ABS Portfolio Profile & Methodology Summary

This document provides an overview of the ABS portfolio and also the current methodology in--place to model ABS
securities.

ABS Portfolio Overview:

As of December 30, 2011, the
he ABS portfolio in CIS stands at $6.2BB with 249 Cusips. The
he following figures show the
break-out of the portfolio by collateral type and collateral country:

Collateral Country

Collateral Type

STUDENT,
3%

Corporate
FRN, 1%

IE, 2%

CA, 3%
AU, 6%

AUTO, 7%

RMBS, 34%

GB, 29%

CARD, 55%

US, 60%

Split by Country and Collateral Type

40%

37%

% of total ABS portfolio

35%
30%
25%
20%
15%
15%

13%

13%

10%

7%

6%
3%

5%

3%
1%

2%

0%
CARD

RMBS

AUTO

STUDENT

CARD

RMBS

Corporate
FRN

RMBS

CARD

RMBS

US

US

US

US

GB

GB

GB

AU

CA

IE

The below two charts summarize the ABS portfolio in terms of deal vintage and vintage by collateral type. As can be
seen, many deals have vintage year 2007 (32%) followed by 2011 (23%). Most of the RMBS deals have vintages of 2006
and 2007. Also, all the bonds since 2008 are either student loan or credit card deals.

Deal Vintage as % of ABS portfolio

35%

% of total ABS portfolio

30%
25%
20%
32.4%

15%

23.0%

10%
13.0%

5%
0%

1997

0.0%

0.4%

0.9%

1998

2001

2002

0.8%
2003

11.9%

11.4%

3.3%

2.9%

0.0%
2004

2005

2006

2007

2008

2010

2011

Split by Vintage and Collateral Type

20%

18.2%

18%

16.4%

14%

12.7%

12%

10.4%

10%

9.9%

8.2%

8%
6%
4%

4.8%

4.8%

2.9%
0.9%
0.0% 0.5% 0.3%
0.0% 0.4%

2%

2.5%

1.7% 1.6%

0.9%

0.0%

2.0%
0.8%

0.0%

0.1% 0.0%
AUTO

CARD

AUTO

CARD

STUDENT

AUTO

Corporate FRN

STUDENT

CARD

RMBS

STUDENT

CARD

RMBS

STUDENT

RMBS

CARD

CARD

RMBS

STUDENT

RMBS

RMBS

CARD

STUDENT

STUDENT

0%
CARD

% of total ABS portfolio

16%

1997 1998 2001 2002 2002 2003 2003 2004 2004 2005 2005 2005 2006 2006 2006 2007 2007 2007 2007 2007 2008 2010 2010 2011 2011

Security Price

MLMI 2006-RM3
ACE 2007-WM1
GEWMC 2006-1
MSM 2006-16AX
GSAA 2006-16
GSAA 2006-11
SABR 2007-NC1
GSAA 2007-3
MSAC 2007-HE3
INABS 2004-LH1
WASI 2007-HE2A
GRANM 2007-1
MSAC 2007-HE1
CSMC 2007-TF2A
GSAMP 2007-FM2
ACE 2006-FM2
GRANM 2006-3
LAMBD 2007-1A
GRANM 2005-4
GRAN 2004-1
MEDL 2005-1G
SMHLG 2007-1
MEDL 2005-2G
HEAT 2007-3
SASC 2006-BC5
RMAC 2004-NS2A
CMLTI 2006-WFH4
TMST 2007-1
SLMA 2007-2
LAMBD 2005-1A
GOAL 2007-1
AMCAR 2007-AX
FORDF 2011-2
MBNAS 2006-A5
CHAIT 2011-A2
CHAIT 2005-A11
COMET 2005-A1
DCMT 2006-2
PENAR 2011-2A
BCARD 2010-1A
NSLT 2008-4

Security Price

The below two charts summarize price distribution (in ascending order) within the ABS portfolio. As can be seen, 68.5%
(100%-31.5%) of the portfolio has a price above 99 cents on a dollar and 88.3% (100%-11.7%) of the portfolio has price
above 95 cents on a dollar.

Price by Deal

120

100

80

60

40

20

120

Distribution of ABS Portfolio

ARM US Subprime Mtg

US Student, IE/AU/UK/US Mtg

80

60

40

20

Cumulative pct

Student/Auto/Card/Mtg

100

4.8% of MV below Prive 50

9.5% of MV below Price 80
11.7% of MV below Price 95
31.5% of MV below Price 99

Methodology:
The priority used to get the analytics information for the ABS portfolio is as follows:

Objective:
The objective here is to get accurate analytics information from 3rd party vendors (particularly spread duration) and
pass this information to BarraOne to model them as duration proxy assets. Since most of the deals in the ABS portfolio
are floating rate bonds, the next reset date information (from FICAM) is used as the effective duration.
Step 1: Industry Standard Models and Internal Expertise
1.1

Third-Party Models (e.g. Blackrocks Aladdin)

In obtaining the analytics information, the top priority is given to best-in-class industry ABS models, such as Blackrocks
Aladdin, which have deal level historical performance, waterfall structure and future projections of market variables
(such as interest rates, HPA, etc.) and future vectors for CPR, CDR, recovery, etc. These assets are categorized as
Aladdin assets which represent 45% of the total Cusips.
For assets not covered by Aladdin, the second step is to rely on internal expertise to get deal level CPR CDR and recovery
assumptions.
Step 1.1: Standish
Standish line of business provides CPR, CDR and Severity information for non-US RMBS deals (around 100 bonds). So, the
first step if a deal is not covered in Aladdin is to check this list of bonds. If the bond exists in this list then the CPR, CDR
and Severity information provided by Standish are used and the deal is ran in Intex using these inputs. These assets
would be Standish assets which represent 16% of the total Cusips. (Note that Standish assets are also ran in Intex but
just the source of the assumptions is from the Standish line of business).
Step 2: Historical Information
Step 2.1: Intex
If the deal is neither covered by Alladin and nor in the Standish list, the historical information is searched in Intex. If CPR,
CDR and Severity information are all available in Intex, then that information is used and the deal is ran in Intex.
Sometimes Intex has missing CPR or CDR, in which case Bloomberg or Investor reports are used to find this information
and finally these deals are ran in Intex. These assets would be Intex assets which represent 22% of the total Cusips.
One exception to the process outlined in the above diagram is the credit-card deals. For these assets, monthly chargeoffs and delinquencies are obtained from Bloomberg and the deals are evaluated in Intex. (Note Intex assets of 22%
includes the credit-card deals)
2.2: Bloomberg
Intex sometimes doesnt have all the information needed for few deals and in these instances Bloomberg is used to get
the direct results i.e. spread duration (instead of the CPR, CDR and severity inputs). These assets would be Bloomberg
assets which represent 12% of the total Cusips.
Step 2.3: Proxy
For few deals, neither Intex has coverage/information nor does Bloomberg have information. In these instances, similar
deals are used as a proxy for the duration of these bonds. These assets would be Proxy assets which represent 3% of
the total Cusips.

Below is the summary of the source for the ABS methodology:

ABS Source Summary

50%
45%
40%
35%
30%
25%

45%

20%

43%

15%
10%

22%

17%

16%

5%

8%

19%
12%

12%
3%

0%

Aladdin

Intex

Standish

% of Market Value (Total $6.2 BB)

Bloomberg

Proxy

% of Cusips (Total count 249)

Proxy Assets:
Currently there are 8 bonds for which we use the proxy method. These bonds are not covered in Aladdin, Intex or
Bloomberg or have very limited information. The current methodology is to pick a similar bond that has same country
and collateral type and similar vintage and price. In the table be
below,
low, the yellow highlighted columns are the ones we
proxy. The blue highlighted columns are the selected bonds that come close to the proxy deals.
Cusip
05377RAA2
9318999A8
9318999B6
38406EAA7
513275AA5
513275AG2
70659PAA9
70659PAB7

Deal Name
Country Vintage Security Type Price Proxy Used: Proxy Country: Proxy Vintage: Proxy Security Type: Proxy Price
99.08 030613AD5
US
2007
AUTO
AESOP 2007-2A
US
2007
AUTO
99.75
VFNC TRUST
GB
2007 Corporate FRN 52.54
VFNC TRUST
GB
2007 Corporate FRN 52.54
BCARD 2010-1A
GB
2010
CARD
100.05 38406EAB5
GB
2011
CARD
100.00
LAMBD 2005-1A
GB
2005
RMBS
99.34 38741YAH2
GB
2005
RMBS
94.98
LAMBD 2007-1A
GB
2007
RMBS
95.02 40430FAB8
GB
2007
RMBS
95.12
PENAR 2010-2A
GB
2010
CARD
99.97 70659PAC5
GB
2011
CARD
100.00
PENAR 2011-1A
GB
2011
CARD
100.04 70659PAC5
GB
2011
CARD
100.00

Source
Aladdin

Spread Duration
0.56
3.00
3.00
Bloomberg
1.23
Standish
2.15
Aladdin
0.70
Bloomberg
1.90
Bloomberg
1.90

Output Summary:
Using the above mentioned methodology, the below two charts summarize the effective duration
ation and spread duration
in the ABS portfolio by collateral type and by country.

Effective Duration by Collateral Type

0.14

60%
55.3%
50%

0.10

40%

33.9%
0.08

30%
0.06
20%

0.04
0.02

6.9%

Percent of ABS Portfolio

Effective Duration

0.12

10%

3.2%

0.8%

0%
STUDENT

AUTO

RMBS

Effective Duration

CARD

Corporate FRN

Mkt Value % of ABS portfolio

Effective Duration by Country

0.25

70%
60.3%
60%

Effective Duration

50%
0.15

40%
28.7%
30%

0.10

20%
0.05

1.7%

6.3%
10%

3.0%

0%
IE

AU
Effective Duration

CA

US
Mkt Value % of ABS portfolio

GB

Percent of ABS Portfolio

0.20

Spread Duration by Collateral Type

3.5

60%
55%

Spread Duration

50%

2.5

40%

2.0
30%
1.5

34%
20%

1.0
0.5

7%

3%

1%

10%

Percent of ABS Portfolio

3.0

0%
Corporate FRN

RMBS

STUDENT

Spread Duration

CARD

AUTO

Mkt Value % of ABS portfolio

Spread Duration by Country

1.80

60%
56%

1.60
Spread Duration

1.20

40%

1.00
0.60

30%

30%

0.80

20%

11%

0.40

3%

0%

0.20
-

10%
0%

AU

US
Spread Duration

IE

GB
Mkt Value % of ABS portfolio

CA

Percent of ABS Portfolio

50%

1.40