Amhers

tPier
pontNon-
Agenc
y
Mor
tgageMar
ketMonit
or

Apr
il2020Remi
ttanc
e

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iet
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ndConfide
nal
1
 Tabl
eofCont
ent
s

Secon S
li
deNumbers
Se
ctorBa l
ancea ndPerf
orma nc eS nap-
Shots,One -Y
e arLookback 4-
8
Univers
eCompos iona ndPe r
formanc eHistory 9-11
Sect
orPe rf
ormanc ebyCr edi
t,Fi
ve-YearLook back 12-18
Los
sSev e
rie sandLiquida onL ag
s,Five
-Ye arLookback 19-26
BalanceDe c
li
neCompos ion, T
wo- YearLook back 27
NetDe f
a ul
tT ransionRa tes 28-29
Liqui
da onCompos iona ndDe l
i
nquentLoa nAba t
eme nt
s 30-32
HomeVa lues,Li
quida onPr obabili
tyObs e
rva ons ,andRe cove
ries 33-35
Se
rvicerPe rformance 36-38
L
oanModi fic a onsa ndRe c
idi
vism 39-40
TotalRe
turnCompos iona ndRe l
av eVa l
ue ;Pri
cingMa tr
ix 41-44

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iet
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ndConfide
nal
2
 KeyAs
sumpt
ions

Weus e‘I
nves
torBal
anc
e’
Thi
sisthebal
ancek
nownbyt
het
rus
tofade
ala
ndma
ydi
fferf
romt
heba
lanc
eknownt
oabor
rowe
rifa
nyf
orbe
ara
ncea
mount
sha
vebe
eni
ncur
red.

Ourdenomi
na t
orsma ydi
fferfr
om conven onalca
lcul
a ons
Cer
tai
nperf
orma nc
eme asur
eshere
inarere
fle c
tedasape r
cent
ageofag
ive
nc ohortba
lanc
eandmayca
useourr
atest
ovar
yfromt hos
erepr
esent
edasaperc
entag
eoftot
al
col
l
ater
alba
lance.Forex
ample,Vol
unta
ryPrepaymentRat
es(VPRs
)onAl
wa y
sPe r
formi
ngLoans(
APL
s)a
recal
cul
ate
dasaperc
e nt
ageofther
ela
tedAPLbal
ance,
nottot
alc
oll
ate
ral
.

Categ
oriesar
emut ual
lyexcl
usi
ve
Wec rea
tecateg
oriest
hatdonotoverl
apfori
nte
rpre
ta onal
ea s
e.Forexa
mpl
e,whe
nwepr
ese
ntda
taf
ors
tat
es,
webuc
ketc
ert
ains
tat
esdi
snc
tl
y,i
.
e.CAorNY
/NJ
,andt
heng
roup
theres
tintoNon-J
udic
ialorJ
udi
cia
l.T
he s
ebucket
saremutual
lyexc
lusi
ve.

Weuseapr opriet
aryhome-pri
ceindex
Mark-
to-
ma rketLTVorCLTVarecal
cula
tedusi
ngAmherstHPI
,anIndexmai
ntai
neda
ndli
censedtoAPSbyAmhers
tInsi
ghtL
abs,
whic
husesapropr
iet
ary
, r
epeat
-sa
leHomePri
ce
I
ndexwhiche x
plic
it
lyexcl
udesdi
stre
ssedandnon-
arm’sl
engt
htransacons.T
hemodel
for
e c
astshomepri
cesi
nover90CoreBa
sedSt
a scalArea
s(CBSAs)a
nda l
l50st
ate
s.I
fa
gi
venl
oanc annotbema ppedtooneofthe90CBSAs,s
tatel
evel
HPI i
sappl
i
ed.

Cl
ass
ific
a onofli
quida onsorprepayments
Wecate
gori
zeanyl
oa nthatl
eavesthepoolwi
thl
esst
hana1.
5%losss
eve
rit
yasapr
epa
yme
nt.
Thi
sisa
ssume
dtoa
ccountf
orpr
epa
yme
nti
nte
res
tshora
ll
sandot
hernoi
set
hat
woul
dother
wis
ec a
us eustocat
egoriz
eprepay
mentsasl
i
qui
da ons
.

Del
inquentloanabat
ement s
Wer ef
ertoa nyl
oanthatlea
v e
sapoolasanabat
edloan.Sl
i
desr
ela
tedt
othi
sconc
epte
xcl
udel
oansf
romc
all
edde
als
,ae
mptt
ocont
rol
forr
epur
cha
sea
cvi
ty,
andu l
i
zeour
det
ermina onofwhet heraloanha
sli
quida
tedorpr
e pai
d.

Netcureandtr
ansionr a
tes
Thisi
scal
cul
ate
da sape
r c
entageoftheba
lanceoft
ota
ltra
nsionsa
ndc ur
esinaperi
od.
Forexa
mple,NetCureRat
eisca
lcul
atedast
hetota
lbal
anc
ec ur
eddivi
dedbyt
hes
umof
thebal
anceofal
ll
oansthate
ithercure
dortra
nsionedinagi
venper
iod.T
hisisme
anttoshowthet
raj
ector
yofloa
nsthatcha
ng e
dstat
esbutr
emainouts
tandi
ng.

Cert
ainexcl
usi
ons
Foreaseofre
porng,wear
ecurre
ntl
yexc
ludi
ngal
ll
oansis
suedwit
hina‘
post
-cr
is
is’
deal(i
.
e .
withavi
nta
geofg
rea
tert
hanore
qua
lto2009)a
nda
lsoa
nyl
oansl
oca
tedi
nPue
rto
Ric
o.Also,
anydat
are
lat
edtotheper
iodi
nwhicht
hecle
an-upcal
lf
oradeal
wa sexer
cis
edisexc
lude
d,i
fany
.

Ac
ronyms
Al
waysPe
rfor
mingLoans(
"APLs
"),
Re-Pe
rfor
mingLoa
ns("RPLs
"),
Non-Pe
rfor
mingLoa
ns(
"NPL
s")
,Vol
unt
aryPr
epa
yme
ntRa
te(
"VPR"
),Cons
tantModi
fica onRa
te(
"CMR"
),Cons
tant
Def
aul
tRat
e("CDR"
),Cons
tantTr
ansionRate("
CTR"
),Const
antCur
eRate("
CCR")

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nal
3
 PLSBal
anceandPer
for
manceSnap-
Shot
Al
waysPer
for
mingLoans(
%ofAPLBal
ance) Re-
Per
for
mingLoans(
%ofRPLBal
ance)
21.
0%
8.
5%
20.
0%
8.
0%
VPR 19.
0% VPR
7.
5%
18.
0%
7.
0%
3.
0%
26.
0%
2.
8%
24.
0%
CTR 2.
6% CTR
2.
4% 22.
0%

2.
2% 20.
0%

0.
1%
CDR CDR

0.
0%

May2019 Augus
t2019 November2019 Febr
uar
y2020 May2019 August2019 November2019 Febr
uar
y2020

Non-
Per
for
mingLoans(
%ofNPLBal
ance) Bal
anceCompos
iti
on
100% 320B
5.
0%

VPR
310B
4.
5% 80%

e
anc
300B

anc
20.
0%

Bal
60%

orBal
al
% ofTot
18.
0%

nvest
CDR 290B
40%

I
16.
0%
280B
74.
0%
20%
Act
ual 72.
0%
270B
Sev(Li
q
Onl
y) 70.
0%
0%
68.
0% May2019 August2019 November2019 Febr
uar
y2020

May2019 August2019 November2019 Febr

uar
y2020 Al
waysPer
for
ming Re-
Per
for
ming NonPer
for
ming I
nvest
orBal
anc
e

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mia nce
Pr
opr
iet
arya
ndConfide
nal
4
 Pr
imeBal
anceandPer
for
manceSnap-
Shot
Al
waysPer
for
mingLoans(
%ofAPLBal
ance) Re-
Per
for
mingLoans(
%ofRPLBal
ance)
14.
0%
24.
0%
13.
0%
VPR VPR
22.
0%
12.
0%

20.
0% 11.
0%
20.
0%
2.
0%
18.
0%
CTR 1.
8% CTR
16.
0%
1.
6%
1.
4% 14.
0%

0.
2%

CDR CDR
0.
1%
0.
0%
0.
0%

May2019 August2019 Nov

ember2019 Febr
uar
y2020 May2019 August2019 November2019 Febr
uar
y2020

Non-
Per
for
mingLoans(
%ofNPLBal
ance) Bal
anceCompos
iti
on
40B
100%
10.
0%

VPR 38B
8.
0% 80%
36B

e
anc
60%

orBal
34B
20.
0%

nvest
CDR
40% 32B

I
15.
0%
30B
20%
70.
0%
Act
ual 28B
Sev(Li
q
Onl
y) 60.
0% 0%
May2019 August2019 November2019 Febr
uar
y2020

May2019 August2019 November2019 Febr

uar
y2020 Al
waysPer
for
ming Re-
Per
for
ming NonPer
for
ming I
nvest
orBal
anc
e

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Pr
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iet
arya
ndConfide
nal
5
 Al
t-ABal
anceandPer
for
manceSnap-
Shot
Al
waysPer
for
mingLoans(
%ofAPLBal
ance) Re-
Per
for
mingLoans(
%ofRPLBal
ance)
20.
0%
10.
0%
19.
0%
VPR VPR
9.
0%
18.
0%

17.
0% 8.
0%
2.
6%

2.
4% 20.
0%

CTR 2.
2% CTR
18.
0%
2.
0%

1.
8% 16.
0%
0.
1%
0.
2%

CDR CDR
0.
1%

May2019 August2019 Nov

ember2019 Febr
uar
y2020 May2019 August2019 November2019 Febr
uar
y2020

Non-
Per
for
mingLoans(
%ofNPLBal
ance) Bal
anceCompos
iti
on
100%
6.
0%

VPR
5.
5% 90B
80%
5.
0%

ance

e
anc
Bal
60%

orBal
al
85B
% ofTot
20.
0%

nvest
CDR
40%

I
18.
0%

80.
0%
80B
20%
75.
0%
Act
ual
Sev(Li
q 70.
0%
Onl
y) 0%
65.
0%
May2019 August2019 November2019 Febr
uar
y2020

May2019 August2019 November2019 Febr

uar
y2020 Al
waysPer
for
ming Re-
Per
for
ming NonPer
for
ming I
nvest
orBal
anc
e

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Pr
opr
iet
arya
ndConfide
nal
6
 Opt
ionARM Bal
anceandPer
for
manceSnap-
Shot
Al
waysPer
for
mingLoans(
%ofAPLBal
ance) Re-
Per
for
mingLoans(
%ofRPLBal
ance)
9.
0%
24.
0%
8.
0%
VPR 22.
0% VPR

7.
0%
20.
0%

20.
0%

18.
0%
3.
0%
CTR CTR
16.
0%

2.
0% 14.
0%

0.
0% 0.
1%

CDR CDR

0.
0%
-
0.1%
May2019 August2019 November2019 Febr
uar
y2020 May2019 August2019 November2019 Febr
uar
y2020

Non-
Per
for
mingLoans(
%ofNPLBal
ance) Bal
anceCompos
iti
on
100%
7.
0%

VPR 6.
0% 46B
5.
0% 80%

4.
0%

e
anc
23.
0%
60% 44B

orBal
22.
0%

nvest
CDR 21.
0%
40%

I
20.
0%
42B
19.
0%

20%
70.
0%
Act
ual
Sev(Li
q 40B
Onl
y) 0%
65.
0%
May2019 August2019 November2019 Febr
uar
y2020

May2019 August2019 November2019 Febr

uar
y2020 Al
waysPer
for
ming Re-
Per
for
ming NonPer
for
ming I
nvest
orBal
anc
e

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Labs ©2020Amhe
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Pr
opr
iet
arya
ndConfide
nal
7
 Subpr
imeBal
anceandPer
for
manceSnap-
Shot
Al
waysPer
for
mingLoans(
%ofAPLBal
ance) Re-
Per
for
mingLoans(
%ofRPLBal
ance)

14.
0% 6.
5%

VPR VPR
6.
0%
13.
0%

5.
5%

6.
0% 32.
0%
30.
0%
CTR 5.
0% CTR
28.
0%
4.
0%
26.
0%
3.
0% 24.
0%
0.
1%

CDR CDR 0.
1%

May2019 August2019 November2019 Febr

uar
y2020 May2019 August2019 November2019 Febr
uar
y2020

Non-
Per
for
mingLoans(
%ofNPLBal
ance) Bal
anceCompos
iti
on
4.
0% 100% 140B

3.
8%
VPR
3.
6%
80%
3.
4%
135B

ance
3.
2%

e
anc
18.
0%

Bal
60%

orBal
al
% ofTot

t
CDR 16.
0%

nves
130B
40%

I
14.
0%
76.
0%
20%
125B
74.
0%
Act
ual
Sev(Li
q 72.
0%
Onl
y) 0%
70.
0%
May2019 August2019 November2019 Febr
uar
y2020
68.
0%
May2019 August2019 November2019 Febr
uar
y2020 Al
waysPer
for
ming Re-
Per
for
ming NonPer
for
ming I
nvest
orBal
anc
e

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Pr
opr
iet
arya
ndConfide
nal
8
 Bal
ancebyCr
edi
tandSt
atus
Pr
ime Al
tA Opt
i
onARM Subpr
ime

0%
ng
e
mi

% ChangeMoM
anc

100B
or
orBal
f
waysPer

-
5%
nvest

50B
Al
I

-
10%

0B

0%
e

% ChangeMoM
anc
ng

100B
mi
orBal
or

-
5%
f
Per
nvest
Re-

50B
I

-
10%

0B

0%
e
ng

% ChangeMoM
anc

100B
mi
orBal
for

-
5%
NonPer
nvest

50B
I

-
10%

0B

0%
e

% ChangeMoM
anc
al

100B
andTot
orBal

-
5%
t
nves
Gr

50B
I

-
10%

0B
May2019 Sept
ember2019 Januar
y2020 May2019 Sept
ember2019 Januar
y2020 May2019 Sept
ember2019 Januar
y2020 May2019 Sept
ember2019 Januar
y2020

I
nvest
orBal
anc
e % Di
f
fer
enceMoM

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mia nce
Pr
opr
iet
arya
ndConfide
nal
9
 Uni
ver
seBal
anceCompos
iti
on
2400B
5.
0%

2200B
4.
5%

2000B 4.
0%

3.
5%
1800B

3.
0%

1600B

age)
2.
5%

hAv
3Mont er
1400B 2.
0%

anceChange% MoM (
ance

1.
5%
Bal

1200B

Al
way
sPer
for
ming 1.
0%
1000B

0.
5%

Bal
800B
0.
0%

600B -
0.5%

-
1.0%
400B

Re-
Per
for
ming -
1.5%

200B NonPer
for
ming
-
2.0%

0B
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

St
atus Al
waysPer
for
ming Re-
Per
for
ming NonPer
for
ming

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Pr
opr
iet
arya
ndConfide
nal
10
 Top15St
ateBal
anceCompos
iti
on
Pr
ime Al
tA Opt
ionARM Subpr
ime

PA OH CT
3.7B 2.7B 2.5B
3.0% 2.2% 2.0%
41K 37K 16K

CA
24.7B NC TN HI I
N
32.0% 2.0B 1.6B 1.4B 1.
3B
84K 1.6% 1.3% 1.1% 1.
1%
CA CA
11.7B 24K 21K 5K 19K
24.
0B
42.7% 19.
6%
29K 111K
1.
2B 1.
1B 0.
9B 0.
8B
CA 1.
0% 0.
9% 0.
8% 0.
6%
22.1B
55.5%
62K 1.
1B
0.
9% OK DE ME

CT PA NC HI 1.
1B
1.2B 1.1B 1.0B 0.8B NM AR DC
0.
9%
1.5% 1.4% 1.3% 1.0%
6K 9K 8K 2K NE
1.
1B
0.
9%
0.
8B 0.5B NY
0.2B 0.2B 0.2B 1.
0% 0.7% UT TN MO DC 8.7B
CT
0.6B 0.8% 0.7% 0.7% 4K 11.2%
2.1% 1K 0K 1K 29K
Apr, 1K 0.
8B LA
1.
0%
2020 0.
2B NY
0.
4B 6% UT DC
0. 2.7B NY FL
9.9% 15.6B 12.2B
1.
3% 0.
8B
12.7% 9.9%
7K 1.
0%
I
D I
N 67K 102K
HI CT PA
0.
3B 0.5B 0.5B 0.3B
MT 1.2% 1.1% 0.9%
1K 1K 2K
0.
2B
FL MD NJ FL NY
7.1B 3.7B 3.6B 4.0B 0.
3B MN 2.1B
9.
9% 0.
7% 0. NC UT 5.3%
9.
2% 4.8% 4.7% 2B
43K 16K 15K 18K 5K
FL VA IL GA TX
1.8B 1.1B 0.7B 0.6B 7.1B I
L MA GA
6.7% 4.0% 2.6% 2.3% 5.8% 4.
8B 3.8B 3.2B
6K 3K 2K 3K 98K 3.
9% 3.1% 2.6%
43K 20K 36K
SC
VA AZ
2.9B 1.9B MD
3.8% 2.5% TX WA VA AZ IL
MD 0.6B 1.2B 0.7B 0.7B NJ
13K 12K 1.5B 1.5B 1.3B
1.2B 2.0% NV CO 2.9% 1.9% 1.6% 5.2B
2.0% 1.9% 3.3%
4.4% 2K 0.4B 0.4B 4K 4.3% VA WA AZ
17K 8K 5K 4K 3K
3K 1.5% 1.5% 28K 3.0B 2.2B 2.2B
2.
3B 1.7B
1K 1K 2.5% 1.8% 1.8%
3.
0% 2.2% 0.9B
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Labs ©2020Amhe
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Labs ©2020Amhe
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www.apse
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Sour
ce:Amhers
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rstI
nsi
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Labs ©2020Amhe
rstPi
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C, ame
mbe
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INRAa
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IPC
Apri
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mia nce
Pr
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31
 Del
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Col
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www.apse
c.com
Sour
ce:Amhers
tPi
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,Amhe
rstI
nsi
ght
Labs ©2020Amhe
rstPi
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ecur
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C, ame
mbe
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INRAa
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IPC
Apri
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mia nce
Pr
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arya
ndConfide
nal
32
 Li
qui
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ionRecover
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Judi
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2015 2016 2017 2018 2019 2020 2015 2016 2017 2018 2019 2020

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www.apse
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Sour
ce:Amhers
tPi
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,Amhe
rstI
nsi
ght
Labs ©2020Amhe
rstPi
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ecur
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C, ame
mbe
rofF
INRAa
ndS
IPC
Apri
l2020Re
mia nce
Pr
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ndConfide
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33
 Mont
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dat
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li
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www.apse
c.com
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ce:Amhers
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rstI
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ght
Labs ©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Apri
l2020Re
mia nce
Pr
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ndConfide
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34
 HomeVal
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www.apse
c.com
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ce:Amhers
tPi
erpont
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rstI
nsi
ght
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rstPi
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ecur
ie sLL
C, ame
mbe
rofF
INRAa
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Apri
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mia nce
Pr
opr
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arya
ndConfide
nal
35
 Ser
vicerPer
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www.apse
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Sour
ce:Amhers
tPi
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,Amhe
rstI
nsi
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Labs ©2020Amhe
rstPi
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C, ame
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IPC
Apri
l2020Re
mia nce
Pr
opr
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arya
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nal
36
 Ser
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Val

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Per
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www.apse
c.com
Sour
ce:Amhers
tPi
erpont
,Amhe
rstI
nsi
ght
Labs ©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Apri
l2020Re
mia nce
Pr
opr
iet
arya
ndConfide
nal
37
 LoanModi
fi
cat
ionDet
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fi
cat
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%ModbyType Modi
fi
edLoanCount

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LoanModCount
5K
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0% 0K
2015 2016 2017 2018 2019 2020 2015 2016 2017 2018 2019 2020

Modi
fi
cat
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www.apse
c.com
Sour
ce:Amhers
tPi
erpont
,Amhe
rstI
nsi
ght
Labs ©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Apri
l2020Re
mia nce
Pr
opr
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arya
ndConfide
nal
38
 LoanModi
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www.apse
c.com
Sour
ce:Amhers
tPi
erpont
,Amhe
rstI
nsi
ght
Labs ©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Apri
l2020Re
mia nce
Pr
opr
iet
arya
ndConfide
nal
39
 Non-
AgencyMar
ketMont
hlyRet
urnCompos
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orLegend
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nter
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e(%)

Sour
ce:Amhers
tPi
erpont
,Amhe
rstI
nsi
ght
Labs
,Int
ex, www.apse
c.com
I
DC ©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Apri
l2020Re
mia nce Pr
opr
iet
arya
ndConfide
nal
40
 Non-
AgencyMont
hlyRet
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tType
Pr
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5.
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Col
orLegend
Pr
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inci
pal I
nter
est TRAggr
egat
e(%)

Sour
ce:Amhers
tPi
erpont
,Amhe
rstI
nsi
ght
Labs
,Int
ex, www.apse
c.com
I
DC ©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Apri
l2020Re
mia nce Pr
opr
iet
arya
ndConfide
nal
41
 Non-
AgencyMar
ketPer
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mance
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ndex NARMBS
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tgage HYCPCapped USBI
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Source:
AmherstPi
erpont
,Amhe
rstI
nsi
ght
Labs
,Int
ex, www.apse
c.com
Yi
eldbook,
IDC ©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Apri
l2020Remia nce Pr
opr
iet
arya
ndConfide
nal
42
 NonAgenc
yLegac
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d% 0HPA

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4 20 8 39 -
3 0.
6 13 73 14 1.
4x 76 68 31% 7.
0 -
18.
1 -
17.0 -
13.0
TrancheLoss
10+Dur ation 696 9B 60 6.
83 6.
00 612 7.
7 12.
1 23 9 38 -
17 0.
2 10 75 15 1.
5x 81 74 62% 10.
1 -
23.
7 -
19.9 -
6.5
2005Fi xed 350 2B 84 5.
83 5.
39 557 5.
1 3.
4 8 4 44 28 0.
1 40 51 9 0.
8x 47 39 4% 2.
9 -7.
8 -
7.9 -
7.3
2005Fl oat er 50 0B 71 4.
47 3.
67 419 6.
6 3.
9 8 3 39 28 2.
1 45 47 9 0.
9x 41 33 7% 2.
4 -
11.
5 -
12.
0 -
14.4
2005Hybr i
d 214 2B 83 5.
45 5.
05 511 5.
7 4.
5 8 3 35 14 0.
1 45 46 9 0.
9x 40 31 4% 3.
3 -
10.
3 -
10.
1 -
9.7
NonI GSenior
>=2006Fi xed 1,
477 13B 73 5.
98 5.
29 575 5.
0 3.
3 10 5 48 47 0.
0 29 60 11 0.
9x 59 50 4% 2.
8 -8.
9 -
9.1 -
9.1
Prime
>=2006Fl oater 261 4B 54 5.
70 4.
09 546 5.
8 3.
9 13 6 46 47 0.
1 32 54 13 1.
0x 53 48 7% 2.
2 -
15.
0 -
16.6 -
19.5
>=2006Hybr i
d 576 9B 83 5.
60 5.
12 523 5.
3 4.
6 10 4 39 9 0.
0 35 54 10 0.
9x 52 37 6% 3.
4 -
10.
9 -
10.7 -
9.5
Seasoned 37 0B 88 4.
78 4.
54 449 3.
9 3.
4 10 6 45 13 0.
3 52 33 15 0.
7x 28 20 1% 3.
1 -7.
4 -
7.1 -
6.3
2005Fi xed 787 6B 82 5.
53 5.
22 523 5.
9 4.
4 9 4 44 35 0.
0 40 50 9 0.
9x 45 32 5% 3.
0 -7.
9 -
7.9 -
6.7
2005Fl oat er 230 2B 66 4.
36 3.
57 402 6.
4 4.
4 9 4 41 28 0.
0 40 51 10 0.
9x 45 35 9% 2.
7 -
12.
1 -
12.3 -
14.1
2005Hybr i
d 322 4B 80 5.
02 4.
64 466 6.
0 4.
8 10 4 35 19 0.
1 38 51 9 1.
0x 44 38 5% 2.
9 -
9.2 -
9.5 -
8.7
NonI GSenior >=2006Fi xed 2,
057 24B 69 5.
41 4.
96 509 6.
3 5.
0 14 7 49 54 0.
0 25 62 13 1.
0x 62 49 7% 3.
5 -
9.1 -
9.3 -
8.9
AltA >=2006Fl oater 859 20B 46 3.
95 2.
97 360 6.
6 5.
1 14 7 46 54 0.
0 24 63 13 1.
1x 61 52 9% 2.
9 -
15.
4 -
16.4 -
19.5
>=2006Hybr i
d 505 10B 78 5.
11 4.
63 471 6.
5 5.
3 12 5 38 21 0.
0 27 61 12 1.
0x 59 49 7% 3.
5 -
10.
2 -
10.3 -
9.0
Seasoned 81 0B 92 5.
48 5.
18 514 4.
9 4.
3 9 4 47 14 0.
2 43 46 10 0.
8x 38 28 4% 2.
8 -6.
0 -
5.4 -
4.3
NC 2 0B 40 8.
03 7.
11 789 6.
3 5.
4 17 10 57 95 0.
0 9 71 20 0.
9x 75 61 6% 4.
5 -
22.
9 -
23.
6 -
24.
6
0% CE 254 11B 66 4.
41 3.
83 403 8.
0 5.
4 14 7 46 28 0.
0 24 62 14 1.
0x 62 44 13% 4.
3 -
13.
0 -
13.
8 -
13.
1
NonI GSenior 0-10% CE 98 4B 78 4.
72 4.
04 431 6.
8 5.
4 15 8 54 8 0.
2 26 58 16 0.
9x 58 38 15% 3.
9 -
13.
3 -
13.
6 -
11.
2
OptionARM 10-25% CE 25 1B 85 3.
82 3.
47 341 6.
5 5.
3 14 7 49 5 1.
2 24 61 15 0.
9x 60 47 17% 4.
2 -
12.
8 -
12.
9 -
10.
5
>=25% CE 19 0B 83 3.
95 3.
55 357 6.
0 4.
9 12 6 50 6 2.
3 28 57 15 0.
8x 55 39 12% 4.
0 -
12.
7 -
13.5 -
12.7
0-5Dur at i
on 39 1B 51 3.
20 2.
26 288 5.
5 4.
2 22 12 55 46 0.
3 14 70 16 1.
4x 71 57 24% 2.
4 -7.
5 -
6.9 -
5.1
5-7Dur at i
on 816 44B 54 4.
63 3.
86 417 6.
8 6.
1 24 9 36 36 0.
0 6 78 16 1.
5x 86 80 9% 3.
6 -
10.
5 -
10.2 -
9.0
NonI GSenior
7-10Dur ation 45 2B 51 4.
86 3.
97 430 7.
5 8.
2 25 10 40 35 0.
0 6 76 18 1.
4x 85 79 16% 4.
9 -8.
7 -
8.8 -
5.4
Subprime
10+Dur ation 15 0B 39 5.
65 4.
40 491 8.
2 11.
9 23 10 40 41 0.
0 9 76 15 1.
5x 82 75 33% 7.
8 -
16.
9 -
16.
1 -
9.5
Fi
xedRat e 124 3B 49 5.
70 4.
86 542 6.
6 6.
1 21 8 36 74 0.
0 10 74 15 1.
4x 81 70 8% 6.
8 -
11.
7 -
11.
6 -
11.3
Prime/Al tA 695 2B 59 5.
86 5.
21 543 5.
4 5.
9 10 4 42 38 0.
1 43 46 11 0.
9x 41 32 23% 4.
2 -
10.
9 -
10.
8 -
9.6
POA 108 1B 56 5.
14 3.
98 479 7.
1 5.
9 13 6 47 36 0.
0 29 57 15 0.
8x 56 39 41% 3.
1 -
14.
8 -
15.
9 -
12.9
Subprime<$30 65 1B 18 7.
97 4.
64 736 7.
2 10.
8 22 8 34 64 0.
0 10 75 14 1.
5x 80 71 66% 9.
2 -
20.
5 -
14.
6 5.
6
NonI GMez z-
Subprime<$50 71 1B 43 7.
26 4.
78 651 7.
5 11.
8 26 11 39 23 0.
0 9 73 18 1.
4x 81 76 57% 9.
6 -
23.
5 -
20.
1 -
0.8
DeepCr edit
Subprime<$70 46 1B 59 6.
56 5.
20 589 6.
7 10.
1 23 10 42 13 0.
0 11 70 16 1.
4x 76 68 30% 7.
1 -
17.
1 -
14.
5 -
5.3
Subprime<$80 20 0B 74 5.
57 4.
67 499 5.
8 8.
1 20 8 39 7 0.
2 13 71 16 1.
3x 73 64 19% 10.
5 -
14.
4 -
9.7 -
4.6
Subprime>=$80 29 0B 90 4.
49 3.
65 403 5.
5 5.
9 22 9 44 7 0.
3 15 68 17 1.
3x 71 66 15% 3.
8 -6.
9 -
5.7 -
1.0
GrandTot al 20,
566 283B 73 4.
80 4.
24 443 5.
5 5.
2 17 7 41 22 0.
8 21 65 13 1.
2x 67 57 9% 3.
4 -
10.
6 -
10.
7 -
9.7

Sourc
e:AmherstPier
pont
,Amher
stI
nsi
ght
Labs,I
DC www.apse
c.com
Apri
l2020Remittance
©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Pr
opr
iet
arya
ndConfide
nal
43
 Di
scl
aimer
Copyr
ight©2020Amher
stPi
erpontSec
uriesLLCandit
saffili
ate
s(“Amhers
tPi
erpont”
).Al
lri
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eser
ved.Amher
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same
mbe
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c.com
©2020Amhe
rstPi
erpontS
ecur
ie sLL
C, ame
mbe
rofF
INRAa
ndS
IPC
Pr
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iet
arya
ndConfide
nal
44