The collateral consist of  15 year loans issued in 2004 with the final loan maturing in May 2019.  Out of the original 200 loans in the pool there are currently 13 active loans backing this tranche (187 have refinanced or paid off).  The short maturity of the remaining loans (17 months) results in an HPI LTV of 7.84% which means the these borrowers have nearly 92% equity in their homes.  There is one delinquent loan in the pool which is listed as REO and it is the largest loan in the pool. It had an original balance of $462,000 and has paid down to $154,000 giving it an LTV 24% (a tremendous amount of equity).  Due to the large amount of equity it is likely the loss severity will be extremely low upon final liquidation.  The rest of the loans in the pool are current and considering the amount of equity and the short remaining maturity it is highly unlikely any other loans in the pool will go into default.

Continue to page 3 for return analysis