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

($ 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

$49 $62 $76 $129 $60 $94 $35 $35 $43 $40 $78 $53 $51 $66 $870

$62 12%

$63 $44 $58 $98 $69 $87 $72 $94 $586

$73 8% $84 $121 $128 $66 $61 $58 $93 $121 $71 $804

$89 11%

$2,260

$73 31%

FHN Actuals

60D+ %Cum

Del%

Loss

7.96

1.46

12.06

1.81

8.16

2.47

8.82

3.70

7.94

4.03

12.10

4.90

6.89

0.60

7.90

0.48

9.78

0.71

11.79

1.14

5.43

2.39

7.17

1.84

11.08

3.55

11.46

2.94

9.23

2.36

WA ^CLTV

64 70 77 80 82 83 65 66 66 66 72 75 76 80 75

7.68

4.62

85

14.18

5.54

84

12.83

6.00

88

10.68

6.65

90

7.56

3.16

84

9.87

3.45

81

9.59

2.69

87

14.86

3.43

86

10.88

4.21

86

11.05

7.97

86

11.33

7.25

87

9.98

9.30

98

6.59

5.55

86

11.31

4.40

87

12.62

5.66

87

13.37

4.31

88

14.75

6.13

97

16.16

11.49

95

11.96

7.07

91

10.63

4.33

83

WA FICO

736 725 735 736 733 728 734 738 731 728 737 733 738 732 733

%Low& NoDoc 10 9 6 24 22 20 12 20 13 17 15 15 18 9 16

60D+ Del%

0.42 3.01 -0.89 -0.23 -1.11 3.05 -1.93 -3.34 -1.46 0.55 -5.81 -4.07 -0.16 0.22

FHN vs Industry

%Cum

WA

WA %Low&

Loss ^CLTV FICO NoDoc

0.40

2

5

-34

-2.29

-11

-10

-39

-1.63

-4

0

-42

-0.40

-1

1

-24

-0.07

1

-2

-26

0.80

2

-7

-28

0.18

9

7

-25

-1.93

-12

7

-28

-1.70

-12

0

-34

-1.27

-12

-3

-31

-0.02

-5

6

-32

-0.57

-3

2

-33

1.14

-2

7

-30

0.53

2

1

-38

-0.64 -0.51

-3

0

-31

736 742 737 739 733 737 733 739 737

21 -1.37

0.52

4

1

-27

23

1.49 -0.91

-7

10

-37

25

0.14 -0.45

-3

5

-36

38 -2.01

0.20

-2

7

-23

22 -7.01 -1.04

-6

2

-29

22 -4.70 -0.75

-9

6

-30

20 -4.98 -1.51

-4

2

-32

25

0.29 -0.77

-5

8

-27

25

-2.45 -0.66

-4

5

-29

749 749 741 740 736 746 741 739 743 743

36 -4.40

30 -4.12

27 -5.47

26 -7.98

21 -3.52

24 -2.21

18 -1.46

18 -0.08

29

1.33

25

-3.10

-0.03 -0.75 1.30 1.35 -0.42 0.84 -0.51 1.31 6.67

0.99

-8

17

-29

-7

17

-36

3

9

-39

-5

9

-26

-8

3

-37

-8

13

-33

-7

8

-40

2

6

-39

0

10

-29

-4

10

-35

738

21

-1.99 -0.08

-3

5

-32

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

Data as of Dec 2013 with Nov 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

$65 $90 $84 $90 $71 $100 $105 $108 $169 $184 $163 $166 $79 $150 $110 $72 $62 $71 $132 $72 $100 $167 $153 $2,564

$111 36% $118

$65 $105

$52 $61 $92 $59 $58 $168 $99 $216 $94 $84 $133 $63 $165 $1,633

$102 23%

$84 $64 $52 $104 $107 $99 $185 $61 $757

$95 10%

$4,954

$105 69%

60D+ Del%

9.32 11.72 14.27 14.81

7.04 9.17 11.20 9.80 11.43 9.58 12.76 12.62 9.90 15.17 16.60 12.09 9.22 9.44 12.36 13.18 15.46 14.78 13.50 12.24

%Cum Loss 4.43 11.88 13.79 11.33 3.82 4.97 4.95 5.60 6.36 8.79 9.86 11.21 2.43 6.69 7.58 2.65 3.80 3.18 3.23 4.65 4.98 5.59 7.57 6.74

WA ^CLTV

76 88 83 85 77 78 78 78 80 82 82 85 62 74 76 61 64 62 67 79 69 73 75 76

12.24

16.18

88

16.03

14.91

87

19.03

15.79

90

16.12

14.96

89

14.52

19.11

91

24.88

17.60

90

14.90

18.90

93

19.57

19.62

95

20.84

7.53

77

18.10

9.39

77

18.52

10.00

79

19.41

9.07

79

19.68

8.90

81

20.53

8.82

80

20.48

9.00

82

18.73

10.39

81

18.62

12.55

83

25.51

25.46

95

20.28

24.25

93

26.17

23.88

102

22.86

14.67

87

22.84

14.44

83

19.17

16.71

86

23.09

14.03

85

33.12

19.37

95

23.56

18.65

89

16.07

10.33

81

WA FICO

713 722 717 722 714 715 720 720 724 724 719 721 716 721 718 727 728 724 722 718 723 724 718 721

%Low& NoDoc 46 56 57 55 42 43 49 49 45 49 50 50 70 65 62 69 67 71 66 64 64 63 59 56

60D+ Del% -4.90 -7.66 -5.11 -4.57 -12.34 -10.21 -8.18 -9.58 -7.95 -9.80 -6.62 -6.76 -4.67 -3.37 -1.94 -6.45 -9.32 -9.10 -6.18 -5.36 -3.08 -3.76 -5.04

%Cum Loss 1.26 0.09 2.00 -0.46 -7.97 -6.82 -6.84 -6.19 -5.43 -3.00 -1.93 -0.58 0.15 -0.66 0.23 -4.70 -3.55 -4.17 -4.12 -2.70 -2.37 -1.76 0.22

WA ^CLTV

2 -5 -9 -8 -15 -14 -15 -15 -13 -11 -10 -8 -2 -7 -5 -20 -17 -19 -14 -2 -11 -8 -6

-6.51 -2.64

-10

WA %Low&

FICO NoDoc

1

-15

8

-12

3

-11

8

-12

0

-26

1

-25

6

-19

6

-19

10

-22

10

-19

5

-18

7

-18

8

11

10

0

7

-3

16

4

17

3

13

6

11

1

7

-1

12

-1

13

-2

7

-6

8

-10

717 720 719 718 719 720 721 721 720 712 716 719 715 715 715 711 717

57 -15.19 -5.29

-17

54 -11.40 -6.56

-18

57 -8.40 -5.68

-14

56 -11.31 -6.51

-16

61 -12.91 -2.36

-13

70 -2.55 -3.87

-14

69 -12.53 -2.57

-11

72 -7.86 -1.85

-10

67

2.30

0.18

-4

69 -9.29 -5.58

-16

72 -8.87 -4.97

-15

71 -7.98 -5.90

-15

73 -7.71 -6.07

-13

66 -6.86 -6.15

-14

74 -6.91 -5.97

-11

75 -8.66 -4.58

-12

67

-7.87 -4.50

-13

8

-18

11

-22

10

-18

9

-19

10

-15

11

-5

12

-6

12

-4

9

3

10

-7

14

-5

17

-5

13

-3

13

-10

13

-2

9

-1

11

-7

718 717 720 717 712 720 712 704 715

70 -2.16

3.08

-8

76 -7.39

1.87

-10

80 -1.50

1.50

-1

72 -4.53 -0.30

-7

73 -3.10

0.47

-10

68 -6.77

2.74

-8

71 -2.85

0.06

-8

68

7.18

5.40

2

72

-3.04 1.59

-7

4

-10

3

-4

6

0

15

-4

4

-4

12

-9

4

-6

-4

-8

6

-6

719

62

-6.43 -2.74

-10

9

-8

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

Data as of Dec 2013 with Nov 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

$49 $62 $76 $129 $60 $94 $35 $35 $43 $40 $78 $53 $51 $66

*30D Del%

0.67 2.28 -1.61

1.96 2.12 -0.16

4.04 2.12 1.92

2.01 2.12 -0.11

0.00 2.12 -2.12

2.12 2.12 0.00

0.00 3.48 -3.48

1.16 2.97 -1.81

0.86 2.97 -2.11

5.69 2.97 2.72

3.25 2.97 0.28

0.00 2.97 -2.97

0.93 2.97 -2.04

1.70 2.97 -1.27

60D Del%

0.81 0.76 0.05

1.69 0.89 0.80

1.34 0.89 0.45

1.21 0.89 0.32

0.00 0.89 -0.89

0.00 0.89 -0.89

0.56 0.95 -0.39

0.00 1.02 -1.02

0.87 1.02 -0.15

0.00 1.02 -1.02

0.33 1.02 -0.69

0.00 1.02 -1.02

0.00 1.02 -1.02

0.60 1.02 -0.42

60D+ Del%

7.96 7.54 0.42

12.06 9.05 3.01

8.16 9.05 -0.89

8.82 9.05 -0.23

7.94 9.05 -1.11

12.10 9.05 3.05

6.89 8.82 -1.93

7.90 11.24 -3.34

9.78 11.24 -1.46

11.79 11.24

0.55

5.43 11.24 -5.81

7.17 11.24 -4.07

11.08 11.24 -0.16

11.46 11.24

0.22

%Cum Loss

1.46 1.06 0.40

1.81 4.10 -2.29

2.47 4.10 -1.63

3.70 4.10 -0.40

4.03 4.10 -0.07

4.90 4.10 0.80

0.60 0.42 0.18

0.48 2.41 -1.93

0.71 2.41 -1.70

1.14 2.41 -1.27

2.39 2.41 -0.02

1.84 2.41 -0.57

3.55 2.41 1.14

2.94 2.41 0.53

WA ^CLTV

64 62

2

70 81 -11

77 81 -4

80 81 -1

82 81

1

83 81

2

65 56

9

66 78 -12

66 78 -12

66 78 -12

72 78 -5

75 78 -3

76 78 -2

80 78

2

WA ^LTV

64 59

5

70 77 -7

77 77

0

80 77

3

82 77

5

83 77

6

65 55 10

66 75 -9

66 75 -9

66 75 -9

72 75 -3

75 75

0

76 75

1

80 75

5

WA FICO

736 731

5

725 735 -10

735 735

0

736 735

1

733 735

-2

728 735

-7

734 727

7

738 731

7

731 731

0

728 731

-3

737 731

6

733 731

2

738 731

7

732 731

1

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

513

10

54

356

44

59

157

-34

-5

485

9

52

447

48

62

38

-39

-10

515

6

44

447

48

62

68

-42

-18

536

24

44

447

48

62

89

-24

-19

520

22

38

447

48

62

72

-26

-25

556

20

40

447

48

62

109

-28

-22

407

12

48

311

37

52

97

-25

-4

401

20

38

424

47

51

-23

-28

-13

433

13

38

424

47

51

9

-34

-13

436

17

36

424

47

51

12

-31

-15

463

15

42

424

47

51

39

-32

-9

458

15

38

424

47

51

34

-33

-13

525

18

37

424

47

51

101

-30

-14

514

9

41

424

47

51

90

-38

-10

Data as of Dec 2013 with Nov 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

$63 $44 $58 $98 $69 $87 $72 $94

$84 $121 $128

$66 $61 $58 $93 $121 $71

*30D Del%

0.82 2.12 -1.30

1.06 2.50 -1.44

0.91 2.50 -1.59

2.12 2.50 -0.38

2.34 2.92 -0.58

3.32 2.92 0.40

1.71 2.92 -1.21

1.35 2.92 -1.57

0.69 2.78 -2.09

3.05 2.78 0.27

1.92 2.78 -0.86

5.33 2.92 2.41

5.83 2.66 3.17

2.18 2.66 -0.48

2.06 2.66 -0.60

2.55 2.66 -0.11

1.72 2.66 -0.94

60D Del%

0.00 0.89 -0.89

1.26 1.17 0.09

0.86 1.17 -0.31

0.00 1.17 -1.17

0.00 1.18 -1.18

1.54 1.18 0.36

0.64 1.18 -0.54

1.02 1.18 -0.16

0.00 1.12 -1.12

0.00 1.12 -1.12

0.00 1.12 -1.12

0.00 1.18 -1.18

2.16 1.25 0.91

0.00 1.25 -1.25

0.66 1.25 -0.59

1.97 1.25 0.72

0.82 1.25 -0.43

60D+ Del%

7.68 9.05 -1.37

14.18 12.69

1.49

12.83 12.69

0.14

10.68 12.69 -2.01

7.56 14.57 -7.01

9.87 14.57 -4.70

9.59 14.57 -4.98

14.86 14.57

0.29

%Cum Loss

4.62 4.10 0.52

5.54 6.45 -0.91

6.00 6.45 -0.45

6.65 6.45 0.20

3.16 4.20 -1.04

3.45 4.20 -0.75

2.69 4.20 -1.51

3.43 4.20 -0.77

WA ^CLTV

85 81

4

84 92 -7

88 92 -3

90 92 -2

84 91 -6

81 91 -9

87 91 -4

86 91 -5

11.05

7.97

86

15.45

8.00

95

-4.40

-0.03

-8

11.33

7.25

87

15.45

8.00

95

-4.12

-0.75

-7

9.98

9.30

98

15.45

8.00

95

-5.47

1.30

3

6.59

5.55

86

14.57

4.20

91

-7.98

1.35

-5

11.31

4.40

87

14.83

4.82

95

-3.52

-0.42

-8

12.62

5.66

87

14.83

4.82

95

-2.21

0.84

-8

13.37

4.31

88

14.83

4.82

95

-1.46

-0.51

-7

14.75

6.13

97

14.83

4.82

95

-0.08

1.31

2

16.16

11.49

95

14.83

4.82

95

1.33

6.67

0

WA ^LTV

85 77

8

84 87 -3

88 87

1

90 87

3

84 87 -3

81 87 -6

87 87

0

86 87 -1

86 89 -3

87 89 -2

91 89

2

86 87 -1

87 89 -2

87 89 -2

88 89 -1

89 89

0

90 89

1

WA FICO

736 735

1

742 732

10

737 732

5

739 732

7

733 731

2

737 731

6

733 731

2

739 731

8

749 732

17

749 732

17

741 732

9

740 731

9

736 733

3

746 733

13

741 733

8

739 733

6

743 733

10

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

599

21

41

447

48

62

152

-27

-21

649

23

29

545

61

64

104

-37

-35

583

25

34

545

61

64

38

-36

-30

600

38

47

545

61

64

55

-23

-17

538

22

45

466

52

49

72

-29

-4

552

22

41

466

52

49

86

-30

-8

559

20

34

466

52

49

93

-32

-14

557

25

28

466

52

49

91

-27

-21

635

36

47

628

66

64

7

-29

-18

632

30

59

628

66

64

4

-36

-5

596

27

41

628

66

64

-33

-39

-23

599

26

33

466

52

49

133

-26

-16

558

21

42

510

57

48

48

-37

-6

559

24

32

510

57

48

49

-33

-16

569

18

35

510

57

48

60

-40

-13

595

18

29

510

57

48

86

-39

-19

631

29

36

510

57

48

121

-29

-12

Data as of Dec 2013 with Nov 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 1 FHAMS 2005-AA1

Alt-A ARM 2004 difference

2 FHAMS 2005-AA10 Alt-A ARM 2005 difference

3 FHAMS 2005-AA11 Alt-A ARM 2005 difference

4 FHAMS 2005-AA12 Alt-A ARM 2005 difference

5 FHAMS 2005-AA2 Alt-A ARM 2005 difference

6 FHAMS 2005-AA3 Alt-A ARM 2005 difference

7 FHAMS 2005-AA4 Alt-A ARM 2005 difference

8 FHAMS 2005-AA5 Alt-A ARM 2005 difference

9 FHAMS 2005-AA6 Alt-A ARM 2005 difference

10 FHAMS 2005-AA7 Alt-A ARM 2005 difference

11 FHAMS 2005-AA8 Alt-A ARM 2005 difference

12 FHAMS 2005-AA9 Alt-A ARM 2005 difference

13 FHAMS 2005-FA1 Alt-A Fixed 2004 difference

14 FHAMS 2005-FA10 Alt-A Fixed 2005 difference

15 FHAMS 2005-FA11 Alt-A Fixed 2005 difference

16 FHAMS 2005-FA2 Alt-A Fixed 2005 difference

17 FHAMS 2005-FA3 Alt-A Fixed 2005 difference

18 FHAMS 2005-FA4 Alt-A Fixed 2005 difference

19 FHAMS 2005-FA5 Alt-A Fixed 2005 difference

20 FHAMS 2005-FA6 Alt-A Fixed 2005 difference

21 FHAMS 2005-FA7 Alt-A Fixed 2005 difference

22 FHAMS 2005-FA8 Alt-A Fixed 2005 difference

23 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

$65 $90 $84 $90 $71 $100 $105 $108 $169 $184 $163 $166 $79 $150 $110 $72 $62 $71 $132 $72 $100 $167 $153

*30D Del%

2.46 4.19 -1.73

1.64 4.15 -2.51

1.36 4.15 -2.79

1.31 4.15 -2.84

2.30 4.15 -1.85

0.94 4.15 -3.21

1.98 4.15 -2.17

1.76 4.15 -2.39

1.46 4.15 -2.69

1.92 4.15 -2.23

1.53 4.15 -2.62

1.92 4.15 -2.23

1.72 4.55 -2.83

3.43 4.58 -1.15

2.11 4.58 -2.47

2.05 4.58 -2.53

3.47 4.58 -1.11

3.44 4.58 -1.14

2.11 4.58 -2.47

2.08 4.58 -2.50

3.21 4.58 -1.37

2.19 4.58 -2.39

2.19 4.58 -2.39

60D Del%

1.09 1.48 -0.39

0.47 1.54 -1.07

0.70 1.54 -0.84

0.51 1.54 -1.03

0.38 1.54 -1.16

0.00 1.54 -1.54

1.45 1.54 -0.09

1.32 1.54 -0.22

0.50 1.54 -1.04

0.52 1.54 -1.02

1.01 1.54 -0.53

0.25 1.54 -1.29

0.17 1.58 -1.41

0.30 1.74 -1.44

0.25 1.74 -1.49

0.23 1.74 -1.51

1.02 1.74 -0.72

1.35 1.74 -0.39

0.56 1.74 -1.18

0.16 1.74 -1.58

0.24 1.74 -1.50

0.69 1.74 -1.05

0.77 1.74 -0.97

60D+ Del%

9.32 14.22 -4.90

11.72 19.38 -7.66

14.27 19.38 -5.11

14.81 19.38 -4.57

7.04 19.38 -12.34

9.17 19.38 -10.21

11.20 19.38 -8.18

9.80 19.38 -9.58

11.43 19.38 -7.95

9.58 19.38 -9.80

12.76 19.38 -6.62

12.62 19.38 -6.76

9.90 14.57 -4.67

15.17 18.54 -3.37

16.60 18.54 -1.94

12.09 18.54 -6.45

9.22 18.54 -9.32

9.44 18.54 -9.10

12.36 18.54 -6.18

13.18 18.54 -5.36

15.46 18.54 -3.08

14.78 18.54 -3.76

13.50 18.54 -5.04

%Cum Loss

4.43 3.17 1.26

11.88 11.79

0.09

13.79 11.79

2.00

11.33 11.79 -0.46

3.82 11.79 -7.97

4.97 11.79 -6.82

4.95 11.79 -6.84

5.60 11.79 -6.19

6.36 11.79 -5.43

8.79 11.79 -3.00

9.86 11.79 -1.93

11.21 11.79 -0.58

2.43 2.28 0.15

6.69 7.35 -0.66

7.58 7.35 0.23

2.65 7.35 -4.70

3.80 7.35 -3.55

3.18 7.35 -4.17

3.23 7.35 -4.12

4.65 7.35 -2.70

4.98 7.35 -2.37

5.59 7.35 -1.76

7.57 7.35 0.22

WA ^CLTV

76 75

2

88 92 -5

83 92 -9

85 92 -8

77 92 -15

78 92 -14

78 92 -15

78 92 -15

80 92 -13

82 92 -11

82 92 -10

85 92 -8

62 64 -2

74 81 -7

76 81 -5

61 81 -20

64 81 -17

62 81 -19

67 81 -14

79 81 -2

69 81 -11

73 81 -8

75 81 -6

WA ^LTV

76 69

7

88 84

4

83 84 -1

85 84

1

77 84 -7

78 84 -6

78 84 -6

78 84 -6

80 84 -4

82 84 -2

82 84 -2

85 84

1

62 62

0

74 76 -2

76 76

0

61 76 -15

64 76 -12

62 76 -14

67 76 -9

73 76 -3

69 76 -7

73 76 -3

75 76 -1

WA FICO

713 712

1

722 714

8

717 714

3

722 714

8

714 714

0

715 714

1

720 714

6

720 714

6

724 714

10

724 714

10

719 714

5

721 714

7

716 708

8

721 711

10

718 711

7

727 711

16

728 711

17

724 711

13

722 711

11

718 711

7

723 711

12

724 711

13

718 711

7

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

216

46

34

238

60

54

-21

-15

-20

212

56

35

271

68

55

-59

-12

-19

228

57

33

271

68

55

-43

-11

-22

214

55

25

271

68

55

-57

-12

-29

211

42

31

271

68

55

-60

-26

-23

220

43

39

271

68

55

-51

-25

-16

238

49

39

271

68

55

-33

-19

-16

217

49

36

271

68

55

-54

-19

-18

222

45

30

271

68

55

-49

-22

-25

229

49

34

271

68

55

-42

-19

-20

227

50

34

271

68

55

-44

-18

-21

232

50

31

271

68

55

-39

-18

-24

150

70

30

140

59

39

10

11

-9

192

65

31

195

65

43

-3

0

-12

193

62

27

195

65

43

-2

-3

-16

163

69

28

195

65

43

-32

4

-14

156

67

33

195

65

43

-39

3

-10

156

71

32

195

65

43

-39

6

-11

172

66

33

195

65

43

-23

1

-10

194

64

32

195

65

43

-1

-1

-11

168

64

28

195

65

43

-27

-1

-15

186

63

32

195

65

43

-9

-2

-10

201

59

33

195

65

43

6

-6

-9

Data as of Dec 2013 with Nov 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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