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Table 28: Alt-A and Subprime Private-Label Wraps

Vintage and CE Quartile

(1)

Unpaid

Principal

Balance

(2)

Average

Current

(3)

Original

(3)

Minimum

Current

(3)

Monoline

Financial

Guaranteed

Amount

(4)

20d/50s

NPV

30d/40s

NPV

30d/50s

NPV

50d/50s

NPV

Credit Enhancement Statistics

Hypothetical Scenarios

(5)

As of December 31, 2008

(Dollars in millions)

Alt-A wraps:

2005-1

(1)

.............................. $— —% —% —% $— $— $— $— $—

2005-1

(2)

.............................. — — — — — — — — —

2005-1

(3)

.............................. — — — — — — — — —

2005-1

(4)

.............................. 223 6 4 6 — — — — —

2005-1 subtotal ......................... 223 6 4 6 — — — — —

2007-1

(1)

.............................. — — — — — — — — —

2007-1

(2)

.............................. — — — — — — — — —

2007-1

(3)

.............................. — — — — — — — — —

2007-1

(4)

.............................. 289 8 8 8 — — — — —

2007-1 subtotal ......................... 289 8 8 8 — — — — —

2008-1

(1)

.............................. — — — — — — — — —

2008-1

(2)

.............................. — — — — — — — — —

2008-1

(3)

.............................. — — — — — — — — —

2008-1

(4)

.............................. — — — — — — — — —

2008-1 subtotal ......................... — — — — — — — — —

Total Alt-A wraps .......................... $512 7% 7% 6% $— $— $— $— $—

Vintage and CE Quartile

(1)

Unpaid

Principal

Balance

(2)

Average

Current

(3)

Original

(3)

Minimum

Current

(3)

Monoline

Financial

Guaranteed

Amount

(4)

50d/60s

NPV

60d/50s

NPV

60d/60s

NPV

70d/70s

NPV

Credit Enhancement Statistics

Hypothetical Scenarios

(5)

As of December 31, 2008

(Dollars in millions)

Subprime wraps:

2004 and prior ......................... $ 761 35% 14% 19% $ $— $— $ — $ —

2005-1

(1)

.............................. 86 12 3 — — — — — —

2005-1

(2)

.............................. — — — — — — — — —

2005-1

(3)

.............................. 239 62 20 61 — — — — —

2005-1

(4)

.............................. 123 74 21 68 — — — — —

2005-1 subtotal 448 56 17 — — — — — —

2005-2

(1)

.............................. 232 36 25 23 — 14 17 25 54

2005-2

(2)

.............................. 744 46 31 45 — — — — 59

2005-2

(3)

.............................. 440 53 25 48 — — — — 8

2005-2

(4)

.............................. 558 79 56 57 186 — — — —

2005-2 subtotal 1,974 55 36 23 186 14 17 25 121

2007-1

(1)

.............................. 1,354 18 17 17 — 215 263 381 557

2007-1

(2)

.............................. 1,552 23 20 22 — 159 223 366 577

2007-1

(3)

.............................. 1,815 26 22 24 — 113 190 362 619

2007-1

(4)

.............................. 1,648 33 29 28 — 84 126 262 463

2007-1 subtotal 6,369 25 22 17 — 571 802 1,371 2,216

2007-2

(1)

.............................. 269 29 24 26 — 14 24 53 92

2007-2

(2)

.............................. — — — — — — — — —

2007-2

(3)

.............................. 404 33 30 33 — 26 40 73 123

2007-2

(4)

.............................. 446 34 30 34 — — — 38 114

2007-2 subtotal 1,119 33 29 26 — 40 64 164 329

2008-1

(1)

.............................. — — — — — — — — —

2008-1

(2)

.............................. — — — — — — — — —

2008-1

(3)

.............................. — — — — — — — — —

2008-1

(4)

.............................. — — — — — — — — —

2008-1 subtotal — — — — — — — — —

Total subprime wraps . . . ..................... $10,671 34% 25% —% $186 $625 $883 $1,560 $2,666

Total Alt-A and subprime wraps . . ................ $11,183 32% 24% —% $186 $625 $883 $1,560 $2,666

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