Information is unaudited, estimated and subject to change. Consolidated Securitizations ($ in thousands) At Origination As of June 30, 2013 Vintage Deal Type Total Original Face Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2012 Whole Loan Securitization CSMC - 2012-CIM1 $741,939 $707,810 $34,129 $310,917 $277,493 $33,425 2012 Whole Loan Securitization CSMC - 2012-CIM2 425,091 404,261 20,830 192,467 171,979 20,489 2012 Whole Loan Securitization CSMC - 2012-CIM3 329,886 305,804 24,082 267,097 244,172 22,925 2010 RMBS Securitization CSMC - 2010-1R 1,730,581 691,630 1,038,951 1,024,019 168,790 855,229 2010 RMBS Securitization CSMC - 2010-12R 1,239,176 435,177 803,999 811,423 92,464 718,959 2010 RMBS Securitization CSMC - 2010-11R 566,571 193,490 373,081 400,726 173,129 227,597 2009 RMBS Securitization CSMC - 2009-12R 1,730,698 915,566 815,132 932,595 290,636 641,959 2009 RMBS Securitization JPMRR - 2009-7 1,522,474 856,935 665,539 843,547 363,568 479,978 2009 RMBS Securitization JMAC - 2009-R2 281,863 192,500 89,363 158,017 79,256 78,761 2008 Whole Loan Securitization PHH - 2008-CIM1 619,710 549,142 70,568 145,839 112,853 32,986 $ 9,187,991 $5,252,316 $3,935,676 $5,086,648 $1,974,339 $3,112,309 % of origination 55% 38% 79%
Information is unaudited, estimated and subject to change. Consolidated RMBS – Retained Tranche
Performance 69.5% 70.0% 70.5% 71.0% 71.5% 72.0% 72.5% 73.0% 73.5% 74.0% 74.5% 6/10 8/10 10/10 12/10 2/11 4/11 6/11 8/11 10/11 12/11
2/12 4/12 6/12 8/12 10/12 12/12 2/13 4/13 6/13 706 707 708 709 710 711 712 713 714 715 6/10 8/10 10/10 12/10 2/11 4/11 6/11 8/11 10/11 12/11 2/12 4/12 6/12 8/12
10/12 12/12 2/13 4/13 6/13 80.5% 81.0% 81.5% 82.0% 82.5% 83.0% 83.5% 84.0% 84.5% 85.0% 6/10 8/10 10/10 12/10 2/11 4/11 6/11 8/11 10/11 12/11 2/12 4/12 6/12 8/12
10/12 12/12 2/13 4/13 6/13 $350 $360 $370 $380 $390 $400 $410 $420 $430 $440 6/10 8/10 10/10 12/10 2/11 4/11 6/11 8/11 10/11 12/11 2/12 4/12 6/12 8/12 10/12 12/12 2/13 4/13 6/13
Weighted Average Loan To Value % Weighted Average FICO Score Weighted Average Loan Size Weighted Average Owner Occupied % ($ in thousands)
Information is unaudited, estimated and subject to change. Cumulative Dividend History (1) 4Q 13 Dividend has been announced but not declared. Dividends Per Quarter (1) $1 $11 $17 $23 $30 $40 $78 $158 $272 $386 $516 $675 $850 $993 $1,127 $1,260 $1,373 $1,486 $1,579 $1,671 $1,763 $1,856 $1,948 $2,041 $2,133 -$300 $200 $700 $1,200 $1,700 $2,200 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 $ in Millions Cumulative Dividends Dividends Per Quarter