Structured Risk Analytics LLC

1
Structured Risk Analytics LLC

• 1111 Route 22 East
• Mountainside, NJ 07092
• Phone [phone]
• Website www.GlobalSRA.com

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Table of Contents

• Introduction Page 3
• Analytic Competencies Page 4
• Team Members Pages 5-7
• Detailed Credit and Analytic Services Pages 8-11
• Value Added Services Pages 12-14
• Next Steps Page 15
• Sample Analysis Pages 16-35

3
Introduction

• Respected independent experts in structured
  finance - with proven track record of results.
• Diverse professional backgrounds including rating
  agencies, commercial and investment banks,
  monoline insurance companies, state and local
  governments.
• Commitment to capital preservation.
• Highest level of responsiveness to client needs.
• Consistent emphasis on teamwork.
• Adherence to rigorous and robust analytic
  discipline.
• Minority and women owned business.
• Commitment to assisting clients in achieving
  their targeted goals - analytical, financial,
  operational or strategic.

4
Analytic Competencies

• Credit risk assessment.
• Bond portfolio valuation.
• Asset performance monitoring.
• Due diligence and servicer risk evaluation.
• Securitization documentation review.
• Trustee evaluation and servicer report
  reconciliation.
• Transaction structuring.
• Funding solutions.
• Research.

5
Team Members

• Ed Bankole
• Michael Nelson
• Lawrence Kwoh
• Cecilia X. Birge
• J. Mark Hemmann
• Margarette Carrette
• Valerie Martin

6
Biographies

• Ed Bankole
• formerly
• MD/Head of Portfolio Analysis, WestLB AG.
• MD/Global Head of Credit ABS and Secondary Market
  Products, CRM, WestLB AG.
• MD/Non-Mortgage ABS Moodys Investors Service.
• Special Assistant, Loans Credits Function,
  Federal Reserve Bank of NY.
• Manager, Financial Analysis, SLMA.
• Board member, Basinghall Mortgage Finance and
  Basinghall Commercial Mortgage Finance.
• Expert witness for three US Senate Committees
  Banking, Technology, and Judiciary.
• Michael Nelson
• formerly
• MD / US RMBS and ABS, DBRS.
• Senior Director RMBS, Fitch Ratings.
• SVP Securitization, The Money Store.
• VP RMBS, JP Morgan and Drexel Burnham Lambert.
• Lawrence Kwoh
• formerly

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Biographies

• Cecilia X. Birge
• formerly
• AVP, Asset Finance Group, Financial Securities
  Assurance Inc. (Singapore and New York).
• Analyst, Structured Finance Group, Moodys
  Investors Service.
• Mayor of one of mid-sized townships in New
  Jersey.
• J. Mark Hemmann
• formerly
• Originator and structurer for 1.5B ABCP and
  securitized portfolio.
• Finance officer responsible for 4B leasing
  portfolio and bank warehouse lines and yearly
  securitization.
• Associate for executive development team of a
  Fortune 200 company.
• Program management consultant for US government
  projects.
• Margarette Carrette
• formerly
• Director, ABS Monitoring, WestLB AG.
• Director, Head of RMBS Performance Analytics,
  Fitch Ratings.
• Manager, ABS Monitoring, Moody's Investors
  Service.

8
Credit Analysis

• Empower clients to understand transaction credit
  performance by
• Analyzing and explaining trends in transaction
  credit performance.
• Benchmarking credit performance against industry
  and peers.
• Customize performance expectations based on
• Macro and micro economic factors affecting credit
  performance.
• Defining transaction monitoring and adjustment
  strategies.
• Provide clients with performance explanations to
  third parties (e.g. rating agencies, investors).
• Provide robust securities valuation services to
  clients
• Review portfolio financing options for clients.
• Provide default/expected loss evaluation.

9
Analytic Services

• Portfolio valuation, cash flow modeling.
• Market / fair value appraisal of fixed income
  securities.
• Stochastic modeling of each bond or portfolio.
• Default curve estimation and loss-given default
  analysis.
• Vintage analysis.
• Forward looking research.
• Cash flow and structuring analysis.

10
Due Diligence and Asset Monitoring

• Review governing documents.
• Review investment objectives and guidelines.
• Evaluate investment managers experience, staff
  and internal control.
• Perform stochastic modeling and cash flow runs.
• Sample investor reports and tie out with records.
• Sample third party contracts and payments.
• Confirm consistent investment amounts and payment
  priorities to underlying documents.
• Prepare confidential report of findings.

11
Servicer Analysis, Review and Monitoring

• Assess an asset servicers financial strength and
  expertise.
• Evaluate management experience, track record and
  stability.
• Evaluate systems, MIS reporting, internal audit,
  data backup and recovery.
• Examine records, test for accuracy, safekeeping
  and file tracking.
• Rate servicer based on confidential metrics.

12
Value Added Services

• Servicer report review, due diligence, analysis
  and asset performance forecasting.
• Provide independent and objective opinion on data
  reporting accuracy.
• Re-calculate key credit performance ratios.
• Perform cohort and trend analysis, and compare to
  industry and peers.
• Overlay future projections and credit performance
  outlook.
• Review and give recommendations for investment
  performance.
• Rating Agency consultation and sizing reserve
  levels.
• Finding liquidity, restructuring and refinancing
  solutions.

13
Value Added Services

• Provide market outlook and key macroeconomic
  factors affecting performance.
• Interpret data and trends into comprehensive,
  usable report.
• Provide action points to correct or improve
  trends.
• Assist clients in understanding and explaining
  existing risks to interested parties.
• Confidential portfolio analysis for internal
  management use.
• Provide areas of focus to management for future
  direction.

14
Value Added Services

• Assist with strategic initiatives.
• Initiate and implement mutually beneficial
  introductions with third parties.
• Function as private consultant for confidential
  business planning.
• Cost effective operational support for staffing
  needs.
• Custom initiatives.

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We welcome the opportunity to customize our
services to fit your needs.

• Please call SRA
• _at_ 908. 233. 5543

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Sample Structured Finance Analysis

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RMBS Loan Level Analysis

• SRA derived baseline economic scenarios from
  which to generate HPI, defaults and severities
  for each class of RMBS. These were adjusted for
  each bond depending on pool characteristics such
  as FICO, LTV, lien, documentation, geographic
  concentration etc.
• SRA then incorporated assessments of both
  government program effectiveness and economic
  stresses to come up with forward looking default
  and severity vectors for each of the bonds.
• Loan level details for each bond were aggregated
  into waterfalls from modeled cashflows. Based on
  that analysis, SRA provided a highly confident
  estimate for OTTI losses.
• Finally, by analyzing market information, SRA
  determined an appropriate discount rate and
  created valuations for each RMBS bond.

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Macroeconomic Trends

• Steepness in home price appreciation varied among
  regions between 1995 and 2005.
• Subprime borrowers accounted for more than half
  of the new home sales. Several research sources
  suggest that subprime borrowers are apt to
  default if there is loss of equity in their homes
  or income growth expectations decline.
• U.S. age population trends suggest that future
  demand for housing will be slower as baby boomers
  are in the retirement stage, thus loss severity
  is likely to remain high.

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Microeconomic Trends

• Problems in underwriting standards exacerbated
  the deterioration in pool performance. (e.g. poor
  loan documents, inflated appraisals. Even many
  alt-A loans exhibit such poor underwriting.)
• Rapid growth in global demand for mortgage
  securitized products injected liquidity in the
  mortgage sector helping the pricing on both
  mortgage loans and mortgage securities.

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Findings
ABFC is HEL, CWALT is alt-A and BAFC is Prime.
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Sample Report CWALT bond

• Bond Details

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Sample Report CWALT bond
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Sample Report CWALT bond

• Securities Tranche Summary

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Sample Report CWALT bond

• Bond Summary - High Concentration Statistics

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Sample Report CWALT bond

• Summary of Loss Projections

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Sample Report CWALT bond

• Price Yield Projections various scenarios

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Sample Report CWALT bond
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Sample Report CWALT bond

• Price/ Yield Table

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Sample Report CWALT bond

• Tranche cash flows

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Sample Report CWALT bond

• Summary Concentration and Performance by State
  (top 10)

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Sample Report CWALT bond

• Summary Concentration and Performance by MSA (top
  20)

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Sample Report CWALT bond

• Summary Concentration and Performance by Zip Code

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Sample Report CWALT bond

• Adverse Statistics

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Sample Report CWALT bond

• Adverse Statistics (continued)

35
Sample Report CWALT bond

• Delinquency Analysis