THE MORTGAGE POOL
General
References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the mortgage loans as of the Cut-off Date, as applicable.
The mortgage pool consists of five groups of mortgage loans, referred to in this prospectus supplement as “Loan Group 1”, “Loan Group 2,” “Loan Group 3,” “Loan Group 4” and “Loan Group 5” (and each, a “Loan Group”), and also designated as the “Group 1 Loans,” “Group 2 Loans,” “Group 3 Loans,” “Group 4 Loans” and the “Group 5 Loans” respectively. The Mortgage Loans are one- to four-family, adjustable-rate residential mortgage loans secured by first liens on mortgaged properties. The mortgage loans will have original terms to maturity of not greater than 30 years.
The Seller conveyed the mortgage loans to the company on the Closing Date pursuant to the Mortgage Loan Purchase Agreement and the company conveyed the mortgage loans to the trust on the Closing Date pursuant to the Agreement. The Seller made certain representations and warranties with respect to the mortgage loans in the Mortgage Loan Purchase Agreement. These representations and warranties were assigned by the company to the Trustee for the benefit of the Certificateholders. As more particularly described in the prospectus, the Seller has certain repurchase or substitution obligations in connection with a breach of any such representation or warranty, as well as in connection with an omission or defect in respect of certain constituent documents required to be delivered with respect to the mortgage loans, if such breach, omission or defect cannot be cured and it materially and adversely affects the interests of the Certificateholders. In the event the Seller fails to repurchase a mortgage loan, Impac Holdings will be required to do so. See “The Mortgage Pools—Representations by Sellers” in the prospectus.
All of the mortgage loans have scheduled monthly payments due on the Due Date. Each mortgage loan will contain a customary “due-on-sale” clause.
Mortgage Rate Adjustment
The mortgage rate on the mortgage loans will generally adjust monthly, semi-annually or annually commencing after an initial period after origination of one month, six months, one year, two years, three years, five years, seven years or ten years, as applicable, in each case on each applicable adjustment date to a rate equal to the sum, generally rounded to the nearest one-eighth of one percentage point (12.5 basis points), of (i) the related index and (ii) the gross margin. In addition, the mortgage rate on each mortgage loan is subject on its first adjustment date following its origination to an initial rate cap and on each adjustment date thereafter to a periodic rate cap. All of the mortgage loans are also subject to maximum and minimum lifetime mortgage rates. The mortgage loans were generally originated with an initial mortgage rate below the sum of the index at origination and the gross margin. Due to the application of the initial rate caps, periodic rate caps, maximum mortgage rates and minimum mortgage rates, the mortgage rate on any mortgage loan, as adjusted on any related adjustment date, may not equal the sum of the index and the gross margin.
The mortgage rate on a substantial majority of the mortgage loans adjusts based on an index equal to Six-Month LIBOR. In the event that the related index is no longer available, an index that is based on comparable information will be selected by the Master Servicer, to the extent that it is permissible under the terms of the related mortgage and mortgage note.
6
Substantially all of the mortgage loans will not have reached their first adjustment date as of the Closing Date. The initial mortgage rate is generally lower than the rate that would have been produced if the applicable gross margin had been added to the index in effect at origination. Mortgage loans that have not reached their first adjustment date are subject to the initial rate cap on their first adjustment date, and periodic rate caps thereafter.
Indices on the Mortgage Loans
The index applicable to the determination of the mortgage rate on approximately 98.28%, 85.52%, 98.22%, 34.15% and 88.93% (in each case, by aggregate outstanding principal balance of the related mortgage loans as of the Cut-off Date) of the Group 1 Loans, Group 2 Loans, Group 3 Loans, Group 4 Loans and Group 5 Loans, respectively, is the average of the interbank offered rates for six-month United States dollar deposits in the London market as published by Fannie Mae or The Wall Street Journal and, in most cases, as most recently available as of the first business day of the month preceding such adjustment date, or Six-Month LIBOR.
The table below sets forth historical average rates of Six-Month LIBOR for the months indicated as made available from Fannie Mae. The rates are determined from information that is available as of 11:00 a.m. (London time) on the second to last business day of each month. Such average rates may fluctuate significantly from month to month as well as over longer periods and may not increase or decrease in a constant pattern from period to period. There can be no assurance that levels of Six-Month LIBOR published by Fannie Mae, or published on a different reference date would have been at the same levels as those set forth below. The following does not purport to be representative of future levels of Six-Month LIBOR (as published by Fannie Mae). No assurance can be given as to the level of Six-Month LIBOR on any adjustment date or during the life of any mortgage loan based on Six-Month LIBOR.
7
Six-Month LIBOR
Month | 1997 | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 |
January | 5.71% | 5.75% | 5.04% | 6.23% | 5.36% | 1.99% | 1.35% | 1.21% | 2.96% |
February | 5.68 | 5.78 | 5.17 | 6.32 | 4.96 | 2.06 | 1.34 | 1.10 | 3.15 |
March | 5.96 | 5.80 | 5.08 | 6.53 | 4.71 | 2.33 | 1.26 | 1.09 | 3.39 |
April | 6.08 | 5.87 | 5.08 | 6.61 | 4.23 | 2.10 | 1.29 | 1.10 | 3.42 |
May | 6.01 | 5.81 | 5.19 | 7.06 | 3.91 | 2.09 | 1.22 | 1.11 | 3.53 |
June | 5.94 | 5.87 | 5.62 | 7.01 | 3.83 | 1.95 | 1.12 | 1.36 |
|
July | 5.83 | 5.82 | 5.65 | 6.88 | 3.70 | 1.86 | 1.15 | 1.99 |
|
August | 5.86 | 5.69 | 5.90 | 6.83 | 3.48 | 1.82 | 1.21 | 1.99 |
|
September | 5.85 | 5.36 | 5.96 | 6.76 | 2.53 | 1.75 | 1.18 | 2.17 |
|
October | 5.81 | 5.13 | 6.13 | 6.72 | 2.17 | 1.62 | 1.22 | 2.30 |
|
November | 6.04 | 5.28 | 6.04 | 6.68 | 2.10 | 1.47 | 1.25 | 2.62 |
|
December | 6.01 | 5.17 | 6.13 | 6.20 | 1.98 | 1.38 | 1.22 | 2.78 |
|
The index applicable to the determination of the mortgage rate on approximately 1.72%, 14.48%, 1.78%, 65.85% and 10.81% (in each case, by aggregate outstanding principal balance of the related mortgage loans as of the Cut-off Date) of the mortgage loans in Loan Group 1, Loan Group 2, Loan Group 3, Loan Group 4 and Loan Group 5, respectively, is the average of the interbank offered rates for one-year United States dollar deposits in the London market as published by Fannie Mae or The Wall Street Journal and, in most cases, as most recently available as of the first business day of the month preceding such adjustment date, or One-Year LIBOR.
The index applicable to the determination of the mortgage rate on approximately .26% (in each case, by aggregate outstanding principal balance of the related mortgage loans as of the Cut-off Date) of the mortgage loans in Loan Group 5 will be based on One-Month LIBOR. One-Month LIBOR will be a per annum rate equal to the average of interbank offered rates for one-month U.S. dollar-denominated deposits in the London market based on quotations of major banks as published in The Wall Street Journal and are most recently available as of the time specified in the related mortgage note.
Prepayment Charges
All of the mortgage loans in Loan Group 1 and Loan Group 3, none of the mortgage loans in Loan Group 2 and Loan Group 4 and approximately 78.11% of the mortgage loans in Loan Group 5 provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments. Generally, these mortgage loans provide for payment of a prepayment charge on partial or full prepayments made within six months to five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note, and the prepayment charge will generally apply if, in any twelve-month period during the first year, five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of the original principal balance of the mortgage loan. The amount of the prepayment charge will generally be equal to 6 months’ advance interest calculated on the basis of the mortgage rate in effect at the time of the prepayment on the amount prepaid in excess of 20% of the original principal balance of the mortgage loan. The holders of the Class 1-A-X Certificates will be entitled to all prepayment charges received on the group 1 mortgage loans, the holders of the Class 3-A-X Certificates will be entitled to all prepayment charges received on the group 3 mortgage loans, the holders of the Class 5-A-X Certificates will be entitled to all prepayment charges received on the group 5 mortgage loans and these amounts will not be available for distribution on the other classes of certificates. The Master Servicer may waive the collection of any otherwise applicable prepayment charge or reduce the amount thereof actually collected,
8
but only if the Master Servicer does so in compliance with the prepayment charge waiver standards set forth in the Agreement. If the Master Servicer waives any prepayment charge other than in accordance with the standards set forth in the Agreement, the Master Servicer will be required to pay the amount of the waived prepayment charge. There can be no assurance that the prepayment charges will have any effect on the prepayment performance of the mortgage loans.
Primary Mortgage Insurance
Approximately 36.16% of the mortgage loans with a loan-to-value ratio at origination in excess of 80.00% will be insured by one of the following: (1) a Primary Insurance Policy issued by a private mortgage insurer (other than a PMI Insurer Policy) or (2) the PMI Insurer Policy.
Each Primary Insurance Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 90.00% of the lesser of the Appraised Value and the sale price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 12.00% of the Allowable Claim and (B) for which the outstanding principal balance at origination of such mortgage loan exceeded 90.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 20.00% of the Allowable Claim.
See “Primary Mortgage Insurance, Hazard Insurance; Claims Thereunder - Hazard Insurance Policies” in the Prospectus.
The PMI Insurer
Radian Guaranty Inc.
Radian Guaranty Inc., a Pennsylvania corporation with its principal offices in Philadelphia, Pennsylvania, is a private mortgage insurance company and a wholly-owned subsidiary of Radian Group Inc., an insurance holding company listed on the New York Stock Exchange. Radian is licensed in all 50 states and in the District of Columbia to offer such insurance and is approved as a private mortgage insurer by Fannie Mae and Freddie Mac. Radian’s financial strength is rated “AA” by S&P and Fitch Ratings and “Aa3” by Moody’s. Radian’s financial strength currently is not rated by any other rating agency. Each financial strength rating of Radian should be evaluated independently. The ratings reflect the respective rating agencies’ current assessments of the creditworthiness of Radian and its ability to pay claims on its policies of insurance. Any further explanation as to the significance of the above ratings may be obtained only from the applicable rating agency. The above ratings are not recommendations to buy, sell or hold any class of Offered Certificates, and such ratings are subject to revision, qualification or withdrawal at any time by the applicable rating agencies. Any downward revision, qualification or withdrawal of any of the above ratings may have an adverse effect on the market prices of the Offered Certificates. Radian does not guaranty the market prices of the Offered Certificates nor does it guaranty that its financial strength ratings will not be revised, qualified or withdrawn.
Copies of Radian’s quarterly and annual statutory financial statements, which are based on accounting principles that differ in significant respects from generally accepted accounting principles, are available upon request to Radian at Radian Guaranty Inc., 1601 Market Street, Philadelphia, Pennsylvania 19103. Radian’s telephone number is (215) 231-1000.
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The PMI Policy
Approximately 0.10% of the mortgage loans by aggregate principal balance as of the Cut-off Date, are insured by the PMI Insurer pursuant to the PMI Insurer Policy. The mortgage loans covered by the PMI Insurer Policy are referred to as the PMI Mortgage Loans. The insured percentage of the claim varies on a loan-by-loan basis based upon the original loan-to-value ratio of the mortgage loan.
The PMI Insurer Policy will only cover those mortgage loans which meet certain underwriting criteria as determined by the PMI Insurer. The PMI Insurer Policy will be required to remain in force with respect to each PMI Mortgage Loan until (i) the principal balance of the PMI Mortgage Loan is paid in full or liquidated, (ii) upon written notice of cancellation of the PMI Insurer Policy from the insured to the PMI Insurer, (iii) upon written notice of cancellation of the PMI Insurer Policy from the PMI Insurer to the insured or (iv) any event specified in the PMI Insurer Policy occurs that allows for the termination of that PMI Insurer Policy by the PMI Insurer.
The PMI Insurer Policy generally will require that delinquencies on any PMI Mortgage Loan must be reported to the PMI Insurer within fifteen (15) days after such loan is three (3) months in default, and appropriate proceedings to obtain title to the property securing such PMI Mortgage Loan must be commenced within six months of default. The PMI Policy under which the PMI Mortgage Loans are insured will contain provisions substantially as follows: (i) a claim generally includes unpaid principal, accrued interest to the date such claim is presented by the insured, and certain advances and expenses as set forth in the PMI Insurer Policy; (ii) when a claim is presented the PMI Insurer will have the option of either (A) paying the claim in full, taking title to the property securing the PMI Mortgage Loan, and arranging for its sale or (B) paying the insured percentage of the claim with the insured retaining title to the property securing the PMI Mortgage Loan; and (iii) a claim generally must be paid within 60 days after the claim is filed by the insured.
Unless approved in writing by the PMI Insurer, the insured under the PMI Insurer Policy will not be permitted to make any change in the terms of a PMI Mortgage Loan, including the borrowed amount, mortgage rate, term or amortization schedule of the PMI Mortgage Loan, except as specifically permitted by the terms of the related PMI Mortgage Loan; nor make any change in the property or other collateral securing the PMI Mortgage Loan; nor release any mortgagor under the PMI Mortgage Loan from liability. If a PMI Mortgage Loan is assumed with the insured’s approval, the PMI Insurer’s liability for coverage of the PMI Mortgage Loan under the related PMI Insurer Policy generally will terminate as of the date of such assumption, unless the applicable PMI Insurer approves the assumption in writing.
The PMI Insurer Policy specifically excludes coverage of: (i) any claim resulting from a default existing at the inception of coverage or occurring after lapse or cancellation of coverage; and (ii) certain claims involving or arising out of any breach by the insured of its obligations under, or its failure to comply with the terms of, the PMI Insurer Policy or of its obligations as imposed by operation of law and (iii) certain other claims as set forth in the PMI Insurer Policy.
In issuing the PMI Insurer Policy, the PMI Insurer will rely upon certain information and data regarding the PMI Mortgage Loans furnished to the PMI Insurer by the originator. The PMI Policy will not insure against a loss sustained by reason of a default arising from or involving certain matters, including (i) any loss arising in connection with the failure of the borrower to make any payment of principal and interest due under a loan which payment arises because the insured exercised its right to call or accelerate such loan or because the term of such loan is shorter than the amortization period, and which payment is for an amount more than twice the regular periodic payments of principal and interest, (ii) any loss from a loan where a delinquency exists at the effective date of the certificate of insurance, as defined in the PMI Insurer Policy, (iii) misrepresentation or fraud in obtaining such PMI Insurer Policy or
10
negligence in origination or servicing of the PMI Mortgage Loans, including, but not limited to, misrepresentation by the lender or certain other persons involved in the origination of the PMI Mortgage Loan or the application for insurance, or (iv) failure to construct a property securing a PMI Mortgage Loan in accordance with specified plans. In addition, the PMI Insurer Policy will not cover the costs or expenses related to the repair of physical damage to a property securing a PMI Mortgage Loan.
The preceding description of the PMI Policy is only a brief outline and does not purport to summarize or describe all of the provisions, terms and conditions of the PMI Insurer Policy. For a more complete description of these provisions, terms and conditions, reference is made to the PMI Insurer Policy, a copies of which are available upon request from the Indenture Trustee.
Mortgage Loan Characteristics
The mortgage pool is comprised of 2180 mortgage loans, 90 of which are in Loan Group 1, 54 of which are in Loan Group 2, 217 of which are in Loan Group 3, 36 of which are in Loan Group 4 and 1,783 of which are in Loan Group 5. References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the mortgage loans as of the Cut-off Date.
The original mortgages for some of the mortgage loans have been, or in the future may be, at the sole discretion of the Master Servicer, recorded in the name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as nominee for the Seller and its successors and assigns, and subsequent assignments of those mortgages have been, or in the future may be, at the sole discretion of the Master Servicer, registered electronically through the MERS® System. In some other cases, the original mortgage was recorded in the name of the originator of the mortgage loan, record ownership was later assigned to MERS, solely as nominee for the owner of the mortgage loan, and subsequent assignments of the mortgage were, or in the future may be, at the sole discretion of the Master Servicer, registered electronically through the MERS® System. For each of these mortgage loans, MERS serves as mortgagee of record on the mortgage solely as a nominee in an administrative capacity on behalf of the trustee, and does not have any interest in the mortgage loan. Some of the Group 1 Loans and Group 2 Loans were recorded in the name of MERS. For additional information regarding the recording of mortgages in the name of MERS see “Yield on the Certificates—Yield Sensitivity of the Mezzanine Certificates” in the prospectus supplement.
Loan Group 1
The Group 1 Loans had an aggregate principal balance as of the Cut-off Date of approximately $28,749,444, after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 1 Loans are secured by first liens on the related mortgaged property.
The average principal balance of the Group 1 Loans at origination was approximately $319,452. No Group 1 Loan had a principal balance at origination of greater than approximately $1,300,000 or less than approximately $78,100. The average principal balance of the Group 1 Loans as of the Cut-off Date was approximately $319,438. No Group 1 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,300,000 or less than approximately $77,920.
As of the Cut-off Date, the Group 1 Loans had mortgage rates ranging from approximately 4.878% per annum to approximately 6.000% per annum and the weighted average mortgage rate was approximately 5.569% per annum. The weighted average remaining term to stated maturity of the Group 1 Loans was approximately 358 months as of the Cut-off Date. None of the Group 1 Loans will have a first Due Date prior to November 1, 2004, or after July 1, 2005, or will have a remaining term to maturity
11
of less than 352 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 1 Loan is June 1, 2035.
Approximately 1.72%, 91.11% and 4.64% of the Group 1 Loans have initial interest only periods of three, five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to-value ratios at origination of the Group 1 Loans was approximately 69.58%. No loan-to-value ratio at origination of any Group 1 Loan was greater than approximately 85.00% or less than approximately 41.67%.
None of the Group 1 Loans are buydown mortgage loans.
None of the Group 1 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
Substantially all of the Group 1 Loans will not have reached their first adjustment date as of the Closing Date.
Approximately 100% of the Group 1 Loans provide for prepayment charges.
None of the Group 1 Loans are covered as Primary Insurance Policy or the PMI Insurer Policy.
With respect to substantially all of the Group 1 Loans, the minimum mortgage rate is equal to the gross margin.
Set forth below is a description of certain additional characteristics of the Group 1 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 1 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
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Indices
Index for Loans |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
One-Year LIBOR |
| 1 |
| $ 494,400 |
| 1.72% |
| 5.250% |
| 4.845% |
| 682 |
| 80.00% |
| 95.00% |
| 0.00% |
Six-Month LIBOR |
| 89 |
| 28,255,044 |
| 98.28 |
| 5.574 |
| 5.164 |
| 703 |
| 69.40 |
| 81.58 |
| 8.93 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
Principal Balances as of Origination
Principal Balances as of Origination ($) | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
$50,000.01 - $100,000.00 | 4 |
| $ 350,820 |
| 1.22% |
| 5.645% |
| 5.240% |
| 700 |
| 61.38% |
| 78.72% |
| 0.00% |
$100,000.01 - $150,000.00 | 6 |
| 704,232 |
| 2.45 |
| 5.690 |
| 5.285 |
| 730 |
| 71.70 |
| 89.64 |
| 18.74 |
$150,000.01 - $200,000.00 | 12 |
| 2,135,494 |
| 7.43 |
| 5.523 |
| 5.118 |
| 698 |
| 69.21 |
| 80.36 |
| 8.36 |
$200,000.01 - $250,000.00 | 21 |
| 4,638,850 |
| 16.14 |
| 5.570 |
| 5.132 |
| 727 |
| 66.03 |
| 79.01 |
| 9.12 |
$250,000.01 - $300,000.00 | 13 |
| 3,489,107 |
| 12.14 |
| 5.625 |
| 5.220 |
| 695 |
| 68.02 |
| 80.38 |
| 14.93 |
$300,000.01 - $359,699.00 | 5 |
| 1,694,400 |
| 5.89 |
| 5.731 |
| 5.326 |
| 715 |
| 72.10 |
| 86.85 |
| 0.00 |
$359,699.01 - $600,000.00 | 23 |
| 10,876,640 |
| 37.83 |
| 5.574 |
| 5.169 |
| 690 |
| 70.50 |
| 84.14 |
| 3.38 |
$600,000.01 - $800,000.00 | 4 |
| 2,659,900 |
| 9.25 |
| 5.593 |
| 5.188 |
| 669 |
| 72.00 |
| 76.84 |
| 0.00 |
$800,000.01 - $1,000,000.00 | 1 |
| 900,000 |
| 3.13 |
| 4.990 |
| 4.585 |
| 765 |
| 80.00 |
| 80.00 |
| 100.00 |
$1,250,000.01-$1,500,000.00 | 1 |
| 1,300,000 |
| 4.52 |
| 5.500 |
| 5.095 |
| 755 |
| 65.00 |
| 80.00 |
| 0.00 |
Total: | 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of origination, the average principal balance of the Group 1 Loans was approximately $319,452.47.
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Principal Balances as of the Cut-off Date
Current | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
$50,000.01 - $100,000.00 | 4 |
| $ 350,820 |
| 1.22% |
| 5.645% |
| 5.240% |
| 700 |
| 61.38% |
| 78.72% |
| 0.00% |
$100,000.01 - $150,000.00 | 6 |
| 704,232 |
| 2.45 |
| 5.690 |
| 5.285 |
| 730 |
| 71.70 |
| 89.64 |
| 18.74 |
$150,000.01 - $200,000.00 | 12 |
| 2,135,494 |
| 7.43 |
| 5.523 |
| 5.118 |
| 698 |
| 69.21 |
| 80.36 |
| 8.36 |
$200,000.01 - $250,000.00 | 21 |
| 4,638,850 |
| 16.14 |
| 5.570 |
| 5.132 |
| 727 |
| 66.03 |
| 79.01 |
| 9.12 |
$250,000.01 - $300,000.00 | 13 |
| 3,489,107 |
| 12.14 |
| 5.625 |
| 5.220 |
| 695 |
| 68.02 |
| 80.38 |
| 14.93 |
$300,000.01 - $359,699.00 | 5 |
| 1,694,400 |
| 5.89 |
| 5.731 |
| 5.326 |
| 715 |
| 72.10 |
| 86.85 |
| 0.00 |
$359,699.01 - $600,000.00 | 23 |
| 10,876,640 |
| 37.83 |
| 5.574 |
| 5.169 |
| 690 |
| 70.50 |
| 84.14 |
| 3.38 |
$600,000.01 - $800,000.00 | 4 |
| 2,659,900 |
| 9.25 |
| 5.593 |
| 5.188 |
| 669 |
| 72.00 |
| 76.84 |
| 0.00 |
$800,000.01 - $1,000,000.00 | 1 |
| 900,000 |
| 3.13 |
| 4.990 |
| 4.585 |
| 765 |
| 80.00 |
| 80.00 |
| 100.00 |
$1,250,000.01 - $1,500,000.00 | 1 |
| 1,300,000 |
| 4.52 |
| 5.500 |
| 5.095 |
| 755 |
| 65.00 |
| 80.00 |
| 0.00 |
Total: | 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of the Cut-off Date, the average current principal balance of the Group 1 Loans was approximately $319,438.26.
Mortgage Rates
Current Gross | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
4.501 - 5.000 | 4 |
| $ 2,128,000 |
| 7.40% |
| 4.957% |
| 4.552% |
| 738 |
| 73.03% |
| 74.18% |
| 42.29% |
5.001 - 5.500 | 38 |
| 11,442,070 |
| 39.80 |
| 5.408 |
| 4.990 |
| 708 |
| 68.37 |
| 82.02 |
| 5.26 |
5.501 - 6.000 | 48 |
| 15,179,373 |
| 52.80 |
| 5.776 |
| 5.371 |
| 694 |
| 70.02 |
| 82.73 |
| 6.73 |
Total: | 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of the Cut-off Date, the weighted average mortgage rate of the Group 1 Loans was approximately 5.569% per annum.
Next Adjustment Date
Next Adjustment Date |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
October 1, 2007 |
| 1 |
| $ 595,000 |
| 2.07% |
| 4.875% |
| 4.470% |
| 678 |
| 70.00% |
| 70.00% |
| 0.00% |
February 1, 2008 |
| 2 |
| 1,357,250 |
| 4.72 |
| 5.162 |
| 4.757 |
| 759 |
| 76.63 |
| 86.73 |
| 66.31 |
March 1, 2008 |
| 5 |
| 1,696,532 |
| 5.90 |
| 5.545 |
| 5.140 |
| 755 |
| 66.06 |
| 83.86 |
| 0.00 |
April 1, 2008 |
| 38 |
| 12,286,355 |
| 42.74 |
| 5.566 |
| 5.149 |
| 695 |
| 69.54 |
| 81.39 |
| 6.18 |
May 1, 2008 |
| 42 |
| 12,378,007 |
| 43.05 |
| 5.649 |
| 5.244 |
| 696 |
| 69.30 |
| 81.85 |
| 6.97 |
June 1, 2008 |
| 2 |
| 436,300 |
| 1.52 |
| 5.682 |
| 5.277 |
| 765 |
| 70.00 |
| 85.40 |
| 0.00 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 1 Loans was approximately 34 months.
14
Gross Margin
Gross Margin (%) | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2.001 - 2.250 | 2 |
| $ 1,101,640 |
| 3.83% |
| 5.799% |
| 5.394% |
| 711 |
| 78.69% |
| 86.45% |
| 0.00% |
2.251 - 2.500 | 1 |
| 494,400 |
| 1.72 |
| 5.250 |
| 4.845 |
| 682 |
| 80.00 |
| 95.00 |
| 0.00 |
2.501 - 2.750 | 1 |
| 161,000 |
| 0.56 |
| 5.500 |
| 5.095 |
| 744 |
| 70.00 |
| 95.00 |
| 0.00 |
2.751 - 3.000 | 23 |
| 6,840,520 |
| 23.79 |
| 5.529 |
| 5.124 |
| 744 |
| 69.57 |
| 84.01 |
| 6.29 |
3.001 - 3.250 | 12 |
| 5,051,432 |
| 17.57 |
| 5.502 |
| 5.097 |
| 738 |
| 70.25 |
| 84.83 |
| 17.82 |
3.251 - 3.500 | 16 |
| 4,823,200 |
| 16.78 |
| 5.648 |
| 5.243 |
| 693 |
| 66.25 |
| 78.45 |
| 0.00 |
3.501 - 3.750 | 22 |
| 6,750,250 |
| 23.48 |
| 5.631 |
| 5.226 |
| 650 |
| 66.89 |
| 79.96 |
| 9.06 |
3.751 - 4.000 | 5 |
| 1,616,907 |
| 5.62 |
| 5.367 |
| 4.962 |
| 677 |
| 71.16 |
| 76.98 |
| 22.77 |
4.001 - 4.250 | 2 |
| 319,600 |
| 1.11 |
| 5.227 |
| 4.357 |
| 737 |
| 79.97 |
| 88.35 |
| 66.49 |
4.751 - 5.000 | 6 |
| 1,590,494 |
| 5.53 |
| 5.668 |
| 5.263 |
| 683 |
| 75.77 |
| 75.77 |
| 0.00 |
Total: | 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of the Cut-off Date, the weighted average Gross Margin of the Group 1 Loans was approximately 3.404% per annum.
Maximum Mortgage Rate
Maximum Mortgage Rate (%) | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
10.501 - 11.000 | 4 |
| $ 2,128,000 |
| 7.40% |
| 4.957% |
| 4.552% |
| 738 |
| 73.03% |
| 74.18% |
| 42.29% |
11.001 - 11.500 | 38 |
| 11,670,570 |
| 40.59 |
| 5.422 |
| 5.017 |
| 706 |
| 68.13 |
| 81.89 |
| 3.33 |
11.501 - 12.000 | 47 |
| 14,738,373 |
| 51.26 |
| 5.781 |
| 5.376 |
| 695 |
| 70.02 |
| 82.81 |
| 6.93 |
12.001 or more | 1 |
| 212,500 |
| 0.74 |
| 5.090 |
| 3.985 |
| 719 |
| 85.00 |
| 85.00 |
| 100.00 |
Total: | 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 1 Loans was approximately 11.581% per annum.
Original Interest Only Term
Original Interest Only Term (months) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
0 |
| 4 |
| $ 726,822 |
| 2.53% |
| 5.585% |
| 5.180% |
| 644 |
| 72.17% |
| 74.32% |
| 0.00% |
36 |
| 1 |
| 494,400 |
| 1.72 |
| 5.250 |
| 4.845 |
| 682 |
| 80.00 |
| 95.00 |
| 0.00 |
60 |
| 81 |
| 26,192,940 |
| 91.11 |
| 5.569 |
| 5.158 |
| 704 |
| 69.10 |
| 81.41 |
| 9.63 |
120 |
| 4 |
| 1,335,282 |
| 4.64 |
| 5.683 |
| 5.278 |
| 717 |
| 73.85 |
| 88.85 |
| 0.00 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
15
Initial Rate Cap
First Adjustment Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2.000 |
| 1 |
| $ 494,400 |
| 1.72% |
| 5.250% |
| 4.845% |
| 682 |
| 80.00% |
| 95.00% |
| 0.00% |
3.000 |
| 86 |
| 26,940,904 |
| 93.71 |
| 5.569 |
| 5.164 |
| 703 |
| 68.90 |
| 81.35 |
| 8.57 |
6.000 |
| 3 |
| 1,314,140 |
| 4.57 |
| 5.684 |
| 5.166 |
| 713 |
| 79.71 |
| 86.22 |
| 16.17 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
Subsequent Rate Cap
Subsequent Rate Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1.000 |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
Original Loan-to-Value Ratios
Original LTV (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
50.00 or less |
| 5 |
| $ 1,041,000 |
| 3.62% |
| 5.566% |
| 5.161% |
| 646 |
| 47.58% |
| 47.58% |
| 0.00% |
50.01 - 55.00 |
| 2 |
| 739,250 |
| 2.57 |
| 5.591 |
| 5.186 |
| 705 |
| 53.97 |
| 59.96 |
| 0.00 |
55.01 - 60.00 |
| 5 |
| 1,125,000 |
| 3.91 |
| 5.547 |
| 5.142 |
| 713 |
| 57.68 |
| 57.68 |
| 0.00 |
60.01 - 65.00 |
| 7 |
| 2,835,257 |
| 9.86 |
| 5.506 |
| 5.101 |
| 696 |
| 64.46 |
| 73.13 |
| 0.00 |
65.01 - 70.00 |
| 54 |
| 17,164,252 |
| 59.70 |
| 5.586 |
| 5.181 |
| 704 |
| 69.98 |
| 85.83 |
| 3.83 |
70.01 - 75.00 |
| 2 |
| 554,500 |
| 1.93 |
| 5.443 |
| 5.038 |
| 722 |
| 72.03 |
| 81.88 |
| 0.00 |
75.01 - 80.00 |
| 14 |
| 5,077,684 |
| 17.66 |
| 5.582 |
| 5.177 |
| 708 |
| 79.61 |
| 88.48 |
| 32.54 |
80.01 - 85.00 |
| 1 |
| 212,500 |
| 0.74 |
| 5.090 |
| 3.985 |
| 719 |
| 85.00 |
| 85.00 |
| 100.00 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
The minimum and maximum loan-to-value ratios of the Group 1 Loans at origination were approximately 41.67% and 85.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 1 Loans at origination was approximately 69.58%.
16
Occupancy Types
Occupancy types |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Investor |
| 41 |
| $ 13,125,335 |
| 45.65% |
| 5.578% |
| 5.173% |
| 710 |
| 69.03% |
| 80.10% |
| 2.96% |
Primary |
| 44 |
| 14,309,509 |
| 49.77 |
| 5.555 |
| 5.139 |
| 701 |
| 70.74 |
| 83.75 |
| 14.91 |
Secondary |
| 5 |
| 1,314,600 |
| 4.57 |
| 5.631 |
| 5.226 |
| 648 |
| 62.50 |
| 77.77 |
| 0.00 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
Occupancy type is based on the representation of the borrower at the time of origination.
Mortgage Loan Program and Documentation Type
Mortgage Loan Program and Document Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Express No Doc |
| 2 |
| $ 420,580 |
| 1.46% |
| 5.558% |
| 5.153% |
| 630 |
| 69.30% |
| 69.30% |
| 0.00% |
Express No Doc Verified Assets |
| 1 |
| 237,000 |
| 0.82 |
| 6.000 |
| 5.595 |
| 695 |
| 57.81 |
| 57.81 |
| 0.00 |
Express Non Verified Assets |
| 3 |
| 982,300 |
| 3.42 |
| 5.787 |
| 5.382 |
| 701 |
| 75.22 |
| 75.22 |
| 0.00 |
Express Verified Assets |
| 4 |
| 1,125,100 |
| 3.91 |
| 5.708 |
| 5.303 |
| 694 |
| 67.72 |
| 82.74 |
| 0.00 |
Full |
| 8 |
| 2,522,450 |
| 8.77 |
| 5.367 |
| 4.904 |
| 720 |
| 77.76 |
| 90.05 |
| 100.00 |
Stated |
| 67 |
| 21,832,014 |
| 75.94 |
| 5.566 |
| 5.161 |
| 704 |
| 68.63 |
| 81.69 |
| 0.00 |
SISA |
| 5 |
| 1,630,000 |
| 5.67 |
| 5.633 |
| 5.228 |
| 688 |
| 69.37 |
| 80.69 |
| 0.00 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
See “—Underwriting Standards” below for a detailed description of the Seller’s loan programs and documentation requirements.
17
Credit Grade Category
Credit Quality | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
A(1) | 29 |
| $ 9,341,444 |
| 32.49% |
| 5.546% |
| 5.141% |
| 653 |
| 68.25% |
| 77.66% |
| 10.48% |
A-(1) | 1 |
| 273,707 |
| 0.95 |
| 5.625 |
| 5.220 |
| 609 |
| 63.43 |
| 63.43 |
| 0.00 |
A+(1) | 54 |
| 17,495,192 |
| 60.85 |
| 5.561 |
| 5.147 |
| 732 |
| 70.78 |
| 84.88 |
| 8.82 |
Progressive Express I(2) | 4 |
| 854,100 |
| 2.97 |
| 5.782 |
| 5.377 |
| 760 |
| 63.86 |
| 70.53 |
| 0.00 |
Progressive Express II(2) | 2 |
| 785,000 |
| 2.73 |
| 5.768 |
| 5.363 |
| 628 |
| 67.13 |
| 81.40 |
| 0.00 |
Total: | 90 |
| $28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
_________________
(1) All of these Group 1 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A and A- correspond to Progressive Series I+, I and II, and III, respectively.
(2) These Group 1 Loans were originated under the Seller’s Progressive Express™ Program. The underwriting for these Group 1 Loans is generally based on the borrower’s “Credit Score” score and therefore these Group 1 Loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi™ Program has been placed in Progressive Express™ Program II.
See “—Underwriting Standards” below for a description of the Seller’s risk categories.
Property Types
Mortgage Properties |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Townhouse |
| 1 |
| $ 532,000 |
| 1.85% |
| 5.625% |
| 5.220% |
| 643 |
| 70.00% |
| 85.00% |
| 0.00% |
Condominium |
| 11 |
| 2,527,000 |
| 8.79 |
| 5.385 |
| 4.980 |
| 722 |
| 68.66 |
| 84.60 |
| 0.00 |
PUD |
| 17 |
| 5,324,790 |
| 18.52 |
| 5.474 |
| 5.069 |
| 705 |
| 71.81 |
| 81.52 |
| 24.21 |
Single Family |
| 43 |
| 13,117,203 |
| 45.63 |
| 5.624 |
| 5.207 |
| 697 |
| 69.28 |
| 82.21 |
| 9.40 |
Two- to Four Family |
| 18 |
| 7,248,450 |
| 25.21 |
| 5.599 |
| 5.194 |
| 710 |
| 68.79 |
| 80.10 |
| 0.00 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
18
Geographic Distribution of Mortgaged Properties
Geographical Distribution (Top 5) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
California |
| 60 |
| $ 22,001,561 |
| 76.53% |
| 5.547% |
| 5.142% |
| 704 |
| 69.47% |
| 80.33% |
| 6.91% |
Nevada |
| 5 |
| 1,686,350 |
| 5.87 |
| 5.707 |
| 5.302 |
| 676 |
| 70.00 |
| 84.65 |
| 12.49 |
Florida |
| 8 |
| 1,432,900 |
| 4.98 |
| 5.546 |
| 5.141 |
| 701 |
| 65.52 |
| 77.97 |
| 0.00 |
Arizona |
| 4 |
| 921,480 |
| 3.21 |
| 5.676 |
| 5.271 |
| 683 |
| 72.12 |
| 82.07 |
| 0.00 |
Illinois |
| 3 |
| 708,700 |
| 2.47 |
| 5.759 |
| 5.354 |
| 733 |
| 69.84 |
| 94.71 |
| 0.00 |
Other |
| 10 |
| 1,998,452 |
| 6.95 |
| 5.597 |
| 5.118 |
| 717 |
| 72.19 |
| 93.82 |
| 39.62 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
No more than approximately 4.52% of the Group 1 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Debt-to-Income | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
<= 0.00 | 16 |
| $ 4,267,330 |
| 14.84% |
| 5.579% |
| 5.174% |
| 697 |
| 67.09% |
| 78.11% |
| 0.00% |
0.01 - 5.00 | 1 |
| 225,000 |
| 0.78 |
| 5.500 |
| 5.095 |
| 638 |
| 60.00 |
| 60.00 |
| 0.00 |
10.01 - 15.00 | 1 |
| 434,000 |
| 1.51 |
| 5.500 |
| 5.095 |
| 721 |
| 70.00 |
| 80.00 |
| 0.00 |
15.01 - 20.00 | 1 |
| 536,250 |
| 1.87 |
| 5.625 |
| 5.220 |
| 693 |
| 53.63 |
| 61.88 |
| 0.00 |
20.01 - 25.00 | 5 |
| 1,788,500 |
| 6.22 |
| 5.451 |
| 5.046 |
| 719 |
| 70.00 |
| 83.35 |
| 0.00 |
25.01 - 30.00 | 5 |
| 1,164,721 |
| 4.05 |
| 5.682 |
| 5.277 |
| 654 |
| 65.20 |
| 74.29 |
| 0.00 |
30.01 - 35.00 | 10 |
| 3,372,420 |
| 11.73 |
| 5.431 |
| 5.026 |
| 675 |
| 67.76 |
| 79.09 |
| 0.00 |
35.01 - 40.00 | 13 |
| 4,488,732 |
| 15.61 |
| 5.608 |
| 5.203 |
| 683 |
| 68.02 |
| 79.49 |
| 0.00 |
40.01 - 45.00 | 18 |
| 5,671,750 |
| 19.73 |
| 5.602 |
| 5.197 |
| 711 |
| 73.76 |
| 83.49 |
| 15.87 |
45.01 - 50.00 | 16 |
| 4,408,240 |
| 15.33 |
| 5.617 |
| 5.179 |
| 731 |
| 74.58 |
| 95.14 |
| 36.80 |
50.01 - 55.00 | 4 |
| 2,392,500 |
| 8.32 |
| 5.542 |
| 5.137 |
| 735 |
| 66.66 |
| 77.43 |
| 0.00 |
Total: | 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of the Cut-off Date, the non-zero weighted average debt-to-income ratio of the Group 1 Loans was approximately 38.82% per annum.
Original Prepayment Penalty
Original Prepayment Penalty Term (months) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
7 |
| 1 |
| $ 427,640 |
| 1.49% |
| 5.875% |
| 5.470% |
| 759 |
| 79.93% |
| 99.91% |
| 0.00% |
12 |
| 40 |
| 14,154,707 |
| 49.23 |
| 5.478 |
| 5.073 |
| 701 |
| 68.64 |
| 80.20 |
| 11.94 |
24 |
| 13 |
| 3,387,050 |
| 11.78 |
| 5.687 |
| 5.282 |
| 728 |
| 71.31 |
| 87.03 |
| 7.44 |
36 |
| 36 |
| 10,780,047 |
| 37.50 |
| 5.639 |
| 5.220 |
| 695 |
| 69.87 |
| 81.57 |
| 5.39 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
19
Months Remaining to Scheduled Maturity
Months Remaining to Maturity |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
351 - 355 |
| 1 |
| $ 595,000 |
| 2.07% |
| 4.875% |
| 4.470% |
| 678 |
| 70.00% |
| 70.00% |
| 0.00% |
356 - 360 |
| 89 |
| 28,154,444 |
| 97.93 |
| 5.583 |
| 5.173 |
| 703 |
| 69.58 |
| 82.06 |
| 8.96 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 1 Loans was approximately 358 months.
Credit Scores
Credit Scores |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
601 - 620 |
| 1 |
| $ 273,707 |
| 0.95% |
| 5.625% |
| 5.220% |
| 609 |
| 63.43% |
| 63.43% |
| 0.00% |
621 - 640 |
| 8 |
| 3,030,980 |
| 10.54 |
| 5.587 |
| 5.182 |
| 632 |
| 67.63 |
| 73.50 |
| 0.00 |
641 - 660 |
| 13 |
| 4,397,500 |
| 15.30 |
| 5.588 |
| 5.183 |
| 651 |
| 67.07 |
| 78.93 |
| 14.48 |
661 - 680 |
| 10 |
| 2,697,964 |
| 9.38 |
| 5.495 |
| 5.090 |
| 671 |
| 70.56 |
| 81.36 |
| 12.70 |
681 - 700 |
| 11 |
| 4,342,400 |
| 15.10 |
| 5.704 |
| 5.299 |
| 688 |
| 69.95 |
| 78.90 |
| 0.00 |
701 - 720 |
| 10 |
| 2,850,650 |
| 9.92 |
| 5.630 |
| 5.173 |
| 712 |
| 70.75 |
| 85.58 |
| 7.45 |
721 - 740 |
| 10 |
| 2,747,100 |
| 9.56 |
| 5.552 |
| 5.147 |
| 729 |
| 69.12 |
| 81.20 |
| 9.17 |
741 - 760 |
| 10 |
| 3,622,010 |
| 12.60 |
| 5.569 |
| 5.164 |
| 752 |
| 70.00 |
| 87.57 |
| 0.00 |
761 or more |
| 17 |
| 4,787,132 |
| 16.65 |
| 5.428 |
| 5.023 |
| 774 |
| 71.86 |
| 87.41 |
| 22.53 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of the Cut-off Date, the weighted average credit score of the Group 1 Loans for which credit scores are available was approximately 703.
Range of Months to Roll
Range of Months to Roll |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
25 - 36 |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
As of the Cut-off Date, the weighted average months to roll of the Group 1 Loans was approximately 34 months.
20
Loan Purposes
Loan Purpose |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Purchase |
| 56 |
| $ 16,980,322 |
| 59.06% |
| 5.571% |
| 5.166% |
| 719 |
| 70.35% |
| 86.20% |
| 7.53% |
Cash Out Refinance |
| 29 |
| 10,285,521 |
| 35.78 |
| 5.542 |
| 5.122 |
| 677 |
| 67.92 |
| 74.86 |
| 10.82 |
Rate/Term Refinance |
| 5 |
| 1,483,600 |
| 5.16 |
| 5.727 |
| 5.322 |
| 699 |
| 72.33 |
| 79.71 |
| 8.90 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
Amortization Type
Amortization Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Interest Only |
| 86 |
| $ 28,022,622 |
| 97.47% |
| 5.568% |
| 5.158% |
| 704 |
| 69.52% |
| 82.01% |
| 9.00% |
Fully Amortizing |
| 4 |
| 726,822 |
| 2.53 |
| 5.585 |
| 5.180 |
| 644 |
| 72.17 |
| 74.32 |
| 0.00 |
Total: |
| 90 |
| $ 28,749,444 |
| 100.00% |
| 5.569% |
| 5.159% |
| 703 |
| 69.58% |
| 81.81% |
| 8.77% |
21
In general, in the case of a mortgage loan made for “rate and term” refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for “cash-out” refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial.
Loan Group 2
The Group 2 Loans had an aggregate principal balance as of the Cut-off Date of approximately $20,608,783 after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 2 Loans are secured by first liens on the related mortgaged property.
The average principal balance of the Group 2 Loans at origination was approximately $381,663. No Group 2 Loan had a principal balance at origination of greater than approximately $1,135,000 or less than approximately $94,500. The average principal balance of the Group 2 Loans as of the Cut-off Date was approximately $381,644. No Group 2 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,135,000 or less than approximately $94,500.
As of the Cut-off Date, the Group 2 Loans had mortgage rates ranging from approximately 4.750% per annum to approximately 6.115% per annum and the weighted average mortgage rate was approximately 5.663% per annum. The weighted average remaining term to stated maturity of the Group 2 Loans was approximately 358 months as of the Cut-off Date. None of the Group 2 Loans will have a first Due Date prior to March 1, 2005, or after June 1, 2005, or will have a remaining term to maturity of less than 356 months or greater than 359 months as of the Cut-off Date. The latest maturity date of any Group 2 Loan is May 1, 2035.
Approximately 14.48%, 28.89% and 56.64% of the Group 2 Loans have initial interest only periods of ten months, three, five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to-value ratios at origination of the Group 2 Loans was approximately 72.87%. No loan-to-value ratio at origination of any Group 2 Loan was greater than approximately 93.58% or less than approximately 35.72%.
None of the Group 2 Loans are buydown mortgage loans.
None of the Group 2 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
Substantially all of the Group 2 Loans will not have reached their first adjustment date as of the Closing Date.
None of the Group 2 Loans provide for prepayment charges.
Approximately 3.45% of the Group 2 Loans are covered by a Primary Insurance Policy. None of the Group 2 Loans, are covered by the PMI Insurer Policy.
22
With respect to substantially all of the Group 2 Loans, the minimum mortgage rate is equal to the gross margin.
Set forth below is a description of certain additional characteristics of the Group 2 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 2 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
23
Indices
Index for Loans |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1 YR LIBOR |
| 14 |
| $ 2,983,150 |
| 14.48% |
| 5.549% |
| 5.144% |
| 708 |
| 79.83% |
| 92.25% |
| 6.27% |
6 MO LIBOR |
| 40 |
| 17,625,633 |
| 85.52 |
| 5.682 |
| 5.277 |
| 721 |
| 71.69 |
| 80.15 |
| 8.75 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Principal Balances as of Origination
Principal Balance as of Origination ($) | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
$50,000.01 - $100,000.00 | 1 |
| $ 94,500 |
| 0.46% |
| 5.500% |
| 5.095% |
| 688 |
| 75.00% |
| 100.00% |
| 0.00% |
$100,000.01 - $150,000.00 | 2 |
| 249,300 |
| 1.21 |
| 6.000 |
| 5.595 |
| 723 |
| 73.84 |
| 98.69 |
| 0.00 |
$150,000.01 - $200,000.00 | 7 |
| 1,230,250 |
| 5.97 |
| 5.784 |
| 5.379 |
| 715 |
| 76.28 |
| 86.53 |
| 15.21 |
$200,000.01 - $250,000.00 | 10 |
| 2,308,500 |
| 11.20 |
| 5.444 |
| 5.039 |
| 717 |
| 73.39 |
| 86.36 |
| 0.00 |
$250,000.01 - $300,000.00 | 7 |
| 1,916,900 |
| 9.30 |
| 5.718 |
| 5.313 |
| 703 |
| 77.18 |
| 82.95 |
| 0.00 |
$300,000.01 - $359,699.00 | 7 |
| 2,329,650 |
| 11.30 |
| 5.672 |
| 5.267 |
| 735 |
| 67.06 |
| 71.71 |
| 15.02 |
$359,699.01 - $600,000.00 | 12 |
| 5,982,300 |
| 29.03 |
| 5.664 |
| 5.259 |
| 725 |
| 76.41 |
| 88.69 |
| 9.09 |
$600,000.01 - $800,000.00 | 5 |
| 3,446,383 |
| 16.72 |
| 5.635 |
| 5.230 |
| 708 |
| 76.60 |
| 86.66 |
| 18.81 |
$800,000.01 - $1,000,000.00 | 2 |
| 1,916,000 |
| 9.30 |
| 5.817 |
| 5.412 |
| 751 |
| 59.54 |
| 62.21 |
| 0.00 |
$1,000,000.01-$1,250,000.00 | 1 |
| 1,135,000 |
| 5.51 |
| 5.625 |
| 5.220 |
| 673 |
| 64.86 |
| 64.86 |
| 0.00 |
Total: | 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of origination, the average principal balance of the Group 2 Loans was approximately $381,662.96.
24
Principal Balances as of the Cut-off Date
Current | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
$50,000.01 - $100,000.00 | 1 |
| $ 94,500 |
| 0.46% |
| 5.500% |
| 5.095% |
| 688 |
| 75.00% |
| 100.00% |
| 0.00% |
$100,000.01 - $150,000.00 | 2 |
| 249,300 |
| 1.21 |
| 6.000 |
| 5.595 |
| 723 |
| 73.84 |
| 98.69 |
| 0.00 |
$150,000.01 - $200,000.00 | 7 |
| 1,230,250 |
| 5.97 |
| 5.784 |
| 5.379 |
| 715 |
| 76.28 |
| 86.53 |
| 15.21 |
$200,000.01 - $250,000.00 | 10 |
| 2,308,500 |
| 11.20 |
| 5.444 |
| 5.039 |
| 717 |
| 73.39 |
| 86.36 |
| 0.00 |
$250,000.01 - $300,000.00 | 7 |
| 1,916,900 |
| 9.30 |
| 5.718 |
| 5.313 |
| 703 |
| 77.18 |
| 82.95 |
| 0.00 |
$300,000.01 - $359,699.00 | 7 |
| 2,329,650 |
| 11.30 |
| 5.672 |
| 5.267 |
| 735 |
| 67.06 |
| 71.71 |
| 15.02 |
$359,699.01 - $600,000.00 | 12 |
| 5,982,300 |
| 29.03 |
| 5.664 |
| 5.259 |
| 725 |
| 76.41 |
| 88.69 |
| 9.09 |
$600,000.01 - $800,000.00 | 5 |
| 3,446,383 |
| 16.72 |
| 5.635 |
| 5.230 |
| 708 |
| 76.60 |
| 86.66 |
| 18.81 |
$800,000.01 - $1,000,000.00 | 2 |
| 1,916,000 |
| 9.30 |
| 5.817 |
| 5.412 |
| 751 |
| 59.54 |
| 62.21 |
| 0.00 |
$1,000,000.01-$1,250,000.00 | 1 |
| 1,135,000 |
| 5.51 |
| 5.625 |
| 5.220 |
| 673 |
| 64.86 |
| 64.86 |
| 0.00 |
Total: | 54 |
| $20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the average current principal balance of the Group 2 Loans was approximately $381,644.14.
Mortgage Rates
Current Gross |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
4.501% - 5.000% |
| 4 |
| $ 1,296,733 |
| 6.29% |
| 4.856% |
| 4.451% |
| 706 |
| 73.80% |
| 91.62% |
| 49.99% |
5.001% - 5.500% |
| 10 |
| 3,370,750 |
| 16.36 |
| 5.364 |
| 4.959 |
| 709 |
| 69.62 |
| 76.35 |
| 0.00 |
5.501% - 6.000% |
| 39 |
| 15,781,650 |
| 76.58 |
| 5.788 |
| 5.383 |
| 722 |
| 73.47 |
| 82.11 |
| 6.85 |
6.001% - 6.500% |
| 1 |
| 159,650 |
| 0.77 |
| 6.115 |
| 5.710 |
| 728 |
| 74.99 |
| 100.00 |
| 0.00 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the weighted average mortgage rate of the Group 2 Loans was approximately 5.663% per annum.
Next Adjustment Date
Next Adjustment Date |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2008-02-01 |
| 1 |
| $ 201,200 |
| 0.98% |
| 5.875% |
| 5.470% |
| 701 |
| 80.00% |
| 100.00% |
| 0.00% |
2008-03-01 |
| 1 |
| 980,000 |
| 4.76 |
| 6.000 |
| 5.595 |
| 725 |
| 40.00 |
| 40.00 |
| 0.00 |
2008-04-01 |
| 26 |
| 9,177,733 |
| 44.53 |
| 5.592 |
| 5.187 |
| 720 |
| 77.37 |
| 88.15 |
| 7.06 |
2008-05-01 |
| 26 |
| 10,249,850 |
| 49.74 |
| 5.690 |
| 5.285 |
| 718 |
| 71.84 |
| 79.97 |
| 10.55 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 2 Loans was approximately 34 months.
25
Gross Margin
Gross Margin (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2.001% - 2.250% |
| 31 |
| $ 14,168,850 |
| 68.75% |
| 5.717% |
| 5.312% |
| 724 |
| 73.98% |
| 83.34% |
| 3.84% |
2.251% - 2.500% |
| 2 |
| 385,000 |
| 1.87 |
| 5.420 |
| 5.015 |
| 727 |
| 70.00 |
| 80.91 |
| 0.00 |
2.501% - 2.750% |
| 1 |
| 311,000 |
| 1.51 |
| 5.625 |
| 5.220 |
| 706 |
| 55.04 |
| 55.04 |
| 0.00 |
2.751% - 3.000% |
| 7 |
| 2,627,800 |
| 12.75 |
| 5.601 |
| 5.196 |
| 726 |
| 69.04 |
| 76.17 |
| 13.32 |
3.001% - 3.250% |
| 9 |
| 2,124,933 |
| 10.31 |
| 5.424 |
| 5.019 |
| 695 |
| 79.86 |
| 90.31 |
| 39.31 |
3.251% - 3.500% |
| 1 |
| 201,200 |
| 0.98 |
| 5.875 |
| 5.470 |
| 701 |
| 80.00 |
| 100.00 |
| 0.00 |
3.501% - 3.750% |
| 3 |
| 790,000 |
| 3.83 |
| 5.611 |
| 5.206 |
| 670 |
| 53.52 |
| 59.08 |
| 0.00 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the weighted average Gross Margin of the Group 2 Loans was approximately 2.528% per annum.
Maximum Mortgage Rate
Maximum Mortgage Rate (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
10.001% - 10.500% |
| 1 |
| $ 594,500 |
| 2.88% |
| 5.500% |
| 5.095% |
| 691 |
| 79.99% |
| 94.98% |
| 0.00% |
10.501% - 11.000% |
| 12 |
| 5,726,583 |
| 27.79 |
| 5.571 |
| 5.166 |
| 733 |
| 78.48 |
| 91.36 |
| 11.32 |
11.001% - 11.500% |
| 9 |
| 2,776,250 |
| 13.47 |
| 5.335 |
| 4.930 |
| 713 |
| 67.40 |
| 72.37 |
| 0.00 |
11.501% - 12.000% |
| 31 |
| 11,351,800 |
| 55.08 |
| 5.791 |
| 5.386 |
| 715 |
| 70.97 |
| 78.53 |
| 9.52 |
12.001% or more |
| 1 |
| 159,650 |
| 0.77 |
| 6.115 |
| 5.710 |
| 728 |
| 74.99 |
| 100.00 |
| 0.00 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 2 Loans was approximately 11.419% per annum.
Original Interest Only Term
Original Interest Only Term (months) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
36 |
| 14 |
| $ 2,983,150 |
| 14.48% |
| 5.549% |
| 5.144% |
| 708 |
| 79.83% |
| 92.25% |
| 6.27% |
60 |
| 18 |
| 5,953,683 |
| 28.89 |
| 5.497 |
| 5.092 |
| 709 |
| 68.13 |
| 76.55 |
| 16.77 |
120 |
| 22 |
| 11,671,950 |
| 56.64 |
| 5.776 |
| 5.371 |
| 727 |
| 73.51 |
| 81.99 |
| 4.66 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
26
Initial Rate Cap
First Adjustment Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2.000% |
| 14 |
| $ 2,983,150 |
| 14.48% |
| 5.549% |
| 5.144% |
| 708 |
| 79.83% |
| 92.25% |
| 6.27% |
3.000% |
| 15 |
| 4,912,183 |
| 23.84 |
| 5.482 |
| 5.077 |
| 711 |
| 67.19 |
| 76.35 |
| 20.32 |
5.000% |
| 11 |
| 5,754,850 |
| 27.92 |
| 5.722 |
| 5.317 |
| 729 |
| 79.89 |
| 91.13 |
| 0.00 |
6.000% |
| 14 |
| 6,958,600 |
| 33.77 |
| 5.791 |
| 5.386 |
| 721 |
| 68.09 |
| 73.76 |
| 7.82 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Subsequent Rate Cap
Subsequent Rate Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1.000 |
| 50 |
| $ 19,789,483 |
| 96.02% |
| 5.656% |
| 5.251% |
| 721 |
| 72.36% |
| 81.61% |
| 8.74% |
2.000 |
| 4 |
| 819,300 |
| 3.98 |
| 5.820 |
| 5.415 |
| 665 |
| 85.29 |
| 89.01 |
| 0.00 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Original Loan-to-Value Ratios
Original LTV (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
50.00% or less |
| 2 |
| $ 1,230,000 |
| 5.97% |
| 5.898% |
| 5.493% |
| 730 |
| 39.13% |
| 39.13% |
| 0.00% |
55.01% - 60.00% |
| 4 |
| 1,295,650 |
| 6.29 |
| 5.565 |
| 5.160 |
| 680 |
| 57.62 |
| 57.62 |
| 0.00 |
60.01% - 65.00% |
| 4 |
| 2,209,500 |
| 10.72 |
| 5.585 |
| 5.180 |
| 712 |
| 64.85 |
| 67.34 |
| 0.00 |
65.01% - 70.00% |
| 9 |
| 2,837,800 |
| 13.77 |
| 5.644 |
| 5.239 |
| 718 |
| 69.73 |
| 79.36 |
| 12.33 |
70.01% - 75.00% |
| 8 |
| 2,069,333 |
| 10.04 |
| 5.257 |
| 4.852 |
| 719 |
| 74.10 |
| 92.69 |
| 31.32 |
75.01% - 80.00% |
| 24 |
| 10,255,550 |
| 49.76 |
| 5.740 |
| 5.335 |
| 727 |
| 79.94 |
| 91.14 |
| 5.30 |
85.01% - 90.00% |
| 2 |
| 523,800 |
| 2.54 |
| 5.759 |
| 5.354 |
| 668 |
| 90.00 |
| 90.00 |
| 0.00 |
90.01% - 95.00% |
| 1 |
| 187,150 |
| 0.91 |
| 6.000 |
| 5.595 |
| 701 |
| 93.58 |
| 93.58 |
| 100.00 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
The minimum and maximum loan-to-value ratios of the Group 2 Loans at origination were approximately 35.72% and 93.58%, respectively, and the weighted average of the loan-to-value ratios of the Group 2 Loans at origination was approximately 72.87%.
27
Occupancy Types
Occupancy types |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Investor |
| 12 |
| $ 4,280,950 |
| 20.77% |
| 5.672% |
| 5.267% |
| 728 |
| 57.82% |
| 59.91% |
| 8.18% |
Primary |
| 40 |
| 15,881,633 |
| 77.06 |
| 5.667 |
| 5.262 |
| 717 |
| 76.84 |
| 88.00 |
| 8.69 |
Secondary |
| 2 |
| 446,200 |
| 2.17 |
| 5.407 |
| 5.002 |
| 717 |
| 76.08 |
| 76.08 |
| 0.00 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Occupancy type is based on the representation of the borrower at the time of origination.
Mortgage Loan Program and Documentation Type
Mortgage Loan Program and Documentation Type | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Express No Doc | 4 |
| $ 1,217,500 |
| 5.91% |
| 5.557% |
| 5.152% |
| 733 |
| 71.23% |
| 75.75% |
| 0.00% |
Express Non Verified Assets | 2 |
| 732,000 |
| 3.55 |
| 5.718 |
| 5.313 |
| 746 |
| 80.00 |
| 84.59 |
| 0.00 |
Express Verified Assets | 8 |
| 1,703,500 |
| 8.27 |
| 5.651 |
| 5.246 |
| 692 |
| 71.37 |
| 79.16 |
| 0.00 |
Full | 4 |
| 1,729,333 |
| 8.39 |
| 5.402 |
| 4.997 |
| 715 |
| 76.77 |
| 90.94 |
| 100.00 |
Stated | 36 |
| 15,226,450 |
| 73.88 |
| 5.700 |
| 5.295 |
| 720 |
| 72.38 |
| 81.55 |
| 0.00 |
Total: | 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
See “—Underwriting Standards” below for a detailed description of the Seller’s loan programs and documentation requirements.
Credit Grade Category
Credit Quality |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
A |
| 7 |
| $ 2,494,300 |
| 12.10% |
| 5.697% |
| 5.292% |
| 661 |
| 70.90% |
| 73.88% |
| 0.00% |
A+ |
| 47 |
| 18,114,483 |
| 87.90 |
| 5.658 |
| 5.253 |
| 727 |
| 73.14 |
| 83.01 |
| 9.55 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
_________________
(1) All of these Group 2 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+ and A, correspond to Progressive Series I+, and I and II, respectively.
See “—Underwriting Standards” below for a description of the Seller’s risk categories. |
28
Property Types
Mortgage Properties | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Condominium | 7 |
| $ 2,195,850 |
| 10.65% |
| 5.811% |
| 5.406% |
| 732 |
| 78.84% |
| 96.04% |
| 0.00% |
PUD | 7 |
| 1,905,900 |
| 9.25 |
| 5.443 |
| 5.038 |
| 711 |
| 79.00 |
| 95.49 |
| 9.82 |
Single Family | 34 |
| 14,489,383 |
| 70.31 |
| 5.686 |
| 5.281 |
| 717 |
| 72.55 |
| 80.62 |
| 10.64 |
Two- to Four Family | 6 |
| 2,017,650 |
| 9.79 |
| 5.544 |
| 5.139 |
| 730 |
| 62.90 |
| 62.90 |
| 0.00 |
Total: | 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Geographic Distribution of Mortgaged Properties
Geographical Distribution (Top 5) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
California |
| 39 |
| $ 17,321,633 |
| 84.05% |
| 5.670% |
| 5.265% |
| 724 |
| 72.63% |
| 81.18% |
| 8.90% |
Georgia |
| 7 |
| 1,506,600 |
| 7.31 |
| 5.516 |
| 5.111 |
| 706 |
| 78.58 |
| 96.06 |
| 12.42 |
New Jersey |
| 3 |
| 695,800 |
| 3.38 |
| 5.788 |
| 5.383 |
| 663 |
| 87.53 |
| 87.53 |
| 0.00 |
New York |
| 1 |
| 365,000 |
| 1.77 |
| 5.500 |
| 5.095 |
| 621 |
| 57.93 |
| 57.93 |
| 0.00 |
Florida |
| 2 |
| 343,950 |
| 1.67 |
| 5.877 |
| 5.472 |
| 697 |
| 72.31 |
| 97.36 |
| 0.00 |
Other |
| 2 |
| 375,800 |
| 1.82 |
| 5.667 |
| 5.262 |
| 757 |
| 48.87 |
| 57.24 |
| 0.00 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
No more than approximately 5.85% of the Group 2 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Debt-to-Income Ratio | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
<= 0.00 | 6 |
| $ 1,820,150 |
| 8.83% |
| 5.616% |
| 5.211% |
| 723 |
| 63.29% |
| 68.73% |
| 0.00% |
0.01 - 5.00 | 7 |
| 1,275,850 |
| 6.19 |
| 5.660 |
| 5.255 |
| 682 |
| 82.53 |
| 92.94 |
| 0.00 |
15.01 - 20.00 | 1 |
| 350,000 |
| 1.70 |
| 5.250 |
| 4.845 |
| 756 |
| 64.82 |
| 64.82 |
| 0.00 |
20.01 - 25.00 | 1 |
| 276,500 |
| 1.34 |
| 5.750 |
| 5.345 |
| 774 |
| 70.00 |
| 70.00 |
| 0.00 |
25.01 - 30.00 | 2 |
| 375,750 |
| 1.82 |
| 5.819 |
| 5.414 |
| 710 |
| 77.75 |
| 99.99 |
| 0.00 |
30.01 - 35.00 | 5 |
| 2,205,850 |
| 10.70 |
| 5.905 |
| 5.500 |
| 743 |
| 77.35 |
| 87.16 |
| 0.00 |
35.01 - 40.00 | 17 |
| 8,191,700 |
| 39.75 |
| 5.639 |
| 5.234 |
| 718 |
| 75.29 |
| 85.37 |
| 6.64 |
40.01 - 45.00 | 7 |
| 2,990,350 |
| 14.51 |
| 5.721 |
| 5.316 |
| 717 |
| 79.79 |
| 89.09 |
| 0.00 |
45.01 - 50.00 | 6 |
| 2,512,633 |
| 12.19 |
| 5.523 |
| 5.118 |
| 714 |
| 57.67 |
| 66.65 |
| 33.25 |
50.01 - 55.00 | 2 |
| 610,000 |
| 2.96 |
| 5.643 |
| 5.238 |
| 702 |
| 64.18 |
| 64.18 |
| 57.38 |
Total: | 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the non-zero weighted average debt-to-income ratio of the Group 2 Loans was approximately 36.07% per annum.
29
Months Remaining to Scheduled Maturity
Months Remaining to Maturity |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
356 - 360 |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 2 Loans was approximately 358 months.
Credit Scores
Credit Scores | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
621 - 640 | 1 |
| $ 365,000 |
| 1.77% |
| 5.500% |
| 5.095% |
| 621 |
| 57.93% |
| 57.93% |
| 0.00% |
641 - 660 | 3 |
| 627,800 |
| 3.05 |
| 5.910 |
| 5.505 |
| 654 |
| 81.61 |
| 88.61 |
| 0.00 |
661 - 680 | 3 |
| 1,501,500 |
| 7.29 |
| 5.656 |
| 5.251 |
| 674 |
| 69.57 |
| 71.60 |
| 0.00 |
681 - 700 | 13 |
| 4,235,700 |
| 20.55 |
| 5.575 |
| 5.170 |
| 691 |
| 74.47 |
| 88.55 |
| 0.00 |
701 - 720 | 10 |
| 4,008,333 |
| 19.45 |
| 5.614 |
| 5.209 |
| 708 |
| 74.58 |
| 81.87 |
| 29.57 |
721 - 740 | 9 |
| 4,725,300 |
| 22.93 |
| 5.766 |
| 5.361 |
| 731 |
| 70.55 |
| 79.50 |
| 11.51 |
741 - 760 | 5 |
| 1,587,350 |
| 7.70 |
| 5.585 |
| 5.180 |
| 751 |
| 65.97 |
| 72.59 |
| 0.00 |
761 or more | 10 |
| 3,557,800 |
| 17.26 |
| 5.696 |
| 5.291 |
| 776 |
| 76.57 |
| 87.01 |
| 0.00 |
Total: | 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the weighted average credit score of the Group 2 Loans for which credit scores are available was approximately 719.
Range of Months to Roll
Range of Months to Roll |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
25 - 36 |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
As of the Cut-off Date, the weighted average months to roll of the Group 2 Loans was approximately 34 months.
30
Loan Purposes
Loan Purpose |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Purchase |
| 33 |
| $ 12,564,933 |
| 60.97% |
| 5.688% |
| 5.283% |
| 730 |
| 75.25% |
| 86.12% |
| 9.49% |
Cash Out Refinance |
| 16 |
| 6,113,950 |
| 29.67 |
| 5.676 |
| 5.271 |
| 696 |
| 67.66 |
| 72.25 |
| 8.79 |
Rate/Term Refinance |
| 5 |
| 1,929,900 |
| 9.36 |
| 5.459 |
| 5.054 |
| 718 |
| 73.90 |
| 85.05 |
| 0.00 |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Amortization Type
Amortization Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Interest Only |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
Total: |
| 54 |
| $ 20,608,783 |
| 100.00% |
| 5.663% |
| 5.258% |
| 719 |
| 72.87% |
| 81.90% |
| 8.39% |
31
In general, in the case of a mortgage loan made for “rate and term” refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for “cash-out” refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial.
Loan Group 3
The Group 3 Loans had an aggregate principal balance as of the Cut-off Date of approximately $71,396,416, after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 3 Loans are secured by first liens on the related mortgaged property.
The average principal balance of the Group 3 Loans at origination was approximately $329,026.42. No Group 3 Loan had a principal balance at origination of greater than approximately $1,000,000 or less than approximately $57,200. The average principal balance of the Group 3 Loans as of the Cut-off Date was approximately $329,015.74. No Group 3 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,000,000 or less than approximately $57,200.
As of the Cut-off Date, the Group 3 Loans had mortgage rates ranging from approximately 4.625% per annum to approximately 6.375% per annum and the weighted average mortgage rate was approximately 5.754% per annum. The weighted average remaining term to stated maturity of the Group 3 Loans was approximately 358 months as of the Cut-off Date. None of the Group 3 Loans will have a first Due Date prior to April 1, 2005, or after July 1, 2005, or will have a remaining term to maturity of less than 357 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 3 Loan is June 1, 2035.
Approximately 98.24%, and 0.36% of the Group 3 Loans have initial interest only periods of five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to-value ratios at origination of the Group 3 Loans was approximately 68.90%. No loan-to-value ratio at origination of any Group 3 Loan was greater than approximately 32.32% or less than approximately 95.00%.
None of the Group 3 Loans are buydown mortgage loans.
None of the Group 3 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
Substantially all of the Group 3 Loans will not have reached their first adjustment date as of the Closing Date.
All of the Group 3 Loans provide for prepayment charges.
Approximately 0.75% of the Group 3 Loans are covered by a Primary Insurance Policy. None of the Group 3 Loans are covered by the PMI Insurer Policy.
32
With respect to substantially all of the Group 3 Loans, the minimum mortgage rate is equal to the gross margin.
Set forth below is a description of certain additional characteristics of the Group 3 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 3 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
33
Indices
Index for Loans |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
One-Year LIBOR |
| 3 |
| $ 1,267,470 |
| 1.78% |
| 5.533% |
| 5.128% |
| 721 |
| 69.00% |
| 71.89% |
| 42.80% |
Six-Month LIBOR |
| 214 |
| 70,128,946 |
| 98.22 |
| 5.758 |
| 5.345 |
| 708 |
| 68.89 |
| 79.35 |
| 9.41 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
Principal Balances as of Origination
Principal Balance as of Origination ($) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
50,000.01-100,000.00 |
| 10 |
| $ 875,326 |
| 1.23% |
| 5.883% |
| 5.478% |
| 715 |
| 70.10% |
| 88.05% |
| 11.02% |
100,000.01-150,000.00 |
| 25 |
| 3,024,816 |
| 4.24 |
| 5.902 |
| 5.497 |
| 712 |
| 69.00 |
| 85.64 |
| 11.39 |
150,000.01-200,000.00 |
| 27 |
| 4,652,008 |
| 6.52 |
| 5.804 |
| 5.399 |
| 720 |
| 68.32 |
| 80.78 |
| 7.66 |
200,000.01-250,000.00 |
| 23 |
| 5,083,547 |
| 7.12 |
| 5.760 |
| 5.355 |
| 693 |
| 69.19 |
| 75.69 |
| 8.84 |
250,000.01-300,000.00 |
| 28 |
| 7,821,873 |
| 10.96 |
| 5.768 |
| 5.363 |
| 729 |
| 71.82 |
| 84.04 |
| 3.53 |
300,000.01-359,699.00 |
| 16 |
| 5,259,705 |
| 7.37 |
| 5.910 |
| 5.400 |
| 714 |
| 72.81 |
| 85.50 |
| 12.52 |
359,699.01-600,000.00 |
| 69 |
| 30,774,830 |
| 43.10 |
| 5.728 |
| 5.323 |
| 706 |
| 69.36 |
| 78.18 |
| 14.16 |
600,000.01-800,000.00 |
| 17 |
| 11,924,311 |
| 16.70 |
| 5.665 |
| 5.260 |
| 712 |
| 65.22 |
| 75.36 |
| 5.08 |
800,000.01-1,000,000.00 |
| 2 |
| 1,980,000 |
| 2.77 |
| 5.806 |
| 5.401 |
| 642 |
| 61.82 |
| 74.43 |
| 0.00 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of origination, the average principal balance of the Group 3 Loans was approximately $329,026.42.
34
Principal Balances as of the Cut-off Date
Current Principal Balance ($) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
50,000.01-100,000.00 |
| 10 |
| $ 875,326 |
| 1.23% |
| 5.883% |
| 5.478% |
| 715 |
| 70.10% |
| 88.05% |
| 11.02% |
100,000.01-150,000.00 |
| 25 |
| 3,024,816 |
| 4.24 |
| 5.902 |
| 5.497 |
| 712 |
| 69.00 |
| 85.64 |
| 11.39 |
150,000.01-200,000.00 |
| 27 |
| 4,652,008 |
| 6.52 |
| 5.804 |
| 5.399 |
| 720 |
| 68.32 |
| 80.78 |
| 7.66 |
200,000.01-250,000.00 |
| 23 |
| 5,083,547 |
| 7.12 |
| 5.760 |
| 5.355 |
| 693 |
| 69.19 |
| 75.69 |
| 8.84 |
250,000.01-300,000.00 |
| 28 |
| 7,821,873 |
| 10.96 |
| 5.768 |
| 5.363 |
| 729 |
| 71.82 |
| 84.04 |
| 3.53 |
300,000.01-359,699.00 |
| 16 |
| 5,259,705 |
| 7.37 |
| 5.910 |
| 5.400 |
| 714 |
| 72.81 |
| 85.50 |
| 12.52 |
359,699.01-600,000.00 |
| 69 |
| 30,774,830 |
| 43.10 |
| 5.728 |
| 5.323 |
| 706 |
| 69.36 |
| 78.18 |
| 14.16 |
600,000.01-800,000.00 |
| 17 |
| 11,924,311 |
| 16.70 |
| 5.665 |
| 5.260 |
| 712 |
| 65.22 |
| 75.36 |
| 5.08 |
800,000.01-1,000,000.00 |
| 2 |
| 1,980,000 |
| 2.77 |
| 5.806 |
| 5.401 |
| 642 |
| 61.82 |
| 74.43 |
| 0.00 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the average current principal balance of the Group 3 Loans was approximately $329,015.74.
Mortgage Rates
Current Gross |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
4.501 - 5.000 |
| 9 |
| $ 3,062,200 |
| 4.29% |
| 4.889% |
| 4.484% |
| 724 |
| 67.44% |
| 70.87% |
| 19.64% |
5.001 - 5.500 |
| 48 |
| 16,469,897 |
| 23.07 |
| 5.397 |
| 4.992 |
| 720 |
| 66.63 |
| 75.55 |
| 20.44 |
5.501 - 6.000 |
| 112 |
| 39,454,779 |
| 55.26 |
| 5.828 |
| 5.423 |
| 706 |
| 68.59 |
| 78.82 |
| 6.24 |
6.001 - 6.500 |
| 48 |
| 12,409,541 |
| 17.38 |
| 6.207 |
| 5.757 |
| 698 |
| 73.24 |
| 87.37 |
| 5.75 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the weighted average mortgage rate of the Group 3 Loans was approximately 5.754% per annum.
Next Adjustment Date
Next Adjustment Date | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
March 1, 2010 | 7 |
| $ 2,105,046 |
| 2.95% |
| 5.841% |
| 5.436% |
| 668 |
| 70.84% |
| 85.79% |
| 4.58% |
April 1, 2010 | 95 |
| 32,714,396 |
| 45.82 |
| 5.671 |
| 5.249 |
| 715 |
| 69.05 |
| 80.24 |
| 12.71 |
May 1, 2010 | 110 |
| 35,420,575 |
| 49.61 |
| 5.834 |
| 5.429 |
| 705 |
| 68.71 |
| 78.03 |
| 8.16 |
June 1, 2010 | 5 |
| 1,156,400 |
| 1.62 |
| 5.502 |
| 5.097 |
| 721 |
| 66.73 |
| 74.53 |
| 0.00 |
Total: | 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 3 Loans was approximately 58 months.
35
Gross Margin
Gross Margin (%) | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2.001 - 2.250 | 9 |
| $ 1,861,121 |
| 2.61% |
| 5.667% |
| 5.262% |
| 732 |
| 71.17% |
| 76.61% |
| 49.49% |
2.751 - 3.000 | 61 |
| 20,511,412 |
| 28.73 |
| 5.634 |
| 5.229 |
| 753 |
| 69.95 |
| 81.19 |
| 10.85 |
3.001 - 3.250 | 24 |
| 8,104,240 |
| 11.35 |
| 5.655 |
| 5.250 |
| 710 |
| 69.42 |
| 78.93 |
| 10.28 |
3.251 - 3.500 | 54 |
| 17,693,100 |
| 24.78 |
| 5.791 |
| 5.355 |
| 714 |
| 68.57 |
| 81.38 |
| 8.52 |
3.501 - 3.750 | 56 |
| 18,831,750 |
| 26.38 |
| 5.847 |
| 5.442 |
| 660 |
| 67.49 |
| 74.18 |
| 8.80 |
3.751 - 4.000 | 6 |
| 2,689,200 |
| 3.77 |
| 6.069 |
| 5.664 |
| 671 |
| 68.93 |
| 86.79 |
| 0.00 |
4.751 - 5.000 | 7 |
| 1,705,592 |
| 2.39 |
| 5.858 |
| 5.453 |
| 685 |
| 69.98 |
| 80.80 |
| 0.00 |
Total: | 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the weighted average Gross Margin of the Group 3 Loans was approximately 3.379% per annum.
Maximum Mortgage Rate
Maximum Mortgage Rate (%) | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
10.001 - 10.500 | 2 |
| $ 1,047,500 |
| 1.47% |
| 5.435% |
| 5.030% |
| 736 |
| 66.69% |
| 68.09% |
| 51.79% |
10.501 - 11.000 | 10 |
| 3,282,170 |
| 4.60 |
| 4.964 |
| 4.559 |
| 719 |
| 68.28 |
| 72.15 |
| 18.32 |
11.001 - 11.500 | 47 |
| 15,714,897 |
| 22.01 |
| 5.411 |
| 5.006 |
| 720 |
| 66.79 |
| 76.04 |
| 17.97 |
11.501 - 12.000 | 111 |
| 39,234,809 |
| 54.95 |
| 5.827 |
| 5.422 |
| 707 |
| 68.52 |
| 78.76 |
| 6.27 |
12.001 or more | 47 |
| 12,117,041 |
| 16.97 |
| 6.205 |
| 5.755 |
| 695 |
| 73.19 |
| 87.67 |
| 5.89 |
Total: | 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 3 Loans was approximately 11.732% per annum.
Original Interest Only Term
Original Interest Only Term (months) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
0 |
| 3 |
| $ 1,001,081 |
| 1.40% |
| 5.644% |
| 5.239% |
| 748 |
| 73.99% |
| 83.93% |
| 0.00% |
60 |
| 213 |
| 70,139,335 |
| 98.24 |
| 5.758 |
| 5.345 |
| 708 |
| 68.85 |
| 79.21 |
| 10.18 |
120 |
| 1 |
| 256,000 |
| 0.36 |
| 5.250 |
| 4.845 |
| 689 |
| 60.66 |
| 60.66 |
| 0.00 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
36
Initial Rate Cap
First Adjustment Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1.000 |
| 1 |
| $ 96,876 |
| 0.14% |
| 5.875% |
| 5.470% |
| 757 |
| 75.00% |
| 95.00% |
| 0.00% |
2.000 |
| 1 |
| 542,500 |
| 0.76 |
| 5.375 |
| 4.970 |
| 703 |
| 70.00 |
| 72.71 |
| 100.00 |
3.000 |
| 210 |
| 69,230,445 |
| 96.97 |
| 5.757 |
| 5.344 |
| 708 |
| 68.87 |
| 79.43 |
| 9.53 |
5.000 |
| 3 |
| 1,017,470 |
| 1.43 |
| 5.824 |
| 5.419 |
| 752 |
| 70.19 |
| 72.35 |
| 0.00 |
6.000 |
| 2 |
| 509,125 |
| 0.71 |
| 5.561 |
| 5.156 |
| 731 |
| 67.79 |
| 67.79 |
| 0.00 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
Subsequent Rate Cap
Subsequent Rate Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1.000 |
| 216 |
| $ 71,176,446 |
| 99.69% |
| 5.753% |
| 5.341% |
| 709 |
| 68.86% |
| 79.18% |
| 10.04% |
2.000 |
| 1 |
| 219,970 |
| 0.31 |
| 6.000 |
| 5.595 |
| 651 |
| 79.99 |
| 89.99 |
| 0.00 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
Original Loan-to-Value Ratios
Original LTV (%) | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
50.00 or less | 6 |
| $ 2,369,600 |
| 3.32% |
| 5.624% |
| 5.219% |
| 682 |
| 41.26% |
| 42.75% |
| 0.00% |
50.01 - 55.00 | 4 |
| 1,833,000 |
| 2.57 |
| 5.593 |
| 5.188 |
| 673 |
| 52.82 |
| 59.34 |
| 0.00 |
55.01 - 60.00 | 7 |
| 1,841,100 |
| 2.58 |
| 5.629 |
| 5.224 |
| 670 |
| 56.89 |
| 56.89 |
| 0.00 |
60.01 - 65.00 | 21 |
| 7,385,895 |
| 10.34 |
| 5.580 |
| 5.175 |
| 711 |
| 63.83 |
| 68.09 |
| 13.86 |
65.01 - 70.00 | 139 |
| 48,170,469 |
| 67.47 |
| 5.760 |
| 5.355 |
| 710 |
| 69.89 |
| 82.22 |
| 11.12 |
70.01 - 75.00 | 11 |
| 2,148,751 |
| 3.01 |
| 5.931 |
| 5.526 |
| 730 |
| 73.78 |
| 84.67 |
| 13.50 |
75.01 - 80.00 | 25 |
| 6,445,868 |
| 9.03 |
| 5.894 |
| 5.489 |
| 709 |
| 79.86 |
| 91.06 |
| 7.36 |
80.01 - 85.00 | 1 |
| 300,000 |
| 0.42 |
| 5.875 |
| 5.470 |
| 792 |
| 84.04 |
| 84.04 |
| 0.00 |
85.01 - 90.00 | 2 |
| 546,527 |
| 0.77 |
| 6.321 |
| 5.505 |
| 728 |
| 90.00 |
| 90.00 |
| 0.00 |
90.01 - 95.00 | 1 |
| 355,205 |
| 0.50 |
| 6.375 |
| 5.050 |
| 775 |
| 95.00 |
| 95.00 |
| 0.00 |
Total: | 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
The minimum and maximum loan-to-value ratios of the Group 3 Loans at origination were approximately 32.32% and 95.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 3 Loans at origination was approximately 68.90%.
37
Occupancy Types
Occupancy types |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Investor |
| 102 |
| $ 30,749,526 |
| 43.07% |
| 5.723% |
| 5.318% |
| 723 |
| 69.27% |
| 76.27% |
| 7.69% |
Primary |
| 101 |
| 35,530,040 |
| 49.76 |
| 5.806 |
| 5.385 |
| 696 |
| 68.62 |
| 82.40 |
| 12.36 |
Secondary |
| 14 |
| 5,116,850 |
| 7.17 |
| 5.583 |
| 5.178 |
| 709 |
| 68.56 |
| 74.77 |
| 7.62 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
Occupancy type is based on the representation of the borrower at the time of origination.
Mortgage Loan Program and Documentation Type
Mortgage Loan Program and Documentation Type | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Express No Doc | 3 |
| $ 837,200 |
| 1.17% |
| 5.632% |
| 5.227% |
| 746 |
| 65.85% |
| 65.85% |
| 0.00% |
Express No Doc Verified Assets | 2 |
| 267,600 |
| 0.37 |
| 5.928 |
| 5.523 |
| 728 |
| 59.81 |
| 59.81 |
| 0.00 |
Express Non-Verified Assets | 4 |
| 1,276,950 |
| 1.79 |
| 5.882 |
| 5.477 |
| 758 |
| 71.15 |
| 71.15 |
| 0.00 |
Express Verified Assets | 10 |
| 2,167,425 |
| 3.04 |
| 5.867 |
| 5.312 |
| 739 |
| 67.82 |
| 71.83 |
| 0.00 |
Full | 22 |
| 7,143,350 |
| 10.01 |
| 5.599 |
| 5.194 |
| 711 |
| 69.90 |
| 84.71 |
| 100.00 |
FISA | 2 |
| 933,800 |
| 1.31 |
| 5.395 |
| 4.990 |
| 784 |
| 70.00 |
| 84.21 |
| 0.00 |
Stated | 166 |
| 56,143,391 |
| 78.64 |
| 5.771 |
| 5.362 |
| 704 |
| 68.74 |
| 79.11 |
| 0.00 |
SISA | 8 |
| 2,626,700 |
| 3.68 |
| 5.812 |
| 5.407 |
| 703 |
| 70.89 |
| 80.87 |
| 0.00 |
Total: | 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
See “—Underwriting Standards” below for a detailed description of the Seller’s loan programs and documentation requirements.
38
Credit Grade Category
Credit Quality |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
A(1) |
| 64 |
| $ 22,742,582 |
| 31.85% |
| 5.860% |
| 5.455% |
| 655 |
| 66.53% |
| 74.28% |
| 7.28% |
A+(1) |
| 142 |
| 46,212,529 |
| 64.73 |
| 5.694 |
| 5.284 |
| 733 |
| 70.15 |
| 82.14 |
| 11.87 |
Progressive Express I(2) |
| 10 |
| 2,328,705 |
| 3.26 |
| 5.891 |
| 5.345 |
| 752 |
| 67.61 |
| 70.40 |
| 0.00 |
Progressive Express II(2) |
| 1 |
| 112,600 |
| 0.16 |
| 6.000 |
| 5.595 |
| 635 |
| 58.46 |
| 58.46 |
| 0.00 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
_________________
(1) All of these Group 3 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+ and A correspond to Progressive Series I+, and I and II, respectively.
(2) These Group 3 Loans were originated under the Seller’s Progressive Express™ Program. The underwriting for these Group 3 Loans is generally based on the borrower’s “Credit Score” score and therefore these Group 3 Loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi™ Program has been placed in either Progressive Express™ Program II.
See “—Underwriting Standards” below for a description of the Seller’s risk categories. |
Property Types
Mortgage Properties | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Townhouse | 1 |
| $ 280,000 |
| 0.39% |
| 6.125% |
| 5.720% |
| 716 |
| 70.00% |
| 90.00% |
| 0.00% |
Condominium | 35 |
| 10,445,928 |
| 14.63 |
| 5.810 |
| 5.405 |
| 708 |
| 69.67 |
| 81.10 |
| 16.46 |
PUD | 39 |
| 13,198,460 |
| 18.49 |
| 5.771 |
| 5.324 |
| 711 |
| 69.28 |
| 76.98 |
| 8.31 |
Single Family | 107 |
| 32,793,865 |
| 45.93 |
| 5.738 |
| 5.333 |
| 702 |
| 69.08 |
| 81.75 |
| 9.47 |
Two- to Four Family | 35 |
| 14,678,163 |
| 20.56 |
| 5.729 |
| 5.324 |
| 722 |
| 67.57 |
| 74.00 |
| 8.32 |
Total: | 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
39
Geographic Distribution of Mortgaged Properties
Geographical Distribution (Top 5) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
California |
| 134 |
| $ 51,995,538 |
| 72.83% |
| 5.755% |
| 5.346% |
| 708 |
| 68.19% |
| 78.46% |
| 9.93% |
Florida |
| 35 |
| 7,976,285 |
| 11.17 |
| 5.782 |
| 5.336 |
| 712 |
| 72.41 |
| 82.68 |
| 9.93 |
Arizona |
| 12 |
| 2,650,490 |
| 3.71 |
| 5.809 |
| 5.404 |
| 715 |
| 68.87 |
| 86.20 |
| 8.24 |
New York |
| 3 |
| 1,918,506 |
| 2.69 |
| 5.212 |
| 4.807 |
| 749 |
| 66.21 |
| 71.40 |
| 0.00 |
Nevada |
| 5 |
| 1,529,150 |
| 2.14 |
| 5.584 |
| 5.179 |
| 679 |
| 69.13 |
| 75.86 |
| 25.50 |
Other |
| 28 |
| 5,326,447 |
| 7.46 |
| 5.919 |
| 5.514 |
| 704 |
| 71.46 |
| 81.68 |
| 10.87 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
No more than approximately 2.39% of the Group 3 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Debt-to-Income Ratio | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
<= 0.00 | 44 |
| $ 14,453,050 |
| 20.24% |
| 5.793% |
| 5.388% |
| 716 |
| 67.43% |
| 76.73% |
| 10.70% |
0.01 - 5.00 | 4 |
| 713,625 |
| 1.00 |
| 6.114 |
| 5.251 |
| 724 |
| 84.61 |
| 87.70 |
| 0.00 |
5.01 - 10.00 | 1 |
| 425,000 |
| 0.60 |
| 5.625 |
| 5.220 |
| 722 |
| 68.00 |
| 68.00 |
| 0.00 |
10.01 - 15.00 | 1 |
| 663,506 |
| 0.93 |
| 5.375 |
| 4.970 |
| 781 |
| 70.00 |
| 85.00 |
| 0.00 |
15.01 - 20.00 | 3 |
| 719,050 |
| 1.01 |
| 5.517 |
| 5.112 |
| 760 |
| 69.38 |
| 79.39 |
| 59.94 |
20.01 - 25.00 | 4 |
| 1,167,125 |
| 1.63 |
| 5.570 |
| 5.165 |
| 727 |
| 71.03 |
| 79.90 |
| 0.00 |
25.01 - 30.00 | 20 |
| 6,645,047 |
| 9.31 |
| 5.723 |
| 5.318 |
| 715 |
| 67.68 |
| 76.68 |
| 0.00 |
30.01 - 35.00 | 20 |
| 5,073,820 |
| 7.11 |
| 5.652 |
| 5.247 |
| 700 |
| 67.36 |
| 76.27 |
| 1.90 |
35.01 - 40.00 | 40 |
| 14,860,199 |
| 20.81 |
| 5.742 |
| 5.337 |
| 708 |
| 68.36 |
| 77.21 |
| 2.87 |
40.01 - 45.00 | 26 |
| 8,504,673 |
| 11.91 |
| 5.796 |
| 5.391 |
| 704 |
| 70.23 |
| 84.51 |
| 4.57 |
45.01 - 50.00 | 40 |
| 13,162,405 |
| 18.44 |
| 5.849 |
| 5.427 |
| 707 |
| 70.63 |
| 84.89 |
| 18.42 |
50.01 - 55.00 | 14 |
| 5,008,915 |
| 7.02 |
| 5.589 |
| 5.184 |
| 676 |
| 68.18 |
| 73.55 |
| 36.51 |
Total: | 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the non-zero weighted average debt-to-income ratio of the Group 3 Loans was approximately 38.83% per annum.
Original Prepayment Penalty
Original Prepayment Penalty Term (months) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
6 |
| 1 |
| $ 126,000 |
| 0.18% |
| 6.250% |
| 5.845% |
| 719 |
| 70.00% |
| 95.00% |
| 0.00% |
7 |
| 1 |
| 253,125 |
| 0.35 |
| 5.875 |
| 5.470 |
| 773 |
| 75.00 |
| 75.00 |
| 0.00 |
12 |
| 89 |
| 32,490,784 |
| 45.51 |
| 5.676 |
| 5.264 |
| 716 |
| 67.79 |
| 77.53 |
| 6.98 |
24 |
| 33 |
| 11,745,300 |
| 16.45 |
| 5.727 |
| 5.294 |
| 717 |
| 69.24 |
| 80.79 |
| 12.15 |
36 |
| 61 |
| 16,026,807 |
| 22.45 |
| 5.861 |
| 5.456 |
| 692 |
| 69.57 |
| 79.16 |
| 17.09 |
60 |
| 32 |
| 10,754,400 |
| 15.06 |
| 5.852 |
| 5.447 |
| 702 |
| 70.71 |
| 82.56 |
| 6.60 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
40
Months Remaining to Scheduled Maturity
Months Remaining to Maturity |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
356 - 360 |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 3 Loans was approximately 358 months.
Credit Scores
Credit Scores |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
601 - 620 |
| 1 |
| $ 980,000 |
| 1.37% |
| 5.990% |
| 5.585% |
| 620 |
| 70.00% |
| 90.00% |
| 0.00% |
621 - 640 |
| 10 |
| 3,875,700 |
| 5.43 |
| 5.801 |
| 5.396 |
| 631 |
| 69.67 |
| 70.09 |
| 9.24 |
641 - 660 |
| 25 |
| 7,393,720 |
| 10.36 |
| 5.864 |
| 5.459 |
| 652 |
| 66.68 |
| 77.63 |
| 7.57 |
661 - 680 |
| 29 |
| 10,605,762 |
| 14.85 |
| 5.869 |
| 5.464 |
| 668 |
| 64.88 |
| 71.85 |
| 6.96 |
681 - 700 |
| 27 |
| 8,467,128 |
| 11.86 |
| 5.780 |
| 5.375 |
| 692 |
| 67.68 |
| 81.64 |
| 16.65 |
701 - 720 |
| 34 |
| 11,368,420 |
| 15.92 |
| 5.679 |
| 5.274 |
| 710 |
| 69.72 |
| 79.36 |
| 12.10 |
721 - 740 |
| 25 |
| 7,650,880 |
| 10.72 |
| 5.630 |
| 5.225 |
| 730 |
| 70.57 |
| 84.56 |
| 9.18 |
741 - 760 |
| 27 |
| 9,259,479 |
| 12.97 |
| 5.751 |
| 5.322 |
| 750 |
| 71.10 |
| 80.72 |
| 9.66 |
761 or more |
| 39 |
| 11,795,327 |
| 16.52 |
| 5.684 |
| 5.251 |
| 777 |
| 70.82 |
| 82.39 |
| 9.36 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the weighted average credit score of the Group 3 Loans for which credit scores are available was approximately 709.
Range of Months to Roll
Range of Months to Roll |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
49 - 60 |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
As of the Cut-off Date, the weighted average months to roll of the Group 3 Loans was approximately 58 months.
41
Amortization Type
Amortization Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Interest Only |
| 214 |
| $ 70,395,335 |
| 98.60% |
| 5.756% |
| 5.343% |
| 708 |
| 68.82% |
| 79.15% |
| 10.15% |
Fully Amortizing |
| 3 |
| 1,001,081 |
| 1.40 |
| 5.644 |
| 5.239 |
| 748 |
| 73.99 |
| 83.93 |
| 0.00 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
Loan Purposes
Loan Purpose |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Purchase |
| 110 |
| $ 33,814,971 |
| 47.36% |
| 5.796% |
| 5.375% |
| 729 |
| 71.61% |
| 86.97% |
| 8.91% |
Cash Out Refinance |
| 91 |
| 31,913,145 |
| 44.70 |
| 5.728 |
| 5.323 |
| 691 |
| 66.60 |
| 71.98 |
| 9.86 |
Rate/Term Refinance |
| 16 |
| 5,668,300 |
| 7.94 |
| 5.648 |
| 5.243 |
| 687 |
| 65.61 |
| 73.62 |
| 17.36 |
Total: |
| 217 |
| $ 71,396,416 |
| 100.00% |
| 5.754% |
| 5.341% |
| 709 |
| 68.90% |
| 79.21% |
| 10.01% |
42
In general, in the case of a mortgage loan made for “rate and term” refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for “cash-out” refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial.
Loan Group 4
The Group 4 Loans had an aggregate principal balance as of the Cut-off Date of approximately $13,572,300, after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 4 Loans are secured by first liens on the related mortgaged property.
The average principal balance of the Group 4 Loans at origination was approximately $377,156.94. No Group 4 Loan had a principal balance at origination of greater than approximately $1,100,000 or less than approximately $96,150. The average principal balance of the Group 4 Loans as of the Cut-off Date was approximately $377,008. No Group 4 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,100,000 or less than approximately $96,150.
As of the Cut-off Date, the Group 4 Loans had mortgage rates ranging from approximately 4.875% per annum to approximately 6.000% per annum and the weighted average mortgage rate was approximately 5.559% per annum. The weighted average remaining term to stated maturity of the Group 4 Loans was approximately 358 months as of the Cut-off Date. None of the Group 4 Loans will have a first Due Date prior to February 1, 2005, or after June 1, 2005, or will have a remaining term to maturity of less than 355 months or greater than 359 months as of the Cut-off Date. The latest maturity date of any Group 4 Loan is May 1, 2035.
Approximately 74.22%, 4.68% and 11.42% of the Group 4 Loans have initial interest only periods of five, seven and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to-value ratios at origination of the Group 4 Loans was approximately 76.46%. No loan-to-value ratio at origination of any Group 4 Loan was greater than approximately 86.66% or less than approximately 62%.
None of the Group 4 Loans are buydown mortgage loans.
None of the Group 4 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
Substantially all of the Group 4 Loans will not have reached their first adjustment date as of the Closing Date.
None of the Group 4 Loans provide for prepayment charges.
43
Approximately 6.84% of the Group 4 Loans are covered by a Primary Insurance Policy. None of the Group 4 Loans are covered by the PMI Insurer Policy.
With respect to substantially all of the Group 4 Loans, the minimum mortgage rate is equal to the gross margin.
Set forth below is a description of certain additional characteristics of the Group 4 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 4 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
44
Indices
Index for Loans |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
One-Year LIBOR |
| 24 |
| $ 8,937,517 |
| 65.85% |
| 5.452% |
| 5.047% |
| 721 |
| 78.35% |
| 84.79% |
| 38.83% |
Six-Month LIBOR |
| 12 |
| 4,634,783 |
| 34.15 |
| 5.766 |
| 5.361 |
| 723 |
| 72.83 |
| 80.23 |
| 23.73 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
Principal Balances as of Origination
Principal Balances as of Origination ($) | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
$50,000.01-$100,000.00 | 1 |
| $ 96,150 |
| 0.71% |
| 5.375% |
| 4.970% |
| 682 |
| 74.98% |
| 100.00% |
| 100.00% |
$100,000.01-$150,000.00 | 3 |
| 354,750 |
| 2.61 |
| 5.367 |
| 4.962 |
| 759 |
| 74.74 |
| 85.69 |
| 0.00 |
$150,000.01-$200,000.00 | 8 |
| 1,385,989 |
| 10.21 |
| 5.773 |
| 5.368 |
| 694 |
| 74.92 |
| 86.25 |
| 26.62 |
$200,000.01-$250,000.00 | 1 |
| 229,500 |
| 1.69 |
| 5.375 |
| 4.970 |
| 701 |
| 75.00 |
| 85.79 |
| 0.00 |
$250,000.01-$300,000.00 | 4 |
| 1,108,789 |
| 8.17 |
| 5.540 |
| 5.135 |
| 727 |
| 79.05 |
| 95.12 |
| 51.52 |
$300,000.01-$359,699.00 | 2 |
| 699,650 |
| 5.15 |
| 5.371 |
| 4.966 |
| 777 |
| 79.96 |
| 85.14 |
| 0.00 |
$359,699.01-$600,000.00 | 11 |
| 4,951,000 |
| 36.48 |
| 5.661 |
| 5.256 |
| 718 |
| 73.77 |
| 78.46 |
| 8.73 |
$600,000.01-$800,000.00 | 4 |
| 2,653,971 |
| 19.55 |
| 5.448 |
| 5.043 |
| 705 |
| 79.73 |
| 85.46 |
| 75.43 |
$800,000.01-$1,000,000.00 | 1 |
| 992,500 |
| 7.31 |
| 5.125 |
| 4.720 |
| 732 |
| 79.71 |
| 79.71 |
| 0.00 |
$1,000,000.01-$1,250,000.00 | 1 |
| 1,100,000 |
| 8.10 |
| 5.750 |
| 5.345 |
| 759 |
| 75.86 |
| 82.75 |
| 100.00 |
Total: | 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of origination, the average principal balance of the Group 4 Loans was approximately $377,156.94.
45
Principal Balances as of the Cut-off Date
Current |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
$50,000.01 - $100,000.00 |
| 1 |
| $ 96,150 |
| 0.71% |
| 5.375% |
| 4.970% |
| 682 |
| 74.98% |
| 100.00% |
| 100.00% |
$100,000.01 - $150,000.00 |
| 3 |
| 354,750 |
| 2.61 |
| 5.367 |
| 4.962 |
| 759 |
| 74.74 |
| 85.69 |
| 0.00 |
$150,000.01 - $200,000.00 |
| 8 |
| 1,385,989 |
| 10.21 |
| 5.773 |
| 5.368 |
| 694 |
| 74.92 |
| 86.25 |
| 26.62 |
$200,000.01 - $250,000.00 |
| 1 |
| 229,500 |
| 1.69 |
| 5.375 |
| 4.970 |
| 701 |
| 75.00 |
| 85.79 |
| 0.00 |
$250,000.01 - $300,000.00 |
| 4 |
| 1,108,789 |
| 8.17 |
| 5.540 |
| 5.135 |
| 727 |
| 79.05 |
| 95.12 |
| 51.52 |
$300,000.01 - $359,699.00 |
| 2 |
| 699,650 |
| 5.15 |
| 5.371 |
| 4.966 |
| 777 |
| 79.96 |
| 85.14 |
| 0.00 |
$359,699.01 - $600,000.00 |
| 11 |
| 4,951,000 |
| 36.48 |
| 5.661 |
| 5.256 |
| 718 |
| 73.77 |
| 78.46 |
| 8.73 |
$600,000.01 - $800,000.00 |
| 4 |
| 2,653,971 |
| 19.55 |
| 5.448 |
| 5.043 |
| 705 |
| 79.73 |
| 85.46 |
| 75.43 |
$800,000.01 - $1,000,000.00 |
| 1 |
| 992,500 |
| 7.31 |
| 5.125 |
| 4.720 |
| 732 |
| 79.71 |
| 79.71 |
| 0.00 |
$1,000,000.01 - $1,250,000.00 |
| 1 |
| 1,100,000 |
| 8.10 |
| 5.750 |
| 5.345 |
| 759 |
| 75.86 |
| 82.75 |
| 100.00 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the average current principal balance of the Group 4 Loans was approximately $377,008.32.
Mortgage Rates
Mortgage |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
4.501% - 5.000% |
| 1 |
| $ 635,000 |
| 4.68% |
| 4.875% |
| 4.470% |
| 763 |
| 72.57% |
| 72.57% |
| 100.00% |
5.001% - 5.500% |
| 15 |
| 5,141,639 |
| 37.88 |
| 5.261 |
| 4.856 |
| 754 |
| 79.20 |
| 86.90 |
| 15.69 |
5.501% - 6.000% |
| 20 |
| 7,795,660 |
| 57.44 |
| 5.812 |
| 5.407 |
| 697 |
| 74.98 |
| 81.68 |
| 40.13 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the weighted average mortgage rate of the Group 4 Loans was approximately 5.559% per annum.
Next Adjustment Date
Next Adjustment Date |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2010-01-01 |
| 1 |
| $ 364,000 |
| 2.68% |
| 5.750% |
| 5.345% |
| 666 |
| 70.00% |
| 70.00% |
| 0.00% |
2010-02-01 |
| 1 |
| 716,971 |
| 5.28 |
| 5.750 |
| 5.345 |
| 681 |
| 80.00 |
| 80.00 |
| 100.00 |
2010-03-01 |
| 12 |
| 5,013,350 |
| 36.94 |
| 5.472 |
| 5.067 |
| 715 |
| 78.68 |
| 84.35 |
| 21.58 |
2010-04-01 |
| 16 |
| 4,711,978 |
| 34.72 |
| 5.513 |
| 5.108 |
| 735 |
| 76.47 |
| 86.99 |
| 35.47 |
2010-05-01 |
| 6 |
| 2,766,000 |
| 20.38 |
| 5.722 |
| 5.317 |
| 729 |
| 72.36 |
| 77.39 |
| 39.77 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 4 Loans was approximately 58 months.
46
Gross Margin
Gross Margin (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2.001% - 2.250% |
| 21 |
| $ 8,574,310 |
| 63.18% |
| 5.508% |
| 5.103% |
| 733 |
| 77.79% |
| 83.40% |
| 34.01% |
2.501% - 2.750% |
| 2 |
| 764,500 |
| 5.63 |
| 4.960 |
| 4.555 |
| 760 |
| 72.13 |
| 77.22 |
| 83.06 |
2.751% - 3.000% |
| 1 |
| 278,600 |
| 2.05 |
| 5.875 |
| 5.470 |
| 731 |
| 81.46 |
| 99.15 |
| 0.00 |
3.001% - 3.250% |
| 8 |
| 2,504,389 |
| 18.45 |
| 5.808 |
| 5.403 |
| 688 |
| 77.30 |
| 90.26 |
| 40.69 |
3.251% - 3.500% |
| 1 |
| 229,500 |
| 1.69 |
| 5.375 |
| 4.970 |
| 701 |
| 75.00 |
| 85.79 |
| 0.00 |
3.501% - 3.750% |
| 2 |
| 857,000 |
| 6.31 |
| 5.750 |
| 5.345 |
| 699 |
| 66.12 |
| 66.12 |
| 0.00 |
3.751% - 4.000% |
| 1 |
| 364,000 |
| 2.68 |
| 5.750 |
| 5.345 |
| 666 |
| 70.00 |
| 70.00 |
| 0.00 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the weighted average Gross Margin of the Group 4 Loans was approximately 2.638% per annum.
Maximum Mortgage Rate
Maximum Mortgage Rate (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
9.501% - 10.000% |
| 1 |
| $ 635,000 |
| 4.68% |
| 4.875% |
| 4.470% |
| 763 |
| 72.57% |
| 72.57% |
| 100.00% |
10.001% - 10.500% |
| 12 |
| 4,442,639 |
| 32.73 |
| 5.233 |
| 4.828 |
| 756 |
| 79.62 |
| 87.10 |
| 18.16 |
10.501% - 11.000% |
| 12 |
| 4,014,560 |
| 29.58 |
| 5.802 |
| 5.397 |
| 675 |
| 77.53 |
| 83.59 |
| 50.53 |
11.001% - 11.500% |
| 3 |
| 699,000 |
| 5.15 |
| 5.436 |
| 5.031 |
| 742 |
| 76.51 |
| 85.61 |
| 0.00 |
11.501% - 12.000% |
| 8 |
| 3,781,100 |
| 27.86 |
| 5.822 |
| 5.417 |
| 720 |
| 72.26 |
| 79.66 |
| 29.09 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 4 Loans was approximately 10.889% per annum.
Original Interest Only Term
Original Interest Only Term (months) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
0 |
| 4 |
| $ 1,314,150 |
| 9.68% |
| 5.624% |
| 5.219% |
| 688 |
| 78.82% |
| 78.82% |
| 54.56% |
60 |
| 29 |
| 10,073,150 |
| 74.22 |
| 5.559 |
| 5.154 |
| 719 |
| 76.53 |
| 84.90 |
| 21.03 |
84 |
| 1 |
| 635,000 |
| 4.68 |
| 4.875 |
| 4.470 |
| 763 |
| 72.57 |
| 72.57 |
| 100.00 |
120 |
| 2 |
| 1,550,000 |
| 11.42 |
| 5.786 |
| 5.381 |
| 749 |
| 75.61 |
| 80.50 |
| 70.97 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
47
Initial Rate Cap
Initial Rate |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2.000% |
| 1 |
| $ 183,606 |
| 1.35% |
| 5.625% |
| 5.220% |
| 671 |
| 80.00% |
| 80.00% |
| 0.00% |
3.000% |
| 10 |
| 3,188,989 |
| 23.50 |
| 5.699 |
| 5.294 |
| 710 |
| 72.19 |
| 80.58 |
| 0.00 |
5.000% |
| 23 |
| 8,649,705 |
| 63.73 |
| 5.466 |
| 5.061 |
| 722 |
| 78.11 |
| 84.77 |
| 40.12 |
6.000% |
| 2 |
| 1,550,000 |
| 11.42 |
| 5.786 |
| 5.381 |
| 749 |
| 75.61 |
| 80.50 |
| 70.97 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
Subsequent Rate Cap
Subsequent Rate Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1.000 |
| 29 |
| $ 11,357,694 |
| 83.68% |
| 5.504% |
| 5.099% |
| 734 |
| 76.27% |
| 82.86% |
| 31.27% |
2.000 |
| 7 |
| 2,214,606 |
| 16.32 |
| 5.841 |
| 5.436 |
| 656 |
| 77.45 |
| 85.13 |
| 46.01 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
Original Loan-to-Value Ratios
Original Loan-to-Value Ratios (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
60.01% - 65.00% |
| 2 |
| $ 620,000 |
| 4.57% |
| 5.781% |
| 5.376% |
| 691 |
| 62.63% |
| 62.63% |
| 0.00% |
65.01% - 70.00% |
| 7 |
| 2,268,683 |
| 16.72 |
| 5.845 |
| 5.440 |
| 690 |
| 69.78 |
| 78.31 |
| 0.00 |
70.01% - 75.00% |
| 7 |
| 1,997,400 |
| 14.72 |
| 5.432 |
| 5.027 |
| 725 |
| 74.21 |
| 82.73 |
| 60.91 |
75.01% - 80.00% |
| 18 |
| 7,757,617 |
| 57.16 |
| 5.443 |
| 5.038 |
| 739 |
| 79.07 |
| 84.47 |
| 34.85 |
80.01% - 85.00% |
| 1 |
| 278,600 |
| 2.05 |
| 5.875 |
| 5.470 |
| 731 |
| 81.46 |
| 99.15 |
| 0.00 |
85.01% - 90.00% |
| 1 |
| 650,000 |
| 4.79 |
| 6.000 |
| 5.595 |
| 644 |
| 86.66 |
| 100.00 |
| 100.00 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
The minimum and maximum loan-to-value ratios of the Group 4 Loans at origination were approximately 62.00% and 86.66%, respectively, and the weighted average of the loan-to-value ratios of the Group 4 Loans at origination was approximately 76.46%.
48
Occupancy Types
Occupancy Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Investor |
| 6 |
| $ 1,450,550 |
| 10.69% |
| 5.736% |
| 5.331% |
| 712 |
| 70.22% |
| 73.15% |
| 0.00% |
Primary |
| 27 |
| 11,148,177 |
| 82.14 |
| 5.520 |
| 5.115 |
| 724 |
| 77.61 |
| 84.46 |
| 41.00 |
Secondary |
| 3 |
| 973,573 |
| 7.17 |
| 5.747 |
| 5.342 |
| 707 |
| 72.65 |
| 84.16 |
| 0.00 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
Occupancy type is based on the representation of the borrower at the time of origination.
Mortgage Loan Program and Documentation Type
Document Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Express No Doc |
| 2 |
| $ 605,000 |
| 4.46% |
| 5.875% |
| 5.470% |
| 709 |
| 71.67% |
| 71.67% |
| 0.00% |
Express Non Verified Assets |
| 4 |
| 1,506,333 |
| 11.10 |
| 5.387 |
| 4.982 |
| 776 |
| 78.95 |
| 85.02 |
| 0.00 |
Express Verified Assets |
| 8 |
| 3,182,439 |
| 23.45 |
| 5.356 |
| 4.951 |
| 722 |
| 75.89 |
| 77.94 |
| 0.00 |
Full |
| 10 |
| 4,570,421 |
| 33.67 |
| 5.580 |
| 5.175 |
| 720 |
| 78.28 |
| 88.42 |
| 100.00 |
Stated |
| 12 |
| 3,708,106 |
| 27.32 |
| 5.727 |
| 5.322 |
| 703 |
| 74.49 |
| 82.54 |
| 0.00 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
See “—Underwriting Standards” below for a detailed description of the Seller’s loan programs and documentation requirements.
Credit Grade Category
Credit Quality |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
A |
| 9 |
| $ 2,733,289 |
| 20.14% |
| 5.831% |
| 5.426% |
| 661 |
| 76.03% |
| 82.26% |
| 37.28% |
A+ |
| 25 |
| 9,982,011 |
| 73.55 |
| 5.469 |
| 5.064 |
| 740 |
| 77.47 |
| 84.97 |
| 35.58 |
Progressive Express I |
| 2 |
| 857,000 |
| 6.31 |
| 5.750 |
| 5.345 |
| 699 |
| 66.12 |
| 66.12 |
| 0.00 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
_________________
(1) All of these Group 4 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+ and A, correspond to Progressive Series I+, and I and II, respectively.
(2) These Group 4 Loans were originated under the Seller’s Progressive Express™ Program. The underwriting for these Group 4 Loans is generally based on the borrower’s “Credit Score” score and therefore these Group 4 Loans do not correspond to the alphabetical risk categories listed above.
See “—Underwriting Standards” below for a description of the Seller’s risk categories. |
49
Property Types
Mortgage Properties |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Condominium |
| 9 |
| $ 3,454,556 |
| 25.45% |
| 5.457% |
| 5.052% |
| 739 |
| 74.44% |
| 83.07% |
| 26.45% |
PUD |
| 11 |
| 3,783,923 |
| 27.88 |
| 5.337 |
| 4.932 |
| 724 |
| 78.46 |
| 86.56 |
| 26.79 |
Single Family |
| 16 |
| 6,333,821 |
| 46.67 |
| 5.748 |
| 5.343 |
| 711 |
| 76.37 |
| 81.34 |
| 41.73 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
Geographic Distribution of Mortgaged Properties
State |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
California |
| 11 |
| $ 5,430,421 |
| 40.01% |
| 5.544% |
| 5.139% |
| 739 |
| 76.34% |
| 81.69% |
| 50.29% |
Georgia |
| 12 |
| 3,916,489 |
| 28.86 |
| 5.317 |
| 4.912 |
| 729 |
| 78.89 |
| 86.38 |
| 25.45 |
Maryland |
| 3 |
| 1,135,600 |
| 8.37 |
| 5.781 |
| 5.376 |
| 707 |
| 69.88 |
| 74.22 |
| 0.00 |
Pennsylvania |
| 1 |
| 650,000 |
| 4.79 |
| 6.000 |
| 5.595 |
| 644 |
| 86.66 |
| 100.00 |
| 100.00 |
Alabama |
| 1 |
| 560,000 |
| 4.13 |
| 6.000 |
| 5.595 |
| 706 |
| 70.00 |
| 90.00 |
| 0.00 |
Other |
| 8 |
| 1,879,789 |
| 13.85 |
| 5.689 |
| 5.284 |
| 696 |
| 74.14 |
| 78.77 |
| 10.27 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
No more than approximately 12.12% of the Group 4 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Debt-to-Income Ratio | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
<= 0.00 | 16 |
| $ 6,907,171 |
| 50.89% |
| 5.570% |
| 5.165% |
| 706 |
| 76.83% |
| 80.78% |
| 26.04% |
0.01 - 5.00 | 2 |
| 360,139 |
| 2.65 |
| 5.230 |
| 4.825 |
| 720 |
| 78.59 |
| 78.59 |
| 0.00 |
25.01 - 30.00 | 1 |
| 364,000 |
| 2.68 |
| 5.750 |
| 5.345 |
| 666 |
| 70.00 |
| 70.00 |
| 0.00 |
30.01 - 35.00 | 2 |
| 436,150 |
| 3.21 |
| 5.472 |
| 5.067 |
| 749 |
| 78.89 |
| 84.41 |
| 22.05 |
35.01 - 40.00 | 5 |
| 1,666,706 |
| 12.28 |
| 5.329 |
| 4.924 |
| 747 |
| 76.64 |
| 81.92 |
| 38.10 |
40.01 - 45.00 | 4 |
| 1,237,833 |
| 9.12 |
| 5.432 |
| 5.027 |
| 770 |
| 77.34 |
| 88.16 |
| 0.00 |
45.01 - 50.00 | 6 |
| 2,600,300 |
| 19.16 |
| 5.773 |
| 5.368 |
| 727 |
| 75.15 |
| 90.54 |
| 78.46 |
Total: | 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the non-zero weighted average debt-to-income ratio of the Group 4 Loans was approximately 39.68% per annum.
50
Months Remaining to Scheduled Maturity
Months Remaining to Maturity |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
351 - 355 |
| 1 |
| $ 364,000 |
| 2.68% |
| 5.750% |
| 5.345% |
| 666 |
| 70.00% |
| 70.00% |
| 0.00% |
356 - 360 |
| 35 |
| 13,208,300 |
| 97.32 |
| 5.554 |
| 5.149 |
| 723 |
| 76.64 |
| 83.60 |
| 34.60 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 4 Loans was approximately 358 months.
Credit Scores
Credit Scores |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
641 - 660 |
| 4 |
| $ 1,516,000 |
| 11.17% |
| 5.915% |
| 5.510% |
| 649 |
| 78.60% |
| 89.83% |
| 67.22% |
661 - 680 |
| 4 |
| 1,062,606 |
| 7.83 |
| 5.704 |
| 5.299 |
| 671 |
| 73.24 |
| 73.24 |
| 0.00 |
681 - 700 |
| 4 |
| 1,670,121 |
| 12.31 |
| 5.728 |
| 5.323 |
| 690 |
| 72.59 |
| 74.03 |
| 48.69 |
701 - 720 |
| 8 |
| 2,302,873 |
| 16.97 |
| 5.725 |
| 5.320 |
| 706 |
| 74.48 |
| 85.44 |
| 12.70 |
721 - 740 |
| 4 |
| 2,373,100 |
| 17.48 |
| 5.355 |
| 4.950 |
| 731 |
| 78.97 |
| 83.79 |
| 0.00 |
741 - 760 |
| 2 |
| 1,229,500 |
| 9.06 |
| 5.711 |
| 5.306 |
| 758 |
| 75.24 |
| 84.57 |
| 89.47 |
761 or more |
| 10 |
| 3,418,100 |
| 25.18 |
| 5.249 |
| 4.844 |
| 775 |
| 78.44 |
| 85.56 |
| 39.37 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the weighted average credit score of the Group 4 Loans for which credit scores are available was approximately 722.
Range of Months to Roll
Range of Months to Roll |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
49 - 60 |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
As of the Cut-off Date, the weighted average months to roll of the Group 4 Loans was approximately 58 months.
51
Amortization Type
Amortization Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Interest Only |
| 32 |
| $ 12,258,150 |
| 90.32% |
| 5.552% |
| 5.147% |
| 725 |
| 76.21% |
| 83.71% |
| 31.44% |
Fully Amortizing |
| 4 |
| 1,314,150 |
| 9.68 |
| 5.624 |
| 5.219 |
| 688 |
| 78.82 |
| 78.82 |
| 54.56 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
Loan Purposes
Loan Purpose |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Purchase |
| 18 |
| $ 5,544,900 |
| 40.85% |
| 5.507% |
| 5.102% |
| 723 |
| 78.48% |
| 87.99% |
| 54.80% |
Cash Out Refinance |
| 13 |
| 6,180,800 |
| 45.54 |
| 5.671 |
| 5.266 |
| 716 |
| 73.71 |
| 77.15 |
| 17.80 |
Rate/Term Refinance |
| 5 |
| 1,846,600 |
| 13.61 |
| 5.344 |
| 4.939 |
| 736 |
| 79.61 |
| 89.32 |
| 23.39 |
Total: |
| 36 |
| $ 13,572,300 |
| 100.00% |
| 5.559% |
| 5.154% |
| 722 |
| 76.46% |
| 83.23% |
| 33.67% |
In general, in the case of a mortgage loan made for “rate and term” refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for “cash-out” refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial.
Loan Group 5
The Group 5 Loans had an aggregate principal balance as of the Cut-off Date of approximately $499,586,328, after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 5 Loans are secured by first liens on the related mortgaged property.
The average principal balance of the Group 5 Loans at origination was approximately $280,292. No Group 5 Loan had a principal balance at origination of greater than approximately $2,000,000 or less than approximately $59,500. The average principal balance of the Group 5 Loans as of the Cut-off Date was approximately $280,194. No Group 5 Loan had a principal balance as of the Cut-off Date of greater than approximately $2,000,000 or less than approximately $59,397.
As of the Cut-off Date, the Group 5 Loans had mortgage rates ranging from approximately 3.990% per annum to approximately 11.875% per annum and the weighted average mortgage rate was approximately 6.194% per annum. The weighted average remaining term to stated maturity of the Group 5 Loans was approximately 358 months as of the Cut-off Date. None of the Group 5 Loans will have a first Due Date prior to March 1, 2002, or after July 1, 2005, or will have a remaining term to maturity of less than 320 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 5 Loan is June 1, 2035.
52
Approximately 0.03%, 0.65%, 84.95%, 0.17% and 6.03% of the Group 5 Loans have initial interest only periods of two, three, five, seven and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to-value ratios at origination of the Group 5 Loans was approximately 76.13%. No loan-to-value ratio at origination of any Group 5 Loan was greater than approximately 100.00% or less than approximately 9.37%.
None of the Group 5 Loans are buydown mortgage loans.
None of the Group 5 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
Substantially all of the Group 5 Loans will not have reached their first adjustment date as of the Closing Date.
Approximately 78.11% of the Group 5 Loans provide for prepayment charges.
Approximately 1.97% and .13% of the Group 5 Loans are covered by a Primary Insurance Policy and the PMI Insurer Policy, respectively.
With respect to substantially all of the Group 5 Loans, the minimum mortgage rate is equal to the gross margin.
Set forth below is a description of certain additional characteristics of the Group 5 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 5 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
53
Indices
Index for Loans |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1 MO LIBOR |
| 3 |
| $ 1,304,500 |
| 0.26% |
| 6.489% |
| 5.930% |
| 673 |
| 72.05% |
| 75.68% |
| 0.00% |
1 YR LIBOR |
| 180 |
| 54,005,883 |
| 10.81 |
| 5.943 |
| 5.529 |
| 692 |
| 76.09 |
| 91.55 |
| 7.54 |
6 MO LIBOR |
| 1,600 |
| 444,275,946 |
| 88.93 |
| 6.224 |
| 5.769 |
| 689 |
| 76.15 |
| 91.14 |
| 14.14 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
Principal Balances as of Origination
Principal Balance as of Origination ($) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
$50,000.01 - $100,000.00 |
| 100 |
| $ 8,696,601 |
| 1.74% |
| 6.528% |
| 6.123% |
| 686 |
| 72.81% |
| 89.92% |
| 19.42% |
$100,000.01 - $150,000.00 |
| 244 |
| 30,943,577 |
| 6.19 |
| 6.391 |
| 5.924 |
| 679 |
| 76.25 |
| 93.04 |
| 28.66 |
$150,000.01 - $200,000.00 |
| 293 |
| 51,270,422 |
| 10.26 |
| 6.296 |
| 5.820 |
| 686 |
| 76.68 |
| 91.56 |
| 17.83 |
$200,000.01 - $250,000.00 |
| 287 |
| 64,669,491 |
| 12.94 |
| 6.180 |
| 5.713 |
| 687 |
| 76.08 |
| 92.59 |
| 17.39 |
$250,000.01 - $300,000.00 |
| 214 |
| 58,523,495 |
| 11.71 |
| 6.241 |
| 5.815 |
| 685 |
| 77.24 |
| 93.25 |
| 9.35 |
$300,000.01 - $359,699.00 |
| 215 |
| 70,614,601 |
| 14.13 |
| 6.199 |
| 5.759 |
| 691 |
| 77.28 |
| 92.15 |
| 8.35 |
$359,699.01 - $600,000.00 |
| 354 |
| 158,221,819 |
| 31.67 |
| 6.143 |
| 5.682 |
| 693 |
| 76.84 |
| 90.86 |
| 11.85 |
$600,000.01 - $800,000.00 |
| 61 |
| 40,530,039 |
| 8.11 |
| 6.070 |
| 5.647 |
| 689 |
| 71.71 |
| 88.96 |
| 4.75 |
$800,000.01 - $1,000,000.00 |
| 10 |
| 8,953,630 |
| 1.79 |
| 5.949 |
| 5.544 |
| 682 |
| 74.83 |
| 83.51 |
| 9.43 |
$1,000,000.01 - $1,250,000.00 |
| 2 |
| 2,168,903 |
| 0.43 |
| 5.871 |
| 5.466 |
| 691 |
| 69.84 |
| 69.84 |
| 48.41 |
$1,250,000.01 - $1,500,000.00 |
| 1 |
| 1,400,000 |
| 0.28 |
| 6.875 |
| 6.470 |
| 784 |
| 68.30 |
| 68.30 |
| 0.00 |
$1,500,000.01 - $1,750,000.00 |
| 1 |
| 1,593,750 |
| 0.32 |
| 6.125 |
| 5.720 |
| 748 |
| 75.00 |
| 75.00 |
| 0.00 |
$1,750,000.01 - $2,000,000.00 |
| 1 |
| 2,000,000 |
| 0.40 |
| 5.625 |
| 5.220 |
| 647 |
| 55.55 |
| 65.72 |
| 100.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of origination, the average principal balance of the Group 5 Loans was approximately $280,291.68.
54
Principal Balances as of the Cut-off Date
Current Principal Balances ($) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
$50,000.01 - $100,000.00 |
| 101 |
| $ 8,796,379 |
| 1.76% |
| 6.518% |
| 6.113% |
| 686 |
| 72.78% |
| 89.92% |
| 19.20% |
$100,000.01 - $150,000.00 |
| 243 |
| 30,843,800 |
| 6.17 |
| 6.394 |
| 5.927 |
| 679 |
| 76.27 |
| 93.04 |
| 28.76 |
$150,000.01 - $200,000.00 |
| 293 |
| 51,270,422 |
| 10.26 |
| 6.296 |
| 5.820 |
| 686 |
| 76.68 |
| 91.56 |
| 17.83 |
$200,000.01 - $250,000.00 |
| 287 |
| 64,669,491 |
| 12.94 |
| 6.180 |
| 5.713 |
| 687 |
| 76.08 |
| 92.59 |
| 17.39 |
$250,000.01 - $300,000.00 |
| 214 |
| 58,523,495 |
| 11.71 |
| 6.241 |
| 5.815 |
| 685 |
| 77.24 |
| 93.25 |
| 9.35 |
$300,000.01 - $359,699.00 |
| 215 |
| 70,614,601 |
| 14.13 |
| 6.199 |
| 5.759 |
| 691 |
| 77.28 |
| 92.15 |
| 8.35 |
$359,699.01 - $600,000.00 |
| 354 |
| 158,221,819 |
| 31.67 |
| 6.143 |
| 5.682 |
| 693 |
| 76.84 |
| 90.86 |
| 11.85 |
$600,000.01 - $800,000.00 |
| 61 |
| 40,530,039 |
| 8.11 |
| 6.070 |
| 5.647 |
| 689 |
| 71.71 |
| 88.96 |
| 4.75 |
$800,000.01 - $1,000,000.00 |
| 10 |
| 8,953,630 |
| 1.79 |
| 5.949 |
| 5.544 |
| 682 |
| 74.83 |
| 83.51 |
| 9.43 |
$1,000,000.01 - $1,250,000.00 |
| 2 |
| 2,168,903 |
| 0.43 |
| 5.871 |
| 5.466 |
| 691 |
| 69.84 |
| 69.84 |
| 48.41 |
$1,250,000.01 - $1,500,000.00 |
| 1 |
| 1,400,000 |
| 0.28 |
| 6.875 |
| 6.470 |
| 784 |
| 68.30 |
| 68.30 |
| 0.00 |
$1,500,000.01 - $1,750,000.00 |
| 1 |
| 1,593,750 |
| 0.32 |
| 6.125 |
| 5.720 |
| 748 |
| 75.00 |
| 75.00 |
| 0.00 |
$1,750,000.01 - $2,000,000.00 |
| 1 |
| 2,000,000 |
| 0.40 |
| 5.625 |
| 5.220 |
| 647 |
| 55.55 |
| 65.72 |
| 100.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the average current principal balance of the Group 5 Loans was approximately $280,194.24.
Mortgage Rates
Range of Mortgage Rates (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
3.501% - 4.000% |
| 1 |
| $ 179,000 |
| 0.04% |
| 3.990% |
| 3.585% |
| 650 |
| 74.90% |
| 100.00% |
| 100.00% |
4.001% - 4.500% |
| 8 |
| 2,837,894 |
| 0.57 |
| 4.358 |
| 3.953 |
| 707 |
| 77.39 |
| 91.27 |
| 14.98 |
4.501% - 5.000% |
| 58 |
| 17,717,453 |
| 3.55 |
| 4.886 |
| 4.481 |
| 712 |
| 72.97 |
| 87.21 |
| 13.22 |
5.001% - 5.500% |
| 232 |
| 71,830,660 |
| 14.38 |
| 5.362 |
| 4.950 |
| 697 |
| 72.67 |
| 89.15 |
| 12.08 |
5.501% - 6.000% |
| 451 |
| 133,131,174 |
| 26.65 |
| 5.823 |
| 5.394 |
| 694 |
| 75.29 |
| 91.03 |
| 19.11 |
6.001% - 6.500% |
| 518 |
| 144,688,851 |
| 28.96 |
| 6.305 |
| 5.862 |
| 685 |
| 76.45 |
| 91.73 |
| 12.24 |
6.501% - 7.000% |
| 325 |
| 83,222,206 |
| 16.66 |
| 6.783 |
| 6.303 |
| 681 |
| 77.68 |
| 91.45 |
| 10.69 |
7.001% - 7.500% |
| 93 |
| 20,911,901 |
| 4.19 |
| 7.298 |
| 6.825 |
| 682 |
| 79.92 |
| 93.22 |
| 8.72 |
7.501% - 8.000% |
| 57 |
| 14,675,928 |
| 2.94 |
| 7.796 |
| 7.268 |
| 675 |
| 81.15 |
| 94.11 |
| 6.06 |
8.001% - 8.500% |
| 19 |
| 5,156,971 |
| 1.03 |
| 8.358 |
| 7.697 |
| 658 |
| 82.77 |
| 94.50 |
| 9.95 |
8.501% - 9.000% |
| 14 |
| 3,881,881 |
| 0.78 |
| 8.673 |
| 7.921 |
| 696 |
| 83.27 |
| 93.88 |
| 0.00 |
9.001% - 9.500% |
| 1 |
| 175,750 |
| 0.04 |
| 9.250 |
| 6.935 |
| 691 |
| 95.00 |
| 95.00 |
| 0.00 |
9.501% or more |
| 6 |
| 1,176,658 |
| 0.24 |
| 10.506 |
| 9.081 |
| 697 |
| 93.21 |
| 93.21 |
| 0.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the weighted average mortgage rate of the Group 5 Loans was approximately 6.194% per annum.
55
Next Adjustment Date
Next Adjustment Date |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2005-07-01 |
| 4 |
| $ 1,642,489 |
| 0.33% |
| 5.537% |
| 5.010% |
| 671 |
| 73.15% |
| 73.15% |
| 0.00% |
2005-08-01 |
| 7 |
| 2,000,036 |
| 0.40 |
| 6.164 |
| 5.759 |
| 667 |
| 81.73 |
| 87.08 |
| 25.85 |
2005-09-01 |
| 12 |
| 3,404,288 |
| 0.68 |
| 5.714 |
| 5.088 |
| 676 |
| 78.29 |
| 87.65 |
| 6.79 |
2005-10-01 |
| 117 |
| 37,653,533 |
| 7.54 |
| 5.874 |
| 5.464 |
| 697 |
| 77.42 |
| 91.10 |
| 3.41 |
2005-11-01 |
| 103 |
| 32,654,945 |
| 6.54 |
| 5.879 |
| 5.378 |
| 698 |
| 75.63 |
| 93.63 |
| 3.79 |
2005-12-01 |
| 4 |
| 844,500 |
| 0.17 |
| 5.831 |
| 5.426 |
| 707 |
| 78.53 |
| 87.73 |
| 0.00 |
2006-03-01 |
| 6 |
| 1,600,341 |
| 0.32 |
| 5.789 |
| 5.384 |
| 703 |
| 76.08 |
| 84.41 |
| 0.00 |
2006-04-01 |
| 66 |
| 19,560,814 |
| 3.92 |
| 5.862 |
| 5.457 |
| 683 |
| 74.83 |
| 92.65 |
| 1.42 |
2006-05-01 |
| 75 |
| 23,527,495 |
| 4.71 |
| 5.907 |
| 5.479 |
| 695 |
| 75.25 |
| 91.70 |
| 4.32 |
2006-05-25 |
| 1 |
| 316,800 |
| 0.06 |
| 5.750 |
| 5.345 |
| 752 |
| 80.00 |
| 100.00 |
| 0.00 |
2006-06-01 |
| 1 |
| 208,000 |
| 0.04 |
| 5.875 |
| 5.470 |
| 629 |
| 80.00 |
| 95.00 |
| 0.00 |
2006-08-01 |
| 1 |
| 100,000 |
| 0.02 |
| 6.625 |
| 6.220 |
| 636 |
| 75.76 |
| 75.76 |
| 0.00 |
2006-12-01 |
| 1 |
| 250,603 |
| 0.05 |
| 5.990 |
| 5.585 |
| 616 |
| 80.00 |
| 100.00 |
| 100.00 |
2007-01-01 |
| 1 |
| 228,000 |
| 0.05 |
| 7.250 |
| 6.845 |
| 721 |
| 80.00 |
| 100.00 |
| 0.00 |
2007-02-01 |
| 11 |
| 2,959,435 |
| 0.59 |
| 6.012 |
| 5.376 |
| 683 |
| 78.39 |
| 97.98 |
| 0.00 |
2007-03-01 |
| 118 |
| 26,364,778 |
| 5.28 |
| 6.251 |
| 5.780 |
| 655 |
| 77.61 |
| 95.48 |
| 57.05 |
2007-03-15 |
| 1 |
| 141,000 |
| 0.03 |
| 6.640 |
| 6.235 |
| 600 |
| 78.34 |
| 78.34 |
| 100.00 |
2007-04-01 |
| 575 |
| 155,124,040 |
| 31.05 |
| 6.253 |
| 5.764 |
| 685 |
| 77.52 |
| 92.67 |
| 18.33 |
2007-05-01 |
| 391 |
| 109,925,944 |
| 22.00 |
| 6.250 |
| 5.828 |
| 690 |
| 74.36 |
| 90.59 |
| 7.93 |
2007-06-01 |
| 14 |
| 3,063,100 |
| 0.61 |
| 6.360 |
| 5.955 |
| 720 |
| 73.60 |
| 89.88 |
| 7.10 |
2008-02-01 |
| 1 |
| 615,000 |
| 0.12 |
| 6.125 |
| 5.720 |
| 649 |
| 64.73 |
| 64.73 |
| 0.00 |
2008-03-01 |
| 8 |
| 1,604,621 |
| 0.32 |
| 6.456 |
| 6.051 |
| 676 |
| 75.25 |
| 95.25 |
| 29.56 |
2008-04-01 |
| 73 |
| 19,763,979 |
| 3.96 |
| 6.743 |
| 6.298 |
| 692 |
| 78.72 |
| 91.74 |
| 8.65 |
2008-05-01 |
| 73 |
| 22,255,775 |
| 4.45 |
| 6.466 |
| 6.061 |
| 700 |
| 73.00 |
| 84.00 |
| 7.94 |
2008-06-01 |
| 1 |
| 364,000 |
| 0.07 |
| 6.250 |
| 5.845 |
| 668 |
| 80.00 |
| 94.95 |
| 0.00 |
2010-02-01 |
| 2 |
| 856,221 |
| 0.17 |
| 6.815 |
| 6.410 |
| 705 |
| 81.30 |
| 81.30 |
| 0.00 |
2010-03-01 |
| 7 |
| 3,087,144 |
| 0.62 |
| 6.798 |
| 6.393 |
| 707 |
| 74.24 |
| 79.87 |
| 0.00 |
2010-04-01 |
| 44 |
| 11,034,400 |
| 2.21 |
| 6.578 |
| 6.173 |
| 702 |
| 75.95 |
| 88.78 |
| 4.82 |
2010-05-01 |
| 44 |
| 9,934,816 |
| 1.99 |
| 6.423 |
| 6.018 |
| 707 |
| 74.50 |
| 85.36 |
| 8.15 |
2010-06-01 |
| 5 |
| 908,100 |
| 0.18 |
| 6.970 |
| 6.565 |
| 674 |
| 73.83 |
| 94.62 |
| 0.00 |
2012-03-01 |
| 2 |
| 746,674 |
| 0.15 |
| 5.283 |
| 4.878 |
| 763 |
| 77.79 |
| 86.58 |
| 100.00 |
2012-04-01 |
| 5 |
| 3,046,806 |
| 0.61 | �� | 5.415 |
| 5.010 |
| 732 |
| 78.57 |
| 84.76 |
| 62.69 |
2012-05-01 |
| 6 |
| 1,934,650 |
| 0.39 |
| 5.819 |
| 5.414 |
| 695 |
| 63.28 |
| 68.17 |
| 0.00 |
2012-06-01 |
| 1 |
| 294,000 |
| 0.06 |
| 5.875 |
| 5.470 |
| 674 |
| 70.00 |
| 75.00 |
| 0.00 |
2015-02-01 |
| 1 |
| 1,050,000 |
| 0.21 |
| 6.000 |
| 5.595 |
| 708 |
| 75.00 |
| 75.00 |
| 100.00 |
2015-03-01 |
| 1 |
| 520,000 |
| 0.10 |
| 5.750 |
| 5.345 |
| 766 |
| 80.00 |
| 90.00 |
| 100.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 5 Loans was approximately 22 months.
56
Gross Margin
Range of Gross Margins (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
2.000% or less |
| 1 |
| $ 238,500 |
| 0.05% |
| 6.190% |
| 4.655% |
| 673 |
| 90.00% |
| 90.00% |
| 100.00% |
2.001% - 2.250% |
| 51 |
| 16,628,800 |
| 3.33 |
| 6.110 |
| 5.705 |
| 709 |
| 77.01 |
| 84.92 |
| 26.98 |
2.251% - 2.500% |
| 20 |
| 7,867,216 |
| 1.57 |
| 5.883 |
| 5.478 |
| 713 |
| 79.99 |
| 95.96 |
| 0.00 |
2.501% - 2.750% |
| 42 |
| 14,193,583 |
| 2.84 |
| 6.497 |
| 6.092 |
| 697 |
| 79.15 |
| 86.34 |
| 0.00 |
2.751% - 3.000% |
| 310 |
| 86,781,602 |
| 17.37 |
| 5.961 |
| 5.542 |
| 727 |
| 75.33 |
| 92.36 |
| 2.81 |
3.001% - 3.250% |
| 160 |
| 46,285,857 |
| 9.26 |
| 6.147 |
| 5.742 |
| 703 |
| 75.20 |
| 90.86 |
| 7.85 |
3.251% - 3.500% |
| 209 |
| 60,684,018 |
| 12.15 |
| 6.044 |
| 5.627 |
| 707 |
| 73.68 |
| 93.08 |
| 2.48 |
3.501% - 3.750% |
| 386 |
| 115,345,827 |
| 23.09 |
| 6.298 |
| 5.887 |
| 667 |
| 73.61 |
| 89.02 |
| 5.33 |
3.751% - 4.000% |
| 90 |
| 24,837,565 |
| 4.97 |
| 5.956 |
| 5.543 |
| 677 |
| 75.44 |
| 88.93 |
| 2.08 |
4.001% - 4.250% |
| 10 |
| 1,791,438 |
| 0.36 |
| 6.640 |
| 6.235 |
| 661 |
| 77.24 |
| 85.28 |
| 27.69 |
4.251% - 4.500% |
| 16 |
| 3,384,166 |
| 0.68 |
| 6.520 |
| 6.009 |
| 693 |
| 80.07 |
| 89.21 |
| 53.71 |
4.501% - 4.750% |
| 26 |
| 5,766,930 |
| 1.15 |
| 5.937 |
| 5.436 |
| 671 |
| 81.04 |
| 93.81 |
| 75.73 |
4.751% - 5.000% |
| 206 |
| 56,962,156 |
| 11.40 |
| 6.382 |
| 5.884 |
| 681 |
| 80.24 |
| 93.16 |
| 10.42 |
5.001% - 5.250% |
| 29 |
| 6,778,708 |
| 1.36 |
| 6.235 |
| 5.553 |
| 655 |
| 81.73 |
| 92.40 |
| 51.01 |
5.251% - 5.500% |
| 47 |
| 12,951,093 |
| 2.59 |
| 6.333 |
| 5.721 |
| 657 |
| 80.59 |
| 92.74 |
| 57.00 |
5.501% - 5.750% |
| 59 |
| 13,024,560 |
| 2.61 |
| 6.174 |
| 5.645 |
| 658 |
| 77.76 |
| 93.29 |
| 63.94 |
5.751% - 6.000% |
| 51 |
| 11,973,630 |
| 2.40 |
| 6.472 |
| 5.825 |
| 654 |
| 77.58 |
| 90.75 |
| 44.33 |
6.001% - 6.250% |
| 24 |
| 5,882,955 |
| 1.18 |
| 6.376 |
| 5.908 |
| 647 |
| 78.02 |
| 95.39 |
| 84.09 |
6.251% - 6.500% |
| 18 |
| 3,179,192 |
| 0.64 |
| 6.686 |
| 5.701 |
| 627 |
| 80.99 |
| 92.85 |
| 80.32 |
6.501% - 6.750% |
| 10 |
| 2,014,845 |
| 0.40 |
| 7.143 |
| 6.177 |
| 646 |
| 82.87 |
| 98.08 |
| 69.16 |
6.751% - 7.000% |
| 6 |
| 807,446 |
| 0.16 |
| 7.288 |
| 6.494 |
| 616 |
| 80.45 |
| 91.41 |
| 81.39 |
7.001% - 7.250% |
| 9 |
| 1,655,840 |
| 0.33 |
| 7.568 |
| 7.163 |
| 642 |
| 85.46 |
| 99.37 |
| 70.90 |
7.251% - 7.500% |
| 2 |
| 374,650 |
| 0.07 |
| 7.663 |
| 6.015 |
| 637 |
| 87.10 |
| 92.73 |
| 27.33 |
8.001% - 8.250% |
| 1 |
| 175,750 |
| 0.04 |
| 9.250 |
| 6.935 |
| 691 |
| 95.00 |
| 95.00 |
| 0.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the weighted average Gross Margin of the Group 5 Loans was approximately 3.827% per annum.
Maximum Mortgage Rate
Range of Maximum Mortgage Rates (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
8.000% or less |
| 1 |
| $ 279,414 |
| 0.06% |
| 5.750% |
| 5.345% |
| 726 |
| 66.67% |
| 66.67% |
| 100.00% |
9.501% - 10.000% |
| 6 |
| 2,422,681 |
| 0.48 |
| 5.630 |
| 5.142 |
| 695 |
| 74.66 |
| 81.18 |
| 46.15 |
10.001% - 10.500% |
| 13 |
| 5,528,837 |
| 1.11 |
| 4.849 |
| 4.444 |
| 711 |
| 78.86 |
| 89.79 |
| 31.55 |
10.501% - 11.000% |
| 69 |
| 22,011,123 |
| 4.41 |
| 5.161 |
| 4.756 |
| 710 |
| 74.42 |
| 89.05 |
| 8.90 |
11.001% - 11.500% |
| 256 |
| 77,869,881 |
| 15.59 |
| 5.517 |
| 5.099 |
| 697 |
| 72.84 |
| 89.28 |
| 9.02 |
11.501% - 12.000% |
| 479 |
| 138,183,189 |
| 27.66 |
| 5.939 |
| 5.499 |
| 693 |
| 75.65 |
| 91.16 |
| 18.32 |
12.001% or more |
| 959 |
| 253,291,203 |
| 50.70 |
| 6.667 |
| 6.195 |
| 682 |
| 77.52 |
| 92.05 |
| 11.63 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 5 Loans was approximately 12.123% per annum.
57
Original Interest Only Term
Original Interest Only Term (months) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
0 |
| 158 |
| $ 40,778,780 |
| 8.16% |
| 6.411% |
| 5.985% |
| 678 |
| 76.38% |
| 84.30% |
| 15.49% |
24 |
| 1 |
| 155,661 |
| 0.03 |
| 6.000 |
| 5.595 |
| 675 |
| 79.89 |
| 100.00 |
| 0.00 |
36 |
| 13 |
| 3,234,085 |
| 0.65 |
| 6.822 |
| 6.417 |
| 687 |
| 82.44 |
| 93.12 |
| 0.00 |
60 |
| 1,527 |
| 424,419,332 |
| 84.95 |
| 6.167 |
| 5.711 |
| 689 |
| 75.89 |
| 91.99 |
| 13.41 |
84 |
| 2 |
| 873,000 |
| 0.17 |
| 5.614 |
| 5.209 |
| 764 |
| 88.16 |
| 88.16 |
| 100.00 |
120 |
| 82 |
| 30,125,470 |
| 6.03 |
| 6.237 |
| 5.821 |
| 703 |
| 78.11 |
| 88.36 |
| 9.30 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
Initial Rate Cap
Initial Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1.000% |
| 240 |
| $ 76,279,827 |
| 15.27% |
| 5.878% |
| 5.417% |
| 696 |
| 76.63% |
| 91.66% |
| 3.31% |
2.000% |
| 167 |
| 49,316,622 |
| 9.87 |
| 5.954 |
| 5.538 |
| 691 |
| 75.70 |
| 91.99 |
| 2.62 |
3.000% |
| 1,058 |
| 290,589,107 |
| 58.17 |
| 6.283 |
| 5.851 |
| 690 |
| 75.15 |
| 90.43 |
| 7.93 |
5.000% |
| 99 |
| 35,077,689 |
| 7.02 |
| 6.466 |
| 6.061 |
| 706 |
| 79.62 |
| 91.22 |
| 13.25 |
6.000% |
| 219 |
| 48,323,083 |
| 9.67 |
| 6.205 |
| 5.591 |
| 657 |
| 79.16 |
| 93.69 |
| 73.21 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
Subsequent Rate Cap
Subsequent Rate Cap (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1.000 |
| 1,619 |
| $448,830,054 |
| 89.84% |
| 6.228% |
| 5.774% |
| 689 |
| 76.17% |
| 91.13% |
| 14.00% |
2.000 |
| 164 |
| 50,756,275 |
| 10.16 |
| 5.893 |
| 5.478 |
| 690 |
| 75.77 |
| 91.27 |
| 8.02 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
58
Original Loan-to-Value Ratios
Range of Loan to Value Ratios (%) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
50.00% or less |
| 12 |
| $ 2,327,245 |
| 0.47% |
| 5.686% |
| 5.281% |
| 687 |
| 31.24% |
| 31.83% |
| 14.05% |
50.01% - 55.00% |
| 8 |
| 1,520,826 |
| 0.30 |
| 5.648 |
| 5.243 |
| 679 |
| 52.51 |
| 52.51 |
| 22.46 |
55.01% - 60.00% |
| 12 |
| 6,384,931 |
| 1.28 |
| 5.847 |
| 5.442 |
| 668 |
| 57.08 |
| 69.47 |
| 35.67 |
60.01% - 65.00% |
| 36 |
| 15,411,553 |
| 3.08 |
| 5.879 |
| 5.474 |
| 665 |
| 63.80 |
| 71.32 |
| 8.84 |
65.01% - 70.00% |
| 543 |
| 149,782,168 |
| 29.98 |
| 5.885 |
| 5.480 |
| 699 |
| 69.79 |
| 89.96 |
| 4.10 |
70.01% - 75.00% |
| 66 |
| 19,306,492 |
| 3.86 |
| 6.345 |
| 5.940 |
| 679 |
| 73.72 |
| 81.97 |
| 22.93 |
75.01% - 80.00% |
| 989 |
| 272,781,603 |
| 54.60 |
| 6.321 |
| 5.916 |
| 688 |
| 79.84 |
| 94.96 |
| 15.72 |
80.01% - 85.00% |
| 26 |
| 7,592,060 |
| 1.52 |
| 6.346 |
| 5.184 |
| 659 |
| 84.25 |
| 84.34 |
| 39.15 |
85.01% - 90.00% |
| 60 |
| 16,660,541 |
| 3.33 |
| 6.731 |
| 5.613 |
| 680 |
| 89.51 |
| 89.51 |
| 26.24 |
90.01% - 95.00% |
| 27 |
| 6,775,409 |
| 1.36 |
| 7.332 |
| 6.231 |
| 677 |
| 94.90 |
| 94.90 |
| 15.78 |
95.01% - 100.00% |
| 4 |
| 1,043,500 |
| 0.21 |
| 6.383 |
| 5.505 |
| 673 |
| 99.72 |
| 99.72 |
| 69.96 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
The minimum and maximum loan-to-value ratios of the Group 5 Loans at origination were approximately 9.37% and 100%, respectively, and the weighted average of the loan-to-value ratios of the Group 5 Loans at origination was approximately 76.13%.
Occupancy Types
Occupancy |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Investor |
| 484 |
| $113,138,280 |
| 22.65% |
| 6.256% |
| 5.851% |
| 705 |
| 73.31% |
| 85.66% |
| 5.81% |
Primary |
| 1,237 |
| 372,355,269 |
| 74.53 |
| 6.167 |
| 5.702 |
| 683 |
| 77.06 |
| 92.89 |
| 15.99 |
Secondary |
| 62 |
| 14,092,778 |
| 2.82 |
| 6.409 |
| 5.967 |
| 710 |
| 74.17 |
| 89.21 |
| 5.45 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
Occupancy type is based on the representation of the borrower at the time of origination.
59
Mortgage Loan Program and Documentation Type
Document Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Alternative |
| 2 |
| $ 500,000 |
| 0.10% |
| 5.908% |
| 5.503% |
| 690 |
| 80.00% |
| 100.00% |
| 100.00% |
Express No Doc |
| 50 |
| 16,003,128 |
| 3.20 |
| 6.553 |
| 6.051 |
| 695 |
| 75.47 |
| 78.16 |
| 0.00 |
Express No Doc Verified Assets |
| 10 |
| 2,758,766 |
| 0.55 |
| 7.096 |
| 6.275 |
| 678 |
| 86.19 |
| 86.19 |
| 0.00 |
Express Non Verified Assets |
| 82 |
| 23,764,404 |
| 4.76 |
| 6.447 |
| 5.880 |
| 685 |
| 77.77 |
| 83.67 |
| 0.00 |
Express Self Employed |
| 1 |
| 272,000 |
| 0.05 |
| 6.375 |
| 5.970 |
| 732 |
| 80.00 |
| 80.00 |
| 0.00 |
Express Verified Assets |
| 131 |
| 39,064,990 |
| 7.82 |
| 6.568 |
| 6.141 |
| 690 |
| 78.90 |
| 93.08 |
| 0.00 |
Full |
| 277 |
| 66,389,551 |
| 13.29 |
| 6.032 |
| 5.491 |
| 661 |
| 78.16 |
| 93.05 |
| 100.00 |
FISA |
| 5 |
| 1,416,784 |
| 0.28 |
| 5.441 |
| 5.036 |
| 675 |
| 81.74 |
| 94.35 |
| 0.00 |
No Ratio |
| 11 |
| 4,845,232 |
| 0.97 |
| 6.079 |
| 5.674 |
| 677 |
| 80.38 |
| 87.60 |
| 0.00 |
NINA |
| 1 |
| 440,000 |
| 0.09 |
| 5.625 |
| 5.220 |
| 742 |
| 80.00 |
| 98.19 |
| 0.00 |
Stated |
| 1,171 |
| 332,208,000 |
| 66.50 |
| 6.151 |
| 5.726 |
| 694 |
| 75.23 |
| 91.83 |
| 0.00 |
SISA |
| 42 |
| 11,923,473 |
| 2.39 |
| 6.055 |
| 5.650 |
| 703 |
| 73.27 |
| 89.25 |
| 0.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
See “—Underwriting Standards” below for a detailed description of the Seller’s loan programs and documentation requirements.
60
Credit Grade Category
Credit Quality |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
A |
| 741 |
| $212,988,247 |
| 42.63% |
| 6.248% |
| 5.797% |
| 656 |
| 76.24% |
| 90.41% |
| 16.80% |
A- |
| 87 |
| 17,321,219 |
| 3.47 |
| 6.411 |
| 5.675 |
| 608 |
| 78.53 |
| 88.59 |
| 76.85 |
A+ |
| 846 |
| 240,115,354 |
| 48.06 |
| 6.077 |
| 5.658 |
| 726 |
| 75.87 |
| 93.02 |
| 7.11 |
B |
| 1 |
| 499,537 |
| 0.10 |
| 6.375 |
| 5.970 |
| 574 |
| 63.30 |
| 63.30 |
| 100.00 |
C |
| 1 |
| 235,776 |
| 0.05 |
| 6.250 |
| 5.845 |
| 554 |
| 80.00 |
| 80.00 |
| 100.00 |
Progressive Express I(2) |
| 44 |
| 11,418,163 |
| 2.29 |
| 6.573 |
| 6.102 |
| 728 |
| 76.77 |
| 86.80 |
| 0.00 |
Progressive Express II(2) |
| 58 |
| 15,974,346 |
| 3.20 |
| 6.671 |
| 6.067 |
| 653 |
| 75.86 |
| 80.31 |
| 0.00 |
Progressive Express III(2) |
| 4 |
| 708,921 |
| 0.14 |
| 6.896 |
| 6.491 |
| 617 |
| 79.74 |
| 84.47 |
| 0.00 |
Progressive Express IV(2) |
| 1 |
| 324,765 |
| 0.07 |
| 7.625 |
| 7.220 |
| 590 |
| 72.71 |
| 72.71 |
| 0.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
_________________
(1) All of these Group 5 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A, A- and C correspond to Progressive Series I+, I and II, III and III+ and V, respectively.
(2) These Group 5 Loans were originated under the Seller’s Progressive Express™ Program. The underwriting for these Group 5 Loans is generally based on the borrower’s “Credit Score” score and therefore these Group 5 Loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi™ Program has been placed in either Progressive Express™ Program II or III.
See “—Underwriting Standards” below for a description of the Seller’s risk categories. |
Property Types
Property Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Townhouse |
| 13 |
| $ 2,799,258 |
| 0.56% |
| 6.831% |
| 6.426% |
| 692 |
| 77.75% |
| 96.38% |
| 9.15% |
Two-Four Family Units Unknown |
| 5 |
| 1,629,402 |
| 0.33 |
| 7.005 |
| 6.600 |
| 722 |
| 82.51 |
| 93.54 |
| 0.00 |
Condominium |
| 205 |
| 49,160,304 |
| 9.84 |
| 6.122 |
| 5.699 |
| 700 |
| 75.88 |
| 94.55 |
| 10.36 |
PUD |
| 294 |
| 89,803,103 |
| 17.98 |
| 6.136 |
| 5.702 |
| 690 |
| 75.79 |
| 91.59 |
| 9.30 |
Single Family |
| 1,095 |
| 297,957,150 |
| 59.64 |
| 6.160 |
| 5.690 |
| 685 |
| 76.67 |
| 91.30 |
| 16.50 |
Two- to Four Family |
| 171 |
| 58,237,111 |
| 11.66 |
| 6.468 |
| 6.063 |
| 700 |
| 73.84 |
| 86.48 |
| 6.89 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
61
Geographic Distribution of Mortgaged Properties
State |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
California |
| 877 |
| $304,397,753 |
| 60.93% |
| 6.047% |
| 5.615% |
| 693 |
| 75.44% |
| 90.49% |
| 9.71% |
Florida |
| 223 |
| 43,649,296 |
| 8.74 |
| 6.442 |
| 5.960 |
| 688 |
| 75.55 |
| 91.10 |
| 11.07 |
Virginia |
| 77 |
| 22,363,800 |
| 4.48 |
| 6.519 |
| 5.976 |
| 684 |
| 79.94 |
| 95.50 |
| 14.63 |
Nevada |
| 76 |
| 18,115,575 |
| 3.63 |
| 6.276 |
| 5.854 |
| 686 |
| 77.22 |
| 92.46 |
| 8.59 |
Maryland |
| 62 |
| 17,035,313 |
| 3.41 |
| 6.569 |
| 6.099 |
| 683 |
| 78.07 |
| 92.97 |
| 24.92 |
Other |
| 468 |
| 94,024,592 |
| 18.82 |
| 6.394 |
| 5.917 |
| 680 |
| 77.18 |
| 91.67 |
| 24.91 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
No more than approximately .56% of the Group 5 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Debt-to-Income Ratio | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
<= 0.00 | 283 |
| $ 81,324,511 |
| 16.28% |
| 6.364% |
| 5.908% |
| 693 |
| 75.05% |
| 88.93% |
| 0.00% |
0.01 - 5.00 | 95 |
| 28,010,665 |
| 5.61 |
| 6.495 |
| 6.037 |
| 688 |
| 79.51 |
| 87.95 |
| 0.00 |
5.01 - 10.00 | 3 |
| 1,006,890 |
| 0.20 |
| 6.590 |
| 6.185 |
| 694 |
| 71.69 |
| 87.19 |
| 51.40 |
10.01 - 15.00 | 7 |
| 1,531,351 |
| 0.31 |
| 6.238 |
| 5.833 |
| 714 |
| 74.39 |
| 85.98 |
| 0.00 |
15.01 - 20.00 | 24 |
| 4,563,173 |
| 0.91 |
| 6.225 |
| 5.820 |
| 713 |
| 74.91 |
| 86.78 |
| 3.33 |
20.01 - 25.00 | 47 |
| 9,958,387 |
| 1.99 |
| 6.191 |
| 5.786 |
| 705 |
| 74.35 |
| 84.62 |
| 0.00 |
25.01 - 30.00 | 90 |
| 23,908,403 |
| 4.79 |
| 6.167 |
| 5.712 |
| 694 |
| 74.57 |
| 87.69 |
| 8.85 |
30.01 - 35.00 | 128 |
| 37,282,774 |
| 7.46 |
| 6.084 |
| 5.627 |
| 693 |
| 74.91 |
| 87.85 |
| 5.04 |
35.01 - 40.00 | 263 |
| 79,850,234 |
| 15.98 |
| 6.130 |
| 5.657 |
| 697 |
| 76.15 |
| 90.43 |
| 10.40 |
40.01 - 45.00 | 322 |
| 91,515,629 |
| 18.32 |
| 6.141 |
| 5.703 |
| 690 |
| 76.63 |
| 93.82 |
| 9.09 |
45.01 - 50.00 | 483 |
| 129,867,141 |
| 25.99 |
| 6.165 |
| 5.716 |
| 679 |
| 76.98 |
| 94.69 |
| 32.74 |
50.01 - 55.00 | 36 |
| 10,418,249 |
| 2.09 |
| 5.768 |
| 5.363 |
| 677 |
| 71.21 |
| 84.01 |
| 29.53 |
55.01 >= | 2 |
| 348,921 |
| 0.07 |
| 7.034 |
| 6.629 |
| 610 |
| 79.47 |
| 89.07 |
| 0.00 |
Total: | 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the non-zero weighted average debt-to-income ratio of the Group 5 Loans was approximately 38.11% per annum.
62
Original Prepayment Penalty
Original Prepayment Penalty Term (months) |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
0 |
| 375 |
| $109,340,128 |
| 21.89% |
| 6.446% |
| 6.017% |
| 693 |
| 76.36% |
| 88.62% |
| 10.08% |
6 |
| 15 |
| 4,426,474 |
| 0.89 |
| 6.258 |
| 5.853 |
| 690 |
| 71.48 |
| 90.09 |
| 0.00 |
7 |
| 1 |
| 248,920 |
| 0.05 |
| 6.750 |
| 6.345 |
| 757 |
| 80.00 |
| 95.00 |
| 0.00 |
12 |
| 316 |
| 101,982,875 |
| 20.41 |
| 5.918 |
| 5.487 |
| 697 |
| 74.88 |
| 91.22 |
| 6.22 |
24 |
| 787 |
| 203,907,254 |
| 40.82 |
| 6.203 |
| 5.731 |
| 682 |
| 76.54 |
| 92.22 |
| 21.73 |
36 |
| 231 |
| 63,642,859 |
| 12.74 |
| 6.155 |
| 5.696 |
| 692 |
| 77.72 |
| 92.24 |
| 8.19 |
48 |
| 1 |
| 144,800 |
| 0.03 |
| 6.000 |
| 5.595 |
| 703 |
| 80.00 |
| 80.00 |
| 0.00 |
60 |
| 57 |
| 15,893,019 |
| 3.18 |
| 6.255 |
| 5.812 |
| 695 |
| 72.15 |
| 90.18 |
| 0.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
Months Remaining to Scheduled Maturity
Months Remaining to Maturity |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
301 - 330 |
| 7 |
| $ 2,040,525 |
| 0.41% |
| 5.640% |
| 5.235% |
| 659 |
| 82.72% |
| 82.72% |
| 25.33% |
341 - 350 |
| 2 |
| 397,500 |
| 0.08 |
| 5.315 |
| 4.910 |
| 700 |
| 71.45 |
| 86.42 |
| 0.00 |
351 - 355 |
| 2 |
| 478,603 |
| 0.10 |
| 6.590 |
| 6.185 |
| 666 |
| 80.00 |
| 100.00 |
| 52.36 |
356 - 360 |
| 1,772 |
| 496,669,700 |
| 99.42 |
| 6.197 |
| 5.746 |
| 689 |
| 76.10 |
| 91.18 |
| 13.31 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 5 Loans was approximately 358 months.
Credit Scores
Range of Credit Scores |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
600 or less or Not Available |
| 17 |
| $ 3,932,263 |
| 0.79% |
| 6.451% |
| 6.046% |
| 588 |
| 71.53% |
| 76.59% |
| 53.54% |
601 - 620 |
| 84 |
| 16,917,657 |
| 3.39 |
| 6.402 |
| 5.657 |
| 612 |
| 79.84 |
| 90.20 |
| 75.88 |
621 - 640 |
| 203 |
| 55,344,524 |
| 11.08 |
| 6.312 |
| 5.800 |
| 631 |
| 76.85 |
| 87.75 |
| 23.71 |
641 - 660 |
| 279 |
| 80,230,709 |
| 16.06 |
| 6.374 |
| 5.911 |
| 651 |
| 76.32 |
| 90.65 |
| 13.31 |
661 - 680 |
| 288 |
| 84,161,752 |
| 16.85 |
| 6.210 |
| 5.778 |
| 671 |
| 75.19 |
| 89.99 |
| 9.37 |
681 - 700 |
| 277 |
| 79,243,573 |
| 15.86 |
| 6.173 |
| 5.741 |
| 690 |
| 76.00 |
| 93.14 |
| 7.13 |
701 - 720 |
| 190 |
| 52,076,432 |
| 10.42 |
| 6.117 |
| 5.699 |
| 710 |
| 77.18 |
| 94.17 |
| 11.94 |
721 - 740 |
| 144 |
| 39,915,403 |
| 7.99 |
| 5.944 |
| 5.529 |
| 730 |
| 75.21 |
| 92.31 |
| 6.59 |
741 - 760 |
| 132 |
| 35,614,400 |
| 7.13 |
| 6.148 |
| 5.722 |
| 750 |
| 75.88 |
| 92.02 |
| 6.74 |
761 or more |
| 169 |
| 52,149,615 |
| 10.44 |
| 6.014 |
| 5.604 |
| 777 |
| 75.78 |
| 91.24 |
| 6.42 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the weighted average credit score of the Group 5 Loans for which credit scores are available was approximately 689.
63
Range of Months to Roll
Range of Months to Roll |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
1 - 12 |
| 396 |
| $123,413,242 |
| 24.70% |
| 5.874% |
| 5.430% |
| 693 |
| 76.16% |
| 91.65% |
| 3.70% |
13 - 24 |
| 1,113 |
| 298,156,900 |
| 59.68 |
| 6.251 |
| 5.788 |
| 685 |
| 76.33 |
| 92.17 |
| 17.71 |
25 - 36 |
| 156 |
| 44,603,375 |
| 8.93 |
| 6.582 |
| 6.159 |
| 694 |
| 75.56 |
| 87.66 |
| 8.86 |
49 - 60 |
| 102 |
| 25,820,682 |
| 5.17 |
| 6.566 |
| 6.161 |
| 703 |
| 75.29 |
| 86.36 |
| 5.19 |
73 - 84 |
| 14 |
| 6,022,130 |
| 1.21 |
| 5.551 |
| 5.146 |
| 721 |
| 73.14 |
| 79.18 |
| 44.12 |
109 - 120 |
| 2 |
| 1,570,000 |
| 0.31 |
| 5.917 |
| 5.512 |
| 727 |
| 76.66 |
| 79.97 |
| 100.00 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
As of the Cut-off Date, the weighted average months to roll of the Group 5 Loans was approximately 22 months.
Amortization Type
Amortization Type |
| Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Interest Only |
| 1,625 |
| $458,807,548 |
| 91.84% |
| 6.175% |
| 5.722% |
| 690 |
| 76.11% |
| 91.75% |
| 13.20% |
Fully Amortizing |
| 158 |
| 40,778,780 |
| 8.16 |
| 6.411 |
| 5.985 |
| 678 |
| 76.38 |
| 84.30 |
| 15.49 |
Total: |
| 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
Loan Purposes
Loan Purposes | Number of Loans |
| Principal Balance |
| % of Pool By Principal Balance |
| Weighted Average Gross Coupon |
| Weighted Average Net Coupon |
| Weighted Average FICO |
| Weighted Average Original LTV |
| Weighted Average Combined LTV |
| % Full Alt Doc |
Purchase | 1,244 |
| $340,803,409 |
| 68.22% |
| 6.216% |
| 5.789% |
| 698 |
| 77.04% |
| 95.09% |
| 10.90% |
Cash Out Refinance | 434 |
| 134,039,261 |
| 26.83 |
| 6.161 |
| 5.647 |
| 671 |
| 73.61 |
| 81.04 |
| 15.31 |
Rate/Term Refinance | 105 |
| 24,743,658 |
| 4.95 |
| 6.071 |
| 5.636 |
| 668 |
| 77.32 |
| 91.60 |
| 37.23 |
Total: | 1,783 |
| $499,586,328 |
| 100.00% |
| 6.194% |
| 5.744% |
| 689 |
| 76.13% |
| 91.15% |
| 13.39% |
In general, in the case of a mortgage loan made for “rate and term” refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for “cash-out” refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial.
64