to date

Eff
Bond
weight Coupon

Projected bond loss (%curbal)

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

75.9
53.1
56.2
67.0
69.3
72.3
67.2
65.1
56.4
71.1

54.2
34.2
36.1
50.0
50.8
48.5
44.9
41.9
32.5
46.1

30.4
19.2
22.9
27.8
21.3
28.4
21.1
24.3
12.2
20.0

2.7
32.1
13.0
33.8
32.7
4.6
57.7
11.8
52.5
40.2

73.8
70.6
64.5
61.0
60.6
74.2
67.4
50.3
64.8
65.3

50.0
49.9
44.2
39.7
38.8
52.8
47.2
30.2
43.1
44.0

19.4
21.0
20.9
26.1
22.0
26.9
26.8
14.0
19.5
22.3

54.7
43.8
39.0
27.5
49.9
18.7
31.1
42.9
4.5
31.2

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

Base spr. Base Avg Base proj coll


def (%curbal)
Life
Duration

7.4%
2.3%
7.4%
7.4%
5.0%
7.4%

0.92
0.90
0.89
1.00
0.91
0.87

7.7
8.9
11.5
8.4
9.6
10.7

11.0
0.0
11.3
21.3
0.0
20.9

100.0
100.0
100.0
100.0
100.0
100.0

100.0
100.0
100.0
100.0
100.0
100.0

100.0
100.0
100.0
100.0
100.0
99.6

2.0
0.3
1.3
1.6
0.4
2.2

3.9
0.4
2.4
3.2
0.6
4.0

53.1
56.2
67.0
69.3
72.3
67.2

34.2
36.1
50.0
50.8
48.5
44.9

19.2
22.9
27.8
21.3
28.4
21.1

5.0
0.5
2.8
4.1
0.7
5.3

2.6%
7.4%

0.88
0.88

9.4
9.2

18.7
8.6

100.0
100.0

100.0
100.0

23.9
100.0

3.3
0.9

6.3
1.8

56.4
71.1

32.5
46.1

12.2
20.0

9.4
2.0

7.4%
7.4%
7.4%
7.4%
7.4%
1.4%
7.4%
7.4%

0.91
0.86
0.92
0.87
0.87
0.89
0.92
0.86

9.2
10.2
8.3
10.3
10.0
11.1
7.7

11.0
17.4
1.2
15.3
0.0
11.4
21.2

100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0

86.5
100.0
100.0
100.0
100.0
100.0
100.0
0.0

67.6
100.0
100.0
100.0
81.9
100.0
100.0
0.0

5.2
0.9
1.6
0.8
2.6
0.3
1.0
9.1

6.1
1.8
3.2
1.5
4.7
0.4
2.1
20.6

73.8
70.6
64.5
61.0
60.6
74.2
67.4
50.3

50.0
49.9
44.2
39.7
38.8
52.8
47.2
30.2

19.4
21.0
20.9
26.1
22.0
26.9
26.8
14.0

8.1
2.0
3.9
1.7
6.4
0.5
2.4
23.8

100%

0.90

9.5

11.6

100.0

91.6

86.9

2.3

4.3

64.8

43.7

21.8

5.3

10

Barclays Capital | ABX and PrimeX Monitor

Index

ABX 06-1
BBB

Sub-index
ACE 2005-HE7 M8
AMSI 2005-R11 M8
ARSI 2005-W2 M8
BSABS 2005-HE11 M7
CWL 2005-BC5 M8
FFML 2005-FF12 B2
GSAMP 2005-HE4 B2
HEAT 2005-8 M8
JPMAC 2005-OPT1 M8
LBMLT 2005-WL2 M8
MABS 2005-NC2 M8
MLMI 2005-AR1 B2
MSAC 2005-HE5 B2
NCHET 2005-4 M8
RASC 2005-KS11 M8
RAMP 2005-EFC4 M8
SABR 2005-HE1 B2
SVHE 2005-4 M8
SASC 2005-WF4 M8
SAIL 2005-HE3 M8
Overall

Factor
0%
70%
0%
0%
100%
0%
49%
0%
46%
0%
0%
39%
0%
68%
0%
0%
0%
0%
100%
0%
24%

Index

Sub-index

Factor

ABX 06-2
BBB-

ACE 2005-HE7 M9
AMSI 2005-R11 M9
ARSI 2005-W2 M9
BSABS 2005-HE11 M8
CWL 2005-BC5 B
FFML 2005-FF12 B3
GSAMP 2005-HE4 B3
HEAT 2005-8 B1
JPMAC 2005-OPT1 M9
LBMLT 2005-WL2 M9
MABS 2005-NC2 M9
MLMI 2005-AR1 B3
MSAC 2005-HE5 B3
NCHET 2005-4 M9
RASC 2005-KS11 M9
RAMP 2005-EFC4 M9
SABR 2005-HE1 B3
SVHE 2005-4 M9
SASC 2005-WF4 M9
SAIL 2005-HE3 M9

0%
0%
0%
0%
100%
0%
0%
0%
56%
0%
0%
0%
0%
0%
0%
0%
0%
0%
100%
0%
13%

Overall

26 October 2011

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Base spr. Base Avg Base proj coll Base proj coll Base cum loss Cash price
def (%curbal) loss (%curbal)
(%origbal)
Life
@index yield
Optimistic Duration

Projected bond loss (%curbal)


Stress

Base

14.9%

2.74

4.4

0.0

100.0

100.0

100.0

0.4

0.8

53.1

34.2

19.2

2.2

21.2%

2.24

4.2

5.5

100.0

100.0

100.0

0.6

1.4

69.3

50.8

21.3

3.0

10.4%

1.54

6.2

0.0

100.0

100.0

100.0

0.3

0.4

67.2

44.9

21.1

0.7

9.8%

1.64

5.2

5.7

100.0

100.0

100.0

0.9

2.0

56.4

32.5

12.2

3.1

8.2%

1.69

100.0

100.0

100.0

0.1

0.2

73.8

50.0

19.4

0.3

14.4%

1.54

6.0

0.0

100.0

100.0

100.0

0.2

0.3

64.5

44.2

20.9

0.5

21.2%

1.99

5.1

9.6

100.0

100.0

100.0

1.3

3.2

50.3

30.2

14.0

5.3

100%

1.99

5.2

3.7

100.0

100.0

100.0

0.6

1.4

61.1

40.6

18.3

2.5

Original
C/E

Current
C/E

Implied Loss
to date

Eff
Bond
weight Coupon

Base spr. Base Avg Base proj coll Base proj coll Base cum loss Cash price
def (%curbal) loss (%curbal)
(%origbal)
Life
@index yield
Optimistic Duration

Projected bond loss (%curbal)


Stress

Base

39.1%

2.24

3.0

0.7

100.0

100.0

100.0

0.4

0.7

69.3

50.8

21.3

1.6

21.9%

2.09

4.2

2.2

100.0

100.0

100.0

0.6

1.3

56.4

32.5

12.2

2.6

39.1%

2.74

4.3

6.3

100.0

100.0

100.0

0.9

2.2

50.3

30.2

14.0

5.2

100%

2.41

3.8

3.2

100.0

100.0

100.0

0.6

1.4

59.1

38.7

16.5

3.2

11

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 06-2
PAAA

Sub-index
ACE 2006-NC1 A2C
ARSI 2006-W1 A2C
CWL 2006-8 2A3
BSABS 2006-HE3 A2
CARR 2006-NC1 A3
FFML 2006-FF4 A2
GSAMP 2006-HE3 A2C
HEAT 2006-4 2A3
JPMAC 2006-FRE1 A3
LBMLT 2006-1 2A3
MABS 2006-NC1 A3
MLMI 2006-HE1 A2C
MSAC 2006-HE2 A2C
MSAC 2006-WMC2 A2C
RAMP 2006-NC2 A2
RASC 2006-KS3 AI3
SABR 2006-OP1 A2B
SVHE 2006-OPT5 2A3
SASC 2006-WF2 A3
SAIL 2006-4 A4
Overall

Factor
39%
61%
100%
33%
83%
40%
100%
62%
19%
56%
47%
78%
51%
87%
34%
40%
0%
76%
67%
95%
58%

Index

Sub-index

Factor

ABX 06-2
AAA

ACE 2006-NC1 A2D


ARSI 2006-W1 A2D
CWL 2006-8 2A4
BSABS 2006-HE3 A3
CARR 2006-NC1 A4
FFML 2006-FF4 A3
GSAMP 2006-HE3 A2D
HEAT 2006-4 2A4
JPMAC 2006-FRE1 A4
LBMLT 2006-1 2A4
MABS 2006-NC1 A4
MLMI 2006-HE1 A2D
MSAC 2006-HE2 A2D
MSAC 2006-WMC2 A2D
RAMP 2006-NC2 A3
RASC 2006-KS3 AI4
SABR 2006-OP1 A2C
SVHE 2006-OPT5 2A4
SASC 2006-WF2 A4
SAIL 2006-4 A5

100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
87%
100%
100%
53%
100%
100%
100%
97%

Overall

26 October 2011

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
def (%curbal)
Life

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

33.4
35.9
45.7
33.3
32.7
32.4
37.7

3.4%
5.3%
8.7%
2.9%
7.3%
3.5%
8.7%
5.4%
1.7%
4.9%
4.1%
6.8%
4.4%
5.8%
3.0%
3.5%

0.44
0.43
0.40
0.42
0.45
0.43
0.40
0.41
0.43
0.43
0.43
0.44
0.42
0.39
0.43
0.41

21.5
22.4
19.8
25.3
23.5
20.2
24.9
19.7
25.1
20.7
21.0
26.0
20.5
18.7
19.5
22.3

38.9
23.2
27.9
56.6
41.2
32.1
30.3
27.5
55.9
17.3
40.6
50.6
18.6
0.0
30.1
40.8

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
20.7%
0.0%
0.0%

0.0
38.8
35.8
0.0
1.2
15.7
16.3
0.0
0.0
55.0
0.0
0.0
32.0
71.3
4.0
0.0

0.0
28.3
25.0
0.0
0.0
5.1
6.4
0.0
0.0
46.4
0.0
0.0
23.5
65.7
0.0
0.0

0.0
16.1
16.5
0.0
0.0
0.0
0.1
0.0
0.0
38.8
0.0
0.0
15.3
61.0
0.0
0.0

1.0
3.0
3.4
1.6
2.2
2.6
3.0
1.9
1.6
3.1
1.7
2.6
2.1
3.1
2.4
1.1

1.1
12.3
4.6
1.8
2.6
5.2
7.0
2.2
1.8
21.3
1.9
3.2
10.6
21.4
3.0
1.2

69.7
69.1
78.7
77.4
72.3
73.1
71.3
69.7
78.0
82.5
71.1
80.9
74.7
82.3
65.9
65.3

47.1
46.5
62.4
58.1
51.7
51.0
48.9
48.0
53.6
58.9
50.4
61.2
52.9
61.8
44.9
45.5

32.0
38.3
31.1
40.4
38.4
49.7
33.3
33.5

89.3
52.3
53.1
83.9
78.8
71.3
66.8
80.9
84.1
46.0
83.3
75.7
62.0
27.0
76.7
88.4

6.6%
5.8%
8.3%
100%

0.39
0.39
0.39
0.42

22.1
22.1
17.3
21.7

27.6
43.3
3.9
29.5

0.0%
0.0%
0.0%

28.0
0.0
30.0
19.9

18.1
0.0
19.2
14.3

8.3
0.0
10.7
9.8

2.8
1.6
3.2
2.5

10.9
1.8
12.2
7.3

70.9
60.5
76.3
73.5

48.2
42.6
52.3
52.4

35.9
29.3
37.9
37.1

60.8
83.8
54.3
66.5

Original
C/E

Current
C/E

Implied Loss
to date

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

21.5
22.4
19.8
25.3
23.5
20.2
24.9
19.7
25.1
20.7
21.0
26.0
20.5
18.7
19.5
22.3
17.4
22.1
22.1
17.3
21.5

38.9
23.2
27.9
56.6
41.2
32.1
30.3
27.5
55.9
17.3
40.6
50.6
18.6
0.0
30.1
40.8
68.3
27.6
43.3
3.9
33.5

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
20.7%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

47.1
46.5
62.4
58.1
51.7
51.0
48.9
48.0
53.6
58.9
50.4
61.2
52.9
61.8
44.9
45.5
37.3
48.2
42.6
52.3
51.3

33.4
35.9
45.7
33.3
32.7
32.4
37.7

51.9
42.0
18.1
58.3
44.5
38.0
36.5
35.4
57.1
31.2
50.5
46.8
33.9
27.0
38.5
57.8
81.9
31.2
55.5
8.8
41.6

Eff
Bond
weight Coupon
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
3.4%
5.2%
5.2%
2.8%
5.2%
5.2%
5.2%
100%

0.57
0.54
0.49
0.52
0.55
0.52
0.74
0.52
0.53
0.54
0.54
0.55
0.51
0.49
0.53
0.51
0.54
0.48
0.55
0.55
0.54

Projected bond loss (%curbal)


Stress

Base

Optimistic

15.8
46.4
69.4
0.0
34.0
37.1
34.4
53.0
0.0
69.2
23.9
3.2
55.0
71.3
35.4
0.0
0.0
50.2
0.0
100.0
35.1

0.0
34.7
59.8
0.0
0.0
23.3
21.6
31.3
0.0
61.4
0.0
0.0
47.2
65.7
8.3
0.0
0.0
41.8
0.0
100.0
24.6

0.0
19.7
47.9
0.0
0.0
5.4
7.6
11.0
0.0
54.5
0.0
0.0
39.0
61.0
0.0
0.0
0.0
30.6
0.0
100.0
18.5

Base spr. Base Avg Base proj coll


Duration
def (%curbal)
Life
5.9
4.2
8.8
5.3
8.1
7.4
7.6
7.2
5.4
5.0
6.6
7.7
4.9
3.0
8.8
5.2
1.8
6.8
5.7
4.5
6.2

8.9
15.0
11.2
6.1
11.4
15.2
17.8
17.0
6.4
27.9
9.1
9.7
20.2
21.4
13.7
6.6
2.0
22.7
6.8
39.3
14.6

69.7
69.1
78.7
77.4
72.3
73.1
71.3
69.7
78.0
82.5
71.1
80.9
74.7
82.3
65.9
65.3
65.0
70.9
60.5
76.3
72.7

32.0
38.3
31.1
40.4
38.4
49.7
33.3
33.5
17.0
35.9
29.3
37.9
35.3

12

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 06-2
AA

Sub-index
ACE 2006-NC1 M2
ARSI 2006-W1 M2
CWL 2006-8 M2
BSABS 2006-HE3 M2
CARR 2006-NC1 M2
FFML 2006-FF4 M2
GSAMP 2006-HE3 M2
HEAT 2006-4 M2
JPMAC 2006-FRE1 M2
LBMLT 2006-1 M2
MABS 2006-NC1 M2
MLMI 2006-HE1 M2
MSAC 2006-HE2 M2
MSAC 2006-WMC2 M2
RAMP 2006-NC2 M2
RASC 2006-KS3 M2
SABR 2006-OP1 M2
SVHE 2006-OPT5 M2
SASC 2006-WF2 M2
SAIL 2006-4 M1
Overall

Factor
100%
28%
100%
100%
100%
100%
100%
99%
100%
17%
100%
100%
22%
0%
100%
100%
100%
100%
100%
17%
79%

Index

Sub-index

Factor

ABX 06-2
A

ACE 2006-NC1 M5
ARSI 2006-W1 M5
CWL 2006-8 M5
BSABS 2006-HE3 M5
CARR 2006-NC1 M5
FFML 2006-FF4 M5
GSAMP 2006-HE3 M5
HEAT 2006-4 M5
JPMAC 2006-FRE1 M5
LBMLT 2006-1 M5
MABS 2006-NC1 M5
MLMI 2006-HE1 M5
MSAC 2006-HE2 M5
MSAC 2006-WMC2 M5
RAMP 2006-NC2 M5
RASC 2006-KS3 M5
SABR 2006-OP1 M5
SVHE 2006-OPT5 M5
SASC 2006-WF2 M5
SAIL 2006-4 M4

0%
0%
100%
17%
100%
0%
0%
0%
100%
0%
0%
38%
0%
0%
0%
0%
100%
0%
39%
0%
25%

Overall

26 October 2011

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
def (%curbal)
Life

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

6.3%
1.7%
6.3%
6.3%
6.3%
6.3%
6.3%
6.2%
6.3%
1.1%
6.3%
6.3%
1.4%

0.67
0.67
0.56
0.62
0.66
0.62
0.54
0.57
0.66
0.65
0.65
0.64
0.59

14.7
14.8
12.9
16.7
16.4
13.4
17.2
12.9
17.4
14.1
14.3
18.4
13.9

9.6
0.0
13.0
20.0
20.6
6.0
0.0
0.0
25.1
0.0
13.0
20.1
0.0

100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0

100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0

100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
95.9
100.0
100.0
100.0
100.0

1.4
0.4
1.0
1.8
2.0
1.0
0.8
0.7
2.4
0.2
1.5
1.6
0.2

2.4
0.5
1.8
3.0
3.5
1.8
1.3
1.2
4.0
0.2
2.6
2.8
0.2

64.4
64.9
77.5
77.4
72.3
73.1
70.4
67.7
76.2
76.4
71.1
72.7
74.8

44.2
44.7
61.0
58.1
51.7
51.0
49.1
47.4
53.5
54.2
50.4
55.2
53.0

28.7
32.6
43.9
33.3
32.7
32.4
37.2
30.3
31.4
36.5
31.1
33.6
36.5

2.5
0.4
1.6
3.2
4.0
1.6
1.1
1.0
5.0
0.2
2.7
3.0
0.2

6.3%
6.3%
6.3%
6.3%
6.3%
1.1%
100%

0.62
0.58
0.63
0.52
0.53
0.51
0.61

13.0
14.9
11.4
15.1
13.6
10.9
14.5

5.3
10.3
41.7
6.1
14.2
0.0
13.0

100.0
100.0
0.0
100.0
100.0
100.0
93.7

100.0
100.0
0.0
100.0
100.0
100.0
93.7

100.0
100.0
0.0
100.0
66.7
100.0
91.3

1.2
2.1
6.6
0.9
3.9
0.2
1.8

2.2
3.2
7.8
1.7
5.5
0.3
2.8

65.9
64.1
61.2
71.0
60.5
74.0
69.8

44.9
43.7
34.4
48.2
42.6
52.0
49.1

33.3
31.8
14.6
33.2
29.3
37.4
32.0

2.1
3.5
58.3
1.4
7.2
0.2
6.2

Original
C/E

Current
C/E

Implied Loss
to date

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

Eff
Bond
weight Coupon

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

20.3%
3.4%
20.3%

0.69
0.79
0.84

7.5
10.4
10.9

1.2
0.0
4.4

100.0
100.0
100.0

100.0
100.0
100.0

100.0
100.0
100.0

0.3
0.1
0.5

0.5
0.1
0.8

77.5
77.4
72.3

61.0
58.1
51.7

43.9
33.3
32.7

0.5
0.1
0.9

20.3%

0.80

11.5

1.2

100.0

100.0

100.0

0.5

0.7

76.2

53.5

31.4

0.8

7.6%

0.83

12.1

0.0

100.0

100.0

100.0

0.2

0.3

72.7

55.2

33.6

0.3

20.3%

0.83

7.2

23.1

100.0

88.3

2.5

4.7

9.7

61.2

34.4

14.6

11.0

7.8%

0.64

8.4

0.0

100.0

100.0

100.0

0.2

0.3

60.5

42.6

29.3

0.2

100%

0.79

9.7

6.1

100.0

97.6

80.2

1.2

2.4

71.2

50.2

30.9

2.7

13

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 06-2
BBB

Sub-index
ACE 2006-NC1 M8
ARSI 2006-W1 M8
CWL 2006-8 M8
BSABS 2006-HE3 M8
CARR 2006-NC1 M8
FFML 2006-FF4 M8
GSAMP 2006-HE3 M8
HEAT 2006-4 M8
JPMAC 2006-FRE1 M8
LBMLT 2006-1 M8
MABS 2006-NC1 M8
MLMI 2006-HE1 B2A
MSAC 2006-HE2 B2
MSAC 2006-WMC2 B2
RAMP 2006-NC2 M8
RASC 2006-KS3 M8
SABR 2006-OP1 B2
SVHE 2006-OPT5 M8
SASC 2006-WF2 M8
SAIL 2006-4 M7
Overall

Factor
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
100%
0%
0%
0%
5%

Index

Sub-index

Factor

ABX 06-2
BBB-

ACE 2006-NC1 M9
ARSI 2006-W1 M9
CWL 2006-8 M9
BSABS 2006-HE3 M9
CARR 2006-NC1 M9
FFML 2006-FF4 B1
GSAMP 2006-HE3 M9
HEAT 2006-4 B1
JPMAC 2006-FRE1 M9
LBMLT 2006-1 M9
MABS 2006-NC1 M9
MLMI 2006-HE1 B3A
MSAC 2006-HE2 B3
MSAC 2006-WMC2 B3
RAMP 2006-NC2 M9
RASC 2006-KS3 M9
SABR 2006-OP1 B3
SVHE 2006-OPT5 M9
SASC 2006-WF2 M9
SAIL 2006-4 M8

0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
100%
0%
0%
0%
5%

Overall

26 October 2011

Bond
Eff
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

100.0%

1.64

4.4

10.5

100%

1.64

4.4

10.5

Original
C/E

Current
C/E

Implied Loss
to date

Eff
Bond
weight Coupon

100.0%

2.14

3.4

6.1

100%

2.14

3.4

6.1

Projected bond loss (%curbal)

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

Stress

Base

Optimistic

100.0

100.0

100.0

1.1

2.5

100.0

100.0

100.0

1.1

2.5

Projected bond loss (%curbal)

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

61.2

34.4

14.6

3.7

61.2

34.4

14.6

3.7

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

Stress

Base

Optimistic

100.0

100.0

100.0

0.8

1.8

61.2

34.4

14.6

3.5

100.0

100.0

100.0

0.8

1.8

61.2

34.4

14.6

3.5

14

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 07-1
PAAA

Sub-index
ABFC 2006-OPT2 A3C
ACE 2006-NC3 A2C
BSABS 2006-HE10 21A2
CARR 2006-NC4 A3
CBASS 2006-CB6 A23
CMLTI 2006-WFH3 A3
CWL 2006-18 2A2
FFML 2006-FF13 A2C
FHLT 2006-3 2A3
GSAMP 2006-HE5 A2C
HEAT 2006-7 2A3
JPMAC 2006-CH2 AV4
LBMLT 2006-6 2A3
MABS 2006-NC3 A4
MLMI 2006-HE5 A2C
MSAC 2006-HE6 A2C
RASC 2006-KS9 AI3
SABR 2006-HE2 A2C
SVHE 2006-EQ1 A3
SASC 2006-BC4 A4
Overall

Factor
97%
100%
100%
100%
97%
88%
83%
100%
100%
100%
100%
100%
97%
100%
100%
100%
100%
100%
100%
100%
98%

Index

Sub-index

Factor

ABX 07-1
AAA

ABFC 2006-OPT2 A3D


ACE 2006-NC3 A2D
BSABS 2006-HE10 21A3
CARR 2006-NC4 A4
CBASS 2006-CB6 A24
CMLTI 2006-WFH3 A4
CWL 2006-18 2A3
FFML 2006-FF13 A2D
FHLT 2006-3 2A4
GSAMP 2006-HE5 A2D
HEAT 2006-7 2A4
JPMAC 2006-CH2 AV5
LBMLT 2006-6 2A4
MABS 2006-NC3 A5
MLMI 2006-HE5 A2D
MSAC 2006-HE6 A2D
RASC 2006-KS9 AI4
SABR 2006-HE2 A2D
SVHE 2006-EQ1 A4
SASC 2006-BC4 A5

100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
97%
100%
100%
100%
100%
100%
100%
100%
100%

Overall

26 October 2011

Eff
Bond
weight Coupon
5.0%
5.1%
5.1%
5.1%
5.0%
4.5%
4.2%
5.1%
5.1%
5.1%
5.1%
5.1%
4.5%
5.0%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
100%

0.39
0.40
0.41
0.40
0.39
0.38
0.40
0.40
0.41
0.39
0.39
0.38
0.39
0.40
0.39
0.39
0.40
0.39
0.40
0.41
0.40

Eff
Bond
weight Coupon
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
1.3%
5.2%
4.6%
5.1%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
100%

0.46
0.44
0.48
0.48
0.49
0.47
0.48
0.48
0.48
0.48
0.48
0.45
0.49
0.45
0.48
0.48
0.49
0.48
0.49
0.55
0.48

Original
C/E

Current
C/E

Implied Loss
to date

21.2
18.6
23.9
26.0
21.5
21.7
20.2
19.2
21.8
23.4
20.2
17.5
21.4
23.2
22.1
21.7
21.5
22.0
22.4
18.7
21.4

24.8
16.2
23.3
28.5
25.2
42.2
30.9
13.9
14.2
22.8
0.0
21.2
0.0
0.0
12.2
21.3
7.7
1.5
25.9
9.0
16.9

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
9.0%
1.7%
0.0%
0.0%
0.0%
0.0%
0.0%
-

Original
C/E

Current
C/E

Implied Loss
to date

21.2
18.6
23.9
26.0
21.5
21.7
20.2
19.2
21.8
23.4
20.2
17.5
21.4
23.2
22.1
21.7
21.5
22.0
22.4
18.7
21.4

24.8
16.2
23.3
28.5
25.2
42.2
30.9
13.9
14.2
22.8
0.0
21.2
0.0
0.0
12.2
21.3
7.7
1.5
25.9
9.0
17.8

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
74.4%
0.0%
9.0%
1.7%
0.0%
0.0%
0.0%
0.0%
0.0%
-

Projected bond loss (%curbal)


Stress

Base

Optimistic

23.0
71.8
48.8
47.9
19.3
0.0
25.8
39.7
60.7
44.4
61.3
46.2
62.1
44.4
55.8
65.4
36.4
51.7
18.0
44.6
43.7

12.6
65.4
36.6
36.7
8.5
0.0
16.8
30.4
53.0
23.9
46.9
35.6
55.3
36.5
47.4
57.2
26.7
44.2
7.6
27.8
33.7

4.7
59.4
27.4
27.6
0.7
0.0
10.2
23.4
46.8
9.0
36.2
26.0
49.8
30.6
40.6
50.7
20.0
38.6
1.0
15.0
26.1

Projected bond loss (%curbal)


Stress

Base

Optimistic

44.0
71.8
69.8
47.9
35.9
0.0
67.4
47.1
60.7
60.1
100.0
46.2
62.1
44.4
55.8
65.4
58.7
51.7
30.7
100.0
54.2

31.9
65.4
59.6
36.7
23.6
0.0
55.5
38.3
53.0
41.8
100.0
35.6
55.3
36.5
47.4
57.2
47.6
44.2
19.3
100.0
45.4

21.3
59.4
50.6
28.4
9.5
0.0
44.6
31.6
46.8
25.2
100.0
27.4
49.8
30.6
40.6
50.7
39.2
38.6
8.8
100.0
37.8

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)
2.3
3.7
4.7
5.6
2.7
1.5
2.7
3.3
4.2
3.9
6.5
5.4
2.8
3.3
4.2
4.0
4.2
3.4
3.4
5.3
3.9

8.1
25.1
6.8
8.3
8.1
1.7
4.0
13.3
22.0
13.4
24.8
18.4
24.4
18.6
20.8
19.5
4.7
19.0
8.3
18.0
14.5

75.6
87.0
81.2
76.9
67.9
62.8
80.9
74.0
79.2
67.5
69.9
70.5
81.3
66.2
76.6
85.6
68.0
69.0
63.9
74.2
73.9

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)
6.4
4.0
9.8
6.1
7.5
5.7
9.1
5.1
4.6
7.1
5.4
5.9
3.2
3.8
4.6
4.4
9.2
3.9
7.9
5.4
6.0

17.7
25.1
13.8
8.3
18.6
6.8
11.4
16.4
22.0
21.4
39.6
18.4
24.4
18.6
20.8
19.5
11.0
19.0
16.7
39.8
18.6

75.6
87.0
81.2
76.9
67.9
62.8
80.9
74.0
79.2
67.5
69.9
70.5
81.3
66.2
76.6
85.6
68.0
69.0
63.9
74.2
74.0

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

51.0
70.8
63.5
58.2
48.0
43.6
62.5
52.2
58.8
45.8
46.8
51.5
59.2
44.9
56.9
69.2
48.1
47.2
44.3
52.8
53.7

39.3
59.6

42.3
49.1
45.8
48.3
52.9
46.4
44.3
37.1
43.6
45.1

60.8
22.8
32.8
29.8
59.9
80.8
56.6
43.5
27.8
48.1
21.6
30.7
30.6
38.9
30.4
25.9
41.7
34.5
54.8
32.7
39.8

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

51.0
70.8
63.5
58.2
48.0
43.6
62.5
52.2
58.8
45.8
46.8
51.5
59.2
44.9
56.9
69.2
48.1
47.2
44.3
52.8
54.0

39.3
59.6

38.3
26.2
18.5
37.0
39.6
58.3
21.6
39.7
32.8
40.2
11.3
37.8
34.3
44.3
35.9
30.4
24.4
39.5
39.4
12.1
33.9

46.0
31.5
50.2
41.4
47.6
41.6

46.0
31.5
50.2
41.4
47.6
41.6
42.3
49.1
45.8
48.3
52.9
46.4
44.3
37.1
43.6
45.1

15

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 07-1
AA

Sub-index
ABFC 2006-OPT2 M2
ACE 2006-NC3 M2
BSABS 2006-HE10 2M2
CARR 2006-NC4 M2
CBASS 2006-CB6 M2
CMLTI 2006-WFH3 M2
CWL 2006-18 M2
FFML 2006-FF13 M2
FHLT 2006-3 M2
GSAMP 2006-HE5 M2
HEAT 2006-7 M2
JPMAC 2006-CH2 MV2
LBMLT 2006-6 M2
MABS 2006-NC3 M2
MLMI 2006-HE5 M2
MSAC 2006-HE6 M2
RASC 2006-KS9 M2S
SABR 2006-HE2 M2
SVHE 2006-EQ1 M2
SASC 2006-BC4 M2
Overall

Factor
100%
100%
100%
100%
100%
100%
100%
50%
0%
98%
0%
100%
0%
0%
34%
100%
0%
0%
100%
0%
59%

Index

Sub-index

Factor

ABX 07-1
A

ABFC 2006-OPT2 M5
ACE 2006-NC3 M5
BSABS 2006-HE10 2M5
CARR 2006-NC4 M5
CBASS 2006-CB6 M5
CMLTI 2006-WFH3 M5
CWL 2006-18 M5
FFML 2006-FF13 M5
FHLT 2006-3 M5
GSAMP 2006-HE5 M5
HEAT 2006-7 M5
JPMAC 2006-CH2 MV5
LBMLT 2006-6 M5
MABS 2006-NC3 M5
MLMI 2006-HE5 M5
MSAC 2006-HE6 M5
RASC 2006-KS9 M5
SABR 2006-HE2 M4
SVHE 2006-EQ1 M5
SASC 2006-BC4 M5

0%
0%
0%
0%
0%
100%
100%
0%
0%
0%
0%
71%
0%
0%
0%
0%
0%
0%
0%
0%
14%

Overall

26 October 2011

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

8.5%
8.5%
8.5%
8.5%
8.5%
8.5%
8.5%
4.2%

0.53
0.52
0.54
0.56
0.52
0.53
0.56
0.55

13.9
12.3
15.1
15.6
14.2
13.3
13.0
12.6

4.9
3.2
5.6
6.6
3.6
17.5
16.9
0.0

100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0

100.0
100.0
100.0
100.0
100.0
93.3
100.0
100.0

100.0
100.0
100.0
100.0
100.0
55.6
100.0
100.0

0.8
0.3
0.6
0.7
1.0
4.5
1.1
0.3

1.5
0.5
1.1
1.2
1.9
7.1
2.1
0.5

73.5
82.1
81.2
76.9
67.0
62.8
80.4
73.6

50.8
66.5
63.5
58.2
47.2
43.6
62.4
51.5

38.7
52.6
52.9
46.0
37.5
31.5
47.5
40.9

1.2
0.4
0.9
1.0
1.5
7.5
1.8
0.4

8.3%

0.55

15.7

0.0

100.0

100.0

100.0

0.7

1.2

66.7

46.2

39.5

1.0

8.5%

0.51

11.6

8.8

100.0

100.0

100.0

0.8

1.7

71.2

52.2

41.2

1.3

2.9%
8.5%

0.54
0.54

15.4
13.1

0.0
1.1

100.0
100.0

100.0
100.0

100.0
100.0

0.2
0.4

0.2
0.5

76.2
84.4

56.8
68.4

47.2
51.8

0.1
0.4

8.5%

0.56

15.0

4.9

100.0

100.0

100.0

0.9

1.7

63.9

44.3

37.1

1.4

100%

0.54

13.9

6.2

100.0

99.4

96.2

1.0

1.8

73.7

54.8

43.3

1.6

Original
C/E

Current
C/E

Implied Loss
to date

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

Eff
Bond
weight Coupon

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

36.8%
36.8%

0.63
0.66

8.2
7.6

2.7
6.3

100.0
100.0

100.0
100.0

100.0
100.0

0.5
0.6

1.0
1.1

62.8
80.4

43.6
62.4

31.5
47.5

0.9
1.0

26.3%

0.62

7.0

0.0

100.0

100.0

100.0

0.3

0.4

71.2

52.2

41.2

0.3

100%

0.64

7.6

3.3

100.0

100.0

100.0

0.5

0.9

71.5

52.8

39.9

0.8

16

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 07-2
PAAA

Sub-index
ACE 2007-HE4 A2C
BSABS 2007-HE3 1A3
CMLTI 2007-AMC2 A3B
CWL 2007-1 2A3
FFML 2007-FF1 A2C
GSAMP 2007-NC1 A2C
HASC 2007-NC1 A3
HEAT 2007-2 2A3
JPMAC 2007-CH3 A4
FFMER 2007-2 A2C
MLMI 2007-MLN1 A2C
MSAC 2007-NC3 A2C
NHELI 2007-2 2A3
NHEL 2007-2 A2C
OOMLT 2007-5 2A3
RASC 2007-KS2 AI3
SABR 2007-BR4 A2B
SVHE 2007-OPT1 2A3
SASC 2007-BC1 A4
WMHE 2007-HE2 2A3
Overall

Factor
85%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
99%

Index

Sub-index

Factor

ABX 07-2
AAA

ACE 2007-HE4 A2D


BSABS 2007-HE3 1A4
CMLTI 2007-AMC2 A3C
CWL 2007-1 2A4
FFML 2007-FF1 A2D
GSAMP 2007-NC1 A2D
HASC 2007-NC1 A4
HEAT 2007-2 2A4
JPMAC 2007-CH3 A5
FFMER 2007-2 A2D
MLMI 2007-MLN1 A2D
MSAC 2007-NC3 A2D
NHELI 2007-2 2A4
NHEL 2007-2 A2D
OOMLT 2007-5 2A4
RASC 2007-KS2 AI4
SABR 2007-BR4 A2C
SVHE 2007-OPT1 2A4
SASC 2007-BC1 A5
WMHE 2007-HE2 2A4

85%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
100%
99%

Overall

26 October 2011

Eff
Bond
weight Coupon
2.7%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
4.7%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
100%

0.54
0.49
0.42
0.38
0.38
0.39
0.42
0.48
0.45
0.48
0.50
0.43
0.43
0.42
0.47
0.38
0.44
0.45
0.37
0.49
0.44

Eff
Bond
weight Coupon
2.8%
5.4%
5.4%
5.4%
5.4%
5.4%
5.4%
0.0%
5.4%
5.4%
5.4%
5.4%
5.4%
5.4%
5.4%
5.4%
5.4%
5.4%
5.4%
5.4%
100%

0.60
0.59
0.49
0.47
0.46
0.47
0.52
0.61
0.50
0.56
0.56
0.50
0.52
0.51
0.54
0.46
0.53
0.52
0.47
0.60
0.52

Original
C/E

Current
C/E

Implied Loss
to date

29.1
26.2
20.4
20.5
17.1
24.5
26.7
23.5
20.1
19.3
27.4
26.4
25.5
23.7
24.6
24.4
27.6
24.9
25.0
18.9
23.8

0.0
22.8
6.1
24.7
4.1
6.3
22.2
0.0
27.7
7.5
17.6
15.2
8.8
25.6
15.6
18.4
4.5
17.6
27.0
2.3
14.1

32.8%
0.0%
0.0%
0.0%
0.0%
0.0%
9.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

Original
C/E

Current
C/E

Implied Loss
to date

29.1
26.2
20.4
20.5
17.1
24.5
26.7
23.5
20.1
19.3
27.4
26.4
25.5
23.7
24.6
24.4
27.6
24.9
25.0
18.9
23.8

0.0
22.8
6.1
24.7
4.1
6.3
22.2
0.0
27.7
7.5
17.6
15.2
8.8
25.6
15.6
18.4
4.5
17.6
27.0
2.3
14.8

32.8%
0.0%
0.0%
0.0%
0.0%
0.0%
100.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

Projected bond loss (%curbal)


Stress

Base

Optimistic

79.8
65.2
54.1
57.7
53.6
50.2
54.9
90.0
43.5
54.4
55.8
44.3
59.3
64.6
52.8
34.5
44.1
55.0
32.4
57.0
54.4

75.8
52.3
46.4
45.5
45.4
41.3
44.9
73.0
32.0
46.6
47.8
34.6
51.9
60.2
43.9
20.5
35.4
45.7
8.6
49.9
44.2

72.3
41.7
40.6
35.4
39.1
34.4
37.0
60.2
21.0
40.1
41.2
27.1
46.3
49.4
37.3
10.1
29.1
38.5
0.0
44.2
36.3

Projected bond loss (%curbal)


Stress

Base

Optimistic

79.8
74.0
54.1
73.1
53.6
50.2
54.9
100.0
43.5
54.4
55.8
44.3
59.3
64.6
52.8
51.3
44.1
55.0
100.0
57.0
58.5

75.8
63.6
46.4
63.0
45.4
41.3
44.9
100.0
32.0
46.6
47.8
34.6
51.9
60.2
43.9
37.7
35.4
45.7
100.0
49.9
50.2

72.3
54.7
40.6
54.2
39.1
34.4
37.0
100.0
23.8
40.1
41.2
27.1
46.3
58.6
37.3
26.7
29.1
38.5
64.0
44.2
41.8

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)
2.7
7.1
3.9
5.5
3.9
4.2
5.0
7.3
6.5
4.1
4.7
5.0
4.1
6.2
4.8
5.7
4.1
5.0
6.5
3.4
5.0

23.9
7.2
22.4
6.0
24.3
20.9
22.5
37.8
16.6
25.2
20.6
19.6
24.1
25.6
20.2
6.9
18.7
20.9
12.5
20.9
19.6

84.7
81.3
71.5
82.7
76.8
75.2
79.3
66.6
71.1
79.7
79.8
69.8
72.8
76.7
74.8
67.8
67.0
75.9
71.2
75.7
74.8

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)
2.8
8.8
4.1
8.8
4.0
4.4
5.1
5.5
6.6
4.3
4.8
5.1
4.2
6.3
4.9
9.8
4.3
5.1
5.9
3.5
5.5

23.9
11.1
22.4
10.7
24.3
20.9
22.5
45.2
16.6
25.2
20.6
19.6
24.1
25.6
20.2
14.5
18.7
20.9
35.0
20.9
20.8

84.7
81.3
71.5
82.7
76.8
75.2
79.3
66.6
71.1
79.7
79.8
69.8
72.8
76.7
74.8
67.8
67.0
75.9
71.2
75.7
75.2

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

63.3
61.6
50.6
61.3
53.0
53.1
59.4
44.0
52.0
55.4
56.8
48.3
51.0
55.3
49.0
47.0
44.2
49.6
47.7
52.0
52.5

60.0
56.9
54.7
55.2
44.9
54.2
55.0
51.4
43.9
48.4
56.1
50.2
53.0
55.9
49.4
50.4
49.6
49.6
43.0
53.2
51.5

20.0
22.9
33.3
29.0
34.9
34.6
31.5
14.4
32.7
33.7
31.2
35.5
29.5
21.8
31.4
41.1
38.8
29.7
38.9
33.5
31.3

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

63.3
61.6
50.6
61.3
53.0
53.1
59.4
44.0
52.0
55.4
56.8
48.3
51.0
55.3
49.0
47.0
44.2
49.6
47.7
52.0
52.9

60.0
56.9
54.7
55.2
44.9
54.2
55.0
51.4
43.9
48.4
56.1
50.2
53.0
55.9
49.4
50.4
49.6
49.6
43.0
53.2
51.5

21.0
17.2
35.3
15.3
37.0
36.7
33.9
12.8
35.6
35.8
33.3
38.1
31.4
24.0
33.6
24.1
41.2
31.8
13.5
35.3
30.4

17

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 07-2
AA

Sub-index
ACE 2007-HE4 M2
BSABS 2007-HE3 M2
CMLTI 2007-AMC2 M2
CWL 2007-1 M2
FFML 2007-FF1 M2
GSAMP 2007-NC1 M2
HASC 2007-NC1 M2
HEAT 2007-2 M2
JPMAC 2007-CH3 M2
FFMER 2007-2 M2
MLMI 2007-MLN1 M2
MSAC 2007-NC3 M2
NHELI 2007-2 M2
NHEL 2007-2 M2
OOMLT 2007-5 M2
RASC 2007-KS2 M2
SABR 2007-BR4 M2
SVHE 2007-OPT1 M2
SASC 2007-BC1 M2
WMHE 2007-HE2 M2
Overall

Factor
0%
100%
0%
100%
0%
0%
100%
0%
100%
0%
100%
89%
0%
100%
66%
85%
0%
100%
100%
0%
52%

Index

Sub-index

Factor

ABX 07-2
A

ACE 2007-HE4 M5
BSABS 2007-HE3 M5
CMLTI 2007-AMC2 M5
CWL 2007-1 M5
FFML 2007-FF1 M5
GSAMP 2007-NC1 M5
HASC 2007-NC1 M5
HEAT 2007-2 M5
JPMAC 2007-CH3 M5
FFMER 2007-2 M5
MLMI 2007-MLN1 M5
MSAC 2007-NC3 M5
NHELI 2007-2 M5
NHEL 2007-2 M5
OOMLT 2007-5 M5
RASC 2007-KS2 M5
SABR 2007-BR4 M5
SVHE 2007-OPT1 M5
SASC 2007-BC1 M5
WMHE 2007-HE2 M5

0%
0%
0%
100%
0%
0%
0%
0%
100%
0%
0%
0%
0%
100%
0%
0%
0%
0%
0%
0%
15%

Overall

26 October 2011

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

9.6%

0.74

16.1

4.3

100.0

100.0

100.0

0.5

1.0

80.6

61.9

56.5

1.0

9.6%

0.51

13.2

13.3

100.0

100.0

100.0

0.8

1.8

81.7

60.4

53.2

1.2

9.6%

0.55

18.4

4.9

100.0

100.0

100.0

0.5

1.0

79.3

59.4

55.0

0.8

9.6%

0.56

14.0

16.5

100.0

100.0

100.0

1.1

2.5

70.0

51.0

42.6

1.8

9.6%
8.6%

0.70
0.55

19.2
18.8

2.0
0.0

100.0
100.0

100.0
100.0

100.0
100.0

0.5
0.3

1.0
0.4

78.3
70.4

56.9
49.8

54.0
51.3

0.9
0.3

9.6%
6.3%
8.2%

0.56
0.64
0.52

15.1
15.0
15.9

9.7
0.0
0.0

100.0
100.0
100.0

100.0
100.0
100.0

100.0
100.0
100.0

0.9
0.4
0.6

1.9
0.5
1.2

65.2
71.2
67.6

46.3
48.0
46.9

46.0
47.2
49.3

1.4
0.4
0.8

9.6%
9.6%

0.59
0.51

15.9
12.6

1.6
2.1

100.0
100.0

100.0
100.0

100.0
100.0

0.5
0.5

0.9
1.0

71.6
71.5

47.7
50.8

47.3
45.7

0.7
0.7

100%

0.59

15.8

5.2

100.0

100.0

100.0

0.6

1.2

73.6

52.9

49.9

0.9

Original
C/E

Current
C/E

Implied Loss
to date

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

Eff
Bond
weight Coupon

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

33.3%

0.62

7.6

4.4

100.0

100.0

100.0

0.4

0.9

81.7

60.4

53.2

0.7

33.3%

0.94

9.2

7.8

100.0

100.0

100.0

0.7

1.5

70.0

51.0

42.6

1.6

33.3%

0.92

10.3

0.8

100.0

100.0

100.0

0.2

0.3

65.2

46.3

46.0

0.3

100%

0.83

9.0

4.3

100.0

100.0

100.0

0.4

0.9

72.3

52.6

47.3

0.9

18

Barclays Capital | ABX and PrimeX Monitor


Index

ABX 07-2
BBB

Sub-index
ACE 2007-HE4 M8
BSABS 2007-HE3 M8
CMLTI 2007-AMC2 M8
CWL 2007-1 M8
FFML 2007-FF1 B2
GSAMP 2007-NC1 M8
HASC 2007-NC1 M8
HEAT 2007-2 M8
JPMAC 2007-CH3 M8
FFMER 2007-2 B2
MLMI 2007-MLN1 B2
MSAC 2007-NC3 B2
NHELI 2007-2 M8
NHEL 2007-2 M8
OOMLT 2007-5 M8
RASC 2007-KS2 M8
SABR 2007-BR4 B2
SVHE 2007-OPT1 M8
SASC 2007-BC1 M8
WMHE 2007-HE2 M8
Overall

Factor
0%
0%
0%
0%
0%
0%
0%
0%
100%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
5%

Index

Sub-index

Factor

ABX 07-2
BBB-

ACE 2007-HE4 M9
BSABS 2007-HE3 M9
CMLTI 2007-AMC2 M9
CWL 2007-1 M9
FFML 2007-FF1 B3
GSAMP 2007-NC1 M9
HASC 2007-NC1 M9
HEAT 2007-2 M9
JPMAC 2007-CH3 M9
FFMER 2007-2 B3
MLMI 2007-MLN1 B3
MSAC 2007-NC3 B3
NHELI 2007-2 M9
NHEL 2007-2 M9
OOMLT 2007-5 M9
RASC 2007-KS2 M9
SABR 2007-BR4 B3
SVHE 2007-OPT1 M9
SASC 2007-BC1 M9
WMHE 2007-HE2 M9

0%
0%
0%
0%
0%
0%
0%
0%
22%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
1%

Overall

26 October 2011

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

100.0%

1.99

5.2

0.4

100%

1.99

5.2

0.4

Original
C/E

Current
C/E

Implied Loss
to date

Eff
Bond
weight Coupon

100.0%

2.34

4.2

0.0

100%

2.34

4.2

0.0

Projected bond loss (%curbal)

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

Stress

Base

Optimistic

100.0

100.0

100.0

0.3

0.5

100.0

100.0

100.0

0.3

0.5

Projected bond loss (%curbal)

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

70.0

51.0

42.6

1.0

70.0

51.0

42.6

1.0

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

Stress

Base

Optimistic

100.0

100.0

100.0

0.1

0.1

70.0

51.0

42.6

0.3

100.0

100.0

100.0

0.1

0.1

70.0

51.0

42.6

0.3

19

Barclays Capital | ABX and PrimeX Monitor

Index

PrimeX.
FRM1

Sub-index
CHASE 2005-S2 A1
CHASE 2005-S2 A10
CHASE 2005-S2 A11
CHASE 2005-S2 A12
CHASE 2005-S2 A13
CHASE 2005-S2 A14
CHASE 2005-S2 A15
CHASE 2005-S2 A16
CHASE 2005-S2 A17
CHASE 2005-S2 A18
CHASE 2005-S2 A19
CHASE 2005-S2 A2
CHASE 2005-S2 A20
CHASE 2005-S2 A21
CHASE 2005-S2 A23
CHASE 2005-S2 A24
CHASE 2005-S2 A25
CHASE 2005-S2 A26
CHASE 2005-S2 A27
CHASE 2005-S2 A28
CHASE 2005-S2 A29
CHASE 2005-S2 A3
CHASE 2005-S2 A4
CHASE 2005-S2 A5
CHASE 2005-S2 A6
CHASE 2005-S2 A7
CHASE 2005-S2 A8
CHASE 2005-S2 A9
CHASE 2005-S3 A1
CHASE 2005-S3 A10
CHASE 2005-S3 A11
CHASE 2005-S3 A12
CHASE 2005-S3 A13
CHASE 2005-S3 A14
CHASE 2005-S3 A15
CHASE 2005-S3 A3
CHASE 2005-S3 A4
CHASE 2005-S3 A5
CHASE 2005-S3 A7
CHASE 2005-S3 A8
CHASE 2005-S3 A9
CWHL 2005-21 A1
CWHL 2005-27 1A1
GSR 2006-1F 2A1
GSR 2006-6F 3A1
RFMSI 2005-S6 A8

26 October 2011

Factor
41%
18%
18%
18%
0%
0%
100%
100%
91%
91%
0%
0%
0%
0%
4%
0%
95%
100%
100%
52%
139%
16%
100%
48%
18%
100%
100%
100%
93%
100%
0%
33%
100%
38%
138%
27%
9%
9%
100%
100%
100%
53%
48%
51%
50%
43%

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Base spr. Base Avg Base proj coll Base proj coll Base cum loss Cash price
(%origbal)
Life
def (%curbal) loss (%curbal)
@index yield
Optimistic Duration

Projected bond loss (%curbal)


Stress

Base

0.3%
0.2%
0.0%
0.0%

5.50
1.03
21.88
12.94

3.5
3.5
3.5
3.5

5.0
5.0
5.0
5.0

6.3
0.0
0.0
0.0

2.6
0.0
0.0
0.0

0.6
0.0
0.0
0.0

3.1
0.5
0.5
0.5

3.9
0.5
0.5
0.5

14.5
14.5
14.5
14.5

6.3
6.3
6.3
6.3

3.4
3.4
3.4
3.4

100.0
98.2
106.7
103.1

0.9%
0.3%
0.4%
0.0%

5.50
5.50
5.50
5.50

3.5
3.5
6.8
3.5

5.0
5.0
8.3
5.0

8.1
11.6
6.1
65.2

3.3
7.4
2.2
42.7

0.0
3.5
0.4
12.2

4.0
6.2
3.9
2.1

5.2
8.2
5.1
3.3

14.5
14.5
14.5
14.5

6.3
6.3
6.3
6.3

3.4
3.4
3.4
3.4

100.3
98.9
101.1
67.4

0.0%

5.50

3.5

5.0

0.0

0.0

0.0

0.1

0.1

14.5

6.3

3.4

99.7

0.7%
0.2%
0.2%
0.1%
0.1%
0.1%
0.1%
0.5%
0.0%
0.1%
0.0%
0.1%
1.0%
0.3%

5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50

3.5
3.5
3.5
3.5
3.5
3.5
3.5
3.5
3.5
3.5
3.5
3.5
6.6
3.4

5.0
5.0
5.0
5.0
5.0
5.0
5.0
5.0
5.0
5.0
5.0
5.0
7.2
4.0

0.0
10.1
11.6
5.3
11.8
0.0
10.4
0.0
0.0
11.6
11.6
11.6
8.8
14.3

0.0
0.0
5.5
1.5
7.7
0.0
1.3
0.0
0.0
0.0
0.0
4.5
4.4
9.5

0.0
0.0
0.0
0.0
3.3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
2.2
7.2

0.9
2.4
5.4
2.7
7.2
0.5
2.5
0.8
0.5
1.4
2.2
4.8
3.9
5.3

0.9
2.6
7.1
3.3
8.2
0.5
3.0
0.9
0.5
1.5
2.3
6.3
5.0
6.8

14.5
14.5
14.5
14.5
14.5
14.5
14.5
14.5
14.5
14.5
14.5
14.5
16.1
16.1

6.3
6.3
6.3
6.3
6.3
6.3
6.3
6.3
6.3
6.3
6.3
6.3
6.9
6.9

3.4
3.4
3.4
3.4
3.4
3.4
3.4
3.4
3.4
3.4
3.4
3.4
4.2
4.2

100.3
101.4
99.7
100.6
99.5
99.9
100.5
100.2
100.0
100.6
101.2
100.0
99.3
96.2

0.2%
0.5%
0.4%
0.0%
0.6%
0.2%
0.1%
0.5%
0.5%
0.5%
5.7%
5.1%
5.4%
5.3%
4.6%

5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
6.00
6.50
5.25

3.4
3.4
3.4
3.4
3.4
3.4
7.8
3.4
3.4
3.4
4.2
4.1

4.0
4.0
4.0
4.0
4.0
4.0
8.5
4.0
4.0
4.0
4.5
4.5

3.0

4.8

0.0
3.9
14.2
14.4
2.6
0.0
0.0
0.0
13.6
14.3
12.0
15.4
17.2
32.2
5.6

0.0
0.1
9.4
9.8
0.0
0.0
0.0
0.0
5.5
9.5
7.5
7.4
12.4
25.9
2.2

0.0
0.0
4.8
7.7
0.0
0.0
0.0
0.0
0.0
6.9
5.1
5.2
9.8
22.0
0.1

0.3
1.3
5.2
5.9
1.0
0.2
0.2
1.0
3.8
5.3
3.6
3.5
3.4
3.8
3.5

0.2
1.4
6.8
6.9
1.1
0.2
0.2
1.0
4.9
6.8
4.8
4.5
5.2
6.6
4.8

16.1
16.1
16.1
16.1
16.1
16.1
16.1
16.1
16.1
16.1
23.4
22.3
20.7
34.7
10.5

6.9
6.9
6.9
6.9
6.9
6.9
6.9
6.9
6.9
6.9
10.8
10.6
9.9
17.5
4.0

4.2
4.2
4.2
4.2
4.2
4.2
4.2
4.2
4.2
4.2
7.3
6.4
7.0
10.5
2.3

99.8
100.5
96.2
96.6
100.4
99.8
99.8
100.3
98.3
96.2
96.5
96.2
96.3
89.9
100.5

20

Barclays Capital | ABX and PrimeX Monitor

Index

Sub-index

Factor

PrimeX.
FRM1
contd..

SASC 2005-17 4A1


SASC 2005-17 4A2
SASC 2005-17 4A3
SASC 2005-17 4A4
SASC 2005-17 4A5
SASC 2005-17 4A6
WFMBS 2005-11 1A1
WFMBS 2005-12 1A1
WFMBS 2005-14 1A1
WFMBS 2005-14 1A5
WFMBS 2005-14 1A6
WFMBS 2005-14 1A9
WFMBS 2005-17 1A1
WFMBS 2005-18 1A1
WFMBS 2005-3 A1
WFMBS 2005-3 A2
WFMBS 2005-3 A3
WFMBS 2005-3 A4
WFMBS 2005-6 A1
WFMBS 2005-6 A12
WFMBS 2005-6 A4
WFMBS 2005-7 A1
WFMBS 2005-8 A1
WFMBS 2005-9 1A1
WFMBS 2005-9 1A10
WFMBS 2005-9 1A11
WFMBS 2005-9 1A12
WFMBS 2005-9 1A13
WFMBS 2005-9 1A14
WFMBS 2005-9 1A15
WFMBS 2005-9 1A16
WFMBS 2005-9 1A2
WFMBS 2005-9 1A3
WFMBS 2005-9 1A4
WFMBS 2005-9 1A6
WFMBS 2005-9 1A7
WFMBS 2005-9 1A8
WFMBS 2005-9 1A9
WFMBS 2006-2 1A7
WFMBS 2006-3 A10
WFMBS 2006-3 A11
WFMBS 2006-3 A7
WFMBS 2006-3 A8
WFMBS 2006-3 A9

37%
82%
13%
100%
100%
95%
47%
51%
93%
138%
54%
24%
54%
52%
11%
11%
84%
100%
15%
100%
86%
41%
54%
5%
100%
92%
92%
5%
78%
100%
139%
48%
0%
100%
0%
89%
24%
30%
51%
100%
95%
9%
0%
28%
47%

Overall

26 October 2011

Bond
Eff
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Base spr. Base Avg Base proj coll Base proj coll Base cum loss Cash price
Life
def (%curbal) loss (%curbal)
(%origbal)
@index yield
Optimistic Duration

Projected bond loss (%curbal)


Stress

Base

1.2%
1.2%
0.4%
2.1%
0.2%
1.0%
5.1%
5.5%
1.2%
1.3%
0.5%
1.7%
5.8%
5.6%
0.3%
0.6%
0.9%
1.6%
1.3%
1.0%
1.1%
4.4%
5.8%
0.1%
0.6%
0.9%
0.1%
0.0%
0.3%
0.4%
0.2%
0.9%

5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50
16.51
0.49
5.50
5.50
5.25
5.50
5.50
5.25
5.50
4.75
5.50
5.50
5.50
5.50
5.50
5.50
5.50
5.50

13.5
13.5
13.5
13.5
13.5
3.9
3.3
10.0
12.9
12.9
9.6
3.3
9.4
3.5
2.9
2.9
10.0
2.9
3.0
3.0
7.8
6.6
13.6
3.3
3.3
13.5
3.3
3.3
3.3
3.3
3.3
3.3

18.3
18.3
18.3
18.3
18.3
1.8
4.5
10.4
12.4
12.4
10.9
4.6
8.3
2.1
6.6
6.6
13.4
6.6
5.6
5.6
10.3
8.3
13.3
5.0
5.0
15.1
5.0
5.0
5.0
5.0
5.0
5.0

3.4
3.5
3.0
4.2
4.2
71.6
7.0
6.2
3.6
5.7
2.1
1.4
7.8
14.3
0.0
0.0
0.4
2.4
0.0
2.6
0.7
0.9
3.3
0.0
9.3
1.4
49.6
0.0
7.5
9.3
11.0
0.8

0.3
0.3
0.2
0.4
0.4
58.3
3.2
2.5
0.9
1.7
0.0
0.0
3.9
9.2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.8
0.0
2.9
0.2
19.4
0.0
0.0
2.4
6.6
0.0

0.0
0.0
0.0
0.0
0.0
42.7
1.2
1.1
0.1
0.2
0.0
0.0
2.2
6.3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0

4.0
4.3
3.2
5.1
5.1
2.4
3.8
4.7
4.5
7.0
2.1
1.2
4.5
4.6
0.5
0.5
3.5
3.5
0.8
4.2
3.9
3.5
4.7
0.2
5.5
4.5
3.6
0.2
2.7
5.4
8.7
1.2

5.3
5.6
4.2
6.8
6.8
3.3
5.0
6.3
5.9
8.3
2.3
1.3
6.1
6.2
0.5
0.5
4.3
4.4
0.8
5.2
5.0
4.5
6.2
0.2
7.4
5.9
5.1
0.2
3.0
7.1
9.8
1.3

30.8
30.8
30.8
30.8
30.8
30.8
16.5
19.3
13.9
13.9
13.9
13.9
19.1
21.3
10.4
10.4
10.4
10.4
9.9
9.9
9.9
10.6
18.5
13.6
13.6
13.6
13.6
13.6
13.6
13.6
13.6
13.6

11.2
11.2
11.2
11.2
11.2
11.2
6.4
8.4
5.8
5.8
5.8
5.8
8.6
9.1
3.7
3.7
3.7
3.7
3.6
3.6
3.6
4.0
8.1
5.6
5.6
5.6
5.6
5.6
5.6
5.6
5.6
5.6

7.8
7.8
7.8
7.8
7.8
7.8
5.9
3.6
3.6
3.6
3.6
6.7
7.1
1.7
1.7
1.7
1.7
1.9
1.9
1.9
2.7
6.4
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3
3.3

102.5
102.6
101.9
103.2
103.2
52.6
100.1
101.6
102.5
103.9
101.1
100.5
100.4
96.0
105.2
98.1
102.2
102.2
100.0
102.7
102.5
101.3
102.7
99.7
101.9
102.9
89.8
99.8
101.6
102.1
101.9
100.5

0.2%

5.50

3.3

5.0

9.3

5.0

0.0

7.1

9.8

13.6

5.6

3.3

101.8

0.3%
0.4%
0.3%
5.5%
0.5%
3.2%
0.2%

5.50
5.50
5.50
5.50
5.50
5.50
5.50

3.3
3.3
3.3
9.9
3.2
9.8
3.2

5.0
5.0
5.0
9.1
4.5
11.0
4.5

0.7
0.7
3.2
7.0
13.6
6.6
11.5

0.0
0.0
0.8
3.1
8.9
2.6
2.1

0.0
0.0
0.0
1.5
4.1
1.1
0.0

1.1
1.1
2.3
4.5
5.6
4.4
2.5

1.2
1.2
2.9
6.0
7.4
5.7
3.1

13.6
13.6
13.6
19.0
16.2
16.2
16.2

5.6
5.6
5.6
7.8
7.1
7.1
7.1

3.3
3.3
3.3
6.3
4.0
4.0
4.0

100.4
100.4
100.9
100.9
97.1
101.2
99.9

1.1%
100%

5.50
5.55

3.2
5.3

4.5
6.9

1.8
9.3

0.0
5.4

0.0
3.6

1.1
3.8

1.1
5.1

16.2
18.7

7.1
8.1

4.0
5.2

100.4
98.9

21

Barclays Capital | ABX and PrimeX Monitor

Index

PrimeX.
FRM2

Sub-index
CHASE 2006-S4 A14
CHASE 2006-S4 A15
CHASE 2006-S4 A8
GSR 2006-10F 3A1
GSR 2006-8F 3A1
GSR 2006-8F 3A3
GSR 2006-8F 3A4
GSR 2006-8F 3A5
GSR 2006-8F 3A6
JPMMT 2006-S4 A7
PRIME 2007-1 A1
PRIME 2007-1 A2
PRIME 2007-1 A3
PRIME 2007-1 A4
PRIME 2007-1 A5
PRIME 2007-1 A6
PRIME 2007-2 A1
PRIME 2007-2 A2
PRIME 2007-2 A3
RFMSI 2006-S11 A1
RFMSI 2006-S6 A1
RFMSI 2006-S6 A10
RFMSI 2006-S6 A11
RFMSI 2006-S6 A12
RFMSI 2006-S6 A13
RFMSI 2006-S6 A14
RFMSI 2006-S6 A15
RFMSI 2006-S6 A2
RFMSI 2006-S6 A9
RFMSI 2006-S8 A1
RFMSI 2006-S8 A10
RFMSI 2006-S8 A15
RFMSI 2006-S8 A16
RFMSI 2006-S8 A6
RFMSI 2006-S8 A8
RFMSI 2006-S9 A1
RFMSI 2006-S9 A10
RFMSI 2006-S9 A11
RFMSI 2006-S9 A3
RFMSI 2006-S9 A4
RFMSI 2006-S9 A5
RFMSI 2006-S9 A6

26 October 2011

Factor
22%
100%
100%
47%
0%
85%
100%
29%
99%
49%
42%
100%
100%
100%
100%
100%
45%
100%
100%
43%
23%
92%
0%
36%
80%
121%
92%
0%
35%
35%
52%
26%
100%
100%
0%
100%
29%
100%
24%
100%
0%
0%

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Base spr. Base Avg Base proj coll Base proj coll Base cum loss Cash price
def (%curbal) loss (%curbal)
(%origbal)
Life
@index yield
Optimistic Duration

Projected bond loss (%curbal)


Stress

Base

0.9%
0.9%
5.2%
4.8%

6.00
6.00
6.00
6.00

4.8
4.8
4.8
4.0

2.0
2.0
2.0
2.9

16.0
24.2
23.4
19.0

11.6
19.1
18.4
13.6

8.8
16.4
15.6
10.3

2.4
4.0
3.8
3.9

3.3
5.2
5.0
5.1

28.1
28.1
28.1
29.4

14.2
14.2
14.2
15.5

10.0
10.0
10.0
10.0

90.1
84.0
84.6
88.1

0.1%
0.8%
1.2%
1.8%
5.0%
3.5%
0.7%
0.5%
0.4%
0.1%
0.1%
3.9%
0.7%
1.1%
4.4%
0.0%
0.2%

6.25
6.25
6.25
5.75
6.00
6.00
6.00
6.00
5.50
5.50
5.50
6.00
6.00
6.00
6.00
6.00
6.00

3.3
3.3
3.3
10.0
4.5
4.0
4.0
16.3
4.0
4.0
4.0
4.3
4.3
4.3
3.5
3.6
7.0

3.5
3.5
3.5
10.2
1.7
1.5
1.5
14.1
1.5
1.5
1.5
0.0
0.0
0.0
0.0
0.0
3.8

21.4
22.4
13.9
16.2
34.8
18.4
44.7
21.7
31.1
31.1
95.1
23.3
48.9
35.3
19.8
29.7
27.5

15.1
16.8
9.1
10.6
28.3
13.6
38.4
15.5
25.5
25.5
93.4
18.3
42.7
29.8
15.6
24.5
22.2

4.0
13.4
7.0
7.3
24.3
10.4
34.8
12.2
22.3
22.3
91.2
15.0
39.5
26.6
13.1
21.3
19.0

3.7
4.2
2.4
4.0
3.6
2.6
8.0
4.9
4.9
4.9
1.0
2.7
8.1
4.8
3.6
3.6
3.7

4.7
5.2
3.1
5.2
7.5
3.0
10.6
6.7
6.1
6.1
1.6
3.2
10.3
5.8
4.8
6.9
7.1

30.8
30.8
30.8
30.8
34.9
34.7
34.7
34.7
34.7
34.7
34.7
38.9
38.9
38.9
22.0
25.6
25.6

16.1
16.1
16.1
16.1
19.3
17.5
17.5
17.5
17.5
17.5
17.5
21.1
21.1
21.1
10.3
12.2
12.2

8.0
8.0
8.0
8.0
12.6
11.9
11.9
11.9
11.9
11.9
11.9
15.2
15.2
15.2
7.9
9.1
9.1

87.7
86.3
92.5
89.9
80.8
87.6
70.3
87.8
76.1
76.1
14.0
83.3
66.3
74.4
87.0
85.4
88.0

0.8%
1.1%
0.5%
1.0%

6.00
6.00
6.00
6.00

7.0
7.0
7.0
7.0

3.8
3.8
3.8
3.8

27.5
27.5
27.5
27.5

22.2
22.2
22.2
22.2

19.0
19.0
19.0
19.0

3.7
3.7
3.7
3.7

7.1
7.1
7.1
7.1

25.6
25.6
25.6
25.6

12.2
12.2
12.2
12.2

9.1
9.1
9.1
9.1

88.0
88.0
88.0
88.0

1.0%
0.5%
1.3%
0.1%
2.1%
1.5%

6.00
5.50
6.00
6.00
6.00
6.00

7.0
3.8
3.8
3.8
3.8
10.0

3.8
0.7
0.7
0.7
0.7
7.2

27.5
26.7
29.4
29.4
31.7
27.5

22.2
21.7
24.1
24.1
26.3
22.0

19.0
18.9
20.9
20.9
23.1
19.0

3.7
3.2
3.7
3.7
4.0
4.0

7.1
6.6
7.3
7.3
8.0
8.3

25.6
23.5
23.5
23.5
23.5
23.5

12.2
11.6
11.6
11.6
11.6
11.6

9.1
8.5
8.5
8.5
8.5
8.5

88.0
85.8
86.5
86.5
85.3
89.8

1.2%
0.7%
0.5%
0.7%
1.0%

6.25
6.25
6.25
5.75
5.75

7.4
3.8
3.8
3.8
3.8

5.3
1.6
1.6
1.6
1.6

31.5
29.5
34.8
27.0
34.8

25.6
23.9
28.9
21.4
28.9

22.2
20.4
25.5
18.0
25.5

4.0
3.3
4.1
2.9
4.1

8.0
6.7
8.0
6.0
8.0

26.8
26.8
26.8
26.8
26.8

13.6
13.6
13.6
13.6
13.6

8.2
8.2
8.2
8.2
8.2

87.7
87.2
84.6
86.6
82.2

22

Barclays Capital | ABX and PrimeX Monitor


Index

Sub-index

Factor

PrimeX.
FRM2
contd..

RFMSI 2006-S9 A7
RFMSI 2007-S4 A1
RFMSI 2007-S4 A10
RFMSI 2007-S4 A2
RFMSI 2007-S4 A3
RFMSI 2007-S4 A4
RFMSI 2007-S4 A5
RFMSI 2007-S4 A7
RFMSI 2007-S4 A8
RFMSI 2007-S4 A9
RFMSI 2007-S5 A3
RFMSI 2007-S8 1A1
WFMBS 2006-14 A1
WFMBS 2006-15 A1
WFMBS 2007-1 A10
WFMBS 2007-13 A7
WFMBS 2007-4 A4
WFMBS 2007-7 A1
WFMBS 2007-8 1A2

0%
97%
95%
44%
96%
44%
40%
0%
121%
96%
57%
57%
34%
33%
49%
47%
49%
52%
52%
49%

Overall

Index

Sub-index

Factor

PrimeX.
ARM1

CMLTI 2005-11 A2A


GSR 2005-AR3 6A1
GSR 2005-AR4 3A1
GSR 2005-AR7 2A1
GSR 2006-AR1 2A1
GSR 2006-AR2 5A1
JPMMT 2005-A3 11A3
JPMMT 2005-A4 1A1
JPMMT 2005-A5 TA1
JPMMT 2005-A7 1A4
JPMMT 2006-A4 4A1
MLMI 2005-A2 A1
MLMI 2005-A9 2A1E
WAMU 2005-AR10 1A4
WAMU 2005-AR14 1A4
WAMU 2005-AR7 A4
WFMBS 2006-AR2 2A1
WFMBS 2006-AR4 2A1
WFMBS 2006-AR6 7A1
WFMBS 2006-AR8 2A1

44%
38%
39%
46%
48%
53%
26%
35%
25%
39%
41%
36%
38%
42%
46%
38%
46%
45%
44%
47%
41%

Overall

26 October 2011

Eff
Bond
weight Coupon

Original
C/E

Current
C/E

Implied Loss
to date

Projected bond loss (%curbal)


Stress

Base

Optimistic

Base spr. Base Avg Base proj coll


Duration
Life
def (%curbal)

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

1.0%
0.1%
1.1%
0.4%
1.4%
0.8%

6.00
6.00
6.00
6.00
5.38
6.00

3.8
3.8
3.8
3.8
3.8
3.8

0.0
0.0
0.0
0.0
0.0
0.0

30.5
32.1
32.1
30.5
32.1
30.5

25.0
26.6
26.6
25.0
26.6
25.0

21.5
23.2
23.2
21.5
23.2
21.5

3.8
3.7
3.7
3.8
3.7
3.8

8.0
7.8
7.8
8.0
7.8
8.0

25.6
25.6
25.6
25.6
25.6
25.6

11.3
11.3
11.3
11.3
11.3
11.3

10.9
10.9
10.9
10.9
10.9
10.9

87.3
85.4
85.4
87.3
82.5
87.7

0.0%
0.9%
5.8%
5.8%
3.5%
3.4%
5.0%
4.8%
5.0%
5.3%
5.3%
100%

6.00
5.50
6.00
6.00
6.00
6.00
5.75
6.00
6.00
6.00
6.00
5.97

3.8
3.8
4.0
7.5
3.0
3.1
4.3
3.5
3.5
3.8
3.7
4.8

0.0
0.0
0.9
0.7
2.7
3.3
2.7
0.9
1.1
2.2
0.9
1.9

32.1
30.5
29.7
39.8
16.7
14.5
17.5
14.1
20.7
18.3
18.4
24.3

26.6
25.0
24.2
33.9
11.7
10.0
12.4
9.0
15.2
12.8
13.4
19.0

23.2
21.5
20.8
30.0
8.8
7.5
9.6
6.3
12.0
9.5
10.5
15.8

3.7
3.7
3.5
4.0
3.8
3.7
3.9
3.9
4.0
4.1
4.1
3.8

7.8
8.0
6.7
9.3
5.2
5.1
5.3
5.4
5.4
5.7
5.6
6.0

25.6
25.6
28.5
30.0
25.2
21.8
27.0
24.8
28.5
27.0
25.3
28.2

11.3
11.3
12.8
13.4
11.9
10.3
12.3
10.6
13.1
11.9
11.3
13.6

10.9
10.9
10.6
13.0
6.0
5.4
8.8
8.0
9.3
8.7
9.3

85.4
85.0
85.6
82.3
90.2
91.6
88.5
92.6
87.1
89.4
88.8
86.5

Original
C/E

Current
C/E

Implied Loss
to date

Base proj coll


loss (%curbal)

Base cum loss


(%origbal)

Cash price
@index yield

8.2
8.0
3.7
7.1
9.0
9.0
4.3
3.7
3.3
6.9
7.7
3.6
7.9
8.3
8.8
4.3
13.5
8.5
7.5
7.7
7.0

8.8
10.3
5.5
6.1
5.4
4.8
7.7
8.7
8.6
7.8
5.2
7.3
6.2
10.0
9.5
7.4
10.2
7.3
7.5
5.0
7.4

9.1
13.1
9.8
6.3
14.3
11.6
0.6
4.8
4.5
11.6
13.1
6.4
11.7
12.3
14.5
10.4
12.4
12.7
6.0
10.9
10.2

6.1
7.5
5.6
4.4
10.7
8.4
0.2
2.2
1.4
7.0
6.6
3.1
7.3
7.0
8.7
5.3

88.5
86.4
86.5
88.9
80.9
89.0
94.2
96.9
97.5
86.5
87.9
90.4
84.0
86.8
84.1
87.0
86.6
93.0
96.3
84.5
88.4

Eff
Bond
weight Coupon
5.4%
4.6%
4.7%
5.7%
5.9%
6.5%
3.2%
4.3%
3.0%
4.7%
5.0%
4.5%
4.7%
5.2%
5.6%
4.7%
5.6%
5.6%
5.4%
5.7%
100%

2.50
2.76
2.77
2.74
2.79
5.30
4.47
5.33
5.43
2.78
5.57
2.62
2.76
2.51
2.61
2.58
2.73
5.62
5.05
2.75
3.54

Projected bond loss (%curbal)


Stress

Base

Optimistic

6.4
9.0
8.5
6.1
16.1
14.7
0.0
0.3
0.0
8.4
15.8
3.4
12.2
9.9
13.4
9.1
11.5
11.8
2.3
12.7
9.2

2.2
3.5
4.3
2.4
10.3
8.9
0.0
0.0
0.0
3.6
10.9
0.0
7.3
4.0
6.9
3.8
4.7
6.1
0.1
7.3
4.7

0.5
0.7
1.9
0.7
6.9
5.6
0.0
0.0
0.0
1.1
7.9
0.0
4.3
1.0
3.3
0.9
1.4
3.0
0.0
4.3
2.4

Base spr. Base Avg Base proj coll


def (%curbal)
Duration
Life
4.3
4.4
4.3
3.9
4.3
4.0
3.3
2.8
2.5
4.4
3.7
3.9
4.4
4.0
4.1
3.9
4.4
3.9
3.6
4.2
4.0

5.3
5.7
5.4
4.7
5.4
5.4
4.3
3.7
3.4
5.8
5.1
4.7
5.5
5.0
5.0
4.9
5.4
5.4
4.6
5.1
5.0

24.0
31.6
25.1
19.1
33.1
27.0
3.7
12.3
11.1
28.0
27.7
19.6
28.0
30.0
34.1
27.4
31.3
28.4
17.5
28.5
25.3

7.9
3.5
8.8
5.9

23

Barclays Capital | ABX and PrimeX Monitor

Index

PrimeX.
ARM2

Sub-index
CMLTI 2007-AR4 1A1A
CWHL 2007-HY1 1A1
FHASI 2006-AR4 1A1
FHASI 2007-AR1 1A1
FHASI 2007-AR2 1A1
FHASI 2007-AR3 1A1
JPMMT 2006-A7 2A1
JPMMT 2007-A3 3A1
JPMMT 2007-A5 3A1
JPMMT 2007-A6 2A1
RFMSI 2006-SA2 2A1
RFMSI 2006-SA3 2A1
RFMSI 2007-SA2 2A1
RFMSI 2007-SA3 2A1
WFMBS 2006-AR12 1A1
WFMBS 2006-AR13 A1
WFMBS 2006-AR15 A1
WFMBS 2006-AR17 A1
WFMBS 2006-AR18 1A1
WFMBS 2006-AR19 A1
Overall

26 October 2011

Factor
47%
53%
44%
43%
45%
49%
43%
49%
46%
49%
45%
44%
45%
56%
36%
36%
35%
31%
34%
41%
44%

Eff
Bond
weight Coupon
5.4%
6.1%
5.1%
5.0%
5.2%
5.6%
4.9%
5.6%
5.3%
5.7%
5.2%
5.0%
5.1%
6.4%
4.1%
4.1%
4.1%
3.6%
3.9%
4.7%
100%

5.79
5.36
4.98
5.74
5.68
5.91
4.44
5.70
5.52
5.32
3.60
3.63
5.62
5.69
2.74
2.66
5.35
2.99
5.65
5.45
4.98

Original
C/E

Current
C/E

Implied Loss
to date

7.2
7.8
3.8
6.9
2.9
7.4
7.8
4.5
6.9
7.0
8.5
7.7
4.8
10.0
8.3
3.8
10.6
8.8
6.6
8.8
7.0

4.6
1.3
0.0
2.8
0.0
0.1
1.1
0.0
2.0
5.3
0.0
0.0
0.0
0.0
0.0
0.0
8.3
1.3
6.5
8.5
2.0

Base spr. Base Avg Base proj coll Base proj coll Base cum loss Cash price
def (%curbal) loss (%curbal)
(%origbal)
Life
@index yield
Optimistic Duration

Projected bond loss (%curbal)


Stress

Base

21.6
37.6
25.5
30.5
26.6
27.2
26.6
22.3
20.3
20.7
55.1
21.3
31.5
37.1
21.6
27.4
19.5
22.5
13.8
14.0
26.7

14.8
30.4
20.5
25.4
21.8
22.0
21.7
16.9
15.1
14.4
49.8
16.2
25.5
30.6
16.0
20.1
12.6
16.3
7.9
8.0
20.9

10.7
24.7
17.1
21.8
18.8
18.4
18.2
13.7
12.0
10.4
46.0
13.2
21.4
26.1
12.3
15.6
8.4
12.4
4.7
4.8
17.1

3.6
4.8
4.2
3.6
3.6
3.9
4.0
3.6
3.6
4.0
4.8
4.6
4.2
4.1
4.4
4.2
4.0
4.7
4.0
3.8
4.1

5.0
5.9
5.8
5.7
5.7
5.6
5.3
5.2
5.3
5.5
12.1
6.6
7.0
7.2
5.6
5.0
5.5
6.3
5.7
5.4
6.1

38.6
60.1
36.0
44.0
33.7
39.2
40.7
32.9
32.0
41.4
30.9
29.8
34.8
41.2
37.8
42.8
38.2
37.4
28.6
30.4
37.9

17.7
30.8
16.4
20.3
14.9
17.6
21.0
16.2
15.2
18.7
13.6
13.4
15.8
18.5
15.8
19.9
18.2
16.9
12.6
14.0
17.6

11.2
21.1
11.8
13.3
12.3
14.1
14.5
11.4
10.0
12.7
15.7
12.2
16.3
20.2
11.0
11.2
9.7
10.1
6.5
8.2
13.0

83.0
61.5
72.2
71.6
74.8
73.9
68.2
79.6
77.5
77.4
70.6
70.4
74.1
70.8
71.9
69.7
80.6
69.0
87.3
87.2
74.4

24

Barclays Capital | ABX and PrimeX Monitor

APPENDIX I INDEX LEVEL COLLATERAL PERFORMANCE

26 October 2011

25

Barclays Capital | ABX and PrimeX Monitor

Performance across time: ABX06-1


Current to delinquent roll rates by mod/payment history

Current to prepay roll rates by mod/payment history

C to Q (%)

C to P (%)

12

0.8

Severity (%)
100

0.7

90

0.6
8

Severity by mode of liquidation

0.5

80

0.4
70

0.3

0.2

60

0.1
0

0.0

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Clean Unmodified

Clean Modified

Dirty Unmodified

Dirty Modified

Clean unmodified current to delinq roll rates by CLTV

50

Sep-10

Nov-10

Jan-11

Mar-11

Clean Unmodified
Dirty Unmodified

May-11

Jul-11

Sep-10

Jan-11

Clean Modified

Liquidation Severity

Dirty Modified

Shortsale Severity

Clean unmodified current to prepay roll rates by CLTV


CNM to P

REO Sev

1.4

100

1.2

90

1.0

Mar-11

May-11

Jul-11

REO Severity

REO severities by LTV

CNM to Q

Nov-10

80

0.8
70

0.6

0.4

60

0.2

50

0.0
70

80

90

100 110 120 130 140 150 160 170 180

40

70

Mark-to-Market CLTV
-12m

-3m

Current

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV
-12m

-3m

Current

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market LTV
-12m

-3m

Current

Note: All data on this page and thereafter are based on September 26, 2011 remittances.

26 October 2011

26

Barclays Capital | ABX and PrimeX Monitor

Performance across time: ABX 06-2


Current to delinquent roll rates by mod/payment history

Current to prepay roll rates by mod/payment history

C to Q (%)

C to P (%)

12

0.6

Severity (%)
100
95
90
85
80
75
70
65
60
55
50

0.5
0.4

0.3
4

0.2
0.1

0.0

Sep-10

Nov-10

Jan-11

Mar-11

Clean Unmodified
Dirty Unmodified

May-11

Jul-11

Sep-10

Nov-10

Clean Modified
Dirty Modified

Clean unmodified current to delinq roll rates by CLTV

Severity by mode of liquidation

Jan-11

Mar-11

May-11

Jul-11

Sep-10

Nov-10

Jan-11

Clean Unmodified

Clean Modified

Liquidation Severity

Dirty Unmodified

Dirty Modified

Shortsale Severity

Clean unmodified current to prepay roll rates by CLTV

Mar-11

May-11

Jul-11

REO Severity

REO severities by LTV

CNM to Q

CNM to P

REO Sev

1.2

110

1.0

100

0.8

90

0.6

80

0.4

70

0.2

60

6
4
2

0.0

0
70

80

90

100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV
-12m

26 October 2011

-3m

Current

50
70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV
-12m

-3m

Current

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market LTV
-12m

-3m

Current

27

Barclays Capital | ABX and PrimeX Monitor

Performance across time: ABX 07-1


Current to delinquent roll rates by mod/payment history

Current to prepay roll rates by mod/payment history

C to Q (%)

C to P (%)

12

0.6

Severity by mode of liquidation


Severity (%)
90

0.5
80

0.4

0.3

70

0.2

60

0.1
0.0

0
Sep-10

Nov-10

Jan-11

Mar-11

Clean Unmodified
Dirty Unmodified

May-11

Jul-11

50

Sep-10

Nov-10

Clean Modified
Dirty Modified

Clean unmodified current to delinq roll rates by CLTV

Jan-11

Mar-11

May-11

Jul-11

Sep-10

Clean Modified

Liquidation Severity

Dirty Unmodified

Dirty Modified

Shortsale Severity

Clean unmodified current to prepay roll rates by CLTV


CNM to P

REO Sev

1.6

100
95
90
85
80
75
70
65
60
55
50

1.4
1.2
1.0
0.8
0.6

0.4
2

0.2
0.0

0
70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV
-12m

26 October 2011

-3m

Current

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV
-12m

-3m

Current

Mar-11

May-11

Jul-11

REO Severity

REO severities by LTV

10

Jan-11

Clean Unmodified

CNM to Q

Nov-10

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market LTV
-12m

-3m

Current

28

Barclays Capital | ABX and PrimeX Monitor

Performance across time: ABX 07-2


Current to delinquent roll rates by mod/payment history

Current to prepay roll rates by mod/payment history

C to Q (%)

C to P (%)

16

0.5

Severity (%)
90

0.4

12

Severity by mode of liquidation

80

0.3
8

70
0.2

60

0.1

50

0.0

Sep-10

Nov-10

Jan-11

Mar-11

Clean Unmodified
Dirty Unmodified

May-11

Jul-11

Sep-10

Nov-10

Clean Modified
Dirty Modified

Clean unmodified current to delinq roll rates by CLTV

Jan-11

Mar-11

Clean Unmodified
Dirty Unmodified

May-11

Jul-11

Sep-10

May-11

Jul-11

REO Severity

REO severities by LTV

CNM to P

REO Sev

1.6

100

1.4

90
80

1.0

Mar-11

Shortsale Severity

Clean unmodified current to prepay roll rates by CLTV

1.2

Jan-11

Liquidation Severity

Clean Modified
Dirty Modified

CNM to Q

Nov-10

0.8

70

0.6

60

0.4

50

0.2
0

40

0.0
70

80

90

100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV
-12m

26 October 2011

-3m

Current

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV
-12m

-3m

Current

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market LTV
-12m

-3m

Current

29

Barclays Capital | ABX and PrimeX Monitor

Performance across time: PrimeX FRM1


Current to prepay roll rates by mod/payment history

Current to delinquent roll rates by mod/payment history


C to Q (%)
16

Clean Unmodified
Clean Modified
Dirty Unmodified
Dirty Modified

C to P (%)

Clean Unmodified
Clean Modified
Dirty Unmodified
Dirty Modified

Severity by mode of liquidation


Liquidation Severity
REO Severity
Shortsale Severity

Severity (%)
90
80

12

70
60

2
50
40

30
0

20

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Clean unmodified current to delinq roll rates by CLTV


CNM to Q

-12m

-3m

Current

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Nov-10

Clean unmodified current to prepay roll rates by CLTV


CNM to P

-12m

-3m

Current

5.0

Sep-10

4.0

Jan-11

Mar-11

May-11

Jul-11

REO severities by LTV


REO Sev

-12m

-3m

Current

80

60

3.0
40

2
2.0

20

1.0

0.0

0
70

80

90

26 October 2011

100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market LTV

30

Barclays Capital | ABX and PrimeX Monitor

Performance across time: PrimeX FRM2


Current to delinquent roll rates by mod/payment history
C to Q (%)

Clean Unmodified
Clean Modified
Dirty Unmodified
Dirty Modified

C to P (%)

Clean Unmodified
Clean Modified
Dirty Unmodified
Dirty Modified

12

Current to prepay roll rates by mod/payment history

2.4

Liquidation Severity
REO Severity
Shortsale Severity

Severity (%)
70
65

2.0

60
55

1.6

Severity by mode of liquidation

50
45

1.2

40
4

0.8

35
30

0.4
0

25
20

0.0

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Clean unmodified current to delinq roll rates by CLTV


CNM to Q

-12m

-3m

Current

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

CNM to P

-12m

-3m

Current

3.5

120

3.0

100

26 October 2011

Jul-11

-12m

-3m

Current

40
20
0

0.0
100 110 120 130 140 150 160 170 180
Mark-to-Market CLTV

May-11

60

0.5

90

Mar-11

80

1.0

80

REO Sev
140

1.5

70

Jan-11

REO severities by LTV

4.0

2.0

Nov-10

Clean unmodified current to prepay roll rates by CLTV

2.5
1

Sep-10

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market LTV

31

Barclays Capital | ABX and PrimeX Monitor

Performance across time: PrimeX ARM1


Current to delinquent roll rates by mod/payment history
C to Q (%)

Clean Unmodified
Clean Modified
Dirty Unmodified
Dirty Modified

C to P (%)

Clean Unmodified
Clean Modified
Dirty Unmodified
Dirty Modified

12

Current to prepay roll rates by mod/payment history

2.0

Severity by mode of liquidation


Liquidation Severity
REO Severity
Shortsale Severity

Severity (%)
55
50

1.5

45

40
1.0
35
4

30

0.5

25
0

20

0.0

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Clean unmodified current to delinq roll rates by CLTV


CNM to Q

-12m

-3m

Current

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Nov-10

Clean unmodified current to prepay roll rates by CLTV


CNM to P

-12m

-3m

Current

2.5

Sep-10

Jan-11

Mar-11

May-11

Jul-11

REO severities by LTV


REO Sev

-12m

-3m

Current

120
100

2.0

80
1.5
60

2
1.0

0
70

80

90

26 October 2011

100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV

40

0.5

20

0.0

0
70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market LTV

32

Barclays Capital | ABX and PrimeX Monitor

Performance across time: PrimeX ARM2


Current to prepay roll rates by mod/payment history

Current to delinquent roll rates by mod/payment history


C to Q (%)
9
8

1.8
1.6

1.4

1.2

1.0

0.8

0.6

0.4

0.2

0.0

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Clean unmodified current to delinq roll rates by CLTV


CNM to Q

-12m

-3m

Clean Unmodified
Clean Modified
Dirty Unmodified
Dirty Modified

C to P (%)

Clean Unmodified
Clean Modified
Dirty Unmodified
Dirty Modified

Current

Severity by mode of liquidation


Liquidation Severity
REO Severity
Shortsale Severity

Severity (%)
60

50

40

30

20

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-10

Nov-10

Clean unmodified current to prepay roll rates by CLTV


CNM to P

-12m

-3m

Current

Jan-11

Mar-11

May-11

Jul-11

REO severities by LTV


REO Sev

100

80

60

40

20

-12m

-3m

Current

0
70

80

90

26 October 2011

100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV

70

80

90

100 110 120 130 140 150 160 170 180


Mark-to-Market CLTV

70

80

90 100 110 120 130 140 150 160 170 180


Mark-to-Market LTV

33

Barclays Capital | ABX and PrimeX Monitor

Liquidation timelines across ABX indices


Foreclosure to liquidation timelines

Delinquency to liquidation timelines


ABX 06-1
ABX 07-1
PrimeX ARM.1
PrimeX FRM.1

Months
32

ABX 06-2
ABX 07-2
PrimeX ARM.2
PrimeX FRM.2

Months
ABX 06-1
ABX 07-1
PrimeX ARM.1
PrimeX FRM.1

22

28

18

ABX 06-2
ABX 07-2
PrimeX ARM.2
PrimeX FRM.2

24

14

20
16

10
12
8
Sep-10

6
Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

REO to liquidation timelines


Months

ABX 06-1
ABX 07-1
PrimeX ARM.1
PrimeX FRM.1

12
11
10

Note: Liquidation timelines are calculated only for loans that have exited the pool. These
may be positively self-selected: some loans are quickly flushed through the foreclosure/REO
pipeline while other, perhaps worse, loans stay in REO for long periods without exiting the
pool. Liquidation timelines may, therefore, extend further as longer timeline loans, currently
in foreclosure or REO, are eventually liquidated.

ABX 06-2
ABX 07-2
PrimeX ARM.2
PrimeX FRM.2

9
8
7
6
5
4
3
Sep-10

26 October 2011

Nov-10

Jan-11

Mar-11

May-11

Jul-11

34

Barclays Capital | ABX and PrimeX Monitor

APPENDIX II DEAL LEVEL COLLATERAL PERFORMANCE

26 October 2011

35

Barclays Capital | ABX and PrimeX Monitor

September remittance Delinquency composition


Index

Deal

Factor

WALA

ACE 2005-HE7

17%

AMSI 2005-R11

Always Current (%balance)

60+ Delinq (%balance)

Foreclosure (%balance)

REO (%balance)

Modified (%balance)

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

73

21.7

(0.4)

(0.8)

43.4

(0.0)

(0.3)

22.9

(0.7)

0.6

4.6

0.9

1.2

43.0

0.2

3 m
1.1

35%

71

41.0

(0.5)

(1.2)

24.6

0.2

0.6

13.4

0.3

0.1

2.2

0.2

0.2

45.1

0.4

1.4

ARSI 2005-W2

22%

74

30.6

(0.0)

(0.5)

29.1

0.1

0.1

17.2

0.1

0.4

2.8

(0.0)

(0.1)

48.1

0.7

2.2

BSABS 2005-HE11

24%

75

27.1

(0.4)

(0.7)

44.5

(0.7)

(0.9)

23.3

1.6

5.9

1.4

(0.1)

(0.5)

38.5

0.4

0.4

CWL 2005-BC5

27%

75

23.4

(0.3)

(0.7)

51.2

0.1

(1.2)

22.5

0.9

2.2

3.9

0.8

1.3

43.2

0.2

1.4

FFML 2005-FF12

25%

72

28.5

(0.4)

(1.4)

44.1

(0.0)

(0.5)

14.9

1.6

1.5

1.8

(0.2)

(0.1)

44.1

0.2

1.3
2.4

GSAMP 2005-HE4

21%

76

22.4

(0.3)

(0.4)

41.0

(1.6)

(1.0)

28.1

0.4

1.7

2.1

(0.3)

(0.7)

49.1

1.0

HEAT 2005-8

18%

75

24.1

(0.1)

(0.2)

27.4

(0.3)

(1.0)

13.5

0.6

1.6

2.5

(0.4)

(0.9)

55.2

0.3

2.0

JPMAC 2005-OPT1

16%

78

28.5

(0.0)

(0.4)

31.1

0.6

0.6

17.7

1.0

1.0

3.2

(0.1)

(0.2)

47.5

0.1

1.2

ABX 06-1

ABX 06-2

LBMLT 2005-WL2

15%

77

20.3

(0.5)

(0.9)

49.0

(0.4)

0.0

24.6

0.8

2.8

3.1

0.0

0.2

44.1

0.8

1.9

MABS 2005-NC2

18%

74

15.9

(0.1)

(1.1)

32.8

(0.0)

0.5

16.0

(0.7)

(0.9)

8.1

(0.6)

0.1

71.3

0.9

2.2

MLMI 2005-AR1

18%

77

21.5

0.0

(0.1)

56.8

0.4

0.6

26.6

2.1

4.6

5.4

0.6

1.3

33.5

0.4

1.7

MSAC 2005-HE5

16%

76

20.7

(0.1)

(0.6)

46.0

0.5

0.9

21.0

1.0

1.8

4.2

(0.2)

0.6

51.8

0.8

1.7

NCHET 2005-4

30%

75

26.7

0.0

(0.3)

32.6

(0.8)

(1.8)

18.7

0.2

0.6

6.0

(0.7)

(1.3)

66.0

0.7

1.5

RAMP 2005-EFC4

20%

74

28.7

(0.3)

(0.7)

26.1

(1.0)

(0.5)

15.4

(0.2)

0.8

2.2

(0.2)

(0.3)

41.5

0.3

0.9

RASC 2005-KS11

23%

73

28.7

(0.0)

(0.4)

25.7

(1.4)

(2.1)

16.4

(1.0)

(1.8)

1.6

(0.3)

(0.2)

40.5

0.6

1.3

SABR 2005-HE1

13%

75

12.9

0.5

1.2

80.3

(0.3)

(0.5)

41.3

8.2

7.1

15.2

(2.6)

(4.6)

64.6

1.1

2.3

SAIL 2005-HE3

16%

77

27.4

(0.6)

(0.2)

34.6

(1.9)

(3.2)

18.1

(0.9)

(1.0)

5.5

(0.3)

(0.7)

41.3

1.8

3.1

SASC 2005-WF4

23%

74

40.8

(0.1)

(0.6)

23.4

(0.0)

(0.2)

11.1

0.3

(0.1)

2.9

(0.4)

(0.4)

27.7

0.6

1.3

SVHE 2005-4

32%

75

25.9

(0.3)

(1.5)

45.2

0.2

0.1

23.2

0.7

2.3

2.5

(0.1)

0.2

55.9

0.4

1.8

ACE 2006-NC1

23%

73

27.8

(0.4)

(1.1)

33.9

0.2

1.5

19.8

0.4

(0.1)

4.4

0.3

0.4

42.7

0.7

1.8

ARSI 2006-W1

21%

71

21.3

(0.3)

(0.8)

35.5

(0.2)

0.0

22.3

(0.4)

(0.7)

4.1

(0.2)

0.5

57.6

0.8

2.2
0.5

BSABS 2006-HE3

24%

70

16.7

(0.2)

(0.2)

48.8

0.6

1.1

27.4

(0.3)

1.7

3.4

0.1

(0.1)

51.0

0.3

CARR 2006-NC1

34%

71

26.8

0.3

1.3

35.7

(1.3)

(4.3)

19.5

0.8

2.1

8.8

(1.4)

(5.6)

65.4

0.7

3.0

CWL 2006-8

46%

65

17.3

0.0

(0.7)

58.8

(0.3)

(0.6)

24.7

2.3

3.3

4.5

0.6

1.6

48.4

0.4

1.2

FFML 2006-FF4

26%

69

24.1

(0.5)

(0.9)

45.0

(0.6)

(1.8)

18.0

1.4

1.7

2.4

(0.1)

0.5

41.4

0.3

1.6

GSAMP 2006-HE3

26%

69

19.7

(0.2)

(0.4)

39.8

0.2

(0.6)

12.9

0.2

(1.0)

3.6

(0.1)

(0.2)

50.3

0.6

2.0

HEAT 2006-4

24%

70

23.4

(0.3)

(0.6)

39.8

0.2

0.1

22.3

0.3

(0.3)

2.8

(0.5)

(1.3)

41.3

0.7

1.9

JPMAC 2006-FRE1

25%

71

14.9

(0.1)

(0.5)

52.7

(1.1)

(0.9)

37.3

0.2

0.8

1.7

(0.4)

(0.4)

46.5

0.7

1.6
0.9

LBMLT 2006-1

23%

70

16.8

(0.4)

(1.0)

52.5

(1.0)

(0.5)

26.7

0.1

2.5

3.5

(0.1)

(0.4)

47.8

0.4

MABS 2006-NC1

24%

71

23.9

0.2

(0.1)

38.1

0.8

(0.6)

21.0

0.8

0.6

5.2

0.2

0.7

40.7

0.2

1.4

MLMI 2006-HE1

25%

73

24.1

(0.3)

(1.1)

51.0

(1.4)

(2.5)

20.1

0.4

(0.6)

3.9

1.3

3.3

43.0

1.2

2.7

MSAC 2006-HE2

23%

70

19.8

(0.1)

(0.5)

40.1

(0.5)

(1.0)

23.2

0.6

1.1

4.2

(0.4)

(1.3)

54.4

0.6

1.7

MSAC 2006-WMC2

25%

66

18.8

(0.3)

(0.5)

45.9

0.1

1.1

26.1

(0.0)

0.9

4.9

(0.4)

(0.9)

51.6

0.7

1.6
0.8

RASC 2006-KS3

24%

69

23.1

(0.2)

(0.6)

31.1

(0.8)

0.1

20.4

(1.0)

0.6

3.3

0.6

1.0

42.9

0.5

RAMP 2006-NC2

26%

70

24.7

(0.4)

(1.3)

32.6

0.2

0.5

23.6

0.1

2.3

1.4

0.1

0.1

48.6

0.4

1.0

SABR 2006-OP1

23%

75

30.7

(0.0)

(0.3)

30.5

0.4

0.7

17.2

0.3

0.5

3.2

0.1

(0.4)

49.9

0.2

1.0

SAIL 2006-4

27%

67

18.9

(0.1)

(0.4)

42.8

0.1

0.4

23.1

(0.1)

0.2

5.3

(0.2)

(1.2)

50.1

0.7

2.3

SASC 2006-WF2

29%

67

30.0

(0.2)

(0.6)

28.8

(0.3)

0.0

14.1

0.2

1.5

4.1

(0.4)

(0.0)

41.5

0.5

1.2

SVHE 2006-OPT5

35%

66

19.0

(0.3)

(0.7)

38.5

0.9

1.4

22.0

0.7

1.6

4.0

0.1

(0.0)

66.0

0.5

1.6

Note: All data on this page and thereafter are based on September 26, 2011, remittances. Source for all charts and tables in this section, unless other specified: LoanPerformance, Bloomberg, Barclays Capital

26 October 2011

36

Barclays Capital | ABX and PrimeX Monitor

September remittance Delinquency composition continued


Index

Deal

Factor

WALA

ABFC 2006-OPT2

37%

ACE 2006-NC3

Always Current (%balance)

60+ Delinq (%balance)

Foreclosure (%balance)

Modified (%balance)

REO (%balance)

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

62

17.8

(0.6)

(1.4)

39.9

(1.3)

(1.5)

22.9

(0.8)

(1.4)

3.5

(0.4)

(0.4)

57.6

0.4

1.2

49%

61

14.5

(0.2)

(0.4)

63.3

(0.5)

(0.9)

29.0

1.3

2.7

5.5

0.7

1.3

34.7

0.9

2.1

BSABS 2006-HE10

49%

60

15.2

(0.2)

(0.3)

57.0

0.8

0.7

31.6

0.3

6.9

1.7

(0.1)

(0.6)

51.1

0.3

1.1

CARR 2006-NC4

47%

63

22.1

(0.0)

0.1

42.0

(0.3)

(0.7)

24.2

0.9

2.7

9.0

(0.6)

(2.5)

83.6

0.2

1.1

CBASS 2006-CB6

33%

68

23.8

0.1

(0.5)

39.7

(0.4)

(0.9)

14.5

(0.8)

(2.2)

2.0

(0.2)

(0.3)

39.0

0.6

1.5

CMLTI 2006-WFH3

34%

62

29.9

(0.1)

(0.5)

31.0

0.3

0.0

14.9

0.3

0.9

4.1

(0.1)

0.1

40.7

0.7

1.6

CWL 2006-18

51%

63

13.4

(0.2)

(0.8)

61.1

(0.0)

(0.7)

26.8

2.9

3.3

4.7

0.9

1.5

48.7

0.6

1.1

FFML 2006-FF13

36%

63

24.4

(0.3)

(0.6)

43.5

(0.7)

(1.4)

20.8

1.0

1.8

3.6

(0.3)

(0.5)

37.5

1.0

2.2
1.8

ABX 07-1

3 m

FHLT 2006-3

32%

62

17.0

0.0

0.0

48.9

0.3

(0.5)

29.7

1.2

1.8

5.2

(0.3)

(1.4)

42.5

0.9

GSAMP 2006-HE5

34%

64

22.9

(0.1)

(0.5)

36.2

0.5

0.0

13.4

0.3

(0.3)

3.0

(0.1)

0.1

45.6

0.2

1.4

HEAT 2006-7

27%

63

21.8

0.1

(0.2)

38.4

(0.6)

(1.0)

19.1

0.8

0.4

3.6

(0.1)

(0.6)

36.0

0.8

2.3

JPMAC 2006-CH2

48%

64

23.2

(0.4)

(1.0)

43.0

(0.8)

(0.9)

30.3

(0.1)

0.0

1.6

(0.2)

(0.3)

43.4

1.1

2.6

LBMLT 2006-6

31%

64

17.9

(0.3)

(0.5)

52.9

(1.6)

(1.4)

28.4

0.8

3.5

3.0

(0.4)

(0.8)

46.9

1.0

2.4

MABS 2006-NC3

34%

61

24.8

(0.3)

(0.7)

28.3

(0.0)

(2.1)

13.0

0.3

(0.8)

5.9

(0.2)

(0.7)

56.0

1.0

2.4

MLMI 2006-HE5

20%

64

18.4

(0.6)

(1.0)

53.3

0.0

(1.8)

23.5

0.8

0.1

3.7

0.4

0.8

31.4

0.4

2.5

MSAC 2006-HE6

42%

64

11.2

(0.1)

(0.3)

66.4

(0.7)

(1.5)

32.2

1.5

3.2

4.7

0.7

1.7

43.0

0.7

1.5

RASC 2006-KS9

37%

61

24.3

(0.1)

(0.5)

32.0

0.3

(0.1)

21.5

0.1

0.5

2.4

0.1

(0.2)

45.4

0.5

1.6

SA BR 2006-HE2

29%

65

24.8

(0.3)

(1.8)

29.9

(0.0)

(0.3)

15.0

(0.6)

(1.3)

4.0

(0.4)

(0.4)

54.6

0.8

2.4

SASC 2006-BC4

39%

61

22.1

(0.5)

(0.9)

42.3

(0.1)

(0.3)

19.1

(0.5)

(1.3)

5.4

(0.2)

(0.4)

41.1

0.8

2.1

SVHE 2006-EQ1

36%

63

24.8

(0.3)

(1.0)

30.0

(0.4)

(1.5)

13.9

(0.3)

(2.1)

4.6

(0.3)

(0.7)

47.9

0.6

2.9

ACE 2007-HE4

27%

57

18.1

0.0

(0.5)

56.7

0.4

(0.4)

26.7

0.0

(0.4)

15.0

(0.7)

(2.4)

38.3

0.1

1.2

BSABS 2007-HE3

55%

57

16.5

(0.2)

(1.0)

54.6

0.2

0.8

30.5

1.3

6.4

1.2

(0.0)

(0.4)

45.7

0.6

1.3

CMLTI 2007-AMC2

47%

59

19.6

(0.1)

(0.3)

36.4

(0.2)

(1.1)

17.7

(0.4)

(2.3)

5.9

(0.1)

(0.4)

66.4

0.4

1.5

CWL 2007-1

64%

57

13.7

(0.3)

(0.8)

62.9

(0.2)

(0.7)

26.7

1.8

3.6

4.4

0.7

1.3

38.6

0.6

1.7
2.8

ABX 07-2

26 October 2011

FFML 2007-FF1

44%

58

24.8

(0.2)

(1.2)

47.0

(0.5)

(0.8)

16.0

1.3

1.0

2.6

0.0

0.1

35.3

0.8

GSAMP 2007-NC1

40%

58

18.4

(0.5)

(0.6)

44.2

0.2

0.2

16.1

0.1

(0.9)

3.5

(0.0)

(0.0)

45.2

0.6

2.2

HEAT 2007-2

33%

58

26.2

0.0

(0.1)

31.8

(1.0)

(1.4)

14.9

0.0

0.5

3.3

(0.5)

(1.0)

39.5

0.7

2.5

HASC 2007-NC1

48%

57

16.0

(0.2)

(0.5)

49.1

0.2

(0.4)

23.1

(0.1)

(1.1)

4.9

(0.2)

(0.9)

45.4

0.8

4.4

JPMAC 2007-CH3

55%

60

23.3

(0.3)

(0.8)

42.9

(0.0)

(0.1)

30.7

0.0

1.1

1.5

(0.1)

(0.3)

38.2

0.8

2.4

FFMER 2007-2

49%

55

21.2

(0.5)

(1.2)

51.5

(0.2)

(1.1)

20.8

1.8

1.6

3.0

0.0

0.2

33.2

0.7

2.7

MLMI 2007-MLN1

53%

59

17.4

(0.5)

(0.9)

57.9

(0.6)

(1.2)

28.8

1.6

2.7

1.9

0.3

0.0

28.4

0.8

2.4

MSAC 2007-NC3

48%

57

19.0

(0.2)

(0.4)

36.3

(1.7)

(1.8)

16.7

(0.3)

(3.1)

6.3

(0.3)

(0.2)

53.9

1.0

3.3

NHELI 2007-2

40%

61

19.3

(0.3)

(0.9)

30.8

0.5

(0.0)

16.5

2.4

1.5

6.9

(0.4)

(0.7)

68.9

0.6

2.2

NHEL 2007-2

54%

55

20.7

(0.6)

(0.6)

33.6

(1.2)

(1.6)

17.2

(0.2)

(0.4)

6.4

(0.2)

(0.2)

51.3

0.9

2.9

OOMLT 2007-5

51%

56

19.9

(0.1)

(0.4)

36.8

0.3

0.8

22.7

0.3

0.7

3.0

(0.2)

(0.5)

63.0

0.3

0.8

RASC 2007-KS2

42%

58

24.0

(0.4)

(0.8)

30.4

(0.5)

(1.0)

19.9

(0.0)

(0.2)

2.3

(0.2)

(0.4)

49.0

0.3

1.3

SABR 2007-BR4

42%

57

24.0

(0.4)

(0.6)

30.5

0.0

(1.2)

13.7

(0.3)

(1.0)

6.2

(0.0)

0.5

54.5

0.8

2.4

SASC 2007-BC1

50%

59

21.9

0.2

(0.4)

41.0

(0.5)

(1.0)

18.6

(0.2)

(0.4)

2.6

(0.5)

(0.7)

51.2

0.7

2.2

SVHE 2007-OPT1

57%

55

21.4

(0.3)

(0.8)

34.3

0.3

1.2

21.4

0.5

1.5

2.7

(0.1)

(0.3)

65.6

0.3

1.1

WMHE 2007-HE2

49%

56

21.8

(0.3)

(0.8)

47.9

(1.3)

(1.4)

24.3

(0.8)

0.9

2.6

(0.2)

(0.4)

45.3

1.0

2.4

37

Barclays Capital | ABX and PrimeX Monitor

September remittance Delinquency composition continued


Index

Prim eX.
ARM1

Deal

Factor

WALA

CMLTI 2005-11

44%

GSR 2005-AR3

Always Current (%balance)

60+ Delinq (%balance)

Foreclosure (%balance)

REO (%balance)

Modified (%balance)

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

76

87.1

0.9

0.6

8.0

(0.1)

(0.3)

4.1

(0.8)

0.2

1.4

0.3

0.5

1.3

(0.3)

(0.3)

39%

80

74.9

(0.1)

(0.3)

16.9

0.1

0.1

6.5

(1.2)

(1.1)

1.0

0.5

0.1

3.1

0.0

0.1

GSR 2005-AR4

39%

79

82.4

(0.6)

(1.2)

11.1

0.3

0.2

5.7

0.7

(0.4)

2.0

0.3

0.1

1.9

0.0

0.0

GSR 2005-AR7

47%

79

87.3

(0.2)

(0.3)

6.4

(0.2)

0.5

3.7

0.9

0.2

0.8

(0.5)

0.8

2.7

0.4

0.4

GSR 2006-AR1

47%

72

73.7

0.3

0.1

15.6

0.7

0.5

9.0

0.5

0.3

1.5

(0.2)

0.1

10.7

0.3

0.5

GSR 2006-AR2

53%

71

83.0

(0.4)

(0.3)

6.4

0.0

(0.6)

3.3

(0.7)

(0.5)

0.0

0.0

(0.3)

8.5

0.1

0.5

JPMMT 2005-A3

27%

96

94.8

0.2

(0.4)

3.6

0.1

(0.1)

2.5

(0.3)

0.6

0.0

0.0

0.0

0.4

0.0

0.4

JPMMT 2005-A4

37%

77

89.2

0.4

(0.4)

6.0

0.1

0.1

1.9

(1.2)

(0.5)

1.9

1.0

1.5

2.1

(0.0)

1.0

JPMMT 2005-A5

26%

76

90.6

(1.5)

(2.0)

6.4

0.5

0.8

4.3

0.2

1.2

0.0

0.0

0.0

1.1

0.1

0.1

JPMMT 2005-A7

38%

74

79.1

0.9

0.5

14.3

(0.8)

(0.1)

8.7

0.3

1.1

0.6

(0.1)

(0.4)

2.3

0.2

0.2

JPMMT 2006-A4

42%

68

79.3

0.4

(1.5)

13.6

(1.1)

0.1

8.0

1.5

(0.3)

0.0

0.0

0.0

7.2

0.9

1.6

MLMI 2005-A2

38%

82

85.1

(0.2)

(0.5)

9.7

0.2

0.4

4.8

0.6

0.5

0.7

(0.1)

0.1

1.0

0.1

0.1

MLMI 2005-A9

38%

73

80.7

(0.0)

(0.3)

11.9

(0.3)

(0.4)

5.5

(0.1)

(0.4)

1.7

0.3

0.1

0.8

0.0

0.0

WAMU 2005-AR10

43%

75

79.3

0.0

(0.4)

14.1

0.1

(0.4)

8.7

(0.1)

0.8

0.6

0.0

(0.4)

2.6

0.4

0.7

WAMU 2005-AR14

46%

73

73.7

(0.1)

(0.6)

16.9

(0.3)

(0.9)

11.2

(0.4)

0.1

0.9

0.2

0.5

4.2

0.5

1.2

WAMU 2005-AR7

39%

76

79.0

(0.5)

(1.6)

14.3

0.5

0.3

8.9

0.3

1.6

0.7

0.0

0.1

2.6

0.2

0.4

WFMBS 2006-AR2

44%

73

82.9

0.1

0.9

10.0

(0.2)

(0.8)

5.4

(0.1)

(0.3)

1.4

(0.2)

(0.9)

4.7

0.1

0.4

WFMBS 2006-AR4

46%

68

81.1

(0.0)

(0.6)

9.7

0.4

1.1

5.8

0.8

0.6

1.0

(0.1)

(0.2)

8.1

0.1

0.2

WFMBS 2006-AR6

45%

74

90.3

(0.5)

(0.8)

4.4

0.3

(0.2)

3.1

(0.2)

0.3

0.7

0.4

0.2

3.6

0.1

0.4

WFMBS 2006-AR8

44%

76

84.3

0.1

0.6

10.6

0.3

0.4

7.1

0.1

0.4

0.9

(0.1)

(0.5)

2.9

0.0

0.5

CMLTI 2007-AR4

45%

58

77.4

(1.3)

(2.9)

14.4

0.2

1.8

8.9

1.8

2.6

1.5

0.2

0.4

5.5

0.2

0.5

CWHL 2007-HY1

49%

56

60.6

0.8

(0.2)

32.0

(2.1)

(1.3)

10.4

1.7

1.3

2.2

(1.0)

0.6

7.9

(0.3)

1.0

FHASI 2006-AR4

42%

59

71.9

(0.6)

(1.5)

21.0

(0.6)

(2.4)

15.4

0.2

(1.6)

1.7

0.0

1.1

8.7

5.1

6.3

FHASI 2007-AR1

40%

56

60.6

(0.6)

(1.7)

30.9

0.0

(0.5)

20.6

(2.0)

0.3

2.6

1.4

1.5

1.8

(0.0)

0.7

FHASI 2007-AR2

43%

53

72.4

(2.4)

(4.8)

19.2

(1.2)

0.3

15.8

0.0

0.5

0.6

0.0

0.0

3.1

0.1

0.1
0.0

FHASI 2007-AR3

45%

50

72.6

(0.3)

(1.1)

21.5

0.2

0.2

13.5

(0.4)

1.6

2.9

0.0

0.3

3.9

0.1

JPMMT 2006-A7

40%

62

61.5

0.2

(1.6)

28.8

0.7

1.2

11.4

0.5

(1.7)

0.4

(0.4)

(0.3)

7.7

0.5

1.8

JPMMT 2007-A3

46%

56

73.0

(1.0)

(1.4)

19.4

1.5

0.9

6.8

0.8

(0.8)

0.6

(0.1)

(0.4)

8.0

1.9

2.4

JPMMT 2007-A5

43%

53

78.4

(0.1)

0.5

14.8

0.3

(0.5)

8.4

(0.3)

(0.5)

0.9

0.0

(0.8)

2.5

0.3

0.7

JPMMT 2007-A6

47%

51

69.2

(0.6)

(1.0)

19.5

(0.3)

0.2

9.9

(1.0)

0.9

2.0

(0.4)

(0.6)

6.7

0.4

0.6

RFMSI 2006-SA2

40%

66

65.8

0.8

1.5

10.7

(1.0)

(2.0)

6.6

(0.3)

(1.9)

2.0

(0.1)

0.3

36.1

0.0

0.2

RFMSI 2006-SA3

39%

63

62.9

0.7

2.0

8.5

(3.6)

(5.8)

4.5

(3.6)

(6.3)

2.1

(0.8)

(0.3)

38.5

(1.6)

16.4

RFMSI 2007-SA2

43%

57

73.2

0.2

(0.1)

14.1

(0.3)

(1.4)

9.9

(0.9)

(0.9)

1.0

(0.1)

(1.2)

8.9

0.6

1.0

RFMSI 2007-SA3

50%

54

58.8

(0.3)

0.6

13.9

(0.3)

(1.4)

10.2

0.9

1.7

1.6

0.0

(0.2)

22.0

0.2

(0.2)

WFMBS 2006-AR12

33%

64

73.2

(0.2)

0.2

17.5

0.7

2.3

11.5

0.1

2.3

0.9

(0.2)

(0.6)

11.7

0.1

0.4

WFMBS 2006-AR13

34%

64

69.0

0.0

(0.5)

19.6

0.7

3.3

10.8

0.5

2.9

2.4

(0.1)

(0.9)

12.6

0.2

0.5

WFMBS 2006-AR15

34%

62

74.7

(1.1)

(0.7)

13.6

0.8

1.0

9.0

0.8

2.5

0.7

0.0

(0.4)

10.8

0.2

0.6

WFMBS 2006-AR17

29%

63

70.0

(0.4)

(2.1)

16.5

1.4

2.5

8.4

(0.0)

0.6

3.1

(0.2)

1.1

14.9

0.2

0.8

WFMBS 2006-AR18

34%

61

82.4

0.2

(0.5)

5.6

(0.7)

(0.7)

3.6

0.3

(0.4)

0.3

(0.6)

(0.7)

10.7

0.2

1.0

WFMBS 2006-AR19

41%

61

82.6

(0.6)

(1.2)

8.6

0.3

0.4

6.3

0.5

1.1

1.1

0.2

(0.0)

6.4

0.1

0.4

Prim eX.
ARM2

26 October 2011

38

Barclays Capital | ABX and PrimeX Monitor

September remittance Delinquency composition continued


Index

PrimeX.
FRM1

PrimeX.
FRM2

26 October 2011

Deal

Factor

WALA

CHASE 2005-S2

42%

CHASE 2005-S3

45%

Always Current (%balance)

60+ Delinq (%balance)

Foreclosure (%balance)

REO (%balance)

Modified (%balance)

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

74

88.5

(0.0)

0.0

7.5

(0.7)

(1.0)

4.3

(0.1)

0.4

0.3

0.0

0.0

3.0

0.5

3 m
1.2

73

86.7

(0.2)

(1.1)

8.1

(0.1)

(0.4)

6.2

0.3

0.6

0.2

0.0

0.0

3.5

0.5

0.8

CWHL 2005-21

53%

74

79.4

(0.7)

(1.7)

13.8

0.5

1.5

3.5

0.2

0.2

1.3

0.1

0.3

4.8

0.1

0.5

CWHL 2005-27

49%

72

78.2

(0.3)

(0.4)

13.1

0.4

1.4

3.2

1.4

0.9

0.4

(0.6)

(0.3)

5.0

0.2

0.5

GSR 2006-1F

52%

71

79.9

(0.3)

(1.1)

12.8

0.3

1.2

3.1

(0.2)

(0.4)

0.9

0.1

0.3

5.1

0.1

0.4

GSR 2006-6F

48%

66

71.6

(0.2)

(0.9)

17.8

0.6

0.2

5.3

(0.6)

(2.7)

0.5

0.3

0.3

6.7

0.1

0.9

RFMSI 2005-S6

44%

75

89.0

(0.5)

(0.9)

2.9

0.1

0.5

1.7

0.1

0.6

0.0

0.0

0.0

4.7

0.1

0.6

SASC 2005-17

56%

74

81.8

(0.9)

(2.1)

12.2

(0.3)

0.2

5.9

0.5

1.6

2.0

0.0

(0.3)

4.0

0.5

0.9

WFMBS 2005-3

33%

80

92.2

(0.2)

(0.6)

3.4

0.3

0.3

2.7

0.5

0.3

0.0

0.0

(0.1)

2.2

0.1

0.1

WFMBS 2005-6

36%

76

93.9

0.1

0.1

3.5

0.0

0.2

2.4

(0.1)

0.2

0.2

(0.0)

(0.0)

2.5

0.1

0.1

WFMBS 2005-7

42%

75

94.0

(0.7)

(0.7)

3.0

0.1

0.3

2.5

0.1

0.7

0.0

0.0

0.0

1.7

0.0

0.1

WFMBS 2005-8

54%

74

89.1

(0.6)

(0.5)

4.7

0.1

0.2

3.2

(0.3)

(0.4)

0.3

0.0

0.3

3.1

0.2

0.2

WFMBS 2005-9

44%

74

91.4

(0.2)

(0.4)

3.8

0.1

0.0

3.0

0.1

0.1

0.1

(0.3)

(0.4)

2.3

0.1

0.0

WFMBS 2005-11

48%

73

88.6

(0.1)

(0.3)

7.3

0.7

1.0

5.7

0.6

0.9

0.2

0.0

(0.1)

1.8

0.0

0.1

WFMBS 2005-12

51%

73

88.4

(0.1)

(0.6)

6.4

(0.3)

1.3

5.2

(0.2)

1.3

0.5

(0.1)

0.3

4.3

0.1

0.2

WFMBS 2005-14

44%

72

91.8

(0.3)

(0.1)

5.3

0.1

0.8

3.1

(0.1)

1.1

0.6

0.2

0.1

2.0

0.0

0.1

WFMBS 2005-17

54%

71

88.1

(0.7)

(1.7)

5.9

0.3

0.9

3.7

0.4

0.6

1.6

0.0

0.3

4.1

0.0

0.3

WFMBS 2005-18

51%

71

87.8

0.1

0.3

5.5

(0.1)

0.0

1.9

(1.2)

(1.3)

0.1

0.0

(0.3)

4.8

0.1

0.2

WFMBS 2006-2

51%

70

88.3

0.2

(0.1)

5.8

0.1

0.8

3.7

0.2

1.2

0.4

(0.2)

(0.6)

3.6

0.0

0.3

WFMBS 2006-3

39%

70

88.0

(0.9)

(1.0)

6.0

0.5

0.3

3.0

0.3

(0.3)

0.7

0.0

0.2

3.3

0.1

0.3

CHASE 2006-S4

45%

61

74.6

(0.4)

(1.2)

14.6

(0.7)

(1.8)

9.2

(0.5)

(1.3)

0.5

0.0

0.3

8.9

0.3

1.7

GSR 2006-8F

39%

64

71.5

(1.0)

(3.3)

17.7

0.5

2.8

7.1

0.7

1.4

1.4

0.0

0.4

7.1

1.0

1.8

GSR 2006-10F

45%

63

72.9

(0.7)

(2.8)

14.4

0.5

0.9

3.9

0.1

(0.2)

0.4

0.1

0.0

10.4

0.2

1.4

JPMMT 2006-S4

48%

61

68.1

(0.2)

(0.5)

18.3

(0.2)

(1.5)

8.7

0.4

(0.8)

1.1

(0.2)

(0.7)

8.1

0.4

1.7

PRIME 2007-1

51%

57

70.2

(0.3)

(2.2)

19.0

0.0

1.7

11.2

0.2

1.0

1.5

(0.2)

0.2

10.5

0.5

0.8
1.1

PRIME 2007-2

54%

57

65.0

(0.4)

(2.7)

25.2

0.2

0.5

15.3

0.1

2.2

1.0

0.2

0.6

6.1

0.7

RFMSI 2006-S6

39%

64

73.6

(0.5)

(1.4)

10.2

0.4

1.4

6.7

(0.1)

1.1

1.3

0.0

0.4

15.1

0.6

0.9

RFMSI 2006-S8

43%

62

73.9

(0.4)

(0.6)

9.1

(0.2)

(0.2)

5.5

(1.5)

(1.5)

1.6

1.1

1.3

17.1

0.2

0.9

RFMSI 2006-S9

36%

62

71.7

0.7

0.7

10.5

(1.3)

(0.4)

7.3

(1.0)

0.9

1.1

(0.2)

(0.1)

20.1

0.7

1.1

RFMSI 2006-S11

42%

60

75.1

(0.6)

(1.1)

7.9

(0.8)

(0.3)

5.5

(0.8)

(0.8)

0.8

0.3

0.5

16.5

(0.0)

0.9

RFMSI 2007-S4

53%

55

71.9

(0.1)

(0.5)

9.7

(1.0)

(2.8)

6.3

0.5

(0.9)

1.6

(0.3)

0.2

19.8

0.5

2.9

RFMSI 2007-S5

55%

54

71.8

(1.6)

(2.5)

11.8

0.2

1.0

7.4

(0.2)

(0.1)

0.7

0.1

0.4

14.9

0.2

1.1
1.8

RFMSI 2007-S8

52%

51

68.1

0.3

(1.9)

10.3

(0.7)

(0.3)

7.5

(0.4)

1.1

0.2

0.2

(0.3)

23.5

0.8

WFMBS 2006-14

34%

62

82.5

(0.3)

(0.1)

10.0

0.5

0.4

6.5

0.1

0.5

0.9

0.2

0.3

5.8

(0.2)

0.3

WFMBS 2006-15

33%

61

82.2

(0.2)

(0.9)

8.3

0.2

0.3

5.3

(0.3)

(0.5)

1.0

0.1

0.1

6.8

0.1

0.4

WFMBS 2007-1

48%

58

80.4

(0.0)

(0.3)

12.3

(0.0)

0.4

8.5

0.0

0.2

0.5

0.1

0.1

5.5

(0.1)

(0.2)

WFMBS 2007-4

47%

56

81.8

(0.0)

(1.2)

10.3

0.4

1.1

6.9

(0.3)

0.8

1.1

0.1

(0.2)

6.7

0.0

0.4

WFMBS 2007-7

51%

54

83.3

(0.6)

(0.9)

8.3

0.3

0.7

5.3

(0.2)

0.4

0.7

0.0

(0.1)

7.4

0.2

0.5

WFMBS 2007-8

51%

53

83.7

(0.4)

(1.0)

7.7

0.3

0.9

4.4

(0.3)

0.1

1.1

0.2

0.1

6.7

0.1

0.3

WFMBS 2007-13

46%

51

82.8

(0.7)

(1.0)

7.8

(0.1)

(0.1)

4.3

(0.0)

(0.6)

1.4

0.0

(0.2)

6.9

0.0

0.4

39

Barclays Capital | ABX and PrimeX Monitor

September remittance Performance trends


Index

ABX 06-1

Deal

Factor

WALA

ACE 2005-HE7

17%

AMSI 2005-R11

Overall CRR

Overall CDR

Severity with mods

Liquidation CDR

Liquidation Severity

% Shortsale

Curren t

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Curren t

1 m

3 m

Curren t

1 m

3 m

73

4.3

3.5

3.6

8.8

(1.4)

(3.1)

83

16

8.5

0.1

(3.2)

82

17

65

13

27

35%

71

1.8

0.9

0.1

7.3

(3.3)

(2.8)

65

(10)

6.3

(3.5)

(3.7)

75

(0)

57

(8)

11

ARSI 2005-W2

22%

74

1.2

(1.9)

0.3

11.5

(0.5)

(2.5)

66

(12)

11.2

0.6

(2.4)

68

(6)

(12)

66

20

BSABS 2005-HE11

24%

75

1.2

(1.2)

0.5

5.2

(4.6)

(0.1)

88

14

18

4.2

(5.4)

(0.9)

76

19

79

(13)

CWL 2005-BC5

27%

75

1.3

(0.4)

(1.5)

2.2

(7.9)

(2.4)

98

10

1.6

(7.6)

(2.8)

57

(29)

(26)

38

(21)

(6)

FFML 2005-FF12

25%

72

1.8

1.2

(0.6)

4.9

(0.2)

(5.1)

88

(19)

18

4.5

0.8

(4.3)

76

(28)

19

28

(1)

(53)
(25)

GSAMP 2005-HE4

21%

76

0.1

(0.6)

(1.2)

9.3

3.3

4.3

77

17

(13)

9.3

4.5

4.4

64

13

61

(3)

HEAT 2005-8

18%

75

1.5

(3.5)

1.4

10.8

(0.1)

(1.6)

81

(7)

10.6

0.3

(1.8)

79

(0)

(0)

31

12

JPMAC 2005-OPT1

16%

78

1.9

1.8

0.4

4.6

(1.9)

(2.8)

66

(3)

(4)

4.6

(2.0)

(2.8)

67

(2)

(4)

29

(26)

(22)

LBMLT 2005-WL2

15%

77

2.9

1.6

1.4

10.6

2.3

2.4

78

(15)

9.9

1.8

2.2

69

(2)

(14)

68

32

MABS 2005-NC2

18%

74

0.2

0.0

0.1

17.0

0.0

(2.5)

13.7

(0.9)

(3.3)

(44)

(37)
(16)

MLMI 2005-AR1

18%

77

0.1

(1.9)

(0.9)

6.3

(0.2)

3.2

38

(13)

(28)

6.1

0.7

3.4

39

(23)

(37)

(42)

MSAC 2005-HE5

16%

76

2.4

0.7

1.6

10.9

(0.7)

3.6

81

(14)

(9)

10.0

(0.1)

2.8

75

(10)

(5)

25

(35)

(3)

NCHET 2005-4

30%

75

1.9

(0.9)

1.9

15.3

0.9

(3.1)

73

10

14.8

0.7

(3.0)

70

(29)

(4)

RAMP 2005-EFC4

20%

74

1.1

(0.4)

(1.1)

10.0

0.6

2.2

68

(23)

(13)

9.5

0.2

1.9

57

(27)

(5)

52

(11)

20

RASC 2005-KS11

23%

73

1.1

(1.4)

(0.0)

8.7

(0.9)

(0.3)

90

23

(7)

8.2

(1.2)

(0.3)

75

16

(15)

27

(27)

(33)

SA BR 2005-HE1

13%

75

0.0

0.0

(4.5)

40.6

7.2

11.0

76

(20)

18

40.6

7.2

11.0

76

(20)

18

52

35

(23)

SAIL 2005-HE3

16%

77

0.6

(0.0)

(0.6)

13.5

(0.8)

(0.8)

78

30

24

13.1

2.4

1.3

80

15

14

50

40

16

SASC 2005-WF4

23%

74

3.5

1.8

1.1

10.8

3.8

3.1

75

(8)

10

10.7

4.0

3.2

74

(6)

11

18

(2)

SVHE 2005-4

32%

75

0.2

(7.8)

(0.9)

5.3

(0.2)

1.8

86

26

25

5.3

0.2

2.9

81

18

17

20

(63)

(80)

ACE 2006-NC1

23%

73

3.5

(0.3)

2.6

8.7

(3.9)

(0.5)

95

27

26

8.4

(3.6)

(0.7)

96

26

26

51

23

18

ARSI 2006-W1

21%

71

2.8

2.2

2.2

16.6

2.5

2.6

72

16.1

2.8

2.8

75

63

(1)

BSABS 2006-HE3

24%

70

0.1

(0.0)

0.0

8.7

3.1

(5.8)

74

(38)

(7)

8.7

3.6

(5.4)

74

(31)

(5)

68

20

45

CARR 2006-NC1

34%

71

2.3

2.2

1.8

29.4

0.2

(2.7)

74

(4)

29.4

0.2

(2.7)

74

(3)

25

11

CWL 2006-8

46%

65

0.4

(1.1)

(1.2)

12.7

3.7

2.8

90

(12)

12.0

3.6

3.1

87

64

(15)

FFML 2006-FF4

26%

69

2.7

1.7

2.4

5.3

0.2

(1.3)

61

(10)

4.7

(0.2)

(1.4)

70

11

(9)

28

(37)

(7)

GSAMP 2006-HE3

26%

69

2.0

1.0

1.7

12.8

2.8

(0.1)

86

(11)

12.2

3.1

0.1

82

(10)

58

(1)

11

HEAT 2006-4

24%

70

1.6

1.2

1.4

14.0

0.1

1.2

73

(5)

(11)

13.0

0.1

0.3

68

(6)

(14)

36

18

12

JPMAC 2006-FRE1

25%

71

0.1

(1.3)

(1.9)

10.8

6.7

1.6

99

(1)

28

9.5

7.2

1.1

75

22

(73)

LBMLT 2006-1

23%

70

1.7

0.4

(0.2)

11.0

3.2

1.3

92

(5)

10.2

2.8

0.7

82

(7)

34

(8)

(29)

MABS 2006-NC1

24%

71

2.3

0.9

1.9

13.3

7.9

1.2

87

(7)

(4)

8.8

3.5

(3.2)

79

(15)

(11)

34

(16)

15

MLMI 2006-HE1

25%

73

0.2

0.2

(0.5)

5.2

(0.0)

(7.2)

99

58

24

4.1

(0.6)

(7.7)

80

34

21

73

(27)

MSAC 2006-HE2

23%

70

1.1

(0.1)

0.9

12.9

(2.4)

(1.5)

88

(2)

12.0

0.6

(2.4)

82

(8)

36

15

23

MSAC 2006-WMC2

25%

66

2.1

1.6

0.6

13.2

(3.0)

1.9

84

(4)

12.7

0.6

1.5

81

(9)

25

(18)

(2)

RASC 2006-KS3

24%

69

0.3

(0.5)

0.2

11.2

4.8

(4.4)

78

(24)

(7)

10.2

4.4

(4.7)

62

(14)

(11)

57

18

RAMP 2006-NC2

26%

70

0.1

(1.1)

0.0

6.9

1.0

(13.6)

113

28

25

5.2

(0.5)

(12.7)

86

19

11

93

30

31

ABX 06-2

26 October 2011

SABR 2006-OP1

23%

75

0.5

(2.6)

(0.0)

7.9

(1.1)

(3.0)

76

25

7.9

(1.1)

(3.0)

76

25

24

(33)

SAIL 2006-4

27%

67

1.1

0.1

0.5

15.6

(1.5)

1.3

85

10

15

12.1

(4.1)

(0.5)

74

12

25

(15)

SASC 2006-WF2

29%

67

3.4

3.2

1.2

11.2

3.1

(0.0)

86

10.3

2.2

(0.9)

83

25

(17)

(5)

SVHE 2006-OPT5

35%

66

1.3

0.2

0.1

10.5

(1.2)

0.6

76

11

20

10.3

(0.5)

1.9

77

11

35

(17)

(24)

40

Barclays Capital | ABX and PrimeX Monitor

September remittance Performance trends continued


Index

ABX 07-1

Deal

Factor

WALA

ABFC 2006-OPT2

37%

ACE 2006-NC3

Overall CRR

Overall CDR

Severity with mods

Liquidation CDR

Liquidation Severity

% Shortsale

Curren t

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Curren t

1 m

3 m

Curren t

1 m

3 m

62

0.2

(0.2)

(2.0)

16.2

6.5

3.8

79

15.0

6.5

2.6

68

18

(6)

54

(29)

(33)

49%

61

0.8

0.1

(0.2)

8.6

(1.1)

2.1

104

18

(5)

7.8

(0.8)

2.0

88

12

38

(21)

(52)

BSABS 2006-HE10

49%

60

1.0

0.5

0.5

9.5

2.2

1.2

77

(3)

8.3

1.2

0.7

67

(12)

(0)

68

18

(3)

CARR 2006-NC4

47%

63

1.6

0.9

0.3

20.8

(0.6)

(13.6)

82

20.8

(0.6)

(13.6)

82

25

CBASS 2006-CB6

33%

68

1.5

(0.6)

0.8

14.0

3.6

6.5

78

(1)

12.4

3.3

7.1

86

(5)

(8)

53

38

CMLTI 2006-WFH3

34%

62

1.7

(0.5)

(0.2)

10.5

2.3

1.3

93

11

19

9.2

1.6

0.0

85

11

23

(17)

0
12

CWL 2006-18

51%

63

1.1

(0.3)

0.7

4.7

(4.6)

(4.9)

109

18

10

4.1

(4.6)

(4.7)

96

10

58

26

FFML 2006-FF13

36%

63

1.9

0.6

(0.5)

15.1

5.2

6.0

67

(4)

(7)

14.1

4.9

5.3

73

(4)

30

(22)

FHLT 2006-3

32%

62

2.6

1.3

2.6

16.5

4.0

5.3

92

15.9

4.3

5.2

88

44

23

GSAMP 2006-HE5

34%

64

0.8

0.3

0.7

11.0

2.9

1.1

79

(33)

(19)

9.9

2.7

1.2

67

(27)

(16)

77

12

48

HEAT 2006-7

27%

63

0.1

(2.6)

(0.5)

19.5

(0.0)

(8.1)

80

10

18.0

0.2

(5.7)

78

36

(17)

JPMAC 2006-CH2

48%

64

1.7

0.9

(0.5)

8.5

1.6

0.0

91

11

7.7

1.7

0.4

78

72

(4)

LBMLT 2006-6

31%

64

0.3

(0.1)

0.1

11.8

(0.9)

2.3

96

11

14

9.6

(2.4)

1.2

73

(5)

37

(6)

(10)

MABS 2006-NC3

34%

61

0.6

(0.2)

(0.3)

15.7

(4.6)

5.8

112

16

(22)

10.3

(4.1)

4.7

87

17

16

13

(1)

(16)

MLMI 2006-HE5

20%

64

0.9

0.6

(1.3)

6.3

(3.2)

(1.8)

109

31

20

5.8

(3.1)

(1.2)

103

31

26

42

(26)

(34)

MSAC 2006-HE6

42%

64

0.1

(0.7)

(1.2)

12.2

2.6

0.9

75

(6)

11.7

3.0

1.9

78

(12)

(8)

72

17

17

RASC 2006-KS9

37%

61

1.7

0.5

(0.8)

11.4

0.9

(1.1)

81

(4)

11.1

1.1

(0.7)

73

(4)

48

(5)

(20)

SA BR 2006-HE2

29%

65

1.6

1.4

(0.6)

18.5

5.1

9.5

109

(15)

(6)

13.5

5.6

7.9

80

(4)

(14)

40

10

SASC 2006-BC4

39%

61

4.8

3.4

3.0

13.9

2.0

(1.1)

78

(5)

13.1

2.2

(0.9)

74

(5)

38

14

SVHE 2006-EQ1

36%

63

0.7

(0.4)

(0.5)

13.8

0.8

4.1

79

(9)

13.4

1.0

4.3

77

(9)

30

(10)

(1)

ACE 2007-HE4

27%

57

2.1

(1.6)

1.8

25.7

(7.1)

8.5

73

(3)

25.7

(7.0)

8.4

73

(3)

17

(7)

(23)

BSABS 2007-HE3

55%

57

1.1

(1.1)

0.3

10.5

3.7

2.2

90

(9)

8.3

4.3

1.6

78

(0)

76

13

CMLTI 2007-AMC2

47%

59

1.5

(0.2)

0.2

14.3

(1.4)

(2.0)

92

(2)

11.2

(2.9)

(2.7)

81

(2)

22

(10)

CWL 2007-1

64%

57

0.2

(1.5)

(1.1)

9.2

3.7

0.2

90

(7)

8.3

3.3

0.3

79

(10)

49

(2)
(19)

ABX 07-2

26 October 2011

FFML 2007-FF1

44%

58

1.2

(0.4)

(1.1)

9.6

4.2

0.2

83

14

8.0

3.7

0.4

69

20

57

23

GSAMP 2007-NC1

40%

58

0.9

0.5

0.3

10.2

2.0

(4.1)

92

(2)

8.7

1.0

(4.7)

81

(0)

(1)

71

HEAT 2007-2

33%

58

2.9

1.7

0.5

20.9

7.2

1.1

80

19.0

7.0

2.5

76

10

36

(9)
(26)

HASC 2007-NC1

48%

57

0.8

0.8

0.1

14.3

(2.0)

3.3

88

13.8

0.3

4.4

86

13

37

13

JPMAC 2007-CH3

55%

60

1.9

1.3

(0.5)

6.6

(3.2)

1.0

84

(4)

(6)

6.2

(2.5)

1.3

76

(10)

(9)

63

(16)

28

FFMER 2007-2

49%

55

1.4

0.1

0.9

7.9

0.9

(0.1)

64

6.5

0.4

(0.4)

72

25

(7)

(18)
12

MLMI 2007-MLN1

53%

59

2.0

0.9

1.4

8.2

(1.1)

2.1

59

(3)

7.2

(1.9)

1.8

68

75

29

MSAC 2007-NC3

48%

57

0.7

(0.2)

0.4

15.1

3.6

4.6

89

(1)

17

13.5

3.5

4.6

86

(2)

12

25

(23)

NHELI 2007-2

40%

61

1.7

0.9

1.1

13.4

2.6

(0.7)

80

13.4

2.7

(0.7)

79

(1)

25

(1)
23

NHEL 2007-2

54%

55

2.2

1.6

1.3

12.5

(2.6)

2.8

87

(4)

11.9

(2.7)

3.4

85

(6)

(3)

28

(11)

OOMLT 2007-5

51%

56

0.5

0.0

(0.8)

13.0

(2.1)

0.9

67

(0)

12.9

(2.1)

0.9

68

(0)

53

11

RASC 2007-KS2

42%

58

1.3

0.5

(0.1)

9.9

(1.5)

(4.6)

81

(0)

(6)

8.9

(2.0)

(4.6)

65

(8)

(14)

31

(23)
(12)

SABR 2007-BR4

42%

57

1.2

0.7

(0.2)

16.0

0.1

(0.6)

91

(12)

21

10.0

0.3

(0.7)

68

(4)

(9)

39

(12)

SASC 2007-BC1

50%

59

0.7

0.5

(0.7)

20.5

9.5

13.2

95

12

12.7

2.6

6.6

85

12

(1)

28

SVHE 2007-OPT1

57%

55

1.5

0.8

0.9

9.9

0.4

2.0

61

(8)

(11)

9.9

0.4

2.0

62

(8)

(11)

45

(10)

(14)

WMHE 2007-HE2

49%

56

1.6

0.7

0.1

11.5

3.2

0.4

70

10

(6)

11.2

2.9

0.1

72

11

(4)

59

15

41

Barclays Capital | ABX and PrimeX Monitor

September remittance Performance trends continued


Index

PrimeX.
ARM1

Deal

Factor

WALA

CMLTI 2005-11

44%

GSR 2005-AR3

Overall CRR

Overall CDR

Severity with mods

Liquidation CDR

Liquidation Severity

% Shortsale

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

76

10.2

2.4

(17.2)

9.0

9.0

4.0

35

35

(26)

9.0

9.0

4.0

35

35

(26)

75

75

24

39%

80

4.6

4.4

0.9

4.7

(1.8)

1.7

(33)

(51)

4.7

(1.8)

1.7

(33)

(51)

100

44

GSR 2005-AR4

39%

79

7.9

7.8

(1.8)

8.0

4.8

(3.9)

25

(20)

8.0

4.8

(3.9)

25

(20)

100

100

23

GSR 2005-AR7

47%

79

0.1

(6.8)

(6.2)

5.8

3.5

5.8

33

(12)

33

5.8

3.5

5.8

33

(12)

33

(100)

GSR 2006-AR1

47%

72

2.7

(1.2)

(3.6)

7.8

(3.1)

2.2

45

18

7.8

(3.1)

2.2

45

18

73

33

19

GSR 2006-AR2

53%

71

8.2

4.5

(3.9)

4.0

(2.5)

0.7

33

(40)

(5)

4.0

(2.5)

0.7

33

(40)

(5)

100

62

JPMMT 2005-A3

27%

96

43.8

10.7

19.5

5.5

5.5

5.5

5.5

5.5

5.5

100

100

100

JPMMT 2005-A4

37%

77

18.7

(18.9)

(5.3)

0.7

0.7

0.7

99

99

99

0.0

0.0

0.0

JPMMT 2005-A5

26%

76

41.4

23.5

7.0

11.7

11.7

10.3

25

25

(32)

11.7

11.7

10.3

25

25

(32)

100

100

100

JPMMT 2005-A7

38%

74

0.4

(8.4)

(5.0)

16.0

7.4

9.9

23

(12)

(9)

16.0

7.4

9.9

23

(12)

(9)

77

(23)

(23)

JPMMT 2006-A4

42%

68

9.6

(16.8)

(15.1)

12.4

6.3

12.3

21

(30)

21

12.2

6.1

12.2

19

(32)

19

100

100

MLMI 2005-A2

38%

82

9.9

4.6

3.3

2.5

(1.5)

(1.5)

24

(34)

(7)

2.4

(1.6)

(1.3)

18

(39)

(3)

58

(4)

(9)

MLMI 2005-A9

38%

73

13.1

12.8

9.4

3.1

(4.0)

(2.2)

39

(11)

(6)

3.0

(4.2)

(2.4)

41

(9)

(4)

100

65

WAMU 2005-AR10

43%

75

3.3

(4.3)

(4.3)

8.6

6.1

4.1

19

(26)

(18)

8.6

6.1

4.3

19

(26)

(20)

100

69

WAMU 2005-AR14

46%

73

5.3

(2.0)

2.3

4.2

(1.8)

3.6

36

19

36

3.5

(2.3)

3.5

43

26

43

76

(24)

76

WAMU 2005-AR7

39%

76

6.5

3.6

(1.8)

1.5

1.5

(6.1)

28

28

(1)

1.5

1.5

(6.1)

29

29

(1)

100

100

33

WFMBS 2006-AR2

44%

73

6.2

0.8

1.8

8.4

(1.8)

(2.4)

51

(1)

8.4

(1.8)

(2.4)

51

(1)

52

13

WFMBS 2006-AR4

46%

68

5.3

(14.8)

(6.9)

2.4

(1.2)

(4.9)

44

29

11

2.4

(1.2)

(4.9)

44

29

11

47

(20)

(19)

WFMBS 2006-AR6

45%

74

19.4

(8.2)

1.8

2.6

(1.9)

1.1

36

(9)

20

2.6

(1.9)

1.2

36

(9)

18

100

100

WFMBS 2006-AR8

44%

76

1.5

(6.7)

(4.8)

6.5

3.4

(1.8)

38

(6)

6.5

3.4

(1.7)

38

(6)

51

51

(15)

CMLTI 2007-AR4

45%

58

20.7

6.4

8.9

1.2

(5.1)

(7.0)

47

(2)

(1)

1.2

(4.6)

(6.8)

47

100

45

53

CWHL 2007-HY1

49%

56

0.2

(10.4)

(4.2)

24.8

19.3

24.8

53

(26)

53

23.9

19.2

23.9

50

(18)

50

54

(46)

54

FHASI 2006-AR4

42%

59

12.2

6.4

(1.7)

5.2

(7.8)

(19.4)

70

12

10

5.2

(7.8)

(19.4)

70

12

10

100

43

FHASI 2007-AR1

40%

56

0.1

(11.9)

(8.3)

0.0

(7.4)

(15.2)

(38)

(41)

0.0

(7.4)

(15.2)

(38)

(41)

(100)

(41)

FHASI 2007-AR2

43%

53

10.6

(0.5)

(15.9)

13.6

8.7

(0.4)

30

(11)

13.6

8.7

(0.4)

30

(11)

100

30

FHASI 2007-AR3

45%

50

11.2

11.0

4.5

6.4

1.4

(13.6)

49

(5)

(28)

6.4

1.4

(13.6)

49

(5)

(28)

100

79

JPMMT 2006-A7

40%

62

6.7

(3.6)

1.1

7.8

(2.0)

(0.4)

52

13

(4)

7.2

(2.5)

(0.9)

44

(12)

42

(58)

(58)

JPMMT 2007-A3

46%

56

47.6

37.0

28.1

7.2

(7.4)

(12.1)

61

(0)

13

6.9

(7.7)

(11.7)

53

(8)

10

50

(27)

(35)

JPMMT 2007-A5

43%

53

18.6

9.5

(7.1)

3.8

(6.2)

(9.5)

49

3.7

(6.2)

(9.5)

42

(4)

(3)

100

41

JPMMT 2007-A6

47%

51

19.1

19.0

(0.4)

5.3

(1.0)

1.6

27

(34)

20

5.3

(1.0)

1.6

27

(34)

20

(51)

(100)

RFMSI 2006-SA2

40%

66

0.3

0.0

0.1

18.3

11.2

6.9

52

11

18.0

11.0

7.5

50

13

12

82

(18)

13

RFMSI 2006-SA3

39%

63

0.1

0.1

0.1

38.6

18.7

22.1

51

21

38.5

18.7

22.1

50

23

78

(22)

(22)

RFMSI 2007-SA2

43%

57

7.6

(4.5)

(8.3)

19.8

4.4

8.3

49

13

(4)

19.7

4.4

10.2

48

13

91

91

55

RFMSI 2007-SA3

50%

54

10.9

10.9

1.1

1.7

(3.0)

(6.6)

122

76

64

1.6

(2.9)

(4.8)

100

63

61

100

WFMBS 2006-AR12

33%

64

2.8

(9.7)

(15.6)

9.7

0.6

(10.3)

54

(3)

9.7

0.6

(10.3)

54

(3)

51

WFMBS 2006-AR13

34%

64

7.5

2.1

(7.5)

11.4

(0.9)

2.7

51

(15)

25

11.4

(0.9)

2.7

51

(15)

25

49

15

(21)

WFMBS 2006-AR15

34%

62

15.8

3.4

2.4

0.0

(21.1)

(5.4)

(32)

(26)

0.0

(21.1)

(5.4)

(32)

(26)

(79)

WFMBS 2006-AR17

29%

63

6.1

(13.9)

2.4

11.8

6.8

(14.5)

38

(27)

(6)

11.8

6.8

(14.5)

38

(27)

(6)

49

(51)

14

PrimeX.
ARM2

WFMBS 2006-AR18

34%

61

6.2

(15.4)

(16.3)

14.9

5.0

7.4

42

(4)

(4)

14.9

5.0

7.4

42

(4)

(4)

53

(29)

27

WFMBS 2006-AR19

41%

61

11.1

(4.2)

6.2

5.1

(2.5)

2.1

53

17

5.1

(2.5)

2.1

53

17

36

(4)

(64)

26 October 2011

42

Barclays Capital | ABX and PrimeX Monitor

September remittance Performance trends continued


Index

PrimeX.
FRM1

PrimeX.
FRM2

26 October 2011

Deal

Factor

WALA

CHASE 2005-S2

42%

CHASE 2005-S3
CWHL 2005-21

Overall CDR

Overall CRR

Liquidation CDR

Severity with mods

Liquidation Severity

% Shortsale

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

74

16.7

(4.8)

(3.7)

5.8

2.9

3.7

12

(10)

(58)

5.7

2.8

3.7

12

(10)

(58)

100

45%

73

22.1

15.4

3.2

7.7

6.5

6.6

35

(1)

(9)

7.7

6.5

6.7

35

(1)

(10)

100

53%

74

18.4

11.8

9.0

0.0

(3.0)

(7.3)

(55)

(43)

0.0

(3.0)

(7.3)

(55)

(43)

(61)

(87)

CWHL 2005-27

49%

72

31.3

16.3

27.4

9.3

5.8

9.3

55

19

55

9.3

5.8

9.3

55

19

55

(100)

GSR 2006-1F

52%

71

12.2

2.0

(1.0)

3.1

0.7

(4.2)

41

(10)

11

3.1

0.7

(4.2)

41

(10)

11

72

(15)

GSR 2006-6F

48%

66

7.2

0.8

(1.8)

6.1

6.1

3.8

54

54

(9)

6.1

6.1

3.8

54

54

(9)

100

100

RFMSI 2005-S6

44%

75

21.6

(6.9)

14.3

0.3

0.3

(2.5)

100

73

0.0

0.0

(2.8)

(26)

(100)

SASC 2005-17

56%

74

18.0

10.5

13.8

2.9

2.9

(1.0)

41

41

(1)

2.9

2.9

(0.3)

41

41

(10)

WFMBS 2005-3

33%

80

26.7

5.6

(4.3)

0.0

(3.8)

0.0

100

52

0.0

(3.8)

0.0

(48)

(54)

WFMBS 2005-6

36%

76

23.8

4.5

4.3

2.9

0.9

0.5

51

26

31

2.9

0.9

0.5

51

26

31

(100)

(100)

WFMBS 2005-7

42%

75

29.5

10.7

18.2

0.0

(2.5)

(0.0)

(53)

(100)

0.0

(2.5)

0.0

(53)

(100)

WFMBS 2005-8

54%

74

11.7

1.2

(4.3)

1.9

(4.4)

1.9

49

(6)

(51)

1.9

(4.4)

1.9

48

(6)

48

100

100

WFMBS 2005-9

44%

74

26.1

6.9

11.2

3.1

2.4

(4.8)

19

(3)

(19)

3.1

2.4

(4.8)

18

(2)

(19)

(100)

(72)

WFMBS 2005-11

48%

73

13.4

(21.8)

5.2

0.0

(1.1)

(5.4)

(113)

(38)

0.0

(1.1)

(5.4)

(113)

(38)

(60)

WFMBS 2005-12

51%

73

13.3

(4.8)

(8.9)

4.1

4.1

(4.5)

45

(55)

(6)

4.1

4.1

(4.5)

45

45

(6)

80

80

(2)

WFMBS 2005-14

44%

72

22.2

4.3

12.0

1.5

(1.3)

1.5

(47)

(100)

1.5

(1.3)

1.5

(47)

100

100

WFMBS 2005-17

54%

71

9.5

(1.8)

2.9

0.0

(3.4)

(0.0)

100

80

0.0

(3.4)

0.0

(20)

(100)

WFMBS 2005-18

51%

71

12.5

3.0

1.2

4.4

4.4

2.8

22

(101)

(58)

4.4

4.4

2.8

21

21

(58)

100

100

100

WFMBS 2006-2

51%

70

11.5

(1.1)

(10.1)

4.2

2.8

2.2

46

21

(39)

4.1

2.8

2.2

46

23

(38)

33

(67)

33

WFMBS 2006-3

39%

70

20.2

3.6

9.6

0.0

0.0

(3.0)

100

48

0.0

0.0

(3.0)

(51)

(50)
100

CHASE 2006-S4

45%

61

4.5

(15.0)

(1.5)

4.8

(2.6)

4.8

65

65

4.5

(2.8)

4.5

70

12

70

100

GSR 2006-8F

39%

64

20.4

1.4

6.0

0.0

(0.4)

(0.9)

(100)

(84)

0.0

0.0

(0.9)

(84)

GSR 2006-10F

45%

63

21.7

12.1

21.6

3.2

0.5

0.4

26

(29)

(12)

3.2

0.5

0.4

24

(31)

(14)

100

JPMMT 2006-S4

48%

61

4.2

2.2

(9.4)

6.7

(4.7)

3.9

57

33

(28)

6.4

(4.8)

3.9

51

31

(24)

31

(56)

(34)

PRIME 2007-1

51%

57

14.6

6.3

6.9

8.0

6.2

2.6

60

(0)

14

8.0

6.2

2.6

60

(0)

14

(18)

(71)
(100)

PRIME 2007-2

54%

57

0.7

(20.2)

(6.3)

5.2

5.2

3.3

55

55

(6)

4.4

4.4

2.6

42

42

(18)

RFMSI 2006-S6

39%

64

17.6

9.0

(4.6)

5.2

0.9

5.1

74

57

(26)

5.1

1.1

5.1

64

58

64

59

(41)

59

RFMSI 2006-S8

43%

62

3.7

(3.2)

(2.6)

0.1

(0.8)

(3.4)

100

(11)

29

0.0

(0.8)

(2.7)

(77)

(42)

(100)

(100)
(16)

RFMSI 2006-S9

36%

62

7.8

7.6

(3.8)

14.5

11.5

12.5

33

(13)

(91)

14.5

11.5

13.8

31

(5)

(43)

84

(16)

RFMSI 2006-S11

42%

60

15.3

1.2

1.7

7.0

2.8

(2.7)

47

6.8

2.7

(2.8)

41

(0)

82

50

(6)

RFMSI 2007-S4

53%

55

3.9

(0.2)

(4.6)

5.8

(5.4)

2.3

42

(32)

5.7

(4.7)

2.2

37

(27)

32

(68)

(68)

RFMSI 2007-S5

55%

54

19.2

5.2

5.1

4.7

(2.1)

0.2

29

(20)

(13)

2.7

(4.0)

(1.7)

31

(14)

(6)

65

(35)

(19)

RFMSI 2007-S8

52%

51

24.5

13.5

18.1

16.8

10.6

14.5

46

23

16.5

10.9

14.2

39

33

100

62

WFMBS 2006-14

34%

62

6.4

(4.8)

(13.4)

2.9

2.9

(10.9)

53

(47)

2.9

2.9

(10.9)

53

53

100

100

77

WFMBS 2006-15

33%

61

19.4

(0.1)

4.2

5.3

(1.2)

1.4

45

(4)

5.3

(1.2)

1.4

45

(4)

66

27

(28)

WFMBS 2007-1

48%

58

10.7

6.6

1.6

7.4

(0.5)

1.1

45

(1)

7.4

(0.5)

1.1

45

(1)

61

31

WFMBS 2007-4

47%

56

9.1

(8.2)

(4.5)

5.8

(0.6)

(2.2)

48

10

5.8

(0.6)

(2.2)

48

11

88

23

30

WFMBS 2007-7

51%

54

15.0

2.9

2.3

4.3

(1.6)

(1.0)

39

(9)

4.3

(1.6)

(1.0)

38

(9)

67

18

WFMBS 2007-8

51%

53

15.7

3.6

6.9

3.1

1.5

(4.0)

43

(8)

3.1

1.5

(4.0)

42

(8)

100

87

31

WFMBS 2007-13

46%

51

5.8

(5.9)

(0.4)

2.3

(0.3)

(0.3)

57

(8)

46

2.3

(0.3)

(0.3)

57

(8)

46

100

100

43

Barclays Capital | ABX and PrimeX Monitor

September remittance Roll rates (bp)


Index

A BX 06-1

A BX 06-2

26 October 2011

Deal

Curren t to Dq rolls

A lw ays Cur to Dq rolls

60+ to Fcl Rolls

Fcl to REO rolls

REO to Liq Rolls

Cu re Rate

Cu rrent

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

ACE 2005-HE7

3.6

(0.7)

(0.4)

1.4

(0.4)

0.5

8.9

(2.2)

1.6

5.3

3.5

3.8

7.2

(2.8)

(10.4)

3.7

0.1

(0.7)

AM SI 2005-R11

3.8

0.4

0.0

1.6

0.2

0.3

14.1

3.2

(0.5)

3.4

1.7

1.8

11.8

(3.0)

(9.1)

6.7

(0.7)

0.3

ARSI 2005-W2

4.4

0.3

0.4

0.9

(0.3)

(0.3)

13.0

(0.2)

(0.9)

1.5

(0.5)

(0.4)

11.7

(1.9)

(8.3)

5.0

(1.4)

(1.6)

BSABS 2005-H E11

3.0

(1.0)

(2.0)

1.4

0.5

0.3

11.3

1.2

3.6

0.0

0.0

(0.2)

5.2

(7.0)

3.4

4.1

1.0

1.1

CWL 2005-BC5

3.3

(0.2)

1.3

0.9

(0.0)

0.4

13.2

5.1

6.4

4.2

2.4

0.4

2.7

(8.3)

(7.7)

2.2

(1.1)

(0.7)

FFML 2005-FF12

2.1

(1.3)

(0.3)

1.5

(0.6)

0.3

9.1

2.9

5.9

1.6

(2.3)

0.2

13.9

(0.2)

6.1

3.1

0.6

(0.2)

GSAMP 2005-HE4

4.9

1.5

0.3

1.9

1.4

0.8

13.9

2.9

4.5

0.3

(0.2)

(0.8)

13.2

7.8

11.0

6.3

2.5

1.3

HEAT 2005-8

4.0

(0.4)

1.3

0.9

0.3

(0.0)

14.0

(3.9)

6.4

1.8

(0.3)

(1.0)

22.2

0.5

1.0

6.0

(1.8)

1.4

JPMAC 2005-OPT1

3.4

(0.5)

(0.9)

0.3

(0.5)

(0.8)

16.6

7.7

4.1

1.1

(1.9)

(3.0)

8.4

0.9

(2.2)

7.1

(0.6)

1.3

LBM LT 2005-WL2

4.4

(1.5)

(0.5)

2.5

0.5

1.3

13.0

2.6

2.0

1.2

(0.1)

(1.0)

8.9

(0.2)

(5.8)

5.0

1.3

1.3

MABS 2005-NC2

4.2

(2.2)

(0.5)

1.9

(0.5)

(0.4)

16.1

(2.1)

1.6

3.1

(0.7)

(0.2)

14.1

5.8

2.3

6.0

(0.2)

0.7

MLM I 2005-AR1

2.3

(0.4)

(1.9)

0.3

0.1

(1.6)

15.4

4.7

7.8

2.9

2.3

(0.4)

10.6

5.4

5.2

1.2

(1.6)

(2.8)

MSAC 2005-H E5

4.2

(1.8)

(0.4)

0.8

(1.8)

(1.5)

10.1

(0.2)

1.4

2.9

0.7

2.2

15.0

6.6

3.4

4.1

0.7

1.7

NCHET 2005-4

3.2

(0.8)

1.1

0.6

(0.5)

(0.4)

13.5

(2.0)

(4.6)

2.4

(1.0)

(1.5)

18.2

6.5

0.4

6.3

1.4

0.6

RAM P 2005-EFC4

3.2

(1.7)

(1.2)

1.8

0.7

1.1

12.3

0.5

2.1

2.3

2.3

(2.7)

16.7

5.4

(3.2)

11.7

4.3

2.5

R ASC 2005-KS11

4.8

1.4

1.4

0.7

(0.2)

(0.3)

12.9

5.0

(2.9)

1.5

0.5

(1.1)

27.6

9.5

9.2

12.6

6.0

6.1

SA BR 2005-HE1

8.8

4.4

6.3

0.0

0.0

0.0

23.9

13.7

18.0

0.0

(1.9)

(2.7)

11.5

(2.4)

7.9

1.0

1.0

0.1

SAIL 2005-HE3

3.1

(0.7)

(0.1)

1.3

0.5

(0.3)

12.5

2.8

(2.8)

1.9

(0.6)

(0.9)

10.4

(3.8)

(0.9)

6.0

0.1

0.9
(0.6)

SASC 2005-WF4

3.0

(0.1)

0.7

0.8

(0.0)

0.2

14.8

5.0

3.8

3.2

(0.3)

0.8

23.6

9.6

7.9

6.1

(1.8)

SVHE 2005-4

3.2

(2.1)

(0.2)

1.5

(1.1)

0.3

10.0

(0.4)

4.6

1.3

(0.8)

(1.2)

14.1

10.6

14.1

3.6

1.9

0.1

ACE 2006-NC1

2.8

(2.2)

(3.1)

1.3

0.1

0.0

12.7

(0.8)

(2.9)

2.7

0.0

0.5

8.6

(9.0)

(4.2)

4.9

(2.8)

(0.9)

ARSI 2006-W1

4.6

(1.4)

0.1

1.6

0.0

0.5

18.2

(0.7)

(1.9)

1.6

(2.1)

(0.6)

12.9

1.3

(1.1)

6.8

1.1

1.6

BSABS 2006-HE3

6.3

(0.9)

2.0

1.8

0.9

0.0

11.2

(6.9)

(3.2)

0.0

(1.9)

(1.1)

7.4

(0.2)

(15.8)

2.6

(2.0)

(0.7)

CARR 2006-NC1

4.3

0.4

0.6

1.1

(0.4)

(0.0)

24.8

3.1

6.3

2.9

1.5

(2.0)

21.0

1.7

3.7

5.0

0.9

0.9

CWL 2006-8

3.5

(1.1)

(0.6)

0.9

(1.7)

(0.5)

15.0

5.6

9.7

4.2

0.5

1.5

9.9

0.9

3.3

2.7

0.7

(0.2)

FFM L 2006-FF4

2.8

(0.9)

(0.3)

1.5

0.8

0.6

11.6

5.6

6.9

0.7

(1.8)

0.3

11.4

4.9

(6.4)

4.5

1.9

0.9

GSAMP 2006-HE3

3.9

(1.0)

0.3

1.4

0.2

1.0

3.6

(1.1)

1.3

2.4

(1.1)

0.4

12.3

3.2

(1.9)

4.0

(0.5)

(0.8)
(0.3)

HEAT 2006-4

3.4

(1.2)

(0.9)

2.0

0.1

0.7

11.4

2.7

(4.6)

1.3

(0.4)

(1.0)

22.2

(2.3)

2.7

3.8

0.8

JPMAC 2006-FRE1

3.7

(0.7)

0.3

1.4

(1.6)

0.3

9.1

0.6

(0.4)

0.5

0.1

(0.2)

30.8

23.7

28.6

5.4

2.1

3.0

LBMLT 2006-1

5.2

1.1

0.8

2.8

0.8

0.9

11.5

0.5

2.2

1.7

1.1

0.4

16.2

6.5

8.3

4.4

1.7

2.0

MABS 2006-NC1

2.7

(0.7)

(0.9)

0.5

(0.5)

0.1

12.8

2.8

3.5

2.7

1.1

0.5

10.2

5.5

(7.5)

2.9

(3.4)

(3.9)

MLMI 2006-H E1

4.2

0.3

0.3

0.9

(1.1)

(1.6)

11.3

4.9

7.4

7.0

(1.6)

6.3

3.6

3.6

(36.9)

5.7

3.9

3.2

MSAC 2006-H E2

5.5

0.2

1.2

1.0

(0.0)

(0.3)

13.3

2.0

1.1

1.1

(0.2)

0.4

14.7

(1.1)

(3.0)

5.9

2.6

1.4

MSAC 2006-WMC2

3.7

(0.6)

(0.3)

1.9

(0.5)

(0.9)

10.5

(0.6)

(1.5)

1.6

0.3

(0.1)

16.0

5.0

4.2

3.6

1.5

1.0

R ASC 2006-KS3

4.1

0.2

(0.0)

1.8

0.9

0.5

9.5

(10.2)

(7.5)

4.6

1.4

2.3

14.8

4.7

(16.9)

7.4

1.8

0.3

RAMP 2006-NC2

3.5

(1.5)

1.2

2.2

1.5

2.2

20.5

(1.3)

9.8

0.4

0.1

(2.1)

2.3

(9.9)

(36.2)

6.1

0.1

(0.7)

SABR 2006-OP1

4.3

1.0

0.6

0.7

(0.1)

(0.8)

14.7

2.0

2.6

4.1

1.9

(1.0)

16.8

(1.8)

4.1

5.6

1.4

0.5

SAIL 2006-4

4.4

(0.3)

0.5

1.6

(0.1)

(1.0)

8.8

(4.5)

(3.9)

2.6

1.0

0.9

14.8

(3.8)

4.7

4.4

1.2

(0.6)

SASC 2006-WF2

4.1

(0.7)

0.5

1.2

(0.3)

(0.8)

10.3

(8.2)

0.4

1.8

(1.3)

(0.8)

15.2

6.0

(0.5)

7.8

3.2

1.4

SVHE 2006-OPT5

5.4

0.1

1.1

1.8

(0.0)

1.0

16.9

3.4

4.6

3.0

1.8

0.7

14.7

4.0

7.1

4.5

(0.7)

(0.7)

44

Barclays Capital | ABX and PrimeX Monitor

September remittance Roll rates (bp) continued


Index

A BX 07-1

A BX 07-2

26 October 2011

Deal

Curren t to Dq rolls

A lw ays Cur to Dq rolls

60+ to Fcl Rolls

Fcl to REO rolls

REO to Liq Rolls

Cu re Rate

Cu rrent

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

ABFC 2006-OPT 2

5.0

(0.3)

1.3

4.7

1.8

2.9

9.4

(0.1)

3.1

0.8

(0.8)

(0.7)

15.7

12.4

12.0

5.0

(1.0)

3 m
0.2

ACE 2006-NC3

3.0

(0.2)

(0.7)

1.5

0.8

(0.7)

13.1

2.7

7.8

3.9

2.5

1.0

8.9

2.2

7.3

2.4

1.0

(0.1)

BSABS 2006-H E10

3.5

(1.3)

(0.4)

1.6

0.6

0.0

9.5

(7.5)

1.1

0.4

(0.0)

0.3

12.8

(2.6)

5.0

2.1

1.1

0.3

CARR 2006-NC4

5.0

(0.1)

(0.1)

1.3

(0.4)

0.2

22.1

(0.3)

1.2

3.0

0.2

(1.3)

15.1

(0.2)

(6.7)

4.4

0.8

0.3

CBASS 2006-CB6

4.4

0.8

(0.6)

0.8

(1.2)

(2.3)

1.7

(0.1)

(0.9)

1.5

(1.8)

1.5

23.3

(6.4)

13.6

5.0

1.1

1.0

CMLTI 2006-WFH3

5.0

0.2

2.1

1.1

0.2

(0.1)

12.7

(0.3)

(1.8)

2.8

(0.0)

(3.1)

14.9

5.1

(1.5)

6.1

0.3

0.7
(0.2)

CWL 2006-18

3.7

(0.2)

0.6

1.1

(1.3)

(0.6)

17.3

7.4

13.9

4.2

1.3

2.0

3.8

(10.3)

(9.6)

2.2

0.2

FFML 2006-FF13

4.0

(0.4)

0.1

2.1

0.9

0.7

12.3

3.8

4.1

2.7

0.3

0.6

23.0

12.5

9.5

5.2

1.9

2.1

FHLT 2006-3

4.7

0.3

2.6

0.2

(0.9)

(0.5)

14.1

5.3

1.3

1.6

0.4

0.1

14.6

0.8

6.4

2.1

(0.3)

(2.1)

GSAMP 2006-HE5

4.7

1.1

0.9

1.2

0.2

0.4

4.5

1.5

(0.5)

0.7

(2.3)

(0.5)

6.5

(1.2)

(10.1)

3.0

(1.1)

(2.4)

HEAT 2006-7

3.5

(0.6)

(2.4)

1.0

(1.3)

(1.8)

17.3

6.3

5.7

4.0

1.0

1.5

28.3

0.4

5.0

4.7

0.9

(0.4)

JPMAC 2006-CH2

4.0

0.1

0.7

1.8

0.2

0.4

11.1

2.7

(4.6)

0.4

(0.1)

(0.3)

10.6

3.6

0.5

5.3

1.6

2.6

LBMLT 2006-6

4.2

(1.7)

0.3

2.2

(0.3)

(0.8)

9.9

(1.9)

(0.7)

0.4

(1.2)

(0.4)

15.7

(1.4)

6.1

5.9

3.5

1.8

MABS 2006-NC3

5.7

1.3

2.1

2.6

0.4

0.8

12.0

8.8

1.5

3.0

(1.3)

(3.1)

12.9

(4.1)

7.2

5.9

(3.6)

(2.2)

MLMI 2006-H E5

4.5

0.2

1.7

3.2

1.2

1.9

9.7

4.0

4.8

2.6

0.5

0.9

8.7

0.7

3.1

2.7

0.3

(1.0)

MSAC 2006-H E6

4.8

1.2

0.0

1.5

(0.9)

1.1

15.9

3.6

10.4

2.9

0.2

1.6

7.3

(2.3)

(5.7)

1.8

(0.2)

(0.4)

R ASC 2006-KS9

3.7

(1.0)

(0.4)

0.9

(1.1)

(0.5)

18.1

(0.7)

1.9

2.7

0.3

0.4

22.0

3.2

8.0

6.0

0.4

0.6

SA BR 2006-HE2

4.3

(1.6)

(0.8)

2.5

(1.6)

(1.3)

11.5

5.4

4.5

1.8

0.1

0.9

16.3

6.1

9.2

8.1

0.2

1.8

SASC 2006-BC4

3.6

(0.7)

(0.1)

2.1

0.6

0.7

6.2

(3.1)

(3.6)

2.1

(1.4)

(1.1)

12.9

(0.1)

(0.5)

3.5

0.5

(0.6)

SVHE 2006-EQ1

4.2

(0.0)

0.0

2.2

(0.4)

1.5

12.9

4.7

1.6

3.6

0.9

2.0

17.3

4.2

7.4

7.4

1.7

(0.1)

ACE 2007-HE4

5.3

(1.2)

0.2

1.5

(3.8)

0.3

12.5

3.2

(3.0)

3.5

(0.5)

(3.5)

13.1

(1.7)

7.2

2.0

(0.1)

1.2

BSABS 2007-HE3

5.1

(0.3)

2.4

1.8

(1.0)

0.2

11.6

(2.4)

0.7

0.4

0.1

0.2

13.6

5.5

1.6

2.3

(0.8)

(0.3)

CMLT I 2007-AMC2

5.4

0.6

1.0

1.5

0.3

(0.2)

18.2

7.1

7.1

3.3

0.1

(0.1)

12.8

(0.9)

(2.5)

6.0

1.8

1.6

CWL 2007-1

4.0

(0.3)

0.3

2.7

0.4

1.4

13.7

2.8

9.3

4.1

1.8

1.6

9.8

3.2

(2.0)

2.5

0.6

0.2

FFM L 2007-FF1

3.2

(0.4)

(0.4)

1.5

(0.4)

(0.4)

8.6

4.8

2.8

1.8

0.7

0.5

11.9

2.6

5.1

4.2

0.7

0.7

G SAM P 2007-NC1

4.3

0.5

0.7

2.9

1.7

1.4

2.1

(0.2)

0.2

1.2

(1.3)

(0.0)

6.2

(0.3)

(6.1)

4.2

1.5

0.4

HEAT 2007-2

3.9

0.3

(0.0)

1.6

(0.0)

(0.3)

15.3

5.3

5.0

3.9

1.9

(1.7)

28.6

12.2

9.1

4.6

(0.0)

(0.3)

HASC 2007-NC1

4.7

(0.7)

2.0

2.2

0.8

1.6

8.1

3.0

0.0

2.3

(0.1)

(0.7)

15.3

(1.9)

9.8

2.8

(0.5)

(1.2)

JPMAC 2007-CH3

3.8

(0.4)

(0.0)

1.1

(0.2)

(0.3)

13.8

1.5

(1.1)

0.3

(0.3)

(0.2)

11.6

2.7

(1.2)

3.7

(0.0)

0.1

FFM ER 2007-2

4.4

(0.3)

1.5

2.8

1.1

0.9

11.3

5.0

7.1

2.2

0.1

1.7

14.0

1.8

3.0

3.8

0.4

0.4

MLM I 2007-MLN1

3.5

(0.0)

1.1

2.9

1.0

1.6

11.6

5.1

8.5

1.7

1.1

1.0

9.8

(13.7)

0.6

2.7

1.5

(0.6)

MSAC 2007-NC3

5.6

2.3

(0.2)

2.1

1.3

0.5

13.2

4.7

(2.7)

3.0

(0.1)

0.9

13.6

6.6

4.4

7.2

0.7

1.9

NHELI 2007-2

4.6

(0.7)

0.0

2.2

(0.5)

1.0

21.8

11.1

11.9

2.8

(2.0)

(2.8)

12.1

1.5

(0.3)

6.9

(0.0)

0.4

NHEL 2007-2

5.1

0.7

(0.3)

3.1

2.4

2.0

16.1

3.9

1.5

2.6

(0.5)

0.9

11.4

(0.4)

1.5

7.9

2.0

2.7

OOMLT 2007-5

4.9

(0.5)

1.0

1.3

0.3

(0.3)

12.6

(3.7)

(5.5)

1.4

(1.0)

(1.3)

16.8

(6.1)

0.4

4.8

0.1

(0.6)

R ASC 2007-KS2

4.5

0.1

0.5

1.9

0.6

(0.1)

8.2

(8.6)

(8.9)

1.6

(0.6)

0.1

21.4

(3.2)

2.1

7.7

1.6

2.3

SABR 2007-BR4

4.9

0.8

0.4

2.7

1.2

0.2

9.0

(2.3)

6.3

2.9

(2.7)

(1.9)

8.6

1.5

(0.1)

7.6

(0.1)

(0.5)

SASC 2007-BC1

3.4

(1.2)

(1.1)

0.8

(1.8)

0.1

6.5

(1.6)

(4.7)

1.0

0.0

(1.5)

25.8

8.2

13.9

5.6

1.4

1.0

SVHE 2007-OPT1

5.3

(0.1)

(0.4)

1.6

(0.1)

(0.8)

16.6

(1.0)

0.8

1.5

0.5

(0.9)

16.6

4.3

6.7

6.5

1.0

(0.0)

WM HE 2007-HE2

4.0

(0.5)

(0.0)

1.6

(0.4)

(0.8)

8.0

(2.9)

(3.9)

0.8

(0.2)

(0.7)

14.3

3.4

(2.7)

5.2

0.5

2.3

45

Barclays Capital | ABX and PrimeX Monitor

September remittance Roll rates (bp) continued...


Index

Prim eX.
A RM 1

Prim eX.
A RM 2

26 October 2011

Deal

Curren t to Dq rolls

A lw ays Cur to Dq rolls

60+ to Fcl Rolls

Fcl to REO rolls

REO to Liq Rolls

Cu re Rate

Cu rrent

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

CM LTI 2005-11

0.0

(0.6)

(1.0)

0.0

(0.6)

(1.1)

7.7

(16.2)

(7.9)

9.9

3.4

9.9

17.5

17.5

(1.4)

2.0

(0.8)

2.0

G SR 2005-AR 3

0.4

(0.2)

(0.9)

0.4

0.1

(0.5)

3.5

0.1

3.5

7.0

7.0

4.3

0.0

(34.0)

0.0

0.0

(2.2)

0.0

G SR 2005-AR 4

1.5

(0.3)

1.1

1.2

0.0

0.8

24.4

18.4

3.7

6.0

6.0

6.0

0.0

(13.8)

(13.0)

0.0

0.0

0.0

G SR 2005-AR 7

0.8

0.4

0.6

0.7

0.7

0.4

36.6

20.6

31.4

0.0

(25.2)

0.0

38.6

38.6

38.6

4.3

4.3

4.3

G SR 2006-AR 1

0.1

(1.7)

(0.7)

0.0

(1.2)

(0.5)

20.1

4.1

1.1

0.0

(3.9)

(1.0)

10.9

(19.5)

(3.7)

3.6

3.1

(0.4)
(0.1)

G SR 2006-AR 2

0.6

(0.3)

(0.3)

0.7

(0.1)

0.4

0.0

(9.8)

0.0

0.0

0.0

0.0

0.0

(100.0)

0.0

4.5

(0.3)

JPM MT 2005-A3

0.0

(0.4)

0.0

0.0

(0.4)

0.0

0.0

(38.6)

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

JPM MT 2005-A4

0.0

(0.5)

0.0

0.0

0.0

0.0

0.0

(12.3)

(23.2)

30.3

30.3

9.6

0.0

0.0

0.0

7.1

0.4

(1.7)

JPM MT 2005-A5

1.1

0.9

1.1

1.1

1.1

1.1

0.0

0.0

(20.5)

0.0

0.0

0.0

0.0

0.0

(100.0)

0.0

0.0

0.0

JPM MT 2005-A7

0.5

(0.3)

(0.8)

0.3

(0.6)

(0.8)

11.6

(3.3)

(5.7)

0.0

0.0

(3.1)

49.1

49.1

49.1

1.6

1.6

(2.1)

JPM MT 2006-A4

0.7

0.2

0.2

0.4

0.2

(0.1)

16.7

13.3

(9.7)

0.0

0.0

0.0

0.0

0.0

0.0

6.2

6.2

0.7

MLMI 2005-A2

0.6

0.0

(0.2)

0.3

(0.1)

(0.0)

14.9

9.2

(3.2)

0.0

(5.0)

(2.4)

10.4

(7.5)

(7.1)

1.9

(1.6)

0.0

MLMI 2005-A9

0.0

(0.9)

(1.0)

0.0

(0.3)

(0.6)

14.4

(1.1)

(10.7)

4.3

0.2

(0.6)

0.0

(25.2)

0.0

1.5

(6.8)

1.5

WAM U 2005-AR10

0.8

(0.5)

(0.1)

0.6

(0.3)

0.2

15.3

1.5

13.2

0.0

(3.4)

(5.7)

0.0

0.0

(36.2)

3.5

(0.6)

1.6

WAM U 2005-AR14

1.6

0.8

0.6

0.4

(0.1)

(0.5)

8.0

(6.0)

(10.3)

2.4

0.1

1.8

9.8

9.8

9.8

5.3

1.0

2.5

WAM U 2005-AR7

0.5

(0.4)

0.1

0.6

(0.4)

0.1

4.3

(10.8)

(2.3)

0.0

(1.5)

0.0

0.0

0.0

(30.0)

3.0

(0.5)

(0.4)

WFMBS 2006-AR2

0.6

(0.1)

(0.2)

0.4

(0.0)

(0.2)

8.2

(1.5)

(16.6)

2.8

(2.1)

(4.7)

21.6

(6.8)

1.0

2.4

0.8

(0.6)

WFMBS 2006-AR4

0.9

(0.6)

0.0

0.1

(0.7)

(0.7)

20.9

16.3

4.5

0.0

(9.4)

(4.2)

10.2

(6.4)

(8.6)

7.1

7.1

6.1

WFMBS 2006-AR6

1.2

1.0

0.1

0.8

0.5

0.1

26.7

0.8

13.4

11.5

11.5

7.2

0.0

(59.6)

0.0

0.0

(7.9)

(4.0)

WFMBS 2006-AR8

0.5

(0.2)

(0.1)

0.4

0.3

(0.1)

9.5

(10.8)

(16.4)

1.8

(0.4)

(4.5)

27.2

0.8

7.1

0.0

(1.0)

(3.8)

CM LTI 2007-AR4

1.4

1.0

1.3

1.3

1.1

1.3

31.1

16.0

23.4

2.7

(5.5)

0.8

0.0

(26.3)

(26.1)

2.1

1.0

(0.9)

CWHL 2007-HY 1

2.0

2.0

1.5

1.0

1.0

0.4

8.1

6.7

8.1

0.0

(7.2)

(3.4)

32.5

32.5

32.5

1.9

(2.5)

0.8

FH ASI 2006-AR4

0.9

(0.4)

0.9

0.9

(0.4)

0.9

8.0

8.0

(20.9)

0.0

0.0

0.0

0.0

0.0

(64.1)

6.3

6.3

6.3

FH ASI 2007-AR1

0.8

(0.2)

0.8

0.9

(0.2)

0.9

0.0

(16.0)

(21.7)

6.4

6.4

6.4

0.0

0.0

(43.2)

2.2

0.1

(0.9)

FH ASI 2007-AR2

3.9

2.4

3.9

4.1

3.1

4.1

31.5

31.5

(12.8)

0.0

0.0

(3.5)

0.0

0.0

(100.0)

2.0

2.0

2.0

FH ASI 2007-AR3

0.5

(0.4)

(0.4)

0.5

(0.5)

0.5

8.3

(11.9)

(17.8)

0.0

0.0

(3.7)

0.0

0.0

(40.3)

0.0

0.0

(1.4)

JPM MT 2006-A7

0.3

(2.6)

(1.8)

0.0

(1.9)

(2.3)

6.3

(1.5)

(7.2)

0.0

0.0

0.0

46.8

46.8

46.8

3.7

1.1

2.7

JPM MT 2007-A3

0.3

(0.9)

(1.1)

0.0

(1.2)

(1.5)

6.1

(3.4)

(0.9)

2.1

(3.0)

(1.3)

42.1

(1.2)

13.9

6.0

5.2

3.0

JPM MT 2007-A5

0.0

(0.6)

(1.0)

0.0

0.0

(0.3)

12.9

(20.2)

0.7

0.0

0.0

(5.3)

0.0

(30.4)

0.0

1.6

(0.4)

1.6

JPM MT 2007-A6

0.5

(0.5)

0.1

0.6

0.6

0.1

0.0

(9.1)

(4.6)

0.0

0.0

(4.3)

18.5

8.6

18.5

3.7

3.7

2.2

RFM SI 2006-SA2

0.9

0.2

(0.1)

0.4

0.4

(0.3)

17.4

5.3

5.9

3.0

(5.4)

(1.3)

14.3

14.3

(4.1)

2.2

(4.1)

(8.0)

RFM SI 2006-SA3

3.0

3.0

3.0

2.9

2.9

2.9

0.0

0.0

0.0

0.0

(11.2)

0.0

30.5

30.5

30.5

0.0

0.0

0.0

RFM SI 2007-SA2

0.6

(1.1)

(0.5)

0.7

(1.3)

(0.5)

0.0

(46.5)

(33.9)

0.0

0.0

(2.5)

14.2

(41.2)

(7.9)

5.0

5.0

3.2

RFM SI 2007-SA3

1.5

0.7

1.1

0.0

0.0

(0.5)

24.8

(0.9)

(7.0)

0.0

(2.0)

0.0

0.0

0.0

0.0

2.2

(10.9)

(6.8)

WFMBS 2006-AR12

1.8

(0.5)

(0.5)

1.1

0.5

0.4

6.6

0.2

(13.3)

1.9

1.9

(2.5)

39.7

7.1

(7.7)

1.0

1.0

(0.4)

WFMBS 2006-AR13

1.1

(1.3)

(2.0)

0.7

(1.2)

(0.5)

8.8

(9.6)

(7.1)

3.3

0.2

3.3

19.9

(2.9)

13.3

0.7

(1.0)

(0.6)
(4.6)

WFMBS 2006-AR15

2.4

1.6

0.4

1.0

0.2

(0.5)

8.1

0.4

(8.7)

0.0

0.0

0.0

0.0

(39.3)

(31.3)

0.0

(5.1)

WFMBS 2006-AR17

3.0

(0.4)

2.7

1.4

0.0

1.4

29.0

(11.0)

23.7

3.0

(2.2)

(3.9)

16.0

16.0

(38.2)

2.9

2.9

1.0

WFMBS 2006-AR18

1.8

1.2

1.8

0.9

0.5

0.9

29.3

16.5

(2.0)

0.0

(7.3)

(5.1)

69.6

49.1

30.3

0.0

0.0

0.0

WFMBS 2006-AR19

0.9

0.2

0.1

1.0

0.3

0.2

55.8

7.7

40.6

4.5

(2.1)

(1.4)

29.2

(12.7)

29.2

1.7

(0.1)

0.2

46

Barclays Capital | ABX and PrimeX Monitor

September remittance Roll rates (bp) continued...


Index

Prim eX.
FRM1

Prim eX.
FRM2

26 October 2011

Deal

Curren t to Dq rolls

A lw ays Cur to Dq rolls

60+ to Fcl Rolls

Fcl to REO rolls

REO to Liq Rolls

Cu re Rate

Cu rrent

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

CHASE 2005-S2

0.3

0.0

0.1

0.3

0.0

0.1

19.6

10.1

19.6

0.0

0.0

0.0

0.0

0.0

0.0

7.5

6.0

3 m
2.3

CHASE 2005-S3

0.6

0.2

0.5

0.5

0.0

0.4

12.5

(0.7)

7.2

0.0

(0.6)

0.0

0.0

0.0

0.0

3.0

(1.1)

(1.2)

CWHL 2005-21

0.5

(0.2)

(0.5)

0.5

(0.1)

(0.4)

12.1

7.0

11.1

3.4

(2.7)

0.8

0.0

(9.4)

(7.8)

2.9

2.9

(0.3)

CWHL 2005-27

0.3

(0.4)

(1.2)

0.3

0.3

(0.8)

15.5

15.5

12.4

12.7

12.7

12.7

79.5

79.5

79.5

3.7

0.4

1.1

GSR 2006-1F

0.4

(0.5)

(0.6)

0.3

(0.4)

(0.4)

1.6

(0.2)

(5.4)

1.8

(3.0)

(4.5)

8.7

0.6

(9.4)

2.9

1.0

(0.1)
(1.0)

GSR 2006-6F

0.8

(1.0)

(0.3)

0.5

(0.5)

(0.1)

2.1

0.3

(5.9)

4.7

4.7

4.7

0.0

0.0

0.0

1.5

(3.1)

R FMSI 2005-S6

0.6

0.6

0.2

0.3

0.3

0.3

7.9

7.9

7.9

0.0

0.0

0.0

0.0

0.0

0.0

12.3

(2.5)

2.9

SASC 2005-17

1.1

0.7

0.7

0.8

0.4

0.4

12.8

(0.3)

(11.7)

4.5

4.5

(3.0)

12.9

12.9

0.5

2.2

(2.3)

(0.5)

WFMBS 2005-3

0.0

(0.6)

0.0

0.0

(0.6)

0.0

24.0

24.0

(33.6)

0.0

0.0

0.0

0.0

(100.0)

0.0

0.0

(2.8)

(7.0)

WFMBS 2005-6

0.0

0.0

(0.4)

0.0

0.0

0.0

32.7

(17.0)

(5.6)

9.1

9.1

9.1

100.0

100.0

100.0

0.0

0.0

(10.1)

WFMBS 2005-7

0.5

0.5

0.1

0.5

0.5

0.1

0.0

(22.9)

(31.5)

0.0

0.0

0.0

0.0

0.0

0.0

0.0

(6.6)

0.0

WFMBS 2005-8

0.6

0.2

0.2

0.7

0.4

0.7

16.7

7.8

(32.0)

0.0

(2.4)

0.0

0.0

0.0

0.0

5.4

5.4

1.6

WFMBS 2005-9

0.5

0.2

0.1

0.3

0.0

0.1

0.0

0.0

(46.2)

0.0

(1.6)

0.0

65.3

65.3

33.1

0.0

(4.9)

(7.2)

WFMBS 2005-11

0.3

(0.0)

0.3

0.0

0.0

0.0

15.2

(10.9)

15.2

0.0

0.0

(2.0)

0.0

(30.0)

(46.5)

0.0

0.0

(5.1)

WFMBS 2005-12

0.4

0.1

(0.4)

0.3

0.1

(0.4)

29.6

(33.6)

(15.2)

0.0

0.0

(4.7)

12.8

12.8

(55.0)

4.1

2.2

4.1

WFMBS 2005-14

0.5

0.5

(0.3)

0.2

0.2

(0.2)

0.0

(16.3)

(5.8)

4.7

4.7

(13.2)

0.0

0.0

0.0

0.0

(2.0)

(2.8)

WFMBS 2005-17

1.1

0.6

1.1

0.7

0.2

0.7

20.6

20.6

(1.0)

0.0

0.0

(6.5)

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2005-18

0.1

(0.1)

0.1

0.2

0.2

0.2

12.2

2.3

(1.4)

0.0

0.0

(2.9)

0.0

0.0

(34.1)

0.0

0.0

0.0

WFMBS 2006-2

0.2

(0.5)

(0.8)

0.0

0.0

(1.0)

0.0

(9.0)

(33.1)

0.0

0.0

(15.5)

38.4

38.4

17.5

0.0

(5.0)

(8.4)
(3.2)

WFMBS 2006-3

0.9

0.7

0.7

0.8

0.5

0.5

5.1

(0.5)

(19.7)

0.0

(8.9)

(8.5)

0.0

0.0

(39.2)

0.0

(1.9)

CHASE 2006-S4

1.6

1.2

0.9

1.1

0.5

0.8

1.1

(7.6)

(11.1)

0.0

0.0

0.0

0.0

0.0

0.0

4.7

(2.3)

2.0

GSR 2006-8F

1.8

0.8

0.5

0.6

(0.2)

(0.0)

5.2

1.2

2.8

0.0

(3.1)

0.0

0.0

0.0

(7.7)

2.5

(2.1)

(0.9)

GSR 2006-10F

0.4

(1.1)

(1.1)

0.5

(0.9)

(0.6)

5.9

5.9

3.0

3.5

3.5

3.5

0.0

0.0

0.0

5.3

(0.9)

0.9

JPMMT 2006-S4

1.2

0.4

(0.5)

0.7

(0.2)

0.4

7.9

1.7

(6.0)

1.3

1.3

1.3

27.6

19.1

23.6

3.6

(1.2)

(2.2)

PRIME 2007-1

1.6

0.2

1.0

0.5

(0.6)

0.3

14.2

3.6

(4.3)

4.5

0.5

4.5

42.6

33.0

32.4

3.0

0.7

(0.7)

PRIME 2007-2

1.3

(0.5)

0.0

1.0

(0.5)

0.4

9.9

(3.0)

(1.2)

3.9

0.2

1.1

48.8

48.8

48.8

4.3

1.8

0.5

R FMSI 2006-S6

1.5

(0.0)

(0.8)

0.8

0.2

0.4

0.0

(47.0)

(10.9)

2.8

(0.0)

1.7

14.2

14.2

14.2

7.7

3.3

7.7

R FMSI 2006-S8

0.8

(0.2)

0.5

0.3

(0.2)

(0.1)

3.8

(8.7)

(19.1)

15.8

15.8

15.8

0.0

0.0

0.0

5.9

5.9

(0.3)

R FMSI 2006-S9

0.3

(0.2)

(0.7)

0.0

0.0

(0.9)

0.0

(15.0)

(36.1)

0.0

0.0

(1.5)

15.5

15.5

15.5

5.9

(1.4)

(2.7)

R FMSI 2006-S11

1.4

(0.0)

0.4

0.9

0.9

0.2

11.0

(15.8)

(16.7)

6.5

6.5

6.5

21.7

(11.6)

(1.1)

7.8

6.0

2.6

R FMSI 2007-S4

0.3

(0.3)

(0.1)

0.4

0.2

0.1

21.6

9.3

(4.9)

0.0

0.0

0.0

16.9

16.9

16.9

9.1

0.9

4.4

R FMSI 2007-S5

2.1

0.9

0.6

1.6

0.8

0.6

8.0

(9.1)

(5.4)

2.8

0.6

2.8

13.3

13.3

(2.9)

6.4

1.4

(1.4)

R FMSI 2007-S8

0.7

(1.6)

(0.7)

0.0

(1.6)

(1.1)

25.5

(2.4)

2.1

2.4

2.4

2.4

0.0

(100.0)

0.0

15.7

9.3

2.7

WFMBS 2006-14

1.3

0.6

0.4

0.5

(0.0)

(0.1)

24.0

24.0

12.0

3.3

(3.2)

1.3

0.0

0.0

(66.8)

0.0

(3.4)

(6.1)

WFMBS 2006-15

0.7

0.1

0.3

0.3

(0.2)

0.0

11.4

3.2

(21.4)

2.7

(0.9)

0.4

16.6

(16.7)

14.1

1.4

(3.2)

(3.1)

WFMBS 2007-1

0.6

0.1

(0.2)

0.4

0.2

0.0

15.1

3.4

(5.4)

2.7

1.0

2.7

74.3

12.8

23.6

0.8

(0.4)

(1.3)

WFMBS 2007-4

0.8

(0.1)

0.0

0.4

(0.4)

(0.4)

4.4

(16.2)

(25.1)

1.8

(0.5)

(1.8)

6.1

(12.6)

(16.0)

1.3

(2.8)

(1.2)

WFMBS 2007-7

1.0

0.2

0.1

0.8

0.2

0.2

6.9

(16.7)

(22.2)

2.7

0.5

(1.3)

18.8

(14.2)

(3.5)

2.0

(1.1)

(0.5)

WFMBS 2007-8

0.8

0.5

0.1

0.4

0.1

(0.2)

18.6

(1.2)

(12.8)

3.9

0.2

(2.3)

0.0

(14.2)

(22.5)

0.0

(2.8)

(3.7)

WFMBS 2007-13

1.1

0.6

0.8

0.9

0.9

0.6

25.4

25.4

12.4

0.0

(3.7)

(9.9)

0.0

(15.1)

0.0

5.2

(0.3)

1.9

47

Barclays Capital | ABX and PrimeX Monitor

September remittance Loan modification update


Index

A BX 06-1

A BX 06-2

26 October 2011

Deal

Ever modified (%)

Ever modified w PNI (%)

Mod rate(%)

Mod rate w PNI(% )

Share of Rate Red (%)

Share of Debt Forg (%)

Current

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

Cu rrent

1 m

3 m

ACE 2005-HE7

43.0

0.2

1.1

48.2

0.5

1.3

0.4

(0.5)

(0.2)

0.6

(0.4)

(0.3)

40

(5)

(2)

10

10

10

AM SI 2005-R11

45.1

0.4

1.4

47.5

0.7

2.0

1.1

0.2

(0.4)

1.5

0.2

(0.2)

23

(26)

(31)

(3)

ARSI 2005-W2

48.1

0.7

2.2

50.1

0.7

2.2

1.0

(0.2)

(0.3)

1.4

0.1

(0.0)

34

(14)

(14)

(3)

BSABS 2005-H E11

38.5

0.4

0.4

45.7

0.9

1.1

0.5

0.3

0.1

0.9

0.6

0.3

17

(36)

17

(13)

(28)

CWL 2005-BC5

43.2

0.2

1.4

52.1

0.2

1.5

0.9

(0.2)

0.1

0.9

(0.4)

0.1

67

32

(9)

(10)

FFML 2005-FF12

44.1

0.2

1.3

48.7

0.3

1.4

0.4

(0.1)

(0.1)

0.7

0.1

(0.0)

41

14

15

(21)

GSAMP 2005-HE4

49.1

1.0

2.4

54.2

1.0

2.5

1.8

1.2

0.7

2.0

1.2

0.8

42

(14)

(12)

HEAT 2005-8

55.2

0.3

2.0

61.8

0.3

1.6

0.4

(0.8)

(0.5)

0.5

(0.7)

(0.6)

62

(7)

(22)

(7)

JPMAC 2005-OPT1

47.5

0.1

1.2

50.7

0.4

1.9

0.1

(0.6)

(0.5)

0.5

(0.6)

(0.1)

13

(43)

(65)

LBM LT 2005-WL2

44.1

0.8

1.9

50.2

0.9

2.1

1.2

0.6

0.4

1.6

0.9

0.5

44

(4)

11

MABS 2005-NC2

71.3

0.9

2.2

73.8

0.6

1.4

0.8

0.6

0.3

1.0

0.6

0.5

32

17

0
0

MLM I 2005-AR1

33.5

0.4

1.7

36.1

0.3

1.7

0.7

(0.3)

(0.3)

0.7

(0.3)

(0.9)

33

(15)

MSAC 2005-H E5

51.8

0.8

1.7

56.6

0.8

1.7

0.8

(0.0)

0.3

0.9

(0.1)

0.3

64

49

(3)

(1)

NCHET 2005-4

66.0

0.7

1.5

69.9

0.5

1.4

1.9

0.5

0.7

1.9

0.4

0.6

43

(18)

(1)

RAM P 2005-EFC4

41.5

0.3

0.9

53.0

0.2

0.4

0.6

0.2

(0.3)

0.7

(0.1)

(0.3)

(20)

(53)

RASC 2005-KS11

40.5

0.6

1.3

51.9

0.9

2.0

0.7

0.2

0.1

1.3

0.6

0.6

27

(11)

(32)

(5)

(3)

SA BR 2005-HE1

64.6

1.1

2.3

71.4

1.4

2.1

0.0

0.0

0.0

0.0

0.0

0.0

SAIL 2005-HE3

41.3

1.8

3.1

44.2

1.8

2.7

1.2

0.0

0.1

1.9

0.5

0.8

52

25

16

(5)

SASC 2005-WF4

27.7

0.6

1.3

37.5

0.4

1.1

0.4

(0.2)

(0.3)

0.4

(0.4)

(0.3)

47

(1)

(30)

(2)

SVHE 2005-4

55.9

0.4

1.8

59.3

0.4

1.6

1.0

0.2

(0.6)

1.0

0.2

(0.7)

47

37

(0)

ACE 2006-NC1

42.7

0.7

1.8

46.8

0.7

2.0

0.4

0.0

(0.5)

0.5

0.2

(0.6)

65

(20)

35

ARSI 2006-W1

57.6

0.8

2.2

59.4

1.2

2.6

1.1

0.1

(0.0)

1.8

0.7

0.6

21

(31)

(31)

(2)

BSABS 2006-HE3

51.0

0.3

0.5

56.6

0.3

0.7

0.3

(0.5)

(0.1)

0.4

(0.7)

0.0

38

(14)

CARR 2006-NC1

65.4

0.7

3.0

68.6

0.6

2.9

0.5

(0.1)

(0.3)

0.7

(0.3)

(0.3)

76

CWL 2006-8

48.4

0.4

1.2

57.8

0.4

1.3

0.7

(0.3)

(0.5)

0.8

(0.3)

(0.5)

63

(2)

(7)

FFM L 2006-FF4

41.4

0.3

1.6

45.7

0.3

1.5

1.2

0.7

0.3

1.4

0.8

0.5

70

22

11

GSAMP 2006-HE3

50.3

0.6

2.0

54.5

0.5

1.9

0.3

(0.5)

(0.6)

0.6

(0.3)

(0.6)

30

(38)

(7)

(5)

(5)
12

HEAT 2006-4

41.3

0.7

1.9

48.4

0.8

2.0

0.6

0.0

0.2

0.7

0.1

0.2

36

(7)

(17)

12

(27)

JPMAC 2006-FRE1

46.5

0.7

1.6

52.0

0.8

1.8

1.4

0.5

1.0

1.9

0.9

1.4

10

(19)

LBMLT 2006-1

47.8

0.4

0.9

52.7

0.4

1.0

1.1

0.8

0.6

1.3

0.7

0.7

38

25

(6)

(2)

MABS 2006-NC1

40.7

0.2

1.4

45.8

(0.1)

1.2

0.3

(0.4)

(1.1)

0.3

(0.8)

(1.3)

54

(3)

(29)

46

46

46

MLMI 2006-H E1

43.0

1.2

2.7

43.9

1.5

2.9

1.7

1.2

0.5

2.2

1.6

0.8

56

(19)

MSAC 2006-H E2

54.4

0.6

1.7

57.6

0.7

1.7

1.1

0.5

0.5

1.2

0.4

0.5

49

(24)

MSAC 2006-WMC2

51.6

0.7

1.6

55.0

0.6

1.6

0.7

0.3

0.0

0.8

0.3

0.1

43

(2)

(44)

RASC 2006-KS3

42.9

0.5

0.8

56.0

0.3

0.6

0.7

0.2

(0.5)

0.7

0.2

(0.5)

35

18

(1)

RAMP 2006-NC2

48.6

0.4

1.0

60.2

0.2

0.8

0.9

0.2

(0.1)

1.0

0.1

(0.2)

19

(8)

(1)

(16)

SABR 2006-OP1

49.9

0.2

1.0

51.9

0.4

1.3

0.1

(0.3)

(0.7)

0.5

(0.1)

(0.4)

12

(49)

(84)

SAIL 2006-4

50.1

0.7

2.3

54.3

0.6

2.1

1.0

0.4

(0.3)

1.1

0.5

(0.4)

46

14

(7)

(9)

SASC 2006-WF2

41.5

0.5

1.2

48.9

0.4

0.7

0.4

0.2

(0.1)

0.5

0.2

(0.2)

43

(40)

(14)

21

21

21

SVHE 2006-OPT5

66.0

0.5

1.6

67.8

0.6

1.6

1.0

(0.4)

(0.1)

1.3

(0.3)

0.1

31

(32)

(5)

(2)

48

Barclays Capital | ABX and PrimeX Monitor

September remittance Loan modification update continued


Index

A BX 06-1

A BX 06-2

26 October 2011

Deal

Share of Debt+Rate (%)

Share of PNI (%)

Amount Forgiven (%)

Rate Reduced

Principal Recapped (%)

Paymen t reduced (% )

Curren t

1 m

3 m

Curren t

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

ACE 2005-HE7

(11)

36

26

4.3

0.4

0.6

11

(3)

(12)

12

21

3 m
(7)

AM SI 2005-R11

26

(5)

15

5.4

0.4

0.1

31

(9)

31

12

(1)

(1)

39

11

ARSI 2005-W2

(14)

(2)

30

21

21

4.3

0.1

0.1

31

(3)

10

(4)

(5)

42

15

BSABS 2005-H E11

30

(5)

(4)

43

43

1.8

0.1

(1.0)

42

23

16

(5)

13

25

CWL 2005-BC5

25

10

19

(14)

4.2

1.4

0.0

20

(8)

(10)

19

10

22

(3)

FFML 2005-FF12

19

(41)

10

40

27

4.1

0.3

(0.2)

33

(1)

(0)

40

23
(7)

GSAMP 2005-HE4

33

25

(8)

(2)

4.1

(0.4)

(1.1)

17

(41)

(25)

15

(5)

31

HEAT 2005-8

10

(14)

10

28

28

12

3.0

(0.2)

0.1

50

24

50

12

(5)

23

JPMAC 2005-OPT1

(7)

(9)

87

51

74

7.6

3.7

2.1

(166)

(115)

17

(9)

53

23

32

LBM LT 2005-WL2

26

(3)

(5)

23

4.5

0.0

(0.1)

31

14

12

(0)

38

(1)

(4)

MABS 2005-NC2

32

32

(38)

19

(37)

19

3.9

(0.4)

(0.4)

52

52

21

47

16

MLM I 2005-AR1

13

(23)

(8)

(39)

4.9

0.4

0.5

13

(10)

(9)

(4)

(1)

30

(0)

MSAC 2005-H E5

11

(54)

(11)

(8)

(3)

3.0

(1.9)

(0.8)

10

(19)

(1)

13

(1)

(0)

22

(28)

(4)

NCHET 2005-4

13

(7)

(8)

4.1

(0.1)

0.3

26

(19)

12

41

(5)

RAM P 2005-EFC4

83

59

53

17

(39)

2.4

(0.6)

(0.2)

15

18

21

(5)

(11)

R ASC 2005-KS11

31

42

16

37

2.9

0.7

(0.3)

27

18

16

27

(9)

SA BR 2005-HE1

0.0

0.0

0.0

SAIL 2005-HE3

(30)

(36)

37

23

36

3.7

(0.5)

(0.0)

22

(8)

17

39

SASC 2005-WF4

21

13

11

14

(11)

10

3.8

0.7

1.3

14

(4)

(19)

12

(4)

(3)

27

SVHE 2005-4

24

(21)

(9)

(6)

4.3

1.1

0.9

10

(2)

(14)

12

31

(0)

(1)

ACE 2006-NC1

10

(5)

10

25

25

5.0

1.0

1.4

26

26

21

(1)

18

41

28

ARSI 2006-W1

(9)

(12)

40

29

35

4.2

(1.2)

(0.7)

27

21

34

(2)

BSABS 2006-HE3

33

10

33

29

17

2.0

(0.1)

(1.1)

(34)

17

10

(9)

(16)

CARR 2006-NC1

24

(8)

2.6

0.4

0.7

14

20

CWL 2006-8

23

(1)

14

4.3

0.1

0.3

35

11

(2)

(6)

26

(2)
(1)

FFM L 2006-FF4

16

(3)

(14)

14

(2)

5.0

0.9

0.7

(7)

(9)

(4)

37

12

GSAMP 2006-HE3

21

(3)

43

43

25

4.7

(0.9)

(0.8)

58

31

36

19

41

11

HEAT 2006-4

29

14

10

18

18

(10)

4.5

1.1

0.7

45

25

14

(7)

36

11

JPMAC 2006-FRE1

63

(13)

31

27

12

5.1

0.2

(0.1)

25

(1)

(23)

10

(3)

53

LBMLT 2006-1

46

24

(14)

10

(24)

5.0

0.7

(0.4)

23

(8)

14

(2)

(3)

39

(0)

MABS 2006-NC1

(38)

(13)

2.5

(1.8)

(1.8)

13

13

13

18

14

(19)

(19)

MLMI 2006-H E1

16

(4)

(14)

21

16

10

3.0

(2.0)

(1.3)

34

13

(2)

23

(7)

(5)

MSAC 2006-H E2

19

19

15

(16)

(6)

4.4

0.7

0.3

35

17

14

(1)

27

(3)

MSAC 2006-WMC2

34

29

34

17

(25)

14

4.8

(0.2)

(0.0)

27

18

27

16

39

R ASC 2006-KS3

59

(14)

(10)

(5)

3.9

0.3

0.3

37

13

20

22

11

40

RAMP 2006-NC2

52

(11)

(4)

(13)

3.5

1.0

(0.1)

38

32

16

35

25

28

(3)

(5)
27

SABR 2006-OP1

77

47

73

6.4

2.2

1.3

13

47

30

SAIL 2006-4

39

(9)

11

11

(1)

(0)

4.8

0.3

0.3

35

15

(2)

37

(1)

(0)

SASC 2006-WF2

17

(7)

3.6

(0.0)

(0.1)

47

47

36

(6)

26

(2)

(11)

SVHE 2006-OPT5

(6)

(32)

26

14

13

5.0

0.1

(0.4)

23

(21)

(3)

13

(0)

33

(1)

49

Barclays Capital | ABX and PrimeX Monitor

September remittance Loan modification update continued


Index

A BX 07-1

A BX 07-2

26 October 2011

Deal

Ever modified (%)

Ever modified w PNI (%)

Mod rate w PNI(% )

Mod rate(%)

Share of Rate Red (%)

Share of Debt Forg (%)

Current

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

Cu rrent

1 m

ABFC 2006-OPT 2

57.6

0.4

1.2

59.3

0.5

1.5

0.6

(0.9)

(0.5)

1.4

(0.5)

0.0

16

(43)

(64)

3 m
0

ACE 2006-NC3

34.7

0.9

2.1

42.7

0.9

2.3

1.1

0.1

(0.1)

1.2

0.1

(0.1)

42

(2)

(2)

(1)

BSABS 2006-H E10

51.1

0.3

1.1

53.8

0.2

1.0

0.6

0.4

(0.0)

0.7

0.4

(0.0)

39

(12)

(21)

(6)

CARR 2006-NC4

83.6

0.2

1.1

84.8

0.2

1.1

0.5

(0.0)

(0.3)

0.7

0.1

(0.2)

70

(20)

(17)

CBASS 2006-CB6

39.0

0.6

1.5

43.3

0.8

2.1

0.7

(0.1)

(0.0)

0.8

(0.1)

(0.0)

52

13

48

CMLTI 2006-WFH 3

40.7

0.7

1.6

48.6

0.6

1.4

0.8

0.2

0.1

0.9

0.2

0.0

24

(34)

(53)

12

12

12
(5)

CWL 2006-18

48.7

0.6

1.1

58.2

0.5

1.1

0.8

0.1

(0.1)

1.0

0.3

(0.0)

61

FFML 2006-FF13

37.5

1.0

2.2

41.6

1.1

2.4

0.9

0.4

0.2

1.0

0.4

0.3

42

16

(32)

FHLT 2006-3

42.5

0.9

1.8

45.4

0.9

1.8

0.5

0.0

(0.7)

0.6

0.0

(0.7)

32

(14)

(37)

GSAMP 2006-HE5

45.6

0.2

1.4

49.3

0.3

1.8

0.7

0.0

(0.3)

0.7

(0.2)

(0.4)

30

16

(15)

(5)

HEAT 2006-7

36.0

0.8

2.3

44.0

0.9

2.6

0.9

0.7

(0.2)

0.9

0.6

(0.4)

33

10

33

41

15

(27)

JPMAC 2006-CH2

43.4

1.1

2.6

46.8

1.2

2.8

1.4

0.5

0.6

1.7

0.8

0.8

39

(16)

(8)

LBMLT 2006-6

46.9

1.0

2.4

51.7

0.7

2.1

2.1

1.2

0.8

2.2

1.3

0.8

41

(0)

(8)

(13)

MABS 2006-NC3

56.0

1.0

2.4

57.6

0.9

2.2

1.6

(0.0)

(0.6)

1.7

0.1

(0.5)

36

(10)

(1)

(10)

MLMI 2006-H E5

31.4

0.4

2.5

33.5

0.6

2.7

0.6

(0.2)

(0.6)

0.9

(0.0)

(0.4)

40

(21)

(16)

(2)

(2)

MSAC 2006-H E6

43.0

0.7

1.5

49.6

0.4

1.3

1.2

0.4

0.2

1.2

0.5

0.1

70

10

27

RASC 2006-KS9

45.4

0.5

1.6

60.1

1.0

2.0

0.5

(0.1)

(0.2)

0.9

0.2

0.1

16

(42)

(18)

(6)

SA BR 2006-HE2

54.6

0.8

2.4

56.1

0.8

2.2

1.8

(0.0)

0.5

1.8

(0.0)

0.5

48

30

(7)

(0)

SASC 2006-BC4

41.1

0.8

2.1

47.3

0.9

2.5

0.8

0.0

(0.4)

0.9

0.0

(0.5)

59

(23)

(0)
(1)

SVHE 2006-EQ1

47.9

0.6

2.9

50.5

1.1

3.4

0.9

(0.4)

(0.6)

2.0

0.6

0.3

25

(53)

(51)

(1)

ACE 2007-HE4

38.3

0.1

1.2

40.6

0.2

1.2

0.0

(0.4)

(0.0)

0.0

(0.4)

(0.0)

(9)

BSABS 2007-HE3

45.7

0.6

1.3

48.7

0.7

1.5

0.4

(0.2)

(0.2)

0.5

(0.3)

(0.1)

(1)

(36)

23

19

12

CMLT I 2007-AMC2

66.4

0.4

1.5

68.8

0.4

1.5

1.2

0.3

(1.9)

1.3

0.2

(2.0)

41

(17)

CWL 2007-1

38.6

0.6

1.7

48.2

0.6

1.6

0.7

(0.0)

(0.2)

0.9

0.0

(0.2)

38

(12)

(22)

FFM L 2007-FF1

35.3

0.8

2.8

39.1

0.8

2.6

1.1

0.4

0.1

1.1

0.5

0.1

37

(9)

(4)

G SAM P 2007-NC1

45.2

0.6

2.2

48.0

0.7

2.4

0.7

(0.0)

(0.1)

0.9

0.2

0.1

26

(27)

(12)

HEAT 2007-2

39.5

0.7

2.5

43.5

0.8

2.8

0.7

(0.0)

(0.4)

1.0

0.1

(0.3)

65

(6)

(17)

HASC 2007-NC1

45.4

0.8

4.4

49.6

0.9

4.4

0.9

(1.1)

(0.3)

1.0

(1.0)

(0.2)

51

(17)

(23)

(9)

JPMAC 2007-CH3

38.2

0.8

2.4

42.0

0.8

2.6

1.0

0.3

0.4

1.1

0.4

0.4

49

(7)

(1)

FFM ER 2007-2

33.2

0.7

2.7

37.2

0.8

2.8

0.9

(0.0)

(0.1)

1.1

0.0

(0.0)

26

(19)

(24)

MLM I 2007-MLN1

28.4

0.8

2.4

30.7

0.9

2.4

1.0

0.3

(0.5)

1.1

0.4

(0.6)

32

28

(28)

MSAC 2007-NC3

53.9

1.0

3.3

57.5

1.3

3.3

1.4

(0.1)

0.4

2.2

0.6

0.9

36

(25)

(19)

(5)

(5)

NHELI 2007-2

68.9

0.6

2.2

71.1

0.7

2.1

0.9

(0.4)

(0.7)

1.2

(0.1)

(0.5)

68

(23)

(9)

(1)

NHEL 2007-2

51.3

0.9

2.9

53.5

1.1

3.1

1.2

(0.2)

(0.2)

1.8

0.3

0.3

52

(21)

(25)

(1)

OOMLT 2007-5

63.0

0.3

0.8

64.9

0.3

0.9

0.5

(0.3)

(0.5)

1.0

0.0

(0.3)

49

(30)

(32)

RASC 2007-KS2

49.0

0.3

1.3

60.2

0.3

1.3

0.5

(0.1)

(0.1)

0.7

(0.1)

(0.1)

16

(14)

(5)

(20)

SABR 2007-BR4

54.5

0.8

2.4

58.6

0.7

2.1

2.2

(0.6)

(0.5)

2.5

(0.5)

(0.4)

20

(20)

(10)

SASC 2007-BC1

51.2

0.7

2.2

54.5

0.8

2.3

1.4

0.3

0.0

1.5

0.4

0.1

42

(7)

(19)

(2)

(3)

SVHE 2007-OPT1

65.6

0.3

1.1

67.6

0.4

1.3

0.5

(0.3)

(0.6)

1.2

0.3

(0.2)

35

(45)

(41)

WM HE 2007-HE2

45.3

1.0

2.4

47.9

1.0

2.4

1.3

0.1

0.6

1.5

0.2

0.7

74

(10)

(10)

50

Barclays Capital | ABX and PrimeX Monitor

September remittance Loan modification update continued


Index

A BX 07-1

A BX 07-2

26 October 2011

Deal

Share of Debt+Rate (%)

Share of PNI (%)

Rate Reduced

Amount Forgiven (%)

Principal Recapped (%)

Paymen t reduced (% )

Curren t

1 m

3 m

Curren t

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

ABFC 2006-OPT 2

13

(6)

13

55

36

40

6.5

0.2

1.3

89

59

89

12

45

11

13

ACE 2006-NC3

36

11

14

4.8

0.9

(0.3)

32

(4)

(1)

19

34

(2)

BSABS 2006-H E10

50

25

33

10

(14)

3.0

0.4

0.4

26

(9)

11

(3)

21

12

CARR 2006-NC4

26

16

13

3.7

0.1

0.1

(5)

(5)

16

(4)

CBASS 2006-CB6

31

(4)

(33)

17

4.4

(1.1)

(1.4)

25

(7)

(6)

(10)

(4)

48

(1)

CMLTI 2006-WFH 3

53

25

46

12

(4)

3.9

0.4

0.3

30

25

16

40

10
8

CWL 2006-18

19

(1)

(5)

20

14

12

4.5

(0.0)

(0.3)

36

11

(1)

32

FFML 2006-FF13

41

33

16

(19)

4.5

(0.6)

(0.0)

17

(12)

(8)

13

30

(7)

FHLT 2006-3

38

(4)

13

11

5.0

(0.2)

(0.4)

37

(0)

13

22

26

(14)

(11)

GSAMP 2006-HE5

36

19

(3)

(25)

(5)

4.4

1.4

(1.2)

26

(4)

(9)

(4)

(14)

33

18

(7)

HEAT 2006-7

(34)

(13)

2.7

0.6

2.7

44

24

12

(1)

19

17

(15)

JPMAC 2006-CH2

35

10

(12)

19

14

12

4.5

0.1

(0.4)

20

(10)

(12)

13

(0)

35

(5)

LBMLT 2006-6

51

22

15

(4)

(0)

5.1

0.4

(0.1)

28

(2)

15

(3)

39

(3)

MABS 2006-NC3

52

(3)

27

4.8

(0.2)

0.8

54

27

(0)

(2)

46

25

MLMI 2006-H E5

17

(4)

(12)

33

25

26

4.1

(0.2)

(0.4)

49

14

12

(0)

(1)

36

MSAC 2006-H E6

17

(16)

(11)

(8)

4.3

(0.5)

(0.9)

20

12

(1)

(5)

36

(2)
24

R ASC 2006-KS9

14

(25)

46

27

30

3.7

0.4

(0.7)

23

(19)

11

20

10

33

16

SA BR 2006-HE2

49

(22)

(6)

4.2

(0.5)

(0.6)

49

20

(2)

(3)

(14)

46

13

SASC 2006-BC4

12

(22)

10

16

4.2

(0.1)

(0.1)

56

24

36

(4)

(5)

29

(3)

(0)

SVHE 2006-EQ1

(5)

54

51

49

5.6

(0.0)

(0.1)

(36)

(6)

15

(1)

35

10

12

ACE 2007-HE4

(100)

(8)

0.0

(2.6)

(2.8)

(3)

(16)

(21)

(8)

(22)

BSABS 2007-HE3

50

(20)

17

17

3.1

(0.0)

(0.9)

46

13

15

(0)

33

(5)

CMLT I 2007-AMC2

41

17

28

(9)

5.0

0.4

1.6

39

(0)

(3)

35

10

21

CWL 2007-1

35

10

16

10

5.1

0.8

0.4

28

(4)

10

(2)

(3)

34

FFM L 2007-FF1

51

(8)

5.1

0.2

0.3

30

(5)

(1)

(4)

40

(1)

G SAM P 2007-NC1

40

(10)

25

18

20

4.5

(0.5)

(0.8)

35

10

10

(3)

(6)

38

HEAT 2007-2

26

13

15

2.0

2.0

2.0

31

(3)

(3)

(2)

(3)

25

(5)

HASC 2007-NC1

10

(9)

(3)

18

13

14

2.8

0.1

(1.3)

32

25

12

11

17

(3)

(9)

JPMAC 2007-CH3

29

12

(3)

4.6

(1.1)

(0.2)

23

(1)

(4)

12

(1)

35

(2)

FFM ER 2007-2

55

17

20

18

12

4.6

(0.6)

(0.5)

22

(2)

10

38

MLM I 2007-MLN1

38

22

22

10

(2)

(3)

5.7

1.0

0.4

16

(5)

14

44

(4)

16

MSAC 2007-NC3

14

(15)

34

34

10

4.8

(0.6)

(0.2)

53

20

21

11

(7)

32

(3)

NHELI 2007-2

(9)

26

23

16

5.7

0.5

0.7

38

38

34

(3)

(1)

41

18

16
16

NHEL 2007-2

(4)

(8)

34

30

30

6.9

0.0

0.4

34

17

17

(1)

49

OOMLT 2007-5

49

36

32

4.8

(0.3)

(0.1)

11

(0)

(2)

34

(13)

R ASC 2007-KS2

58

39

14

26

10

3.6

(0.5)

(0.0)

32

13

14

42

25

13

SABR 2007-BR4

23

(5)

(20)

12

4.6

(0.2)

(0.0)

45

(3)

17

(1)

35

SASC 2007-BC1

45

19

10

4.3

(0.7)

(0.9)

26

(4)

(5)

12

34

(7)

SVHE 2007-OPT1

56

40

38

4.6

0.0

0.2

10

(3)

33

(1)

WM HE 2007-HE2

18

5.4

0.6

0.8

35

35

35

14

(1)

44

51

Barclays Capital | ABX and PrimeX Monitor

September remittance Loan modification update continued


Index

Prim eX.
A RM 1

Prim eX.
A RM 2

26 October 2011

Deal

Ever modified (%)

Ever modified w PNI (%)

Mod rate(%)

Mod rate w PNI(% )

Share of Rate Red (%)

Share of Debt Forg (%)

Current

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

Cu rrent

1 m

CM LTI 2005-11

1.3

(0.3)

(0.3)

2.4

(0.3)

0.3

0.0

0.0

0.0

0.0

0.0

0.0

3 m
0

G SR 2005-AR 3

3.1

0.0

0.1

4.8

0.0

0.1

0.0

0.0

0.0

0.0

0.0

0.0

G SR 2005-AR 4

1.9

0.0

0.0

4.9

0.1

0.1

0.0

0.0

0.0

0.0

0.0

0.0

G SR 2005-AR 7

2.7

0.4

0.4

4.6

0.4

0.0

0.3

0.3

0.3

0.3

0.3

0.3

100

100

100

G SR 2006-AR 1

10.7

0.3

0.5

13.0

0.3

0.6

0.2

0.1

(0.1)

0.2

0.1

(0.4)

48

(52)

33

G SR 2006-AR 2

8.5

0.1

0.5

10.0

0.5

0.6

0.0

0.0

0.0

0.3

0.3

0.3

JPM MT 2005-A3

0.4

0.0

0.4

0.4

0.0

0.0

0.0

(0.3)

0.0

0.0

(0.3)

0.0

(100)

JPM MT 2005-A4

2.1

(0.0)

1.0

2.2

(0.0)

1.0

0.0

(0.9)

0.0

0.0

(0.9)

(0.1)

(100)

JPM MT 2005-A5

1.1

0.1

0.1

1.1

0.1

0.1

0.0

0.0

0.0

0.0

0.0

0.0

JPM MT 2005-A7

2.3

0.2

0.2

4.0

(0.3)

0.1

0.2

0.2

0.1

0.2

0.2

(0.4)

100

100

100

JPM MT 2006-A4

7.2

0.9

1.6

8.0

0.9

1.7

0.8

0.8

0.2

0.8

0.8

0.2

37

37

(63)

MLMI 2005-A2

1.0

0.1

0.1

2.0

0.1

0.2

0.1

0.1

(0.1)

0.1

0.1

(0.1)

(100)

MLMI 2005-A9

0.8

0.0

0.0

4.2

0.5

0.6

0.0

0.0

0.0

0.4

0.4

0.2

WAM U 2005-AR10

2.6

0.4

0.7

3.2

0.4

0.9

0.5

0.4

0.3

0.5

0.2

0.2

100

55

100

WAM U 2005-AR14

4.2

0.5

1.2

4.7

0.5

1.3

0.5

0.1

0.1

0.6

(0.0)

0.2

42

(9)

14

WAM U 2005-AR7

2.6

0.2

0.4

3.7

0.2

0.4

0.1

0.0

0.0

0.1

0.0

0.0

100

WFMBS 2006-AR2

4.7

0.1

0.4

4.8

0.1

0.4

0.1

0.0

(0.0)

0.1

0.0

(0.0)

WFMBS 2006-AR4

8.1

0.1

0.2

8.5

0.1

0.3

0.0

0.0

(0.1)

0.0

0.0

(0.1)

(100)

WFMBS 2006-AR6

3.6

0.1

0.4

3.6

0.1

0.4

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2006-AR8

2.9

0.0

0.5

2.9

0.0

0.5

0.0

0.0

0.0

0.0

0.0

0.0

CM LTI 2007-AR4

5.5

0.2

0.5

5.9

0.2

0.6

0.1

(0.0)

(0.1)

0.1

(0.0)

(0.1)

100

100

51

CWHL 2007-HY 1

7.9

(0.3)

1.0

10.6

(0.2)

1.7

0.0

(0.3)

0.0

0.0

(0.7)

0.0

FH ASI 2006-AR4

8.7

5.1

6.3

8.7

5.1

6.3

5.0

5.0

4.6

5.0

5.0

4.6

100

100

FH ASI 2007-AR1

1.8

(0.0)

0.7

1.8

(0.0)

0.7

0.0

0.0

0.0

0.0

0.0

0.0

FH ASI 2007-AR2

3.1

0.1

0.1

3.5

0.1

0.2

0.0

0.0

0.0

0.0

0.0

(0.4)

FH ASI 2007-AR3

3.9

0.1

0.0

3.9

0.1

0.0

0.0

0.0

0.0

0.0

0.0

0.0

JPM MT 2006-A7

7.7

0.5

1.8

8.9

0.3

1.6

0.5

(0.1)

0.2

0.5

(0.1)

0.2

48

48

(52)

JPM MT 2007-A3

8.0

1.9

2.4

8.9

1.9

3.0

1.4

1.3

0.5

1.4

0.9

0.5

56

40

22

JPM MT 2007-A5

2.5

0.3

0.7

2.8

0.3

0.8

0.2

(0.1)

0.2

0.2

(0.1)

0.2

(100)

JPM MT 2007-A6

6.7

0.4

0.6

7.0

0.4

0.6

0.3

0.3

0.3

0.3

0.3

(0.0)

100

100

100

RFM SI 2006-SA2

36.1

0.0

0.2

40.8

(0.2)

(0.1)

0.0

0.0

(3.5)

0.1

0.1

(3.6)

(23)

(13)

RFM SI 2006-SA3

38.5

(1.6)

16.4

44.2

(1.3)

16.1

0.0

(6.3)

(2.4)

0.0

(6.3)

(2.4)

(77)

(100)

RFM SI 2007-SA2

8.9

0.6

1.0

10.4

0.6

0.6

0.4

0.4

(0.1)

0.4

0.4

(0.1)

100

100

100

RFM SI 2007-SA3

22.0

0.2

(0.2)

29.4

0.3

0.6

0.0

0.0

(0.8)

0.0

(0.5)

(0.8)

WFMBS 2006-AR12

11.7

0.1

0.4

11.7

0.1

0.4

0.0

0.0

(0.7)

0.0

0.0

(0.7)

0
0

WFMBS 2006-AR13

12.6

0.2

0.5

12.6

0.2

0.5

0.3

0.3

(0.2)

0.3

0.3

(0.2)

WFMBS 2006-AR15

10.8

0.2

0.6

10.8

0.2

0.6

0.0

(0.4)

0.0

0.0

(0.4)

0.0

(100)

WFMBS 2006-AR17

14.9

0.2

0.8

15.4

0.2

0.8

0.2

0.2

(0.3)

0.2

0.2

(0.3)

WFMBS 2006-AR18

10.7

0.2

1.0

10.7

0.2

1.0

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2006-AR19

6.4

0.1

0.4

6.4

0.1

0.4

0.0

0.0

(0.3)

0.0

0.0

(0.3)

(63)

52

Barclays Capital | ABX and PrimeX Monitor

September remittance Loan modification update continued


Index

Prim eX.
A RM 1

Prim eX.
A RM 2

26 October 2011

Deal

Share of Debt+Rate (%)

Share of PNI (%)

Rate Reduced

Amount Forgiven (%)

Principal Recapped (%)

Paymen t reduced (% )

Curren t

1 m

3 m

Curren t

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

CM LTI 2005-11

0.0

0.0

0.0

3 m
0

G SR 2005-AR3

0.0

0.0

0.0

G SR 2005-AR4

0.0

0.0

0.0

G SR 2005-AR7

1.0

1.0

1.0

35

35

35

G SR 2006-AR1

(50)

1.0

(0.0)

(0.0)

18

14

12

28

(9)

G SR 2006-AR2

100

100

100

0.0

0.0

0.0

JPM MT 2005-A3

0.0

(1.5)

0.0

(9)

JPM MT 2005-A4

(100)

0.0

(3.3)

0.0

(5)

(6)

(46)

JPM MT 2005-A5

0.0

0.0

0.0

JPM MT 2005-A7

(100)

(81)

1.0

1.0

1.0

16

(866)

26

26

(16)

JPM MT 2006-A4

63

63

63

4.3

4.3

1.4

(3)

43

43

19

MLMI 2005-A2

100

100

100

1.0

1.0

1.0

10

10

(7)

42

42

(4)

MLMI 2005-A9

100

100

0.0

0.0

0.0

(11)

WAM U 2005-AR10

(63)

(55)

(37)

0.9

(0.0)

(0.1)

(12)

(6)

(3)

24

(14)

(21)

WAM U 2005-AR14

46

20

(9)

12

(11)

12

1.0

0.1

(0.1)

24

13

(1)

(1)

41

WAM U 2005-AR7

0.9

(0.1)

(0.1)

(3)

18

(19)

(19)

WFMBS 2006-AR2

(46)

0.0

0.0

(1.0)

(4)

48

25

WFMBS 2006-AR4

0.0

0.0

(1.5)

(29)

WFMBS 2006-AR6

0.0

0.0

0.0

WFMBS 2006-AR8

0.0

0.0

0.0

CM LTI 2007-AR4

(100)

(51)

3.9

(0.6)

(0.5)

(28)

(23)

(2)

31

12

(3)

CWHL 2007-HY 1

(51)

(49)

0.0

(3.5)

0.0

(29)

(6)

(47)

FHASI 2006-AR4

3.6

3.6

(0.4)

(12)

51

51

51

FHASI 2007-AR1

0.0

0.0

0.0

FHASI 2007-AR2

(100)

0.0

0.0

0.0

(6)

FHASI 2007-AR3

0.0

0.0

0.0

JPM MT 2006-A7

(100)

4.4

1.2

(0.3)

(6)

(11)

(21)

12

(5)

(7)

JPM MT 2007-A3

44

44

(22)

(84)

4.0

1.3

(0.3)

11

11

(10)

(4)

37

37

(3)

JPM MT 2007-A5

100

100

100

4.0

(0.3)

4.0

10

10

10

(16)

38

29

38

JPM MT 2007-A6

(100)

4.5

4.5

4.5

(3)

26

26

26

RFM SI 2006-SA2

100

100

94

0.0

0.0

(3.1)

(18)

(42)

RFM SI 2006-SA3

0.0

(3.5)

(4.0)

(12)

(0)

RFM SI 2007-SA2

(100)

2.6

2.6

(0.4)

(41)

43

43

(1)

RFM SI 2007-SA3

(100)

(100)

0.0

0.0

(3.2)

(21)

(2)

(20)

WFMBS 2006-AR12

0.0

0.0

0.0

(21)

WFMBS 2006-AR13

0.0

0.0

0.0

47

47

20

WFMBS 2006-AR15

0.0

(2.1)

0.0

(31)

WFMBS 2006-AR17

0.0

0.0

0.0

49

49

13

WFMBS 2006-AR18

0.0

0.0

0.0

WFMBS 2006-AR19

0.0

0.0

(3.0)

(28)

53

Barclays Capital | ABX and PrimeX Monitor

September remittance Loan modification update continued


Index

Prim eX.
FRM 1

Prim eX.
FRM 2

26 October 2011

Deal

Ever modified (%)

Mod rate(%)

Ever modified w PNI (%)

Mod rate w PNI(% )

Share of Rate Red (%)

Share of Debt Forg (%)

Current

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

Current

1 m

3 m

Cu rrent

1 m

3 m

Cu rrent

1 m

3 m

CHASE 2005-S2

3.0

0.5

1.2

3.0

0.5

1.2

0.4

0.1

0.3

0.4

0.1

0.3

100

CHASE 2005-S3

3.5

0.5

0.8

4.2

0.3

1.0

0.4

0.2

(0.1)

0.4

0.0

(0.1)

100

41

25

CWHL 2005-21

4.8

0.1

0.5

5.9

0.1

0.5

0.0

(0.1)

0.0

0.0

(0.1)

0.0

(100)

CWHL 2005-27

5.0

0.2

0.5

7.1

0.3

0.7

0.0

(0.2)

0.0

0.0

(0.2)

0.0

(100)

GSR 2006-1F

5.1

0.1

0.4

5.7

0.1

0.5

0.1

0.1

(0.0)

0.1

0.1

(0.0)

100

100

GSR 2006-6F

6.7

0.1

0.9

7.3

0.1

0.9

0.0

(0.7)

(0.2)

0.0

(0.7)

(0.2)

(71)

(100)

(29)

RFMSI 2005-S6

4.7

0.1

0.6

5.8

0.1

0.6

0.0

(0.3)

(0.0)

0.0

(0.3)

(0.0)

(100)

SASC 2005-17

4.0

0.5

0.9

4.0

0.5

0.9

0.3

(0.0)

(0.1)

0.3

(0.0)

(0.1)

100

100

WFMBS 2005-3

2.2

0.1

0.1

2.2

0.1

0.1

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2005-6

2.5

0.1

0.1

2.5

0.1

0.1

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2005-7

1.7

0.0

0.1

1.7

0.0

0.1

0.0

0.0

(0.5)

0.0

0.0

(0.5)

(100)

WFMBS 2005-8

3.1

0.2

0.2

3.1

0.2

0.2

0.1

0.1

0.1

0.1

0.1

0.1

100

100

100

WFMBS 2005-9

2.3

0.1

0.0

2.5

0.1

0.0

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2005-11

1.8

0.0

0.1

1.8

0.0

0.1

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2005-12

4.3

0.1

0.2

4.3

0.1

0.2

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2005-14

2.0

0.0

0.1

2.0

0.0

0.1

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2005-17

4.1

0.0

0.3

4.1

0.0

0.3

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2005-18

4.8

0.1

0.2

4.8

0.1

0.2

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2006-2

3.6

0.0

0.3

3.6

0.0

0.3

0.0

(0.2)

(0.1)

0.0

(0.2)

(0.1)

(100)

(100)

WFMBS 2006-3

3.3

0.1

0.3

3.3

0.1

0.3

0.0

(0.1)

(0.2)

0.0

(0.1)

(0.2)

(100)

(49)

CHASE 2006-S4

8.9

0.3

1.7

9.6

0.3

1.5

0.7

(0.2)

0.1

0.7

(0.2)

0.1

32

(23)

(68)

42

42

42

GSR 2006-8F

7.1

1.0

1.8

7.8

1.0

1.8

0.9

0.3

0.9

0.9

0.3

0.9

100

40

100

GSR 2006-10F

10.4

0.2

1.4

10.7

0.2

1.4

0.2

(0.5)

(0.4)

0.2

(0.8)

(0.4)

(72)

(100)

JPMMT 2006-S4

8.1

0.4

1.7

9.3

0.5

2.3

0.4

(0.3)

(0.2)

0.4

(0.4)

(0.2)

15

(46)

(66)

PRIME 2007-1

10.5

0.5

0.8

12.1

0.6

0.9

0.3

0.2

0.2

0.3

0.2

0.2

100

PRIME 2007-2

6.1

0.7

1.1

8.2

0.7

1.2

0.9

0.5

0.6

0.9

0.5

0.6

68

(32)

(32)

RFMSI 2006-S6

15.1

0.6

0.9

16.6

0.4

1.0

0.3

0.3

0.2

0.3

0.1

0.2

100

100

RFMSI 2006-S8

17.1

0.2

0.9

18.2

0.4

1.2

0.1

(0.0)

(0.8)

0.5

0.4

(0.5)

(100)

(73)

RFMSI 2006-S9

20.1

0.7

1.1

20.8

1.0

1.5

0.3

(0.2)

0.3

0.6

0.1

0.4

43

(57)

43

RFMSI 2006-S11

16.5

(0.0)

0.9

18.7

0.5

1.5

0.2

(0.1)

0.0

0.6

0.3

0.5

(82)

(100)

RFMSI 2007-S4

19.8

0.5

2.9

21.4

0.8

3.2

0.7

(1.5)

0.1

0.9

(1.2)

0.3

72

20

(28)

RFMSI 2007-S5

14.9

0.2

1.1

16.4

0.1

1.3

0.2

(0.2)

0.2

0.2

(0.2)

0.1

56

(44)

56

RFMSI 2007-S8

23.5

0.8

1.8

25.0

1.0

1.7

1.0

0.4

0.2

1.3

0.8

0.5

50

(50)

(5)

WFMBS 2006-14

5.8

(0.2)

0.3

5.8

(0.2)

0.3

0.0

0.0

(0.1)

0.0

0.0

(0.1)

(100)

WFMBS 2006-15

6.8

0.1

0.4

6.8

0.1

0.4

0.1

(0.0)

(0.0)

0.1

(0.0)

(0.0)

100

WFMBS 2007-1

5.5

(0.1)

(0.2)

5.5

(0.1)

(0.2)

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2007-4

6.7

0.0

0.4

6.7

0.0

0.4

0.0

(0.1)

(0.1)

0.0

(0.1)

(0.1)

(100)

(100)

WFMBS 2007-7

7.4

0.2

0.5

7.4

0.2

0.5

0.1

(0.0)

(0.0)

0.1

(0.0)

(0.0)

70

(7)

(20)

WFMBS 2007-8

6.7

0.1

0.3

6.7

0.1

0.3

0.0

0.0

0.0

0.0

0.0

0.0

WFMBS 2007-13

6.9

0.0

0.4

6.9

0.0

0.4

0.0

0.0

(0.3)

0.0

0.0

(0.3)

(100)

54

Barclays Capital | ABX and PrimeX Monitor

September remittance Loan modification update continued


Index

Prim eX.
FRM1

Prim eX.
FRM2

26 October 2011

Deal

Share of Debt+Rate (%)

Share of PNI (%)

Rate Reduced

Amount Forgiven (%)

Principal Recapped (%)

Paymen t reduced (% )

Curren t

1 m

3 m

Curren t

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

Current

1 m

3 m

CHASE 2005-S2

3.1

0.8

(0.9)

13

34

17

(9)

CHASE 2005-S3

(41)

3.8

0.5

0.0

12

38

(6)

CWHL 2005-21

0.0

(4.1)

0.0

(12)

CWHL 2005-27

0.0

(2.5)

0.0

(22)

GSR 2006-1F

2.9

2.9

0.4

(5)

25

25

(2)

GSR 2006-6F

0.0

(4.4)

(4.6)

(2)

(4)

(5)

(30)

(43)

R FMSI 2005-S6

0.0

(2.1)

0.0

(4)

(27)

SASC 2005-17

(100)

3.9

1.0

1.0

(18)

66

41

27

WFMBS 2005-3

0.0

0.0

0.0

WFMBS 2005-6

0.0

0.0

0.0

WFMBS 2005-7

0.0

0.0

(3.6)

(61)

WFMBS 2005-8

2.6

2.6

2.6

45

45

45

WFMBS 2005-9

0.0

0.0

0.0

WFMBS 2005-11

0.0

0.0

0.0

WFMBS 2005-12

0.0

0.0

0.0

WFMBS 2005-14

0.0

0.0

0.0

WFMBS 2005-17

0.0

0.0

0.0

WFMBS 2005-18

0.0

0.0

0.0

WFMBS 2006-2

0.0

(3.4)

(3.1)

(56)

(52)

WFMBS 2006-3

(51)

0.0

(1.4)

(3.1)

(5)

(12)

(27)

CHASE 2006-S4

26

(19)

26

4.6

0.0

0.3

41

34

41

(7)

(1)

65

31

34

GSR 2006-8F

(40)

4.1

0.1

4.1

(31)

(5)

32

(7)

32

GSR 2006-10F

100

100

100

(28)

4.4

1.6

0.3

(4)

(1)

59

36

15

JPMMT 2006-S4

85

61

66

(15)

4.5

(0.1)

0.0

13

(12)

(16)

12

51

11

PRIME 2007-1

4.1

(0.6)

0.3

(2)

21

(12)

PRIME 2007-2

32

32

32

4.4

(0.1)

0.6

30

30

30

17

14

44

(4)

(14)

R FMSI 2006-S6

(100)

2.8

2.8

(1.9)

(5)

26

26

(46)

R FMSI 2006-S8

23

23

(4)

77

77

77

1.4

(1.9)

(1.9)

13

13

(45)

(31)

R FMSI 2006-S9

57

57

(43)

1.8

(1.4)

1.8

10

(1)

44

36

44

R FMSI 2006-S11

27

27

27

73

55

73

3.4

0.2

0.1

11

11

11

15

12

26

(27)

R FMSI 2007-S4

(29)

28

28

28

3.1

(0.1)

0.8

(13)

10

(4)

21

(6)

(4)

R FMSI 2007-S5

44

44

44

(100)

3.1

(0.1)

3.1

(3)

(4)

32

23

32

R FMSI 2007-S8

27

27

(19)

24

24

24

3.4

0.1

0.8

12

12

10

(2)

31

18

11

WFMBS 2006-14

0.0

0.0

(4.1)

(34)
(12)

WFMBS 2006-15

3.0

0.5

(1.6)

27

(2)

WFMBS 2007-1

0.0

0.0

0.0

WFMBS 2007-4

0.0

(2.1)

(2.1)

(27)

(25)

WFMBS 2007-7

30

20

2.5

(0.7)

0.3

(0)

(0)

40

(4)

13

WFMBS 2007-8

0.0

0.0

0.0

WFMBS 2007-13

0.0

0.0

(1.1)

(14)

55

Barclays Capital | ABX and PrimeX Monitor

September remittance Current characteristics


Index

A BX 06-1

A BX 06-2

26 October 2011

Deal

Factor

FICO

MTM -LTV

M TMCLTV

MT M-LT V
(dq)

MTM CLTV(dq)

WAC

% Full
Doc

%IO

%PMI

%Pur

% CA+FL

% Ow ner

% 2nds

Adv due
(%curbal)

M ths to
liqdn

ACE 2005-HE7

17%

634

117

117

123

123

6.0

49

28

0.0

49

45

96

45

9.4

30

AM SI 2005-R11

35%

640

105

106

109

110

5.8

75

22

0.0

28

97

11

3.5

20
18

ARSI 2005-W2

22%

620

105

110

114

121

5.3

62

0.0

33

37

94

50

4.5

BSABS 2005-H E11

24%

632

104

109

112

118

6.7

67

29

0.0

29

31

92

44

8.5

20

CWL 2005-BC5

27%

627

106

114

112

121

6.4

66

24

0.0

28

29

98

72

11.3

15

FFML 2005-FF12

25%

654

115

132

120

139

6.0

70

60

0.0

66

41

97

119

6.5

25

GSAMP 2005-HE4

21%

622

105

113

109

118

5.9

65

26

0.0

47

28

93

74

7.7

24

HEAT 2005-8

18%

622

108

118

112

122

5.7

58

23

0.1

41

32

96

86

5.1

24

JPMAC 2005-OPT1

16%

613

92

96

97

103

5.7

62

15

0.0

25

20

92

46

5.0

19

LBM LT 2005-WL2

15%

623

104

117

107

121

6.3

65

0.0

56

30

91

111

9.5

24

MABS 2005-NC2

18%

653

117

134

121

142

4.5

29

100

0.0

56

53

95

126

5.2

27

MLM I 2005-AR1

18%

626

112

116

117

121

6.7

65

36

50.5

28

36

94

29

11.4

22

MSAC 2005-H E5

16%

636

107

107

111

111

6.0

55

21

0.0

47

35

95

46

10.0

27

NCHET 2005-4

30%

623

112

119

122

131

5.5

65

32

0.0

35

40

93

59

4.7

29

RAM P 2005-EFC4

20%

624

104

112

113

123

5.8

78

21

0.0

39

20

97

70

3.9

13

RASC 2005-KS11

23%

619

104

111

111

119

6.1

69

13

0.0

36

24

93

63

4.5

21

SA BR 2005-HE1

13%

637

114

114

115

115

6.7

71

100

0.0

21

46

100

32

19.6

33

SAIL 2005-HE3

16%

624

110

114

113

119

6.0

68

22

36.2

28

34

91

34

7.3

22

SASC 2005-WF4

23%

624

103

104

115

117

5.5

89

14

34.6

20

28

98

22

3.6

26

SVHE 2005-4

32%

626

107

113

113

121

5.8

58

28

0.0

29

31

94

58

8.0

33

ACE 2006-NC1

23%

626

111

111

117

117

5.7

65

22

0.0

38

45

92

30

6.7

35

ARSI 2006-W1

21%

614

118

124

128

135

5.3

68

22

0.0

33

38

94

46

5.9

19

BSABS 2006-HE3

24%

606

118

124

122

128

6.5

52

28

0.0

27

36

91

48

10.5

24

CARR 2006-NC1

34%

624

119

128

128

139

6.1

65

43

0.0

38

36

95

67

6.2

32

CWL 2006-8

46%

614

123

131

130

140

6.9

66

26

0.0

35

40

99

58

13.8

35

FFM L 2006-FF4

26%

649

118

130

123

136

6.6

61

47

0.0

56

38

97

82

7.9

22

GSAMP 2006-HE3

26%

624

114

127

119

134

6.4

60

19

0.0

53

27

95

96

8.0

24

HEAT 2006-4

24%

622

111

118

119

129

6.2

73

18

0.5

33

37

94

60

7.7

20

JPMAC 2006-FRE1

25%

626

116

130

118

131

5.7

63

15

0.0

53

32

94

107

10.9

21
26

LBMLT 2006-1

23%

623

117

132

121

137

6.4

60

0.0

54

40

91

110

10.5

MABS 2006-NC1

24%

625

114

119

120

126

6.4

32

23

0.0

30

40

91

47

8.5

18

MLMI 2006-H E1

25%

633

113

123

123

136

6.3

58

27

0.0

39

47

94

77

10.9

23

MSAC 2006-H E2

23%

625

116

116

120

120

6.1

62

11

0.0

40

30

97

47

8.1

28

MSAC 2006-WMC2

25%

639

130

130

136

136

6.2

54

14

0.0

49

45

97

50

9.1

24

R ASC 2006-KS3

24%

620

109

117

115

126

6.2

66

16

0.0

36

26

95

68

5.0

17

RAMP 2006-NC2

26%

620

115

121

121

130

6.1

66

15

0.0

31

36

93

58

5.6

15

SABR 2006-OP1

23%

631

103

103

111

111

5.6

60

23

68.9

33

26

94

33

4.5

28

SAIL 2006-4

27%

615

123

129

126

132

6.2

59

17

34.9

31

40

91

47

8.8

18

SASC 2006-WF2

29%

611

114

116

123

125

6.1

100

11

0.8

30

24

96

24

4.9

25

SVHE 2006-OPT5

35%

603

116

121

120

126

5.4

65

0.0

28

33

94

46

5.4

25

56

Barclays Capital | ABX and PrimeX Monitor

September remittance Current characteristics continued


Index

A BX 07-1

A BX 07-2

26 October 2011

Deal

Factor

FICO

MTM -LTV

M TMCLTV

MT M-LT V
(dq)

MTM CLTV(dq)

WAC

% Full
Doc

ABFC 2006-OPT 2

37%

602

117

120

ACE 2006-NC3

49%

623

125

125

120

124

6.1

59

132

132

7.1

63

BSABS 2006-H E10

49%

608

128

CARR 2006-NC4

47%

618

127

131

133

137

6.6

56

136

136

147

6.2

65

CBASS 2006-CB6

33%

619

114

114

119

119

6.7

CMLTI 2006-WFH3

34%

622

118

122

125

130

%IO

% CA+FL

% Ow ner

% 2nds

Adv due
(%curbal)

M ths to
liqdn

%PMI

%Pur

11

0.0

27

33

94

44

7.2

22

16

0.0

39

40

92

34

15.8

33

14

0.0

13

44

95

30

10.7

27

19

0.0

35

35

94

66

7.1

34

64

13

1.0

23

45

94

15

7.6

23

6.0

81

11

11.2

45

24

93

43

5.3

24

CWL 2006-18

51%

605

123

130

129

137

7.1

68

26

0.0

34

39

97

53

14.3

30

FFML 2006-FF13

36%

647

119

135

125

142

6.6

73

27

0.0

71

27

97

108

7.5

21

FHLT 2006-3

32%

628

125

133

129

138

6.6

68

0.0

36

33

93

65

11.8

36

GSAMP 2006-HE5

34%

620

111

121

121

134

6.4

64

0.0

35

25

96

74

7.1

22

HEAT 2006-7

27%

626

108

118

121

133

7.9

62

11

0.0

41

39

95

71

8.5

23

JPMAC 2006-CH2

48%

634

122

131

128

138

5.9

41

0.0

34

36

97

64

7.4

23

LBMLT 2006-6

31%

633

125

138

131

146

6.4

65

0.0

46

47

94

97

9.8

18

MABS 2006-NC3

34%

616

118

125

125

134

6.0

70

17

0.0

31

36

92

56

5.2

20

MLMI 2006-H E5

20%

629

120

131

125

138

6.4

54

31

0.0

34

39

96

74

12.3

28

MSAC 2006-H E6

42%

624

126

126

131

131

7.1

56

14

0.0

46

39

94

46

16.7

26

R ASC 2006-KS9

37%

623

120

128

131

142

6.3

63

0.0

35

28

97

59

5.5

18

SA BR 2006-HE2

29%

622

115

124

121

134

5.9

63

12

0.0

36

35

95

76

5.9

17

SASC 2006-BC4

39%

618

125

125

131

131

6.3

66

17

18.4

21

45

96

20

8.3

26

SVHE 2006-EQ1

36%

631

115

123

118

127

6.0

67

10

0.0

41

19

94

64

5.7

24

ACE 2007-HE4

27%

624

128

136

132

141

7.0

51

23

0.0

32

50

94

56

11.2

28

BSABS 2007-HE3

55%

620

130

135

134

139

6.7

58

22

0.0

21

42

95

35

10.0

26

CMLT I 2007-AMC2

47%

613

125

132

136

145

5.3

69

18

0.0

26

38

96

52

6.7

25

CWL 2007-1

64%

608

126

132

131

139

6.7

60

26

21.8

32

38

97

48

13.6

30

FFM L 2007-FF1

44%

655

122

135

128

143

6.4

63

23

0.0

57

35

96

94

7.5

22

G SAM P 2007-NC1

40%

616

116

122

120

128

6.2

63

20

0.0

30

35

93

53

8.3

22

HEAT 2007-2

33%

624

102

109

120

129

8.0

65

0.0

35

29

93

61

6.5

24

HASC 2007-NC1

48%

616

125

132

130

137

6.4

60

19

0.0

26

37

93

51

10.4

31

JPMAC 2007-CH3

55%

618

117

124

125

135

6.4

44

13

0.0

26

31

94

54

7.5

23

FFM ER 2007-2

49%

642

118

130

124

137

6.9

68

13

0.0

57

23

96

86

9.0

22

MLM I 2007-MLN1

53%

620

115

119

119

124

6.8

56

23

0.0

23

17

95

41

13.2

30

MSAC 2007-NC3

48%

619

121

127

128

136

5.8

64

19

0.0

27

36

93

51

7.0

21

NHELI 2007-2

40%

627

130

141

136

149

5.1

62

10

0.0

41

40

95

67

4.5

22

NHEL 2007-2

54%

607

116

118

123

126

6.2

61

11.6

15

32

95

26

7.6

27

OOMLT 2007-5

51%

611

123

126

125

128

4.8

60

15

0.0

25

30

90

28

4.9

18

R ASC 2007-KS2

42%

614

115

120

123

128

6.1

61

13

0.0

27

24

94

45

4.8

15

SABR 2007-BR4

42%

615

116

122

124

132

5.7

65

18

0.0

26

32

94

45

4.7

12

SASC 2007-BC1

50%

625

131

134

135

139

5.6

64

25

16.7

18

43

94

25

6.3

16

SVHE 2007-OPT1

57%

599

124

126

127

129

4.8

50

0.0

22

37

96

24

4.3

16

WM HE 2007-HE2

49%

631

125

131

129

136

6.1

73

11

13.8

19

41

93

51

8.3

24

57

Barclays Capital | ABX and PrimeX Monitor

September remittance Current characteristics continued


Index

Prim eX.
A RM1

Prim eX.
A RM2

26 October 2011

Deal

Factor

FICO

MTM -LTV

M TMCLTV

MT M-LT V
(dq)

MTM CLTV(dq)

WAC

% Full
Doc

%IO

%PMI

%Pur

% CA+FL

% Ow ner

% 2nds

Adv due
(%curbal)

M ths to
liqdn
14

CM LTI 2005-11

44%

740

97

104

105

112

3.0

49

85

1.1

62

53

88

77

0.6

G SR 2005-AR 3

39%

734

98

107

102

112

3.0

40

92

0.5

63

70

93

89

2.0

G SR 2005-AR 4

39%

740

95

103

106

115

3.0

47

86

1.0

73

56

92

87

1.2

22

G SR 2005-AR 7

47%

741

91

98

104

109

3.0

50

92

0.0

54

87

91

70

0.5

23

G SR 2006-AR 1

47%

732

106

113

115

122

3.1

51

89

0.8

53

55

92

67

1.4

11

G SR 2006-AR 2

53%

738

101

107

122

127

5.6

63

96

0.4

45

53

93

67

0.6

32

JPM MT 2005-A3

27%

743

48

48

52

52

4.7

83

0.0

38

27

95

0.5

11

JPM MT 2005-A4

37%

727

82

82

114

114

5.6

75

89

1.2

49

44

86

20

0.6

JPM MT 2005-A5

26%

716

83

83

95

95

5.7

90

54

0.4

59

46

87

17

0.6

JPM MT 2005-A7

38%

737

98

98

108

108

3.0

40

82

1.6

69

60

90

36

1.7

17

JPM MT 2006-A4

42%

740

101

103

116

117

5.8

46

86

1.0

63

53

90

37

1.3

15

MLMI 2005-A2

38%

736

86

87

92

93

3.0

24

95

0.1

34

73

97

30

1.0

16

MLMI 2005-A9

38%

734

102

102

110

110

3.0

49

90

1.1

56

51

86

34

1.2

28

WAM U 2005-AR10

43%

739

101

101

111

111

2.9

19

97

0.0

32

76

95

19

1.3

15

WAM U 2005-AR14

46%

737

102

104

106

107

3.0

23

96

0.2

33

76

93

26

1.5

19

WAM U 2005-AR7

39%

738

96

96

100

100

3.0

21

94

0.1

45

70

94

20

1.3

WFMBS 2006-AR2

44%

735

109

117

116

124

3.0

45

91

0.7

46

85

87

74

0.8

15

WFMBS 2006-AR4

46%

739

108

115

114

124

5.9

49

88

0.4

56

59

90

73

0.9

WFMBS 2006-AR6

45%

743

94

101

95

100

5.3

53

84

0.2

55

53

94

70

0.4

20
12

WFMBS 2006-AR8

44%

731

102

110

105

114

3.0

51

90

0.8

56

64

93

89

1.0

CM LTI 2007-AR4

45%

736

107

116

112

123

6.1

31

91

1.6

53

49

89

83

1.6

CWHL 2007-HY 1

49%

739

120

127

129

137

5.6

40

93

1.7

32

64

95

83

3.6

21

FH ASI 2006-AR4

42%

740

114

114

117

117

5.7

56

93

1.4

45

40

96

33

2.2

38

FH ASI 2007-AR1

40%

747

112

112

116

116

6.0

58

90

1.3

47

33

91

38

3.1

FH ASI 2007-AR2

43%

751

110

110

113

113

5.9

68

85

0.5

51

38

97

38

1.9

11

FH ASI 2007-AR3

45%

743

110

119

125

135

6.3

67

83

3.5

62

32

92

93

2.4

JPM MT 2006-A7

40%

738

114

114

130

130

4.7

42

85

1.7

65

60

94

51

3.4

16

JPM MT 2007-A3

46%

738

106

106

113

113

6.0

40

87

0.6

50

59

92

36

1.8

15

JPM MT 2007-A5

43%

741

107

115

120

130

6.1

64

92

1.3

48

43

88

73

1.6

13

JPM MT 2007-A6

47%

746

112

121

109

121

6.1

45

89

1.9

52

59

95

78

2.1

21

RFM SI 2006-SA2

40%

733

111

118

113

123

3.2

61

90

1.5

45

51

95

79

1.1

13

RFM SI 2006-SA3

39%

732

108

116

118

132

3.3

69

86

1.0

36

49

96

93

1.2

16

RFM SI 2007-SA2

43%

739

110

117

119

125

5.6

62

92

2.9

29

46

94

75

1.2

RFM SI 2007-SA3

50%

726

112

120

113

125

5.2

49

92

2.0

25

61

100

82

1.5

46

WFMBS 2006-AR12

33%

732

116

126

120

131

3.0

42

94

1.8

60

60

93

98

1.4

11

WFMBS 2006-AR13

34%

737

116

124

120

130

2.9

16

94

0.0

50

84

91

81

1.8

13

WFMBS 2006-AR15

34%

744

114

125

120

133

6.1

43

96

0.8

66

62

90

106

1.5

WFMBS 2006-AR17

29%

735

123

132

131

139

3.3

16

92

0.3

55

82

91

83

1.3

15

WFMBS 2006-AR18

34%

742

108

117

116

129

6.1

43

87

0.9

76

45

92

93

0.8

19

WFMBS 2006-AR19

41%

740

105

114

114

125

6.2

42

88

0.9

65

42

90

91

1.1

19

58

Barclays Capital | ABX and PrimeX Monitor

September remittance Current characteristics continued


Index

Prim eX.
FRM1

Prim eX.
FRM2

26 October 2011

Deal

Factor

FICO

MTM -LTV

M TMCLTV

MT M-LT V
(dq)

MTM CLTV(dq)

WAC

% Full
Doc

%IO

%PMI

%Pur

% CA+FL

% Ow ner

% 2nds

Adv due
(%curbal)

M ths to
liqdn

CHASE 2005-S2

42%

728

91

91

93

93

5.8

59

1.0

45

49

95

29

1.1

10

CHASE 2005-S3

45%

727

89

89

91

91

5.8

56

2.0

46

42

92

25

1.1

16

CWHL 2005-21

53%

738

99

103

110

115

5.8

43

26

2.4

53

50

95

67

1.7

CWHL 2005-27

49%

741

99

99

108

108

5.8

53

15

3.2

53

49

91

37

1.6

34

GSR 2006-1F

52%

742

103

108

117

122

5.9

45

53

1.0

54

50

94

63

1.6

20

GSR 2006-6F

48%

735

104

108

113

118

6.3

45

32

2.3

54

49

91

66

2.5

19

R FMSI 2005-S6

44%

744

90

94

98

101

5.7

77

25

1.6

46

35

96

64

0.3

SASC 2005-17

56%

738

91

97

98

105

5.7

29

67

0.0

41

52

93

53

1.3

13

WFMBS 2005-3

33%

733

80

84

87

92

5.8

43

1.3

37

52

93

53

0.4

WFMBS 2005-6

36%

740

88

92

91

98

5.8

53

1.2

49

43

96

62

0.3

17

WFMBS 2005-7

42%

741

91

97

108

115

5.8

54

1.8

59

40

93

71

0.2

WFMBS 2005-8

54%

742

100

106

102

108

5.7

46

0.8

51

50

94

71

0.3

11
11

WFMBS 2005-9

44%

740

91

96

100

107

5.7

57

0.6

45

45

95

65

0.4

WFMBS 2005-11

48%

730

94

99

91

93

5.8

68

1.1

43

44

96

60

0.6

WFMBS 2005-12

51%

739

104

110

106

111

5.8

63

1.0

53

47

95

75

0.4

18

WFMBS 2005-14

44%

735

94

98

102

104

5.8

58

1.3

44

43

95

59

0.6

15

WFMBS 2005-17

54%

740

105

110

115

121

5.8

39

0.5

39

53

95

62

0.5

WFMBS 2005-18

51%

739

106

111

108

119

5.9

40

0.8

43

55

97

70

0.5

WFMBS 2006-2

51%

739

102

108

116

123

6.0

50

0.4

47

50

97

65

0.5

11

WFMBS 2006-3

39%

727

94

98

110

114

6.1

60

1.3

41

38

95

57

0.7

CHASE 2006-S4

45%

734

99

111

113

131

6.4

54

17

0.7

56

40

95

93

2.4

11

GSR 2006-8F

39%

732

106

111

120

126

6.4

60

24

4.1

52

48

92

61

2.5

GSR 2006-10F

45%

736

107

111

121

127

6.1

48

19

1.3

43

54

92

64

1.8

10

JPMMT 2006-S4

48%

730

109

109

116

116

6.3

43

43

2.5

42

48

92

35

2.7

20

PRIME 2007-1

51%

732

104

111

112

120

6.0

52

49

4.3

32

37

95

71

2.2

25

PRIME 2007-2

54%

732

106

114

112

120

6.2

48

37

3.9

40

34

94

79

3.7

22

R FMSI 2006-S6

39%

733

103

108

108

111

6.1

65

32

1.9

45

46

96

65

1.1

19

R FMSI 2006-S8

43%

731

108

113

116

123

6.1

67

30

2.3

44

47

96

64

1.3

R FMSI 2006-S9

36%

727

106

110

119

128

6.3

69

29

2.3

46

46

95

69

1.1

17

RFMSI 2006-S11

42%

731

100

106

114

124

6.1

63

25

3.9

36

40

95

65

0.9

R FMSI 2007-S4

53%

730

101

108

108

115

5.8

61

41

3.0

26

39

99

74

1.4

13

R FMSI 2007-S5

55%

727

101

107

103

113

6.0

55

31

2.8

28

40

97

70

1.3

R FMSI 2007-S8

52%

727

109

116

115

124

5.8

65

44

6.1

37

40

95

86

0.9

WFMBS 2006-14

34%

737

104

112

116

127

6.5

50

28

0.9

64

43

94

90

1.2

14

WFMBS 2006-15

33%

737

105

112

115

122

6.4

54

25

2.0

63

36

93

87

1.0

WFMBS 2007-1

48%

732

107

115

111

122

6.2

44

31

3.2

54

33

93

92

1.4

11

WFMBS 2007-4

47%

736

109

119

118

128

6.2

43

35

1.7

49

45

94

95

1.1

13

WFMBS 2007-7

51%

740

111

120

119

130

6.1

39

45

1.9

54

53

94

96

0.7

11

WFMBS 2007-8

51%

741

109

119

117

128

6.1

46

45

1.3

54

48

96

98

0.8

WFMBS 2007-13

46%

742

105

112

111

117

6.2

39

43

3.1

57

40

94

85

0.8

14

59

Barclays Capital | ABX and PrimeX Monitor

Glossary
Page 4: Losses and yields
Losses and yields calculated using Barclays Capital residential credit model
HPA scenarios: All in terms of nation Case Shiller levels. Extreme stress Down 30%.
Stress down 20%, Base Down 10%, Flat HPA 0 HPA, Optimistic Up 10%
Home prices expected to bottom by Q2 2011, recovering very gradually thereafter
All scenarios incorporate a mix of different types of loan modification
CDR multiples applied on Base case CDR
Page 5: Price sensitivity
Base case yield sensitivity shown
Pages 6, 37-40: Delinquency composition
Factor: Current balance/Original balance (%)
WALA: Weighted average loan age of the pool (months)
Always current: % of outstanding bal that have never been 30+OTS delinquent.
60+ delinq: % of outstanding bal that are in 60 OTS or worse delinquency state
Foreclosure: % of outstanding bal that are in Foreclosure
REO: % of outstanding bal that are in REO
Modified: % of outstanding bal that have been modified. Modifications are identified
using our custom logic based on Loan Performance data
Pages 6, 41-44: Performance trends
Overall CRR: Annualized voluntary prepay rate (%). Includes any change in balance from
Current OTS due to loans being paid in full, curtailments or capitalization.
Overall CDR: Annualized default rate (%). Includes any balance reduction from delinquent
status due to liquidations, modifications etc.
Loan level severity: (Loan Performance reported loss / Loan performance reported
defaults). Includes changes in balance and losses due to modifications and liquidations
Liquidation CDR: Annualized default rate (%). Only includes any balance reduction from
delinquent status due to liquidations
Liquidation severity: (Loan Performance reported loss / Loan performance reported
defaults). Only includes changes in balance and losses due to liquidations
% short sales: Share of short sales in all liquidations
Pages 6, 45-48: Roll Rates
Current to delinquent rolls: % of current loans in previous month moving to 30+OTS in
current month. Basis points
Always current to delinquent rolls: % of always current loans in previous month moving
to 30+OTS in current month. Basis points
60+ to fcl rolls: % of 60+ OTS loans in previous month moving to Foreclosure in current
month. Basis points
Fcl to REO rolls: % of Foreclosed loans in previous month moving to REO in current
month. Basis points
REO to liquidation rolls: % of REO loans in previous month exiting the pool in current
month. Basis points
Cure rate: % of 30+ OTS loans in previous month moving to Current OTS in current
month. Basis points
Pages 7, 49-56: Loan Modification update (All numbers are based on our custom logic to
identify loan modifications from Loan Performance data)
Ever modified: Share of modified loans in outstanding balance, excludes P&I mods
Ever modified with PNI: Share of all modified loans in outstanding balance including
Mod rate: Percentage of outstanding balance modified in current month, excludes P&I
mods
26 October 2011

Mod rate PNI: Percentage of outstanding balance modified in current month including
P&I
Share of rate reduction: Share of rate reduction modifications in current month mods
Share of debt FORG: Share of debt forbearance/forgiveness mods in current month
mods
Share of debt+rate: Share of combo debt forgiveness and rate reduction mods in current
month mods
Share of PNI: Share of pure principal and interest recapitalization mods in current month
mods
Rate reduced: Average rate reduced for rate reduction mods
Amount forgiven: Average principal forgiven/forborne for debt forgiveness/forbearance
mods. % of pre-mod outstanding balance
Principal recapped: Average balance recapitalized/all principal recapitalization mods. %
of pre-mod outstanding balance
Payment reduction: Average reduction in monthly payments for modified loans. % of
pre-mod monthly payment.

Pages 7, 57-60 Current Characteristics


MTM-LTV: Case-Shiller marked-to-market LTV for outstanding loans
MTM-CLTV: Case-Shiller marked-to-market CLTV for outstanding loans
MTM-LTV (dq): Case-Shiller marked-to-market LTV for 30+ OTS delinquents
MTM-LTV (dq): Case-Shiller marked-to-market CLTV for 30+ OTS delinquents.
Advances due: P&I advances that should have been paid by servicer (% of outstanding)
Months to Liquidation: Number of months for average loan to liquidate from initial
delinquency
Pages 9-25: Bond level details
Factor: Current outstanding bond face / Original bond face
Eff weight: Current effective weight of bond in index
Bond coupon: Current month coupon accrued on bond
Original C/E: Original credit support for bond at time of issuance
Current C/E: Current credit support for bond
Implied loss to date: Implied loss applicable to bond as part of synthetic index
applicable only to implied write-down bonds
Projected bond loss: projected loss as percentage of current face
Base mod duration: Modified duration in base case
Base avg life: Average life of bond in base case
Base proj coll loss: Projected collateral loss in base case as % of current outstanding
collateral
Cash price@index yield: Cash bond priced at base case loss adjusted yield calculated
for corresponding synthetic index from market price
Pages 27-34: Performance charts
Clean unmodified: Loans that have never been 30+OTS delinquent or modified
Clean modified: Loans that have never been 30+OTS delinquent but have been modified
Dirty unmodified: Current loans that have been 30+OTS delinquent and are unmodified
Dirty modified: Current loans that have been 30+OTS delinquent and are modified
Page 35: Liquidation timelines
Delinquency to liquidation timelines: No. of months for a loan to liquidate from the first
month it goes delinquent
Foreclosure to liquidation timelines: No. of months for a loan to liquidate from the first
month it goes into foreclosure
REO to liquidation timelines: No. of months for a loan to liquidate from first month it in REO
60

Barclays Capital | ABX and PrimeX Monitor


Analyst Certification(s)
We, Sandeep Bordia, Aaron Haan, Dennis Lee, Harkaran Talwar and Jasraj Vaidya, hereby certify (1) that the views expressed in this research report accurately reflect our personal views about any or all of the
subject securities or issuers referred to in this research report and (2) no part of our compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this research
report.
Important Disclosures
For current important disclosures regarding companies that are the subject of this research report, please send a written request to: Barclays Capital Research Compliance, 745 Seventh Avenue, 17th Floor, New
York, NY 10019 or refer to https://ecommerce.barcap.com/research/cgi-bin/all/disclosuresSearch.pl or call 212-526-1072.
Barclays Capital does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that Barclays Capital may have a conflict of interest that could affect the
objectivity of this report. Any reference to Barclays Capital includes its affiliates. Barclays Capital and/or an affiliate thereof (the "firm") regularly trades, generally deals as principal and generally provides liquidity (as
market maker or otherwise) in the debt securities that are the subject of this research report (and related derivatives thereof). The firm's proprietary trading accounts may have either a long and / or short position in
such securities and / or derivative instruments, which may pose a conflict with the interests of investing customers. Where permitted and subject to appropriate information barrier restrictions, the firm's fixed
income research analysts regularly interact with its trading desk personnel to determine current prices of fixed income securities. The firm's fixed income research analyst(s) receive compensation based on various
factors including, but not limited to, the quality of their work, the overall performance of the firm (including the profitability of the investment banking department), the profitability and revenues of the Fixed Income
Division and the outstanding principal amount and trading value of, the profitability of, and the potential interest of the firms investing clients in research with respect to, the asset class covered by the analyst. To the
extent that any historical pricing information was obtained from Barclays Capital trading desks, the firm makes no representation that it is accurate or complete. All levels, prices and spreads are historical and do not
represent current market levels, prices or spreads, some or all of which may have changed since the publication of this document. Barclays Capital produces a variety of research products including, but not limited
to, fundamental analysis, equity-linked analysis, quantitative analysis, and trade ideas. Recommendations contained in one type of research product may differ from recommendations contained in other types of
research products, whether as a result of differing time horizons, methodologies, or otherwise.

Disclaimer
This publication has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC, and/or one or more of its affiliates as provided below. It is provided to our clients for information
purposes only, and Barclays Capital makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to any data included in
this publication. Barclays Capital will not treat unauthorized recipients of this report as its clients. Prices shown are indicative and Barclays Capital is not offering to buy or sell or soliciting offers to buy or sell any
financial instrument. Without limiting any of the foregoing and to the extent permitted by law, in no event shall Barclays Capital, nor any affiliate, nor any of their respective officers, directors, partners, or employees
have any liability for (a) any special, punitive, indirect, or consequential damages; or (b) any lost profits, lost revenue, loss of anticipated savings or loss of opportunity or other financial loss, even if notified of the
possibility of such damages, arising from any use of this publication or its contents. Other than disclosures relating to Barclays Capital, the information contained in this publication has been obtained from sources
that Barclays Capital believes to be reliable, but Barclays Capital does not represent or warrant that it is accurate or complete. The views in this publication are those of Barclays Capital and are subject to change, and
Barclays Capital has no obligation to update its opinions or the information in this publication.
The analyst recommendations in this publication reflect solely and exclusively those of the author(s), and such opinions were prepared independently of any other interests, including those of Barclays Capital
and/or its affiliates. This publication does not constitute personal investment advice or take into account the individual financial circumstances or objectives of the clients who receive it. The securities discussed
herein may not be suitable for all investors. Barclays Capital recommends that investors independently evaluate each issuer, security or instrument discussed herein and consult any independent advisors they
believe necessary. The value of and income from any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information herein is
not intended to predict actual results, which may differ substantially from those reflected. Past performance is not necessarily indicative of future results.
This communication is being made available in the UK and Europe primarily to persons who are investment professionals as that term is defined in Article 19 of the Financial Services and Markets Act 2000
(Financial Promotion Order) 2005. It is directed at, and therefore should only be relied upon by, persons who have professional experience in matters relating to investments. The investments to which it relates are
available only to such persons and will be entered into only with such persons. Barclays Capital is authorized and regulated by the Financial Services Authority ('FSA') and member of the London Stock Exchange.
Barclays Capital Inc., U.S. registered broker/dealer and member of FINRA (www.finra.org), is distributing this material in the United States and, in connection therewith accepts responsibility for its contents. Any U.S.
person wishing to effect a transaction in any security discussed herein should do so only by contacting a representative of Barclays Capital Inc. in the U.S. at 745 Seventh Avenue, New York, New York 10019. NonU.S. persons should contact and execute transactions through a Barclays Bank PLC branch or affiliate in their home jurisdiction unless local regulations permit otherwise. This material is distributed in Canada by
Barclays Capital Canada Inc., a registered investment dealer and member of IIROC (www.iiroc.ca). To access Barclays Capital policy on the dissemination of research reports, please go to
http://www.barcap.com/Client+offering/Research/Research+Policy. Subject to the conditions of this publication as set out above, Absa Capital, the Investment Banking Division of Absa Bank Limited, an
authorised financial services provider (Registration No.: 1986/004794/06), is distributing this material in South Africa. Absa Bank Limited is regulated by the South African Reserve Bank. This publication is not, nor
is it intended to be, advice as defined and/or contemplated in the (South African) Financial Advisory and Intermediary Services Act, 37 of 2002, or any other financial, investment, trading, tax, legal, accounting,
retirement, actuarial or other professional advice or service whatsoever. Any South African person or entity wishing to effect a transaction in any security discussed herein should do so only by contacting a
representative of Absa Capital in South Africa, 15 Alice Lane, Sandton, Johannesburg, Gauteng 2196. Absa Capital is an affiliate of Barclays Capital. In Japan, foreign exchange research reports are prepared and
distributed by Barclays Bank PLC Tokyo Branch. Other research reports are distributed to institutional investors in Japan by Barclays Capital Japan Limited. Barclays Capital Japan Limited is a joint-stock company
26 October 2011

61

Barclays Capital | ABX and PrimeX Monitor


incorporated in Japan with registered office of 6-10-1 Roppongi, Minato-ku, Tokyo 106-6131, Japan. It is a subsidiary of Barclays Bank PLC and a registered financial instruments firm regulated by the Financial
Services Agency of Japan. Registered Number: Kanto Zaimukyokucho (kinsho) No. 143. Barclays Bank PLC, Hong Kong Branch is distributing this material in Hong Kong as an authorised institution regulated by the
Hong Kong Monetary Authority. Registered Office: 41/F, Cheung Kong Center, 2 Queen's Road Central, Hong Kong. This material is issued in Taiwan by Barclays Capital Securities Taiwan Limited. This material on
securities not traded in Taiwan is not to be construed as 'recommendation' in Taiwan. Barclays Capital Securities Taiwan Limited does not accept orders from clients to trade in such securities. This material may not
be distributed to the public media or used by the public media without prior written consent of Barclays Capital. This material is distributed in South Korea by Barclays Capital Securities Limited, Seoul Branch. All
equity research material is distributed in India by Barclays Securities (India) Private Limited (SEBI Registration No: INB/INF 231292732 (NSE), INB/INF 011292738 (BSE), Registered Office: 208 | Ceejay House | Dr.
Annie Besant Road | Shivsagar Estate | Worli | Mumbai - 400 018 | India, Phone: + 91 22 67196363). Other research reports are distributed in India by Barclays Bank PLC, India Branch. Barclays Bank PLC Frankfurt
Branch distributes this material in Germany under the supervision of Bundesanstalt fr Finanzdienstleistungsaufsicht (BaFin). This material is distributed in Malaysia by Barclays Capital Markets Malaysia Sdn Bhd.
This material is distributed in Brazil by Banco Barclays S.A. This material is distributed in Mexico by Barclays Bank Mexico, S.A. Barclays Bank PLC in the Dubai International Financial Centre (Registered No. 0060) is
regulated by the Dubai Financial Services Authority (DFSA). Barclays Bank PLC-DIFC Branch, may only undertake the financial services activities that fall within the scope of its existing DFSA licence. Barclays Bank
PLC in the UAE is regulated by the Central Bank of the UAE and is licensed to conduct business activities as a branch of a commercial bank incorporated outside the UAE in Dubai (Licence No.: 13/1844/2008,
Registered Office: Building No. 6, Burj Dubai Business Hub, Sheikh Zayed Road, Dubai City) and Abu Dhabi (Licence No.: 13/952/2008, Registered Office: Al Jazira Towers, Hamdan Street, PO Box 2734, Abu Dhabi).
Barclays Bank PLC in the Qatar Financial Centre (Registered No. 00018) is authorised by the Qatar Financial Centre Regulatory Authority (QFCRA). Barclays Bank PLC-QFC Branch may only undertake the regulated
activities that fall within the scope of its existing QFCRA licence. Principal place of business in Qatar: Qatar Financial Centre, Office 1002, 10th Floor, QFC Tower, Diplomatic Area, West Bay, PO Box 15891, Doha,
Qatar. This material is distributed in Dubai, the UAE and Qatar by Barclays Bank PLC. Related financial products or services are only available to Professional Clients as defined by the DFSA, and Business Customers
as defined by the QFCRA. This material is distributed in Saudi Arabia by Barclays Saudi Arabia ('BSA'). It is not the intention of the Publication to be used or deemed as recommendation, option or advice for any
action (s) that may take place in future. Barclays Saudi Arabia is a Closed Joint Stock Company, (CMA License No. 09141-37). Registered office Al Faisaliah Tower | Level 18 | Riyadh 11311 | Kingdom of Saudi Arabia.
Authorised and regulated by the Capital Market Authority, Commercial Registration Number: 1010283024. This material is distributed in Russia by OOO Barclays Capital, affiliated company of Barclays Bank PLC,
registered and regulated in Russia by the FSFM. Broker License #177-11850-100000; Dealer License #177-11855-010000. Registered address in Russia: 125047 Moscow, 1st Tverskaya-Yamskaya str. 21. This
material is distributed in Singapore by the Singapore branch of Barclays Bank PLC, a bank licensed in Singapore by the Monetary Authority of Singapore. For matters in connection with this report, recipients in
Singapore may contact the Singapore branch of Barclays Bank PLC, whose registered address is One Raffles Quay Level 28, South Tower, Singapore 048583. Barclays Bank PLC, Australia Branch (ARBN 062 449
585, AFSL 246617) is distributing this material in Australia. It is directed at 'wholesale clients' as defined by Australian Corporations Act 2001.
IRS Circular 230 Prepared Materials Disclaimer: Barclays Capital and its affiliates do not provide tax advice and nothing contained herein should be construed to be tax advice. Please be advised that any discussion
of U.S. tax matters contained herein (including any attachments) (i) is not intended or written to be used, and cannot be used, by you for the purpose of avoiding U.S. tax-related penalties; and (ii) was written to
support the promotion or marketing of the transactions or other matters addressed herein. Accordingly, you should seek advice based on your particular circumstances from an independent tax advisor.
Barclays Capital is not responsible for, and makes no warranties whatsoever as to, the content of any third-party web site accessed via a hyperlink in this publication and such information is not incorporated by
reference.
Copyright Barclays Bank PLC (2011). All rights reserved. No part of this publication may be reproduced in any manner without the prior written permission of Barclays Capital or any of its affiliates. Barclays Bank
PLC is registered in England No. 1026167. Registered office 1 Churchill Place, London, E14 5HP. Additional information regarding this publication will be furnished upon request.

26 October 2011

62

US19784