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 mortgage pool will consist of two groups of mortgage loans, referred to in this prospectus supplement as Loan Group 1 and Loan Group 2, and also designated as the Group 1 Loans and the Group 2 Loans, respectively. The mortgage loans in Loan Group 1 will be divided into two mortgage loan groups, Loan Group 1-A-1 and Loan Group 1-A-2. The mortgage loans in Loan Group 1-A-1 are one- to four-family, fixed-rate residential mortgage loans secured by first liens on the related mortgaged property with mortgage loan balances at origination that may or may not conform to Fannie Mae or Freddie Mac loan limits. The mortgage loans in Loan Group 1-A-2 are one- to four-family, fixed-rate and adjustable-rate residential mortgage loans secured by first and second liens on the related mortgaged property with mortgage loan balances at origination that may or may not conform to Fannie Mae or Freddie Mac loan limits. The Group 2 Loans are adjustable-rate, multifamily mortgage loans secured by first liens on mortgaged properties. The mortgage loans will have original terms to maturity of not greater than 30 years.
The Sponsor will convey the mortgage loans to the Depositor on the Closing Date pursuant to the Mortgage Loan Purchase Agreement and the Depositor will convey the mortgage loans to the trust on the Closing Date pursuant to the Agreement. The Sponsor 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 Depositor to the Trustee for the benefit of the certificateholders. As more particularly described in the prospectus, the Sponsor 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. In the event the Sponsor 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 Sponsor in accordance with the underwriting criteria described in this prospectus supplement. See “—Underwriting Criteria” below.
Substantially all of the Group 1 Loans will initially be subserviced by Countrywide Home Loans Servicing LP. After the servicing transfer date, which will occur on or about June 1, 2006, approximately 88% of the Group 1 Loans will be subserviced by GMAC Mortgage Corporation. All of the Group 2 Loans will be subserviced by Midland Loan Services, Inc. See “Pooling and Servicing Agreement—The Subservicers” in this prospectus supplement.
All of the mortgage loans have scheduled monthly payments due on the Due Date. Each mortgage loan will contain a customary “due-on-sale” clause.
Mortgage Rate Adjustment
The mortgage rate on the adjustable-rate mortgage loans will generally adjust semi-annually commencing after an initial period after origination of 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 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 in effect at origination.
Indices on the Mortgage Loans
The index applicable to the determination of the mortgage rate on approximately 47.77% and 94.26% (in each case, by aggregate outstanding principal balance of the related mortgage loans as of the Cut-off Date) of the Group 1 Loans and Group 2 Loans, respectively, is the average of the interbank offered rates for six-month United States dollar deposits in the London market as published by Fannie Mae or The Wall Street Journal and, in most cases, as most recently available as of the first business day of the month preceding such adjustment date, or Six-Month LIBOR.
The table below sets forth historical average rates of Six-Month LIBOR for the months indicated as made available from Fannie Mae. The rates are determined from information that is available as of 11:00 a.m. (London time) on the second to last business day of each month. Such average rates may fluctuate significantly from month to month as well as over longer periods and may not increase or decrease in a constant pattern from period to period. There can be no assurance that levels of Six-Month LIBOR published by Fannie Mae, or published on a different reference date would have been at the same levels as those set forth below. The following does not purport to be representative of future levels of Six-Month LIBOR (as published by Fannie Mae). No assurance can be given as to the level of Six-Month LIBOR on any adjustment date or during the life of any adjustable-rate mortgage loan based on Six-Month LIBOR.
Six-Month LIBOR | |||||||||
Month | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 |
January | 5.75% | 5.04% | 6.23% | 5.36% | 1.99% | 1.35% | 1.21% | 2.96% | 4.81% |
February | 5.78 | 5.17 | 6.32 | 4.96 | 2.06 | 1.34 | 1.10 | 3.15 | 4.99 |
March | 5.80 | 5.08 | 6.53 | 4.71 | 2.33 | 1.26 | 1.09 | 3.39 | |
April | 5.87 | 5.08 | 6.61 | 4.23 | 2.10 | 1.29 | 1.10 | 3.42 | |
May | 5.81 | 5.19 | 7.06 | 3.91 | 2.09 | 1.22 | 1.11 | 3.54 | |
June | 5.87 | 5.62 | 7.01 | 3.83 | 1.95 | 1.12 | 1.36 | 3.71 | |
July | 5.82 | 5.65 | 6.88 | 3.70 | 1.86 | 1.15 | 1.99 | 3.92 | |
August | 5.69 | 5.90 | 6.83 | 3.48 | 1.82 | 1.21 | 1.99 | 4.06 | |
September | 5.36 | 5.96 | 6.76 | 2.53 | 1.75 | 1.18 | 2.17 | 4.22 | |
October | 5.13 | 6.13 | 6.72 | 2.17 | 1.62 | 1.22 | 2.30 | 4.45 | |
November | 5.28 | 6.04 | 6.68 | 2.10 | 1.47 | 1.25 | 2.62 | 4.58 | |
December | 5.17 | 6.13 | 6.20 | 1.98 | 1.38 | 1.22 | 2.78 | 4.69 |
The index applicable to the determination of the mortgage rate on approximately 3.21% (by aggregate outstanding principal balance of the related mortgage loans as of the Cut-off Date) of the mortgage loans in Loan Group 1 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.
Prepayment Charges
Approximately 79.94% of the mortgage loans in Loan Group 1, in the aggregate, 79.23% of the mortgage loans in Loan Group 1-A-1, 80.14% of the mortgage loans in Loan Group 1-A-2 and all of the mortgage loans in Loan Group 2 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 to five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note, and the prepayment charge will generally apply if, in any 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’ 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-R Certificates will be entitled to all prepayment charges received on the Group 1 Loans, and these amounts will not be available for distribution on the other classes of certificates. The holders of the Class P-M Certificates will be entitled to all prepayment charges received on the Group 2 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 7.66% of the Group 1 Loans, in the aggregate, 8.38% of the Group 1-A-1 Loans and 7.47% of the Group 1-A-2 Loans with a loan-to-value ratio at origination in excess of 80% 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 7.66% of the Group 1 Loans, in the aggregate, 8.38% of the Group 1-A-1 Loans and 7.47% of the Group 1-A-2 Loans by aggregate outstanding principal balance of the mortgage loans in Loan Group 1, Loan Group 1-A-1 and Loan Group 1-A-2, respectively, 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, copies of which are available upon request from the Trustee.
Mortgage Loan Characteristics
The mortgage pool is composed of 2,884 mortgage loans, 2,609 of which are in Loan Group 1, of which 529 are in Loan Group 1-A-1 and 2,080 are in Loan Group 1-A-2, and 275 of which are in Loan Group 2. References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the mortgage loans as of the Cut-off Date.
The original mortgages for some of the mortgage loans have been, or in the future may be, at the sole discretion of the Master Servicer, recorded in the name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as nominee for the Sponsor and its successors and assigns, and subsequent assignments of those mortgages have been, or in the future may be, at the sole discretion of the Master Servicer, registered electronically through the MERS® System. In some other cases, the original mortgage was recorded in the name of the originator of the mortgage loan, record ownership was later assigned to MERS, solely as nominee for the owner of the mortgage loan, and subsequent assignments of the mortgage were, or in the future may be, at the sole discretion of the Master Servicer, registered electronically through the MERS® System. For each of these mortgage loans, MERS serves as mortgagee of record on the mortgage solely as a nominee in an administrative capacity on behalf of the trustee, and does not have any interest in the mortgage loan. Some of the Group 1 Loans and Group 2 Loans were recorded in the name of MERS. For additional information regarding the recording of mortgages in the name of MERS see “Yield on the Certificates—Yield Sensitivity of the Offered Certificates” in this prospectus supplement.
Loan Group 1
The Group 1 Loans had an aggregate principal balance as of the Cut-off Date of approximately $659,753,796, after application of scheduled payments due on or before the Cut-off Date, whether or not received. Approximately 46.31% of the Group 1 Loans have fixed rates and are secured by first liens on the related mortgaged property. Approximately 51.21% of the Group 1 Loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 2.48% of the Group 1 Loans have fixed rates and are secured by second liens on the related mortgaged property.
The average principal balance of the Group 1 Loans at origination was approximately $254,477. No Group 1 Loan had a principal balance at origination of greater than approximately $1,999,950 or less than approximately $16,350. The average principal balance of the Group 1 Loans as of the Cut-off Date was approximately $252,876. No Group 1 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,999,950 or less than approximately $1,770.
As of the Cut-off Date, the Group 1 Loans had mortgage rates ranging from approximately 4.875% per annum to approximately 14.875% per annum and the weighted average mortgage rate was approximately 7.458% per annum. The weighted average remaining term to stated maturity of the Group 1 Loans was approximately 348 months as of the Cut-off Date. None of the Group 1 Loans will have a first Due Date prior to February 1, 2002, or after May 1, 2006, or will have a remaining term to maturity of less than 135 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 1 Loan is April 1, 2036.
Approximately 48.59% and 19.62% of the Group 1 Loans have initial interest only periods of five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The 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. At origination, the weighted average of the loan-to-value ratios and combined loan-to-value ratios, as applicable, of the Group 1 Loans was approximately 76.07%. At origination, no loan-to-value ratio or combined loan-to-value ratio, as applicable, of any Group 1 Loan was greater than approximately 100.00% or less than approximately 8.45%.
Approximately 220 of the Group 1 Loans, in the aggregate, representing approximately 3.63% 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.
None of the Group 1 Loans are buydown mortgage loans.
None of the Group 1 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
Approximately 79.94% of the Group 1 Loans provide for prepayment charges.
As of the Closing Date, no loan-to-value ratio or combined loan-to-value ratio, as applicable, of any Group 1 Loan will be greater than 100.00%.
Set forth below is a description of certain additional characteristics of the Group 1 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 1 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
Mortgage Loan Programs(1)
Loan Programs | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
15Y Fixed Balloon | 9,449,086.10 | 131 | 1.43 | 72,130.43 | 10.550 | 174 | 687 | 94.29 | |||||||||||||||||
20Y Fixed Balloon | 67,906.09 | 1 | 0.01 | 67,906.09 | 12.250 | 235 | 664 | 100.00 | |||||||||||||||||
30Y Fixed Balloon | 4,319,877.98 | 17 | 0.65 | 254,110.47 | 7.655 | 360 | 676 | 74.50 | |||||||||||||||||
15Y Fixed Balloon - IO | 5,802,495.31 | 59 | 0.88 | 98,347.38 | 11.177 | 176 | 692 | 95.48 | |||||||||||||||||
30Y Fixed | 126,451,603.22 | 627 | 19.17 | 201,677.20 | 7.500 | 341 | 688 | 73.02 | |||||||||||||||||
30Y Fixed - IO | 175,805,530.69 | 556 | 26.65 | 316,197.00 | 7.529 | 358 | 692 | 74.58 | |||||||||||||||||
30Y LIB12M | 692,170.33 | 4 | 0.10 | 173,042.58 | 7.721 | 359 | 666 | 75.41 | |||||||||||||||||
30Y LIB12M - IO | 19,865,570.75 | 54 | 3.01 | 367,880.94 | 6.964 | 359 | 696 | 75.02 | |||||||||||||||||
2/28 LIB6M | 18,778,166.51 | 112 | 2.85 | 167,662.20 | 7.643 | 349 | 670 | 79.47 | |||||||||||||||||
2/28 LIB6M - Balloon. | 1,001,600.00 | 3 | 0.15 | 333,866.67 | 7.991 | 360 | 670 | 80.00 | |||||||||||||||||
2/28 LIB6M - IO | 54,558,527.76 | 199 | 8.27 | 274,163.46 | 7.429 | 357 | 677 | 78.42 | |||||||||||||||||
3/27 LIB6M | 4,525,355.75 | 19 | 0.69 | 238,176.62 | 7.560 | 355 | 698 | 77.62 | |||||||||||||||||
3/27 LIB6M - Balloon | 1,530,745.06 | 3 | 0.23 | 510,248.35 | 7.699 | 360 | 684 | 73.47 | |||||||||||||||||
3/27 LIB6M - IO | 24,541,476.70 | 77 | 3.72 | 318,720.48 | 7.265 | 358 | 692 | 78.66 | |||||||||||||||||
5/25 LIB12M | 155,268.65 | 1 | 0.02 | 155,268.65 | 5.875 | 319 | 765 | 95.00 | |||||||||||||||||
5/25 LIB12M - IO | 360,000.00 | 2 | 0.05 | 180,000.00 | 6.092 | 357 | 726 | 80.00 | |||||||||||||||||
5/25 LIB6M | 17,488,669.76 | 73 | 2.65 | 239,570.82 | 7.715 | 359 | 671 | 75.33 | |||||||||||||||||
5/25 LIB6M - Balloon | 1,779,399.81 | 6 | 0.27 | 296,566.64 | 7.414 | 360 | 706 | 78.88 | |||||||||||||||||
5/25 LIB6M - IO | 122,632,103.39 | 398 | 18.59 | 308,120.86 | 7.227 | 359 | 699 | 76.68 | |||||||||||||||||
30Y LIB6M | 20,493,737.16 | 86 | 3.11 | 238,299.27 | 6.962 | 323 | 690 | 76.29 | |||||||||||||||||
30Y LIB6M - IO | 33,589,147.97 | 133 | 5.09 | 252,549.98 | 7.039 | 332 | 711 | 78.23 | |||||||||||||||||
7/23 LIB12M | 78,295.71 | 1 | 0.01 | 78,295.71 | 6.000 | 319 | 706 | 80.00 | |||||||||||||||||
7/23 LIB6M | 1,372,240.75 | 5 | 0.21 | 274,448.15 | 7.071 | 356 | 717 | 75.94 | |||||||||||||||||
7/23 LIB6M - IO | 12,900,575.00 | 33 | 1.96 | 390,926.52 | 6.915 | 360 | 700 | 74.15 | |||||||||||||||||
5/25 CMT1Y | 917,679.53 | 7 | 0.14 | 131,097.08 | 6.097 | 319 | 733 | 83.13 | |||||||||||||||||
7/23 CMT1Y | 596,566.18 | 2 | 0.09 | 298,283.09 | 6.404 | 319 | 715 | 75.54 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
____________
(1) | A mortgage loan with a loan program of “15Y Fixed Balloon”, “20Y Fixed Balloon” or “30Y Fixed Balloon” has an amortization term of 30, 30 or 40 years, respectively, has a mortgage rate that is fixed for the entire term and requires a balloon payment in year 15, 20 or 30, respectively. A mortgage loan with a loan program including the term “30Y LIB 12M” has a term of 30 years and a mortgage rate that adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “2/28 LIB 6M” 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 of “2/28 LIB 6M - Balloon” amortizes over a 40 year term and 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 “3/27 LIB 6M” 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 of “3/27 LIB 6M - Balloon” amortizes over a 40 year term and 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 “5/25 LIB 12M” 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 “5/25 LIB 6M” 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 of “5/25 LIB 6M — Balloon” amortizes over a 40 year term and has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “30Y LIB 6M” 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 of “7/23 LIB 12M” 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 LIB 6M” 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 of “5/25 CMT1Y” 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 CMT. A mortgage loan with a loan program of “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. Any mortgage loan with a loan program including the term “IO” has an interest only period. A mortgage loan with a loan program of “15Y Fixed”, “20Y Fixed” or “30Y Fixed” is a fixed-rate loan with a term of 15, 20 or 30 years, respectively. |
Principal Balances as of Origination
Range of Mortgage Loan Principal Balances | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.00 - 250,000.00 | 229,396,933.50 | 1,598 | 34.77 | 143,552.52 | 7.728 | 336 | 689 | 77.29 | |||||||||||||||||
250,000.01 - 300,000.00 | 69,038,266.68 | 251 | 10.46 | 275,052.86 | 7.448 | 353 | 686 | 76.59 | |||||||||||||||||
300,000.01 - 350,000.00 | 61,345,816.37 | 190 | 9.30 | 322,872.72 | 7.333 | 354 | 695 | 76.88 | |||||||||||||||||
350,000.01 - 400,000.00 | 57,095,971.82 | 154 | 8.65 | 370,753.06 | 7.346 | 348 | 693 | 76.44 | |||||||||||||||||
400,000.01 - 450,000.00 | 42,320,751.64 | 100 | 6.41 | 423,207.52 | 7.209 | 356 | 695 | 76.96 | |||||||||||||||||
450,000.01 - 500,000.00 | 34,942,006.57 | 75 | 5.30 | 465,893.42 | 7.235 | 350 | 699 | 75.46 | |||||||||||||||||
500,000.01 - 550,000.00 | 29,728,331.46 | 57 | 4.51 | 521,549.67 | 7.351 | 356 | 689 | 77.15 | |||||||||||||||||
550,000.01 - 600,000.00 | 33,231,537.03 | 58 | 5.04 | 572,957.54 | 7.342 | 358 | 691 | 77.83 | |||||||||||||||||
600,000.01 - 650,000.00 | 22,707,246.02 | 36 | 3.44 | 630,756.83 | 7.345 | 356 | 706 | 75.43 | |||||||||||||||||
650,000.01 - 700,000.00 | 5,382,640.62 | 8 | 0.82 | 672,830.08 | 7.329 | 359 | 704 | 75.41 | |||||||||||||||||
700,000.01 - 750,000.00 | 27,117,028.97 | 37 | 4.11 | 732,892.67 | 7.538 | 360 | 685 | 74.21 | |||||||||||||||||
750,000.01 - 800,000.00 | 5,378,393.08 | 7 | 0.82 | 768,341.87 | 6.721 | 348 | 691 | 67.42 | |||||||||||||||||
800,000.01 - 850,000.00 | 4,169,999.95 | 5 | 0.63 | 833,999.99 | 7.149 | 358 | 701 | 74.02 | |||||||||||||||||
850,000.01 - 900,000.00 | 851,900.00 | 1 | 0.13 | 851,900.00 | 7.500 | 355 | 686 | 70.00 | |||||||||||||||||
900,000.01 - 950,000.00 | 3,736,250.00 | 4 | 0.57 | 934,062.50 | 6.942 | 360 | 727 | 70.22 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 11,879,120.91 | 12 | 1.80 | 989,926.74 | 7.136 | 356 | 701 | 65.71 | |||||||||||||||||
1,000,000.01 - 1,050,000.00 | 1,032,500.00 | 1 | 0.16 | 1,032,500.00 | 6.500 | 356 | 669 | 70.00 | |||||||||||||||||
1,050,000.01 - 1,150,000.00 | 3,289,250.00 | 3 | 0.50 | 1,096,416.67 | 7.586 | 360 | 666 | 55.29 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 3,546,500.00 | 3 | 0.54 | 1,182,166.67 | 7.187 | 359 | 635 | 72.51 | |||||||||||||||||
1,200,000.01 - 1,300,000.00 | 1,272,851.54 | 1 | 0.19 | 1,272,851.54 | 6.875 | 359 | 734 | 67.11 | |||||||||||||||||
1,300,000.01 - 1,400,000.00 | 5,430,550.00 | 4 | 0.82 | 1,357,637.50 | 7.084 | 360 | 684 | 66.28 | |||||||||||||||||
1,450,000.01 - 1,750,000.00 | 3,040,000.00 | 2 | 0.46 | 1,520,000.00 | 7.058 | 360 | 693 | 67.63 | |||||||||||||||||
1,800,000.01 or greater | 3,819,950.00 | 2 | 0.58 | 1,909,975.00 | 6.417 | 359 | 736 | 65.90 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 | |||||||||||||||||
As of origination, the average principal balance of the Group 1 Loans was approximately $254,477.
Principal Balances as of the Cut-off Date
Range of Mortgage Loan Principal Balances | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.01 - 250,000.00 | 231,106,651.09 | 1,606 | 35.03 | 143,902.02 | 7.723 | 336 | 689 | 77.31 | |||||||||||||||||
250,000.01 - 300,000.00 | 69,945,957.23 | 253 | 10.60 | 276,466.23 | 7.437 | 352 | 686 | 76.50 | |||||||||||||||||
300,000.01 - 350,000.00 | 61,034,584.77 | 188 | 9.25 | 324,652.05 | 7.325 | 353 | 696 | 76.90 | |||||||||||||||||
350,000.01 - 400,000.00 | 55,929,009.66 | 150 | 8.48 | 372,860.06 | 7.371 | 350 | 692 | 76.41 | |||||||||||||||||
400,000.01 - 450,000.00 | 42,485,479.43 | 100 | 6.44 | 424,854.79 | 7.196 | 356 | 697 | 76.62 | |||||||||||||||||
450,000.01 - 500,000.00 | 34,128,413.67 | 72 | 5.17 | 474,005.75 | 7.242 | 351 | 698 | 75.78 | |||||||||||||||||
500,000.01 - 550,000.00 | 30,322,494.95 | 58 | 4.60 | 522,801.64 | 7.323 | 356 | 690 | 77.19 | |||||||||||||||||
550,000.01 - 600,000.00 | 32,147,024.27 | 56 | 4.87 | 574,054.00 | 7.385 | 359 | 689 | 77.93 | |||||||||||||||||
600,000.01 - 650,000.00 | 22,707,246.02 | 36 | 3.44 | 630,756.83 | 7.345 | 356 | 706 | 75.43 | |||||||||||||||||
650,000.01 - 700,000.00 | 5,382,640.62 | 8 | 0.82 | 672,830.08 | 7.329 | 359 | 704 | 75.41 | |||||||||||||||||
700,000.01 - 750,000.00 | 27,828,874.10 | 38 | 4.22 | 732,338.79 | 7.531 | 359 | 684 | 74.07 | |||||||||||||||||
750,000.01 - 800,000.00 | 4,666,547.95 | 6 | 0.71 | 777,757.99 | 6.640 | 352 | 700 | 67.23 | |||||||||||||||||
800,000.01 - 850,000.00 | 4,169,999.95 | 5 | 0.63 | 833,999.99 | 7.149 | 358 | 701 | 74.02 | |||||||||||||||||
850,000.01 - 900,000.00 | 851,900.00 | 1 | 0.13 | 851,900.00 | 7.500 | 355 | 686 | 70.00 | |||||||||||||||||
900,000.01 - 950,000.00 | 4,685,870.91 | 5 | 0.71 | 937,174.18 | 6.929 | 351 | 712 | 71.58 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 10,929,500.00 | 11 | 1.66 | 993,590.91 | 7.159 | 359 | 706 | 64.73 | |||||||||||||||||
1,000,000.01 - 1,050,000.00 | 1,032,500.00 | 1 | 0.16 | 1,032,500.00 | 6.500 | 356 | 669 | 70.00 | |||||||||||||||||
1,050,000.01 - 1,150,000.00 | 3,289,250.00 | 3 | 0.50 | 1,096,416.67 | 7.586 | 360 | 666 | 55.29 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 3,546,500.00 | 3 | 0.54 | 1,182,166.67 | 7.187 | 359 | 635 | 72.51 | |||||||||||||||||
1,200,000.01 - 1,300,000.00 | 1,272,851.54 | 1 | 0.19 | 1,272,851.54 | 6.875 | 359 | 734 | 67.11 | |||||||||||||||||
1,300,000.01 - 1,400,000.00 | 5,430,550.00 | 4 | 0.82 | 1,357,637.50 | 7.084 | 360 | 684 | 66.28 | |||||||||||||||||
1,450,000.01 - 1,750,000.00 | 3,040,000.00 | 2 | 0.46 | 1,520,000.00 | 7.058 | 360 | 693 | 67.63 | |||||||||||||||||
1,800,000.01 or greater | 3,819,950.00 | 2 | 0.58 | 1,909,975.00 | 6.417 | 359 | 736 | 65.90 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the average current principal balance of the Group 1 Loans was approximately $252,876.
Mortgage Rates
Range of Mortgage Rates (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
4.500 - 4.999 | 999,264.90 | 3 | 0.15 | 333,088.30 | 4.875 | 320 | 765 | 63.80 | |||||||||||||||||
5.000 - 5.499 | 2,704,011.87 | 8 | 0.41 | 338,001.48 | 5.297 | 333 | 736 | 73.94 | |||||||||||||||||
5.500 - 5.999 | 8,712,500.26 | 34 | 1.32 | 256,250.01 | 5.770 | 348 | 718 | 71.45 | |||||||||||||||||
6.000 - 6.499 | 44,377,414.06 | 148 | 6.73 | 299,847.39 | 6.249 | 347 | 714 | 71.01 | |||||||||||||||||
6.500 - 6.999 | 154,093,798.73 | 503 | 23.36 | 306,349.50 | 6.749 | 349 | 703 | 72.65 | |||||||||||||||||
7.000 - 7.499 | 145,444,105.75 | 538 | 22.05 | 270,342.20 | 7.193 | 352 | 696 | 75.77 | |||||||||||||||||
7.500 - 7.999 | 165,235,207.19 | 648 | 25.04 | 254,992.60 | 7.682 | 356 | 684 | 76.84 | |||||||||||||||||
8.000 - 8.499 | 72,174,175.92 | 285 | 10.94 | 253,242.72 | 8.174 | 354 | 677 | 78.39 | |||||||||||||||||
8.500 - 8.999 | 33,449,532.72 | 150 | 5.07 | 222,996.88 | 8.677 | 347 | 665 | 80.13 | |||||||||||||||||
9.000 - 9.499 | 9,554,335.53 | 62 | 1.45 | 154,102.19 | 9.152 | 318 | 668 | 84.91 | |||||||||||||||||
9.500 - 9.999 | 7,678,812.84 | 51 | 1.16 | 150,564.96 | 9.695 | 305 | 656 | 84.30 | |||||||||||||||||
10.000 - 10.499 | 1,930,681.24 | 26 | 0.29 | 74,256.97 | 10.164 | 261 | 672 | 88.79 | |||||||||||||||||
10.500 - 10.999 | 3,788,123.59 | 45 | 0.57 | 84,180.52 | 10.661 | 252 | 686 | 92.74 | |||||||||||||||||
11.000 - 11.499 | 1,887,002.18 | 16 | 0.29 | 117,937.64 | 11.248 | 209 | 684 | 96.91 | |||||||||||||||||
11.500 - 11.999 | 2,663,925.09 | 23 | 0.40 | 115,822.83 | 11.701 | 244 | 648 | 93.61 | |||||||||||||||||
12.000 - 12.499 | 2,585,217.56 | 29 | 0.39 | 89,145.43 | 12.171 | 190 | 692 | 97.38 | |||||||||||||||||
12.500 - 12.999 | 1,228,201.86 | 17 | 0.19 | 72,247.17 | 12.658 | 200 | 683 | 96.26 | |||||||||||||||||
13.000 - 13.499 | 674,932.61 | 11 | 0.10 | 61,357.51 | 13.250 | 204 | 665 | 96.38 | |||||||||||||||||
13.500 - 13.999 | 480,006.16 | 10 | 0.07 | 48,000.62 | 13.718 | 175 | 642 | 97.26 | |||||||||||||||||
14.000 - 14.499 | 26,575.91 | 1 | 0.00 | 26,575.91 | 14.125 | 175 | 650 | 95.00 | |||||||||||||||||
14.500 - 14.999 | 65,970.19 | 1 | 0.01 | 65,970.19 | 14.875 | 177 | 655 | 95.00 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the weighted average mortgage rate of the Group 1 Loans was approximately 7.458% per annum.
Next Adjustment Date
Next Adjustment Date | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 321,896,499.39 | 1,391 | 48.79 | 231,413.73 | 7.675 | 342 | 690 | 74.93 | |||||||||||||||||
April 2006 | 11,597,295.50 | 51 | 1.76 | 227,397.95 | 6.559 | 320 | 703 | 73.65 | |||||||||||||||||
May 2006 | 18,077,293.33 | 82 | 2.74 | 220,454.80 | 6.915 | 321 | 698 | 78.30 | |||||||||||||||||
June 2006 | 11,417,538.18 | 52 | 1.73 | 219,568.04 | 7.046 | 320 | 700 | 79.98 | |||||||||||||||||
July 2006 | 2,665,354.85 | 12 | 0.40 | 222,112.90 | 7.842 | 333 | 709 | 83.44 | |||||||||||||||||
August 2006 | 4,987,758.20 | 19 | 0.76 | 262,513.59 | 7.639 | 343 | 704 | 79.36 | |||||||||||||||||
September 2006 | 9,958,609.04 | 36 | 1.51 | 276,628.03 | 7.651 | 344 | 696 | 78.28 | |||||||||||||||||
October 2006 | 1,741,443.00 | 6 | 0.26 | 290,240.50 | 6.295 | 358 | 736 | 78.09 | |||||||||||||||||
December 2006 | 768,950.00 | 3 | 0.12 | 256,316.67 | 7.001 | 357 | 683 | 74.87 | |||||||||||||||||
January 2007 | 3,583,689.83 | 7 | 0.54 | 511,955.69 | 6.448 | 358 | 725 | 69.90 | |||||||||||||||||
February 2007 | 8,895,663.50 | 23 | 1.35 | 386,767.98 | 7.042 | 359 | 688 | 76.44 | |||||||||||||||||
March 2007 | 4,937,137.00 | 17 | 0.75 | 290,419.82 | 7.509 | 360 | 688 | 75.38 | |||||||||||||||||
April 2007 | 1,484,641.00 | 5 | 0.23 | 296,928.20 | 7.176 | 360 | 665 | 76.87 | |||||||||||||||||
August 2007 | 1,010,816.75 | 5 | 0.15 | 202,163.35 | 6.085 | 353 | 684 | 71.03 | |||||||||||||||||
September 2007 | 8,980,372.53 | 43 | 1.36 | 208,845.87 | 6.950 | 353 | 615 | 82.77 | |||||||||||||||||
October 2007 | 10,492,635.06 | 52 | 1.59 | 201,781.44 | 6.701 | 352 | 687 | 78.65 | |||||||||||||||||
November 2007 | 4,895,011.15 | 19 | 0.74 | 257,632.17 | 6.029 | 339 | 729 | 73.01 | |||||||||||||||||
December 2007 | 5,124,779.26 | 21 | 0.78 | 244,037.11 | 7.491 | 357 | 657 | 77.09 | |||||||||||||||||
January 2008 | 8,372,483.43 | 32 | 1.27 | 261,640.11 | 7.705 | 358 | 674 | 78.41 | |||||||||||||||||
February 2008 | 14,658,348.50 | 59 | 2.22 | 248,446.58 | 7.701 | 359 | 689 | 77.96 | |||||||||||||||||
March 2008 | 14,538,546.89 | 53 | 2.20 | 274,312.21 | 7.908 | 360 | 687 | 76.72 | |||||||||||||||||
April 2008 | 5,155,841.00 | 17 | 0.78 | 303,284.76 | 7.818 | 360 | 699 | 78.86 | |||||||||||||||||
May 2008 | 125,915.66 | 1 | 0.02 | 125,915.66 | 6.250 | 350 | 715 | 66.67 | |||||||||||||||||
August 2008 | 332,800.00 | 1 | 0.05 | 332,800.00 | 6.290 | 353 | 701 | 80.00 | |||||||||||||||||
September 2008 | 736,607.76 | 4 | 0.11 | 184,151.94 | 7.706 | 354 | 697 | 82.22 | |||||||||||||||||
October 2008 | 284,000.00 | 1 | 0.04 | 284,000.00 | 6.750 | 355 | 652 | 80.00 | |||||||||||||||||
November 2008 | 74,050.00 | 1 | 0.01 | 74,050.00 | 7.250 | 356 | 748 | 74.80 | |||||||||||||||||
December 2008 | 1,552,000.00 | 3 | 0.24 | 517,333.33 | 6.974 | 357 | 642 | 75.20 | |||||||||||||||||
January 2009 | 2,999,201.30 | 10 | 0.45 | 299,920.13 | 7.122 | 358 | 689 | 79.29 | |||||||||||||||||
February 2009 | 11,922,823.78 | 34 | 1.81 | 350,671.29 | 7.383 | 359 | 704 | 79.38 | |||||||||||||||||
March 2009 | 9,667,139.97 | 29 | 1.47 | 333,349.65 | 7.360 | 360 | 691 | 77.17 | |||||||||||||||||
April 2009 | 2,122,400.00 | 9 | 0.32 | 235,822.22 | 7.352 | 360 | 682 | 77.00 | |||||||||||||||||
October 2009 | 801,721.38 | 4 | 0.12 | 200,430.35 | 6.281 | 319 | 717 | 79.06 | |||||||||||||||||
May 2010 | 214,290.36 | 1 | 0.03 | 214,290.36 | 6.375 | 350 | 764 | 80.00 | |||||||||||||||||
June 2010 | 396,500.00 | 1 | 0.06 | 396,500.00 | 6.250 | 351 | 761 | 65.00 | |||||||||||||||||
August 2010 | 333,764.25 | 2 | 0.05 | 166,882.13 | 6.373 | 353 | 732 | 80.00 | |||||||||||||||||
September 2010 | 179,000.00 | 1 | 0.03 | 179,000.00 | 7.500 | 354 | 661 | 76.18 | |||||||||||||||||
October 2010 | 340,000.00 | 1 | 0.05 | 340,000.00 | 7.750 | 355 | 663 | 80.00 | |||||||||||||||||
November 2010 | 375,990.00 | 1 | 0.06 | 375,990.00 | 6.375 | 356 | 702 | 80.00 | |||||||||||||||||
December 2010 | 264,000.00 | 1 | 0.04 | 264,000.00 | 8.000 | 357 | 624 | 77.20 | |||||||||||||||||
January 2011 | 3,129,039.91 | 12 | 0.47 | 260,753.33 | 7.195 | 358 | 689 | 78.88 | |||||||||||||||||
February 2011 | 36,593,871.27 | 118 | 5.55 | 310,117.55 | 7.104 | 359 | 697 | 76.82 | |||||||||||||||||
March 2011 | 59,412,483.87 | 196 | 9.01 | 303,124.92 | 7.422 | 360 | 692 | 76.36 | |||||||||||||||||
April 2011 | 38,509,533.00 | 136 | 5.84 | 283,158.33 | 7.404 | 360 | 696 | 77.00 | |||||||||||||||||
January 2013 | 284,800.00 | 1 | 0.04 | 284,800.00 | 8.000 | 358 | 776 | 80.00 | |||||||||||||||||
February 2013 | 4,212,600.00 | 14 | 0.64 | 300,900.00 | 7.141 | 359 | 699 | 80.29 | |||||||||||||||||
March 2013 | 6,596,906.26 | 15 | 1.00 | 439,793.75 | 6.920 | 360 | 699 | 70.89 | |||||||||||||||||
April 2013 | 3,051,650.00 | 7 | 0.46 | 435,950.00 | 6.603 | 360 | 704 | 72.10 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 1 Loans was approximately 37 months.
Gross Margin
Range of Gross Margins (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 321,896,499.39 | 1,391 | 48.79 | 231,413.73 | 7.675 | 342 | 690 | 74.93 | |||||||||||||||||
1.250-1.499 | 921,797.24 | 2 | 0.14 | 460,898.62 | 5.375 | 319 | 750 | 70.00 | |||||||||||||||||
1.750-1.999 | 896,496.97 | 4 | 0.14 | 224,124.24 | 5.977 | 320 | 717 | 59.20 | |||||||||||||||||
2.000-2.249 | 1,583,396.22 | 6 | 0.24 | 263,899.37 | 6.996 | 333 | 699 | 73.75 | |||||||||||||||||
2.250-2.499 | 12,995,051.55 | 54 | 1.97 | 240,649.10 | 6.466 | 327 | 733 | 71.40 | |||||||||||||||||
2.500-2.749 | 13,849,424.07 | 61 | 2.10 | 227,039.74 | 6.814 | 321 | 708 | 77.71 | |||||||||||||||||
2.750-2.999 | 17,888,255.08 | 74 | 2.71 | 241,733.18 | 7.070 | 329 | 686 | 80.09 | |||||||||||||||||
3.000-3.249 | 20,427,327.40 | 76 | 3.10 | 268,780.62 | 7.170 | 348 | 704 | 75.01 | |||||||||||||||||
3.250-3.499 | 70,246,596.60 | 239 | 10.65 | 293,918.81 | 7.419 | 358 | 691 | 77.54 | |||||||||||||||||
3.500-3.749 | 110,353,908.86 | 370 | 16.73 | 298,253.81 | 7.300 | 359 | 696 | 76.44 | |||||||||||||||||
3.750-3.999 | 33,721,376.14 | 106 | 5.11 | 318,126.19 | 7.309 | 358 | 694 | 77.18 | |||||||||||||||||
4.000-4.249 | 18,540,836.42 | 51 | 2.81 | 363,545.81 | 7.013 | 358 | 696 | 76.48 | |||||||||||||||||
4.250-4.499 | 1,416,521.70 | 10 | 0.21 | 141,652.17 | 8.379 | 347 | 663 | 84.29 | |||||||||||||||||
4.500-4.749 | 3,148,104.41 | 13 | 0.48 | 242,161.88 | 7.664 | 357 | 692 | 82.40 | |||||||||||||||||
4.750-4.999 | 3,336,486.17 | 15 | 0.51 | 222,432.41 | 6.984 | 355 | 685 | 78.60 | |||||||||||||||||
5.000-5.249 | 3,856,371.18 | 17 | 0.58 | 226,845.36 | 7.393 | 349 | 657 | 78.10 | |||||||||||||||||
5.250-5.499 | 3,540,223.84 | 19 | 0.54 | 186,327.57 | 6.950 | 355 | 653 | 81.54 | |||||||||||||||||
.500-5.749 | 3,136,188.17 | 18 | 0.48 | 174,232.68 | 7.622 | 355 | 680 | 81.33 | |||||||||||||||||
5.750-5.999 | 8,307,461.72 | 36 | 1.26 | 230,762.83 | 6.869 | 355 | 628 | 80.98 | |||||||||||||||||
6.000-6.249 | 2,002,922.15 | 14 | 0.30 | 143,065.87 | 7.150 | 353 | 639 | 82.45 | |||||||||||||||||
6.250-6.499 | 1,422,045.89 | 9 | 0.22 | 158,005.10 | 7.528 | 357 | 637 | 79.66 | |||||||||||||||||
6.500-6.749 | 1,967,619.40 | 7 | 0.30 | 281,088.49 | 8.053 | 355 | 626 | 87.35 | |||||||||||||||||
6.750-6.999 | 1,295,453.78 | 7 | 0.20 | 185,064.83 | 7.880 | 357 | 680 | 80.47 | |||||||||||||||||
7.250-7.499 | 782,365.63 | 3 | 0.12 | 260,788.54 | 8.358 | 359 | 674 | 78.41 | |||||||||||||||||
7.500-7.749 | 192,000.00 | 1 | 0.03 | 192,000.00 | 7.590 | 355 | 658 | 80.00 | |||||||||||||||||
7.750-7.999 | 400,000.00 | 1 | 0.06 | 400,000.00 | 11.500 | 360 | 546 | 74.49 | |||||||||||||||||
8.750-8.999 | 940,190.00 | 2 | 0.14 | 470,095.00 | 9.800 | 359 | 660 | 86.00 | |||||||||||||||||
10.250-10.499 | 184,848.88 | 1 | 0.03 | 184,848.88 | 11.375 | 358 | 625 | 95.00 | |||||||||||||||||
10.500-10.749 | 346,527.30 | 1 | 0.05 | 346,527.30 | 11.500 | 358 | 662 | 95.00 | |||||||||||||||||
10.750-10.999 | 157,500.00 | 1 | 0.02 | 157,500.00 | 11.750 | 359 | 649 | 90.00 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the weighted average Gross Margin of the Group 1 Loans was approximately 3.591% per annum.
Maximum Mortgage Rate
Range of Maximum Mortgage Rates (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 321,896,499.39 | 1,391 | 48.79 | 231,413.73 | 7.675 | 342 | 690 | 74.93 | |||||||||||||||||
8.500 - 8.999 | 1,337,402.60 | 5 | 0.20 | 267,480.52 | 6.330 | 319 | 739 | 54.98 | |||||||||||||||||
9.000 - 9.499 | 2,188,467.31 | 6 | 0.33 | 364,744.55 | 5.970 | 319 | 756 | 65.35 | |||||||||||||||||
9.500 - 9.999 | 1,810,364.56 | 8 | 0.27 | 226,295.57 | 6.419 | 319 | 735 | 64.69 | |||||||||||||||||
10.000 - 10.499 | 3,880,623.97 | 20 | 0.59 | 194,031.20 | 6.419 | 320 | 730 | 69.21 | |||||||||||||||||
10.500 - 10.999 | 5,595,343.86 | 23 | 0.85 | 243,275.82 | 6.452 | 321 | 726 | 73.92 | |||||||||||||||||
11.000 - 11.499 | 7,592,231.70 | 30 | 1.15 | 253,074.39 | 6.482 | 326 | 719 | 76.93 | |||||||||||||||||
11.500 - 11.999 | 16,816,223.25 | 59 | 2.55 | 285,020.73 | 6.432 | 342 | 703 | 76.78 | |||||||||||||||||
12.000 - 12.499 | 33,006,472.01 | 112 | 5.00 | 294,700.64 | 6.461 | 352 | 703 | 75.10 | |||||||||||||||||
12.500 - 12.999 | 76,593,006.62 | 264 | 11.61 | 290,125.03 | 6.799 | 354 | 693 | 76.70 | |||||||||||||||||
13.000 - 13.499 | 60,599,864.34 | 216 | 9.19 | 280,554.93 | 7.204 | 357 | 697 | 77.54 | |||||||||||||||||
13.500 - 13.999 | 78,481,770.05 | 286 | 11.90 | 274,411.78 | 7.685 | 358 | 685 | 78.27 | |||||||||||||||||
14.000 - 14.499 | 29,405,367.72 | 102 | 4.46 | 288,287.92 | 8.115 | 357 | 674 | 78.71 | |||||||||||||||||
14.500 - 14.999 | 13,378,518.65 | 49 | 2.03 | 273,030.99 | 8.637 | 358 | 662 | 78.66 | |||||||||||||||||
15.000 - 15.499 | 2,523,757.11 | 14 | 0.38 | 180,268.37 | 9.048 | 357 | 667 | 83.64 | |||||||||||||||||
15.500 - 15.999 | 2,292,416.86 | 11 | 0.35 | 208,401.53 | 9.514 | 344 | 673 | 86.73 | |||||||||||||||||
16.500 - 16.999 | 139,500.00 | 1 | 0.02 | 139,500.00 | 10.250 | 360 | 762 | 90.00 | |||||||||||||||||
17.000 - 17.499 | 691,610.97 | 4 | 0.10 | 172,902.74 | 10.480 | 354 | 675 | 87.39 | |||||||||||||||||
17.500 - 17.999 | 386,576.75 | 3 | 0.06 | 128,858.92 | 10.812 | 336 | 649 | 94.33 | |||||||||||||||||
18.000 - 18.499 | 583,023.44 | 3 | 0.09 | 194,341.15 | 11.629 | 353 | 656 | 93.65 | |||||||||||||||||
19.000 - 19.499 | 554,755.00 | 2 | 0.08 | 277,377.50 | 11.639 | 359 | 574 | 80.21 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 1 Loans was approximately 13.067% per annum.
Initial Fixed-Rate Period
Initial Fixed Period | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 321,896,499.39 | 1,391 | 48.79 | 231,413.73 | 7.675 | 342 | 690 | 74.93 | |||||||||||||||||
6 | 54,082,885.13 | 219 | 8.20 | 246,953.81 | 7.010 | 328 | 703 | 77.50 | |||||||||||||||||
12 | 20,557,741.08 | 58 | 3.12 | 354,443.81 | 6.989 | 359 | 695 | 75.03 | |||||||||||||||||
24 | 74,338,294.27 | 314 | 11.27 | 236,746.16 | 7.490 | 355 | 675 | 78.71 | |||||||||||||||||
36 | 30,597,577.51 | 99 | 4.64 | 309,066.44 | 7.330 | 358 | 692 | 78.25 | |||||||||||||||||
60 | 143,333,121.14 | 487 | 21.73 | 294,318.52 | 7.277 | 359 | 696 | 76.61 | |||||||||||||||||
84 | 14,947,677.64 | 41 | 2.27 | 364,577.50 | 6.904 | 357 | 702 | 74.40 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
Initial Rate Cap
Initial Cap (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 321,896,499.39 | 1,391 | 48.79 | 231,413.73 | 7.675 | 342 | 690 | 74.93 | |||||||||||||||||
1.000 | 53,640,965.90 | 217 | 8.13 | 247,193.39 | 7.009 | 328 | 704 | 77.48 | |||||||||||||||||
1.500 | 104,761.40 | 1 | 0.02 | 104,761.40 | 9.875 | 320 | 618 | 80.00 | |||||||||||||||||
2.000 | 25,614,486.09 | 71 | 3.88 | 360,767.41 | 7.026 | 359 | 695 | 76.06 | |||||||||||||||||
3.000 | 246,203,744.64 | 884 | 37.32 | 278,511.02 | 7.342 | 358 | 689 | 77.25 | |||||||||||||||||
5.000 | 9,544,230.47 | 34 | 1.45 | 280,712.66 | 6.838 | 352 | 702 | 77.02 | |||||||||||||||||
6.000 | 2,749,108.27 | 11 | 0.42 | 249,918.93 | 7.379 | 357 | 681 | 74.48 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
Subsequent Rate Cap
Subsequent Cap (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 321,896,499.39 | 1,391 | 48.79 | 231,413.73 | 7.675 | 342 | 690 | 74.93 | |||||||||||||||||
1.000 | 307,701,358.94 | 1,120 | 46.64 | 274,733.36 | 7.269 | 353 | 692 | 77.29 | |||||||||||||||||
1.500 | 1,202,904.85 | 6 | 0.18 | 200,484.14 | 8.925 | 349 | 602 | 76.65 | |||||||||||||||||
2.000 | 28,953,032.98 | 92 | 4.39 | 314,706.88 | 7.009 | 356 | 695 | 75.91 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
Original Loan-to-Value Ratios*
Range of Loan-to-Value Ratios (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.01 - 10.00 | 80,141.94 | 1 | 0.01 | 80,141.94 | 8.000 | 358 | 633 | 8.45 | |||||||||||||||||
10.01 - 15.00 | 108,000.00 | 1 | 0.02 | 108,000.00 | 6.625 | 180 | 683 | 13.76 | |||||||||||||||||
15.01 - 20.00 | 111,000.00 | 1 | 0.02 | 111,000.00 | 7.000 | 360 | 643 | 19.31 | |||||||||||||||||
20.01 - 25.00 | 475,420.11 | 4 | 0.07 | 118,855.03 | 7.183 | 292 | 722 | 22.90 | |||||||||||||||||
25.01 - 30.00 | 1,210,988.43 | 10 | 0.18 | 121,098.84 | 7.239 | 346 | 674 | 28.05 | |||||||||||||||||
30.01 - 35.00 | 2,829,832.45 | 16 | 0.43 | 176,864.53 | 6.848 | 341 | 683 | 32.73 | |||||||||||||||||
35.01 - 40.00 | 6,517,632.12 | 22 | 0.99 | 296,256.01 | 6.995 | 346 | 707 | 37.57 | |||||||||||||||||
40.01 - 45.00 | 2,792,120.97 | 17 | 0.42 | 164,242.41 | 6.659 | 348 | 717 | 42.60 | |||||||||||||||||
45.01 - 50.00 | 9,544,411.51 | 32 | 1.45 | 298,262.86 | 7.094 | 348 | 683 | 48.29 | |||||||||||||||||
50.01 - 55.00 | 10,487,746.14 | 40 | 1.59 | 262,193.65 | 6.961 | 346 | 698 | 52.91 | |||||||||||||||||
55.01 - 60.00 | 11,318,735.21 | 47 | 1.72 | 240,824.15 | 6.763 | 346 | 712 | 57.82 | |||||||||||||||||
60.01 - 65.00 | 23,233,366.31 | 74 | 3.52 | 313,964.41 | 6.875 | 348 | 705 | 63.39 | |||||||||||||||||
65.01 - 70.00 | 103,971,298.00 | 342 | 15.76 | 304,009.64 | 7.134 | 352 | 694 | 69.19 | |||||||||||||||||
70.01 - 75.00 | 75,898,146.86 | 261 | 11.50 | 290,797.50 | 7.411 | 355 | 688 | 74.45 | |||||||||||||||||
75.01 - 80.00 | 341,401,263.39 | 1,242 | 51.75 | 274,880.24 | 7.447 | 355 | 689 | 79.82 | |||||||||||||||||
80.01 - 85.00 | 5,883,428.82 | 29 | 0.89 | 202,876.86 | 7.283 | 337 | 690 | 84.17 | |||||||||||||||||
85.01 - 90.00 | 30,779,385.77 | 190 | 4.67 | 161,996.77 | 8.021 | 321 | 693 | 89.74 | |||||||||||||||||
90.01 - 95.00 | 23,743,988.49 | 184 | 3.60 | 129,043.42 | 8.746 | 313 | 698 | 94.91 | |||||||||||||||||
95.01 + | 9,366,889.64 | 96 | 1.42 | 97,571.77 | 10.847 | 189 | 679 | 99.72 | |||||||||||||||||
Total | $ | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
The minimum and maximum loan-to-value ratios of the Group 1 Loans at origination were approximately 8.45% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 1 Loans at origination was approximately 76.07%.
*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 | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Investment | 157,474,279.89 | 755 | 23.87 | 208,575.21 | 7.594 | 348 | 709 | 73.76 | |||||||||||||||||
Owner Occupied | 465,792,082.45 | 1,700 | 70.60 | 273,995.34 | 7.400 | 348 | 685 | 76.77 | |||||||||||||||||
Second Home | 36,487,433.82 | 154 | 5.53 | 236,931.39 | 7.614 | 350 | 692 | 77.19 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
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 | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Progressive Series Program (Alternative Documentation) | 263,699.58 | 4 | 0.04 | 65,924.90 | 8.173 | 261 | 633 | 87.65 | |||||||||||||||||
Progressive Express Program (No Documentation Program) | 27,355,571.62 | 142 | 4.15 | 192,644.87 | 8.074 | 343 | 698 | 78.27 | |||||||||||||||||
Progressive Express Program (No Documentation Program (Verified Assets) | 5,214,504.95 | 24 | 0.79 | 217,271.04 | 7.572 | 357 | 700 | 75.88 | |||||||||||||||||
Progressive Express Program (Non-Verified Assets) | 33,728,992.82 | 188 | 5.11 | 179,409.54 | 7.849 | 332 | 675 | 79.67 | |||||||||||||||||
Progressive Express Program (Verified Assets) | 57,081,822.77 | 227 | 8.65 | 251,461.77 | 7.397 | 340 | 697 | 78.86 | |||||||||||||||||
Progressive Series Program (Full/Income Stated Assets) | 896,776.80 | 6 | 0.14 | 149,462.80 | 7.561 | 358 | 729 | 65.50 | |||||||||||||||||
Progressive Series Program (Full Documentation) | 50,512,107.73 | 236 | 7.66 | 214,034.35 | 7.047 | 343 | 682 | 75.24 | |||||||||||||||||
Progressive Series Program (No Income/No Assets) | 6,294,820.60 | 40 | 0.95 | 157,370.51 | 6.629 | 345 | 699 | 77.19 | |||||||||||||||||
Progressive Series Program (Stated Income/Stated Assets) | 21,207,443.81 | 77 | 3.21 | 275,421.35 | 7.622 | 354 | 684 | 74.32 | |||||||||||||||||
Progressive Series Program (Stated Documentation) | 457,198,055.48 | 1,665 | 69.30 | 274,593.43 | 7.448 | 351 | 693 | 75.51 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
See “—Underwriting Criteria” below for a detailed description of the Sponsor’s loan programs and documentation requirements.
Risk Categories
Credit Grade Category | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
ALT B/A1 | 199,612.90 | 1 | 0.03 | 199,612.90 | 11.750 | 177 | 649 | 100.00 | |||||||||||||||||
A1 | 229,872,690.27 | 887 | 34.84 | 259,157.49 | 7.635 | 349 | 654 | 76.46 | |||||||||||||||||
A+1 | 309,700,017.66 | 1,131 | 46.94 | 273,828.49 | 7.219 | 350 | 725 | 75.08 | |||||||||||||||||
A-1 | 22,469,227.62 | 94 | 3.41 | 239,034.34 | 7.620 | 354 | 605 | 72.70 | |||||||||||||||||
B 1 | 141,984.38 | 2 | 0.02 | 70,992.19 | 9.373 | 341 | 566 | 63.32 | |||||||||||||||||
CX1 | 116,904.93 | 1 | 0.02 | 116,904.93 | 6.750 | 136 | 735 | 63.30 | |||||||||||||||||
Progressive Express I 2 | 59,801,197.83 | 281 | 9.06 | 212,815.65 | 7.556 | 343 | 722 | 78.83 | |||||||||||||||||
Progressive Express II 2 | 32,020,014.99 | 182 | 4.85 | 175,934.15 | 7.906 | 326 | 654 | 81.01 | |||||||||||||||||
Progressive Express III2 | 2,996,280.36 | 17 | 0.45 | 176,251.79 | 8.471 | 342 | 617 | 68.14 | |||||||||||||||||
Progressive Express IV 2 | 653,492.14 | 6 | 0.10 | 108,915.36 | 9.300 | 306 | 594 | 70.17 | |||||||||||||||||
Progressive Express V 2 | 900,381.28 | 4 | 0.14 | 225,095.32 | 8.937 | 359 | 589 | 76.25 | |||||||||||||||||
881,991.80 | 3 | 0.13 | 293,997.27 | 10.755 | 359 | 550 | 73.38 | ||||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7,458 | 348 | 691 | 76.07 |
1 | All of these Group 1 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of ALT B/A, A, A+, A-, B and CX correspond to Progressive Series I+, I and II, III and III+ and IV respectively. |
2 | These Group 1 Loans were originated under the Sponsor’s Progressive Express™ Program. The underwriting for these Group 1 Loans is generally based on the borrower’s “Credit Score” score and therefore these Group 1 Loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi™ Program has been placed in either Progressive Express™ Program II or III. |
See “—Underwriting Criteria” below for a description of the Sponsor’s risk categories.
Property Types
Property Type | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
2 Family | 37,478,521.44 | 131 | 5.68 | 286,095.58 | 7.478 | 350 | 704 | 73.23 | |||||||||||||||||
2-4 Family Unit | 295,163.27 | 5 | 0.04 | 59,032.65 | 10.093 | 219 | 708 | 97.35 | |||||||||||||||||
3 Family | 14,212,785.39 | 44 | 2.15 | 323,017.85 | 7.835 | 343 | 709 | 74.31 | |||||||||||||||||
4 Family | 14,913,351.40 | 42 | 2.26 | 355,079.80 | 7.916 | 346 | 697 | 74.31 | |||||||||||||||||
Condominium | 65,190,838.80 | 316 | 9.88 | 206,300.12 | 7.488 | 349 | 700 | 77.14 | |||||||||||||||||
Condominium Non-Warrantable | 131,817.72 | 1 | 0.02 | 131,817.72 | 7.875 | 358 | 673 | 80.00 | |||||||||||||||||
Condotel | 4,642,353.41 | 16 | 0.70 | 290,147.09 | 7.164 | 338 | 700 | 75.19 | |||||||||||||||||
Deminimis Planned Unit Development | 104,127,381.00 | 342 | 15.78 | 304,466.03 | 7.336 | 352 | 696 | 77.81 | |||||||||||||||||
Hi-Rise | 17,760,921.83 | 57 | 2.69 | 311,595.12 | 7.725 | 349 | 698 | 76.28 | |||||||||||||||||
Planned Unit Development | 31,223,595.60 | 136 | 4.73 | 229,585.26 | 7.561 | 345 | 678 | 78.10 | |||||||||||||||||
Single Family Residence | 366,970,294.73 | 1,503 | 55.62 | 244,158.55 | 7.433 | 347 | 687 | 75.62 | |||||||||||||||||
Townhouse | 2,806,771.57 | 16 | 0.43 | 175,423.22 | 7.435 | 348 | 679 | 78.09 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
Geographic Distribution of Mortgaged Properties
State | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Alabama | 980,000.00 | 1 | 0.15 | 980,000.00 | 7.125 | 359 | 729 | 70.00 | |||||||||||||||||
Arizona | 22,584,276.84 | 118 | 3.42 | 191,392.18 | 7.622 | 352 | 691 | 78.73 | |||||||||||||||||
Arkansas | 373,375.15 | 2 | 0.06 | 186,687.58 | 7.615 | 337 | 681 | 78.22 | |||||||||||||||||
California | 290,684,881.45 | 852 | 44.06 | 341,179.44 | 7.225 | 349 | 694 | 74.40 | |||||||||||||||||
Colorado | 8,993,118.70 | 51 | 1.36 | 176,335.66 | 7.478 | 334 | 699 | 81.32 | |||||||||||||||||
Connecticut | 3,273,856.07 | 21 | 0.50 | 155,897.91 | 8.125 | 350 | 698 | 74.62 | |||||||||||||||||
Delaware | 1,078,436.09 | 6 | 0.16 | 179,739.35 | 8.467 | 325 | 678 | 83.13 | |||||||||||||||||
District of Columbia | 1,175,399.74 | 6 | 0.18 | 195,899.96 | 8.200 | 323 | 664 | 84.13 | |||||||||||||||||
Florida | 132,119,915.79 | 646 | 20.03 | 204,519.99 | 7.672 | 348 | 691 | 77.07 | |||||||||||||||||
Georgia | 9,490,006.92 | 59 | 1.44 | 160,847.57 | 7.402 | 330 | 684 | 81.88 | |||||||||||||||||
Hawaii | 8,121,359.82 | 17 | 1.23 | 477,727.05 | 6.858 | 345 | 700 | 69.50 | |||||||||||||||||
Idaho | 277,776.58 | 2 | 0.04 | 138,888.29 | 7.258 | 343 | 725 | 86.36 | |||||||||||||||||
Illinois | 15,467,403.78 | 72 | 2.34 | 214,825.05 | 7.898 | 353 | 685 | 77.37 | |||||||||||||||||
Indiana | 2,096,696.61 | 21 | 0.32 | 99,842.70 | 7.827 | 345 | 677 | 82.13 | |||||||||||||||||
Iowa | 106,400.00 | 1 | 0.02 | 106,400.00 | 7.500 | 358 | 693 | 80.00 | |||||||||||||||||
Kansas | 264,771.85 | 3 | 0.04 | 88,257.28 | 7.102 | 321 | 679 | 84.61 | |||||||||||||||||
Kentucky | 97,500.00 | 1 | 0.01 | 97,500.00 | 7.730 | 354 | 587 | 79.60 | |||||||||||||||||
Louisiana | 427,504.00 | 3 | 0.06 | 142,501.33 | 7.816 | 357 | 685 | 84.90 | |||||||||||||||||
Maryland | 17,198,638.12 | 66 | 2.61 | 260,585.43 | 7.569 | 352 | 682 | 75.31 | |||||||||||||||||
Massachusetts | 4,694,956.02 | 24 | 0.71 | 195,623.17 | 7.674 | 337 | 695 | 77.74 | |||||||||||||||||
Michigan | 4,511,146.59 | 35 | 0.68 | 128,889.90 | 8.362 | 326 | 677 | 82.80 | |||||||||||||||||
Minnesota | 4,984,181.28 | 21 | 0.76 | 237,341.97 | 7.704 | 356 | 682 | 76.47 | |||||||||||||||||
Mississippi | 286,633.42 | 3 | 0.04 | 95,544.47 | 8.353 | 340 | 716 | 86.98 | |||||||||||||||||
Missouri | 1,340,026.92 | 9 | 0.20 | 148,891.88 | 7.399 | 344 | 670 | 84.39 | |||||||||||||||||
Montana | 100,325.49 | 1 | 0.02 | 100,325.49 | 7.500 | 359 | 759 | 80.00 | |||||||||||||||||
Nebraska | 164,303.95 | 1 | 0.02 | 164,303.95 | 6.810 | 319 | 690 | 90.00 | |||||||||||||||||
Nevada | 11,769,564.59 | 48 | 1.78 | 245,199.26 | 7.393 | 349 | 717 | 76.56 | |||||||||||||||||
New Hampshire | 147,403.24 | 1 | 0.02 | 147,403.24 | 6.720 | 355 | 701 | 80.00 | |||||||||||||||||
New Jersey | 9,848,864.22 | 44 | 1.49 | 223,837.82 | 7.930 | 336 | 674 | 74.65 | |||||||||||||||||
New Mexico | 699,298.20 | 4 | 0.11 | 174,824.55 | 7.846 | 359 | 662 | 77.21 | |||||||||||||||||
New York | 30,095,334.99 | 73 | 4.56 | 412,264.86 | 7.681 | 354 | 697 | 73.47 | |||||||||||||||||
North Carolina | 4,464,886.10 | 32 | 0.68 | 139,527.69 | 7.633 | 328 | 678 | 82.11 | |||||||||||||||||
Ohio | 3,274,827.60 | 30 | 0.50 | 109,160.92 | 7.357 | 316 | 672 | 81.48 | |||||||||||||||||
Oklahoma | 185,297.34 | 2 | 0.03 | 92,648.67 | 9.626 | 315 | 647 | 84.97 | |||||||||||||||||
Oregon | 3,132,766.01 | 18 | 0.47 | 174,042.56 | 7.522 | 349 | 687 | 74.76 | |||||||||||||||||
Pennsylvania | 4,715,030.39 | 25 | 0.71 | 188,601.22 | 7.913 | 341 | 673 | 80.27 | |||||||||||||||||
Rhode Island | 735,793.57 | 6 | 0.11 | 122,632.26 | 7.908 | 321 | 673 | 67.69 | |||||||||||||||||
South Carolina | 4,496,511.81 | 22 | 0.68 | 204,386.90 | 7.240 | 342 | 705 | 76.31 | |||||||||||||||||
Tennessee | 1,979,504.98 | 16 | 0.30 | 123,719.06 | 7.614 | 348 | 690 | 81.33 | |||||||||||||||||
Texas | 8,405,631.74 | 63 | 1.27 | 133,422.73 | 7.954 | 332 | 666 | 81.71 | |||||||||||||||||
Utah | 3,345,059.19 | 23 | 0.51 | 145,437.36 | 7.418 | 344 | 703 | 80.24 | |||||||||||||||||
Virginia | 31,418,375.55 | 110 | 4.76 | 285,621.60 | 7.566 | 351 | 687 | 78.84 | |||||||||||||||||
Washington | 8,682,062.62 | 43 | 1.32 | 201,908.43 | 7.512 | 349 | 687 | 79.04 | |||||||||||||||||
West Virginia | 75,995.48 | 1 | 0.01 | 75,995.48 | 9.750 | 317 | 637 | 95.00 | |||||||||||||||||
Wisconsin | 940,937.37 | 3 | 0.14 | 313,645.79 | 7.067 | 318 | 637 | 71.30 | |||||||||||||||||
Wyoming | 447,759.99 | 3 | 0.07 | 149,253.33 | 7.755 | 359 | 686 | 80.00 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
No more than approximately 0.76% of the Group 1 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Range of Debt-to-Income Ratio (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.00 -5.00 | 126,514,432.60 | 571 | 19.18 | 221,566.43 | 7.595 | 340 | 695 | 77.73 | |||||||||||||||||
5.01- 10.00 | 1,706,612.11 | 7 | 0.26 | 243,801.73 | 7.039 | 336 | 694 | 73.09 | |||||||||||||||||
10.01-15.00 | 4,227,765.77 | 15 | 0.64 | 281,851.05 | 7.031 | 350 | 705 | 68.26 | |||||||||||||||||
15.01- 20.00 | 7,022,979.47 | 37 | 1.06 | 189,810.26 | 7.236 | 340 | 714 | 64.50 | |||||||||||||||||
20.01-25.00 | 15,611,388.66 | 72 | 2.37 | 216,824.84 | 7.261 | 347 | 706 | 72.82 | |||||||||||||||||
25.01-30.00 | 39,897,723.76 | 156 | 6.05 | 255,754.64 | 7.353 | 352 | 694 | 72.47 | |||||||||||||||||
30.01-35.00 | 90,543,319.77 | 328 | 13.72 | 276,046.71 | 7.267 | 352 | 697 | 73.35 | |||||||||||||||||
35.01-40.00 | 101,721,581.27 | 400 | 15.42 | 254,303.95 | 7.385 | 349 | 693 | 75.86 | |||||||||||||||||
40.01-45.00 | 130,308,049.56 | 483 | 19.75 | 269,788.92 | 7.456 | 351 | 685 | 76.59 | |||||||||||||||||
45.01-50.00 | 135,047,429.07 | 510 | 20.47 | 264,798.88 | 7.598 | 349 | 685 | 78.41 | |||||||||||||||||
50.01-55.00 | 5,419,214.24 | 23 | 0.82 | 235,618.01 | 7.599 | 343 | 692 | 73.93 | |||||||||||||||||
55.01 or Greater | 1,733,299.88 | 7 | 0.26 | 247,614.27 | 7.230 | 342 | 687 | 77.92 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the non-zero weighted average debt-to-income ratio of the Group 1 Loans was approximately 39.24% per annum.
Prepayment Penalty
Prepayment Penalty Term | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
1 Year | 213,087,446.56 | 724 | 32.30 | 294,319.68 | 7.299 | 352 | 696 | 75.64 | |||||||||||||||||
2 Year | 102,197,739.70 | 436 | 15.49 | 234,398.49 | 7.381 | 350 | 681 | 78.07 | |||||||||||||||||
3 Year | 138,141,801.25 | 511 | 20.94 | 270,336.21 | 7.351 | 352 | 689 | 74.62 | |||||||||||||||||
5 Year | 67,887,627.00 | 306 | 10.29 | 221,854.99 | 7.320 | 334 | 696 | 75.39 | |||||||||||||||||
6 Months | 6,123,009.31 | 21 | 0.93 | 291,571.87 | 7.651 | 338 | 692 | 74.20 | |||||||||||||||||
No Prepay | 132,316,172.34 | 611 | 20.06 | 216,556.75 | 7.949 | 342 | 693 | 77.20 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
Months Remaining to Scheduled Maturity
Range of Months | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
121 - 180 | 22,698,068.48 | 246 | 3.44 | 92,268.57 | 9.728 | 171 | 693 | 87.36 | |||||||||||||||||
181 - 240 | 521,441.19 | 4 | 0.08 | 130,360.30 | 7.945 | 238 | 670 | 76.30 | |||||||||||||||||
241 - 360 | 636,534,286.49 | 2,359 | 96.48 | 269,832.25 | 7.377 | 354 | 691 | 75.67 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 1 Loans was approximately 348 months.
Credit Scores
Range of Credit Scores | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A | 610,651.03 | 10 | 0.09 | 61,065.10 | 9.409 | 223 | 0 | 92.38 | |||||||||||||||||
541 - 560 | 881,991.80 | 3 | 0.13 | 293,997.27 | 10.755 | 359 | 550 | 73.38 | |||||||||||||||||
561 - 580 | 933,817.32 | 6 | 0.14 | 155,636.22 | 8.707 | 356 | 574 | 71.69 | |||||||||||||||||
581 - 600 | 8,993,882.02 | 42 | 1.36 | 214,140.05 | 7.348 | 352 | 590 | 74.25 | |||||||||||||||||
601 - 620 | 18,195,236.41 | 76 | 2.76 | 239,411.01 | 7.973 | 351 | 613 | 71.75 | |||||||||||||||||
621 - 640 | 69,018,730.88 | 280 | 10.46 | 246,495.47 | 7.803 | 348 | 631 | 76.06 | |||||||||||||||||
641 - 660 | 98,899,966.17 | 394 | 14.99 | 251,015.14 | 7.684 | 347 | 650 | 76.29 | |||||||||||||||||
661 - 680 | 97,634,015.51 | 402 | 14.80 | 242,870.69 | 7.693 | 347 | 671 | 77.92 | |||||||||||||||||
681 - 700 | 97,719,900.61 | 384 | 14.81 | 254,478.91 | 7.375 | 349 | 690 | 77.57 | |||||||||||||||||
701 - 720 | 76,558,444.35 | 304 | 11.60 | 251,836.99 | 7.265 | 351 | 710 | 75.96 | |||||||||||||||||
721 - 740 | 71,573,685.47 | 263 | 10.85 | 272,143.29 | 7.204 | 348 | 730 | 75.37 | |||||||||||||||||
741 - 760 | 53,971,022.51 | 203 | 8.18 | 265,867.11 | 7.127 | 349 | 750 | 75.77 | |||||||||||||||||
761 - 780 | 41,730,851.54 | 147 | 6.33 | 283,883.34 | 7.138 | 344 | 770 | 74.05 | |||||||||||||||||
781 - 800 | 18,115,618.61 | 72 | 2.75 | 251,605.81 | 6.998 | 343 | 788 | 72.61 | |||||||||||||||||
801 or Greater | 4,915,981.93 | 23 | 0.75 | 213,738.34 | 7.097 | 349 | 807 | 69.62 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the non-zero weighted average credit score of the Group 1 Loans for which credit scores are available was approximately 691.
Range of Months to Roll
Number of Months | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A | 321,896,499.39 | 1,391 | 48.79 | 231,413.73 | 7.675 | 342 | 690 | 74.93 | |||||||||||||||||
0 — 12 | 78,630,732.43 | 308 | 11.92 | 255,294.59 | 7.070 | 335 | 700 | 77.28 | |||||||||||||||||
13 — 18 | 11,475,830.28 | 53 | 1.74 | 216,525.10 | 6.903 | 354 | 627 | 80.97 | |||||||||||||||||
19 — 24 | 58,081,804.29 | 236 | 8.80 | 246,109.34 | 7.414 | 356 | 687 | 77.35 | |||||||||||||||||
25 — 31 | 6,635,164.42 | 24 | 1.01 | 276,465.18 | 7.653 | 359 | 697 | 79.11 | |||||||||||||||||
32 — 49 | 29,139,336.43 | 90 | 4.42 | 323,770.40 | 7.294 | 358 | 694 | 78.22 | |||||||||||||||||
50 — 55 | 1,463,554.61 | 6 | 0.22 | 243,925.77 | 6.798 | 353 | 720 | 75.47 | |||||||||||||||||
56 — 79 | 138,284,918.05 | 464 | 20.96 | 298,027.84 | 7.326 | 360 | 694 | 76.73 | |||||||||||||||||
80 + | 14,145,956.26 | 37 | 2.14 | 382,323.14 | 6.939 | 360 | 702 | 74.13 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
As of the Cut-off Date, the weighted average months to roll of the Group 1 Loans was approximately 37 months.
Loan Purposes
Loan Purpose | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Refinance Cash Out | 206,850,778.85 | 756 | 31.35 | 273,612.14 | 7.372 | 349 | 680 | 70.73 | |||||||||||||||||
Purchase | 404,111,414.26 | 1,652 | 61.25 | 244,619.50 | 7.537 | 348 | 696 | 79.27 | |||||||||||||||||
Refinance Rate Term | 48,791,603.05 | 201 | 7.40 | 242,744.29 | 7.175 | 343 | 698 | 72.25 | |||||||||||||||||
Total | 659,753,796.16 | 2,609 | 100.00 | 252,876.12 | 7.458 | 348 | 691 | 76.07 |
In general, in the case of a mortgage loan made for “rate and term” refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for “cash-out” refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial.
Loan Group 1-A-1
The Group 1-A-1 Loans had an aggregate principal balance as of the Cut-off Date of approximately $139,701,955, after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 1-A-1 Loans have fixed rates and are secured by first liens on the related mortgaged property.
The average principal balance of the Group 1-A-1 Loans at origination was approximately $265,241. No Group 1-A-1 Loan had a principal balance at origination of greater than approximately $1,540,000 or less than approximately $41,250. The average principal balance of the Group 1-A-1 Loans as of the Cut-off Date was approximately $264,087. No Group 1-A-1 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,540,000 or less than approximately $19,929.
As of the Cut-off Date, the Group 1-A-1 Loans had mortgage rates ranging from approximately 6.000% per annum to approximately 10.750% per annum and the weighted average mortgage rate was approximately 7.491% per annum. The weighted average remaining term to stated maturity of the Group 1-A-1 Loans was approximately 353 months as of the Cut-off Date. None of the Group 1-A-1 Loans will have a first Due Date prior to February 1, 2002, or after May 1, 2006, or will have a remaining term to maturity of less than 135 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 1-A-1 Loan is April 1, 2036.
Approximately 38.30% and 24.22% of the Group 1-A-1 Loans have initial interest only periods of five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. At origination, the weighted average of the loan-to-value ratios of the Group 1-A-1 Loans was approximately 74.16%. At origination, no loan-to-value ratio of any Group 1-A-1 Loan was greater than approximately 100.00% or less than approximately 21.00%.
Approximately 9 of the Group 1-A-1 Loans, representing approximately 1.43% 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.
None of the Group 1-A-1 Loans are buydown mortgage loans.
None of the Group 1-A-1 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
Approximately 79.23% of the Group 1-A-1 Loans provide for prepayment charges.
As of the Closing Date, no loan-to-value ratio of any mortgage loan will be greater than 100.00%.
Set forth below is a description of certain additional characteristics of the Group 1-A-1 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 1-A-1 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
Mortgage Loan Programs(1)
Loan Programs | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
30/15 Fixed Balloon | 458,379.00 | 2 | 0.33 | 229,189.50 | 8.391 | 167 | 672 | 74.24 | |||||||||||||||||
30Y Fixed Balloon | 1,538,263.72 | 7 | 1.10 | 219,751.96 | 8.063 | 360 | 672 | 77.80 | |||||||||||||||||
30Y Fixed | 50,356,883.97 | 240 | 36.05 | 209,820.35 | 7.419 | 343 | 695 | 73.12 | |||||||||||||||||
30Y Fixed - IO | 87,348,427.92 | 280 | 62.52 | 311,958.67 | 7.518 | 359 | 690 | 74.69 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
____________
(1) | 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. A mortgage loan with a loan program of “30Y Fixed Balloon” has an amortization term of 40 years, has a mortgage rate that is fixed for the entire term and requires a balloon payment in year 30. A mortgage loan with a loan program of “30Y Fixed” is a fixed-rate loan with a term of 30 years. Any mortgage loan with a loan program including the term “IO” has an interest only period. |
Principal Balances as of Origination
Range of Mortgage Loan Principal Balances | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.01 - 250,000.00 | 48,191,432.49 | 319 | 34.50 | 151,070.32 | 7.615 | 348 | 694 | 74.55 | |||||||||||||||||
250,000.01 - 300,000.00 | 16,255,444.17 | 59 | 11.64 | 275,516.00 | 7.569 | 357 | 683 | 75.76 | |||||||||||||||||
300,000.01 - 350,000.00 | 12,369,584.66 | 39 | 8.85 | 317,168.84 | 7.418 | 350 | 702 | 72.89 | |||||||||||||||||
350,000.01 - 400,000.00 | 10,367,495.28 | 28 | 7.42 | 370,267.69 | 7.293 | 346 | 678 | 76.24 | |||||||||||||||||
400,000.01 - 450,000.00 | 8,090,967.36 | 19 | 5.79 | 425,840.39 | 7.296 | 359 | 708 | 75.12 | |||||||||||||||||
450,000.01 - 500,000.00 | 5,146,855.98 | 11 | 3.68 | 467,896.00 | 7.495 | 343 | 702 | 77.89 | |||||||||||||||||
500,000.01 - 550,000.00 | 6,271,052.29 | 12 | 4.49 | 522,587.69 | 7.669 | 359 | 699 | 76.98 | |||||||||||||||||
550,000.01 - 600,000.00 | 5,301,219.41 | 9 | 3.79 | 589,024.38 | 7.699 | 359 | 672 | 76.57 | |||||||||||||||||
600,000.01 - 650,000.00 | 4,990,578.02 | 8 | 3.57 | 623,822.25 | 7.325 | 359 | 722 | 74.06 | |||||||||||||||||
650,000.01 - 700,000.00 | 700,000.00 | 1 | 0.50 | 700,000.00 | 7.5 | 360 | 738 | 77.01 | |||||||||||||||||
700,000.01 - 750,000.00 | 7,318,027.00 | 10 | 5.24 | 731,802.70 | 7.473 | 359 | 683 | 75.99 | |||||||||||||||||
750,000.01 - 800,000.00 | 763,797.95 | 1 | 0.55 | 763,797.95 | 6.875 | 317 | 730 | 47.06 | |||||||||||||||||
800,000.01 - 850,000.00 | 2,505,000.00 | 3 | 1.79 | 835,000.00 | 7.537 | 359 | 682 | 75.00 | |||||||||||||||||
900,000.01 - 950,000.00 | 1,848,750.00 | 2 | 1.32 | 924,375.00 | 6.748 | 359 | 720 | 62.77 | |||||||||||||||||
950,000.01- 1,000,000.00 | 2,000,000.00 | 2 | 1.43 | 1,000,000.00 | 7.563 | 360 | 651 | 61.52 | |||||||||||||||||
1,000,000.01- 1,050,000.00 | 1,032,500.00 | 1 | 0.74 | 1,032,500.00 | 6.5 | 356 | 669 | 70.00 | |||||||||||||||||
1,050,000.01- 1,150,000.00 | 1,099,250.00 | 1 | 0.79 | 1,099,250.00 | 8.25 | 360 | 671 | 70.92 | |||||||||||||||||
1,150,000.01- 1,200,000.00 | 1,160,000.00 | 1 | 0.83 | 1,160,000.00 | 7.75 | 360 | 635 | 74.84 | |||||||||||||||||
1,300,000.01- 1,400,000.00 | 2,750,000.00 | 2 | 1.97 | 1,375,000.00 | 6.993 | 360 | 667 | 60.18 | |||||||||||||||||
1,450,000.01- 1,750,000.00 | 1,540,000.00 | 1 | 1.10 | 1,540,000.00 | 6.75 | 360 | 704 | 65.54 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
As of origination, the average principal balance of the Group 1-A-1 Loans was approximately $265,241.
Principal Balances as of the Cut-off Date
Range of Mortgage Loan Principal Balances | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.01 - 250,000.00 | 48,440,576.87 | 320 | 34.67 | 151,376.80 | 7.611 | 348 | 694 | 74.58 | |||||||||||||||||
250,000.01 - 300,000.00 | 16,590,237.96 | 60 | 11.88 | 276,503.97 | 7.566 | 356 | 681 | 75.67 | |||||||||||||||||
300,000.01 - 350,000.00 | 12,089,858.20 | 38 | 8.65 | 318,154.16 | 7.396 | 347 | 704 | 72.71 | |||||||||||||||||
350,000.01 - 400,000.00 | 10,063,283.57 | 27 | 7.20 | 372,714.21 | 7.332 | 353 | 677 | 76.43 | |||||||||||||||||
400,000.01 - 450,000.00 | 8,090,967.36 | 19 | 5.79 | 425,840.39 | 7.296 | 359 | 708 | 75.12 | |||||||||||||||||
450,000.01 - 500,000.00 | 5,146,855.98 | 11 | 3.68 | 467,896.00 | 7.495 | 343 | 702 | 77.89 | |||||||||||||||||
500,000.01 - 550,000.00 | 6,271,052.29 | 12 | 4.49 | 522,587.69 | 7.669 | 359 | 699 | 76.98 | |||||||||||||||||
550,000.01 - 600,000.00 | 5,301,219.41 | 9 | 3.79 | 589,024.38 | 7.699 | 359 | 672 | 76.57 | |||||||||||||||||
600,000.01 - 650,000.00 | 4,990,578.02 | 8 | 3.57 | 623,822.25 | 7.325 | 359 | 722 | 74.06 | |||||||||||||||||
650,000.01 - 700,000.00 | 700,000.00 | 1 | 0.50 | 700,000.00 | 7.5 | 360 | 738 | 77.01 | |||||||||||||||||
700,000.01 - 750,000.00 | 7,318,027.00 | 10 | 5.24 | 731,802.70 | 7.473 | 359 | 683 | 75.99 | |||||||||||||||||
750,000.01 - 800,000.00 | 763,797.95 | 1 | 0.55 | 763,797.95 | 6.875 | 317 | 730 | 47.06 | |||||||||||||||||
800,000.01 - 850,000.00 | 2,505,000.00 | 3 | 1.79 | 835,000.00 | 7.537 | 359 | 682 | 75.00 | |||||||||||||||||
900,000.01 - 950,000.00 | 1,848,750.00 | 2 | 1.32 | 924,375.00 | 6.748 | 359 | 720 | 62.77 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 2,000,000.00 | 2 | 1.43 | 1,000,000.00 | 7.563 | 360 | 651 | 61.52 | |||||||||||||||||
1,000,000.01 - 1,050,000.00 | 1,032,500.00 | 1 | 0.74 | 1,032,500.00 | 6.5 | 356 | 669 | 70.00 | |||||||||||||||||
1,050,000.01 - 1,150,000.00 | 1,099,250.00 | 1 | 0.79 | 1,099,250.00 | 8.25 | 360 | 671 | 70.92 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 1,160,000.00 | 1 | 0.83 | 1,160,000.00 | 7.75 | 360 | 635 | 74.84 | |||||||||||||||||
1,300,000.01 - 1,400,000.00 | 2,750,000.00 | 2 | 1.97 | 1,375,000.00 | 6.993 | 360 | 667 | 60.18 | |||||||||||||||||
1,450,000.01 - 1,750,000.00 | 1,540,000.00 | 1 | 1.10 | 1,540,000.00 | 6.75 | 360 | 704 | 65.54 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
As of the Cut-off Date, the average current principal balance of the Group 1-A-1 Loans was approximately $264,087.
Mortgage Rates
Range of Mortgage Rates (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
6.000 - 6.499 | 4,692,364.85 | 17 | 3.36 | 276,021.46 | 6.199 | 329 | 716 | 64.30 | |||||||||||||||||
6.500 - 6.999 | 32,961,321.86 | 101 | 23.59 | 326,349.72 | 6.75 | 351 | 713 | 68.64 | |||||||||||||||||
7.000 - 7.499 | 28,055,258.32 | 112 | 20.08 | 250,493.38 | 7.18 | 352 | 695 | 72.79 | |||||||||||||||||
7.500 - 7.999 | 41,948,320.42 | 169 | 30.03 | 248,214.91 | 7.672 | 356 | 688 | 76.41 | |||||||||||||||||
8.000 - 8.499 | 19,222,599.36 | 72 | 13.76 | 266,980.55 | 8.189 | 355 | 673 | 78.15 | |||||||||||||||||
8.500 - 8.999 | 9,698,246.75 | 37 | 6.94 | 262,114.78 | 8.684 | 354 | 668 | 80.02 | |||||||||||||||||
9.000 - 9.499 | 1,375,021.60 | 8 | 0.98 | 171,877.70 | 9.095 | 350 | 677 | 86.13 | |||||||||||||||||
9.500 - 9.999 | 846,981.97 | 7 | 0.61 | 120,997.42 | 9.706 | 345 | 644 | 86.20 | |||||||||||||||||
10.000 - 10.499 | 533,920.52 | 4 | 0.38 | 133,480.13 | 10.138 | 345 | 614 | 81.30 | |||||||||||||||||
10.500 - 10.999 | 367,918.96 | 2 | 0.26 | 183,959.48 | 10.714 | 329 | 635 | 95.29 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
As of the Cut-off Date, the weighted average mortgage rate of the Group 1-A-1 Loans was approximately 7.491% per annum.
Original Loan-to-Value Ratios
Range of Loan-to-Value Ratios (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
20.01 - 25.00 | 105,000.00 | 1 | 0.08 | 105,000.00 | 8.125 | 360 | 803 | 21.00 | |||||||||||||||||
25.01 - 30.00 | 415,000.00 | 3 | 0.30 | 138,333.33 | 6.952 | 359 | 677 | 27.79 | |||||||||||||||||
30.01 - 35.00 | 1,309,982.06 | 7 | 0.94 | 187,140.29 | 6.41 | 327 | 698 | 33.76 | |||||||||||||||||
35.01 - 40.00 | 899,725.22 | 6 | 0.64 | 149,954.20 | 7.047 | 338 | 659 | 36.88 | |||||||||||||||||
40.01 - 45.00 | 1,146,821.78 | 7 | 0.82 | 163,831.68 | 6.761 | 360 | 744 | 42.62 | |||||||||||||||||
45.01 - 50.00 | 4,344,207.35 | 11 | 3.11 | 394,927.94 | 7.193 | 352 | 662 | 48.59 | |||||||||||||||||
50.01 - 55.00 | 4,385,363.03 | 15 | 3.14 | 292,357.54 | 6.913 | 353 | 708 | 52.90 | |||||||||||||||||
55.01 - 60.00 | 3,226,980.63 | 14 | 2.31 | 230,498.62 | 7.039 | 346 | 726 | 57.45 | |||||||||||||||||
60.01 - 65.00 | 3,991,290.01 | 17 | 2.86 | 234,781.77 | 6.924 | 338 | 706 | 63.81 | |||||||||||||||||
65.01 - 70.00 | 22,355,651.24 | 77 | 16.00 | 290,333.13 | 7.267 | 352 | 690 | 69.08 | |||||||||||||||||
70.01 - 75.00 | 23,319,312.66 | 72 | 16.69 | 323,879.34 | 7.538 | 358 | 687 | 74.45 | |||||||||||||||||
75.01 - 80.00 | 62,453,123.56 | 236 | 44.70 | 264,631.88 | 7.609 | 355 | 690 | 79.78 | |||||||||||||||||
80.01 - 85.00 | 849,386.69 | 5 | 0.61 | 169,877.34 | 7.822 | 319 | 675 | 84.26 | |||||||||||||||||
85.01 - 90.00 | 6,479,892.70 | 33 | 4.64 | 196,360.38 | 7.976 | 342 | 695 | 89.58 | |||||||||||||||||
90.01 - 95.00 | 3,976,853.29 | 22 | 2.85 | 180,766.06 | 8.148 | 347 | 717 | 94.98 | |||||||||||||||||
95.01 or Greater | 443,364.39 | 3 | 0.32 | 147,788.13 | 9.428 | 317 | 664 | 98.47 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
The minimum and maximum loan-to-value ratios of the Group 1-A-1 Loans at origination were approximately 21.00% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 1-A-1 Loans at origination was approximately 74.16%.
Occupancy Types
Occupancy | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Owner Occupied | 96,915,364.03 | 340 | 69.37 | 285,045.19 | 7.444 | 354 | 687 | 74.77 | |||||||||||||||||
Investment | 32,106,339.27 | 151 | 22.98 | 212,624.76 | 7.577 | 349 | 706 | 71.71 | |||||||||||||||||
Second Home | 10,680,251.31 | 38 | 7.65 | 281,059.25 | 7.663 | 356 | 690 | 75.94 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
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 | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Express No Doc | 7,095,927.25 | 42 | 5.08 | 168,950.65 | 8.329 | 348 | 705 | 83.38 | |||||||||||||||||
Express No Doc Verified Assets | 2,364,195.83 | 9 | 1.69 | 262,688.43 | 7.157 | 359 | 704 | 72.66 | |||||||||||||||||
Express Non-Verified Assets | 4,447,287.82 | 30 | 3.18 | 148,242.93 | 7.733 | 336 | 695 | 77.04 | |||||||||||||||||
Express Verified Assets | 7,700,369.35 | 35 | 5.51 | 220,010.55 | 7.29 | 341 | 689 | 71.82 | |||||||||||||||||
FISA | 148,892.16 | 1 | 0.11 | 148,892.16 | 7.625 | 359 | 726 | 71.30 | |||||||||||||||||
Full | 11,802,491.69 | 46 | 8.45 | 256,575.91 | 7.384 | 348 | 686 | 72.74 | |||||||||||||||||
SISA | 5,310,696.03 | 23 | 3.80 | 230,899.83 | 8.031 | 347 | 677 | 70.74 | |||||||||||||||||
Stated | 100,832,094.48 | 343 | 72.18 | 293,971.12 | 7.429 | 355 | 692 | 73.94 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
See “—Underwriting Criteria” below for a detailed description of the Sponsor’s loan programs and documentation requirements.
Risk Categories
Credit Grade Category | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
A1 | 55,124,549.95 | 190 | 39.46 | 290,129.21 | 7.694 | 355 | 653 | 74.82 | |||||||||||||||||
A+1 | 61,876,803.32 | 218 | 44.29 | 283,838.55 | 7.199 | 354 | 729 | 73.29 | |||||||||||||||||
A-1 | 3,250,159.05 | 12 | 2.33 | 270,846.59 | 7.7 | 349 | 605 | 61.47 | |||||||||||||||||
B1 | 53,003.39 | 1 | 0.04 | 53,003.39 | 10 | 310 | 574 | 65.12 | |||||||||||||||||
Progressive Express I 2 | 14,008,737.99 | 74 | 10.03 | 189,307.27 | 7.574 | 347 | 717 | 74.28 | |||||||||||||||||
Progressive Express II2 | 4,803,208.32 | 30 | 3.44 | 160,106.94 | 8.259 | 330 | 656 | 84.95 | |||||||||||||||||
Progressive Express III2 | 378,982.00 | 2 | 0.27 | 189,491.00 | 10.113 | 348 | 610 | 82.20 | |||||||||||||||||
Progressive Express IV2 | 69,929.74 | 1 | 0.05 | 69,929.74 | 9.5 | 317 | 618 | 90.00 | |||||||||||||||||
Progressive Express V2 | 136,580.85 | 1 | 0.10 | 136,580.85 | 8.25 | 359 | 635 | 80.00 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
_________________
(1) All of these Group 1-A-1 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 CX correspond to Progressive Series I+, I and II, III and III+ and IV respectively.
(2) These Group 1-A-1 Loans were originated under the Sponsor’s Progressive Express™ Program. The underwriting for these Group 1-A-1 Loans is generally based on the borrower’s “Credit Score” score and therefore these Group 1-A-1 Loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi™ Program has been placed in either Progressive Express™ Program II or III.
See “—Underwriting Criteria” below for a description of the Sponsor’s risk categories.
Property Types
Property Type | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
2 Family | 8,202,067.86 | 28 | 5.87 | 292,931.00 | 7.509 | 357 | 697 | 70.86 | |||||||||||||||||
3 Family | 1,482,210.99 | 6 | 1.06 | 247,035.17 | 7.309 | 359 | 752 | 62.34 | |||||||||||||||||
4 Family | 3,756,448.65 | 9 | 2.69 | 417,383.18 | 7.874 | 355 | 703 | 71.28 | |||||||||||||||||
Condominium | 12,809,108.84 | 67 | 9.17 | 191,180.73 | 7.579 | 359 | 693 | 75.89 | |||||||||||||||||
Condotel | 1,444,385.18 | 5 | 1.03 | 288,877.04 | 6.664 | 308 | 743 | 73.96 | |||||||||||||||||
Deminimis Planned Unit Development | 21,108,505.91 | 67 | 15.11 | 315,052.33 | 7.442 | 355 | 703 | 77.26 | |||||||||||||||||
Hi-Rise | 3,216,756.41 | 9 | 2.30 | 357,417.38 | 8.067 | 360 | 677 | 75.33 | |||||||||||||||||
Planned Unit Development | 4,886,536.29 | 21 | 3.50 | 232,692.20 | 7.442 | 349 | 686 | 74.93 | |||||||||||||||||
Single Family Residence | 82,486,483.75 | 315 | 59.04 | 261,861.85 | 7.468 | 351 | 686 | 73.65 | |||||||||||||||||
Townhouse | 309,450.73 | 2 | 0.22 | 154,725.37 | 7.834 | 359 | 697 | 80.00 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
Geographic Distribution of Mortgaged Properties
State | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Arizona | 2,526,121.34 | 14 | 1.81 | 180,437.24 | 7.699 | 350 | 681 | 77.86 | |||||||||||||||||
Arkansas | 172,000.00 | 1 | 0.12 | 172,000.00 | 7.75 | 360 | 724 | 80.00 | |||||||||||||||||
California | 58,188,712.74 | 159 | 41.65 | 365,966.75 | 7.241 | 354 | 693 | 71.01 | |||||||||||||||||
Colorado | 1,256,307.53 | 5 | 0.90 | 251,261.51 | 7.612 | 353 | 736 | 82.16 | |||||||||||||||||
Connecticut | 701,282.83 | 5 | 0.50 | 140,256.57 | 7.882 | 359 | 695 | 71.81 | |||||||||||||||||
Delaware | 227,200.00 | 1 | 0.16 | 227,200.00 | 7.625 | 359 | 731 | 80.00 | |||||||||||||||||
Florida | 40,085,684.14 | 185 | 28.69 | 216,679.37 | 7.542 | 353 | 692 | 76.01 | |||||||||||||||||
Georgia | 1,078,385.40 | 8 | 0.77 | 134,798.18 | 8.801 | 326 | 670 | 86.03 | |||||||||||||||||
Hawaii | 1,420,625.88 | 3 | 1.02 | 473,541.96 | 6.67 | 331 | 718 | 68.13 | |||||||||||||||||
Illinois | 2,700,882.19 | 11 | 1.93 | 245,534.74 | 7.888 | 359 | 689 | 79.60 | |||||||||||||||||
Indiana | 1,018,225.75 | 11 | 0.73 | 92,565.98 | 8.24 | 348 | 682 | 82.62 | |||||||||||||||||
Louisiana | 140,525.18 | 1 | 0.10 | 140,525.18 | 9.125 | 359 | 775 | 95.00 | |||||||||||||||||
Maryland | 2,766,256.97 | 12 | 1.98 | 230,521.41 | 7.75 | 359 | 683 | 69.76 | |||||||||||||||||
Massachusetts | 253,892.16 | 2 | 0.18 | 126,946.08 | 7.832 | 359 | 758 | 50.50 | |||||||||||||||||
Michigan | 558,336.34 | 5 | 0.40 | 111,667.27 | 8.308 | 353 | 668 | 79.17 | |||||||||||||||||
Minnesota | 1,146,300.00 | 4 | 0.82 | 286,575.00 | 8.234 | 360 | 640 | 80.00 | |||||||||||||||||
Missouri | 352,689.76 | 2 | 0.25 | 176,344.88 | 7.082 | 316 | 681 | 95.00 | |||||||||||||||||
Montana | 100,325.49 | 1 | 0.07 | 100,325.49 | 7.5 | 359 | 759 | 80.00 | |||||||||||||||||
Nevada | 3,531,404.58 | 9 | 2.53 | 392,378.29 | 7.23 | 351 | 721 | 74.13 | |||||||||||||||||
New Jersey | 2,339,488.79 | 7 | 1.67 | 334,212.68 | 8.16 | 348 | 666 | 74.23 | |||||||||||||||||
New Mexico | 90,750.00 | 1 | 0.06 | 90,750.00 | 9.5 | 360 | 672 | 75.00 | |||||||||||||||||
New York | 5,464,024.98 | 13 | 3.91 | 420,309.61 | 7.456 | 358 | 710 | 74.28 | |||||||||||||||||
North Carolina | 867,022.68 | 6 | 0.62 | 144,503.78 | 7.791 | 283 | 674 | 75.53 | |||||||||||||||||
Ohio | 678,101.92 | 7 | 0.49 | 96,871.70 | 7.581 | 280 | 668 | 86.24 | |||||||||||||||||
Oregon | 613,900.00 | 3 | 0.44 | 204,633.33 | 7.146 | 360 | 718 | 77.55 | |||||||||||||||||
Pennsylvania | 1,179,734.30 | 5 | 0.84 | 235,946.86 | 8.177 | 356 | 652 | 76.51 | |||||||||||||||||
Rhode Island | 245,000.00 | 1 | 0.18 | 245,000.00 | 7.881 | 360 | 729 | 70.00 | |||||||||||||||||
South Carolina | 852,589.17 | 4 | 0.61 | 213,147.29 | 8.261 | 359 | 671 | 83.76 | |||||||||||||||||
Tennessee | 149,174.82 | 2 | 0.11 | 74,587.41 | 8.292 | 342 | 713 | 85.42 | |||||||||||||||||
Texas | 1,534,948.62 | 13 | 1.10 | 118,072.97 | 8.187 | 349 | 665 | 80.73 | |||||||||||||||||
Utah | 419,521.10 | 2 | 0.30 | 209,760.55 | 7.704 | 360 | 692 | 79.85 | |||||||||||||||||
Virginia | 4,406,129.46 | 15 | 3.15 | 293,741.96 | 7.951 | 356 | 686 | 76.86 | |||||||||||||||||
Washington | 2,310,562.20 | 9 | 1.65 | 256,729.13 | 8.155 | 357 | 664 | 77.93 | |||||||||||||||||
Wyoming | 325,848.29 | 2 | 0.23 | 162,924.15 | 7.804 | 359 | 681 | 80.00 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
No more than approximately 1.10% of the Group 1-A-1 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Range of Debt-to Income Ratio (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.00 - 5.00 | 21,912,385.89 | 105 | 15.69 | 208,689.39 | 7.66 | 347 | 699 | 75.90 | |||||||||||||||||
10.01 - 15.00 | 598,800.00 | 3 | 0.43 | 199,600.00 | 7.283 | 360 | 702 | 60.26 | |||||||||||||||||
15.01 - 20.00 | 1,661,688.82 | 8 | 1.19 | 207,711.10 | 7.275 | 351 | 715 | 72.21 | |||||||||||||||||
20.01 - 25.00 | 4,424,173.75 | 17 | 3.17 | 260,245.51 | 7.103 | 342 | 718 | 74.75 | |||||||||||||||||
25.01 - 30.00 | 9,791,936.83 | 37 | 7.01 | 264,646.94 | 7.479 | 359 | 691 | 71.52 | |||||||||||||||||
30.01 - 35.00 | 19,924,923.92 | 67 | 14.26 | 297,386.92 | 7.328 | 359 | 690 | 72.96 | |||||||||||||||||
35.01 - 40.00 | 25,732,288.10 | 99 | 18.42 | 259,922.10 | 7.305 | 355 | 692 | 72.31 | |||||||||||||||||
40.01 - 45.00 | 25,404,897.78 | 83 | 18.19 | 306,083.11 | 7.495 | 352 | 688 | 73.89 | |||||||||||||||||
45.01 - 50.00 | 27,432,762.92 | 99 | 19.64 | 277,098.62 | 7.712 | 351 | 684 | 76.99 | |||||||||||||||||
50.01 - 55.00 | 2,759,744.68 | 10 | 1.98 | 275,974.47 | 7.683 | 358 | 695 | 73.22 | |||||||||||||||||
55.01 or Greater | 58,351.92 | 1 | 0.04 | 58,351.92 | 7 | 317 | 645 | 70.00 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
As of the Cut-off Date, the non-zero weighted average debt-to-income ratio of the Group 1-A-1 Loans was approximately 39.08% per annum.
Prepayment Penalty
Prepayment Penalty Term | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
1 Year | 39,759,244.38 | 134 | 28.46 | 296,710.78 | 7.342 | 357 | 694 | 74.27 | |||||||||||||||||
2 Year | 15,394,770.79 | 57 | 11.02 | 270,083.70 | 7.216 | 357 | 702 | 75.84 | |||||||||||||||||
3 Year | 37,799,560.25 | 134 | 27.06 | 282,086.27 | 7.505 | 355 | 686 | 73.01 | |||||||||||||||||
5 Year | 16,447,467.04 | 73 | 11.77 | 225,307.77 | 7.348 | 337 | 701 | 75.65 | |||||||||||||||||
6 Months | 1,289,015.53 | 4 | 0.92 | 322,253.88 | 7.55 | 281 | 679 | 73.02 | |||||||||||||||||
No Prepay | 29,011,896.62 | 127 | 20.77 | 228,440.13 | 7.902 | 354 | 686 | 73.79 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
Months Remaining to Scheduled Maturity
Range of Months | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
121 - 180 | 3,288,231.58 | 19 | 2.35 | 173,064.82 | 7.063 | 166 | 686 | 71.15 | |||||||||||||||||
241 - 360 | 136,413,723.03 | 510 | 97.65 | 267,477.89 | 7.501 | 357 | 692 | 74.23 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 1-A-1 Loans was approximately 353 months.
Credit Scores
Range of Credit Scores | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
-500 | 99,923.90 | 1 | 0.07 | 99,923.90 | 7.375 | 359 | N/A | 80.00 | |||||||||||||||||
561 - 580 | 53,003.39 | 1 | 0.04 | 53,003.39 | 10 | 310 | 574 | 65.12 | |||||||||||||||||
581 - 600 | 1,490,136.40 | 3 | 1.07 | 496,712.13 | 7.469 | 356 | 586 | 52.62 | |||||||||||||||||
601 - 620 | 2,644,547.12 | 12 | 1.89 | 220,378.93 | 8.156 | 344 | 614 | 73.85 | |||||||||||||||||
621 - 640 | 16,574,053.60 | 59 | 11.86 | 280,916.16 | 7.867 | 354 | 632 | 73.73 | |||||||||||||||||
641 - 660 | 21,428,890.27 | 82 | 15.34 | 261,327.93 | 7.778 | 352 | 651 | 76.43 | |||||||||||||||||
661 - 680 | 25,308,533.30 | 93 | 18.12 | 272,134.77 | 7.655 | 353 | 671 | 75.54 | |||||||||||||||||
681 - 700 | 15,732,663.80 | 68 | 11.26 | 231,362.70 | 7.367 | 348 | 690 | 75.44 | |||||||||||||||||
701 - 720 | 15,618,549.98 | 58 | 11.18 | 269,285.34 | 7.156 | 356 | 710 | 69.87 | |||||||||||||||||
721 - 740 | 13,274,010.69 | 49 | 9.50 | 270,898.18 | 7.154 | 355 | 730 | 73.29 | |||||||||||||||||
741 - 760 | 10,932,018.29 | 42 | 7.83 | 260,286.15 | 7.315 | 354 | 749 | 76.85 | |||||||||||||||||
761 - 780 | 12,273,670.37 | 42 | 8.79 | 292,230.25 | 7.279 | 351 | 769 | 75.04 | |||||||||||||||||
781 - 800 | 2,864,695.34 | 13 | 2.05 | 220,361.18 | 7.003 | 349 | 788 | 66.02 | |||||||||||||||||
801 or Greater | 1,407,258.16 | 6 | 1.01 | 234,543.03 | 6.938 | 357 | 805 | 72.27 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
As of the Cut-off Date, the weighted average credit score of the Group 1-A-1 Loans for which credit scores are available was approximately 692.
Loan Purposes
Loan Purpose | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Refinance Cash Out | 50,252,184.51 | 174 | 35.97 | 288,805.66 | 7.428 | 352 | 682 | 68.56 | |||||||||||||||||
Purchase | 77,453,026.25 | 302 | 55.44 | 256,466.97 | 7.557 | 354 | 697 | 78.14 | |||||||||||||||||
Refinance Rate Term | 11,996,743.85 | 53 | 8.59 | 226,353.66 | 7.331 | 348 | 697 | 71.85 | |||||||||||||||||
Total | 139,701,954.61 | 529 | 100.00 | 264,086.87 | 7.491 | 353 | 692 | 74.16 |
Loan Group 1-A-2
The Group 1-A-2 Loans had an aggregate principal balance as of the Cut-off Date of approximately $520,051,842, after application of scheduled payments due on or before the Cut-off Date, whether or not received. Approximately 64.97% of the Group 1-A-2 Loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 3.15% of the Group 1-A-2 Loans have fixed rates and are secured by second liens on the related mortgaged property.
The average principal balance of the Group 1-A-2 Loans at origination was approximately $251,739. No Group 1-A-2 Loan had a principal balance at origination of greater than approximately $1,999,950 or less than approximately $16,350. The average principal balance of the Group 1-A-2 Loans as of the Cut-off Date was approximately $250,025. No Group 1-A-2 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,999,950 or less than approximately $1,770.
As of the Cut-off Date, the Group 1-A-2 Loans had mortgage rates ranging from approximately 4.875% per annum to approximately 14.875% per annum and the weighted average mortgage rate was approximately 7.450% per annum. The weighted average remaining term to stated maturity of the Group 1-A-2 Loans was approximately 347 months as of the Cut-off Date. None of the Group 1-A-2 Loans will have a first Due Date prior to March 1, 2002, or after May 1, 2006, or will have a remaining term to maturity of less than 135 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 1-A-2 Loan is April 1, 2036.
Approximately 51.36% and 18.39% of the Group 1-A-2 Loans have initial interest only periods of five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The 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. At origination, the weighted average of the loan-to-value ratios and combined loan-to-value ratios, as applicable, of the Group 1-A-2 Loans was approximately 76.59%. At origination, no loan-to-value ratio or combined loan-to-value ratio, as applicable, of any Group 1-A-2 Loan was greater than approximately 100.00% or less than approximately 8.45%.
Approximately 211 of the Group 1-A-2 Loans, representing approximately 4.22% 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 Group 1-A-2 Loans have a weighted average remaining term to stated maturity of approximately 347 months.
None of the Group 1-A-2 Loans are buydown mortgage loans.
None of the Group 1-A-2 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
Approximately 80.14% of the Group 1-A-2 Loans provide for prepayment charges.
As of the Closing Date, no loan-to-value ratio or combined loan-to-value ratio, as applicable, of any Group 1-A-2 Loan will be greater than 100.00%.
Set forth below is a description of certain additional characteristics of the Group 1-A-2 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 1-A-2 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
Mortgage Loan Programs(1)
Loan Programs | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
15Y Fixed Balloon | 8,990,707.10 | 129 | 1.73 | 69,695.40 | 10.660 | 174 | 687 | 95.31 | |||||||||||||||||
20Y Fixed Balloon | 67,906.09 | 1 | 0.01 | 67,906.09 | 12.250 | 235 | 664 | 100.00 | |||||||||||||||||
30Y Fixed Balloon | 2,781,614.26 | 10 | 0.53 | 278,161.43 | 7.430 | 360 | 679 | 72.68 | |||||||||||||||||
15Y Fixed Balloon - IO | 5,802,495.31 | 59 | 1.12 | 98,347.38 | 11.177 | 176 | 692 | 95.48 | |||||||||||||||||
30Y Fixed | 76,094,719.25 | 387 | 14.63 | 196,627.18 | 7.553 | 339 | 684 | 72.95 | |||||||||||||||||
30Y Fixed - IO | 88,457,102.77 | 276 | 17.01 | 320,496.75 | 7.540 | 357 | 694 | 74.47 | |||||||||||||||||
30Y LIB12M | 692,170.33 | 4 | 0.13 | 173,042.58 | 7.721 | 359 | 666 | 75.41 | |||||||||||||||||
30Y LIB12M - IO | 19,865,570.75 | 54 | 3.82 | 367,880.94 | 6.964 | 359 | 696 | 75.02 | |||||||||||||||||
2/28 LIB6M | 18,778,166.51 | 112 | 3.61 | 167,662.20 | 7.643 | 349 | 670 | 79.47 | |||||||||||||||||
2/28 LIB6M — Balloon. | 1,001,600.00 | 3 | 0.19 | 333,866.67 | 7.991 | 360 | 670 | 80.00 | |||||||||||||||||
2/28 LIB6M - IO | 54,558,527.76 | 199 | 10.49 | 274,163.46 | 7.429 | 357 | 677 | 78.42 | |||||||||||||||||
3/27 LIB6M | 4,525,355.75 | 19 | 0.87 | 238,176.62 | 7.560 | 355 | 698 | 77.62 | |||||||||||||||||
3/27 LIB6M — Balloon. | 1,530,745.06 | 3 | 0.29 | 510,248.35 | 7.699 | 360 | 684 | 73.47 | |||||||||||||||||
3/27 LIB6M - IO | 24,541,476.70 | 77 | 4.72 | 318,720.48 | 7.265 | 358 | 692 | 78.66 | |||||||||||||||||
5/25 LIB12M | 155,268.65 | 1 | 0.03 | 155,268.65 | 5.875 | 319 | 765 | 95.00 | |||||||||||||||||
5/25 LIB12M - IO | 360,000.00 | 2 | 0.07 | 180,000.00 | 6.092 | 357 | 726 | 80.00 | |||||||||||||||||
5/25 LIB6M | 17,488,669.76 | 73 | 3.36 | 239,570.82 | 7.715 | 359 | 671 | 75.33 | |||||||||||||||||
5/25 LIB6M — Balloon. | 1,779,399.81 | 6 | 0.34 | 296,566.64 | 7.414 | 360 | 706 | 78.88 | |||||||||||||||||
5/25 LIB6M - IO | 122,632,103.39 | 398 | 23.58 | 308,120.86 | 7.227 | 359 | 699 | 76.68 | |||||||||||||||||
30Y LIB6M | 20,493,737.16 | 86 | 3.94 | 238,299.27 | 6.962 | 323 | 690 | 76.29 | |||||||||||||||||
30Y LIB6M - IO | 33,589,147.97 | 133 | 6.46 | 252,549.98 | 7.039 | 332 | 711 | 78.23 | |||||||||||||||||
7/23 LIB12M | 78,295.71 | 1 | 0.02 | 78,295.71 | 6.000 | 319 | 706 | 80.00 | |||||||||||||||||
7/23 LIB6M | 1,372,240.75 | 5 | 0.26 | 274,448.15 | 7.071 | 356 | 717 | 75.94 | |||||||||||||||||
7/23 LIB6M - IO | 12,900,575.00 | 33 | 2.48 | 390,926.52 | 6.915 | 360 | 700 | 74.15 | |||||||||||||||||
5/25 CMT1Y | 917,679.53 | 7 | 0.18 | 131,097.08 | 6.097 | 319 | 733 | 83.13 | |||||||||||||||||
7/23 CMT1Y | 596,566.18 | 2 | 0.11 | 298,283.09 | 6.404 | 319 | 715 | 75.54 | |||||||||||||||||
Total | $ | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
____________
(1) | A mortgage loan with a loan program of “15Y Fixed Balloon”, “20Y Fixed Balloon” or “30Y Fixed Balloon” has an amortization term of 30, 30 or 40 years, respectively, has a mortgage rate that is fixed for the entire term and requires a balloon payment in year 15, 20 or 30, respectively. A mortgage loan with a loan program of “30Y Fixed” is a fixed-rate loan with a term of 30 years. A mortgage loan with a loan program including the term “30Y LIB 12M” 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 LIB 6M” 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 of “2/28 LIB 6M - Balloon” amortizes over a 40 year term and 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 “3/27 LIB 6M” 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 of “3/27 LIB 6M - Balloon” amortizes over a 40 year term and 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 “5/25 LIB 12M” 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 “5/25 LIB 6M” 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 of “5/25 LIB 6M - Balloon” amortizes over a 40 year term and has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “30Y LIB 6M” 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 of “7/23 LIB 12M” 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 LIB 6M” 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 of “5/25 CMT1Y” 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 CMT. A mortgage loan with a loan program of “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. Any mortgage loan with a loan program including the term “IO” has an interest only period. A mortgage loan with a loan program of “15Y Fixed”, “20Y Fixed” or “30Y Fixed” is a fixed-rate loan with a term of 15, 20 or 30 years, respectively. |
Principal Balances as of Origination
Range of Mortgage Loan Principal Balances | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.00 - 250,000.00 | 181,205,501.01 | 1,279 | 34.84 | 141,677.48 | 7.758 | 333 | 687 | 78.02 | |||||||||||||||||
250,000.01 - 300,000.00 | 52,782,822.51 | 192 | 10.15 | 274,910.53 | 7.411 | 352 | 687 | 76.84 | |||||||||||||||||
300,000.01 - 350,000.00 | 48,976,231.71 | 151 | 9.42 | 324,345.91 | 7.312 | 354 | 694 | 77.89 | |||||||||||||||||
350,000.01 - 400,000.00 | 46,728,476.54 | 126 | 8.99 | 370,860.92 | 7.358 | 348 | 696 | 76.48 | |||||||||||||||||
400,000.01 - 450,000.00 | 34,229,784.28 | 81 | 6.58 | 422,589.93 | 7.189 | 355 | 692 | 77.39 | |||||||||||||||||
450,000.01 - 500,000.00 | 29,795,150.59 | 64 | 5.73 | 465,549.23 | 7.190 | 352 | 698 | 75.04 | |||||||||||||||||
500,000.01 - 550,000.00 | 23,457,279.17 | 45 | 4.51 | 521,272.87 | 7.267 | 356 | 687 | 77.20 | |||||||||||||||||
550,000.01 - 600,000.00 | 27,930,317.62 | 49 | 5.37 | 570,006.48 | 7.274 | 357 | 694 | 78.08 | |||||||||||||||||
600,000.01 - 650,000.00 | 17,716,668.00 | 28 | 3.41 | 632,738.14 | 7.351 | 355 | 701 | 75.82 | |||||||||||||||||
650,000.01 - 700,000.00 | 4,682,640.62 | 7 | 0.90 | 668,948.66 | 7.304 | 359 | 699 | 75.17 | |||||||||||||||||
700,000.01 - 750,000.00 | 19,799,001.97 | 27 | 3.81 | 733,296.37 | 7.562 | 360 | 686 | 73.55 | |||||||||||||||||
750,000.01 - 800,000.00 | 4,614,595.13 | 6 | 0.89 | 769,099.19 | 6.695 | 353 | 685 | 70.79 | |||||||||||||||||
800,000.01 - 850,000.00 | 1,664,999.95 | 2 | 0.32 | 832,499.98 | 6.565 | 357 | 729 | 72.55 | |||||||||||||||||
850,000.01 - 900,000.00 | 851,900.00 | 1 | 0.16 | 851,900.00 | 7.500 | 355 | 686 | 70.00 | |||||||||||||||||
900,000.01 - 950,000.00 | 1,887,500.00 | 2 | 0.36 | 943,750.00 | 7.132 | 360 | 735 | 77.52 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 9,879,120.91 | 10 | 1.90 | 987,912.09 | 7.050 | 355 | 712 | 66.55 | |||||||||||||||||
1,050,000.01 - 1,150,000.00 | 2,190,000.00 | 2 | 0.42 | 1,095,000.00 | 7.253 | 360 | 663 | 47.44 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 2,386,500.00 | 2 | 0.46 | 1,193,250.00 | 6.913 | 359 | 634 | 71.37 | |||||||||||||||||
1,200,000.01 - 1,300,000.00 | 1,272,851.54 | 1 | 0.24 | 1,272,851.54 | 6.875 | 359 | 734 | 67.11 | |||||||||||||||||
1,300,000.01 - 1,400,000.00 | 2,680,550.00 | 2 | 0.52 | 1,340,275.00 | 7.177 | 360 | 702 | 72.53 | |||||||||||||||||
1,450,000.01 - 1,750,000.00 | 1,500,000.00 | 1 | 0.29 | 1,500,000.00 | 7.375 | 359 | 682 | 69.77 | |||||||||||||||||
1,800,000.01 or greater | 3,819,950.00 | 2 | 0.73 | 1,909,975.00 | 6.417 | 359 | 736 | 65.90 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of origination, the average principal balance of the Group 1-A-2 Loans was approximately $251,739.
Principal Balances as of the Cut-off Date
Range of Mortgage Loan Principal Balances | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.01 - 250,000.00 | 182,666,074.22 | 1,286 | 35.12 | 142,042.05 | 7.752 | 333 | 687 | 78.03 | |||||||||||||||||
250,000.01 - 300,000.00 | 53,355,719.27 | 193 | 10.26 | 276,454.50 | 7.397 | 350 | 688 | 76.75 | |||||||||||||||||
300,000.01 - 350,000.00 | 48,944,726.57 | 150 | 9.41 | 326,298.18 | 7.307 | 355 | 694 | 77.93 | |||||||||||||||||
350,000.01 - 400,000.00 | 45,865,726.09 | 123 | 8.82 | 372,892.08 | 7.380 | 349 | 695 | 76.40 | |||||||||||||||||
400,000.01 - 450,000.00 | 34,394,512.07 | 81 | 6.61 | 424,623.61 | 7.172 | 355 | 694 | 76.97 | |||||||||||||||||
450,000.01 - 500,000.00 | 28,981,557.69 | 61 | 5.57 | 475,107.50 | 7.197 | 353 | 697 | 75.40 | |||||||||||||||||
500,000.01 - 550,000.00 | 24,051,442.66 | 46 | 4.62 | 522,857.45 | 7.233 | 355 | 688 | 77.25 | |||||||||||||||||
550,000.01 - 600,000.00 | 26,845,804.86 | 47 | 5.16 | 571,187.34 | 7.323 | 359 | 692 | 78.20 | |||||||||||||||||
600,000.01 - 650,000.00 | 17,716,668.00 | 28 | 3.41 | 632,738.14 | 7.351 | 355 | 701 | 75.82 | |||||||||||||||||
650,000.01 - 700,000.00 | 4,682,640.62 | 7 | 0.90 | 668,948.66 | 7.304 | 359 | 699 | 75.17 | |||||||||||||||||
700,000.01 - 750,000.00 | 20,510,847.10 | 28 | 3.94 | 732,530.25 | 7.551 | 358 | 684 | 73.38 | |||||||||||||||||
750,000.01 - 800,000.00 | 3,902,750.00 | 5 | 0.75 | 780,550.00 | 6.594 | 359 | 695 | 71.18 | |||||||||||||||||
800,000.01 - 850,000.00 | 1,664,999.95 | 2 | 0.32 | 832,499.98 | 6.565 | 357 | 729 | 72.55 | |||||||||||||||||
850,000.01 - 900,000.00 | 851,900.00 | 1 | 0.16 | 851,900.00 | 7.500 | 355 | 686 | 70.00 | |||||||||||||||||
900,000.01 - 950,000.00 | 2,837,120.91 | 3 | 0.55 | 945,706.97 | 7.046 | 346 | 706 | 77.32 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 8,929,500.00 | 9 | 1.72 | 992,166.67 | 7.069 | 359 | 718 | 65.45 | |||||||||||||||||
1,050,000.01 - 1,150,000.00 | 2,190,000.00 | 2 | 0.42 | 1,095,000.00 | 7.253 | 360 | 663 | 47.44 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 2,386,500.00 | 2 | 0.46 | 1,193,250.00 | 6.913 | 359 | 634 | 71.37 | |||||||||||||||||
1,200,000.01 - 1,300,000.00 | 1,272,851.54 | 1 | 0.24 | 1,272,851.54 | 6.875 | 359 | 734 | 67.11 | |||||||||||||||||
1,300,000.01 - 1,400,000.00 | 2,680,550.00 | 2 | 0.52 | 1,340,275.00 | 7.177 | 360 | 702 | 72.53 | |||||||||||||||||
1,450,000.01 - 1,750,000.00 | 1,500,000.00 | 1 | 0.29 | 1,500,000.00 | 7.375 | 359 | 682 | 69.77 | |||||||||||||||||
1,800,000.01 or greater | 3,819,950.00 | 2 | 0.73 | 1,909,975.00 | 6.417 | 359 | 736 | 65.90 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the average current principal balance of the Group 1-A-2 Loans was approximately $250,025.
Mortgage Rates
Range of Mortgage Rates (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
4.500 - 4.999 | 999,264.90 | 3 | 0.19 | 333,088.30 | 4.875 | 320 | 765 | 63.80 | |||||||||||||||||
5.000 - 5.499 | 2,704,011.87 | 8 | 0.52 | 338,001.48 | 5.297 | 333 | 736 | 73.94 | |||||||||||||||||
5.500 - 5.999 | 8,712,500.26 | 34 | 1.68 | 256,250.01 | 5.770 | 348 | 718 | 71.45 | |||||||||||||||||
6.000 - 6.499 | 39,685,049.21 | 131 | 7.63 | 302,939.31 | 6.255 | 349 | 714 | 71.80 | |||||||||||||||||
6.500 - 6.999 | 121,132,476.87 | 402 | 23.29 | 301,324.57 | 6.749 | 349 | 700 | 73.73 | |||||||||||||||||
7.000 - 7.499 | 117,388,847.43 | 426 | 22.57 | 275,560.67 | 7.197 | 352 | 696 | 76.48 | |||||||||||||||||
7.500 - 7.999 | 123,286,886.77 | 479 | 23.71 | 257,383.90 | 7.686 | 356 | 683 | 76.99 | |||||||||||||||||
8.000 - 8.499 | 52,951,576.56 | 213 | 10.18 | 248,598.95 | 8.169 | 353 | 678 | 78.48 | |||||||||||||||||
8.500 - 8.999 | 23,751,285.97 | 113 | 4.57 | 210,188.37 | 8.674 | 344 | 664 | 80.17 | |||||||||||||||||
9.000 - 9.499 | 8,179,313.93 | 54 | 1.57 | 151,468.78 | 9.161 | 313 | 666 | 84.71 | |||||||||||||||||
9.500 - 9.999 | 6,831,830.87 | 44 | 1.31 | 155,268.88 | 9.694 | 300 | 658 | 84.07 | |||||||||||||||||
10.000 - 10.499 | 1,396,760.72 | 22 | 0.27 | 63,489.12 | 10.174 | 229 | 695 | 91.66 | |||||||||||||||||
10.500 - 10.999 | 3,420,204.63 | 43 | 0.66 | 79,539.64 | 10.656 | 244 | 692 | 92.47 | |||||||||||||||||
11.000 - 11.499 | 1,887,002.18 | 16 | 0.36 | 117,937.64 | 11.248 | 209 | 684 | 96.91 | |||||||||||||||||
11.500 - 11.999 | 2,663,925.09 | 23 | 0.51 | 115,822.83 | 11.701 | 244 | 648 | 93.61 | |||||||||||||||||
12.000 - 12.499 | 2,585,217.56 | 29 | 0.50 | 89,145.43 | 12.171 | 190 | 692 | 97.38 | |||||||||||||||||
12.500 - 12.999 | 1,228,201.86 | 17 | 0.24 | 72,247.17 | 12.658 | 200 | 683 | 96.26 | |||||||||||||||||
13.000 - 13.499 | 674,932.61 | 11 | 0.13 | 61,357.51 | 13.250 | 204 | 665 | 96.38 | |||||||||||||||||
13.500 - 13.999 | 480,006.16 | 10 | 0.09 | 48,000.62 | 13.718 | 175 | 642 | 97.26 | |||||||||||||||||
14.000 - 14.499 | 26,575.91 | 1 | 0.01 | 26,575.91 | 14.125 | 175 | 650 | 95.00 | |||||||||||||||||
14.500 - 14.999 | 65,970.19 | 1 | 0.01 | 65,970.19 | 14.875 | 177 | 655 | 95.00 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the weighted average mortgage rate of the Group 1-A-2 Loans was approximately 7.450% per annum.
Next Adjustment Date
Next Adjustment Date | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 182,194,544.78 | 862 | 35.03 | 211,362.58 | 7.816 | 335 | 689 | 75.52 | |||||||||||||||||
April 2006 | 11,597,295.50 | 51 | 2.23 | 227,397.95 | 6.559 | 320 | 703 | 73.65 | |||||||||||||||||
May 2006 | 18,077,293.33 | 82 | 3.48 | 220,454.80 | 6.915 | 321 | 698 | 78.30 | |||||||||||||||||
June 2006 | 11,417,538.18 | 52 | 2.20 | 219,568.04 | 7.046 | 320 | 700 | 79.98 | |||||||||||||||||
July 2006 | 2,665,354.85 | 12 | 0.51 | 222,112.90 | 7.842 | 333 | 709 | 83.44 | |||||||||||||||||
August 2006 | 4,987,758.20 | 19 | 0.96 | 262,513.59 | 7.639 | 343 | 704 | 79.36 | |||||||||||||||||
September 2006 | 9,958,609.04 | 36 | 1.91 | 276,628.03 | 7.651 | 344 | 696 | 78.28 | |||||||||||||||||
October 2006 | 1,741,443.00 | 6 | 0.33 | 290,240.50 | 6.295 | 358 | 736 | 78.09 | |||||||||||||||||
December 2006 | 768,950.00 | 3 | 0.15 | 256,316.67 | 7.001 | 357 | 683 | 74.87 | |||||||||||||||||
January 2007 | 3,583,689.83 | 7 | 0.69 | 511,955.69 | 6.448 | 358 | 725 | 69.90 | |||||||||||||||||
February 2007 | 8,895,663.50 | 23 | 1.71 | 386,767.98 | 7.042 | 359 | 688 | 76.44 | |||||||||||||||||
March 2007 | 4,937,137.00 | 17 | 0.95 | 290,419.82 | 7.509 | 360 | 688 | 75.38 | |||||||||||||||||
April 2007 | 1,484,641.00 | 5 | 0.29 | 296,928.20 | 7.176 | 360 | 665 | 76.87 | |||||||||||||||||
August 2007 | 1,010,816.75 | 5 | 0.19 | 202,163.35 | 6.085 | 353 | 684 | 71.03 | |||||||||||||||||
September 2007 | 8,980,372.53 | 43 | 1.73 | 208,845.87 | 6.950 | 353 | 615 | 82.77 | |||||||||||||||||
October 2007 | 10,492,635.06 | 52 | 2.02 | 201,781.44 | 6.701 | 352 | 687 | 78.65 | |||||||||||||||||
November 2007 | 4,895,011.15 | 19 | 0.94 | 257,632.17 | 6.029 | 339 | 729 | 73.01 | |||||||||||||||||
December 2007 | 5,124,779.26 | 21 | 0.99 | 244,037.11 | 7.491 | 357 | 657 | 77.09 | |||||||||||||||||
January 2008 | 8,372,483.43 | 32 | 1.61 | 261,640.11 | 7.705 | 358 | 674 | 78.41 | |||||||||||||||||
February 2008 | 14,658,348.50 | 59 | 2.82 | 248,446.58 | 7.701 | 359 | 689 | 77.96 | |||||||||||||||||
March 2008 | 14,538,546.89 | 53 | 2.80 | 274,312.21 | 7.908 | 360 | 687 | 76.72 | |||||||||||||||||
April 2008 | 5,155,841.00 | 17 | 0.99 | 303,284.76 | 7.818 | 360 | 699 | 78.86 | |||||||||||||||||
May 2008 | 125,915.66 | 1 | 0.02 | 125,915.66 | 6.250 | 350 | 715 | 66.67 | |||||||||||||||||
August 2008 | 332,800.00 | 1 | 0.06 | 332,800.00 | 6.290 | 353 | 701 | 80.00 | |||||||||||||||||
September 2008 | 736,607.76 | 4 | 0.14 | 184,151.94 | 7.706 | 354 | 697 | 82.22 | |||||||||||||||||
October 2008 | 284,000.00 | 1 | 0.05 | 284,000.00 | 6.750 | 355 | 652 | 80.00 | |||||||||||||||||
November 2008 | 74,050.00 | 1 | 0.01 | 74,050.00 | 7.250 | 356 | 748 | 74.80 | |||||||||||||||||
December 2008 | 1,552,000.00 | 3 | 0.30 | 517,333.33 | 6.974 | 357 | 642 | 75.20 | |||||||||||||||||
January 2009 | 2,999,201.30 | 10 | 0.58 | 299,920.13 | 7.122 | 358 | 689 | 79.29 | |||||||||||||||||
February 2009 | 11,922,823.78 | 34 | 2.29 | 350,671.29 | 7.383 | 359 | 704 | 79.38 | |||||||||||||||||
March 2009 | 9,667,139.97 | 29 | 1.86 | 333,349.65 | 7.360 | 360 | 691 | 77.17 | |||||||||||||||||
April 2009 | 2,122,400.00 | 9 | 0.41 | 235,822.22 | 7.352 | 360 | 682 | 77.00 | |||||||||||||||||
October 2009 | 801,721.38 | 4 | 0.15 | 200,430.35 | 6.281 | 319 | 717 | 79.06 | |||||||||||||||||
May 2010 | 214,290.36 | 1 | 0.04 | 214,290.36 | 6.375 | 350 | 764 | 80.00 | |||||||||||||||||
June 2010 | 396,500.00 | 1 | 0.08 | 396,500.00 | 6.250 | 351 | 761 | 65.00 | |||||||||||||||||
August 2010 | 333,764.25 | 2 | 0.06 | 166,882.13 | 6.373 | 353 | 732 | 80.00 | |||||||||||||||||
September 2010 | 179,000.00 | 1 | 0.03 | 179,000.00 | 7.500 | 354 | 661 | 76.18 | |||||||||||||||||
October 2010 | 340,000.00 | 1 | 0.07 | 340,000.00 | 7.750 | 355 | 663 | 80.00 | |||||||||||||||||
November 2010 | 375,990.00 | 1 | 0.07 | 375,990.00 | 6.375 | 356 | 702 | 80.00 | |||||||||||||||||
December 2010 | 264,000.00 | 1 | 0.05 | 264,000.00 | 8.000 | 357 | 624 | 77.20 | |||||||||||||||||
January 2011 | 3,129,039.91 | 12 | 0.60 | 260,753.33 | 7.195 | 358 | 689 | 78.88 | |||||||||||||||||
February 2011 | 36,593,871.27 | 118 | 7.04 | 310,117.55 | 7.104 | 359 | 697 | 76.82 | |||||||||||||||||
March 2011 | 59,412,483.87 | 196 | 11.42 | 303,124.92 | 7.422 | 360 | 692 | 76.36 | |||||||||||||||||
April 2011 | 38,509,533.00 | 136 | 7.40 | 283,158.33 | 7.404 | 360 | 696 | 77.00 | |||||||||||||||||
January 2013 | 284,800.00 | 1 | 0.05 | 284,800.00 | 8.000 | 358 | 776 | 80.00 | |||||||||||||||||
February 2013 | 4,212,600.00 | 14 | 0.81 | 300,900.00 | 7.141 | 359 | 699 | 80.29 | |||||||||||||||||
March 2013 | 6,596,906.26 | 15 | 1.27 | 439,793.75 | 6.920 | 360 | 699 | 70.89 | |||||||||||||||||
April 2013 | 3,051,650.00 | 7 | 0.59 | 435,950.00 | 6.603 | 360 | 704 | 72.10 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 1-A-2 Loans was approximately 37 months.
Gross Margin
Range of Gross Margins (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 182,194,544.78 | 862 | 35.03 | 211,362.58 | 7.816 | 335 | 689 | 75.52 | |||||||||||||||||
1.250 - 1.499 | 921,797.24 | 2 | 0.18 | 460,898.62 | 5.375 | 319 | 750 | 70.00 | |||||||||||||||||
1.750 - 1.999 | 896,496.97 | 4 | 0.17 | 224,124.24 | 5.977 | 320 | 717 | 59.20 | |||||||||||||||||
2.000 - 2.249 | 1,583,396.22 | 6 | 0.30 | 263,899.37 | 6.996 | 333 | 699 | 73.75 | |||||||||||||||||
2.250 - 2.499 | 12,995,051.55 | 54 | 2.50 | 240,649.10 | 6.466 | 327 | 733 | 71.40 | |||||||||||||||||
2.500 - 2.749 | 13,849,424.07 | 61 | 2.66 | 227,039.74 | 6.814 | 321 | 708 | 77.71 | |||||||||||||||||
2.750 - 2.999 | 17,888,255.08 | 74 | 3.44 | 241,733.18 | 7.070 | 329 | 686 | 80.09 | |||||||||||||||||
3.000 - 3.249 | 20,427,327.40 | 76 | 3.93 | 268,780.62 | 7.170 | 348 | 704 | 75.01 | |||||||||||||||||
3.250 - 3.499 | 70,246,596.60 | 239 | 13.51 | 293,918.81 | 7.419 | 358 | 691 | 77.54 | |||||||||||||||||
3.500 - 3.749 | 110,353,908.86 | 370 | 21.22 | 298,253.81 | 7.300 | 359 | 696 | 76.44 | |||||||||||||||||
3.750 - 3.999 | 33,721,376.14 | 106 | 6.48 | 318,126.19 | 7.309 | 358 | 694 | 77.18 | |||||||||||||||||
4.000 - 4.249 | 18,540,836.42 | 51 | 3.57 | 363,545.81 | 7.013 | 358 | 696 | 76.48 | |||||||||||||||||
4.250 - 4.499 | 1,416,521.70 | 10 | 0.27 | 141,652.17 | 8.379 | 347 | 663 | 84.29 | |||||||||||||||||
4.500 - 4.749 | 3,148,104.41 | 13 | 0.61 | 242,161.88 | 7.664 | 357 | 692 | 82.40 | |||||||||||||||||
4.750 - 4.999 | 3,336,486.17 | 15 | 0.64 | 222,432.41 | 6.984 | 355 | 685 | 78.60 | |||||||||||||||||
5.000 - 5.249 | 3,856,371.18 | 17 | 0.74 | 226,845.36 | 7.393 | 349 | 657 | 78.10 | |||||||||||||||||
5.250 - 5.499 | 3,540,223.84 | 19 | 0.68 | 186,327.57 | 6.950 | 355 | 653 | 81.54 | |||||||||||||||||
5.500 - 5.749 | 3,136,188.17 | 18 | 0.60 | 174,232.68 | 7.622 | 355 | 680 | 81.33 | |||||||||||||||||
5.750 - 5.999 | 8,307,461.72 | 36 | 1.60 | 230,762.83 | 6.869 | 355 | 628 | 80.98 | |||||||||||||||||
6.000 - 6.249 | 2,002,922.15 | 14 | 0.39 | 143,065.87 | 7.150 | 353 | 639 | 82.45 | |||||||||||||||||
6.250 - 6.499 | 1,422,045.89 | 9 | 0.27 | 158,005.10 | 7.528 | 357 | 637 | 79.66 | |||||||||||||||||
6.500 - 6.749 | 1,967,619.40 | 7 | 0.38 | 281,088.49 | 8.053 | 355 | 626 | 87.35 | |||||||||||||||||
6.750 - 6.999 | 1,295,453.78 | 7 | 0.25 | 185,064.83 | 7.880 | 357 | 680 | 80.47 | |||||||||||||||||
7.250 - 7.499 | 782,365.63 | 3 | 0.15 | 260,788.54 | 8.358 | 359 | 674 | 78.41 | |||||||||||||||||
7.500 - 7.749 | 192,000.00 | 1 | 0.04 | 192,000.00 | 7.590 | 355 | 658 | 80.00 | |||||||||||||||||
7.750 - 7.999 | 400,000.00 | 1 | 0.08 | 400,000.00 | 11.500 | 360 | 546 | 74.49 | |||||||||||||||||
8.750 - 8.999 | 940,190.00 | 2 | 0.18 | 470,095.00 | 9.800 | 359 | 660 | 86.00 | |||||||||||||||||
10.250 - 10.499 | 184,848.88 | 1 | 0.04 | 184,848.88 | 11.375 | 358 | 625 | 95.00 | |||||||||||||||||
10.500 - 10.749 | 346,527.30 | 1 | 0.07 | 346,527.30 | 11.500 | 358 | 662 | 95.00 | |||||||||||||||||
10.750 - 10.999 | 157,500.00 | 1 | 0.03 | 157,500.00 | 11.750 | 359 | 649 | 90.00 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the weighted average Gross Margin of the Group 1-A-2 Loans was approximately 3.591% per annum.
Maximum Mortgage Rate
Range of Maximum Mortgage Rates (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 182,194,544.78 | 862 | 35.03 | 211,362.58 | 7.816 | 335 | 689 | 75.52 | |||||||||||||||||
8.500 - 8.999 | 1,337,402.60 | 5 | 0.26 | 267,480.52 | 6.330 | 319 | 739 | 54.98 | |||||||||||||||||
9.000 - 9.499 | 2,188,467.31 | 6 | 0.42 | 364,744.55 | 5.970 | 319 | 756 | 65.35 | |||||||||||||||||
9.500 - 9.999 | 1,810,364.56 | 8 | 0.35 | 226,295.57 | 6.419 | 319 | 735 | 64.69 | |||||||||||||||||
10.000 - 10.499 | 3,880,623.97 | 20 | 0.75 | 194,031.20 | 6.419 | 320 | 730 | 69.21 | |||||||||||||||||
10.500 - 10.999 | 5,595,343.86 | 23 | 1.08 | 243,275.82 | 6.452 | 321 | 726 | 73.92 | |||||||||||||||||
11.000 - 11.499 | 7,592,231.70 | 30 | 1.46 | 253,074.39 | 6.482 | 326 | 719 | 76.93 | |||||||||||||||||
11.500 - 11.999 | 16,816,223.25 | 59 | 3.23 | 285,020.73 | 6.432 | 342 | 703 | 76.78 | |||||||||||||||||
12.000 - 12.499 | 33,006,472.01 | 112 | 6.35 | 294,700.64 | 6.461 | 352 | 703 | 75.10 | |||||||||||||||||
12.500 - 12.999 | 76,593,006.62 | 264 | 14.73 | 290,125.03 | 6.799 | 354 | 693 | 76.70 | |||||||||||||||||
13.000 - 13.499 | 60,599,864.34 | 216 | 11.65 | 280,554.93 | 7.204 | 357 | 697 | 77.54 | |||||||||||||||||
13.500 - 13.999 | 78,481,770.05 | 286 | 15.09 | 274,411.78 | 7.685 | 358 | 685 | 78.27 | |||||||||||||||||
14.000 - 14.499 | 29,405,367.72 | 102 | 5.65 | 288,287.92 | 8.115 | 357 | 674 | 78.71 | |||||||||||||||||
14.500 - 14.999 | 13,378,518.65 | 49 | 2.57 | 273,030.99 | 8.637 | 358 | 662 | 78.66 | |||||||||||||||||
15.000 - 15.499 | 2,523,757.11 | 14 | 0.49 | 180,268.37 | 9.048 | 357 | 667 | 83.64 | |||||||||||||||||
15.500 - 15.999 | 2,292,416.86 | 11 | 0.44 | 208,401.53 | 9.514 | 344 | 673 | 86.73 | |||||||||||||||||
16.000 - 16.499 | 139,500.00 | 1 | 0.03 | 139,500.00 | 10.250 | 360 | 762 | 90.00 | |||||||||||||||||
16.500 - 16.999 | 691,610.97 | 4 | 0.13 | 172,902.74 | 10.480 | 354 | 675 | 87.39 | |||||||||||||||||
17.000 - 17.499 | 386,576.75 | 3 | 0.07 | 128,858.92 | 10.812 | 336 | 649 | 94.33 | |||||||||||||||||
17.500 - 17.999 | 583,023.44 | 3 | 0.11 | 194,341.15 | 11.629 | 353 | 656 | 93.65 | |||||||||||||||||
18.000 - 18.499 | 554,755.00 | 2 | 0.11 | 277,377.50 | 11.639 | 359 | 574 | 80.21 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 1-A-2 Loans was approximately 13.067% per annum.
Initial Fixed-Rate Period
Initial Fixed Period | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 182,194,544.78 | 862 | 35.03 | 211,362.58 | 7.816 | 335 | 689 | 75.52 | |||||||||||||||||
6 | 54,082,885.13 | 219 | 10.40 | 246,953.81 | 7.010 | 328 | 703 | 77.50 | |||||||||||||||||
12 | 20,557,741.08 | 58 | 3.95 | 354,443.81 | 6.989 | 359 | 695 | 75.03 | |||||||||||||||||
24 | 74,338,294.27 | 314 | 14.29 | 236,746.16 | 7.490 | 355 | 675 | 78.71 | |||||||||||||||||
36 | 30,597,577.51 | 99 | 5.88 | 309,066.44 | 7.330 | 358 | 692 | 78.25 | |||||||||||||||||
60 | 143,333,121.14 | 487 | 27.56 | 294,318.52 | 7.277 | 359 | 696 | 76.61 | |||||||||||||||||
84 | 14,947,677.64 | 41 | 2.87 | 364,577.50 | 6.904 | 357 | 702 | 74.40 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
Initial Rate Cap
Initial Cap (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 182,194,544.78 | 862 | 35.03 | 211,362.58 | 7.816 | 335 | 689 | 75.52 | |||||||||||||||||
1.000 | 53,640,965.90 | 217 | 10.31 | 247,193.39 | 7.009 | 328 | 704 | 77.48 | |||||||||||||||||
1.500 | 104,761.40 | 1 | 0.02 | 104,761.40 | 9.875 | 320 | 618 | 80.00 | |||||||||||||||||
2.000 | 25,614,486.09 | 71 | 4.93 | 360,767.41 | 7.026 | 359 | 695 | 76.06 | |||||||||||||||||
3.000 | 246,203,744.64 | 884 | 47.34 | 278,511.02 | 7.342 | 358 | 689 | 77.25 | |||||||||||||||||
5.000 | 9,544,230.47 | 34 | 1.84 | 280,712.66 | 6.838 | 352 | 702 | 77.02 | |||||||||||||||||
6.000 | 2,749,108.27 | 11 | 0.53 | 249,918.93 | 7.379 | 357 | 681 | 74.48 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
Subsequent Rate Cap
Subsequent Cap (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A (Fixed Rate Loans) | 182,194,544.78 | 862 | 35.03 | 211,362.58 | 7.816 | 335 | 689 | 75.52 | |||||||||||||||||
1.000 | 307,701,358.94 | 1,120 | 59.17 | 274,733.36 | 7.269 | 353 | 692 | 77.29 | |||||||||||||||||
1.500 | 1,202,904.85 | 6 | 0.23 | 200,484.14 | 8.925 | 349 | 602 | 76.65 | |||||||||||||||||
2.000 | 28,953,032.98 | 92 | 5.57 | 314,706.88 | 7.009 | 356 | 695 | 75.91 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
Original Loan-to-Value Ratios*
Range of Loan-to-Value Ratios (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.01 — 10.00 | 80,141.94 | 1 | 0.02 | 80,141.94 | 8.000 | 358 | 633 | 8.45 | |||||||||||||||||
10.01 - 15.00 | 108,000.00 | 1 | 0.02 | 108,000.00 | 6.625 | 180 | 683 | 13.76 | |||||||||||||||||
15.01 - 20.00 | 111,000.00 | 1 | 0.02 | 111,000.00 | 7.000 | 360 | 643 | 19.31 | |||||||||||||||||
20.01 - 25.00 | 370,420.11 | 3 | 0.07 | 123,473.37 | 6.915 | 272 | 699 | 23.44 | |||||||||||||||||
25.01 - 30.00 | 795,988.43 | 7 | 0.15 | 113,712.63 | 7.388 | 339 | 672 | 28.19 | |||||||||||||||||
30.01 - 35.00 | 1,519,850.39 | 9 | 0.29 | 168,872.27 | 7.226 | 353 | 670 | 31.84 | |||||||||||||||||
35.01 - 40.00 | 5,617,906.90 | 16 | 1.08 | 351,119.18 | 6.987 | 347 | 715 | 37.68 | |||||||||||||||||
40.01 - 45.00 | 1,645,299.19 | 10 | 0.32 | 164,529.92 | 6.588 | 340 | 698 | 42.59 | |||||||||||||||||
45.01 - 50.00 | 5,200,204.16 | 21 | 1.00 | 247,628.77 | 7.012 | 344 | 701 | 48.03 | |||||||||||||||||
50.01 - 55.00 | 6,102,383.11 | 25 | 1.17 | 244,095.32 | 6.995 | 340 | 691 | 52.92 | |||||||||||||||||
55.01 - 60.00 | 8,091,754.58 | 33 | 1.56 | 245,204.68 | 6.653 | 345 | 706 | 57.97 | |||||||||||||||||
60.01 - 65.00 | 19,242,076.30 | 57 | 3.70 | 337,580.29 | 6.865 | 350 | 705 | 63.30 | |||||||||||||||||
65.01 - 70.00 | 81,615,646.76 | 265 | 15.69 | 307,983.57 | 7.098 | 352 | 696 | 69.23 | |||||||||||||||||
70.01 - 75.00 | 52,578,834.20 | 189 | 10.11 | 278,194.89 | 7.355 | 354 | 688 | 74.45 | |||||||||||||||||
75.01 - 80.00 | 278,948,139.83 | 1,006 | 53.64 | 277,284.43 | 7.411 | 354 | 689 | 79.83 | |||||||||||||||||
80.01 - 85.00 | 5,034,042.13 | 24 | 0.97 | 209,751.76 | 7.192 | 340 | 693 | 84.15 | |||||||||||||||||
85.01 - 90.00 | 24,299,493.07 | 157 | 4.67 | 154,773.84 | 8.032 | 315 | 692 | 89.79 | |||||||||||||||||
90.01 - 95.00 | 19,767,135.20 | 162 | 3.80 | 122,019.35 | 8.866 | 306 | 694 | 94.89 | |||||||||||||||||
95.01 + | 8,923,525.25 | 93 | 1.72 | 95,951.88 | 10.918 | 183 | 680 | 99.78 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
The minimum and maximum loan-to-value ratios of the Group 1-A-2 Loans at origination were approximately 8.45% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 1-A-2 Loans at origination was approximately 76.59%.
*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 | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Investment | 125,367,940.62 | 604 | 24.11 | 207,562.82 | 7.599 | 348 | 710 | 74.28 | |||||||||||||||||
Owner Occupied | 368,876,718.42 | 1,360 | 70.93 | 271,232.88 | 7.389 | 346 | 685 | 77.30 | |||||||||||||||||
Second Home | 25,807,182.51 | 116 | 4.96 | 222,475.71 | 7.594 | 348 | 693 | 77.70 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
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 | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Progressive Series Program (Alternative Documentation) | 263,699.58 | 4 | 0.05 | 65,924.90 | 8.173 | 261 | 633 | 87.65 | |||||||||||||||||
Progressive Express Program (No Documentation Program) | 20,259,644.37 | 100 | 3.90 | 202,596.44 | 7.984 | 341 | 695 | 76.48 | |||||||||||||||||
Progressive Express Program No Documentation Program (Verified Assets) | 2,850,309.12 | 15 | 0.55 | 190,020.61 | 7.916 | 355 | 696 | 78.55 | |||||||||||||||||
Progressive Express Program (Non-Verified Assets) | 29,281,705.00 | 158 | 5.63 | 185,327.25 | 7.867 | 331 | 672 | 80.07 | |||||||||||||||||
Progressive Express Program (Verified Assets) | 49,381,453.42 | 192 | 9.50 | 257,195.07 | 7.413 | 340 | 698 | 79.96 | |||||||||||||||||
Progressive Series Program (Full/Income Stated Assets) | 747,884.64 | 5 | 0.14 | 149,576.93 | 7.548 | 358 | 730 | 64.34 | |||||||||||||||||
Progressive Series Program (Full Documentation) | 38,709,616.04 | 190 | 7.44 | 203,734.82 | 6.944 | 342 | 680 | 76.00 | |||||||||||||||||
Progressive Series Program (No Income/No Assets) | 6,294,820.60 | 40 | 1.21 | 157,370.51 | 6.629 | 345 | 699 | 77.19 | |||||||||||||||||
Progressive Series Program (Stated Income/Stated Assets) | 15,896,747.78 | 54 | 3.06 | 294,384.22 | 7.485 | 356 | 686 | 75.51 | |||||||||||||||||
Progressive Series Program (Stated Documentation) | 356,365,961.00 | 1,322 | 68.53 | 269,565.78 | 7.453 | 349 | 693 | 75.95 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
See “—Underwriting Criteria” below for a detailed description of the Sponsor’s loan programs and documentation requirements.
Risk Categories
Credit Grade Category | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
ALT B/A1 | 199,612.90 | 1 | 0.04 | 199,612.90 | 11.750 | 177 | 649 | 100.00 | |||||||||||||||||
A1 | 174,748,140.32 | 697 | 33.60 | 250,714.69 | 7.616 | 347 | 655 | 76.98 | |||||||||||||||||
A+1 | 247,823,214.34 | 913 | 47.65 | 271,438.35 | 7.225 | 349 | 724 | 75.53 | |||||||||||||||||
A-1 | 19,219,068.57 | 82 | 3.70 | 234,378.89 | 7.606 | 355 | 604 | 74.60 | |||||||||||||||||
B1 | 88,980.99 | 1 | 0.02 | 88,980.99 | 9.000 | 360 | 562 | 62.24 | |||||||||||||||||
CX1 | 116,904.93 | 1 | 0.02 | 116,904.93 | 6.750 | 136 | 735 | 63.30 | |||||||||||||||||
Progressive Express I 2 | 45,792,459.84 | 207 | 8.81 | 221,219.61 | 7.551 | 342 | 723 | 80.22 | |||||||||||||||||
Progressive Express II 2 | 27,216,806.67 | 152 | 5.23 | 179,057.94 | 7.844 | 325 | 653 | 80.32 | |||||||||||||||||
Progressive Express III2 | 2,617,298.36 | 15 | 0.50 | 174,486.56 | 8.234 | 341 | 618 | 66.10 | |||||||||||||||||
Progressive Express IV 2 | 583,562.40 | 5 | 0.11 | 116,712.48 | 9.276 | 305 | 591 | 67.79 | |||||||||||||||||
Progressive Express V 2 | 763,800.43 | 3 | 0.15 | 254,600.14 | 9.059 | 359 | 581 | 75.58 | |||||||||||||||||
Progressive Express VI 2 | 881,991.80 | 3 | 0.17 | 293,997.27 | 10.755 | 359 | 550 | 73.38 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
_________________
(1) | All of these Group 1-A-2 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of ALT B/A, A, A+, A-, B and CX correspond to Progressive Series I+, I and II, III and III+ and IV respectively. |
(2) | These Group 1-A-2 Loans were originated under the Sponsor’s Progressive Express™ Program. The underwriting for these Group 1-A-2 Loans is generally based on the borrower’s “Credit Score” score and therefore these Group 1-A-2 Loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi™ Program has been placed in either Progressive Express™ Program II or III. |
See “—Underwriting Criteria” below for a description of the Sponsor’s risk categories.
Property Types
Property Type | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
2 Family | 29,276,453.58 | 103 | 5.63 | 284,237.41 | 7.469 | 348 | 706 | 73.90 | |||||||||||||||||
2-4 Family Unit | 295,163.27 | 5 | 0.06 | 59,032.65 | 10.093 | 219 | 708 | 97.35 | |||||||||||||||||
3 Family | 12,730,574.40 | 38 | 2.45 | 335,015.12 | 7.896 | 341 | 704 | 75.71 | |||||||||||||||||
4 Family | 11,156,902.75 | 33 | 2.15 | 338,087.96 | 7.929 | 343 | 695 | 75.32 | |||||||||||||||||
Condominium | 52,381,729.96 | 249 | 10.07 | 210,368.39 | 7.466 | 347 | 702 | 77.45 | |||||||||||||||||
Condominium Non-Warrantable | 131,817.72 | 1 | 0.03 | 131,817.72 | 7.875 | 358 | 673 | 80.00 | |||||||||||||||||
Condotel | 3,197,968.23 | 11 | 0.61 | 290,724.38 | 7.389 | 351 | 680 | 75.75 | |||||||||||||||||
Deminimis Planned Unit Development | 83,018,875.09 | 275 | 15.96 | 301,886.82 | 7.309 | 351 | 694 | 77.95 | |||||||||||||||||
Hi-Rise | 14,544,165.42 | 48 | 2.80 | 303,003.45 | 7.649 | 346 | 703 | 76.49 | |||||||||||||||||
Planned Unit Development | 26,337,059.31 | 115 | 5.06 | 229,017.91 | 7.583 | 344 | 676 | 78.69 | |||||||||||||||||
Single Family Residence | 284,483,810.98 | 1,188 | 54.70 | 239,464.49 | 7.422 | 346 | 687 | 76.19 | |||||||||||||||||
Townhouse | 2,497,320.84 | 14 | 0.48 | 178,380.06 | 7.385 | 346 | 677 | 77.86 | |||||||||||||||||
Total | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
Geographic Distribution of Mortgaged Properties
State | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Alabama | 980,000.00 | 1 | 0.19 | 980,000.00 | 7.125 | 359 | 729 | 70.00 | |||||||||||||||||
Arizona | 20,058,155.50 | 104 | 3.86 | 192,866.88 | 7.613 | 353 | 692 | 78.84 | |||||||||||||||||
Arkansas | 201,375.15 | 1 | 0.04 | 201,375.15 | 7.500 | 317 | 644 | 76.70 | |||||||||||||||||
California | 232,496,168.71 | 693 | 44.71 | 335,492.31 | 7.221 | 348 | 694 | 75.24 | |||||||||||||||||
Colorado | 7,736,811.17 | 46 | 1.49 | 168,191.55 | 7.456 | 331 | 694 | 81.18 | |||||||||||||||||
Connecticut | 2,572,573.24 | 16 | 0.49 | 160,785.83 | 8.191 | 347 | 698 | 75.38 | |||||||||||||||||
Delaware | 851,236.09 | 5 | 0.16 | 170,247.22 | 8.692 | 316 | 664 | 83.97 | |||||||||||||||||
District of Columbia | 1,175,399.74 | 6 | 0.23 | 195,899.96 | 8.200 | 323 | 664 | 84.13 | |||||||||||||||||
Florida | 92,034,231.65 | 461 | 17.70 | 199,640.42 | 7.729 | 346 | 691 | 77.53 | |||||||||||||||||
Georgia | 8,411,621.52 | 51 | 1.62 | 164,933.76 | 7.223 | 330 | 686 | 81.35 | |||||||||||||||||
Hawaii | 6,700,733.94 | 14 | 1.29 | 478,623.85 | 6.898 | 347 | 697 | 69.79 | |||||||||||||||||
Idaho | 277,776.58 | 2 | 0.05 | 138,888.29 | 7.258 | 343 | 725 | 86.36 | |||||||||||||||||
Illinois | 12,766,521.59 | 61 | 2.45 | 209,287.24 | 7.900 | 352 | 684 | 76.90 | |||||||||||||||||
Indiana | 1,078,470.86 | 10 | 0.21 | 107,847.09 | 7.436 | 342 | 673 | 81.67 | |||||||||||||||||
Iowa | 106,400.00 | 1 | 0.02 | 106,400.00 | 7.500 | 358 | 693 | 80.00 | |||||||||||||||||
Kansas | 264,771.85 | 3 | 0.05 | 88,257.28 | 7.102 | 321 | 679 | 84.61 | |||||||||||||||||
Kentucky | 97,500.00 | 1 | 0.02 | 97,500.00 | 7.730 | 354 | 587 | 79.60 | |||||||||||||||||
Louisiana | 286,978.82 | 2 | 0.06 | 143,489.41 | 7.175 | 356 | 641 | 79.95 | |||||||||||||||||
Maryland | 14,432,381.15 | 54 | 2.78 | 267,266.32 | 7.534 | 351 | 682 | 76.38 | |||||||||||||||||
Massachusetts | 4,441,063.86 | 22 | 0.85 | 201,866.54 | 7.665 | 336 | 691 | 79.30 | |||||||||||||||||
Michigan | 3,952,810.25 | 30 | 0.76 | 131,760.34 | 8.370 | 322 | 678 | 83.31 | |||||||||||||||||
Minnesota | 3,837,881.28 | 17 | 0.74 | 225,757.72 | 7.545 | 355 | 694 | 75.41 | |||||||||||||||||
Mississippi | 286,633.42 | 3 | 0.06 | 95,544.47 | 8.353 | 340 | 716 | 86.98 | |||||||||||||||||
Missouri | 987,337.16 | 7 | 0.19 | 141,048.17 | 7.513 | 354 | 667 | 80.61 | |||||||||||||||||
Nebraska | 164,303.95 | 1 | 0.03 | 164,303.95 | 6.810 | 319 | 690 | 90.00 | |||||||||||||||||
Nevada | 8,238,160.01 | 39 | 1.58 | 211,234.87 | 7.462 | 348 | 715 | 77.61 | |||||||||||||||||
New Hampshire | 147,403.24 | 1 | 0.03 | 147,403.24 | 6.720 | 355 | 701 | 80.00 | |||||||||||||||||
New Jersey | 7,509,375.43 | 37 | 1.44 | 202,956.09 | 7.859 | 333 | 677 | 74.78 | |||||||||||||||||
New Mexico | 608,548.20 | 3 | 0.12 | 202,849.40 | 7.600 | 359 | 660 | 77.54 | |||||||||||||||||
New York | 24,631,310.01 | 60 | 4.74 | 410,521.83 | 7.730 | 353 | 694 | 73.29 | |||||||||||||||||
North Carolina | 3,597,863.42 | 26 | 0.69 | 138,379.36 | 7.595 | 338 | 680 | 83.70 | |||||||||||||||||
Ohio | 2,596,725.68 | 23 | 0.50 | 112,901.12 | 7.298 | 325 | 673 | 80.24 | |||||||||||||||||
Oklahoma | 185,297.34 | 2 | 0.04 | 92,648.67 | 9.626 | 315 | 647 | 84.97 | |||||||||||||||||
Oregon | 2,518,866.01 | 15 | 0.48 | 167,924.40 | 7.614 | 347 | 679 | 74.08 | |||||||||||||||||
Pennsylvania | 3,535,296.09 | 20 | 0.68 | 176,764.80 | 7.825 | 337 | 680 | 81.53 | |||||||||||||||||
Rhode Island | 490,793.57 | 5 | 0.09 | 98,158.71 | 7.921 | 301 | 633 | 66.54 | |||||||||||||||||
South Carolina | 3,643,922.64 | 18 | 0.70 | 202,440.15 | 7.001 | 338 | 713 | 74.56 | |||||||||||||||||
Tennessee | 1,830,330.16 | 14 | 0.35 | 130,737.87 | 7.559 | 349 | 689 | 80.99 | |||||||||||||||||
Texas | 6,870,683.12 | 50 | 1.32 | 137,413.66 | 7.902 | 328 | 666 | 81.93 | |||||||||||||||||
Utah | 2,925,538.09 | 21 | 0.56 | 139,311.34 | 7.377 | 342 | 705 | 80.30 | |||||||||||||||||
Virginia | 27,012,246.09 | 95 | 5.19 | 284,339.43 | 7.503 | 351 | 687 | 79.16 | |||||||||||||||||
Washington | 6,371,500.42 | 34 | 1.23 | 187,397.07 | 7.278 | 346 | 696 | 79.44 | |||||||||||||||||
West Virginia | 75,995.48 | 1 | 0.01 | 75,995.48 | 9.750 | 317 | 637 | 95.00 | |||||||||||||||||
Wisconsin | 940,937.37 | 3 | 0.18 | 313,645.79 | 7.067 | 318 | 637 | 71.30 | |||||||||||||||||
Wyoming | 121,911.70 | 1 | 0.02 | 121,911.70 | 7.625 | 359 | 700 | 80.00 | |||||||||||||||||
Total: | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
No more than approximately 0.81% of the Group 1-A-2 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Range of Debt-to-Income Ratio (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.00 — 5.00 | 104,602,046.71 | 466 | 20.11 | 224,467.91 | 7.581 | 338 | 694 | 78.11 | |||||||||||||||||
5.01 - 10.00 | 1,706,612.11 | 7 | 0.33 | 243,801.73 | 7.039 | 336 | 694 | 73.09 | |||||||||||||||||
10.01 - 15.00 | 3,628,965.77 | 12 | 0.70 | 302,413.81 | 6.989 | 348 | 705 | 69.58 | |||||||||||||||||
15.01 - 20.00 | 5,361,290.65 | 29 | 1.03 | 184,872.09 | 7.224 | 336 | 714 | 62.11 | |||||||||||||||||
20.01 - 25.00 | 11,187,214.91 | 55 | 2.15 | 203,403.91 | 7.324 | 349 | 702 | 72.05 | |||||||||||||||||
25.01 - 30.00 | 30,105,786.93 | 119 | 5.79 | 252,989.81 | 7.312 | 350 | 695 | 72.78 | |||||||||||||||||
30.01 - 35.00 | 70,618,395.85 | 261 | 13.58 | 270,568.57 | 7.250 | 350 | 698 | 73.46 | |||||||||||||||||
35.01 - 40.00 | 75,989,293.17 | 301 | 14.61 | 252,456.12 | 7.412 | 346 | 693 | 77.07 | |||||||||||||||||
40.01 - 45.00 | 104,903,151.78 | 400 | 20.17 | 262,257.88 | 7.446 | 350 | 684 | 77.24 | |||||||||||||||||
45.01 - 50.00 | 107,614,666.15 | 411 | 20.69 | 261,836.17 | 7.569 | 348 | 685 | 78.77 | |||||||||||||||||
50.01 - 55.00 | 2,659,469.56 | 13 | 0.51 | 204,574.58 | 7.512 | 327 | 688 | 74.66 | |||||||||||||||||
55.01 or Greater | 1,674,947.96 | 6 | 0.32 | 279,157.99 | 7.238 | 343 | 689 | 78.20 | |||||||||||||||||
Total: | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the non-zero, weighted average debt-to-income ratio of the Group 1-A-2 Loans was approximately 39.28% per annum.
Prepayment Penalty
Prepayment Penalty Term | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
1 Year | 4,833,993.78 | 17 | 0.93 | 284,352.58 | 7.678 | 353 | 695 | 74.52 | |||||||||||||||||
2 Year | 173,328,202.18 | 590 | 33.33 | 293,776.61 | 7.289 | 351 | 696 | 75.95 | |||||||||||||||||
3 Year | 86,802,968.91 | 379 | 16.69 | 229,031.58 | 7.411 | 349 | 677 | 78.46 | |||||||||||||||||
5 Year | 100,342,241.00 | 377 | 19.29 | 266,159.79 | 7.293 | 351 | 690 | 75.23 | |||||||||||||||||
6 Months | 51,440,159.96 | 233 | 9.89 | 220,773.22 | 7.311 | 332 | 694 | 75.31 | |||||||||||||||||
No Prepay | 103,304,275.72 | 484 | 19.86 | 213,438.59 | 7.962 | 338 | 695 | 78.15 | |||||||||||||||||
Total: | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
Months Remaining to Scheduled Maturity
Range of Months | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
121 - 180 | 19,409,836.90 | 227 | 3.73 | 85,505.89 | 10.180 | 172 | 694 | 90.10 | |||||||||||||||||
181 - 240 | 521,441.19 | 4 | 0.10 | 130,360.30 | 7.945 | 238 | 670 | 76.30 | |||||||||||||||||
241 - 360 | 500,120,563.46 | 1,849 | 96.17 | 270,481.65 | 7.343 | 353 | 691 | 76.07 | |||||||||||||||||
Total: | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 1-A-2 Loans was approximately 347 months.
Credit Scores
Range of Credit Scores | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A | 510,727.13 | 9 | 0.10 | 56,747.46 | 9.806 | 196 | 0 | 94.81 | |||||||||||||||||
541 - 560 | 881,991.80 | 3 | 0.17 | 293,997.27 | 10.755 | 359 | 550 | 73.38 | |||||||||||||||||
561 - 580 | 880,813.93 | 5 | 0.17 | 176,162.79 | 8.630 | 359 | 575 | 72.09 | |||||||||||||||||
581 - 600 | 7,503,745.62 | 39 | 1.44 | 192,403.73 | 7.324 | 351 | 591 | 78.55 | |||||||||||||||||
601 - 620 | 15,550,689.29 | 64 | 2.99 | 242,979.52 | 7.942 | 352 | 612 | 71.39 | |||||||||||||||||
621 - 640 | 52,444,677.28 | 221 | 10.08 | 237,306.23 | 7.783 | 346 | 631 | 76.80 | |||||||||||||||||
641 - 660 | 77,471,075.90 | 312 | 14.90 | 248,304.73 | 7.657 | 346 | 650 | 76.25 | |||||||||||||||||
661 - 680 | 72,325,482.21 | 309 | 13.91 | 234,063.05 | 7.706 | 344 | 671 | 78.75 | |||||||||||||||||
681 - 700 | 81,987,236.81 | 316 | 15.77 | 259,453.28 | 7.376 | 349 | 690 | 77.97 | |||||||||||||||||
701 - 720 | 60,939,894.37 | 246 | 11.72 | 247,723.15 | 7.293 | 350 | 710 | 77.52 | |||||||||||||||||
721 - 740 | 58,299,674.78 | 214 | 11.21 | 272,428.39 | 7.216 | 346 | 730 | 75.85 | |||||||||||||||||
741 - 760 | 43,039,004.22 | 161 | 8.28 | 267,323.01 | 7.079 | 347 | 750 | 75.50 | |||||||||||||||||
761 - 780 | 29,457,181.17 | 105 | 5.66 | 280,544.58 | 7.079 | 342 | 770 | 73.63 | |||||||||||||||||
781 - 800 | 15,250,923.27 | 59 | 2.93 | 258,490.22 | 6.997 | 342 | 788 | 73.85 | |||||||||||||||||
801 or Greater | 3,508,723.77 | 17 | 0.67 | 206,395.52 | 7.161 | 346 | 808 | 68.55 | |||||||||||||||||
Total: | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the weighted average credit score of the Group 1-A-2 Loans for which credit scores are available was approximately 691.
Range of Months to Roll
Number of Months | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
N/A | 182,194,544.78 | 862 | 35.03 | 211,362.58 | 7.816 | 335 | 689 | 75.52 | |||||||||||||||||
1 - 12 | 78,630,732.43 | 308 | 15.12 | 255,294.59 | 7.070 | 335 | 700 | 77.28 | |||||||||||||||||
13 - 18 | 11,475,830.28 | 53 | 2.21 | 216,525.10 | 6.903 | 354 | 627 | 80.97 | |||||||||||||||||
19 - 24 | 58,081,804.29 | 236 | 11.17 | 246,109.34 | 7.414 | 356 | 687 | 77.35 | |||||||||||||||||
25 - 31 | 6,635,164.42 | 24 | 1.28 | 276,465.18 | 7.653 | 359 | 697 | 79.11 | |||||||||||||||||
32 - 49 | 29,139,336.43 | 90 | 5.60 | 323,770.40 | 7.294 | 358 | 694 | 78.22 | |||||||||||||||||
50 - 55 | 1,463,554.61 | 6 | 0.28 | 243,925.77 | 6.798 | 353 | 720 | 75.47 | |||||||||||||||||
56 - 79 | 138,284,918.05 | 464 | 26.59 | 298,027.84 | 7.326 | 360 | 694 | 76.73 | |||||||||||||||||
80 + | 14,145,956.26 | 37 | 2.72 | 382,323.14 | 6.939 | 360 | 702 | 74.13 | |||||||||||||||||
Total: | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
As of the Cut-off Date, the weighted average months to roll of the Group 1-A-2 Loans was approximately 37 months.
Loan Purposes
Loan Purpose | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Refinance Cash Out | 156,598,594.34 | 582 | 30.11 | 269,069.75 | 7.354 | 349 | 680 | 71.42 | |||||||||||||||||
Purchase | 326,658,388.01 | 1,350 | 62.81 | 241,969.18 | 7.532 | 346 | 696 | 79.54 | |||||||||||||||||
Refinance Rate Term | 36,794,859.20 | 148 | 7.08 | 248,613.91 | 7.125 | 342 | 698 | 72.38 | |||||||||||||||||
Total: | 520,051,841.55 | 2,080 | 100.00 | 250,024.92 | 7.450 | 347 | 691 | 76.59 |
Loan Group 2
The Group 2 Loans had an aggregate principal balance as of the Cut-off Date of approximately $260,521,096, after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 2 Loans are secured by first liens on the related mortgaged property.
The average principal balance of the Group 2 Loans at origination was approximately $948,814. No Group 2 Loan had a principal balance at origination of greater than approximately $7,200,000 or less than approximately $90,000. The average principal balance of the Group 2 Loans as of the Cut-off Date was approximately $947,349. No Group 2 Loan had a principal balance as of the Cut-off Date of greater than $7,178,929 or less than approximately $89,856.
As of the Cut-off Date, the Group 2 Loans had mortgage rates ranging from approximately 5.875% per annum to approximately 8.750% per annum and the weighted average mortgage rate was approximately 6.528% per annum. The weighted average remaining term to stated maturity of the Group 2 Loans was approximately 358 months as of the Cut-off Date. None of the Group 2 Loans will have a first Due Date prior to November 1, 2005, or after May 1, 2006, or will have a remaining term to maturity of less than 299 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 2 Loan is April 1, 2036.
Approximately 6.68% and 9.32% of the Group 2 Loans have initial interest only periods of three and five 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. At origination, the weighted average of the loan-to-value ratios of the Group 2 Loans was approximately 67.51%. At origination, no loan-to-value ratio of any Group 2 Loan was greater than approximately 80.00% or less than approximately 16.25%.
None of the Group 2 Loans are buydown mortgage loans.
None of the Group 2 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law.
All of the Group 2 Loans provide for prepayment charges.
The Group 2 Loans had debt service coverage ratios as of the Cut-off Date of at least 0.97x but not more than 4.59x, with a weighted average debt service coverage ratio of approximately 1.22x. The Group 2 Loans had occupancy rates, determined as of the most recent date information was available, ranging from approximately 60.00% to approximately 100.00%, with a weighted average occupancy rate at origination of approximately 96.41%.
All of the Group 2 Loans will accrue interest on an actual number of days in the prior calendar month and a year consisting of 360 days. As a result, the portion of the scheduled monthly payment in respect of interest received on the Group 2 Loans will be greater if the prior calendar month has 31 days, and will be reduced if the prior calendar month is February. However, all of the Group 2 Loans will be treated as if they paid interest on a 360 day year consisting of twelve 30 day months.
None of the Group 2 Loans are cross collateralized with other multifamily loans. None of the Group 2 Loans involve borrowers that are bankruptcy remote special purpose entities. As a result, defaults and losses could occur for reasons unrelated to the financial condition or operation of the related mortgaged property.
See “The Mortgage Pool — Multifamily Loans” in this free writing prospectus for additional information about the multifamily loans. See “Pooling and Servicing Agreement — Servicing of Multifamily Loans” in this free writing prospectus for a discussion of the servicing of multifamily loans.
Set forth below is a description of certain additional characteristics of the Group 2 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 2 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
Mortgage Loan Programs(1)
Loan Programs | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
10/20 LIB6M | 128,303,618.27 | 109 | 49.25 | 1,177,097.42 | 6.245 | 358 | 747 | 66.56 | |||||||||||||||||
3/27 LIB6M | 35,185,872.27 | 63 | 13.51 | 558,505.91 | 7.061 | 358 | 730 | 69.49 | |||||||||||||||||
3/27 LIB6M - IO | 7,535,500.00 | 6 | 2.89 | 1,255,916.67 | 6.344 | 358 | 725 | 72.16 | |||||||||||||||||
5/25 LIB6M | 39,756,327.72 | 53 | 15.26 | 750,119.39 | 6.909 | 358 | 728 | 70.43 | |||||||||||||||||
5/25 LIB6M - IO | 24,290,423.64 | 19 | 9.32 | 1,278,443.35 | 6.581 | 358 | 732 | 66.31 | |||||||||||||||||
7/23 LIB6M | 10,505,488.03 | 16 | 4.03 | 656,593.00 | 7.031 | 358 | 721 | 69.03 | |||||||||||||||||
10/20 MTA12M | 1,587,015.84 | 2 | 0.61 | 793,507.92 | 6.59 | 359 | 701 | 40.37 | |||||||||||||||||
3/27 MTA12M | 10,774,570.13 | 5 | 4.14 | 2,154,914.03 | 6.373 | 358 | 729 | 64.06 | |||||||||||||||||
5/25 MTA12M | 1,929,197.80 | 1 | 0.74 | 1,929,197.80 | 6 | 357 | 734 | 67.19 | |||||||||||||||||
7/23 MTA12M | 653,082.35 | 1 | 0.25 | 653,082.35 | 6.125 | 357 | 776 | 57.71 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
____________
(1) | A mortgage loan with a loan program of “10/20 LIB 6M” 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 “3/27 LIB 6M” 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 “5/25 LIB 6M” 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 “7/23 LIB 6M” 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 of “10/20 MTA12M” has a term of 30 years, the first ten of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of CMT. A mortgage loan with a loan program of “3/27 MTA12M” 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 CMT. A mortgage loan with a loan program of “5/25 MTA12M” 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 CMT. A mortgage loan with a loan program of “7/23 MTA12M” 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 CMT. Any mortgage loan with a loan program including the term “IO” has an interest only period. |
Principal Balances as of Origination
Range of Mortgage Loan Principal Balances | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.01 - 250,000.00 | 3,606,211.91 | 20 | 1.38 | 180,310.60 | 7.671 | 358 | 747 | 66.87 | |||||||||||||||||
250,000.01 - 300,000.00 | 3,338,131.84 | 12 | 1.28 | 278,177.65 | 7.628 | 358 | 759 | 65.06 | |||||||||||||||||
300,000.01 - 350,000.00 | 6,491,966.16 | 20 | 2.49 | 324,598.31 | 7.493 | 358 | 734 | 69.64 | |||||||||||||||||
350,000.01 - 400,000.00 | 6,039,531.63 | 16 | 2.32 | 377,470.73 | 7.289 | 358 | 742 | 67.18 | |||||||||||||||||
400,000.01 - 450,000.00 | 7,239,902.81 | 17 | 2.78 | 425,876.64 | 7.371 | 358 | 740 | 70.75 | |||||||||||||||||
450,000.01 - 500,000.00 | 10,271,702.12 | 21 | 3.94 | 489,128.67 | 6.865 | 358 | 715 | 57.46 | |||||||||||||||||
500,000.01 - 550,000.00 | 8,448,353.45 | 16 | 3.24 | 528,022.09 | 6.664 | 358 | 726 | 60.38 | |||||||||||||||||
550,000.01 - 600,000.00 | 6,844,210.43 | 12 | 2.63 | 570,350.87 | 6.649 | 358 | 715 | 65.78 | |||||||||||||||||
600,000.01 - 650,000.00 | 6,287,816.70 | 10 | 2.41 | 628,781.67 | 6.724 | 358 | 730 | 66.01 | |||||||||||||||||
650,000.01 - 700,000.00 | 7,562,763.55 | 11 | 2.90 | 687,523.96 | 6.331 | 353 | 746 | 64.05 | |||||||||||||||||
700,000.01 - 750,000.00 | 7,964,868.99 | 11 | 3.06 | 724,079.00 | 6.845 | 358 | 744 | 66.25 | |||||||||||||||||
750,000.01 - 800,000.00 | 4,691,138.43 | 6 | 1.80 | 781,856.41 | 6.77 | 359 | 754 | 70.40 | |||||||||||||||||
800,000.01 - 850,000.00 | 2,465,718.53 | 3 | 0.95 | 821,906.18 | 6.622 | 358 | 762 | 74.78 | |||||||||||||||||
850,000.01 - 900,000.00 | 13,153,294.17 | 15 | 5.05 | 876,886.28 | 6.587 | 358 | 725 | 67.87 | |||||||||||||||||
900,000.01 - 950,000.00 | 5,521,167.63 | 6 | 2.12 | 920,194.61 | 6.474 | 358 | 697 | 67.27 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 7,896,656.63 | 8 | 3.03 | 987,082.08 | 6.719 | 358 | 724 | 59.63 | |||||||||||||||||
1,000,000.01 - 1,050,000.00 | 5,093,217.04 | 5 | 1.96 | 1,018,643.41 | 6.343 | 359 | 758 | 71.00 | |||||||||||||||||
1,050,000.01 - 1,150,000.00 | 7,822,184.08 | 7 | 3.00 | 1,117,454.87 | 6.375 | 358 | 751 | 71.15 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 1,196,810.36 | 1 | 0.46 | 1,196,810.36 | 6.625 | 357 | 751 | 80.00 | |||||||||||||||||
1,200,000.01 - 1,300,000.00 | 8,742,676.12 | 7 | 3.36 | 1,248,953.73 | 6.449 | 358 | 712 | 61.64 | |||||||||||||||||
1,300,000.01 - 1,400,000.00 | 6,651,934.49 | 5 | 2.55 | 1,330,386.90 | 6.667 | 358 | 725 | 65.93 | |||||||||||||||||
1,400,000.01 - 1,450,000.00 | 5,666,267.05 | 4 | 2.17 | 1,416,566.76 | 5.994 | 358 | 733 | 66.69 | |||||||||||||||||
1,450,000.01 - 1,750,000.00 | 11,067,262.37 | 7 | 4.25 | 1,581,037.48 | 6.287 | 358 | 729 | 70.76 | |||||||||||||||||
1,750,000.01 - 1,800,000.00 | 5,357,191.43 | 3 | 2.06 | 1,785,730.48 | 5.942 | 358 | 743 | 68.97 | |||||||||||||||||
1,800,000.01 + | 101,100,118.13 | 32 | 38.81 | 3,159,378.69 | 6.277 | 358 | 746 | 69.33 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of origination, the average principal balance of the Group 2 Loans was approximately $948,814.
Principal Balances as of the Cut-off Date
Range of Mortgage Loan Principal Balances | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.01 - 250,000.00 | 3,606,211.91 | 20 | 1.38 | 180,310.60 | 7.671 | 358 | 747 | 66.87 | |||||||||||||||||
250,000.01 - 300,000.00 | 3,338,131.84 | 12 | 1.28 | 278,177.65 | 7.628 | 358 | 759 | 65.06 | |||||||||||||||||
300,000.01 - 350,000.00 | 6,491,966.16 | 20 | 2.49 | 324,598.31 | 7.493 | 358 | 734 | 69.64 | |||||||||||||||||
350,000.01- 400,000.00 | 6,039,531.63 | 16 | 2.32 | 377,470.73 | 7.289 | 358 | 742 | 67.18 | |||||||||||||||||
400,000.01 - 450,000.00 | 7,239,902.81 | 17 | 2.78 | 425,876.64 | 7.371 | 358 | 740 | 70.75 | |||||||||||||||||
450,000.01 - 500,000.00 | 10,271,702.12 | 21 | 3.94 | 489,128.67 | 6.865 | 358 | 715 | 57.46 | |||||||||||||||||
500,000.01 - 550,000.00 | 8,997,761.24 | 17 | 3.45 | 529,280.07 | 6.685 | 358 | 729 | 61.58 | |||||||||||||||||
550,000.01 - 600,000.00 | 6,294,802.64 | 11 | 2.42 | 572,254.79 | 6.618 | 358 | 709 | 64.54 | |||||||||||||||||
600,000.01 - 650,000.00 | 6,287,816.70 | 10 | 2.41 | 628,781.67 | 6.724 | 358 | 730 | 66.01 | |||||||||||||||||
650,000.01 - 700,000.00 | 7,562,763.55 | 11 | 2.90 | 687,523.96 | 6.331 | 353 | 746 | 64.05 | |||||||||||||||||
700,000.01 - 750,000.00 | 7,964,868.99 | 11 | 3.06 | 724,079.00 | 6.845 | 358 | 744 | 66.25 | |||||||||||||||||
750,000.01 - 800,000.00 | 4,691,138.43 | 6 | 1.80 | 781,856.41 | 6.77 | 359 | 754 | 70.40 | |||||||||||||||||
800,000.01 - 850,000.00 | 2,465,718.53 | 3 | 0.95 | 821,906.18 | 6.622 | 358 | 762 | 74.78 | |||||||||||||||||
850,000.01 - 900,000.00 | 13,153,294.17 | 15 | 5.05 | 876,886.28 | 6.587 | 358 | 725 | 67.87 | |||||||||||||||||
900,000.01 - 950,000.00 | 5,521,167.63 | 6 | 2.12 | 920,194.61 | 6.474 | 358 | 697 | 67.27 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 7,896,656.63 | 8 | 3.03 | 987,082.08 | 6.719 | 358 | 724 | 59.63 | |||||||||||||||||
1,000,000.01- 1,050,000.00 | 5,093,217.04 | 5 | 1.96 | 1,018,643.41 | 6.343 | 359 | 758 | 71.00 | |||||||||||||||||
1,050,000.01- 1,150,000.00 | 7,822,184.08 | 7 | 3.00 | 1,117,454.87 | 6.375 | 358 | 751 | 71.15 | |||||||||||||||||
1,150,000.01- 1,200,000.00 | 1,196,810.36 | 1 | 0.46 | 1,196,810.36 | 6.625 | 357 | 751 | 80.00 | |||||||||||||||||
1,200,000.01- 1,300,000.00 | 8,742,676.12 | 7 | 3.36 | 1,248,953.73 | 6.449 | 358 | 712 | 61.64 | |||||||||||||||||
1,300,000.01- 1,400,000.00 | 8,048,593.58 | 6 | 3.09 | 1,341,432.26 | 6.543 | 358 | 726 | 65.54 | |||||||||||||||||
1,400,000.01- 1,450,000.00 | 4,269,607.96 | 3 | 1.64 | 1,423,202.65 | 6.009 | 358 | 734 | 67.68 | |||||||||||||||||
1,450,000.01- 1,750,000.00 | 11,067,262.37 | 7 | 4.25 | 1,581,037.48 | 6.287 | 358 | 729 | 70.76 | |||||||||||||||||
1,750,000.01- 1,800,000.00 | 5,357,191.43 | 3 | 2.06 | 1,785,730.48 | 5.942 | 358 | 743 | 68.97 | |||||||||||||||||
1,800,000.01 + | 101,100,118.13 | 32 | 38.81 | 3,159,378.69 | 6.277 | 358 | 746 | 69.33 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the average current principal balance of the Group 2 Loans was approximately $947,349.
Mortgage Rates
State | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
5.500 - 5.999 | 21,003,227.64 | 24 | 8.06 | 875,134.49 | 5.944 | 357 | 733 | 63.62 | |||||||||||||||||
6.000 - 6.499 | 132,844,969.23 | 82 | 50.99 | 1,620,060.60 | 6.177 | 358 | 743 | 66.43 | |||||||||||||||||
6.500 - 6.999 | 49,960,965.47 | 46 | 19.18 | 1,086,107.95 | 6.679 | 359 | 725 | 71.21 | |||||||||||||||||
7.000 - 7.499 | 32,942,025.65 | 61 | 12.64 | 540,033.21 | 7.194 | 358 | 739 | 67.85 | |||||||||||||||||
7.500 - 7.999 | 18,586,487.36 | 47 | 7.13 | 395,457.18 | 7.652 | 358 | 738 | 66.88 | |||||||||||||||||
8.000 - 8.499 | 4,599,420.70 | 13 | 1.77 | 353,801.59 | 8.092 | 359 | 727 | 74.65 | |||||||||||||||||
8.500 - 8.999 | 584,000.00 | 2 | 0.22 | 292,000.00 | 8.683 | 360 | 729 | 80.00 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average mortgage rate of the Group 2 Loans was approximately 6.528% per annum.
Next Adjustment Date
Next Adjustment Date | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
November 2008 | 3,725,057.06 | 9 | 1.43 | 413,895.23 | 7.032 | 356 | 731 | 67.77 | |||||||||||||||||
December 2008 | 17,962,573.54 | 21 | 6.89 | 855,360.64 | 6.631 | 357 | 723 | 72.05 | |||||||||||||||||
January 2009 | 18,562,155.96 | 23 | 7.13 | 807,050.26 | 6.731 | 358 | 734 | 66.21 | |||||||||||||||||
February 2009 | 5,315,655.84 | 8 | 2.04 | 664,456.98 | 6.892 | 359 | 711 | 67.41 | |||||||||||||||||
March 2009 | 7,070,500.00 | 12 | 2.71 | 589,208.33 | 7.416 | 360 | 734 | 68.06 | |||||||||||||||||
April 2009 | 860,000.00 | 1 | 0.33 | 860,000.00 | 6.55 | 360 | 792 | 74.14 | |||||||||||||||||
October 2010 | 1,955,407.89 | 2 | 0.75 | 977,703.95 | 6.937 | 355 | 677 | 67.73 | |||||||||||||||||
November 2010 | 7,734,323.68 | 10 | 2.97 | 773,432.37 | 6.561 | 356 | 746 | 74.79 | |||||||||||||||||
December 2010 | 11,656,028.59 | 11 | 4.47 | 1,059,638.96 | 6.314 | 357 | 730 | 59.81 | |||||||||||||||||
January 2011 | 13,616,876.48 | 21 | 5.23 | 648,422.69 | 7.133 | 358 | 719 | 67.51 | |||||||||||||||||
February 2011 | 17,428,812.52 | 15 | 6.69 | 1,161,920.83 | 6.77 | 359 | 728 | 73.67 | |||||||||||||||||
March 2011 | 13,584,500.00 | 14 | 5.21 | 970,321.43 | 6.851 | 360 | 742 | 68.39 | |||||||||||||||||
November 2012 | 315,504.68 | 1 | 0.12 | 315,504.68 | 7.25 | 356 | 722 | 58.62 | |||||||||||||||||
December 2012 | 3,732,337.79 | 4 | 1.43 | 933,084.45 | 6.268 | 357 | 696 | 65.99 | |||||||||||||||||
January 2013 | 1,532,551.40 | 2 | 0.59 | 766,275.70 | 7.395 | 358 | 776 | 78.72 | |||||||||||||||||
February 2013 | 3,241,176.51 | 5 | 1.24 | 648,235.30 | 7.328 | 359 | 733 | 68.69 | |||||||||||||||||
March 2013 | 2,337,000.00 | 5 | 0.90 | 467,400.00 | 7.317 | 360 | 724 | 66.25 | |||||||||||||||||
November 2015 | 9,172,965.77 | 7 | 3.52 | 1,310,423.68 | 6.229 | 356 | 755 | 77.15 | |||||||||||||||||
December 2015 | 41,491,956.79 | 40 | 15.93 | 1,037,298.92 | 6.184 | 357 | 737 | 66.53 | |||||||||||||||||
January 2016 | 14,792,069.19 | 14 | 5.68 | 1,056,576.37 | 6.335 | 358 | 759 | 61.75 | |||||||||||||||||
February 2016 | 42,195,392.36 | 30 | 16.20 | 1,406,513.08 | 6.256 | 358 | 749 | 65.74 | |||||||||||||||||
March 2016 | 21,589,750.00 | 19 | 8.29 | 1,136,302.63 | 6.305 | 360 | 748 | 65.17 | |||||||||||||||||
April 2016 | 648,500.00 | 1 | 0.25 | 648,500.00 | 6.375 | 360 | 680 | 64.85 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 2 Loans was approximately 84 months.
Gross Margin
Range of Gross Margins (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
2.250 - 2.499 | 14,634,228.72 | 10 | 5.62 | 1,463,422.87 | 6.268 | 357 | 737 | 61.08 | |||||||||||||||||
2.500 - 2.749 | 84,194,318.42 | 68 | 32.32 | 1,238,151.74 | 6.501 | 358 | 724 | 71.46 | |||||||||||||||||
2.750 - 2.999 | 108,848,260.24 | 80 | 41.78 | 1,360,603.25 | 6.148 | 358 | 749 | 65.56 | |||||||||||||||||
3.000 - 3.249 | 44,508,257.19 | 99 | 17.08 | 449,578.36 | 7.39 | 358 | 745 | 66.76 | |||||||||||||||||
3.250 - 3.499 | 6,836,935.75 | 15 | 2.62 | 455,795.72 | 7.53 | 358 | 690 | 66.87 | |||||||||||||||||
3.500 - 3.749 | 1,499,095.73 | 3 | 0.58 | 499,698.58 | 7.865 | 355 | 658 | 74.20 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average Gross Margin of the Group 2 Loans was approximately 2.716% per annum.
Maximum Mortgage Rate
Range of Maximum Mortgage Rates (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
11.500 - 11.999 | 21,003,227.64 | 24 | 8.06 | 875,134.49 | 5.944 | 357 | 733 | 63.62 | |||||||||||||||||
12.000 - 12.499 | 132,844,969.23 | 82 | 50.99 | 1,620,060.60 | 6.177 | 358 | 743 | 66.43 | |||||||||||||||||
12.500 - 12.999 | 49,960,965.47 | 46 | 19.18 | 1,086,107.95 | 6.679 | 359 | 725 | 71.21 | |||||||||||||||||
13.000 - 13.499 | 32,942,025.65 | 61 | 12.64 | 540,033.21 | 7.194 | 358 | 739 | 67.85 | |||||||||||||||||
13.500 - 13.999 | 18,586,487.36 | 47 | 7.13 | 395,457.18 | 7.652 | 358 | 738 | 66.88 | |||||||||||||||||
14.000 - 14.499 | 4,599,420.70 | 13 | 1.77 | 353,801.59 | 8.092 | 359 | 727 | 74.65 | |||||||||||||||||
14.500 - 14.999 | 584,000.00 | 2 | 0.22 | 292,000.00 | 8.683 | 360 | 729 | 80.00 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 2 Loans was approximately 12.525% per annum.
Initial Fixed-Rate Period
Initial Fixed Period | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
36 | 53,495,942.40 | 74 | 20.53 | 722,918.14 | 6.822 | 358 | 729 | 68.77 | |||||||||||||||||
60 | 65,975,949.16 | 73 | 25.32 | 903,780.13 | 6.762 | 358 | 730 | 68.82 | |||||||||||||||||
84 | 11,158,570.38 | 17 | 4.28 | 656,386.49 | 6.978 | 358 | 724 | 68.37 | |||||||||||||||||
120 | 129,890,634.11 | 111 | 49.86 | 1,170,185.89 | 6.249 | 358 | 746 | 66.24 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
Initial Rate Cap
Initial Cap (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
3.000 | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
Subsequent Rate Cap
Subsequent Cap (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
1.000 | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
Original Loan-to-Value Ratios
Range of Loan to Value Ratios (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
15.01 - 20.00 | 809,166.63 | 3 | 0.31 | 269,722.21 | 6.576 | 359 | 723 | 17.46 | |||||||||||||||||
20.01 - 25.00 | 1,497,308.86 | 2 | 0.57 | 748,654.43 | 6.292 | 358 | 785 | 22.90 | |||||||||||||||||
30.01 - 35.00 | 1,029,144.79 | 3 | 0.40 | 343,048.26 | 7.427 | 359 | 697 | 32.98 | |||||||||||||||||
35.01 - 40.00 | 3,825,187.77 | 6 | 1.47 | 637,531.30 | 6.914 | 359 | 736 | 37.34 | |||||||||||||||||
40.01 - 45.00 | 827,421.13 | 2 | 0.32 | 413,710.57 | 6.978 | 359 | 764 | 40.89 | |||||||||||||||||
45.01 - 50.00 | 8,834,549.37 | 12 | 3.39 | 736,212.45 | 6.484 | 358 | 722 | 47.84 | |||||||||||||||||
50.01 - 55.00 | 11,092,033.38 | 16 | 4.26 | 693,252.09 | 6.462 | 355 | 732 | 51.82 | |||||||||||||||||
55.01 - 60.00 | 35,407,793.62 | 30 | 13.59 | 1,180,259.79 | 6.264 | 358 | 758 | 57.86 | |||||||||||||||||
60.01 - 65.00 | 35,984,717.67 | 32 | 13.81 | 1,124,522.43 | 6.346 | 358 | 740 | 62.77 | |||||||||||||||||
65.01 - 70.00 | 38,375,433.18 | 47 | 14.73 | 816,498.58 | 6.628 | 358 | 728 | 67.94 | |||||||||||||||||
70.01 - 75.00 | 52,504,403.74 | 51 | 20.15 | 1,029,498.11 | 6.597 | 358 | 736 | 73.46 | |||||||||||||||||
75.01 - 80.00 | 70,333,935.91 | 71 | 27.00 | 990,618.82 | 6.627 | 358 | 735 | 79.03 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
The minimum and maximum loan-to-value ratios of the Group 2 Loans at origination were approximately 16.25% and 80.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 2 Loans at origination was approximately 67.51%.
Occupancy Types
Occupancy | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Investor | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
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 | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Progressive Express Program (No Documentation) | 1,039,028.05 | 4 | 0.40 | 259,757.01 | 7.423 | 358 | 745 | 51.22 | |||||||||||||||||
Progressive Series Program (Full Documentation) | 213,565,083.02 | 166 | 81.98 | 1,286,536.64 | 6.316 | 358 | 738 | 67.57 | |||||||||||||||||
Progressive Series Program (Stated Income/Stated Assets) | 1,717,135.05 | 3 | 0.66 | 572,378.35 | 7.25 | 359 | 726 | 47.96 | |||||||||||||||||
Progressive Series Program (Stated Documentation) | 44,199,849.93 | 102 | 16.97 | 433,331.86 | 7.502 | 358 | 738 | 68.36 | |||||||||||||||||
Total | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
See “—Underwriting Criteria” below for a detailed description of the Sponsor’s loan programs and documentation requirements.
Risk Categories
Credit Grade Category | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
A1 | 253,824,554.89 | 260 | 97.43 | 976,248.29 | 6.498 | 358 | 739 | 67.45 | |||||||||||||||||
B1 | 5,197,445.43 | 12 | 2.00 | 433,120.45 | 7.595 | 358 | 686 | 68.26 | |||||||||||||||||
C1 | 1,499,095.73 | 3 | 0.58 | 499,698.58 | 7.865 | 355 | 658 | 74.20 | |||||||||||||||||
Total | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
_________________
(1) | All of these Group 2 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A, B and C correspond to Progressive Series I+, I and II, III and III+ and V, respectively. |
See “—Underwriting Criteria” below for a description of the Sponsor’s risk categories.
Property Types
Property Type | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Multi-Family Residence | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
Geographic Distribution of Mortgaged Properties
State | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Alabama | 1,945,705.25 | 3 | 0.75 | 648,568.42 | 6.774 | 358 | 723 | 58.52 | |||||||||||||||||
Alaska | 446,250.00 | 1 | 0.17 | 446,250.00 | 8 | 360 | 751 | 75.00 | |||||||||||||||||
Arizona | 9,693,559.27 | 12 | 3.72 | 807,796.61 | 6.876 | 358 | 724 | 67.45 | |||||||||||||||||
California | 121,975,698.71 | 107 | 46.82 | 1,139,959.80 | 6.363 | 358 | 742 | 61.32 | |||||||||||||||||
Connecticut | 4,105,474.72 | 3 | 1.58 | 1,368,491.57 | 6.349 | 358 | 753 | 79.57 | |||||||||||||||||
District of Columbia | 430,959.14 | 1 | 0.17 | 430,959.14 | 7.125 | 357 | 741 | 80.00 | |||||||||||||||||
Florida | 6,084,360.91 | 9 | 2.34 | 676,040.10 | 6.563 | 351 | 720 | 69.10 | |||||||||||||||||
Idaho | 1,858,141.95 | 2 | 0.71 | 929,070.98 | 6.552 | 358 | 702 | 75.41 | |||||||||||||||||
Illinois | 1,661,375.65 | 3 | 0.64 | 553,791.88 | 7.932 | 357 | 689 | 72.76 | |||||||||||||||||
Indiana | 1,223,412.32 | 1 | 0.47 | 1,223,412.32 | 6.25 | 359 | 785 | 65.34 | |||||||||||||||||
Iowa | 2,474,747.77 | 1 | 0.95 | 2,474,747.77 | 6.125 | 358 | 755 | 80.00 | |||||||||||||||||
Kentucky | 5,237,862.86 | 2 | 2.01 | 2,618,931.43 | 6.738 | 360 | 691 | 75.36 | |||||||||||||||||
Maine | 2,908,810.36 | 3 | 1.12 | 969,603.45 | 6.576 | 359 | 748 | 80.00 | |||||||||||||||||
Maryland | 1,097,679.23 | 2 | 0.42 | 548,839.62 | 7.593 | 358 | 744 | 78.90 | |||||||||||||||||
Massachusetts | 5,806,680.47 | 6 | 2.23 | 967,780.08 | 6.77 | 358 | 761 | 78.97 | |||||||||||||||||
Michigan | 1,247,334.06 | 2 | 0.48 | 623,667.03 | 6.32 | 358 | 707 | 66.41 | |||||||||||||||||
Minnesota | 7,641,466.59 | 11 | 2.93 | 694,678.78 | 6.525 | 359 | 748 | 75.55 | |||||||||||||||||
Missouri | 764,565.16 | 2 | 0.29 | 382,282.58 | 7.761 | 359 | 727 | 75.76 | |||||||||||||||||
Nevada | 4,286,376.96 | 5 | 1.65 | 857,275.39 | 6.968 | 359 | 745 | 69.60 | |||||||||||||||||
New Hampshire | 1,242,485.37 | 2 | 0.48 | 621,242.69 | 6.419 | 358 | 758 | 70.15 | |||||||||||||||||
New Jersey | 374,222.42 | 1 | 0.14 | 374,222.42 | 7.875 | 357 | 704 | 60.49 | |||||||||||||||||
New Mexico | 15,597,465.09 | 12 | 5.99 | 1,299,788.76 | 6.358 | 358 | 752 | 74.87 | |||||||||||||||||
New York | 3,082,375.00 | 6 | 1.18 | 513,729.17 | 6.637 | 357 | 727 | 75.01 | |||||||||||||||||
North Carolina | 814,750.00 | 2 | 0.31 | 407,375.00 | 6.937 | 360 | 790 | 76.13 | |||||||||||||||||
Ohio | 9,572,719.23 | 12 | 3.67 | 797,726.60 | 6.774 | 358 | 743 | 71.83 | |||||||||||||||||
Oklahoma | 1,016,379.86 | 2 | 0.39 | 508,189.93 | 6.642 | 358 | 780 | 70.75 | |||||||||||||||||
Oregon | 3,036,817.52 | 6 | 1.17 | 506,136.25 | 6.529 | 357 | 720 | 67.33 | |||||||||||||||||
Pennsylvania | 3,766,305.28 | 5 | 1.45 | 753,261.06 | 7.074 | 359 | 674 | 70.73 | |||||||||||||||||
Rhode Island | 1,601,808.43 | 3 | 0.61 | 533,936.14 | 6.639 | 358 | 734 | 67.96 | |||||||||||||||||
South Carolina | 1,228,000.00 | 2 | 0.47 | 614,000.00 | 6.887 | 360 | 710 | 80.00 | |||||||||||||||||
Tennessee | 5,972,080.82 | 9 | 2.29 | 663,564.54 | 6.836 | 358 | 747 | 75.36 | |||||||||||||||||
Texas | 14,540,273.25 | 23 | 5.58 | 632,185.79 | 6.74 | 358 | 739 | 74.77 | |||||||||||||||||
Utah | 3,582,283.25 | 5 | 1.38 | 716,456.65 | 6.609 | 359 | 710 | 71.21 | |||||||||||||||||
Washington | 14,202,669.15 | 9 | 5.45 | 1,578,074.35 | 6.501 | 359 | 717 | 70.10 | |||||||||||||||||
TOTAL | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
No more than approximately 8.37% of the Group 2 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
Debt-to-Income Ratio
Range of Debt-to-Income Ratio (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
0.00 - 5.00 | 256,619,782.33 | 273 | 98.50 | 939,999.20 | 6.533 | 358 | 737 | 67.41 | |||||||||||||||||
10.01 - 15.00 | 895,263.49 | 1 | 0.34 | 895,263.49 | 6.25 | 357 | 664 | 70.04 | |||||||||||||||||
20.01 - 25.00 | 3,006,050.23 | 1 | 1.15 | 3,006,050.23 | 6.125 | 359 | 801 | 74.99 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the non-zero weighted average debt-to-income ratio of the Group 2 Loans was approximately 19.91% per annum.
Prepayment Penalty
Prepayment Penalty Term | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
10 Years | 130,039,371.16 | 112 | 49.92 | 1,161,065.81 | 6.25 | 358 | 746 | 66.25 | |||||||||||||||||
3 Years | 53,347,205.35 | 73 | 20.48 | 730,783.63 | 6.821 | 358 | 729 | 68.77 | |||||||||||||||||
5 Years | 65,975,949.16 | 73 | 25.32 | 903,780.13 | 6.762 | 358 | 730 | 68.82 | |||||||||||||||||
7 Years | 11,158,570.38 | 17 | 4.28 | 656,386.49 | 6.978 | 358 | 724 | 68.37 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
Months Remaining to Scheduled Maturity
Range of Months | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
241 - 360 | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 2 Loans was approximately 358 months.
Credit Scores
Range of Credit Scores | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
561 - 580 | 1,298,272.51 | 1 | 0.50 | 1,298,272.51 | 6 | 359 | 571 | 52.00 | |||||||||||||||||
601 - 620 | 1,137,862.86 | 1 | 0.44 | 1,137,862.86 | 6.875 | 358 | 620 | 60.00 | |||||||||||||||||
621 - 640 | 1,876,558.68 | 3 | 0.72 | 625,519.56 | 6.744 | 358 | 625 | 55.30 | |||||||||||||||||
641 - 660 | 6,243,657.01 | 5 | 2.40 | 1,248,731.40 | 6.797 | 358 | 653 | 68.73 | |||||||||||||||||
661 - 680 | 13,344,955.50 | 18 | 5.12 | 741,386.42 | 6.726 | 358 | 672 | 63.94 | |||||||||||||||||
681 - 700 | 32,256,890.25 | 28 | 12.38 | 1,152,031.79 | 6.464 | 357 | 693 | 71.32 | |||||||||||||||||
701 - 720 | 36,122,406.46 | 37 | 13.87 | 976,281.26 | 6.683 | 359 | 712 | 70.67 | |||||||||||||||||
721 - 740 | 44,727,615.03 | 57 | 17.17 | 784,695.00 | 6.363 | 358 | 731 | 64.64 | |||||||||||||||||
741 - 760 | 38,198,685.37 | 37 | 14.66 | 1,032,396.90 | 6.592 | 358 | 750 | 70.19 | |||||||||||||||||
761 - 780 | 29,643,225.82 | 45 | 11.38 | 658,738.35 | 6.86 | 358 | 770 | 71.35 | |||||||||||||||||
781 - 800 | 46,928,006.23 | 36 | 18.01 | 1,303,555.73 | 6.298 | 358 | 793 | 63.59 | |||||||||||||||||
801 + | 8,742,960.33 | 7 | 3.36 | 1,248,994.33 | 6.275 | 359 | 809 | 61.76 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average credit score of the Group 2 Loans for which credit scores are available was approximately 738.
Range of Months to Roll
Number of Months | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
32 - 49 | 53,495,942.40 | 74 | 20.53 | 722,918.14 | 6.822 | 358 | 729 | 68.77 | |||||||||||||||||
50 - 55 | 1,955,407.89 | 2 | 0.75 | 977,703.95 | 6.937 | 355 | 677 | 67.73 | |||||||||||||||||
56 - 79 | 64,020,541.27 | 71 | 24.57 | 901,697.76 | 6.756 | 358 | 732 | 68.85 | |||||||||||||||||
80 + | 141,049,204.49 | 128 | 54.14 | 1,101,946.91 | 6.306 | 358 | 745 | 66.41 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average months to roll of the Group 2 Loans was approximately 84 months.
Debt Service Coverage Ratios
Range of Debt Service Coverage Ratios | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Less than 1.14 | 58,110,354.73 | 71 | 22.31 | 818,455.70 | 6.798 | 358 | 758 | 65.69 | |||||||||||||||||
1.14 - 1.19 | 66,534,289.96 | 49 | 25.54 | 1,357,842.65 | 6.403 | 358 | 735 | 71.00 | |||||||||||||||||
1.20 - 1.21 | 48,799,886.69 | 49 | 18.73 | 995,916.05 | 6.214 | 358 | 731 | 67.33 | |||||||||||||||||
1.22 - 1.24 | 23,058,726.35 | 17 | 8.85 | 1,356,395.67 | 6.316 | 356 | 728 | 69.61 | |||||||||||||||||
1.25 - 1.29 | 13,681,578.09 | 23 | 5.25 | 594,851.22 | 6.874 | 359 | 730 | 67.46 | |||||||||||||||||
1.30 - 1.49 | 37,350,441.03 | 41 | 14.34 | 910,986.37 | 6.66 | 358 | 723 | 67.71 | |||||||||||||||||
1.50 — 2.08 | 9,869,418.65 | 17 | 3.79 | 580,554.04 | 6.847 | 359 | 743 | 61.94 | |||||||||||||||||
Greater than 2.09 | 3,116,400.55 | 8 | 1.20 | 389,550.07 | 6.503 | 359 | 765 | 29.35 | |||||||||||||||||
Total/Average/Weighted Average | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average debt service coverage ratio of the Group 2 Loans was approximately 1.22x.
Current Occupancy Rates
Range of Current Occupancy Rates (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
60.00 - 69.99 | 477,886.11 | 2 | 0.18 | 238,943.06 | 7.856 | 358 | 712 | 63.11 | |||||||||||||||||
70.00 - 79.99 | 2,088,624.83 | 4 | 0.80 | 522,156.21 | 7.47 | 358 | 758 | 72.98 | |||||||||||||||||
80.00 - 89.99 | 9,436,389.46 | 19 | 3.62 | 496,652.08 | 7.003 | 358 | 737 | 65.31 | |||||||||||||||||
90.00 - 99.99 | 133,831,994.74 | 88 | 51.37 | 1,520,818.12 | 6.412 | 358 | 739 | 70.04 | |||||||||||||||||
Greater than 100.00 | 114,686,200.91 | 162 | 44.02 | 707,939.51 | 6.6 | 358 | 736 | 64.65 | |||||||||||||||||
Total/Average/Weighted Average | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
As of the Cut-off Date, the weighted average current occupancy rate of the Group 2 Loans was approximately 96.41%.
Number of Units
Range of Number of Units | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
5 - 9 | 29501375.78 | 74 | 11.32 | 398667.24 | 7.095 | 358 | 738 | 63.59 | |||||||||||||||||
10 - 14 | 35008006.62 | 68 | 13.44 | 514823.63 | 6.821 | 358 | 718 | 63.15 | |||||||||||||||||
15 - 24 | 62784948.22 | 65 | 24.10 | 965922.28 | 6.528 | 358 | 747 | 67.93 | |||||||||||||||||
25 - 49 | 57253750.13 | 43 | 21.98 | 1331482.56 | 6.357 | 358 | 735 | 67.68 | |||||||||||||||||
Greater than or equal to 50 | 75,973,015.30 | 25 | 29.16 | 3,038,920.61 | 6.3 | 358 | 740 | 70.56 | |||||||||||||||||
Total/Average/Weighted Average | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
Year Built
Range of Year Built | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Earlier than 1953 | 49,749,963.16 | 75 | 19.10 | 663,332.84 | 6.69 | 357 | 726 | 70.76 | |||||||||||||||||
1954 - 1970 | 110,431,177.18 | 104 | 42.39 | 1,061,838.24 | 6.454 | 358 | 741 | 64.74 | |||||||||||||||||
1971 - 1975 | 24,806,572.84 | 23 | 9.52 | 1,078,546.65 | 6.53 | 358 | 742 | 68.08 | |||||||||||||||||
1976 - 1980 | 9,749,030.33 | 15 | 3.74 | 649,935.36 | 6.572 | 358 | 755 | 68.87 | |||||||||||||||||
1981 - 1985 | 14,800,004.48 | 21 | 5.68 | 704,762.12 | 6.808 | 359 | 738 | 68.26 | |||||||||||||||||
1986 - 1990 | 33,473,126.45 | 20 | 12.85 | 1,673,656.32 | 6.421 | 358 | 727 | 70.92 | |||||||||||||||||
1991 - 1995 | 7,313,568.13 | 8 | 2.81 | 914,196.02 | 6.422 | 359 | 778 | 64.31 | |||||||||||||||||
Greater than 1996 | 10,197,653.48 | 9 | 3.91 | 1,133,072.61 | 6.498 | 358 | 738 | 68.96 | |||||||||||||||||
Total/Average/Weighted Average | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
Renovated
Renovated | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
No | 71,883,507.87 | 130 | 27.59 | 552,950.06 | 7.016 | 358 | 745 | 66.97 | |||||||||||||||||
Yes | 188,637,588.18 | 145 | 72.41 | 1,300,948.88 | 6.342 | 358 | 735 | 67.71 | |||||||||||||||||
Total/Average/Weighted Average | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
Loan Purposes
Loan Purpose | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Credit Score | Weighted Average Original LTV | |||||||||||||||||
Refinance - Cash Out | 103,940,237.40 | 103 | 39.90 | 1,009,128.52 | 6.484 | 358 | 727 | 65.14 | |||||||||||||||||
Purchase | 145,209,801.20 | 161 | 55.74 | 901,924.23 | 6.592 | 358 | 745 | 70.01 | |||||||||||||||||
Refinance - Rate Term | 11,371,057.45 | 11 | 4.36 | 1,033,732.50 | 6.105 | 358 | 737 | 57.13 | |||||||||||||||||
Total: | 260,521,096.05 | 275 | 100.00 | 947,349.44 | 6.528 | 358 | 738 | 67.51 |
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.