Chotin Asset Management Corporation

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Chotin Asset Management CorporationOverview

____________________Source: The Chotin Group Corporation. As of November 15, 2006.

Chotin Asset Management Corporation (“CAMCO") is an affiliate of The Chotin Group Corporation ("TCG") and encompasses all of the asset management functions of the firm.

TCG, a private company, has been in business for 20 years and has been actively involved in structured debt financings and asset securitization primarily for its own account. TCG has been a key player in the more credit sensitive subordinate and residual real estate security markets.

TCG and affiliated companies have extensive experience analyzing, acquiring, and managing significant portfolios of structured product assets including CMO, MBS, and various other credit-sensitive ABS in all market environments, generally with a "hold-to-maturity" strategy.

CAMCO’s investment process is a bottom-up team approach with a commitment to quantitative analysis, risk management and pre/post acquisition surveillance.

Through National Mortgage Corporation ("NMC") (an affiliated company) TCG originated over $1 billion of nonconforming mortgage loans from 1991 to 1999.

Through its FAIC and FAIC II shelves, TCG securitized and structured in excess of $3.95 billion of NMC-originated and third party loans.

CAMCO’s subsidiary Chotin Fund Management Corporation (“CFMC”) is the collateral manager of seven ABS CDOs.

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Chotin Asset Management CorporationHistory of The Chotin Group Corporation and Steven B. Chotin

1975-1978 President Solarcell, an affiliate of MDC Holdings

1978-1984 Senior Vice President MDC Holdings (NYSE “MDC”)

1979 While at MDC, Mr. Chotin founded American Southwest Financial Services, the first mortgage conduit comprised of eighty -eight homebuilders across the country.

Founded and became President of Home American Mortgage Corporation, a captive mortgage origination company which facilitated activities between MDC Holdings and American Southwest Financial Services.

Aided in the successful congressional approval of SMMEA (“Secondary Mortgage Market Enhancement Act”), which allowed the private sector to issue mortgage-backed securities using government guarantees.

1984 Founder The Chotin Group Corporation

With the formation of the Chotin Group, Mr. Chotin facilitated the securitization of a variety of structured finance products for clients such as savings and loans, homebuilders and pension funds.

1988 Mr. Chotin formed The Fund America Investor securitization shelves to issue CMO and MBS transactions.

1989 In the late 1980s, Mr. Chotin identified the need for new securitization structures to facilitate the placement of residual interests, which were previously held by savings and loans.

He created Fund America Ventures Corporation (FAVC) to purchase those residual interests. FAVC ultimately was expanded to include substantial holdings in all classes of RMBS with particular focus on subordinate securities.

1991 Mr. Chotin acquired National Mortgage Corporation (NMC), which was a prime residential mortgage servicer. He developed NMC into a nationwide sub-prime lending and servicing platform. NMC securitized a portion of the loans it originated through the Fund America Investor shelves. NMC also sold assets when economics warranted doing so. NMC was closed in 1999.

1996 FAVC issued its first re-securitization of subordinate securities.

2002 Mr. Chotin decided to focus the firm’s business activities on third party asset management through Chotin Asset Management Corporation (CAMCO).

2004 Chotin Fund Management Corporation (CFMC), a subsidiary of CAMCO closed its first CDO, Saturn Ventures 2004 – Fund America Investors III, Ltd.

2006 CFMC closed its seventh ABS CDO, bringing its assets under management up to $4.25 billion.


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Chotin Fund

Management

CorporationFormerly known as Fund America

Management Corporation is

the manager of the CDO issuance platform

Fund AmericaInvestors Corporation &

Fund AmericaInvestors Corporation II

Limited purpose finance companies established to issue public bonds

and other similar securities collateralized by mortgage loans, mortgage certificates and other

mortgage-related assets. As of August, 2006, TCG has

structured and issued over $3.95 billion in RMBS through its Fund America Investors securitization

platforms.

Fund America Ventures

Corporation Invested, for its own account, in excess of

$500 million in mortgage

related securities.In 1996, FAVC issued

a resecuritization of

$72 million in bonds.

National MortgageCorporatio

nNationwide sub-prime Originator,

Servicer and Mortgage

Banker1991-1999

Chotin Asset Management Corporation

Relevant Affiliated CompaniesChotin Asset Management Corporation


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Chotin Asset Management CorporationCDO Platform

In 2003, TCG through FAMC extended its core competencies of credit analysis and financial structuring to establish itself as a value added investor and asset manager of multi-sector CDOs of ABS

Issuer Type Notional $(mm)

Closing Date

Saturn Ventures 2004-Fund America Investors III Mezzanine ABS CDO 400.0 April 2004

Mercury CDO 2004-1 High Grade ABS CDO 750.0 November 2004

Neptune CDO 2004-1 Mezzanine ABS CDO 400.0 J anuary 2005

Neptune CDO II Mezzanine ABS CDO 300.0 J uly 2005

Mercury CDO II High Grade ABS CDO 1,000.0 December 2005

Neptune CDO III Mezzanine ABS CDO 400.0 March 2006

Mercury CDO III High Grade ABS CDO 1,000.0 May 2006

TOTAL 4,250.0

CFMC cash-flow CDOs under managementCFMC cash-flow CDOs under management


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Chotin Asset Management CorporationOrganizational Chart


Jennifer M. LandExecutive Assistant/

HR Diresctor

TBDExecutive Assistant

to the President

Doug A. SandersSystems

AdministratorJulie E. Backer

Staff Accountant

Andy P. WolfInvestment/

Surveillance Analyst

Peter O. ReynoldsTrading Operations

Ross S. ChotinAssociate

Chris R. MedemaInvestment/


TBDSystems Developer

Steven B. ChotinChairman/CEO

Helen M. DickensPresident/COO

Zachary H PashelExecutive Vice

President

Eric WesterhausenOriginator/Servicer


Jim K. PeasleeVice President/

Portfolio Manager

Jeff W. StemmermannVice President/

Portfolio Manager

Richard J. ReismanVice President/

General Counsel

Paris A. McIntoshSenior Accountant

Payroll/Benefits

David D. FrederickChief Financial Officer

Michael PielSenior Software

Engineer

Hilary U. SnyderInvestment/


Matthew R. KrumpInvestment/


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Chotin Asset Management CorporationInvestment Philosophy

CAMCO’s Investment Objectives:

Create products backed by a well-diversified pool of quality assets, with the assets selected for their long-term potential to generate superior risk-adjusted returns

Focus on real estate ABS, primarily residential MBS and ABS CDOs

Bottom-up approach to asset selection

– Rigorous analytical approach applied by team

– Collateral and deal structure paramount

– Macro economic overview helps identify troubled sectors

– Investment Committee approves all purchases

Modified Static Structure

– Limited trading reinforces proper asset selection up front, while allowing proactive loss mitigation

– Avoids incentives that encourage aggressive portfolio postures


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Asset Selection

– Bottom-up credit focus

– Pool and loan level data used to estimate default and loss probabilities

Indices database monitored for relative performance comparison

– Cash flow modeling under multiple interest rate and prepayment scenarios

– Mortgage originator and servicer due diligence and review

– Constant monitoring of performance against initial expectations Surveillance & Monitoring

– Assets are monitored for collateral performance, structural features performance and relative performance against appropriate cohorts:

OC growth, stagnation or deterioration

Losses exceeding excess interest

“DPIPE”, a classic delinquency analysis

Step-Down trigger analysis

Assets ranked monthly based on relative performance versus proprietary indices

Rating agency action monitored

– Monthly and quarterly trustee reports are reconciled against asset-level cash flows and performance levels.

Chotin Asset Management CorporationStructured Finance Process


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Chotin Asset Management CorporationStructured Finance Process

CollateralCharacteristic

s

DealStructure

Originator, Servicer, Manager

Cash flow structure Performance stress runs

Defaults Loss Severity Prepayments Interest rates

Evaluate underwriting guidelines Historical performance Diligence call and/or visit Ratings

Macro Economic Outlook Loan level analysis Pool level analysis

FICO LTV FRM % vs. ARM % 2nd Lien % Industry Trends


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Chotin Asset Management CorporationStructured Finance Process (cont’d)

CollateralCharacteristic

s

DealStructure

Originator, Servicer, Manager

Asset & Collateral

Review Delinquency

Performance Ratings Migration Pricing

Surveillance

Analytics

Purchase

CDOPortfoli

o

CDO Surveillance &

Monitoring Ratings Tests Compliance Tests Quality Tests

Information used to enhance analytics

Proactive Loss Mitigation

Structure and collateral complexion drives asset selection from the bottom-up.


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A Tale of Two Mortgage Pools, Same Dealer Shelf• Bond #1 - Issued July 2004• New Century originated collateral• Avg. FICO 616• Baa3/BBB-• Initial Total Support: 3.40%

Positive Attributes

Note: The information above is historical and represents the attributes of a particular investment we made. It should not be considered to be indicative of our possible future investments, nor should it be extrapolated to be indicative of our possible future performance, each of which could differ significantly.

FICO < 550: 16.6% Avg. LTV: 79% 98% 1st Lien 10% IOs 6.5% Investor Loans Avg. Loan Size: $167k 3% IL; 3% MI; <2% OH; <2% IN

Negative Attributes 64% Cash Out Refinance 42% Reduced Documentation Small Servicer (Saxon)

• Bond #2 - Issued June 2004• Argent collateral, Ameriquest wholesale • Avg. FICO 620• Baa3/No S&P Rating• Initial Total Support: 3.55%

Positive Attributes Avg. FICO: 620 (FICO < 550: 11%) 100% 1st Lien 63% Full Documentation No IOs

Negative Attributes Avg. LTV: 87% (LTVs > 90%: 30%) 27% Investor Loans 8% IL; 7% MI; 7% OH; 6% IN Avg. Loan Size: $78k (55% < $100k)



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Chotin Asset Management CorporationCAMCO invested in Bond #1 and rejected Bond #2

Bond #1

Scenario Name BASE FAST CASE SLOW CASE STRESS STRESS STRESS STRESS

Forward Rate Shock (bps)

0 0 0 -50 50 -100 100

Prepay Rate Pricing 125% Pricing 75% Pricing Pricing Pricing Pricing Pricing

Default Severity 50% 50% 50% 50% 50% 50% 50%

Breakeven Loss 8.75 5.46 10.42 9.17 7.02 9.56 6.83

Expected Loss (%) 4.50 4.50 4.50 4.50 4.50 4.50 4.50

Coverage Ratio 1.94 1.21 2.32 2.04 1.56 2.12 1.52

Bond #2

Scenario Name BASE FAST CASE SLOW CASE STRESS STRESS STRESS STRESS

Forward Rate Shock (bps)

0 0 0 -50 50 -100 100

Prepay Rate Pricing 125% Pricing 75% Pricing Pricing Pricing Pricing Pricing

Default Severity 80% 80% 80% 80% 80% 80% 80%

Breakeven Loss 11.27 8.73 13.58 11.68 10.86 12.09 10.4

Expected Loss (%) 9.00 9.00 9.00 9.00 9.00 9.00 9.00

Coverage Ratio 1.25 0.97 1.51 1.30 1.21 1.34 1.16



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Was CAMCO right?

Bond #1

Cumulative losses: .36%

REO: 1.56%

60+ Delinquency: 1.69%

No Change in Ratings (Baa3/BBB-)

Bond #2

Cumulative losses: 3.80%

REO: 5.37%

60+ Delinquency: 6.18%

Moody’s Downgrade from Baa3 to B3

Performance to date1:

Through both a quantitative and qualitative analysis, we steered clear of the sub-performing asset.

1Performance data as of July 31, 2006 and based on original collateral balances.




Biographies

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Chotin Asset Management CorporationBiographies

Ms. Dickens is responsible for strategic planning and implementation of all structured finance and operational activities. She joined Chotin in 1989 as manager of accounting and was promoted to Chief Operating Officer in 1995, and to President in 2002. She has managed all phases of the asset securitization process as well as securities trading and operations. Prior to joining Chotin, Ms. Dickens was Corporate Secretary of Uniwest Financial Corporation, a savings and loan holding company with 13 branches. She was responsible for accounting, human resources and shareholder relations. Ms. Dickens holds a Bachelor of Science degree in Accounting from Metropolitan State College.

Mr. Chotin founded The Chotin Group Corporation in 1984 as a firm specializing in asset securitization and structured financings. In subsequent years Mr. Chotin created a group of affiliates to invest in a variety of asset classes and to provide securitization services to the investment banking community. He served as Senior Vice President of MDC Corporation (NYSE: "MDC"), where he played a primary role in the formation of American Southwest Financial Corporation, one of the first mortgage banking conduits serving participants nationwide. Mr. Chotin also created Home American Mortgage Corporation, a full-service mortgage banking operation for MDC.

Steven B. Chotin Founder & Chairman Steven B. Chotin Founder & Chairman

Helen M. Dickens President and Chief Operating Officer

Helen M. Dickens President and Chief Operating Officer

Mr. Pashel is responsible for structuring and implementation of structured finance and new business products. Mr. Pashel has been involved in all aspects of Chotin’s CDO platform from asset acquisition, structuring, marketing and ongoing asset surveillance. Prior to joining Chotin in 2004, Mr. Pashel’s employment included Deson Ventures and Greyrock Capital Partners, both groups specializing in middle market private equity and M&A advisory services. Mr. Pashel also owned and operated numerous companies in the real estate and aviation industries. Mr. Pashel was educated at Brandeis University.

Zachary H Pashel Executive Vice President and Head of Structured Finance

Zachary H Pashel Executive Vice President and Head of Structured Finance


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Chotin Asset Management CorporationBiographies (cont’d)

Mr. Peaslee is responsible for fixed income trading and portfolio management. He joined Chotin in 2005 after twelve years in structured finance at Great-West Life & Annuity Insurance Co. where he managed portfolios consisting of Home Equity ABS, Franchise Loans and Affordable Housing Tax Credits. From 1988-1991, Mr. Peaslee was a Staff Auditor with Ernst & Young. Mr. Peaslee holds a Bachelor of Arts from the University of Oregon and a Master of Business Administration and a Master of Public Health from the A.B. Freeman School of Business, Tulane University. In addition, he has earned the right to use the Chartered Financial Analyst designation.

Mr. Stemmermann is responsible for fixed income trading and portfolio management. His primary responsibilities include credit analysis and the acquisition of assets for our CDOs. Prior to joining Chotin, Mr. Stemmermann worked at ING Investment Management as an analyst and junior portfolio manager from 2001 through 2004. The Georgia Institute of Technology awarded Mr. Stemmermann both a Bachelor of Science degree in Industrial and Systems Engineering and a Master of Science degree in Quantitative and Computational Finance. In addition, he has earned the right to use the Chartered Financial Analyst designation.

Jeffrey Stemmermann, CFA Vice President/Portfolio Manager

Jeffrey Stemmermann, CFA Vice President/Portfolio Manager

Jim Peaslee, CFA Vice President/Portfolio Manager

Jim Peaslee, CFA Vice President/Portfolio Manager


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Mr. Medema is a member of the fixed income trading and analytics team. He supports the portfolio managers with credit analysis across all asset classes with an emphasis in residential mortgage backed securities. His duties extend to surveillance and loss modeling. Prior to joining TCG, Mr. Medema spent two years working as an analyst for a Colorado based hedge fund group and asset management firm. He holds Bachelor of Arts degrees in both Mathematics and Economics from the University of Colorado, Boulder.

Ms. Snyder is a member of the fixed income trading and analytics team. She is responsible for maintaining our transaction database and supervises the surveillance and monitoring process. Ms. Snyder holds a Bachelor of Science degree in Applied Mathematics with an emphasis in Computer Science from the University of Colorado at Boulder.

Hilary U. Snyder Investment/Surveillance Analyst

Hilary U. Snyder Investment/Surveillance Analyst

Chris Medema Investment/Surveillance Analyst

Chris Medema Investment/Surveillance Analyst

Matthew R. Krump is a member of the fixed income trading and analytics team. He assists with the trading and analysis of asset-backed securities with a focus on residential mortgage ABS. Prior to joining Chotin Group, he worked in the ABS/CDO group at Smith Breeden Associates and the portfolio analytics group at BlackRock, he was also previously an investment banking analyst in the leveraged finance group at Lehman Brothers. Mr. Krump earned a Master of Science in Accounting and Bachelor of Science in Business from the Leeds School of Business at the University of Colorado and is currently a Level 3 Chartered Financial Analyst candidate.

Mr. Wolf is a member of the fixed income trading and analytics team. He supports the portfolio managers with credit analysis across all asset types and is actively involved in the surveillance and monitoring process. Prior to joining TCG, Mr. Wolf was an investment analyst concentrating on commercial loans at Merchants Mortgage and Trust and was a field coordinator for the Joe Lieberman for President Campaign. He holds a Bachelor of Science degree in Business Management from the University of Colorado, Boulder.

Andy Wolf Investment/Surveillance Analyst

Andy Wolf Investment/Surveillance Analyst

Matthew R. Krump Investment/Surveillance Analyst

Matthew R. Krump Investment/Surveillance Analyst


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Mr. Reynolds manages operations for the fixed income trading team, including all settlement and transaction oriented duties. Before joining The Chotin Group, Mr. Reynolds was a senior analyst at Clayton Fixed Income Services, an information and analytics company that provides loan-level credit risk management for investors, servicers and lenders. Mr. Reynolds was also involved in the mortgage industry as a mortgage banker for numerous yerars. He holds a Bachelor of Arts degree in from Vanderbilt University.

Peter Reynolds Trading Assistant Peter Reynolds Trading Assistant

Mr. Piel is the Senior Software Engineer responsible for the management of The Chotin Group’s information technology. Prior to joining Chotin, Mr. Piel was a Senior Developer for Great-West Life & Annuity Insurance Company, where he developed internet trading and reporting systems for the Bank Owned Life Insurance (BOLI) and Corporate Owned Life Insurance (COLI) variable products. Mr. Piel also has experience in wealth management consulting and corporate accounting. Mr. Piel holds a Master of Science degree in Information Systems from the University of Colorado and a Bachelor of Science degree in Business Administration from the University of Wyoming.

Michael B. Piel Senior Software Engineer Michael B. Piel Senior Software Engineer


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Mr. Reisman is responsible for managing all of the legal aspects of the work of Chotin and its affiliates. Prior to joining Chotin, Mr. Reisman was a senior associate with Skadden, Arps, Slate, Meagher & Flom in London, England. Mr. Reisman’s work there was of a general corporate nature. Before joining Skadden, Mr. Reisman was an associate with Cahill Gordon & Reindel in New York, specializing in corporate finance. Mr. Reisman received his J.D. from the University of Chicago Law School and his B.A. from Dartmouth College.

Richard J. Reisman Vice President and General Counsel

Richard J. Reisman Vice President and General Counsel

Mr. Frederick is responsible for managing all accounting functions at The Chotin Group. Prior to joining Chotin in 2005, David served as SVP and CFO of Duke Energy Field Services, the nations largest natural gas processor headquartered in Denver, CO. David moved to Denver in 1998 from Houston, Texas, where he held various positions with Duke Energy and its predecessor company, Pan Energy Corp. David started his career with Deloitte and Touche where he spent seven years in the audit. David graduated from the University of Houston in 1981 with a BBA in accounting and is a Certified Public Accountant.

David Frederick Chief Financial Officer David Frederick Chief Financial Officer


Mr. Westerhausen joined Chotin in 2005 and is responsible for the firm's servicer and originator oversight. He brings more than 18 years of mortgage banking and financial services experience to Chotin, having previously held the position of Vice President, Correspondent Operations at National Mortgage Corporation, a former Chotin subsidiary where he managed whole loan purchasing, warehousing, custodial relationships and pool certification activities. Other past experience includes production management positions with Wells Fargo Home Mortgage and Huntington Mortgage Company. He is a past member of the Document Custody Committee and E-commerce Sub-committee of the Mortgage Bankers Association. He holds a Bachelor of Arts degree in Economics from Ohio State University.

Eric Westerhausen Originator/Servicer Surveillance Analyst

Eric Westerhausen Originator/Servicer Surveillance Analyst

Documents

Chotin Asset Management Corporation