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. The collateral information provided in this prospectus supplement is subject to a 5% variance.
The mortgage pool will consist of one- to four-family, adjustable-rate residential mortgage loans secured by first liens on mortgaged properties and fixed-rate residential mortgage loans secured by first and second liens on mortgaged properties. The mortgage loans will have original terms to maturity of not greater than 30 years.
The Seller will convey the mortgage loans to the company on the Closing Date pursuant to the Mortgage Loan Purchase Agreement. The company will convey the mortgage loans to the trust on the Closing Date pursuant to the Agreement. The Seller will make certain representations and warranties with respect to the mortgage loans in the Mortgage Loan Purchase Agreement. These representations and warranties will be assigned by the company to the Trustee for the benefit of the certificateholders and the certificate insurer. As more particularly described in the prospectus, the Seller will have 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 and the certificate insurer. 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.
The mortgage loans will have been originated or acquired by the Seller in accordance with the underwriting criteria described in this prospectus supplement. See “—Underwriting” below.
Substantially all of the mortgage loans will initially be subserviced by Countrywide Home Loans Servicing LP. The subservicing with respect to substantially all of the mortgage loans will be transferred to GMAC Mortgage Corporation or an affiliate thereof on or about March 1, 2006, as described herein under “Pooling and Servicing Agreement—The Subservicers.”
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.
Certain of the mortgage loans will have their first scheduled monthly payments due in February 2006. As to those mortgage loans, no principal amortization payments will be distributed (unless prepayments are received thereon) until the distribution date occurring in February 2006, the month in which the first scheduled monthly payment is due. However, on the Closing Date, cash will be deposited in the Certificate Account in an amount equal to one month's interest accrued from December 1, 2005 (at the related mortgage rates) on such mortgage loans, to be remitted to the Trustee for distribution on the distribution date occurring in January 2006, the month prior to the month in which the first scheduled monthly payment is due on such mortgage loans.
Mortgage Rate Adjustment
The mortgage rate on the adjustable-rate 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 adjustable-rate 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 adjustable-rate mortgage loans are also subject to maximum and minimum lifetime mortgage rates. The adjustable-rate mortgage loans were generally originated with an initial mortgage rate below the sum of the index rate 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 adjustable-rate 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 adjustable-rate 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.
Substantially all of the adjustable-rate 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 rate in effect at origination. Adjustable-rate 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 Adjustable-Rate Mortgage Loans
The index applicable to the determination of the mortgage rate on approximately 68.75% (by aggregate outstanding principal balance of the adjustable-rate mortgage loans as of the Cut-off Date) of the mortgage loans 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 adjustable-rate mortgage loan based on Six-Month LIBOR.
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 | 3.54 |
June | 5.94 | 5.87 | 5.62 | 7.01 | 3.83 | 1.95 | 1.12 | 1.36 | 3.71 |
July | 5.83 | 5.82 | 5.65 | 6.88 | 3.70 | 1.86 | 1.15 | 1.99 | 3.92 |
August | 5.86 | 5.69 | 5.90 | 6.83 | 3.48 | 1.82 | 1.21 | 1.99 | 4.06 |
September | 5.85 | 5.36 | 5.96 | 6.76 | 2.53 | 1.75 | 1.18 | 2.17 | 4.22 |
October | 5.81 | 5.13 | 6.13 | 6.72 | 2.17 | 1.62 | 1.22 | 2.30 | 4.45 |
November | 6.04 | 5.28 | 6.04 | 6.68 | 2.10 | 1.47 | 1.25 | 2.62 | 4.58 |
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 13.21% (by aggregate outstanding principal balance of the adjustable-rate mortgage loans as of the Cut-off Date) of the mortgage loans 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 1.32% (by aggregate outstanding principal balance of the adjustable-rate mortgage loans as of the Cut-off Date) of the mortgage loans 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.
The index applicable to the determination of the mortgage rate on approximately 0.01% of the adjustable-rate mortgage loans will be based on the weekly average yield on U.S. Treasury securities adjusted to a constant maturity of one year as reported by the Federal Reserve Board in statistical Release No. H.15(519), as most recently available as of the date forty-five days, thirty-five days or thirty days prior to the adjustment date or on the adjustment date, as published in the place specified in the related mortgage note and as made available as of the date specified in the related mortgage note, or One-Year CMT.
Prepayment Charges
Approximately 73.02% of the mortgage loans 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 one year, 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 P Certificates will be
entitled to all prepayment charges received on the 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, 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 6.91% 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 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 sale price, such mortgage loan is covered 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.
The PMI Policy
Approximately 6.67% of the mortgage loans by aggregate outstanding principal balance of the mortgage loans 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 related 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 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 Trustee.
Mortgage Loan Characteristics
The statistical information included in this prospectus supplement with respect to the mortgage loans is based on a pool of 7,005 mortgage loans with an aggregate principal balance as of the Cut-off Date of approximately $1,989,063,546.73, after application of scheduled payments due on or before the Cut-off Date whether or not received. 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.
Approximately 83.10% of the mortgage loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 14.91% of the mortgage loans have fixed rates and are secured by first liens on the related mortgaged property. Approximately 1.99% of the mortgage loans have fixed rates and are secured by second liens on the related mortgaged property.
The average principal balance of the mortgage loans at origination was approximately $284,053. No mortgage loan had a principal balance at origination of greater than approximately $2,000,000 or less than approximately $10,000. The average principal balance of the mortgage loans as of the Cut-off Date was approximately $283,949. No mortgage loan had a principal balance as of the Cut-off Date of greater than approximately $2,000,000 or less than approximately $3,560.
As of the Cut-off Date, the mortgage loans had mortgage rates ranging from approximately 3.500% per annum to approximately 14.125% per annum and the weighted average mortgage rate was approximately 6.769% per annum. The weighted average remaining term to stated maturity of the mortgage loans was approximately 355 months as of the Cut-off Date. None of the mortgage loans will have a first Due Date prior to February 1, 2004 or after February 1, 2006, or will have a remaining term to stated maturity of less than 144 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any mortgage loan is January 1, 2036.
Approximately 0.31%, 53.33% and 30.11% of the mortgage 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 combined loan-to-value ratio of a mortgage loan secured by a second lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, plus the outstanding principal balance of the related senior lien, to the appraised value of the related mortgaged property at the time of origination. The weighted average of the loan-to-value ratios and combined loan-to-value ratios, as applicable, at origination of the mortgage loans was approximately 76.49%. No loan-to-value ratio or combined loan-to-value ratio, as applicable, at origination of any mortgage loans was greater than approximately 100.00% or less than approximately 12.65%.
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. As of the Cut-off Date, approximately 34.99% of the aggregate principal balance of the mortgage 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 Offered Certificates” in this prospectus supplement.
Approximately 508 mortgage loans, representing approximately 1.90% of the mortgage pool (by aggregate outstanding principal balance as of the Cut-off Date) are balloon loans. The amount of the balloon payment on each of these mortgage loans is substantially in excess of the amount of the scheduled monthly payment on such mortgage loan for the period prior to the Due Date of the balloon payment. These mortgage loans have a weighted average remaining term to stated maturity of approximately 175.77 months.
None of the mortgage loans are buydown mortgage loans.
None of the mortgage loans were 30 days or more delinquent as of the Cut-off Date.
As of the Closing Date, no loan-to-value ratio or combined loan-to-value ratio, as applicable, of any mortgage loans was greater than 100.00%.
Set forth below is a description of certain additional characteristics of the mortgage loans as of the Cut-off Date, except as otherwise indicated. All percentages of the mortgage 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.
Mortgage Loan Programs(1)
Loan Programs |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
30Yr Fixed |
| $ | 117,290,400 |
| 480 |
| 5.90 | % |
| $ | 244,355 |
| 6.709 | % |
| 358.70 |
| 702 |
| 72.23 | % |
15Yr Fixed |
|
| 4,100,491 |
| 26 |
| 0.21 |
|
|
| 157,711 |
| 6.786 |
|
| 177.16 |
| 711 |
| 66.45 |
|
20Yr Fixed |
|
| 1,706,343 |
| 10 |
| 0.09 |
|
|
| 170,634 |
| 6.886 |
|
| 238.55 |
| 687 |
| 75.46 |
|
30/15 Fixed Balloon |
|
| 37,909,624 |
| 519 |
| 1.91 |
|
|
| 73,044 |
| 10.594 |
|
| 175.75 |
| 694 |
| 95.17 |
|
20Yr Fixed - IO |
|
| 67,985 |
| 1 |
| 0.00 |
|
|
| 67,985 |
| 10.500 |
|
| 237.00 |
| 629 |
| 99.99 |
|
15Yr Fixed - IO |
|
| 827,525 |
| 10 |
| 0.04 |
|
|
| 82,753 |
| 11.043 |
|
| 175.38 |
| 676 |
| 98.57 |
|
30Yr Fixed - IO |
|
| 173,540,961 |
| 500 |
| 8.72 |
|
|
| 347,082 |
| 6.659 |
|
| 358.94 |
| 710 |
| 71.90 |
|
30Y LIB1M |
|
| 2,041,428 |
| 4 |
| 0.10 |
|
|
| 510,357 |
| 6.381 |
|
| 358.18 |
| 719 |
| 79.08 |
|
30Y LIB1M - IO |
|
| 21,083,454 |
| 49 |
| 1.06 |
|
|
| 430,275 |
| 6.567 |
|
| 358.50 |
| 686 |
| 71.92 |
|
30Y LIB6M |
|
| 7,158,434 |
| 29 |
| 0.36 |
|
|
| 246,843 |
| 6.873 |
|
| 358.96 |
| 683 |
| 77.43 |
|
30Y LIB6M - IO |
|
| 106,682,712 |
| 282 |
| 5.36 |
|
|
| 378,307 |
| 6.627 |
|
| 359.08 |
| 697 |
| 75.54 |
|
30Y LIB12M |
|
| 12,536,730 |
| 46 |
| 0.63 |
|
|
| 272,538 |
| 6.969 |
|
| 359.52 |
| 667 |
| 76.78 |
|
30Y LIB12M - IO |
|
| 235,831,309 |
| 689 |
| 11.86 |
|
|
| 342,281 |
| 6.539 |
|
| 359.48 |
| 695 |
| 77.84 |
|
2/28 LIB6M |
|
| 84,053,280 |
| 392 |
| 4.23 |
|
|
| 214,422 |
| 7.068 |
|
| 358.65 |
| 672 |
| 77.05 |
|
2/28 LIB6M - IO |
|
| 801,177,307 |
| 2,747 |
| 40.28 |
|
|
| 291,655 |
| 6.786 |
|
| 358.86 |
| 681 |
| 77.83 |
|
2/1 LIB12M |
|
| 487,540 |
| 1 |
| 0.02 |
|
|
| 487,540 |
| 5.375 |
|
| 356.00 |
| 739 |
| 75.00 |
|
2/1 LIB12M - IO |
|
| 475,000 |
| 1 |
| 0.02 |
|
|
| 475,000 |
| 5.625 |
|
| 359.00 |
| 773 |
| 69.34 |
|
3/27 LIB6M |
|
| 13,132,900 |
| 66 |
| 0.66 |
|
|
| 198,983 |
| 6.899 |
|
| 358.55 |
| 675 |
| 75.43 |
|
3/27 LIB6M - IO |
|
| 128,856,135 |
| 408 |
| 6.48 |
|
|
| 315,824 |
| 6.568 |
|
| 358.74 |
| 696 |
| 77.02 |
|
3/1 LIB12M - IO |
|
| 330,200 |
| 2 |
| 0.02 |
|
|
| 165,100 |
| 6.135 |
|
| 358.00 |
| 662 |
| 78.65 |
|
5/25 LIB6M |
|
| 37,379,116 |
| 175 |
| 1.88 |
|
|
| 213,595 |
| 6.768 |
|
| 358.73 |
| 704 |
| 77.46 |
|
5/25 LIB6M - IO |
|
| 175,858,225 |
| 496 |
| 8.84 |
|
|
| 354,553 |
| 6.534 |
|
| 359.03 |
| 711 |
| 73.12 |
|
5/1 LIB12M |
|
| 1,108,828 |
| 3 |
| 0.06 |
|
|
| 369,609 |
| 6.264 |
|
| 359.04 |
| 696 |
| 72.32 |
|
5/1 LIB12M - IO |
|
| 9,627,933 |
| 23 |
| 0.48 |
|
|
| 418,606 |
| 5.843 |
|
| 358.88 |
| 726 |
| 73.75 |
|
7/23 LIB6M |
|
| 812,743 |
| 2 |
| 0.04 |
|
|
| 406,371 |
| 5.975 |
|
| 359.78 |
| 759 |
| 64.17 |
|
7/23 LIB6M - IO |
|
| 7,902,904 |
| 16 |
| 0.40 |
|
|
| 493,931 |
| 5.915 |
|
| 359.51 |
| 723 |
| 71.23 |
|
7/1 LIB12M |
|
| 232,779 |
| 1 |
| 0.01 |
|
|
| 232,779 |
| 6.250 |
|
| 359.00 |
| 707 |
| 58.25 |
|
7/1 LIB12M - IO |
|
| 1,553,000 |
| 3 |
| 0.08 |
|
|
| 517,667 |
| 5.810 |
|
| 358.72 |
| 776 |
| 64.34 |
|
7/1 CMT1Y |
|
| 231,775 |
| 1 |
| 0.01 |
|
|
| 231,775 |
| 6.125 |
|
| 359.00 |
| 609 |
| 80.00 |
|
10/20 LIB6M |
|
| 1,023,647 |
| 6 |
| 0.05 |
|
|
| 170,608 |
| 6.418 |
|
| 359.17 |
| 697 |
| 72.23 |
|
10/20 LIB6M - IO |
|
| 3,392,600 |
| 10 |
| 0.17 |
|
|
| 339,260 |
| 6.212 |
|
| 358.55 |
| 736 |
| 68.85 |
|
10/1 LIB12M - IO |
|
| 650,000 |
| 1 |
| 0.03 |
|
|
| 650,000 |
| 6.250 |
|
| 359.00 |
| 720 |
| 77.38 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
______________________
(1) A mortgage loan with a loan program including the term “30Y LIB1M” has a term of 30 years and the mortgage rate adjusts monthly based on the value of One-Month LIBOR. A mortgage loan with a loan program including the term “30Y LIB6M” has a term of 30 years and the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “30Y LIB12M” has a term of 30 years and the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “2/28 LIB6M” has a term of 30 years, the first two of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “2/28 LIB12M” has a term of 30 years, the first two of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “3/27 LIB6M” has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “3/27 LIB12M” has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “5/25 LIB6M” has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “5/25 LIB12M” has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “7/23 LIB6M” has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “7/23 LIB12M” has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “7/23 CMT1Y” has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year CMT. A mortgage loan with a loan program including the term “10/20 LIB6M” has a term of 30 years, the first ten of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “IO” has an interest only period. A mortgage loan with a loan program of “15Yr Fixed”, “20Yr Fixed” or “30Yr Fixed” is a fixed-rate loan with a term of 15, 20 or 30 years, respectively. A mortgage loan with a loan program of “30/15 Fixed Balloon” has an amortization term of 30 years, has a mortgage rate that is fixed for the entire term and requires a balloon payment in year 15.
Principal Balances as of the Cut-off Date
Range of Mortgage |
| Original Balance |
| No. of Loans |
| % of Total by Original Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
$0.01 - $50,000.00 |
| $ | 8,690,123 |
| 263 |
| 0.44 | % |
| $ | 33,042 |
| 10.833 | % |
| 190.28 |
| 697 |
| 93.00 | % |
$50,000.01 - $100,000.00 |
|
| 40,122,491 |
| 514 |
| 2.02 |
|
|
| 78,059 |
| 8.424 |
|
| 291.80 |
| 683 |
| 83.14 |
|
$100,000.01 - $150,000.00 |
|
| 117,988,242 |
| 932 |
| 5.93 |
|
|
| 126,597 |
| 7.198 |
|
| 347.97 |
| 681 |
| 78.15 |
|
$150,000.01 - $200,000.00 |
|
| 182,781,666 |
| 1,033 |
| 9.19 |
|
|
| 176,943 |
| 6.904 |
|
| 355.28 |
| 685 |
| 77.40 |
|
$200,000.01 - $250,000.00 |
|
| 207,124,993 |
| 920 |
| 10.41 |
|
|
| 225,136 |
| 6.803 |
|
| 357.24 |
| 685 |
| 77.12 |
|
$250,000.01 - $300,000.00 |
|
| 216,716,287 |
| 786 |
| 10.90 |
|
|
| 275,720 |
| 6.785 |
|
| 354.93 |
| 685 |
| 77.60 |
|
$300,000.01 - $350,000.00 |
|
| 203,976,961 |
| 628 |
| 10.25 |
|
|
| 324,804 |
| 6.674 |
|
| 358.36 |
| 685 |
| 77.56 |
|
$350,000.01 - $400,000.00 |
|
| 208,555,333 |
| 555 |
| 10.49 |
|
|
| 375,775 |
| 6.657 |
|
| 358.30 |
| 693 |
| 77.07 |
|
$400,000.01 - $450,000.00 |
|
| 139,593,437 |
| 328 |
| 7.02 |
|
|
| 425,590 |
| 6.615 |
|
| 358.39 |
| 697 |
| 76.57 |
|
$450,000.01 - $500,000.00 |
|
| 137,809,952 |
| 289 |
| 6.93 |
|
|
| 476,851 |
| 6.596 |
|
| 357.80 |
| 693 |
| 76.54 |
|
$500,000.01 - $550,000.00 |
|
| 95,156,509 |
| 181 |
| 4.78 |
|
|
| 525,727 |
| 6.549 |
|
| 358.02 |
| 699 |
| 76.85 |
|
$550,000.01 - $600,000.00 |
|
| 93,173,049 |
| 162 |
| 4.68 |
|
|
| 575,142 |
| 6.548 |
|
| 359.07 |
| 700 |
| 76.86 |
|
$600,000.01 - $650,000.00 |
|
| 70,756,948 |
| 112 |
| 3.56 |
|
|
| 631,758 |
| 6.441 |
|
| 358.03 |
| 711 |
| 74.94 |
|
$650,000.01 - $700,000.00 |
|
| 40,698,654 |
| 60 |
| 2.05 |
|
|
| 678,311 |
| 6.673 |
|
| 356.08 |
| 696 |
| 77.23 |
|
$700,000.01 - $750,000.00 |
|
| 46,808,589 |
| 64 |
| 2.35 |
|
|
| 731,384 |
| 6.733 |
|
| 359.22 |
| 698 |
| 71.94 |
|
$750,000.01 - $800,000.00 |
|
| 21,842,472 |
| 28 |
| 1.10 |
|
|
| 780,088 |
| 6.581 |
|
| 358.96 |
| 712 |
| 74.94 |
|
$800,000.01 - $850,000.00 |
|
| 11,645,865 |
| 14 |
| 0.59 |
|
|
| 831,847 |
| 7.010 |
|
| 358.94 |
| 685 |
| 71.74 |
|
$850,000.01 - $900,000.00 |
|
| 21,303,546 |
| 24 |
| 1.07 |
|
|
| 887,648 |
| 6.615 |
|
| 359.08 |
| 706 |
| 73.47 |
|
$900,000.01 - $950,000.00 |
|
| 5,594,000 |
| 6 |
| 0.28 |
|
|
| 932,333 |
| 6.391 |
|
| 359.00 |
| 703 |
| 72.68 |
|
$950,000.01 - $1,000,000.00 |
|
| 48,385,650 |
| 49 |
| 2.43 |
|
|
| 987,462 |
| 6.563 |
|
| 358.96 |
| 698 |
| 67.40 |
|
$1,050,000.01 - $1,100,000.00 |
|
| 4,289,989 |
| 4 |
| 0.22 |
|
|
| 1,072,497 |
| 6.936 |
|
| 359.49 |
| 710 |
| 70.02 |
|
$1,100,000.01 - $1,150,000.00 |
|
| 8,933,300 |
| 8 |
| 0.45 |
|
|
| 1,116,663 |
| 6.660 |
|
| 359.37 |
| 709 |
| 69.28 |
|
$1,150,000.01 - $1,200,000.00 |
|
| 4,725,000 |
| 4 |
| 0.24 |
|
|
| 1,181,250 |
| 6.341 |
|
| 359.00 |
| 751 |
| 71.19 |
|
$1,200,000.01 - $1,250,000.00 |
|
| 2,442,500 |
| 2 |
| 0.12 |
|
|
| 1,221,250 |
| 6.942 |
|
| 358.51 |
| 718 |
| 67.47 |
|
$1,250,000.01 - $1,300,000.00 |
|
| 5,111,250 |
| 4 |
| 0.26 |
|
|
| 1,277,813 |
| 6.903 |
|
| 358.26 |
| 738 |
| 69.96 |
|
$1,300,000.01 - $1,350,000.00 |
|
| 5,329,500 |
| 4 |
| 0.27 |
|
|
| 1,332,375 |
| 6.565 |
|
| 359.50 |
| 719 |
| 71.27 |
|
$1,350,000.01 - $1,400,000.00 |
|
| 1,397,000 |
| 1 |
| 0.07 |
|
|
| 1,397,000 |
| 5.875 |
|
| 359.00 |
| 665 |
| 64.97 |
|
$1,400,000.01 - $1,450,000.00 |
|
| 8,573,350 |
| 6 |
| 0.43 |
|
|
| 1,428,892 |
| 6.626 |
|
| 359.00 |
| 716 |
| 65.03 |
|
$1,450,000.01 - $1,500,000.00 |
|
| 11,852,150 |
| 8 |
| 0.60 |
|
|
| 1,481,519 |
| 6.625 |
|
| 358.88 |
| 702 |
| 68.55 |
|
$1,500,000.01 - $1,550,000.00 |
|
| 1,505,000 |
| 1 |
| 0.08 |
|
|
| 1,505,000 |
| 6.625 |
|
| 360.00 |
| 626 |
| 70.00 |
|
$1,600,000.01 - $1,650,000.00 |
|
| 4,880,000 |
| 3 |
| 0.25 |
|
|
| 1,626,667 |
| 6.831 |
|
| 359.67 |
| 711 |
| 68.34 |
|
$1,700,000.01 - $1,750,000.00 |
|
| 3,467,000 |
| 2 |
| 0.17 |
|
|
| 1,733,500 |
| 6.255 |
|
| 358.50 |
| 744 |
| 50.08 |
|
$1,800,000.01 - $1,850,000.00 |
|
| 1,850,000 |
| 1 |
| 0.09 |
|
|
| 1,850,000 |
| 6.990 |
|
| 358.00 |
| 666 |
| 64.52 |
|
$1,950,000.01 - $2,000,000.00 |
|
| 5,982,500 |
| 3 |
| 0.30 |
|
|
| 1,994,167 |
| 6.334 |
|
| 360.00 |
| 717 |
| 62.67 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
As of the Cut-Off Date, the average original principal balance of the mortgage loans was approximately $284,193.
Principal Balances as of Origination
Range of Mortgage |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
$0.01 - $50,000.00 |
| $ | 8,623,255 |
| 261 |
| 0.43 | % |
| $ | 33,039 |
| 10.822 | % |
| 190.40 |
| 697 |
| 92.97 | % |
$50,000.01 - $100,000.00 |
|
| 40,078,278 |
| 514 |
| 2.01 |
|
|
| 77,973 |
| 8.432 |
|
| 291.56 |
| 684 |
| 83.18 |
|
$100,000.01 - $150,000.00 |
|
| 117,979,203 |
| 932 |
| 5.93 |
|
|
| 126,587 |
| 7.202 |
|
| 347.77 |
| 681 |
| 78.16 |
|
$150,000.01 - $200,000.00 |
|
| 182,999,274 |
| 1,034 |
| 9.20 |
|
|
| 176,982 |
| 6.904 |
|
| 355.27 |
| 685 |
| 77.41 |
|
$200,000.01 - $250,000.00 |
|
| 206,435,844 |
| 917 |
| 10.37 |
|
|
| 225,121 |
| 6.804 |
|
| 357.23 |
| 685 |
| 77.15 |
|
$250,000.01 - $300,000.00 |
|
| 217,217,693 |
| 788 |
| 10.92 |
|
|
| 275,657 |
| 6.785 |
|
| 354.93 |
| 685 |
| 77.56 |
|
$300,000.01 - $350,000.00 |
|
| 204,328,688 |
| 629 |
| 10.27 |
|
|
| 324,847 |
| 6.673 |
|
| 358.36 |
| 685 |
| 77.56 |
|
$350,000.01 - $400,000.00 |
|
| 208,591,443 |
| 555 |
| 10.48 |
|
|
| 375,840 |
| 6.657 |
|
| 358.30 |
| 693 |
| 77.07 |
|
$400,000.01 - $450,000.00 |
|
| 140,031,894 |
| 329 |
| 7.04 |
|
|
| 425,629 |
| 6.614 |
|
| 358.39 |
| 697 |
| 76.54 |
|
$450,000.01 - $500,000.00 |
|
| 137,835,318 |
| 289 |
| 6.93 |
|
|
| 476,939 |
| 6.596 |
|
| 357.79 |
| 693 |
| 76.54 |
|
$500,000.01 - $550,000.00 |
|
| 95,181,107 |
| 181 |
| 4.78 |
|
|
| 525,862 |
| 6.549 |
|
| 358.02 |
| 699 |
| 76.85 |
|
$550,000.01 - $600,000.00 |
|
| 92,592,227 |
| 161 |
| 4.65 |
|
|
| 575,107 |
| 6.550 |
|
| 359.08 |
| 699 |
| 76.84 |
|
$600,000.01 - $650,000.00 |
|
| 70,749,800 |
| 112 |
| 3.56 |
|
|
| 631,695 |
| 6.443 |
|
| 358.02 |
| 711 |
| 75.03 |
|
$650,000.01 - $700,000.00 |
|
| 41,399,950 |
| 61 |
| 2.08 |
|
|
| 678,688 |
| 6.662 |
|
| 356.11 |
| 697 |
| 77.11 |
|
$700,000.01 - $750,000.00 |
|
| 46,814,028 |
| 64 |
| 2.35 |
|
|
| 731,469 |
| 6.733 |
|
| 359.22 |
| 698 |
| 71.93 |
|
$750,000.01 - $800,000.00 |
|
| 21,844,599 |
| 28 |
| 1.10 |
|
|
| 780,164 |
| 6.581 |
|
| 358.96 |
| 712 |
| 74.94 |
|
$800,000.01 - $850,000.00 |
|
| 11,648,656 |
| 14 |
| 0.59 |
|
|
| 832,047 |
| 7.010 |
|
| 358.93 |
| 685 |
| 71.74 |
|
$850,000.01 - $900,000.00 |
|
| 21,304,930 |
| 24 |
| 1.07 |
|
|
| 887,705 |
| 6.615 |
|
| 359.08 |
| 706 |
| 73.47 |
|
$900,000.01 - $950,000.00 |
|
| 5,594,000 |
| 6 |
| 0.28 |
|
|
| 932,333 |
| 6.391 |
|
| 359.00 |
| 703 |
| 72.68 |
|
$950,000.01 - $1,000,000.00 |
|
| 48,388,459 |
| 49 |
| 2.43 |
|
|
| 987,520 |
| 6.563 |
|
| 358.96 |
| 698 |
| 67.40 |
|
$1,050,000.01 - $1,100,000.00 |
|
| 4,289,989 |
| 4 |
| 0.22 |
|
|
| 1,072,497 |
| 6.936 |
|
| 359.49 |
| 710 |
| 70.02 |
|
$1,100,000.01 - $1,150,000.00 |
|
| 8,933,300 |
| 8 |
| 0.45 |
|
|
| 1,116,663 |
| 6.660 |
|
| 359.37 |
| 709 |
| 69.28 |
|
$1,150,000.01 - $1,200,000.00 |
|
| 4,725,000 |
| 4 |
| 0.24 |
|
|
| 1,181,250 |
| 6.341 |
|
| 359.00 |
| 751 |
| 71.19 |
|
$1,200,000.01 - $1,250,000.00 |
|
| 2,442,500 |
| 2 |
| 0.12 |
|
|
| 1,221,250 |
| 6.942 |
|
| 358.51 |
| 718 |
| 67.47 |
|
$1,250,000.01 - $1,300,000.00 |
|
| 5,111,250 |
| 4 |
| 0.26 |
|
|
| 1,277,813 |
| 6.903 |
|
| 358.26 |
| 738 |
| 69.96 |
|
$1,300,000.01 - $1,350,000.00 |
|
| 5,329,500 |
| 4 |
| 0.27 |
|
|
| 1,332,375 |
| 6.565 |
|
| 359.50 |
| 719 |
| 71.27 |
|
$1,350,000.01 - $1,400,000.00 |
|
| 1,397,000 |
| 1 |
| 0.07 |
|
|
| 1,397,000 |
| 5.875 |
|
| 359.00 |
| 665 |
| 64.97 |
|
$1,400,000.01 - $1,450,000.00 |
|
| 8,573,350 |
| 6 |
| 0.43 |
|
|
| 1,428,892 |
| 6.626 |
|
| 359.00 |
| 716 |
| 65.03 |
|
$1,450,000.01 - $1,500,000.00 |
|
| 11,852,150 |
| 8 |
| 0.60 |
|
|
| 1,481,519 |
| 6.625 |
|
| 358.88 |
| 702 |
| 68.55 |
|
$1,500,000.01 - $1,550,000.00 |
|
| 1,505,000 |
| 1 |
| 0.08 |
|
|
| 1,505,000 |
| 6.625 |
|
| 360.00 |
| 626 |
| 70.00 |
|
$1,600,000.01 - $1,650,000.00 |
|
| 4,880,000 |
| 3 |
| 0.25 |
|
|
| 1,626,667 |
| 6.831 |
|
| 359.67 |
| 711 |
| 68.34 |
|
$1,700,000.01 – $1,750,000.00 |
|
| 3,467,000 |
| 2 |
| 0.17 |
|
|
| 1,733,500 |
| 6.255 |
|
| 358.50 |
| 744 |
| 50.08 |
|
$1,800,000.01 - $1,850,000.00 |
|
| 1,850,000 |
| 1 |
| 0.09 |
|
|
| 1,850,000 |
| 6.990 |
|
| 358.00 |
| 666 |
| 64.52 |
|
$1,950,000.01 - $2,000,000.00 |
|
| 5,982,500 |
| 3 |
| 0.30 |
|
|
| 1,994,167 |
| 6.334 |
|
| 360.00 |
| 717 |
| 62.67 |
|
Total |
| $ | 1,989,977,185 |
| 6,999 |
| 100.00 | % |
| $ | 284,323 |
| 6.770 | % |
| 354.88 |
| 692 |
| 76.49 | % |
As of origination, the average current principal balance of the mortgage loans was approximately $284,323.
Mortgage Rates
Range of Mortgage |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
3.500 - 3.999 |
| $ | 300,000 |
| 1 |
| 0.02 | % |
| $ | 300,000 |
| 3.500 | % |
| 353.00 |
| 723 |
| 48.38 | % |
4.500 - 4.999 |
|
| 7,013,418 |
| 21 |
| 0.35 |
|
|
| 333,972 |
| 4.761 |
|
| 358.38 |
| 705 |
| 75.81 |
|
5.000 - 5.499 |
|
| 42,810,615 |
| 117 |
| 2.15 |
|
|
| 365,903 |
| 5.257 |
|
| 358.39 |
| 712 |
| 75.79 |
|
5.500 - 5.999 |
|
| 280,627,611 |
| 816 |
| 14.11 |
|
|
| 343,906 |
| 5.781 |
|
| 357.25 |
| 711 |
| 71.96 |
|
6.000 - 6.499 |
|
| 427,595,029 |
| 1,299 |
| 21.50 |
|
|
| 329,172 |
| 6.232 |
|
| 358.77 |
| 701 |
| 75.06 |
|
6.500 - 6.999 |
|
| 613,127,352 |
| 2,025 |
| 30.82 |
|
|
| 302,779 |
| 6.723 |
|
| 358.53 |
| 687 |
| 76.33 |
|
7.000 - 7.499 |
|
| 289,499,619 |
| 1,049 |
| 14.55 |
|
|
| 275,977 |
| 7.201 |
|
| 358.46 |
| 681 |
| 77.92 |
|
7.500 - 7.999 |
|
| 206,095,218 |
| 757 |
| 10.36 |
|
|
| 272,253 |
| 7.695 |
|
| 358.95 |
| 679 |
| 78.85 |
|
8.000 - 8.499 |
|
| 45,726,705 |
| 186 |
| 2.30 |
|
|
| 245,843 |
| 8.175 |
|
| 357.20 |
| 680 |
| 80.12 |
|
8.500 - 8.999 |
|
| 27,648,762 |
| 160 |
| 1.39 |
|
|
| 172,805 |
| 8.699 |
|
| 338.61 |
| 664 |
| 83.05 |
|
9.000 - 9.499 |
|
| 8,130,408 |
| 54 |
| 0.41 |
|
|
| 150,563 |
| 9.175 |
|
| 312.11 |
| 669 |
| 85.19 |
|
9.500 - 9.999 |
|
| 10,932,118 |
| 105 |
| 0.55 |
|
|
| 104,115 |
| 9.728 |
|
| 249.87 |
| 678 |
| 91.61 |
|
10.000 - 10.499 |
|
| 7,333,156 |
| 83 |
| 0.37 |
|
|
| 88,351 |
| 10.202 |
|
| 209.83 |
| 701 |
| 92.71 |
|
10.500 - 10.999 |
|
| 6,214,646 |
| 91 |
| 0.31 |
|
|
| 68,293 |
| 10.733 |
|
| 191.57 |
| 699 |
| 95.48 |
|
11.000 - 11.499 |
|
| 4,832,260 |
| 69 |
| 0.24 |
|
|
| 70,033 |
| 11.147 |
|
| 184.81 |
| 698 |
| 95.96 |
|
11.500 - 11.999 |
|
| 5,084,537 |
| 65 |
| 0.26 |
|
|
| 78,224 |
| 11.735 |
|
| 186.71 |
| 677 |
| 95.69 |
|
12.000 - 12.499 |
|
| 2,479,498 |
| 40 |
| 0.12 |
|
|
| 61,987 |
| 12.140 |
|
| 186.51 |
| 680 |
| 96.92 |
|
12.500 - 12.999 |
|
| 1,824,506 |
| 29 |
| 0.09 |
|
|
| 62,914 |
| 12.737 |
|
| 176.27 |
| 694 |
| 95.74 |
|
13.000 - 13.499 |
|
| 1,353,480 |
| 21 |
| 0.07 |
|
|
| 64,451 |
| 13.185 |
|
| 221.76 |
| 657 |
| 94.38 |
|
13.500 - 13.999 |
|
| 344,434 |
| 10 |
| 0.02 |
|
|
| 34,443 |
| 13.643 |
|
| 175.66 |
| 655 |
| 95.52 |
|
14.000 - 14.499 |
|
| 89,935 |
| 1 |
| 0.00 |
|
|
| 89,935 |
| 14.125 |
|
| 176.00 |
| 660 |
| 95.00 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
As of the Cut-off Date, the weighted average mortgage rate of the mortgage loans was approximately 6.770% per annum.
Gross Margin*
Range of Gross |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
1.500 - 1.749 |
| $ | 630,500 |
| 1 |
| 0.04 | % |
| $ | 630,500 |
| 6.750 | % |
| 359.00 |
| 789 |
| 65.00 | % |
1.750 - 1.999 |
|
| 1,706,000 |
| 2 |
| 0.10 |
|
|
| 853,000 |
| 5.897 |
|
| 359.00 |
| 746 |
| 72.30 |
|
2.250 - 2.499 |
|
| 184,051,728 |
| 456 |
| 11.13 |
|
|
| 403,622 |
| 6.162 |
|
| 359.09 |
| 721 |
| 72.10 |
|
2.500 - 2.749 |
|
| 1,070,500 |
| 3 |
| 0.06 |
|
|
| 356,833 |
| 6.223 |
|
| 357.32 |
| 717 |
| 68.51 |
|
2.750 - 2.999 |
|
| 120,807,576 |
| 346 |
| 7.31 |
|
|
| 349,155 |
| 6.863 |
|
| 358.75 |
| 698 |
| 73.95 |
|
3.000 - 3.249 |
|
| 36,372,873 |
| 106 |
| 2.20 |
|
|
| 343,140 |
| 6.426 |
|
| 358.64 |
| 694 |
| 75.58 |
|
3.250 - 3.499 |
|
| 253,612,994 |
| 825 |
| 15.34 |
|
|
| 307,410 |
| 6.894 |
|
| 359.23 |
| 698 |
| 76.43 |
|
3.500 - 3.749 |
|
| 60,144,442 |
| 204 |
| 3.64 |
|
|
| 294,826 |
| 6.654 |
|
| 358.94 |
| 700 |
| 73.59 |
|
3.750 - 3.999 |
|
| 29,235,603 |
| 103 |
| 1.77 |
|
|
| 283,841 |
| 6.691 |
|
| 359.07 |
| 696 |
| 75.80 |
|
4.000 - 4.249 |
|
| 318,100,634 |
| 945 |
| 19.24 |
|
|
| 336,614 |
| 6.573 |
|
| 359.39 |
| 693 |
| 77.31 |
|
4.250 - 4.499 |
|
| 17,791,976 |
| 65 |
| 1.08 |
|
|
| 273,723 |
| 6.719 |
|
| 358.60 |
| 697 |
| 79.18 |
|
4.500 - 4.749 |
|
| 13,160,062 |
| 52 |
| 0.80 |
|
|
| 253,078 |
| 6.406 |
|
| 358.76 |
| 678 |
| 80.56 |
|
4.750 - 4.999 |
|
| 31,089,943 |
| 115 |
| 1.88 |
|
|
| 270,347 |
| 6.111 |
|
| 358.43 |
| 669 |
| 80.16 |
|
5.000 - 5.249 |
|
| 232,045,343 |
| 813 |
| 14.03 |
|
|
| 285,419 |
| 6.600 |
|
| 358.42 |
| 690 |
| 76.92 |
|
5.250 - 5.499 |
|
| 60,019,965 |
| 236 |
| 3.63 |
|
|
| 254,322 |
| 6.654 |
|
| 358.80 |
| 660 |
| 81.19 |
|
5.500 - 5.749 |
|
| 62,695,001 |
| 264 |
| 3.79 |
|
|
| 237,481 |
| 6.672 |
|
| 358.81 |
| 654 |
| 80.08 |
|
5.750 - 5.999 |
|
| 90,754,070 |
| 366 |
| 5.49 |
|
|
| 247,962 |
| 6.821 |
|
| 358.62 |
| 660 |
| 80.11 |
|
6.000 - 6.249 |
|
| 37,911,101 |
| 149 |
| 2.29 |
|
|
| 254,437 |
| 7.093 |
|
| 358.92 |
| 655 |
| 80.62 |
|
6.250 - 6.499 |
|
| 31,937,707 |
| 124 |
| 1.93 |
|
|
| 257,562 |
| 7.282 |
|
| 358.94 |
| 660 |
| 80.85 |
|
6.500 - 6.749 |
|
| 33,604,628 |
| 130 |
| 2.03 |
|
|
| 258,497 |
| 7.692 |
|
| 359.13 |
| 649 |
| 79.73 |
|
6.750 - 6.999 |
|
| 20,335,387 |
| 73 |
| 1.23 |
|
|
| 278,567 |
| 7.813 |
|
| 358.79 |
| 657 |
| 80.90 |
|
7.000 - 7.249 |
|
| 5,997,975 |
| 25 |
| 0.36 |
|
|
| 239,919 |
| 7.994 |
|
| 358.74 |
| 667 |
| 80.73 |
|
7.250 - 7.499 |
|
| 3,163,003 |
| 15 |
| 0.19 |
|
|
| 210,867 |
| 8.125 |
|
| 359.32 |
| 652 |
| 80.62 |
|
7.500 - 7.749 |
|
| 1,865,416 |
| 11 |
| 0.11 |
|
|
| 169,583 |
| 8.522 |
|
| 359.19 |
| 663 |
| 84.29 |
|
7.750 - 7.999 |
|
| 4,221,320 |
| 16 |
| 0.26 |
|
|
| 263,833 |
| 8.418 |
|
| 359.44 |
| 659 |
| 82.82 |
|
8.000 - 8.249 |
|
| 346,189 |
| 3 |
| 0.02 |
|
|
| 115,396 |
| 9.058 |
|
| 359.18 |
| 680 |
| 87.48 |
|
8.500 - 8.749 |
|
| 463,418 |
| 3 |
| 0.03 |
|
|
| 154,473 |
| 9.481 |
|
| 359.11 |
| 646 |
| 81.87 |
|
>= 10.000 |
|
| 484,625 |
| 2 |
| 0.03 |
|
|
| 242,313 |
| 12.602 |
|
| 360.00 |
| 636 |
| 91.49 |
|
Total |
| $ | 1,653,619,978 |
| 5,453 |
| 100.00 | % |
| $ | 303,250 |
| 6.696 | % |
| 358.96 |
| 689 |
| 76.86 | % |
______________
As of the Cut-off Date, the weighted average Gross Margin of the mortgage loans was approximately 4.154% per annum.
*Excludes fixed rate mortgage loans.
Maximum Mortgage Rate*
Range of Maximum Mortgage Rates (%) |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
< 8.000 |
| $ | 401,830 |
| 1 |
| 0.02 | % |
| $ | 401,830 |
| 6.500 | % |
| 357.00 |
| 582 |
| 65.00 | % |
9.000 - 9.499 |
|
| 479,750 |
| 1 |
| 0.03 |
|
|
| 479,750 |
| 7.125 |
|
| 360.00 |
| 658 |
| 79.99 |
|
9.500 - 9.999 |
|
| 10,030,373 |
| 20 |
| 0.61 |
|
|
| 501,519 |
| 6.939 |
|
| 358.24 |
| 700 |
| 70.74 |
|
10.000 - 10.499 |
|
| 3,347,034 |
| 7 |
| 0.20 |
|
|
| 478,148 |
| 5.173 |
|
| 358.05 |
| 744 |
| 76.60 |
|
10.500 - 10.999 |
|
| 20,937,361 |
| 55 |
| 1.27 |
|
|
| 380,679 |
| 5.456 |
|
| 358.75 |
| 725 |
| 75.54 |
|
11.000 - 11.499 |
|
| 61,494,293 |
| 169 |
| 3.72 |
|
|
| 363,872 |
| 5.637 |
|
| 358.66 |
| 708 |
| 76.32 |
|
11.500 - 11.999 |
|
| 234,104,263 |
| 713 |
| 14.16 |
|
|
| 328,337 |
| 5.884 |
|
| 358.76 |
| 701 |
| 74.37 |
|
12.000 - 12.499 |
|
| 355,255,607 |
| 1,116 |
| 21.48 |
|
|
| 318,329 |
| 6.293 |
|
| 358.97 |
| 694 |
| 76.59 |
|
12.500 - 12.999 |
|
| 507,219,236 |
| 1,693 |
| 30.67 |
|
|
| 299,598 |
| 6.755 |
|
| 358.97 |
| 686 |
| 76.77 |
|
13.000 - 13.499 |
|
| 221,138,428 |
| 788 |
| 13.37 |
|
|
| 280,633 |
| 7.206 |
|
| 359.14 |
| 680 |
| 78.10 |
|
13.500 - 13.999 |
|
| 156,342,346 |
| 562 |
| 9.45 |
|
|
| 278,189 |
| 7.664 |
|
| 359.09 |
| 678 |
| 78.77 |
|
14.000 - 14.499 |
|
| 41,820,643 |
| 154 |
| 2.53 |
|
|
| 271,563 |
| 7.986 |
|
| 359.02 |
| 677 |
| 79.74 |
|
14.500 - 14.999 |
|
| 27,185,603 |
| 108 |
| 1.64 |
|
|
| 251,719 |
| 8.352 |
|
| 359.11 |
| 665 |
| 80.42 |
|
15.000 - 15.499 |
|
| 6,381,137 |
| 30 |
| 0.39 |
|
|
| 212,705 |
| 8.817 |
|
| 358.97 |
| 654 |
| 81.76 |
|
15.500 - 15.999 |
|
| 4,893,468 |
| 22 |
| 0.30 |
|
|
| 222,430 |
| 8.678 |
|
| 358.83 |
| 653 |
| 80.63 |
|
16.000 - 16.499 |
|
| 1,285,150 |
| 6 |
| 0.08 |
|
|
| 214,192 |
| 10.086 |
|
| 358.61 |
| 679 |
| 81.83 |
|
16.500 - 16.999 |
|
| 578,813 |
| 4 |
| 0.04 |
|
|
| 144,703 |
| 10.227 |
|
| 359.28 |
| 637 |
| 84.64 |
|
17.000 - 17.499 |
|
| 144,875 |
| 1 |
| 0.01 |
|
|
| 144,875 |
| 11.375 |
|
| 360.00 |
| 651 |
| 95.00 |
|
17.500 - 17.999 |
|
| 240,019 |
| 2 |
| 0.01 |
|
|
| 120,009 |
| 11.891 |
|
| 358.41 |
| 639 |
| 92.06 |
|
19.000 - 19.499 |
|
| 339,750 |
| 1 |
| 0.02 |
|
|
| 339,750 |
| 13.125 |
|
| 360.00 |
| 630 |
| 90.00 |
|
Total |
| $ | 1,653,619,978 |
| 5,453 |
| 100.00 | % |
| $ | 303,250 |
| 6.696 | % |
| 358.96 |
| 689 |
| 76.86 | % |
______________
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the mortgage loans was approximately 12.629% per annum.
*Excludes fixed rate mortgage loans.
Initial Fixed-Rate Period*
Initial Fixed Period |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
1 |
| $ | 23,124,882 |
| 53 |
| 1.40 | % |
| $ | 436,319 |
| 6.551 | % |
| 358.48 |
| 689 |
| 72.55 | % |
6 |
|
| 113,841,146 |
| 311 |
| 6.88 |
|
|
| 366,049 |
| 6.642 |
|
| 359.07 |
| 696 |
| 75.66 |
|
12 |
|
| 248,368,039 |
| 735 |
| 15.02 |
|
|
| 337,916 |
| 6.561 |
|
| 359.48 |
| 694 |
| 77.78 |
|
24 |
|
| 886,193,127 |
| 3,141 |
| 53.59 |
|
|
| 282,137 |
| 6.811 |
|
| 358.84 |
| 680 |
| 77.75 |
|
36 |
|
| 142,319,235 |
| 476 |
| 8.61 |
|
|
| 298,990 |
| 6.598 |
|
| 358.72 |
| 694 |
| 76.88 |
|
60 |
|
| 223,974,103 |
| 697 |
| 13.54 |
|
|
| 321,340 |
| 6.542 |
|
| 358.98 |
| 710 |
| 73.87 |
|
84 |
|
| 10,733,199 |
| 23 |
| 0.65 |
|
|
| 466,661 |
| 5.916 |
|
| 359.39 |
| 730 |
| 69.61 |
|
120 |
|
| 5,066,247 |
| 17 |
| 0.31 |
|
|
| 298,015 |
| 6.258 |
|
| 358.73 |
| 726 |
| 70.63 |
|
Total |
| $ | 1,653,619,978 |
| 5,453 |
| 100.00 | % |
| $ | 303,250 |
| 6.696 | % |
| 358.96 |
| 689 |
| 76.86 | % |
______________
*Excludes fixed rate mortgage loans.
**This is an introductory rate program.
Initial Rate Cap*
Initial Cap (%) |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
1.000 |
| $ | 133,156,538 |
| 353 |
| 8.05 | % |
| $ | 377,214 |
| 6.632 | % |
| 358.98 |
| 696 |
| 75.06 | % |
1.500 |
|
| 743,706 |
| 2 |
| 0.04 |
|
|
| 371,853 |
| 7.465 |
|
| 359.28 |
| 669 |
| 80.00 |
|
2.000 |
|
| 277,518,865 |
| 828 |
| 16.78 |
|
|
| 335,168 |
| 6.605 |
|
| 359.39 |
| 693 |
| 78.03 |
|
3.000 |
|
| 1,004,476,271 |
| 3,570 |
| 60.74 |
|
|
| 281,366 |
| 6.781 |
|
| 358.85 |
| 681 |
| 77.35 |
|
4.000 |
|
| 1,058,478 |
| 3 |
| 0.06 |
|
|
| 352,826 |
| 7.704 |
|
| 359.00 |
| 628 |
| 82.15 |
|
4.500 |
|
| 472,000 |
| 1 |
| 0.03 |
|
|
| 472,000 |
| 6.750 |
|
| 359.00 |
| 655 |
| 80.00 |
|
5.000 |
|
| 116,632,581 |
| 358 |
| 7.05 |
|
|
| 325,789 |
| 6.603 |
|
| 358.75 |
| 706 |
| 77.52 |
|
5.625 |
|
| 545,250 |
| 1 |
| 0.03 |
|
|
| 545,250 |
| 6.625 |
|
| 359.00 |
| 689 |
| 74.70 |
|
6.000 |
|
| 119,016,291 |
| 337 |
| 7.20 |
|
|
| 353,164 |
| 6.344 |
|
| 359.02 |
| 721 |
| 71.39 |
|
Total |
| $ | 1,653,619,978 |
| 5,453 |
| 100.00 | % |
| $ | 303,250 |
| 6.696 | % |
| 358.96 |
| 689 |
| 76.86 | % |
______________
*Excludes fixed rate mortgage loans.
Subsequent Periodic Rate Cap*
Subsequent Cap (%) |
| Current |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
1.000 |
| $ | 1,239,882,353 |
| 4,241 |
| 74.98 | % |
| $ | 292,356 |
| 6.756 | % |
| 358.85 |
| 685 |
| 77.15 | % |
1.500 |
|
| 862,637 |
| 3 |
| 0.05 |
|
|
| 287,546 |
| 7.642 |
|
| 359.25 |
| 654 |
| 78.62 |
|
2.000 |
|
| 410,997,518 |
| 1,203 |
| 24.85 |
|
|
| 341,644 |
| 6.513 |
|
| 359.27 |
| 702 |
| 76.00 |
|
2.500 |
|
| 710,478 |
| 2 |
| 0.04 |
|
|
| 355,239 |
| 7.559 |
|
| 359.00 |
| 629 |
| 83.21 |
|
3.000 |
|
| 267,872 |
| 1 |
| 0.02 |
|
|
| 267,872 |
| 9.625 |
|
| 359.00 |
| 594 |
| 80.00 |
|
6.000 |
|
| 899,121 |
| 3 |
| 0.05 |
|
|
| 299,707 |
| 5.582 |
|
| 357.00 |
| 744 |
| 66.81 |
|
Total |
| $ | 1,653,619,978 |
| 5,453 |
| 100.00 | % |
| $ | 303,250 |
| 6.696 | % |
| 358.96 |
| 689 |
| 76.86 | % |
______________
*Excludes fixed rate mortgage loans.
Original Loan-to-Value Ratios*
Range of Loan-to- |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
0.01 - 20.00 |
| $ | 585,682 |
| 4 |
| 0.03 | % |
| $ | 146,420 |
| 6.485 | % |
| 333.19 |
| 669 |
| 16.33 | % |
20.01 - 25.00 |
|
| 796,837 |
| 5 |
| 0.04 |
|
|
| 159,367 |
| 6.204 |
|
| 358.65 |
| 764 |
| 23.15 |
|
25.01 - 30.00 |
|
| 5,247,265 |
| 13 |
| 0.26 |
|
|
| 403,636 |
| 5.958 |
|
| 358.52 |
| 753 |
| 28.59 |
|
30.01 - 35.00 |
|
| 3,282,724 |
| 16 |
| 0.17 |
|
|
| 205,170 |
| 6.124 |
|
| 358.67 |
| 709 |
| 32.47 |
|
35.01 - 40.00 |
|
| 9,974,790 |
| 32 |
| 0.50 |
|
|
| 311,712 |
| 6.476 |
|
| 349.50 |
| 712 |
| 37.67 |
|
40.01 - 45.00 |
|
| 10,577,288 |
| 36 |
| 0.53 |
|
|
| 293,814 |
| 6.273 |
|
| 358.59 |
| 722 |
| 43.10 |
|
45.01 - 50.00 |
|
| 18,327,801 |
| 58 |
| 0.92 |
|
|
| 315,997 |
| 6.173 |
|
| 357.92 |
| 712 |
| 47.84 |
|
50.01 - 55.00 |
|
| 20,858,073 |
| 66 |
| 1.05 |
|
|
| 316,031 |
| 6.184 |
|
| 356.50 |
| 718 |
| 53.00 |
|
55.01 - 60.00 |
|
| 44,009,774 |
| 114 |
| 2.21 |
|
|
| 386,051 |
| 6.255 |
|
| 356.18 |
| 713 |
| 58.34 |
|
60.01 - 65.00 |
|
| 98,714,662 |
| 243 |
| 4.96 |
|
|
| 406,233 |
| 6.395 |
|
| 357.60 |
| 697 |
| 64.00 |
|
65.01 - 70.00 |
|
| 230,120,585 |
| 740 |
| 11.57 |
|
|
| 310,974 |
| 6.648 |
|
| 359.06 |
| 702 |
| 69.52 |
|
70.01 - 75.00 |
|
| 272,450,002 |
| 822 |
| 13.70 |
|
|
| 331,448 |
| 6.621 |
|
| 357.77 |
| 694 |
| 74.57 |
|
75.01 - 80.00 |
|
| 1,076,124,498 |
| 3,673 |
| 54.10 |
|
|
| 292,982 |
| 6.733 |
|
| 358.62 |
| 688 |
| 79.81 |
|
80.01 - 85.00 |
|
| 36,670,609 |
| 134 |
| 1.84 |
|
|
| 273,661 |
| 6.824 |
|
| 356.84 |
| 669 |
| 84.13 |
|
85.01 - 90.00 |
|
| 103,122,041 |
| 489 |
| 5.18 |
|
|
| 210,884 |
| 7.313 |
|
| 345.29 |
| 676 |
| 89.60 |
|
90.01 - 95.00 |
|
| 35,136,916 |
| 326 |
| 1.77 |
|
|
| 107,782 |
| 9.033 |
|
| 291.62 |
| 703 |
| 94.82 |
|
95.01 - 100.00 |
|
| 23,063,758 |
| 228 |
| 1.16 |
|
|
| 101,157 |
| 9.790 |
|
| 223.35 |
| 693 |
| 99.92 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
The minimum and maximum loan-to-value ratios of the mortgage loans at origination were approximately 5.00% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the mortgage loans at origination was approximately 75.02%.
*Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
Occupancy Types
Occupancy |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
Owner Occupied |
| $ | 1,528,292,676 |
| 4,908 |
| 76.83 | % |
| $ | 311,388 |
| 6.664 | % |
| 355.50 |
| 687 |
| 76.88 | % |
Investment |
|
| 379,665,548 |
| 1,740 |
| 19.09 |
|
|
| 218,199 |
| 7.150 |
|
| 353.11 |
| 709 |
| 74.93 |
|
Second Home |
|
| 81,105,082 |
| 351 |
| 4.08 |
|
|
| 231,069 |
| 6.993 |
|
| 351.71 |
| 711 |
| 76.58 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
Occupancy type is based on the representation of the borrower at the time of origination.
Purpose
Purpose |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
Purchase |
| $ | 1,312,459,479 |
| 4,791 |
| 65.98 | % |
| $ | 273,943 |
| 6.853 | % |
| 354.31 |
| 696 |
| 78.12 | % |
Refinance-Cash-out |
|
| 547,585,408 |
| 1,751 |
| 27.53 |
|
|
| 312,727 |
| 6.650 |
|
| 355.65 |
| 683 |
| 73.19 |
|
Refinance No Cash-out |
|
| 129,018,418 |
| 457 |
| 6.49 |
|
|
| 282,316 |
| 6.435 |
|
| 357.59 |
| 684 |
| 73.98 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
Occupancy type is based on the representation of the borrower at the time of origination.
Mortgage Loan Program and Documentation Type
Document Type |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
Progressive Series Program (Limited (Stated) Documentation) |
| $ | 1,180,600,802 |
| 4,041 |
| 59.35 | % |
| $ | 292,156 |
| 6.815 | % |
| 353.87 |
| 692 |
| 76.81 | % |
Progressive Series Program (Full Documentation) |
|
| 286,756,155 |
| 1,180 |
| 14.42 |
|
|
| 243,014 |
| 6.410 |
|
| 356.05 |
| 684 |
| 77.67 |
|
Progressive Express Program (Verified Assets) |
|
| 224,966,364 |
| 790 |
| 11.31 |
|
|
| 284,768 |
| 6.883 |
|
| 355.01 |
| 698 |
| 77.01 |
|
Progressive Express No Doc Program (No Documentation) |
|
| 162,206,057 |
| 532 |
| 8.15 |
|
|
| 304,899 |
| 6.840 |
|
| 357.87 |
| 700 |
| 70.53 |
|
Progressive Series Program (Stated Income/Stated Assets Documentation) |
|
| 57,799,898 |
| 199 |
| 2.91 |
|
|
| 290,452 |
| 6.953 |
|
| 357.22 |
| 693 |
| 76.50 |
|
Progressive Express Program (Non Verified Assets) |
|
| 39,057,265 |
| 126 |
| 1.96 |
|
|
| 309,978 |
| 7.036 |
|
| 356.67 |
| 690 |
| 78.74 |
|
Progressive Series Program (Alternative Documentation) |
|
| 22,136,878 |
| 71 |
| 1.11 |
|
|
| 311,787 |
| 6.393 |
|
| 358.99 |
| 680 |
| 76.78 |
|
Progressive Series Program (No Income/No Asset Documentation) |
|
| 6,705,856 |
| 28 |
| 0.34 |
|
|
| 239,495 |
| 6.671 |
|
| 359.14 |
| 686 |
| 84.22 |
|
Progressive Express Program No Doc Program (Verified Assets) |
|
| 6,395,618 |
| 25 |
| 0.32 |
|
|
| 255,825 |
| 7.073 |
|
| 359.09 |
| 699 |
| 75.04 |
|
Progressive Series Program (Full Income/Stated Assets Documentation) |
|
| 2,438,413 |
| 7 |
| 0.12 |
|
|
| 348,345 |
| 6.743 |
|
| 358.91 |
| 709 |
| 80.10 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
See “—Underwriting Standards” below for a detailed description of the Seller's loan programs and documentation requirements.
Risk Categories
Credit Grade Category |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
A+(1) |
| $ | 1,037,865,108 |
| 3,443 |
| 52.18 | % |
| $ | 301,442 |
| 6.625 | % |
| 354.10 |
| 728 |
| 75.35 | % |
A(1) |
|
| 833,693,512 |
| 3,135 |
| 41.91 |
|
|
| 265,931 |
| 6.894 |
|
| 355.34 |
| 650 |
| 77.82 |
|
A-(1) |
|
| 30,244,652 |
| 124 |
| 1.52 |
|
|
| 243,908 |
| 7.085 |
|
| 357.67 |
| 608 |
| 74.35 |
|
ALTB,A(1) |
|
| 18,947,945 |
| 67 |
| 0.95 |
|
|
| 282,805 |
| 7.674 |
|
| 358.07 |
| 634 |
| 77.39 |
|
ALTB, A-(1) |
|
| 1,668,223 |
| 6 |
| 0.08 |
|
|
| 278,037 |
| 7.814 |
|
| 358.69 |
| 632 |
| 79.90 |
|
B(1) |
|
| 118,932 |
| 1 |
| 0.01 |
|
|
| 118,932 |
| 8.750 |
|
| 359.00 |
| 565 |
| 70.00 |
|
Progressive Express™ I(2) |
|
| 40,235,128 |
| 132 |
| 2.02 |
|
|
| 304,812 |
| 6.854 |
|
| 359.33 |
| 726 |
| 78.47 |
|
Progressive Express™ II (2) |
|
| 24,011,951 |
| 83 |
| 1.21 |
|
|
| 289,301 |
| 7.328 |
|
| 359.24 |
| 648 |
| 78.17 |
|
Progressive Express™ III(2) |
|
| 1,464,856 |
| 4 |
| 0.07 |
|
|
| 366,214 |
| 6.491 |
|
| 358.97 |
| 606 |
| 79.10 |
|
Progressive Express™ IV(2) |
|
| 442,590 |
| 2 |
| 0.02 |
|
|
| 221,295 |
| 9.044 |
|
| 358.36 |
| 588 |
| 85.48 |
|
Progressive Express™ VI(2) |
|
| 370,410 |
| 2 |
| 0.02 |
|
|
| 185,205 |
| 9.875 |
|
| 359.47 |
| 543 |
| 73.82 |
|
Total: |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
______________
(1) All of these mortgage loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A, A-, B and C correspond to Progressive Series I+, I and II, III and III+, IV and V respectively.
(2) These mortgage loans were originated under the Seller's Progressive Express™ Program. The underwriting for these mortgage loans is generally based on the borrower's “Credit Score” score and therefore these mortgage loans do not correspond to the alphabetical risk categories listed above. All of the mortgage loans originated pursuant to the Express Priority Refi™ Program have been placed in Progressive Express™ Programs II and III.
See “—Underwriting Standards” below for a description of the Seller's risk categories.
Property Types
Property Type |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
Single Family Residence |
| $ | 1,263,679,897 |
| 4,341 |
| 63.53 | % |
| $ | 291,103 |
| 6.701 | % |
| 355.47 |
| 689 |
| 76.29 | % |
Condominium |
|
| 207,666,404 |
| 979 |
| 10.44 |
|
|
| 212,121 |
| 6.833 |
|
| 353.47 |
| 698 |
| 77.82 |
|
Planned Unit Development |
|
| 178,128,390 |
| 632 |
| 8.96 |
|
|
| 281,849 |
| 6.694 |
|
| 355.20 |
| 696 |
| 77.55 |
|
Deminimis Planned Unit Development |
|
| 137,728,099 |
| 421 |
| 6.92 |
|
|
| 327,145 |
| 6.921 |
|
| 352.51 |
| 690 |
| 77.22 |
|
2 Family |
|
| 75,894,740 |
| 254 |
| 3.82 |
|
|
| 298,798 |
| 6.989 |
|
| 353.94 |
| 694 |
| 76.72 |
|
4 Family |
|
| 45,043,366 |
| 120 |
| 2.26 |
|
|
| 375,361 |
| 7.175 |
|
| 355.94 |
| 708 |
| 72.71 |
|
3 Family |
|
| 37,441,089 |
| 101 |
| 1.88 |
|
|
| 370,704 |
| 7.193 |
|
| 353.65 |
| 703 |
| 72.43 |
|
Hi-Rise |
|
| 28,467,409 |
| 78 |
| 1.43 |
|
|
| 364,967 |
| 7.133 |
|
| 351.83 |
| 708 |
| 76.30 |
|
Townhouse |
|
| 8,843,176 |
| 46 |
| 0.44 |
|
|
| 192,243 |
| 7.184 |
|
| 352.06 |
| 682 |
| 80.03 |
|
Condotel |
|
| 5,831,000 |
| 24 |
| 0.29 |
|
|
| 242,958 |
| 7.060 |
|
| 359.04 |
| 705 |
| 70.75 |
|
Condononowa |
|
| 197,442 |
| 2 |
| 0.01 |
|
|
| 98,721 |
| 8.963 |
|
| 336.05 |
| 680 |
| 81.96 |
|
Rowhouse |
|
| 142,294 |
| 1 |
| 0.01 |
|
|
| 142,294 |
| 7.500 |
|
| 359.00 |
| 659 |
| 80.00 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
Geographic Distribution of Mortgaged Properties
State |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
Alabama |
| $ | 2,587,554 |
| 16 |
| 0.13 | % |
| $ | 161,722 |
| 7.397 | % |
| 289.19 |
| 691 |
| 80.58 | % |
Arkansas |
|
| 108,880 |
| 2 |
| 0.01 |
|
|
| 54,440 |
| 7.505 |
|
| 358.59 |
| 713 |
| 78.47 |
|
Arizona |
|
| 75,698,435 |
| 359 |
| 3.81 |
|
|
| 210,859 |
| 6.856 |
|
| 355.89 |
| 691 |
| 77.65 |
|
California |
|
| 1,098,010,122 |
| 2,948 |
| 55.20 |
|
|
| 372,459 |
| 6.565 |
|
| 355.75 |
| 697 |
| 75.10 |
|
Colorado |
|
| 23,164,486 |
| 110 |
| 1.16 |
|
|
| 210,586 |
| 6.846 |
|
| 356.25 |
| 665 |
| 77.67 |
|
Connecticut |
|
| 7,284,138 |
| 30 |
| 0.37 |
|
|
| 242,805 |
| 7.118 |
|
| 358.45 |
| 683 |
| 80.11 |
|
District of Columbia |
|
| 995,200 |
| 3 |
| 0.05 |
|
|
| 331,733 |
| 7.047 |
|
| 359.42 |
| 655 |
| 75.78 |
|
Delaware |
|
| 1,745,399 |
| 7 |
| 0.09 |
|
|
| 249,343 |
| 7.216 |
|
| 358.90 |
| 643 |
| 79.65 |
|
Florida |
|
| 230,035,689 |
| 1,138 |
| 11.57 |
|
|
| 202,140 |
| 7.137 |
|
| 352.65 |
| 696 |
| 78.11 |
|
Georgia |
|
| 19,440,292 |
| 104 |
| 0.98 |
|
|
| 186,926 |
| 6.714 |
|
| 354.17 |
| 687 |
| 78.78 |
|
Hawaii |
|
| 30,151,100 |
| 61 |
| 1.52 |
|
|
| 494,280 |
| 6.974 |
|
| 353.57 |
| 700 |
| 73.54 |
|
Iowa |
|
| 681,087 |
| 5 |
| 0.03 |
|
|
| 136,217 |
| 6.657 |
|
| 358.10 |
| 661 |
| 78.68 |
|
Idaho |
|
| 2,859,275 |
| 16 |
| 0.14 |
|
|
| 178,705 |
| 6.739 |
|
| 336.36 |
| 695 |
| 77.13 |
|
Illinois |
|
| 41,912,775 |
| 206 |
| 2.11 |
|
|
| 203,460 |
| 7.333 |
|
| 351.68 |
| 683 |
| 79.56 |
|
Indiana |
|
| 2,254,430 |
| 24 |
| 0.11 |
|
|
| 93,935 |
| 7.896 |
|
| 347.41 |
| 662 |
| 83.32 |
|
Kansas |
|
| 869,822 |
| 6 |
| 0.04 |
|
|
| 144,970 |
| 6.712 |
|
| 357.45 |
| 666 |
| 76.67 |
|
Kentucky |
|
| 1,583,602 |
| 18 |
| 0.08 |
|
|
| 87,978 |
| 7.072 |
|
| 349.07 |
| 673 |
| 80.22 |
|
Louisiana |
|
| 420,360 |
| 5 |
| 0.02 |
|
|
| 84,072 |
| 7.224 |
|
| 338.37 |
| 689 |
| 81.64 |
|
Massachusetts |
|
| 14,093,469 |
| 54 |
| 0.71 |
|
|
| 260,990 |
| 6.924 |
|
| 347.76 |
| 672 |
| 78.37 |
|
Maryland |
|
| 62,911,922 |
| 234 |
| 3.16 |
|
|
| 268,854 |
| 6.962 |
|
| 354.07 |
| 673 |
| 78.91 |
|
Maine |
|
| 1,930,293 |
| 11 |
| 0.10 |
|
|
| 175,481 |
| 7.074 |
|
| 359.08 |
| 688 |
| 79.56 |
|
Michigan |
|
| 9,682,961 |
| 66 |
| 0.49 |
|
|
| 146,712 |
| 6.893 |
|
| 357.32 |
| 671 |
| 78.89 |
|
Minnesota |
|
| 18,018,744 |
| 101 |
| 0.91 |
|
|
| 178,403 |
| 6.904 |
|
| 355.25 |
| 658 |
| 81.12 |
|
Missouri |
|
| 5,350,915 |
| 37 |
| 0.27 |
|
|
| 144,619 |
| 7.005 |
|
| 356.81 |
| 677 |
| 82.09 |
|
Mississippi |
|
| 1,132,298 |
| 9 |
| 0.06 |
|
|
| 125,811 |
| 7.239 |
|
| 336.81 |
| 682 |
| 83.10 |
|
Montana |
|
| 747,520 |
| 2 |
| 0.04 |
|
|
| 373,760 |
| 6.272 |
|
| 356.59 |
| 617 |
| 65.43 |
|
North Carolina |
|
| 10,507,070 |
| 62 |
| 0.53 |
|
|
| 169,469 |
| 7.116 |
|
| 354.72 |
| 674 |
| 81.74 |
|
Nebraska |
|
| 190,150 |
| 2 |
| 0.01 |
|
|
| 95,075 |
| 7.215 |
|
| �� 359.52 |
| 636 |
| 77.38 |
|
New Hampshire |
|
| 2,068,823 |
| 9 |
| 0.10 |
|
|
| 229,869 |
| 7.022 |
|
| 358.77 |
| 681 |
| 78.23 |
|
New Jersey |
|
| 39,810,721 |
| 152 |
| 2.00 |
|
|
| 261,913 |
| 7.114 |
|
| 353.38 |
| 669 |
| 78.16 |
|
New Mexico |
|
| 1,787,003 |
| 17 |
| 0.09 |
|
|
| 105,118 |
| 7.348 |
|
| 351.81 |
| 713 |
| 76.66 |
|
Nevada |
|
| 53,133,615 |
| 221 |
| 2.67 |
|
|
| 240,424 |
| 6.918 |
|
| 354.01 |
| 685 |
| 77.90 |
|
New York |
|
| 43,829,657 |
| 108 |
| 2.20 |
|
|
| 405,830 |
| 7.027 |
|
| 356.41 |
| 696 |
| 75.51 |
|
Ohio |
|
| 6,671,546 |
| 42 |
| 0.34 |
|
|
| 158,846 |
| 6.960 |
|
| 358.92 |
| 655 |
| 81.18 |
|
Oklahoma |
|
| 460,810 |
| 4 |
| 0.02 |
|
|
| 115,202 |
| 7.068 |
|
| 346.21 |
| 671 |
| 77.21 |
|
Oregon |
|
| 15,000,823 |
| 78 |
| 0.75 |
|
|
| 192,318 |
| 6.739 |
|
| 357.73 |
| 672 |
| 76.70 |
|
Pennsylvania |
|
| 7,805,220 |
| 39 |
| 0.39 |
|
|
| 200,134 |
| 7.174 |
|
| 352.85 |
| 667 |
| 79.91 |
|
Rhode Island |
|
| 2,822,809 |
| 15 |
| 0.14 |
|
|
| 188,187 |
| 7.296 |
|
| 353.95 |
| 665 |
| 77.32 |
|
South Carolina |
|
| 4,397,655 |
| 29 |
| 0.22 |
|
|
| 151,643 |
| 6.659 |
|
| 355.79 |
| 672 |
| 81.05 |
|
South Dakota |
|
| 642,700 |
| 4 |
| 0.03 |
|
|
| 160,675 |
| 7.656 |
|
| 358.00 |
| 738 |
| 69.99 |
|
Tennessee |
|
| 5,865,428 |
| 39 |
| 0.29 |
|
|
| 150,396 |
| 6.929 |
|
| 358.11 |
| 685 |
| 81.36 |
|
Texas |
|
| 10,895,491 |
| 77 |
| 0.55 |
|
|
| 141,500 |
| 7.266 |
|
| 353.25 |
| 692 |
| 79.11 |
|
Utah |
|
| 5,167,411 |
| 35 |
| 0.26 |
|
|
| 147,640 |
| 7.075 |
|
| 354.89 |
| 698 |
| 78.32 |
|
Virginia |
|
| 87,422,421 |
| 307 |
| 4.40 |
|
|
| 284,764 |
| 7.082 |
|
| 354.33 |
| 685 |
| 78.75 |
|
Vermont |
|
| 312,414 |
| 2 |
| 0.02 |
|
|
| 156,207 |
| 7.625 |
|
| 357.64 |
| 717 |
| 88.20 |
|
Washington |
|
| 32,982,662 |
| 162 |
| 1.66 |
|
|
| 203,597 |
| 6.676 |
|
| 355.11 |
| 679 |
| 77.89 |
|
Wisconsin |
|
| 2,644,913 |
| 18 |
| 0.13 |
|
|
| 146,940 |
| 6.901 |
|
| 358.90 |
| 667 |
| 82.23 |
|
Wyoming |
|
| 973,200 |
| 5 |
| 0.05 |
|
|
| 194,640 |
| 6.472 |
|
| 358.45 |
| 650 |
| 79.45 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
No more than approximately .45% of the mortgage 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
Range of Debt-to- |
| Current |
| No. of Loans |
| % of |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
0.01 - 5.00 |
| $ | 756,690 |
| 5 |
| 0.04 | % |
| $ | 151,338 |
| 6.714 | % |
| 358.98 |
| 696 |
| 76.45 | % |
5.01 - 10.00 |
|
| 2,141,124 |
| 7 |
| 0.11 |
|
|
| 305,875 |
| 7.173 |
|
| 356.35 |
| 678 |
| 75.78 |
|
10.01 - 15.00 |
|
| 10,108,522 |
| 38 |
| 0.51 |
|
|
| 266,014 |
| 6.522 |
|
| 355.27 |
| 695 |
| 71.71 |
|
15.01 - 20.00 |
|
| 13,829,061 |
| 58 |
| 0.70 |
|
|
| 238,432 |
| 6.569 |
|
| 351.52 |
| 708 |
| 73.51 |
|
20.01 - 25.00 |
|
| 37,132,900 |
| 160 |
| 1.87 |
|
|
| 232,081 |
| 6.767 |
|
| 352.24 |
| 698 |
| 75.05 |
|
25.01 - 30.00 |
|
| 100,009,701 |
| 369 |
| 5.03 |
|
|
| 271,029 |
| 6.691 |
|
| 356.73 |
| 699 |
| 75.40 |
|
30.01 - 35.00 |
|
| 211,112,945 |
| 710 |
| 10.61 |
|
|
| 297,342 |
| 6.653 |
|
| 356.23 |
| 695 |
| 75.00 |
|
35.01 - 40.00 |
|
| 335,963,844 |
| 1,115 |
| 16.89 |
|
|
| 301,313 |
| 6.647 |
|
| 355.21 |
| 693 |
| 76.86 |
|
40.01 - 45.00 |
|
| 423,472,885 |
| 1,418 |
| 21.29 |
|
|
| 298,641 |
| 6.723 |
|
| 355.52 |
| 692 |
| 77.36 |
|
45.01 - 50.00 |
|
| 437,129,406 |
| 1,608 |
| 21.98 |
|
|
| 271,847 |
| 6.834 |
|
| 355.70 |
| 680 |
| 78.46 |
|
50.01 - 55.00 |
|
| 13,580,112 |
| 43 |
| 0.68 |
|
|
| 315,817 |
| 6.529 |
|
| 358.24 |
| 686 |
| 75.33 |
|
Greater than 55.00 |
|
| 3,238,024 |
| 9 |
| 0.16 |
|
|
| 359,780 |
| 6.199 |
|
| 358.88 |
| 715 |
| 81.16 |
|
Unknown |
|
| 400,588,094 |
| 1,459 |
| 20.14 |
|
|
| 274,563 |
| 6.960 |
|
| 352.10 |
| 699 |
| 74.54 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
As of the Cut-off Date, the weighted average debt to income ratio of the mortgage loans was approximately 40.10% per annum.
Prepayment Penalty Period
Number of Months |
| Current |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross |
| Weighted Average Remg. |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
No Penalty |
| $ | 536,729,063 |
| 1,921 |
| 26.98 | % |
| $ | 279,401 |
| 6.873 | % |
| 349.52 |
| 705 |
| 75.58 | % |
6 Months |
|
| 45,141,998 |
| 126 |
| 2.27 |
|
|
| 358,270 |
| 7.008 |
|
| 356.26 |
| 699 |
| 72.73 |
|
7 Months |
|
| 7,124,572 |
| 19 |
| 0.36 |
|
|
| 374,977 |
| 6.722 |
|
| 358.02 |
| 724 |
| 70.83 |
|
12 Months |
|
| 451,448,327 |
| 1,440 |
| 22.70 |
|
|
| 313,506 |
| 6.767 |
|
| 355.90 |
| 694 |
| 76.81 |
|
24 Months |
|
| 638,741,440 |
| 2,314 |
| 32.11 |
|
|
| 276,033 |
| 6.708 |
|
| 357.65 |
| 678 |
| 77.73 |
|
36 Months |
|
| 259,542,851 |
| 1,025 |
| 13.05 |
|
|
| 253,213 |
| 6.660 |
|
| 357.22 |
| 691 |
| 76.23 |
|
60 Months |
|
| 50,335,054 |
| 154 |
| 2.53 |
|
|
| 326,851 |
| 6.845 |
|
| 354.36 |
| 704 |
| 73.26 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
Months Remaining to Scheduled Maturity
Range of Months |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. |
| Weighted Average Credit |
| Weighted Average Original | |||||
121 - 180 |
| $ | 42,837,640 |
| 555 |
| 2.15 | % |
| $ | 77,185 |
| 10.238 | % |
| 175.88 |
| 696 |
| 92.49 | % |
181 - 240 |
|
| 1,774,328 |
| 11 |
| 0.09 |
|
|
| 161,303 |
| 7.025 |
|
| 238.49 |
| 685 |
| 76.40 |
|
301 - 360 |
|
| 1,944,451,338 |
| 6,433 |
| 97.76 |
|
|
| 302,262 |
| 6.694 |
|
| 358.94 |
| 692 |
| 76.14 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the mortgage loans was approximately 355 months.
Credit Scores
Range of Credit Scores |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
Unknown |
| $ | 4,571,263 |
| 23 |
| 0.23 | % |
| $ | 198,751 |
| 7.069 | % |
| 358.03 |
| N/A |
| 70.21 | % |
> 820 |
|
| 1,284,720 |
| 3 |
| 0.06 |
|
|
| 428,240 |
| 6.386 |
|
| 360.00 |
| 828 |
| 76.66 |
|
801 - 820 |
|
| 20,310,859 |
| 59 |
| 1.02 |
|
|
| 344,252 |
| 6.306 |
|
| 358.06 |
| 806 |
| 67.04 |
|
781 - 800 |
|
| 72,713,797 |
| 221 |
| 3.66 |
|
|
| 329,022 |
| 6.451 |
|
| 356.25 |
| 789 |
| 72.36 |
|
761 - 780 |
|
| 125,058,981 |
| 382 |
| 6.29 |
|
|
| 327,380 |
| 6.485 |
|
| 355.48 |
| 769 |
| 73.91 |
|
741 - 760 |
|
| 157,167,695 |
| 531 |
| 7.90 |
|
|
| 295,984 |
| 6.582 |
|
| 354.33 |
| 750 |
| 75.28 |
|
721 - 740 |
|
| 191,600,140 |
| 636 |
| 9.63 |
|
|
| 301,258 |
| 6.547 |
|
| 354.77 |
| 730 |
| 75.70 |
|
701 - 720 |
|
| 230,859,493 |
| 784 |
| 11.61 |
|
|
| 294,464 |
| 6.732 |
|
| 353.92 |
| 710 |
| 76.92 |
|
681 - 700 |
|
| 276,067,162 |
| 943 |
| 13.88 |
|
|
| 292,754 |
| 6.782 |
|
| 353.14 |
| 690 |
| 76.42 |
|
661 - 680 |
|
| 258,675,052 |
| 912 |
| 13.00 |
|
|
| 283,635 |
| 6.844 |
|
| 354.48 |
| 670 |
| 77.37 |
|
641 - 660 |
|
| 345,591,806 |
| 1,336 |
| 17.37 |
|
|
| 258,677 |
| 6.891 |
|
| 355.32 |
| 650 |
| 77.97 |
|
621 - 640 |
|
| 249,525,824 |
| 948 |
| 12.54 |
|
|
| 263,213 |
| 7.013 |
|
| 356.10 |
| 631 |
| 78.16 |
|
601 - 620 |
|
| 43,538,562 |
| 168 |
| 2.19 |
|
|
| 259,158 |
| 7.108 |
|
| 358.89 |
| 614 |
| 75.90 |
|
581 - 600 |
|
| 11,086,600 |
| 45 |
| 0.56 |
|
|
| 246,369 |
| 7.391 |
|
| 358.72 |
| 591 |
| 74.52 |
|
561 - 580 |
|
| 511,374 |
| 4 |
| 0.03 |
|
|
| 127,844 |
| 8.062 |
|
| 358.46 |
| 576 |
| 80.23 |
|
541 - 560 |
|
| 327,476 |
| 3 |
| 0.02 |
|
|
| 109,159 |
| 9.721 |
|
| 344.09 |
| 553 |
| 78.53 |
|
521 - 540 |
|
| 172,500 |
| 1 |
| 0.01 |
|
|
| 172,500 |
| 9.875 |
|
| 360.00 |
| 535 |
| 75.00 |
|
Total |
| $ | 1,989,063,306 |
| 6,999 |
| 100.00 | % |
| $ | 284,192 |
| 6.770 | % |
| 354.89 |
| 692 |
| 76.49 | % |
As of the Cut-off Date, the weighted average credit score of the mortgage loans was approximately 692.
Range of Months to First Roll*
Range of Months |
| WA MTR |
| Current |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
1 – 6 |
| 4 |
| $ | 137,073,228 |
| 365 |
| 8.29 | % |
| $ | 375,543 |
| 6.627 | % |
| 358.96 |
| 695 |
| 75.14 | % |
7 – 12 |
| 12 |
|
| 248,950,889 |
| 737 |
| 15.05 |
|
|
| 337,790 |
| 6.562 |
|
| 359.45 |
| 694 |
| 77.78 |
|
13 – 18 |
| 17 |
|
| 1,145,648 |
| 6 |
| 0.07 |
|
|
| 190,941 |
| 6.036 |
|
| 353.00 |
| 685 |
| 79.43 |
|
19 – 24 |
| 23 |
|
| 884,681,729 |
| 3,133 |
| 53.50 |
|
|
| 282,375 |
| 6.812 |
|
| 358.85 |
| 680 |
| 77.75 |
|
25 – 31 |
| 31 |
|
| 1,144,720 |
| 4 |
| 0.07 |
|
|
| 286,180 |
| 6.520 |
|
| 354.53 |
| 679 |
| 82.71 |
|
32 – 37 |
| 35 |
|
| 140,850,215 |
| 471 |
| 8.52 |
|
|
| 299,045 |
| 6.596 |
|
| 358.78 |
| 694 |
| 76.83 |
|
50 – 55 |
| 55 |
|
| 704,694 |
| 4 |
| 0.04 |
|
|
| 176,174 |
| 6.185 |
|
| 355.00 |
| 704 |
| 77.10 |
|
56 – 61 |
| 59 |
|
| 223,269,409 |
| 693 |
| 13.50 |
|
|
| 322,178 |
| 6.543 |
|
| 358.99 |
| 710 |
| 73.86 |
|
80 – 85 |
| 83 |
|
| 10,733,199 |
| 23 |
| 0.65 |
|
|
| 466,661 |
| 5.916 |
|
| 359.39 |
| 730 |
| 69.61 |
|
Greater than 85.00 |
| 119 |
|
| 5,066,247 |
| 17 |
| 0.31 |
|
|
| 298,015 |
| 6.258 |
|
| 358.73 |
| 726 |
| 70.63 |
|
Total |
|
|
| $ | 1,653,619,978 |
| 5,453 |
| 100.00 | % |
| $ | 303,250 |
| 6.696 | % |
| 358.96 |
| 689 |
| 76.86 | % |
______________
As of the Cut-off Date, the weighted average months to first roll of the mortgage loans was approximately 26 months.
*Excludes fixed rate mortgage loans.
Next Interest Adjustment Date
Next Interest |
| Current Balance |
| No. of Loans |
| % of Total by Current Balance |
| Average Balance |
| Weighted Average Gross WAC |
| Weighted Average Remg. Term (Months) |
| Weighted Average Credit Score |
| Weighted Average Original LTV | |||||
January 2006 |
| $ | 23,232,082 |
| 54 |
| 1.40 | % |
| $ | 430,224 |
| 6.551 | % |
| 358.43 |
| 688 |
| 72.58 | % |
February 2006 |
|
| 1,894,781 |
| 6 |
| 0.11 |
|
|
| 315,797 |
| 6.141 |
|
| 356.00 |
| 722 |
| 82.46 |
|
March 2006 |
|
| 2,974,139 |
| 9 |
| 0.18 |
|
|
| 330,460 |
| 6.221 |
|
| 356.46 |
| 689 |
| 69.71 |
|
April 2006 |
|
| 17,689,763 |
| 46 |
| 1.07 |
|
|
| 384,560 |
| 6.465 |
|
| 358.00 |
| 686 |
| 74.69 |
|
May 2006 |
|
| 44,734,865 |
| 130 |
| 2.71 |
|
|
| 344,114 |
| 6.696 |
|
| 358.96 |
| 698 |
| 75.30 |
|
June 2006 |
|
| 37,889,889 |
| 98 |
| 2.29 |
|
|
| 386,632 |
| 6.706 |
|
| 359.85 |
| 694 |
| 76.32 |
|
July 2006 |
|
| 8,907,281 |
| 23 |
| 0.54 |
|
|
| 387,273 |
| 6.675 |
|
| 359.86 |
| 708 |
| 77.22 |
|
August 2006 |
|
| 258,300 |
| 1 |
| 0.02 |
|
|
| 258,300 |
| 6.750 |
|
| 356.00 |
| 649 |
| 80.00 |
|
September 2006 |
|
| 3,146,953 |
| 10 |
| 0.19 |
|
|
| 314,695 |
| 6.361 |
|
| 357.00 |
| 678 |
| 78.26 |
|
October 2006 |
|
| 9,112,698 |
| 30 |
| 0.55 |
|
|
| 303,757 |
| 6.239 |
|
| 358.00 |
| 678 |
| 75.53 |
|
November 2006 |
|
| 90,518,207 |
| 267 |
| 5.47 |
|
|
| 339,020 |
| 6.410 |
|
| 359.00 |
| 694 |
| 77.81 |
|
December 2006 |
|
| 107,256,260 |
| 323 |
| 6.49 |
|
|
| 332,063 |
| 6.660 |
|
| 359.85 |
| 693 |
| 78.04 |
|
January 2007 |
|
| 38,408,899 |
| 105 |
| 2.32 |
|
|
| 365,799 |
| 6.741 |
|
| 360.00 |
| 700 |
| 77.45 |
|
March 2007 |
|
| 195,519 |
| 2 |
| 0.01 |
|
|
| 97,760 |
| 5.750 |
|
| 351.00 |
| 678 |
| 86.15 |
|
May 2007 |
|
| 555,829 |
| 2 |
| 0.03 |
|
|
| 277,914 |
| 5.834 |
|
| 353.00 |
| 712 |
| 80.00 |
|
June 2007 |
|
| 394,300 |
| 2 |
| 0.02 |
|
|
| 197,150 |
| 6.463 |
|
| 354.00 |
| 649 |
| 75.30 |
|
July 2007 |
|
| 3,468,275 |
| 13 |
| 0.21 |
|
|
| 266,790 |
| 6.479 |
|
| 355.00 |
| 674 |
| 81.34 |
|
August 2007 |
|
| 11,218,653 |
| 41 |
| 0.68 |
|
|
| 273,626 |
| 6.359 |
|
| 356.09 |
| 681 |
| 79.13 |
|
September 2007 |
|
| 45,551,495 |
| 174 |
| 2.75 |
|
|
| 261,790 |
| 6.521 |
|
| 357.04 |
| 688 |
| 77.41 |
|
October 2007 |
|
| 188,105,544 |
| 695 |
| 11.38 |
|
|
| 270,655 |
| 6.694 |
|
| 358.02 |
| 676 |
| 78.37 |
|
November 2007 |
|
| 446,712,043 |
| 1,561 |
| 27.01 |
|
|
| 286,170 |
| 6.797 |
|
| 359.00 |
| 677 |
| 77.93 |
|
December 2007 |
|
| 164,427,549 |
| 557 |
| 9.94 |
|
|
| 295,202 |
| 7.016 |
|
| 359.98 |
| 689 |
| 76.70 |
|
January 2008 |
|
| 25,198,170 |
| 92 |
| 1.52 |
|
|
| 273,893 |
| 7.425 |
|
| 360.00 |
| 688 |
| 76.29 |
|
June 2008 |
|
| 542,220 |
| 2 |
| 0.03 |
|
|
| 271,110 |
| 6.081 |
|
| 354.00 |
| 689 |
| 80.00 |
|
July 2008 |
|
| 602,500 |
| 2 |
| 0.04 |
|
|
| 301,250 |
| 6.916 |
|
| 355.00 |
| 670 |
| 85.15 |
|
August 2008 |
|
| 2,050,030 |
| 10 |
| 0.12 |
|
|
| 205,003 |
| 6.254 |
|
| 356.00 |
| 699 |
| 79.62 |
|
September 2008 |
|
| 8,478,636 |
| 29 |
| 0.51 |
|
|
| 292,367 |
| 6.639 |
|
| 357.05 |
| 694 |
| 72.33 |
|
October 2008 |
|
| 36,812,059 |
| 143 |
| 2.23 |
|
|
| 257,427 |
| 6.609 |
|
| 358.02 |
| 683 |
| 78.59 |
|
November 2008 |
|
| 65,405,962 |
| 203 |
| 3.96 |
|
|
| 322,197 |
| 6.504 |
|
| 359.00 |
| 700 |
| 76.12 |
|
December 2008 |
|
| 25,939,228 |
| 76 |
| 1.57 |
|
|
| 341,306 |
| 6.746 |
|
| 360.00 |
| 695 |
| 77.10 |
|
January 2009 |
|
| 2,164,300 |
| 10 |
| 0.13 |
|
|
| 216,430 |
| 7.552 |
|
| 360.00 |
| 671 |
| 80.19 |
|
July 2010 |
|
| 704,694 |
| 4 |
| 0.04 |
|
|
| 176,174 |
| 6.185 |
|
| 355.00 |
| 704 |
| 77.10 |
|
August 2010 |
|
| 3,928,913 |
| 20 |
| 0.24 |
|
|
| 196,446 |
| 6.689 |
|
| 356.00 |
| 699 |
| 77.09 |
|
September 2010 |
|
| 5,859,165 |
| 24 |
| 0.35 |
|
|
| 244,132 |
| 7.036 |
|
| 357.00 |
| 686 |
| 72.82 |
|
October 2010 |
|
| 46,478,459 |
| 157 |
| 2.81 |
|
|
| 296,041 |
| 6.850 |
|
| 358.00 |
| 711 |
| 75.59 |
|
November 2010 |
|
| 99,647,431 |
| 329 |
| 6.03 |
|
|
| 302,880 |
| 6.501 |
|
| 359.00 |
| 703 |
| 74.06 |
|
December 2010 |
|
| 63,464,692 |
| 149 |
| 3.84 |
|
|
| 425,938 |
| 6.302 |
|
| 360.00 |
| 725 |
| 72.02 |
|
January 2011 |
|
| 3,890,750 |
| 14 |
| 0.24 |
|
|
| 277,911 |
| 7.000 |
|
| 360.00 |
| 693 |
| 76.11 |
|
October 2012 |
|
| 1,016,000 |
| 2 |
| 0.06 |
|
|
| 508,000 |
| 5.642 |
|
| 358.00 |
| 749 |
| 80.00 |
|
November 2012 |
|
| 4,510,099 |
| 12 |
| 0.27 |
|
|
| 375,842 |
| 6.244 |
|
| 359.00 |
| 732 |
| 63.20 |
|
December 2012 |
|
| 5,207,100 |
| 9 |
| 0.31 |
|
|
| 578,567 |
| 5.685 |
|
| 360.00 |
| 726 |
| 73.13 |
|
October 2015 |
|
| 1,534,400 |
| 2 |
| 0.09 |
|
|
| 767,200 |
| 5.750 |
|
| 358.00 |
| 779 |
| 60.04 |
|
November 2015 |
|
| 3,359,999 |
| 14 |
| 0.20 |
|
|
| 240,000 |
| 6.472 |
|
| 359.00 |
| 705 |
| 74.98 |
|
December 2015 |
|
| 171,848 |
| 1 |
| 0.01 |
|
|
| 171,848 |
| 6.625 |
|
| 360.00 |
| 655 |
| 80.00 |
|
Total |
| $ | 1,653,619,978 |
| 5,453 |
| 100.00 | % |
| $ | 303,250 |
| 6.696 | % |
| 358.96 |
| 689 |
| 76.86 | % |
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.