Dexia Vs JPM Amended Complaint

FILED: NEW YORK COUNTY CLERK 05/18/2012
NYSCEF DOC. NO. Case 4
INDEX NO. 650180/2012
1:12-cv-04761-JSR Document 35-1
Filed 01/21/13 Page 1 of 139 RECEIVED NYSCEF: 05/18/2012
SUPREME COURT OF THE STATE OF NEW YORK COUNTY OF NEW YORK DEXIA SA/NV; DEXIA HOLDINGS, INC.; FSA ASSET MANAGEMENT LLC; DEXIA CRDIT LOCAL SA, Plaintiffs, v. BEAR, STEARNS & CO. INC., THE BEAR STEARNS COMPANIES, INC., BEAR STEARNS ASSET BACKED SECURITIES I LLC, EMC MORTGAGE LLC (f/k/a EMC MORTGAGE CORPORATION), STRUCTURED ASSET MORTGAGE INVESTMENTS II INC., J.P. MORGAN ACCEPTANCE CORPORATION I, J.P. MORGAN MORTGAGE ACQUISITION CORPORATION., J.P. MORGAN SECURITIES LLC (f/k/a JPMORGAN SECURITIES INC.), WAMU ASSET ACCEPTANCE CORP., WAMU CAPITAL CORP., WAMU MORTGAGE SECURITIES, JPMORGAN CHASE & CO., and JPMORGAN CHASE BANK, N.A., Defendants. AMENDED COMPLAINT
Index No. 650180/2012
JURY TRIAL DEMANDED
Case 1:12-cv-04761-JSR Document 35-1
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TABLE OF CONTENTS I. II. III. PRELIMINARY STATEMENT ............................................................................................ 2 JURISDICTION AND VENUE ............................................................................................. 7 THE PARTIES........................................................................................................................ 7 A. Plaintiffs .................................................................................................................................. 7 B. Defendants .............................................................................................................................. 8 IV. BACKGROUND AND NATURE OF THE FRAUD .......................................................... 13 A. The Securitization Process .................................................................................................... 13 B. Defendants Unique and Non-Public Knowledge about the Certificates They Created, Issued and Sold ....................................................................................................... 16 1. Defendants Control Over The Securitizations ............................................................... 16 2. Defendants Control Over The Loan Pools Backing the RMBS .................................... 20 C. Defendants Fraudulently Included Poor Quality Loans in the Securitizations ..................... 22 1. Bear Stearns .................................................................................................................... 22 2. Washington Mutual......................................................................................................... 34 3. JPMorgan ........................................................................................................................ 50 D. Defendants Involvement In Offerings Sponsored By Other Investment Banks .................. 59 1. Defendants Direct Involvement In Creating The Carrington, Nomura, Morgan Stanley and Newcastle Offerings ...................................................................... 61 2. Defendants Access to Material, Non-Public Information Regarding Other Offerings ......................................................................................................................... 64 3. Defendants Unique Knowledge Of The Loan Origination Practices Used To Create the Mortgage Pools .............................................................................................. 72 4. Defendants Misconduct Had a Devastating Impact on the Performance of the RMBS........................................................................................................................ 89 E. Defendants Manipulated the Credit Ratings ......................................................................... 90 1. Defendants Knowingly Supplied False Information to the Rating Agencies ................. 91 2. Defendants Exerted Improper Pressure over the Rating Agencies ................................. 94 3. The Certificates Have Nearly All Been Downgraded to Junk ........................................ 97 V. DEFENDANTS FALSE AND MISLEADING STATEMENTS ..................................... 100 A. Loan Origination and Underwriting Standards ................................................................... 101 B. Loan Selection and Due Diligence Practices ...................................................................... 104
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C. Defendants False and Misleading Statements Regarding the Risk of Default .................. 107 1. Borrower Credit Quality ............................................................................................... 108 2. Occupancy Rates ........................................................................................................... 110 3. Early Payment Defaults ................................................................................................ 112 D. Defendants False and Misleading Statements Concerning the Value of the Mortgage Collateral ............................................................................................................ 113 E. Defendants False and Misleading Statements Concerning the Credit Ratings ................. 115 VI. VII. PLAINTIFFS REASONABLY RELIED ON DEFENDANTS REPRESENTATIONS ....................................................................................................... 117 ADDITIONAL ALLEGATIONS DEMONSTRATING SCIENTER ............................... 119
A. Defendants Are Securitization Experts Who Consciously Included Poor Quality Loans in the Securitizations ................................................................................................ 120 B. Numerous Confidential Witnesses Confirm that Defendants Deliberately Securitized Poor Quality Loans .......................................................................................... 121 C. Defendants Profited Enormously from their Fraud ............................................................ 123 D. Bear Stearns Deliberately Purged Its Due Diligence Records ............................................ 123 VIII. IX. X. PLAINTIFFS SUFFERED LOSSES BECAUSE OF DEFENDANTS FRAUDULENT CONDUCT.............................................................................................. 124 CAUSES OF ACTION ....................................................................................................... 125 PRAYER FOR RELIEF ..................................................................................................... 144
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Plaintiffs Dexia SA/NV, Dexia Holdings, Inc., FSA Asset Management LLC, and Dexia Crdit Local SA (collectively, Dexia or Plaintiffs) hereby bring this amended complaint for common law fraud, fraud in the inducement, aiding and abetting fraudulent inducement, negligent misrepresentation and successor liability (the Complaint) against Bear, Stearns & Co. Inc., The Bear Stearns Companies, Inc., Bear Stearns Asset Backed Securities I LLC, EMC Mortgage LLC (f/k/a EMC Mortgage Corporation), Structured Asset Mortgage Investments II Inc., J.P. Morgan Acceptance Corporation I, J.P. Morgan Mortgage Acquisition Corporation, JPMorgan Securities LLC (f/k/a JPMorgan Securities Inc.), WaMu Asset Acceptance Corp., WaMu Capital Corp., WaMu Mortgage Securities Corp., JPMorgan Chase & Co. and JPMorgan Chase Bank, N.A. (collectively, Defendants).1 The allegations herein are made on personal knowledge as to Plaintiffs own acts and on information and belief as to all other matters, such information and belief having been informed through the investigation conducted by, and under the supervision of, Plaintiffs counsel, the materials referenced in this Complaint, and counsels interviews with numerous former employees of Defendants and other percipient witnesses. Many of the facts related to Plaintiffs allegations are known only by the Defendants named herein or are exclusively within their custody or control. Formal discovery, including document discovery and depositions of relevant witnesses, is expected to provide additional evidentiary support for the allegations herein. By and through counsel, Plaintiffs allege as follows:
Throughout this Complaint, emphasis in quotations has been added, unless otherwise indicated. __ refers to the corresponding paragraph(s) in this Complaint.
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I.
PRELIMINARY STATEMENT 1. This case concerns an egregious fraud perpetrated by Bear Stearns, JPMorgan and
Washington Mutual. For more than three years, Defendants created, issued and sold residential mortgage-backed securities (RMBS) from loans that they knew to be exceptionally badmany of which Defendants originated themselveswhile giving the false impression and making false statements asserting that the RMBS were prudent investments. Specifically, Bear Stearns quickly securitized loans before they suffered from early payment defaults (a clear indication of mortgage fraud) to transfer default risks to investors, purposefully undermined the due diligence process to increase volume at the expense of mortgage quality, and waived in 50% of the mortgages that its own due diligence vendor had marked as fatally defective. JPMorgan
knowingly securitized poor quality mortgages after falsely assuring investors that they were conservatively underwritten, waiving in 51% of the mortgages that its due diligence vendor had marked as fatally defective. Likewise, Washington Mutual knowingly securitized fraudulent mortgages and off-loaded exceptionally poor loans from its balance sheet into securitizations after determining that those mortgages were of exceptionally poor quality and likely to default. In sum, Defendants knowingly included mortgages with a high risk of default into the mortgage pools that they securitized, disguised this course of conduct from investors and credit rating agencies, and fraudulently sold Plaintiffs supposedly conservative RMBS. 2. Plaintiffs purchased over $1.6 billion worth of Defendants RMBS in fifty-one The RMBS gave Plaintiffs an interest in the mortgage
offerings between 2005 and 2007.
payments from designated pools of residential mortgages supporting the securitization, and an interest in the collateral for those mortgages in case borrowers defaulted on their mortgage
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payments. Accordingly, the value of the RMBS depended on the quality of the mortgages in the designated pools, including the borrowers ability to timely make their mortgage payments and the value of the collateral supporting the mortgages. 3. The mortgage industry has developed various metrics for assessing the quality of Among other things, loan originators,
mortgages and the related risks of default and loss.
investment banks, credit rating agencies and RMBS investors typically assess borrower credit scores, loan-to-value ratios, level of early payment defaults (EPDs), level of mortgage documentation, and occupancy rates to assess the risk that borrowers will not make their mortgage payments on time, and the potential losses suffered in case of borrower default. The reliability of these metrics depends on the loan origination and underwriting practices that were used to originate the mortgages in the mortgage pool. For example, credit scores assessing the borrowers credit quality are only reliable if the loan files reflect the true FICO scores. Loan-to-value ratios assessing the level of borrower equity in the collateral are only reliable if the mortgage appraisals in the loan files are accurate. For these reasons, strict adherence to loan origination and
underwriting standardsincluding verification of the value of the collateral and the borrowers ability and incentives to make their mortgage payments on timeis essential for determining the quality and riskiness of the mortgage pool. Plaintiffs relied on Defendants representations
regarding the loan origination and underwriting standards in making its decision to invest in the RMBS at issue. 4. Defendants knew at all relevant times that cutting corners in the loan origination
and securitization process exposes investors to unknown, catastrophic losses and the financial system to systemic risk. The adoption of prudent lending standards and underwriting guidelines
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are addressed in numerous federal regulations requiring financial institutions to adopt acceptable loan-to-value ratios and minimum FICO credit scores.2 The investment banks that selected, purchased and securitized billions of dollars in mortgage pools each year were paid millions of dollars to ensure that the loan originators adhered to their origination and underwriting standards, and to reject mortgages that they discovered to be defective. This fraud action arises from Defendants scheme to do the exact opposite. 5. Defendants are sophisticated financial institutions which collectively securitized at
least $325 billion in mortgages from 2005 to 2007. Throughout this time, Defendants were active in every aspect of the mortgage securitization business, including loan origination and underwriting, creating, sponsoring and issuing RMBS, and underwriting and selling RMBS to investors. For example, from 2005 to 2007, Bear Stearns was one of the largest underwriters of RMBS in the country, and securitized at least $162 billion in loans. During this same time, WaMu similarly securitized at least $103 billion in loans, while JPMorgan securitized at least $62 billion in loans. 6. As the creators and underwriters of the RMBS, Defendants had exclusive access to
information about the quality of the mortgage pools that supported the securities, including access to the loan files and the results of their own due diligence. By contrast, Plaintiffs and other investors did not have access to the loan files or the due diligence results, and could not perform similar due diligence itself. Plaintiffs therefore reasonably relied on Defendants representations regarding the quality of the mortgage pools backing the RMBS in Defendants registration
See, e.g., 12 C.F.R. Part 34, subpart D (Office of the Comptroller of Currency Standards); 12 C.F.R. Part 208, subpart C (Federal Reserve standards); 12 C.F.R. Part 365 (Federal Deposit Insurance Corporation standards); 12 C.F.R. 560.100 and 12 C.F.R. 560.101 (Office of Thrift Supervision standards); and 12 C.F.R. 701.21 (National Credit Union Administration Standards).
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statements, prospectuses, prospectus supplements, and marketing materials, including free writing prospectuses, term sheets and draft prospectuses (the Offering Materials). The Offering
Materials contained numerous representations about the quality of mortgages and the related risks of default and loss, including representations about borrower credit scores, loan-to-value ratios, level of EPDs, and occupancy rates. The Offering Materials also contained representations about the credit ratings of the RMBS. Defendants provided the Offering Materials to Plaintiffs to induce the purchase of the RMBS. 7. Defendants representations about the quality of the mortgages in the Offering
Materials upon which the buyers relied were false and misleading. The mortgage pools backing the RMBS were of much poorer quality, and the related risks of default and loss were much greater, than represented because Defendants purposefully securitized fraudulent mortgages and other mortgages they knew or recklessly disregarded to be of exceptionally poor quality. 8. Defendants Offering Materials upon which Plaintiffs relied also contained false Unbeknownst to Plaintiffs,
and misleading representations about the RMBS credit ratings.
Defendants provided the credit rating agencies with the same false information about the quality of the mortgage pools. Defendants also bullied the credit rating agencies into providing favorable credit ratings, including by threatening to withhold future business and targeting individual analysts who were not sufficiently attuned to Defendants demands. Gary Witt, former managing director at Moodys, testified before the National Commission on the Causes of the Financial and Economic Crisis in the United States (the Financial Crisis Inquiry Commission or FCIC) that investment banks like Defendants threatened to withdraw their business if they did not get their desired rating, stating: All the time. I mean, thats routine. I mean, they would threaten you all
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the timeIts like, Well, next time were just going to go with Fitch and S&P. Defendants threats were successful. Richard Michalek, former senior credit officer at Moodys, stated in his FCIC testimony that The threat of losing business to a competitor, even if not realized, absolutely tilted the balance away from an independent arbiter of risk towards a captive facilitator of risk transfer. Here, Defendants used their power over the rating agencies to fraudulently transfer excessive mortgage default and loss risks to Plaintiffs. 9. Defendants fraudulent conduct resulted in RMBS that were much riskier than
represented to investors, including the fifty-one securitizations at issue. Defendants knew this when they sold their RMBS to Plaintiffs. As a former regional vice-president at JPMorgan explained to the New York Times: The bigwigs of the corporations knew this, but they figured were going to make billions out of it, so who cares? The government is going to bail us out. And the problem loans will be out of here, maybe even overseas. Nicholas D. Kristof, A Banker Speaks, With Regret, N.Y. Times (Nov. 30, 2011). By contrast, the full extent of Defendants scheme was not known, and could not have been known, to Plaintiffs until the FCIC published the findings of its investigation in January 2011 (the FCIC Report) and the U.S. Senate Permanent Subcommittee on Investigations published its report titled, Wall Street and the Financial Crisis: Anatomy of a Financial Collapse (the Senate Investigations Report) on April 13, 2011. Together, these reports revealed for the first time that Defendants were creating and selling RMBS backed by mortgage pools that they knew, or at the very least recklessly disregarded, to be much riskier than represented to Plaintiffs and other investors. 10. The consequences of Defendants actions have been devastating, resulting in the
collapse and subsequent takeover of Bear Stearns and WaMu by Defendant JPMorgan. As
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JPMorgans CEO, Jamie Dimon, testified before the FCIC on January 13, 2010, new and poorly underwritten mortgage products were a significant contributor that proved costly for consumers, the entire financial system and our economy. This action seeks to hold Defendants and their successors-in-interest liable for the hundreds of millions of dollars in damages caused by their fraud. II. JURISDICTION AND VENUE 11. Jurisdiction is proper because a number of Defendants are domiciled in New York This Court has jurisdiction over each of the non-domiciliary
County, as detailed below.
Defendants because each of them regularly and systematically does business within the State of New York, each of them transacts business within the State of New York within the meaning of CPLR 302(a)(1), and each of them committed a tortious act inside the State of New York or outside the State of New York causing injury within the State of New York within the meaning of CPLR 302(a)(2) and 302(a)(3). The amount in controversy exceeds $150,000. 12. Venue is proper in this Court because a number of Defendants maintain their
principal places of business in New York County, as detailed below. III. THE PARTIES A. 13. Plaintiffs FSA Asset Management LLC (FSAM) is a Delaware limited liability company
with its principal place of business in New York, New York. FSAM is an indirect wholly-owned subsidiary of Plaintiffs Dexia SA/NV and Dexia Holdings, Inc., and an affiliate of Plaintiff Dexia Crdit Local SA, New York branch. The claims asserted herein arise from FSAMs purchase of RMBS certificates described on attached Exhibit A (the Certificates). FSAM made all of the investment purchase decisions concerning the Certificates. 7
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14.
Dexia SA/NV is a public limited company organized under Belgian law with its
principal place of business in Belgium. 15. Dexia Crdit Local SA, New York Branch (DCLNY) is the New York branch of
a French banking institution which is licensed by the New York State Banking Department. DCLNY is a wholly-owned subsidiary of Dexia SA/NV. 16. Dexia Holdings, Inc. (DHI) is a Delaware corporation with its principal place of
business in New York, New York. DHI is an indirect wholly-owned subsidiary of Dexia SA/NV, is a subsidiary of DCL, and is an affiliate of DCLs New York branch. 17. FSAM, Dexia SA/NV, DCLNY, and DHI are collectively referred to herein as
Plaintiffs or the Dexia Plaintiffs. 18. FSAM has assigned and transferred the RMBS, including all right, title and
interest in the RMBS assets (including all rights and remedies sought in this action), to the other Dexia Plaintiffs pursuant to intercompany agreements. Defendants misconduct has caused Dexia SA/NV, DHI and DCL to suffer substantial losses on the RMBS Certificates. B. 19. Defendants Defendant Bear, Stearns & Co. Inc. was at all relevant times an SEC-registered
broker-dealer incorporated in Delaware, with its principal place of business at 383 Madison Avenue, New York, New York 10179. Bear, Stearns & Co. Inc. was a wholly-owned subsidiary of The Bear Stearns Companies, Inc., and served as the lead underwriter for 19 of the securitizations at issue here. Bear, Stearns & Co. Inc. directed the activities of its affiliates EMC Mortgage LLC, Structured Asset Mortgage Investments II Inc. and Bear Stearns Asset Backed Securities I LLC. On or about October 1, 2008, following the merger agreement dated March 16,
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2008, Bear, Stearns & Co. Inc. merged with J.P. Morgan Securities LLC. All allegations against Bear, Stearns & Co. Inc. are also made against its successor-in-interest, J.P. Morgan Securities LLC. 20. Defendant EMC Mortgage LLC (f/k/a EMC Mortgage Corporation) was at all
relevant times a Delaware corporation with its principal place of business at 2780 Lake Vista Drive, Lewisville, Texas 75067. EMC Mortgage LLC (EMC Mortgage or EMC) was at all relevant times a wholly-owned subsidiary of The Bear Stearns Companies, Inc. and served as the sponsor for 9 of the securitizations at issue here. As a result of the merger between The Bear Stearns Companies, Inc. and JPMorgan Chase & Co., EMC became a wholly owned subsidiary of JPMorgan Chase & Co. All allegations against EMC are also made against its controlling parent company, The Bear Stearns Companies, Inc., and against JPMorgan Chase & Co. (as successorin-interest to The Bear Stearns Companies, Inc.) 21. Defendant Structured Asset Mortgage Investments II Inc. (SAMI II) was at all
relevant times a Delaware corporation with its principal place of business at 383 Madison Avenue, New York, New York 10179. SAMI II was a wholly-owned subsidiary of The Bear Stearns Companies, Inc., and served as depositor for 4 of the securitizations at issue here. As a result of the merger between The Bear Stearns Companies, Inc. and JPMorgan Chase & Co., SAMI II became a wholly-owned subsidiary of JPMorgan Chase & Co. All allegations against SAMI II are also made against its controlling parent company, The Bear Stearns Companies, Inc., and against JPMorgan Chase & Co. (as successor-in-interest to The Bear Stearns Companies, Inc.). 22. Defendant Bear Stearns Asset Backed Securities I LLC (BSABS I) was at all
relevant times a Delaware limited liability company with its principal place of business at 383
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Madison Avenue, New York, New York 10179.
BSABS I was a limited purpose finance
subsidiary of The Bear Stearns Companies, Inc., and an affiliate of Bear, Stearns & Co. Inc. BSABS I served as the depositor for 7 of the securitizations at issue here. As a result of the merger between The Bear Stearns Companies, Inc. and JPMorgan Chase & Co., BSABS I became a wholly-owned subsidiary of JPMorgan Chase & Co. All allegations against BSABS I are also made against its controlling parent company, The Bear Stearns Companies, Inc., and against JPMorgan Chase & Co., (as successor-in-interest to The Bear Stearns Companies, Inc.) 23. The Bear Stearns Companies, Inc. was at all relevant times a Delaware corporation
with its principal place of business at 383 Madison Avenue, New York, New York 10017. The Bear Stearns Companies, Inc. was a holding company that provided investment banking, securities, and derivative trading services to its clients through its subsidiaries and, at the time of the securitizations at issue here, was the sole owner of Defendants Bear, Stearns & Co. Inc., BSABS I, EMC Mortgage, and SAMI II. On March 16, 2008, The Bear Stearns Companies, Inc. entered into an agreement and plan of merger (the Merger) with JPMorgan Chase & Co., making The Bear Stearns Companies, Inc. a wholly-owned subsidiary of JPMorgan Chase & Co. All allegations against The Bear Stearns Companies, Inc. are also made against its successor-ininterest JPMorgan Chase & Co. 24. Defendants Bear, Stearns & Co., EMC, SAMI II, BSABS I, The Bear Stearns
Companies, Inc., JPMorgan Chase & Co. (as successor-in-interest to The Bear Stearns Companies, Inc.) and J.P. Morgan Securities LLC (as successor-in-interest to Bear, Stearns & Co. Inc.) are collectively hereinafter referred to as Bear Stearns or the Bear Stearns Defendants. 25. Defendant JPMorgan Chase & Co. is a financial holding company incorporated
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under Delaware law with its principal place of business at 270 Park Avenue, New York, New York 10017. JPMorgan Chase & Co. is one of the largest banking institutions in the United States and is the ultimate owner of Defendants JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC (f/k/a J.P. Morgan Securities Inc.), J.P. Morgan Acceptance Corporation I, and J.P. Morgan Mortgage Acquisition Corp. JPMorgan Chase & Co. is also the successor-in-interest to The Bear Stearns Companies, Inc. 26. Defendant JPMorgan Chase Bank, N.A. is a national banking association, a
subsidiary of JPMorgan Chase & Co., and the sole owner of J.P. Morgan Mortgage Acquisition Corp. JPMorgan Chase Bank, N.A.s main office is located in Columbus, Ohio. All allegations against JPMorgan Chase Bank, N.A. are also made against its controlling parent company, JPMorgan Chase & Co. 27. Defendant JP Morgan Securities LLC (f/k/a J.P. Morgan Securities Inc.) is a
Delaware corporation with its principal place of business at 270 Park Avenue, New York, New York 10017. J.P. Morgan Securities LLC (JPMorgan Securities) is a SEC-registered brokerdealer that engages in investment banking activities in the U.S., and served as the underwriter for 19 of the securitizations at issue here. All allegations against J.P. Morgan Securities LLC are also made against its controlling parent company, JPMorgan Chase & Co. 28. Defendant J.P. Morgan Mortgage Acquisition Corporation (JPMorgan
Mortgage) is a Delaware corporation with its principal place of business at 270 Park Avenue, New York, New York 10017. JPMorgan Mortgage is a direct, wholly-owned subsidiary of JPMorgan Chase Bank, N.A., and served as the sponsor for 13 of the securitizations at issue here.
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All allegations against JPMorgan Mortgage are also made against its controlling parent company, JPMorgan Chase Bank, N.A. 29. Defendant J.P. Morgan Acceptance Corporation I (J.P. Morgan Acceptance I or
JPM Accept. I) is a Delaware corporation with its principal place of business at 270 Park Avenue, New York, New York 10017. J.P. Morgan Acceptance I is a direct, wholly-owned subsidiary of J.P. Morgan Securities Holdings LLC which, in turn, is a direct, wholly-owned subsidiary of JPMorgan Chase & Co. J.P. Morgan Acceptance I served as the depositor for 13 of the securitizations at issue here. All allegations against J.P. Morgan Acceptance I are also made against its ultimate controlling parent company, JPMorgan Chase & Co. 30. Defendants JPMorgan Chase & Co., JPMorgan Chase Bank, N.A., JPMorgan
Securities, JPMorgan Mortgage, and J.P. Morgan Acceptance I are collectively hereinafter referred to as JPMorgan or the JPMorgan Defendants. 31. Defendant WaMu Capital Corporation (WaMu Capital) was at all relevant times
an SEC-registered broker-dealer incorporated under Washington law, with its principal place of business at 1301 Second Avenue, WMC 3501A, Seattle, Washington 98101. WaMu Capital was a wholly-owned subsidiary of Washington Mutual Bank, and served as the underwriter for 13 of the securitizations at issue here. WaMu Capital is not currently affiliated with Washington Mutual Bank and is now a wholly-owned subsidiary of JPMorgan Chase Bank, N.A. 32. Defendant WaMu Asset Acceptance Corporation (WaMu Asset) was at all
relevant times a wholly-owned subsidiary of Washington Mutual Bank incorporated under Delaware law, with its principal place of business at 1301 Second Avenue, WMC 3501A, Seattle, Washington 98101. WaMu Asset served as the depositor for 6 of the securitizations at issue here.
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WaMu Asset is not currently affiliated with Washington Mutual Bank and is now a wholly-owned subsidiary of JPMorgan Chase Bank, N.A. 33. Defendant WaMu Mortgage Securities Corporation (WaMu Mortgage) was at all
relevant times a wholly-owned subsidiary of Washington Mutual Bank incorporated under Delaware law, with its principal place of business at 1301 Second Avenue, WMC 3501A, Seattle, Washington 98101. WaMu Mortgage served as the sponsor for 4 of the securitizations at issue here. WaMu Mortgage is not currently affiliated with Washington Mutual Bank and is now a wholly-owned subsidiary of JPMorgan Chase Bank, N.A. 34. Defendants WaMu Capital Corporation, WaMu Mortgage, and WaMu Asset
Acceptance Corporation are collectively hereinafter referred to as the WaMu Defendants. WaMu Capital, WaMu Asset, WaMu Mortgage and non-parties Washington Mutual Bank, Long Beach Securities Corporation and Long Beach Mortgage Company are collectively referred to as WaMu. IV. BACKGROUND AND NATURE OF THE FRAUD A. 35. The Securitization Process Residential mortgage backed securities provide investors with an interest in the
income generated by one or more designated pools of residential mortgages. The actual securities themselves represent an interest in an issuing trust that holds the designated mortgage pools. Payments from the underlying borrowers are collected by a loan servicer and distributed, through the issuing trust, to holders of the certificates at regular distribution intervals throughout the life of the loan pool. Accordingly, the value of the RMBS depends on the quality of the mortgages in the designated pools, including the borrowers ability to timely make their mortgage payments and the value of the collateral supporting the mortgages. 13
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36.
Although the structure and underlying collateral of the mortgages may vary from
trust to trust, they all function in a similar manner: the cash flow from interest and principal payments is passed through to certificate holders, like Plaintiffs. Accordingly, failure by
borrowers to make their mortgage payments directly, and negatively, impacts the value of the RMBS. Mortgage defaults reduce the available principal and interest payments to be passed through to investors. Defaults that are not cured will result in foreclosure, causing the trust to take possession or sell the collateral for the loan. Foreclosures will result in higher losses to the trust (and therefore to the RMBS investors) if the value of the collateral is lower than anticipated, for example because the appraisals overstated the value of the collateral. For these reasons, proper loan origination and underwriting of the mortgages underlying the RMBSincluding verification of the value of the collateral and the borrowers ability and incentives to make their mortgage payments on timeis essential to the value of the RMBS certificates. 37. The process of securitizing mortgages into RMBS involves a number of steps, each
critical and necessary to finalize the securitization and sale to investors. First, a sponsor creates a loan pool from mortgages the sponsor has originated, or from mortgages the sponsor has purchased from other financial institutions. Prior to purchasing a mortgage pool from other financial institutions, sponsors generally will review a sample to verify compliance with the underwriting guidelines. The sponsors have the ability to reject loans from the pool before finalizing the purchase. In addition, the sponsor has the right to force the seller to repurchase or replace loans that do not meet represented quality standards after purchasing a mortgage pool. 38. Second, the sponsor transfers the loans to a depositor, which segments the cash
flows and risks in the loan pool among different levels of investment or tranches. Generally,
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cash flows from the payments by borrowers whose mortgages are in the loan pool are applied in order of seniority, going first to the most senior tranches. In addition, any losses to the loan pool due to defaults, delinquencies, foreclosure or otherwise, are applied in reverse order of seniority, and are applied first to the most junior tranches. The sponsor works together with the depositor in creating the structure of the securitization, including the determination of the collateral for each tranche, possible cross-collateralization between loan groups supporting different tranches, and potential level of over-collateralization to support the overall securitization. 39. In the meantime, the sponsor provides information about the RMBS tranche
structure, the expected cash flows from the designated mortgage pool, and the value of the collateral supporting the loans in the mortgage pool to credit rating agencies (CRAs) like Moodys and Standard & Poors. Certificates in senior tranches are often rated as the best quality or AAA. Junior tranches have subordinated rights to payment and are less insulated from risk, and therefore have lower credit ratings. The Plaintiffs RMBS were all rated as prime
investment grade securities at the time of issuance, with all of the securities at issue receiving the highest possible AAA/Aaa credit rating by Standard & Poors and Moodys. 40. Third, the depositor transfers the mortgage pool to the issuing trust so that it can be
used as collateral for RMBS that will be issued and sold to investors. Once the mortgage pool is deposited and the tranches are established, the issuing trust transfers RMBS in the tranches to the depositor as payment for the mortgages. In the meantime, RMBS underwriters reach out to potential investorsincluding by providing free writing prospectuses and term sheets prepared by the underwritersto determine whether they might be interested in purchasing the certificates. 41. The depositor then passes the RMBS to the underwriters, who sell them to
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investors in exchange for payment. After selling the RMBS to investors, the underwriters pass the payment back to the depositor, less any fees that are collected for serving as an underwriter of the securitization. At all relevant times, underwriters like Defendants collected fees, discounts,
concessions, and/or commissions for serving as an underwriter of an RMBS securitization. On the securitizations at issue in this case, these commissions would have yielded Defendants tens of millions of dollars in underwriting fees. 42. As a sponsor and depositor of securitizations, Defendants earned even more. As
the FCIC concluded in January 2011, after its investigation of Bear Stearns role in the economic crisis: In mortgage securitization, Bear followed a vertically integrated model that made money at every step, from loan origination through securitization and sale. 43. In sum, the steps in the securitization process can be depicted as follows:
B.
Defendants Unique and Non-Public Knowledge about the Certificates They Created, Issued and Sold 1. Defendants Control Over The Securitizations
44.
Bear Stearns, WaMu and JPMorgan were central actors in the mortgage
securitization industry. From 2005 to 2007, Bear Stearns securitized more than $162 billion in loans, WaMu securitized more than $103 billion in loans, and JPMorgan securitized more than 16
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$62 billion in loans that they then sold to investors. Because of their central role in creating, issuing and selling the RMBS, Defendants had exclusive access to information about the highly risky nature of the designated mortgage poolsinformation that Defendants fraudulently withheld from Plaintiffs and which Plaintiffs did not, and could not, have known. 45. Defendants utilized two methods to securitize the mortgages into RMBS for sale to
investors. Specifically, Defendants either (1) acted as sponsor, depositor and underwriter of RMBS backed by mortgages that their own affiliates had originated or purchased, or (2) acted as an underwriter for RMBS that were sponsored by other financial institutions. Here, Defendants controlled the sponsor, the depositor, and the underwriter in thirty-five of the fifty-one securitizations at issue. The following table shows the sponsor, the depositor, and the underwriter as identified by the Offering Materials for each of these thirty-five securitizations. Table 1
# 1 2 3 4 5 6 7 Offering BALTA 2006-4 BALTA 2006-7 BSABS 2006-EC2 BSABS 2006-HE8 BSABS 2006-IM1 BSABS 2007-2 SACO 2006-2 Sponsor EMC EMC EMC EMC EMC EMC EMC Depositor SAMI II SAMI II BSABS I BSABS I BSABS I BSABS I BSABS I Underwriter Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns Loan Originators EMC*3(67%) EMC* (37%) Countrywide (51%) Encore (100%) EMC* (77%) Bear Stearns Res.4(20%) Impac (100%) Performance Credit (34%) Wells Fargo (30%) American Home (28%) SouthStar (18%) Impac 13%) Countrywide (100%) Countrywide (52%)
8 9
SAMI 2006-AR7 SAMI 2006-AR8
EMC EMC
SAMI II SAMI II
Bear Stearns Bear Stearns
*3Defendant in this Action.

4
Affiliate of a Defendant in this Action.
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10 11 12 13 14
JPALT 2006-A2 JPALT 2006-A3 JPALT 2006-A5 JPALT 2006-A6 JPALT 2006-A7
JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage Long Beach Mortgage Long Beach Mortgage Long Beach Mortgage WaMu Bank WaMu Bank WaMu Bank WaMu Bank WaMu Bank WaMu Mortgage
JPM Accept. I JPM Accept. I JPM Accept. I JPM Accept. I JPM Accept. I
JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital
Chase Originators(16%) Countrywide (27%) Chase Originators(63%) Chase Originators (30%) Chase Originators (30%) Countrywide (28%) Chase Originators (17%) Flagstar Bank (50%) Countrywide (20%) Chase Originators(42%) GreenPoint (39%) Chase Originators(55%) Countrywide (100%) ResMAE (60%) New Century (100%) ResMAE (100%) WMC Mortgage (100%) WMC Mortgage (100%) Long Beach(100%) Long Beach (100%) Long Beach (100%) Long Beach (100%) Long Beach (100%) Long Beach (100%) Long Beach (100%) WaMu (100%) Long Beach (33%) Mandalay (17%)
15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31
JPALT 2007-A1 JPALT 2007-A2 JPMAC 2006-CW1 JPMAC 2006-HE3 JPMAC 2006-NC1 JPMAC 2006-RM1 JPMAC 2006WMC2 JPMAC 2006WMC3 LBMLT 2006-3 LBMLT 2006-4 LBMLT 2006-5 LBMLT 2006-6 LBMLT 2006-7 LBMLT 2006-8 LBMLT 2006-11 WAMU 2006-AR7 WMABS 2006HE2
JPM Accept. I JPM Accept. I JPM Accept. I JPM Accept. I JPM Accept. I JPM Accept. I JPM Accept. I JPM Accept. I Long Beach Securities Long Beach Securities Long Beach Securities Long Beach Securities Long Beach Securities Long Beach Securities Long Beach Securities WaMu Asset WaMu Asset
18
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32 33 34 35
WMABS 2007HE2 WMALT 2007HY1 WMALT 2007OC2 WMHE 2007-HE2
WaMu Mortgage WaMu Mortgage WaMu Mortgage WaMu Bank
WaMu Asset WaMu Asset WaMu Asset WaMu Asset
WaMu Capital WaMu Capital WaMu Capital WaMu Capital
WMC Mortgage (50%) WaMu (71%) WaMu (60%) WaMu(100%)
46.
Defendants controlled each step of the securitization process for each of the RMBS
in Table 1, including: (i) the selection and acquisition of the loans in the pool; (ii) the creation of the securitization structure, including the segmentation of cash flows and risks into tranches; (iii) providing critical information about the quality of the mortgage pool to the credit rating agencies as part of the process of obtaining investment grade credit ratings for the RMBS; and (iv) the registration, underwriting and sale of the RMBS to Plaintiffs, including providing critical information about the quality of the mortgages that was used by investors to decide whether to purchase the RMBS. As a result, Defendants had unique, non-public insight into the loan
origination and underwriting practices that were used for originating the loans included in these securitizations. 47. Defendants and their affiliates also originated 30% or more of the loans backing
the RMBS for twenty of these thirty-five securitizations: BALTA 2006-4, BALTA 2006-7, BSABS 2006-HE8, JPALT 2006-3, JPALT 2006-5, JPALT 2007-A1, JPALT 2007-A2, LBMLT 2006-11, LBMLT 2006-3, LBMLT 2006-4, LBMLT 2006-5, LBMLT 2006-6, LBMLT 2006-7, LBMLT 2006-8, WAMU 2006-AR7, WMABS 2006-HE2, WMABS 2007-HE2, WMALT 2007HY1, WMALT 2007-OC2, and WMHE 2007-HE2. For these offerings, Defendants controlled the entire mortgage process from origination to securitization and sale to Plaintiffs. As Bear Stearns reported in its 2006 Annual Report, such a vertically integrated franchise allows us 19
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access to every step of the mortgage process, including origination, securitization, distribution and servicing. 2. 48. Defendants Control Over The Loan Pools Backing the RMBS
Before purchasing loans, Defendants performed credit, compliance and valuation
due diligence on the mortgage loan pools. Credit due diligence involved examining a sample of the individual loans to assess their quality and compliance with the originators loan underwriting guidelines, and is a critical tool for evaluating the risk that the borrowers of the mortgages in the pool will not make their mortgage payments on time. Compliance diligence focused on whether the loans were originated in compliance with state, federal and local laws, including predatory lending and truth-in-lending statutes. Valuation diligence used automated valuation models
(AVMs) to verify the accuracy of reported valuations of the collateral backing the mortgages in the pool. The value of the collateral is critical for determining the amount of equity a borrower has in the collaterala key driver for determining whether the borrower will continue to make the mortgage payments and the potential recovery in case of default. 49. Defendants routinely used outside third-party due diligence providers, such as
Clayton, the Bohan Group (Bohan), and Watterson Prime LLC, to perform due diligence on the mortgage pools they purchased for securitization. As part of this due diligence, the vendor calculated important data points, such as LTV ratios and debt-to-income ratios, and provided detailed quantitative and qualitative findings to Defendants, including a score for each loan. John Mongelluzzo, a former Bear Stearns due diligence manager, acknowledged in testimony before the FCIC that Bear Stearns received individual asset summary (IAS) reports on a daily basis. Bear Stearns also received tracking reports showing the kinds of exceptions that were commonly
20
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discovered for Defendants top loan originators. Claytons senior vice-president, Vicki Beal, testified before the FCIC that in developing these reports, Clayton received a lot of feedback from Bear Stearns of things that would be helpful to them. Confidential witness (CW) 1, a former EMC associate vice-president who worked at the company in various due diligence and compliance roles from 1998 through 2008 in Fort Worth, Texas, confirmed that Bear Stearns knew the intimate details of each loan that was reviewed in the due diligence process. 50. Defendants did not extrapolate the due diligence results for the samples reviewed
by the due diligence vendors to the mortgage pools they purchased. 51. Defendants due diligence efforts and access to the individual loan files gave them
material, non-public knowledge about the true quality of the loans that were included in the securitizations at issue. Defendants due diligence efforts and access to the loan files also
provided comfort to investors that Defendants only securitized mortgage pools which conformed to the stated loan origination and underwriting standards. Investors did not have access to the loan files or Defendants due diligence information, and could not conduct similar due diligence themselves. Plaintiffs therefore relied on Defendants disclosure of the quality of the mortgage pools backing the RMBS. As the Attorney General for the State of Massachusetts explained, there are two related information asymmetries that arise from the RMBS structure: First, investment banks, through their diligence process, may discover that loans have poorer quantifiable criteria than present on the loan tape (for example, if the banks review calls into question the quality of the appraisals underlying the calculation of the loan-to-value ratios). Second, investment banks may discover concentrations of otherwise unquantifiable risks like fraud. Letter from Attorney General for the State of Massachusetts to the SEC dated August 2, 2010 regarding Proposed Rule Concerning Asset-Backed Securities, SEC Release Nos. 33-9117, 34-
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61858; File number S7-08-10.
These information asymmetries were even more acutely
pronounced in securitizations that were created, sponsored and underwritten by Defendants, and backed by mortgages that Defendants and their affiliates had originated. C. Defendants Fraudulently Included Poor Quality Loans in the Securitizations 1. 52. Bear Stearns
Defendant EMC Mortgage was established to facilitate the purchase and servicing
of whole loan portfolios. Since its inception in 1990, EMC purchased over $100 billion in residential loans and servicing rights. As stated in the BALTA 2006-4 Prospectus Supplement, when EMC purchased loans, it was with the ultimate strategy of securitization into an array of Bear Stearns securitizations. From 2003 to 2006, EMC securitized nearly $200 billion in residential mortgage loans. 53. EMC Mortgage was the sponsor for nine of the Bear Stearns securitizations at
issue. EMC Mortgage and other Bear Stearns affiliates were also the originators for 37% or more of the loans backing three of those securitizations, as shown in Table 2: Table 2 Underwriter
Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns
#
1 2 3 4 5 6 7
Offering
BALTA 2006-4 BALTA 2006-7 BSABS 2006-EC2 BSABS 2006-HE8 BSABS 2006-IM1 BSABS 2007-2 SACO 2006-2
Sponsor
EMC EMC EMC EMC EMC EMC EMC
Loan Originators
EMC*5(67%) EMC* (37%) Countrywide (51%) Encore (100%) EMC* (77%) 6 Bear Stearns Res (20%) Impac (100%) Performance Credit (34%) Wells Fargo (30%) American Home (28%) SouthStar (18%)
*5Defendant in this Action.

6
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8 9
SAMI 2006-AR7 SAMI 2006-AR8
EMC EMC
Bear Stearns Bear Stearns
Countrywide (100%) Countrywide (52%)
54.
Although identified as originator of the loans in three of these securitizations,
EMC Mortgage did not originate any of the loans in the securitizations at issue. Instead, EMC Mortgage purchased loans from unidentified financial institutions while representing in the Offering Materials that those loans were originated in accordance with the underwriting guidelines established by [EMC]. Former senior managing director and co-head of Bear Stearns mortgage finance, Mary Haggerty, confirmed in testimony before the FCIC that EMC Mortgage did not originate loans, explaining that EMC Mortgage only purchased loans while making its underwriting guidelines available to financial institutions that wanted to sell loans to Bear Stearns: EMC was a purchaser and seller of loans. EMC did not originate itself. a. 55. Bear Stearns Undisclosed Policy to Securitize Loans before Expiration of the EPD Period
Until 2005, Bear Stearns had a policy preventing the securitization of mortgages
before expiration of the early payment default (EPD) period. If a loan defaulted during the EPD periodtypically between 30 and 90 days after Bear Stearns purchased the loan from an originatorBear Stearns could force the originator to repurchase the loan, to replace the loan, or to provide alternative compensation. Early payment defaults are recognized in the mortgage industry as an indicator of mortgage fraud and borrower inability to pay. 56. To increase the volume of its securitization business and overall profitability, Bear
Stearns changed its EPD policy in 2005 to allow for the securitization of loans before expiration of the EPD period. Bear Stearns revised EPD policy greatly increased the default and loss risks of the mortgage pools backing Bear Stearns RMBS. At the same time, the revised EPD policy transferred the default and loss risks from Bear Stearns to investors, like Plaintiffs, while ensuring 23
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that Bear Stearns could continue to collect the sponsor, depositor and underwriting fees for each securitization. This change created a strong financial incentive for Bear Stearns to churn out as many securitizations as possible, regardless of the quality of the supporting mortgage pools. 57. After changing the EPD policy, senior Bear Stearns executives pressured Bear
Stearns personnel to securitize acquired loans as quickly as possible regardless of loan quality, and in any event before expiration of the EPD period. For example, a June 13, 2006 email from senior managing director and head of whole loan trading, Jeffrey L. Verschleiser, reminded Bear Stearns personnel of the need to be certain we can securitize the loans with 1 month epd before the epd period expires. When his directive was not followed, Verschleiser demanded an
explanation as to why loans were dropped from deals and not securitized before their epd period expired. Similarly, a May 5, 2007 email from managing director Keith Lind demanded to know why we are taking losses on 2nd lien loans from 2005 when they could have been securitized????? These emails are consistent with the account of former EMC analyst Matt Van Leeuwen, reported in The Atlantic on May 14, 2010, that: Bear traders pushed EMC analysts to get loan analysis done in only one to three days. That way, Bear could sell them off fast to eager investors and didn't have to carry the cost of holding these loans on their books. 58. In a transcribed interview submitted in other litigation, Van Leeuwen explained
that Bear Stearns purchased loans from other banks towards the end of the month and immediately put them into securitizations for sale to investors, like Plaintiffs. Van Leeuwen stated: We would typically buy loans in the case of an [Alt-A] deal, we would buy loans from a Wells Fargo or a Countrywide or any other bank towards the end of the month, right around, you know, the 28th or the 29th, and they would often be put into a security that would close on the 30th or 31st of the month, so it was almost instantaneously that it would pass through. []
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there were people who knew that these loans were not the best, but the whole focus was short term, I mean they were only going to be on our books for a very short time anyway, so who cares. [] In their mind, Bear had no risk in these deals. They were simply a middleman who had temporary ownership of the loans, so with that came the mind set to hurry up and get things moving through. 59. Bear Stearns did not disclose to Plaintiffs that it had adopted a deliberate policy to
securitize loans before expiration of the EPD period or that it was pressuring its employees to quickly securitize mortgages regardless of loan quality. Instead, Bear Stearns made extensive representations to investors that it had implemented and was applying controls to ensure the quality of the securitized loans. In a December 15, 2005 Bear Stearns Companies Investor Conference Call, Bear Stearns underscored its commitment to loan quality to quiet any concerns about its rapid growth: [O]ur [origination and] conduit businesssaw a significant increase in origination volume over the course of the year and thats important not only because it secures a direct pipeline of product for securitization and thereby allows us to maintain or increase share, but it also has a lot to do with the quality of the product that were able to put out in the nonagency space. 60. Contrary to statements made to investors, Bear Stearns did not take steps or enforce
any sort of controls to ensure the quality of the product and actively concealed material facts regarding its actual securitization practices and internal protocols. Indeed, Bear took particular pride in its risk management, but let its standards slide in the hunt for higher returns during the mortgage mania. Bear Naked Lenders, The Wall Street Journal, March 18, 2008. It was foreseeable that investors who purchased Bear Stearns RMBS would suffer losses as a result. b. 61. Bear Stearns Deliberately Undermined the Due Diligence Process
As the sponsor, EMC Mortgage was responsible for selecting and evaluating the
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mortgage pools for each of the Bear Stearns securitizations at issue here.
EMC Mortgage
operated under the strict supervision and control of Bear Stearns. CW 2, an assistant underwriting manager at EMC from June 2006 through May 2008 in Carrollton, Texas, stated that the EMC Mortgage loan selection process was closely overseen by Bear Stearns, noting that EMC was basically a sub-company of Bear Stearns in New York, and of course they had a day to day influence as to what was being purchased from the various sellers. CW 2 further stated that I know credit decisions and such were made out of New York. CW 3, a senior underwriter at Bear Stearns, EMC and JPMorgan from March 2000 through February 2009 in Dallas, Texas, independently confirmed CW 2s account, stating that Bear Stearns made all the decisions. Thats the mother ship right there. Theyre the ones who ran the show. 62. In addition to reducing its exposure to poor quality loans by changing the EPD
policy, Bear Stearns undermined the due diligence process, which was now slowing down its securitizations machine. Specifically, Bear Stearns implemented a due diligence process that was designed to maximize the number of Bear Stearns securitizations regardless of the quality of the loans in the designated mortgage pools. CW 4, an auditor and senior product guideline analyst at EMC Mortgage from August 2005 through October 2007 in Lewisville, Alabama, stated that the Bear Stearns mindset was The more volume, the more money. 63. Bear Stearns ensured the loan volume for its securitizations in a number of ways.
First, Bear Stearns pressured its employees to purchase loans regardless of the quality of the mortgage pools. For example, on April 4, 2006, EMC senior vice-president Jo-Karen Whitlock informed her staff that she would hold them personally accountable if EMC Mortgage did not meet Bear Stearns loan acquisition targets, stating:
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I refuse to receive any more emails from [senior managing director and head of whole loan trading, Jeffrey L. Verschleiser] (or anyone else) questioning why were not funding more loans each day. Im holding each of you responsible for making sure we fund at least 500 each and every day. . . . [I]f we have 500+ loans in this office we MUST find a way to underwrite them and buy them. . . . I was not happy when I saw the funding numbers and I knew that NY would NOT BE HAPPY. I expect to see 500+ each day. . . . Ill do whatever is necessary to make sure youre successful in meeting this objective. 64. Second, EMC Mortgage did not conduct any due diligence on loans that were
originated by Bear Stearns Residential Mortgage (BSRM), including for the BSRM mortgages included in BSABS 2006-HE8. Indeed, Mary Haggerty testified before the FCIC that after Clayton performed due diligence on BSRMs origination and underwriting practices for a brief period of time, Bear Stearns did not continue conducting due diligence on mortgage loans originated by BSRM. 65. Third, Bear Stearns limited the due diligence for subprime loan originators that
were selling Bear Stearns large volumes of loans, such as Countrywide, GreenPoint and Impac. On February 11, 2005, Bear Stearns associate director Biff Rogers forwarded an email from due diligence manager John Mongelluzo to Bear Stearns analysts, stating that the amount of due diligence on subprime loans would be reduced in order to make us more competitive on bids with larger sub-prime sellers. Bear Stearns senior managing director and co-head of mortgage finance Baron Silverstein similarly testified before the FCIC that, Bear Stearns would evaluate our due diligence strategy, depending upon who the seller was. 66. CW 2, an assistant underwriting manager at EMC Mortgage from June 2006
through May 2008, explained how this worked in practice, stating that there were certain major lenders and very few of those loans were audited, they were just reviewed in bulk. According to CW 2, EMC Mortgage limited the due diligence sample for such major lenders to 10% of the loan 27
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pool. Moreover, CW 2 stated that EMC Mortgage would not conduct credit due diligence on all of the loans in the 10% sample, using part of the sample only for a valuation review of the collateral. Former EMC loan analyst Matt Van Leeuwen confirmed CW 2s account, stating: So in about 2005, toward the end of 2005, the traders didnt like the fact that we had to review 10 to 20 percent of these loans before they went into a security, so the decision was made at the desk to go ahead, buy 100 percent of the loans, put them into a security and then review them under the due diligence process. [] So you have a pool of loans, some of them are going to fall out because of the due diligence, whether they didnt conform to the trade stipulations or some other reason. Usually what happens is those get removed and you buy the rest of them that conform to the trade stips, and the rest of them go into a security. In this case, they would go ahead and buy them and put them into a security before taking a look at them. 67. The statements of CW 2 and Van Leeuwen were confirmed by internal Bear
Stearns audit reports in 2006, which concluded that Bear Stearns had reduced the number of loans in the loan samples that were reviewed as part of the due diligence process, was conducting due diligence only after the loans were processed (post-closing due diligence), had eliminated internal reports on defective loans, and was conducting no due diligence if such due diligence would interfere with mortgage pools being securitized. In combination with Bear Stearns revised EPD policy, this meant in many instances that Bear Stearns conducted no due diligence before securitizing and selling the loans to Plaintiffs and other investors. 68. Finally, Bear Stearns pressured its due diligence vendors to limit the number of
loans that were identified as defective. CW 5, a due diligence underwriter at Clayton and Bohan from June 2005 through January 2008 in Stamford, Connecticut and Irvine, California, stated that Bear Stearns pressured Clayton and Bohan to be more lenient with their credit and compliance due diligence, stating that Bear Stearns exerted downward pressure to ensure that more loans would be approved. For example, in an April 5, 2007 email, an EMC assistant manager for 28
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quality control underwriting and vendor management instructed Bear Stearns due diligence vendor not to review appraisals, not to verify occupancy status of the residence and employment, and not to identify misrepresentations regarding the occupancy of the property to Bear Stearns, stating: x Effective immediately, in addition to not ordering occupancy inspections and review appraisals, DO NOT PERFORM REVERIFICATIONS OR RETRIVE CREDIT REPORTS ON THE SECURITIZATION BREACH AUDITS. Do not make phone calls on employment, and Occupancy misrep is not a securitization breach. Bear Stearns never disclosed to Plaintiffs that it pressured its personnel and due
x x 69.
diligence vendors to approve loans regardless of credit quality, that it encouraged falsifying loan information, that it limited the due diligence for numerous loan originators, or that it failed to conduct any due diligence on loans originated by BSRM. 70. Bear Stearns knew that the representations it made about the quality of its due
diligence were false and misleading. c. 71. Bear Stearns Knowingly Included Poor Quality Loans in Its Securitizations
Bear Stearns knew that numerous loans that it included in securitizations failed to
meet the stated loan origination and underwriting standards, and were based on inflated property values. For example, CW 4, an auditor and senior product guideline analyst at EMC Mortgage from August 2005 through October 2007, reviewed many loan files in which the stated income was way overstated and the property values were way overinflatedcausing both the borrowers ability to pay and the value of the collateral to be overstated. EMC Mortgage would nevertheless approve and purchase those loans. As CW 4 stated, as long as it was not totally 29
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ridiculous, we took it. 72. In the individual asset summary and trending reports, Clayton reported discovering
numerous defective loans in the mortgage samples that Clayton reviewed for Bear Stearns. For example, Clayton reported to the FCIC that, during the 18 months that ended June 30, 2007, it rated only 54% of all reviewed loans as meeting the stated underwriting guidelines. During this time, Clayton further determined that 18% of the loans did not meet the underwriting guidelines but had compensating factors, and that 28% of the loans were fatally defective and should not be purchased. Discussing this data during his testimony before the FCIC, Claytons former President and Chief Operating Officer, Keith Johnson, said: That 54% to me says there [was] a quality control issue in the factory for mortgage-backed securities. Bear Stearns was one of Claytons largest customers and no exception to the quality control issues in the factory. 73. Bear Stearns routinely overruled its due diligence vendors and waived in
materially defective loans. Claytons data showed for the 18 months that ended June 30, 2007, that EMC Mortgage waived in 50% of the loans that failed to meet credit and compliance underwriting standardsone of the highest waiver rates in the industry. Johnson explained during a June 8, 2010 interview with FCIC investigators that of all the RMBS issuers, Bear Stearns was the worst on exceptions. 74. Loan traders, whose compensation depended in large measure on the volume of
loans that Bear Stearns purchased and securitized, made the decision to waive in defective loans. CW 2, assistant underwriting manager at EMC Mortgage, stated that the decision to waive in materially defective loans was made by Bear Stearns traders in New York, stating that they would be contacted as to whether an exception would be made. Between 2005 and 2007, Bear
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Stearns securitized more than $14 billion of Countrywide loans, and its loan traders were not willing to jeopardize this lucrative business relationship (and their bonuses) by rejecting many defective loans for due diligence reasons. As discussed in IV.D.3 below, Countrywide was one of the worst lenders in the country, originating billions of dollars in toxic mortgages between 2005 and 2007. 75. Bear Stearns also had strong incentives to waive in many defective loans that
were originated by Impac and Encore. Between 2005 and 2007, Bear Stearns securitized more than $2.2 billion of Encore originated mortgages, and more than $1.4 billion of Impac Mortgage loans. In addition, Bear Stearns extended hundreds of millions of dollars in credit to Impac. Claytons Keith Johnson explained to the FCIC that the practice of waiving in defective loans was particularly prevalent among investment banks, such as Bear Stearns, that extended warehouse lines of credit. To explain why, Johnson offered a hypothetical showing that these securitizers had a conflict of interest: either the securitizer could reject the loan and force the loan originator to take it backresulting in a loss because the rejection would be financed with the warehouse line of credit extended by the securitizeror the securitizer could waive the loan into the pool and pass the loss on to the RMBS investor. As Johnson explained: if Bob was originating for me as the client and I had a warehouse line to Bob, I think what happened is a conflict of interest. That if I put back loans to you, Bob and you dont have the financial capability to honor those, then Im kind of caught; right? [] Im going to take a loss on the warehouse line. 76. As a result, Bear Stearns included a startlingly high percentage of defective loans
in loan pools that were securitized and sold to Plaintiffs and other investors. Bear Stearns never disclosedand investors did not know, and could not have knownthat Bear Stearns due diligence vendors reported numerous defective loans in the loan pools that Bear Stearns purchased 31
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for securitization, or that Bear Stearns waived in 50% of the loans that failed to meet minimum credit and compliance standards. d. Bear Stearns Kept Hundreds of Millions of Dollars in Payments for the Poor Quality Loans That It Sold to Investors
77.
In 2006, Bear Stearns developed a new reporting system to identify and track
mortgages that were suffering from EPDs. CW 1, a former EMC associate vice-president who worked at the company in various due diligence and compliance roles from 1998 through 2008 in Fort Worth, Texas, stated that Bear Stearns had hired vice-president Robert Glenny to develop the technology, and that the reporting system was very innovative. CW 1 further stated that the system would generate report cards for the loan sellers, and that this report card was rolled up to a host of people, including to senior managing director and co-head of Bear Stearns mortgage finance Mary Haggerty. According to CW 1, these report cards were also used during meetings to discuss delinquent loans. 78. Over the course of 2006 and 2007, Bear Stearns noticed that an increasing number
of the loans it purchased and securitized were experiencing early payment defaults. Bear Stearns notified loan originators that their loans were suffering from EPDs. Bear Stearns did not inform the originators that the loans had already been securitized, or that it was seeking recovery on behalf of the securitization. Instead of demanding that the loan originator repurchase the loan or replace the loan in the securitization at full value, Bear Stearns pretended to accommodate the loan originators by requesting payment of a fraction of the purchase price to reflect the decrease in value caused by the EPDa so-called down bid. 79. Bear Stearns received hundreds of millions of dollars in down bids for defective
loans that it had included in its securitizations. Documents and testimony obtained in other 32
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litigation show, for example, that between April 2006 and April 2007, Bear Stearns resolved $1.9 billion in EPD claims against loan originators, and that the largest percentage of those resolutions were settlements. Bear Stearns fraudulently pocketed the down bids, and never disclosed to Plaintiffs and other investors that it received payments from loan originators for defective loans that it had securitized and sold. Bear Stearns fraudulently kept hundreds of millions of dollars in recoveries for itself rather than crediting the trusts holding the defective mortgages for the benefit of Plaintiffs and other certificate holders. e. 80. Bear Stearns Misconduct Had a Devastating Impact on the Performance of the RMBS Mortgage Pools
The Bear Stearns Defendants misconduct dramatically affected the mortgage
pools underlying the RMBS purchased by Plaintiffs. As of March 2012, on average, more than 46% of the mortgage loans backing the Bear Stearns Certificates were over 60- or 90-days delinquent, in foreclosure, bankruptcy, or repossession, as reflected in Table 3: Table 3
Collateral Performance of Securities Underwritten by Bear Stearns Serious Delinquencies in % of mortgage pools (60 Day + 90 Day + Foreclosure + REO + Bankruptcy) # Offering 1 2 3 4 Mar. Yr. Yrs. Yrs. Yrs. 2012 1 BALTA 2006-4 10.72 28.82 41.90 49.04 44.62 2 BALTA 2006-7 11.34 25.28 39.96 41.42 41.41 3 BSABS 2006-EC2 16.82 36.90 55.69 65.52 54.50 4 BSABS 2006-HE8 20.47 40.81 58.62 51.63 50.70 5 BSABS 2006-IM1 7.96 30.35 42.69 45.13 42.55 6 BSABS 2007-2 46.55 58.42 64.42 57.41 54.62 7 SACO 2006-2 8.36 13.38 16.71 20.43 10.19 8 SAMI 2006-AR7 5.96 28.87 55.82 61.45 60.67 9 SAMI 2006-AR8 6.18 31.49 50.73 55.20 54.89 Averages 14.92 32.70 47.39 49.69 46.01
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2. 81.
Washington Mutual
Defendant WaMu Asset Acceptance Corporation (WaMu Asset) was the
depositor of six securitizations at issue. Its affiliate, Defendant WaMu Capital Corporation (WaMu Capital) was the securitization arm of Washington Mutual and acted as the underwriter for the RMBS. WaMu, including its then-affiliates Defendant WaMu Mortgage, and non-party Long Beach Mortgage, was the sponsor of the securitizations and originated most of the mortgages for following Offerings in Table 4: Table 4
# 1 2 3 4 5 6 7 8 9 10 11 12 13 Offering LBMLT 2006-11 LBMLT 2006-3 LBMLT 2006-4 LBMLT 2006-5 LBMLT 2006-6 LBMLT 2006-7 LBMLT 2006-8 WAMU 2006-AR7 WMABS 2006-HE2 WMABS 2007-HE2 WMALT 2007-HY1 WMALT 2007-OC2 WMHE 2007-HE2 Sponsor WaMu Bank Long Beach Mortgage Long Beach Mortgage Long Beach Mortgage WaMu Bank WaMu Bank WaMu Bank WaMu Bank WaMu Mortgage WaMu Mortgage WaMu Mortgage WaMu Mortgage WaMu Bank Depositor Long Beach Securities Long Beach Securities Long Beach Securities Long Beach Securities Long Beach Securities Long Beach Securities Long Beach Securities WaMu Asset WaMu Asset WaMu Asset WaMu Asset WaMu Asset WaMu Asset Underwriter WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital WaMu Capital Loan Originators 7 Long Beach (100%) Long Beach (100%) Long Beach (100%) Long Beach (100%) Long Beach (100%) Long Beach (100%) Long Beach (100%) WaMu (100%) Long Beach (33%) Mandalay (17%) WMC (50%) WaMu (71%) WaMu (60%) WaMu (100%)

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a. 82.
WaMus High Risk Lending Strategy Ignored Necessary Controls
In 2004, WaMu launched a five year strategic plan to dramatically grow the banks
revenues and profits. In a June 1, 2004 memorandum that was first publicly disclosed with the Senate Investigations Report in April 2011, WaMus Chief Executive Officer, Kerry Killinger, stated that WaMus financial targets for the next five years would be to grow our asset base and revenues by approximately 10% per year while limiting our expense growth to about 5%, in order to achieve an average [return on equity] of at least 18% and average [earnings per share] growth of at least 13%. 83. WaMu understood that it would undertake significant new risks to meet Killingers
ambitious goals. As Killingers June 1, 2004 memorandum stated: It is important that we all focus on growth initiatives and risk taking. Above average creation of shareholder value requires significant risk taking. In this regard, Killingers memorandum identified residential nonprime and adjustable rate mortgages as key drivers for achieving WaMus financial targets, noting that there is a good opportunity to expand the origination of non-prime residential first and second mortgages through both our consumer banking and home loan stores. 84. On January 18, 2005, WaMus board of directors approved WaMus High Risk
Lending Strategy. WaMu implemented the High Risk Lending Strategy and immediately began to accelerate the origination and securitization of subprime and adjustable rate mortgages. WaMus subprime mortgage subsidiary, the Long Beach Mortgage Company (Long Beach), was instrumental in realizing the expansion. WaMus financial targets required Long Beach to originate $30 billion in subprime mortgages in 2005 and $36 billion in 2006.
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85.
As WaMu aggressively expanded the origination of highly risky loans, it made no
effort to implement adequate oversight over its loan origination and underwriting practices. In fact, WaMu reduced its investment in loan underwriting. As Killinger explained in the June 1, 2004 memorandum, WaMu would need to significantly reduce mortgage origination costs if WaMu was to meet its ambitious financial targets, stating: We must significantly reduce the cost of originating mortgages by adopting automated underwriting and other loan fulfillment processes. Our multiple origination platforms have led to very poor efficiency. Our goal is to increase automated underwriting to 80% or more, which we expect to have a positive effect on the cost of origination. 86. As a result, WaMu lost its ability to properly originate and underwrite mortgages.
For example, WaMus Chief Credit Officer warned Killinger in June 2005 that WaMus business was growing so fast that it could not catch up and quantify the risk. This was particularly true for the increased origination of subprime mortgages by Long Beach. An internal audit dated September 21, 2005 (publicly disclosed in April 2011 with the Senate Investigations Report) noted serious problems in Long Beachs loan underwriting practices, including: x Underwriting guidelines established to mitigate the risk of unsound credit decisions were not always followed, and the decisioning methodology was not always fully documented. The majority of exceptions resulted from using unverified income or the unsupported exclusion of debt items in the debt-to-income calculation. Controls within the loan origination system can be overridden to allow employees without documented authority to approve loans. The loan approval forms documenting the clearing of conditions were not fully completed in 60% of the files reviewed. WaMu never addressed Long Beachs inadequate loan acquisition practices. An
x x x 87.
internal audit dated September 28, 2007 (publicly disclosed in April 2011 with the Senate
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Investigations Report) continued to note serious problems in Long Beachs subprime loan underwriting practices, stating: The overall system of risk management and internal controls has deficiencies related to multiple, critical origination and underwriting processes. * * *
Repeat IssueUnderwriting guidelines established to mitigate the risk of unsound underwriting are not always followed. [] Improvement in controls designed to ensure adherence to Exception Oversight Policy and Procedures is required [] Accurate reporting and tracking of exceptions to policy does not exist. b. 88. WaMu Incentivized Employees to Originate High Risk Loans Regardless of Loan Quality
WaMu employees in charge of originating mortgages were paid according to
volume, regardless of loan quality. In fact, WaMu employees received higher compensation for originating riskier loans. As CW 6, a senior underwriter, credit risk manager and credit quality manager at WaMu from April 2003 through February 2008 in Bellevue, Washington, stated, The more you slammed out, the more you made. 89. WaMus sales message was reinforced from the top. In late 2006, WaMu Home
Loans President David Schneider gave a presentation to thousands of WaMu employees, including loan underwriters and risk managers, emphasizing the importance of sales to WaMu. Schneiders presentation included the following slide:
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90.
Schneider testified before the Senate Investigations Subcommittee that We Are
ALL in Sales was an appropriate message, including for WaMus risk managers. 91. The Senate Investigations Report documents how WaMus pervasive sales culture,
ambitious financial targets, and lack of risk controls resulted in shoddy lending practices that produced billions of dollars in poor quality loans. WaMus lending practices included: (i) offering high risk borrowers large loans; (ii) steering borrowers to higher risk loans; (iii) accepting loan applications without verifying the borrowers income; (iv) using loans with low teaser rates to entice borrowers to take out larger loans; and (v) promoting negative amortization loans which led to many borrowers increasing rather than paying down their debt over time. Numerous
confidential witnesses who worked at WaMu during the relevant time period support these findings. For example: x CW 7, a senior loan consultant at WaMu from September 2005 through December 2007 in Riverside, California, stated that WaMus commission guidelines for loan origination personnel contained extra commissions for teaser rate loans. CW 7 also recalled emails about commission specials that granted increased commissions for riskier non-conforming or subprime loans. CW 8, a WaMu loan closing coordinator from June 2003 through July 2007 in Bethel Park, Pennsylvania, stated that mortgages were not explained properly to the buyer, 38
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so they didnt know the [interest] rate was going to go up. x CW 9, a senior loan coordinator at WaMu from November 2006 through June 2007 in San Antonio, Texas, reported tremendous pressure from the sales guys to approve loans and that, with the involvement of WaMu management, even questionable loans usually got taken care of one way or another. CW 9 further explained that WaMus loan sales personnel and managers were above [WaMus] loan processors, and therefore WaMus loan processors were supposed to yield to whatever their needs were. CW 10, a senior underwriter at WaMu/Long Beach from November 2004 through April 2007 in Dallas, Texas, stated that WaMu routinely issued mortgages to borrowers without establishing their credit score if they provided three alternative trade lines. An alternative trade line was anything that did not appear on the borrowers credit report, including documentation of car insurance payments, verification of rent payment, or a note from a person claiming the borrower had repaid a personal debt. CW 10 stated that by the end of 2006 these mortgages constituted a majority of first payment defaultsloans on which the borrower failed to make even the first paymentand that It was just a disaster. CW 11, a senior loan coordinator and mortgage processor at WaMu in March 2007 through December 2007 in Jacksonville, Florida, stated that WaMus companywide culture required employees to do whatever it took to get loans closed. CW 12, a senior mortgage underwriter at WaMu from April 2004 through September 2007 in Illinois, stated that There really were no restrictions to approve a loan. For example, according to CW 12, WaMu allowed salespeople to give interest-rate exceptions to borrowers to push loans through. CW 12 stated that WaMus rate of exceptions were ridiculous, and some really bad loans went through. The attitude at WaMu was push, push, pushBasically, sales is what ran Long Beach Mortgage, it wasnt the Operations part. CW 13, a mortgage underwriter at Long Beach from 2003 through December 2006 in Lake Oswego, Oregon, stated that there was always a sense of working the underwriting guidelines to close loans, rather than to mitigate credit risk. CW 13 said that there was simply an environment to approve, approve, approve and that any exception that was needed to approve a loan was not only done, but was sought after. CW 13 felt that Long Beach consistently pressured its underwriters to find a way to make it work. CW 14, a senior underwriter at WaMu from July 2003 through September 2007 in Livermore, California, said that if Long Beachs competitors could not approve a loan, it was known to send the loan to Long Beach and they would make an exception to get the loan through. CW 14 explained that guidelines were loose to the point of disbelief, describing Long Beachs lending approach as follows: If they were 39
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breathing and had a heartbeat, you could probably get the loan done. 92. Numerous additional witnesses who came forward after WaMu collapsed
corroborate these accounts. For example, The New York Times published an article quoting Steven M. Knobel, founder of an appraisal company that did business with WaMu, saying that If you were alive, [WaMu] would give you a loan. Actually, I think if you were dead, they would still give you a loan. Saying Yes, WaMu Built Empire on Shaky Loans, N.Y. Times, Dec. 27, 2008. c. 93. WaMu Pressured Appraisers to Increase the Stated Value of the Collateral
Accurate appraisals are critical for properly evaluating the risk and magnitude of
loss in case of borrower defaults. If the appraisal is artificially inflated, investors will be under the mistaken impression that the collateral supporting their investment is worth more than it really is. 94. Starting in 2006, WaMu outsourced the vast majority of its residential lending
appraisal work to two appraisal companies, First American eAppraiseIT (eAppraiseIT) and LSI Appraisal (LSI). WaMu instructed eAppraiseIT and LSI to only use appraisers from a list of pre-approved appraisers. Use of the WaMu appraiser list was mandatory. 95. For example, CW 15, a chief appraiser at WaMu from 1990 through February
2002, who later worked for an appraisal management company that bid on work from WaMu, stated that a WaMu vice-president for appraisal oversight made it clear that CW 15s company would only get the contract if it agreed to use appraisers on the WaMu appraiser list. CW 15 understood that WaMu wanted her company to use appraisers that would give WaMu loan originators the appraisals they needed to get loans approvedthe same WaMu vice-president for
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appraisal oversight told CW 15 that he had informed another appraisal company that it would get the work if you can make the appraisal noise stop. 96. This WaMu appraiser list was created and continually updated by WaMu sales
personnel with a financial interest in purchasing more mortgages regardless of the quality of the collateral. Moreover, appraisers who submitted appraisals that were too low to get loans approved were told to inflate their appraisals or risk exclusion from the WaMu appraiser list. Appraiser David Cassese described this pressure as follows: We were being pressured with so much they wanted to change it. [] Because theyre so adamant but were adamant with, Im going to say, threats, you know, youre not going to get work to feed your family, were going to tell the banks not to use you. I mean, it was ridiculous. Casseses statements were corroborated by former WaMu oversight officer Sabina Senorans, who testified as follows during a deposition in a civil action against eAppraiseIT by the New York Attorney General: Q. Youre saying sales can threaten to take an appraiser off their list if they cannot get what they want. I guess my question is what did they want? Did they want the best quality? A. No. They wanted the appraisal value to come in. They wanted the value to be what they wanted to make the deal work. 97. The statements of Cassese, Senorans, and CW 15 are confirmed by internal
documents that have only recently been disclosed, including an April 27, 2007 email from former WaMu oversight officer Sabina Senorans who discussed the WaMu appraiser list as follows: The sales people finally got their way at WAMU. The appraisal list that Eappraiseit and LSI is using has been totally scrubbed, but instead of keeping good appraisers, they went for the Badd [sic] onesSo many appraisers have been knocked off the listI did manage to salvage a few in Nassau County, but other areas, forget about it. Now sales can easily threaten to take an appraiser off their list if they cannot get what they want. Scary, huh?
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98.
During a conference call with senior WaMu executives in February 2007,
eAppraiseIT president Anthony Merlo wrote an email to his colleagues while WaMu executives were discussing the policy to exclude appraisers who submitted appraisals that were too low to get loans approved from the WaMu appraiser list, stating: The performance ratings to retain position, as a WaMu proven appraiser will be based on how many come in on value. When asked by representatives of the New York Attorney General about his response to WaMus policy, Merlo testified: I didnt say a word other than sure we will do it. 99. After awarding appraisal contracts, WaMu continued to pressure its appraisal
companies, including eAppraiseIT and LSI, to change appraisals by increasing the value of the collateral. CW 11, a senior loan coordinator and mortgage processor at WaMu in 2007 in Jacksonville, Florida, recalled meetings between WaMu senior managers and eAppraiseIT because WaMu was concerned that the appraisals were coming out too low. One of CW 11s managers reported on those meetings, telling CW 11 that WaMu management had met with eAppraiseIT and LSI to demand less resistance against WaMus efforts to obtain higher appraisal values, and that eAppraiseIT and LSI were going to do everything possible within reason to accommodate [WaMus] needs in terms of the appraised values. CW 11s statements are
confirmed by internal eAppraisIT documents that have only recently been disclosed, including a WaMu Improvement Implementation Plan dated October 5, 2006, stating: Several weeks ago, eAppraiseIT developed a plan to bring our performance in line with client expectations. Primary targeted areas for improvement include: [] x x utilizing a higher percentage of WaMu approved appraisers on order assignments faster resolution of Reconsiderations of Value (ROVs) 42
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100.
WaMus senior management also pressured WaMu employees to increase the value
of appraisals for WaMu mortgages. CW 16, a loan coordinator at WaMu from July 2005 through September 2007 in Jacksonville, Florida, stated that management was always on top of loan coordinators such as herself to make loans go through. CW 16 explained that the pressure from management caused WaMu loan consultants to work with appraisers to try to make loans go through. CW 16s statements are confirmed by internal eAppraisIT documents that have only recently been disclosed, including a February 21, 2007 email from eAppraiseIT business manager Teresa Cosie, to eAppraiseIT vice-president of operations, Vicky Hamilton, stating that the lending folks at wamu want their values and care nothing for the appraisal process. They see the appraisal department as a stumbling block in their way. 101. CW 17, an appraisal coordinator at WaMu from December 2001 through October
2006 in Florida, explained how this worked in practice. When the appraised value was too low to support the mortgage, WaMu sales personnel submitted a reconsideration of value or ROV to the appraiser. CW 17 stated that reconsiderations of value were done constantly and that, compared with the number of ROVs between 2002 and 2005, the number of ROVs doubled or tripled during the period between 2005 and 2007. CW 17s statements were confirmed by the testimony of eAppraiseIT vice-president of operations, Vicky Hamilton, who stated that the number of ROVs for WaMu was greatly more than what I had ever experienced eAppraisITs former chief appraiser, Peter Gailitis, stated that WaMu submitted considerably more ROVs than any other [eAppraisIT] client and that at one point WaMu loan officers filed some 400 ROVs each month. Gailities explained that WaMu management would pass along the value-related complaints from retail to [eAppraisIT] management, including me, and threatened a loss of
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business if the noise (i.e. complaints) from retail did not stop. According to Gailitis, WaMu was [eAppraisIT]s biggest client at the time. As a result, eAppraisIT routinely complied with WaMus reconsideration of value submissions. Former WaMu appraisal coordinator CW 17 stated that around 80% of the time when an ROV was requested by WaMu, the appraisal value was increased. 102. WaMu also paid appraisers to increase the value of their appraisals for WaMu
mortgages. CW 18, a loan consultant at WaMu from September 2003 through 2005 in Largo, Maryland, stated that many appraisers received kickbacks from loan consultants to reach certain values, describing the WaMu appraisal process as dysfunctional. As eAppraiseIT vice-
president Anthony Merlo testified, [WaMu] wanted us to rotate primarily through their vetted and approved appraiser panel, and pay them what that appraiser pretty much demanded, within reason. 103. WaMus strategy allowed WaMu to originate billions of dollars in additional
mortgages, but undermined the accuracy of the valuation of the collateral supporting those mortgages. WaMu transferred this risk to Plaintiffs and other investors by including those
mortgages into securitizations, including into the WaMu securitizations at issue here. As the New York Attorney General stated in his complaint against eAppraiseIT, dated November 1, 2007: The integrity of our mortgage system depends on independent appraisers. Washington Mutual compromised the fairness of this system by illegally pressuring appraisers to provide inflated values. 104. It was foreseeable that WaMus improper appraisal strategy would cause enormous
damage to Plaintiffs and other investors who purchased WaMu RMBS. d. 105. WaMu Consciously Securitized Fraudulent Mortgages
The Senate Investigations Report revealed that WaMu originated large volumes of 44
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fraudulent mortgages, involving at least five separate WaMu loan offices in California alone. For example, in 2005, WaMu launched an internal investigation into the loan origination practices of two loan offices in Southern California that originated numerous WaMu mortgages, following a sustained history of confirmed fraud findings over the past three years. A November 2005 memorandum summarizing the investigation stated that the investigation uncovered an extensive level of loan fraud virtually all of it stemming from employees circumventing bank policy surrounding loan verification and review. The investigation discovered that 42% of the loans reviewed contained suspect activity or fraud, virtually all of it attributable to some sort of employee malfeasance or failure to execute company policy. A November 16, 2005 presentation by WaMus Credit Risk Management stated that the fraud primarily involved misrepresentations of loan qualifying data, including misrepresentations of income and employment, false credit letters and appraisal issues. WaMu undertook no action to address the fraud problems in these two officesthe persons responsible for the fraud remained in charge of the offices and continued to win WaMu awards for originating large volumes of mortgages. 106. A separate WaMu investigation into another WaMu loan office revealed
fabricated asset statements, altered statements, income misrepresentation and one statement that is believed to have been used in two separate loans. A WaMu sales employee stated that if it was too late to call the borrower, sales associates would take bank statements from other files and cut and paste the current borrowers name and address onto old bank statements. In addition, it was discovered that sales employees would manufacture asset statements from previous loan documents. As the sales employee explained, the pressure was tremendous, and they were told to get the loans funded with whatever it took.
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107.
Documents uncovered by the Senate Investigations Subcommittee also revealed
that WaMu had no effective internal controls to prevent the securitization of fraudulent mortgages. Indeed, the Senate Investigations Subcommittee established that WaMu securitized mortgages after WaMu determined that they contained fraudulent information. For example, a WaMu Internal Corporate Credit Review memorandum discovered by the Senate Investigations Subcommittee stated: The controls that are intended to prevent the sale of loans that have been confirmed [...] to contain misrepresentations or fraud are not currently effective. There is not a systematic process to prevent a loan [...] confirmed to contain suspicious activity from being sold to an investor. * * *
Of the 25 loans tested, 11 reflected a sale date after the completion of the investigation which confirmed fraud. There is evidence that this control weakness has existed for some time. As a result, the Senate Investigations Report determined, even loans marked with a red flag indicating fraud were being sold to investors. e. 108. WaMu Deliberately Securitized Delinquency-Prone Mortgages
In September 2006, senior WaMu executives expressed concern about exposure to
delinquencies in adjustable rate option-arm mortgages that the bank was holding in its Held For Investment (HFI) portfolio. In response, WaMu began to explore the possibility of quickly selling these mortgages into securitizations. Documents discovered by the Senate Investigations Subcommittee show that, in the meantime, WaMu closely monitored the delinquencies in its HFI portfolio. For example, on February 14, 2007, WaMu research and portfolio executive Youyi Chen sent an email to the head of Defendant WaMu Capital, David Beck, informing him about the delinquencies in the HFI option-arm portfolio, noting that Low fico, low doc, and newer vintages 46
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are where most of the delinquency comes from. Beck immediately sent an email to WaMu Home Loans President David Schneider and WaMu Home Loans Cheryl Feltgen, urging the sale of HFI option-arm mortgages that WaMu was holding for investment, stating in part: The performance of newly minted option arm loans is causing us problems. Cheryl can validate but my view is our alt a (high margin) option arms [are] not performing well. We should address selling 1Q [first quarter] as soon as we can before we loose [sic] the oppty. We should have a figure out how to get this feedback to underwriting and fulfillment. 109. In light of its analysis that HFI option-arm loans were rapidly deteriorating, WaMu
no longer wanted to treat those loans as investments it would keep, but sell them. Schneider and Feltgen agreed. Moreover, Feltgen informed Beck and Schneider that WaMu CEO Kerry
Killinger had also expressed interest in the idea of selling HFI option-arm loans, and offered to help in analyzing the impact of selling certain groupings of Option-Arms on overall delinquencies. By removing delinquency-prone loans from WaMus HFI option-arm portfolio, WaMu would be reducing the overall delinquencies. In response, Schneider formulated a plan of action, instructing Beck to select the HFI option-arm loans along the lines we discussed at the [monthly business review] and Feltgen to run credit scenarios. The documents discovered by the Senate Investigations Subcommittee reveal that during the referenced monthly business review, WaMu executives discussed a review of the 2007 high margin production (Jan and Feb so far) and the seasoned COFI [Cost of Funds Index] book. 110. On February 20, 2007 Feltgen informed her team that WaMu was contemplating
the sale of a larger portion of our Option Arms than we have in the recent past, and asked for their recommendations as which loans were particularly delinquency-prone and should be included in upcoming securitizations, stating: 47
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In addition to the specific information that David Beck asks for, I would like your input on portions of the Option ARM portfolio that we should be considering selling. We may have a different view than David Becks team as to the most desirable to sell and we should provide that input. Our suggestion, for instance, might include loans in California markets where housing prices are declining. There may be other factors. 111. A WaMu risk analyst responded the same day, noting that the HFI option-arm
loans in January 2007 were suffering from 79% more 60+ day delinquencies than the HFI optionarm loans in January 2006, that WaMu was now holding $60.6 billion in loans with such severe delinquencies, and that more than one-third of these delinquent mortgages had been originated in California. Between January 2006 and January 2007, the 60+ day delinquency rate for delinquent mortgages in California had increased 312%. 112. On February 25, 2007, the head of Defendant WaMu Capital, David Beck, sent an
email with the subject HFI Options Arms redirect to HFS, informing WaMus senior management that $3 billion in recent Option Arms would be sold into securitizations. Beck stated: I would like to get these loans into HFS immediately so that [I] can sell as many as possible in Q1. 113. On February 29, 2007, WaMu executive Youyi Chen sent an email with the subject
line HFI selection criteria changes to WaMus Market Risk Management Department, copying Beck. The email informed WaMus Market Risk Management Department that going forward, only certain unsellable loans would be held for investment: (a) Super Jumbos loans equal or greater than $3 million; (b) high LTV loans without mortgage insurance; (c) foreign nationals; and (d) 3-4 units (due to Standard Poors rating model). Moreover, Chen requested that mortgages that did not meet these criteria and that were funded or locked between January 1, 2007 and March 7, 2007 be classified as Held for Sale. Chen described the impact of these changes as 48
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follows: As a result of this change, we expected to securitize and settle about $2 billion more option/COFI ARMS in Q1-07 [] and going forward $1 billion per month potential incremental volume into the HFS. 114. The Senate Investigations Subcommittee determined that WaMu carried out this
plan and transferred at least $1.5 billion of Option Arms originated in the first quarter of 2007 from the HFI to the HFS portfolio. None of the WaMu witnesses heard by the Senate
Investigations Subcommittee denied that the loans that were reclassified from Held for Investment to Held for Sale were selected because of their propensity toward delinquency. 115. At least 2 WaMu securitizations at issue were created after WaMu changed its
Option-Arm policy to include delinquency-prone Option-Arm loans: WMALT 2007-OC2 and WMHE 2007-HE2. Virtually all of the mortgages that WaMu included in these securitizations were originated in 2007. In addition, numerous mortgages backing these securitizations were originated in California. 116. Defendant WaMu Capital sold the RMBS at issue in this action without informing
Plaintiffs about WaMus change in policy to include delinquency-prone mortgages into the pool by reclassifying those mortgages from Held for Investment to Held for Sale. WaMu Capital knew or recklessly disregarded that this would cause damages to investors who purchased the WaMu Certificates. f. 117. WaMus Misconduct Had a Devastating Impact on the Performance of the RMBS Mortgage Pools
The WaMu Defendants misconduct has dramatically affected the mortgage pools
underlying the RMBS purchased by Plaintiffs. As of March 2012, on average almost 49% of the loans backing the Certificates were over 60- or 90-days delinquent, in foreclosure, bankruptcy, or
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repossession as reflected in Table 5: Table 5 Collateral Performance of Securities Underwritten by WaMu Serious Delinquencies in % of mortgage pools (60 Day + 90 Day + Foreclosure + REO + Bankruptcy)
# 1 2 3 4 5 6 7 8 9 10 11 12 13 Offering LBMLT 2006-11 LBMLT 2006-3 LBMLT 2006-4 LBMLT 2006-5 LBMLT 2006-6 LBMLT 2006-7 LBMLT 2006-8 WAMU 2006-AR7 WMABS 2006-HE2 WMABS 2007-HE2 WMALT 2007-HY1 WMALT 2007-OC2 WMHE 2007-HE2 Averages 1 Yr. 24.15 19.98 20.03 18.74 18.79 20.00 20.58 0.99 12.95 31.22 10.63 24.29 26.86 19.17 2 Yrs. 38.05 43.34 43.49 39.06 42.26 38.97 42.82 9.31 39.59 48.62 25.13 44.07 41.46 38.16 3 Yrs 53.71 51.91 50.03 48.87 50.76 48.78 51.34 27.49 47.14 58.63 33.75 46.09 52.83 47.79 4 Yrs. 48.43 57.51 56.29 53.12 53.84 49.79 48.98 34.61 50.96 52.90 35.24 41.13 49.77 48.65 Mar. 2012 44.87 49.03 49.01 49.00 48.81 48.41 45.08 31.87 44.88 49.54 29.58 34.93 44.85 48.83
3. 118.
JPMorgan
As the sponsor, Defendant JPMorgan Mortgage was responsible for selecting and
evaluating the mortgages backing thirteen of the RMBS at issue here. JPMorgan Mortgage operated under the strict supervision and control of its corporate parents, Defendants JPMorgan Chase Bank and JPMorgan Chase & Co. Additionally, Defendant JPMorgan Securities was lead underwriter of the Offerings in Table 6: Table 6 # 1 Offering
JPALT 2006-A2
Underwriter
JPMorgan Securities
Sponsor
JPMorgan Mortgage
Loan Originator
Chase Originators (16%) Countrywide (27%) PHH Mortgage (24%)
8
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2 3 4 5 6 7 8 9 10 11 12 13
JPALT 2006-A3 JPALT 2006-A5 JPALT 2006-A6 JPALT 2006-A7
JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities
JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage
Chase Originators (63%) Chase Originators (30%) Chase Originators (30%) Countrywide (28%) Chase Originators (17%) Flagstar Bank (50%) Countrywide (20%) Chase Originators (42%) GreenPoint (39%) Chase Originators (55%) Countrywide (100%) ResMAE (60%) New Century (100%) ResMAE (100%) WMC (100%) WMC (100%)

JPALT 2007-A1 JPALT 2007-A2 JPMAC 2006-CW1 JPMAC 2006-HE3 JPMAC 2006-NC1 JPMAC 2006-RM1 JPMAC 2006-WMC2 JPMAC 2006-WMC3
JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities JPMorgan Securities
JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage JPMorgan Mortgage
119.
JPMorgan knew or recklessly disregarded that the loans it selected for
securitization into the RMBS in Table 6 were of much poorer quality than represented to Plaintiffs and other investors. a. 120. JPMorgans Lagging Performance in 2005 and 2006
In 2005, JPMorgan was seriously underperforming the market. By October 2005,
JPMorgans share price was down 12% and underperforming the S&P 500, the Dow Jones Industrial Average, the NASDAQ Composite, as well as every other major financial institution, including Bear Stearns, Washington Mutual, Morgan Stanley, and Goldman Sachs. This created intense pressure at JPMorgan to improve revenues. JPMorgans CEO, Jamie Dimon, stated in JPMorgans 2005 Annual Report: We are underperforming financially in many areas. We need to understand the reasons and focus our energy on making improvements, not excuses. We cannot afford to waste time justifying mediocrity. Each line of business now assesses its performance in a rigorous and very detailed way. Each compares results to targets in a variety of areas, including sales force productivity, customer service and systems development.
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121.
Dimon emphasized that it was imperative for JPMorgan to begin designing the
right products that are also profitable to improve performance. As a result, JPMorgan began to expand its high risk loan origination and securitization activities with a focus on new product expansion initiatives. 122. William Buell, a former managing director at JPMorgan Securities, confirmed in
testimony before the FCIC that there was intense pressure JPMorgan to compete with other firms involved in the mortgage-backed securities market. Buell testified that JPMorgan and other investment banks believed that there had been a long period of stability, there [was] a great appetite for people who want to borrow money, and theres a great appetite for investors and others who want to employ their money. And so there was a competition among a large variety of participants in the market to try to expand the range of products that were available. 123. In 2006, JPMorgans performance was still trailing the performance of major
competitors, including Bear Stearns, Morgan Stanley, and Goldman Sachs. Dimon identified increased origination and securitization of residential mortgages as a key area for JPMorgans growth in 2007, stating in the 2006 Annual Report: Historically, our two businesses, Home Lending and the Investment Bank, barely worked together. In 2004, almost no Home Lending mortgages were sold through our Investment Bank. This past year, however, our Investment Bank sold 95% of the non-agency mortgages (approximately $25 billion worth) originated by Home Lending. As a result, Home Lending materially increased its product breadth and volume because it could distribute and price more competitively. This arrangement obviously helped our sales efforts, and the Investment Bank was able to build a better business with a clear, competitive advantage. In 2006, our Investment Bank moved up several places in the league-table rankings for mortgages. (Importantly, Home Lending maintained its high underwriting standards; more on this later.)
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124.
As JPMorgan was expanding its loan origination and securitization practices,
JPMorgan understood that investors would be particularly focused on the underwriting practices with respect to the mortgages that JPMorgan securitized. JPMorgans 2006 Annual Report
reassured investors that JPMorgan had materially tightened its underwriting standards and would be even more conservative in originating mortgages. 125. In fact, by October 2006, JPMorgan had itself become alarmed by the increasing
number of late payments in its own subprime portfolio, causing JPMorgan to sell its own investments in subprime mortgages. A February 17, 2010 article in Bloomberg reported that In October 2006, Mr. Dimon, JPMorgans CEO, told William A. King, its then head of securitized products, that [JPMorgan] needs to start selling its subprime mortgage positions. A September 2, 2008 article in Fortune Magazine quoted Dimon saying to King, Billy, I really want you to watch out for subprime! We need to sell a lot of our positions. I've seen it before. This stuff could go up in smoke! b. 126. JPMorgans High Risk Loan Origination Practices
As JPMorgan was selling its own subprime positions because it could go up in
smoke, JPMorgan aggressively expanded the origination and securitization of high risk mortgages. From 2006 to 2007, JPMorgan nearly doubled its securitizations of residential
mortgagesfrom $16.8 billion in 2006 to $28.9 billion in 2007. To generate these enormous amounts of securities, JPMorgan incentivized its Chase Home Finance employees to originate high-risk mortgages, loosened underwriting standards, pressured appraisers, and included the resulting poor-quality mortgages into JPMorgan securitizations, including those in the RMBS at issue here.
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127.
JPMorgan did not tighten already conservative underwriting standards, as Dimon To the contrary, JPMorgan materially loosened already lax underwriting
had represented.
standards. In 2006 and 2007, JPMorgan incentivized its Chase Home Finance employees to originate high-risk loans. Former regional vice-president, James Theckston, was the recipient of the Chase Home Finance sales manager of the year award. He explained to the New York Times that 60% of his 2006 performance review depended on him increasing the origination of high-risk loans. A Banker Speaks, With Regret, N.Y. Times, Nov. 30, 2011. Theckston further stated that Chase Home Finance account executives could earn a commission for the origination of subprime loans that was seven times higher than for prime mortgages, and that they therefore looked for less savvy borrowersthose with less education, without previous mortgage experience, or without fluent Englishand directed them toward subprime loans. According to Theckston, these borrowers were disproportionately African-American and Latino borrowers who, as a result of Chase Home Finance practices, ended up paying higher mortgage rates and were more likely to default and lose their homes. 128. Jamie Dimon acknowledged in his January 13, 2010 testimony before the FCIC,
that underwriting standards at JPMorgan had considerably loosened from 2005 to 2007. Dimon stated that the underwriting standards in our mortgage businessshould have been higher. Dimon further conceded that JPMorgan had misjudged the impact of more aggressive underwriting standards and should have acted sooner and more substantially to reduce the loan-tovalue ratios. 129. CW 19, a senior mortgage underwriter at Chase Home Finance from 2002 through
2008 in Fort Washington, Pennsylvania, also confirmed Theckstons account. CW 19 stated that
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for subprime mortgages, underwriters were compensated based on the number of mortgages that they approved, whereas prime mortgages underwriters were compensated based on the number of loans reviewed, regardless of whether the loan was approvedthus skewing the system in favor of approving subprime loans, regardless of quality. Moreover, CW 19 stated that underwriters who denied approval of subprime loans would not receive credit if their determinations were subsequently overruled by managementgiving underwriters an extra financial incentive to approve high risk loans. 130. JPMorgans skewed incentives encouraged its employees to find ways to
circumvent stated loan underwriting and approval standards. For example, Chase Home Finance personnel circulated a JPMorgan memorandum explaining how to circumvent JPMorgans automated loan underwriting system (referred to as ZIPPY) in order to get high risk loans approved. A March 27, 2008 article from The Oregonian, described this JPMorgan memorandum as follows: The memos title says it all: Zippy Cheats & Tricks. It is a primer on how to get risky mortgage loans approved by Zippy, Chases inhouse automated loan underwriting system. The secret to approval? Inflate the borrowers income or otherwise falsify their loan application. 131. Numerous witnesses have independently confirmed that JPMorgan materially
loosened its underwriting standards while it was incentivizing the origination and approval of low quality mortgages. For example: x CW 20, a senior mortgage underwriter at Chase Home Finance from March 2002 through January 2008 in Covina, California, stated that CW 20 participated in meetings and conference calls with the manager of underwriting, who instructed underwriters to loosen up because we were being too conservative. CW 21, a senior mortgage processor and junior underwriter at Chase Home Finance from December 2002 through October 2007, stated that underwriters were 55
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discouraged [from] checking out [the borrowers] place of employment and other critical information reflecting mortgage quality. As an example, CW 21 recalled one instance where an underwriter wanted to confirm a borrowers employment and based on the result, denied the loan. CW 21 stated that the loan officer and branch manager came to the underwriter and said, Cant you just pretend like you didnt check the job? x CW 22, a mortgage funder at Chase Home Finance from 2002 through 2006 in Thousand Oaks, California, stated that many of her co-workers shared her opinion that Chase Home Finance was originating riskier and riskier loans: I remember coworkers saying, Whats going on? This is crazysomething bads going to happen. JPMorgan also pressured appraisers to appraise homes at higher values than what
132.
the home was actually worth. For example, CW 41, an underwriting analyst at Chase Home Finance from February 2003 through April 2007 in Tampa, Florida, stated that there were a lot of problems with inflated appraisals and that the appraisals CW 41 saw were always inflated. When asked whether there was pressure on appraisers or whether they were offered incentives, CW 22, a funder at Chase Home Finance in Thousand Oaks, California, between 2002 and 2006, confirmed there was definitely pressure. There was pressure on everybody, all the way down because there were so many loans to get through. CW 21, a former senior processor and junior underwriter at Chase Home Finance, recalled a manager who was trying to brow beat the appraiser guy and get him to raise his prices. 133. These accounts were confirmed by testimony from JPMorgans Chief Risk Officer,
Barry Zubrow, and JPMorgans CEO, Jamie Dimon, before the FCIC. In August 2010, Zubrow testified that at JPMorgan there was a tradeoff between certain financial covenants and protections versus a desire to maintain market share. Dimon testified during his October 2010 testimony before the FCIC that JPMorgan and other investment banks would lose business if they did not get more aggressive on underwriting.
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134.
In JPMorgan CEOs annual letter to shareholders, released in March 2012, Jamie
Dimon confirmed that JPMorgan had materially loosened its underwriting standards and issued problematic loans to borrowers. Dimon acknowledged avoiding making bad loans-as we all learned again in this crisis-also is important and that traditional mortgage underwriting loosened over time. In discussing JPMorgans role in the financial crisis, Dimon stated that [m]any of our problems were inherited from Bear Stearns and WaMu[b]ut we did participate in this disaster by originating mortgages that wouldnt have been given a decade earlier, and that [w]e need to write a letter to the next generation that says, Never forget: 80% loan to value and verify appropriate income. 135. Relying on poor underwriting, JPMorgan originated numerous mortgages that were
destined to fail. As James Theckston stated to the New York Times, If you had some old bag lady walking down the street and she had a decent credit score, she got a loan. The New York Times noted that, when asked for a response to Theckstons account, JPMorgan didnt deny the accounts of manic mortgage-writing and noted that Chase no longer writes subprime or nodocument mortgages. c. 136. JPMorgan Consciously Securitized Poor Quality Loans
JPMorgan routinely included poor quality mortgages in its securitizations. Indeed,
Theckston noted that senior JPMorgan executives were more likely to turn a blind eye to mortgage origination and underwriting short cuts when mortgages were going to be securitized. 137. JPMorgans low standards for mortgage quality with respect to its securitizations
was confirmed by information that JPMorgans due diligence vendor, Clayton, provided to the FCIC. Clayton stated that JPMorgan had waived in 51% of the loans that Clayton had marked as
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fatally defective into mortgage pools that JPMorgan securitized between January 2006 and June 2007higher than any other financial institution during the same period. 138. In addition to Chase Finance loans, JPMorgan included loans originated by
Countrywide, New Century, WMC, and ResMAE and GreenPoint into the JPALT 2006-A2, JPALT 2006-A3, JPALT 2006-A5, JPALT 2006-A6, JPALT 2006-A7, JPALT 2007-A1, JPALT 2007-A2, JPMAC 2006-CW1, JPMAC 2006-HE3, JPMAC 2006-NC1, JPMAC 2006-RM1, JPMAC 2006-WMC2, and JPMAC 2006-WMC3 RMBS. As discussed in IV.D.3 below, these lenders were the worst loan originators in the country between 2005 and 2007, churning out billions of dollars in fraudulent and materially defective loans for securitization while JPMorgan had access to non-public insider information disclosing the exceptionally poor quality of the loans that JPMorgan included in its securitizations. 139. JPMorgan did not disclose to Plaintiffs that it was incentivizing its employees to
originate and securitize high-risk loans, that it was loosening its underwriting standards, or that it was waiving in a majority of mortgages that its due diligence vendor had marked as fatally defective. To the contrary, JPMorgan reassured investors that it was using even more
conservative and materially tightened underwriting standards for the mortgages it originated and securitized in 2007. d. 140. JPMorgans Misconduct Had a Devastating Impact on the Performance of the RMBS Mortgage Pools
The JPMorgan Defendants misconduct dramatically affected the mortgage pools
underlying the JPMorgan RMBS purchased by Plaintiffs. As of March 2012, on average almost 42% of the loans backing the JPMorgan RMBS were over 60- or 90-days delinquent, in foreclosure, bankruptcy, or repossession:
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Table 7 Collateral Performance of Securities Underwritten by JPMorgan Serious Delinquencies in % of mortgage pools (60 Day + 90 Day + Foreclosure + REO + Bankruptcy)
# 1 2 3 4 5 6 7 8 9 10 11 12 13 Offering JPALT 2006-A2 JPALT 2006-A3 JPALT 2006-A5 JPALT 2006-A6 JPALT 2006-A7 JPALT 2007-A1 JPALT 2007-A2 JPMAC 2006-CW1 JPMAC 2006-HE3 JPMAC 2006-NC1 JPMAC 2006-RM1 JPMAC 2006-WMC2 JPMAC 2006-WMC3 Averages 1 Yr. 4.32 4.16 5.22 6.38 8.00 16.61 21.07 9.58 22.65 11.48 21.80 16.43 17.50 12.70 2 Yrs. 15.11 15.61 18.30 20.59 23.48 38.71 44.73 30.72 41.24 32.01 45.17 38.35 37.34 30.87 3 Yrs 32.97 34.02 35.26 37.55 42.57 51.32 53.17 50.75 55.10 42.36 55.64 47.94 53.68 45.56 4 Yrs. 37.82 43.85 41.96 44.12 47.74 53.71 53.05 59.43 46.71 48.37 44.57 49.57 45.14 47.38 Mar. 2012 33.41 33.09 36.38 40.16 39.87 44.12 44.97 63.14 44.01 39.08 40.10 43.53 43.48 41.94
D. 141.
Defendants Involvement In Offerings Sponsored By Other Investment Banks For sixteen of the securitizations at issue in this action, Defendants worked with the
sponsors of the securitization as lead underwriter of the RMBS. In their capacity as lead underwriters, Defendants performed due diligence on the sponsors and depositors of each securitization, the loan originators whose loans were included in each securitization, and the quality of the loans that were included in the securitization. For each of the securitizations shown in Table 8 below, Defendants had access to critical, non-public information about these due diligence areas, including non-public information about (1) the loan selection and securitization practices of the sponsors and depositors, (2) the origination and underwriting practices of the loan originators, and (3) the quality of the loan pools, including credit and compliance due diligence results, detailed borrower information, and the underlying loan files. With this insider knowledge,
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Defendants reviewed draft Offering Materials describing the quality of the loans included in the securitizations and the riskiness of the Certificates before distributing the Offering Materials to Plaintiffs. Table 8
# 1 2 3 Offering CARR 2006-NC3 CARR 2006-NC5 CARR 2006-RFC1 Sponsor Carrington Carrington Carrington Depositor Carrington Carrington Carrington Underwriter Bear Stearns Bear Stearns Bear Stearns Loan Originators New Century (100%) New Century (100%) People's Choice (15%) FMF Capital (12%) Barclays (11%) Fremont (100%) Impac (100%) Impac (100%) Impac (100%) First NLC (54%) American Home (14%) Brooks America (12%) Fremont (100%) Argent (90%) Ameriquest (9%) Argent (100%) New Century (42%) Ameriquest (10%) IndyMac (100%) GMAC (18%) Barclays (16%) HSBC (14%) New Century (33%) GMAC 19%)
4 5 6 7 8 9 10 11 12 13 14 15
CARR 2007-FRE1 IMM 2007-A IMSA 2006-2 IMSA 2007-3 MSST 2007-1 NAA 2007-3 NCMT 2007-1 ARSI 2006-M2 ARSI 2006-W4 CBASS 2007-CB6 INDX 2006-AR29 RASC 2006-KS7
Carrington Impac Impac Impac Morgan Stanley Nomura Newcastle Ameriquest Ameriquest CBASS IndyMac GMAC
Carrington Impac Impac Impac BSABS I Nomura BSABS I Argent Argent C-BASS ABS IndyMac GMAC
Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns Bear Stearns JPMorgan JPMorgan JPMorgan JPMorgan JPMorgan
16
RASC 2007-KS2
GMAC
GMAC
JPMorgan
142.
Bear Stearns and JPMorgan had very close relationships with the financial
institutions that acted as sponsors for RMBS in Table 8. As a result, Bear Stearns and JPMorgan had unique access to non-public information about the loan selection and securitization practices that were used to select the loan pools for these securitizations and access to non-public credit and compliance due diligence results regarding the loan pools that were securitized. As discussed in
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173-212 below, Defendants also had firsthand, non-public knowledge about the origination and underwriting practices of the loan originators whose loans were included in the securitizations in Table 8. 1. 143. Defendants Direct Involvement In Creating The Carrington, Nomura, Morgan Stanley and Newcastle Offerings
Defendants were directly involved in creating a number of securitizations in Table
8. For example, Bear Stearns structured each securitization at issue that was nominally sponsored by Carrington, thus determining the number of loans that were included in the securitization (to act as collateral and provide revenues from the underlying mortgage payments), the quality of the loans that were included in the securitization, and the payment and collateralization hierarchy among certificates in each securitization. As the Prospectus Supplements for CARR 2006-NC5, CARR 2006-RFC1, and CARR 2007-FRE1 stated: [t]he structuring of the offerings through the Carrington Securities securitization program is done by the underwriters for each such securitization. By structuring these securitizations, Bear Stearns not only had access to nonpublic knowledge about the riskiness of the Certificates, it directly participated in creating those Certificates in the first instance. 144. Moreover, Bear Stearns was a critical business partner for Carringtonbetween
2005 and 2007, Bear Stearns acted as lead underwriter for Carrington-sponsored offerings securitizing $8.7 billion in mortgages. As a result, Bear Stearns had access to material, nonpublic information and knew, or at a minimum recklessly disregarded, that CARR 2006-NC3, CARR 2006-NC5, CARR 2006-RFC1, and CARR 2007-FRE1 were backed by exceptionally poor quality loans. 145. Bear Stearns was also directly involved in creating the Nomura-sponsored 61
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securitization, NAA 2007-3. As the Prospectus Supplements for NAA 2007-3 stated, [t]he sponsor is responsible for pooling the mortgage loans to be securitized by the depositor, negotiating the principal securitization transaction documents and participating with the underwriters in the structuring of such transactions. 146. Moreover, Bear Stearns was very familiar with Nomuras loan selection and
securitization practices. Between 2005 and 2007, Bear Stearns acted as lead underwriter for Nomura-sponsored offerings securitizing $3 billion in mortgages. Bear Stearns obtained at least $45 million in fees for underwriting these securitizations. In its role as lead underwriters for these securitizations, Bear Stearns conducted due diligence and reviewed material, non-public information about Nomuras loan selection and securitization practices. 147. Nomura purchased the loans for the securitizations it sponsored. As part of
structuring the securitizations, Nomura and Bear Stearns used third-party due diligence providers, such as Clayton Holdings, Inc. (Clayton), to perform due diligence on the mortgage pools it would purchase for securitization. As part of this due diligence, Clayton reviewed important credit risk and compliance information, such as LTV ratios and debt-to-income ratios, and provided detailed quantitative and qualitative findings to Nomura. However, instead of rejecting loans that were identified by Clayton as fatally defectivefor example because the LTV ratio of the loan exceeded 100% Nomura routinely overruled Clayton and waived in such poorquality loans into the loan pools. Data from Clayton showed for the 18 months that ended June 30, 2007, that Nomura waived in 58% of the loans that failed to meet credit and compliance underwriting standards. As a result of its close collaboration with Nomura, including its role in
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structuring Nomura-sponsored securitizations, Bear Stearns knew, or at a minimum recklessly disregarded, that NAA 2007-3 was backed by exceptionally poor quality loans. 148. Bear Stearns was also very familiar with the loan selection and securitization
practices of Morgan Stanley and Newcastle. For example, between 2005 and 2007, Bear Stearns acted as lead underwriter for Morgan Stanley-sponsored offerings securitizing $1.9 billion in mortgages (including MSST 2007-1), and for Newcastle-sponsored offerings securitizing more than $1 billion in mortgages (including NCMT 2007-1). Bear Stearns obtained at least $43 million in fees for underwriting these securitizations. 149. Bear Stearns was directly involved in creating the Morgan Stanley and Newcastle
securitizations at issue here (MSST 2007-1, NCMT 2007-1). For example, Bear Stearns affiliate BSABS I acted as the depositor for MSST 2007-1 and NCMT 2007-1depositing the loans into the trusts and passing the trust certificates to the Bear Stearns RMBS underwriter affiliate for sale to investors. In addition, the prospectus supplement for MSST 2007-1 made clear that Bear Stearns was also involved with structuring this securitization, stating that Morgan Stanley works with rating agencies, co-sponsors, underwriters [] mortgage loan sellers and servicers in structuring the securitization transaction. 150. In its role as lead underwriter for Morgan Stanley and Newcastle securitizations
and as a lead underwriter for Newcastle stock offerings, Bear Stearns conducted due diligence and reviewed material, non-public information about these institutions loan selection and securitization practices, which were dismal. For example, Morgan Stanley routinely purchased loans that were much riskier and of much poorer quality than permitted under its own guidelines as long as the loans were to be included in a securitization. CW 24, who joined Morgan Stanley
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in January 2006 as a transaction manager following a position at Clayton, stated that Morgan Stanley employees were well aware of the poor quality of loans Morgan Stanley purchased for securitization and that even though Morgan Stanley had a policy not to purchase loans with debtto-income ratios exceeding 55%, Morgan Stanley frequently purchased loans with debt-to-income ratios in the 60s (63, 64, and 65) for securitization in violation of that policy. Mike Francis, a former executive director on Morgan Stanleys residential mortgage trading desk explained on National Public Radio that Morgan Stanley knew that the loans in its securitizations should never have been approved for origination, stating that It felt very wrong way back when. And I wish we had never done it. Unfortunately what happened, we did it because everyone else was going it. Morgan Stanley also routinely overruled its credit quality due diligence vendor, Clayton, and waived in fatally effective loans for securitization. Specifically, data from Clayton showed for the 18 months that ended June 30, 2007, that Morgan Stanley waived in 56% of the loans that failed to meet credit and compliance underwriting standards. 151. As a result of its close collaboration with Morgan Stanley and Newcastle
including its role as a depositor in accepting the loans and depositing them with the MSST 2007-1 and NCMT 2007-1 trustsBear Stearns knew, or at a minimum recklessly disregarded, that MSST 2007-1 and NCMT 2007-1 were backed by exceptionally poor quality loans. 2. 152. Defendants Access to Material, Non-Public Information Regarding Other Offerings
Defendants had very close relationships with Impac, Ameriquest, IndyMac, and
GMAC subsidiary, Residential Funding. Between 2005 and 2007, these financial institutions were key business partners of the Defendants and, like the Defendants, among the worst mortgage securitizers and originators in the industry. 64
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153.
Bear Stearns was very familiar with the loan selection and securitization practices
of Impac. Between 2005 and 2007, Bear Stearns acted as lead underwriter for Impac-sponsored offerings securitizing $12.7 billion in mortgages, including IMM 2007-A, IMSA 2006-2, and IMSA 2007-3. In addition, between 2005 and 2007, Bear Stearns securitized more than $1.4 billion of Impac-originated loans and was a major creditor providing approximately $300 million in loans to allow Impac to originate and fund new mortgages that Bear Stearns could securitize and sell to investors. As a major creditor Bear Stearns had the power to cut off hundreds of millions of dollars of operational funding, thereby ensuring that Bear Stearns had continuing access to material non-public information at all relevant times. After Bear Stearns declared Impac to be in default of its loan obligations and demanded payment of $286 million in September 2007, Impac discontinued substantially all of its mortgage operations. As a major creditor, and to protect its own interests, Bear Stearns conducted due diligence and reviewed material, non-public information about Impacs loan origination and underwriting practices, loan quality and performance, and loan selection and securitization practices. 154. All of the loans backing BSABS 2006-IM1 were Impac loans that were selected by
Bear Stearns. (Supra at 45, Table 1). SACO 2006-2 was also backed by Impac loans that were selected by Bear Stearns. (Id.). As a result of its due diligence and its close business relationship with Impac, Bear Stearns knew, or at a minimum recklessly disregarded, that BSABS 2006-IM1, and SACO 2006-2 were backed by poor quality Impac loans. 155. IMSA 2006-2, IMM 2007-A, and IMSA 2007-3 were backed by Impac loans that
were selected by Impac. (Supra at 141, Table 8). As a result of its close relationship with Impac
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and its due diligence, Bear Stearns knew, or at a minimum recklessly disregarded, that IMSA 2006-2, IMM 2007-A, and IMSA 2007-3 were backed by poor quality loans. 156. ACC Capital and two of its subsidiaries, Ameriquest and Argent, were key
business partners of JPMorgan. Between 2005 and 2007 JPMorgan acted as lead underwriter for offerings securitizing more than $8.7 billion in mortgages that were sponsored by Ameriquest and Argent. ACC Capital also retained JPMorgan in November 2006 as a financial advisor in
connection with the potential sale of Ameriquest and Argent. Ultimately, Citigroup acquired Ameriquest and Argent from ACC Capital in September 2007. As a result of its close business relationship and due diligence, JPMorgan received material, non-public information about the loan origination and underwriting practices of ACC Capitals subsidiaries, loan quality and performance, and loan selection and securitization practices. 157. ACC Capitals business model was based on originating and securitizing large
volumes of mortgages regardless of loan quality. ACC Capital paid its account executives less per mortgage than the competition while encouraging them to make up the difference by originating more loans. As ACC Capitals CEO, Aseem Mital, stated in 2005, Our people make more volume per employee than the rest of the industry. At the same time, ACC Capital cut costs and reduced oversight to improve profitability. 158. Argent and Ameriquest both ranked in the top ten in the OCCs Index to the Worst
Subprime Originators in the United States between 2005 and 2007. Argent was ranked as the third worst mortgage originator in the country; Ameriquest was ranked ninth. 159. Fraudulent loan origination practices were rampant. Ed Parker, the former head of
Ameriquests Mortgage Fraud Investigations Department, informed the FCIC that he discovered
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fraud within one month of starting at Ameriquest in January 2003, but that senior management ignored his reports. As Parker told the FCIC, No one was watching. After learning that other departments complained that he looked too much into the loans, Parker was downgraded from manager to supervisor in 2005, and then laid off in May 2006. 160. Parkers account was corroborated by Illinois Attorney General Lisa Madigan, who
testified before the FCIC how a multistate investigation of Ameriquest revealed that the company engaged in the kinds of fraudulent practices that other predatory lenders subsequently emulated on a wide scale, including inflating home appraisals [ ] and promising borrowers that they could refinance their costly loans into loans with better terms in a few months or a year, even when borrowers no longer had any equity to absorb another refinance. Madigan noted that in 2006 Ameriquest agreed to pay $325 million to settle the allegations and, moreover, agreed to extensive injunctive provisions that were aimed, among other things, at ensuring that Ameriquest would deal at arms-length with appraisers and restricting serial refinancing borrowers. 161. practices. ACC Capitals subsidiaries continued to engage in improper loan and underwriting Citibanks chief underwriter for correspondent lending, Richard Bowen, III, was
involved in the due diligence leading up to Citigroups acquisition of Ameriquest and Argent in the summer of 2007. Bowen testified before the FCIC that he advised against the acquisition because we sampled loans that were originated by Argent and we found large numbers that did not that were not underwritten according to the representations that were there. 162. CW 25, a former senior compliance analyst and investor relations employee at
Argent from September 2004 through 2007, confirmed Bowens account. CW 25 explained that Argent extended loans to practically anyone who applied, regardless of their ability to make the
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minimum loan payments, explaining that basically they would take anything from anybody and that it was common for Argent to extend loans with loan-to-value ratios of 125%. CW 25 recalled an Argent loan to a nanny allegedly making $110,000 per year, noting that when CW 25 reviewed the loan it, was not more than four months old and it was already in default. Moreover, CW 25 noted that investors like JPMorgan routinely accepted defective Argent loans and that [i]t seemed that they took everything carte blanche. According to CW 25, Argent would thus routinely sell loans that were in foreclosure, stating that these investors were taking things they shouldnt be taking. A lot were already in foreclosure; probably 65%. 163. A December 7, 2008 article in the Miami Herald confirmed the accounts of Bowen
and CW 25. The article reported that Argents employees actively assisted mortgage brokers in falsifying borrowers financial information by tutoring mortgage brokers in the art of fraud. The article reported that employees taught brokers how to doctor credit reports, coached them to inflate [borrower] income on loan applications, and helped them invent phantom jobs for borrowers to ensure that loans would be approved. Reviewing 129 Argent loan applications, the Miami Herald concluded that at least 103 contained false and misleading information and that at least one borrower claiming to work a job that did not exist got enough money to buy four houses. As an Argent vice-president explained, the accuracy of loan applications was not a priority. 164. ARSI 2006-M2 and ARSI 2006-W4 were exclusively backed by Argent and
Ameirquest loans that were selected by Ameriquest. (Supra at 141, Table 8). In addition, CBASS 2007-CB6 was also supported by a substantial number of Ameriquest loans. See id. As a result of a close relationship with Ameriquest and Argent, and intimate knowledge of its due
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diligence practices, JPMorgan knew, or at a minimum recklessly disregarded, that ARSI 2006M2, ARSI 2006-W4, and CBASS 2007-CB6 were backed by poor quality Argent and Ameriquest loans. 165. JPMorgan also had a close relationship with IndyMac. Between 2005 and 2007,
JPMorgan was lead underwriter for IndyMac-sponsored offerings securitizing $800 million in mortgages, including INDX 2006-AR29. In its role as lead underwriter, JPMorgan conducted due diligence and reviewed material, non-public information about IndyMacs loan origination and underwriting practices, loan quality and performance, and loan selection and securitization practices. 166. IndyMac specialized in originating and securitizing high risk non-prime mortgages,
including adjustable rate mortgages, and ranked as the twelfth worst mortgage originator on the OCC Index to the Worst Subprime Originators between 2005 and 2007. An investigation by the Center for Responsible Lending (CRL) uncovered substantial evidence that IndyMac Bank and its parent, IndyMac Bancorp., engaged in unsound and abusive lending during the mortgage boom, routinely making loans without regard to borrowers ability to pay. Based on its
investigation including interviews with former IndyMac employees, CRL determined that IndyMac pushed through loans based on bogus appraisals and income data that exaggerated borrowers finances. For example, numerous former employeesmost of whom were loan underwriters responsible for reviewing loan applicationsdescribed an atmosphere where the hunger to close loans ruled and stated that IndyMac pushed through loans with fudged or falsified information or simply lowered standards so dramatically that shaky loans were easy to approve. Wesley Miller, an IndyMac loan underwriter in California between 2005 and 2007,
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stated that the refrain from IndyMac managers in response to his objections was simple: Find a way to make this work. 167. On February 26, 2009 the Office of Inspector General of the U.S. Treasury
Department issued a report entitled Safety and Soundness: Material Loss Review of IndyMac Bank FSB, also finding that IndyMac encouraged the use of unsound underwriting practices and that for the loans reviewed by OIG, there was little, if any review of borrower qualifications, including income, assets and employment. The OIG also found weakness with property
appraisals obtained to support the collateral of the loans including for example instances where IndyMac officials accepted appraisals that were not in compliance with the Uniform Standard of Professional Appraisal Practice (USPAP). The OIG determined that IndyMac remained
profitable despite its shoddy loan origination practices as long as it was able to sell the resulting poor-quality loans into securitizations. As the OIG reported: IndyMac often made loans without verification of the borrowers income or assets, and to borrowers with poor credit histories. Appraisals obtained by IndyMac on underlying collateral were often questionable as well. As an Alt-A lender, IndyMacs business model was to offer loan products to fit the borrowers needs, using an extensive array of risky option-adjustable-rate-mortgages (option ARMs), subprime loans, 80/20 loans, and other nontraditional products. Ultimately, loans were made to many borrowers who simply could not afford to make their payments. Regardless, [IndyMac] remained profitable as long as it was able to sell those loans in the secondary mortgage market. 168. IndyMacs senior management was aware of IndyMacs widespread and systematic For example, IndyMacs internal audit group
unsound lending and securitization practices.
reported problems with IndyMacs loan origination practices to senior management in 2005. In addition, IndyMacs independent auditor reported IndyMacs division for purchasing and selling loans as a financial reporting control deficiency in 2006.
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169.
INDX 2006-AR29 was exclusively backed by IndyMac loans that were selected by
IndyMac. (Supra at 141, Table 8). As a result of its close relationship with IndyMac, JPMorgan knew, or at a minimum recklessly disregarded, that INDX 2006-AR29 was backed by poor quality loans. 170. GMAC was one of the largest loan originators and securitizers in the country.
Between 2005 and 2007, JPMorgan acted as lead underwriter for GMAC-sponsored offerings securitizing $15.1 billion in mortgages, including RASC 2006-KS7 and RASC 2007-KS2. As a major business partner, and to protect its own interests, JPMorgan conducted due diligence and reviewed material, non-public information about GMACs loan origination and underwriting practices, loan quality and performance, and loan selection and securitization practices. 171. Counsels investigation has revealed that GMAC abandoned its stated mortgage
underwriting and appraisal standards in order to originate as many mortgages as possible for securitization. CW 39, a senior mortgage underwriter at GMAC from February 2003 through January 2005 in Troy, Michigan, described GMACs creative underwriting of mortgages, explaining that if a loan required six months of income but the applicant lacked the necessary income history, GMAC mortgage underwriters would divide the applicants bank balance by six and treat that amount as the required income. CW 39 saw quite a few risky loans where CW 39 didnt like the parameters or didnt agree with the way things were done, so CW 39 passed these loans on to his supervisor, head of GMACs underwriting for several states, who would promptly approve the loans. CW 40, a senior wholesale underwriter for GMAC from August 1997 to the spring of 2007, also stated that CW 40s supervisors frequently overrode underwriting decisions and approved poor quality mortgagesthey were doing loans they knew were bad. In addition,
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CW 40 added that supervisors also routinely approved mortgages despite appraisals that you knew damn well did not support the value. 172. As a result of its business relationship with GMAC, JPMorgan knew, or at a
minimum recklessly disregarded, that RASC 2007-KS2 and RASC 2006-KS7 were backed by exceptionally poor quality GMAC loans. 3. 173. Defendants Unique Knowledge Of The Loan Origination Practices Used To Create the Mortgage Pools
In addition to having unique access and knowledge about the loan origination and
securitization practices of the sponsors in Table 8, Defendants also had very close relationships with other financial institutions that originated loans for securitizations at issue in this action: Countrywide, New Century, Fremont, Encore/Performance Credit, American Home, and First NLC. The OCC included a number of these loan originators in its Index to the Worst Subprime Originators between 2005 and 2007, including Countrywide, New Century, Fremont, and American Home. a. 174. Countrywide
Bear Stearns and JPMorgan had firsthand knowledge of the quality of
Countrywide-originated loans. Between 2005 and 2007, Bear Stearns selected at least $14 billion of Countrywide originated loans for offerings for which Bear Stearns acted as the sponsor, including BALTA 2006-7, SAMI 2006-AR7, and SAMI 2006-AR8. During the same time, JPMorgan selected nearly $10 billion of Countrywide originated loans for JPMorgan-sponsored offerings, including JPALT 2006-A2, JPALT 2006-A6, JPALT 2006-A7, and JPMAC 2006CW1. In addition, JPMorgan assisted Countrywide with raising capital by acting as a lead underwriter in Countrywide bond issuances, and served as managing administrative agent to
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material credit agreements for Countrywide, including a $2.64 billion revolving credit facility. As a result of these multi-billion dollar business relationships and their own due diligence, Bear Stearns and JPMorgan received material, non-public information about Countrywides loan origination and underwriting practices, loan quality and loan performance. 175. Countrywide was one of the worst mortgage originators and securitizers in the
country. In November 2008, the Office of the Comptroller of the Currency (part of the US Treasury Department), issued an Index to the Worst Subprime Originators, based on the number of foreclosures on 2005-2007 loan originations in the 10 worst metropolitan areas, ranking Countrywide ranked as the eighth worst mortgage originator.9 Counsels investigation has shown that Countrywide originated and purchased loans regardless of their quality if Countrywide believed that it could sell those loans into a securitization. This fraudulent business model permeated every level of the organization. 176. From the beginning of 2005, Countrywide used three levels of loan origination and First, if
underwriting exceptions to generate billions of dollars in defective mortgages.
Countrywides automated underwriting system discovered problems with a mortgage application because it failed to meet one of the standards underwriting criteria, including criteria used to assess borrower quality and collateral value, the application would be sent to a loan officer for manual underwriting in Countrywides Exception Processing System. If the loan officer could not approve the application, the loan would not be rejected. Rather the loan officer would request an exception from the guidelines from more senior underwriters at Countrywides loan production structured lending desk (Production SLD), otherwise known as the exception
Available at http://www.occ.treas.gov/news-issuances/news-releases/2009/nr-occ-2009-112b.pdf.
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desk. The Production SLD granted exceptions pursuant to Countrywides matching policy, also known as the shadow guidelinesany mortgage application would be approved if it matched the most aggressive mortgage approval policy of any loan origination competitors, even if the mortgage violated Countrywides stated underwriting guidelines. Finally, if a
mortgage application was still not approved pursuant to the shadow guidelines, it was sent to the secondary markets structured lending desk (the Secondary Markets SLD) which would accept any loan regardless of the risk level of likelihood of default as long as the loan could be resold for securitization. As Countrywides chief financial officer, David Sambol, stated in a February 13, 2005 email, Countrywide should be willing to price virtually any loan that we reasonably believe we can sell/securitize without losing money, even if other lenders cant or wont do the deal. 177. Countrywide managing director for secondary markets, Joshua Adler, confirmed
during his deposition in an SEC enforcement action that Countrywide used different levels of exceptions and shadow guidelines to approve non-compliant loans in the ordinary course of business, and that Secondary Markets SLD did not review mortgages from an underwriting point of view, but only from their potential for securitization: Q. Do you know whether Countrywide sometimes originated loans that were considered to be exceptions to its underwriting guidelines? A. We did. Q. To your knowledge, was there a process by which such loans were approved? * A. There generally was, yes. Q. And what is your understanding of that process? * *
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A. Well, I was -- I was at the tail end of that process. There was -- we had guidelines, we had kind of core guidelines, and then we had these shadow guidelines, which were the kind of the second tier guideline, if you will. And then there was this third tier which would come to me. But essentially there were -- the tiering of guidelines related to the kind of the exception process. And there was an underwriting, they called it, Structured Loan Desk process in the divisions where loans would get referred to the Structured Loan Desk if they were outside, I believe, of kind of the core guidelines. And then if those loans were outside of even the shadow guidelines, then they would be referred to Secondary Marketing to determine if the loan could be sold given the exception that was being asked for. * * *
Q. Was one of the criteria for granting exceptions at the Secondary Loan Desk in Secondary Marketing whether or not the loan could be sold into the secondary market? A. That was the only criteria that we followed. 178. Most of the loans backing BALTA 2006-7, SAMI 2006-AR7, and SAMI 2006-
AR8 were Countrywide loans that were selected by Bear Stearns. (Supra at 45, Table 1). As a result of its due diligence and close relationship with Countrywide, Bear Stearns knew, or at a minimum recklessly disregarded, that BALTA 2006-7, SAMI 2006-AR7, and SAMI 2006-AR8 were backed by poor quality Countrywide loans. 179. All of the loans backing JPMAC 2006-CW1 were Countrywide loans that were
selected by JPMorgan. (Supra at 45, Table 1). JPALT 2006-A2, JPALT 2006-A6, and JPALT 2006-A7 were also substantially backed by Countrywide loans that were selected by JPMorgan. (Id.) As a result of its due diligence and close relationship with Countrywide, JPMorgan knew, or at a minimum recklessly disregarded, that JPMAC 2006-CW1, JPALT 2006-A2, JPALT 2006A6, and JPALT 2006-A7 were backed by exceptionally poor quality Countrywide loans.
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b. 180.
New Century
New Century ranked as the single worst mortgage originator on the OCC Index to
the Worst Subprime Originators in the United States. In originating mortgages, New Century did not consider the borrowers credit history, repayment ability, or debt service-to-income ratio, did not verify information pertaining to borrower creditworthiness, did not use qualified disinterested appraisers to value the collateral, and generally flouted its own purported underwriting standards. 181. New Centurys former vice-president of risk management, Patricia Lindsay,
testified before the FCIC that, at New Century, [t]he definition of a good loan changed from One that pays to One that can be sold. Because New Century originated loans for
securitization, it made no effort to ensure the quality of the loans that it originated. As Lindsay explained to the FCIC, mortgage brokers could get a loan pre-approval in 12 seconds or less with our proprietary system, and were selling them because we dont know if theyre paying. Lindsay further stated that [o]ur loans were sold before we even made them, which put pressure on the production groups to get loans closed. guidelines were rampant. Moreover, exceptions to the underwriting
As Lindsay explained, sales managers had the ability to make
exceptions to guidelines on loans, which would result in loans closing with these exceptions, at times over the objections of seasoned appraisers, underwriters or risk personnel. When presented with a hypothetical maintenance mechanic who was allegedly making $200,000 per year, Lindsay stated that [i]f he stated the income then it was not provable. And that [] would be considered a business decision. Furthermore, in Lindsays experience, fee appraisers hired to go to the properties were oftentimes pressured into coming in at value, fearing that if they didnt, they would lose future business and their livelihoods. 182. New Centurys senior management encouraged New Centurys reckless loan 76
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origination practices. For example, after the companys Quality Assurance department reported in 2004 that they had found severe underwriting errors, including evidence of credit issues in 25% of the loans they audited in November and December 2003, the department was dissolved and its personnel terminated. After New Centurys Internal Audit department identified numerous
deficiencies in loan files and the loan production departments seven unsatisfactory ratings, New Century slashed the Internal Audit departments budget. 183. Numerous former New Century employees interviewed by counsel confirmed New
Centurys systematic abandonment of its stated loan origination and underwriting standards. For example, according to CW 26, a former New Century fraud investigator and senior loan underwriter who examined numerous New Century mortgage loans from January 1999 until April 2007, New Century started to abandon prudent underwriting guidelines at the end of 2003 in order to push more loans through. CW 26 stated that New Century essentially stopped underwriting. CW 27, another former New Century underwriter and risk manager employed at New Century from December 2001 until April 2007, explained that exceptions to underwriting guidelines were endemic and it was more about quantity than quality, with the attitude being get the volume on; get the volume on. Indeed, CW 27 reported that nine out of ten loans that CW 27 recommended denying were nevertheless approved by management. CW 28, a former New Century senior training development manager employed by New Century from March 2003 until March 2006 explained that underwriters often allowed borrowers to resubmit a rejected fulldocumentation loan (which had been rejected because the borrowers income was too low) as a stated loan with a new and higher income, which was then approved. CW 28 stated that this practice was taboo in the mortgage industry but routinely occurred and was a running joke at
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New Century. CW 29, a former New Century vice-president and regional manager, Region 12, employed by New Century from September 1996 until May 2007 explained that New Century made very low quality and extremely risky loans, even for a sub-prime lender, noting that: If you had a heartbeat, we would give you a loan. 184. New Centurys Bankruptcy Examiner concluded after a lengthy investigation, that
New Century had a brazen obsession with increasing loan originations, without due regard to the risks associated with that business strategy. Based on 110 interviews of 85 fact witnesses, including members of New Centurys board of directors and senior management, the Bankruptcy Examiner determined that the predominant standard for loan quality at New Century was whether the loan could be sold in the secondary market to investors like Bear Stearns and JPMorgan, not whether a borrower could meet the obligations under the terms of a loan. 185. JPMorgan and Bear Stearns were aware of New Centurys improper loan
origination practices between 2005 and 2007. During that time, JPMorgan securitized $1.8 billion of New Century loans while Bear Stearns extended an $800 million credit facility to New Century to originate and fund new mortgages that Bear Stearns could securitize and sell to investors. As major business partners and creditors, and to protect their own interests, JPMorgan and Bear Stearns conducted due diligence and reviewed material, non-public information about New Centurys loan origination and underwriting practices, and loan quality and performance. 186. JPMAC 2006-NC1 was exclusively backed by New Century loans, and CBASS
2007-CB6 and RASC 2007-KS2 were largely backed by New Century loans. (Supra at 141, Table 8). JPMorgan knew, or at least recklessly disregarded that JPMAC 2006-NC1, CBASS 2007-CB6 and RASC 2007-KS2 were backed by exceptionally poor quality loans.
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187.
CARR 2006-NC3 and CARR 2006-NC5 were exclusively backed by New Century
loans. (Supra at 141, Table 8). Based on their close relationship with Carrington, its due diligence, and its role in structuring these securitizations (supra at 143-44), Bear Stearns knew, or at least recklessly disregarded that CARR 2006-NC3 and CARR 2006-NC5 were backed by exceptionally poor quality New Century loans. c. 188. Fremont
Bear Stearns was a key business partner for Fremont, securitizing more than $958
million of Fremont originated loans between 2005 and 2007. Fremont ranked as the fifth worst mortgage originator on the OCC Index to the Worst Subprime Originators. Fremont was one of the countrys largest and most reckless subprime mortgage lenders until it was closed down by the Federal Deposit Insurance Corporation (FDIC) in March 2007. For example, on March 7, 2007, the FDIC issued an Order in In re Fremont Investment & Loan Brea, California, Docket No. FDIC-07-035b, requiring Fremont to cease and desist from a number of unsafe and unsound banking practices and violations of the law and/or regulations including: x x x x operating with inadequate underwriting criteria and excessive risk in relation to the kind and quality of assets held by the Bank; engaging in unsatisfactory lending practices; making mortgage loans without adequately considering the borrowers ability to repay the mortgage according to its terms. marketing and extending adjustable-rate mortgage (ARM) products to subprime borrowers in an unsafe and unsound manner that greatly increases the risk that borrowers will default on the loans or otherwise cause losses to the Bank, including ARM products with one or more of the following characteristics: (i) qualifying borrowers for loans with low initial payments based on an introductory or start rate that will expire after an initial period, without
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an adequate analysis of the borrowers ability to repay the debt at the fully-indexed rate; (ii) approving borrowers without considering appropriate documentation and/or verification of their income; (vi) approving borrowers for loans with inadequate debt-to-income analyses that do not properly consider the borrowers ability to meet their overall level of indebtedness and common housing expenses; and/or (vii) approving loans or piggyback loan arrangements with loan-to-value ratios approaching or exceeding 100 percent of the value of the collateral. 189. Fremonts former regulatory compliance and risk manager, Roger Ehrnman,
informed the FCIC on September 2, 2010 that Fremont repeatedly attempted to place rejected loans into pools of mortgages that were to be sold to investors until they were rejected three times. During his testimony before the FCIC, Claytons former president and chief operating officer, Keith Johnson, referred to this practice as the three strikes, youre out rule. 190. Numerous former employees of Fremont confirmed the findings of the FDIC and
Ehrnmans testimony. For example, CW 31, who served as a senior underwriter for Fremont from September 2002 to August 2007 in Anaheim and Ontario, California stated that Fremonts primary concern was increasing the volume of mortgage loans that it issued, regardless of the borrowers ability to repay the mortgage loan. CW 32, a former underwriter at Fremonts
Anaheim, California office from May 2005 until March 2007, explained that exceptions to Fremonts established underwriting guidelines were done on a daily basis and estimated that 30% of Fremonts loans contained some sort of exception. CW 33, a quality control investigator at Fremont for five years before leaving Fremont in September 2007 noted that it just got stupid towards the end because Fremont was just giving anyone a loan who wants one. In addition to the poor underwriting practices that plagued Fremont, former Fremont employees also related
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detailed accounts of the outright fraud that pervaded the lender. CW 33 discussed instances of Fremont brokers cutting and pasting bank statements and forging the signatures on borrowers employment verification letters. According to CW 33, some of the fraud was so blatant that you have to be brain dead if you didnt see it. CW 34, who served as former assistant vice-president and regulatory risk examiner for Fremont for three years until July 2008, and was involved with the FDICs investigation of Fremontagreed some of the fraud was egregious and that management consistently ignored the obvious problems. 191. The Certificates in CARR 2007-FRE1 and NCMT 2007-1 were exclusively backed
by Fremont loans. (Supra at 141, Table 8). Based on its close relationship with Fremont, and its role in structuring CARR 2007-FRE1 and NCMT 2007-1 (supra at 143-144), Bear Stearns knew, or at least recklessly disregarded that these securitizations were backed by exceptionally poor quality Fremont loans. d. 192. WMC Mortgage
Between 2005 and 2007, JPMorgan securitized over $10.7 billion in loans that
were originated by General Electrics mortgage subsidiary, WMC Mortgage. WaMu securitized over $480 million in WMC originated loans. WMC was ranked fourth on the OCCs list of the worst loan originators in the country during the same time period. As Reuters has reported, WMC originated some of the worst performing loans in the$575 billion market for home equity asset-backed securities. 193. In a January 6, 2012 expose of the Center for Public Integrity, former WMC
quality control manager David Riedel stated that his quality control team of a dozen people in Southern California found widespread mortgage fraud as early as 2005, including fake proofs of employment, fake verifications of borrower rent payment history, and fake borrower income 81
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verifications. For example, Riedel discovered that WMC employees were fabricating borrower income verifications and creating bogus W-2 tax forms with computer software that allowed them to create W-2 forms from scratch. 194. In 2005, Riedels team performed a loan audit revealing many instances of fraud
and other defects such as missing documents. However, when Riedel reported the audit findings to officials at WMCs parent, General Electric, Riedel was demoted and forced to sit at a desk for months without an office, staff, or job title. As Riedel explained I didnt have any files [and] I basically stared out of a window. Another former WMC executive confirmed Reidels account, stating: [h]e was branded as a whistleblower and not a team player. They didnt exactly fire him. They just marginalized him and he didnt really have anything to do. Riedel was not alone. The Center for Public Integrity investigation discovered that management also ignored reports of inflated borrower incomes and other fraudulent loan applications by WMC loan auditor Gail Roman in New York. As Roman stated, [t]hey didnt want to hear what you found, even if you had enough documentation to show that there was fraud or questionable activity. Another former WMC fraud investigator confirmed the accounts of Reidel and Roman, stating: It was ugly. I would have nightmares about some of the things Id find in a file. Id wake up in the middle of the night going Oh my God, how did this happen? 195. The Center for Public Integrity further uncovered that after Riedel was given back
some responsibilities, he performed an audit of poorly-performing loans and began developing software to automatically detect fraudulent loan applications. In May 2006, Riedel presented the results of the audit to General Electric executives, noting that 78% of the loans had been fraudulent, containing misrepresentations about borrowers incomes or employment. Again,
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Riedels message was not welcome, and the software program he developed was not adopted. As one WMC executive reportedly said, Fraud pays. 196. On January 12, 2012, the Los Angeles Times reported that the FBI is investigating
WMCs potentially criminal business practices. As the newspaper reported, [t]he government is asking whether WMC falsified paperwork, overstated income and other tactics to push through questionable loans and focuses on whether senior managers condoned improper practices that enabled fraudulent loans to be sold to investors. 197. JPMAC 2006-WMC2 and JPMAC 2006-WMC3 consisted entirely of WMC loans
that were selected by JPMorgan, and WMABS 2007-HE2 contained a significant percentage of WMC loans, selected by Defendant WaMu Mortgage. As a result of their due diligence role in creating these securitizations, JPMorgan and WaMu Mortgage knew, or at a minimum recklessly disregarded, that JPMAC 2006-WMC2, JPMAC 2006-WMC3, and WMABS 2007-HE2, were backed by poor quality WMC loans. e. 198. Encore Mortgage
After securitizing more than $2.2 billion of Encore Mortgage originated loans,
Bear Stearns purchased the subprime origination platform of ECC Capital, Encore Credit Corp., in October 2006. Following the acquisition, Bear Stearns maintained the Encore brand name and operated Encore as a division within Bear Stearns Residential Mortgage. ECC Capital renamed its remaining mortgage origination businessoriginating home equity loansPerformance Credit Corporation. As a major business partner of ECC Capital, provider of a warehouse line of credit, and future owner of its subprime origination business, Bear Stearns had regular contact with ECC Capital executives, conducted due diligence, and reviewed material, non-public information about ECC Capitals loan origination and underwriting practices, loan quality and 83
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performance, and reserve methodologies for nonperforming loans. 199. BSABS 2006-EC2 and BSABS 2007-2 were substantially backed by
Encore/Performance Credit loans that were selected by Bear Stearns. (Supra at 53, Table 2). BSABS 2007-2 was created after Bear Stearns acquired Encore. As a result of its due diligence and control over Encore, Bear Stearns knew, or at a minimum recklessly disregarded, that BSABS 2006-EC2 and BSABS 2007-2 were backed by poor quality Encore/Performance Credit loans. f. 200. ResMAE
The OCC ranked ResMAE Mortgage (ResMAE) as the tenth worst mortgage
originator in the United Stated between 2005 and 2007. During that same time period, JPMorgan securitized over $1.7 billion in ResMAE originated loans. 201. Between 2004 and 2007, ResMAE routinely originated poor quality loans that did
not meet its stated underwriting guidelines. CW 42, an area credit manager at ResMAE from 2004 through 2005 in Illinois, explained that ResMAEs sales department push[ed]through stated income loans that listed implausible incomes. As an area credit manager, CW 42 was very concerned about these practices, stating: thats where things got ridiculous, because as underwriters you were told that things have to make sense, you cant have somebody that is a waitress that is making $5,000 a month and we would say we want to go full documentation and sales would say no and push it through. CW 42 also recalled appraisal deficiencies at
ResMAE, including instances where the appraisers clearly had not inspected the homes securing the mortgage. For example, CW 42 recalled a number of instanced where the property didnt even exist, it was like a vacant lot, but yet we had an address and pictures. 202. ResMAE also routinely granted exceptions to the underwriting guidelines. CW 43,
a regional credit manager at ResMAE from March 2004 through March 2007 in Illinois, stated 84
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that 40% to 50% of loans that ResMAE originated were issued pursuant to exceptions to ResMAEs underwriting guidelines. CW 43 described fraud from appraisers, title companies andborrowers. Yeah, they were altering documents and that kind of stuff; that was very big in 2005 and 2006. Especially the stated income, they would state that they made this income and they didnt, it was [a] misrepresentation. 203. ResMAE accepted numerous defective loans and sold them into securitizations.
JPMAC 2006-RM1 was entirely backed by ResMAE loans that were selected by JPMorgan. (Supra at 118, Table 6). More than half of the loans that JPMorgan selected for JPMAC 2006HE3 were also originated by ResMAE. As a result of its due diligence, JPMorgan knew, or at a minimum recklessly disregarded, that JPMAC 2006-RM1 and JPMAC 2006-HE3 were backed by poor quality ResMAE loans. g. 204. American Home
Bear Stearns also had a very close relationship with American Homeranked as
the eleventh worst mortgage originator on the OCC Index to the Worst Subprime Originators giving Bear Stearns unique access to senior management and to material, non-public information. Between 2005 and 2007, Bear Stearns provided a $2.5 billion credit facility to American Home for the origination and funding of new mortgages that Bear Stearns could securitize and sell to investors. In its capacity as a major business partner and creditor, and to protect its own interests, Bear Stearns conducted due diligence and reviewed material, non-public information about American Homes loan origination and underwriting practices, loan quality and performance, and reserve methodologies for nonperforming loans. Bear Stearns also had the power to cut off hundreds of millions of dollars of operational funding, thereby ensuring that Bear Stearns had continuing access to material non-public information at all relevant times. 85
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205.
American Home originated a plurality of the loans backing SACO 2006-2 that
were selected by Bear Stearns. (Supra at 53, Table 2). NAA 2007-3 was also materially backed by American Home loans. (Supra at 141, Table 8). As a result of its due diligence, and close business relationship with American Home, and its role in structuring SACO 2006-2 and NAA 2007-3 (supra at 53, Table 2 and 145-147), Bear Stearns knew, or at a minimum recklessly disregarded, that SACO 2006-2 and NAA 2007-3 were backed by poor quality American Home loans. h. 206. First NLC
First NLC was a non-prime loan originator that was owned by the investment bank
Friedman, Billings, and Ramsey (FBR). In 2006, First NLC was a major subprime mortgage lender, originating over $7.4 billion in mortgage loans. Counsels investigation has revealed that First NLC routinely originated fraudulent mortgages while deterring loan underwriters from protecting the company and investors who purchased certificates backed by First NLC mortgages. For example, CW 35, a mortgage underwriter at First NLC from April 2004 through November 2006 in Deerfield, Florida, stated that when objecting to loan applications that appeared to be fraudulent, sales representatives would object to CW 35s investigation and scream bloody murder. CW 35 recalled that there were many instances where CW 35 did not feel comfortable about the loans that were being approved, but management overruled CW 35s objections because the loans would be securitized and sold to investors. As CW 35 explained, every loan had a problem with itand seemed to have an exception. 207. First NLC originated a majority of the loans backing MSST 2007-1. (Supra at
141, Table 8). As a result of its credit and compliance due diligence, its role as a depositor in accepting the loans and depositing them with the MSST 2007-1 trust, and its role structuring 86
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MSST 2007-1 (supra at 141, Table 8; 148-151), Bear Stearns knew, or at a minimum recklessly disregarded, that MSST 2007-1 was backed by exceptionally poor quality First NLC loans. i. 208. GreenPoint
JPMorgan was an important business partner for GreenPoint. Between 2005 and
2007, JPMorgan securitized more than $1.6 billion of GreenPoint originated loans. Former GreenPoint executive vice-president, Kevin Hughes, testified that GreenPoint executives were in daily contact with large investors such as JPMorgan to provide them with extensive loan level data on the mortgages that GreenPoint was originating. 209. GreenPoint ranked as the thirteenth worst mortgage originator on the OCC Index to
the Worst Subprime Originators. According to a review of documentation in connection with a lawsuit against GreenPoint based on the failures in GreenPoints origination and underwriting practices, 93% of the GreenPoint loans suffered from serious defects.10 Discovered defects included: x x x x pervasive misrepresentations and/or negligence with respect to the statement of income, assets, or employment of the borrower; misrepresentations of the borrowers intent to occupy the property as the borrowers residence and subsequent failure to so occupy the property; inflated and fraudulent appraisal values; and pervasive violations of GreenPoints own underwriting guidelines and prudent mortgagelending practices, including loans made to borrowers (i) who made unreasonable claims as to their income, (ii) with multiple, unverified social-security numbers, (iii) with credit scores below the required minimum, (iv) with debt-to-income and/or loan-to-value ratios
10
U.S. Bank Natl Assn v. GreenPoint Mortg. Funding, Inc., Index No. 600352/2009 (Sup. Ct. New York County Feb. 5, 2009); Bank of Am., N.A. v. GreenPoint Mortg. Funding, Inc., No. 09-cv-00071 (W.D.N.C. Feb. 26, 2009).
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above the allowed maximum or (v) with relationships to GreenPoint or other non-armslength relationships. 210. The review of GreenPoint documents also determined that two years after the
closing of the securitized transaction, approximately 29% of the loans in the original loan pool was either completely written off or severely delinquent. Another lawsuitbrought by a former senior GreenPoint underwriteralleged that GreenPoint forced underwriters to approve mortgage loan applications containing fraudulent information.11 211. JPALT 2007-A1, was substantially backed by GreenPoint loans that were selected
by JPMorgan. (Supra at 45, Table 1). As a result of their due diligence role in creating these securitizations, and close business relationship with GreenPoint, JPMorgan knew, or at a minimum recklessly disregarded, that JPALT 2007-A1 was backed by poor quality GreenPoint loans. j. 212. Peoples Choice
The Certificates in CARR 2006-RFC1, NAA 2007-3, and RASC 2006-KS7 were
supported by an amalgamation of loans from different originators, including Peoples Choice, Barclays-subsidiary EFC Holdings, and HSBC-subsidiary Decision One Mortgage. (Supra at 141, Table 8). Counsels investigation has revealed that these originators systematically ignored the stated loan underwriting guidelines and originated mortgages for securitization without regard for borrower ability to pay and collateral value. For example, James LaLiberte, former chief operating office of Peoples Choice, revealed a list of nearly 13,000 People Choice loans totaling $2 billion that included numerous instances of fraud. If you had a pulse, we have you a loan, MSNBC (March 22, 2009). The list included, for example, a $445,500 loan to a manicurist
11
Steinmetz v. GreenPoint Mortg. Funding, Inc., No. 08-cv-05367 (S.D.N.Y. June 13, 2008).
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claiming an annual income of $200,000.
When the borrower later filed for bankruptcy, court
documents revealed her income to be $27,092. When LaLiberte attempted to implement controls, he was met with resistance. As Peoples Choices chief appraiser explained to LaLiberte, Fraud is what we do. Thats how we got where we are today. 4. 213. Defendants Misconduct Had a Devastating Impact on the Performance of the RMBS
Bear Stearns and JPMorgan knew, or at the very least recklessly disregarded, the
poor quality of the mortgages backing the securitizations at issue. However, Defendants had strong financial incentives to ignore the toxic nature of the mortgages backing the securitizations, and to sell them as supposedly prudent investments to Plaintiffs and other investors. Bear Stearns and JPMorgan each obtained tens of millions of dollars in fees for underwriting these securitizations. Moreover, Bear Stearns and JPMorgan were not willing to jeopardize their
lucrative repeat-business relationships with the sponsors and loan originators by sharing their nonpublic knowledge about the toxic nature of the mortgages backing these securitizations with Plaintiffs or other investors. 214. Defendants misconduct dramatically affected the mortgage pools underlying the
RMBS purchased by Plaintiffs. As of March 2012, on average, more than 37% of the mortgage loans backing the securitizations in Table 9 were over 60- or 90-days delinquent, in foreclosure, bankruptcy, or repossession, as reflected in the table below: Table 9
Collateral Performance of Securities Underwritten by Bear Stearns Serious Delinquencies in % of mortgage pools (60 Day + 90 Day + Foreclosure + REO + Bankruptcy) Offering 1 2 3 4 Yr. Yrs. Yrs. Yrs. CARR 2006-NC3 15.44 36.07 49.31 53.82
# 1
Mar. 2012 40.15
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2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
CARR 2006-NC5 CARR 2006-RFC1 CARR 2007-FRE1 IMM 2007-A IMSA 2006-2 IMSA 2007-3 MSST 2007-1 NAA 2007-3 NCMT 2007-1 ARSI 2006-M2 ARSI 2006-W4 CBASS 2007-CB6 INDX 2006-AR29 RASC 2006-KS7 RASC 2007-KS2 Averages
20.51 11.04 24.03 8.25 8.05 15.56 28.78 33.56 14.73 19.72 18.88 22.28 7.39 13.44 21.12 17.67
42.88 32.75 49.59 15.01 24.98 33.01 49.71 53.78 24.69 41.76 41.69 39.22 26.68 26.66 33.71 35.76
53.92 37.44 67.43 17.66 25.67 35.89 50.61 55.73 32.92 45.56 57.77 47.62 40.74 35.34 45.91 43.72
52.41 51.22 72.98 17.76 17.44 30.19 31.18 51.28 28.86 39.34 49.05 42.47 38.01 30.25 32.35 39.91
45.23 38.67 66.89 18.14 14.56 31.09 29.41 52.44 28.47 34.27 39.26 43.32 31.77 29.71 32.07 35.96
E. 215.
Defendants Manipulated the Credit Ratings Defendants knew that, to sell their RMBS, they needed to obtain the highest
possible investment grade ratings from the credit rating agencies (CRAs)Moodys and Standard & Poors (S&P). Defendants featured the credit ratings prominently in the Offering Materials. Former EMC analyst Matt Van Leeuwen explained that credit ratings were a major marketing piece for Bear Stearns because in theory, the ratings agency is supposed to help investors make an informed decision about the amount of risk theyre going to bear with these securities now because these are so model based, theres no real market, theres no market price that I can really look out and see for these exact tranches. 216. Defendants knew that the ratings for the Certificates were not accurate or reliable
because they were: (i) based on false information that Defendants provided to the CRAs and (ii) the result of improper influence exerted by Defendants over the CRAs.
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1. 217.
Defendants Knowingly Supplied False Information to the Rating Agencies
RMBS credit ratings assess the risk of loss for each tranche in a securitization by
determining the likelihood that the mortgage payments in the designated mortgage pool will be made on a timely basis. Standard & Poors former North American Practice Leader for RMBS, Susan Barnes, testified before the Senate Investigations Subcommittee that: [a]t their core, S&P credit ratings represent our opinion of the likelihood that a particular obligor or financial obligation will timely repay owed principal and interest. The Chairman and Chief Executive Officer of Moodys, Raymond McDaniel, similarly testified that Moodys ratings provide predictive opinions on one characteristic of an entityits likelihood to repay a debt in a timely manner. 218. CRAs review information concerning the borrowers willingness and ability to pay,
the value of the collateral, and the results of the credit, compliance and valuation due diligence of the mortgage pool. As Barnes testified, S&P collects from the arranger of a securitization up to 70 different data points related to each underlying mortgage loan, including but not limited to: the amount of equity the borrower has in the home; the loan type; the extent of income verification; whether the borrower occupies the home; and the purpose of the loan. Our analysis of this data allows us to quantify multiple risk factors, or the layered risk, and allows us to assess the increased default probability that is associated with each factor. 219. Importantly, CRAs rely on the securitizations arranger or sponsor to provide this
critical information, and do not undertake any independent due diligence. Barnes testified: At the time that it begins its analysis of a securitization, S&P receives detailed data concerning the loan characteristics of each of the loans in the poolup to 70 separate characteristics for each loan in a pool of, potentially, thousands of loans.
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S&P does not receive the original loan files for the loans in the pool. Those files are reviewed by the arranger or sponsor of the transaction, who is also responsible for reporting accurate information about the loans in the deal documents and offering documents to potential investors. McDaniel similarly testified on behalf of Moodys that We do not receive or review individual loan files; we do not conduct due diligence; we do not structure the security; and we do not sell or in any way participate in the sales of a security. In addition, McDaniel explained that the credit ratings depended on the information that Moodys received from the sponsor and loan originators, stating that the quality of our opinions is directly tied to the quality of the information we receive from the originators and the investment banks. 220. Defendants knew at all relevant times that the CRAs did not have access to the loan
files and would not independently verify the information that Defendants provided concerning the quality of the mortgage pools backing the RMBS at issue. For example, Standard & Poors standard terms and conditionsincluded with each S&P letter assigning credit ratingsstated that Standard & Poors undertakes no duty of due diligence or independent verification of information received from you or your agents. Gary Witt, former Moodys managing director acknowledged before the FCIC that at no time did the rating agencies look through the securities to the underlying subprime mortgages, making the rating agencies completely dependent on the investment banks for their information. 221. Former EMC analyst Matt Van Leeuwen explained the rating process as follows:
When it comes time to generating a security, what would happen, an employee in New York whose express job is to work with the rating agencies, they would take characteristics of the pool that we were expecting to securitize and would send it to the rating agencies. Most specifically S&P and Moodys. The rating agencies would take a look at this kind of representative data and would say, based on this data you provided, we would issue this, this, this, and this according to the different classes or tranches. 92
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When it came time to actually creat[e] the securities, when it came time, meaning that Bear Stearns had already bought all the mortgages that were going into it [b]asically what the rating agencies would do, would look at the two pools and see, you know, these really dont look different, theres really no difference, so you know, our original quote stands. 222. For each of the RMBS at issue, Defendants provided the CRAs with critical
information about the quality of the mortgage pools backing those securities, including information about the borrowers purported ability and willingness to pay, the value of the collateral, and the results of their due diligence of the mortgage pools. However, Defendants knew or, at a minimum, recklessly disregarded that the information they provided to the CRAs overstated the borrowers ability to pay and the value of the collateral. For example, Bear Stearns did not disclose to the CRAs that it had adopted a deliberate policy to securitize loans before expiration of the EPD period. WaMu did not disclose that it was securitizing fraudulent
mortgages and mortgages it had identified as delinquency-prone. And JPMorgan did not disclose that it was incentivizing its employees to originate and securitize high-risk mortgages while simultaneously loosening its underwriting standards. Defendants also did not disclose to the CRAs that they: (i) deliberately limited their due diligence of the mortgage pools; (ii) put pressure on their due diligence vendors to limit the number of identified fatally defective loans; and (iii) waived in numerous loans that they knew to be fatally defective. 223. The information in 222 above was material to the CRAs ratings of the RMBS. If
the CRAs had received full and accurate disclosures about the quality of the mortgage pools, Defendants underwriting standards, and Defendants due diligence results, they would not have issued investment grade credit ratings for the RMBS at issue.
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2. 224.
Defendants Exerted Improper Pressure over the Rating Agencies
In April 2011, the Senate Investigations Report revealed that a number of
investment banks, including Bear Stearns, JPMorgan, and WaMu, were pressuring [the rating agencies] to ease rating standards for RMBS. For example, Defendants routinely threatened to take their business to a different CRA. Defendants also blacklisted individual CRA analysts who refused to provide favorable credit ratings for the toxic mortgage portfolios they were offloading to investors. 225. Until recently, the CRAs were conservative institutions that provided independent
opinions on the credit risk of corporations to a paying subscribership. This changed, however, with the transformation of the CRAs subscriber fee-based businesses to a business that derived revenues largely from the issuers of the securities they rated, also known as the issuer pays model. Because CRAs are only compensated for rated deals, if an issuer did not like a particular rating on a deal, it would seek out a better rating from a competing CRA. From 2004 to 2007, Moodys and S&Ptwo CRAs that were regularly employed by Defendants that rated all of the RMBS at issueproduced a record number of ratings and revenues for rating structured finance products. During that time, S&P issued more than 5,500 RMBS ratings and Moodys issued over 4,000 RMBS ratings. To obtain an RMBS rating, CRAs charged issuers a fee ranging from $50,000 to more than $1 million. The CRAs also charged an additional surveillance fee per RMBS ranging from $35,000 to $50,000. As a result, S&Ps net annual revenues nearly doubled from $517 million in 2002 to $1.16 billion in 2007, with the structured finance groups revenues tripling from $184 million in 2002 to $561 million in 2007. Moodys reported an increase in its gross revenues for credit ratings from approximately $61 million in 2002 to $208 million in 2006.
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226.
This change in the CRAs business model created an acute conflict of interest,
which Defendants skillfully exploited to the Plaintiffs detriment. On June 11, 2008, former SEC Chairman Christopher Cox explained the conflict as follows: When the Congress passed the Credit Rating Agency Reform Act a year and a half ago, it was well understood that certain conflicts of interest were hardwired into the rating agency business model. But we have learned since then that the ratings of structured products in the subprime area made those conflicts of interest even more acute. Thats because structured products were specifically designed for each tranche to achieve a particular credit rating and the ratings agencies then made a lucrative business of consulting with issuers on exactly how to go about getting those ratings. Selling consulting service to entities that purchased ratings became a triple-A conflict of interest. 227. The pressure on CRAs was acknowledged by Moodys Chairman and CEO
Raymond W. McDaniel who stated in an interview with The Wall Street Journal in 2008 that [e]verybody always seeks to pressure us. Anyone with a position in the credit markets will hope that the credit-rating agencies agree with its opinion. Its a conflict of interest question. We cant avoid conflicts of interest. 228. The CRAs became dependent upon Defendants and other investment banks to
generate business, and were therefore vulnerable to the threat that those banks would take their business elsewhere. As Moodys Chief Credit Officer, Andy Kimball, explained to the Senate Investigations Committee, the practice of ratings shoppingor choosing the ratings agency that offered the highest ratingsbecame prevalent during 2004-2007. Gary Witt, former Managing Director at Moodys, confirmed the widespread practice of ratings shopping during his testimony before the FCIC. When asked if investment banks frequently threatened to withdraw their
business if they didnt get their desired rating, Witt responded: Oh God, are you kidding? All the time. I mean, thats routine. I mean, they would threaten you all the timeIts like, Well, next
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time were just going to go with Fitch and S&P. 229. The threat of ratings shopping had an immediate effect on the credit ratings issued
by the CRAs. Richard Michalek, a former Moodys vice-president and senior credit officer, explained during his testimony before the FCIC that [t]he threat of losing business to a competitor, even if not realized, absolutely tilted the balance away from an independent arbiter of risk towards a captive facilitator of risk transfer. Former Moodys senior vice-president Mark Froeba explained to the FCIC that Moodys senior management put in place a new culture that would not tolerate for long any answer that hurt Moodys bottom line, resulting in a a palpable erosion of institutional support for rating analysis that threatened market share. Froeba stated: When I joined Moodys in late 1997, an analysts worst fear was that he would contribute to the assignment of a rating that was wrong, damage Moodys reputation for not getting the answer right and lose his job as a result. When I left Moodys [in 2007], an analysts worst fear was that he would do something that would allow him to be singled out for jeopardizing Moodys market share, for impairing Moodys revenue or for damaging Moodys relationships with its clients and lose his job as a result. 230. Defendants employed former CRA analysts to convince their former colleagues to
accede to Defendants demands, and pressured individual CRA employees, whose jobs and compensation depended on the number of ratings they issued. For example, Defendants would complain to the CRAs senior management about specific ratings analysts who refused to go along with Defendants demands, causing those ratings analysts to be placed. A Moodys managing director confirmed to The Wall Street Journal, that Moodys agreed to switch analysts on deals after bankers complained. Moodys Opened Up, The Wall Street Journal (April 11, 2008). 231. The accounts were confirmed by an SEC Summary Report of Issues Identified in
the Commission Staffs Examinations of Select Credit Rating Agencies (SEC CRA Report) in
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July 2008. The SEC noted that ratings analysts were aware of the CRAs business interests when securing the rating of the deal and discussed concerns about the firms market share relative to other rating agencies, or losing deals to other rating agencies. These findings were based, inter alia, on the SECs review of internal documents and emails, including an email from a CRA employee to colleagues stating [w]e are meeting with your group this week to discuss adjusting criteria for rating CDOs of real estate assets this week because of the threat of losing deals. 232. Defendants routinely used their influence and leverage over the CRAs to obtain
favorable ratings for the RMBS they created and sold. For example, the Senate Investigations Report revealed a February 20, 2007 email exchange between JPMorgan investment banker, Robert Miller, and Moodys Managing Director Mark DiRienz. Miller complained that Moodys was rating certain RMBS much lower than another CRA, noting that this would lead to serious investor concerns, stating: the optics here are difficult. Theres going to be a three notch difference when we print the deal if it goes out as is. Im already having agita about the investor calls Im going to get. DiRienz responded that Moodys would increase its credit rating for the RMBS, stating: I spoke to Osmin earlier and confirmed that Jason is looking into some
adjustments to his methodology that should be a benefit to you folks. 3. 233. The Certificates Have Nearly All Been Downgraded to Junk
AAA/Aaa rated investments typically have an expected cumulative loss rate of less In general, investment grade rated For example,
than 0.5%, with an annual loss rate of close to zero.
investments are not expected to suffer annual default rates exceeding 0.5%.
according to S&P, the default rate on all investment grade corporate bonds (including AA, A and BB) from 1981 to 2007 averaged about .094% per year.
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234.
The Certificates were all rated prime investment grade securities when they were
purchased by Plaintiffs. At issuance, all of the Certificates were rated AAA/Aaa by S&P and Moodys, signifying an exceptional degree of creditworthiness and ability to make the required payments to the holders of these Certificates. As shown in Table 10, virtually all of the Certificates have since then been downgraded to junk, thereby confirming that Defendants included large numbers of exceptionally poor quality loans into these securitizations: Table 10
RMBS Credit Rating (initial rating)12 Moody' S&P s Aaa AAA Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA Credit Rating (April 2012) Moody's S&P Ca Ca Ca C C Aa1 C Caa2 C C A1 Ca Ca Caa1 Ca C Ca Aa3 WR Caa3 WR B3 C B2 CCC CCC CCC D D AAA CCC BD D BB CCC CCC BBCCC CCC AAD CCC D CCC CCC CCC Downgraded below investment grade Moody's S&P 12/19/08 03/24/09 12/19/08 08/27/08 08/27/08 --10/16/08 09/24/10 03/19/09 09/24/08 --03/16/09 03/16/09 04/29/10 04/29/10 03/16/09 10/17/08 03/11/09 04/24/08 02/20/09 08/19/08 01/29/09 01/29/09 01/29/09 09/16/08 08/04/09 08/04/09 10/30/08 09/17/08 --03/02/10 07/18/11 09/17/08 09/17/08 10/26/09 08/11/11 10/21/11 10/21/11 10/21/11 09/23/11 08/04/09 --08/20/08 10/22/09 11/11/08 07/24/09 07/24/09 07/24/09
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
12
ARSI 2006-M2 A2D ARSI 2006-W4 A2C ARSI 2006-W4 A2D BALTA 2006-4 13A2 BALTA 2006-7 1A2 BSABS 2006-EC2 A4 BSABS 2006-HE8 1A3 BSABS 2006-HE8 21A3 BSABS 2006-IM1 A6 BSABS 2006-IM1 A7 BSABS 2007-2 A1 CARR 2006-NC3 A4 CARR 2006-NC5 A4 CARR 2006-RFC1 A3 CARR 2006-RFC1 A4 CARR 2007-FRE1 A3 CBASS 2007-CB6 A3 IMM 2007-A M1 IMSA 2006-2 1A12 IMSA 2007-3 A1B INDX 2006-AR29 A5 JPALT 2006-A2 1A3 JPALT 2006-A2 1A5 JPALT 2006-A3 1A3
A few of the Certificates were rated by Fitch instead of Moodys or Standard & Poors. To ensure legibility, Fitch ratings were not included in Table 10.
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25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65
JPALT 2006-A5 1A5 JPALT 2006-A6 1A5 JPALT 2006-A7 1A4 JPALT 2006-A7 1A5 JPALT 2007-A1 1A4 JPALT 2007-A1 1A5 JPALT 2007-A2 12A3 JPMAC 2006-CW1 A4 JPMAC 2006-HE3 A5 JPMAC 2006-NC1 A4 JPMAC 2006-NC1 A5 JPMAC 2006-RM1 A5 JPMAC 2006-WMC2 A4 JPMAC 2006-WMC3 A5 LBMLT 2006-11 2A2 LBMLT 2006-3 2A3 LBMLT 2006-3 2A4 LBMLT 2006-4 2A3 LBMLT 2006-4 2A4 LBMLT 2006-5 2A3 LBMLT 2006-5 2A4 LBMLT 2006-6 2A2 LBMLT 2006-6 2A4 LBMLT 2006-7 2A4 LBMLT 2006-8 2A4 MSST 2007-1 A3 NAA 2007-3 A3 NAA 2007-3 A4 NCMT 2007-1 2A3 RASC 2006-KS7 A4 RASC 2007-KS2 AI4 SACO 2006-2 2A SAMI 2006-AR7 A13B SAMI 2006-AR8 A6B WAMU 2006-AR7 C1B2 WMABS 2006-HE2 A3 WMABS 2007-HE2 2A2 WMABS 2007-HE2 2A3 WMALT 2007-HY1 A2B WMALT 2007-OC2 A2 WMHE 2007-HE2 2A3
Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa
AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
C C Ca C C C Ca Ba3 Ca Caa2 Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Ca Caa3 Ca Ca Ca C Ca Ca Ca Ca C C C C C Ca Ca Ca C Caa3 Ca
D D CCC D D D CCC BCCC CCC CCC CCC CCC CCC CCC CCC CCC CCC CCC CCC CCC CCC CCC CCC CCC CCC D D CCC BCCC D CC D D CCC CCC CCC D CC CCC
01/29/09 01/29/09 01/29/09 01/29/09 01/29/09 07/17/08 01/29/09 03/24/09 10/30/08 03/24/09 03/24/09 10/30/08 10/30/08 10/30/08 03/20/09 10/16/08 10/16/08 10/16/08 10/16/08 10/16/08 10/16/08 03/20/09 10/16/08 04/07/08 04/07/08 10/30/08 02/04/09 02/04/09 03/19/09 03/20/09 10/17/08 10/30/08 02/23/09 02/23/09 02/23/09 03/17/09 04/16/08 04/16/08 09/04/08 02/11/09 10/16/08
10/06/08 10/06/08 06/25/09 06/25/09 07/24/09 10/06/08 09/01/09 10/21/11 09/09/08 08/04/09 08/04/09 04/07/08 08/04/09 04/04/08 08/04/09 08/04/09 08/04/09 08/04/09 08/04/09 08/04/09 08/04/09 08/04/09 09/09/08 04/07/08 04/02/08 08/04/09 10/30/08 10/30/08 07/18/11 08/04/09 08/04/09 08/04/09 08/04/09 08/04/09 12/09/09 08/04/09 09/16/08 09/16/08 10/27/08 06/10/09 09/09/08
235.
In January 2011, the FCIC published the findings of its investigation into the
causes of the financial crisis. The FCIC report provided for the first time information about 99
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Defendants conduct in originating and securitizing residential mortgages, including testimony from critical participants in Defendants fraudulent schemes. A few months later, on April 13, 2011, the Senate Investigations Subcommittee published its findings and numerous internal documents from Defendants. Together, these reports and the underlying information revealed for the first time that Defendants created securitizations from mortgage pools that they knew, or at the very least recklessly disregarded, to be much riskier, and therefore less valuable, than Defendants represented to Plaintiffs. V. DEFENDANTS FALSE AND MISLEADING STATEMENTS 236. Strict adherence to loan origination and underwriting standardsincluding
verification of the borrowers ability and incentives to make their mortgage payments, and the value of the collateralis essential for determining the value of the RMBS. As sponsors,
depositors, and underwriters of the RMBS, Defendants had exclusive access to the loan files and due diligence results, and were paid to ensure the quality of the mortgages in the pools backing the RMBS, as represented in the Offering Materials. 237. Defendants made specific representations about the quality of the mortgages
backing the RMBS in the Offering Materials. Defendants sent Plaintiffs marketing materials, free writing prospectuses and term sheets describing the quality of the mortgage pools and the anticipated RMBS credit ratings to induce Plaintiffs to purchase certificates in the Offerings. Defendants made the same or substantially similar representations about the quality of the securitized mortgage pools and the final RMBS credit ratings in the registration statements, prospectuses and prospectus supplements that Defendants filed publicly with the SEC.
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Defendants intended for investors to rely on their representations about the quality of the loan pool and the riskiness of the mortgage-backed securities in the Offering Materials. A. 238. Loan Origination and Underwriting Standards In the Offering Materials, Defendants described the loan origination and
underwriting standards that were purportedly used to originate the loans in the mortgage pools. For example, the Prospectus Supplement for BALTA 2006-4 stated: Performing loans purchased will have been originated pursuant to the Sponsors underwriting guidelines or the originators underwriting guidelines that are acceptable to the Sponsor. * * *
The EMC mortgage loans have either been originated or purchased by an originator and were generally underwritten in accordance with the standards described herein. * * *
Such underwriting standards are applied to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral. 239. The Offering Materials for BALTA 2006-7, BSABS 2006-EC2, BSABS 2006-
HE8, BSABS 2006-IM1, BSABS 2007-2, SAMI 2006-AR7, SAMI 2006-AR8, SACO 2006-2, CARR 2006-NC3, CARR 2006-NC5, CARR 2006-RFC1, CARR 2007-FRE1, IMM 2007-A, IMSA 2006-2, IMSA 2007-3, MSST 2007-1, NAA 2007-3, and NCMT 2007-1 contained the same or substantially similar statements. See attached Exhibit B1. 240. The Offering Materials for WMABS 2006-HE2 stated:
All of the mortgage loans owned by the trust have been originated generally in accordance with underwriting guidelines of the sponsor described in this section or the underwriting guidelines of Long Beach. * * 101 *
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All of the mortgage loans purchased from Long Beach Mortgage Company have been either originated by Long Beach Mortgage Company through wholesale brokers or purchased by Long Beach Mortgage Company from approved correspondents and were underwritten or re-underwritten by Long Beach Mortgage Company generally in accordance with its underwriting guidelines as described in this prospectus supplement. * * *
Additionally, the sponsor performs a monthly ongoing performance review of previously purchased mortgage loans for trends in delinquencies, losses and repurchases. The mortgage loan sellers underwriting guidelines are reviewed for consistency with the sponsors credit parameters and conformity with the underwriting standards described under Underwriting of the Mortgage Loans below and are either approved or approved with exceptions. 241. The Offering Materials for LBMLT 2006-11, LBMLT 2006-3, LBMLT 2006-4,
LBMLT 2006-5, LBMLT 2006-6, LBMLT 2006-7, LBMLT 2006-8, WAMU 2006-AR7, WMHE 2007-HE2, WMABS 2007-HE2, WMALT 2007-HY1, and WMALT 2007-OC2 contained the same or substantially similar statements. See attached Exhibit B2. 242. The Offering Materials for JPALT 2007-A1 stated:
The Chase Originator Mortgage Loans and GreenPoint Mortgage Loans were underwritten substantially in accordance with the underwriting criteria specified in this section for such Originator. * * *
Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related Mortgaged Property as collateral * * *
The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsors
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objective of obtaining the most favorable combination of ratings on the Certificates. 243. The Offering Materials for JPALT 2006-A2, JPALT 2006-A3, JPALT 2006-A5,
JPALT 2006-A6, JPALT 2007-A7, JPALT 2007-A2, JPMAC 2006-CW1, JPMAC 2006-HE3, JPMAC 2006-NC1, JPMAC 2006-RM1, JPMAC 2006-WMC2, JPMAC 2006-WMC3, ARSI 2006-M2, ARSI 2006-W4, CBASS 2007-CB6, INDX 2006-AR29, RASC 2006-KS7, and RASC 2007-KS2 contained the same or substantially similar statements. See attached Exhibit B3. 244. Plaintiffs relied on the statements set forth above in 238-243 and the
substantially similar statements in Exhibit B1, B2, and B3 to inform themselves about the quality of the mortgage pools. The reliability of commonly used metrics to assess the risk of borrower default and the value of the mortgage collateral depended on the originators adherence to the stated loan origination and underwriting guidelines. Credit scores and loan-to-value ratios would not be reliable if the loan originators deviated from the stated loan origination and underwriting guidelines. 245. The statements set forth above at 238-243 and the substantially similar
statements in Exhibit B1, B2, and B3 were materially false and misleading. In truth, Defendants were focused on increasing the volume of their mortgage origination, securitization and RMBS underwriting practice regardless of mortgage quality, and routinely included mortgages, and sold RMBS based on mortgages, that deviated from the stated loan origination and underwriting standards. As discussed above at 88-92, 105-107, WaMu routinely originated and securitized fraudulent mortgages. JPMorgan targeted borrowers who could be persuaded to take high-risk mortgages, knowing that those borrowers were likely to default and lose their homes in the future.
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And Bear Stearns gave its sales personnel the authority to overrule determinations of credit and underwriting personnel. (Supra at 74-76) 246. Defendants knew that their own loan origination and underwriting practices, as
well as the loan origination and underwriting practices of their loan origination partners, materially decreased the quality of the mortgages backing the securitizations. Defendants
nevertheless included the resulting defective mortgages into the securitizations at issue, and sold them to Plaintiffs. In addition, Defendants knew, or at least recklessly disregarded, that the nominal third-party sponsors of the RMBS in Table 8 were securitizing defective loans into RMBS that Defendants sold to Plaintiffs. (Supra at 141; 143-172). 247. As a result of Defendants fraudulent misconduct, Plaintiffs were misled into It was
believing that the securitizations at issue were far less risky than they truly were.
reasonably foreseeable that Plaintiffs would suffer a loss as a result of their reliance on Defendants false and misleading statements. B. 248. Loan Selection and Due Diligence Practices Defendants represented that the loans in the securitizations were carefully selected
and properly underwritten. For example, the Prospectus Supplement for BSABS 2006-HE8 stated: During the underwriting process, BSRM calculates and verifies the loan applicants sources of income (except documentation types, which do not require such information to be stated or independently verified), reviews the credit history of the applicant, calculates the debt-to-income ratio to determine the applicants ability to repay the loan, and reviews the mortgaged property for compliance with the BSRM Underwriting Guidelines. * * *
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EMC Mortgage Corporation, referred to in this prospectus supplement as EMC or the sponsor, in its capacity as seller, purchased the mortgage loans directly in privately negotiated transactions. * * *
Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cashflowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase. 249. The Offering Materials for BALTA 2006-4, BALTA 2006-7, BSABS 2006-EC2,
BSABS 2006-IM1, BSABS 2007-2, SACO 2006-2, SAMI 2006-AR7, SAMI 2006-AR8, CARR 2006-NC3, CARR 2006-NC5, CARR 2006-RFC1, CARR 2007-FRE1, IMM 2007-A, IMSA 2006-2, IMSA 2007-3, MSST 2007-1, NAA 2007-3, and NCMT 2007-1 contained the same or substantially similar statements. See attached Exhibit C1. 250. The Offering Materials for WMALT 2007-OC2 stated:
For mortgage loans originated by Washington Mutual Bank, Washington Mutual Banks credit risk oversight department conducts a quality control review of statistical samplings of originated mortgage loans on a regular basis. * * *
The sponsors credit risk oversight department conducts a credit, appraisal, and compliance review of adverse samplings (and, in some cases, statistical samplings) of mortgage loans prior to purchase from unaffiliated mortgage loan sellers. Sample size is determined by due diligence results for prior purchased pools from that seller, performance of mortgage loans previously purchased and characteristics of the pool presented for purchase. * * *
The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, 105
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principal balance, credit scores and other characteristics described in Appendix B to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. 251. The Offering Materials for LBMLT 2006-11, LBMLT 2006-3, LBMLT 2006-4,
LBMLT 2006-5, LBMLT 2006-6, LBMLT 2006-7, LBMLT 2006-8, WAMU 2006-AR7, WMABS 2006-HE2, WMABS 2007-HE2, WMALT 2007-HY1, and WMHE 2007-HE2 contained the same or substantially similar statements. See attached Exhibit C2. 252. The Offering Materials for JPALT 2007-A1 stated: The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsors objective of obtaining the most favorable combination of ratings on the Certificates. 253. The Offering Materials for JPALT 2006-A2, JPALT 2006-A3, JPALT 2006-A5,
JPALT 2006-A6, JPALT 2007-A7, JPALT 2007-A2, JPMAC 2006-CW1, JPMAC 2006-HE3, JPMAC 2006-NC1, JPMAC 2006-RM1, JPMAC 2006-WMC2, JPMAC 2006-WMC3, ARSI 2006-M2, ARSI 2006-W4, CBASS 2007-CB6, INDX 2006-AR29, RASC 2006-KS7, and RASC 2007-KS2 contained the same or substantially similar statements. See attached Exhibit C3. 254. Plaintiffs relied on the statements set forth above in 248-253 and the
substantially similar statements in Exhibit C1, C2, and C3 that Defendants carefully selected loans for securitization to ensure that the Certificates were backed by mortgages that met the represented quality standards. Plaintiffs reasonably relied on Defendants representations
regarding their loan selection due diligence practices, their selection of loans for securitization, and the overall quality of the mortgages backing the securitizations when Plaintiffs purchased the Certificates. 106
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255.
The statements set forth above at 248-253 and the substantially similar
statements in Exhibit C1, C2, and C3 were materially false and misleading. WaMu had a duty to disclose that it adversely selected delinquency-prone loans on its balance sheet and offloaded them into securitizations. WaMu also failed to disclose that it securitized loans after determining that those loans were tainted by fraud. Bear Stearns and JPMorgan each failed to disclose that they waived in 50% or more of the loans which their due diligence vendor identified as fatally defective. In addition, Defendants knew, or at least recklessly disregarded, that the nominal thirdparty sponsors of the RMBS in Table 8 were securitizing defective loans into RMBS that Defendants sold to Plaintiffs. (Supra at 141; 143-172). 256. Defendants knew, or at least recklessly disregarded, that the loan selection and due
diligence practices that were used materially decreased the quality of the mortgage pools backing the securitizations at issue. Defendants misrepresentations and material omissions concerning the loan selection and due diligence practices rendered the Offering Materials false and misleading. As a result, Plaintiffs were misled into believing that the securitizations at issue were far less risky than they truly were. It was reasonably foreseeable that Plaintiffs would suffer a loss as a result of their reliance on the information provided by Defendants. C. 257. Defendants False and Misleading Statements Regarding the Risk of Default In the Offering Materials, Defendants provided detailed and quantitative For each mortgage pool, the Offering
information describing the risk of borrower default.
Materials described average borrower credit scores, occupancy rates, level of EPDs, and loan documentation. Defendants statements were false and misleading, and materially understated the risk of default.
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1. 258.
Borrower Credit Quality
Defendants made affirmative representations about the credit quality of the
borrowers whose mortgages Defendants selected for securitization. For example, the Prospectus Supplement for JPALT 2007-A1 stated that: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Credit scores are generated by models developed by third party credit reporting organizations which analyzed data on consumers in order to establish patterns which are believed to be indicative of a borrowers probability of default. * * *
259.
The Offering Materials for the other securitizations at issue contained the same or
substantially similar statements. See attached Exhibit D. 260. Plaintiffs relied on the statements set forth above at 258-259 and the
substantially similar statements in Exhibit D to assess the credit quality of the borrowers in the mortgage pools and to make their investment decision.
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261.
The statements set forth above at 258-259 and the substantially similar
statements in Exhibit D were materially false and misleading. In truth, JPMorgan had loosened its underwriting standards and purposefully steered borrowers to high-risk mortgages that JPMorgan would securitize and sell to investors, knowing that they were likely to default. CW 10, a former senior underwriter at WaMu from November 2004 through April 2007, stated that WaMu granted a significant amount of loans to borrowers without establishing their credit score if they provided three alternative trade lines, such as a note from a person claiming the borrower had repaid a personal debt. Bear Stearns had a policy to quickly securitize mortgages regardless of the credit quality of the borrowers, expressly instructing its due diligence vendor not to verify credit scores. (Supra at 55-60). The Atlantic reported on May 14, 2010, that Bear Stearns encouraged EMC personnel to just make up data like FICO scores if the lenders they purchased the loans in bulk from wouldnt get back to them promptly. In addition, JPMorgan and Bear Stearns waived in 50% or more of loans that their own due diligence vendor found fatally defective, including loans originated pursuant to Countrywides policy of accepting any loan that could be sold into a securitization, and loans originated by WMC after an internal audit had determined that 78% of the loans were fraudulent. (Supra at 73, 137, 175, 195). 262. Defendants knew, or at least recklessly disregarded, that the loan origination and
securitization practices that were used to create the Certificates caused the credit quality of the borrowers of the mortgages in the underlying mortgage pools to be much lower than represented in the Offering Materials. As a result, Plaintiffs were misled into believing that the securitizations at issue were far less risky than they truly were. Moreover, it was foreseeable that Plaintiffs
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would suffer a loss as a result of their reliance on the false and misleading information provided by Defendants. 2. 263. Occupancy Rates
Defendants made affirmative representations about the occupancy rates of the
collateral. Occupancy rates indicate whether the residence that serves as the collateral for the mortgage is the primary residence of the borrower, a second home or an investment property. Plaintiffs relied on Defendants representations because borrowers who occupy the property forming the collateral for the mortgage homes are less likely to default on their mortgage payments than borrowers who took out mortgages for a second home or for investment purposes. Moreover, small differences in the percentage of owner occupied residences securing the mortgages in the pool can have a significant effect on the overall risk of the securitization. 264. The Offering Materials for each securitization at issue represented the percentage
of the mortgage loans for each category: (i) primary residence or owner occupied; (ii) second home or secondary residence; and (iii) investment or non-owner occupied. For example, the Prospectus Supplement for BSABS 2006-EC2 stated:
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265.
substantially similar statements. See attached Exhibit E. 266. Plaintiffs relied on the statements set forth above at 264-265 and the
substantially similar statements in Exhibit E to assess the credit risk of the mortgage pool backing the RMBS and to make their investment decision. 267. The statements set forth above at 264-265 and the substantially similar
statements in Exhibit E materially overstated the percentage of mortgages that were secured by owner occupied residences, and thereby materially understated the credit risk of the RMBS at issue. Defendants did not disclose that no due diligence was done on the vast majority of the loans included in the securitizations at issue, including New Century loans that could have been approved in 12 seconds or less, and ResMAE loans where the property didnt even exist, it was like a vacant lot, but yet we had an address and pictures. (Supra at 181, 201). In addition, Bear Stearns did not disclose that it expressly instructed its due diligence vendor that occupancy misrepresentations were not a securitization breach, and ordered the vendor not to verify the occupancy status and not to order occupancy inspections. (Supra at 68). 268. Defendants knew that their loan origination and securitization practices materially
increased the risk that the mortgage pools backing the Certificates included many more mortgages that were not secured by an owner-occupied home than represented in the Offering Materials. As a result, Plaintiffs were misled into believing that the securitizations at issue were far less risky than they truly were. It was foreseeable that Plaintiffs would suffer a loss as a result of their reliance on the owner-occupancy information provided by Defendants.
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3. 269.
Early Payment Defaults
Bear Stearns Offering Materials represented that none of mortgages supporting the
RMBS were in default at the time of the securitization. For example, the BSABS 2006-EC2 Prospectus Supplement stated that As of the cut-off Date, no scheduled payment on any mortgage loan was more than 30 days past due and no scheduled payment on any mortgage loan has been more than 30 days past due since origination. The Offering Materials for the other Bear Stearns securitizations contained the same or substantially similar statements. See attached Exhibit F. 270. Plaintiffs relied on the statements set forth above at 269 and the substantially
similar statements in Exhibit F to assess the credit risk of the mortgage pools backing the Bear Stearns RMBS and to make their investment decision. 271. The statements set forth above at 269 and the substantially similar statements in
Exhibit F were materially false and misleading. Having chosen to speak about the level of defaults in the mortgage pools, Bear Stearns had a duty to speak fully and truthfully on that subject. Thus, Bear Stearns had a duty to disclose that it had changed its policy to quickly securitize mortgages before expiration of the early payment default period. Bear Stearns knew that this change in policy materially increased the risk that its securitizations would suffer from default and termination events, and would suffer losses. Bear Stearns failure to disclose these facts rendered the Offering Materials false and misleading. As a result, Plaintiffs were misled into believing that the Bear Stearns securitizations at issue were far less risky than they truly were.
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D. 272.
Defendants False and Misleading Statements Concerning the Value of the Mortgage Collateral The value of the collateral determines the risk of loss in case of borrower default
and is critically important to investors. Property valuations are the denominator in the loan-tovalue ratio, which is a key criterion for assessing the risk of loss. Higher loan-to-value ratios correspond to lower borrower equity in the home, and therefore: (i) less equity that can be used to avoid losses to the mortgage pool backing the securitization; and (ii) lower borrower incentives to continue to make their mortgage payments. 273. To induce Plaintiffs and other investors to purchase the RMBS, Defendants made
affirmative representations about the value of the collateral, including loan-to-value ratios, and the independence of the appraisers who prepared the appraisals. For example, the JPALT 2006-3 prospectus supplement stated: The weighted average Loan-to-Value Ratio at origination of the Pool 1 Mortgage Loans is approximately 76.03%, and no Pool 1 Mortgage Loan had a Loan-toValue Ratio at origination exceeding 100.00%. * * * The adequacy of the mortgaged property as security for repayment of the related mortgage loan will generally have been determined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and/or Freddie Mac. Appraisers may be staff appraisers employed by the originator or independent appraisers selected in accordance with preestablished appraisal procedure guidelines established by the originator. The appraisal procedure guidelines generally will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed.. * * *
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CHF requires an appraisal to be made of each property to be financed. The appraisal is conducted by an independent fee appraiser. The person conducting the appraisal personally visits the property and estimates its market value on the basis of comparable properties. The independent appraisers do not receive any compensation dependent upon either the amount of the loan or its consummation. In normal practice, for purchaser transactions, the lower of purchase price or appraised value determines the maximum amount which will be advanced against the property. For refinances, generally the appraised value would be used. 274. The Offering Materials for the other securitizations at issue contained the same or
substantially similar statements. See attached Exhibit G. 275. Defendants represented to Plaintiffs and other investors that mortgages with loan-
to-value ratios exceeding 80% were carefully restricted to borrowers who were particularly creditworthy and presented a low risk of default, because there would be limited recovery in case of default. Mortgages with loan-to-value ratios exceeding 100% would provide no recovery in case of default. For example, the BALTA 2006-4 prospectus supplement stated that High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. The Offering Materials for the other securitizations at issue contained the same or substantially similar statements. See attached Exhibit G. 276. Plaintiffs relied on the statements set forth above in 273-275 and the
substantially similar statements in Exhibit G to assess the risk of loss in case of borrower default and to make their investment decision. 277. The statements set forth above in 273-275 and the substantially similar
statements in Exhibit G materially overstated the value of the collateral securing the mortgages backing the RMBS, and thereby materially understated the risk of loss in case of borrower default. Defendants did not disclose that no due diligence was done on the vast majority of the loans included in the securitizations at issue. Defendants also did not disclose WaMus policy to 114
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blacklist appraisers who refused to artificially inflate the collateral value, or that appraisers increased the stated appraisal value 80% of the time that WaMu requested a Reconsideration of Value. (Supra at 101). Similarly, Bear Stearns did not disclose that it expressly instructed its due diligence vendor not to review appraisals, or that it frequently postponed all due diligence until after the loans were purchased and securitized. (Supra at 67-70). 278. Defendants knew, or recklessly disregarded, that their loan origination and
securitization practices increased the risk that the mortgage pools backing the Certificates would suffer losses in case of borrower default and that their Offering Materials materially understated the LTV ratios of the mortgages backing the securitizations. It was foreseeable that Plaintiffs would suffer a loss as a result of their reliance on the information about the value of the collateral that Defendants provided in the Offering Materials. E. 279. Defendants False and Misleading Statements Concerning the Credit Ratings In the Offering Materials, Defendants represented that the RMBS purchased by
Plaintiffs had been rated AAA by two Credit Rating Agencies, signifying that the risk of loss was virtually non-existent. For example, the SAMI 2006-AR7 Prospectus Supplement stated that the credit ratings address the likelihood of the receipt by certificateholders of all distributions to which the certificateholders are entitled, and that: It is a condition to the issuance of each class of Offered Certificates that it receives at least the ratings set forth below from S&P and Moodys:
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280.
substantially similar statements. See attached Exhibit H. 281. Defendants also represented that the CRAs made their determinations on an
independent basis. The WMABS 2006-HE2 Prospectus Supplement stated: The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of that class of certificates. 282. The Offering Materials for LBMLT 2006-3, LBMLT 2006-4, LBMLT 2006-5,
LBMLT 2006-6, LBMLT 2006-7, LBMLT 2006-8, LBMLT 2006-11, WAMU 2006-AR7, WMABS 2007-HE2, WMALT 2007-HY1, WMALT 2007-OC2, and WMHE 2007-HE2 contained the same or substantially similar statements. See attached Exhibit H. 116
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283.
Plaintiffs relied on the statements set forth above in 279-282, and the
substantially similar statements in Exhibit H, to inform themselves about the accuracy and reliability of the credit ratings assigned to the RMBS they purchased, and to make their investment decision. 284. The statements set forth above at 279-282 and the substantially similar
statements in Exhibit in H were materially false and misleading. Defendants pressured CRAs to provide them with AAA-ratings and threatened to use a different CRA if they did not receive the desired rating. Defendants also did not disclose to the CRAs that they deliberately undermined the due diligence process and waived in loans that had been rejected in third-party due diligence reviews because of credit and compliance defects. This was material information for the CRAs, and it was reasonably foreseeable that Plaintiffs and other investors who purchased the RMBS would suffer losses as a result of Defendants practices. VI. PLAINTIFFS REASONABLY RELIED ON DEFENDANTS REPRESENTATIONS 285. Plaintiffs relied on Defendants false representations and omissions in the Offering
Materials regarding the loan origination, underwriting and securitization practices that were used for creating the Certificates and the underlying loans pools. But for Defendants fraudulent representations and omissions, Plaintiffs would not have purchased the RMBS. 286. Certificates. Plaintiff FSAM made all of the investment purchase decisions concerning the FSAM followed detailed guidelines and criteria when making the investment
decisions, including Underwriting Guidelines with specific investment requirements, guidelines, and limitations that were applied by FSAM personnel to determine whether RMBS were appropriate investment decisions. These Underwriting Guidelines were regularly updated
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between 2005 and 2007, and provided, inter alia, the applicable investment process, the types of securities that could by purchased, the minimum credit rating requirements, and the approval process. At all relevant times, FSAM undertook a credit analysis of RMBS pursuant to
Underwriting Guidelines requiring FSAM personnel to: x x x x 287. Focus on adequacy of the collateral cashflows to repay the bond; Estimate expected loss of underlying collateral Estimate value of credit protection. Account for all forms of protection such as subordination, overcollateralization, excess spread, insurance, etc. and Measure the adequacy of identified credit protection by analyzing underlying bond structure, particularly cashflow, waterfall and performance triggers. Plaintiff FSAM performed its investment and credit analyses as part of the
investment decisions for all RMBS at issue. FSAMs investment and credit analyses were based on information provided by Defendants with respect to both the credit characteristics of the mortgage loan pool (including, for example, borrower characteristics, collateral value and owneroccupancy rates), and the structure of the securitization with respect to the seniority and risk characteristics of the particular tranche of RMBS (including, for example, the credit rating of the Certificate, the level of subordination, and position in the payment waterfall). FSAMs focus throughout this review was on the quality characteristics of the underlying collateral, the originators of the underlying loans, and the credit ratings assigned to the Certificates. 288. Plaintiffs reasonably relied on Defendants representations in the Offering
Materials to implement the applicable Underwriting Guidelines, and to make investment decisions to purchase the RMBS at issue. Plaintiffs did not know, and could not have known, that: (i) WaMu was securitizing fraudulent mortgages and mortgages that were deliberately selected because WaMu expected them to become delinquent; (ii) Bear Stearns had changed its EPD 118
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policy and was knowingly including poor quality loans into its securitizations; (iii) Defendants were manipulating the credit ratings; (iv) Defendants knew or at least recklessly disregarded the materially inadequate securitization practices of the nominal third-party sponsors of the RMBS in Table 8; and (v) Defendants knew or at least recklessly disregarded systematic noncompliance by loan originators with stated underwriting and appraisal standards. If Plaintiffs had known these and other material facts regarding Defendants fraudulent misrepresentations and omissions of material fact contained in the Offering Materials, Plaintiffs would not have purchased the RMBS. 289. Defendants misrepresentations and omissions caused Plaintiffs to make
investment decisions based on materially false information and suffer losses because the Certificates were far riskierand the mortgage default and loss rates far higherthan Defendants represented them to be. As a result, Plaintiffs paid substantially more for the RMBS than they were actually worth. VII. ADDITIONAL ALLEGATIONS DEMONSTRATING SCIENTER 290. In addition to the facts alleged above, numerous additional facts establish that
Defendants misstatements about the quality of the mortgage pools backing the RMBS at issue were intentional and reckless, including the facts that: (1) Defendants were all securitization experts with many years of experience in creating, issuing, and selling mortgage-backed securities; (2) the fraud was both massive and lengthy, taking place over a number of years, and resulting in massive losses threatening the global financial system; (3) numerous confidential witnesses have confirmed that Defendants were well aware of the improper origination and securitization practices; (4) Defendants reaped enormous profits from the fraud by creating, issuing and selling RMBS at artificially inflated prices, deriving millions of dollars in illicit
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proceeds; and (5) Bear Stearns deliberately purged its records from the audit trail showing how many fatally flawed mortgages its due diligence vendor identified for each mortgage pool. These facts are discussed in more detail below. A. 291. Defendants Are Securitization Experts Who Consciously Included Poor Quality Loans in the Securitizations As discussed in detail above, the fundamental principle at issue in this case is
straightforward: any investment bank that creates, issues, and sells mortgage-backed securities is paid to act as a gatekeeper when it selects loans for securitization, and must provide accurate information concerning the mortgage pools to investors and the credit rating agencies. Unlike Defendants, Plaintiffs and the credit rating agencies did not have access to the loan files or the due diligence results, and could not independently verify Defendants representations about the quality of the mortgages backing the RMBS at issue. 292. Defendants are sophisticated financial institutions who collectively securitized at
least $325 billion of mortgages from 2005 to 2007. During this time, Defendants were active in every aspect of the mortgage securitization business, including loan origination and underwriting, creating and issuing RMBS, and underwriting and selling RMBS to investors. Defendants had separate mortgage trading, RMBS structuring, and RMBS underwriting groups, each employing highly qualified personnel specialized in creating, issuing and underwriting RMBS securitizations. 293. Given their extensive professional securitization experience, it is not plausible that
Defendants inadvertently subverted the entire securitization process by including numerous fraudulent and toxic mortgages into the mortgage pools backing the RMBS at issue. As CW 5, a former due diligence underwriter at Clayton and Bohan, explained, Defendants knew that they were securitizing poor quality loans for securitization, but were playing a game of financial hot 120
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potato. Former Chase Home Finance vice-president, James Theckston, similarly stated that the bigwigs knew that they were taking improper shortcuts, but they figured were going to make billions out of it, so who cares? The government is going to bail us out. And the problem loans will be out of here, maybe even overseas. B. 294. Numerous Confidential Witnesses Confirm that Defendants Deliberately Securitized Poor Quality Loans Numerous former employees who worked for Defendants during the relevant time
period and who have direct knowledge of Defendants origination and securitization practices have independently confirmed Defendants fraudulent practices. CW 1, an associate vice-
president at EMC from 1998 through 2008 in Fort Worth, Texas, CW 2, an assistant underwriting manager at EMC from June 2006 through May 2008 in Texas, CW 3, a senior underwriter at Bear Stearns, EMC and JPMorgan in Dallas, Texas from March 2000 through February 2009, CW 4, an auditor at EMC from August 2005 through October 2007 in Lewisville, Texas, and CW 5, a due diligence underwriter in Stamford, Connecticut and Irvine, California, described Bear Stearns deliberate strategy to quickly securitize loans before expiration of the EPD period and, once default risks were transferred to unsuspecting investors like Plaintiffs, Bear Stearns deliberate actions to undermine the due diligence process in order to increase volume regardless of mortgage quality. As CW 4 stated, the Bear Stearns mindset was the more volume, the more money. These confidential witnesses further described Bear Stearns state of the art tracking system to track the loans it purchased, and its use in demanding down bids from originators for low quality loans that Bear Stearns had already sold to investors in securitizations. 295. CW 6, a senior underwriter, credit risk manager, and credit quality manager at
WaMu from April 2003 through February 2008, CW 7, a senior loan consultant at WaMu from 121
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September 2005 through December 2007 in Riverside, California, CW 8, a loan closing coordinator at WaMu from June 2003 through July 2007 in Bethel Park, Pennsylvania, CW 9, a senior loan coordinator at WaMu from November 2006 through June 2007 in San Antonio, Texas, CW 10, a senior underwriter at WaMu from November 2004 through April 2007 in Dallas, Texas, CW 11, a senior loan coordinator and mortgage processor at WaMu from March 2007 through December 2007 in Jacksonville, Florida, CW 12, a senior underwriter at Long Beach from April 2004 through September 2007 in Illinois, CW 13, a mortgage underwriter at Long Beach from 2003 through December 2006 in Lake Oswego, Oregon, CW 14, a senior underwriter at WaMu from July 2003 through September 2007 in Livermore, California, CW 15, a chief appraiser at WaMu from 1990 through February 2002 in Seattle, Washington, CW 16, a loan coordinator at WaMu from July 2005 through September 2007 in Jacksonville, Florida, CW 17, an appraisal coordinator at WaMu from December 2001 through October 2006 in Florida, and CW 18, a loan consultant at WaMu from September 2003 through November 2005 in Largo, Maryland, described WaMus deliberate strategy to originate and securitize mortgages regardless of their quality, resulting in the securitization of fraudulent and poor quality loans. This strategy included pressuring appraisers to increase the appraised value of the collateral, incentivizing employees with higher compensation for originating high risk loans, and extra commissions for teaser rate loans that were more likely to default. As CW 12 stated, WaMu created a companywide culture of push, push, push to close loans and to do whatever it took to make that happen. 296. CW 19, a senior mortgage underwriter at Chase Home Finance in Fort Washington,
Pennsylvania from 2002 through 2008, CW 20, a senior mortgage underwriter at Chase Home Finance in Covina, California from March 2002 through January 2008, CW 21, a senior mortgage
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processor and junior underwriter at Chase Home Finance from December 2002 through October 2007, CW 22, a mortgage funder at Chase Home Finance in Thousand Oaks, CA from 2002 through 2007, CW 23, a lending specialist and loan officer at Chase Home Finance in Fort Washington, Pennsylvania from October 2005 through 2008 described JPMorgans deliberate practices of originating and securitizing poor quality mortgages to catch up with JPMorgans competition, including by steering borrowers to high risk mortgages, loosening the underwriting standards, and encouraging the falsification of loan applications. As CW 23 stated, As the market was changing, we would investigate to find out what our competitors were doing, and wed try to do it too. C. 297. Defendants Profited Enormously from their Fraud Defendants profited from every step of the defective securitization process: (i) loan
origination fees; (ii) profits on sale of the loans to the securitization trusts; and (iii) fees from underwriting the mortgage-backed securities. Defendants profits increased when the number of originated and securitized loans increased. However, Defendants suffered no downside for
originating and securitizing poor quality loans because they passed on the default and loss risks to Plaintiffs and other investors who purchased their RMBS. 298. Defendants reaped enormous profits from securitizing and selling poor-quality
loans to unsuspecting investors. Indeed, by serving as the depositor and underwriter, Defendants obtained tens of millions of dollars in fees for the securitizations at issue in this case. By serving as the sponsor and depositor for many of the securitizations, Defendants earned even more. D. 299. Bear Stearns Deliberately Purged Its Due Diligence Records Bear Stearns interacted with its due diligence vendors, including Clayton,
throughout the loan acquisition process. As discussed above at 49, Clayton sent Bear Stearns 123
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individual asset summary reports showing which loans were defective on a daily basis. Defendants would discuss these defective loans with the due diligence vendor in an iterative process to determine whether defective loans should be included in the pool, with Bear Stearns making the final determination. At the end of the loan acquisition and due diligence process, the due diligence vendor would send a final report, showing the number of loans that were included in the acquired mortgage pool. 300. Discovery in other litigation has recently revealed that Bear Stearns implemented a
standing policy to purge and destroy the daily individual asset summary reports once the loans were acquired, leaving only the final report in the deal file. As Bear Stearns co-head of mortgage finance, Mary Haggerty, acknowledged in a deposition, this final report did not show how many loans the due diligence vendor had initially identified as materially defective, the back and forth communications with the due diligence vendor, or how many loans were included in the pool because Defendants overruled the due diligence vendors determination that a loan was fatally defective. 301. Bear Stearns decision to systematically purge the audit trail showing how many
loans its due diligence providers identified as fatally defective before Bear Stearns purchased and securitized them is extremely troubling. Most plausibly, Bear Stearns was destroying evidence of its fraudulent loan origination and securitization policies in anticipation of enormous losses once the truth began to emerge. VIII. PLAINTIFFS SUFFERED LOSSES BECAUSE OF DEFENDANTS FRAUDULENT CONDUCT 302. Defendants fraudulent practices caused Plaintiffs RMBS to be much riskier than
represented at the time of issuance. As a result, the true value of the RMBS was much less than 124
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the amount Plaintiffs paid at the time of purchase. All of the RMBS purchased by Plaintiffs were rated high grade investment grade securities, and most were rated AAA/Aaa. Virtually all of the RMBS purchased by Plaintiffs have since been downgraded to junk. 303. As discussed above, Defendants misconduct caused the mortgage pools supporting
the RMBS to be much riskier than disclosed to Plaintiffs or the credit rating agencies, and the delinquency and foreclosure rates on the underlying mortgages have soared since issuance. As of March 2012, over 41% of the loans backing the RMBS that Plaintiffs purchased were over 60- or 90-days delinquent, in foreclosure, bankruptcy, or repossession. The delinquency and foreclosure rates are all the more remarkable because they do not include loans that were already foreclosed upon since issuance and that are therefore no longer included within the loan pools. IX. CAUSES OF ACTION FIRST CAUSE OF ACTION (Common Law Fraud against the Bear Stearns Defendants) 304. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs,
as if fully set forth herein. 305. As alleged above, the Bear Stearns Defendants made fraudulent and false
statements of material fact, and omitted material facts necessary to make their statements in their Offering Materials not misleading. 306. As a corporate parent, Defendant The Bear Stearns Companies, Inc. directed the
activities of its wholly-owned and controlled subsidiaries Bear, Stearns & Co., EMC Mortgage, SAMI II, and BSABS I (collectively Bear Stearns Subsidiaries). All profits generated by the Bear Stearns Subsidiaries accrued to the benefit of Defendant The Bear Stearns Companies, Inc. An organizational chart of the Bear Stearns Defendants is set forth below:
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Defendant The Bear Stearns Companies, Inc.
Defendant EMC Mortgage (RMBS sponsor)
Defendant SAMI II (RMBS depositor)
Defendant BSABS I (RMBS depositor)
Defendant Bear, Stearns & Co. Inc. (RMBS underwriter)
307.
Defendant The Bear Stearns Companies, Inc. used its control over the Bear Stearns
Subsidiaries to commit the fraudulent misconduct alleged herein, thereby causing Plaintiffs damages. 308. The Bear Stearns Defendants knew at the time they sold and marketed BALTA
2006-4, BALTA 2006-7, BSABS 2006-EC2, BSABS 2006-HE8, BSABS 2006-IM1, BSABS 2007-2, SACO 2006-2, SAMI 2006-AR7, SAMI 2006-AR8, CARR 2006-NC3, CARR 2006NC5, CARR 2006-RFC1, CARR 2007-FRE1, IMM 2007-A, IMSA 2006-2, IMSA 2007-3, MSST 2007-1, NAA 2007-3, and NCMT 2007-1 (the Bear Stearns RMBS) that the foregoing statements were false or, at the very least, made recklessly, without any belief in the truth of the statements. The Bear Stearns Defendants made these materially false and misleading statements and omissions for the purpose of inducing Plaintiffs to purchase its Certificates in the Bear Stearns RMBS, and it was foreseeable that Plaintiffs would suffer damages as a result. Furthermore, these statements related to these Defendants own acts and omissions. 309. The Bear Stearns Defendants knew or recklessly disregarded that investors,
including Plaintiffs, were relying on their securitization expertise and non-public knowledge of the mortgage pools supporting the Certificates. The Bear Stearns Defendants encouraged such
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reliance through the Offering Materials and their public representations, as described herein. 310. The Bear Stearns Defendants knew or recklessly disregarded that investors like
Plaintiffs would rely upon their representations in connection with their decision to purchase the Certificates. Defendants were in a position of unique and superior knowledge regarding the true facts concerning the foregoing material misrepresentations and omissions. It was only by making such misrepresentations and by omitting material information that Defendants were able to induce Plaintiffs to buy the Certificates. Plaintiffs would not have purchased or otherwise acquired the Certificates but for these Defendants fraudulent representations and omissions about the quality of the Certificates in the Bear Stearns RMBS. 311. Plaintiffs justifiably, reasonably and foreseeably relied upon the Bear Stearns
Defendants false and misleading statements regarding the quality of the Bear Stearns RMBS. 312. As a result of the Bear Stearns Defendants false and misleading statements and
omissions, as alleged herein, Plaintiffs purchased Certificates that were worth far less than what they paid for them, and have suffered substantial damages. SECOND CAUSE OF ACTION (Common Law Fraud against the JPMorgan Defendants) 313. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs,
as if fully set forth herein. 314. As alleged above, the JPMorgan Defendants made fraudulent and false statements
of material fact, and omitted material facts necessary in order to make their statements in the Offering Materials not misleading. 315. As a corporate parent, Defendant JPMorgan Chase & Co. directed the activities of
its wholly-owned and controlled subsidiaries JPMorgan Chase Bank, N.A., J.P. Morgan Securities 127
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LLC, JPMorgan Mortgage and J.P. Morgan Acceptance Corporation I (collectively JPMorgan Subsidiaries). All profits generated by the JPMorgan Subsidiaries accrued to the benefit of Defendant JPMorgan Chase & Co. An organizational chart of the JPMorgan Defendants is set forth below:
Defendant JPMorgan Chase & Co.
Defendant JPMorgan Chase Bank
Non-Party JPMorgan Securities Holdings LLC
Defendant JPMorgan Securities (RMBS Underwriter)
Defendant JPMorgan Mortgage (RMBS Sponsor)
Defendant JPM Accept. I (RMBS Depositor)
316.
Defendant JPMorgan Chase & Co. used its control over the JPMorgan Subsidiaries
to commit the fraudulent misconduct alleged herein, thereby causing Plaintiffs damages. 317. The JPMorgan Defendants knew at the time they sold and marketed JPALT 2006-
A2, JPALT 2006-A3, JPALT 2006-A5, JPALT 2006-A6, JPALT 2007-A7, JPALT 2007-A1, JPALT 2007-A2, JPMAC 2006-CW1, JPMAC 2006-HE3, JPMAC 2006-NC1, JPMAC 2006RM1, JPMAC 2006-WMC2, JPMAC 2006-WMC3, ARSI 2006-M2, ARSI 2006-W4, CBASS 2007-CB6, INDX 2006-AR29, RASC 2006-KS7, and RASC 2007-KS2 (the JPMorgan RMBS) 128
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that the foregoing statements were false or, at the very least, made recklessly, without any belief in the truth of the statements. The JPMorgan Defendants made these materially false and
misleading statements and omissions for the purpose of inducing Plaintiffs to purchase the JPMorgan RMBS, and it was foreseeable that Plaintiffs would suffer damages as a result. Furthermore, these statements related to these Defendants own acts and omissions. 318. The JPMorgan Defendants knew or recklessly disregarded that investors, including
Plaintiffs, were relying on their securitization expertise and non-public knowledge of the mortgage pools supporting the Certificates. The JPMorgan Defendants encouraged such reliance through the Offering Materials and their public representations, as described herein. 319. The JPMorgan Defendants knew or recklessly disregarded that investors like
Plaintiffs would rely upon their representations in connection with their decision to purchase the Certificates. Defendants were in a position of unique and superior knowledge regarding the true facts concerning the foregoing material misrepresentations and omissions. It was only by making such misrepresentations that the JPMorgan Defendants were able to induce Plaintiffs to buy its Certificates in the JPMorgan RMBS. Plaintiffs would not have purchased or otherwise acquired the Certificates but for these Defendants fraudulent representations and omissions about the quality of the Certificates. 320. Plaintiffs justifiably, reasonably and foreseeably relied upon the JPMorgan
Defendants representations and false statements regarding the quality of the JPMorgan RMBS. 321. As a result of the JPMorgan Defendants false and misleading statements and
omissions, as alleged herein, Plaintiffs purchased Certificates that were worth far less than what they paid for them and have suffered substantial damages.
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THIRD CAUSE OF ACTION (Common Law Fraud against the WaMu Defendants) 322. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs,
as if fully set forth herein. 323. The WaMu Defendants knew at the time they sold and marketed LBMLT 2006-11,
LBMLT 2006-3, LBMLT 2006-4, LBMLT 2006-5, LBMLT 2006-6, LBMLT 2006-7, LBMLT 2006-8, WAMU 2006-AR7, WMABS 2006-HE2, WMABS 2007-HE2, WMALT 2007-HY1, WMALT 2007-OC2, and WMHE 2007-HE2 (the WaMu RMBS) that the foregoing statements were false or, at the very least, made recklessly without any belief in the truth of the statements. The WaMu Defendants made these materially false and misleading statements and omissions for the purpose of inducing Plaintiffs to purchase its Certificates in the WaMu RMBS. Furthermore, these statements related to these Defendants own acts and omissions. 324. The WaMu Defendants knew or recklessly disregarded that investors, including
Plaintiffs, were relying on their securitization expertise and non-public knowledge of the mortgage pools supporting the Certificates. The WaMu Defendants encouraged such reliance through the Offering Materials and their public representations, as described herein. 325. The WaMu Defendants knew or recklessly disregarded that investors like Plaintiffs
would rely upon their representations in connection with their decision to purchase the Certificates. Defendants were in a position of unique and superior knowledge regarding the true facts concerning the foregoing material misrepresentations and omissions. It was only by making such misrepresentations that the WaMu Defendants were able to induce Plaintiffs to buy its Certificates in the WaMu RMBS. Plaintiffs would not have purchased or otherwise acquired the
130
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Certificates but for these Defendants fraudulent representations and omissions about the quality of the Certificates. 326. Plaintiffs justifiably, reasonably and foreseeably relied upon the WaMu
Defendants representations and false statements regarding the quality of the WaMu RMBS. 327. As a result of the WaMu defendants false and misleading statements and
omissions, as alleged herein, Plaintiffs purchased Certificates that were worth far less than what they paid for them and have suffered substantial damages. FOURTH CAUSE OF ACTION (Fraudulent Inducement against The Bear Stearns Companies, Inc. and Bear, Stearns & Co., Inc.) 328. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs as
if set forth herein. 329. Defendant The Bear Stearns Companies, Inc. directed the activities of the Bear
Stearns Subsidiaries, including RMBS underwriter Defendant Bear, Stearns & Co. All profits generated by the Bear Stearns Subsidiaries accrued to the benefit of Defendant The Bear Stearns Companies, Inc. Defendant The Bear Stearns Companies, Inc. used its control over the Bear Stearns Subsidiaries to commit the fraudulent inducement alleged herein, thereby causing Plaintiffs damages. 330. As alleged above, in the Offering Materials and in other communications to
Plaintiffs, Defendant Bear, Stearns & Co., Inc. made false and misleading statements of material fact, and omitted material facts necessary in order to make their statements, in light of the circumstances under which the statements were made, not misleading. Defendant Bear, Stearns & Co., Inc. knew at the time it sold and marketed each of the Bear Stearns RMBS that the foregoing
131
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statements were false, or at the very least, made recklessly, without any belief in the truth of the statements. 331. Defendant Bear, Stearns & Co., Inc. made these materially misleading statements
and omissions for the purpose of inducing Plaintiffs to purchase the Bear Stearns RMBS. Furthermore, these statements related to the acts and omissions of Defendant Bear, Stearns & Co., Inc. and its affiliates. 332. Defendant Bear, Stearns & Co., Inc. knew that, unlike Plaintiffs, it had exclusive
access to critical information about the quality of the mortgage pools supporting the Bear Stearns RMBS, including access to the loan files and the due diligence results. Defendant Bear, Stearns & Co., Inc. was in a position of unique and superior knowledge regarding the true facts concerning the foregoing material misrepresentations and omissions. 333. Defendant Bear, Stearns & Co., Inc. knew that it had a greater level of expertise
than Plaintiffs with respect to the Bear Stearns RMBS. 334. Defendant Bear, Stearns & Co., Inc. knew that Plaintiffs relied on its
representations concerning the Bear Stearns RMBS in connection with the decision to purchase its Certificates, and Bear, Stearns & Co., Inc. encouraged such reliance through its representations, as described herein. 335. It was only by making such representations that Defendant Bear, Stearns & Co.,
Inc. was able to induce Plaintiffs to buy the Bear Stearns RMBS. Plaintiffs would not have purchased or otherwise acquired those RMBS but for Defendants fraudulent representations and omissions about the quality of the Bear Stearns RMBS. 336. By virtue of Bear, Stearns & Co., Inc.s false and misleading statements and
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omissions, as alleged herein, Plaintiffs purchased Certificates that were worth far less than what they paid for them and have suffered substantial damages. Plaintiffs are also entitled to a
rescission of the sale of the Bear Stearns RMBS or to rescissory damages. FIFTH CAUSE OF ACTION (Fraudulent Inducement against the JPMorgan Chase & Co. and JPMorgan Securities) 337. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs as
if set forth herein. 338. Defendant JPMorgan Chase & Co. directed the activities of the JPMorgan
Subsidiaries, including RMBS underwriter Defendant JPMorgan Securities. All profits generated by the JPMorgan Subsidiaries accrued to the benefit of Defendant JPMorgan Chase & Co. Defendant JPMorgan Chase & Co. used its control over the JPMorgan Subsidiaries to commit the fraudulent inducement alleged herein, thereby causing Plaintiffs damages. 339. As alleged above, in the Offering Materials and in other communications to
Plaintiffs, Defendant JPMorgan Securities made false and misleading statements of material fact, and omitted material facts necessary in order to make their statements, in light of the circumstances under which the statements were made, not misleading. Defendant JPMorgan Securities knew at the time it sold and marketed each of the JPMorgan RMBS that the foregoing statements were false, or at the very least, made recklessly, without any belief in the truth of the statements. 340. Defendant JPMorgan Securities made these materially misleading statements and
omissions for the purpose of inducing Plaintiffs to purchase the JPMorgan RMBS. Furthermore, these statements related to the acts and omissions of Defendant JPMorgan Securities and its affiliates. 133
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341.
Defendant JPMorgan Securities knew that, unlike Plaintiffs, it had exclusive access
to critical information about the quality of the mortgage pools supporting the JPMorgan RMBS, including access to the loan files and the due diligence results. Defendant JPMorgan Securities was in a position of unique and superior knowledge regarding the true facts concerning the foregoing material misrepresentations and omissions. 342. Defendant JPMorgan Securities knew that it had a greater level of expertise than
Plaintiffs with respect to the JPMorgan RMBS. 343. Defendant JPMorgan Securities knew that Plaintiffs relied on its representations
concerning the JPMorgan RMBS in connection with their decision to purchase the Certificates, and JPMorgan Securities encouraged such reliance through its representations, as described herein. 344. It was only by making such representations that Defendant JPMorgan Securities
was able to induce Plaintiffs to buy the JPMorgan RMBS. Plaintiffs would not have purchased or otherwise acquired the JPMorgan RMBS but for Defendants fraudulent representations and omissions about the quality of those RMBS. 345. By virtue of Defendant JPMorgan Securitiess false and misleading statements and
omissions, as alleged herein, Plaintiffs purchased Certificates that were worth far less than what they paid for them and have suffered substantial damages. Plaintiffs are also entitled to a
rescission of the sale of the JPMorgan RMBS or to rescissory damages. SIXTH CAUSE OF ACTION (Fraudulent Inducement against WaMu Capital) 346. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs as
if set forth herein. 134
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347.
In the Offering Materials and in other communications to Plaintiffs, Defendant
WaMu Capital made false and misleading statements of material fact, and omitted material facts necessary in order to make their statements, in light of the circumstances under which the statements were made, not misleading. Defendant WaMu Capital knew at the time it sold and marketed each of the WaMu RMBS that the foregoing statements were false, or at the very least, made recklessly, without any belief in the truth of the statements. 348. Defendant WaMu Capital made these materially misleading statements and
omissions for the purpose of inducing Plaintiffs to purchase the WaMu RMBS. Furthermore, these statements related to the acts and omissions of Defendant WaMu Capital and its affiliates. 349. Defendant WaMu Capital knew that, unlike Plaintiffs, it had exclusive access to
critical information about the quality of the mortgage pools supporting the WaMu RMBS, including access to the loan files and due diligence results. Defendant WaMu Capital was in a position of unique and superior knowledge regarding the true facts concerning the foregoing material misrepresentations and omissions. 350. Defendant WaMu Capital knew that it had a greater level of expertise than
Plaintiffs with respect to the WaMu RMBS. 351. Defendant WaMu Capital knew that Plaintiffs relied on its representations
concerning the WaMu RMBS in connection with the decision to purchase the Certificates, and WaMu Capital encouraged such reliance through its representations as described herein. 352. It was only by making such representations that Defendant WaMu Capital was able
to induce Plaintiffs to buy its Certificates in the WaMu RMBS. Plaintiffs would not have purchased or otherwise acquired the WaMu RMBS but for Defendants fraudulent representations
135
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and omissions about the quality of those RMBS. 353. By virtue of Defendants false and misleading statements and omissions, as alleged
herein, Plaintiffs purchased Certificates that were worth far less than what they paid for them and have suffered substantial damages and is also entitled to a rescission of the sale of the WaMu RMBS or to rescissory damages. SEVENTH CAUSE OF ACTION (Aiding and Abetting Fraud and Fraudulent Inducement against The Bear Stearns Companies, Inc., EMC Mortgage, SAMI II, and BSABS I) 354. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs,
as if fully set forth herein. 355. This is a claim against EMC Mortgage, SAMI II, and BSABS I (the Bear Stearns
Sponsor and Depositor Defendants) and The Bear Stearns Companies, Inc., for aiding and abetting the fraud and fraudulent inducement committed by the Bear Stearns Defendants. Each of the Bear Stearns Sponsor and Depositor Defendants aided and abetted the fraud and fraudulent inducement committed by and among all of the other Bear Stearns Defendants. 356. Defendant The Bear Stearns Companies, Inc. directed the activities of the Bear
Stearns Subsidiaries, including the Bear Stearns Sponsor and Depositor Defendants. All profits generated by the Bear Stearns Subsidiaries accrued to the benefit of Defendant The Bear Stearns Companies, Inc. Defendant The Bear Stearns Companies, Inc. used its control over the Bear Stearns Sponsor and Depositor Defendants to commit the fraud and fraudulent inducement alleged herein, thereby causing Plaintiffs damages. 357. As alleged above, the Bear Stearns Sponsor and Depositor Defendants knowingly
selected and deposited exceptionally poor quality mortgages into the Bear Stearns securitizations
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at issue. For example, the Bear Stearns Sponsor and Depositor Defendants waived in 50% of the mortgages that their due diligence vendor had marked as fatally defective. The Bear Stearns Sponsor and Depositor Defendants implemented a policy to purge the records revealing the Bear Stearns Defendants fraudulent conduct. 358. The Bear Stearns Sponsor and Depositor Defendants participated in, or had actual
knowledge of, the Bear Stearns Defendants reckless or intentional dissemination of false and misleading information to the credit rating agencies. The Bear Stearns Sponsor and Depositor Defendants also participated in the Bear Stearns Defendants failure to properly endorse and deliver the mortgage notes and security documents to the issuing trusts. 359. It was foreseeable to the Bear Stearns Sponsor and Depositor Defendants at the
time they actively assisted in the commission of the fraud that Plaintiffs would be harmed as a result of their assistance. 360. Plaintiffs have suffered damages as a direct and natural result of the fraud
committed by the Bear Stearns Defendants and the Bear Stearns Sponsor and Depositor Defendants knowing and active participation therein. EIGHTH CAUSE OF ACTION (Aiding and Abetting Fraud and Fraudulent Inducement against JPMorgan Chase & Co., JPMorgan Chase Bank, NA, JPMorgan Mortgage, and JPMorgan Acceptance Corp. I) 361. Plaintiffs repeats and realleges the allegations set forth in the preceding paragraphs,
as if fully set forth herein. 362. This is a claim against JPMorgan Chase Bank, NA, JPMorgan Mortgage, and
JPMorgan Acceptance Corp. I (the JPMorgan Sponsor and Depositor Defendants) and JPMorgan Chase & Co., for aiding and abetting the fraud and fraudulent inducement committed
137
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by the JPMorgan Defendants. Each of the JPMorgan Sponsor and Depositor Defendants aided and abetted the fraud and fraudulent inducement committed by and among all of the other JPMorgan Defendants. 363. Defendant JPMorgan Chase & Co. directed the activities of the JPMorgan
Subsidiaries, including the JPMorgan Sponsor and Depositor Defendants. All profits generated by the JPMorgan Subsidiaries accrued to the benefit of Defendant JPMorgan Chase & Co. Defendant JPMorgan Chase & Co. used its control over the JPMorgan Sponsor and Depositor Defendants to commit the fraud and fraudulent inducement alleged herein, thereby causing Plaintiffs damages. 364. As alleged above, the JPMorgan Sponsor and Depositor Defendants knowingly
selected and deposited exceptionally poor quality mortgages into the JPMorgan securitizations at issue. For example, the JPMorgan Sponsor and Depositor Defendants waived in 51% of the mortgages that their due diligence vendor had marked as fatally defective, knowing that their affiliates were loosening the JPMorgan mortgage underwriting standards. 365. The JPMorgan Sponsor and Depositor Defendants and JPMorgan Chase & Co.
participated in, or had actual knowledge of, the JPMorgan Defendants reckless or intentional dissemination of false and misleading information to the credit rating agencies. The JPMorgan Sponsor and Depositor Defendants also participated in the JPMorgan Defendants failure to properly endorse and deliver the mortgage notes and security documents to the issuing trusts. 366. It was foreseeable to the JPMorgan Sponsor and Depositor Defendants and
JPMorgan Chase & Co. at the time they actively assisted in the commission of the fraud that Plaintiffs would be harmed as a result of their assistance.
138
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367.
Plaintiffs have suffered damages as a direct and natural result of the fraud
committed by the JPMorgan Defendants and the JPMorgan Sponsor and Depositor Defendants and JPMorgan Chase & Co.s knowing and active participation therein. NINTH CAUSE OF ACTION (Aiding and Abetting Fraud and Fraudulent Inducement against WaMu Asset and WaMu Mortgage) 368. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs,
as if fully set forth herein. 369. This is a claim against WaMu Asset and WaMu Mortgage for aiding and abetting
the fraud by the WaMu Defendants. Defendant WaMu Asset and WaMu Mortgage knowingly deposited exceptionally poor quality mortgages into the WaMu securitizations at issue. For example, WaMu Asset and WaMu Mortgage knowingly included fraudulent mortgages and mortgages that were particularly delinquency-prone. 370. Defendant WaMu Asset and WaMu Mortgage participated in, or had knowledge
of, WaMus reckless or intentional dissemination of false and misleading information to the credit rating agencies. WaMu Asset and WaMu Mortgage also participated in WaMus failure to properly endorse and deliver the mortgage notes and security documents to the issuing trust. 371. It was foreseeable to Defendants WaMu Asset and WaMu Mortgage at the time
they actively assisted in the commission of the fraud that Plaintiffs would be harmed as a result of its assistance. 372. Plaintiffs have suffered damages as a direct and natural result of the fraud
committed by the WaMu Defendants and WaMu Assets and WaMu Mortgages knowing and active participation therein.
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TENTH CAUSE OF ACTION (Negligent Misrepresentation against Bear, Stearns & Co., JPMorgan Securities, and WaMu Capital) 373. Plaintiffs repeat and reallege each and every allegation set forth in the preceding
paragraphs as if fully set forth herein, except any allegations that Defendants made any untrue statements and omissions intentionally or recklessly. 374. This is a claim for negligent misrepresentation against Bear, Stearns & Co., J.P.
Morgan Securities, Inc., and WaMu Capital (the RMBS Underwriter Defendants). 375. The RMBS Underwriter Defendants had exclusive, non-public knowledge about
the mortgages supporting the RMBS in the Offerings, including their quality, the nature of the underwriting, and the value of the collateral. Unlike Plaintiffs, the RMBS Underwriter
Defendants had access to the loan files and the due diligence results. In addition, affiliates of the RMBS Underwriter Defendants originated all or a majority of the mortgages supporting twentytwo of the RMBS at issue. 376. Plaintiffs could not evaluate the loan files for the mortgage loans underlying the
RMBS and did not have access to the due diligence results. Plaintiffs therefore reasonably relied on the RMBS Underwriter Defendants exclusive and non-public knowledge regarding the underlying mortgage loans to determine whether to make each purchase of RMBS. Plaintiffs were completely reliant on the RMBS Underwriter Defendants to provide accurate information regarding the mortgages in each securitization. 377. The RMBS Underwriter Defendants had exclusive, non-public knowledge about The RMBS Underwriter Defendants
the mortgages supporting the RMBS in the Offerings.
therefore had a duty to Plaintiffs to verify the accuracy of the Offering Materials and to provide
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complete, accurate, and timely information regarding the mortgages in each securitization. Defendants breached their duty to provide such information to Plaintiffs. 378. Over the course of more than two years, for sixty-five separate investments,
Plaintiffs relied on Defendants exclusive and non-public knowledge regarding the underlying mortgage loans and their underwriting when determining whether to invest in the RMBS. This longstanding relationship, coupled with Defendants unique and special knowledge about the underlying loans and the underwriting standards of the mortgage originators, created a special relationship of trust, confidence, and dependence between Defendants and Plaintiffs. 379. The RMBS Underwriter Defendants likewise made negligent misrepresentations to
induce Plaintiffs investment in the RMBS. The RMBS Underwriter Defendants provided the Offering Materials to Plaintiffs in connection with the RMBS for the purpose of informing Plaintiffs of material facts necessary to make an informed judgment about whether to purchase the RMBS. In providing these documents, the RMBS Underwriter Defendants knew that the
information contained and incorporated therein would be used for a serious purpose, and that Plaintiffs, like other reasonably prudent investors, intended to rely on the information. 380. As alleged above, the Offering Materials contained materially false and misleading
information. The RMBS Underwriter Defendants should have known that the information in the Offering Materials was materially false and misleading. Unaware that the Offering Materials contained materially false and misleading statements, Plaintiffs reasonably relied on those false and misleading statements when deciding to purchase the RMBS in the offerings. 381. Plaintiffs purchased the RMBS from the RMBS Underwriter Defendants and are
therefore in privity with these defendants.
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382.
Based on Defendants expertise and specialized knowledge, and in light of the false
and misleading representations in the Offering Materials, the RMBS Underwriter Defendants owed Plaintiffs a duty to provide it with complete, accurate, and timely information regarding the quality of the RMBS, and breached their duty to provide such information to Plaintiffs. 383. Plaintiffs have suffered substantial damages as a result of the RMBS Underwriter
Defendants negligent misrepresentations. ELEVENTH CAUSE OF ACTION (Successor Liability Against JPMorgan Chase & Co. and JPMorgan Securities as successors-in-interest to Bear Stearns) 384. Plaintiffs repeat and reallege the allegations set forth in the preceding paragraphs,
as if fully set forth herein. 385. On March 16, 2008, The Bear Stearns Companies, Inc. entered into an Agreement
and Plan of Merger with JPMorgan Chase & Co. for the purpose of consummating a strategic business combination transaction between the two entities (Bear Stearns Merger Agreement). Pursuant to the Bear Stearns Merger Agreement, The Bear Stearns Companies merged with Bear Stearns Merger Corporation, a wholly-owned subsidiary of JPMorgan Chase & Co., making Bear Stearns a wholly-owned subsidiary of JPMorgan Chase & Co. 386. In a June 30, 2008 press release describing internal restructuring to be undertaken
pursuant to the Merger, JPMorgan stated its intent to assume Bear Stearns and its debts, liabilities, and obligations as follows: Following completion of this transaction, Bear Stearns plans to transfer its broker-dealer subsidiary Bear, Stearns & Co. Inc. to JPMorgan Chase. In connection with such transfer, JPMorgan Chase will assume (1) all of Bear Stearns then-outstanding registered U.S. debt securities; (2) Bear Stearns obligations relating to trust preferred securities; (3) Bear Stearns thenoutstanding foreign debt securities; and (4) Bear Stearns guarantees of then142
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outstanding foreign debt securities issued by subsidiaries of Bear Stearns, in each case, in accordance with the agreements and indentures governing these securities. 387. Following the merger, JPMorgan Chase & Co. became the ultimate corporate
parent of The Bear Stearns Companies and its subsidiaries, including EMC, SAMI II, and BSABS I. JPMorgan Chase & Co. took immediate control of The Bear Stearns Companies business and personnel decisions. An article in the The New York Times of April 6, 2008 cited an internal JPMorgan memo stating that JPMorgan Chase, which is taking over the rival investment bank Bear Stearns, will dominate the management ranks of the combined investment banking and trading businesses. Of the 26 executive positions in the new merged investment banking and trading division, only five came from Bear Stearns. 388. Defendant Bear, Stearns & Co., Inc. merged with Defendant JPMorgan Securities
and is now doing business as J.P. Morgan Securities, Inc. JPMorgans 2008 Annual Report stated that On October 1, 2008, J.P. Morgan Securities Inc. merged with and into Bear, Stearns & Co. Inc., and the surviving entity changed its name to J.P. Morgan Securities Inc. 389. The former Bear Stearns website, www.bearstearns.com, redirects visitors to
JPMorgan Securities website, and the EMC website, www.emcmortgagecorp.com, now identifies EMC Mortgage as a brand of Defendant JPMorgan Chase Bank, NA. 390. As a result of The Bear Stearns Companies acquisition, JPMorgan Chases
transfer of substantially all of Bear Stearns assets to JPMorgan Chase, and explicit and implicit assumption of Bear Stearns debt, JPMorgan Chase & Co. is a mere continuation of The Bear Stearns Companies. As the successor-in-interest to Bear Stearns, JPMorgan Chase & Co. is
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jointly and severally liable for The Bear Stearns Companies wrongdoing in its entirety under the common law. 391. As a result of its merger with Bear, Stearns & Co., Inc., Defendant JPMorgan
Securities is a mere continuation of Bear, Stearns & Co., Inc. As such, Defendant JPMorgan Securities is the successor-in-interest to Bear, Stearns & Co., Inc. and jointly and severally liable for Bear, Stearns & Co. Inc.s wrongdoing in its entirety under the common law. Therefore, this action is brought against Defendant JPMorgan Chase & Co. and JPMorgan Securities in their own capacity and as the successors-in-interest to respectively The Bear Stearns Companies and Bear, Stearns & Co., Inc. X. PRAYER FOR RELIEF
WHEREFORE, Plaintiffs pray for relief and judgment, as follows: (a) Awarding compensatory and/or rescissionary damages in favor of Plaintiffs against all Defendants, jointly and severally, for all damages sustained as a result of Defendants wrongdoing, in an amount to be proven at trial, including interest thereon; (b) (c) Awarding punitive damages for Plaintiffs common-law fraud claims; Awarding Plaintiffs reasonable costs and expenses incurred in this action, including counsel fees and expert fees; and (d) Such other relief as the court may deem just and proper.
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NYSCEF DOC. NO.Case 5
INDEX NO. 650180/2012
1:12-cv-04761-JSR Document 35-2
Filed 01/21/13 Page 10 of 140 RECEIVED NYSCEF: 05/18/2012
EXHIBIT A
FSA Asset Management LLC
SECURITIZATION ARSI 2006-M2 A2D ARSI 2006-W4 A2C ARSI 2006-W4 A2D BALTA 2006-4 13A2 BALTA 2006-7 1A2 BSABS 2006-EC2 A4 BSABS 2006-HE8 1A3 BSABS 2006-HE8 21A3 BSABS 2006-IM1 A6 BSABS 2006-IM1 A7 BSABS 2007-2 A1 CARR 2006-NC3 A4 CARR 2006-NC5 A4 CARR 2006-RFC1 A3 CARR 2006-RFC1 A4 CARR 2007-FRE1 A3 CBASS 2007-CB6 A3 IMM 2007-A M1 IMSA 2006-2 1A12 IMSA 2007-3 A1B INDX 2006-AR29 A5 JPALT 2006-A2 1A3 JPALT 2006-A2 1A5 JPALT 2006-A3 1A3 JPALT 2006-A5 1A5 JPALT 2006-A6 1A5 JPALT 2006-A7 1A4 JPALT 2006-A7 1A5 JPALT 2007-A1 1A4 JPALT 2007-A1 1A5 JPALT 2007-A2 12A3 JPMAC 2006-CW1 A4 JPMAC 2006-HE3 A5 JPMAC 2006-NC1 A4 JPMAC 2006-NC1 A5 JPMAC 2006-RM1 A5 JPMAC 2006-WMC2 A4 JPMAC 2006-WMC3 A5 LBMLT 2006-11 2A2 LBMLT 2006-3 2A3 LBMLT 2006-3 2A4 LBMLT 2006-4 2A3 1
CUSIP 04013BAD4 040104TG6 040104TH4 073871AF2 073875AB2 07387UDQ1 07388JAC9 07388JAQ8 07387UFZ9 07387UGA3 07400TAA5 144528AD8 144539AD5 14453EAC6 14453EAD4 144527AC2 1248RHAC1 452550AB2 45256VAB3 45257VAB2 45662DAE5 46628GAC3 46628GAE9 46628UAC2 466284AE6 466285AE3 466286AD3 466286AE1 466287AD1 466287AE9 466278AE8 46628MAE6 46629VAE5 46626LJP6 46626LJQ4 46629NAF0 46628TAD3 46629KAF6 542512AC2 542514UK8 542514UL6 54251MAD6
PURCHASE DATE 08/17/06 04/19/06 04/19/06 06/09/06 10/05/06 02/09/06 10/13/06 10/13/06 02/14/06 02/14/06 05/14/07 08/02/06 12/06/06 05/17/06 07/16/07 03/28/07 07/10/07 06/29/07 06/28/06 04/20/07 09/26/06 04/06/06 04/06/06 06/14/06 09/15/06; 05/11/2007 11/09/06 11/09/06 11/09/06 02/15/07 02/15/07 05/29/07 05/23/06 10/27/06 04/05/06 04/05/06 09/21/06 06/08/06 08/22/06 06/28/07; 08/06/2007 03/31/06 03/31/06 04/28/06
Filed 01/21/13 Page 11 of 140
EXHIBIT A
LBMLT 2006-4 2A4 LBMLT 2006-5 2A3 LBMLT 2006-5 2A4 LBMLT 2006-6 2A2 LBMLT 2006-6 2A4 LBMLT 2006-7 2A4 LBMLT 2006-8 2A4 MSST 2007-1 A3 NAA 2007-3 A3 NAA 2007-3 A4 NCMT 2007-1 2A3 RASC 2006-KS7 A4 RASC 2007-KS2 AI4 SACO 2006-2 2A SAMI 2006-AR7 A13B SAMI 2006-AR8 A6B WAMU 2006-AR7 C1B2 WMABS 2006-HE2 A3 WMABS 2007-HE2 2A2 WMABS 2007-HE2 2A3 WMALT 2007-HY1 A2B WMALT 2007-OC2 A2 WMHE 2007-HE2 2A3 54251MAE4 54251PAD9 54251PAE7 54251RAC7 54251RAE3 54251TAE9 54251UAE6 61755FAC9 65537UAC2 65537UAD0 65106FAD4 75406XAD1 74924WAD9 785778PG0 86361HAS3 86361WAK7 93363CAF6 93934JAC8 93934TAC6 93934TAD4 93936AAC5 93936LAB3 92926SAD8 04/28/06 06/08/06 06/08/06 08/22/07 07/21/06 08/24/06 09/14/06 07/02/07 06/29/07 06/29/07 06/29/07 08/15/06 02/21/07 01/19/06 07/12/06 09/19/06 06/09/06 05/23/06 07/12/07 03/06/07 01/22/07 06/19/07 04/04/07

RECEIVED NYSCEF: 05/18/2012
INDEX NO. 650180/2012
NYSCEF DOC. NO. 6
EXHIBIT B1
SECURITIZATION
STATEMENTS REGARDING LOAN ORIGINATION AND UNDERWRITING STANDARDS FROM THE PROSPECTUS SUPPLEMENTS AND PROSPECTUSES Prospectus Supplement (Pros. Supp.) dated 6/29/06 at S-60 The EMC mortgage loans have either been originated or purchased by an originator and were generally underwritten in accordance with the standards described herein. Pros. Supp. at S-60 to S-61 Such underwriting standards are applied to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral. Pros. Supp. dated 10/30/06 at 26 The EMC mortgage loans have either been originated or purchased by an originator and were generally underwritten in accordance with the standards described herein. Such underwriting standards are applied to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral.
BALTA 2006-4
BALTA 2006-7
Filed 01/21/13 Page 12 of 140
EXHIBIT B1
Pros. Supp. dated 2/21/06 at S-33, S-34: The Originator has developed internal underwriting processes and criteria that they believe generate quality loans and give it the ability to approve and fund loans quickly. The Originators internal underwriting guidelines are designed to help it evaluate a borrowers credit history, capacity, willingness and ability to repay the loan, and the value and adequacy of the collateral. The Originator reviews the borrowers credit history from Experian Information Solutions, Inc., Trans Union Corp. and Equifax, Inc. In addition, the Originator reviews credit scores derived from the borrowers credit history by one or more nationally recognized credit scoring models. The Originators guidelines are primarily intended to (1) determine that the borrower has the ability to repay the mortgage loan in accordance with its terms and (2) determine that the related mortgaged property will provide sufficient value to recover the investment if the borrower defaults. Pros. Supp. at S-40: Performing loans purchased will have been originated pursuant to the sponsors underwriting guidelines or the originations underwriting guidelines that are acceptable to the sponsor. Pros. Supp. at S-35 to S-36: An assessment of the adequacy of the real property as collateral for the loan is primarily based upon an appraisal of the property and a calculation of the LTV ratio of the loan applied for and the combined LTV to the appraised value of the property at the time of origination. Appraisers determine a propertys value by reference to the sales prices of comparable properties recently sold, adjusted to reflect the condition of the property as determined through inspection. As a lender that generally specializes in loans made to credit impaired borrowers, the Originator has implemented an appraisal review process to support the value used to determine the LTV ratio. The Originator uses a variety of steps in their appraisal review process in order to attempt to ensure the accuracy of the value provided by the initial appraiser. This includes obtaining an independent automated property review on a majority of the loans that they originate. The Originators review process requires a written review on every appraisal report either by a qualified independent underwriter or by a staff appraiser. Case 1:12-cv-04761-JSR Document 35-2
BSABS 2006-EC2
Filed 01/21/13 Page 13 of 140
EXHIBIT B1
Pros. Supp. dated 10/26/06 at 45: The mortgage loans were originated consistent with and generally conform to the underwriting guidelines full/alternative documentation, stated income documentation and limited documentation residential loan programs. The underwriting guidelines are primarily intended to assess the borrowers ability to repay the mortgage loan, to assess the value of the mortgaged property and to evaluate the adequacy of the mortgaged property as collateral for the related mortgage loan.
BSABS 2006-HE8
BSABS 2006-IM1
Pros. Supp. dated 4/21/06 at S-45: Performing loans purchased will have been originated pursuant to the sponsors underwriting guidelines or the originators underwriting guidelines that are acceptable to the sponsor. Pros. Supp. at S-35: The underwriting guidelines utilized in the Progressive Series Program, as developed by the Originator, are intended to assess the borrowers ability and willingness to repay the mortgage loan obligation and to assess the adequacy of the mortgaged property as collateral for the mortgage loan. Pros. Supp. at S-34: The Originator generally performs a pre-funding audit on each mortgage loan. This audit includes a review for compliance with the related program parameters and accuracy of the legal documents.
Case 1:12-cv-04761-JSR Document 35-2 Filed 01/21/13 Page 14 of 140
EXHIBIT B1
Pros. Supp. dated 5/14/07 at S-62: Performing loans purchased will have been originated pursuant to the sponsors underwriting guidelines or the originators underwriting guidelines that are acceptable to the sponsor. Pros. Supp. at S-38 to S-39: PCCs internal underwriting guidelines were designed to help it evaluate a borrowers credit history, capacity, willingness and ability to repay the loan, and the value and adequacy of the collateral. Pros. Supp. at S-40 to S-41: PCC used a variety of steps in its appraisal review process in order to attempt to ensure the accuracy of the value provided by the initial appraiser. This includes obtaining an independent automated property review on a majority of the loans that it originates. PCCs review process required a written review on every appraisal report either by a qualified independent underwriter or by a staff appraiser. Case 1:12-cv-04761-JSR Document 35-2
BSABS 2007-2
Filed 01/21/13 Page 15 of 140
EXHIBIT B1
Pros. Supp. dated 8/7/06 at S-75: The mortgage loans were originated or acquired by the originators in accordance with the underwriting guidelines established by them. The underwriting guidelines are primarily intended to assess the borrowers ability to repay the mortgage loan, to assess the value of the mortgaged property and to evaluate the adequacy of the property as collateral for the mortgage loan. Pros. Supp. at S-76: The mortgage loans will have been originated in accordance with the underwriting guidelines. Pros. Supp. at S-76 to S-77: The underwriting guidelines require that mortgage loans be underwritten in a standardized procedure which complies with applicable federal and state laws and regulations and requires the originators underwriters to be satisfied that the value of the property being financed, as indicated by an appraisal and a review of the appraisal, currently supports the outstanding loan balance. Case 1:12-cv-04761-JSR Document 35-2
CARR 2006-NC3
Filed 01/21/13 Page 16 of 140
EXHIBIT B1
Pros. Supp. dated 12/14/06 at S-79: The mortgage loans were originated or acquired by the originators in accordance with the underwriting guidelines established by them. Pros. Supp. at S-80: The underwriting guidelines are primarily intended to assess the borrowers ability to repay the mortgage loan, to assess the value of the mortgaged property and to evaluate the adequacy of the property as collateral for the mortgage loan. Pros. Supp. at S-81: The underwriting guidelines require that mortgage loans be underwritten in a standardized procedure which complies with applicable federal and state laws and regulations and requires the originators underwriters to be satisfied that the value of the property being financed, as indicated by an appraisal and a review of the appraisal, currently supports the outstanding loan balance. Case 1:12-cv-04761-JSR Document 35-2
CARR 2006-NC5
Filed 01/21/13 Page 17 of 140
EXHIBIT B1
Pros. Supp. dated 5/19/06 at S-94: In most cases, the mortgage loans were either originated and underwritten in accordance with Residential Funding Corporations AlterNet Program, as discussed below, or otherwise acquired from a mortgage collateral seller based on standards consistent with the following discussion on credit grades classification or substantially similar standards acceptable to Residential Funding Corporation. Pros. Supp. at S-93: Residential Funding Corporations underwriting of the mortgage loans generally consisted on analyzing the following as standards applicable to the mortgage loans: the creditworthiness of a mortgagor; the income sufficiency of a mortgagors projected family income relative to the mortgage payment and to other fixed obligations, including in certain instances rental income from investment property; and the adequacy of the mortgaged property expressed in terms of LTV ratio, to serve as the collateral for a mortgage loan. Case 1:12-cv-04761-JSR Document 35-2
CARR 2006-RFC1
Filed 01/21/13 Page 18 of 140
EXHIBIT B1
Pros. Supp. dated 4/4/07 at S-87: All of the mortgage loans were originated or acquired by Fremont, generally in accordance with the underwriting criteria described in this section. Fremonts underwriting guidelines were primarily intended to assess the ability and willingness of the borrower to repay the debt and to evaluate the adequacy of the mortgaged property as collateral for the mortgage loan. Pros. Supp. dated 6/29/07 at S-24: The mortgage loans will have been originated or acquired by the Sponsor in accordance with the underwriting criteria described in this offering supplement. Pros. Supp. at S-45: The mortgage loans included in the trust were underwritten in accordance with the standards of the Originator or its affiliates, or purchased in bulk purchases from third-party originators. Prospectus (Pros.) dated 6/29/07 at 11: The underwriting standards to be used in originating the mortgage loans are primarily intended to assess the creditworthiness of the mortgagor, the value of the mortgaged property and the adequacy of the property as collateral for the mortgage loan.
CARR 2007-FRE1
IMM 2007-A
Filed 01/21/13 Page 19 of 140
EXHIBIT B1
Pros. Supp. dated 6/28/06 at S-25: The mortgage loans will have been originated or acquired by the Sponsor in accordance with the underwriting criteria described in this prospectus supplement. Pros. Supp. at S-56 to S-57: Eligibility. The Originator generally performs a pre funding audit on each mortgage loan. This audit includes a review for compliance with the related program parameters and accuracy of the legal documents. Pros. Supp. at S-58: The underwriting guidelines utilized in the Progressive Series Program, as developed by the Originator, are intended to assess the borrowers ability and willingness to repay the mortgage loan obligation and to assess the adequacy of the mortgaged property as collateral for the mortgage loan. Case 1:12-cv-04761-JSR Document 35-2
IMSA 2006-2
Filed 01/21/13 Page 20 of 140
EXHIBIT B1
Pros. Supp. dated 4/27/07 at pg. S-25: The mortgage loans will have been originated or acquired by the Sponsor in accordance with the underwriting criteria described in this prospectus supplement. Pros. Supp. at pgs. S-46 to S-47: Eligibility. Impac Funding generally performs a pre funding audit on each mortgage loan. This audit includes a review for compliance with the related program parameters and accuracy of the legal documents. Pros. Supp. at pg. S-47: The underwriting guidelines utilized in the Progressive Series Program, as developed by Impac Funding, are intended to assess the borrowers ability and willingness to repay the mortgage loan obligation and to assess the adequacy of the mortgaged property as collateral for the mortgage loan. Pros. dated 04/27/2007 at 9: Mortgage loans to be included in a mortgage pool will have been purchased by the depositor, either directly or indirectly from Sellers. The mortgage loans, as well as mortgage loans underlying mortgage securities, will have been originated in accordance with underwriting standards acceptable to the depositor and generally described below. Case 1:12-cv-04761-JSR Document 35-2
IMSA 2007-3
Filed 01/21/13 Page 21 of 140
10
EXHIBIT B1
Pros. Supp. dated 9/28/06 at S-45: Mortgage loans that are acquired by IndyMac Bank are underwritten by IndyMac Bank according to IndyMac Banks underwriting guidelines, which also accept mortgage loans meeting Fannie Mae or Freddie Mac guidelines regardless of whether such mortgage loans would otherwise meet IndyMac Banks guidelines, or pursuant to an exception to those guidelines based on IndyMac Banks procedures for approving such exceptions. Indymac Banks underwriting criteria for traditionally underwritten mortgage loans included an analysis of the borrowers credit history, ability to repay the mortgage loan and the adequacy of the mortgaged property as collateral. Pros. Supp. dated 09/28/2006 at S-47: Mortgage loans originated through the conduit channel were generally initially underwritten by the seller to the sellers underwriting guidelines. Case 1:12-cv-04761-JSR Document 35-2
INDX 2006-AR29
Filed 01/21/13 Page 22 of 140
11
EXHIBIT B1
Pros. Supp. dated 7/5/07 at S-36: First NLCs underwriting guidelines are designed to evaluate a borrowers credit history, his or her capacity, willingness and ability to repay the loan and the value and adequacy of the collateral. Pros. Supp. at S-43: Each mortgage loan originated or acquired by Accredited is underwritten prior to loan closing, or reunderwritten after loan closing but prior to purchase by Accredited, in accordance with Accrediteds underwriting guidelines. Accrediteds underwriting process is intended to assess a mortgage loan applicants credit standing and repayment ability and the value and adequacy of the real property security as collateral for the proposed mortgage loan. Pros. dated 6/26/07 at 19: As to each series of securities, the mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. at 91: Performing loans purchased will have been originated pursuant to the sponsors underwriting guidelines or the originators underwriting guidelines that are acceptable to the sponsor. Case 1:12-cv-04761-JSR Document 35-2
MSST 2007-1
Filed 01/21/13 Page 23 of 140
12
EXHIBIT B1
Pros. Supp. dated 7/6/07 at pg. S-49 All of the Mortgage Loans have been purchased by the sponsor from various banks, savings and loan associations, mortgage bankers and other mortgage loan originators and purchasers of mortgage loans in the secondary market, and were originated generally in accordance with the underwriting criteria described in this section. Pros. Supp. at pg. S-50 Generally, each borrower will have been required to complete an application designed to provide to the original lender pertinent credit information concerning the borrower. As part of the description of the borrowers financial condition, the borrower generally will have furnished certain information with respect to its assets, liabilities, income (except as described below), credit history, employment history and personal information, and furnished an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. The borrower may also have been required to authorize verifications of deposits at financial institutions where the borrower had demand or savings accounts. Case 1:12-cv-04761-JSR Document 35-2
NAA 2007-3
Filed 01/21/13 Page 24 of 140
13
EXHIBIT B1
Pros. dated 6/26/07 at pg. 91 Performing loans purchased will have been originated pursuant to the sponsors underwriting guidelines or the originators underwriting guidelines that are acceptable to the sponsor. Prospectus Supplement (Pros. Supp.) dated 7/11/07 at pg. S-44 Fremonts underwriting guidelines were primarily intended to assess the ability and willingness of the borrower to repay the debt and to evaluate the adequacy of the mortgaged property as collateral for the mortgage loan. The Scored Programs assessed the risk of default by using credit scores obtained from third party credit repositories along with, but not limited to, past mortgage payment history, seasoning on bankruptcy and/or foreclosure and loan-to value ratios as an aid to, not a substitute for, the underwriters judgment. All of the mortgage loans in the mortgage loan pool were underwritten with a view toward the resale of the mortgage loans in the secondary mortgage market. Under the Scored Programs, Fremont required credit reports for each borrower, in most instances using the credit score of the primary borrower (the borrower with the highest percentage of total income) to determine program eligibility. Case 1:12-cv-04761-JSR Document 35-2
NCMT 2007-1
SACO 2006-2
Pros. Supp. dated 1/26/06 at pg. S-39 Performing loans purchased will have been originated pursuant to the sponsors underwriting guidelines or the originators underwriting guidelines that are acceptable to the sponsor. Pros. Supp. at pg. S-34 The following information generally describes the Originators underwriting guidelines with respect to mortgage loans originated pursuant to its conventional non-conforming mortgage loans underwriting standards and its Alt-A underwriting guidelines. Approximately 28.38% of the Mortgage Loans were generally written in accordance with the Originators conventional non-conforming mortgage loans underwriting standards and its Alt-A underwriting guidelines underwriting guidelines.
Filed 01/21/13 Page 25 of 140
14
EXHIBIT B1
Pros. Supp. dated 8/31/06 at pg. S-37 Performing loans purchased will have been originated pursuant to the sponsors underwriting guidelines or the originators underwriting guidelines that are acceptable to the sponsor.
SAMI 2006-AR7
SAMI 2006-AR8
Pros. Supp. dated 10/27/06 at pg. S-39 Performing loans purchased will have been originated pursuant to the sponsors underwriting guidelines or the originators underwriting guidelines that are acceptable to the sponsor.
15

INDEX NO. 650180/2012
NYSCEF DOC. NO. 7
EXHIBIT B2
SECURITIZATION
STATEMENTS REGARDING LOAN ORIGINATION AND UNDERWRITING STANDARDS FROM THE PROSPECTUS SUPPLEMENTS AND PROSPECTUSES Prospectus Supplement (Pros. Supp.) dated 12/11/06 at pg. S-38 The mortgage loans have been, or will be, originated or re-underwritten upon acquisition, generally in accordance with the Long Beach guidelines under the Long Beach full documentation, limited documentation or stated income documentation residential loan programs. Pros. Supp. at pg. S-36 All of the mortgage loans owned by the trust have been, or will be, originated by the sponsor through wholesale brokers or re-underwritten upon acquisition from correspondents by the sponsor generally in accordance with the Long Beach underwriting guidelines described in this section. The Long Beach underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, the sponsor reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines whether the mortgaged property complies with the Long Beach underwriting guidelines. The sponsor obtains a credit report on each prospective borrower from a credit reporting company in addition to the one obtained from the wholesale broker or correspondent.
LBMLT 2006-11
Filed 01/21/13 Page 27 of 140
EXHIBIT B2
Pros. Supp. at S-69: Case 1:12-cv-04761-JSR Document 35-2 The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates.
Filed 01/21/13 Page 28 of 140
EXHIBIT B2
Pros. Supp. dated 4/3/06 at pg. S-39 The mortgage loans have been, or will be, originated or re-underwritten upon acquisition, generally in accordance with guidelines established by the sponsor under its full documentation, limited documentation or stated income documentation residential loan programs. Pros. Supp. at S-35: All of the mortgage loans owned by the trust have been either originated by the sponsor through wholesale brokers or purchased by the sponsor from approved correspondents and were underwritten or reunderwritten by the sponsor generally in accordance with its underwriting guidelines as described in this prospectus supplement. Pros. Supp. at pg. S-37 All of the mortgage loans owned by the trust have been, or will be, originated by the sponsor through wholesale brokers or re-underwritten upon acquisition from correspondents by the sponsor generally in accordance with the sponsors underwriting guidelines described in this section. The sponsors underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, the sponsor reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines whether the mortgaged property complies with the sponsors underwriting guidelines. The sponsor obtains a credit report on each prospective borrower from a credit reporting company in addition to the one obtained from the wholesale broker or correspondent. 3 Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-3
Filed 01/21/13 Page 29 of 140
EXHIBIT B2
Pros. Supp. dated 5/3/06 at pg. S-37 The mortgage loans have been, or will be, originated or re-underwritten upon acquisition, generally in accordance with guidelines established by the sponsor under its full documentation, limited documentation or stated income documentation residential loan programs. Pros. Supp. at S-33: All of the mortgage loans owned by the trust have been either originated by the sponsor through wholesale brokers or purchased by the sponsor from approved correspondents and were underwritten or reunderwritten by the sponsor generally in accordance with its underwriting guidelines as described in this prospectus supplement. Pros. Supp. at pg. S-35 All of the mortgage loans owned by the trust have been, or will be, originated by the sponsor through wholesale brokers or re-underwritten upon acquisition from correspondents by the sponsor generally in accordance with the sponsors underwriting guidelines described in this section. The sponsors underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, the sponsor reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines whether the mortgaged property complies with the sponsors underwriting guidelines. The sponsor obtains a credit report on each prospective borrower from a credit reporting company in addition to the one obtained from the wholesale broker or correspondent. 4 Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-4
Filed 01/21/13 Page 30 of 140
EXHIBIT B2
Pros. Supp. dated 6/12/06 at pg. S-36 The mortgage loans have been, or will be, originated or re-underwritten upon acquisition, generally in accordance with guidelines established by the sponsor under its full documentation, limited documentation or stated income documentation residential loan programs. Pros. Supp. at pg. S-34 All of the mortgage loans owned by the trust have been, or will be, originated by the sponsor through wholesale brokers or re-underwritten upon acquisition from correspondents by the sponsor generally in accordance with the sponsors underwriting guidelines described in this section. The sponsors underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, the sponsor reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines whether the mortgaged property complies with the sponsors underwriting guidelines. The sponsor obtains a credit report on each prospective borrower from a credit reporting company in addition to the one obtained from the wholesale broker or correspondent. Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-5
Filed 01/21/13 Page 31 of 140
EXHIBIT B2
Pros. Supp. dated 7/21/06 at pg. S-11: The mortgage loans were underwritten under the sub-prime mortgage loan underwriting guidelines of Long Beach mortgage, a division of Washington Mutual Bank Pros. Supp. at S-37: The mortgage loans have been, or will be, originated or re-underwritten upon acquisition, generally in accordance with the Long Beach guidelines under the Long Beach full documentation, limited documentation or stated income documentation residential loan programs. Pros. Supp. at pg. S-35 All of the mortgage loans owned by the trust have been, or will be, originated by the sponsor through wholesale brokers or re-underwritten upon acquisition from correspondents by the sponsor generally in accordance with the Long Beach underwriting guidelines described in this section. The Long Beach underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, the sponsor reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines whether the mortgaged property complies with the Long Beach underwriting guidelines. The sponsor obtains a credit report on each prospective borrower from a credit reporting company in addition to the one obtained from the wholesale broker or correspondent. Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-6
Filed 01/21/13 Page 32 of 140
EXHIBIT B2
Pros. dated 07/21/2006 at 2-3: Each mortgage loan to be transferred to a trust will have been originated in accordance with the underwriting guidelines applied by the originator of that mortgage loan. Case 1:12-cv-04761-JSR Document 35-2 Filed 01/21/13 Page 33 of 140
EXHIBIT B2
Pros. Supp. dated 8/24/06 at pg. S-35: All of the mortgage loans owned by the trust have been either originated by the sponsor through Long Beach Mortgage through wholesale brokers or purchased by the sponsor through Long Beach Mortgage from approved correspondents and were underwritten or re-underwritten by the sponsor through Long Beach Mortgage generally in accordance with the Long Beach underwriting guidelines as described in this prospectus supplement. The sponsor originates sub-prime mortgage loans through its network of mortgage lending offices and loan origination centers. Pros. Supp. at S-39: The mortgage loans have been, or will be, originated or re-underwritten upon acquisition, generally in accordance with the Long Beach guidelines under the Long Beach full documentation, limited documentation or stated income documentation residential loan programs. Pros. Supp. at pg. S-37 All of the mortgage loans owned by the trust have been, or will be, originated by the sponsor through wholesale brokers or re-underwritten upon acquisition from correspondents by the sponsor generally in accordance with the Long Beach underwriting guidelines described in this section. The Long Beach underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. The term sponsor as used in this Underwriting of the Mortgage Loans section of this prospectus supplement refers to Long Beach Mortgage Company for mortgage loans owned by the trust that were originated or acquired prior to July 1, 2006. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, the sponsor reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines 8 Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-7
Filed 01/21/13 Page 34 of 140
EXHIBIT B2
whether the mortgaged property complies with the Long Beach underwriting guidelines. Case 1:12-cv-04761-JSR Document 35-2 The sponsor obtains a credit report on each prospective borrower from a credit reporting company in addition to the one obtained from the wholesale broker or correspondent.
Filed 01/21/13 Page 35 of 140
EXHIBIT B2
Pros. Supp. dated 9/15/06 at pg. S-39 The mortgage loans have been, or will be, originated or re-underwritten upon acquisition, generally in accordance with the Long Beach guidelines under the Long Beach full documentation, limited documentation or stated income documentation residential loan programs. Pros. Supp. at S-35: All of the mortgage loans owned by the trust have been either originated by the sponsor through Long Beach Mortgage through wholesale brokers or purchased by the sponsor through Long Beach Mortgage from approved correspondents and were underwritten or re-underwritten by the sponsor through Long Beach Mortgage generally in accordance with the Long Beach underwriting guidelines as described in this prospectus supplement. The sponsor originates sub-prime mortgage loans through its network of mortgage lending offices and loan origination centers. Pros. Supp. at pg. S-37 All of the mortgage loans owned by the trust have been, or will be, originated by the sponsor through wholesale brokers or re-underwritten upon acquisition from correspondents by the sponsor generally in accordance with the Long Beach underwriting guidelines described in this section. The Long Beach underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, the sponsor reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines whether the mortgaged property complies with the Long Beach underwriting guidelines. 10 Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-8
Filed 01/21/13 Page 36 of 140
EXHIBIT B2
The sponsor obtains a credit report on each prospective borrower from a credit reporting company in addition to the one obtained from the wholesale broker or correspondent. Case 1:12-cv-04761-JSR Document 35-2 Filed 01/21/13 Page 37 of 140
11
EXHIBIT B2
Pros. Supp. dated 6/23/06 at S-37: All of the mortgage loans owned by the Trust (except for approximately 0.02% of the mortgage loans (by aggregate principal balance), which have been originated by Washington Mutual Bank fsb) have been either originated by the sponsor or purchased by the sponsor from approved mortgage loan correspondent lenders. The sponsor originates mortgage loans through its retail lending division, which is a network of its own banks and mortgage lending offices; through its ConsumerDirect lending division, which originates mortgage loans to employees of the sponsor and its affiliates, originates mortgage loans through the internet and refinances mortgage loans held in the sponsors mortgage loan portfolio; and through its wholesale lending division, which is a network of independent mortgage loan brokers approved by the sponsor. Pros. Supp. at S-43: The mortgage loans to be transferred to each trust will be subject to the various credit, appraisal and underwriting standards described herein and in the prospectus supplement. Pros. Supp. at S-44: The mortgage loan sellers underwriting standards are intended to evaluate a prospective mortgagors credit standing and repayment ability, and the value and adequacy of the proposed mortgage property as collateral. Case 1:12-cv-04761-JSR Document 35-2
WAMU 2006-AR7
Filed 01/21/13 Page 38 of 140
12
EXHIBIT B2
Pros. Supp. dated 5/23/06 at S-38: All of the mortgage loans owned by the trust have been originated generally in accordance with the underwriting guidelines of the sponsor described in this section or the underwriting guidelines of Long Beach. Pros. Supp. at S-42: The mortgage loans originated by Long Beach and owned by the trust have been originated by Long Beach through wholesale brokers or re-underwritten upon acquisition from correspondents by Long Beach generally in accordance with the underwriting guidelines described in this section. Long Beachs underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, Long Beach reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay a loan, and determines whether the mortgaged property complies with Long Beachs underwriting guidelines. Case 1:12-cv-04761-JSR Document 35-2
WMABS 2006-HE2
Filed 01/21/13 Page 39 of 140
13
EXHIBIT B2
Pros. Supp. dated at 3/7/07 S-39: All of the mortgage loans owned by the trust have been originated generally in accordance with the underwriting guidelines of the sponsor described in this section. The sponsors underwriting guidelines are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting process, the loan underwriter reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines whether the mortgaged property complies with the sponsors underwriting guidelines. Pros. Supp. at S-40, S-41: The mortgage loans have been underwritten generally in accordance with guidelines established by the sponsor under its full documentation, limited documentation or stated income documentation residential loan programs. The sponsors (sic) engages an approved third party due diligence vendor for a complete credit and compliance review of mortgage loans prior to purchase from unaffiliated mortgage loan sellers. A third party vendor is engaged for an appraisal valuation process that includes the use of an automated valuation model to identify mortgage loans that are considered potential collateral risk. This process is executed on all mortgage loans purchased from unaffiliated sellers. For loans purchased from affiliated sellers, a sample of loans is reviewed. Case 1:12-cv-04761-JSR Document 35-2
WMABS 2007-HE2
Filed 01/21/13 Page 40 of 140
14
EXHIBIT B2
Pros. Supp. dated 1/26/07 at S-25 to S-26: All of the mortgage loans owned by the Trust have been originated in accordance with the underwriting standards of the sponsor or the underwriting guidelines of Washington Mutual Bank as described in this section. The sponsors underwriting standards and Washington Mutual Banks underwriting guidelines generally are intended to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral. Some mortgage loans are manually underwritten, in which case an underwriter reviews a loan application and supporting documentation, if required, and a credit report of the borrower, and based on that review determines whether to originate a loan in the amount and with the terms stated in the loan application. Some mortgage loans may be underwritten through an automated underwriting system, including Washington Mutual Banks automated underwriting system, described below. Prospective borrowers are required to complete a standard loan application in which they may provide financial information regarding such factors as their assets, liabilities and related monthly payments, income, employment history and credit history. Each borrower also provides an authorization to access a credit report that summarizes the borrowers credit history. Pros. Supp. at S-25: All of the mortgage loans owned by the Trust have been originated in accordance with the underwriting standards of the sponsor or the underwriting guidelines of Washington Mutual Bank as described in this section. Case 1:12-cv-04761-JSR Document 35-2
WMALT 2007-HY1
Filed 01/21/13 Page 41 of 140
15
EXHIBIT B2
WMALT 2007-OC2
Pros. Supp. dated 6/25/07 at S-26 to S-27: All of the mortgage loans owned by the Trust have been originated in accordance with the underwriting standards of the sponsor or the underwriting guidelines of Washington Mutual Bank as described in this section. The sponsors underwriting standards and Washington Mutual Banks underwriting guidelines generally are intended to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral. Some mortgage loans are manually underwritten, in which case an underwriter reviews a loan application and supporting documentation, if required, and a credit report of the borrower, and based on that review determines whether to originate a loan in the amount and with the terms stated in the loan application. Some mortgage loans may be underwritten through an automated underwriting system, including Washington Mutual Banks automated underwriting system, described below. Prospective borrowers are required to complete a standard loan application in which they may provide financial information regarding such factors as their assets, liabilities and related monthly payments, income, employment history and credit history. Each borrower also provides an authorization to access a credit report that summarizes the borrowers credit history. Pros. Supp. at S-29: The sponsors credit risk oversight department conducts a credit, appraisal, and compliance review of adverse samplings (and, in some cases, statistical samplings) of mortgage loans prior to purchase from unaffiliated mortgage loan sellers. Sample size is determined by due diligence results for prior purchased pools from that seller, performance of mortgage loans previously purchased and characteristics of the pool presented for purchase. Automated valuation models are obtained on all mortgage loans purchased from unaffiliated sellers. For mortgage loans originated by Washington Mutual Bank, Washington Mutual Banks credit risk oversight department conducts a quality control review of statistical samplings of originated mortgage loans on a regular basis. Case 1:12-cv-04761-JSR Document 35-2 Filed 01/21/13 Page 42 of 140
16
EXHIBIT B2
Pros. Supp. dated 4/5/07 at S-29 to S-30: All of the mortgage loans owned by the trust have been, or will be, originated by the sponsor through wholesale brokers or re-underwritten upon acquisition from correspondents by the sponsor generally in accordance with the WMB sub-prime underwriting standards described in this section. The WMB sub-prime underwriting standards are primarily intended to evaluate the prospective borrowers credit standing and repayment ability as well as the value and adequacy of the mortgaged property as collateral. Prospective borrowers are required to complete a standard loan application in which they provide financial information regarding the amount of income and related sources, liabilities and related monthly payments, credit history and employment history, as well as certain other personal information. During the underwriting or reunderwriting process, the sponsor reviews and verifies the prospective borrowers sources of income (only under the full documentation residential loan program), calculates the amount of income from all such sources indicated on the loan application, reviews the credit history and credit score(s) of the prospective borrower and calculates the debt-to-income ratio to determine the prospective borrowers ability to repay the loan, and determines whether the mortgaged property complies with the WMB sub-prime underwriting standards. Case 1:12-cv-04761-JSR Document 35-2
WMHE 2007-HE2
Filed 01/21/13 Page 43 of 140
17

INDEX NO. 650180/2012
NYSCEF DOC. NO. 8
EXHIBIT B3
SECURITIZATION
STATEMENTS REGARDING LOAN ORIGINATION AND UNDERWRITING STANDARDS FROM THE PROSPECTUS SUPPLEMENTS AND PROSPECTUSES Prospectus (Pros.) dated 3/31/06 at 21: All mortgage loans to be included in a trust fund will have been subject to underwriting standards acceptable to the depositor and applied as described in the following paragraph. Each mortgage loan seller, or another party on its behalf, will represent and warrant that mortgage loans purchased by or on behalf of the depositor from it have been originated by the related originators in accordance with these underwriting guidelines. The underwriting standards are applied by the originators to evaluate the value of the mortgaged property and to evaluate the adequacy of the mortgaged property as collateral for the mortgage loan. While the originators primary consideration in underwriting a mortgage loan is the value of the mortgaged property, the originator also considers the borrowers credit history and repayment ability as well as the type and use of the mortgaged property. Pros. Supp. dated 04/05/2007 at S-30: All of the Mortgage Loans originated by the Originators are based on loan application packages submitted directly or indirectly by a loan applicant to the related Originator. Prospectus Supplement (Pros. Supp.) dated 8/17/06 at S-30: Each loan application package has an application completed by the applicant that includes information with respect to the applicants liabilities, income, credit history and employment history, as well as certain other personal information. The Originators also obtain (or in the case of Argents Underwriting Guidelines, the broker submits) a credit report on each applicant from a credit reporting company.
ARSI 2006-M2
Filed 01/21/13 Page 44 of 140
EXHIBIT B3
Pros. Supp. at S-29: Case 1:12-cv-04761-JSR Document 35-2 The Underwriting Guidelines are primarily intended to evaluate: (1) the applicants credit standing and repayment ability and (2) the value and adequacy of the mortgaged property as collateral.
Filed 01/21/13 Page 45 of 140
EXHIBIT B3
Pros. dated 3/31/06 at 21: All mortgage loans to be included in a trust fund will have been subject to underwriting standards acceptable to the depositor and applied as described in the following paragraph. Each mortgage loan seller, or another party on its behalf, will represent and warrant that mortgage loans purchased by or on behalf of the depositor from it have been originated by the related originators in accordance with these underwriting guidelines. The underwriting standards are applied by the originators to evaluate the value of the mortgaged property and to evaluate the adequacy of the mortgaged property as collateral for the mortgage loan. While the originators primary consideration in underwriting a mortgage loan is the value of the mortgaged property, the originator also considers the borrowers credit history and repayment ability as well as the type and use of the mortgaged property. Pros. Supp. dated 4/19/06 at pgs. S-30 to S-31: Each loan application package has an application completed by the applicant that includes information with respect to the applicants liabilities, income, credit history and employment history, as well as certain other personal information. The Originator also obtains (or the broker submits) a credit report on each applicant from a credit reporting company. Pros. Supp. at S-30: The Underwriting Guidelines are primarily intended to evaluate: (1) the applicants credit standing and repayment ability and (2) the value and adequacy of the mortgaged property as collateral. Case 1:12-cv-04761-JSR Document 35-2
ARSI 2006-W4
Filed 01/21/13 Page 46 of 140
EXHIBIT B3
Private Placement Memorandum (PPM) dated 7/11/07 at 46-47: The New Century Underwriting Guidelines were primarily intended to assess the borrowers ability to repay the related NC Mortgage Loan, to assess the value of the mortgaged property and to evaluate the adequacy of the property as collateral for the NC Mortgage Loan. While New Centurys primary consideration in underwriting a mortgage loan was the value of the mortgaged property, New Century also considered, among other things, a mortgagors credit history, repayment ability and debt service-to-income ratio, as well as the type and use of the mortgaged property. Each applicant completed an application that included information with respect to the applicants liabilities, income, credit history, employment history and personal information. The New Century Underwriting Guidelines required a credit report on each applicant from a credit reporting company. The report typically contained information relating to matters such as credit history with local and national merchants and lenders, installment debt payments and any record of defaults, bankruptcies, repossessions or judgments. Case 1:12-cv-04761-JSR Document 35-2
CBASS 2007-CB6
Filed 01/21/13 Page 47 of 140
EXHIBIT B3
Pros. Supp. dated 4/27/06 at S-22: The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originators in the ordinary course of its business pursuant to the Purchase and Servicing Agreements. Pros. Supp. at S-29: Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related Mortgage Property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower is generally required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Pros. Supp. at S-38: The Chase Originator Mortgage Loans were underwritten substantially in accordance with the underwriting criteria set forth below under The Chase Originators. The American Home Mortgage Loans were underwritten substantially in accordance with the underwriting criteria set forth below under American Home Mortgage Corp. All other Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under General Underwriting Guidelines. Pros. Supp. at S-42: Countrywide Home Loans underwriting standards are applied by or on behalf of Countrywide Home Loans to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral. Case 1:12-cv-04761-JSR Document 35-2
JPALT 2007-A2
Filed 01/21/13 Page 48 of 140
EXHIBIT B3
Pros. dated 4/24/06 at 22: Case 1:12-cv-04761-JSR Document 35-2 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgaged property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information.
Filed 01/21/13 Page 49 of 140
EXHIBIT B3
Pros. Supp. dated 6/28/06 at S-20: The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originators in the ordinary course of its business pursuant to the Purchase and Servicing Agreements. Pros. Supp. dated 06/28/2006 at S-20: The mortgage loans have been purchased or originated, underwritten and documented in accordance with the guidelines of Fannie Mae, Freddie Mac, the Federal Housing Administration (FHA), the U.S. Department of Veterans Affairs VA), the U.S. Department of Agriculture Guaranteed Rural Housing Program (GRH), Ginnie Mae, the underwriting guidelines of specific private investors, and the non-conforming or Alt-A underwriting guidelines established by American Home. Pros. Supp. at S-26: The Chase Originator Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under "---The Chase Originators---Underwriting Guidelines". The American Home Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under "---American Home Mortgage Corp.---Underwriting Guidelines". All other Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under "--General Underwriting Guidelines". Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related Mortgage Property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower is generally required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Case 1:12-cv-04761-JSR Document 35-2
JPALT 2006-A3
Filed 01/21/13 Page 50 of 140
EXHIBIT B3
Pros. dated 4/24/06 at 22: Case 1:12-cv-04761-JSR Document 35-2 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgaged property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information.
Filed 01/21/13 Page 51 of 140
EXHIBIT B3
Pros. Supp. dated 9/28/06 at S-17: The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originators in the ordinary course of its business pursuant to the Purchase and Servicing Agreements. Pros. Supp. at pgs. S-23 to S-24: The Chase Originator Mortgage Loans, American Home Mortgage Loans, Countrywide Mortgage Loans and PHH Mortgage Loans were underwritten substantially in accordance with the underwriting criteria specified in this section for such Originator. All other Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under General Underwriting Guidelines. Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related Mortgage Property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower is generally required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Pros. Supp. at pg. S-33: Countrywide Home Loans underwriting standards are applied by or on behalf of Countrywide Home Loans to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral. Pros. dated 9/21/06 at pg. 22: Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgaged property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. 9 Case 1:12-cv-04761-JSR Document 35-2
JPALT 2006-A5
Filed 01/21/13 Page 52 of 140
EXHIBIT B3
Pros. Supp. dated 10/27/06 at S-18: The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originators in the ordinary course of its business pursuant to the Purchase and Servicing Agreements. Pros. Supp. at S-23- S-24: The Chase Originator Mortgage Loans, Countrywide Mortgage Loans and PHH Mortgage Loans were underwritten substantially in accordance with the underwriting criteria specified in this section for such Originator. All other Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under General Underwriting Guidelines. Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related Mortgage Property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower is generally required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Pros. Supp. at S-27: Countrywide Home Loans underwriting standards are applied by or on behalf of Countrywide Home Loans to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral. Pros. dated 9/21/06 at 22: Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgaged property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. 10 Case 1:12-cv-04761-JSR Document 35-2
JPALT 2006-A6
Filed 01/21/13 Page 53 of 140
EXHIBIT B3
Pros. Supp. dated 11/28/06 at S-18: The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originators in the ordinary course of its business pursuant to the Purchase and Servicing Agreements. Pros. Supp. at S-24: The Chase Originator Mortgage Loans, Countrywide Mortgage Loans, Flagstar Mortgage Loans and PHH Mortgage Loans were underwritten substantially in accordance with the underwriting criteria specified in this section for such Originator. All other Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under General Underwriting Guidelines. Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related Mortgage Property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower is generally required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Pros. Supp. at S-27: Countrywide Home Loans underwriting standards are applied by or on behalf of Countrywide Home Loans to evaluate the prospective borrowers credit standing and repayment ability and the value and adequacy of the mortgaged property as collateral. Pros. dated 9/21/06 at pg. 22 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgaged property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. 11 Case 1:12-cv-04761-JSR Document 35-2
JPALT 2006-A7
Filed 01/21/13 Page 54 of 140
EXHIBIT B3
Pros. Supp. dated 2/26/07 at pg. S-25 The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originators in the ordinary course of its business pursuant to the Purchase and Servicing Agreements. Pros. Supp. at pgs. S-35 to S-36 The Chase Originator Mortgage Loans and GreenPoint Mortgage Loans were underwritten substantially in accordance with the underwriting criteria specified in this section for such Originator. All other Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under General Underwriting Guidelines. Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related Mortgage Property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower is generally required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Pros. dated 02/26/2007 at 17: The Assets will be acquired by the depositor, either directly or through affiliates, from the sponsor. The sponsor may be an affiliate of the depositor. Loans acquired by the depositor will have been originated in accordance with the underwriting criteria described in this prospectus under The Loans Underwriting Standards or otherwise in accordance with the standards set forth in the prospectus supplement. Case 1:12-cv-04761-JSR Document 35-2
JPALT 2007-A1
Filed 01/21/13 Page 55 of 140
12
EXHIBIT B3
Pros. dated 2/26/07 at pg. 22 Case 1:12-cv-04761-JSR Document 35-2 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgaged property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information.
Filed 01/21/13 Page 56 of 140
13
EXHIBIT B3
Pros. Supp. dated 5/31/07 at pg. S-28 The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originators in the ordinary course of its business pursuant to the Purchase and Servicing Agreements. Pros. Supp. at pg. S-38-S-39 The Chase Originator Mortgage Loans were underwritten substantially in accordance with the underwriting criteria set forth below under The Chase Originators. The American Home Mortgage Loans were underwritten substantially in accordance with the underwriting criteria set forth below under American Home Mortgage Corp. All other Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under General Underwriting Guidelines. Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related Mortgage Property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower is generally required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Pros. dated 4/26/07 at pg. 22 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgaged property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. Case 1:12-cv-04761-JSR Document 35-2
JPALT 2007-A2
Filed 01/21/13 Page 57 of 140
14
EXHIBIT B3
Pros. Supp. dated 5/23/06 at pg. S-23 The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein. See The OriginatorUnderwriting Standards below. Pros. Supp. dated 05/23/2006 at S-23: The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein. Pros. dated 4/24/06 at pg. 22 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgage property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower generally is required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-CW1
Filed 01/21/13 Page 58 of 140
15
EXHIBIT B3
Pros. Supp. dated 10/27/06 at pg. S-25 The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans acquired from ResMAE and NovaStar were underwritten by ResMAE and NovaStar substantially in accordance with the related underwriting criteria specified herein. See The OriginatorsResMAE Mortgage Corporation and NovaStar Mortgage, Inc. below. All other Mortgage Loans were underwritten substantially in accordance with the underwriting criteria described below under The OriginatorsGeneral Underwriting Guidelines. Pros. Supp. at S-23: The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein. Pros. dated 9/21/06 at pg. 22 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgage property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower generally is required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-HE3
Filed 01/21/13 Page 59 of 140
16
EXHIBIT B3
Pros. Supp. dated 4/5/06 at pg. S-23 The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein. See The OriginatorUnderwriting Standards below. Pros. Supp. at S-17: The mortgage loans were either originated or acquired in accordance, generally, with the underwriting guidelines described in this prospectus supplement. Pros. dated 4/4/06 at pg. 28 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgage property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower generally is required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-NC1
Filed 01/21/13 Page 60 of 140
17
EXHIBIT B3
Pros. Supp. dated 9/21/06 at pg. S-24 The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein. See The OriginatorUnderwriting Standards below. Pros. dated 9/21/06 at pg. 22 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgage property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower generally is required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-RM1
Filed 01/21/13 Page 61 of 140
18
EXHIBIT B3
JPMAC 2006-WMC2 Pros. Supp. dated 6/8/06 at pg. S-24 The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein. See The OriginatorWMC Mortgage Corp.Underwriting Standards below. Pros. Supp. at S-55: The Underwriting Guidelines are applied in accordance with a procedure which complies with applicable federal and state laws and regulations and requires, among other things, 1) an appraisal of the mortgaged property which conforms to Uniform Standards of Professional Appraisal Practice and 2) an audit of such appraisal by a WMC Mortgage Corp.-approved appraiser or by WMC Mortgage Corp.s in-house collateral auditors (who may be licensed appraisers) and such audit may in certain circumstances consist of a second appraisal, a field review, a desk review or an automated valuation model. Pros. dated 4/24/06 at pg. 18 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgage property, home improvements or manufactured home, as applicable, as collateral. Case 1:12-cv-04761-JSR Document 35-2 Filed 01/21/13 Page 62 of 140
19
EXHIBIT B3
JPMAC 2006-WMC3 Pros. Supp. dated 8/22/06 at pg. S-24 The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein. See The OriginatorWMC Mortgage Corp.Underwriting Standards below. Pros. dated 4/24/06 at pg. 22 Underwriting standards are applied by or on behalf of a lender to evaluate a borrowers credit standing and repayment ability, and the value and adequacy of the related mortgage property as collateral. In general, a prospective borrower applying for a loan is required to fill out a detailed application designed to provide to the underwriting officer pertinent credit information. As part of the description of the borrowers financial condition, the borrower generally is required to provide a current list of assets and liabilities and a statement of income and expenses, as well as an authorization to apply for a credit report which summarizes the borrowers credit history with local merchants and lenders and any record of bankruptcy. Case 1:12-cv-04761-JSR Document 35-2 Filed 01/21/13 Page 63 of 140
20
EXHIBIT B3
Pros. Supp. dated 8/25/06 at pg. S-51 The mortgage loans were originated in accordance with Residential Funding Corporations underwriting standards described above. Pros. Supp. at pg. S-47 Residential Funding Corporations underwriting of the mortgage loans generally consisted of analyzing the following as standards applicable to the mortgage loans: the creditworthiness of a mortgagor, the income sufficiency of a mortgagors projected family income relative to the mortgage payment and to other fixed obligations, including in certain instances rental income from investment property, and the adequacy of the mortgaged property expressed in terms of LTV ratio, to serve as the collateral for a mortgage loan. Generally, each mortgagor would have been required to complete an application designed to provide to the original lender pertinent credit information concerning the mortgagor. As part of the description of the mortgagors financial condition, each mortgagor would have been required to furnish information with respect to the mortgagors assets, liabilities, income, credit history, employment history and personal information, and furnished an authorization to apply for a credit report which summarized the borrowers credit history with local merchants and lenders and any record of bankruptcy. Pros. dated 8/9/06 at pg. 10 The depositor expects that the originator of each of the mortgage loans will have applied, consistent with applicable federal and state laws and regulations, underwriting procedures intended to evaluate the borrowers credit standing and repayment ability and/or the value and adequacy of the related property as collateral. Case 1:12-cv-04761-JSR Document 35-2
RASC 2006-KS7
Filed 01/21/13 Page 64 of 140
21
EXHIBIT B3
Pros. Supp. dated 2/22/07 at pg. S-63 The mortgage loans were originated in accordance with Residential Funding Company, LLCs underwriting standards described above. Pros. Supp. at pg. S-59 Residential Funding Company, LLCs underwriting of the mortgage loans generally consisted of analyzing the following as standards applicable to the mortgage loans: the creditworthiness of a mortgagor, the income sufficiency of a mortgagors projected family income relative to the mortgage payment and to other fixed obligations, including in certain instances rental income from investment property, and the adequacy of the mortgaged property expressed in terms of LTV ratio, to serve as the collateral for a mortgage loan. Generally, each mortgagor would have been required to complete an application designed to provide to the original lender pertinent credit information concerning the mortgagor. As part of the description of the mortgagors financial condition, each mortgagor would have been required to furnish information with respect to the mortgagors assets, liabilities, income, credit history, employment history and personal information, and furnished an authorization to apply for a credit report which summarized the borrowers credit history with local merchants and lenders and any record of bankruptcy. Pros. dated 12/6/06 at pg. 10 The depositor expects that the originator of each of the mortgage loans will have applied, consistent with applicable federal and state laws and regulations, underwriting procedures intended to evaluate the borrowers credit standing and repayment ability and/or the value and adequacy of the related property as collateral. Case 1:12-cv-04761-JSR Document 35-2
RASC 2007-KS2
Filed 01/21/13 Page 65 of 140
22

INDEX NO. 650180/2012
NYSCEF DOC. NO. 9
EXHIBIT C1
SECURITIZATION
STATEMENTS REGARDING LOAN SELECTION DUE DILILGENCE PRACTICES FROM THE PROSPECTUS SUPPLEMENTS AND PROSPECTUSES Prospectus Supplement (Pros. Supp.) dated 06/29/06 at S-45: The mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. Supp. at S-53: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase.
BALTA 2006-4
Filed 01/21/13 Page 66 of 140
EXHIBIT C1
Pros. Supp. dated 10/30/2006 at S-18: The mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representation and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. Supp. at S-21: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase. Pros. Supp. dated 02/21/2066 at S-27: The mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representation and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. Supp. at S-40: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase.
BALTA 2006-7
BSABS 2006-EC2
Filed 01/21/13 Page 67 of 140
EXHIBIT C1
Pros. Supp. dated 10/30/2006 at S-38: The mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representation and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. Supp. at S-53: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase. Pros. dated 10/18/2006 at 246 The selection criteria applicable to the loans will be specified in the related prospectus supplement. These include, but are not limited to, the combined loan-to-value ratios or loan-to-value ratios, as applicable, original terms to maturity and delinquency information. Case 1:12-cv-04761-JSR Document 35-2
BSABS 2006-HE8
Filed 01/21/13 Page 68 of 140
EXHIBIT C1
Pros. Supp. dated 4/21/2006 at S-28: The mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. Supp. at S-45; Pros. dated 4/5/2006 at 91: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase. Pros. 4/5/2006 at 31: The selection criteria applicable to the loans will be specified in the related prospectus supplement. These include, but are not limited to, the combined loan-to-value ratios or loan-to-value ratios, as applicable, original terms to maturity and delinquency information. Case 1:12-cv-04761-JSR Document 35-2
BSABS 2006-IM1
Filed 01/21/13 Page 69 of 140
EXHIBIT C1
Pros. Supp. dated 05/14/2007 at S-32: The mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. Supp. at S-62: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase. Pros. 3/14/2007 dated at 32 The selection criteria applicable to the loans will be specified in the related prospectus supplement. These include, but are not limited to, the combined loan-to-value ratios or loan-to-value ratios, as applicable, original terms to maturity and delinquency information. Case 1:12-cv-04761-JSR Document 35-2
BSABS 2007-2
Filed 01/21/13 Page 70 of 140
EXHIBIT C1
CARR 2006-NC3
Pros. Supp. dated 8/7/2006 at S-37: The mortgage loans will be acquired by the depositor from the sponsor in the manner described in this prospectus supplement. Pros. Supp. at S-35: The structuring of the offerings through the Carrington Securities securitization program is done by the underwriters for each such transaction. Pros. dated 8/1/2006 at 7: Each mortgage loan will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor from any of the following sources: either directly or through its affiliates, including Carrington Securities, LP any of which affiliates we sometimes refer to as an Affiliated Intermediary Seller; sellers who are affiliates of the depositor; or savings banks, savings and loan associations, commercial banks, credit unions, insurance companies or similar institutions that are supervised and/or examined by a federal or state authority, lenders approved by the United States Department of Housing and Urban Development, known as HUD, mortgage bankers, investment banking firms, the Federal Deposit Insurance Corporation, known as the FDIC, and other mortgage loan originators or sellers not affiliated with the depositor, all as described in the accompanying prospectus supplement. Pros. at 16: Each Seller is selected by Carrington Securities, LP. In determining whether to approve a mortgage collateral seller, Carrington Securities, LP generally considers, among other things: the financial status of the mortgage collateral seller; the previous experience of the mortgage collateral seller in originating mortgage loans and its potential origination volumes; the prior delinquency and loss experience of the mortgage collateral seller (if available); the underwriting standards employed by the mortgage collateral seller and its quality control procedures; and, if applicable, the servicing operations of the mortgage collateral seller. A mortgage collateral seller may be an affiliate of the depositor. 6 Case 1:12-cv-04761-JSR Document 35-2 Filed 01/21/13 Page 71 of 140
EXHIBIT C1
Pros. Supp. dated 12/14/2006 at S-37: The mortgage loans were acquired by the depositor from the sponsor in the manner described in this prospectus supplement. Pros. Supp. at S-35: The structuring of the offerings through the Carrington Securities securitization program is done by the underwriters for each such transaction. Pros. dated 10/4/2006 at 7: Each mortgage loan will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor from any of the following sources: either directly or through its affiliates, including Carrington Securities, LP any of which affiliates we sometimes refer to as an Affiliated Intermediary Seller; sellers who are affiliates of the depositor; or savings banks, savings and loan associations, commercial banks, credit unions, insurance companies or similar institutions that are supervised and/or examined by a federal or state authority, lenders approved by the United States Department of Housing and Urban Development, known as HUD, mortgage bankers, investment banking firms, the Federal Deposit Insurance Corporation, known as the FDIC, and other mortgage loan originators or sellers not affiliated with the depositor, all as described in the accompanying prospectus supplement. Pros. at 16: Each Seller is selected by Carrington Securities, LP. In determining whether to approve a mortgage collateral seller, Carrington Securities, LP generally considers, among other things: the financial status of the mortgage collateral seller; the previous experience of the mortgage collateral seller in originating mortgage loans and its potential origination volumes; the prior delinquency and loss experience of the mortgage collateral seller (if available); the underwriting standards employed by the mortgage collateral seller and its quality control procedures; and, if applicable, the servicing operations of the mortgage collateral seller. A mortgage collateral seller may be an affiliate of the depositor. 7 Case 1:12-cv-04761-JSR Document 35-2
CARR 2006-NC5
Filed 01/21/13 Page 72 of 140
EXHIBIT C1
Pros. Supp. dated 5/19/2006 at S-35: The mortgage loans will be acquired by the depositor from the sponsor in the manner described in this prospectus supplement. Pros. Supp. at S-33: The structuring of the offerings through the Carrington Securities securitization program is done by the underwriters for each such transaction. Pros. dated 5/16/2006 at 6-7: Each mortgage loan will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor from any of the following sources: either directly or through its affiliates, including Carrington Securities, LP any of which affiliates we sometimes refer to as an Affiliated Intermediary Seller; sellers who are affiliates of the depositor; or savings banks, savings and loan associations, commercial banks, credit unions, insurance companies or similar institutions that are supervised and/or examined by a federal or state authority, lenders approved by the United States Department of Housing and Urban Development, known as HUD, mortgage bankers, investment banking firms, the Federal Deposit Insurance Corporation, known as the FDIC, and other mortgage loan originators or sellers not affiliated with the depositor, all as described in the accompanying prospectus supplement. Pros. at 16: Each Seller is selected by Carrington Securities, LP. In determining whether to approve a mortgage collateral seller, Carrington Securities, LP generally considers, among other things: the financial status of the mortgage collateral seller; the previous experience of the mortgage collateral seller in originating mortgage loans and its potential origination volumes; the prior delinquency and loss experience of the mortgage collateral seller (if available); the underwriting standards employed by the mortgage collateral seller and its quality control procedures; and, if applicable, the servicing operations of the mortgage collateral seller. A mortgage collateral seller may be an affiliate of the depositor. 8 Case 1:12-cv-04761-JSR Document 35-2
CARR 2006-RFC1
Filed 01/21/13 Page 73 of 140
EXHIBIT C1
Pros. Supp. dated 4/7/2007 at S-39: The mortgage loans were acquired by the depositor from the sponsor in the manner described in this prospectus supplement. Pros. Supp. at S-39: The structuring of the offerings through the Carrington Securities securitization program is done by the underwriters for each such transaction. Pros. Supp. at S-89: Fremont conducted a number of quality control procedures, including a post-funding review as well as a full re-underwriting of a random selection of loans to assure asset quality. Under the funding review, all loans were reviewed to verify credit grading, documentation compliance and data accuracy. Under the asset quality procedure, a random selection of each months originations was reviewed. The loan review confirmed the existence and accuracy of legal documents, credit documentation, appraisal analysis and underwriting decision. Pros. dated 3/27/2007 at 7: Each mortgage loan will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor from any of the following sources: either directly or through its affiliates, including Carrington Securities, LP any of which affiliates we sometimes refer to as an Affiliated Intermediary Seller; sellers who are affiliates of the depositor; or savings banks, savings and loan associations, commercial banks, credit unions, insurance companies or similar institutions that are supervised and/or examined by a federal or state authority, lenders approved by the United States Department of Housing and Urban Development, known as HUD, mortgage bankers, investment banking firms, the Federal Deposit Insurance Corporation, known as the FDIC, and other mortgage loan originators or sellers not affiliated with the depositor, all as described in the accompanying prospectus supplement. Case 1:12-cv-04761-JSR Document 35-2
CARR 2007-FRE1
Filed 01/21/13 Page 74 of 140
EXHIBIT C1
Offering Circular dated 06/29/2007 at 6: Each mortgage loan will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor, either directly or through its affiliates, from Unaffiliated Sellers or Affiliated Sellers. As to each series of securities, the mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes.
IMM 2007-A
IMSA 2006-2
Pros. dated 06/27/2006 at 6: Each mortgage loan will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor, either directly or through its affiliates, from Unaffiliated Sellers or Affiliated Sellers. As to each series of securities, the mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes.
Filed 01/21/13 Page 75 of 140
10
EXHIBIT C1
Pros. dated 04/27/2007 at 4: Each mortgage loan will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor, either directly or through its affiliates, from Unaffiliated Sellers or Affiliated Sellers. As to each series of securities, the mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes.
IMSA 2007-3
INDX 2006-AR29
Pros. Supp. dated 09/28/2006 at S-30: The seller will represent and warrant to the depositor in the pooling and service agreement that the Mortgage Loans were selected from among the outstanding one-to-four family-mortgage loans in the sellers portfolio as to which the representations and warranties set forth in the pooling and servicing agreement can be made and that the selection was not made in a manner intended to affect the interests of the certificateholders adversely. Pros. Supp. at S-44: IndyMac Bank acquired pools of mortgage loans in negotiated transactions either with the original mortgagee or an intermediate owner of the mortgage loans. Pros. Supp. at S-51: As the sponsor, IndyMac Bank originates and acquires mortgage loans and initiates their securitization by transferring the mortgage loans to the depositor. The mortgage loans are then transferred to the issuing entity for the related securitization. The sponsor works with the underwriters and rating agencies in structuring their securitization transactions.
Filed 01/21/13 Page 76 of 140
11
EXHIBIT C1
Pro. Supp. dated 7/5/2007 at S-30; Pros. dated 6/26/2007 at 19: The mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes.
Pros. Supp. at S-49:
MSST 2007-1
MSMCH works with rating agencies, co-sponsors, underwriters (which for certain securitizations may include Morgan Stanley & Co. Incorporated, which is an affiliate, through common parent ownership, of MSMCH), mortgage loan sellers and servicers in structuring the securitization transaction. Pros. at 90: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase. Pros. at 91: Performing loans acquired by the sponsor are subject to varying levels of due diligence prior to purchase. Portfolios may be reviewed for credit, data integrity, appraisal valuation, documentation, as well as compliance with certain laws.
12
EXHIBIT C1
Pros. dated 7/6/2007 at 3: As to each series of securities, the mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. Supp. dated 11/17/2006 at S-52: The depositor believes that the information set forth in this prospectus supplement will be representative of the characteristics of the mortgage pool as it will be constituted at the time the certificates are issued. Pros. Supp. at S-109: The sponsor is responsible for pooling the mortgage loans to be securitized by the depositor, negotiating the principal securitization transaction documents and participating with the underwriters in the structuring of such transactions. Pros. Supp. dated 7/11/2007 at S-30; Pros. dated 6/26/2007 at 19: As to each series of securities, the mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. Pros. at 91: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase.
NAA 2007-3
NCMT 2007-1
Filed 01/21/13 Page 78 of 140
13
EXHIBIT C1
Pros. Supp. at S-38-S-39: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by the Sponsor are subject to varying levels of due diligence prior to purchase. Pros. Supp. dated 1/26/2006 at S-28: The mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, Form S-3 eligibility and other legal purposes. Pros. Supp. dated 8/31/2006 at S-37; Pros. dated 6/15/2006 at 60: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by EMC are subject to varying levels of due diligence prior to purchase. Pros. at 13: Each mortgage loan will be selected by the depositor or its affiliates for inclusion in a mortgage pool from among those purchased by the depositor, either directly or through its affiliates, from Unaffiliated Sellers or Affiliated Sellers. As to each series of securities, the mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. If a mortgage pool is composed of mortgage loans acquired by the depositor directly from Unaffiliated Sellers, the related prospectus supplement will specify the extent of mortgage loans so acquired. The characteristics of the mortgage loans will be as described in the related prospectus supplement. 14
SACO 2006-2
SAMI 2006-AR7
Filed 01/21/13 Page 79 of 140
EXHIBIT C1
Pros. Supp. dated 10/27/06 at S-39; Pros. dated 10/27/06 at 60: Loans are generally purchased with the ultimate strategy of securitization into an array of Bear Stearns securitizations based upon product type and credit parameters, including those where the loan has become reperforming or cash-flowing. Performing loans include first lien fixed rate and ARMs, as well as closed end fixed rate second liens and lines of credit (HELOCs). Performing loans acquired by EMC are subject to varying levels of due diligence prior to purchase. Pros. at 13: Each mortgage loan will be selected by the depositor or its affiliates for inclusion in a mortgage pool from among those purchased by the depositor, either directly or through its affiliates, from Unaffiliated Sellers or Affiliated Sellers. As to each series of securities, the mortgage loans will be selected for inclusion in the mortgage pool based on rating agency criteria, compliance with representations and warranties, and conformity to criteria relating to the characterization of securities for tax, ERISA, SMMEA, Form S-3 eligibility and other legal purposes. If a mortgage pool is composed of mortgage loans acquired by the depositor directly from Unaffiliated Sellers, the related prospectus supplement will specify the extent of mortgage loans so acquired. The characteristics of the mortgage loans will be as described in the related prospectus supplement. Case 1:12-cv-04761-JSR Document 35-2
SAMI 2006-AR8
Filed 01/21/13 Page 80 of 140
15

INDEX NO. 650180/2012
NYSCEF DOC. NO. 10
EXHIBIT C2
SECURITIZATION
STATEMENTS REGARDING LOAN SELECTION DUE DILILGENCE PRACTICES FROM THE PROSPECTUS SUPPLEMENTS AND PROSPECTUSES Prospectus Supplement (Pros. Supp.) dated 12/11/2006 at S-69: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 07/21/2006 at 12: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly or through its affiliates, from Washington Mutual Bank, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor.
LBMLT 2006-11
Filed 01/21/13 Page 81 of 140
EXHIBIT C2
Pros. Supp. dated 04/03/2006 at S-35: All of the mortgage loans owned by the trust have been either originated by the sponsor through wholesale brokers or purchased by the sponsor from approved correspondents and were underwritten or reunderwritten by the sponsor generally in accordance with its underwriting guidelines as described in this prospectus supplement. The sponsor originates mortgage loans through its network of mortgage lending offices and loan origination centers. Pros. Supp. at S-68: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 02/04/2004 at 7: Each mortgage asset will be selected by the depositor for inclusion in a trust fund from among those purchased by the depositor, either directly or through its affiliates, from Long Beach Mortgage Company, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-3
Filed 01/21/13 Page 82 of 140
EXHIBIT C2
Pros. Supp. dated 5/3/2006 at S-49: Each of the mortgage loans was, or will be, selected from the sponsors portfolio of mortgage loans. The mortgage loans were, or will be, originated by the sponsor or acquired by the sponsor in the secondary market or from one of its affiliates in the ordinary course of its business and were, or will be, underwritten or re-underwritten by the sponsor generally in accordance with its underwriting guidelines as described under Underwriting of the Mortgage Loans in this prospectus supplement. Pros. Supp. at S-65: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 4/7/2006 at 10: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly or through its affiliates, from Long Beach Mortgage Company, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-4
Filed 01/21/13 Page 83 of 140
EXHIBIT C2
Pros. Supp. dated 06/12/2006 at S-59: Each of the mortgage loans was, or will be, selected from the sponsors portfolio of mortgage loans. The mortgage loans were, or will be, originated by the sponsor or acquired by the sponsor in the secondary market or from one of its affiliates in the ordinary course of its business and were, or will be, underwritten or re-underwritten by the sponsor generally in accordance with its underwriting guidelines as described under Underwriting of the Mortgage Loans in this prospectus supplement. Pros. Supp. at S-64-S-65: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-5
Filed 01/21/13 Page 84 of 140
EXHIBIT C2
Pros. Supp. dated 07/21/2006 at S-61: Each of the mortgage loans was, or will be, selected from the sponsors portfolio of mortgage loans. The mortgage loans were, or will be, originated by the sponsor or acquired by the sponsor in the secondary market or from one of its affiliates in the ordinary course of its business and were, or will be, underwritten or re-underwritten by the sponsor generally in accordance with the Long Beach underwriting guidelines as described under Underwriting of the Mortgage Loans in this prospectus supplement. Pros. Supp. at S-67: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 7/21/2006 at 12: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly or through its affiliates, from Long Beach Mortgage Company, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-6
Filed 01/21/13 Page 85 of 140
EXHIBIT C2
Pros. Supp. dated 08/24/2006 at S-65: Each of the mortgage loans was, or will be, selected from the sponsors portfolio of mortgage loans. The mortgage loans were, or will be, originated by the sponsor or acquired by the sponsor in the secondary market or from one of its affiliates in the ordinary course of its business and were, or will be, underwritten or re-underwritten by the sponsor generally in accordance with the Long Beach underwriting guidelines as described under Underwriting of the Mortgage Loans in this prospectus supplement. Pros. Supp. at S-70-71: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 7/21/2006 at 12: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly or through its affiliates, from Washington Mutual Bank, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-7
Filed 01/21/13 Page 86 of 140
EXHIBIT C2
Pros. Supp. dated 09/15/2006 at S-64: Each of the mortgage loans was, or will be, selected from the sponsors portfolio of mortgage loans. The mortgage loans were, or will be, originated by the sponsor or acquired by the sponsor in the secondary market or from one of its affiliates in the ordinary course of its business and were, or will be, underwritten or re-underwritten by the sponsor generally in accordance with the Long Beach underwriting guidelines as described under Underwriting of the Mortgage Loans in this prospectus supplement. Pros. Supp. at S-39: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 7/21/2006 at 12: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly or through its affiliates, from Washington Mutual Bank, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-8
Filed 01/21/13 Page 87 of 140
EXHIBIT C2
Pros. Supp. dated 06/23/2006 at S-60: The sponsor selected the mortgage loans from among the portfolio of mortgage loans available to it for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix B to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. The mortgage loan sellers used no adverse selection procedures in selecting the mortgage loans from among the outstanding adjustable rate conventional mortgage loans owned by it which were available for sale and as to which the representations and warranties in the mortgage loan sale agreement could be made.
WAMU 2006-AR7
Pros. dated 1/6/2006 at 28: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly or through its affiliates, from Washington Mutual Bank, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor.
Filed 01/21/13 Page 88 of 140
EXHIBIT C2
Pros. Supp. dated 05/23/2006 at S-33-34: The sponsor participated with the underwriters in structuring the securitization transaction. Pros. Supp. at S-69: The sponsor selected the mortgage loans from among it portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix B (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 1/6/2006 at 28: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly through its affiliated, from Washington Mutual Bank, the parent of the depositor, and its affiliates, or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the Depositor. Case 1:12-cv-04761-JSR Document 35-2
WMABS 2006-HE2
Filed 01/21/13 Page 89 of 140
EXHIBIT C2
Pros. Supp. dated 03/07/2007 at S-68: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix B (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 2/13/2007 at 27: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly through its affiliated, from Washington Mutual Bank, the parent of the depositor, and its affiliates, or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the Depositor. Case 1:12-cv-04761-JSR Document 35-2
WMABS 2007-HE2
Filed 01/21/13 Page 90 of 140
10
EXHIBIT C2
Pros. Supp. dated 01/26/2007 at S-48: The sponsor used no adverse selection procedures in selecting the mortgage loans from among the outstanding adjustable rate conventional mortgage loans owned by it which were available for sale and as to which the representations and warranties in the mortgage loan sale agreement could be made. The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix B to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 1/11/2007 at 27: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly or through its affiliates, from Washington Mutual Bank, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Case 1:12-cv-04761-JSR Document 35-2
WMALT 2007-HY1
Filed 01/21/13 Page 91 of 140
11
EXHIBIT C2
Pros. Supp. dated 06/25/2007 at S-25- S-26: The sponsor participated with the underwriter in structuring the securitization transaction. Pros. Supp. at S-50: The sponsor used no adverse selection procedures in selecting the mortgage loans from among the outstanding adjustable rate conventional mortgage loans owned by it which were available for sale and as to which the representations and warranties in the mortgage loan sale agreement could be made. Pros. Supp. dated 6/25/2007 at S-46: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix B to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates Case 1:12-cv-04761-JSR Document 35-2
WMALT 2007-OC2
Filed 01/21/13 Page 92 of 140
12
EXHIBIT C2
Pros. Supp. dated 4/05/2007 at S-52: Each of the mortgage loans was, or will be, selected from the sponsors portfolio of mortgage loans. Pros. Supp. at S-57: The sponsor selected the mortgage loans from among its portfolio of mortgage loans held for sale based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics described in Appendix A (which is incorporated by reference into this prospectus supplement) to this prospectus supplement, and taking into account investor preferences and the depositors objective of obtaining the most favorable combination of ratings on the certificates. Pros. dated 3/22/2007 at 27: Each mortgage asset will be selected by the depositor for sale to a trust from among those purchased by the depositor, either directly or through its affiliates, from Washington Mutual Bank, the parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Case 1:12-cv-04761-JSR Document 35-2
WMHE 2007-HE2
Filed 01/21/13 Page 93 of 140
13

INDEX NO. 650180/2012
NYSCEF DOC. NO. 11
EXHIBIT C3
SECURITIZATION
STATEMENTS REGARDING LOAN SELECTION DUE DILILGENCE PRACTICES FROM THE PROSPECTUS SUPPLEMENTS AND PROSPECTUSES Prospectus Supplement (Pros. Supp.) dated 04/05/2007 at S-25: The Mortgage Loans were selected by the Seller and the Depositor using criteria established by the Seller and the Depositor in consultation with other parties. Prospectus (Pros.) dated 03/31/2006 at 9: Each mortgage asset will be selected by the depositor for inclusion in a trust fund from among those purchased by the depositor, either directly or through its affiliates, from Ameriquest Mortgage Company, the indirect parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Pros. Supp. dated 4/19/2006 at S-26: The Mortgage Loans were selected by the Seller and the Depositor using criteria established by the Seller and the Depositor in consultation with other parties. Pros. dated 3/31/2006 at 9: Each mortgage asset will be selected by the depositor for inclusion in a trust fund from among those purchased by the depositor, either directly or through its affiliates, from Ameriquest Mortgage Company, the indirect parent of the depositor, and its affiliates or from banks, savings and loan associations, mortgage bankers, mortgage brokers, investment banking firms, the Federal Deposit Insurance Corporation and other mortgage loan originators or sellers not affiliated with the depositor. Each seller of mortgage assets will be referred to in this prospectus and the related prospectus supplement as a mortgage loan seller.
ARSI 2006-M2
ARSI 2006-W4
Filed 01/21/13 Page 94 of 140
EXHIBIT C3
Private Placement Memorandum (PPM) dated 7/11/07 at pg. 32 The Seller re-underwrote a substantial majority of the Mortgage Loans it acquired from the originators generally in accordance with its underwriting standards as described below. The Seller or a loan reviewer has reviewed a substantial majority of the files related to the Mortgage Loans in connection with the acquisition of the Mortgage Loans by the Seller for credit and compliance considerations. These files may include the documentation pursuant to which the Mortgage Loan was originally underwritten, as well as the mortgagors payment history on the Mortgage Loan. In its review, the Seller evaluates the mortgagors credit standing, repayment ability and willingness to repay debt. A mortgagors ability and willingness to repay debts (including the Mortgage Loans) in a timely fashion is determined by the Seller by reviewing the quality, quantity and durability of income history, history of debt management, history of debt repayment and net worth accumulation of the mortgagor to the extent such information is available. In addition, the Seller may also obtain and review a current credit report for the mortgagor. Pros. Supp. dated 4/27/2006 at S-20: The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsors objective of obtaining the most favorable combination of ratings on the Certificates.
CBASS 2006-CB6
JPALT 2006-A2
Filed 01/21/13 Page 95 of 140
EXHIBIT C3
Pros. Supp. dated 06/28/2006 at S-19: The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsor's objective of obtaining the most favorable combination of ratings on the Certificates. Pros. Supp. dated 09/28/2006 at S-17: The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsors objective of obtaining the most favorable combination of ratings on the Certificates.
JPALT 2006-A3
JPALT 2006-A5
JPALT 2006-A6
Pros. Supp. dated 10/27/2006 at S-17: The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsors objective of obtaining the most favorable combination of ratings on the Certificates.
Filed 01/21/13 Page 96 of 140
EXHIBIT C3
Pros. Supp. at S-17: The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsors objective of obtaining the most favorable combination of ratings on the Certificates.
JPALT 2006-A7
JPALT 2007-A1
Pros. Supp. dated 2/26/07 at S-25: The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsors objective of obtaining the most favorable combination of ratings on the Certificates. Pros. Supp. dated _5/31/07_at S-28: The Sponsor selected the Mortgage Loans for sale to the Depositor from among its portfolio of mortgage loans based on a variety of considerations, including type of mortgage loan, geographic concentration, range of mortgage interest rates, principal balance, credit scores and other characteristics. In making this selection, the Sponsor took into account investor preferences and the Sponsors objective of obtaining the most favorable combination of ratings on the Certificates.
JPALT 2007-A2
Filed 01/21/13 Page 97 of 140
EXHIBIT C3
Pros. Supp. dated 05/23/2006 at S-55: The depositor acquires the loans and mortgaged-backed securities for inclusion in a securitization from the sponsor, or if specified in the prospectus supplement, from another seller, in each case in privately negotiated transactions. Pros. Supp. at S-56: In the normal course of its securitization program, JPMAC acquires loans from third party originators and through its affiliates. Employees of JPMAC or its affiliates structure securitization transactions in which the loans are sold to the depositor. Pros. Supp. dated 05/23/2006 at S-23: The Mortgage Loans have been acquired directly or indirectly by the Seller from the Originator in the ordinary course of its business pursuant to the Mortgage Loan Purchase Agreement. All of the Mortgage Loans were underwritten by the Originator substantially in accordance with the related underwriting criteria specified herein. Pros. Supp. at S-63: ResMAE conducts a number of quality control procedures, including a post funding compliance audit as well as a full re-underwriting of a random selection of mortgage loans to assure asset quality. Under the compliance audit, all mortgage loans are reviewed to verify credit grading, documentation compliance and data accuracy.
JPMAC 2006-CW1
JPMAC 2006-HE3
Filed 01/21/13 Page 98 of 140
EXHIBIT C3
Pros. Supp. dated 04/05/2006 at S-52-S-53: The depositor acquires the loans and mortgaged-backed securities for inclusion in a securitization from the sponsor, or if specified in the prospectus supplement, from another seller, in each case in privately negotiated transactions. The depositor will obtain representations and warranties from the originator and sponsor regarding the assets included in the related trust fund. All of the Mortgage Loans will be acquired on the Closing Date by the Depositor from the Sponsor and were acquired by the Sponsor from New Century prior to the Closing Date. Pros. dated at 20: The Assets will be acquired by the depositor, either directly or through affiliates, from the sponsorLoans acquired by the depositor will have been originated in accordance with the underwriting criteria described in this prospectus. Pros. Supp. dated 09/21/2006 at S-50: The depositor acquires the loans and mortgaged-backed securities for inclusion in a securitization from the sponsor, or if specified in the prospectus supplement, from another seller, in each case in privately negotiated transactions. Pros. dated 9/21/2006 at 17: The Assets will be acquired by the depositor, either directly or through affiliates, from the sponsorLoans acquired by the depositor will have been originated in accordance with the underwriting criteria described in this prospectus under The Loans Underwriting Standards or otherwise in accordance with the standards set forth in the prospectus supplement. Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-NC1
JPMAC 2006-RM1
Filed 01/21/13 Page 99 of 140
EXHIBIT C3
Pros. Supp. dated 04/24/2006 at S-53: The depositor acquires the loans and mortgaged-backed securities for inclusion in a securitization from the sponsor, or if specified in the prospectus supplement, from another seller, in each case in privately negotiated transactions. The depositor will obtain representations and warranties from the originator and sponsor regarding the assets included in the related trust fund. Pros. Supp. dated 04/24/2006 at S-54: Employees of JPMAC or its affiliates structure securitization transactions in which the loans are sold to the Depositor. JPMAC has obtained appropriate representations and warranties from the Originator upon the acquisition of the Mortgage Loans and will assign its rights under these representations and warranties for the benefit of the Depositor (or the Trustee). Pros. Supp. dated 08/22/2006 at S-51: The depositor will obtain representations and warranties from the originator and sponsor regarding the assets included in the related trust fund. JPMAC has obtained appropriate representations and warranties from the Originator upon the acquisition of the Mortgage Loans and will assign its rights under these representations and warranties for the benefit of the Depositor (or the Trustee). Pros. dated 4/24/2006 at 33: The depositor acquires the loans and mortgaged-backed securities for inclusion in a securitization from the sponsor, or if specified in the prospectus supplement, from another seller, in each case in privately negotiated transactions. Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-WMC2
JPMAC 2006-WMC3
Filed 01/21/13 Page 100 of 140
EXHIBIT C3
Pros. dated 8/9/2006 at 2: Each mortgage loan or contract will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor from any of the following sources: either directly or through its affiliates, including Residential Funding Corporation; sellers who are affiliates of the depositor including Homecomings Financial Network, Inc. and GMAC Mortgage Corporation; or savings banks, savings and loan associations, commercial banks, credit unions, insurance companies or similar institutions that are supervised and/or examined by a federal or state authority, lenders approved by the United States Department of Housing and Urban Development, known as HUD, mortgage bankers, investment banking firms, the Federal Deposit Insurance Corporation, known as the FDIC, and other mortgage loan originators or sellers not affiliated with the depositor, all as described in the accompanying prospectus supplement. Pros. dated 12/6/2006 at 2: Each mortgage loan or contract will be selected by the depositor for inclusion in a mortgage pool from among those purchased by the depositor from any of the following sources: either directly or through its affiliates, including Residential Funding Company, LLC; sellers who are affiliates of the depositor including Homecomings Financial LLC and GMAC Mortgage, LLC; or savings banks, savings and loan associations, commercial banks, credit unions, insurance companies or similar institutions that are supervised and/or examined by a federal or state authority, lenders approved by the United States Department of Housing and Urban Development, known as HUD, mortgage bankers, investment banking firms, the Federal Deposit Insurance Corporation, known as the FDIC, and other mortgage loan originators or sellers not affiliated with the depositor, all as described in the accompanying prospectus supplement.
RASC 2006-KS7
RASC 2007-KS2
Filed 01/21/13 Page 101 of 140

INDEX NO. 650180/2012
NYSCEF DOC. NO. 12
EXHIBIT D
SECURITIZATION
STATEMENTS REGARDING BORROWER CREDIT QUALITY FROM THE PROPECTUS SUPPLEMENTS AND PROSPECTUS Pros. Supp dated 08/17/2006 at S-28: FICO Scores are statistical credit scores obtained by many mortgage lenders in connection with the loan application to help assess a mortgagors creditworthiness.
ARSI 2006-M2
Pros. Supp at S-III-27 (Group II):
Filed 01/21/13 Page 102 of 140
EXHIBIT D
Pros. Supp dated 04/19/2006 at S-29: FICO Scores are statistical credit scores obtained by many mortgage lenders in connection with the loan application to help assess a mortgagors creditworthiness. Pros Supp at III-25 (Group II Collateral): Case 1:12-cv-04761-JSR Document 35-2
ARSI 2006-W4
Filed 01/21/13 Page 103 of 140
EXHIBIT D
Pros. Supp dated 06/29/2006 at S-64: FICO Credit Scores are statistical credit scores designed to assess a borrowers creditworthiness and likelihood to default on a consumer obligation over a two-year period based on a borrowers credit history. Pros. Supp at A-35:
BALTA 2006-4
BALTA 2006-7
Pros. Supp dated 10/30/2006 (Page Number Not Available): FICO Credit Scores" are statistical credit scores designed to assess a borrower's creditworthiness and likelihood to default on a consumer obligation over a two-year period based on a borrower's credit history. Pros. Supp (Page Number Not Available):
Filed 01/21/13 Page 104 of 140
EXHIBIT D
Pros. Supp dated 02/21/2006 at S-29: Many lenders obtain credit scores in connection with mortgage loan applications to help them assess a borrower's creditworthiness. Pros. Supp dated at A-2: Case 1:12-cv-04761-JSR Document 35-2
BSABS 2006-EC2
Filed 01/21/13 Page 105 of 140
EXHIBIT D
Pros. Supp dated 10/18/2006 (Page Number Not Available):: Many lenders obtain credit scores in connection with mortgage loan applications to help them assess a borrowers creditworthiness. Pros. Supp (Page Number Not Available): Case 1:12-cv-04761-JSR Document 35-2
BSABS 2006-HE8
Filed 01/21/13 Page 106 of 140
Filed 01/21/13 Page 107 of 140
EXHIBIT D
Pros. Supp (Page Number Not Available):
EXHIBIT D
Pros. Supp dated 04/05/2006 at S-30: Many lenders obtain credit scores in connection with mortgage loan applications to help them assess a borrowers creditworthiness. Pros. Supp at A-2: Case 1:12-cv-04761-JSR Document 35-2
BSABS 2006-IM1
Filed 01/21/13 Page 108 of 140
EXHIBIT D
Pros. Supp dated 03/14/2007 at S-33: Many lenders obtain credit scores in connection with mortgage loan applications to help them assess a mortgagors creditworthiness. Pros. Supp at A-2:
BSABS 2007-2
CARR 2006-NC3
Pros. Supp dated 08/07/2006 at S-74: Credit scores are statistical credit scores obtained by many mortgage lenders in connection with the loan application to help assess a borrowers creditworthiness. Pros. Supp at S-46:
Filed 01/21/13 Page 109 of 140
EXHIBIT D
Pros. Supp dated 12/14/2006 at S-78: Credit scores are statistical credit scores obtained by many mortgage lenders in connection with the loan application to help assess a borrowers creditworthiness. Pros. Supp at S-47: Case 1:12-cv-04761-JSR Document 35-2
CARR 2006-NC5
Filed 01/21/13 Page 110 of 140
EXHIBIT D
CARR 2006-RFC1
CARR 2007-FRE1
Filed 01/21/13 Page 111 of 140
10
EXHIBIT D
Private Placement Memorandum dated 07/13/2007 at 19: Credit scores are obtained by many lenders in connection with Mortgage Loan applications to help them assess a borrowers creditworthiness. Private Placement Memorandum at II-A-9 (Aggregate): Case 1:12-cv-04761-JSR Document 35-2
CBASS 2007-CB6
Filed 01/21/13 Page 112 of 140
11
EXHIBIT D
Pros. Supp dated 06/29/2007 at S-110: Credit Score A measurement of the relative degree of risk a borrower represents to a lender obtained from credit reports utilizing, among other things, payment history, delinquencies on accounts, levels of outstanding indebtedness, length of credit history, types of credit, and bankruptcy experience. Pros. Supp at S-41: Case 1:12-cv-04761-JSR Document 35-2
IMM 2007-A
Filed 01/21/13 Page 113 of 140
12
EXHIBIT D
IMSA 2006-2
Filed 01/21/13 Page 114 of 140
13
EXHIBIT D
IMSA 2007-3
Filed 01/21/13 Page 115 of 140
14
EXHIBIT D
Pros. Supp dated 06/14/2006 at S-32: FICO Credit Scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp at S-37: Case 1:12-cv-04761-JSR Document 35-2
INDX 2006-AR29
Filed 01/21/13 Page 116 of 140
15
EXHIBIT D
Pros. Supp dated 04/24/2006 at S-22: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp at A-5: Case 1:12-cv-04761-JSR Document 35-2
JPALT 2006-A2
Filed 01/21/13 Page 117 of 140
16
EXHIBIT D
Pros. Supp dated 06/28/2006 at S-21: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrower's creditworthiness. Pros. Supp at A-4: Case 1:12-cv-04761-JSR Document 35-2
JPALT 2006-A3
Filed 01/21/13 Page 118 of 140
17
EXHIBIT D
Pros. Supp dated 09/28/2006 at S-19: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp at A-1 (Pool 1): Case 1:12-cv-04761-JSR Document 35-2
JPALT 2006-A5
Filed 01/21/13 Page 119 of 140
18
EXHIBIT D
Pros. Supp dated 10/27/2006 at S-18: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp at A-1 (Pool 1):
JPALT 2006-A6
JPALT 2006-A7
Pros. Supp dated 09/21/2006 at S-18: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp at A-1 (Pool 1):
Filed 01/21/13 Page 120 of 140
19
EXHIBIT D
Pros. Supp dated 02/26/2007 at S-26: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp at A-2-1 (Pool 1):
JPALT 2007-A1
JPALT 2007-A2
Pros. Supp dated 05/31/2007 at S-29: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess aborrowers creditworthiness. Pros. Supp at A-2-2 (Pool 1):
Filed 01/21/13 Page 121 of 140
20
EXHIBIT D
Pros. Supp dated 05/23/2006 at S-23: Credit scores are obtained by many mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp at S-46 (Group 2): Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-CW1
Filed 01/21/13 Page 122 of 140
21
EXHIBIT D
Pros. Supp dated 10/27/2006 at S-26: Credit scores are generated by models developed by third party credit reporting organizations which analyzed data on consumers in order to establish patterns which are believed to be indicative of a borrowers probability of default. Pros. Supp at S-50 (Group 2): Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-HE3
Filed 01/21/13 Page 123 of 140
22
EXHIBIT D
Pros. Supp dated 04/05/2006 at S-24: Credit scores are generated by models developed by third party credit reporting organizations which analyzed data on consumers in order to establish patterns which are believed to be indicative of a borrowers probability of default.
JPMAC 2006-NC1
Pros. Supp at S-36 (Group 2):
Filed 01/21/13 Page 124 of 140
23
EXHIBIT D
Pros. Supp dated 09/21/2006 at S-25: Credit scores are generated by models developed by third party credit reporting organizations which analyzed data on consumers in order to establish patterns which are believed to be indicative of a borrowers probability of default. Pros. Supp at S-43 (Group 2): Case 1:12-cv-04761-JSR Document 35-2
JPMAC 2006-RMI
Filed 01/21/13 Page 125 of 140
24
EXHIBIT D
JPMAC 2006-WMC2 Pros. Supp dated 09/21/2006 at S-25: Credit scores are generated by models developed by third party credit reporting organizations which analyzed data on consumers in order to establish patterns which are believed to be indicative of a borrowers probability of default. Pros. Supp at S-45 (Group 2):
JPMAC 2006-WMC3 Pros. Supp dated 09/21/2006 at S-25: Credit scores are generated by models developed by third party credit reporting organizations which analyzed data on consumers in order to establish patterns which are believed to be indicative of a borrowers probability of default. Pros. Supp at S-44 (Group 2):
Filed 01/21/13 Page 126 of 140
25
EXHIBIT D
Pros. Supp dated 04/03/2006 at S-37: The sponsor uses a credit scoring methodology as part of its underwriting and re-underwriting process. The credit scoring methodology assesses a prospective borrowers ability to repay a mortgage loan based upon predetermined mortgage loan characteristics and credit risk factors. Pros. Supp at S-160: Case 1:12-cv-04761-JSR Document 35-2
LBMLT 2006-3
Filed 01/21/13 Page 127 of 140
26
EXHIBIT D
LBMLT 2006-4
Filed 01/21/13 Page 128 of 140
27
EXHIBIT D
LBMLT 2006-5
Filed 01/21/13 Page 129 of 140
28
EXHIBIT D
LBMLT 2006-6
Filed 01/21/13 Page 130 of 140
29
EXHIBIT D
LBMLT 2006-7
Filed 01/21/13 Page 131 of 140
30
EXHIBIT D
LBMLT 2006-8
Filed 01/21/13 Page 132 of 140
31
EXHIBIT D
LBMLT 2006-11
Filed 01/21/13 Page 133 of 140
32
EXHIBIT D
Pros. Supp dated 07/05/2007 at S-32: Many lenders obtain credit scores in connection with mortgage loan applications to help them assess a borrowers creditworthiness. Pros. Supp at A-2: Case 1:12-cv-04761-JSR Document 35-2
MSST 2007-1
Filed 01/21/13 Page 134 of 140
33
EXHIBIT D
Pros. Supp dated 07/06/2007 at S-52: Credit scores are obtained by many lenders in connection with mortgage loan applications to help them assess a borrowers creditworthiness (the Credit Scores). Credit Scores are generated by models developed by a third party which analyzed data on consumers in order to establish patterns which are believed to be indicative of the borrowers probability of default. Pros. Supp at S-42: Case 1:12-cv-04761-JSR Document 35-2
NAA 2007-3
Filed 01/21/13 Page 135 of 140
34
EXHIBIT D
Pros. Supp dated 07/11/2007 at S-32: Many lenders obtain credit scores in connection with mortgage loan applications to help them assess a borrowers creditworthinessThe credit score is designed to assess a borrowers credit history at a single point, using objective information currently on file for the borrower at a particular credit reporting organization. Pros. Supp at A-18: Case 1:12-cv-04761-JSR Document 35-2
NCMT 2007-1
Filed 01/21/13 Page 136 of 140
35
EXHIBIT D
Prospectus dated 08/09/2006 at 13: Credit Scores are obtained by some mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp dated 08/25/2006 at II-1: Case 1:12-cv-04761-JSR Document 35-2
RASC 2006-KS7
Filed 01/21/13 Page 137 of 140
36
EXHIBIT D
Prospectus dated 12/06/2006 at 13: Credit Scores are obtained by some mortgage lenders in connection with mortgage loan applications to help assess a borrowers creditworthiness. Pros. Supp dated 02/22/2007 at II-1:
RASC 2006-KS2
SACO 2006-2
Pros. Supp dated 1/25/2006 at S-29: Many lenders obtain credit scores in connection with mortgage loan applications to help them assess a borrowers creditworthiness. Pros. Supp at A-10 (Group II):
Filed 01/21/13 Page 138 of 140
37
EXHIBIT D
Pros. Supp dated 08/31/2006 at S-44: FICO Credit Scores are statistical credit scores designed to assess a borrowers creditworthiness and likelihood to default on a consumer obligation over a two-year period based on a borrowers credit history. Pros. Supp at A-4: Case 1:12-cv-04761-JSR Document 35-2
SAMI 2006-AR7
Filed 01/21/13 Page 139 of 140
38
EXHIBIT D
Pros. Supp dated 08/31/2006 at S-47: FICO Credit Scores are statistical credit scores designed to assess a borrowers creditworthiness and likelihood to default on a consumer obligation over a two-year period based on a borrowers credit history. Pros. Supp at A-4: Case 1:12-cv-04761-JSR Document 35-2
SAMI 2006-AR8
Filed 01/21/13 Page 140 of 140
39
EXHIBIT D
Pros. Supp dated 06/23/2006 at S-38: Credit scores are designed to assess a borrowers creditworthiness and likelihood to default on an obligation over a defined period (usually two to three years) based on a borrowers credit history. Pros. Supp at S-127:
Crs-dil Snores tttstrtt,utto,, 01 ho 0.001, I I.oon.s
WAMU 2006-AR7
,3t18r057at0
Credit Soono, or less
PrincIpal Italanceof llo Msortgago N,rn,toer or Mortgage Loans as 11 the loans CotOtt Itate
Jercootage 01 tOe .\$gregate lrtncll,at Italarwe or alt (Iroojo I Loans
2 4
0.23%
(49
600-6111 620-63)
1, 11 303
(o66659
600-679
6904911
to 35 64 67
60
69
73
700-7111 720-7311 740-7511 760-7711 780-79)

800 or greater Crests! Score Not Available , 5 Tots!
26 25 3 430
63111,243 28 I 181.13529 1100 311 0342371114 11920535116 .111 100011252 4706605326 t3116440736 69,4ro 773 Itt 117,01540881 21298112781 14752,08580 591 88409 11294,79898868 2.83 7.44 1444 5.97 848 12,56 7.22 5.00 0.20 I (10. t(1111y
As ol the Cot-OtT Date. Itte weighted average credit s-etc of the grosIp I loans was apprnovintatety 725. May include foreign nationals and borrowers with insohlicient credit lrislerv.
Pros. Supp at S-132:

Credit Scores Disiribution of tire tlroup 2 i_corns
gpre$aIe 6 . lrtttctpal Itaiaatre of ilte lrrcetttat7e of tl repale 5 .sg
Number of
lorigage
Credit Score I_onus
Mortgage
Loans s of lie (ut-Off Dale
frrnctpal
Balattce tot soil
Crotip 2 Loans
7 14 9 35 73 182 139 183 156 117 103
1.972.954.21 2.765,722.38 3166.14l.19 13.091.596.78 33.933914.02 120,001.656.03 93821631.57 38.998.652.74 114.365.123.84 $6,440,223.16 72,l09,786.l9
24
-
599 or lens 600610 620630 6.10650 660670 6S0699 700719 72073 740-750 760779 780790 800 or ereater Credit Score Not Avail,ttsle Total
14,405.161,41
6 1902915.32
0.28% 0.40 (3.45 1.8$ 4.87 7.24 13.48 19.96 16.4-I 12.42 0.36 2.07 0,16
Filed 01/21/13 Page 1 of 141
1.049
5696,255.482.67
100.00%
As of the Cut-Off Date, the weigttted aventge credit score of the group 2 loatts was approsiniatelv 729. May include foreicn nationals ansI borrowers ssilts ittstttbcient credit histcsrv.
40
EXHIBIT B
Pros. Supp dated 05/23/2006 at S-38: Credit scores are designed to assess a borrowers creditworthiness and likelihood to default on an obligation over a defined period (usually two to three years) based on a borrowe?s credit history.
Pros. Supp at S-147:
Credit Scores for the Mortgage Loaus
WMABS 2006-HE2
Credit Score
500
-
Number of Mortgage Loans

97 132 199 364 566 528 294 205 193 $ 18,260.860.89 25.472.012.84 37.383.652.53 64.036.073.79 93.685.842.10 94,610.862.27 55.437.325.86 43.341.472.15 39.774.218.28 $472.002.320.71
2.579
Scheduled Principal Balance as of the Cut-off Date
% of Aggregate Scheduled Principal Balance as of the Cut-off Date

3.87% 5.40 7.92 13.57 19.85 20.04 11.75 9.1S 8.43 100.00%
524 549 574 599
525
-
550
-
575
-
600- 624 625

-
649
650-674 675-699 700-813 Total

(1)
Filed 01/21/13 Page 2 of 141
The weighted average credit score of the mortgage loans that had credit scores was approximately 625.
41
EXHIBIT D
WMABS 2007-HE2
Credit Scores
for
the Group II Mortgage Loans 111
Credit Score
500- 524...............
Number of Mortgage Loans 19 $ 7.798.015.92 16.052.1i1.50 47.194,565.72 92.784.944.73 SS.714.23S.0! 81.019.155% 44.408,974.86 57.629,084.40
S40 )10.558.SS 3.709,473.20
% of Aggregate Scheduled Principal Balance as of the Cut-off Date 0.84% 1.78 365 10.74 21.12 2019 l&44 10.11
13.12
525 5i9
-
3) 69 211 481
441
550575- 599
60O-62
625-649 650- 67a 350 173 231 11112 675- 699 700 and above Total
Filed 01/21/13 Page 3 of 141
The weishted ave1ee credit co,e of the Gwup II mortase loiir W3 approxnnnev 643.
42
EXHIBIT D
Credit Scores Distribution of the Mortgage Loans Aggregate Percentage Principal of the Balance of the Aggregate Number of Mortgage Principal Mortgage Loans as of the Balance of all Credit Score Loans Cut.Off Date Mortgage Loans
WMALT 2007-HY1
600619 620639 $
640659 660679 680699 700719 720739
740759 760779 780799 800 or greater

Total
.2 38 71 152 291 286 253 223 154 98 40

1.608
373.542.58 10855.05l.99 21.836,435.88 44,350,703.45 92.411,696.97 91.587.577.60 77.931.208.85 66.353.440.92 49,114.395,44 34,035,4$4.S7 11.412.132.18 $500,261.670.73
0.07% 2.17 4.37 8.87 18.47 18.31 15.5$ 13.26 9.82 6.80 2.2$ 100.00%
Filed 01/21/13 Page 4 of 141
As of the cut-Off Date. the weighted average credit score of the mortgage loans was approximately 719.
43
EXHIBIT D
Pros. Supp dated 06/25/2007 at S-27: Credit scores are designed to assess a borrowers creditworthiness and likelihood to default on an obligation over a defined period (usually two to three years) based on a borrowers credit history. Pros. Surn at S-94:
Credit Scores Distribution of the Mortgage Loans
WMALT 2007-0C2
Credit Score
Aggregate Princiml Balance of the Mortgage Loans as of the Cut4)tt Date
Percentage ot the Aggregate lrincipal Balance of all Mortgage Loans
Credit Score Not Available*... 600-619
62039
170
I I 29 53
0,20% 0.05 2.26 3,55 13.92

20.3$
950,000.00 260,0(>.(N) 10,834.856.81 17,046,367.32 66,819,852,06 97,631,900.89 81,595,237.40 725058 Ii 49,152.681.50
17.00 l6S 10.24
640659 660679 680699 700719 720-739 740759 760779 780799

800 or greater
232 202 l6 105 101 63 15 1,140
46,545,737.52
26.447,246.34 7.492,209.30 $480.03 1,147.45
average
9.70
5.51 1.56 100.00% credit score of
Total
As of the CutOff Date, the nonzew weighted the mortgage loans was approximately 714.
Filed 01/21/13 Page 5 of 141
May include foreign nationals and borrowers with insufficient credit history.
44
EXHIBIT D
Pros. Supp dated 04/05/2007 at S-30: The credit scoring methodology assesses a prospective borrowers ability to repay a mortgage loan based upon predetermined mortgage loan characteristics and credit risk factors. Pros. Supp at 3-134:
Credit Scores for the Group II Mortgage Loans
WMHE 2007-HE2
Credit Scoie
-
Number of loitgage Loans S
500 524 525 549 550 574 575 599 600 624 625 649 650 674 675 699 700 andabove Total
-
38 68 133 170 672 767 736 446 8 j5.8
16.670,372.13 28.210.745.68 48.310.211.83 65.793.801.68 171.071.942.30 202.108.565.21 192.540.762.77 120.252.313.44 142.229.800.15 $ 987.188.515.19
1.69% 2.86 4.89 6,66 17.33 20.47 19.50 12.18 14.41 100.00%
Filed 01/21/13 Page 6 of 141
The weighted average credit score of the Group II mortgage loans was approximately 646.
45
[FILED:
INDEX NO. 650180/2012 05/18/2012 RECEIVED NYSCEF:
NEW YORK COUNTY CLERK 05/18/2 012]
NYSCEF DOC.
NO.
13
EXHIBIT E
SECURITIZATION Prospectus Supplement (Pros. Supp.) dated 8/17/2Q06 at 111-29:

Argent Securities Inc., Asset-Backed Pass-Through Certificates, Series 2006-M2 Description of the Group II Collateral
STATEMENTS REGARDING OCCUPANCY RATES FROM PROSPECTUS SUPPLEMENTS
ARSI 2006-M2
Occupancy Status*
Numl.r of InlUal Principal Balance ssoftheCutoffDa1e
% of ncipal Balanceasof 9738 225 037 400.00
RemainIng Term to MalurIty
Debt.to Income
Gross Coupon
OLWi
Prirosry kwe0or SecoridIlonto Total Oo05nit 1 lvii lost tori ronibinod L1V 1 Socrind lien 2593 124 9 2,726 75092082087 7 576,407 60 268054553 780 357,77400 5ej on nunl9aoi re58esnnWtrce at our4rririIioo
358 358 350 358
4066 33 14 3872 4048
13260 9 169 70513 8 288
633 654 0532 634
8187 56 36 7931 81 96
ARSI 2006-W4 Pros. Supp. dated 4/19/2006 at 111-27:
Argent Securities Inc., Asset-Backed Pass-Through Certificates, Series 2006.W4
DESCRIPTION OF THE GROUP II COLLATERAL

Occupancy Status
OLTV FICO 632 647 688 033
Filed 01/21/13 Page 7 of 141
PRINCIPAL NUMBER OF BALANCE % OF PRINCIPAL OCCUPANCY MORTGAGE AS OF THE BALANCE AS OF STATUS LOANS CUTOFF DATE (0) THE CUTOFF DATE PrImary 2,661 692,368,13270 9132 loveslor 81 15,311,20037 215 Second Name 7 3,780.074.84 053 Total: 2,749 711,470207.91 100.00 Coal LIV 111051 Irat contmed L1V ii second hell SasmI on orcilgagor l5xeseitialGfl Lit cng;nLiNai.
REMAINING TERM TO MATURITY (months) 359 358 359 359
DEBTTOGROSS INCOME )%) COUPON (14) 4098 8292 3382 9093 33 4.5 8 088 8.308 40.75
(%(
0287 6849 6383 82.06
EXHIBIT E
Pros. Supp. dated 6/29/2006 at A-35:
Occupancy Status of Mortgage Properties in Loan Group 1-3
BALTA 2006-4
Occupancy Status Investor Owner Occupied Second Home Total
Number of Mortgage Loans 537 1.852 153 2.i42.
Aggregate Stated Principal Balance Outstanding as of Cur-off Date 97J02.863 $ 547.323.349 36,980.746 S 6S2.O06,957
% of Mortgage Loans 14.33 % 80.25 5.42 100.00 %
BALTA 2006-7
Pros. Supp. dated 10/30/2006 at S-70:
9ted Pr1cipa1
eer
cLor OccupIed
2.17 792 1.25 .1,104
779J 4,607.119 63,659,109 175,041,003
12.599 76,36 17,06 100,00 9
Filed 01/21/13 Page 8 of 141
EXHIBIT E
BSABS 2006-EC2
Oupancy Shis of Mortppd
Areguie St*ed
Pdcfpat Bu1nce
WcIhttd Aersge Wht.d Avenge 0rfAI Loan40

%ofMEPnn Credit Score
of Mortglae Outund1ng ii afeuff

(kcuDsnc Sta1n5
1AU
25Q44jS7
._
Vatut Rst 604

60
OaOceiipt
1,550 93.R3 034

)0*.O0
-
40M
Sccnnd1tme Totol
417,?25,ccg 2,4064
$ 44,Lfl,l9
&06
9ad upon rcprosaaflfl of tho rcbtcd modgagmit tho timc GfUflgifttton.
Filed 01/21/13 Page 9 of 141
EXHIBIT E
Pros. Supp. dated W/26/2006 at S-175:
Occupancy Status of Mortgaged Properties In Loan Group 1*
BSABS 2006-HE8
Occupancy Status investor OaerOccupied Second Home 56 89 S 4.22.o 94.81 0.98 630 600 569 601 100.00% Toni 853 S 6.54.32S I51.891.5S 1.562.124 $ 160.208.025
Number of Mortgage Loans S.55% 81.5 T-9S 81.38%
Aggregate Stated Principal Balance Outstanding as of cut-off date Weighted Weighted Average % of Average Original Mortgage Credit Loan-toPool Score Value Ratio
Based upon tepresentation of the related morteacors at the lime of origination.

Occupancy Status of Mortgaged Properties in Subgroup ll-1
Number of Mortgage
Aggregate Stated Principal Balance Outstanding as of cut-off date 2-1 81 6 S 4934.954
Weighted Weighted Aveiage % of Average Original Mortgage Credit Loan-to Pool Score Value Ratio 2,45% 96.66 0.89 7S.57 613 604 597 82.44 Si.36
Investor OwnerOccupied Second Home Told
847
194.651.588 1.95.653 S 201.381.994

==
100.00%
--,
Filed 01/21/13 Page 10 of 141
604
S2.34
EXHIBIT E
Occupancy Statna of Mortgaged Properties in the Total Pool
BSABS 2006-IM1
Aggregate Stated Principal Balance Weighted Average % of Mortgage fool
Number of Mortgage Outstanding as of statistical cakulation date $ 18.40 % 71.11

4.49 1000 % 37.961.723
Occupancy Status
Investor...
... .,.....,,..... .,........
Loans 1.117 2.993 196.501.426 323.343.212 1.067,806,367

211 4321
Weigitted Average Original Loan4oCredit Score Value Ratio 706 75.87 6S3 71.73
706 683 77.14 77.40
Second Home
.........
Total
Based upon representation of the related mortgagors at the time of origination.
BSABS 2007-2 Pros. Supp. dated 3/29/2007 at A-4:
Occupancy Status of Mortgaged Properties in Total Portfolio*

Nwther of Jortgs.ge Octtncy Sttns Aggregae xhedu1ed Priadpal B1ance Out:tatadig a: of Citt-off
101
$
1.368 1.522 8
Investor Owner Occupied Second Home Total
Date 17.172.218
26S,3?8853 9093063 294.650.134
% of]..iortgoe Pool 5.83 91.08 309 100.00 %
Filed 01/21/13 Page 11 of 141
*Based upon representations of the related zuottgagor at the tune of orguation.
EXHIBIT E
Pros. Supp. dated 8/7/2006 at S-45: Occupancy Types of the Mortgage Loans
CARR 2006-NC3
Second
...,.....
,......
..,
Number of Mortgage Loans 477 6,859 212 Principal Balance $82,231,370.66 1.494,441,127.45 43,917.73815 SL62O.590.236.26
S214.0$.59 100.0000
Occupaucy Investment Propei*y.. Prrnar Residence Home...... Average. Weighted Average. Tota[
Percentage of Principal Balance 5.07% 92.22 2.71 Average Principal Balance 8172,392.81 217,880.32 207.15914 621
Weighted Average Credit Score 650 618 66?
Weighted Average Original Loan-toValue Ratio 8743% 79,90 8133 80.32%
CARR 2006-NC5 Pros. Supp. dated 12/14/2006 at S-46:
Occupancy Type of the Mortgage Loans
Occupancy Investment Propeitv PrimaryResidence Second House Average. Weighted Average. 5361 131
Number of Mortgage Loans 436 4.794
Percentage of Principal Balance 6.97% Principal Balance $84,845,256.66 1. 102.571.422.82 29,218,165.19 81.216,633,844.67 90.62 2.40 100.00%
Average Principal Balance $194,599.21 229,989.87 223,039.43 8226,941.77
Weighted Average Credit Score 647 613 647 616
Weighted Average Original Loan-toValue Ratio 83.82% 80.53 82.08
Filed 01/21/13 Page 12 of 141
80.80%
EXHIBIT E
CARE. 2006-RFC1
Occupancy Types of the Mortgage Loans
Number of Mortgage Loans Principal Balance Percentage of Mortgage Loans Average Paincipal Balance $ 165,931.22 142,707.70 96.64% 3.36
Weighted Average Credit Score
Weighted Average Original Loanto-Value Ratio 81.35%

76.79
Occupancy Owner Occupied Non-Owner Occupied. Grand Total

...
4,555 $ 755,816,710.89 26.258.216.95 S.2S2.fl2432184 1O% S 165,029.53 4.25
613 632 613
81.20%
CARE. 2007-FRE1 Pros. Supp. dated April 4, 2007 at S-49:
Occupancy Type of the MoiLgage Loans
Occupancy
InvestnlelltProperty
Owiieroccupied Second Home Average. Weighted Average. Total:
Filed 01/21/13 Page 13 of 141
Weighted Average Nlllnber Percentage Weighted Original Weighted of of Average Average Loan-to- Average Mortgage Principal Principal Principal Credit Value Gross Loans Balance Balance Balance Score Ratio Coupon 0 5,1S0 S207.S92.44 2588 53.636,249.05 7.43% 620 S.736% 3.746 972.166.766.26 93.9 259.521,29 80.11 60 S.085 35 8.764.364.33 085 250.410,41 609 80.17 8.368 81.034.567.379.64 4.039 100.00%256.l44.44 608 79.97% 8.122%
EXHIBIT E
Private Placement Memorandum, dated July 11, 2007 at II-A-6:
CBASS 2007-CB6
Occupancy Status Priniaiy investor SecolldalN

Totah Pros. Supp. dated 6/29/2007 at S-38: Occupancy Tpe
Gross Occupancy Te
Cnrieut Balance Number of Loans
Occupancy Status Weighted Weighted Weighted Number of Aggregate Percent of Average Average Average Weighted Weighted Mortgage Principal Principal Current Remaining Combined Average Average Joans Balance Balance Mortgage Rate Term (mos Original LTV FK0 DU 88,3l0o 2,075 S401.698.031 8.246% 346 $,27% 624 41.l9 265 43.159,595 9.49 8.S1 350 S0.S1 655 36.99 46 10.00.836 2.20 8.600 353 .55 645 43.14 2,386 S454.865.460 100.00% 8.308% 347 78.50% 628 40.84%
1MM 2007-A
% of Total
Average Balance
Remaining Term (mos)
WA 11(0
WA Orig. LIV
Invcstor Owner Occupied SccondHonie $ 158.177.179 517,790.936 27,055.901 874 2.328

119 TOTAL
22,4j 21
22.50% 73.65 3.85 100.00%
S 180.981 222,419 227.361 $ 211.690
WAC 7,181% 6.954 6.991 7,006%
311 308 315 309
713 703 716 705
70.68% 74.68 70.69 73.62%
Occupancy type is based oui the representation of the bollower at the time of origination.
Original loan-to-value ratio for first-lien mortgage loaiis and combined loan-to-value ratio for secondlien mortgage loans.
*
Filed 01/21/13 Page 14 of 141
EXHIBIT E
Pros. Supp. dated 6/28/2006 at S-38: Occupancy Types
IMSA 2006-2
Weighted
Weighted Average Weighted Weighted
Average Remg.
Term Current No. of % of Average Gross
Average
Credit
Average
Original
Occupancy Balance Loans Total Balance WAC 7.473% 7294 7.279 7.332c 321053.92 263.01540 2154% 5258,637.16 7473 3.73 100.00% 5303.484.04 487 1.357 83 1.927 8125,956,298.64 437.027.172.43 21.830.278.08 S584.8l3,749.15 Investor Owner Occupied Secondl-lotne Total
(Months) 357 354 358 355
Score 705
691
LW 73.53%
77.14
71$ 695
75.42 7630%
Occupancy type is based on the representation ofthe borrower at the time of origination.
Filed 01/21/13 Page 15 of 141
EXHIBIT E
IMSA 2007-3
Occupancy Types
Occupancy Tpe Investor Ovner Occupied Second Home
No. of Loans 732 1.719 % of Total 19.76% 76.50 J9QQ%

Average Balance S 214.752,76 352,018.33 303.526,91 $ 310,903.34
Weighted Average Oziginal 0 LTV 74.57% 74.67
Current Balance S 157,199.023.90 608.656.977.99 19,745,637.20 0l 63909
.155
Weighted Average Gross WAC 7,753% 6895 J74 7.083%
Weighted Average Renig. Term (Months) 347 354 0 353 Weighted Average NonZero credit Score 708 705 713 706
i
74.74%
Combined loan-to-value ratios with respect to the statistical moi4gage loans secured by second liens.
Occupancy type is based on the representation of the bolTower at the time of origthation.
INDX 2006-AR29
OCCUPANCY TYPES FOR THE MORTGAGE LOANS (1)
NUMBER
A3?EALE
ARREGATE
AVERASE
WE:GHTE AVERAGE
BALANCE
OUTSTANDING
000UGANCY TYBE
MORTGAGE LOANS
IR:NC:RA: BALANCE OJTSTANDING
:URREN: ERINCI?AL BALANCE
NE;EED AVERAGE MORTGAGE RATE
AVERAGE FICO CREDIT ECORE
LOANICVALUE RATIO
:nstmen:
.4
Seconciezy Home
..
73C 24$4$S3563i5OE,72.
72.35
Filed 01/21/13 Page 16 of 141
total.
10
________
EXHIBIT E
Pros. Supp. dated 4/27/2006 at A-6: Occupancy Type Pool I
Percent of
JPALT 2006-A2
Occupancy Type
Number of Mortgage Loans Aggregate Principal Balance Outstanding Aggregate Principal Balance Outstanding
39.i 1332
$ 77,743570.82
44O28894104 44.06 472.96 $562,100,984.82
13.83 % 7833 100.00 %
Investment Pnmary Sondary.....

.
149
Total:.........,.,..,........ (1)
1.872
Based upon representations of the related borrowers at the time of origination.
JPALT 2006-A3 Pros. Supp. dated 6/28/2006 at A-4:
OCCUPANCY TYPE (1) NUMEER OF

AGGREGATE PERCENT OF AGGREGATE
OCCUPANCY TYPE
Primary Investment Secondary
POOL I MORTGAGE LOANS 1,074

IOE 72
PRINCIPAL BALANCE OUTSTANDING
PRINCIPAL BALANCE OUTSTANDING
.544,555,165.55
54,671,7U.I3 39,515,977.40
E.5.25
3.56 6.19
Filed 01/21/13 Page 17 of 141
Total
.....
1,22
$638,742,903.08
100.00%
11
EXHIBIT E
JPALT 2006-AS
Occupancy Typ&
Percent of
Number of Pool I Aggregate Aggregate Principal
Occupancy Type
Investment Secondary Total 106 1,623 76,119,789.80 34,875,945.31 S595,991,981,75
Mortgage Loans 1213 304 Principal Balance Ou.tstanding $484,996,246.64.
Balance Outstanding 81,38%

12.77 5.85 IOOA)0%
c:1.)
Based U.pon representations of the related bOflXWeS. at the time of origination.
JPALT 2006-A6 Pros. Supp. dated 10/27/2006 at A-2:
Occupancy Type
Number of Pool 1 Percent of Aggregate
Occupancy Type
Primary
Mort.gage Loans
Aggregate Principal Balar.ce Outstanding
Principal Balance Outstanding
Investment
Secondary
1,074 106 72
S544,555,165.55 54,671,760.13 39,515,977.40
85.25% 8.56 6.19
1,252
$638?742,903O8
10000%
Filed 01/21/13 Page 18 of 141
(1)
12
EXHIBIT E
JPALT 2006-A7
Occupancy Type
Number
Percent of Aggregate Aggregate
of Pool I Mkwtg.age Occupancy Type.

LOHIS
1,642
Investment Secondary 450 240 2,332 105,042,40335 99,632,20446 S865,998,034.24
Principal Balance Outstanding. S661,323A26.43
Principal Balance Outstanding 7637%.

12.13 1150 100.00%
Total
(1)
Based upo n representations of the related borrowers at the time of :originatio
JPALT 2007-Al Pros. Sup. dated 2/26/2007 at A-2-2:
Occupancy Type 1
Aggregate Principal Balance
Occupancy Type

1,075 259 252 1.586
Outstanding
Percent of Aggregate Principal Balance Outstanding
Seconday._..._. investment...
Total
(1)
555,0Q24646 .94,039iB7.17 75,.683,,565.80
Filed 01/21/13 Page 19 of 141
$725,522,999.43
76.61% 12.96 10.43 100.00%
Based upon representations of the reated borrowers at the t,me of origination.
13
EXHIBIT E
Pros. Supp. dated 5/31/2007 at A-2-2:
JPALT 2007-A2
Occupancy Type t1
Nimber
Aggregate
of
lVlortgage
Principal
Balance Outstanding
Aggregate
Principal Balance Outstanding
7634%
P of
Occupancy Type
Loans
2,5 $ 919 925 69&27
2O245893I.19
tnvs1men.. Secondar.._. Total

..
8O1
I &80
235 3.559 B268i,8919& S1205,O66521A4
100.00%
(1)
-
JPMAC 2006-CW1
Tabular Characteristics of the Group 2 Mortgage Loans

Wightet1 Average
Pci ljV Curl Pt in Bal 95
4 2.i
Filed 01/21/13 Page 20 of 141
Ui rent
Occupancy Status 0ier Nn-0wiir ecoudHome Total
C urrent Piincipal of Loans Balance 6S S524.99.3lU 1 13 23.919O IE 2J61.525.19 2.929 S551.151.352 14
.5o 100.0000
Weighted Average Stated Weighted Weighted Mortgage Remaining Average Otig Average Rate LIV Term Credit Score S 064o 349 79.92c 620 35c. 5.30 S5. 35b S196 634 S,106o 350 80.16o 621
EXHIBIT E
JPMAC 2006-HE3
Tabular Characteristics oft/ic Group 2 Mortgage Loans

Weighted
Average
Weighted erige Orig
Occupancy Status Ownes
LW
Non-Owner .........,...,...,.............,...,.,..,,.........
SecondHoine
...........................,
Current Pnncipil # of Loatis Balance 2,969 5540.023,957.33 135 19.700216.65 18 3.624,867.22 84.30% 7862 78.81
84.o
Pct by C utr Thin Bal 95.86% 3,50 0.64 100.00% 8.632o 338
eighted Current Average Stated Mortgage Reinainmg Rate Term 8614% 338 9,165 351 8.368 352
Weighted 4i erige W eahted Credit Score Average DII 637 42.71% 632 33.94 643 39.83 6Y
42,3S0o
Total U22 S563.349.041,20
JPMAC 2006-Nd
Tabular Characteristics of the Group 2 Mortgage Loalls

Weighted Average Weighted
OccupancyStatus #ofLoans 1.862

36 37 Owner Non-Owner Second Honk
Current Principal Balance 8472.987,797.11

11,064.293.51 7485.78093
Pci by Current Average Stated Weighted Weighted Curt Prin Mortgage Average Rinaiuing Average Otig Bal Rate Term LTV CreditScore 96.23o 8.140% 357 80.43% 622
225 1j2. 9,079 358 78.95 652
Li.!4
1,935 S491.53.S1.55 100.00o 8.10o
Filed 01/21/13 Page 21 of 141
Total
7 35
L4 SO.50o
623
15
EXHIBIT E
JPMAC 2006-RM1
Weighted Average Combined Orig LTV 83.63% 85.08
Occupancy Status PmaivHome 1nvestient Second Home Total

,,.., .,
# of Loans 2.382 98 25 2,505
Weighted Weighted Pct by Average Average Curr Current Stated Current Principa Prin Mortgag Remaining Balance Term Balance e Rate $525.300.779.62 95.92% 8.473% 336 1L690.210.5$ 3.23 2.999 356 4,679,026.13 0.85 8.377 357 S547670,01633 100.00% 8,490% 337
83.89 83.68%
Weighted Average Credit Weighted Average DTI Score 640 43.88% 647 37.67 649 40.13 630 43.65%
JPMAC 2006-WMC2
Pros. Supp. dated June 8, 2006 at S-48:

Weighted Average Stated Remaining Term 333 333 # of Loans 3.870 176 86 4132 Current Principal Balance S815.046.514.67 29.435,667.52 17,975,777.96 S8624$7,960.21 Pd by Curr Prin Bal 94.50% 3.41 2.08 100.00%
Filed 01/21/13 Page 22 of 141
Occupancy Status Ossiier SecoadHonie Non-Owner Total.
Weighted Average Current Mortgage Rate 8319% 8463 8.685 8.332%
355
333
Weighted Average Org Lii 83.30% 85.99 87.02 8347%
Weighted Average Credit Scare 643 684 678 645
16
EXHIBIT E
JPMAC 2006-WMC3

Weighted Weighted Pci by Average Average Weighted Weighted
Weighted Average Iffi
o) 0 (
Average Credit Score 645
Occupancy Status Owner SecoudHonie Non Owner Total
* of Loans 2.886 174 49 3109 Current Principal Balance 8646.466.338.09 28 744,73361 8.732,053.82 S6S394312532
Curr Current Stated Prin Mortgag Remaining Balance e Rate Term 94.52% S.175o 336 4.20 8.211 329 1,28 8 505 358 100.00% 8.181% 336 Average Combined Orig LiT 82.56o 84.93 85.26 82.70%
709
678 648
42.51% 41.18 39,94 42,42%
LBMLT 2006-11
Pros. Supp. dated 12/11/2006 at S-150: Occupancy Status of the Group II Mortgage Loaus
Occupancy Status Oer Occupied

.....

8896.834.318.83
533

90,16% 82.973390,93 49
3.058
Non-0;er Occupied SecoridHome. Total

...
8.34
l4.S70.9,30
S994.678.687,06
L50
100.00%
.,....,.,...,,,.,.,,,,...........,.,.,
Filed 01/21/13 Page 23 of 141
Occupancy as represented by the mortgagor at the time of origination.
17
EXHIBIT E
Pros. Supp. dated 4/3/2006 at S-156: Occupancy Status of the Group H Mortgage Loans
LBMLT 2006-3
Occupancy Status
Non-0vnerOccupied
Number of Mortgage Loans 821 S 128.630.908.61

949,227,878,37 19.928.177.15 Sl.097.$6.964.l3 3.153 64
% of Aggregate Scheduled Plincipal Balance as of the Cut-off Date 11Th

86.47 1.82
Owner Occupied Secoudllome Total Occupancy as cepresented by the mongagoi at the time oforigination.
LBMLT 2006-4
Pros. Supp. dated 5/3/2006 at S-138: Occupancy Status of the Group II Mortgage Loaus
0
Occupancy Status
Owner Occupied

2.472

8783.156.002.11
of Aggregate Scheduled Principal Balance as of the Cut-off Date

84.90%
Non-Owner Occupied Second Home
955
126.597.548.79 12.720.181.08
3.484 $922,473,731.98
13.72 L38 100.00%
Filed 01/21/13 Page 24 of 141
Occupancy as represented by the mortgagor at the tune oforigination.
18
EXHIBIT E
LBMLT 2006-5 Pros. Supp. dated 6/12/2006 at S-151: Occupancy Status of the
Qroup
II Mortgage Loans
Occupancy Status

3.683 806 137.64S.S39,2 25.863.323.31 SI. 124.200.S44, 14 93 $ 960.697.681,11
% of Aggregate ScFeduled Principal Balance as of the Cut-off Date

85.46%
12,24 2.30 1 OC.00%
Owner Occupied
...
Non-Owner Occupied
Second Home Total
Occupancy as represented by the mortgagor at the time of origination. Pros. Supp. dated 7/21/2006 at S-152: Occupancy Status of the Group II Mortgage Loans
LBMLT 2006-6
Occupancy Status
Owner Occupied
Number of Mortgage Loans 3.683 806 93 L582
Scheduled Principal Balance as of the Cat-off Date S 960.697.681.11 137,648.839.72 25.863323.31 3UL2LZ16L&1L14
O of Aggregate Scheduled Principal Balance as of the Cat-off Date
85.46% 12.24
2.30
Non-Owner Occupied
Second Home Total
ILKLilLI%
Filed 01/21/13 Page 25 of 141
Occupancy as represented by the mortgagor at the time of origination.
19
EXHIBIT E
Pros. Supp. dated 8/24/2006 at S-158: Occupancy Status of the Group II Mortgage Loans t1
LBMLT 2006-7
Occupancy Status
Owner Occupied,......,....,.,..,.,,....,........, 39l5
81.034,626.015,79 646

89.88%
Non-Owner Occupied 97.101.206.22 19.446.262.43 51.151.173.484.34 Second Home Total
8.43
L69
m Occupancy as repiesented by the mongagor at the time of origination. Pros. Supp. dated 9/15/2006 at S-155: Occupancy Status of the Group II Mortgage Loans<
LBMLT 2006-8
Occupancy Status
o of Aggregate Scheduled Principal Balance as of the Cut-off Date
Owner Occupied Non-Owner Occupied

Second Home
S832.865. 118.77
491 63
.
S2.326.890.S4 15.795.141.00
J.5.f)j
S.84 1.70 100.00%
Total
(1)
Filed 01/21/13 Page 26 of 141
Occupancy as represented by the tnortgagorat the true of origination.
20
EXHIBIT E
MSST 2007-1
OcupaucT Stat f od edPropites o the Tot1 P.01*

Prioca1Ba1we OccpaIcy Sttu IrtestL._ 355 3,915 1
SeC0TL$
Number ofMongage Ou ndioga of Cut4 tons Date

.PL613 572245j17 U75J94 735J004$4 $07 654 $10
Weighted Average Weighted Average OLoan-to4alue of Mortae Pool Credit Score Ratio 10.72 15.73 106%
NAA 2007-3 Pros. Supp. dated 7/6/2007 S-44:
Occupancy Status of the Mortgage Loans

Percentage of Pool by Number of Principal Mortgage
Occupancy Status Balance Loans
Aggregate
Remaining Principal Balance
OwnerOccupied 71.53%
8.35 20.12 Second Home
Investor
784
114
5278.838,421J4
32.547,808.45 78.427.359.23
Filed 01/21/13 Page 27 of 141
Total/Weighted Average:... 100.00%
1240
$ 389.813,588.83
Weighted Average Mortgage Rate (%) 7.107% 7.449 7.664 7.247%
Nouzero Average Weighted Remaining Average Principal FICO Balance 689 $355.661.25 725 285.507.09 712 229.319,76 697 $ 314,365.80
Weighted Average Original I_TV (%) 77.85% 76.47 75.55 77.27%
21
EXHIBIT E
NCMT 2007-1 Occupancy Status of the Group 2 Mortgage Loans

Weighted Average Remaining Term to
Occupancy Status

Cut-off Date Principal Balance
Percent by Cut-off Weighted Date Average Principal Mortgage Balance Rate
Maturity
Weighted Average Combined Weighted Loan-taAverage Value Ratio FICO Score 80,62% 663 659 646
$
11.10% 87.35 1.55 10000% 355 354 352 354 8.085% 7.746 7.291 7.776%
OwnerOccupie&........ SecoudHome
Total
321 1,960 30 1311 64,523.874.93 510.313.961.54 9.082.626.29 S 58422046276
84.99 80.03 84.43%
659
RASC 2006-KS7
Pros. Supp. dated 8/25/2006 at 11-6:
Occupancy Types of the Mortgage Loans Number Principal
Occupancy Type
Piimarv Residence SecoizdVacation Non-OwnerOccupied Total 3.813 62 151 4.026
of Mortgage Loans
Balance
SS4G.142.226 10.625.883 17.973.686 S$74.74L796
Percentage of Mortgage Loans

95.02 o 1.85 3.13 100.00%
Average Principal Balance

S 143.232 171.385 119.031 S142,758
Weighted Average Credit Score

611 62$ 631 612
Weighted Average Loan-to-Value Ratio

81.81c 88.08 76.40 81.7$%
Filed 01/21/13 Page 28 of 141
22
EXHIBIT E
Pros. Supp. dated 2/22/2007 at 11-6:
RASC 2007-KS2
Occupancy Types of the Group I Loans
Occupancy Type
Number of Mortgage Loans Principal Balance Percentage of Group I Loans
Average Principal Balaiice Weighted Average Credit Score
Weighted Average Loan-to-Value Ratio
iniarv Residence SeconclNacation Nba 0er-occupied Total

,,.................
4.493 86 361 4.940 S59.211.413 16.512.339 49.972.048 8825,695,800 91.95% 2.00 605 100,00% 6 7 S16S.9 192,004 138,427 8167,145
620 614 649 622
82.55% 86.22 81,80 82,58%
With respect to the junior Group I Loans, this table was calculated asing the combined loan-to-value ratio for such Group I Loans.
Filed 01/21/13 Page 29 of 141
23
EXHIBIT E
Selected Collateral Characteristics
SACO 2006-2 For the Mortgage Loans in Group II
Occupancy Types of the Mortgage Loans
Weighted Percentage of Percent Full Average eighted Average T Occupancy Mortgage Principal Principal Average Combined Documentation g Loans Balance Balance Credit Score Loan4oValue Loans Ratio Investor 1.964 85.808.725.32 43690.80 22.42 716 93.56 18.63 Primai Residence 279.388.914.60 4.954 73.00 56396.63 675 98.01 20.50 Second/Vacation 17.539.856.95 356 4.58 49.26926 710 95.04 21.13 Total/WeightedAveiage 7,274 382,737.496.87 100.00 52,617.20 686 96.88 20.11
7i tuber f
.
Percent Interest Only 4.94 10.37 8.68 9.08
SAMI 2006-AR7 Pros. Supp. dated 8/31/2006 at A-4:
(kazpancy Status of Mortgage Properties in Total Portfolio
ofMert..
OcupySa&s
OwierOccujxed Second Home
Loans
11.1
Nber of ttgp Loans L223 5.5S1 413

.ig
Filed 01/21/13 Page 30 of 141
Aggr:.epte ?dnc.1I Rcnktandtnps of Cuktff Date 343,7,3C 2A42,67O2? 150,3S1.585 937O29.3G $
S3.F
1OOQ
24
EXHIBIT E
Pros. Supp. dated 10/27, 2006 at A-4:
SAMI 2006-AR8
fMrtpgh.rties RTtIPortfhG
:.
Sede
Filed 01/21/13 Page 31 of 141
25
EXHIBIT E
Occu.pan., SLatu of the Group I Loani Agreate Percentage Prtiipal of the Balance of the AreIe Nuiuher of Mortae PnncipaL Stedae Lew a of t& Ibdance of aD (kcupaacv SLtw I oimi CutOW Dide Group I Loans NonOwupr Ckcupid 44 $ 1L073,44&53 C)wr7&cr Ovcupicd 344 248 ,524$8Q7 8 8430 Owner (keupeJ 2nd Ihrnc 42 28 .200.)53? &57 S24,7)&)8$.&8 43U j
WAMU 2006-AR7
Occupancy Status of the Group 2 l..oaw

r te
Pririet
of th
NwOwncr Ocupicd Owner ckcwici Ov.ncr ()ccutcd2rid flmc.
$ 36.82L92612 &$ .245.565.5

55.1 SO)O,Q1 Sc)t,255482 t7
529 67)
73 I ()XJ
Filed 01/21/13 Page 32 of 141
26
EXHIBIT E
Occupancy Status of the Mortgage Loans
WMABS 2006-HE2
Occupancy Status
Non-Owner Occupied Owner Occupied Owner Occupied Secoixi Home
-

78 2.478 23 S 12.641,062.42 455.157.612.23 4.203,646.06 3472,002.320,71

2.68% 96.43 0.89 10000%
Total
229
WMABS 2007-HE2 Pros. Supp. dated 3/7/2007 at S-159:
Occupancy Status of the Group II Mortgage Loaus t
Occupancy Status
Owner Occupied
.....,,............,..
Scheduled Principal Balance as of the (ut-off Date

5423.837,386.92 58 26 10.176,340.65 5.296.831.28

9648%
Non-Owner Occupied Second Home Total

>
......................................
1.21
5439.310.c5S,Sc
101109%
Filed 01/21/13 Page 33 of 141
Occupancy as represented by the mortgagor at the tune of origmation.
27
EXHIBIT E
WMALT 2007-HY1
. ..
SUta. 4W tie
tat.tga$
grtgafr
triiidpaI
uniher uf Occupaine. Status

Uortg4
Ban* 4W wtga L4o - etthe ( ut43tT Date

,
lt4aee 4W 91 M4.rtpa4 L4*u, :.i
Ni-().r.:r
L:pl:.
..
.
,.
.
I
.
..
.
:
i.....
WMALT 2007-0C2
()prwc Status. of the Mori.gag.
Number of
Occupancy Status Mortgage Loans
Aggregate Principal Balance of the Mortgage Loaac as of the CuOff Date
Lercentage of the Aggregate Prindiral Balance of all Mortgage Leans
Owner Occupied Owner (kcupted-2nd Home Non-owner Occupied
..
Q15 24 201 I 140
$394.1 87857.36 I279L2234

73052066. 25
82.12% 166 1522 $4$003 I .I $745 IOOAX)%
Filed 01/21/13 Page 34 of 141
28
EXHIBIT E
Pros. Supp. dated 4/5/2007 at
WMHE 2007-HE2
s-i 30:
Occupancy Status of the Group II Mortgage Loaus
Occupancy Status
Investor Owner-Occupied Second Home Total 529 1984 45 3.558 $ 85O9l599.74 8$625 I .532.67 15.844.38278 S 987.188.515.19
(1)
&62% 89.78 1.61 100.OOo
Occupancy as represented by the mortgagor at the time of origination,
Filed 01/21/13 Page 35 of 141
29
[FILED:
NEW YORK COUNTY CLERK O5/18/2O11
NYSCEF DOC.
NO.
14
EXHIBIT F
SECURITIZATION STATEMENTS REGARDING EARLY PAYMENT DEFAULT FROM THE PROSPECTUS SUPPLEMENTS Pro Supp dated 02/21/2006 at S-28: As of the cut-off date, no scheduled payment on any mortgage loan is more than 30 days past due and no scheduled payment on any mortgage loan has been more than 30 days past due since origination. Pro Supp dated 10/18/2006 (Page unavailable): As of the cut-off date, no scheduled payment on any mortgage loan is more than 30 days past due and no scheduled payment on any mortgage loan has been more than 30 days past due since origination. Pro Supp dated 04/05/2006 at S-29: As of the cut-off date, no scheduled payment on any mortgage loan is more than 30 days past due and no scheduled payment on any mortgage loan has been more than 30 days past due since origination. Pro Supp dated 1/26/2006 at S-29: As of the cut-off date, no scheduled payment on any mortgage loan is more than 30 days past due and no scheduled payment on any mortgage loan has been more than 30 days past due since origination. Pro Supp dated 08/31/2006 at S-33: As of the Cut-off Date, no scheduled payment on any mortgage loan was more than 30 days past due and no scheduled payment on any mortgage loan has been more than 30 days past due since origination. Pro Supp dated 10/27/2006 at S-35: As of the Cut-off Date, no scheduled payment on any mortgage loan was more than 30 days past due and no scheduled payment on any mortgage loan has been more than 30 days past due since origination.
BSABS 2006-EC2
BSABS 2006-HE8
BSABS 2006-IM1
SACO 2006-2
SAMI 2006-AR7
Filed 01/21/13 Page 36 of 141
SAMI 2006-AR8
[FILED:
NEW YORK COUNTY CLERK O5/18/2O]j
NYSCEF DOC.
NO.
15
EXHIBIT G
SECURITIZATION STATEMENTS REGARDING VALUE OF MORTGAGE COLLATERAL FROM THE PROSPECTUS SUPPLEMENTS AND PROSPECTUSES Prospectus Supplement (Pros. Supp.) dated 8/17/06 at S-7:
ARSI 2006-M2
The Mortgage Loans included in Group II (the Group II Mortgage Loans) have the following approximate characteristics as of the Cut-off Date:... Weighted average original loan-to-value ratio: 81.96%. Pros. Supp. at S-31: Properties that are to secure mortgage loans have a valuation obtained by an appraisal performed by either 1) a qualified and licensed appraiser who is an independent appraiser who is in good standing with the related Originators in-house appraisal department or 2) subject to the Ameriquest s Underwriting Guidelines, an insured automated valuation model. Generally, properties below average standards in condition and repair are not acceptable as security for mortgage loans under the Underwriting Guidelines. Each appraisal includes a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home.
EXHIBIT G
Pros. Supp. dated 4/19/06 at S-8: The Mortgage Loans included in Group II (the Group II Mortgage Loans) have the following approximate characteristics as of the Cut-off Date:... Weighted average original loan-to-value ratio: 82.96%. Prospectus (Pros.) dated 3/31/06 at 21: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related property. Pros. Supp. at S-31: Properties that are to secure mortgage loans have a valuation obtained by an appraisal performed by a qualified and licensed appraiser who is in good standing with the Originators in-house appraisal department. Generally, properties below average standards in condition and repair are not acceptable as security for mortgage loans under the Underwriting Guidelines. Each appraisal includes a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home.
ARSI 2006-W4
EXHIBIT G
BALTA 2006-4
The following table describes certain characteristics of all of the group I mortgage loans as of the cut-off date:. Weighted average loan-to-value ratio at origination: 76.86%.
. .
Pros. Supp. at S-62 to S-63: Each mortgaged property relating to an EMC mortgage loan has been appraised by a qualified independent appraiser who is approved by each lender. All appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standard Board of the Appraisal Foundation. Each appraisal must meet the requirements of Fannie Mae and Freddie Mac. Fannie Mae and Freddie Mac require, among other things, that the appraiser, or its agent on its behalf personally inspect the property inside and out, verif whether the property was in good condition and verifi that construction, if new, had been substantially completed. The appraisal generally will have been based on prices obtained on recent sales of comparable properties, determined in accordance with Fannie Mae and Freddie Mac guidelines. Pros. Supp. at S-66: Except with respect to the mortgage loans originated pursuant to its Streamlined Documentation Program, whose values were confirmed with a Fannie Mae proprietary automated valuation model, Countrywide Home Loans obtains appraisals from independent appraisers or appraisal services for properties that are to secure mortgage loans. The appraisers inspect and appraise the proposed mortgage property and verif, that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market data analysis based on recent sales of comparable homes in the area and, when deemed appropriate, a replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to Fannie Mae or Freddie Mac appraisal standards then in effect. Pros. dated 3/28/06 at 17: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
EXHIBIT G
Pros. Sum,, dated 10/30/06 at 6: The following table describes certain characteristics of all of the group I mortgage loans as of the cut-off date:.. .Weighted average loan-to-value ratio at origination: 75.47%. Pros. Supp. at 26-27: Each mortgaged property relating to an EMC mortgage loan has been appraised by a qualified independent appraiser who is approved by each lender. All appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standard Board of the Appraisal Foundation. Each appraisal must meet the requirements of Fannie Mae and Freddie Mac. Fannie Mae and Freddie Mac require, among other things, that the appraiser, or its agent on its behalf, personally inspect the property inside and out, verify whether the property was in good condition and verify that construction, if new, had been substantially completed. The appraisal generally will have been based on prices obtained on recent sales of comparable properties, determined in accordance with Fannie Mae and Freddie Mac guidelines. Pros. Supp. at 28: Except with respect to the mortgage loans originated pursuant to its Streamlined Documentation Program, whose values were confirmed with a Fannie Mae proprietary automated valuation model, Countrywide Home Loans obtains appraisals from independent appraisers or appraisal services for properties that are to secure mortgage loans. The appraisers inspect and appraise the proposed mortgage property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market data analysis based on recent sales of comparable homes in the area and, when deemed appropriate, a replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to Fannie Mae or Freddie Mac appraisal standards then in effect. Pros. dated 10/23/06 at 113: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
BALTA 2006-7
EXHIBIT G
BSABS 2006-EC2
The following table summarizes the approximate characteristics of all of the mortgage loans in the trust fund as of the cut-off date:. .Weighted average original loan-to-value ratio (using original loan-to-value ratio) 80.86%
.
Pros. Supp. at S-32: At the time of origination, each mortgaged property was the subject of an appraisal which conformed to the underwriting requirements of the originator of the Mortgage Loan and, the appraisal is in a form acceptable to Fannie Mae or Freddie Mac.
EXHIBIT G
Pros. Supp. dated 10/26/06 at 7 to 8: The following table summarizes the approximate characteristics of all of the mortgage loans in loan group I as of the cut-off date:... Weighted average combined original loan-to-value ratio (using combined original loan-to-value ratio for first and second lien loans) 85.66%. Pros. Supp. at 11-12: The following table summarizes the approximate characteristics of all of the mortgage loans in loan group II1 as of the cut-off date:... Weighted average combined original loan-to-value ratio (using combined original loan-to-value ratio for first and second lien loans) 84.47%. Pros. Supp. at 43 to 44: [A]t the time of origination, each mortgaged property was the subject of an appraisal which conformed to the underwriting requirements of the originator of the mortgage loan and, the appraisal is in a form acceptable to Fannie Mae or Freddie Mac. Pros. Supp. at 45: Mortgage properties that are to secure mortgage loans generally are appraised by qualified independent appraisers. These appraisers inspect and appraise the subject property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report that includes a market value analysis based on recent sales of comparable homes in the area and, when deemed appropriate, market rent analysis based on the rental of comparable homes in the area. All appraisals are required to conform to the Uniform Standard of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and are generally on forms acceptable to Fannie Mae and Freddie Mac.
BSABS 2006-HE8
EXHIBIT G
Pros. Supp. dated 4/21/06 at S-5: The following table summarizes the approximate characteristics of all of the mortgage loans in the trust fund as of the cut-off date:... Weighted average original loan-to-value ratio (using combined original loan-tovalue ratio for first liens and combined original loan-to-value ratio for second liens) 77.40% Pros. Supp. dated 5/14/07 at S-6: The following table summarizes the approximate characteristics of the mortgage loans as of the cut-off date: Weighted average loan-to-value ratio 82.00% Pros. Supp. at S-36 to S-37: At the time of origination, each mortgaged property was the subject of an appraisal which conformed to the underwriting requirements of the originator of the mortgage loan and, the appraisal is in a form acceptable to Fannie Mae or Freddie Mac. Pros. Supp. at S-60: Mortgaged properties that are to secure mortgage loans generally are appraised by qualified independent appraisers. These appraisals are required to conform to the Uniform Standard of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and are generally on forms acceptable to Fannie Mae and Freddie Mac.
BSABS 2006-IM1
BSABS 2007-2
Filed 01/21/13 Page 43 of 141
EXHIBIT G
Original Loan to Value Ratios of the Mortgage Loans: Weighted Average Original Loan-to Value Ratio; Average, Weighted Average, Total: 80.32%
CARR 2006-NC3
Pros. Supp. at S-76: Mortgaged properties that are to secure mortgage loans are appraised by qualified independent appraisers. These appraisers inspect and appraise the subject property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market value analysis based on recent sales of comparable homes in the area, and, when deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and are on forms acceptable to Fannie Mae and Freddie Mac.
EXHIBIT G
Pros. Supp. dated 12/14/06 at S-45: Original Loan to Value Ratios of the Mortgage Loans: Weighted Average Original Loan-to-Value Ratio; Average, Weighted Average, Total: 80.80% Pros. Supp. at S-80: Mortgaged properties that are to secure mortgage loans are appraised by qualified independent appraisers. These appraisers inspect and appraise the subject property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market value analysis based on recent sales of comparable homes in the area, and, when deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and are on forms acceptable to Fannie Mae and Freddie Mac.
CARR 2006-NC5
EXHIBIT G
Pros. Supp. dated 5/19/06 at S-44: Combined Loan to Value Ratios of the Mortgage Loans: Weighted Average Original Loan-to-Value Ratio; Grand Total: 8 1.20% Pros. Supp. at S-94: The adequacy of a mortgaged property as security for repayment of the related mortgage loan generally has been determined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. Appraisers were either staff appraisers employed by the originator or independent appraisers selected in accordance with pre-established guidelines established by the originator. Pros. Supp. dated 4/4/07 at S-47: Combined Loan to Value Ratios of the Mortgage Loans: Weighted Average Original Loan-to-Value Ratio; Average, Weighted Average, Total: 79.97% Pros. Supp. at S-89: Generally, initial appraisals were provided by qualified independent appraisers licensed in their respective states. Review appraisals may have only been provided by appraisers approved by Fremont. In some cases, Fremont relied on a statistical appraisal methodology provided by a third-party. Qualified independent appraisers must have met minimum standards of licensing and provide errors and omissions insurance in states where it was required to become approved to do business with Fremont. Each uniform residential appraisal report included a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home. The review appraisal may have been a desk review, field review or an automated valuation report that confirmed or supported the original appraisers value of the mortgaged premises.
CARR 2006-RFC1
CARR 2007-FRE1
Filed 01/21/13 Page 46 of 141
10
EXHIBIT G
Private Placement Memorandum (PPM) dated 7/11/07 at 2:
CRASS 2007-CR6
The Mortgage Loans in the aggregate have the following approximate characteristics as of the Cut-off Date (based on their Principal Balance):. Weighted average combined loan-to-value ratio as of origination: 78.50%.
.
PPM at 47: Mortgaged properties that are to secure mortgage loans generally were appraised by qualified independent appraisers. These appraisers inspected and appraised the subject property and verified that the property was in acceptable condition. Following each appraisal, the appraiser prepared a report that included a market value analysis based on recent sales of comparable homes in the area and, when deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home. All appraisals were required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and were generally on forms acceptable to Fannie Mae and Freddie Mac.
11
EXHIBIT G
Pros. Supp. dated 6/29/07 at S-9: The sample mortgage loans have original terms to maturity of not greater than 30 years and the following characteristics as of the cut-off date: Weighted average of loan-to-value ratios (approximate): 73.62% Pros. Supp. at Ex-C-2: The Seller does not publish an approved appraiser list for the conduit seller. Each conduit seller maintains its own list of appraisers, provided that each appraiser must: be a state licensed or certified appraiser; meet the independent appraiser requirements for staff appraisers, or, if appropriate, be on a list of appraisers specified by the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the FDIC and the Office of Thrift Supervision under their respective real estate appraisal regulations adopted in accordance with Title XI of the Financial Institutions Reform Recovery and Enforcement Act of 1989, regardless of whether the seller is subject to those regulations; be experienced in the appraisal of properties similar to the type being appraised; be actively engaged in appraisal work; and subscribe to a code of ethics that is at least as strict as the code of the American Institute of Real Estate Appraisers or the Society of Real Estate Appraisers. Pros. dated 6/29/07 at 12: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
1MM 2007-A
12
EXHIBIT G
The mortgage loans in loan group 1 in the aggregate have original terms to maturity of not greater than 30 years and the following characteristics as of the statistical pool calculation date:.. Weighted average loan-tovalue ratio (approximate) 76.30%
IMSA 2006-2
Pros. Supp. at S-57: The Originator does not publish an approved appraiser list for the conduit seller. Each conduit seller maintains its own list of appraisers, provided that each appraiser must: be a state licensed or certified appraiser; meet the independent appraiser requirements for staff appraisers, or, if appropriate, be on a list of appraisers specified by the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the FDIC and the Office of Thrift Supervision under their respective real estate appraisal regulations adopted in accordance with Title XI of the Financial Institutions Reform Recovery and Enforcement Act of 1989, regardless of whether the seller is subject to those regulations; be experienced in the appraisal of properties similar to the type being appraised; be actively engaged in appraisal work; and subscribe to a code of ethics that is at least as strict as the code of the American Institute of Real Estate Appraisers or the Society of Real Estate Appraisers. Pros. Supp. at S-61: As of the Closing Date, no loan-to-value ratio or combined loan-to-value ratio, as applicable, of any Group 1 Loan will be greater than 100%.
13
EXHIBIT G
Pros. Supp. at S-66: Appraisers are selected from a list of approved appraisers and their reports must conform to the requirements of USPAP Standard 3 as follows:
-satisfies the requirements of USPAP Standard 1; -identifies and sets forth any additional data relied upon and the reasoning and basis for the different estimate of value; and clearly identifies and discloses assumptions and limitations connected with the different estimate of value to avoid confusion in the marketplace.
-
Pros. dated 6/27/06 at 12: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
14
EXHIBIT G
Pros. Supp. dated 4/27/07 at S-8: The statistical mortgage loans have original terms to maturity of not greater than 30 years and the following characteristics as of April 1, 2007:.. Weighted average combined loan-to-value ratios (approximate) 80.63% Pros. Supp. at S-31: As of the Closing Date, no loan-to-value ratio or combined loan-to-value ratio, as applicable, of any statistical mortgage loan will be greater than 100.00%. Pros. Supp. at S-47: Impac Funding does not publish an approved appraiser list for the conduit seller. Each conduit seller maintains its own list of appraisers, provided that each appraiser must: be a state licensed or certified appraiser; meet the independent appraiser requirements for staff appraisers, or, if appropriate, be on a list of appraisers specified by the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the FDIC and the Office of Thrift Supervision under their respective real estate appraisal regulations adopted in accordance with Title XI of the Financial Institutions Reform Recovery and Enforcement Act of 1989, regardless of whether the seller is subject to those regulations; be experienced in the appraisal of properties similar to the type being appraised; be actively engaged in appraisal work; and subscribe to a code of ethics that is at least as strict as the code of the American Institute of Real Estate Appraisers or the Society of Real Estate Appraisers. Pros. dated 4/27/07 at 10: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
IMSA 2007-3
15
EXHIBIT G
Pros. Supp. dated 9/28/06 at S-7: As of the cut-off date, the depositor expects that all of the mortgage loans in the issuing entity will have the following characteristics:... Weighted Average Original LTV Ratio 76.34% Pros. Supp. at S-32: At origination, all of the Mortgage Loans had a Loan-to-Value Ratio of 95% or less. Pros. Supp. at S-46 to S-47: To determine the adequacy of the property to be used as collateral, an appraisal is generally made of the subject property in accordance with the Uniform Standards of Profession Appraisal Practice. The appraiser generally inspects the property, analyzes data including the sales prices of comparable properties and issues and opinion of value using a Fannie Mae/Freddie Mac appraisal report form, or other acceptable form. In some cases, an automated valuation Model (AVM) may be used in lieu of an appraisal. AVMs are computer programs that use real estate information, such as demographics, property characteristics, sales prices, and price trends to calculate a value for the specific property. The value of the property, as indicated by the appraisal or AVM, must support the loan amount.
INDX 2006-AR29
16
EXHIBIT G
Pros. Supp. dated 4/27/06 at S-24: The weighted average Loan-to-Value Ratio at origination of the Pool I Mortgage Loans is approximately 76.88%, and no Pool 1 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100.00%. Pros. Supp. at S-30: The adequacy of the mortgaged property as security for repayment of the related mortgage loan will generally have been determined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and/or Freddie Mac. Appraisers may be staff appraisers employed by the originator or independent appraisers selected in accordance with pre established appraisal procedure guidelines established by the originator. The appraisal procedure guidelines generally will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed. Pros. Supp. at S-43: Except with respect to the mortgage loans originated pursuant to its Streamlined Documentation Program, whose values were confirmed with a Fannie Mae proprietary automated valuation model, Countrywide Home Loans obtains appraisals from independent appraisers or appraisal services for properties that are to secure mortgage loans. The appraisers inspect and appraise the proposed mortgage property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market data analysis based on recent sales of comparable homes in the area and, when deemed appropriate, a replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to Fannie Mae or Freddie Mac appraisal standards then in effect.
JPALT 2006-A2
17
EXHIBIT G
Pros. Supp. at S-38: CHF requires an appraisal to be made of each property to be financed. The appraisal is conducted by an independent fee appraiser. The person conducting the appraisal personally visits the property and estimates its market value on the basis of comparable properties. The independent appraisers do not receive any compensation dependent upon either the amount of the loan or its consummation. In normal practice, for purchaser transactions, the lower of purchase price or appraised value determines the maximum amount which will be advanced against the property. For refinances, generally the appraised value would be used. Pros. Supp. at S-33: In determining the adequacy of the property as collateral for a first lien mortgage loan, a Fannie Mae/Freddie Mac conforming appraisal of the property is performed by an independent appraiser selected by PHH Mortgage, except as noted in this prospectus supplement. The appraiser is required to inspect the property and verify that it is in good condition and that construction or renovation, if new, has been completed. The appraisal report indicates a value for the property and provides information concerning marketability, the neighborhood, the property site, interior and exterior improvements, and the condition of the property. In lieu of an appraisal, alternative collateral assessment products which comply with Fannie Mae/Freddie Mac criteria may be used.
18
EXHIBIT G
Pros. Supp. dated 6/28/06 at S-22: The weighted average Loan-to-Value Ratio at origination of the Pool 1 Mortgage Loans is approximately 76.03%, and no Pool 1 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100.00%. Pros. Supp. at S-26 to S-27: The adequacy of the mortgaged property as security for repayment of the related mortgage loan will generally have been detenTlined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and/or Freddie Mac. Appraisers may be staff appraisers employed by the originator or independent appraisers selected in accordance with pre established appraisal procedure guidelines established by the originator. The appraisal procedure guidelines generally will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed. Pros. Supp. at S-28: CHF requires an appraisal to be made of each property to be financed. The appraisal is conducted by an independent fee appraiser. The person conducting the appraisal personally visits the property and estimates its market value on the basis of comparable properties. The independent appraisers do not receive any compensation dependent upon either the amount of the loan or its consummation. In normal practice, for purchaser transactions, the lower of purchase price or appraised value determines the maximum amount which will be advanced against the property. For refinances, generally the appraised value would be used.
JPALT 2006-A3
19
EXHIBIT G
Pros. Supp. dated 9/28/06 at S-20: The weighted average Loan-to-Value Ratio at origination of the Pool 1 Mortgage Loans is approximately 75.53%, and no Pool 1 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100.00%. Pros. Supp. at S-25: The adequacy of the mortgaged property as security for repayment of the related mortgage loan will generally have been determined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae andlor Freddie Mac. Appraisers may be staff appraisers employed by the originator or independent appraisers selected in accordance with pre established appraisal procedure guidelines established by the originator. The appraisal procedure guidelines generally will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed. Pros. Supp. at S-34: Except with respect to the mortgage loans originated pursuant to its Streamlined Documentation Program, whose values were confirmed with a Fannie Mae proprietary automated valuation model, Countrywide Home Loans obtains appraisals from independent appraisers or appraisal services for properties that are to secure mortgage loans. The appraisers inspect and appraise the proposed mortgage property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market data analysis based on recent sales of comparable homes in the area and, when deemed appropriate, a replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to Fannie Mae or Freddie Mac appraisal standards then in effect.
JPALT 2006-A5
20
EXHIBIT G
Pros. Supp. at S-27: CHF requires an appraisal to be made of each property to be financed. The appraisal is conducted by an independent fee appraiser. The person conducting the appraisal personally visits the property and estimates its market value on the basis of comparable properties. The independent appraisers do not receive any compensation dependent upon either the amount of the loan or its consummation. Pros. Supp. at S-40: In determining the adequacy of the property as collateral for a first lien mortgage loan, a Fannie Mae/Freddie Mac conforming appraisal of the property is performed by an independent appraiser selected by PHH Mortgage, except as noted in this prospectus supplement. The appraiser is required to inspect the property and verify that it is in good condition and that construction or renovation, if new, has been completed. The appraisal report indicates a value for the property and provides information concerning marketability, the neighborhood, the property site, interior and exterior improvements, and the condition of the property.
21
EXHIBIT G
Pros. Supp. dated 10/27/06 at A-i: As of the Cut-off Date, the weighted average Original Loan-to-Value Ratio of the Pool 1 Mortgage Loans is expected to be approximately 75.15%. Pros. Supp. at S-i8: No Mortgage Loan had a Loan-to-Value Ratio at origination of more than 100.00%. Pros. Supp. at S-20 The weighted average Loan-to-Value Ratio at origination of the Pool 1 Mortgage Loans is approximately 75.15%, and no Pool 1 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100.00%. Pros. Supp. at S-25: The adequacy of the mortgaged property as security for repayment of the related mortgage loan will generally have been determined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and/or Freddie Mac. Appraisers may be staff appraisers employed by the originator or independent appraisers selected in accordance with pre established appraisal procedure guidelines established by the originator. The appraisal procedure guidelines generally will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed.
JPALT 2006-A6
22
EXHIBIT G
Pros. Supp. at S-28: Except with respect to the mortgage loans originated pursuant to its Streamlined Documentation Program, whose values were confirmed with a Fannie Mae proprietary automated valuation model, Countrywide Home Loans obtains appraisals from independent appraisers or appraisal services for properties that are to secure mortgage loans. The appraisers inspect and appraise the proposed mortgage property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market data analysis based on recent sales of comparable homes in the area and, when deemed appropriate, a replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to Fannie Mae or Freddie Mac appraisal standards then in effect. Pros. Supp. at S-33: CHF requires an appraisal (which in certain circumstances may be a confirmation of an existing appraisal) to be made of each property to be financed. The appraisal is conducted by an independent fee appraiser who visits the property and estimates its market value. The independent appraisers do not receive any compensation dependent upon either the amount of the loan or its consummation. Pros. Supp. at S-36: In determining the adequacy of the property as collateral for a first lien mortgage loan, a Fannie Mae/Freddie Mac conforming appraisal of the property is performed by an independent appraiser selected by PHH Mortgage, except as noted in this prospectus supplement. The appraiser is required to inspect the property and verify that it is in good condition and that construction or renovation, if new, has been completed. The appraisal report indicates a value for the property and provides information concerning marketability, the neighborhood, the property site, interior and exterior improvements, and the condition of the property.
23
EXHIBIT G
Pros. Supp. dated 11/28/06 at S-20: The weighted average Loan-to-Value Ratio at origination of the Pool 1 Mortgage Loans is approximately 74.85%, and no Pool 1 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100.00%. Pros. Supp. at S-25: The adequacy of the mortgaged property as security for repayment of the related mortgage loan will generally have been determined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and/or Freddie Mac. Appraisers may be staff appraisers employed by the originator or independent appraisers selected in accordance with pre established appraisal procedure guidelines established by the originator. The appraisal procedure guidelines generally will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed. Pros. Supp. at S-28: Except with respect to the mortgage loans originated pursuant to its Streamlined Documentation Program, whose values were confirmed with a Fannie Mae proprietary automated valuation model, Countrywide Home Loans obtains appraisals from independent appraisers or appraisal services for properties that are to secure mortgage loans. The appraisers inspect and appraise the proposed mortgage property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market data analysis based on recent sales of comparable homes in the area and, when deemed appropriate, a replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to Fannie Mae or Freddie Mac appraisal standards then in effect.
JPALT 2006-A7
24
EXHIBIT G
Pros. Supp. at S-33: CHF requires an appraisal to be made of each property to be financed. The appraisal is conducted by an independent fee appraiser. The person conducting the appraisal personally visits the property and estimates its market value on the basis of comparable properties. The independent appraisers do not receive any compensation dependent upon either the amount of the loan or its consummation. Pros. Supp. at S-38 to S-39: In determining the adequacy of the property as collateral for a first lien mortgage loan, a Fannie Mae/Freddie Mac conforming appraisal of the property is performed by an independent appraiser selected by PHH Mortgage, except as noted in this prospectus supplement. The appraiser is required to inspect the property and verify that it is in good condition and that construction or renovation, if new, has been completed.
25
EXHIBIT G
Pros. Supp. dated 2/26/07 at S-30: The weighted average Loan-to-Value Ratio at origination of the Pool 1 Mortgage Loans is approximately 75.77%, and no Pool 1 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100.00%. Pros. Supp. at S-37: The adequacy of the mortgaged property as security for repayment of the related mortgage loan will generally have been determined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae andlor Freddie Mac. Appraisers may be staff appraisers employed by the originator or independent appraisers selected in accordance with pre established appraisal procedure guidelines established by the originator. The appraisal procedure guidelines generally will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed. Pros. Supp. at S-39: CHF requires an appraisal to be made of each property to be financed. The appraisal is conducted by an independent fee appraiser. The person conducting the appraisal estimates the mortgaged propertys market value on the basis of comparable properties. The independent appraisers do not receive any compensation dependent upon either the amount of the loan or its consummation.
JPALT 2007-Al
26
EXHIBIT G
In determining the adequacy of the property as collateral, an independent appraisal is generally made of each property considered for financing. All appraisals are required to conform the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standard Board of the Appraisal Foundation. Each appraisal must meet the requirements ofFannie Mae and Freddie Mac. The requirements of Fannie Mae and Freddie Mac require, among other things, that the appraiser, or its agent on its behalf, personally inspect the property inside and out, verify whether the property is in a good condition and verify that construction, if new, has been substantially completed. The appraisal generally will have been based on prices obtained on recent sales of comparable properties determined in accordance with Fannie Mae and Freddie Mac guidelines.
Filed 01/21/13 Page 63 of 141
27
EXHIBIT G
Pros. Supp. dated 5/31/07 at S-33: The weighted average Loan-to-Value Ratio at origination of the Pool 1 Mortgage Loans is approximately 76.22%, and no Pool 1 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100.00%. Pros. Supp. at S-40: The adequacy of the mortgaged property as security for repayment of the related mortgage loan will generally have been determined by an appraisal in accordance with pre-established appraisal procedure guidelines for appraisals established by or acceptable to the originator. All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and/or Freddie Mac. Appraisers may be staff appraisers employed by the originator or independent appraisers selected in accordance with pre-established appraisal procedure guidelines established by the originator. The appraisal procedure guidelines generally will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed. Pros. Supp. at S-42: An appraisal (which in certain circumstances may be a confirmation of an existing appraisal) is required for each property to be financed. The appraisal is conducted by an independent fee appraiser. The person conducting the appraisal estimates the mortgaged propertys market value on the basis of comparable properties. The independent appraisers do not receive any compensation dependent upon either the amount of the loan or its consummation.
JPALT 2007-A2
28
EXHIBIT G
Pros. Supp. dated 5/23/06 at S-44: The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 80.16% and no Group 2 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%. Pros. Supp. at S-23: No Mortgage Loan had a Loan-to-Value Ratio at origination of more than 100%. Pros. Supp. at S-57: Countrywide Home Loans underwriting standards are applied in accordance with applicable federal and state laws and regulations and require an independent appraisal of the mortgaged property prepared on a Uniform Residential Appraisal Report (Form 1004) or other appraisal form as applicable to the specific mortgaged property type.
JPMAC 2006-CW1
29
EXHIBIT G
Pros. Supp. dated 10/27/06 at S-48: The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 84.07% and no Group 2 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%. Pros. Supp. at S-61: All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and!or Freddie Mac. Pros. Supp. at S-26: No Mortgage Loan had a Loan-to-Value Ratio at origination of more than 100%. Pros. Supp. at S-61: All appraisals conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and/or Freddie Mac.
JPMAC 2006-HE3
30
EXHIBIT G
Pros. Supp. dated 4/5/06 at S-43: The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 80.50% and no Group 2 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%. Pros. Supp. at S-56: All appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation and are generally on forms acceptable to Fannie Mae and Freddie Mac. Pros. Supp. at S-23: No Mortgage Loan had a Loan-to-Value Ratio at origination of more than 100%. Pros. Supp. at S-43:
JPMAC 2006-Nd
31
EXHIBIT G
Pros. Supp. dated 9/21/06 at S-42: The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 83.68% and no Group 2 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%. Pros. Supp. at S-24: No Mortgage Loan had a Loan-to-Value Ratio at origination of more than 100%. Pros. Supp. at S-54: The underwriting guidelines of ResMAE are applied in accordance with a procedure which complies with applicable federal and state laws and regulations and generally require an appraisal of the mortgaged property which conforms to Freddie Mac and/or Fannie Mae standards, and if appropriate, a review appraisal.
JPMAC 2006-RM1
32
EXHIBIT G
Pros. Supp. dated 6/8/06 at S-43: The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 83.47% and no Group 2 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%. Pros. Supp. at S-55: The Underwriting Guidelines are applied in accordance with a procedure which complies with applicable federal and state laws and regulations and requires, among other things, 1) an appraisal of the mortgaged property which conforms to Uniform Standards of Professional Appraisal Practice and 2) an audit of such appraisal by a WMC Mortgage Corp-approved appraiser or by WMC Mortgage Corp.s in-house collateral auditors (who may be licensed appraisers) and such audit may in certain circumstances consist of a second appraisal, a field review, a desk review or an automated valuation model. Pros. Supp. at S-24: No Mortgage Loan had a Loan-to-Value Ratio at origination of more than 100%.
JPMAC 2006-WMC2
33
EXHIBIT G
Pros. Supp. dated 8/22/06 at S-42: The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 82.70% and no Group 2 Mortgage Loan had a Loan-to-Value Ratio at origination exceeding 100%. Pros. Supp. at pg. S-53: The Underwriting Guidelines are applied in accordance with a procedure which complies with applicable federal and state laws and regulations and requires, among other things, 1) an appraisal of the mortgaged property which conforms to Uniform Standards of Professional Appraisal Practice and 2) an audit of such appraisal by a WMC-approved appraiser or by WMCs in-house collateral auditors (who may be licensed appraisers) and such audit may in certain circumstances consist of a second appraisal, a field review, a desk review or an automated valuation model. Pros. Supp. at S-24: No Mortgage Loan had a Loan-to-Value Ratio at origination of more than 100%.
JPMAC 2006-WMC3
34
EXHIBIT G
Pros. Supp. dated 12/11/06 at S-3: The Group II mortgage loans have the following characteristics as of the cut-off date:. Weighted Average Original Loan-to-Value Ratio: 82.07%
. .
LBMLT 2006-11
Pros. Supp. at S-67 to S-68: The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at S-37: The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers who have satisfied the servicers appraiser screening process. Pros. dated 7/21/06 at 28: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
35
EXHIBIT G
LBMLT 2006-3
The Group II (XE Group II) mortgage loans have the following characteristics as of the cut-off date:. Weighted Average Original Loan-to-Value Ratio: 81.78%
. .
Pros. Supp. at S-66 to S-67: The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at S-38: The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers who have satisfied the servicers appraiser screening process. Pros. dated 2/10/04 at 22: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related property.
36
EXHIBIT G
The Group II mortgage loans have the following characteristics as of the cut-off date:. Weighted Average Original Loan-to-Value Ratio: 8 1.68%
. .
LBMLT 2006-4
Pros. Supp. at S-64: The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at S-36: The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers who have satisfied the servicers appraiser screening process. Pros. dated 4/7/06 at 26: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
37
EXHIBIT G
Pros. Supp. dated 6/12/06 at pg. S-3: The Group II mortgage loans have the following characteristics as of the cut-off date:. Weighted Average Original Loan-to-Value Ratio: 82.50%
. .
LBMLT 2006-5
Pros. Supp. at pgs. S-63 to S-64 The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at pg. S-35 The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers who have satisfied the servicers appraiser screening process.
38
EXHIBIT G
Pros. Supp. dated 7/21/06 at pg. S-3: The Group II mortgage loans have the following characteristics as of the cut-off date:. Weighted Average Original Loan-to-Value Ratio: 81.6 1%
. .
LBMLT 2006-6
Pros. Supp. at S-66 to S-67: The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at pg. S-36: The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers who have satisfied the servicers appraiser screening process. Pros. dated 7/21/06 at 28: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
39
EXHIBIT G
Pros. Supp. dated 8/24/06 at S-3: The Group II mortgage loans have the following characteristics as of the cut-off date:. Weighted Average Original Loan-to-Value Ratio: 81.18%
. .
LBMLT 2006-7
Pros. Supp. at pgs. S-69 to S-70: The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at pg. S-38: The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers who have satisfied the servicers appraiser screening process. Pros. dated 7/21/06 at 28: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
40
EXHIBIT G
Pros. Supp. dated 9/15/06 at pg. S-3: The Group II mortgage loans have the following characteristics as of the cut-off date:. Weighted Average Original Loan-to-Value Ratio: 82.33%
. .
LBMLT 2006-8
Pros. Supp. at pgs.S-69 to S-70: The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at S-38: The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers who have satisfied the servicers appraiser screening process. Pros. dated 7/21/06 at 28: High LTV Loans are underwritten with an emphasis on the creditworthiness of the related mortgagor. High LTV Loans are underwritten with a limited expectation of recovering any amounts from the foreclosure of the related mortgaged property.
41
EXHIBIT G
Pros. Supp. dated 7/5/07 at A-i: As of the cut-off date, the weighted average original loan-to-value ratio of the mortgage loans in the total pool was approximately 80.67%. Pros. Supp. at S-35:
MSST 2007-1
The representations and warranties of the sponsor and the related originator with respect to the mortgage loans include the following, among others:. At the time of origination, each mortgaged property was the subject of an appraisal which conformed to the underwriting requirements of the applicable originator of the mortgage loan and, the appraisal is in a form acceptable to Fannie Mae or Freddie Mac.
. .
Pros. Supp. at S-44: A full appraisal of the property proposed to be pledged as collateral is required in connection with the origination of each mortgage loan. Appraisals are performed by licensed, third-party, fee-based appraisers and include, among other things, an inspection of the exterior and interior of the subject property. Appraisals are also required to address neighborhood conditions, site and zoning status and the condition and value of improvements. Following each appraisal, the appraiser prepares a report which includes a reproduction costs analysis (when appropriate) based on the current cost of constructing a similar home and market value analysis based on recent sales of comparable homes in the area. Appraisals generally conform to the Uniform Standards of Professional Appraisal Practice and must be on forms acceptable to Freddie Mac and Fannie Mae.
Filed 01/21/13 Page 78 of 141
42
EXHIBIT G
NAA 2007-3
The weighted average loan-to-value ratio of the Mortgage Loans at origination was approximately 77.27%. At origination, no Mortgage Loan had a loan-to-value ratio greater than approximately 100.00% or less than approximately 26.67%. Pros. Supp. at S-50 to S-51: The adequacy of the Mortgaged Property as security for repayment of the related Mortgage Loan will generally have been detennined by an appraisal in accordance with pre-established appraisal procedure standards for appraisals established by or acceptable to the originators. All appraisals conform to the Uniform Standards of Professional Appraisal practice adopted by the Appraisal Standards Board of the Appraisal Foundation and must be on forms acceptable to Fannie Mae and/or Freddie Mac. Appraisers may be staff appraisers employed by the originators or independent appraisers selected in accordance with pre established appraisal procedure standards established by the originators. The appraisal procedure standards generally will have required the appraiser or an agent on its behalf to personally inspect the Mortgaged Property and to verify whether the Mortgaged Property was in good condition and that construction, if new, had been substantially completed. The appraisal generally will have been based upon a market data analysis of recent sales of comparable properties and, when deemed applicable, an analysis based on the current cost of constructing or purchasing a similar property.
43
EXHIBIT G
Pros. Supp. dated 7/11/07 at S-3: The following table summarizes the approximate characteristics of all of the mortgage loans in loan group 2 as of the cut-off date: Weighted average combined loan-to-value ratio at origination: 84.43%. Pros. Supp. at S-45: Generally, initial appraisals were provided by qualified independent appraisers licensed in their respective states. Review appraisals may have only been provided by appraisers approved by Fremont. In some cases, Fremont relied on a statistical appraisal methodology provided by a third-party. Qualified independent appraisers must have met minimum standards of licensing and provide errors and omissions insurance in states where it was required to become approved to do business with Fremont. Each uniform residential appraisal report included a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home. The review appraisal may have been a desk review, field review or an automated valuation report that confirmed or supported the original appraisers value of the mortgaged premises. Pros. Supp. at S-103: The mortgage file contains an appraisal of the related mortgaged property which satisfied the standards of Fannie Mae and Freddie Mac, was on appraisal form 1004, form 1025 and form 1073 with an interior inspection and was made and signed, prior to the approval of the mortgage loan application, by a qualified appraiser, duly appointed by the Servicer, who had no interest, direct or indirect in the mortgaged property or in any loan made on the security thereof, whose compensation is not affected by the approval or disapproval of the mortgage loan and who met the minimum qualifications of Fannie Mae and Freddie Mac.
NCMT 2007-1
44
EXHIBIT G
Pros. Supp. dated 8/25/06 at 11-4: The weighted loan-to-value ratio at origination of the mortgage loans will be approximately 81.75%. Pros. dated 8/9/06 at 11: The adequacy of a mortgaged property as security for repayment of the related mortgage loan will typically have been determined by an appraisal or an automated valuation, as described above under Loan-to Value Ratio. Appraisers may be either staff appraisers employed by the originator or independent appraisers selected in accordance with pre-established guidelines established by or acceptable to the originator. The appraisal procedure guidelines in most cases will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed. The appraisal will have considered a market data analysis of recent sales of comparable properties and, when deemed applicable, an analysis based on income generated from the property or replacement cost analysis based on the current cost of constructing or purchasing a similar property. Pros. Supp. dated 2/22/07 at 11-4: The weighted average loan-to-value ratio at origination of the Group I Loans will be approximately 82.58%. Pros. dated 12/6/06 at 11: The adequacy of a mortgaged property as security for repayment of the related mortgage loan will typically have been determined by an appraisal or an automated valuation, as described above under Loan-toValue Ratio. Appraisers may be either staff appraisers employed by the originator or independent appraisers selected in accordance with pre-established guidelines established by or acceptable to the originator. The appraisal procedure guidelines in most cases will have required the appraiser or an agent on its behalf to personally inspect the property and to verify whether the property was in good condition and that construction, if new, had been substantially completed. The appraisal will have considered a market data analysis of recent sales of comparable properties and, when deemed applicable, an analysis based on income generated from the property or replacement cost analysis based on the current cost of constructing or purchasing a similar property. 45
RASC 2006-KS7
RASC 2007-KS2
Filed 01/21/13 Page 81 of 141
EXHIBIT G
SACO 2006-2
The following table summarizes the approximate characteristics of all of the group II loans in the trust fund as of the cut-off date: .Weighted average combined original loan-to-value ratio- 97.49%.
. .
Pros. Supp. at S-35: Each mortgage loan is secured by a property that has been appraised by a licensed appraiser in accordance with the Uniform Standards of Professional Appraisal Practice of the Appraisal Foundation. The appraisers perform on-site inspections of the property and report on the neighborhood and property condition in factual and specific terms. Each appraisal contains an opinion of value that represents the appraisers professional conclusion based on market data of sales of comparable properties and a logical analysis with adjustments for differences between the comparable sales and the subject property and the appraisers judgment. Pros. Supp. dated 8/31/06 at S-l0:
SAMI 2006-AR7
The following table describes certain characteristics of all of the mortgage loans in the mortgage pool as of the cut-off date: .Weighted average loan-to-value ratio at origination: 75.68%.
.
.
Pros. Supp. at S-46: Except with respect to the mortgage loans originated pursuant to its Streamlined Documentation Program, whose values were confirmed with a Fannie Mae proprietary automated valuation model, Countrywide Home Loans obtains appraisals from independent appraisers or appraisal services for properties that are to secure mortgage loans. The appraisers inspect and appraise the proposed mortgage property and verify that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market data analysis based on recent sales of comparable homes in the area and, when deemed appropriate, a replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to Fannie Mae or Freddie Mac appraisal standards then in effect.
Filed 01/21/13 Page 82 of 141
46
EXHIBIT G
Pros. Supp. dated 10/27/06 at S-li: The following table describes certain characteristics of all of the mortgage loans in the mortgage pool as of the cut-off date:... Weighted average loan-to-value ratio at origination: 76.43%. Pros. Supp. at pg. S-49: Except with respect to the mortgage loans originated pursuant to its Streamlined Documentation Program, whose values were confirmed with a Fannie Mae proprietary automated valuation model, Countrywide Home Loans obtains appraisals from independent appraisers or appraisal services for properties that are to secure mortgage loans. The appraisers inspect and appraise the proposed mortgage property and verifi that the property is in acceptable condition. Following each appraisal, the appraiser prepares a report which includes a market data analysis based on recent sales of comparable homes in the area and, when deemed appropriate, a replacement cost analysis based on the current cost of constructing a similar home. All appraisals are required to conform to Fannie Mae or Freddie Mac appraisal standards then in effect. Pros. Supp. at pg. S-54 In determining adequacy of the property as collateral for the loan, a Fannie Mae/Freddie Mac URAR appraisal of the property is performed by an independent appraiser approved by SouthStar. The appraiser is required to inspect the property and verify that it is in good condition and that any construction or renovation, if new, has been completed. The appraisal report indicates a value for the property and provides information concerning marketability, the neighborhood, the property site, interior and exterior improvements, and the condition of the property.
SAM! 2006-AR8
47
EXHIBIT G
Pros. Supp. dated 6/23/06 at S-126: At origination, the weighted average loan-to-value ratio of the group 1 loans was approximately 71.0%. Pros. Supp. at S-131: At origination, the weighted average loan-to-value ratio of the group 2 loans was approximately 70.80%. Pros. Supp. at 39: The adequacy of the mortgaged property as collateral generally is determined by an appraisal made in accordance with pre-established appraisal guidelines. At origination, all appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation, and are made on forms acceptable to Fannie Mae and/or Freddie Mac. Pros. dated 1/6/06 at pg. 44 Underwriting standards in all states (including anti-deficiency states) will require that the underwriting officers be satisfied that the value of the property being financed, as indicated by the independent appraisal, currently supports and is anticipated to support in the future the outstanding loan balance, and provides sufficient value to mitigate the effects of adverse shifts in real estate values.
WAMU 2006-AR7
48
EXHIBIT G
Pros. Supp. dated 5/23/06 at S-147: The weighted average original loan-to-value ratio of the mortgage loans as of the cut-off date was approximately 80.6%. Pros. Supp. at pgs. S-67 to S-68 The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at pg. S-39 The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers. In most cases, properties in below average condition, including properties requiring major deferred maintenance, are not acceptable under the sponsors underwriting programs. Each appraisal includes a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home.
WMABS 2006-HE2
49
EXHIBIT G
Pros. Supp dated 3/7/07 at S-160: The weighted average original loan-to-value ratio of the Group II mortgage loans as of the cut-off date was approximately 83.58%. Pros. Supp. at pgs. S-66 to S-67: The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at pg. S-40: The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers. In most cases, properties in below average condition, including properties requiring major deferred maintenance, are not acceptable under the sponsors underwriting programs. Each appraisal includes a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home.
WMABS 2007-HE2
50
EXHIBIT G
Pros. Supp. dated 1/26/07 at S-92: At origination, the weighted average loan-to-value ratio of the mortgage loans was approximately 71.5%. As of the Cut-Off Date, the weighted average loan-to-value ratio of the mortgage loans was approximately 71.4%. Pros. Supp. at pg. S-26 The adequacy of the mortgaged property as collateral generally is determined by an appraisal made in accordance with pre-established appraisal guidelines. At origination, all appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation, and are made on forms acceptable to Fannie Mae and] or Freddie Mac. Appraisers may be staff appraisers employed by Washington Mutual Bank or independent appraisers selected in accordance with the pre-established appraisal guidelines. Such guidelines generally require that the appraiser, or an agent on its behalf, personally inspect the property and verify whether the property is in adequate condition and, if the property is new construction, whether it is substantially completed. However, in the case of mortgage loans underwritten through an automated underwriting system, an automated valuation model may be used, under which an appraiser does not inspect the property.
WMALT 2007-HY1
51
EXHIBIT G
Pros. Supp. dated 6/25/07 at S-93: At origination, the weighted average loan-to-value of the mortgage loans was approximately 75.7%. As of the Cut-Off Date, the weighted average loan-to-value ratio of the mortgage loans was approximately 75.7%. Pros. Supp. at S-27 to S-28: The adequacy of the mortgaged property as collateral generally is determined by an appraisal made in accordance with pre-established appraisal guidelines. At origination, all appraisals are required to conform to the Uniform Standards of Professional Appraisal Practice adopted by the Appraisal Standards Board of the Appraisal Foundation, and are made on forms acceptable to Fannie Mae and/ or Freddie Mac. Appraisers may be staff appraisers employed by Washington Mutual Bank or independent appraisers selected in accordance with the pre-established appraisal guidelines. Such guidelines generally require that the appraiser, or an agent on its behalf, personally inspect the property and verify whether the property is in adequate condition and, if the property is new construction, whether it is substantially completed. However, in the case of mortgage loans underwritten through an automated underwriting system, an automated valuation model may be used, under which an appraiser does not inspect the property.
WMALT 2007-0C2
52
EXHIBIT G
Pros. Supp. dated 4/5/07 at The weighted average original loan-to-value ratio of the Group II mortgage loans as of the cut-off date was approximately 82.34%. Pros. Supp. at 5-56 to S-57: The loan-to-value ratio for each mortgage loan was no greater than 100% at the time of origination. Pros. Supp. at S-31: The adequacy of the mortgaged property as collateral is generally determined by an appraisal of the mortgaged property that generally conforms to Fannie Mae and Freddie Mac appraisal standards and a review of that appraisal. The mortgaged properties are appraised by licensed independent appraisers who have satisfied the servicers appraiser screening process. In most cases, properties in below average condition, including properties requiring major deferred maintenance, are not acceptable under the WMB sub-prime underwriting programs. Each appraisal includes a market data analysis based on recent sales of comparable homes in the area and, where deemed appropriate, replacement cost analysis based on the current cost of constructing a similar home.
WMHE 2007-HE2
s-i 31:
53
[FILED:
NEW YORK COUNTY CLERK 05/18/20121
NYSCEF DOC.
NO.
16
EXHIBIT H
SECURITIZATION STATEMENTS REGARDING RMBS CREDIT RATINGS FROM THE PROSPECTUS SUPPLEMENTS
Pros. Supp. dated 04/05/2007 at S-l0l-102:
ARSI 2006-M2
It is a condition to the issuance of the Certificates that the Offered Certificates receive the following ratings from Fitch Ratings (Fitch), Moodys Investors Service, Inc. (Moodys) and Standard & Poors Ratings Services,a division of the McGraw-Hill Companies, Inc. (S&P; and together with Fitch and Moodys, the Rating Agencies):
Fitch AAA AAA AAA AAA AAA AA AA Moodss Ass Ass Ass Asa Ass Asi Aa2 AsS S&P AAA AAA AAA AAA AAA AA Offered Certificates A-i A-2A A-SB A-DC A-DD M-l M-2 M-3
M1 A+
A M-5
Al
AS
AA A
A
M-6 ABBBBBB BBB EBBM-7 M-S M-9 M-1O
AS
Basi Bsa2 BasS Sal
A
BBBBBB
BBB
BE-
Filed 01/21/13 Page 90 of 141
The ratings of the Rating Agencies assigned to asset-backed pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which such certificateholders are entitled. The rating process addresses structural and legal aspects associated with the Certificates, including the nature of the underlying Mortgage Loans.
EXHIBIT H
ARSI 2006-W4
Pros. Supp. dated 04/19/2007 at S-100: It is a condition to the issuance of the Certificates that the Offered Certificates receive the following ratings from Fitch Ratings (Fitch), Moodys Investors Service, Inc. (Moodys) and Standard & Poors Ratings Services, a division of the McGraw-Hill Companies, Inc. (S&P; and together with Fitch and Moodys, the Rating Agencies):
Fitch S&P AAA AAA AAA AA
Offered Cerliictes A-I A-2A A-2B A-2C A-2D Mi M-2 M-S AAA AAA AAA AA AA M-5 M-7 M-IO A A EBB-BEB BBB EBBMeGdv Aa Aa2 Aa A Aaa Aal Ai2 Aa5 Al A2 A3 Bal Ba2 Ea3 BiI A EBB EBB EBB
The ratings of the Rating Agencies assigned to asset-backed pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which such certificateholders are entitled. The rating process addresses structural and legal aspects associated with the Certificates, including the nature of the underlying Mortgage Loans.
Filed 01/21/13 Page 91 of 141
EXHIBIT H
BALTA 2006-4
Pros. Supp. dated 06/29/2006 at Sl0O: It is a condition to the issuance of each class of Offered Certificates that it receives at least the ratings set forth below from S&P and Moodys.
Offered Cerftcite ChsI-lA.i s& AAA \loody AAAAa
AAA Cl,Ui-SA-3
Moody Aal
Cbs I-2A-I Aaa A1

Aaa
Offered Certfflcaes clrn-2A-2 Cl IB-SA-i Cla rn-3A-2 Chss fl1-SA-4 Class iIJ-3XCls rn-3x-2 Aaa Aa2
Ci I-3A.i Chs !.3A-2 Cl Il.IA-l cia II-IA-2 AAAAa, AAA Aa AAA A,a AAA Aa
AAA Aa A Cl,fllXl
S&P AAA AA AAA AAA AAA AAA AAA AA
Cla II-2A-l AAA A,a

-,
Cla CIU-2X-2
Aa
Cl I!-5AClsIi-5A-3 CbssII-SA-4 ClalI.3A-5

A Clasll-3X-l AAA
AAA AAA AAA AAA AAA Aa A

-
U-3X-2 -1AS AAA ?AA A

A_Ari A_A ill-lA-I
BEE EBB AA AA AAA-A ABEE BBB

AA AaS
C1w Cia; Cl Cla 111-IA-!
ClaI-M-2 Cla-,-B-l Cl B Clasfl-B-l Cl,rI-B-: C1as Il-B-S ClasIl-B-4 ClaslI-B-5 CIS5II-B-f ClassIl-B-7 Clas Il-B-S Cl 111-B-I Class -B-2 Clasfl-B-S Eaa. B Aal A32 Aa3 Al A2 AS Bal 32 A EBB BaI
The ratings assigned by S&P and Moodys to mortgage pass-through certificates address the likelihood of the receipt of all distributions on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates were issued. S&Ps and Moodys ratings take into consideration the credit quality of the related mortgage pooi, structural and legal aspects associated with such certificates, and the extent to which the payment stream in the mortgage pooi is adequate to make payments required under such certificates.
Filed 01/21/13 Page 92 of 141
EXHIBIT H
BALTA 2006-7
Pros. Supp. dated 10/30/2006 at S-121: It is a condition to the issuance of each class of Offered Certificates that it receives at least the ratings set forth below from S&P, Moodys and Fitch.
&P Moodys
Aaa Ass Aaa Aai Ass Ass Aaa Aai Ass Ass Ass Ass Ass Ass Asi Ass Aa2 A2 Baa2 Baa3 N/A N/A N/A N/A Fitch N/A N/A AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA N/A N/A N/A N/A AA AA A BEE AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AA A BBB BBN/A N/A N/A N/A Ofrd Certificates C1aic I-A-i Ciacs I-A-2 Class 11-lA-i Class II-1A-2 Class II-1X-i Class II-2A-1A Class II-2A-1E Class II-2A-2 Class II2X--i Class II-2X-2 Class II-2X-3 Class II-2X-4 Class II-2X-5 Class II-3A-l Class II-3A-2 Class II-3X-1 Class I-M-l Class I-M-2 Class I-B-i Class 1-8-2 Claso 11-B-i Class II-BX-l Class 11-8-2 Class 11-8-3
Filed 01/21/13 Page 93 of 141
The ratings assigned by S&P, Moodys and Fitch to mortgage pass-through certificates address the likelihood of the receipt of all distributions on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates were issued. S&Ps, Moodys and Fitchs ratings take into consideration the credit quality of the related mortgage pool, structural and legal aspects associated with such certificates, and the extent to which the payment stream in the mortgage pool is adequate to make payments required under such certificates.
EXHIBIT H
BSABS 2006-EC2
Pros. Supp. dated 02/21/2006 at S-121: It is a condition of the issuance of the offered certificates that each class of offered certificates be assigned at least the ratings designated below by Standard & Poors and Moodys.
Rat,
rnass A-I A-2 A-3 A-4 M-I M2 M-3 M-4 M-5 M-6 M-7 M4 M-9 Moodys Aria Aria Aria Aaa Aa Aa2 Aa3 Al A2 A3 Iaal Iaa2 Baa3
Standard & Poors AAA AAA AAA AAA AA+ AA AAAI A ABBB BBB RI3
Pros. dated 06/24/2005 at 130: Each such rating will he based on, among other things, the adequacy of the value of the trust fund assets and any credit enhancement with respect to the related class and will reflect the rating agencys assessment solely of the likelihood that the related holders will receive payments to which they are entitled.
Filed 01/21/13 Page 94 of 141
EXHIBIT H
BSABS 2008-HE8
Pros. Supp. dated 10/26/2006 (Page Unknown): It is a condition of the issuance of the offered certificates that each class of offered certificates be assigned at least the ratings designated below by Standard & Poors and Moodys.
Rrii,
Moodys
-
Cla I-A-I I-A-2 I-A-3 I-M-2
Strndard & Poors AAA AA?. AA
I-M-3
1M4 I-M-5 I-M-6 A2 A3 Baal EI Au Au Au A21 A2
Aa Aa3 A2 A3 Al
I-M-9 U-IA-I Il-1A-2 ii-IA-3 1I-2A II-M-l fl-M-2
AA AAA A ABEB BBB BBBAAA AAA AAA AAA AA AA
Pros. date 10/18/2005 (Page Unknown): Each such rating will be based on, among other things, the adequacy of the value of the trust fund assets and any credit enhancement with respect to the related class and will reflect the rating agencys assessment solely of the likelihood that the related holders will receive payments to which they are entitled.
Filed 01/21/13 Page 95 of 141
EXHIBIT H
BSABS 2006-IM1
Pros. Supp. dated 04/21/2006 at S-136-137: It is a condition of the issuance of the offered certificates that each class of offered certificates be assigned at least the ratings designated below by Standard & Poors and Moodys.
Ratings class A-i A-2 A-3 A-4 A-5 A-6 A-7 M-1 X{oodvs Aas Aaa Aaa Aaa Aaa Aaa Aaa Asi
M-2 Aa2
Aa3 Al A2 A3 Baa! Baa2 Baa! M-3 M-4 M-5 M-6 M-7
Standard & Poors AAA AAA AAA AAA AAP. AAA AAA AA AA AAA A ABBB BBB BBB-
Pros. date 04/05/2006 at 130: Each such rating will be based on, among other things, the adequacy of the value of the trust fund assets and any credit enhancement with respect to the related class and will reflect the rating agencys assessment solely of the likelihood that the related holders will receive payments to which they are entitled.
Filed 01/21/13 Page 96 of 141
EXHIBIT H
BSABS 2007-2
Pros. Supp. dated 05/14/2007 at S-146: It is a condition of the issuance of the offered certificates that each class of offered certificates be assigned the ratings designated below by Standard & Poors and Moodys.
Rating C1a. Moodvs
A-i Standard and Poors AAA
A-2 AAA
A-3 M-1
M-2
M-3
M-4
M-7
AA AAA ABBB BBB BBB-
Aaa Aaa Aaa Aa2 Aa3 A2 A3 Bani Baa2 Baa3
Pros. date 03/14/2007 at 142: Each such rating will be based on, among other things, the adequacy of the value of the trust fund assets and any credit enhancement with respect to the related class and will reflect the rating agencys assessment solely of the likelihood that the related holders will receive payments to which they are entitled.
Filed 01/21/13 Page 97 of 141
EXHIBIT H
CARR 2006-NC3
Pros. Supp. dated 08/07/2006 at S-151: It is a condition of the issuance of the offered certificates that they be rated as indicated on page S-8 of this prospectus supplement by Standard & Poors, Moodys and Fitch. A securities rating addresses the likelihood of the receipt by the holders of the offered certificates of distributions on the mortgage loans. The rating takes into consideration the structural, legal and tax aspects associated with the offered certificates. Pros. Supp. at S-8:
Offered Certificaeo
C3e D610el (lanA C,rtificalel: A-I 07S.020 AAa20SA .&.MAAA 0 .06)2200.20 Seen AIP24OIeP.20 453.024 A-2 023e .oatIe Adjneble J20enySS, 2033 P-Th,o.h 0220 IeflelCeedS00e Ffielip,Ifl3l,& 1l,lR,tee (55leed00Th20) Fle1 SeO.ethl,d Th10fleee.D,le
Fa2002v21.2070 524202130
A-S 109,302.020 .4k3.AAA

A6j A 15930.022 .46aOle
Seen
1*20 ROe
.AaeAAA
.220020
2015.2331
ORal (01 AC,r610110. 1.221(002 Clan 01 CnRlkaOeO Ml A6O0001I 01.533450 14.020.202

.9.020 05135,200 30.730.200
23.409.290
AAAalAAAAAa2AA
eaeee02jmlaNe
Ma enee 342411e MeaOnen AOjonalIa
Aenoa2S. 2033
A 21, 2033 .201a25. 2031
N-S
.4See02, .Au*2a Ad 4021, A20bl
Adf41la0le
01.3 11-4 MS
faA- AaSuOA.
A Al A 452,20
Mana9 1-A 42401, Men,Ad)bOabk 024,
A-lOb 25. 2033

459411
25, 2530 A-AS AN -Ad) anIle

A450125,
51-3 11- .42424020

204410221 Ml
2035 23.439.390
23.011.020 0300,11000 Ml0202Adj24lSeA2S.2935
0003,11 300 21471,2100

339.773,020
41OAO)Obbla
P-ale
4511245.2031 000-0212-003!1t.enbl,
MO
A4524bi
204112025. 2030
TolalOffee,dCtallSaf
C,9rn,1* Tol,S 010,rae

(01,90,10
.201.430,002
Nell-Offered Certificate,
01-10 C?
P
AlaN, NA
N-A
10027.340 45.334.139
310
030,1300 NP.
NC
OIeen*AdjaoableRaa Saboldeell 9094 Ch24901
a125, 11 A4 2031
Filed 01/21/13 Page 98 of 141
0-2 NA (-0 N-A 0,911 m-,ffered

1.2001,914
NA NA 10.131.231 7,111 ,tftr.d,ad

aaa,ff,red c.rlthcit,_:
NE 30
On12aa ReeROl 1.627.102.275
NA NA NA NA
EXHIBIT H
CARR 2006-NC5
Pros. Supp. dated 08/07/2006 at S-151: It is a condition of the issuance of the offered certificates that they be rated as indicated on page S-8 of this prospectus supplement by Standard & Poors, Moodys and Fitch. A securities rating addresses the likelihood of the receipt by the holders of the offered certificates of distributions on the mortgage loans. The rating takes into consideration the stmctural, legal and tax aspects associated with the offered certificates. Pros. Supp. at S-8:
Offered Cerificates
Cites Detiettadetes Cites A Cerdfiea!ee: A-i Ajeosie 4AeSAA.A A. A. teAAA A.V.A4SAS.4. AkkAesU.k AAAIAsWAAA A.detttbi* !25.i62.Cde 24.713.C(..2 37.4tt,OttS 532.002.005 5i71.!ll.CtOO AdatteN, Adasehie Adjatebi. A-S A! At A-S Total CieccA Certifket.ec: Clot, St Certificalet M-Adaetobie S67.!57.202 2i910,.2bi 22003.-X) 52.i43.GCtS 24.94l.0102 17.035.000 21.291.004 10.515.004 4djetteSie 11.203,304 0207.327.000 3L131,230.00t2 552 Adyatebie Mjetebie Mjectobie Mptcebie cdyettbi. Adjettobie Adj toNe 31.-S 31_c 31-S 31.6 M. 31-0 31-0 4_kMI AA . t -u05!-4_ c_b. Aol AA 5_b5_b* AMA A-AlABBSANBB3 333 Paol333 303.:3te2333 Jettstwlb. 1037 lemctrs- 20. 2057 Jeesewylo. 2007 Jetectry 25, 2537 Jeee.rny2!. 2037 ieecctcyl5, 2057 Jeewetyl3. 0037 MeoeebieeAdytccbie MetteeateMytttoNe JeewetylS. 2537 Jeretttt 20. 203 M.ote.Adpdtole Pate MeraesaeAdpctobie Rate MetatateMjtetobie Pate MeeeoecaeMjc,ebie Pate Matte ceP.Adye000ie Ret. Meeateceedycsbibie Pete stiobi. 3 5!.weeee..Ad Pest-meet 6 RM& te!thlCe033eote Priesipa! oeee I.6e! R,de iSPdtThth Thee! 66.d.ekd 3.3OdOttDO.
i224.Pe5.tOO
Fraes13.2)3i Me620.2c56 Oesezet 23. 1050 NoeertbttlO.2035 MewS 25.2006
5eeoe .kdesuSie Pate 3.ernee Acijutobie Pace 3.eecer A.ccteN, Pate Seesor A4jette0iep.ece Steer Adjuttebie Pate
TotaIOfleeedCIocsbf Cert,lkatet7 Total Offered C. lifirolet
Filed 01/21/13 Page 99 of 141
Non-Offered Certificates
021.252.620 37.I05.73 720 NA N-A 333.596.145 Si.2!P.654.StS 31-IS Adjteetthie 0! NA P NA P.-! NA A-Il MA Total teote-offee-ed rerdiScotet: Tate! offered ,td toonaffered cerlilleatet: B00--PeeSBB NP NP. NP. NP. Mee:eece&Adjacoebie Pate Stcbeedceate atteetceC3.arres Ret_baa! Pao.Oso! Seeeeeyl3. 2037 NIA MA N-A NA
10
EXHIBIT H
CARR 2006-RFC-1
Offered Certificates
P-ThpJ Clan Daa Class A CerIjisral., A-I Ajmsable 032C012.020 A.AA5KSA AS.rAA.A.A.AA As35K.U..AAA A02AA?.A 136.402.020 10005.020 .020420 139340-5.020 Adsuable .jssssbls .0esubta A-S A-S A TalalClueAC,rl6firataer Ct,s3.l C
Scales
1,thI L5t Prlaas, 1R0eo S9PThabY
Fa1 Sth.d1d Th,uD,1a
Sep5esber2l. 2020 DasuebuSN 2232 IceaSI.2033
Sios .40s Sable Rue 3amnr Ad;ue bOa Rue Sauce ?.O02sSsUelSue
Sauce
Adr4uat-le 0s3e
20ue023.2036
024 AuscbOa 1301.300 20.346.320 10.010,320 5.200.000 54.109.020 12,144.5)) 02.61132) 10.949.020 3.021.320 5150.130020 5255.532440 ASstcbie A0ussabla .ucbO, .nle32e
A020I
AcI4AA.k Aa220AAAA53AAM. AO20A.AA 2AA.AA. A3AA KealAABac220le33 0u42093s033
2252033 9 S May 26.2033
20-2 20.3 20-4 20-5 20-0 20Aueuble ASjesScbla 32-1 M-9.dyssscbla Tatal Offered Class 50 CartilIcate,: Total Offered Certorates:
Slecumne AOjutMRsSe Mezesarna A0oe5ab1e Kale
Sues
May 23,2034 May 25. 2030 Mae-2S2035 Mas23.2033 Slay 26.2909

May 21. 2033
bleRase Slaaunuce ASS Oab!e Rue Sleceaccee Ady4SableRuc Meceuce .SOu bOa PaSs Meaacuea ASjassUeP.ale Maccause AdjulebOeRele Macna Asjeab1eRua
May2i.2030
20.50
A4sssebOe
50.994.020 29.710.020 500 NSA NSA 130712.921 0712.C:24$21 CE NSA P 2420 K-i 0420 R.il NA TatalNao-Otlerad CerliOSacIe,: TenS Offered cod Not-Offered Certdiratrs:
Stl533--33B 25K NP. NP. Nit
May202030 NA 045 NA
Filed 01/21/13 Page 100 of 141
Meucuce .0.4 cerISe Scbcrthsue uceslCleeses P.eSsdssal Retsdsel
11
EXHIBIT H
CARR 2006-FRE-1
Pros. Supp dated 05/19/2006 at S-151: It is a condition of the issuance of the offered certificates that they be rated as indicated on page S-8 of this prospectus supplement by Standard & Poors, Moodys and Fitch. A securities rating addresses the likelihood of the receipt by the holders of the offered certificates of distributions on the mortgage loans. The rating takes into consideration the structural, legal and tax aspects associated with the offered certificates Pro Supp at S-8:
P-Thoen3 31 C On,.4 CerritIcaIti A-I S -3i.&3.CQ) A11.Ie I4S3iCOI 143.253OI
23.44.000 5752.130.100 Aoe
o1pl 3 1CC3C .3, A3AA4.A Ae-AAA,-.SAA .oef.3M A}A
MdyN3S&AThch) ( Bien,den
?o
DbienDO Fe.o2i2335
A-I A33oo1.Ie A-4 TototloeACer0fieooe cS, 31 Aa1U01e Ml o01e S Aoo30 Aioeeble A3oeble A4eothIe .Aele Ai-.1e20;e MS ToUlOffer.dCISf(Aene: To53J Offmd C,nAeoee. .39ooNe 30-2
30-3
R Sloe SnoorAdjm013e Sloe
obor25203S Doeo*er2S, 2011 D*nrI5, 2031
32.105920 .11.333.010 L2.ThX0 15.131.020 11.073013 11015000
Ael.OA,AA .01AAAA AeSAA-AAASAA ANAN AlA-A-
Roe Roe
yIS.1.23 FrIrnovOO.2237 OoeeyIO.2C37 Feto,nvIS.2037 F.OeeI1.203? FAmryOS.2117
30I 30.5
Sloe MejoeUbIe Roe Moe oeo A30e1010& RAe MeeooeAoe1eb1o Roe 11.131.023 BeelAAS-35313920320 S 225.020 S 95.4,351.020 0,3033SlE3 Roe Roe
3eoeo25.2237 FeSnoe:25.22r
Non-Offered Certifleatee
30-3 1.3-52 CS P F-i 3.3 fettet:
.4.dooeNe A02oo3le NA NA NA NIt.
12912210 14.41411.) 12.753213 Ill NA NA 01.179.110 5 S Sf334537301
FAeoos25.230 Fe ooIS. 220 NA NA NA NA
Filed 01/21/13 Page 101 of 141
TetaL,en-efSr.d Total offered end ron-offered orottikoleS
Baal EBB EBB3301.5353 NA NA ISA NA
12
EXHIBIT H
CBASS 2007-CB6 Private Placement Memorandum dated 07/11/2007 at 136:
It is a condition to the issuance of the Offered Certificates that the Offered Certificates receive the following ratings from Moodys, S&P and DBRS:
Offered Certfites CkssA-l Ck55 A-2 CassA-3 C!as A-4 Class M-i C)assM-2 C)as M-3 CkssM-4 C]as M-5 ClassM-6 C)asz M-7 C]assM-8 Class M-9 Class B-i Moodys Aa Aaa Aa A2a Aal Aa2 Aa3 Al A2 A3 Baa! Baa2 Baa! Ba!
S&P AAA AA iLk AAA iA AA AA AA AAA ABBB BBBBB DEKS AAA AAA AAA AAA AA chih3 AA (low) AA(low) A (lirh) A A (low) BBB BBB (low) BB (lsiah)
The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which the certificateholders are entitled. The rating process addresses structural and legal aspects associated with the certificates, including the nature of the underlying Mortgage Loans.
Filed 01/21/13 Page 102 of 141
13
EXHIBIT H
ELAT 2007-1 Offering Circular Supplement dated 08/28/2007 at S-137:
In order to be issued, the LIBOR Certificates must be assigned ratings not lower than the following by S&P and Moodys:
foodys Aaa Aaa
Aaa Aa,
Aaa
Aai
Clan A-i A-21 A-2a2 A-2b A-2c A-2d M-1 M-2 M-3 M-4 M-5 M-6 B-i 3-2 3-3 3-3 S&P AAA AAA AAA AAA AAA ?_3A AA AA AA AAAAAABBB BBB33 Aa2 Aa3 Al A2 A3 Bai Baa2 3 Baa Bal
A securities rating addresses the likelihood of the receipt by a certificateholder of distributions on the mortgage loans to which they are entitled by the Final Scheduled Distribution Date. The rating takes into consideration the characteristics of the mortgage loans and the structural, legal and tax aspects associated with the certificates. Offering Circular dated 08/21/2007 at 160: Any rating would be based on, among other things, the adequacy of the value of the trust fund assets and any credit enhancement with respect to that class and will reflect that rating agencys assessment solely of the likelihood that holders of a class of securities of that class will receive payments to which those securityholders are entitled under the related agreement.
Filed 01/21/13 Page 103 of 141
14
EXHIBIT H
1MM 2907-A
Pros. Supp. dated 06/29/2007 at S-105: It is a condition to the issuance of the Bonds that each class of Bonds be rated at least as follows:
Rntins Class S&P
M-1 M-2 M-3 AAA BBB BBB BBB
Moodys Aaa Aal Baal Baa2
The ratings of S&P and Moodys assigned to collateralized asset-backed bonds address the likelihood of the receipt by Bondholders of all distributions to which the Bondholders are entitled other than any Unpaid Interest Shortfalls or Basis Risk Shortfalls. The rating process addresses structural and legal aspects associated with the Bonds, including the nature of the underlying mortgage loans. Pros. dated 06/29/2007 at 140: Ratings on collateralized asset-backed bonds address the likelihood of receipt by the holders thereof of all collections on the underlying mortgage assets to which the holders are entitled. These ratings address the structural, legal and issuing entity-related aspects associated with the bonds, the nature of the underlying mortgage assets and the credit quality of the guarantor, if any.
15
EXHIBIT H
IMSA 2006-2
Initial
Class Desitsation Super S oriAdiustable Rate Senior Support/Adjustable Rate Sensor Seq aiAd,tustable Rose Senior Sequer iAdiustabte Rate Sensor Seq iobAdiustabte Rate Super SeniorAd ustable Pate Senior Suppo&Adiustable Rote Class A Certificatest AAA/Aaa k&,JAoa 4AAIAaa AALbaa AAaa AAA/A,aa ---lAda
-
Pass-Through Rate 314,000,000 34.199.000 79.314,000 15.921,000 25,004,000 161,966,000 42] 11,000 743.275,000 1 L404.000 7310.000 4.67S.000 2324.900 2,923.000 2.924.000 2.924.000 2.924.900 1.970,000 10.466300 12.709,000 70.156.000 AA/Aal AAJAo2 AA-Aa3 AAl A-A2 A--A3 BBBBaal BBB:Baa2 .-IAa2 ---A2 -/Baafl 2,924.000 2341.000 1665.000 61 9.006,000 888- /Baa3 BooS Meorattine/AdjustableRite .1ezzauine/Adjussab1e Rite Mezoanioe!Adjssstable Rite Me:zatoineMjustable Rite MezzanineAdjustable Rite Mezzanisse/AdjuttableRite Mezzanitse,ustable Rote Mezzanine/Adjustable Rote Mezzani se/Adjustable Rate MezzanitseL&djustable Rite Mez:attitse/Adjustable Rate
Offered Certificutes Certificate Initial Rating Principal Bulatire (S&PtMoodas)
1-Al-i Adjustable Rote i-Al-2 AdjussableRote Adjustable Rate l-A2-A !-A2-B Adjustable Rite l-A2-C Adjotalole Rate 2-A-i Adjtttible Rote 2-A-2 Adjustable Rote Total Class A Ceatificates: $ Chess M Certificutes:
1-M-l Adjustable Rate t-M-2 Adjustable Rote l-M-3 Adjustable Rote l-M-4 Adjustable Rote i-M-5 Adjuttoble Rite i-Sf-ti Adjuttable Rote 1-M-7 Adjustable Rite l-M-S Adjustable Rite 2-M-1 Adjustable Rite 2-M-2 Adjustable Rite 2-Si-S Adjustable Rite Total Class M Certificates: Clots B Certificate:: 1-8 Adjustable Rite 2-B Adjustable Rote Total Class B Certificates: Total offered rertifirates:
Subordinate/Adjustable Rite Subordinate/Adjustable Rite
Pros. dated 06/27/2006 at 160: It is a condition to the issuance of any class of offered securities that they shall have been rated not lower than investment grade, that is, in one of the four highest rating categories, by at least one Rating Agency. Ratings on mortgage pass-through certificates and mortgage-backed notes address the likelihood of receipt by the holders thereof of all collections on the underlying mortgage assets to which the holders are entitled. These ratings address the structural, legal and issuing entity-related aspects associated with the certificates and notes, the nature of the underlying mortgage assets and the credit quality of the guarantor, if any.
Filed 01/21/13 Page 105 of 141
16
EXHIBIT H
IMSA 2007-3
Pros. Supp. dated 04/27/2007 at S-131-132: It is a condition of the issuance of the Offered Certificates that each class of Offered Certificates set forth below be assigned the ratings at least as high as those designated below by Moodys and S&P.
Class Al-A Al-B Al-C AM M-l
Class M-2 M-S M-4 M-5 M-6
Moadys Rating Aaa Aaa Aaa Aaa Aal

S&P Rating AAA AAA AAA AAA AA
Moodys Rating Aa2 Aa3 Al A2 A3 S&P Ratig AA A+ A A-
The ratings of S&P and Moodys assigned to mortgage pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which the certificateholders are entitled. The rating process addresses structural and legal aspects associated with the certificates, including the nature of the underlying mortgage loans. Pros. dated 04/27/2007 at 160: Ratings on mortgage pass-through certificates and mortgage-backed notes address the likelihood of receipt by the holders thereof of all collections on the underlying mortgage assets to which the holders are entitled. These ratings address the structural, legal and issuing entity-related aspects associated with the certificates and notes, the nature of the underlying mortgage assets and the credit quality of the guarantor, if any.
17
EXHIBIT H
INDX 2006-AR29
Pros. Supp. dated 09/28/2006 at S-l00-lOl: It is a condition to the issuance of the Offered Certificates that they be assigned ratings not lower than the following by Standard & Poors, a division of The McGraw -Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys). The ratings assigned by S&P to mortgage pass-through certificates address the likelihood of the receipt of all distributions on the Mortgage Loans by the certificateholders under the agreements pursuant to which the certificates are issued. S& P ratings take into consideration the credit quality of the related mortgage pooi, including any credit support providers, structural and legal aspects associated with the certificates, and the extent to which the payment stream on the mortgage pool is adequate to make the payments required by the certificates. Pros. Supp. at 1:
Class Class A-I Class A-C Class A-3 Class A-4 Class A-S Class A-R Class M-l Class M-2 Initial Class Certificate Baiance $400,000,000 $130,381,000 $107,406,000 $ 50.396,000 $ 78 132.000 lOt) $ $ 10.415.001) $ 0,268,000 Piiss.Throuuh t 2 Rate< Floating Floating Floating Floating Floatina N/A Floating Floating Class Class M-3 Class M-4 Class M-5 Class M-6 Class M-7 Class M-8 Class M-) Initial Class Certificate Ilalance $$.178JXX) $4.1 78.000 $4.178.000 $4.178.000 $4,178,000 $4.178,000 84,178.000 Pass-Through 424 Rate Floating Floating Noatin Floating Floatin Floating Floating
18
EXHIBIT H
JPALT 2006-A2
Pros. Supp. dated 04/27/2006 at S-97: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page 5- 1 by each of the Rating Agencies, as applicable. The ratings assigned to mortgage pass through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related Certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage pool, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage pool is adequate to make the payments required by such certificates. Pros. Supp. at S-i:
CLASS
SUMMARY INTEREST RATE FORMULA
DESIGNATION
5&P RATING (10) AM, A/A A/A AAA 553 ASS A/A A53 MA MA MA A/A A/A ASS ASS AS A 000 AM 0109+ 000 MA
MOODYS RATING (101 Aaa Aaa Aaa Aaa Aaa (it) (ii) (ii) (ii) (it) lii) (ii) (ii) (it) 1111 Ill) lii) (Ii) (ii) Aa2 52 Saa2 0aa3 (ii)
FITCH RATING (10) MA AAA AA,A MA ASS ASS MA MA ASS MA MA AM, 533 A/A ASS MA AS A 000 AM A. 000+ 050 ASS
Class i-A-i Class i-A-2 Class t-A-3 Class i-A4 Class i-A/S Class 2-A-i Class 2-A-2 Class 2-A-3 Class 2-A.4 Class 2-A-S Class 3-A-i Class 3-A-2 Class 4-A-i Class 4-A-2 Class 5-5-1 Class 5-5-2 Class C-S-i Class C-B-2 Class C-B-S Class i-M-1 Class i-M-2 Class 1-B-i Class i-B-2 Class A-R (2) 12) (2) (2) (2) (3) (3) (3) (3) (3) 14) (4) (5) (5) (6) (6) (7) (7) (7) (2) (2) (2) 12) (4) (7) (7) (7) N/A N/A(8) N/A(s) Class C.B-4 Class C-S-S Class C-B-S Class CE Class P-i Class P-2
OFFERED CERTIFICATES APPROXIMATE INITIAL CLASS RELATED INITIAL PRINCIPAL MORTGAGE INTEREST RATE AMOUNT (1) POOL (%) 5304,02i000 1 5.iSO% 595,779,000 i 5050% 029,860,000 i 5140% 534,494,000 i 5240% 951,573,000 1 5.220% Sl0327i,000 2 5,9i8% 050,000,000 2 5.9i8% 56,067300 2 5.9i8% S2i,2i9,000 2 5,918% Si2352,000 2 5.918% 9104,343,000 3 5.952% $7,254,000 3 5352% 993809,000 4 6,399% 56,522,000 4 6399% 5108,404,000 S 6360% $7,536,000 S 6.360% 915,601,000 2-5 6.116% 96,687.000 2-5 6,116% 54457,000 2-5 6,ii6% Si4,6i5,000 1 5320% Si t,523,000 1 5.430% 57,869300 1 6,1 20% 52311,000 1 6.970% SiOO 2 5.9i8% NON-OFFERED CERTIFICATES 53,900300 2-5 6.ii6% 93,344,000 2-5 6.116% 92,228,093 2-5 6.116% Notional 1 N/A $100 1 N/A(S) 2-S SiOO N/A(s) Subordinate Subordinate Subordinate N/A Prepayment Penalty Prepayment Penalty
Super Senior Super Senior/Sequential Super SeniorfSequentlal Super Senior/Sequential SenIor Support SuperSenior Super Senior/Sequential SuperSenior/Sequential Super Senior/Sequential Senior Support Supersenior Senior Support Super Set/or SeniorSupport Super Senior Senior Support Subordinate Subordinate SubordInate Mezzanine Mezzanine Suborclinaie Subordinate Senior/Residual
Filed 01/21/13 Page 108 of 141
00 0 (it) (ii) MA AAA
(ii) (it) )ii) lii) Aaa Aaa
IllS B (11) (Ii) A/A MA
19
EXHIBIT H
JPALT 2006-A3
Pros. Supp. dated 06/28/2006 at S-67: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page of the Rating Agencies, as applicable.
s-i
by each
The ratings assigned to mortgage pass through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related Certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage pool, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage pool is adequate to make the payments required by such certificates. Pros. Supp. at 5-i:
CLASS
INITIAL CLASS PRINC:PAL AMOUNT ) P.XLATED MDRTPACE POOL
APPROXIMATE INITIAL :NEREST PATE (
SU1-CIARY INTERIST PATE FCfJIA
ssio
I420
Class IAI Clsss 1A2 Class A3 sIO,000,000 $E2,938,000 52%, BIB, 300 1 1 3 3 2 2 3 3 23 23 23 1 I
.
OFFERED OERTIFICATE (2) (2) Supe Supe Sup
Class 1A4 Class IAS Class 2AI Class 2A2 Class 3A Class 3A2 Class CSI Class C32 Class CB3 Class ICl! Class 1C-!2 Class IBI Class 332 Class AP. 560,032,30% 535,390,300 S126,971,400 $8,034,800 579,583,500 $5 079 9j% $6,048,000 $2,673,003 $1,511,000 $10,694,000 $7,000,000 $3,634,303 81,344,000 810%
1 2
SS93 SI70 6J)74 074 6J03 6033 604E 6046% &046 5E.50 S750 E4J6 73S0 6374
(2; (2; (3) (3) (4) (4; 5) (5; (5) (2) (2; (2; (2; (3;
Filed 01/21/13 Page 109 of 141
NON-OFFERED cERTIFICA (5) $1,627.000 $,278, GOD $817,337 ITotor.aI $200 $100 046 604E 6046 N/A N/A(E) N/A.7
(5) N/A N/ACE)
NJA.7
Class CB4 Class CBS Class CBB Class CE Class Pl C1as P2
P P
20
EXHIBIT H
JPALT 2006-A5
Pros. Supp. dated 09/28/2006 at S-97: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page of the Rating Agencies, as applicable.
s-i
by each
The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage pool, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage pooi is adequate to make the payments required by such certificates. Pros. Supp. at S-I:
OFFERED CERTIFICATES
CLASS t 41 5 400% (2)

(2) S 30065 5 490% 1-1. 7 1 43
INiTiAL CLASS PRINCIPAL AMOUNT (1) INITIAL INTEREST RATE SUMMARY INTEREST RATE FORMULA
MOODYS
OESIGNAUON Super Senior

Super Sen oISequerttIal
RATINO(9)
RATLNO (9)
crass C ass C 350 crass t Al

(2) Rate (21
Rate Rate Rate Rate (2)
C330 1 A 5 C ass S 50 1
Pool I Offered certificates 0223,030,000 5156,01 6.007 053,113.000 583.735.000 S55,575.000 014,500,000
50.040.000
Cast 144 2 Class 1 0-1 Class S 02 Cast? A 1

1. 2 0113,541.000 C ass 2 C ass? Cass 2 C ass 2 S 550% 5550% 5 550% 5 650% S 650%
5 570% L550% 5 540% 5750% 3,430% 7330% Rate)?) Rate)?) Rate)?) Rate (2)
Variable Variable Variable Variable Variable Variable Variable Variable Variable
Super SeniorSequenhial Super Senior.5equntial SenIor Support M,znanhrse MeezanIrro Subordinate Subordinate S..pur Senior
Super Senior
$4,470,000 02.500,000 Pool 2 Offered Certificates 095.155.000 $0855,000
APP. A6A PA APP. PA IsP. AP. A 560+
Aaa P.35 P.33 Aaa Pal P.37 P.2 113,51 Itaa2
Rxed Pots (3) 0ixdRate (3) Fixed Rate (4)
005.779.000 510.512.000 034.492,000 $27,131,000 021,871,000 $6,163,000 05,525.000 $7,501,000 300% 050% 00065 000% 5 300% 6 000%
6 500% (5)
5 5 6 6
P.33 Ass P.351 Aaa P33 P.33 P.aa Pal As? .52 nixedeaLe (4) CiXud Rate (6) Fixed Rats (4) Fixed4late (4) Fixed Rate (41 Fixed Rate (4) Fixed Rate (6) Fixed Rate (4) Fixed Rate (a)
15337 (5) NON-OITtflEO CERTIFiCATES
43 Al sO Cl 2-1. 6 Class 7-A-7 Class 2 A 8 Clots 2505 Class 74.12 Cast 2 0-1 Cast 2-5-2 Cast AR
52,0533,000
$100 $100
5100 (6)
Super Sen orlsequeritiar Super Sen orSSequeilIal super Sen orsequertial Super Seruor/Seqaerttial Super Seniicrrsl.ockout Senior Support MepranIne Meteanirre Subordinate Subordinate SCrLorIResldaal (5) (5) (5) (5)
PAP. APP. PAP. APP. P.t.A APP. APP. PAP. P. Ars A 665- PAP.
l1a63 lIsa
P36
P.aa
Filed 01/21/13 Page 110 of 141
Cuss 1-P Class 2 P CmoS CC Class? CC
(51
(5) (5)
(5) (5)
prepayment Penaltras(1) Prepayment Prr3ltes(0) EucessCash Firm, Excess Cash Pow
PAP. A1.A (10) (101
(10)
(10)
21
EXHIBIT H
JPALT 2006-A6 Pros. Supp. dated 10/27/2006 at S-93: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page of the Rating Agencies, as applicable.
s-i
by each
The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage pooi, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage pool is adequate to make the payments required by such certificates. Pros. Supp. at S-i:
CLASS OfFERED CEUTIEICATE5 Ver,oOe-Rate (2)
Vor,abe-Reue (2) Variabie.RoSn 2)
INITIAL CLASS p001$CIPAL AMOUNT (SI INITIALIf6TEREST RATE SUMMARYINTEREST RATE fORMULA
DESIGNATION
RATING(S)
MOODYS RATINGS)
Class 1.1.1
003 1-0-0
Pool 1 Otferd Certificate. 5275,000.040 5150)607,043

549472.000
Super Senior Sup. SerlsorlSeqirertaI

Sup.! Seniorlsequnnnial
Ooe
Claus Class Class Class Claus Class Class Variable-Tore (2) Vurleble-RaIr (2) Vocable-Oar, (2) Variable-Rote (2) Var,abie.Pote (2) VarsaSe.Ral, (2) land-Pete (3) Fisea-Tare 14)
(C)
l.A.) 1-44 I-A-S 1-Mi 1-M-2 1.6.) 1-8-2 159,231,050 (60.040,000 (15,560,000 19,592.600 54,790,033 93,184,066 P0.52 Offered Certificate. (55,200.000 572,506000 5.501. 5.50%
5460. 5397. 5.43% S.S6)u 5.54% 563% S.72% 697% 7.32,
Super Seflior)SequrOtiel Senior Support Me000rl,ne Meoaarxne Subardirare Subord,rarr Super 55010
0,0,5 All, 0,54 A-AS AAA 44 GA. A563,

.5.0,6
Aea Ace Ace Aua 402 42 TacO 5043
Class 2-4-1 Clan 2.0.2
Class 2-A-S 521,423.003 535%
F4f4.Otte
Super Ser,ior.Tequennill
470
Ac.A
0,40 404 A.A4 A,5_4 SA 5 A
4s1,5
Ace
Super terixrlseouertial Super Senior)Stquentlol Super SrolorTIrqueotial Super Srflionlsrqunorial Super Senspr,Cxclluut Senior Support Mezzanine Weeser1re Susborairerr Subordinate Se,x,,Oelidutl
Close 2-04 Class 2-0-S Close 2-4-6 Clatu 2.0-P Class 1.0-0 Class 2-Sf-I Class 2.1,1.2 Class 2-5-I Clots 2.6-2 Clasu A-P $23,rt3,000 (20,639,002 521,360,000 617,774.000 525,003.000 $4,743,006 10.S75.066 $I.3SS,030 51,355.050 1130 6.95% 6.05% 5.95% 5.551; 6.06% 6.13% 635% 6.39% 5.35% 15)
lined-Rare (4) 110.4-Tom 14) Txef.Tore (4) P1060-Pete 141 Fsaed-Pote 141 r,xed-Ytte )4) PArC-pare (6) Fiord-Tore (4) Ford-rare (4) (51
AC, 40A606, ,50,4
Aau Ace Ace Aoe Ace Ace Aa2 42 SaaO 5a03 Ace 40,6
550,5
Filed 01/21/13 Page 111 of 141
Clrss .0 Clad 2.0 Class l.CE Class 2-CE 5100 1100 (61 16)
15) IS) (5) (5)
NON-OFFERED CERTIFICATES (5) Ptepayrnenr PerolSet)7) FrePoyroent FenOlTeS)8) (51 (5) Tuteto Co19 Flow (5) Excels C0x9 PlAns
470 5121
(10) (tO)
110) 110)
22
EXHIBIT H
JPALT 2006-A7
Pros. Supp. dated 11/28/2006 at S-97: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page S-i by each of the Rating Agencies, as applicable. The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage pool, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage pooi is adequate to make the payments required by such certificates. Pros. Supp. at S-i:
INITIAL CLASS PRINCIPAL INITIAL INTEREST SUMMARY INTEREST CLASS
AMOUNT III RATE FORMULA OFERtO CERTIFICATES S 41% I.38.

Vanob)o-RatR (2)
RATE
DESIGNATION
RATONGIS)
MOODYS RATING 51)
(452 5.4.2
(22,5 I-u-?
(2201-A-a (lest 1-A-A
6011 IPI12 CIf(02I,1 1300,400.000 207, 06 5. 002

560.533.000 S(0,136_000 63 5% VUnUO)e.Ra:e (2)
Super (coo
Sup
2,04 AA.A
4,04 228
030l-AS 553.
515(55,000 (22:1 I-MI
420.2 I-Fate (2) VIoUbiY-iJtt(22 Vo)aSle-Oat. (2)
Sup,, SInro,Oeouact,o2 Super SeO,0:3eASTI.2[ 5en2ot,S1ot01tI2 5540, Support
(lao; 1.142
(2) (22221.0,., (too 1.44 (Lou 1.1,).)
S SI. 553. (2) (2) )2)

SenaS,-F.te VehlS,_P0I V,Ot50)e.R21I Var,oSle.fl2t,
UI,,,,, 0e 24
Upzouo,oe 4,0220,0, 5060,400?, tAb 3,0,2, AU3
(Aol-TI 02,21-I.?
Poll (2122
12,120,043 14120,020 62,330.000 16,295,200 54,330_PAT 555% 5)9% 022% 622% Vor)abte.O,te (2)
VOtiUbte.I,2e (2) V1n16k.,0,I (2)
423
P 1131112 C1ttITfraI,2
162.000.501 S02,I$6,004
0S.
4,54
32,4 Supel Sen,ooO,,ur-I),l SOpII SlflP0ST5APSI,,) )up,,Sen,00.%equooua)
Toll
.542
2.6.? 2-4-2 5321. 540%

(PSI)
2-4-3 2.4.2
015,4-071, (3)
0,2,2-RaIl (4)
FiSed.R5tI (4) 6114-ROt, (2)
573.153.007 12 5,021,203
527,554002
2,64 Sup,, 5,,AorlSequeOh)41 Pted.Rp(1 (42
(00 COO (2222 (20 (2255
Au tOp,, S,o,040eLo-eo:,a) (ApIr 51n20r15t0004)1l

1404-8,4. (4, 6712-CIte (4)
2.4-5 2-A-S
0152
2-5-3 (P0% 5-75,4

540%
4,24
44.2,
442
CII,, 2-AR
0)114-Rut, (4)
(4) (4) (U) 2)
2-61-I
2.0,.?
2.3.? 2.1.2
44,5
3,52. PS!,
Aol
,62
5250.4.0,1, S100,YI0OtA.1) 5243
605%
526%
(2222 (2225 (2405 (114 (2,;
519,753,200 120,601,000 10,607,000 IA, 501,020 5)533002 S I, 58 3,000 (SI 1100

(B)
04,4.0411 0)7,4.0411 F)e04.ROl1 0414.121,
APp, SIOtOtJLOOkPUI (1:40 Support MItzln)oe U,2ZOfl,fl, IubO,3,Oola
A_fl
(212,1.0
(4) NON-OrrPRED CERTIPICUTES

(5)
01121200,11
00112.
Coo
P1-&t,eOC( (5)
FI092)10I01p0,01l,12(0)
242
41.
1-CS (6)
Filed 01/21/13 Page 112 of 141
0225 2-Ct
(5) 5) (5)
E,;,so (2,5 roy;

talUs (225600
(5) 5)
((5) (10)
(10) (16)
23
EXHIBIT H
JPALT 2007-Al
Pros. Supp. dated 02/26/2007 at S-90: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page S- 1 by each of the Rating Agencies, as applicable. The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage pooi, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage pool is adequate to make the payments required by such certificates. Pros. Supp. at S-1-2:
60,001 A&R4000T 01) P030. 00350053. 00.5004*0)014 RAIL 047,500.09007400
2.2)0) 0 000)413)14)
003140 (14)
374)
706304
3713)3772. 1fl30 0)
0)00,7,0)0
0) 0) 33)
.070,0
/10,
0))
071)07 .54(0) 03707 25)3)

072.0 1.11
6020700007002 0)50000,00200 04073000000 010) 00700030 000 06500000 033,03000000 0)2.000-10000

004066 040370 620003 053074 000014 030004 004042 .33042 70) 7) 30) 10)
11)0002)2)1 103371700450100703) 0)5101 00000003)0003) 0/300) 007100 S3po,00,000)00000103) 00001030(00

7.0310.0250
.0.5 *2.5 0,0,0 .3375 *2,0

.07,0
*03 37.0 *2.6 /164 *00 .00) 33012)0)0

.070. 7.1) .7.0)
1)0 0)) 0* 00
(33) 3)0)
3720)) Ml
0)
(II)
3)0 /2,0 .554 fll 02 1000310,,
0)00)733,
2.2)17 0S
$323030000 7250903000 02.0-10730000

607)14
>11) 00
0.
pool
o 077.0950.10,0)0072. 33/0,71660000 33.0.1.0.60000
N,.00)0 0700.201 3101 0)2)2,1)0)10
/6,5
(II) 0) 0,
1) 31) 11
.07?
0.0,2.. 70 7)0) 071000.0)3I4 2.20237 1)0 1)70.611,50400 1100)10)0000 tO)
,ll,O
I0
/.v.
3)
71) 10)
C:2fl1k)103 03110*0)103 07000*11)10) 07507*2 (0) (0) (0
604070-C,617l9.b0 S003oOr<o/0olol.jt 137)1, 11) C0307.22)10-2 003005307000. 51031007 00701107000000)) 30200 )/70004010000/1370011200303072 100010flor03000011030903314 101100101000 O0)50d.003000.0 100001010000013)1003030903L4
.070. 76,0 *2.0
1)3) 00)
(10)
.5.01) MA MIS
113)003030
0)304)100000
3773)021)12)
0721033714)Il) 0731042)2000 00304)700400
0 0
00) 0)) 0)
30) 10) (01
.W. 72,0
2,070 *2,5
MIS
1)0
3)0) 3)0)
MA
.07.0 .1.0*
613041060009
03)
(I?)
,00q00b0 1 o100 0 S0040)010000 100)ooloOo) 0000000001 0.3160 00001)000724010107)0 007010001006.7.10730/00
MA
1)0 1,)
0)
)031015031000,1tS)077060
.tlS
*2,0 MA .00?
10)
073330704,07
01201A1000200
000000 7)406, 000264, 0400 5.4007, 0)0072 010074 0040)4 030003 050074 002044 6)4374 700442 050004 00304, 000472 506012
0)
01 0.007. 0.00%
0003
1)02)00 001,61000000.1 0000 000400,0J0ll00004 1000-07002)101000 .10

1)0
00
02,0 MA
2.700 0 ))I0)
r072o7300goo( I )rC.t)07070r)100109000
)0000-l0010c1(56.0080003&4
0,26, .10
72.0.
7)0
00005. 67054 0000% 20 04 70004202 6)33073000
3.0,0
072)1377 2.23002
0))
II)
00000107002))00J.4003230 505000.44(10 0400035,.,
7)00 0,0
3.06
0770(63
A 72
600072 1)2) III, 01)000720.1 662
(10) 1)0)
1)0 00)
3301000000 1011)0)0700)33)
700 1 600
37370020 07310(25
7 0
0)010450,0) 23
0)30619 5050) 0)010)0 (I)
1))) 00)
-
60
02 2 310) 0,1.5 .7, 0o.1,010rosaI1 007)5 0 3)0) 2.00
Filed 01/21/13 Page 113 of 141
00 0)) 0),
50)00*0)0 00)007020 00060030
3)0 1)0 37-0

00) 1)01
24
EXHIBIT H
JPALT 2007-A2
Pros. Supp. dated 05/31/2007 at S-95: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page S- 1 by each of the Rating Agencies, as applicable. The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage pooi, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage pool is adequate to make the payments required by such certificates. Pro Supp at S-1-2:
(A 10000% 006006
04
C40100S000,,0 41400101A0&0C0AI0) W0SO
NCO
NA
1(40 COO 620
(A
I/O,
00
1,20
Cl
04000
n)0S0IOIIIAAC7ACO
1240
140S4
1,?)
CZI2A lIAr) CI007A 1001) I

06000000
Am II) 612
Cl)
4740.0 0(0006
0) 11
000014
IC 0)10 t0)050014C0 04000)16060)146000600S
COlA 1,01)
4)
(C
(0)
4040001000,l /1411001400,IbO ,I000AC040II4OIOOICC
/A2s
NA (A
00700)1 NA
(II) (IA Al)
C/A Am 060
(0) 00pl 06I0fl00l.4)0(4,100 ,IOCI0OOIOO 0001,140(0,0
Am
CO
,v
00,
240
4)0200200 0000 004200000
CAll 401412)) CIII, 01210))) 0000201)01) Cl02)1IA)
Cl)
41,0052006006000/AS
/0050
(/4)
1,250
101
004000 600000
(II) (0)
IICCI61400(0N(40A0004C000 CIOOSSCS000(
lAO 114
(IS) 00)
A/A COS
001,0%
II,
fllOO 2 40040)000
20
1,0
Am
604000
6 41l) C4000011I, 10)
0010 C0))0)0C0
Am 101
440000 (50) 0ll,O4O4tI0I0)0SSl1l0S00
Filed 01/21/13 Page 114 of 141
NIS
All
0050
25
EXHIBIT H
JPMAC 2006-CWi
Pros. Supp. dated 05/23/2006 at S-97: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page s-i by each of Standard & Poors Ratings Services, a division of the McGraw-Hill Companies, Inc. (S&P), Fitch, Inc. (Fitch) and Moodys Investors Service, Inc. (Moodys and, together with S&P and Fitch, the Rating Agencies), as applicable. The ratings assigned to mortgage pass through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage group, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage group is adequate to make the payments required by such certificates. Pros. Supp. at S-i:
CLASS DESIGkTION OmB.ED CEICATE5 A-lB CThA-3 c3A-5 Cb;Mi C1a; M-2 CksM-3 C1sM-4 CIM-5 Ch;M-5 CLi M$ Cb,; MJ-I AAA !&AA AAA AAA SiMz SiorSq SiovSeq SnioiSq SeioriSeq Siibrdizi Sub Srd(m Surne uborthne Subcdin Subrdl Sub,rni Sn AAA AA+ AA AkA A ABB3335 5213.os:.cco 553 3WOCO S23374.CCtJ 53L072.OC) O3.llSCOi 35L9373l S3L55LOCO S3c321OCO Sl.S3OCd) Sl5JLOO 514215.010 5l33Th310 S13377CC0 S11$4.CCO .10&C(0 Eoit (1.) Ectiig(2) Eitn (2) F (2) Ficng(2) Fioning(2) Fii(2) Eatn (2) F.t(2) Ft2) Flot(2) F!thg (2) Fki5ng (2) F1LuE (2) E15u (2) NON-OFFERED CERTIFICATES M-10 CiC CsP c:R NA5l NA(4) NA Subidin1 Submdiui picm tiCriIy Rud.rn1 BBSNvRI 2Ri:1 NoRa: BBSNtR NtP.ad NtPd &) NcRai NcR l1o a 462SMAR7 4552SL45l 46525MAT3 4623MAUC IMTL4L CLASS PRINCIPAL AMOUCr CERTIFICATE (1) PTEREST RATE S&P R4TING(6) FrrC RATING (6) MOODYS F.ATINC (6) CUSIP
Filed 01/21/13 Page 115 of 141
AA ATA AAA AAA AAA AAA AA+ AA .4A AAA+ A BBSBBS 3BB
A A Ai .4 A A A1 A2 A3 Al AT Al Bai &2 &al
45MA44 462IMAB2 2IMACD 423M..4DS 4f62SMAE 4552SIAF3 45623MAGI MAH 4f25M.U5 4523MAK2 42iMAL0 462SMAMB 45625M4N6 4652l2L4P1 452SMAQ
26
EXHIBIT H
JPMAC 2006-HE3
Pros. Supp. dated 10/27/2006 at S-127: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page s-i by each of Standard & Poors Ratings Services, a division of the McGraw-Hill Companies, Inc. (S&P), Fitch, Inc. (Fitch) and Moodys Investors Service, Inc. (Moodys and, together with S&P and Fitch, the Rating Agencies), as applicable. The ratings assigned to mortgage pass through certificates address the likelihood of the receipt of all payments on the Mortgage Loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage group, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage group is adequate to make the payments required by such certificates. Pros. Supp. at S-i:
CLASS DESICATIOX OFFERED CERTifICATES AAA AAA A.A AAA AAA AA &A A A A8BB BBB EBBAAA AAA AAA AAA JA AA 4fi A A A333 BEE EBBAa Aaa Aaa aa Aal Aa2 Aa3 Al A2 Baa! Baa2 Baa3
1MU4L CLASS PRINCtPL AMOUNT(1) CERTIFICATh tTtEREST RATE
S&P RATEcG(6J
FITCH RATING(6)
MOODYS RATING(6)
Ct/SIP
Filed 01/21/13 Page 116 of 141
C1ar A-l Cbos A-2 C1aa A-3 C1a A4 C[aa A-5 C1az M-1 CLas M-2 1as yf 3 CIao M-4 C1aa M-5 Claa M-6 C1as M-7 Clana M-S Clans M-9 5189,500.000 $243,800,000 70.900.0&0 $57,700,000 $44J98.,000 536.900.000 $40,591,000 $14 760 000 $1S.45&000 $15.5 50.000 511710,000 $13i30.000 $11,070.000 $ 10,250.000
) 2 Ploatin( F]oathE(2) Foansi]) F1oanec2) F]oanz(21 F1oain(2) Floatin(2) F1oatina(2 ) 2 F1oain( F1oaina(2 Floaeinsc2) Floaiine(2) Floatina(2) Floatine(2)
Senior Senior/Seq Senior/Seq Senior/Seq Senior/Seq Stibordina:eSeq Subordinue/Seq Subordma,e Sei Subordinate Subordinate Subordinate Subordinate Subordinate Subordinate
46629VAA3 46629VAEI 46629VAC9 46629VAD7 46629VAE5 46629VAF2 46629VAG0 46629AIiS 46629VA14 46629VAK1 46629VAL9 4662 9VAM7 46629VAN5 46629VAP0
27
EXHIBIT H
JPMAC 2006-Nd
Pros. Supp. dated 04/05/2006 at 5-1 19: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page s-i by each of Standard & Poors Ratings Services, a division of the McGraw-Hill Companies, Inc. (S&P), Fitch, Inc. (Fitch) and Moodys Investors Service, Inc. (Moodys and, together with S&P and Fitch, the Rating Agencies), as applicable. The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related certificate holders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage group, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage group is adequate to make the payments required by such certificates. Pros. Supp. at S-i:
CLASS OFFERED CERTIFICATES Class A-i Class A-2 Class A-S Class A-4 Class A-5 Class M-1 Class M-2 Class M-3 Class M-$ Class M-5 Class M-6 Class M-7 Class M-8 Class M-9 $34525L000 S192.1SL000 57L443000 S79.871.000 S43i4S,000 542.803,000 530.707.000 17.2 1&000 S13:958,000 13,027,000 $13,492,000 $13,492,000 S 10.701,000 $7,909,000 Floating (2) Floating (2) Floating (2) Floating (2) Floating (2) Floatiilg(2) Floating (2) Floating (2) Floating (2) Floating (2) Floating (2) Floating (2 Floating (2) Floating (2) Sedior Senior/Seq SeniorSeq Senior/Seq Senior/Seq Subordinate Subordinate Subordinate Subot-dinate Subordinate Subordinate Subordinate Subordinate Subordinate
PITIAL CLASS PRECIPAL AMOUNT (1)
C:ERTIFICATE S&P FITCH MOODYS INTEREST RATE DESIGNATION RATING(6) RATING(6) RATUG(6)
CUSIP
Filed 01/21/13 Page 117 of 141
AAA AAA AAA AAA AAA AA AA AAA A ABBB+ BBB BBB-
AAA AAA AAA AAA AAA AA AA AAA A ABBB-BBB BBB-
Aaa Aaa Aaa Aaa Aaa Aal Aa2 AaS Al A2 AS Baai Baa2 Baa3
46626LJL5 46626L3MS 46626L3N1 $6626L3P6 46626LJQ4 46626L3R2 46626LJS0 46626L3T8 46626LTU5 4626LJV3 46626LJW1 46626LJX9 46626L3Y7 $6626L3Z4
28
EXHIBIT H
JPMAC 2006-R1V11
Pros. Supp. dated 09/21/2006 at S-i 16: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page s-i by each of Standard & Poors Ratings Services, a division of The McGraw-Hill Companies, Inc. (S&P), Fitch, Inc. (Fitch) and Moodys Investors Service, Inc. (Moodys and, together with S&P and Fitch, the Rating Agencies), as applicable. The ratings assigned to mortgage pass through certificates address the likelihood of the receipt of all payments on the Mortgage Loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage group, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage group is adequate to make the payments required by such certificates. Pros. Supp. at S-i:
CL4SS DESIGNATION OFIlRED CIPJIFICATES Cti AL4 CIaA-B A A
-
1TThL CLASS PRINCIPAL AMOUNT CERTThICATE ]NTERST RAIl
S&P RAT1NG(
FITCH RAI]NGCo)
MOGD5 RATCX6
CUSIP
ci
Ci A-5 cds M I CisM-2
C1sA-3
I23G,S53OOO $i3D I3]Pi7.OOO 53.OO F1ta) i2) Ft2) F() Eo2 E2
JL 1 A AAk AAA .AA AAA AA

.
A? .A!
otiiI2
Serir cc SiorS SiioiSq Siois SoiS -a &ixe:S Subdi SidiIe
CIs M3
CksM-4 CIsM-5
S53,S310C ?iG CY 2327CJ ?C9OD $i7,549OD 1I3OI tn2) oii2) EI(2)
AAA A AAA AAA _A AAA -&A .A A+ A
3NAA 42NA3 s 429NAC7 4652NAD5 2NAE 3 4f52AF 4cQ C 2gNAH 62NA32
CISM II4.7I.GD
5554OX 3.545)Di 23-5,COC CIsM.7 CIaM-P
PiO(2
F.otE2) FtE(2) nai2
Surdi
Sii Suoriz:e Sub iu
A+ A
Aa2 4 Al A2
462NAL
AB33-
A33B
BB333B B33 3BB-
A3
B.iI Ba2 B3
42NAM5
4]9NAN3 42NAPI 445]9NAQ
Filed 01/21/13 Page 118 of 141
29
EXHIBIT H
JPMAC 2006-WMC2
Pros. Supp. dated 06/08/2006 at S-l27: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page s-i by each of Standard & Poors Ratings Services, a division of the McGraw-Hill Companies, Inc. (S&P), Fitch, Inc. (Fitch) and Moodys Investors Service, Inc. (Moodys and, together with S&P and Fitch, the Rating Agencies), as applicable. The ratings assigned to mortgage pass through certificates address the likelihood of the receipt of all payments on the mortgage loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage group, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage group is adequate to make the payments required by such certificates. Pros. Supp. at S-i: Nrriu
CLASS PPJNCWAL AMOUNT CLASS OFFERED CERTIFICATES
Cias A-
CERTIFICATE IYrEREST RATE DESIGNATION
S&P
R4TINC()
FITCH RATJNC(Lc
MOODjS RA1TG(1
CUSIP
Sic
1oii2
izi2 Lo1i*2) SotSe SirSe STJSeq
AAA L4A .?L4fi. AAA
AAA AA4 AAA AAA
iis(2
F1o) FL2) f2 R(2) Rthi2)
SJS
Suibordiimt Subrd Src.it AA+ A
Ani
4&2STAAP 4452STAB7 4452STAC5 462ST.4D3
AAJk
A
A1 A2
462TAE1
A-ia2)
I)
.41
42ETAP 462STAG 4f52ST4H4 2sA[C
CEasE A-3 CLA-4 QasA-5 CLM-1 Cbs M-2 CLe M CLs M-4 CI M-5 CL M-
ClauM-?
CIs M B
S32:.255,CO S33.24,OJ S123.32C I23O5.ClU $5O1CiO 45,252,C S4O,SOJ,C -2DC S21,O37,CJD S2L75,C3D S 9.125G
,ard.iite Sardt Sixrn

F1ofi
Sutm Swcrte Surd,
4fi A A ABBB+ A AB3B+ EBB B33-
A2 A3 BEE
EBB3.1 B
465]STAK
562S7AL5 2STA
Filed 01/21/13 Page 119 of 141
IS4S7C 5 5 75 CD 2,H2,CO
462gTNI
42aTfiiP
30
EXHIBIT H
JPMAC 2006-WMC3
Pros. Supp. dated 08/22/2006 at S-125: It is a condition of the issuance of the Offered Certificates that they be rated as indicated on page s-i by each of Standard & Poors Ratings Services, a division of The McGraw-Hill Companies, Inc. (S&P), Fitch, Inc. (Fitch) and Moodys Investors Service, Inc. (Moodys and, together with 5&P and Fitch, the Rating Agencies), as applicable. The ratings assigned to mortgage pass through certificates address the likelihood of the receipt of all payments on the Mortgage Loans by the related certificateholders under the agreements pursuant to which such certificates are issued. Such ratings take into consideration the credit quality of the related mortgage group, including any credit support providers, structural and legal aspects associated with such certificates, and the extent to which the payment stream on the mortgage group is adequate to make the payments required by such certificates. Pros. Supp. at 5-1:
CLASS OFFERED CERTIFICATES S17527CJD
clAss PR1NCRtL AMOU?T (i CERTThICATE LQThREST RATE DESIGNATION
S&P RAIING(61
FiTCH RAT1NC)
MOODYS R4TGi6)
CUSIP
s:7cJG
AAA
AL4
CLiA-.SS CLasS A-grE CLA-2 CIsA-3 GaA4
AAA
A4L4
AAA AAA .4AA AAA AAA )LAA .A
A Az* Aai A Ai A AzJ 4&..

ia3
CL.s Ml CL& -2 CL& M-3 ae. MCias M-5 Cls MCLasS M-7
Filed 01/21/13 Page 120 of 141
Cks M-9
27,2QDOOO $*3,OOOOO SP5,7O 6I,OO 32 2 3J Th 10 7,25,Ci j-,C0 Si53+5,Oa !0S.C( !342EO ]iOOG $U32,000
Ioic Ft2) FIn) FInrc$ FiQ) FoaIsQ) F2 Ftz1! Frnz2) Fi2 loaii2 lot!(2) Er2) Fng2) Foit)
e1ezbe SniorSq SiSq SiSe SciovS S&irte q -e o]teSq Srthe S:e Sibxdirn Subrdiae Sibrdi Sthrdiie
AA4 A A.BBB BBB BBB-
AA4 A ABBB B3B 3BB-
4) 2 A3 Rul &2 E3
2P4A? 4652KA35 2KAC3 462EJD1 2IC4E9 462KAFt 4d3KAG4 41QLj_2 2gKUS 42KA 4d29KAL3 462KAifl 4629KAN9 452lKAP4 4KAQ2
31
EXHIBIT H
LBMLT 2006-3
Pros. Supp. dated 04/03/2006 at S-140: It is a condition to the issuance of the offered certificates that they receive the ratings indicated from Standard & Poors, a division of The McGraw-Hill Companies, Inc. (S&P{ XE S&P }) and Moodys Investors Service, Inc. (Moodys{ XE Moodys }):
Rating Agency Rnting_Agency Class S&P Moodys
S&P AA AAA+ Al A2
class
Moodys
M-4
AA.A AAA AAA AAA AAA

+
U-Al II-A2 II-A3 lI-A M1 M-2 M-3 AA+ AA M-5 M-6 M-7 M-S M9 M-1O A ABBB BBB
Aaa Aaa Aaa Aaa Aaa Aal Aa2 AaS A3 Baal Baa2 Baa3 Bal
Pros. dated 02/12/2004 at 115: Any ratings on the securities address the likelihood of receipt by the holders thereof of all collections on the underlying mortgage assets to which such holders are entitled. These ratings address the structural, legal and issuer-related aspects associated with the securities, the nature of the underlying mortgage assets and the credit quality of the guarantor, if any. The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of certificates.
Filed 01/21/13 Page 121 of 141
32
EXHIBIT H
LBMLT 2006-4
Pros. Supp. dated 05/03/2006 at S-133: It is a condition to the issuance of the offered certificates that they receive the ratings indicated from Standard & Poors, a division of The McGraw-Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys):
Rating Rating
Ageiicy Ae Moody. Al
A2 Mo.dy
&P
CLi &P
AA AAM-4
I-A Aa
11-Al 11-A2 fl-A5 11-A-i M-I AA .AA .AA A3 Bl Baa2

B3
M-3
AA _AA AA
Aa Aaa Aa Aa Aal Aa2 Aa3 M-5 M M-7 M-8 M-9 M-lQ.... M-1 1 A A ABBB BBBBBBBal 3a2
A securities rating addresses the likelihood of the receipt by a certificateholder of distributions on the mortgage loans. The rating takes into consideration the characteristics of the mortgage loans and the structural, legal and tax aspects associated with the certificates. The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of certificates.
Filed 01/21/13 Page 122 of 141
33
EXHIBIT H
LBMLT 2006-5
It is a condition to the issuance of the offered certificates that they receive the ratings indicated from Standard & Poors, a division of The McGraw-Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys):
Rating Agency Rating Agency SSP Mooc1v
S&P
Moodys ii A2 A3
......
I-A M-S M-6

M-7
U-A3
AA AfiA AA-.
A
BgB
-
8aal
Ban2 Bna3
..
M-1 M-2
AA AA ii
Aaa AL, ian ALl inn Ani Aa2 Aa3 M-S M-9 M-lO......
BBB
BB
A securities rating addresses the likelihood of the receipt by a certificateholder of distributions on the mortgage loans. The rating takes into consideration the characteristics of the mortgage loans and the structural, legal and tax aspects associated with the certificates. Pros. Supp. at S-135: The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of certificates.
34
EXHIBIT H
LBMLT 2006-6
Pros. Supp. dated 07/21/2006 at S-136: It is a condition to the issuance of the offered certificates that they receive the ratings indicated from Standard & Poors, a division of The McGraw-Hill Companies, Inc. (S&P), Moodys Investors Service, Inc. (Moodys) and Fitch, Inc. (Fitch):
Rating Agency Rating Agency Fitch Class Class S&P Moodys
S&P
Moodys \A AAAl A2 A3 Baal Baal BBB+ BBBBBB BBBBaa3 Bal Ba2
Fitch AA A A A BBB BBB BBB BB
I-A ....................,.........AAA U-Al AA Ma Aaa Aaa AAA M-7 M-8 M-9 M-lO M-l1 Ma Aaa AAA AAA AA+ AAAA AAA AAA II-A2 ll-A3 ll-A4 M-l M-2 M-3 AA Aol Aa2 Aa3 AA 4AA 4A+ 5.A--
M-4 M-5 M-6
Filed 01/21/13 Page 124 of 141
35
___
EXHIBIT H
LBMLT 2006-7
Pros. Supp. dated 08/24/2006 at S-140-141: It is a condition to the issuance of the offered certificates that they receive the ratings indicated from Standard & Poors, a division of The McGraw-Hill Companies, Inc. (S&P), Moodys Investors Service, Inc. (Moodys) and Fitch, Inc. (Fitch):
Radug Agency Rdng Agency Fitch S&P
Mood A A
S&P
Mood Aaa Aaa Aaa Aaa Aaa AaI Aa2 Aa3

AAA AAA AAA AAA A.AA AA AAAA
Fitch AA
I-A n-Al LI-AS II-A3 It-A4 M-l M-2 M-3 AAA AA kAA ........AAA AA A 4A .A
M-4 M-5 M-6 M-7 M-S M-9 M-1O M-ll
&BBB-BBB BBB-
Al AS AS Baa3 Bn2 Baa3 Bal Ba2
A A 3BB BBB BBB BB-
Filed 01/21/13 Page 125 of 141
36
EXHIBIT H
LBMLT 2006-8
Pros. Supp. dated 09/15/2006 at S-138-139:
It is a condition to the issuance of the offered certificates that they receive the ratings indicated from Standard & Poors, a division of The McGraw-Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys):
Rtiiig Agency
Ratig Agenc
C1a
S&P itood
S&P AA AA-
Mood.y5 Al A2
I-A 11-Al AAA M-5
11-A2 11-A3 AAA

AAA Aa 11-A4
A Aaa
AM-7 M-S
AAA Aaa
Aal PA-i-
A ABBB
A3 Ba Baa2
B3
Aa2
AA Aa3 M-lt) M-ll
BBB
BBB-
Bal Ba2
A securities rating addresses the likelihood of the receipt by a certificateholder of distributions on the mortgage loans. The rating takes into consideration the characteristics of the mortgage loans and the structural, legal and tax aspects associated with the certificates.
The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of certificates.
Filed 01/21/13 Page 126 of 141
37
EXHIBIT H
LBMLT 2006-11
Rndng .ecy Class S&P Moodys Class S&P I-A 11-Al II-A3 11-A4 AA Aa2 M-9 AAA AAA AA AAA Rating Ancy Moodys Aa Al A2
Aaa Aaa Aaa Aaa Aaa M-3 M-4 M-5 M-6 M-7
A AAA A B3B 3BB
Baa] Baa2 Baa3
A securities rating addresses the likelihood of the receipt by a certificateholder of distributions on the mortgage loans. The rating takes into consideration the characteristics of the mortgage loans and the structural, legal and tax aspects associated with the certificates. The ratings assigned to each class of offered certificates by rating agency is based on that rating agencys independent evaluation of that class of certificates.
Filed 01/21/13 Page 127 of 141
38
EXHIBIT H
MSST 2007-1 Pros. Supp. dated 12/11/2006 at S-142:
It is a condition of the issuance of the offered certificates that each class of offered certificates be assigned at least the ratings designated below by Standard & Poors and Moodys.
Standard & Poors APA AA AA AP.J AA-AA AAMoodys Aaa Aaa Aaa Aai Ai2 Aa3 Al
class A-i A-2 A-3 A-4 M-l M-2 M-3 M-4 M-5 M-6 B-I 3-2 3-3 A ABBB BBB BBBBaal Baa2 Baa3
Pros. dated 07/21/2006 at 131: Each such rating will be based on, among other things, the adequacy of the value of the trust fund assets and any credit enhancement with respect to the related class and will reflect the rating agencys assessment solely of the likelihood that the related holders will receive payments to which they are entitled.
Filed 01/21/13 Page 128 of 141
39
EXHIBIT H
NAA 2007-3 Pros. Supp. dated 12/11/2006 at S-142-143:
It is a condition of the issuance of the Offered Certificates that each class of Offered Certificates be assigned at least the ratings designated below by S&P and Moodys.
C1a S&P Moody;
A-4 AAA
S&P Moody;
Aa2
CIa
M-3 A BBBBBB-
Ba1 Ba.2
Pros. dated 07/21/2006 at 131: Ratings on mortgage pass-through certificates and mortgage-backed notes address the likelihood of receipt by securityholders of all distributions on the underlying mortgage loans.
Filed 01/21/13 Page 129 of 141
40
EXHIBIT H
NCMT 2007-1
Pros. Supp. dated 07/11/2007 at It is a condition to the issuance of each class of Offered Notes that it receives at least the ratings set forth below from S&P and Moodys.
Rahill2
s-i 14:
1-A-i 2-A-i 2-A-2 2-A-3 2-A-4 M-i M-2 M-S M-4 Mc M-6 M-7-A.,. M-7-B.... M-8-A M-8-B.... M-9 M-iO
...
S&P AAA AAA AAA AAA AAA AA AA AA AA AAA A A BBB BBBBBB BBB-
Moodv Aa Aaa Aaa Ana Aaa Aal Aa2 Aa3 Al A2 A3 Baai Baai Baa2 Baa2 Baa3 NR
The ratings of 5&P and Moodys assigned to asset-backed notes address the likelihood of the receipt by Noteholders of all payments to which the Noteholders are entitled. The rating process addresses structural and legal aspects associated with the Offered Notes, including the nature of the underlying mortgage loans. Pros. dated 06/26/2006 at 143: Each such rating will be based on, among other things, the adequacy of the value of the trust fund assets and any credit enhancement with respect to the related class and will reflect the rating agencys assessment solely of the likelihood that the related holders will receive payments to which they are entitled.
Filed 01/21/13 Page 130 of 141
41
EXHIBIT H
NHELI 2007-1
Pros. Supp. dated 01/29/2007 at S-i 14: It is a condition of the issuance of the Offered Certificates that each class of Offered Certificates be assigned at least the ratings designated below by S&P and Moodys.
Moody: Aaa Aaa Aaa Aa2 i-A-i i-A-2 l-A-3 I-A-4 I-M-l I-M-2 S&P AAA AA AAA AAA AA A 3BB AAA AAA AAA AAA AAA AAA AAAA AA AAA A BEB A1 Aa2 A3 Al A2 A3 Bal Ba3
11-i-A 11-2-A-iA 11-2-A-lB 11-2-A-2 1I-2-A-3 11-2-A4A H-2-A-iB II-M-I Il-M-2 U-M-3 11-M-I1-M-5 U-M-6 Ii-M-7 II-M-S
The security ratings assigned to the Offered Certificates should be evaluated independently from similar ratings on other types of securities. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the respective rating agency. Pros.dated 04/18/2006 at 169: A security rating is based on the adequacy of the value of the related trust assets and any credit enhancement for that class, and reflects the rating agencys assessment of how likely it is that holders of the class of securities will receive the payments to which they are entitled.
Filed 01/21/13 Page 131 of 141
42
EXHIBIT H
RASC 2006-KS7 Pros. Supp. dated 08/25/2006 at S-127:
It is a condition of the issuance of the offered certificates that they be rated as indicated on page S-7 of this prospectus supplement by Standard & Poors, Moodys and Fitch. The ratings do not address the possibility that certificateholders might suffer a lower than anticipated yield due to non-credit events. A securities rating addresses the likelihood of the receipt by the holders of the offered certificates of distributions on the mortgage loans. The rating takes into consideration the structural, legal and tax aspects associated with the offered certificates. Pros. Supp. at S-7:
Class Ctas A CerIiftcale: A-I AthutbI S NL2C..Oc AAAAauAAA S 30)002 Adjutrb!e A-2
Pass-Throujh Rate
Initial Certificate Principal Balance Initial RatinG (S&PlMcodyslFilch)
Designations
Finat Scheduted Distribution Date
SrAs:aNeRte
A4uaIAAA SAAaa:AAA 4kaa-UA
Seiodj-caoIeRate
Seror;AdnsbIe Rate Sior.AdjubleRtte
Poril 2025 Decembe203I tice 2235 eciber203ti
A-S AdicrbIa SS.3tQC 572t20t2 Adt-trb]e S S
A-4 Teal CtasrACerlificctr; S 42R000000

CIna 55 Certificates: Ml S S S00.C20 04550 0125.000 S:i275C00 S S S S S S 2Ij75500 M-2 Adrccsbie djcrrtle Aiur:stie Auisshle Adjurtable Adjuatubie Adjurtable Adtucubie M-3 M M-5 M-5 M-7 M-S M-P TotalClasaMCettflca:es: otlO0ICerts: AcurtabIe AA+Aitl/.kA .A.?.a2AA 4.a3AAA+.A1A
Mezzasic&AdjsbleRate MzsrceAdrnisahieRae MezeAdjraableRae Meauce,UhaableRa:e
her2036 Sep:eSber2OSfl SeembetOSd SepternberUrte
.4A2A
A-:A3/ABBB3arI3BE+
Me2ameAdjus1abieRaa Mezzce/Adjrisiable aa MeaiuelAdjsis1abIeRaa
Sepember20d Saplember20M P203
0.350.000
P075.000 ?.70R000 0325.000
B333ua2335 B33-GarSB3B-
uaable 5 Mezzm&Ad Baa MesziaeAdjusmble Rate
September 2031 September2030
103.675.000 $ 531175.000 S Non-Offered Certificates
SB B
N/A N/A
17.325,049 NrA
NA N/A
Subcrdmaa Residual
MA N/A
Filed 01/21/13 Page 132 of 141
Total sos-offered car :atao: Toni offered cut notoffered cemOcaree:
17325.049 S 550.09.049
43
EXHIBIT H
RASC 2007-KS2
Class Designations Clata A Cereifkatea, A-I-i 0 316.000,000 AAAAooAAA AA.&AaAAA AA.Aaa!AAA AA.ea/AAA AAAAaOAAA S 104.100.000 $ 106.300000 A-t-2 Adjctaab! Adjmtable Adjuatable Adjuiabin Soaior,Mjottabte Rate SosioeAdjatab1 Rain SooaorMjtattable Kale Seaioa/Adsstabte Kate SoaioeAdj able Kate Ooioher 2030 Jaouaoy 2034 November 2036 Pass-Through Rate lottial Certificate Principal Balance Initial Rating (S&PIMooclysIFitcli) Final Schctulecl Distribution Date
A-I-3
A-If
$
65,200.000 0 164.400,000 S 756.000.000
Febmaty 2037
Fobmaty 2037
A-Il Toiai Citat A Coaiiicatev Clata Si Certifleatna N-I Adjuaaab!e
Adjaratablo
S 2.000.000
0 43.000.000 20,000.000 S 10.000,000
MezoaoiooAdjuatablo Rate MmzaaeinniMjurtabte Rate Meoaaaaiso/Adjotaabte Rate
?ebraurv 2037 2037
M-3 04-3 04-4 e t Adjuriab Adjurtob1n Adjmaable Adjtattable Aditartabln Adjarieble Adjuatable S 15.000.000 04-5 04-6 04-7 04-S 04-9 04-10 Total Clan 04 CerlrOr ten Total Offered CeottOeatea. Adjuatable
Adjatatable
&.-/Ao3Loo
Febnay 2037 MecaooioeAdjaaatobls Rate AA2IA unabte 1 Maca,aioe/Ad Rate Febreaav 2037
S 17.500.000 S 15.500.000
S 13.000.000
10.500.000
037
.o-u
BBBBaaI.AossBaa2sBB BBB-/BaaS/SBB EBBat/BEB-
MeoaaoitaeAdjrarrabte Rate 0!eoaaataneAdjurtabte Rat, Nnaoaoion/Adtartabte Rate Meroaaoe/Adjurlabtn Rate Meozasrne/Adjualabte Rote
Fnbe- 037 Itbmarv 2037 February 2037 YeOman 2037 Eebra 2037
$ 11.000.000 S 205.500,000 S 961.500.000
SB R NA N/A Total can-offered rettiOaeenn Total of/rued and ooo-o00ted rerrthratntt S 30,500,044 NtA 3S,500.0-i-t 01.000.000,044 N/A NA Subordinate Rnaidtaal N/A N/A
Filed 01/21/13 Page 133 of 141
44
EXHIBIT H
SACO 2006-2 Pros. Supp. dated 01/26/2006 at S-128:
It is a condition of the issuance of the offered certificates that each class of offered certificates be assigned at least the ratings designated below by Standard & Poors and Moodys.
Class i-A I-M I-B-I 1-3-2 1-3-3 11-A 11-M 11-34 11-3-2 11-3-3 Moodys Aaa BaaI Baa2 Baa3 Aaa A3 BaaI Bia2 Baa3 Standard & Poors PA A BBB-333 BB3AAA A333+ BBB 333-
The security ratings assigned to the offered certificates should be evaluated independently from similar ratings on other types of securities. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the respective rating agency. The ratings on the offered certificates do not, however, constitute statements regarding the likelihood or frequency of prepayments on the mortgage loans or the anticipated yields in light of prepayments. Pros. dated 06/24/2005 at 129: Each such rating will be based on, among other things, the adequacy of the value of the trust fund assets and any credit enhancement with respect to the related class and will reflect the rating agencys assessment solely of the likelihood that the related holders will receive payments to which they are entitled.
Filed 01/21/13 Page 134 of 141
45
EXHIBIT H
SAM! 2006-AR7
Pros. Supp. dated 08/31/2006 at S-145-146: It is a condition to the issuance of each class of Offered Certificates that it receives at least the ratings set forth below from S&P and Moodys:
A-lA Grantor Trust A-lB A-2A Grantor Trust A-2B A-3 A-4 A-S A-6 A-9 A-b A-Il A-12 A-b3A A-13B Rating Moods AA Aaa MA Aaa MA Aaa AAA Aaa MA Aaa MA Aaa AAA Aaa AAA Aaa AAA Aaa MA Aaa AAA Aaa AAA Aaa AM Aaa AAA Aaa AAA Aaa
Filed 01/21/13 Page 135 of 141
X B-i B-2 B-3 B-4 B-S B-6 B-?
Rating Moo dvs i&L MA Aaa AA Aaa AA Aal AAAal A+ AaS A Al EBB Baa.2 BBBBaa3
The ratings of S&P and Moodys assigned to mortgage pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which the certificateholders are entitled. The rating process addresses structural and legal aspects associated with the Offered Certificates, including the nature of the underlying mortgage loans (with respect to each Class of Grantor Trust Certificates, indirectly through the related Underlying Certificates). 46
EXHIBIT H
SAM! 2006-AR8
Pros. Supp. dated 10/27/2006 at S-156-157: It is a condition to the issuance of each class of Offered Certificates that it receives at least the ratings set forth below from S&P and Moodys:
A-IA Grantor Trust A-lB A-2 A-3 A-4A Grantor Trust A-4B Grarnor Tn A-4C A-5 A-6A A-B N B-i 3-2
B-3 B-4 B-5 B-6 3-7

3..9
Rathi Mooth A.AA Aaa AAA Aaa JA Anti AAA Aaa AAA Aaa AAA Aaa Aaa AAA Aaa .AAA Aaa AAA Aaa AAA Aaa AAAaa AA Aal RatiD &L Moodvs AAAa2 A+ Aa3 A Al AA2 BBBA3 BBB Baal 333Baa3
Filed 01/21/13 Page 136 of 141
The ratings of S&P and Moodys assigned to mortgage pass-through certificates address the likelihood of the receipt by certificatehokiers of all distributions to which the certificateholders are entitled. The rating process addresses structural and legal aspects associated with the Offered Certificates, including the nature of the underlying mortgage loans (with respect to each Class of Grantor Trust Certificates, indirectly through the related Underlying Certificates).
47
EXHIBIT H
WAMU 2006-AR7
Pros. Supp. dated 06/23/2006 at S-121-122: It is a condition to the issuance of the offered certificates that they receive the ratings from S&P and Moodys indicated:
ktb Awnc S&l Mo.thr R.tii, agrn, &P SIody
Aaa
Ma
Aria Ma Ma
Ma
IA 2A 3A 3 A-lB CA-US 1 CA-1B2 CA-I1S CA-1B4
cx-ppp 3x-ppp
Ma
Ma Ana Ma 8-10 R Mi
8-2 13-3 13-4 8-5 8-6 13-7 B-S

AA AAA+ A A 8138+ 1388 881388+ AAA MI An2 MS Al A2 A2 A3 BanI 8aa2
Mo
B-i
AAA AAA AAA AAA AAA AAA AA AAA AAA AAA AM.
A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of that class of certificates. The rating assigned to a class of offered certificates by one rating agency may not conespond to any rating assigned to that class by any other rating agency.
Filed 01/21/13 Page 137 of 141
48
EXHIBIT H
WMABS 2006-HE2
Rating Agency Class S&P Class S&P AAA A M-7 M-S M-9 M-iO ABBB+ BBBBBBAaa AAA Aaa Aaa AAA Aaa Aai Aa2 Aa3 AAAA AA Moodys A-i A-2 A-3 A-4 M-l M-2 M-3 Rating Agency Moodys Al A2 A3 Baai Baa2 B,a3 Bai
A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of that class of certificates. The rating assigned to a class of offered certificates by one rating agency may not correspond to any rating assigned to that class by any other rating agency.
Filed 01/21/13 Page 138 of 141
49
EXHIBIT H
WMABS 2007-HE2
Ratrng Agency Class S&P Moodys Class S&P M-4
...............................
Rating Agency Moodys

Al A A2
I-A A Aaa Aaa M-5 M-6

Aaa
11-A-i II-A-2 AAA

AAA II-A-3
ABBB+
BBB BBB
A3 Baal
Baa2 Baa3
M-7
M-S
M-i
AMAai
M-2 Aa2 M-9 AAAa3
A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of that class of certificates. The rating assigned to a class of offered certificates by one rating agency may not correspond to any rating assigned to that class by any other rating agency.
Filed 01/21/13 Page 139 of 141
50
EXHIBIT H
WMALT 2007-HY1 Pros. Supp. dated 01/26/2007 at S-88: It is a condition to the issuance of the offered certificates that they receive ratings from S&P and Moodys as indicated:
Riin
kcv Aiicv
iI
Mcly
(Li
S&P Mood
A
-
A-I A-2A A2I3 A-3A A-MI M-i AAA AAA AAA AAA AAA AA4. Ma Ma Ma Ma Aa.a Aal M-2 M-3 NI-I B-i 8-2 R A A1388 AAA i2 M3 A2 8aaI 13aa3 Ma
A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of that class of certificates. The rating assigned to a class of offered certificates by one rating agency may not correspond to any rating assigned to that class by any other rating agency. Pros. Supp. dated 06/25/2007 at S-89: It is a condition to the issuance of the offered certificates that they receive the ratings from S&P and Moodys as indicated:
ktm
Aiiv Aiicy
WMALT 2007-0C2
Moody,
CIo
Rathi S&P
Moody,
A-I A-2 A-3 A-4 A-5 NI-I AAA AAA AAA AAA AM AM
Ma Ma Ma Ma Ma MI
M-2 M-3 M-i fl-i 8-2 R
AA AA A+ A8138+ AAA
Aa2 Ma A2 Hil Baa2 Ma
Filed 01/21/13 Page 140 of 141
A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of that class of certificates.
51
EXHIBIT H
WMHE 2007-HE2
Pros. Supp. dated 04/05/2007 at S-89: It is a condition to the issuance of the offered certificates that they receive the ratings indicated from Standard & Poors, a division of The McGraw-Hill Companies, Inc. (S&P), Moodys Investors Service, Inc. (Moodys) and Fitch, Inc. (Fitch):
Rating Agency Rating Agency Fitch Class S&P Moodys Fitch AA A A A. BBB-f BBB Baa3 BBB Aa3 U A2 AA3 Baat Baa2 BBBBBB BBBAAA M-3 M M-5 M-6 M M-8 M-9 AAA AAA AAA AAA AA AAAA Class S&P AAA Aaa Aaa Aaa Aaa ?.aa AA Mi Aa2 AA 4AA AA Mooelvs I-A 11-At TI-A2 11-A3 II-A4 M-l
A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating agency. The rating assigned to each class of offered certificates by each rating agency is based on that rating agencys independent evaluation of that class of certificates. The rating assigned to a class of offered certificates by one rating agency may not correspond to any rating assigned to that class by any other rating agency. Pros. date 03/22/2007 at 137: It is a condition to the issuance of any class of securities that they shall have been rated not lower than investment grade, that is, in one of the four highest rating categories, by at least one nationally recognized statistical rating organization. Any ratings on the securities address the likelihood of receipt by the holders of those securities of all collections on the underlying mortgage assets to which such holders are entitled. These ratings address the structural, legal and issuer-related aspects associated with the securities, the nature of the underlying mortgage assets and the credit quality of the guarantor, if any.
Filed 01/21/13 Page 141 of 141
52

Dexia Vs JPM Amended Complaint

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Dexia Vs JPM Amended Complaint

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FILED: NEW YORK COUNTY CLERK 05/18/2012

NYSCEF DOC. NO. Case 4

INDEX NO. 650180/2012

1:12-cv-04761-JSR Document 35-1

Filed 01/21/13 Page 1 of 139 RECEIVED NYSCEF: 05/18/2012

Index No. 650180/2012

JURY TRIAL DEMANDED

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offerings between 2005 and 2007.

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mortgages and the related risks of default and loss.

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and misleading representations about the RMBS credit ratings.

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County, as detailed below.

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Madison Avenue, New York, New York 10179.

BSABS I was a limited purpose finance

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SAMI 2006-AR7 SAMI 2006-AR8

Bear Stearns Bear Stearns

*3Defendant in this Action.

Affiliate of a Defendant in this Action.

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WMABS 2007HE2 WMALT 2007HY1 WMALT 2007OC2 WMHE 2007-HE2

WaMu Mortgage WaMu Mortgage WaMu Mortgage WaMu Bank

WaMu Asset WaMu Asset WaMu Asset WaMu Asset

WaMu Capital WaMu Capital WaMu Capital WaMu Capital