February 2011

LPS APPLIED ANALYTICS (Formerly Applied Financial Technology)

601 California Street, Suite 980 San Francisco, CA 94108

415.989.9800 main 415.989.9833 fax

http://www.lpsvcs.com/RiskMgmt

LLPPSS AAAA Setup in Intex Desktop

© 2011 by LPS Applied Analytics

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LPS-Applied Analytics – Setup in Intex Desktop ver. 5.1.0.1

Users will receive these items from Quantitative Services for use with Intex Desktop: 1. License file: espedcf.esp 2. LPS AA .DLLs: espmodel.dll and prepayscore.dll 3. Parameter folder: Espiel_ver548_Standard or Espiel_ver548_Lite

Install the .dlls: Copy the .dlls and license file to the system32 folder, for example: c:\WINDOWS\system32 Setup the parameter and Intex path: Copy the path of the v5.48 parameter folder. In IntexDesktop 5.1.0.1, click “Options”, “User Paths”. Paste the path the v5.48 parameter folder under “LPS-AFT (Espiel) Model Data Directory” as shown below.

Enter the CDI and CDU path in the “Data Loading” tab:

Selecting the LPS Model in IntexDesktop: In the main IntexDesktop screen, from the dropdown for “Forecasting Model”, choose “LPS (Mortgage-based)”. This selects the LPS Model and allows users to enter the 30-, 15-, 7-, 5-year mortgage rates.

Setting up the mortgage rates in IntexDesktop:

The model expects primary mortgage rates. We make monthly recommendations. As of January 31, 2011 (please contact QS at support@appliedanalytics.com for other dates):

Suggested Spreads to Freddie Mac Gold Current Coupon: 30 year rate - Freddie Mac Gold Current Coupon (MTGEFGLM) = + 65 bps 15 year rate - Freddie Mac Gold Current Coupon (MTGEFGCI) = + 85 bps Suggested Spreads to Fannie Mae Current Coupon as follows: 30 year rate – FNMA 30-YEAR Current Coupon (MTGEFNCL) = + 70 bps 15 year rate – FNMA 15-YEAR Current Coupon (MTGEFNCI) = + 90 bps Suggested Spreads to for the 7 and 5 year mortgage rates: 7 year rate - LIBOR/SWAP 3 Year: (USSW3) + 255 bps 5 year rate - LIBOR/SWAP 3 Year: (USSW3) + 245 bps

In IntexDesktop, after loading the deal, click on “Scenarios”, “Deal Level Assumptions”. Select “Use Mortgage Rates for LPS” and enter the mortgage rates:

Check the “Prepay” and “Default” boxes as shown above. Choose “LPS” in the corresponding dropdrown menu. Setting the box next to the dropdown to 100 will use the standard LPS model projections for prepayments and defaults.