Portfolio Performance Vintage Basis

Transcription

1 Portfolio Performance Vintage Basis The portfolio performance exhibited by Accredited Home Lenders securitized pools is shown below. The first chart shows delinquencies, while the second chart shows cumulative losses, both on a vintage basis. The data behind these charts is displayed on pages 2 and 3. The table on page 4 shows the delinquency and loss experience for Accredited Home Lenders total serviced portfolio on a calendar basis. 25% Portfolio Performance - Vintage Basis 60+ Delinquency Including REO 20% % of Current Balance 15% 10% 5% Data through 9/30/05 0% Pool Seasoning 1999 Vintage 2000 Vintage 2001 Vintage 2002 Vintage 2003 Vintage 2004 Vintage 2005 Vintage 4.00% Portfolio Performance - Vintage Basis Cumulative Net Losses on Securitized Pools 3.50% % of Original Balance 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% Data through 9/30/ % Pool Seasoning 1999 Vintage 2000 Vintage 2001 Vintage 2002 Vintage 2003 Vintage 2004 Vintage

2 60+ Delinquencies (incl. REO), % of Current Balance Seasoning Vintage Vintage Vintage Vintage Vintage Vintage Vintage % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.01% 0.00% % 0.00% 0.00% 0.02% 0.00% 0.04% 0.00% % 0.19% 0.05% 0.05% 0.07% 0.10% 0.08% % 0.69% 0.21% 0.14% 0.14% 0.19% 0.27% % 1.37% 0.29% 0.19% 0.23% 0.30% 0.46% % 1.83% 0.57% 0.23% 0.28% 0.48% 0.64% % 2.38% 0.71% 0.29% 0.45% 0.60% 0.90% % 2.99% 0.75% 0.53% 0.56% 0.76% 1.06% % 3.69% 0.90% 0.80% 0.66% 0.92% % 4.16% 0.98% 0.89% 0.90% 1.04% % 4.43% 1.20% 0.87% 1.11% 1.23% % 5.01% 1.48% 1.18% 1.12% 1.28% % 5.60% 1.90% 1.38% 1.33% 1.41% % 6.53% 1.90% 1.34% 1.22% 1.56% % 7.24% 2.13% 1.53% 1.47% 1.34% % 7.78% 2.34% 1.50% 1.73% 1.37% % 8.05% 2.59% 1.57% 1.68% 1.63% % 8.90% 2.80% 1.76% 1.91% 1.93% % 9.52% 3.06% 1.95% 1.90% 2.18% % 9.73% 3.32% 2.26% 1.83% 2.55% % 10.34% 3.97% 2.29% 2.07% % 10.54% 4.25% 3.00% 2.46% % 10.46% 4.29% 3.06% 2.38% % 10.59% 4.52% 3.09% 2.53% % 10.72% 4.70% 3.44% 3.34% % 11.09% 5.06% 4.01% 3.27% % 11.31% 4.91% 3.95% 3.76% % 11.13% 4.85% 4.16% 3.49% % 11.61% 5.21% 3.97% 2.90% % 12.41% 5.66% 4.11% % 12.20% 5.82% 4.02% % 12.03% 5.85% 3.83% % 11.93% 6.35% 3.84% % 11.76% 6.03% 4.30% % 11.22% 6.82% 4.20% % 11.16% 7.36% 5.97% % 11.54% 8.23% 5.87% % 11.64% 8.31% 6.77% % 12.14% 8.96% 6.73% % 12.45% 9.14% % 12.99% 9.39% % 13.83% 9.82% % 14.23% 9.48% % 14.46% 9.91% % 14.99% 10.46% % 15.40% 10.92% % 15.02% 10.19% % 15.73% 10.95% % 16.37% 10.10% % 16.59% 10.84% % 16.19% 11.41% % 16.75% 12.79% % 17.18% 10.93% % 17.75% 11.47% % 18.52% 8.98% % 17.76% 10.07% % 17.65% 9.09% % 18.59% % 16.48% % 16.88% % 16.83%

3 Continued 60+ Delinquencies (incl. REO), % of Current Balance Seasoning Vintage Vintage Vintage Vintage Vintage Vintage Vintage % 15.27% % 14.93% % 13.68% % 14.47% % 13.30% % 11.98% % 13.04% % 12.12% % % % % % % % % Portfolio Performance Vintage Basis (Data through September 30, 2005) Cum ulative Net Losses, % of Original Balance Seasoning V in tag e V in tag e V in tag e V in tag e V in tag e V in tag e % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% 0.01% 0.00% 0.00% 0.01% % 0.00% 0.01% 0.01% 0.00% 0.01% % 0.01% 0.01% 0.01% 0.00% 0.01% % 0.04% 0.01% 0.01% 0.01% 0.01% % 0.07% 0.01% 0.03% 0.02% 0.01% % 0.10% 0.01% 0.03% 0.05% 0.02% % 0.14% 0.01% 0.04% 0.05% 0.01% % 0.17% 0.02% 0.05% 0.05% 0.02% % 0.23% 0.04% 0.05% 0.06% 0.02% % 0.27% 0.05% 0.06% 0.06% 0.06% % 0.40% 0.05% 0.08% 0.07% 0.07% % 0.52% 0.10% 0.10% 0.07% 0.07% % 0.57% 0.12% 0.11% 0.08% % 0.70% 0.18% 0.11% 0.08% % 0.83% 0.25% 0.13% 0.08% % 0.86% 0.28% 0.13% 0.08% % 0.93% 0.31% 0.15% 0.08% % 1.05% 0.40% 0.15% 0.08% % 1.13% 0.45% 0.18% 0.08% % 1.15% 0.53% 0.22% 0.09% % 1.22% 0.59% 0.23% 0.10% % 1.31% 0.62% 0.25% % 1.46% 0.68% 0.28% % 1.58% 0.71% 0.31% % 1.63% 0.77% 0.31% % 1.73% 0.86% 0.35% % 1.81% 0.95% 0.37%

4 Continued Cum ulative Net Losses, % of Original Balance Seasoning V in tag e V in tag e V in tag e V in tag e V in tag e V in tag e % 1.89% 1.01% 0.55% % 1.99% 1.10% 0.57% % 2.05% 1.16% 0.60% % 2.09% 1.20% 0.64% % 2.13% 1.28% % 2.18% 1.37% % 2.25% 1.44% % 2.33% 1.49% % 2.41% 1.54% % 2.47% 1.60% % 2.53% 1.65% % 2.62% 1.70% % 2.65% 1.71% % 2.72% 1.67% % 2.75% 1.61% % 2.78% 1.67% % 2.84% 1.60% % 2.88% 1.69% % 2.96% 1.64% % 3.01% 1.44% % 3.10% 1.41% % 3.12% 1.25% % 3.15% % 3.18% % 3.25% % 3.34% % 3.36% % 3.45% % 3.35% % 3.35% % 3.20% % 2.94% % 2.94% % 2.84% % % % % % % % %

5 Portfolio Performance Calendar Basis Dec. 31, 2002 Dec. 31, 2003 Dec. 31, 2004 Sep. 30, 2005 Total servicing portfolio $2,268,498 $3,695,976 $6,731,581 $9,176,234 Delinquencies days Principal balance $7,730 $8,954 $33,134 $56,660 Percentage (1) 0.34% 0.24% 0.49% 0.62% days Principal balance $3,350 $3,361 $8,295 $13,660 Percentage (1) 0.15% 0.09% 0.12% 0.15% 90 or more days Principal balance $14,107 $13,214 $21,107 $24,076 Percentage (1) 0.62% 0.36% 0.32% 0.26% Foreclosures Principal balance $23,930 $28,367 $40,230 $63,408 Percentage (1) 1.06% 0.77% 0.60% 0.69% Total delinquencies and foreclosures Principal balance $49,117 $53,896 $102,766 $157,804 Percentage (1) 2.17% 1.46% 1.53% 1.72% Real estate owned (2) Principal balance $11,749 $10,699 $14,357 $21,584 Percentage (1) 0.51% 0.29% 0.21% 0.24% Total delinquencies, foreclosures and real estate owned Principal balance $60,866 $64,595 $117,123 $179,388 Percentage (1) 2.68% 1.75% 1.74% 1.79% Losses on servicing portfolio $14,024 $17,646 $17,505 $20,230 Losses as a % of average monthly servicing portfolio (3) 0.92% 0.63% 0.34% 0.26% (1) Percentage of servicing portfolio at period end. (2) Based on the aggregate principal balance of the mortgage loans secured by mortgaged properties the title to which has been acquired through foreclosure, deed in lieu of foreclosure or similar process. (3) Percentage annualized for the nine-month period ending September 30, The information in the above graphs and tables includes information prepared by or gathered from third parties over which Accredited Home Lenders Holding Co. has no influence or control. Accredited Home Lenders Holding Co. makes no representations or warranties, express or implied, as to the accuracy or completeness of such information.