Structured Finance. U.S. RMBS Cash Flow Analysis Criteria. Residential Mortgage / U.S.A. Sector-Specific Criteria. Scope. Key Rating Drivers

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1 U.S. RMBS Cash Flow Analysis Criteria Sector-Specific Criteria Residential Mortgage / U.S.A. Scope This criteria report focuses on the structural analysis used in the rating process for U.S. RMBS transactions. After determining expected collateral losses for the various rating categories, Fitch applies its cash flow analysis criteria to determine if cash flows generated by the underlying collateral are adequate to make payments on the rated bonds based on the terms of the transaction. While the main elements of these criteria are also used in Fitch s surveillance process, some differences exist as specifically noted in this report. This report replaces U.S. RMBS Cash Flow Analysis Criteria, dated April Fitch s cash flow methodology for transactions backed by non-performing loan (NPL) collateral at issuance is distinct from the assumptions and methodology applied to transactions backed by performing collateral at issuance. Unless specifically noted as pertaining to NPL transactions, the assumptions described in this report are for transactions collateralized with performing collateral at issuance. This report replaces the one of the same title published in April 2015 and should be read in conjunction with the related RMBS reports listed below left. Related Criteria Global Structured Finance Rating Criteria (March 2015) U.S. RMBS Master Rating Criteria (January 2016) U.S. RMBS Loan Loss Model Criteria (August 2015) Exposure Draft: U.S. RMBS Loan Loss Model Criteria (February 2016) Counterparty Criteria for Structured Finance and Covered Bonds (May 2014) Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (December 2014) Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (May 2014) Analysts Christine Yan christine.yan@fitchratings.com Ryan O Loughlin ryan.o loughlin@fitchratings.com Grant Bailey grant.bailey@fitchratings.com Suzanne Mistretta suzanne.mistretta@fitchratings.com Key Rating Drivers Default and Prepayment Timing Assumptions: The timing of defaults and prepayments is a key driver in determining the ratings of a bond backed by performing collateral of newly originated, seasoned, and reperforming loans. These variables affect the amount of subordination available to absorb Fitch s expected losses. Fitch applies frontloaded, midloaded and backloaded default timing scenarios, each in conjunction with a high and low prepayment scenario, for a total of six core cash flow scenarios. Fitch will consider the results of all six scenarios in its rating analysis. While a bond does not necessarily need to pass all six scenarios to achieve a certain rating, Fitch will provide a description in its rating action commentary regarding any scenarios that did not pass, sensitivities to assumptions that would allow it to pass, and the rationale for the appropriateness of the rating, notwithstanding the scenario outcome. Delinquency Rate Assumptions: Fitch applies its monthly delinquency vector to determine the impact of potential liquidity shortfalls for transactions backed by performing collateral with limited or no servicing advancing mechanism, The monthly delinquency vectors are derived from its frontloaded, midloaded and backloaded CDR curves and incorporate projected liquidation timeline and cure rate adjustment consistent with Fitch s Exposure Draft: U.S. RMBS Loan Loss Model Criteria. Impact of Interest Rate Movements: The majority of RMBS transactions are structured to mitigate the risk of interest rate movements. Fitch will test for any residual interest rate exposure by performing an interest rate stress analysis using upward, downward and stable interest rate scenarios, in accordance with Fitch s Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds, dated December 2014, available on Fitch s website at

2 Additional Rating Drivers Underlying Collateral and Structural Features: The effects of Fitch s default and prepayment timing assumptions and interest rate stresses may vary in the cash flow analysis based on structural features, as well as the amortization schedule of the underlying mortgages. When analyzing the results of Fitch s various timing scenarios, structural features, such as delinquency and loss triggers, are taken into account. Fitch will use its delinquency timing curves and existing loss timing curves to perform sensitivity tests on transaction triggers and servicer advancing. Minimum Credit Support Amount: As a pool pays down, there is a risk of adverse selection as the loan count diminishes. To account for these risks, Fitch looks for a minimum credit support to be maintained for the senior tranches through the life of the deal. Data Adequacy and Compliance Fitch s cash flow stresses are based on assumptions about the timing of defaults and prepayments using historical performance data obtained from CoreLogic/LoanPerformance (CoreLogic/LP). The CoreLogic/LP database includes more than 95% of the non-agency RMBS market (excluding private placements, net interest margin transactions and re-remics) and contains loan-level information on more than $630 billion worth of active securitized mortgages as of January 2016 featuring data contributed by most of the top U.S. servicers and trustees. Role of Cash Flow Analysis in the RMBS Rating Process Prior to performing its cash flow analysis, Fitch analyzes the pool s credit characteristics using its mortgage loss model to determine expected collateral losses at each rating category. Once collateral loss expectations are established, cash flow analyses are performed to determine if the bonds would receive payments of principal and interest, in accordance with the terms of the documents, based on the timing and duration of defaults and losses, prepayment speeds and interest rate movements. The default timing and prepayment speeds closely interact with the bonds credit enhancement (CE) and financial (payment-priority) structure. The criteria described in this report are used in conjunction with analytical applications provided by Intex Solutions, Inc., a third-party cash flow technology firm. The proposed structure is modeled in Intex Solutions analytical applications and provided to Fitch in the form of an Intex file. Using an Intex application, Fitch applies its cash flow stress assumptions and analyzes the results to determine if each rated bond in the transaction has sufficient protection. Cash Flow Timing Impact For most structures, the initial size of the subordinated classes for a given credit tranche is greater than the initial mortgage pool loss expectation derived by Fitch in its credit analysis, primarily reflecting that the subordinate class balances may be reduced over time due to principal payments. The senior tranches are also exposed to losses arising from adverse selection and small loan count concentrations. Transactions with a pro rata pay structure have addressed these risks by means of a subordination floor, which provides for a minimum amount of credit support to be maintained for the senior tranches through the life of the deal. The floor is generally determined as a fixed percentage of the original outstanding principal amount of the transaction to mitigate performance volatility as the pool size declines. As a pool decreases in size, each remaining individual loan accounts for a higher percentage of the entire remaining pool, and, often, higher-risk loans tend to be more represented. As a result, a default of several loans can have a meaningful impact on U.S. RMBS Cash Flow Analysis Criteria 2

3 performance. To assess this risk, Fitch will consider various sensitivity tests such as the following to evaluate the sufficiency of a subordination floor: Subordination floor exceeds the sum of the 25 largest AAAsf expected loss amounts. Subordination floor exceeds the AAAsf expected losses of 100 average loans. Subordination floor exceeds the amount of loss resulting from the default of the five largest loans applying the AAAsf loss severity. Other possible structural mitigants for a pro rata pay structure may include a feature that converts principal distribution to sequential-pay once the pool balance declines below a predetermined threshold as well as delinquency and loss triggers that prevent distribution of future unscheduled principal distributions to the subordinated classes until the most senior classes are paid in full. Because of the sensitivity of various structures to the timing of losses and prepayments, Fitch analyzes a series of cash flow scenarios, using various default timing curves and prepayment vectors to determine the appropriate rating level for each bond. When performing cash flow analyses, Fitch applies different assumptions for performing loan RMBS, which includes seasoned and re-performing loans, and non-performing loan (NPL) RMBS. Cash Flow Assumptions Using data sourced from CoreLogic/LP, as shown in the charts throughout this report, Fitch constructed timing curves that reflect the monthly percentage of the total lifetime defaults and prepayments for RMBS backed by performing loan collateral, such as newly originated loans, seasoned performing loans, re-performing loans and re-securitizations. These timing curves are used in conjunction with Fitch s interest rate stress assumptions when interest rate risk is present. The agency s cash flow analysis includes a combination of six prepayment and default/loss timing scenarios. These six scenarios capture potential variability in expected default/loss timing and prepayment speeds. An example of the impact on CE can be seen in Appendix F. Fitch has developed benchmark conditional default rate (CDR) and conditional prepayment rate (CPR) vectors that include both voluntary and involuntary prepayments. The CDR assumptions include frontloaded (i.e. the majority of defaults/losses are allocated in the early months of a deal s life), midloaded (defaults/losses reflect recent default timing observations) and backloaded default timing scenarios (i.e. defaults/losses occur later on). For seasoned performing or re-performing pools these scenarios are adjusted based on delinquency status. The benchmark CPR vectors are intended to be reflective of long-term historical average prepayments and are broken out by loan product. For seasoned pools, CPR curves are adjusted by loan age and the pool s most recent, actual, three-month CPR. The six prepayment and default timing combinations analyzed by Fitch are as follows: Frontloaded CDRs and benchmark CPRs. Frontloaded CDRs, assuming a 5% CPR for the life of the deal. Midloaded CDRs and benchmark CPRs. Midloaded CDRs, assuming a 5% CPR for the life of the deal. Backloaded CDRs and benchmark CPRs. Backloaded CDRs, assuming a 5% CPR for the life of the deal. The outcome of the cash flow modeling, i.e. whether the bond pays in full, in accordance with its repayment terms, is a key factor in determining each bond s rating. However, a bond does not necessarily need to pass all six scenarios to achieve a certain rating. Fitch s rating committee may, for example, decide to accept a small numerical tolerance for a given scenario, U.S. RMBS Cash Flow Analysis Criteria 3

4 or may conclude a greater degree of divergence is warranted for a particular scenario in consideration of a transaction s collateral or structural characteristics. In any event, Fitch will provide a description in its rating action commentary regarding any scenarios that did not pass, sensitivities to assumptions that would allow it to pass, and the rationale supporting the rating for a bond that did not pass a scenario. Transaction Fees and Expenses When modeling a transaction s cash flows, Fitch uses the mortgage pool s net weighted average coupon (WAC). The net WAC is defined as the weighted average mortgage note rate of the underlying pool less fees due to the servicer, master servicer, trustee and other parties to the transaction in accordance with the transaction documents. The net WAC may also be reduced by expenses or other costs provided for in the transaction documents, which may be limited to a specified amount payable annually that may arise during the life of the transaction. Costs may include reimbursement of expenses incurred by the trustee or another party to the transaction to pursue remedies for representation and warranty breach reviews, indemnification costs and expenses due to arbitration or litigation (i.e. extraordinary expenses). If payment of these expenses is not provided for by the net WAC and is instead payable from available funds, Fitch will make assumptions about the potential expenses that could be incurred by the trust, which will depend on the types of expenses payable, limitations or caps on such expenses and amount and findings from a third-party due diligence review conducted on the pool and the quality of underlying mortgage collateral. For transactions where breach enforcement expenses are paid from available funds, Fitch generally increases the transaction s credit enhancement at a minimum of 20 basis points for every 10% of probability of default to reflect the risk that additional expenses will be incurred by the trust on defaulted loans related to hearing fees, filing fees, arbitrator expenses, trustee expenses and loan review fees. If expenses for loan file reviewer fees and expenses are explicitly provided for in the documents Fitch will further increase its loss expectations to account for the cost of loan file reviews using its default assumptions; termination fees payable to the reviewer; and other extraneous costs payable to the reviewer, which Fitch assumes to be $500k. These expenses will be added to the breach enforcement expenses described above. Fitch also makes assumptions with respect to the timing of these expenses. Loan Modifications In recent transactions, the risk of interest reductions due to loan modifications is accounted for through the reduction of the transaction s net WAC definition. However, this has not been the case in the majority of past RMBS transactions. When analyzing seasoned mortgage loans in surveillance or resecuritizations of existing RMBS, Fitch takes into consideration loan modifications that may reduce interest rates on the underlying mortgage loans, leading to WAC deterioration and interest shortfalls on the bonds. In surveillance, Fitch runs additional cash flows, assuming a lower WAC, to determine the impact of rate reduction due to modifications on CE for Alt-A and Subprime collateral in Asf and above rating stresses. The reduction amount is based on the portion of the pool that is delinquent, a reduction of 3% for Subprime and 1.25% for Alt A and a factor of 1x at the AAAsf rating stress, 0.75x at the AAsf rating stress and 0.5x at the Asf rating stress. U.S. RMBS Cash Flow Analysis Criteria 4

5 Prepayment Rate Assumptions Fitch makes assumptions about a pool s annualized CPR, which is expressed as a percentage of the current total portfolio principal outstanding balance. The CPR reflects the amount of unscheduled principal balance reductions, including voluntary and involuntary prepayments. Voluntary prepayments include loans paid off due to a refinancing or sale of the home. Involuntary prepayments are caused by borrower defaults. The involuntary portion of CPR is calculated using Fitch s loss curve and default projections. In a transaction with a shifting interest pro rata pay structure, a fast prepay environment would allocate more unscheduled principal to the senior bonds allowing the senior bonds to pay down more rapidly and subordination (loss protection) to grow quickly. In contrast, in a slow prepay scenario, the senior bonds do not de-leverage quickly while scheduled principal is allocated to the subordinate bonds leaving less loss protection in a backloaded default timing scenario. The prepayment rate also is a key variable in determining the lifetime volume (in cash terms) and periodic percentage of excess spread generated by the structure a pool that prepays faster than assumed would result in lower lifetime excess spread available to cover losses. Furthermore, excess spread compression results when higher-coupon loans prepay more quickly than those with lower rates. Conversely, when turbo structures rely on a fast return of principal for building subordination, undue credit could be given if a pool prepays more slowly than that assumed. To account for these risks, Fitch models both high- and low-speed prepayment scenarios. Fitch applies benchmark CPR vectors, which are broken out by loan product. The benchmark CPR vectors correspond to a high prepayment scenario, reflecting a period of low interest rates and high refinance activity. Fitch s low-speed prepayment scenario reflects historically observed low prepayment periods. During a rising interest rate environment with low refinance activity, Fitch assumes that prepayment speeds slow to 5% on average. CPR vector charts below contain the prepayment curves for unseasoned prime/alt-a fixed-rate mortgages (FRMs) and adjustable-rate mortgages (ARMs). Fitch assumes a 10-year life when constructing the prepayment vectors and applies the same vector for 10-year hybrid ARMs and FRMs. The subprime FRM and ARM prepayment vectors that are currently only used in the surveillance of existing transactions are shown in Appendix E. However, the subprime prepayment vectors may be used in the cash flow analysis for pools back by non-prime non-qualified mortgage pools where Fitch s subprime loan loss model is used to determine its loss expectations. U.S. RMBS Cash Flow Analysis Criteria 5

6 When rating transactions in surveillance, an adjustment is made to the benchmark CPR vector. The adjustment is based on the actual three-month CPR trend of the pool under analysis. Fitch holds the actual three-month CPR constant for the first 12 months. After month 12 and until month 36, the agency assumes prepayment speeds will migrate back toward the historical benchmark speeds. After 36 months, Fitch assumes each pool s prepayment speeds will be consistent with long-term historical average benchmark vectors. Conditional Default Rate Assumptions Newly Originated and Current Loans CDR vectors determine the percentage of the remaining pool balance that is expected to liquidate each month. When applying CDR vectors, Fitch assumes that defaults and liquidations occur simultaneously. This is to account for the fact that losses are observed at the point of liquidation due to servicer advancing or other available mechanisms that provide liquidity to the transaction and allow for timely payment of interest and principal on the bonds. Servicer advancing covers principal and interest payments on delinquent mortgages through liquidation, to the extent those advances are deemed recoverable. To the extent that RMBS liquidity mechanisms are expected to be limited (including those transactions that do not provide for principal and interest advances made by the servicer or allow for partial advances), Fitch will evaluate their implications by applying its projected monthly delinquency rate vector. These delinquency vectors are derived from its CDR curves and used to test the structure s ability to withstand potential liquidity shortfalls as described below. Fitch s frontloaded, midloaded and backloaded CDR scenarios are shown in the chart below. The frontloaded CDRs are assumed to ramp up during the first three years after the point of analyses and then trail off toward the end of the loans scheduled maturity. The midloaded CDRs ramp up slowly during the first few years after the point of analyses, are held constant for 31 months and then trail off. In creating backloaded CDR curves, the frontloaded CDR curve for current loans is shifted out by 24 months. The tail end of the backloaded CDR curve has been smoothed out to account for reduced balances and resultant high volatility. This is accomplished by slowing down the CPR and applying single period caps to limit unrealistically large liquidations at the tail of the curve. See Appendix B for Fitch s expected CDR curves applied in surveillance of existing subprime loans. Fitch s CDR curves are adjusted up or down to capture the full amount of lifetime defaults expected at each rating category s stress scenario, but the shape of the curve remains constant. Additionally, the prepayment assumptions are taken into account so that the full amount of the expected collateral defaults is applied to the pool, regardless of prepayment speeds. That is, a voluntary prepay does not decrease the expectations for total pool loss. U.S. RMBS Cash Flow Analysis Criteria 6

7 Delinquent Loans Fitch has developed liquidation timing curves for each delinquency bucket by sector (30-day, 60-day, 90-day, foreclosure and REO). These curves apply only to DQ loans that default and liquidate; loans that cure are not included. The charts below show the expected timing curves for delinquent prime loans in 30-day, 60-day, 90-day, foreclosure and REO delinquency buckets, capturing frontloaded, midloaded and backloaded stress assumptions. See Appendices D and E, for expected timing curves for delinquent loans used in surveillance of existing Alt-A and subprime loans, respectively. All delinquency liquidation vectors extend only to 60 months, as Fitch has observed that the vast majority of nonrecovering loans liquidate within 60 months of their roll to delinquency. U.S. RMBS Cash Flow Analysis Criteria 7

8 Delinquency Rate Assumptions Fitch expects AAAsf and AAsf rated bonds to be paid timely interest under Fitch s cash flow stress scenarios. For bonds rated Asf or lower in transactions that allow for interest to be deferred, any interest deferrals experienced under Fitch s stresses are expected to be repaid within a reasonable time period. To assess the adequacy of the cash flows to pay timely or ultimate interest, Fitch will use its monthly default timing vectors (for both current and DQ loans as described above) as well as its cure rate adjustment (CRA) assumption as described in Fitch s criteria report, Exposure Draft: U.S. RMBS Loan Loss Model Criteria to create a delinquency rate vector. Also, because loans stop cash flowing before liquidation, Fitch factors in its liquidation timelines to account for the period of time between when the borrower stops paying and when the loan liquidates. For the portion of delinquent loans assumed to cure prior to liquidation, Fitch assumes the loan does not cash flow for six months before resolving. Cash Flow Assumptions - Non-Performing Loan RMBS Fitch s timing assumptions for non-performing loan (NPL) RMBS, defined by Fitch as pools comprising more than 10% of loans 60 days or more delinquent at issuance, does not consider multiple delinquency and default timing stresses since Fitch expects NPL transactions that it rates to have a sequential pay structure where timing stresses are less relevant. U.S. RMBS Cash Flow Analysis Criteria 8

9 For this reason, Fitch s NPL cash flow methodology is derived from an application of a transition matrix, which models the rate at which loans move from one delinquency status to another and distinguishes between loans in judicial and non-judicial foreclosure states. At higher rating categories, these transition rates are stressed, leading to a higher percentage of loans that neither liquidate nor return to a performing status. The stress scenarios assume increasingly longer periods of reduced cash flow. Fitch s transition matrix approach benchmarks the base-case assumption to industry average transition rates over the period and then, in the stress scenario analysis, applies increasingly longer recovery timing assumptions for those loans that ultimately move from DQ status to liquidation. This approach assumes a distribution of liquidation timelines for each loan rather than a single timeline assumption. The model calculates the expected transitions for the portfolio on a monthly basis, generating a set of cash flow vectors estimating the shape and speed of liquidations, the amount of prepayments, and the percentage of delinquent loans in each period. These vectors are used to analyze their impact on the transaction structure. Fitch s cash flow analysis is used primarily to assess the timing of interest payments to bondholders given the sequential structure. Fitch will provide a description of the transition rates used to analyze the NPL transaction, as well as greater detail about its general NPL rating criteria, in its rating action commentary for the specific transaction. Interest Rate Stress Analysis In addition to the prepayment and loss distribution assumptions, Fitch evaluates interest rate risk in RMBS transactions. Interest rate risk occurs when there is an interest rate, index or timing mismatch between the underlying mortgage collateral and RMBS bonds, such as fixed-rate collateral supporting floating-rate bonds. The majority of RMBS transactions are structured to mitigate against these risks. When the above risk is present, an interest rate stress analysis is necessary to determine the amount of excess spread available to cover losses after paying interest to bondholders. Various stress assumptions are used to assign the appropriate value to excess spread for each rating category. Interest rate stresses will be applied to all six prepayment and default timing combinations. Fitch s analysis takes into account periodic caps and margins restricting the amount by which the rate on the underlying loans can change at a given reset date. The interest rate stresses Fitch assumes in its cash flow analysis, which are updated periodically, are discussed in detail in Fitch Research on Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds, dated December 2014, available on Fitch s website at In RMBS transactions that use derivatives to protect the transaction against interest rate risk or cover losses, Fitch will apply its Counterparty Criteria for Structured Finance and Covered Bonds, dated May 2014, and Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum, dated May 2014, both available on Fitch s website at Variations from Criteria Fitch s criteria are designed to be used in conjunction with experienced analytical judgment exercised through a committee process. The combination of transparent criteria, analytical judgment applied on a transaction-by-transaction or issuer-by-issuer basis, and full disclosure via rating commentary strengthens Fitch s rating process while assisting market participants in understanding the analysis behind our ratings. U.S. RMBS Cash Flow Analysis Criteria 9

10 A rating committee may adjust the application of these criteria to reflect the risks of a specific transaction or entity. Such adjustments are called variations. All variations will be disclosed in the respective rating action commentaries, including their impact on the rating where appropriate. A variation can be approved by a ratings committee where the risk, feature, or other factor relevant to the assignment of a rating and the methodology applied to it are both included within the scope of the criteria, but where the analysis described in the criteria requires modification to address factors specific to the particular transaction or entity. Criteria Limitations Under less stressful loss assumptions associated with lower rating categories, transactions without any structural mitigants that pass all cash flow scenarios will be subject to a rating cap. If structures fail the less stressful loss assumption scenarios and do not contain mitigants that ensure full repayment, in accordance with the transaction documents, Fitch will likely decline to rate the transaction. Any deviation from criteria will be disclosed in transaction presale and new-issue reports. For more information on rating caps, see Fitch Research on Criteria for Rating Caps and Limitations in Global Structured Finance Transactions, dated May U.S. RMBS Cash Flow Analysis Criteria 10

11 Appendix A: Impact of Conditional Default Rate Assumptions on Credit Enhancement Examples Frontloaded Conditional Default Rates Depending on a bond s seniority and the transaction pay structure, different scenarios may be more stressful to bonds under analysis. For example, a first-priority bond in a time-tranched senior-sub structure will be highly vulnerable to frontloaded defaults as incoming losses get distributed pro rata among the senior balances based on their current amounts. Hence, the first-pay bond will be allocated losses if they occur earlier in the transaction versus losses that arrive later in the transaction life after the first-priority bond has paid down. Senior support bonds with pro-rata principal structures may also be highly sensitive to frontloaded losses, as losses from the super-senior/senior support pair will write down the senior support bond before it has the opportunity to pay down. Backloaded Conditional Default Rates Backloaded losses can be stressful in several structures due to the risk that supporting bonds in a structure will pay down before absorbing losses. For example, subordinated bonds in a pro rata structure may begin to pay down if performance triggers pass at certain points. If losses begin to occur after this point, a diminished amount of enhancement may be available, which can subject more senior bonds to an increased risk of writedowns. Super-senior bonds, which typically share in principal distributions pro rata but have reverse-sequential losses with the support bond, are particularly susceptible to backloaded loss scenarios. Midloaded Conditional Default Rates Bonds in the middle of sequential or time-tranched structures are most likely be those affected by midloaded losses. For an A2 bond in an A1-A2-A3 structure, the midloaded timing is more stressful for the A2 and A3 bonds, as the A1 bond is allowed greater paydown before losses occur. A frontloaded curve would impact all tranches proportionately, including the A1, as losses would be shared by all, while a backloaded loss curve would allow for paydown of the A1 and A2 bond before losses hit, decreasing their exposure to writedowns. Sequential, component and accretion-directed bonds can often be impacted by a midloaded loss. U.S. RMBS Cash Flow Analysis Criteria 11

12 Appendix B: Subprime Conditional Default Rate Assumptions Newly Originated and Current Loans U.S. RMBS Cash Flow Analysis Criteria 12

13 Appendix C: Alt-A Conditional Default Rate Assumptions Delinquent Loans U.S. RMBS Cash Flow Analysis Criteria 13

14 Appendix D: Subprime Conditional Default Rate Assumptions Delinquent Loans U.S. RMBS Cash Flow Analysis Criteria 14

15 The graphs above (for loans in 90+, FC or REO) represent the liquidation timelines for loans just entering that delinquency bucket. In application, Fitch assumes that loans have already been in that bucket for 6 months, effectively shifting the shape of the curves by 6 periods. U.S. RMBS Cash Flow Analysis Criteria 15

16 Appendix E: Subprime Prepayment Assumptions U.S. RMBS Cash Flow Analysis Criteria 16

17 Appendix F: Subprime (Other) Conditional Default Rate Assumptions Newly Originated and Current Loans U.S. RMBS Cash Flow Analysis Criteria 17

18 Appendix G: Subprime (Other) Conditional Default Rate Assumptions Delinquent Loans The graphs above (for loans in 90+, FC or REO) represent the liquidation timelines for loans just entering that delinquency bucket. In application, Fitch assumes that loans have already been in that bucket for 6 months, effectively shifting the shape of the curves by 6 periods. U.S. RMBS Cash Flow Analysis Criteria 18

19 Appendix H: Impact of Prepayment and Default Timing on CE Example of the impact of prepayment and default timing on CE This sample pool had an AAAsf expected loss of 6.00%. CPR and CDR Timing Scenarios AAAsf CE (%) Scenario 1 Frontloaded CDRs and benchmark CPRs Scenario 2 Frontloaded CDRs, assuming a 5% CPR for the life of the deal Scenario 3 Midloaded CDRs and benchmark CPRs Scenario 4 Midloaded CDRs, assuming a 5% CPR for the life of the deal Scenario 5 Backloaded CDRs and benchmark CPRs Scenario 6 Backloaded CDRs, assuming a 5% CPR for the life of the deal U.S. RMBS Cash Flow Analysis Criteria 19

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As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided as is without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. 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Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no ) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act U.S. RMBS Cash Flow Analysis Criteria 20

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