Chotin Asset Management Corporation. 1 ● Chotin Asset Management Corporation (“CAMCO") is an affiliate of The Chotin Group Corporation ("TCG") and encompasses.

Chotin Asset Management Corporation

Chotin Asset Management Corporation2

● Chotin Asset Management Corporation (“CAMCO") is an affiliate of The Chotin

Group Corporation ("TCG") and encompasses all of the asset management functions

of the firm.

● TCG, a privately held company, has been in business for 20 years and has been

actively involved in structured debt financings and asset securitization

primarily for its own account. TCG has been a key player in the more credit

sensitive subordinate and residual real estate security markets.

● TCG and affiliated companies have extensive experience analyzing, acquiring,

and managing significant portfolios of structured product assets including CMO,

MBS, and various other credit-sensitive ABS in all market environments,

generally with a "hold-to-maturity" strategy.

● CAMCO’s investment process is a bottom-up team approach with a commitment to

quantitative analysis, risk management and pre/post acquisition surveillance.

● Through National Mortgage Corporation ("NMC") (an affiliated company) TCG

originated over $1 billion of nonconforming mortgage loans from 1991 to 1999.

● Through its FAIC and FAIC II shelves, TCG securitized and structured in excess

of $4 billion of NMC-originated and third party loans.

● CAMCO’s subsidiary Chotin Fund Management Corporation (“CFMC”) is the

collateral manager of ten ABS CDOs.

Overview

History of The Chotin Group


Prior to 1984

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

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

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

1984 Founder The Chotin Group Corporation

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

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

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

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

1996 FAVC issued a re-securitization of subordinate securities.2002 Mr. Chotin decided to focus the firm’s business activities on third party asset

management through Chotin Asset Management Corporation (CAMCO).2004 CFMC issued its first two CDOs, Saturn Ventures 2004 – Fund America Investors III,

Ltd., and Mercury CDO 2004-12005 CFMC issued three CDOs, Neptune CDO 2004-1, Neptune CDO II, and Mercury CDO II,

bringing the notional asset issuance up to $2.85 billion.2006 CFMC issued two CDOs, Neptune CDO III, and Mercury CDO III, bringing the notional asset

issuance up to $4.25 billion.2007 As of June, CFMC is the manager of three new CDOs, Neptune CDO IV, Neptune CDO V and

Mars CDO I, it’s first CDO of CDO’s, bringing its total CDO issuance up to $6.2 billion across ten CDOs.

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CDO Issuance

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

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

Neptune CDO 2004-1 Mezzanine ABS CDO 400.0 January 2005

Neptune CDO II Mezzanine ABS CDO 300.0 July 2005

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

Neptune CDO III Mezzanine ABS CDO 400.0 March 2006

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

Neptune CDO IV Mezzanine ABS CDO 1,000.0 March 2007

Mars CDO I Synthetic CDO of CDOs 600.0 April 2007

Neptune CDO V Mezzanine ABS CDO 350.0 June 2007

Total 6,200.0

Issuer Type Notional $(mm) Closing Date

CFMC cash-flow CDOs under management

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



Organizational Chart

Jennifer M. LandExecutive Assistant/

HR Director

Nicole BrownExecutive Assistant

to the President

Doug A. SandersSystems

AdministratorJulie E. Backer

Staff Accountant

Andy P. WolfInvestment/

Surveillance Analyst

Peter O. ReynoldsTrading Operations

Ross S. ChotinAssociate

David HattelSenior Software

Engineer

Steven B. ChotinChairman/CEO

Helen M. DickensPresident/COO

Zachary H PashelExecutive Vice

President

Eric WesterhausenOriginator/Servicer


Jim K. PeasleeVice President/

Portfolio Manager

Jeff W. StemmermannVice President/

Portfolio Manager

Richard J. ReismanVice President/

General Counsel

Paris A. McIntoshSenior Accountant

Payroll/Benefits

David D. FrederickChief Financial Officer

Michael PielDirector of Information

Technology

Hilary U. SnyderInvestment/


Matthew R. KrumpInvestment/


Nathan B. CallardInvestment/


Eric KnabQuantitative Analyst

Isaia M. CarruciInvestment/


Investment Philosophy

CAMCO’s Investment Objectives:

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

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

● Bottom-up approach to asset selection

Rigorous analytical approach applied by team

Collateral and deal structure paramount

Macro economic overview helps identify troubled sectors

Investment Committee approves all purchases


Structured Finance Process

● Asset Selection

Bottom-up credit focus

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

Indices database monitored for relative performance comparison

Cash flow modeling under multiple interest rate and prepayment scenarios

Mortgage originator and servicer due diligence and review

Constant monitoring of performance against initial expectations

● Surveillance & Monitoring

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

OC growth, stagnation or deterioration

Losses exceeding excess interest

“DPIPE”, a classic delinquency analysis

Step-Down trigger analysis

Assets ranked monthly based on relative performance versus proprietary indices

Rating agency action monitored

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


Structured Finance Process


Structured Finance Process Cont’d


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

Asset & Collateral Review

Delinquency Performance

Ratings Migration Pricing

Surveillance

Analytics PurchaseCDO

Portfolio

CDO Surveillance & Monitoring

Ratings Tests Compliance Tests Quality Tests

Information used to enhance analytics

Proactive Loss Mitigation

A Tale of Two Mortgage Pools, Same Dealer Shelf

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Positive Attributes

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

Negative Attributes

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

Positive Attributes

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

Negative Attributes

Avg. LTV: 87% (LTVs > 90%: 30%) 27% Investor Loans 8% IL; 7% MI; 7% OH; 6% IN

Avg. Loan Size: $78k (55% < $100k)

• Bond #1 - Issued July 2004• New Century originated collateral• Avg. FICO 616• Baa3/BBB-• Initial Total Support: 3.40%

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

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

____________________Source: The Chotin Group Corporation. As of July, 2004.

Chotin Asset Management CorporationChotin Asset Management Corporation

CAMCO invested in Bond #1 and rejected Bond #2

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Bond #1

Scenario Name BASE FAST CASE SLOW CASE STRESS STRESS STRESS STRESS

Forward Rate Shock (bps)

0 0 0 -50 50 -100 100

Prepay Rate Pricing 125% Pricing

75% Pricing Pricing Pricing Pricing Pricing

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

Breakeven Loss 8.75 5.46 10.42 9.17 7.02 9.56 6.83

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

Coverage Ratio 1.94 1.21 2.32 2.04 1.56 2.12 1.52

Bond #2

Scenario Name BASE FAST CASE SLOW CASE STRESS STRESS STRESS STRESS

Forward Rate Shock (bps)

0 0 0 -50 50 -100 100

Prepay Rate Pricing 125% Pricing

75% Pricing Pricing Pricing Pricing Pricing

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

Breakeven Loss 11.27 8.73 13.58 11.68 10.86 12.09 10.4

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

Coverage Ratio 1.25 0.97 1.51 1.30 1.21 1.34 1.16



____________________Source: The Chotin Group Corporation. As of July, 2004.

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Performance to Date:

Through both a quantitative and qualitative

analysis,we steered clear of the sub-performing asset.

Was CAMCO right?

Bond #2

Cumulative losses: 6.50%

REO: 6.40%

60+ Delinquency: 5.30%

Moody’s Downgrade from (Baa3/BBB-) to

(B3/B-)

Bond #1

Cumulative losses: .71%

REO: 3.79%

60+ Delinquency: 1.96%

No Change in Ratings (Baa3/BBB-)


____________________Source: The Chotin Group Corporation. As of May 25, 2007, Remittance Report.


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Biographies


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Helen M. DickensPresident and Chief Operating Officer

Biographies

Steven B. ChotinFounder and Chairman

Zachary H PashelExecutive Vice President and Head of Structured Finance

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

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

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


15

Jim Peaslee, CFAVice President/Portfolio Manager

Biographies

Jeffrey Stemmermann, CFAVice President/Portfolio Manager

Ross S. ChotinAssociate

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

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

Mr. Chotin is a member of the Structured Finance Group and is involved with all aspects of business development and investor relations. Previously, he was responsible for trading operations, which included trade settlement, asset pricing, and warehouse reconciliation. Prior to joining Chotin in 2003, Mr. Chotin worked in hotel management for Sage hospitality, a nationally recognized hotel management company, based in Denver.


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Andy WolfInvestment/Surveillance Analyst

Biographies

Hilary U. SnyderInvestment/Surveillance Analyst

Matthew R. KrumpInvestment/Surveillance Analyst

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

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


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

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Isaia M. Carucci, CFAInvestment/Surveillance Analyst

Biographies

Nathan B. CallardInvestment/Surveillance Analyst

Nathan B. Callard is a member if the fixed income trading and analytics team. He assists with the trading and analysis of asset-backed securities with a focus on residential mortgage ABS. Prior to joining Chotin, he was at Clayton Fixed Income Services and responsible for valuing ABS and RMBS portfolios and an analyst in their Credit Risk Management group, performing loan level surveillance on home equity ABS deals. Mr. Callard also worked as an analyst for Manning & Napier Advisors, a privately held money manager. He holds a BA in Economics from St. Lawrence University. He is currently a Level 2 Chartered Financial Analyst candidate.

Isaia M. Carucci is a member of the fixed income trading and analytics team. He is involved with credit and surveillance analysis for the Structured Finance Group. Prior to joining Chotin, Mr. Carucci worked as an independent market maker in fixed income derivatives. Mr. Carucci also has experience as a stock market analyst at Charles Schwab and a floor trader for Societe Generale in the Eurodollar options pit at the Chicago Mercantile Exchange. He holds a Bachelor of Science degree in Industrial Engineering from Purdue University and an MBA from the Marshall School of Business at the University of Southern California. Mr. Carucci has earned the right to use the Chartered Financial Analyst designation.

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


Eric WesterhausenOriginator / Servicer Surveillance Analyst

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Peter ReynoldsTrading Assistant

Biographies

Eric KnabQuantitative Analyst

Jennifer M. LandExecutive Assistant to the Chairman/HR Director

Mr. Knab is a member of the structured finance trading and analytics team primarily responsible for portfolio analytics and research. Prior to joining Chotin, Mr. Knab was a Senior Financial Analyst for CollegeInvest, where he managed the Financial Planning and Analysis function of the organization, including developing analytic and reporting systems, pricing and forecasting models, and investment strategies. Prior to CollegeInvest, Mr. Knab spent three years with the MurrayHill Company as the Manager of Analytics and Research. Mr. Knab holds a Master of Arts degree in Economics from the University of Colorado and a Bachelor of Science degree in Economics from the University of Minnesota.

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

Ms. Land oversees office administration for Chotin and its affiliates, including the Chotin Foundation where she serves as a director. She also heads all aspects of the firm’s human resources function, including recruiting and benefit implementation. Ms. Land also serves as Mr. Steven Chotin’s Executive Assistant, a role she has held since 1996. She joined Chotin in 1993 as a part of the company’s administrative staff and has held increasing roles of responsibility since that time, including serving as project manager on a number of Chotin initiatives that fall outside the scope of her job responsibilities. Prior to joining Chotin, Ms. Land held administrative positions in the graphics and medical software development industries.


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Michael B. PielDirector of Information Technology

Biographies

Richard R. ReismanVice President and General Counsel

David FrederickChief Financial Officer

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

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

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


Chotin Asset Management Corporation. 1 ● Chotin Asset Management Corporation (“CAMCO") is an affiliate of The Chotin Group Corporation ("TCG") and encompasses.

Documents

chotin group corporation

party asset management

asset securitization

asset management functions

mortgage conduit

nonconforming mortgage

risk management

affiliated company tcg