HEL Breakeven Analysis

We require breakeven cumulative defaults, corresponding losses and average lives as a multiple of the baseline default curve which is defined below:

0% CDR between months (loan ages) 0 and 8, increasing linearly to 10% CDR in month 42, remaining constant at 10% CDR between months 42 and 60, then declining linearly to 1.5% CDR in month 108, and remaining constant thereafter.

Cases:

Speeds (ARMS ONLY): 50, 100, 150, 200 PPC and Fx pool: 50 PPC all scenarios

Libor Curve: forward+100, forward + 150, forward +200, fwd+250

Please include the discount margin for each of the above scenarios.

Assumptions

• Loss severity = 50%

• 12 month lag

• Triggers Pass

• Run to maturity

CSMC07_NC01_OSI_Prosup - Stack Price/Yield 2A-1

Settle	08/31/2007
First Payment	09/25/2007


Fwd +100 BP

Disc Margin	60	60	60	60
Principal Writedown	0.00%	0.00%	0.00%	0.00%
Total Collat Loss (Collat Maturity)	45.74%	44.97%	45.38%	45.63%
Shock(bps)	100bp	100bp	100bp	100bp
LIBOR_1MO	100*1M Fwd	100*1M Fwd	100*1M Fwd	100*1M Fwd
LIBOR_6MO	100*6M Fwd	100*6M Fwd	100*6M Fwd	100*6M Fwd
ARM	50 PPC	100 PPC	150 PPC	200 PPC
FXD	50 PPC	50 PPC	50 PPC	50 PPC
Default	4854 *BLRK_CDR	8474 *BLRK_CDR	16949 *BLRK_CDR	34482 *BLRK_CDR
Loss Severity	50%	50%	50%	50%
Servicer Advances	100%	100%	100%	100%
Liquidation Lag	12	12	12	12

Fwd +150 BP

Disc Margin	60	60	60	60
Principal Writedown	0.00%	0.00%	0.00%	0.00%
Total Collat Loss (Collat Maturity)	45.74%	44.97%	45.38%	45.63%
Shock(bps)	150bp	150bp	150bp	150bp
LIBOR_1MO	100*1M Fwd	100*1M Fwd	100*1M Fwd	100*1M Fwd
LIBOR_6MO	100*6M Fwd	100*6M Fwd	100*6M Fwd	100*6M Fwd
ARM	50 PPC	100 PPC	150 PPC	200 PPC
FXD	50 PPC	50 PPC	50 PPC	50 PPC
Default	4854 *BLRK_CDR	8474 *BLRK_CDR	16949 *BLRK_CDR	34482 *BLRK_CDR
Loss Severity	50%	50%	50%	50%
Servicer Advances	100%	100%	100%	100%
Liquidation Lag	12	12	12	12

Fwd +200 BP

Disc Margin	55	55	55	56
Principal Writedown	0.00%	0.00%	0.00%	0.00%
Total Collat Loss (Collat Maturity)	45.74%	44.97%	45.38%	45.63%
Shock(bps)	200bp	200bp	200bp	200bp
LIBOR_1MO	100*1M Fwd	100*1M Fwd	100*1M Fwd	100*1M Fwd
LIBOR_6MO	100*6M Fwd	100*6M Fwd	100*6M Fwd	100*6M Fwd
ARM	50 PPC	100 PPC	150 PPC	200 PPC
FXD	50 PPC	50 PPC	50 PPC	50 PPC
Default	4854 *BLRK_CDR	8474 *BLRK_CDR	16949 *BLRK_CDR	34482 *BLRK_CDR
Loss Severity	50%	50%	50%	50%
Servicer Advances	100%	100%	100%	100%
Liquidation Lag	12	12	12	12

Fwd +250 BP

Disc Margin	44	41	44	47
Principal Writedown	0.00%	0.00%	0.00%	0.00%
Total Collat Loss (Collat Maturity)	45.74%	44.97%	45.38%	45.63%
Shock(bps)	250bp	250bp	250bp	250bp
LIBOR_1MO	100*1M Fwd	100*1M Fwd	100*1M Fwd	100*1M Fwd
LIBOR_6MO	100*6M Fwd	100*6M Fwd	100*6M Fwd	100*6M Fwd
ARM	50 PPC	100 PPC	150 PPC	200 PPC
FXD	50 PPC	50 PPC	50 PPC	50 PPC
Default	4854 *BLRK_CDR	8474 *BLRK_CDR	16949 *BLRK_CDR	34482 *BLRK_CDR
Loss Severity	50%	50%	50%	50%
Servicer Advances	100%	100%	100%	100%
Liquidation Lag	12	12	12	12

BLRK _CDR
Adjusted:	Loan Age		fwd libor

Period	CDR		Period	1m Libor	6m Libor
1	0	1	Sep-07	5.5650	5.4275
2	0	2	Oct-07	5.35	4.98
3	0	3	Nov-07	4.82	4.85
4	0	4	Dec-07	5.02	4.81
5	0	5	Jan-08	4.87	4.76
6	0	6	Feb-08	4.77	4.71
7	0	7	Mar-08	4.73	4.68
8	0	8	Apr-08	4.63	4.67
9	0.29	9	May-08	4.58	4.67
10	0.59	10	Jun-08	4.66	4.69
11	0.88	11	Jul-08	4.60	4.70
12	1.18	12	Aug-08	4.59	4.72
13	1.47	13	Sep-08	4.68	4.75
14	1.76	14	Oct-08	4.65	4.77
15	2.06	15	Nov-08	4.67	4.79
16	2.35	16	Dec-08	4.76	4.82
17	2.65	17	Jan-09	4.71	4.83
18	2.94	18	Feb-09	4.73	4.86
19	3.24	19	Mar-09	4.80	4.88
20	3.53	20	Apr-09	4.80	4.91
21	3.82	21	May-09	4.81	4.93
22	4.12	22	Jun-09	4.86	4.96
23	4.41	23	Jul-09	4.86	4.99
24	4.71	24	Aug-09	4.88	5.01
25	5	25	Sep-09	4.93	5.03
26	5.29	26	Oct-09	4.94	5.06
27	5.59	27	Nov-09	4.96	5.08
28	5.88	28	Dec-09	5.05	5.11
29	6.18	29	Jan-10	4.99	5.12
30	6.47	30	Feb-10	5.02	5.14
31	6.76	31	Mar-10	5.07	5.16
32	7.06	32	Apr-10	5.08	5.18
33	7.35	33	May-10	5.09	5.20
34	7.65	34	Jun-10	5.12	5.21
35	7.94	35	Jul-10	5.13	5.23
36	8.24	36	Aug-10	5.15	5.25
37	8.53	37	Sep-10	5.16	5.26
38	8.82	38	Oct-10	5.18	5.28
39	9.12	39	Nov-10	5.20	5.29
40	9.41	40	Dec-10	5.22	5.31
41	9.71	41	Jan-11	5.23	5.32
42	10	42	Feb-11	5.24	5.33
43	10	43	Mar-11	5.25	5.34
44	10	44	Apr-11	5.26	5.36
45	10	45	May-11	5.28	5.37
46	10	46	Jun-11	5.29	5.38
47	10	47	Jul-11	5.30	5.40
48	10	48	Aug-11	5.32	5.41
49	10	49	Sep-11	5.33	5.42
50	10	50	Oct-11	5.34	5.41
51	10	51	Nov-11	5.36	5.38
52	10	52	Dec-11	5.37	5.35
53	10	53	Jan-12	5.38	5.33
54	10	54	Feb-12	5.38	5.33
55	10	55	Mar-12	5.26	5.33
56	10	56	Apr-12	5.20	5.37
57	10	57	May-12	5.19	5.42
58	10	58	Jun-12	5.24	5.48
59	10	59	Jul-12	5.34	5.53
60	10	60	Aug-12	5.42	5.57
61	9.82	61	Sep-12	5.47	5.59
62	9.65	62	Oct-12	5.51	5.60
63	9.47	63	Nov-12	5.54	5.61
64	9.29	64	Dec-12	5.54	5.62
65	9.11	65	Jan-13	5.54	5.63
66	8.94	66	Feb-13	5.54	5.64
67	8.76	67	Mar-13	5.56	5.64
68	8.58	68	Apr-13	5.57	5.65
69	8.41	69	May-13	5.58	5.66
70	8.23	70	Jun-13	5.58	5.66
71	8.05	71	Jul-13	5.59	5.67
72	7.88	72	Aug-13	5.59	5.67
73	7.7	73	Sep-13	5.59	5.68
74	7.52	74	Oct-13	5.60	5.68
75	7.34	75	Nov-13	5.61	5.69
76	7.17	76	Dec-13	5.62	5.70
77	6.99	77	Jan-14	5.62	5.71
78	6.81	78	Feb-14	5.62	5.71
79	6.64	79	Mar-14	5.63	5.73
80	6.46	80	Apr-14	5.64	5.74
81	6.28	81	May-14	5.65	5.76
82	6.1	82	Jun-14	5.66	5.77
83	5.93	83	Jul-14	5.68	5.78
84	5.75	84	Aug-14	5.70	5.79
85	5.57	85	Sep-14	5.71	5.79
86	5.4	86	Oct-14	5.72	5.80
87	5.22	87	Nov-14	5.73	5.81
88	5.04	88	Dec-14	5.73	5.81
89	4.86	89	Jan-15	5.73	5.81
90	4.69	90	Feb-15	5.74	5.81
91	4.51	91	Mar-15	5.74	5.82
92	4.33	92	Apr-15	5.75	5.81
93	4.16	93	May-15	5.75	5.81
94	3.98	94	Jun-15	5.75	5.81
95	3.8	95	Jul-15	5.74	5.81
96	3.63	96	Aug-15	5.74	5.81
97	3.45	97	Sep-15	5.74	5.82
98	3.27	98	Oct-15	5.74	5.82
99	3.09	99	Nov-15	5.74	5.82
100	2.92	100	Dec-15	5.75	5.82
101	2.74	101	Jan-16	5.75	5.83
102	2.56	102	Feb-16	5.75	5.83
103	2.39	103	Mar-16	5.75	5.84
104	2.21	104	Apr-16	5.75	5.84
105	2.03	105	May-16	5.76	5.85
106	1.85	106	Jun-16	5.77	5.86
107	1.68	107	Jul-16	5.78	5.86
108	1.5	108	Aug-16	5.79	5.87
109	1.5	109	Sep-16	5.79	5.87
110	1.5	110	Oct-16	5.80	5.88
111	1.5	111	Nov-16	5.80	5.88
112	1.5	112	Dec-16	5.81	5.88
113	1.5	113	Jan-17	5.81	5.88
114	1.5	114	Feb-17	5.81	5.89
115	1.5	115	Mar-17	5.81	5.89
116	1.5	116	Apr-17	5.81	5.89
117	1.5	117	May-17	5.82	5.89
118	1.5	118	Jun-17	5.82	5.89
119	1.5	119	Jul-17	5.82	5.89
120	1.5	120	Aug-17	5.82	5.89
121	1.5	121	Sep-17	5.82	5.90
122	1.5	122	Oct-17	5.82	5.90
123	1.5	123	Nov-17	5.82	5.90
124	1.5	124	Dec-17	5.83	5.90
125	1.5	125	Jan-18	5.83	5.90
126	1.5	126	Feb-18	5.83	5.91
127	1.5	127	Mar-18	5.83	5.91
128	1.5	128	Apr-18	5.83	5.91
129	1.5	129	May-18	5.84	5.91
130	1.5	130	Jun-18	5.84	5.91
131	1.5	131	Jul-18	5.84	5.91
132	1.5	132	Aug-18	5.84	5.92
133	1.5	133	Sep-18	5.84	5.92
134	1.5	134	Oct-18	5.84	5.92
135	1.5	135	Nov-18	5.84	5.93
136	1.5	136	Dec-18	5.85	5.93
137	1.5	137	Jan-19	5.85	5.93
138	1.5	138	Feb-19	5.85	5.94
139	1.5	139	Mar-19	5.86	5.94
140	1.5	140	Apr-19	5.86	5.95
141	1.5	141	May-19	5.87	5.96
142	1.5	142	Jun-19	5.87	5.97
143	1.5	143	Jul-19	5.88	5.97
144	1.5	144	Aug-19	5.89	5.98
145	1.5	145	Sep-19	5.89	5.98
146	1.5	146	Oct-19	5.90	5.99
147	1.5	147	Nov-19	5.91	6.00
148	1.5	148	Dec-19	5.91	6.00
149	1.5	149	Jan-20	5.92	6.01
150	1.5	150	Feb-20	5.92	6.01
151	1.5	151	Mar-20	5.93	6.02
152	1.5	152	Apr-20	5.94	6.02
153	1.5	153	May-20	5.94	6.02
154	1.5	154	Jun-20	5.94	6.02
155	1.5	155	Jul-20	5.94	6.03
156	1.5	156	Aug-20	5.95	6.03
157	1.5	157	Sep-20	5.95	6.03
158	1.5	158	Oct-20	5.95	6.03
159	1.5	159	Nov-20	5.95	6.03
160	1.5	160	Dec-20	5.95	6.03
161	1.5	161	Jan-21	5.95	6.03
162	1.5	162	Feb-21	5.96	6.03
163	1.5	163	Mar-21	5.96	6.04
164	1.5	164	Apr-21	5.96	6.03
165	1.5	165	May-21	5.96	6.03
166	1.5	166	Jun-21	5.96	6.03
167	1.5	167	Jul-21	5.96	6.03
168	1.5	168	Aug-21	5.96	6.03
169	1.5	169	Sep-21	5.96	6.02
170	1.5	170	Oct-21	5.96	6.02
171	1.5	171	Nov-21	5.95	6.02
172	1.5	172	Dec-21	5.95	6.02
173	1.5	173	Jan-22	5.95	6.01
174	1.5	174	Feb-22	5.94	6.01
175	1.5	175	Mar-22	5.94	6.01
176	1.5	176	Apr-22	5.94	6.00
177	1.5	177	May-22	5.94	6.00
178	1.5	178	Jun-22	5.93	6.00
179	1.5	179	Jul-22	5.93	5.99
180	1.5	180	Aug-22	5.92	5.99
181	1.5	181	Sep-22	5.92	5.99
182	1.5	182	Oct-22	5.92	5.99
183	1.5	183	Nov-22	5.92	5.99
184	1.5	184	Dec-22	5.92	5.99
185	1.5	185	Jan-23	5.92	5.99
186	1.5	186	Feb-23	5.91	5.99
187	1.5	187	Mar-23	5.91	5.99
188	1.5	188	Apr-23	5.91	5.98
189	1.5	189	May-23	5.91	5.98
190	1.5	190	Jun-23	5.91	5.98
191	1.5	191	Jul-23	5.91	5.98
192	1.5	192	Aug-23	5.91	5.98
193	1.5	193	Sep-23	5.91	5.98
194	1.5	194	Oct-23	5.91	5.98
195	1.5	195	Nov-23	5.90	5.98
196	1.5	196	Dec-23	5.91	5.98
197	1.5	197	Jan-24	5.91	5.98
198	1.5	198	Feb-24	5.90	5.98
199	1.5	199	Mar-24	5.91	5.98
200	1.5	200	Apr-24	5.91	5.98
201	1.5	201	May-24	5.90	5.98
202	1.5	202	Jun-24	5.90	5.98
203	1.5	203	Jul-24	5.90	5.98
204	1.5	204	Aug-24	5.90	5.97
205	1.5	205	Sep-24	5.90	5.97
206	1.5	206	Oct-24	5.90	5.97
207	1.5	207	Nov-24	5.90	5.97
208	1.5	208	Dec-24	5.90	5.97
209	1.5	209	Jan-25	5.90	5.97
210	1.5	210	Feb-25	5.89	5.97
211	1.5	211	Mar-25	5.90	5.97
212	1.5	212	Apr-25	5.90	5.97
213	1.5	213	May-25	5.89	5.96
214	1.5	214	Jun-25	5.89	5.96
215	1.5	215	Jul-25	5.89	5.96
216	1.5	216	Aug-25	5.89	5.96
217	1.5	217	Sep-25	5.89	5.96
218	1.5	218	Oct-25	5.89	5.95
219	1.5	219	Nov-25	5.89	5.95
220	1.5	220	Dec-25	5.88	5.95
221	1.5	221	Jan-26	5.88	5.95
222	1.5	222	Feb-26	5.88	5.95
223	1.5	223	Mar-26	5.88	5.94
224	1.5	224	Apr-26	5.88	5.94
225	1.5	225	May-26	5.87	5.94
226	1.5	226	Jun-26	5.87	5.94
227	1.5	227	Jul-26	5.87	5.93
228	1.5	228	Aug-26	5.86	5.93
229	1.5	229	Sep-26	5.86	5.92
230	1.5	230	Oct-26	5.86	5.92
231	1.5	231	Nov-26	5.86	5.92
232	1.5	232	Dec-26	5.85	5.91
233	1.5	233	Jan-27	5.85	5.91
234	1.5	234	Feb-27	5.84	5.90
235	1.5	235	Mar-27	5.84	5.90
236	1.5	236	Apr-27	5.83	5.89
237	1.5	237	May-27	5.83	5.89
238	1.5	238	Jun-27	5.82	5.88
239	1.5	239	Jul-27	5.82	5.88
240	1.5	240	Aug-27	5.81	5.87
241	1.5	241	Sep-27	5.81	5.87
242	1.5	242	Oct-27	5.80	5.86
243	1.5	243	Nov-27	5.80	5.86
244	1.5	244	Dec-27	5.79	5.86
245	1.5	245	Jan-28	5.79	5.85
246	1.5	246	Feb-28	5.79	5.85
247	1.5	247	Mar-28	5.78	5.85
248	1.5	248	Apr-28	5.78	5.84
249	1.5	249	May-28	5.78	5.84
250	1.5	250	Jun-28	5.77	5.84
251	1.5	251	Jul-28	5.77	5.83
252	1.5	252	Aug-28	5.77	5.83
253	1.5	253	Sep-28	5.76	5.83
254	1.5	254	Oct-28	5.76	5.83
255	1.5	255	Nov-28	5.76	5.83
256	1.5	256	Dec-28	5.76	5.82
257	1.5	257	Jan-29	5.76	5.82
258	1.5	258	Feb-29	5.75	5.82
259	1.5	259	Mar-29	5.75	5.82
260	1.5	260	Apr-29	5.75	5.82
261	1.5	261	May-29	5.75	5.81
262	1.5	262	Jun-29	5.75	5.81
263	1.5	263	Jul-29	5.75	5.81
264	1.5	264	Aug-29	5.74	5.81
265	1.5	265	Sep-29	5.74	5.80
266	1.5	266	Oct-29	5.74	5.80
267	1.5	267	Nov-29	5.73	5.80
268	1.5	268	Dec-29	5.73	5.80
269	1.5	269	Jan-30	5.73	5.80
270	1.5	270	Feb-30	5.73	5.80
271	1.5	271	Mar-30	5.73	5.80
272	1.5	272	Apr-30	5.73	5.79
273	1.5	273	May-30	5.73	5.79
274	1.5	274	Jun-30	5.72	5.79
275	1.5	275	Jul-30	5.72	5.79
276	1.5	276	Aug-30	5.72	5.79
277	1.5	277	Sep-30	5.72	5.78
278	1.5	278	Oct-30	5.72	5.78
279	1.5	279	Nov-30	5.72	5.78
280	1.5	280	Dec-30	5.71	5.78
281	1.5	281	Jan-31	5.71	5.77
282	1.5	282	Feb-31	5.71	5.77
283	1.5	283	Mar-31	5.71	5.77
284	1.5	284	Apr-31	5.71	5.77
285	1.5	285	May-31	5.70	5.76
286	1.5	286	Jun-31	5.70	5.76
287	1.5	287	Jul-31	5.70	5.76
288	1.5	288	Aug-31	5.69	5.75
289	1.5	289	Sep-31	5.69	5.75
290	1.5	290	Oct-31	5.69	5.75
291	1.5	291	Nov-31	5.69	5.74
292	1.5	292	Dec-31	5.68	5.74
293	1.5	293	Jan-32	5.68	5.74
294	1.5	294	Feb-32	5.67	5.73
295	1.5	295	Mar-32	5.67	5.73
296	1.5	296	Apr-32	5.67	5.72
297	1.5	297	May-32	5.66	5.72
298	1.5	298	Jun-32	5.66	5.71
299	1.5	299	Jul-32	5.65	5.71
300	1.5	300	Aug-32	5.65	5.70
301	1.5	301	Sep-32	5.64	5.70
302	1.5	302	Oct-32	5.64	5.69
303	1.5	303	Nov-32	5.63	5.69
304	1.5	304	Dec-32	5.63	5.68
305	1.5	305	Jan-33	5.62	5.68
306	1.5	306	Feb-33	5.62	5.68
307	1.5	307	Mar-33	5.62	5.67
308	1.5	308	Apr-33	5.61	5.67
309	1.5	309	May-33	5.61	5.67
310	1.5	310	Jun-33	5.60	5.66
311	1.5	311	Jul-33	5.60	5.66
312	1.5	312	Aug-33	5.60	5.66
313	1.5	313	Sep-33	5.59	5.65
314	1.5	314	Oct-33	5.59	5.65
315	1.5	315	Nov-33	5.59	5.65
316	1.5	316	Dec-33	5.59	5.65
317	1.5	317	Jan-34	5.59	5.64
318	1.5	318	Feb-34	5.58	5.64
319	1.5	319	Mar-34	5.58	5.64
320	1.5	320	Apr-34	5.58	5.64
321	1.5	321	May-34	5.58	5.64
322	1.5	322	Jun-34	5.57	5.63
323	1.5	323	Jul-34	5.57	5.63
324	1.5	324	Aug-34	5.57	5.63
325	1.5	325	Sep-34	5.56	5.62
326	1.5	326	Oct-34	5.56	5.62
327	1.5	327	Nov-34	5.56	5.62
328	1.5	328	Dec-34	5.56	5.62
329	1.5	329	Jan-35	5.56	5.62
330	1.5	330	Feb-35	5.56	5.62
331	1.5	331	Mar-35	5.56	5.61
332	1.5	332	Apr-35	5.55	5.61
333	1.5	333	May-35	5.55	5.61
334	1.5	334	Jun-35	5.55	5.61
335	1.5	335	Jul-35	5.55	5.60
336	1.5	336	Aug-35	5.54	5.60
337	1.5	337	Sep-35	5.54	5.60
338	1.5	338	Oct-35	5.54	5.59
339	1.5	339	Nov-35	5.53	5.59
340	1.5	340	Dec-35	5.53	5.59
341	1.5	341	Jan-36	5.53	5.59
342	1.5	342	Feb-36	5.53	5.58
343	1.5	343	Mar-36	5.52	5.58
344	1.5	344	Apr-36	5.52	5.58
345	1.5	345	May-36	5.52	5.57
346	1.5	346	Jun-36	5.51	5.57
347	1.5	347	Jul-36	5.51	5.57
348	1.5	348	Aug-36	5.51	5.56
349	1.5	349	Sep-36	5.50	5.55
350	1.5	350	Oct-36	5.50	5.55
351	1.5	351	Nov-36	5.50	5.55
352	1.5	352	Dec-36	5.49	5.54
353	1.5	353	Jan-37	5.48	5.54
354	1.5	354	Feb-37	5.48	5.53
355	1.5	355	Mar-37	5.48	5.53
356	1.5	356	Apr-37	5.47	5.52
357	1.5	357	May-37	5.46	5.52
358	1.5	358	Jun-37	5.46	5.52
359	1.5	359	Jul-37	5.46	5.52
360	1.5	360	Aug-37	5.46	5.52

CSMC Asset-Backed Trust 2007-NC1 8-K