First NLC Securitization Trust 2005-4
Issuer
First NLC Securitization, Inc.
Depositor
DISCLAIMER
The issuer has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (“SEC”) for the offering to which this communication relates with a file number of 333-127919. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling (703) 469-1225.
COMPUTATIONAL MATERIALS
This presentation contains tables and other statistical analyses (the “Computational Materials”). These Computational Materials have been prepared by Friedman, Billings, Ramsey & Co., Inc. (“FBR”) in reliance upon information furnished by the issuer of the securities and its affiliates. These Computational Materials are furnished to you solely by FBR and not by the issuer of the securities. They may not be provided to any third party other than the addressee’s legal, tax, financial and/or accounting advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Materials which may or may not be reflected therein. As such, no assurance can be given as to the Computational Materials’ appropriateness in any particular context. In addition, no assurance can be given as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice.
Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfall.
If the Computational Materials were generated using a hypothetical group of mortgage loans, the specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical underlying assets used in preparing the Computational Materials. If these Computational Materials are based only on a statistical pool of mortgage loans expected to be included in the trust along with other mortgage loans on the closing date, the specific characteristics of these securities also may differ from those shown in the Computational Materials. A statistical pool may not necessarily represent a statistically relevant population, notwithstanding any contrary references herein. Although FBR believes the information with respect to the statistical pool will be representative of the final pool of mortgage loans, the collateral characteristics of the final pool may nonetheless vary from the collateral characteristics of the statistical pool. Certain mortgage loans contained in a statistical pool or the actual pool may be deleted from the final pool of mortgage loans delivered to the trust on the closing date.
We need these matrices in addition to strats
Aggregate Loans (First Lien Only) : in specific bucket
FICO | % of total deal | Avg LTV | Max LTV | % Full Doc | % Owner Occ | % IO | WAC | MARGIN | % Second Lien (Simultaneous or Silent) | ||||||||||
500 - 519 | 3.51 | % | 72.49 | 80 | 2.75 | 3.66 | 0 | 8.525 | 7.598 | 0 | |||||||||
520 - 539 | 4.48 | % | 74.79 | 95 | 3.4 | 4.71 | 0 | 8.433 | 7.561 | 0.02 | |||||||||
540 - 559 | 6.18 | % | 76.76 | 92 | 3.7 | 6.35 | 0 | 8.224 | 7.415 | 0.18 | |||||||||
560 - 579 | 5.79 | % | 78.53 | 100 | 3.95 | 5.97 | 0.14 | 7.989 | 7.293 | 0.41 | |||||||||
580 - 599 | 8.39 | % | 82.96 | 100 | 4.73 | 8.67 | 1.04 | 7.788 | 7.103 | 0.4 | |||||||||
600 - 619 | 11.40 | % | 80.7 | 100 | 6.23 | 11.67 | 3.71 | 7.55 | 6.921 | 3.4 | |||||||||
620 - 639 | 15.12 | % | 79.94 | 100 | 4.98 | 15.56 | 7.14 | 7.456 | 6.79 | 8.59 | |||||||||
640 - 659 | 13.89 | % | 80.73 | 100 | 4.98 | 13.87 | 6.78 | 7.252 | 6.651 | 6.99 | |||||||||
660 - 679 | 10.26 | % | 81.19 | 100 | 4.01 | 10.34 | 5.83 | 7.137 | 6.515 | 5.37 | |||||||||
680 - 699 | 6.52 | % | 81.99 | 100 | 2.55 | 6.51 | 3.1 | 7.032 | 6.5 | 3.41 | |||||||||
700 - 719 | 4.03 | % | 82.2 | 100 | 1.42 | 3.97 | 1.91 | 7.049 | 6.429 | 2.35 | |||||||||
720 - 739 | 2.82 | % | 82.21 | 100 | 0.61 | 2.72 | 1.38 | 6.995 | 6.351 | 1.52 | |||||||||
740 - 759 | 1.29 | % | 81 | 95 | 0.33 | 1.36 | 0.74 | 7.034 | 6.574 | 0.89 | |||||||||
760 - 779 | 0.82 | % | 80.59 | 100 | 0.21 | 0.83 | 0.32 | 7.023 | 6.478 | 0.56 | |||||||||
780 - 799 | 0.40 | % | 79.81 | 95 | 0.1 | 0.34 | 0.19 | 7.08 | 6.59 | 0.33 | |||||||||
800+ | 0.19 | % | 84.56 | 95 | 0.01 | 0.2 | 0.08 | 7.109 | 6.197 | 0.08 | |||||||||
Totals (of deal) | 95.10 | % | 80.07 | 100 | 43.95 | 96.73 | 32.36 | 7.529 | 6.863 | 34.53 |
Aggregate Loans (Second Lien Only)
FICO | % of total deal | Avg LTV | Max LTV | % Full Doc | % Owner Occ | % IO | WAC | MARGIN | |||||||||
560 - 579 | 0.01 | % | 100 | 100 | 0 | 0.23 | 0 | 10.15 | 0 | ||||||||
580 - 599 | 0.03 | % | 99.49 | 100 | 0.58 | 0.64 | 0 | 10.937 | 0 | ||||||||
600 - 619 | 0.43 | % | 99.61 | 100 | 3.32 | 8.85 | 0 | 11.521 | 0 | ||||||||
620 - 639 | 1.50 | % | 99.45 | 100 | 5.58 | 30.52 | 0.08 | 11.108 | 0 | ||||||||
640 - 659 | 0.86 | % | 99.81 | 100 | 3.37 | 17.49 | 0 | 10.779 | 0 | ||||||||
660 - 679 | 0.77 | % | 99.48 | 100 | 3.18 | 15.64 | 0 | 10.324 | 0 | ||||||||
680 - 699 | 0.44 | % | 99.82 | 100 | 2.62 | 9.07 | 0 | 10.045 | 0 | ||||||||
700 - 719 | 0.37 | % | 99.29 | 100 | 1.23 | 7.45 | 0 | 10.141 | 0 | ||||||||
720 - 739 | 0.20 | % | 99.89 | 100 | 0.62 | 3.94 | 0 | 10.3 | 0 | ||||||||
740 - 759 | 0.16 | % | 99.91 | 100 | 0.27 | 3.31 | 0 | 10.081 | 0 | ||||||||
760 - 779 | 0.09 | % | 100 | 100 | 0.24 | 1.77 | 0 | 10.007 | 0 | ||||||||
780 - 799 | 0.04 | % | 100 | 100 | 0 | 0.79 | 0 | 10.167 | 0 | ||||||||
800+ | 0.01 | % | 100 | 100 | 0 | 0.23 | 0 | 9.75 | 0 |
| If seconds in deal: | ||
Second Lien Loans
| ||
FRM % | 100 | |
ARM % | 0 |
IO Loans
FICO | % of total deal | Avg LTV | Max LTV | % Full Doc | % Owner Occ | WAC | MARGIN | % Second Lien (Simultaneous or Silent) | ||||||||
560 - 579 | 1042180.09 | 84.69 | 90 | 0.23 | 0.44 | 7.197 | 6.801 | 0 | ||||||||
580 - 599 | 7671993.87 | 83.21 | 100 | 2.73 | 3.22 | 7.248 | 6.787 | 0 | ||||||||
600 - 619 | 27299006.87 | 81.39 | 95 | 4.49 | 11.46 | 7.377 | 6.809 | 0 | ||||||||
620 - 639 | 52576002.44 | 79.91 | 100 | 4.66 | 22.06 | 7.33 | 6.622 | 0.01 | ||||||||
640 - 659 | 49922560.65 | 80.43 | 95 | 7.12 | 20.79 | 7.103 | 6.525 | 0 | ||||||||
660 - 679 | 42901622.05 | 80.55 | 95 | 6.89 | 17.81 | 7.043 | 6.401 | 0 | ||||||||
680 - 699 | 22862190.3 | 81.66 | 95 | 3.37 | 9.59 | 6.874 | 6.294 | 0 | ||||||||
700 - 719 | 14077282.94 | 81.34 | 95 | 2.23 | 5.89 | 6.868 | 6.144 | 0 | ||||||||
720 - 739 | 10195249.32 | 80.58 | 95 | 0.77 | 4.28 | 6.78 | 6.143 | 0 | ||||||||
740 - 759 | 5428141.37 | 82.02 | 90 | 0.5 | 2.28 | 7.055 | 6.484 | 0 | ||||||||
760 - 779 | 2361850 | 79.42 | 94.99 | 0 | 0.99 | 6.895 | 5.991 | 0 | ||||||||
780 - 799 | 1364300 | 80 | 80 | 0.12 | 0.5 | 6.795 | 6.283 | 0 | ||||||||
800+ | 584890 | 86.07 | 95 | 0 | 0.25 | 7.048 | 5.337 | 0 |
If the deal has Mortage Insurance - we want the following: **all of these are dummy numbers
First Lien Loans: | # of Mortgage Loans | Prin. Balance | % of Principal Balance | WAC | % Owner Occupancy | % ARM | FICO | CLTV | % Full Doc | Coverage Down to: | ||||||||||
Less than 60.01% | ||||||||||||||||||||
60.01 to 70.00% | ||||||||||||||||||||
70.01 to 80.00% | ||||||||||||||||||||
80.01 to 85.00% | ||||||||||||||||||||
With MI: | ||||||||||||||||||||
Without MI: | ||||||||||||||||||||
85.01 to 90.00% | No MI | |||||||||||||||||||
With MI: | ||||||||||||||||||||
Without MI: | ||||||||||||||||||||
90.01 to 95.00% | ||||||||||||||||||||
With MI: | ||||||||||||||||||||
Without MI: | ||||||||||||||||||||
95.01 to 100.00% | ||||||||||||||||||||
With MI: | ||||||||||||||||||||
Without MI: | ||||||||||||||||||||
Subtotal (First Lien) |
ONLY IF THE DEAL HAS DEEP MI, otherwise we DO NOT NEED
If the deal has deep MI - we want the following:
For Non-MI Loans-only
By LTV Bucket | % of total deal | Avg FICO | %<550 FICO | %full doc | %non owner | |||||
<=50% LTV | ||||||||||
51%-60% | ||||||||||
61%-70% | ||||||||||
71%-80% | No MI | |||||||||
81%-85% | ||||||||||
86%-90% | ||||||||||
91%-95% | ||||||||||
96%-100% |
We needs strats broken out in this format for ARMs only, Fixed only, IO only
We also need this for the total pool combined
There should be one sheet of information per group. ALL/ARM/FIXED/IO
Original Principal Balances of Mortgage Loans
Range ($) | Number of Loans | Aggregate Original Principal Balance | % of Aggregate as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | ||||||||||||
0-24,999.01 | 78 | $ | 1,593,250.00 | 0.21 | % | $ | 20,402.31 | 11.035 | 99.28 | 0 | 643 | 2 | |||||||||
25,000.01 - 50,000.00 | 263 | $ | 10,006,929.00 | 1.29 | % | $ | 38,027.27 | 10.678 | 95.37 | 8 | 645 | 3 | |||||||||
50,000.01 - 75,000.00 | 403 | $ | 25,647,412.00 | 3.31 | % | $ | 63,606.83 | 9.534 | 88.09 | 8 | 624 | 2 | |||||||||
75,000.01 - 100,000.00 | 481 | $ | 42,254,467.85 | 5.46 | % | $ | 87,807.57 | 8.533 | 82.52 | 7 | 611 | 2 | |||||||||
100,000.01 - 125,000.00 | 438 | $ | 49,612,484.00 | 6.41 | % | $ | 113,228.17 | 8.085 | 80.77 | 7 | 611 | 2 | |||||||||
125,000.01 - 150,000.00 | 406 | $ | 56,068,198.00 | 7.24 | % | $ | 138,051.65 | 7.774 | 80.03 | 7 | 612 | 2 | |||||||||
150,000.01 - 175,000.00 | 345 | $ | 56,267,864.00 | 7.27 | % | $ | 162,690.03 | 7.693 | 79.94 | 7 | 623 | 2 | |||||||||
175,000.01 - 200,000.00 | 321 | $ | 60,261,225.00 | 7.78 | % | $ | 187,676.61 | 7.785 | 80.77 | 7 | 620 | 2 | |||||||||
200,000.01 - 225,000.00 | 281 | $ | 59,755,254.00 | 7.72 | % | $ | 212,597.53 | 7.422 | 79.77 | 7 | 631 | 2 | |||||||||
225,000.01 - 250,000.00 | 235 | $ | 55,870,492.00 | 7.22 | % | $ | 236,793.97 | 7.474 | 80.99 | 7 | 634 | 2 | |||||||||
250,000.01 - 275,000.00 | 200 | $ | 52,568,925.00 | 6.79 | % | $ | 260,815.34 | 7.340 | 80.04 | 7 | 631 | 2 | |||||||||
275,000.01 - 300,000.00 | 179 | $ | 51,436,045.00 | 6.64 | % | $ | 287,298.27 | 7.486 | 80.87 | 7 | 638 | 2 | |||||||||
300,000.01 - 333,700.00 | 150 | $ | 47,471,893.00 | 6.13 | % | $ | 316,423.39 | 7.291 | 80.71 | 7 | 630 | 2 | |||||||||
333,700.01 - 350,000.00 | 63 | $ | 21,512,290.00 | 2.78 | % | $ | 341,369.08 | 7.372 | 78.47 | 7 | 638 | 1 | |||||||||
350,000.01 - 600,000.00 | 413 | $ | 178,153,369.20 | 23.01 | % | $ | 430,286.24 | 7.318 | 80.84 | 7 | 639 | 2 | |||||||||
600,000.01 - 1,000,000.00 | 11 | $ | 7,148,000.00 | 0.92 | % | $ | 649,768.54 | 7.069 | 76.59 | 6 | 650 | 2 | |||||||||
Total: | 4,267 | $ | 775,628,098.05 | 100.17 | % | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
Principal Balances of Mortgage Loans as of Cutoff Date
Range ($) | Number of Loans | Aggregate Principal Balance | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
0-24,999.01 | 78 | $ | 1,591,380.37 | 0.21 | $ | 20,402.31 | 11.035 | 99.28 | 0 | 643 | 2 | |||||||||
25,000.01 - 50,000.00 | 264 | $ | 10,040,572.48 | 1.30 | $ | 38,032.47 | 10.667 | 95.31 | 8 | 646 | 3 | |||||||||
50,000.01 - 75,000.00 | 406 | $ | 25,825,292.53 | 3.34 | $ | 63,609.09 | 9.512 | 88.03 | 8 | 625 | 2 | |||||||||
75,000.01 - 100,000.00 | 482 | $ | 42,329,442.57 | 5.47 | $ | 87,820.42 | 8.528 | 82.51 | 7 | 611 | 2 | |||||||||
100,000.01 - 125,000.00 | 438 | $ | 49,593,939.88 | 6.41 | $ | 113,228.17 | 8.085 | 80.77 | 7 | 611 | 2 | |||||||||
125,000.01 - 150,000.00 | 406 | $ | 56,048,969.06 | 7.24 | $ | 138,051.65 | 7.774 | 80.03 | 7 | 612 | 2 | |||||||||
150,000.01 - 175,000.00 | 345 | $ | 56,263,643.97 | 7.27 | $ | 163,083.03 | 7.694 | 79.95 | 7 | 623 | 2 | |||||||||
175,000.01 - 200,000.00 | 321 | $ | 60,268,909.31 | 7.78 | $ | 187,753.61 | 7.783 | 80.76 | 7 | 620 | 2 | |||||||||
200,000.01 - 225,000.00 | 281 | $ | 59,751,806.29 | 7.72 | $ | 212,639.88 | 7.422 | 79.76 | 7 | 631 | 2 | |||||||||
225,000.01 - 250,000.00 | 233 | $ | 55,375,583.23 | 7.15 | $ | 237,663.45 | 7.475 | 80.99 | 7 | 634 | 2 | |||||||||
250,000.01 - 275,000.00 | 198 | $ | 52,030,729.50 | 6.72 | $ | 262,781.46 | 7.342 | 80.04 | 7 | 631 | 2 | |||||||||
275,000.01 - 300,000.00 | 179 | $ | 51,426,389.67 | 6.64 | $ | 287,298.27 | 7.486 | 80.87 | 7 | 638 | 2 | |||||||||
300,000.01 - 333,700.00 | 150 | $ | 47,463,508.65 | 6.13 | $ | 316,423.39 | 7.291 | 80.71 | 7 | 630 | 2 | |||||||||
333,700.01 - 350,000.00 | 63 | $ | 21,506,252.25 | 2.78 | $ | 341,369.08 | 7.372 | 78.47 | 7 | 638 | 1 | |||||||||
350,000.01 - 600,000.00 | 412 | $ | 177,614,215.43 | 22.94 | $ | 431,102.46 | 7.318 | 80.84 | 7 | 639 | 2 | |||||||||
600,000.01 - 1,000,000.00 | 11 | $ | 7,147,453.98 | 0.92 | $ | 649,768.54 | 7.069 | 76.59 | 6 | 650 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
Current Mortgage Rates of Mortgage Loans
Mortgage Rates (%) | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
5.500 - 5.999 | 35 | $ | 9,563,798.22 | 1.24 | $ | 273,251.38 | 5.817 | 79.61 | 5 | 669 | 2 | |||||||||
6.000 - 6.499 | 210 | $ | 52,347,242.95 | 6.76 | $ | 249,272.59 | 6.278 | 77.64 | 6 | 661 | 2 | |||||||||
6.500 - 6.999 | 716 | $ | 166,759,979.33 | 21.54 | $ | 232,905.00 | 6.779 | 78.58 | 6 | 655 | 2 | |||||||||
7.000 - 7.499 | 655 | $ | 148,909,676.08 | 19.23 | $ | 227,343.02 | 7.235 | 79.28 | 7 | 644 | 2 | |||||||||
7.500 - 7.999 | 843 | $ | 174,198,723.93 | 22.50 | $ | 206,641.43 | 7.733 | 80.93 | 7 | 618 | 2 | |||||||||
8.000 - 8.499 | 410 | $ | 72,714,957.69 | 9.39 | $ | 177,353.56 | 8.221 | 81.12 | 8 | 600 | 2 | |||||||||
8.500 - 8.999 | 445 | $ | 72,012,222.73 | 9.30 | $ | 161,825.22 | 8.712 | 81.67 | 8 | 578 | 2 | |||||||||
9.000 - 9.499 | 197 | $ | 24,481,892.49 | 3.16 | $ | 124,273.57 | 9.222 | 84.99 | 8 | 584 | 2 | |||||||||
9.500 - 9.999 | 222 | $ | 22,594,344.96 | 2.92 | $ | 101,776.33 | 9.736 | 89.65 | 8 | 607 | 3 | |||||||||
10.000 - 10.499 | 147 | $ | 10,357,541.80 | 1.34 | $ | 70,459.47 | 10.223 | 97.18 | 8 | 653 | 2 | |||||||||
10.500 - 10.999 | 140 | $ | 8,277,774.18 | 1.07 | $ | 59,126.96 | 10.767 | 97.69 | 8 | 643 | 3 | |||||||||
11.000 - 11.499 | 61 | $ | 3,240,790.09 | 0.42 | $ | 53,127.71 | 11.290 | 99.28 | 0 | 644 | 2 | |||||||||
11.500 - 11.999 | 56 | $ | 2,790,014.22 | 0.36 | $ | 49,821.68 | 11.761 | 99.33 | 0 | 642 | 2 | |||||||||
12.000 - 12.499 | 97 | $ | 4,433,239.53 | 0.57 | $ | 45,703.50 | 12.224 | 99.95 | 0 | 623 | 3 | |||||||||
12.500 - 12.999 | 27 | $ | 1,372,479.43 | 0.18 | $ | 50,832.57 | 12.763 | 99.75 | 0 | 637 | 3 | |||||||||
13.000 - 13.499 | 3 | $ | 85,781.54 | 0.01 | $ | 28,593.85 | 13.103 | 99.73 | 0 | 625 | 3 | |||||||||
13.500 - 13.999 | 3 | $ | 137,630.00 | 0.02 | $ | 45,876.67 | 13.671 | 100.00 | 0 | 641 | 1 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
| Original Term to Maturity of Mortgage Loans | ||||||||||||||||||||
Original Term (mos) | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
0 - 180 | 418 | $ | 26,331,929.39 | 3.40 | $ | 62,995.05 | 10.202 | 94.84 | 0 | 656 | 2 | |||||||||
181 - 240 | 47 | $ | 4,022,486.44 | 0.52 | $ | 85,584.82 | 8.719 | 81.36 | 0 | 633 | 2 | |||||||||
241 - 360 | 3,802 | $ | 743,923,673.34 | 96.08 | $ | 195,666.41 | 7.589 | 80.54 | 7 | 628 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
| Stated Remaining Term to Maturity of Mortgage Loans | ||||||||||||||||||||
Remaining Term (mos) | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
61 - 120 | 3 | $ | 190,000.00 | 0.02 | $ | 63,333.33 | 8.018 | 58.27 | 0 | 632 | 1 | |||||||||
121 - 180 | 415 | $ | 26,141,929.39 | 3.38 | $ | 62,992.60 | 10.218 | 95.10 | 0 | 656 | 2 | |||||||||
181 - 240 | 47 | $ | 4,022,486.44 | 0.52 | $ | 85,584.82 | 8.719 | 81.36 | 0 | 633 | 2 | |||||||||
241 - 300 | 1 | $ | 141,000.00 | 0.02 | $ | 141,000.00 | 7.990 | 100.00 | 0 | 607 | 0 | |||||||||
301 - 360 | 3,801 | $ | 743,782,673.34 | 96.06 | $ | 195,680.79 | 7.589 | 80.53 | 7 | 628 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
Mortgage | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | ||||||||||||
Yes | 0 | $ | 0.00 | 0 | % | $ | 0.00 | 0.000 | 0.00 | 0 | 0 | 0 | |||||||||
No | 4,267 | $ | 774,278,089.17 | 100 | % | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | ||||||||||
Lien | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | ||||||||||||
1 | 3,620 | $ | 736,331,431.41 | 95.10 | % | $ | 203,406.47 | 7.529 | 80.07 | 7 | 627 | 2 | |||||||||
2 | 647 | $ | 37,946,657.76 | 4.90 | % | $ | 58,650.17 | 10.696 | 99.60 | 0 | 661 | 3 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | ||||||||||
Seasoning(mos) | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | ||||||||||||
0 | 2,137 | $ | 375,842,844.00 | 48.54 | % | $ | 175,874.05 | 7.847 | 81.35 | 7 | 629 | 0 | |||||||||
1 | 1,126 | $ | 221,895,104.72 | 28.66 | % | $ | 197,064.92 | 7.480 | 79.51 | 7 | 628 | 1 | |||||||||
2 | 545 | $ | 107,819,366.33 | 13.93 | % | $ | 197,833.70 | 7.466 | 81.36 | 6 | 630 | 2 | |||||||||
3 | 201 | $ | 31,748,675.67 | 4.10 | % | $ | 157,953.61 | 7.645 | 82.50 | 6 | 629 | 3 | |||||||||
4 | 150 | $ | 21,245,242.25 | 2.74 | % | $ | 141,634.95 | 7.905 | 83.61 | 7 | 620 | 4 | |||||||||
5 | 61 | $ | 10,193,425.41 | 1.32 | % | $ | 167,105.33 | 7.565 | 83.47 | 7 | 620 | 5 | |||||||||
6 | 9 | $ | 1,180,319.08 | 0.15 | % | $ | 131,146.56 | 8.568 | 82.94 | 7 | 594 | 6 | |||||||||
7 | 13 | $ | 2,191,833.82 | 0.28 | % | $ | 168,602.60 | 7.757 | 87.89 | 7 | 637 | 7 | |||||||||
8 | 4 | $ | 323,062.93 | 0.04 | % | $ | 80,765.73 | 8.720 | 86.59 | 8 | 620 | 8 | |||||||||
9 | 3 | $ | 236,009.18 | 0.03 | % | $ | 78,669.73 | 9.891 | 99.74 | 0 | 622 | 9 | |||||||||
10 | 12 | $ | 1,056,900.78 | 0.14 | % | $ | 88,075.07 | 9.692 | 97.29 | 0 | 672 | 10 | |||||||||
11 | 3 | $ | 337,037.61 | 0.04 | % | $ | 112,345.87 | 9.755 | 99.71 | 0 | 685 | 11 | |||||||||
12 | 2 | $ | 122,010.68 | 0.02 | % | $ | 61,005.34 | 9.578 | 100.00 | 0 | 667 | 12 | |||||||||
13 | 1 | $ | 86,256.71 | 0.01 | % | $ | 86,256.71 | 9.000 | 99.99 | 0 | 706 | 13 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | ||||||||||
Combined Loan-to-Value Ratios of Mortgage Loans
Combined LTVs | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
0.01 - 25.00 | 7 | $ | 652,210.27 | 0.08 | $ | 93,172.90 | 8.194 | 21.33 | 8 | 562 | 3 | |||||||||
25.01 - 30.00 | 4 | $ | 564,000.00 | 0.07 | $ | 141,000.00 | 7.971 | 28.56 | 7 | 583 | 1 | |||||||||
30.01 - 35.00 | 13 | $ | 1,381,205.07 | 0.18 | $ | 106,246.54 | 7.460 | 32.72 | 8 | 597 | 1 | |||||||||
35.01 - 40.00 | 11 | $ | 1,204,935.43 | 0.16 | $ | 109,539.58 | 7.835 | 37.72 | 7 | 580 | 1 | |||||||||
40.01 - 45.00 | 18 | $ | 2,793,078.92 | 0.36 | $ | 155,171.05 | 7.562 | 42.92 | 7 | 612 | 2 | |||||||||
45.01 - 50.00 | 33 | $ | 5,250,007.03 | 0.68 | $ | 159,091.12 | 7.313 | 47.96 | 7 | 584 | 2 | |||||||||
50.01 - 55.00 | 33 | $ | 5,806,171.37 | 0.75 | $ | 175,944.59 | 7.406 | 52.18 | 7 | 596 | 2 | |||||||||
55.01 - 60.00 | 68 | $ | 11,988,141.82 | 1.55 | $ | 176,296.20 | 7.350 | 58.23 | 7 | 600 | 1 | |||||||||
60.01 - 65.00 | 91 | $ | 16,778,934.85 | 2.17 | $ | 184,383.90 | 7.509 | 63.50 | 7 | 587 | 2 | |||||||||
65.01 - 70.00 | 171 | $ | 33,536,337.52 | 4.33 | $ | 196,118.93 | 7.425 | 68.55 | 7 | 586 | 2 | |||||||||
70.01 - 75.00 | 307 | $ | 60,712,237.05 | 7.84 | $ | 197,759.73 | 7.534 | 73.87 | 7 | 597 | 2 | |||||||||
75.01 - 80.00 | 1,802 | $ | 384,629,053.85 | 49.68 | $ | 213,445.65 | 7.365 | 79.75 | 7 | 640 | 2 | |||||||||
80.01 - 85.00 | 311 | $ | 61,862,054.15 | 7.99 | $ | 198,913.36 | 7.762 | 84.40 | 7 | 616 | 2 | |||||||||
85.01 - 90.00 | 488 | $ | 97,769,862.18 | 12.63 | $ | 200,348.08 | 7.819 | 89.59 | 7 | 625 | 2 | |||||||||
90.01 - 95.00 | 181 | $ | 33,891,183.67 | 4.38 | $ | 187,244.11 | 7.924 | 94.34 | 7 | 647 | 3 | |||||||||
95.01 - 100.00 | 729 | $ | 55,458,675.99 | 7.16 | $ | 76,075.00 | 9.934 | 99.89 | 8 | 654 | 3 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
| Owner Occupancy of Mortgage Loans | ||||||||||||||||||||
Owner Occupancy | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
Owner | 4,118 | $ | 750,172,387.79 | 96.89 | $ | 182,169.11 | 7.681 | 81.09 | 7 | 628 | 2 | |||||||||
Investment | 149 | $ | 24,105,701.38 | 3.11 | $ | 161,783.23 | 7.780 | 79.02 | 7 | 654 | 2 | |||||||||
Second Home | 0 | $ | 0.00 | 0.00 | $ | 0.00 | 0.000 | 0.00 | 0 | 0 | 0 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
Property Type of Mortgage Loans
Property Types | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
Single Family | 3,602 | $ | 649,594,637.02 | 83.90 | $ | 180,342.76 | 7.657 | 80.97 | 7 | 625 | 2 | |||||||||
Condo | 242 | $ | 38,460,774.42 | 4.97 | $ | 158,928.82 | 7.833 | 80.67 | 7 | 643 | 2 | |||||||||
Duplex | 136 | $ | 28,905,277.12 | 3.73 | $ | 212,538.80 | 7.752 | 81.04 | 6 | 646 | 2 | |||||||||
Townhouse | 156 | $ | 28,422,982.59 | 3.67 | $ | 182,198.61 | 7.629 | 82.06 | 7 | 642 | 2 | |||||||||
3-4 Unit | 123 | $ | 27,844,270.03 | 3.60 | $ | 226,376.18 | 8.083 | 81.88 | 7 | 669 | 2 | |||||||||
Row Home | 4 | $ | 473,710.23 | 0.06 | $ | 118,427.56 | 7.255 | 81.53 | 7 | 616 | 2 | |||||||||
Manufactured | 3 | $ | 470,096.42 | 0.06 | $ | 156,698.81 | 7.540 | 67.54 | 7 | 563 | 5 | |||||||||
PUD | 1 | $ | 106,341.34 | 0.01 | $ | 106,341.34 | 12.190 | 100.00 | 0 | 659 | 3 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
| Loan Purpose of Mortgage Loans | ||||||||||||||||||||
Loan Purpose | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
Cash Out | 2,396 | $ | 449,676,691.45 | 58.08 | $ | 187,678.08 | 7.647 | 79.39 | 7 | 611 | 2 | |||||||||
Purchase | 1,771 | $ | 309,085,302.42 | 39.92 | $ | 174,525.86 | 7.728 | 83.31 | 7 | 655 | 2 | |||||||||
Rate/Term Refi | 100 | $ | 15,516,095.30 | 2.00 | $ | 155,160.95 | 7.884 | 82.99 | 7 | 616 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
| Document Type of Mortgage Loans | ||||||||||||||||||||
Document Type | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
Stated | 2,251 | $ | 440,987,385.51 | 56.95 | $ | 195,907.32 | 7.755 | 81.07 | 7 | 642 | 2 | |||||||||
Full | 1,996 | $ | 331,582,082.32 | 42.82 | $ | 166,123.29 | 7.577 | 80.88 | 7 | 611 | 2 | |||||||||
No Income | 20 | $ | 1,708,621.34 | 0.22 | $ | 85,431.07 | 9.850 | 98.33 | 7 | 663 | 10 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
Product Type of Mortgage Loans
Product Type | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
ARM 2/28 | 883 | $ | 181,678,905.62 | 23.46 | $ | 205,751.87 | 7.683 | 80.25 | 7 | 613 | 2 | |||||||||
ARM 3/27 | 1,033 | $ | 172,477,467.70 | 22.28 | $ | 166,967.54 | 7.874 | 80.09 | 7 | 604 | 2 | |||||||||
ARM 2/28 - 60mo IO | 590 | $ | 166,081,047.08 | 21.45 | $ | 281,493.30 | 7.131 | 80.47 | 6 | 658 | 2 | |||||||||
Fixed 30 yr | 769 | $ | 94,651,028.17 | 12.22 | $ | 123,083.26 | 8.091 | 81.53 | 0 | 628 | 2 | |||||||||
ARM 3/27 - 60mo IO | 234 | $ | 58,875,885.84 | 7.60 | $ | 251,606.35 | 7.150 | 81.80 | 7 | 652 | 2 | |||||||||
ARM 2/28 - Balloon 40/30 | 105 | $ | 26,165,349.09 | 3.38 | $ | 249,193.80 | 7.520 | 79.90 | 7 | 619 | 1 | |||||||||
Fixed 30 yr - Balloon 30/15 | 371 | $ | 21,525,928.52 | 2.78 | $ | 58,021.37 | 10.768 | 99.56 | 0 | 664 | 2 | |||||||||
ARM 3/27 - Balloon 40/30 | 86 | $ | 20,328,693.14 | 2.63 | $ | 236,380.15 | 7.511 | 81.32 | 7 | 629 | 1 | |||||||||
Fixed 30 yr - Balloon 40/30 | 39 | $ | 8,451,869.15 | 1.09 | $ | 216,714.59 | 7.713 | 78.31 | 0 | 619 | 2 | |||||||||
Fixed 30 yr - 60mo IO | 35 | $ | 8,189,843.64 | 1.06 | $ | 233,995.53 | 7.000 | 77.98 | 0 | 666 | 2 | |||||||||
ARM 5/25 - 60mo IO | 19 | $ | 5,140,493.34 | 0.66 | $ | 270,552.28 | 6.807 | 83.09 | 6 | 664 | 2 | |||||||||
Fixed 15 yr | 44 | $ | 4,616,000.87 | 0.60 | $ | 104,909.11 | 7.650 | 74.31 | 0 | 617 | 2 | |||||||||
Fixed 20 yr | 47 | $ | 4,022,486.44 | 0.52 | $ | 85,584.82 | 8.719 | 81.36 | 0 | 633 | 2 | |||||||||
ARM 5/25 | 8 | $ | 1,742,090.57 | 0.22 | $ | 217,761.32 | 7.253 | 77.93 | 7 | 661 | 2 | |||||||||
Fixed 10 yr | 3 | $ | 190,000.00 | 0.02 | $ | 63,333.33 | 8.018 | 58.27 | 0 | 632 | 1 | |||||||||
Fixed 25 yr | 1 | $ | 141,000.00 | 0.02 | $ | 141,000.00 | 7.990 | 100.00 | 0 | 607 | 0 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
| ** | For ARM loans please break out 2/28, 3/27, 5/25 by percentage |
| ** | For IO loans please include length of ammortization term and fixed rate term ( 2yr, 3yr, 5yr, 10yr) |
Geographical Distribution of Mortgages Loans
State | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
New York | 44 | $ | 12,388,200.33 | 1.60 | $ | 281,550.01 | 7.518 | 79.55 | 6 | 620 | 2 | |||||||||
California | 830 | $ | 224,086,776.85 | 28.94 | $ | 269,984.07 | 7.411 | 79.55 | 6 | 639 | 2 | |||||||||
Massachusetts | 104 | $ | 23,436,202.09 | 3.03 | $ | 225,348.10 | 7.705 | 82.16 | 7 | 642 | 2 | |||||||||
Other | 3,289 | $ | 514,366,909.90 | 66.43 | $ | 156,390.06 | 7.805 | 81.65 | 7 | 624 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
| Prepay Penalty for Mortgage Loans | ||||||||||||||||||||
Prepay Penalty | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
Has Prepay Penalty | 2,869 | $ | 553,027,845.14 | 71.42 | $ | 192,759.79 | 7.598 | 80.61 | 7 | 630 | 2 | |||||||||
None | 1,398 | $ | 221,250,244.03 | 28.58 | $ | 158,261.98 | 7.899 | 82.06 | 7 | 626 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
Prepay Term for Mortgage Loans | ||||||||||||||||||||
Prepay Term | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
12 | 235 | $ | 55,933,948.81 | 7.22 | $ | 238,016.80 | 7.643 | 80.84 | 7 | 638 | 2 | |||||||||
24 | 1,247 | $ | 277,213,260.24 | 35.80 | $ | 222,304.14 | 7.436 | 80.39 | 7 | 633 | 2 | |||||||||
36 | 1,387 | $ | 219,880,636.09 | 28.40 | $ | 158,529.66 | 7.790 | 80.83 | 7 | 623 | 2 | |||||||||
No Prepay Penalty | 1,398 | $ | 221,250,244.03 | 28.58 | $ | 158,261.98 | 7.899 | 82.06 | 7 | 626 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
Fico Scores of Mortgage Loans
Fico Scores | Number of Loans | Aggregate Principal Balance as of Cut-off Date | % of Aggregate Principal Balance as of Cut-off Date | AVG CURRENT BALANCE | WA GROSS CPN | WA COMBLTV | Margin | WA FICO | Seasoning | |||||||||||
500 - 519 | 181 | $ | 27,181,648.46 | 3.51 | $ | 150,174.85 | 8.525 | 72.49 | 8 | 509 | 2 | |||||||||
520 - 539 | 213 | $ | 34,723,241.24 | 4.48 | $ | 163,019.91 | 8.433 | 74.79 | 8 | 530 | 2 | |||||||||
540 - 559 | 274 | $ | 47,821,259.39 | 6.18 | $ | 174,530.14 | 8.224 | 76.76 | 7 | 549 | 2 | |||||||||
560 - 579 | 265 | $ | 44,906,877.09 | 5.80 | $ | 169,459.91 | 7.993 | 78.57 | 7 | 570 | 2 | |||||||||
580 - 599 | 342 | $ | 65,213,554.10 | 8.42 | $ | 190,682.91 | 7.800 | 83.02 | 7 | 590 | 2 | |||||||||
600 - 619 | 514 | $ | 91,600,117.24 | 11.83 | $ | 178,210.34 | 7.696 | 81.39 | 7 | 609 | 2 | |||||||||
620 - 639 | 754 | $ | 128,687,625.88 | 16.62 | $ | 170,673.24 | 7.785 | 81.69 | 7 | 630 | 2 | |||||||||
640 - 659 | 590 | $ | 114,205,473.95 | 14.75 | $ | 193,568.60 | 7.457 | 81.84 | 7 | 649 | 2 | |||||||||
660 - 679 | 456 | $ | 85,397,307.56 | 11.03 | $ | 187,274.80 | 7.359 | 82.46 | 7 | 669 | 2 | |||||||||
680 - 699 | 273 | $ | 53,953,188.78 | 6.97 | $ | 197,630.73 | 7.224 | 83.13 | 7 | 689 | 2 | |||||||||
700 - 719 | 167 | $ | 34,006,367.01 | 4.39 | $ | 203,630.94 | 7.306 | 83.62 | 6 | 709 | 2 | |||||||||
720 - 739 | 121 | $ | 23,360,027.72 | 3.02 | $ | 193,058.08 | 7.210 | 83.36 | 6 | 729 | 2 | |||||||||
740 - 759 | 61 | $ | 11,264,506.45 | 1.45 | $ | 184,664.04 | 7.374 | 83.11 | 7 | 750 | 2 | |||||||||
760 - 779 | 34 | $ | 6,990,814.60 | 0.90 | $ | 205,612.19 | 7.309 | 82.45 | 6 | 769 | 2 | |||||||||
780 - 799 | 16 | $ | 3,436,650.00 | 0.44 | $ | 214,790.63 | 7.350 | 81.58 | 7 | 787 | 2 | |||||||||
800 - 819 | 6 | $ | 1,529,429.70 | 0.20 | $ | 254,904.95 | 7.259 | 85.44 | 6 | 805 | 2 | |||||||||
Total: | 4,267 | $ | 774,278,089.17 | 100.00 | $ | 181,457.25 | 7.684 | 81.03 | 7 | 629 | 2 | |||||||||
