($ in billions) Original Current 60D+ %Cum WA WA %Low& 60D ...

[Pages:6]($ in billions)

Jumbo Deal 1 FHASI 2005-AR1 2 FHASI 2005-AR2 3 FHASI 2005-AR3 4 FHASI 2005-AR4 5 FHASI 2005-AR5 6 FHASI 2005-AR6 7 FHASI 2005-1 8 FHASI 2005-2 9 FHASI 2005-3 10 FHASI 2005-4 11 FHASI 2005-5 12 FHASI 2005-6 13 FHASI 2005-7 14 FHASI 2005-8 2005 % Better / Worse than Industry: Average Deal Size: % of 2005-2007 Securitizations: 15 FHASI 2006-AR1 16 FHASI 2006-AR2 17 FHASI 2006-AR3 18 FHASI 2006-AR4 19 FHASI 2006-1 20 FHASI 2006-2 21 FHASI 2006-3 22 FHASI 2006-4 2006 % Better / Worse than Industry: Average Deal Size: % of 2005-2007 Securitizations: 23 FHASI 2007-AR1 24 FHASI 2007-AR2 25 FHASI 2007-AR3 26 FHASI 2007-1 27 FHASI 2007-2 28 FHASI 2007-3 29 FHASI 2007-4 30 FHASI 2007-5 31 FHASI 2007-6 2007 % Better / Worse than Industry: Average Deal Size: % of 2005-2007 Securitizations:

Total Jumbo % Better / Worse than Industry: Average Deal Size: % of 2005-2007 Securitizations:

Original Balance

$253 $282 $315 $426 $216 $305 $228 $285 $230 $286 $366 $247 $210 $311 $3,963

$283 15% $213 $172 $230 $350 $303 $434 $423 $388 $2,513

$314 9%

$328 $426 $458 $225 $210 $225 $346 $458 $275 $2,952

$328 11%

$9,428

$304 35%

Current Balance

$52 $69 $86 $137 $64 $100 $44 $45 $52 $46 $91 $59 $60 $77 $981

$70 12%

$66 $49 $63 $107 $80 $98 $84 $110 $658

$82 8% $98 $134 $142 $74 $71 $67 $105 $139 $84 $914

$102 12%

$2,554

$82 32%

FHN Actuals

60D+ %Cum

Del%

Loss

6.43

1.38

11.57

1.80

9.41

2.40

7.28

3.59

8.41

3.80

11.49

4.90

6.72

0.58

5.21

0.48

6.96

0.64

11.46

1.07

10.51

2.11

5.00

1.78

9.59

3.40

11.27

2.78

8.90

2.27

WA ^CLTV

71 76 82 86 88 88 72 70 72 71 78 79 81 85 80

9.04

4.44

91

16.02

5.23

91

10.16

5.97

94

11.66

6.43

97

11.31

2.97

90

10.02

3.39

87

8.70

2.59

93

14.67

3.04

92

11.41

4.03

92

14.04

7.27

94

13.60

7.06

95

9.47

9.09

106

10.33

5.54

92

9.12

4.23

92

10.66

5.68

92

10.86

4.19

93

13.57

5.70

104

15.99

10.97

103

12.08

6.79

98

10.68

4.15

89

WA FICO

736 727 734 737 735 730 736 738 733 733 739 735 736 735 735

%Low& NoDoc 10 9 7 24 21 19 11 20 12 16 15 15 17 9 15

60D+ Del% -1.28

2.03 -0.13 -2.26 -1.13 1.95 -1.52 -6.01 -4.26 0.24 -0.71 -6.22 -1.63 0.05

FHN vs Industry

%Cum

WA

WA %Low&

Loss ^CLTV FICO NoDoc

0.37

3

4

-33

-2.13

-12

-8

-38

-1.53

-6

-1

-41

-0.34

-2

2

-24

-0.13

0

0

-26

0.97

0

-5

-28

0.19

12

8

-24

-1.78

-13

6

-27

-1.62

-11

1

-35

-1.19

-12

1

-31

-0.15

-5

7

-32

-0.48

-4

3

-32

1.14

-2

4

-30

0.52

2

3

-38

-1.22 -0.46

-3

1

-31

736 742 737 742 733 739 733 742 738

20 -0.50

0.51

3

22

2.47 -0.97

-8

24 -3.39 -0.23

-6

37 -1.89

0.23

-3

22 -3.31 -0.96

-7

21 -4.60 -0.54

-10

20 -5.92 -1.34

-4

24

0.05 -0.89

-5

24

-2.34 -0.58

-5

1

-27

9

-38

4

-36

9

-23

1

-30

7

-30

1

-31

10

-27

6

-29

748 749 742 741 740 748 742 740 745 744

38 -2.69

28 -3.13

26 -7.26

25 -4.29

21 -5.60

22 -4.06

17 -3.86

17 -1.15

29

1.27

25

-3.45

-0.41 -0.62 1.41 1.61 -0.27 1.18 -0.31 1.20 6.47

1.03

-8

15

-27

-8

16

-37

4

9

-39

-5

9

-26

-9

5

-36

-9

13

-35

-8

7

-40

3

5

-39

2

10

-28

-4

10

-35

739

21

-2.31 -0.03

-4

6

-32

Green is a positive comparison, red is a negative comparison.

Data as of May 2013 with June remits. Source: LoanPerformance, CPRCDR, Intex, PolyPaths, Bloomberg with company analysis. FHN has not verified the data accuracy. Cohorts are relevant reference groups of loans of similar type/vintange.

($ in billions)

Alt-A Deal 1 FHAMS 2005-AA1 2 FHAMS 2005-AA10 3 FHAMS 2005-AA11 4 FHAMS 2005-AA12 5 FHAMS 2005-AA2 6 FHAMS 2005-AA3 7 FHAMS 2005-AA4 8 FHAMS 2005-AA5 9 FHAMS 2005-AA6 10 FHAMS 2005-AA7 11 FHAMS 2005-AA8 12 FHAMS 2005-AA9 13 FHAMS 2005-FA1 14 FHAMS 2005-FA10 15 FHAMS 2005-FA11 16 FHAMS 2005-FA2 17 FHAMS 2005-FA3 18 FHAMS 2005-FA4 19 FHAMS 2005-FA5 20 FHAMS 2005-FA6 21 FHAMS 2005-FA7 22 FHAMS 2005-FA8 23 FHAMS 2005-FA9 2005 % Better / Worse than Industry: Average Deal Size: % of 2005-2007 Securitizations: 24 FHAMS 2006-AA1 25 FHAMS 2006-AA2 26 FHAMS 2006-AA3 27 FHAMS 2006-AA4 28 FHAMS 2006-AA5 29 FHAMS 2006-AA6 30 FHAMS 2006-AA7 31 FHAMS 2006-AA8 32 FHAMS 2006-FA1 33 FHAMS 2006-FA2 34 FHAMS 2006-FA3 35 FHAMS 2006-FA4 36 FHAMS 2006-FA5 37 FHAMS 2006-FA6 38 FHAMS 2006-FA7 39 FHAMS 2006-FA8 2006 % Better / Worse than Industry: Average Deal Size: % of 2005-2007 Securitizations: 40 FHAMS 2007-AA1 41 FHAMS 2007-AA2 42 FHAMS 2007-AA3 43 FHAMS 2007-FA1 44 FHAMS 2007-FA2 45 FHAMS 2007-FA3 46 FHAMS 2007-FA4 47 FHAMS 2007-FA5 2007 % Better / Worse than Industry: Average Deal Size: % of 2005-2007 Securitizations:

Total Alt-A % Better / Worse than Industry: Average Deal Size: % of 2005-2007 Securitizations:

Original Balance

$315 $315 $300 $331 $345 $410 $357 $440 $575 $605 $539 $524 $307 $474 $344 $257 $230 $272 $465 $225 $330 $544 $460 $8,967

$390 34% $507 $273 $400 $265 $261 $410 $250 $262 $589 $335 $666 $346 $286 $491 $217 $502 $6,060

$379 23% $351 $243 $201 $275 $330 $275 $413 $164 $2,253

$282 8%

$17,280

$368 65%

Current Balance

$69 $95 $89 $92 $76 $108 $110 $114 $178 $192 $172 $174 $89 $166 $120 $77 $67 $80 $146 $80 $113 $184 $166 $2,758

$120 35% $123

$67 $112

$56 $64 $97 $62 $65 $190 $110 $237 $102 $91 $148 $70 $180 $1,773

$111 22%

$92 $70 $54 $116 $116 $111 $197 $66 $821

$103 10%

$5,353

$114 68%

60D+ Del% 13.77 13.03 16.72 15.35

8.74 12.11 11.22 10.49 12.11

9.70 13.89 13.25 13.16 15.94 16.23 12.46

9.59 11.19 12.63 13.53 16.84 14.53 13.68 13.14

%Cum Loss 4.03 11.46 13.23 11.18 3.56 4.53 4.68 5.43 6.15 8.51 9.30 10.95 2.09 6.35 7.32 2.61 3.40 2.79 2.96 4.36 4.56 5.34 7.19 6.42

WA ^CLTV

81 94 88 89 83 83 83 83 85 87 89 90 66 78 80 65 69 67 72 84 75 77 80 81

12.81

15.91

93

16.83

14.56

93

21.04

15.31

96

15.57

14.56

95

20.10

18.44

99

26.68

17.00

97

17.49

18.37

100

20.52

18.77

102

18.55

7.22

82

20.26

9.08

82

17.90

9.56

83

17.67

8.73

83

17.64

8.44

85

21.96

8.28

84

20.31

8.28

87

19.97

9.76

86

19.10

12.08

88

29.51

24.70

103

24.07

23.63

101

27.17

23.58

109

22.37

13.74

91

22.80

13.53

88

24.42

14.77

91

23.39

13.29

90

28.91

18.55

102

24.74

17.75

95

16.90

9.88

86

WA FICO

714 723 717 722 714 717 720 720 725 724 719 721 717 722 719 727 728 724 721 720 723 725 719 721

%Low& NoDoc 46 57 58 55 42 45 47 48 46 49 50 50 69 65 61 69 67 71 65 65 64 62 59 56

60D+ Del% -1.14 -7.49 -3.80 -5.17 -11.78 -8.41 -9.30 -10.03 -8.41 -10.82 -6.63 -7.27 -1.37 -3.04 -2.75 -6.52 -9.39 -7.79 -6.35 -5.45 -2.14 -4.45 -5.30

%Cum Loss 0.97 0.02 1.79 -0.26 -7.88 -6.91 -6.76 -6.01 -5.29 -2.93 -2.14 -0.49 -0.03 -0.60 0.37 -4.34 -3.55 -4.16 -3.99 -2.59 -2.39 -1.61 0.24

WA ^CLTV

0 -6 -12 -11 -17 -17 -17 -17 -15 -13 -11 -10 -2 -8 -7 -22 -18 -20 -15 -2 -12 -9 -7

-6.37 -2.60

-11

WA %Low&

FICO NoDoc

1

-14

8

-11

2

-10

7

-13

-1

-26

2

-23

5

-20

5

-20

10

-21

9

-19

4

-17

6

-17

8

10

10

0

7

-3

15

4

16

3

12

6

9

0

8

0

11

0

13

-2

7

-6

8

-9

718 720 719 716 718 720 721 719 721 712 717 720 717 716 716 712 717

58 -16.29 -4.88

-21

54 -12.27 -6.23

-21

58 -8.06 -5.48

-17

56 -13.53 -6.23

-19

62 -9.00 -2.35

-15

71 -2.42 -3.79

-17

69 -11.61 -2.42

-14

71 -8.58 -2.02

-12

68 -0.43

0.27

-5

69 -8.00 -5.17

-18

71 -10.36 -4.69

-17

72 -10.59 -5.52

-17

73 -10.62 -5.81

-15

66 -6.30 -5.97

-16

74 -7.95 -5.97

-13

75 -8.29 -4.49

-14

67

-8.47 -4.30

-15

9

-18

11

-22

10

-18

7

-20

9

-14

11

-5

12

-6

10

-5

9

4

10

-7

15

-6

18

-4

15

-3

14

-10

14

-2

10

-2

12

-7

719 717 720 718 711 720 713 706 715

71

0.20

3.08

-9

5

-9

75 -5.24

2.01

-11

3

-5

79 -2.14

1.96

-3

6

-1

73 -5.89 -0.51

-9

16

-3

72 -3.67

0.28

-11

3

-4

68 -2.05

1.52

-9

12

-9

71 -3.08

0.04

-9

5

-6

71

2.44

5.30

2

-2

-6

72

-2.73 1.43

-8

7

-6

719

62

-6.51 -2.67

-12

9

-8

Green is a positive comparison, red is a negative comparison.

Data as of May 2013 with June remits. Source: LoanPerformance, CPRCDR, Intex, PolyPaths, Bloomberg with company analysis. FHN has not verified the data accuracy. Cohorts are relevant reference groups of loans of similar type/vintange.

($ in billions)

Jumbo Deal 2005 1 FHASI 2005-AR1

Jumbo ARM 2004 difference

2 FHASI 2005-AR2 Jumbo ARM 2005 difference

3 FHASI 2005-AR3 Jumbo ARM 2005 difference

4 FHASI 2005-AR4 Jumbo ARM 2005 difference

5 FHASI 2005-AR5 Jumbo ARM 2005 difference

6 FHASI 2005-AR6 Jumbo ARM 2005 difference

7 FHASI 2005-1 Jumbo Fixed 2004 difference

8 FHASI 2005-2 Jumbo Fixed 2005 difference

9 FHASI 2005-3 Jumbo Fixed 2005 difference

10 FHASI 2005-4 Jumbo Fixed 2005 difference

11 FHASI 2005-5 Jumbo Fixed 2005 difference

12 FHASI 2005-6 Jumbo Fixed 2005 difference

13 FHASI 2005-7 Jumbo Fixed 2005 difference

14 FHASI 2005-8 Jumbo Fixed 2005 difference

Original Balance

$253 $282 $315 $426 $216 $305 $228 $285 $230 $286 $366 $247 $210 $311

Current Balance

$52 $69 $86 $137 $64 $100 $44 $45 $52 $46 $91 $59 $60 $77

*30D Del%

0.78 1.53 -0.75

2.25 1.74 0.51

1.14 1.74 -0.60

1.65 1.74 -0.09

0.00 1.74 -1.74

2.26 1.74 0.52

2.63 1.94 0.69

0.85 2.09 -1.24

2.24 2.09 0.15

4.28 2.09 2.19

0.85 2.09 -1.24

2.37 2.09 0.28

0.00 2.09 -2.09

0.81 2.09 -1.28

60D Del%

0.76 0.68 0.08

1.02 0.84 0.18

1.08 0.84 0.24

1.08 0.84 0.24

0.87 0.84 0.03

0.00 0.84 -0.84

0.00 0.93 -0.93

0.00 1.05 -1.05

0.70 1.05 -0.35

2.49 1.05 1.44

1.11 1.05 0.06

0.67 1.05 -0.38

0.68 1.05 -0.37

0.00 1.05 -1.05

60D+ Del%

6.43 7.71 -1.28

11.57 9.54 2.03

9.41 9.54 -0.13

7.28 9.54 -2.26

8.41 9.54 -1.13

11.49 9.54 1.95

6.72 8.24 -1.52

5.21 11.22 -6.01

6.96 11.22 -4.26

11.46 11.22

0.24

10.51 11.22 -0.71

5.00 11.22 -6.22

9.59 11.22 -1.63

11.27 11.22

0.05

%Cum Loss

1.38 1.01 0.37

1.80 3.93 -2.13

2.40 3.93 -1.53

3.59 3.93 -0.34

3.80 3.93 -0.13

4.90 3.93 0.97

0.58 0.39 0.19

0.48 2.26 -1.78

0.64 2.26 -1.62

1.07 2.26 -1.19

2.11 2.26 -0.15

1.78 2.26 -0.48

3.40 2.26 1.14

2.78 2.26 0.52

WA ^CLTV

71 68

3

76 88 -12

82 88 -6

86 88 -2

88 88

0

88 88

0

72 60 12

70 83 -13

72 83 -11

71 83 -12

78 83 -5

79 83 -4

81 83 -2

85 83

2

WA ^LTV

71 64

7

76 84 -8

82 84 -2

86 84

2

88 84

4

88 84

4

72 59 13

70 81 -11

72 81 -9

71 81 -10

78 81 -3

79 81 -2

81 81

0

85 81

4

WA FICO

736 732

4

727 735

-8

734 735

-1

737 735

2

735 735

0

730 735

-5

736 728

8

738 732

6

733 732

1

733 732

1

739 732

7

735 732

3

736 732

4

735 732

3

WA %Low& %CA,FL LnSz NoDoc AZ,NV

514

10

54

366

44

60

148

-33

-6

492

9

52

458

48

63

34

-38

-10

528

7

46

458

48

63

70

-41

-16

537

24

44

458

48

63

79

-24

-19

530

21

40

458

48

63

72

-26

-22

560

19

41

458

48

63

102

-28

-22

429

11

50

325

36

52

104

-24

-2

415

20

36

433

47

52

-18

-27

-16

442

12

41

433

47

52

9

-35

-11

444

16

39

433

47

52

11

-31

-12

469

15

42

433

47

52

36

-32

-10

455

15

38

433

47

52

22

-32

-13

526

17

38

433

47

52

93

-30

-14

518

9

41

433

47

52

85

-38

-11

Data as of May 2013 with June remits. Source: LoanPerformance, CPRCDR, Intex, PolyPaths, Bloomberg with company analysis. FHN has not verified the data accuracy. Cohorts are relevant reference groups of loans of similar type/vintange.

($ in billions)

Jumbo Deal 2006 15 FHASI 2006-AR1

Jumbo ARM 2005 difference

16 FHASI 2006-AR2 Jumbo ARM 2006 difference

17 FHASI 2006-AR3 Jumbo ARM 2006 difference

18 FHASI 2006-AR4 Jumbo ARM 2006 difference

19 FHASI 2006-1 Jumbo Fixed 2006 difference

20 FHASI 2006-2 Jumbo Fixed 2006 difference

21 FHASI 2006-3 Jumbo Fixed 2006 difference

22 FHASI 2006-4 Jumbo Fixed 2006 difference

2007 23 FHASI 2007-AR1

Jumbo ARM 2007 difference

24 FHASI 2007-AR2 Jumbo ARM 2007 difference

25 FHASI 2007-AR3 Jumbo ARM 2007 difference

26 FHASI 2007-1 Jumbo Fixed 2006 difference

27 FHASI 2007-2 Jumbo Fixed 2007 difference

28 FHASI 2007-3 Jumbo Fixed 2007 difference

29 FHASI 2007-4 Jumbo Fixed 2007 difference

30 FHASI 2007-5 Jumbo Fixed 2007 difference

31 FHASI 2007-6 Jumbo Fixed 2007 difference

Original Balance

$213 $172 $230 $350 $303 $434 $423 $388

$328 $426 $458 $225 $210 $225 $346 $458 $275

Current Balance

$66 $49 $63 $107 $80 $98 $84 $110

$98 $134 $142

$74 $71 $67 $105 $139 $84

*30D Del%

0.00 1.74 -1.74

1.82 2.26 -0.44

0.86 2.26 -1.40

1.70 2.26 -0.56

3.20 2.33 0.87

1.40 2.33 -0.93

0.00 2.33 -2.33

1.35 2.33 -0.98

0.15 2.40 -2.25

1.79 2.40 -0.61

1.84 2.40 -0.56

1.57 2.33 -0.76

1.89 2.22 -0.33

0.64 2.22 -1.58

2.13 2.22 -0.09

0.32 2.22 -1.90

1.60 2.22 -0.62

60D Del%

1.26 0.84 0.42

0.00 1.18 -1.18

0.00 1.18 -1.18

0.00 1.18 -1.18

0.76 1.14 -0.38

1.05 1.14 -0.09

0.00 1.14 -1.14

1.55 1.14 0.41

0.73 1.32 -0.59

0.96 1.32 -0.36

0.00 1.32 -1.32

0.62 1.14 -0.52

0.00 1.08 -1.08

0.74 1.08 -0.34

0.65 1.08 -0.43

0.75 1.08 -0.33

0.00 1.08 -1.08

60D+ Del%

9.04 9.54 -0.50

16.02 13.55

2.47

10.16 13.55 -3.39

11.66 13.55 -1.89

11.31 14.62 -3.31

10.02 14.62 -4.60

8.70 14.62 -5.92

14.67 14.62

0.05

%Cum Loss

4.44 3.93 0.51

5.23 6.20 -0.97

5.97 6.20 -0.23

6.43 6.20 0.23

2.97 3.93 -0.96

3.39 3.93 -0.54

2.59 3.93 -1.34

3.04 3.93 -0.89

WA ^CLTV

91 88

3

91 99 -8

94 99 -6

97 99 -3

90 97 -7

87 97 -10

93 97 -4

92 97 -5

14.04

7.27

94

16.73

7.68

102

-2.69

-0.41

-8

13.60

7.06

95

16.73

7.68

102

-3.13

-0.62

-8

9.47

9.09

106

16.73

7.68

102

-7.26

1.41

4

10.33

5.54

92

14.62

3.93

97

-4.29

1.61

-5

9.12

4.23

92

14.72

4.50

101

-5.60

-0.27

-9

10.66

5.68

92

14.72

4.50

101

-4.06

1.18

-9

10.86

4.19

93

14.72

4.50

101

-3.86

-0.31

-8

13.57

5.70

104

14.72

4.50

101

-1.15

1.20

3

15.99

10.97

103

14.72

4.50

101

1.27

6.47

2

WA ^LTV

91 84

7

91 95 -4

94 95 -1

97 95

2

90 93 -3

87 93 -6

93 93

0

92 93 -1

94 96 -2

95 96 -1

98 96

2

92 93 -1

92 95 -3

92 95 -3

93 95 -2

95 95

0

98 95

3

WA FICO

736 735

1

742 733

9

737 733

4

742 733

9

733 732

1

739 732

7

733 732

1

742 732

10

748 733

15

749 733

16

742 733

9

741 732

9

740 735

5

748 735

13

742 735

7

740 735

5

745 735

10

WA %Low& %CA,FL LnSz NoDoc AZ,NV

606

20

40

458

48

63

148

-27

-22

646

22

33

556

60

64

91

-38

-31

587

24

36

556

60

64

31

-36

-28

608

37

47

556

60

64

52

-23

-17

541

22

46

476

51

49

65

-30

-3

555

21

40

476

51

49

79

-30

-9

560

20

34

476

51

49

85

-31

-15

567

24

29

476

51

49

92

-27

-20

641

38

48

637

65

64

4

-27

-16

636

28

61

637

65

64

-1

-37

-3

600

26

44

637

65

64

-37

-39

-21

595

25

35

476

51

49

119

-26

-14

563

21

41

520

57

49

43

-36

-8

564

22

33

520

57

49

44

-35

-16

574

17

35

520

57

49

54

-40

-14

598

17

30

520

57

49

78

-39

-19

640

29

38

520

57

49

120

-28

-11

Data as of May 2013 with June remits. Source: LoanPerformance, CPRCDR, Intex, PolyPaths, Bloomberg with company analysis. FHN has not verified the data accuracy. Cohorts are relevant reference groups of loans of similar type/vintange.

($ in billions)

Alt-A Deal 2005 10 FHAMS 2005-AA1

Alt-A ARM 2004 difference

11 FHAMS 2005-AA10 Alt-A ARM 2005 difference

12 FHAMS 2005-AA11 Alt-A ARM 2005 difference

13 FHAMS 2005-AA12 Alt-A ARM 2005 difference

14 FHAMS 2005-AA2 Alt-A ARM 2005 difference

15 FHAMS 2005-AA3 Alt-A ARM 2005 difference

16 FHAMS 2005-AA4 Alt-A ARM 2005 difference

17 FHAMS 2005-AA5 Alt-A ARM 2005 difference

18 FHAMS 2005-AA6 Alt-A ARM 2005 difference

19 FHAMS 2005-AA7 Alt-A ARM 2005 difference

20 FHAMS 2005-AA8 Alt-A ARM 2005 difference

21 FHAMS 2005-AA9 Alt-A ARM 2005 difference

22 FHAMS 2005-FA1 Alt-A Fixed 2004 difference

23 FHAMS 2005-FA10 Alt-A Fixed 2005 difference

24 FHAMS 2005-FA11 Alt-A Fixed 2005 difference

25 FHAMS 2005-FA2 Alt-A Fixed 2005 difference

26 FHAMS 2005-FA3 Alt-A Fixed 2005 difference

27 FHAMS 2005-FA4 Alt-A Fixed 2005 difference

28 FHAMS 2005-FA5 Alt-A Fixed 2005 difference

29 FHAMS 2005-FA6 Alt-A Fixed 2005 difference

30 FHAMS 2005-FA7 Alt-A Fixed 2005 difference

31 FHAMS 2005-FA8 Alt-A Fixed 2005 difference

32 FHAMS 2005-FA9 Alt-A Fixed 2005 difference

Original Balance

$315 $315 $300 $331 $345 $410 $357 $440 $575 $605 $539 $524 $307 $474 $344 $257 $230 $272 $465 $225 $330 $544 $460

Current Balance

$69 $95 $89 $92 $76 $108 $110 $114 $178 $192 $172 $174 $89 $166 $120 $77 $67 $80 $146 $80 $113 $184 $166

*30D Del%

1.49 3.23 -1.74

0.82 3.29 -2.47

2.68 3.29 -0.61

0.65 3.29 -2.64

2.94 3.29 -0.35

1.84 3.29 -1.45

1.99 3.29 -1.30

1.17 3.29 -2.12

1.39 3.29 -1.90

2.25 3.29 -1.04

2.00 3.29 -1.29

2.29 3.29 -1.00

1.31 3.31 -2.00

3.00 3.73 -0.73

3.06 3.73 -0.67

1.62 3.73 -2.11

2.63 3.73 -1.10

4.15 3.73 0.42

2.61 3.73 -1.12

1.35 3.73 -2.38

3.66 3.73 -0.07

2.94 3.73 -0.79

1.99 3.73 -1.74

60D Del%

2.27 1.29 0.98

0.56 1.48 -0.92

0.00 1.48 -1.48

0.92 1.48 -0.56

0.42 1.48 -1.06

0.40 1.48 -1.08

1.31 1.48 -0.17

1.94 1.48 0.46

0.60 1.48 -0.88

0.75 1.48 -0.73

0.83 1.48 -0.65

0.27 1.48 -1.21

1.51 1.47 0.04

1.33 1.50 -0.17

0.46 1.50 -1.04

1.35 1.50 -0.15

0.46 1.50 -1.04

0.69 1.50 -0.81

0.34 1.50 -1.16

0.16 1.50 -1.34

1.27 1.50 -0.23

0.86 1.50 -0.64

0.49 1.50 -1.01

60D+ Del%

13.77 14.91 -1.14

13.03 20.52 -7.49

16.72 20.52 -3.80

15.35 20.52 -5.17

8.74 20.52 -11.78

12.11 20.52 -8.41

11.22 20.52 -9.30

10.49 20.52 -10.03

12.11 20.52 -8.41

9.70 20.52 -10.82

13.89 20.52 -6.63

13.25 20.52 -7.27

13.16 14.53 -1.37

15.94 18.98 -3.04

16.23 18.98 -2.75

12.46 18.98 -6.52

9.59 18.98 -9.39

11.19 18.98 -7.79

12.63 18.98 -6.35

13.53 18.98 -5.45

16.84 18.98 -2.14

14.53 18.98 -4.45

13.68 18.98 -5.30

%Cum Loss

4.03 3.06 0.97

11.46 11.44

0.02

13.23 11.44

1.79

11.18 11.44 -0.26

3.56 11.44 -7.88

4.53 11.44 -6.91

4.68 11.44 -6.76

5.43 11.44 -6.01

6.15 11.44 -5.29

8.51 11.44 -2.93

9.30 11.44 -2.14

10.95 11.44 -0.49

2.09 2.12 -0.03

6.35 6.95 -0.60

7.32 6.95 0.37

2.61 6.95 -4.34

3.40 6.95 -3.55

2.79 6.95 -4.16

2.96 6.95 -3.99

4.36 6.95 -2.59

4.56 6.95 -2.39

5.34 6.95 -1.61

7.19 6.95 0.24

WA ^CLTV

81 81

0

94 100

-6

88 100 -12

89 100 -11

83 100 -17

83 100 -17

83 100 -17

83 100 -17

85 100 -15

87 100 -13

89 100 -11

90 100 -10

66 68 -2

78 87 -8

80 87 -7

65 87 -22

69 87 -18

67 87 -20

72 87 -15

84 87 -2

75 87 -12

77 87 -9

80 87 -7

WA ^LTV

81 75

6

94 91

3

88 91 -3

89 91 -2

83 91 -8

83 91 -8

83 91 -8

83 91 -8

85 91 -6

87 91 -4

89 91 -2

90 91 -1

66 66

0

78 82 -4

80 82 -2

65 82 -17

69 82 -13

67 82 -15

72 82 -10

78 82 -4

75 82 -7

77 82 -5

80 82 -2

WA FICO

714 713

1

723 715

8

717 715

2

722 715

7

714 715

-1

717 715

2

720 715

5

720 715

5

725 715

10

724 715

9

719 715

4

721 715

6

717 709

8

722 712

10

719 712

7

727 712

15

728 712

16

724 712

12

721 712

9

720 712

8

723 712

11

725 712

13

719 712

7

WA %Low& %CA,FL LnSz NoDoc AZ,NV

220

46

34

242

60

55

-22

-14

-21

214

57

36

276

68

55

-62

-11

-19

231

58

34

276

68

55

-45

-10

-21

215

55

25

276

68

55

-61

-13

-29

213

42

33

276

68

55

-63

-26

-22

227

45

41

276

68

55

-49

-23

-14

240

47

39

276

68

55

-35

-20

-16

219

48

35

276

68

55

-57

-20

-20

224

46

31

276

68

55

-52

-21

-24

231

49

34

276

68

55

-45

-19

-21

228

50

35

276

68

55

-48

-17

-20

231

50

31

276

68

55

-45

-17

-24

156

69

30

145

59

40

11

10

-10

195

65

31

199

64

43

-4

0

-12

194

61

27

199

64

43

-5

-3

-16

164

69

29

199

64

43

-35

4

-14

157

67

34

199

64

43

-42

3

-9

162

71

33

199

64

43

-37

6

-10

176

65

34

199

64

43

-24

0

-9

196

65

32

199

64

43

-3

0

-11

175

64

31

199

64

43

-24

0

-12

189

62

33

199

64

43

-10

-2

-10

203

59

34

199

64

43

4

-6

-10

Data as of May 2013 with June remits. Source: LoanPerformance, CPRCDR, Intex, PolyPaths, Bloomberg with company analysis. FHN has not verified the data accuracy. Cohorts are relevant reference groups of loans of similar type/vintange.

($ in billions)

Alt-A Deal 2006 33 FHAMS 2006-AA1

Alt-A ARM 2006 difference

34 FHAMS 2006-AA2 Alt-A ARM 2006 difference

35 FHAMS 2006-AA3 Alt-A ARM 2006 difference

36 FHAMS 2006-AA4 Alt-A ARM 2006 difference

37 FHAMS 2006-AA5 Alt-A ARM 2006 difference

38 FHAMS 2006-AA6 Alt-A ARM 2006 difference

39 FHAMS 2006-AA7 Alt-A ARM 2006 difference

40 FHAMS 2006-AA8 Alt-A ARM 2006 difference

41 FHAMS 2006-FA1 Alt-A Fixed 2005 difference

42 FHAMS 2006-FA2 Alt-A Fixed 2006 difference

43 FHAMS 2006-FA3 Alt-A Fixed 2006 difference

44 FHAMS 2006-FA4 Alt-A Fixed 2006 difference

45 FHAMS 2006-FA5 Alt-A Fixed 2006 difference

46 FHAMS 2006-FA6 Alt-A Fixed 2006 difference

47 FHAMS 2006-FA7 Alt-A Fixed 2006 difference

48 FHAMS 2006-FA8 Alt-A Fixed 2006 difference

2007 49 FHAMS 2007-AA1

Alt-A ARM 2007 difference

50 FHAMS 2007-AA2 Alt-A ARM 2007 difference

51 FHAMS 2007-AA3 Alt-A ARM 2007 difference

52 FHAMS 2007-FA1 Alt-A Fixed 2006 difference

53 FHAMS 2007-FA2 Alt-A Fixed 2007 difference

54 FHAMS 2007-FA3 Alt-A Fixed 2007 difference

55 FHAMS 2007-FA4 Alt-A Fixed 2007 difference

56 FHAMS 2007-FA5 Alt-A Fixed 2007 difference

Original Balance

$507 $273 $400 $265 $261 $410 $250 $262 $589 $335 $666 $346 $286 $491 $217 $502

$351 $243 $201 $275 $330 $275 $413 $164

Current Balance

$123 $67

$112 $56 $64 $97 $62 $65

$190 $110 $237 $102

$91 $148

$70 $180

$92 $70 $54 $116 $116 $111 $197 $66

*30D Del%

1.81 3.72 -1.91

1.15 3.72 -2.57

1.82 3.72 -1.90

1.89 3.72 -1.83

1.01 3.72 -2.71

1.48 3.72 -2.24

2.69 3.72 -1.03

2.42 3.72 -1.30

3.02 3.73 -0.71

2.07 4.26 -2.19

1.98 4.26 -2.28

2.19 4.26 -2.07

1.77 4.26 -2.49

3.70 4.26 -0.56

3.10 4.26 -1.16

2.84 4.26 -1.42

2.88 3.58 -0.70

1.32 3.58 -2.26

2.40 3.58 -1.18

3.69 4.26 -0.57

2.02 4.04 -2.02

2.58 4.04 -1.46

2.59 4.04 -1.45

4.82 4.04 0.78

60D Del%

0.23 1.76 -1.53

1.17 1.76 -0.59

0.75 1.76 -1.01

0.00 1.76 -1.76

0.19 1.76 -1.57

1.32 1.76 -0.44

0.00 1.76 -1.76

1.08 1.76 -0.68

0.30 1.50 -1.20

1.71 2.07 -0.36

0.28 2.07 -1.79

0.80 2.07 -1.27

0.68 2.07 -1.39

1.23 2.07 -0.84

1.40 2.07 -0.67

1.13 2.07 -0.94

1.87 1.61 0.26

1.52 1.61 -0.09

0.00 1.61 -1.61

0.71 2.07 -1.36

2.05 1.87 0.18

1.05 1.87 -0.82

0.87 1.87 -1.00

2.70 1.87 0.83

60D+ Del%

12.81 29.10 -16.29

16.83 29.10 -12.27

21.04 29.10 -8.06

15.57 29.10 -13.53

20.10 29.10 -9.00

26.68 29.10 -2.42

17.49 29.10 -11.61

20.52 29.10 -8.58

18.55 18.98 -0.43

20.26 28.26 -8.00

17.90 28.26 -10.36

17.67 28.26 -10.59

17.64 28.26 -10.62

21.96 28.26 -6.30

20.31 28.26 -7.95

19.97 28.26 -8.29

%Cum Loss

15.91 20.79 -4.88

14.56 20.79 -6.23

15.31 20.79 -5.48

14.56 20.79 -6.23

18.44 20.79 -2.35

17.00 20.79 -3.79

18.37 20.79 -2.42

18.77 20.79 -2.02

7.22 6.95 0.27

9.08 14.25 -5.17

9.56 14.25 -4.69

8.73 14.25 -5.52

8.44 14.25 -5.81

8.28 14.25 -5.97

8.28 14.25 -5.97

9.76 14.25 -4.49

WA ^CLTV

93 114 -21

93 114 -21

96 114 -17

95 114 -19

99 114 -15

97 114 -17

100 114 -14

102 114 -12

82 87 -5

82 100 -18

83 100 -17

83 100 -17

85 100 -15

84 100 -16

87 100 -13

86 100 -14

29.51

24.70

103

29.31

21.62

112

0.20

3.08

-9

24.07

23.63

101

29.31

21.62

112

-5.24

2.01

-11

27.17

23.58

109

29.31

21.62

112

-2.14

1.96

-3

22.37

13.74

91

28.26

14.25

100

-5.89

-0.51

-9

22.80

13.53

88

26.47

13.25

100

-3.67

0.28

-11

24.42

14.77

91

26.47

13.25

100

-2.05

1.52

-9

23.39

13.29

90

26.47

13.25

100

-3.08

0.04

-9

28.91

18.55

102

26.47

13.25

100

2.44

5.30

2

WA ^LTV

93 103 -10

93 103 -10

96 103

-7

95 103

-8

99 103

-4

97 103

-6

100 103

-3

102 103

-1

82 82

0

82 93 -11

83 93 -10

83 93 -10

85 93 -8

84 93 -9

87 93 -6

86 93 -7

103 104

-1

101 104

-3

102 104

-2

91 93 -2

88 94 -6

91 94 -3

90 94 -4

96 94

2

WA FICO

718 709

9

720 709

11

719 709

10

716 709

7

718 709

9

720 709

11

721 709

12

719 709

10

721 712

9

712 702

10

717 702

15

720 702

18

717 702

15

716 702

14

716 702

14

712 702

10

719 714

5

717 714

3

720 714

6

718 702

16

711 708

3

720 708

12

713 708

5

706 708

-2

WA %Low& %CA,FL LnSz NoDoc AZ,NV

222

58

30

330

76

56

-108

-18

-27

231

54

35

330

76

56

-99

-22

-22

228

58

36

330

76

56

-102

-18

-20

221

56

33

330

76

56

-108

-20

-24

230

62

37

330

76

56

-100

-14

-20

243

71

33

330

76

56

-86

-5

-23

245

69

36

330

76

56

-85

-6

-20

232

71

41

330

76

56

-97

-5

-16

194

68

30

199

64

43

-5

4

-13

204

69

33

222

76

40

-17

-7

-7

207

71

27

222

76

40

-15

-6

-13

171

72

25

222

76

40

-51

-4

-14

190

73

20

222

76

40

-32

-3

-20

179

66

23

222

76

40

-43

-10

-17

209

74

28

222

76

40

-13

-2

-11

197

75

26

222

76

40

-25

-2

-14

271 430 -160

322 430 -109

335 430 -95

220 222

-1

211 280 -69

233 280 -47

231 280 -49

310 280

30

71

46

80

63

-9

-17

75

45

80

63

-5

-18

79

38

80

63

-1

-25

73

26

76

40

-3

-14

72

25

77

43

-4

-18

68

29

77

43

-9

-13

71

28

77

43

-6

-14

71

30

77

43

-6

-13

Data as of May 2013 with June remits. Source: LoanPerformance, CPRCDR, Intex, PolyPaths, Bloomberg with company analysis. FHN has not verified the data accuracy. Cohorts are relevant reference groups of loans of similar type/vintange.

 ................
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