Ace Securities Corp. |
The following is a free writing prospectus. The information in this free writing prospectus is preliminary and is subject to completion or change.
Free writing prospectus |
Ace Securities Corp
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$2,451,890,000 (Approximate) |
Home Equity Loan Trust
Series 2006-HE1
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Ace Securities Corp (Depositor)
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[DEUTSCHE BANK LOGO]
February 9, 2006
The analysis in this report is based on information provided by Ace Securities Corp. (the “Depositor”). Investors are urged to read the base prospectus and the prospectus supplement and other relevant documents filed or to be filed with the Securities and Exchange Commission because they contain important information. Such documents may be obtained without charge at the Securities and Exchange Commission's website. Once available, the base prospectus and prospectus supplement may be obtained without charge by contacting Deutsche Bank Securities, Inc. (“DBSI”) toll-free at 1-800 503-4611. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement (collectively, the “Prospectus”). The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted. You should consult your own counsel, accountant, and other advisors as to the legal, tax, business, financial and related aspects of a purchase of these securities.
The attached information contains certain tables and other statistical analyses (the “Computational Materials”) which have been prepared by DBSI in reliance upon information furnished by the Depositor. Numerous assumptions were used in preparing the Computational Materials that may or may not be reflected herein. As such, no assurance can be given as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfalls. The specific characteristics of the securities may differ from those shown in the Computational Materials by a permitted variance of +/- 10% prior to issuance. Neither DBSI nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.
An investor or potential investor in the certificates (and each employee, representative, or other agent of such person or entity) may disclose to any and all persons, without limitation, the tax treatment and tax structure of the transaction (as defined in United States Treasury Regulation Section 1.6011-4) and all related materials of any kind, including opinions or other tax analyses, that are provided to such person or entity. However, such person or entity may not disclose any other information relating to this transaction unless such information is related to such tax treatment and tax structure.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY DBSI AND NOT BY THE ISSUER OF THE SECURITIES OR ANY OF ITS AFFILIATES. DBSI IS ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE PROPOSED TRANSACTION.
FREE WRITING PROSPECTUS DATED February 9, 2006
Ace Securities Corp.
Home Equity Loan Trust, Series 2006-HE1
$2,451,890,000 (Approximate)
Subject to 10% variance
Structure Overview |
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To 10% Optional Termination |
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Class | Approximate Size ($) | Type | WAL (yrs) | Principal Payment Window (months) | Pmt Delay (days) | Interest Accrual Basis | Legal Final Maturity | Expected Ratings S/M/F | |||||||||
Offered Certificates: | |||||||||||||||||
A-1A | $758,705,000 | Float | 2.06 | 1 - 79 | 0 | ACT/360 | February 2036 | AAA / Aaa / AAA |
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A-1B1 | 417,082,000 | Float | 2.09 | 1 - 79 | 0 | ACT/360 | February 2036 | AAA / Aaa / AAA |
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A-1B2 | 104,270,000 | Float | 2.09 | 1 - 79 | 0 | ACT/360 | February 2036 | AAA / Aaa / AAA |
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A-2A | 355,893,000 | Float | 1.00 | 1 - 22 | 0 | ACT/360 | February 2036 | AAA / Aaa / AAA |
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A-2B | 127,296,000 | Float | 2.00 | 22 - 29 | 0 | ACT/360 | February 2036 | AAA / Aaa / AAA |
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A-2C | 88,336,000 | Float | 3.00 | 29 - 60 | 0 | ACT/360 | February 2036 | AAA / Aaa / AAA |
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A-2D | 78,251,000 | Float | 6.22 | 60 - 79 | 0 | ACT/360 | February 2036 | AAA / Aaa / AAA |
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M-1 | 101,370,000 | Float | 5.01 | 49 - 79 | 0 | ACT/360 | February 2036 | AA+ / Aa1 / AA+ |
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M-2 | 92,500,000 | Float | 4.79 | 45 - 79 | 0 | ACT/360 | February 2036 | AA+ / Aa2 / AA+ |
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M-3 | 57,021,000 | Float | 4.68 | 43 - 79 | 0 | ACT/360 | February 2036 | AA / Aa3 / AA |
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M-4 | 48,151,000 | Float | 4.62 | 42 - 79 | 0 | ACT/360 | February 2036 | AA / A1 / AA |
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M-5 | 45,617,000 | Float | 4.58 | 41 - 79 | 0 | ACT/360 | February 2036 | AA- / A2 / AA- |
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M-6 | 41,815,000 | Float | 4.55 | 40 - 79 | 0 | ACT/360 | February 2036 | A+ / A3 / A+ |
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M-7 | 40,548,000 | Float | 4.52 | 39 - 79 | 0 | ACT/360 | February 2036 | A / Baa1 / A |
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M-8 | 36,747,000 | Float | 4.50 | 39 - 79 | 0 | ACT/360 | February 2036 | A / Baa2 / A |
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M-9 | 26,610,000 | Float | 4.48 | 38 - 79 | 0 | ACT/360 | February 2036 | BBB+ / Baa3 / BBB+ |
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M-10 | 31,678,000 | Float | 4.47 | 38 - 79 | 0 | ACT/360 | February 2036 | BBB / Ba1 / BBB |
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Total Certificates | $2,451,890,000 |
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Pricing Speed
Fixed-Rate Mortgage Loans |
| 100% PPC (4% CPR growing to 23% CPR over 12 months ) |
Adjustable-Rate |
| 100% PPC (5% CPR in month 1, an additional 2% CPR for each month thereafter, building to 27% CPR in month 12 and remaining constant at 27% CPR until month 23, increasing to and remaining constant at 60% CPR from month 24 until month 27 and decreasing and remaining constant at 30% CPR from month 28 and thereafter; provided, however, the prepayment rate will not exceed 85% CPR per annum in any period for any percentage of PPC) |
Transaction Overview |
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| Certificates: | The Class A-1A Certificates and the Class A-1B1 and Class A-1B2 Certificates (collectively, the “Class A-1B Certificates” and together with the Class A-1A Certificates , the “Class A-1 Certificates”) and the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates (collectively, the “Class A-2 Certificates” and together with the Class A-1 Certificates, the “Senior Certificates” or “Class A Certificates”), and the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, and Class M-10 Certificates (collectively, the “Mezzanine Certificates”). The Class A-1 Certificates are backed by conforming principal balance fixed-rate and adjustable-rate first and second lien mortgage loans (“Group I Mortgage Loans”) and the Class A-2 Certificates are backed by fixed-rate and adjustable-rate first and second lien mortgage loans with conforming and non-conforming balances (“Group II Mortgage Loans”). | |
| Transaction Overview |
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| Certificates | The Group I Mortgage Loans will be further divided into 2 groups, the Group IA Mortgage Loans and the Group IB Mortgage Loans. The Mezzanine Certificates are backed by the Group I Mortgage Loans and Group II Mortgage Loans (collectively, the “Mortgage Loans”). The Senior Certificates along with the Mezzanine Certificates are also referred to herein collectively as the “Offered Certificates.” The pass-through rates on the Class A-1 Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate. The pass-through rates on the Class A-2 Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate. The pass-through rates on the Mezzanine Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate. | ||||||||
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| Collateral: | As of the Cut-off Date, the Mortgage Loans will consist of approximately [12,403] adjustable-rate and fixed-rate, first and second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of all of the Mortgage Loans is approximately $[2,534,251,921] as of the Cut-off Date subject to a permitted variance of +/- 10%. The Mortgage Loans will be separated into three groups. The Group IA Mortgage Loans will represent approximately [6,040] conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $[996,329,489], the Group IB Mortgage Loans will represent approximately [3,526] conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $[684,638,173] and the Group II Mortgage Loans will represent approximately [2,837] conforming and non-conforming principal balance fixed and adjustable-rate Mortgage Loans totaling approximately $[853,284,260]. | ||||||||
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Class A Certificates: | Class A-1A, Class A-1B1, Class A-1B2, Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates |
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Class M Certificates: | Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates |
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| Depositor: | Ace Securities Corp. (“Ace”) |
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| Originators: | Originator | Aggregate Remaining Principal Balance ($) | % of Aggregate Remaining Principal Balance |
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| Fremont Investment and Loan | $1,919,813,424 | 75.75% |
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| OwnIt Mortgage | 274,129,264 | 10.82 |
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| Other | 340,309,233 | 13.43 |
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| Total | $2,534,251,921 | 100.00% |
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| Master Servicer: | Wells Fargo Bank, National Association |
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| Servicers: | Wells Fargo Bank, National Association (“Wells Fargo”) (approximately 82.97%) and Ocwen Loan Servicing, LLC (“Ocwen”) (approximately 17.03%). |
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| Credit Enhancer for the Class A-1B2 Certificates: | TBD |
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| Trustee: | HSBC Bank USA, National Association |
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| Custodians: | Wells Fargo Bank, National Association and Deutsche Bank National Trust Company |
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| Credit Risk Manager: | Clayton Fixed Income Services Inc. (formerly known as “The Murrayhill Company”) |
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| Underwriter: | Deutsche Bank Securities Inc. |
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| Swap Provider: | TBD |
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Cut-off Date: | February 1, 2006 |
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| Expected Pricing: | Week of February 13, 2006 |
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| Expected Closing Date: | On or about February 28, 2006 |
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Record Date: | The Record Date for the Certificates will be the business day immediately preceding the related Distribution Date. |
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| Transaction Overview (Cont.) |
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Distribution Date: | 25th day of each month (or the next business day if such day is not a business day) commencing in March 2006. |
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Determination Date: | The Determination Date with respect to any Distribution Date is (i) with respect to Wells Fargo, the business day immediately preceding the applicable Servicer Remittance Date and (ii) with respect to Ocwen, the 15th day of the month in which the related Distribution Date occurs, or if such 15th day is not a business day, the business day immediately preceding such 15th day. |
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Servicer Remittance Date: | With respect to any Distribution Date, the 22nd day of the month in which such Distribution Date occurs; provided that if such 22nd day of a given month is not a business day, the Servicer Remittance Date for such month shall be the business day immediately following such 22nd day. |
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Due Period: | The Due Period with respect to any Distribution Date commences on the second day of the month immediately preceding the month in which such Distribution Date occurs and ends on the first day of the month in which such Distribution Date occurs. |
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Prepayment Period: | The Prepayment Period with respect to any Distribution Date shall be (i) with respect to Wells Fargo, for principal prepayments in full, the period from the 14th day of the month immediately preceding the month in which the Distribution Date occurs to the 13th day of the month in which the Distribution Date occurs and for principal prepayments in part, the calendar month immediately preceding the month in which the Distribution Date occurs and (ii) with respect to Ocwen, the period beginning on the 15th day of the month preceding the month in which the related Distribution Date occurs and ending on the 14th of the month in which such Distribution Date occurs with respect to prepayments in full and in part. |
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Interest Accrual Period: | Interest will initially accrue on all Certificates from the Closing Date to (but excluding) the first Distribution Date, and thereafter, from the prior Distribution Date to (but excluding) the current Distribution Date on an actual/360 basis. The Certificates will initially settle flat (no accrued interest). |
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Interest Distribution Amount: | For the Certificates of any class on any Distribution Date is equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of that class immediately prior to such Distribution Date at the then applicable pass-through rate for such class, and reduced (to not less than zero), in the case of each such class, by the allocable share, if any, for such class of prepayment interest shortfalls to the extent not covered by Compensating Interest paid by the Master Servicer or the Servicers and shortfalls resulting from the application of the Servicemembers’ Civil Relief Act or similar state or local laws. |
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Senior Interest Distribution Amount: | For the Class A Certificates on any Distribution Date is an amount equal to the sum of the Interest Distribution Amount for such Distribution Date for each such class and the Interest Carry Forward Amount, if any, for such Distribution Date for each such class. |
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Administration Fee Rate: | The Master Servicer, Servicers and Credit Risk Manager will be paid monthly fees on the outstanding principal balance of the Mortgage Loans. These fees initially aggregate to a weighted average cost of approximately 0.5135% for the Mortgage Loans. |
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Compensating Interest: | Each Servicer will be required to cover Prepayment Interest Shortfalls on prepayments in full on the Mortgage Loans serviced by such Servicer up to the Servicing Fee payable to such Servicer. If a Servicer fails to make any required Compensating Interest payment, the Master Servicer will be required to do so up to the Master Servicing Fee. |
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| Prepayment | Interest shortfalls attributable to voluntary principal prepayments on the Mortgage Loans. | ||||||
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| Class A-1B2 | It is anticipated that the Class A-1B2 Certificates will have the benefit of a financial guaranty insurance policy pursuant to which the Credit Enhancer, in consideration of the payment of a premium and subject to the terms of the financial guaranty insurance policy, unconditionally and irrevocably will guarantee the timely payment of interest and the ultimate payment of principal on the Class A-1B2 Certificates on each Distribution Date. The Class A-1B2 Financial Guaranty Insurance Policy will not be cancelable for any reason. | ||||||
| Transaction Overview (Cont.) |
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| Optional | On any Distribution Date on which the aggregate outstanding principal balance of the Mortgage Loans as of the related determination date is less than or equal to 10% of the aggregate outstanding principal balance of the Mortgage Loans as of the Cut-off Date, the Master Servicer may repurchase all of the Mortgage Loans and REO properties remaining in the trust, causing an early retirement of the Certificates, but is not required to do so. | |||||||
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| Monthly Servicer Advances: | Each Servicer will collect monthly payments of principal and interest on the Mortgage Loans serviced by such Servicer and will be obligated to make advances of delinquent monthly principal and interest payments. The Servicers are required to advance delinquent payments of principal and interest on the related Mortgage Loans only to the extent such amounts are deemed recoverable. If a Servicer fails to make any such advance, the Master Servicer will be required to do so subject to its determination of recoverability. The Servicers and the Master Servicer are entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement. |
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| Credit Enhancement: | 1) Excess Interest; 2) Net Swap Payments received from the Swap Provider (if any); 3) Overcollateralization (“OC”); 4) Subordination; and 5) In the case of the Class A-1B2 Certificates, it is anticipated that a financial guaranty insurance policy will be provided by a Credit Enhancer to be determined later. |
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| Allocation of Losses: | Any Realized Losses on the Mortgage Loans will be allocated on any Distribution Date, first, to Net Monthly Excess Cashflow, second, to the Class CE Certificates, third, to the Class M-10 Certificates, fourth, to the Class M-9 Certificates, fifth, to the Class M-8 Certificates, sixth, to the Class M-7 Certificates, seventh, to the Class M-6 Certificates, eighth, to the Class M-5 Certificates, ninth, to the Class M-4 Certificates, tenth, to the Class M-3 Certificates, eleventh, to the Class M-2 Certificates, and twelfth, to the Class M-1 Certificates. There will be no allocation of Realized Losses to the Class A Certificates. Investors in the Class A Certificates should note, however, that although Realized Losses cannot be allocated to such Certificates, under certain loss scenarios there may not be enough principal and interest on the Mortgage Loans to distribute to the holders of the Class A Certificates all principal and interest amounts to which they are then entitled; provided, however that the Class A-1B2 Certificates will have the benefit of the financial guaranty insurance policy which will cover certain shortfalls in interest and principal amounts payable to the Class A-1B2 Certificates.
Once Realized Losses have been allocated to the Mezzanine Certificates, such amounts with respect to such Certificates will no longer accrue interest and such amounts will not be reinstated thereafter. However, the amount of any Realized Losses allocated to the Mezzanine Certificates may be distributed to such certificates on a subordinated basis on any Distribution Date from Net Monthly Excess Cashflow, if any, is available for such distribution and any Net Swap Payments paid by the Swap Provider. | |||||||
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Required Overcollateralization Amount: | Overcollateralization refers to the amount by which the aggregate principal balance of the Mortgage Loans exceeds the Certificate Principal Balance of the Certificates. This excess (the “Overcollateralization Amount”) is intended to protect the certificateholders against shortfalls in payments on the Certificates. The Required Overcollateralization Amount for the Certificates, which will be fully established at issuance, is anticipated to be approximately 3.25% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. On or after the Stepdown Date and provided that a trigger event is not in effect, the Required Overcollateralization Amount may be permitted to decrease to approximately 6.50% of the aggregate principal balance of the Mortgage Loans as of the end of such Due Period, subject to a floor amount of approximately 0.50% of the aggregate outstanding principal balance as of the Cut-off Date. If, due to losses, the Overcollateralization Amount is reduced below the Required Overcollateralization Amount, excess spread, if any, is available will be paid to the Certificates then entitled to receive distributions in respect of principal in order to reduce the Certificate Principal Balance of such Certificates to the extent necessary to reach the Required Overcollateralization Amount. |
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| Transaction Overview (Cont.) |
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Overcollateralization Increase Amount: | An Overcollateralization Increase Amount for any Distribution Date is the amount of Net Monthly Excess Cashflow actually applied as an accelerated payment of principal to the extent the Required Overcollateralization Amount exceeds the current Overcollateralization Amount. |
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Overcollateralization Reduction Amount: | An Overcollateralization Reduction Amount for any Distribution Date is the amount by which the current Overcollateralization Amount exceeds the Required Overcollateralization Amount after taking into account all other distributions to be made on the Distribution Date limited to the distribution of principal on the Mortgage Loans. |
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Stepdown Date: | Is the earlier of (i) the first Distribution Date on which the Certificate Principal Balances of the Class A Certificates have been reduced to zero and (ii) the later to occur of (x) the Distribution Date occurring in March 2009 and (y) the first Distribution Date on which the Credit Enhancement Percentage (calculated for this purpose only after taking into account distributions of principal on the Mortgage Loans, but prior to any distribution of principal to the holders of the Certificates) is equal to or greater than approximately 47.70%. |
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Credit Enhancement Percentage: | The Credit Enhancement Percentage for any class and any Distribution Date is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the class or classes subordinate thereto (which includes the Overcollateralization Amount) by (y) the aggregate principal balance of the Mortgage Loans, calculated after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period and distribution of the Principal Distribution Amount to the holders of the Certificates then entitled to distributions of principal on the Distribution Date.
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| Class | (S / M / F) | Initial CE % | CE % On/After Step Down Date | |||||||||||
| A | AAA/Aaa/AAA | 23.85% | 47.70% |
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| M-1 | AA+/Aa1/AA+ | 19.85% | 39.70% |
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| M-2 | AA+/Aa2/AA+ | 16.20% | 32.40% |
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| M-3 | AA/Aa3/AA | 13.95% | 27.90% |
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| M-4 | AA/A1/AA | 12.05% | 24.10% |
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| M-5 | AA-/A2/AA- | 10.25% | 20.50% |
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| M-6 | A+/A3/A+ | 8.60% | 17.20% |
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| M-7 | A/Baa1/A | 7.00% | 14.00% |
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| M-8 | A/Baa2/A | 5.55% | 11.10% |
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| M-9 | BBB+/Baa3/BBB+ | 4.50% | 9.00% |
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| M-10 | BBB/Ba1/BBB | 3.25% | 6.50% |
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Net Monthly Excess Cashflow: | For any Distribution Date is equal to the sum of (i) any Overcollateralization Reduction Amount and (ii) the excess of the Available Distribution Amount, net of any Net Swap Payment and the Swap Termination Payment, if any, required to be made by the Securities Administrator, on behalf of the supplemental interest trust (described below), to the Swap Provider under the Swap Agreement, over the sum of (w) with respect to the Class A Certificates, the Senior Interest Distribution Amount for such Distribution Date, (x) with respect to the Mezzanine Certificates, the Interest Distribution Amount for such Distribution Date and (y) the amount of principal required to be distributed to the holders of the Certificates on such Distribution Date. |
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Transaction Overview (Cont.) |
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| Net WAC Pass-Through Rate: | Class A-1A, Class A-1B and Class A-2 Certificates: The per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to a fraction, expressed as a percentage, the numerator of which is the amount of interest which accrued on the Mortgage Loans in the related loan group in the prior calendar month minus the fees payable to the Servicers and the Credit Risk Manager with respect to the related Mortgage Loans for such Distribution Date, the Group IA Allocation Percentage, Group IB Allocation Percentage or Group II Allocation Percentage, as applicable, of any Net Swap Payment or Swap Termination Payment made to the Swap Provider for such Distribution Date, and the Class A-1B2 Financial Guaranty Insurance Policy premium, and the denominator of which is the aggregate principal balance of the Mortgage Loans in the related loan group as of the last day of the immediately preceding Due Period (or as of the Cut-off Date with respect to the first Distribution Date), after giving effect to principal prepayments received during the related Prepayment Period.
Mezzanine Certificates: The per annum rate equal to (x) the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group, the certificate principal balance of the related Class A Certificates), of (i) the Net WAC Pass-Through Rate for the Class A-1A Certificates, (ii) the Net WAC Pass-Through Rate for the Class A-1B Certificates and (iii) the Net WAC Pass-Through Rate for the Class A-2 Certificates.
Group IA Allocation Percentage: The aggregate principal balance of the Group IA Mortgage Loans divided by the sum of the aggregate principal balance of the Group IA Mortgage Loans, the Group IB Mortgage Loans and the Group II Mortgage Loans.
Group IB Allocation Percentage: The aggregate principal balance of the Group IB Mortgage Loans divided by the sum of the aggregate principal balance of the Group IA Mortgage Loans, the Group IB Mortgage Loans and the Group II Mortgage Loans.
Group II Allocation Percentage: The aggregate principal balance of the Group II Mortgage Loans divided by the sum of the aggregate principal balance of the Group IA Mortgage Loans, the Group IB Mortgage Loans and the Group II Mortgage Loans. | |||
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| Net WAC Rate Carryover Amount: | On any Distribution Date the “Net WAC Rate Carryover Amount” will be equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on such class based on one month LIBOR plus the related margin over (b) the amount of interest accrued on such class based on the related Net WAC Pass-Through Rate and (ii) the unpaid portion of any related Net WAC Rate Carryover Amount from the prior Distribution Date together with accrued interest on such unpaid portion of one month LIBOR plus the related margin for the most recently ended Interest Accrual Period. Any Net WAC Rate Carryover Amount will be paid on such Distribution Date or future Distribution Dates to the extent of funds available. The Net WAC Rate Carryover Amount will be distributed from certain amounts received by the Securities Administrator, on behalf of the supplemental interest trust (described below), under the Swap Agreement, if any, and from the Net Monthly Excess Cashflow on a subordinated basis on the same Distribution Date or on any subsequent Distribution Date to the extent of available funds. The ratings on each class of Certificates do not address the likelihood of the payment of any Net WAC Rate Carryover Amount from Net Monthly Excess Cashflow. | |||
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Transaction Overview (Cont.) | ||
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Swap Agreement: | On the Closing Date, the Trustee will enter into a Swap Agreement with the Swap Provider as described in the prospectus supplement. The Swap Agreement will have an initial notional amount of $2,534,251,920. Under the Swap Agreement, the Trust (through a supplemental interest trust) will be obligated to pay an amount equal to [4.76]% per annum on the notional amount as set forth in the Swap Agreement to the Swap Provider and the Swap Provider will be obligated to pay to the supplemental interest trust, for the benefit of the holders of the Offered Certificates, an amount equal to one-month LIBOR on the notional amount as set forth in the Swap Agreement until the Swap Agreement is terminated. Only the net amount of the two obligations will be paid by the appropriate party (the “Net Swap Payment”). See the attached schedule. A separate trust created under the pooling and servicing agreement (the “Supplemental Interest Trust”) will hold the Swap Agreement. The Swap Agreement and any payments made by the Swap Provider thereunder will be assets of the Supplemental Interest Trust but will not be assets of any REMIC. Upon early termination of the Swap Agreement, the Supplemental Interest Trust or the Swap Provider may be liable to make a termination payment (the ‘‘Swap Termination Payment’’) to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Swap Agreement. In the event that the Securities Administrator, on behalf of the Supplemental Interest Trust, is required to make a Swap Termination Payment, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, and, if such Swap Termination Payment is not due as a result of the occurrence of a Swap Provider Trigger Event (as defined in the Swap Agreement), such payment will be prior to distributions to Certificateholders. | |
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Available Distribution Amount: | For any Distribution Date, net of the administrative fees, an amount equal to (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due on the related Due Date and received on or prior to the related Determination Date; (ii) unscheduled payments in respect of the Mortgage Loans (including prepayments, insurance proceeds, liquidation proceeds, subsequent recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the Prepayment Period or proceeds from the repurchase of the Mortgage Loans due to the Optional Termination of the Trust); (iii) all P&I Advances with respect to the Mortgage Loans received for the Distribution Date; and (iv) all Compensating Interest paid by the Servicers or the Master Servicer in respect of Prepayment Interest Shortfalls for the related Due Period. | |
| Transaction Overview (Cont.) | ||||
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Class A Principal Distribution Amount: | Until the Stepdown Date, or if a Trigger Event occurs, the Class A Certificates will receive the principal collected on the Mortgage Loans plus any excess interest required to maintain the Required Overcollateralization Amount until the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event occurs, principal paid on the Class A Certificates will be an amount such that the Class A Certificates will maintain approximately a 47.70% Credit Enhancement Percentage (2x the Class A Initial Credit Enhancement Percentage).
The Class A Principal Distribution Amount will generally be distributed to the holders of the Class A-1 Certificates and the Class A-2 Certificates concurrently, on a pro rata basis, based on the related Class A principal allocation percentage (for any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the principal remittance amount for the Group IA Mortgage Loans (in the case of the Class A-1A Certificates), the principal remittance amount for the Group IB Mortgage Loans (in the case of the Class A-1B Certificates) or the principal remittance amount for the Group II Mortgage Loans (in the case of the Class A-2 Certificates) and the denominator of which is equal to the principal remittance amount for all of the Mortgage Loans) for each such class for such Distribution Date.
Principal distributions to the Class A-1B Certificates will be allocated on a pro rata basis, based on the Certificate Principal Balance of each such class, with the exception that if a Sequential Trigger Event is in effect, principal distributions will be allocated sequentially, to the Class A-1B1 and Class A-1B2 Certificates, in that order, in each case until the Certificate Principal Balance of each such class has been reduced to zero.
Principal distributions to the Class A-2 Certificates will be allocated sequentially to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; provided, however, on any Distribution Date on which the aggregate Certificate Principal Balance of the Mezzanine Certificates has been reduced to zero, all principal distributions will be distributed to the Class A-2 Certificates on a pro rata basis, based on the Certificate Principal Balance of each such class, until the Certificate Principal Balance of each such class has been reduced to zero. | ||||
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| Class M Principal Distribution Amount: | The Mezzanine Certificates will not receive any principal payments until the Stepdown Date. On or after the Stepdown Date (if no Trigger Event occurs), principal will be paid to the Mezzanine Certificates, first to the Class M-1 Certificates until it reaches approximately a 39.70% Credit Enhancement Percentage (2x the Class M-1 Initial Credit Enhancement Percentage), second to the Class M-2 Certificates until it reaches approximately a 32.40% Credit Enhancement Percentage (2x the Class M-2 Initial Credit Enhancement Percentage), third to the Class M-3 Certificates until it reaches approximately a 27.90% Credit Enhancement Percentage (2x the Class M-3 Initial Credit Enhancement Percentage), fourth to the Class M-4 Certificates until it reaches approximately a 24.10% Credit Enhancement Percentage (2x the Class M-4 Initial Credit Enhancement Percentage), fifth to the Class M-5 Certificates until it reaches approximately a 20.50% Credit Enhancement Percentage (2x the Class M-5 Initial Credit Enhancement Percentage), sixth to the Class M-6 Certificates until it reaches approximately a 17.20% Credit Enhancement Percentage (2x the Class M-6 Initial Credit Enhancement Percentage), seventh to the Class M-7 Certificates until it reaches approximately a 14.00% Credit Enhancement Percentage (2x the Class M-7 Initial Credit Enhancement Percentage), eighth to the Class M-8 Certificates until it reaches approximately a 11.10% Credit Enhancement Percentage (2x the Class M-8 Initial Credit Enhancement Percentage), ninth to the Class M-9 Certificates until it reaches approximately a 9.00% Credit Enhancement Percentage (2x the Class M-9 Initial Credit Enhancement Percentage), and tenth to the Class M-10 Certificates until it reaches approximately a 6.50% Credit Enhancement Percentage (2x the Class M-10 Initial Credit Enhancement Percentage). | |||
| Transaction Overview (Cont.) | ||||||
Class M Principal Distribution Amount (continued): |
If a Trigger Event occurs, principal payments will be paid first to the Class A Certificates in the manner and order of priority described under "Class A Principal Distribution Amount", in each case until the Certificate Principal Balance of each such class has been reduced to zero and, then sequentially to the Mezzanine Certificates in their order of seniority, in each case until the Certificate Principal Balance of each such class has been reduced to zero. |
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| Coupon Step-up: | On the Distribution Date following the first possible optional termination date, the margins on the Class A Certificate and the Mezzanine Certificates will increase to the following, subject to the applicable Net WAC Pass-Through Rate. |
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| Class | After Optional Termination |
| A | 2 x Margin |
| M | The lesser of 1.5 x Margin and Margin plus 0.50% |
Sequential Trigger Event: | A Sequential Trigger Event is in effect on any Distribution Date if, before the 25th Distribution Date, the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Due Period (after giving effect to scheduled payments received or advanced on or before the related Determination Date and principal prepayments received during the related Prepayment Period) divided by the sum of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds 1.70%, or if, on or after the 25th Distribution Date, a Trigger Event is in effect. |
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Trigger Event: | If either the Delinquency Test or Cumulative Loss Test is violated. | ||
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Delinquency Test: | The determination on any Distribution Date that the percentage obtained by dividing (x) the principal amount of (1) Mortgage Loans delinquent 60 days or more, (2) Mortgage Loans in foreclosure, (3) REO Properties and (4) Mortgage Loans discharged due to bankruptcy by (y) the aggregate principal balance of the Mortgage Loans, in each case, as of the last day of the previous calendar month, exceeds 36.00% of the Credit Enhancement Percentage. | ||
Cumulative Loss Test: | The determination on any Distribution Date that the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Due Period divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages set forth below with respect to such Distribution Date: | ||
| Distribution Date Occurring in | Percentage |
| March 2008 to February 2009 | 1.70 %, plus 1/12th of 2.10 % for each month thereafter |
| March 2009 to February 2010 | 3.80 %, plus 1/12th of 2.15 % for each month thereafter |
| March 2010 to February 2011 | 5.95 %, plus 1/12th of 1.70 % for each month thereafter |
| March 2011 to February 2012 | 7.65 %, plus 1/12th of 0.45 % for each month thereafter |
| March 2012 and thereafter | 8.10% |
Transaction Overview (Cont.) |
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| Payment Priority: | On each Distribution Date, the Available Distribution Amount will be distributed as follows: 1. To the Supplemental Interest Trust to pay any Net Swap Payment or the Swap Termination Payment (not caused by a Swap Provider Trigger Event (as defined in the Swap Agreement)) owed to the Swap Provider. 2. To pay the premium due in connection with the Class A-1B2 Financial Guaranty Insurance Policy. 3. To pay interest to the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date, and then to pay interest excluding any accrued unpaid interest from a prior Distribution Date to the Mezzanine Certificates, on a sequential basis. 4. To pay principal to the Class A Certificates in accordance with the principal payment provisions described above. 5. To pay principal to the Mezzanine Certificates in accordance with the principal payment provisions described above. 6. From excess interest, if any, to the Certificates then entitled to receive distributions in respect of principal in order to reduce the Certificate Principal Balance of the Certificates to the extent necessary to maintain the Required Overcollateralization Amount. 7. From excess interest, if any, to pay the Interest Carry Forward Amounts on the Mezzanine Certificates, on a sequential basis. 8. From excess interest, if any, to pay the allocated Realized Losses on the Mezzanine Certificates, on a sequential basis. 9. From excess interest, if any, to pay the Net WAC Rate Carryover Amount on the Class A Certificates and the Mezzanine Certificates in the same order of priority as described in 2 above. 10. From excess interest, if any, to pay the Swap Termination Payment (caused by a Swap Provider Trigger Event) owed to the Swap Provider. 11. To pay any remaining amount to the Class CE, Class P and Class R Certificates in accordance with the pooling and servicing agreement.
Any Net Swap Payments on deposit in the Supplemental Interest Trust will be paid as follows: 1. To pay any Net Swap Payment or the Swap Termination Payment (not caused by a Swap Provider Trigger Event (as defined in the Swap Agreement)) owed to the Swap Provider. 2. To pay any unpaid interest on the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date and then to pay any unpaid interest including any accrued unpaid interest from prior Distribution Dates to the Mezzanine Certificates, sequentially. 3. To pay the Net WAC Rate Carryover Amount on the Class A Certificates and Mezzanine Certificates remaining unpaid in the same order of priority as described above. 4. To pay any principal first, on the Class A Certificates, pro rata, and second, on the Mezzanine Certificates, sequentially, in accordance with the principal payment provisions described above in an amount necessary to maintain the Required Overcollateralization Amount. 5. To pay any allocated Realized Losses remaining unpaid on the Mezzanine Certificates, sequentially. 6. To pay the Swap Termination Payment (caused by a Swap Provider Trigger Event under the Swap Agreement) owed to the Swap Provider. 7. To pay any remaining amount to the Class CE Certificates.
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Transaction Overview (Cont.) |
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| ERISA: | It is expected that the Offered Certificates may be purchased by, or with the assets of, employee benefit plans subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) or plans or arrangements subject to section 4975 of the Internal Revenue Code (each, a “Plan”). Prior to the termination of the Supplemental Interest Trust, Plans or persons using assets of a Plan may purchase the Offered Certificates if the purchase and holding meets the requirements of an investor-based class exemption issued by the Department of Labor. Investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of a Plan’s acquisition and ownership of such certificates. | |
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| Taxation – REMIC: | One or more REMIC elections will be made for designated portions of the Trust (exclusive of certain shortfall payments or payments from the Supplemental Interest Trust or the obligation to make payments to the Supplemental Interest Trust pursuant to the Swap Agreement). | |
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| Form of Registration: | Book-entry form through DTC, Clearstream and Euroclear. | |
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| Minimum Denominations: | $25,000 and integral multiples of $1 in excess thereof. | |
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Swap Schedule
Distribution Date | Notional Schedule ($) |
3/25/2006 | 2,534,251,920 |
4/25/2006 | 2,493,691,324 |
5/25/2006 | 2,446,382,042 |
6/25/2006 | 2,392,464,043 |
7/25/2006 | 2,332,132,382 |
8/25/2006 | 2,265,639,630 |
9/25/2006 | 2,193,314,541 |
10/25/2006 | 2,115,631,836 |
11/25/2006 | 2,033,420,756 |
12/25/2006 | 1,948,806,816 |
1/25/2007 | 1,867,469,262 |
2/25/2007 | 1,789,533,338 |
3/25/2007 | 1,714,839,674 |
4/25/2007 | 1,643,272,213 |
5/25/2007 | 1,574,699,471 |
6/25/2007 | 1,508,995,570 |
7/25/2007 | 1,446,010,937 |
8/25/2007 | 1,385,265,027 |
9/25/2007 | 1,325,021,243 |
10/25/2007 | 1,261,183,478 |
11/25/2007 | 1,168,982,172 |
12/25/2007 | 992,391,117 |
1/25/2008 | 843,921,997 |
2/25/2008 | 723,404,776 |
3/25/2008 | 637,341,884 |
4/25/2008 | 606,763,495 |
5/25/2008 | 579,100,322 |
6/25/2008 | 552,717,699 |
7/25/2008 | 527,573,554 |
8/25/2008 | 503,590,654 |
9/25/2008 | 480,714,380 |
10/25/2008 | 458,893,333 |
11/25/2008 | 438,078,298 |
12/25/2008 | 418,222,109 |
1/25/2009 | 399,280,584 |
2/25/2009 | 381,210,364 |
3/25/2009 | 363,970,751 |
4/25/2009 | 347,523,129 |
5/25/2009 | 331,830,635 |
6/25/2009 | 316,858,088 |
7/25/2009 | 302,572,171 |
8/25/2009 | 288,940,786 |
9/25/2009 | 275,933,508 |
10/25/2009 | 263,521,375 |
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Sensitivity Table
To 10% Call
| Fixed>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC |
| Arm>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC |
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A-1A | Avg Life | 20.45 | 4.05 | 2.06 | 1.38 | 1.13 |
| First Payment Date | Mar-06 | Mar-06 | Mar-06 | Mar-06 | Mar-06 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-09 | Apr-08 |
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A-1B1 | Avg Life | 20.72 | 4.07 | 2.09 | 1.41 | 1.16 |
| First Payment Date | Mar-06 | Mar-06 | Mar-06 | Mar-06 | Mar-06 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-09 | Apr-08 |
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A-1B2 | Avg Life | 20.72 | 4.07 | 2.09 | 1.41 | 1.16 |
| First Payment Date | Mar-06 | Mar-06 | Mar-06 | Mar-06 | Mar-06 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-09 | Apr-08 |
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A-2A | Avg Life | 15.43 | 1.57 | 1.00 | 0.83 | 0.67 |
| First Payment Date | Mar-06 | Mar-06 | Mar-06 | Mar-06 | Mar-06 |
| Last Payment Date | Sep-28 | Mar-09 | Dec-07 | Sep-07 | May-07 |
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A-2B | Avg Life | 24.26 | 4.04 | 2.00 | 1.74 | 1.48 |
| First Payment Date | Sep-28 | Mar-09 | Dec-07 | Sep-07 | May-07 |
| Last Payment Date | Jun-32 | Sep-11 | Jul-08 | Jan-08 | Oct-07 |
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A-2C | Avg Life | 27.72 | 7.40 | 3.00 | 2.04 | 1.78 |
| First Payment Date | Jun-32 | Sep-11 | Jul-08 | Jan-08 | Oct-07 |
| Last Payment Date | Feb-35 | Nov-15 | Feb-11 | Jun-08 | Jan-08 |
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A-2D | Avg Life | 29.58 | 11.98 | 6.22 | 2.65 | 1.99 |
| First Payment Date | Feb-35 | Nov-15 | Feb-11 | Jun-08 | Jan-08 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-09 | Apr-08 |
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M-1 | Avg Life | 27.77 | 8.27 | 5.01 | 4.89 | 3.47 |
| First Payment Date | Jun-30 | Jan-10 | Mar-10 | Feb-09 | Apr-08 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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M-2 | Avg Life | 27.77 | 8.27 | 4.79 | 4.96 | 3.56 |
| First Payment Date | Jun-30 | Jan-10 | Nov-09 | Nov-10 | Aug-09 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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M-3 | Avg Life | 27.77 | 8.27 | 4.68 | 4.61 | 3.35 |
| First Payment Date | Jun-30 | Jan-10 | Sep-09 | Jun-10 | Apr-09 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
Sensitivity Table
To 10% Call (Continued)
| Fixed>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC |
| Arm>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC |
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M-4 | Avg Life | 27.77 | 8.27 | 4.62 | 4.35 | 3.15 |
| First Payment Date | Jun-30 | Jan-10 | Aug-09 | Feb-10 | Jan-09 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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M-5 | Avg Life | 27.77 | 8.27 | 4.58 | 4.17 | 3.02 |
| First Payment Date | Jun-30 | Jan-10 | Jul-09 | Dec-09 | Nov-08 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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M-6 | Avg Life | 27.77 | 8.27 | 4.55 | 4.04 | 2.93 |
| First Payment Date | Jun-30 | Jan-10 | Jun-09 | Oct-09 | Oct-08 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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M-7 | Avg Life | 27.77 | 8.27 | 4.52 | 3.94 | 2.85 |
| First Payment Date | Jun-30 | Jan-10 | May-09 | Aug-09 | Aug-08 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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M-8 | Avg Life | 27.77 | 8.27 | 4.50 | 3.87 | 2.80 |
| First Payment Date | Jun-30 | Jan-10 | May-09 | Jul-09 | Jul-08 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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M-9 | Avg Life | 27.77 | 8.27 | 4.48 | 3.81 | 2.75 |
| First Payment Date | Jun-30 | Jan-10 | Apr-09 | Jun-09 | Jul-08 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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M-10 | Avg Life | 27.77 | 8.27 | 4.47 | 3.77 | 2.72 |
| First Payment Date | Jun-30 | Jan-10 | Apr-09 | May-09 | Jun-08 |
| Last Payment Date | Nov-35 | Oct-18 | Sep-12 | Feb-11 | Sep-09 |
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Sensitivity Table
To Maturity
| Fixed>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC |
| Arm>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC |
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A-1A | Avg Life | 20.45 | 4.35 | 2.25 | 1.38 | 1.13 |
| First Payment Date | Mar-06 | Mar-06 | Mar-06 | Mar-06 | Mar-06 |
| Last Payment Date | Nov-35 | Sep-31 | Mar-21 | Feb-09 | Apr-08 |
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A-1B1 | Avg Life | 20.72 | 4.37 | 2.28 | 1.41 | 1.16 |
| First Payment Date | Mar-06 | Mar-06 | Mar-06 | Mar-06 | Mar-06 |
| Last Payment Date | Nov-35 | Nov-31 | Apr-21 | Feb-09 | Apr-08 |
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A-1B2 | Avg Life | 20.72 | 4.37 | 2.28 | 1.41 | 1.16 |
| First Payment Date | Mar-06 | Mar-06 | Mar-06 | Mar-06 | Mar-06 |
| Last Payment Date | Nov-35 | Nov-31 | Apr-21 | Feb-09 | Apr-08 |
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A-2A | Avg Life | 15.43 | 1.57 | 1.00 | 0.83 | 0.67 |
| First Payment Date | Mar-06 | Mar-06 | Mar-06 | Mar-06 | Mar-06 |
| Last Payment Date | Sep-28 | Mar-09 | Dec-07 | Sep-07 | May-07 |
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A-2B | Avg Life | 24.26 | 4.04 | 2.00 | 1.74 | 1.48 |
| First Payment Date | Sep-28 | Mar-09 | Dec-07 | Sep-07 | May-07 |
| Last Payment Date | Jun-32 | Sep-11 | Jul-08 | Jan-08 | Oct-07 |
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A-2C | Avg Life | 27.72 | 7.40 | 3.00 | 2.04 | 1.78 |
| First Payment Date | Jun-32 | Sep-11 | Jul-08 | Jan-08 | Oct-07 |
| Last Payment Date | Feb-35 | Nov-15 | Feb-11 | Jun-08 | Jan-08 |
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A-2D | Avg Life | 29.60 | 14.50 | 7.83 | 2.65 | 1.99 |
| First Payment Date | Feb-35 | Nov-15 | Feb-11 | Jun-08 | Jan-08 |
| Last Payment Date | Dec-35 | Oct-31 | Apr-21 | Feb-09 | Apr-08 |
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M-1 | Avg Life | 27.77 | 9.12 | 5.53 | 7.75 | 5.61 |
| First Payment Date | Jun-30 | Jan-10 | Mar-10 | Feb-09 | Apr-08 |
| Last Payment Date | Dec-35 | Apr-29 | Jun-19 | Dec-17 | Oct-14 |
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M-2 | Avg Life | 27.77 | 9.10 | 5.30 | 5.62 | 4.11 |
| First Payment Date | Jun-30 | Jan-10 | Nov-09 | Nov-10 | Aug-09 |
| Last Payment Date | Nov-35 | Jun-28 | Oct-18 | Oct-15 | Mar-13 |
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M-3 | Avg Life | 27.77 | 9.08 | 5.17 | 4.98 | 3.63 |
| First Payment Date | Jun-30 | Jan-10 | Sep-09 | Jun-10 | Apr-09 |
| Last Payment Date | Nov-35 | Aug-27 | Feb-18 | May-15 | Nov-12 |
Sensitivity Table
To Maturity (Continued)
| Fixed>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC |
| Arm>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC |
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M-4 | Avg Life | 27.77 | 9.05 | 5.09 | 4.71 | 3.42 |
| First Payment Date | Jun-30 | Jan-10 | Aug-09 | Feb-10 | Jan-09 |
| Last Payment Date | Nov-35 | Dec-26 | Sep-17 | Dec-14 | Aug-12 |
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M-5 | Avg Life | 27.77 | 9.02 | 5.04 | 4.52 | 3.28 |
| First Payment Date | Jun-30 | Jan-10 | Jul-09 | Dec-09 | Nov-08 |
| Last Payment Date | Nov-35 | May-26 | Apr-17 | Aug-14 | May-12 |
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M-6 | Avg Life | 27.77 | 8.99 | 4.98 | 4.37 | 3.18 |
| First Payment Date | Jun-30 | Jan-10 | Jun-09 | Oct-09 | Oct-08 |
| Last Payment Date | Nov-35 | Aug-25 | Nov-16 | Apr-14 | Feb-12 |
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M-7 | Avg Life | 27.77 | 8.93 | 4.92 | 4.24 | 3.09 |
| First Payment Date | Jun-30 | Jan-10 | May-09 | Aug-09 | Aug-08 |
| Last Payment Date | Nov-35 | Oct-24 | Apr-16 | Nov-13 | Oct-11 |
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M-8 | Avg Life | 27.77 | 8.86 | 4.86 | 4.14 | 3.00 |
| First Payment Date | Jun-30 | Jan-10 | May-09 | Jul-09 | Jul-08 |
| Last Payment Date | Nov-35 | Oct-23 | Sep-15 | Jun-13 | Jun-11 |
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M-9 | Avg Life | 27.77 | 8.76 | 4.77 | 4.03 | 2.92 |
| First Payment Date | Jun-30 | Jan-10 | Apr-09 | Jun-09 | Jul-08 |
| Last Payment Date | Nov-35 | Sep-22 | Jan-15 | Nov-12 | Jan-11 |
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M-10 | Avg Life | 27.77 | 8.61 | 4.68 | 3.92 | 2.84 |
| First Payment Date | Jun-30 | Jan-10 | Apr-09 | May-09 | Jun-08 |
| Last Payment Date | Nov-35 | Aug-21 | Jun-14 | Jun-12 | Sep-10 |
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Class A-1A Net WAC Schedule* |
| Class A-1A Net WAC Schedule* |
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1 | 3/25/2006 | 23.900 |
| 46 | 12/25/2009 | 12.061 |
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2 | 4/25/2006 | 22.292 |
| 47 | 1/25/2010 | 11.667 |
| |
3 | 5/25/2006 | 22.272 |
| 48 | 2/25/2010 | 11.663 |
| |
4 | 6/25/2006 | 22.071 |
| 49 | 3/25/2010 | 12.911 |
| |
5 | 7/25/2006 | 22.016 |
| 50 | 4/25/2010 | 11.694 |
| |
6 | 8/25/2006 | 21.775 |
| 51 | 5/25/2010 | 12.081 |
| |
7 | 9/25/2006 | 21.598 |
| 52 | 6/25/2010 | 11.695 |
| |
8 | 10/25/2006 | 21.490 |
| 53 | 7/25/2010 | 12.079 |
| |
9 | 11/25/2006 | 21.184 |
| 54 | 8/25/2010 | 11.688 |
| |
10 | 12/25/2006 | 21.046 |
| 55 | 9/25/2010 | 11.698 |
| |
11 | 1/25/2007 | 20.723 |
| 56 | 10/25/2010 | 12.095 |
| |
12 | 2/25/2007 | 20.498 |
| 57 | 11/25/2010 | 11.701 |
| |
13 | 3/25/2007 | 20.600 |
| 58 | 12/25/2010 | 12.090 |
| |
14 | 4/25/2007 | 20.059 |
| 59 | 1/25/2011 | 11.698 |
| |
15 | 5/25/2007 | 19.950 |
| 60 | 2/25/2011 | 11.694 |
| |
16 | 6/25/2007 | 19.635 |
| 61 | 3/25/2011 | 12.946 |
| |
17 | 7/25/2007 | 19.537 |
| 62 | 4/25/2011 | 11.693 |
| |
18 | 8/25/2007 | 19.228 |
| 63 | 5/25/2011 | 12.078 |
| |
19 | 9/25/2007 | 19.038 |
| 64 | 6/25/2011 | 11.685 |
| |
20 | 10/25/2007 | 19.002 |
| 65 | 7/25/2011 | 12.071 |
| |
21 | 11/25/2007 | 18.921 |
| 66 | 8/25/2011 | 11.677 |
| |
22 | 12/25/2007 | 19.221 |
| 67 | 9/25/2011 | 11.676 |
| |
23 | 1/25/2008 | 18.107 |
| 68 | 10/25/2011 | 12.064 |
| |
24 | 2/25/2008 | 17.303 |
| 69 | 11/25/2011 | 11.670 |
| |
25 | 3/25/2008 | 17.153 |
| 70 | 12/25/2011 | 12.055 |
| |
26 | 4/25/2008 | 16.601 |
| 71 | 1/25/2012 | 11.663 |
| |
27 | 5/25/2008 | 16.926 |
| 72 | 2/25/2012 | 11.658 |
| |
28 | 6/25/2008 | 17.289 |
| 73 | 3/25/2012 | 12.461 |
| |
29 | 7/25/2008 | 17.410 |
| 74 | 4/25/2012 | 11.655 |
| |
30 | 8/25/2008 | 17.029 |
| 75 | 5/25/2012 | 12.038 |
| |
31 | 9/25/2008 | 16.916 |
| 76 | 6/25/2012 | 11.646 |
| |
32 | 10/25/2008 | 17.170 |
| 77 | 7/25/2012 | 12.030 |
| |
33 | 11/25/2008 | 17.031 |
| 78 | 8/25/2012 | 11.635 |
| |
34 | 12/25/2008 | 17.941 |
| 79 | 9/25/2012 | 11.629 |
| |
35 | 1/25/2009 | 17.531 |
| 80 | 10/25/2012 | 12.011 |
| |
36 | 2/25/2009 | 17.412 |
|
|
|
|
| |
37 | 3/25/2009 | 18.260 |
|
|
|
|
| |
38 | 4/25/2009 | 17.260 |
|
|
|
|
| |
39 | 5/25/2009 | 17.660 |
|
|
|
|
| |
40 | 6/25/2009 | 17.758 |
|
|
|
|
| |
41 | 7/25/2009 | 17.979 |
|
|
|
|
| |
42 | 8/25/2009 | 17.544 |
|
|
|
|
| *PPC: 100% (ARM); PPC: 100% (Fixed) |
43 | 9/25/2009 | 17.441 |
|
|
|
|
| *1 Month LIBOR: 20% |
44 | 10/25/2009 | 17.706 |
|
|
|
|
| *6 Month Libor: 20% |
45 | 11/25/2009 | 11.664 |
|
|
|
|
| *Includes Net Swap Payments received from the Swap Provider |
Class A-1B1 and A-1B2 Net WAC Schedule* |
| Class A-1B1 and A-1B2 Net WAC Schedule* |
| |||||
|
|
|
|
|
|
|
| |
1 | 3/25/2006 | 23.947 |
| 46 | 12/25/2009 | 12.254 |
| |
2 | 4/25/2006 | 22.330 |
| 47 | 1/25/2010 | 11.857 |
| |
3 | 5/25/2006 | 22.310 |
| 48 | 2/25/2010 | 11.853 |
| |
4 | 6/25/2006 | 22.108 |
| 49 | 3/25/2010 | 13.117 |
| |
5 | 7/25/2006 | 22.055 |
| 50 | 4/25/2010 | 11.843 |
| |
6 | 8/25/2006 | 21.812 |
| 51 | 5/25/2010 | 12.233 |
| |
7 | 9/25/2006 | 21.635 |
| 52 | 6/25/2010 | 11.851 |
| |
8 | 10/25/2006 | 21.529 |
| 53 | 7/25/2010 | 12.243 |
| |
9 | 11/25/2006 | 21.221 |
| 54 | 8/25/2010 | 11.843 |
| |
10 | 12/25/2006 | 21.085 |
| 55 | 9/25/2010 | 11.838 |
| |
11 | 1/25/2007 | 20.761 |
| 56 | 10/25/2010 | 12.228 |
| |
12 | 2/25/2007 | 20.537 |
| 57 | 11/25/2010 | 11.829 |
| |
13 | 3/25/2007 | 20.643 |
| 58 | 12/25/2010 | 12.225 |
| |
14 | 4/25/2007 | 20.098 |
| 59 | 1/25/2011 | 11.826 |
| |
15 | 5/25/2007 | 19.991 |
| 60 | 2/25/2011 | 11.821 |
| |
16 | 6/25/2007 | 19.675 |
| 61 | 3/25/2011 | 13.082 |
| |
17 | 7/25/2007 | 19.578 |
| 62 | 4/25/2011 | 11.811 |
| |
18 | 8/25/2007 | 19.262 |
| 63 | 5/25/2011 | 12.200 |
| |
19 | 9/25/2007 | 19.049 |
| 64 | 6/25/2011 | 11.806 |
| |
20 | 10/25/2007 | 18.921 |
| 65 | 7/25/2011 | 12.195 |
| |
21 | 11/25/2007 | 18.372 |
| 66 | 8/25/2011 | 11.796 |
| |
22 | 12/25/2007 | 19.152 |
| 67 | 9/25/2011 | 11.791 |
| |
23 | 1/25/2008 | 18.042 |
| 68 | 10/25/2011 | 12.179 |
| |
24 | 2/25/2008 | 17.247 |
| 69 | 11/25/2011 | 11.781 |
| |
25 | 3/25/2008 | 17.096 |
| 70 | 12/25/2011 | 12.173 |
| |
26 | 4/25/2008 | 16.509 |
| 71 | 1/25/2012 | 11.776 |
| |
27 | 5/25/2008 | 16.584 |
| 72 | 2/25/2012 | 11.771 |
| |
28 | 6/25/2008 | 17.420 |
| 73 | 3/25/2012 | 12.577 |
| |
29 | 7/25/2008 | 17.542 |
| 74 | 4/25/2012 | 11.760 |
| |
30 | 8/25/2008 | 17.154 |
| 75 | 5/25/2012 | 12.147 |
| |
31 | 9/25/2008 | 17.024 |
| 76 | 6/25/2012 | 11.753 |
| |
32 | 10/25/2008 | 17.154 |
| 77 | 7/25/2012 | 12.140 |
| |
33 | 11/25/2008 | 16.773 |
| 78 | 8/25/2012 | 11.743 |
| |
34 | 12/25/2008 | 18.163 |
| 79 | 9/25/2012 | 11.737 |
| |
35 | 1/25/2009 | 17.748 |
| 80 | 10/25/2012 | 12.123 |
| |
36 | 2/25/2009 | 17.628 |
|
|
|
|
| |
37 | 3/25/2009 | 18.487 |
|
|
|
|
| |
38 | 4/25/2009 | 17.394 |
|
|
|
|
| |
39 | 5/25/2009 | 17.587 |
|
|
|
|
| |
40 | 6/25/2009 | 17.975 |
|
|
|
|
| |
41 | 7/25/2009 | 18.206 |
|
|
|
|
| |
42 | 8/25/2009 | 17.761 |
|
|
|
|
| *PPC: 100% (ARM); PPC: 100% (Fixed) |
43 | 9/25/2009 | 17.654 |
|
|
|
|
| *1 Month LIBOR: 20% |
44 | 10/25/2009 | 17.886 |
|
|
|
|
| *6 Month Libor: 20% |
45 | 11/25/2009 | 11.836 |
|
|
|
|
| *Includes Net Swap Payments received from the Swap Provider |
Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule* |
| Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule* |
| |||||
|
|
|
|
|
|
|
| |
1 | 3/25/2006 | 23.641 |
| 46 | 12/25/2009 | 11.760 |
| |
2 | 4/25/2006 | 22.084 |
| 47 | 1/25/2010 | 11.379 |
| |
3 | 5/25/2006 | 22.056 |
| 48 | 2/25/2010 | 11.375 |
| |
4 | 6/25/2006 | 21.862 |
| 49 | 3/25/2010 | 12.594 |
| |
5 | 7/25/2006 | 21.802 |
| 50 | 4/25/2010 | 11.393 |
| |
6 | 8/25/2006 | 21.568 |
| 51 | 5/25/2010 | 11.771 |
| |
7 | 9/25/2006 | 21.391 |
| 52 | 6/25/2010 | 11.392 |
| |
8 | 10/25/2006 | 21.277 |
| 53 | 7/25/2010 | 11.769 |
| |
9 | 11/25/2006 | 20.979 |
| 54 | 8/25/2010 | 11.387 |
| |
10 | 12/25/2006 | 20.835 |
| 55 | 9/25/2010 | 11.396 |
| |
11 | 1/25/2007 | 20.520 |
| 56 | 10/25/2010 | 11.774 |
| |
12 | 2/25/2007 | 20.296 |
| 57 | 11/25/2010 | 11.397 |
| |
13 | 3/25/2007 | 20.376 |
| 58 | 12/25/2010 | 11.783 |
| |
14 | 4/25/2007 | 19.858 |
| 59 | 1/25/2011 | 11.399 |
| |
15 | 5/25/2007 | 19.743 |
| 60 | 2/25/2011 | 11.395 |
| |
16 | 6/25/2007 | 19.436 |
| 61 | 3/25/2011 | 12.616 |
| |
17 | 7/25/2007 | 19.332 |
| 62 | 4/25/2011 | 11.390 |
| |
18 | 8/25/2007 | 19.025 |
| 63 | 5/25/2011 | 11.765 |
| |
19 | 9/25/2007 | 18.822 |
| 64 | 6/25/2011 | 11.386 |
| |
20 | 10/25/2007 | 18.690 |
| 65 | 7/25/2011 | 11.761 |
| |
21 | 11/25/2007 | 18.946 |
| 66 | 8/25/2011 | 11.378 |
| |
22 | 12/25/2007 | 18.965 |
| 67 | 9/25/2011 | 11.377 |
| |
23 | 1/25/2008 | 17.938 |
| 68 | 10/25/2011 | 11.751 |
| |
24 | 2/25/2008 | 17.143 |
| 69 | 11/25/2011 | 11.367 |
| |
25 | 3/25/2008 | 16.987 |
| 70 | 12/25/2011 | 11.747 |
| |
26 | 4/25/2008 | 16.407 |
| 71 | 1/25/2012 | 11.363 |
| |
27 | 5/25/2008 | 16.880 |
| 72 | 2/25/2012 | 11.359 |
| |
28 | 6/25/2008 | 17.061 |
| 73 | 3/25/2012 | 12.142 |
| |
29 | 7/25/2008 | 17.223 |
| 74 | 4/25/2012 | 11.353 |
| |
30 | 8/25/2008 | 16.847 |
| 75 | 5/25/2012 | 11.726 |
| |
31 | 9/25/2008 | 16.732 |
| 76 | 6/25/2012 | 11.347 |
| |
32 | 10/25/2008 | 16.911 |
| 77 | 7/25/2012 | 11.721 |
| |
33 | 11/25/2008 | 16.931 |
| 78 | 8/25/2012 | 11.337 |
| |
34 | 12/25/2008 | 17.632 |
| 79 | 9/25/2012 | 11.333 |
| |
35 | 1/25/2009 | 17.282 |
| 80 | 10/25/2012 | 11.705 |
| |
36 | 2/25/2009 | 17.162 |
|
|
|
|
| |
37 | 3/25/2009 | 17.982 |
|
|
|
|
| |
38 | 4/25/2009 | 16.962 |
|
|
|
|
| |
39 | 5/25/2009 | 17.476 |
|
|
|
|
| |
40 | 6/25/2009 | 17.451 |
|
|
|
|
| |
41 | 7/25/2009 | 17.697 |
|
|
|
|
| |
42 | 8/25/2009 | 17.271 |
|
|
|
|
| *PPC: 100% (ARM); PPC: 100% (Fixed) |
43 | 9/25/2009 | 17.169 |
|
|
|
|
| *1 Month LIBOR: 20% |
44 | 10/25/2009 | 17.410 |
|
|
|
|
| *6 Month Libor: 20% |
45 | 11/25/2009 | 11.380 |
|
|
|
|
| *Includes Net Swap Payments received from the Swap Provider |
Class M Net WAC Schedule* |
| Class M Net WAC Schedule* |
| |||||
|
|
|
|
|
|
|
| |
1 | 3/25/2006 | 23.826 |
| 46 | 12/25/2009 | 12.011 |
| |
2 | 4/25/2006 | 22.232 |
| 47 | 1/25/2010 | 11.621 |
| |
3 | 5/25/2006 | 22.209 |
| 48 | 2/25/2010 | 11.617 |
| |
4 | 6/25/2006 | 22.011 |
| 49 | 3/25/2010 | 12.860 |
| |
5 | 7/25/2006 | 21.954 |
| 50 | 4/25/2010 | 11.633 |
| |
6 | 8/25/2006 | 21.715 |
| 51 | 5/25/2010 | 12.018 |
| |
7 | 9/25/2006 | 21.539 |
| 52 | 6/25/2010 | 11.635 |
| |
8 | 10/25/2006 | 21.429 |
| 53 | 7/25/2010 | 12.019 |
| |
9 | 11/25/2006 | 21.125 |
| 54 | 8/25/2010 | 11.629 |
| |
10 | 12/25/2006 | 20.985 |
| 55 | 9/25/2010 | 11.634 |
| |
11 | 1/25/2007 | 20.665 |
| 56 | 10/25/2010 | 12.021 |
| |
12 | 2/25/2007 | 20.440 |
| 57 | 11/25/2010 | 11.631 |
| |
13 | 3/25/2007 | 20.536 |
| 58 | 12/25/2010 | 12.021 |
| |
14 | 4/25/2007 | 20.002 |
| 59 | 1/25/2011 | 11.630 |
| |
15 | 5/25/2007 | 19.891 |
| 60 | 2/25/2011 | 11.626 |
| |
16 | 6/25/2007 | 19.578 |
| 61 | 3/25/2011 | 12.870 |
| |
17 | 7/25/2007 | 19.479 |
| 62 | 4/25/2011 | 11.621 |
| |
18 | 8/25/2007 | 19.169 |
| 63 | 5/25/2011 | 12.004 |
| |
19 | 9/25/2007 | 18.968 |
| 64 | 6/25/2011 | 11.615 |
| |
20 | 10/25/2007 | 18.875 |
| 65 | 7/25/2011 | 11.998 |
| |
21 | 11/25/2007 | 18.781 |
| 66 | 8/25/2011 | 11.606 |
| |
22 | 12/25/2007 | 19.116 |
| 67 | 9/25/2011 | 11.604 |
| |
23 | 1/25/2008 | 18.033 |
| 68 | 10/25/2011 | 11.988 |
| |
24 | 2/25/2008 | 17.234 |
| 69 | 11/25/2011 | 11.596 |
| |
25 | 3/25/2008 | 17.082 |
| 70 | 12/25/2011 | 11.981 |
| |
26 | 4/25/2008 | 16.511 |
| 71 | 1/25/2012 | 11.591 |
| |
27 | 5/25/2008 | 16.818 |
| 72 | 2/25/2012 | 11.586 |
| |
28 | 6/25/2008 | 17.248 |
| 73 | 3/25/2012 | 12.382 |
| |
29 | 7/25/2008 | 17.382 |
| 74 | 4/25/2012 | 11.580 |
| |
30 | 8/25/2008 | 17.002 |
| 75 | 5/25/2012 | 11.960 |
| |
31 | 9/25/2008 | 16.883 |
| 76 | 6/25/2012 | 11.572 |
| |
32 | 10/25/2008 | 17.079 |
| 77 | 7/25/2012 | 11.953 |
| |
33 | 11/25/2008 | 16.928 |
| 78 | 8/25/2012 | 11.562 |
| |
34 | 12/25/2008 | 17.897 |
| 79 | 9/25/2012 | 11.556 |
| |
35 | 1/25/2009 | 17.506 |
| 80 | 10/25/2012 | 11.936 |
| |
36 | 2/25/2009 | 17.386 |
|
|
|
|
| |
37 | 3/25/2009 | 18.228 |
|
|
|
|
| |
38 | 4/25/2009 | 17.196 |
|
|
|
|
| |
39 | 5/25/2009 | 17.578 |
|
|
|
|
| |
40 | 6/25/2009 | 17.713 |
|
|
|
|
| |
41 | 7/25/2009 | 17.945 |
|
|
|
|
| |
42 | 8/25/2009 | 17.511 |
|
|
|
|
| *PPC: 100% (ARM); PPC: 100% (Fixed) |
43 | 9/25/2009 | 17.407 |
|
|
|
|
| *1 Month LIBOR: 20% |
44 | 10/25/2009 | 17.655 |
|
|
|
|
| *6 Month Libor: 20% |
45 | 11/25/2009 | 11.615 |
|
|
|
|
| *Includes Net Swap Payments received from the Swap Provider |
Excess Spread*
(Assumes Pricing Prepayment Speed, Excludes Basis Risk Shortfalls)
Period | Excess |
|
| Excess | Period | Excess |
|
| Excess |
1 | 305 | 4.5700 | 4.8888 | 305 | 45 | 482 | 4.9727 | 5.0333 | 455 |
2 | 224 | 4.7055 | 4.9539 | 225 | 46 | 498 | 4.9729 | 5.0366 | 472 |
3 | 225 | 4.8209 | 5.0061 | 225 | 47 | 483 | 4.9740 | 5.0411 | 455 |
4 | 224 | 4.8734 | 5.0386 | 225 | 48 | 483 | 4.9748 | 5.0455 | 455 |
5 | 225 | 4.9875 | 5.0589 | 226 | 49 | 530 | 4.9940 | 5.0492 | 505 |
6 | 224 | 5.0680 | 5.0607 | 225 | 50 | 483 | 4.9966 | 5.0509 | 453 |
7 | 225 | 4.9664 | 5.0435 | 225 | 51 | 499 | 4.9963 | 5.0511 | 471 |
8 | 226 | 5.0176 | 5.0358 | 225 | 52 | 483 | 4.9973 | 5.0519 | 454 |
9 | 225 | 5.0126 | 5.0202 | 224 | 53 | 499 | 4.9983 | 5.0519 | 471 |
10 | 227 | 4.9849 | 5.0046 | 225 | 54 | 483 | 4.9984 | 5.0525 | 454 |
11 | 225 | 4.9934 | 4.9941 | 223 | 55 | 484 | 4.9988 | 5.0527 | 455 |
12 | 225 | 4.9660 | 4.9820 | 223 | 56 | 500 | 4.9995 | 5.0532 | 473 |
13 | 233 | 4.9215 | 4.9748 | 229 | 57 | 484 | 4.9993 | 5.0553 | 456 |
14 | 226 | 4.9231 | 4.9758 | 223 | 58 | 501 | 4.9991 | 5.0564 | 474 |
15 | 228 | 4.9232 | 4.9758 | 225 | 59 | 485 | 4.9995 | 5.0583 | 456 |
16 | 226 | 4.9243 | 4.9774 | 222 | 60 | 485 | 4.9994 | 5.0598 | 456 |
17 | 229 | 4.9240 | 4.9761 | 224 | 61 | 532 | 5.0076 | 5.0609 | 507 |
18 | 226 | 4.9245 | 4.9765 | 222 | 62 | 484 | 5.0090 | 5.0624 | 455 |
19 | 228 | 4.9247 | 4.9768 | 223 | 63 | 500 | 5.0082 | 5.0610 | 472 |
20 | 235 | 4.9244 | 4.9727 | 229 | 64 | 484 | 5.0083 | 5.0610 | 456 |
21 | 277 | 4.9258 | 4.9695 | 270 | 65 | 500 | 5.0081 | 5.0608 | 473 |
22 | 406 | 4.9243 | 4.9649 | 396 | 66 | 484 | 5.0077 | 5.0599 | 455 |
23 | 403 | 4.9245 | 4.9615 | 391 | 67 | 484 | 5.0080 | 5.0592 | 455 |
24 | 403 | 4.9245 | 4.9566 | 389 | 68 | 499 | 5.0064 | 5.0596 | 472 |
25 | 418 | 4.9049 | 4.9516 | 405 | 69 | 483 | 5.0071 | 5.0610 | 455 |
26 | 404 | 4.9039 | 4.9505 | 389 | 70 | 499 | 5.0058 | 5.0616 | 472 |
27 | 429 | 4.9024 | 4.9481 | 416 | 71 | 483 | 5.0046 | 5.0630 | 454 |
28 | 473 | 4.9001 | 4.9463 | 463 | 72 | 483 | 5.0038 | 5.0635 | 454 |
29 | 483 | 4.8980 | 4.9440 | 473 | 73 | 514 | 5.0136 | 5.0643 | 488 |
30 | 474 | 4.8966 | 4.9427 | 464 | 74 | 482 | 5.0128 | 5.0640 | 453 |
31 | 475 | 4.8942 | 4.9402 | 464 | 75 | 498 | 5.0116 | 5.0626 | 470 |
32 | 489 | 4.8918 | 4.9498 | 479 | 76 | 482 | 5.0114 | 5.0628 | 453 |
33 | 481 | 4.8900 | 4.9648 | 470 | 77 | 497 | 5.0096 | 5.0601 | 470 |
34 | 492 | 4.8874 | 4.9763 | 484 | 78 | 481 | 5.0089 | 5.0592 | 452 |
35 | 483 | 4.8861 | 4.9898 | 474 | 79 | 481 | 5.0077 | 5.0581 | 452 |
36 | 483 | 4.8883 | 5.0054 | 474 |
|
|
|
|
|
37 | 512 | 4.9634 | 5.0192 | 500 |
|
|
|
|
|
38 | 471 | 4.9668 | 5.0214 | 457 |
|
|
|
|
|
39 | 485 | 4.9668 | 5.0222 | 471 |
|
|
|
|
|
40 | 478 | 4.9682 | 5.0238 | 467 |
|
|
|
|
|
41 | 490 | 4.9689 | 5.0239 | 478 |
|
|
|
|
|
42 | 480 | 4.9703 | 5.0253 | 468 |
|
|
|
|
|
43 | 481 | 4.9712 | 5.0256 | 468 |
|
|
|
|
|
44 | 491 | 4.9727 | 5.0284 | 479 |
|
|
|
|
|
*Includes Net Swap Payments received from the Swap Provider
Breakeven CDR Table for the Mezzanine Certificates |
| ||
The assumptions for the breakeven CDR table below are as follows: |
| ||
- The Pricing Assumption is applied |
| ||
- 10% cleanup call is not exercised | |||
- Forward Curves | |||
- 40% Severity | |||
- Interest & Principal advancing | |||
- 6 month recovery lag | |||
- Triggers Failing | |||
The table below displays the Constant Default Rate (“CDR”) and the related cumulative collateral loss before the referenced Class incurs a writedown. | |||
Class |
|
|
M-1 | 34.91 | 23.31 |
M-2 | 27.60 | 20.27 |
M-3 | 23.71 | 18.40 |
M-4 | 20.71 | 16.81 |
M-5 | 18.09 | 15.30 |
M-6 | 15.83 | 13.90 |
M-7 | 13.72 | 12.49 |
M-8 | 11.91 | 11.19 |
M-9 | 10.60 | 10.20 |
M-10 | 9.41 | 9.26 |
DESCRIPTION OF THE TOTAL COLLATERAL |
SUMMARY – AGGREGATE POOL* | |||||
Number of Mortgage Loans: | 12,403 | Index Type: |
| ||
Aggregate Principal Balance: | $2,534,251,921 | 6 Month LIBOR: | 87.00% | ||
Conforming Principal Balance Loans: | $1,864,306,371 | Fixed Rate: | 13.00% | ||
Average Principal Balance: | $204,326 | W.A. Initial Periodic Cap: | 2.217% | ||
Range: | $2,599 - $1,400,000 | W.A. Subsequent Periodic Cap: | 1.389% | ||
W.A. Coupon: | 7.671% | W.A. Lifetime Rate Cap: | 6.024% | ||
Range: | 4.990% - 13.400% | Property Type: |
| ||
W.A. Gross Margin: | 5.752% | Single Family: | 80.02% | ||
Range: | 2.750% - 8.990% | PUD: | 3.30% | ||
W.A. Remaining Term: | 353 months | 2-4 Family: | 10.09% | ||
Range: | 57 months - 359 months | Condo: | 6.54% | ||
W.A. Seasoning: | 3 months | Townhouse: | 0.05% | ||
Latest Maturity Date: | January 1, 2036 | Occupancy Status: |
| ||
State Concentration (Top 5): |
| Primary: | 93.04% | ||
California: | 33.92% | Investment: | 5.95% | ||
Florida: | 9.57% | Second Home: | 1.01% | ||
New York: | 8.83% | Documentation Status: |
| ||
Maryland: | 6.21% | Full: | 57.05% | ||
New Jersey: | 5.05% | Stated: | 40.63% | ||
W.A. Original Combined LTV: | 81.42% | Limited: | 2.22% | ||
Range: | 10.57% - 100.00% | None: | 0.10% | ||
First Liens: | 93.01% | Non-Zero W.A. Prepayment Penalty – Term: | 25 months | ||
Second Liens: | 6.99% | Loans with Prepay Penalties: | 65.00% | ||
Non-Balloon Loans: | 83.41% | Interest Only Loans | 30.50% | ||
Non-Zero W.A. FICO Score: | 630 | Non-Zero Weighted Average IO Term | 61 months | ||
* Subject to a permitted variance of +/- 10%
DESCRIPTION OF THE TOTAL COLLATERAL |
Originator | |||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. | |
| Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Originator | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Fremont Investment and Loan | 8,759 | 1,919,813,424 | 75.75 | 7.795 | 624 | 81.11 | |
OwnIt Mortgage | 1,777 | 274,129,264 | 10.82 | 6.864 | 654 | 83.18 | |
Other | 1,867 | 340,309,233 | 13.43 | 7.619 | 639 | 81.77 | |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 | |
Principal Balance at Origination | ||||||
| Number of | Aggregate | % of Aggregate |
| W.A. | W.A. |
Principal Balance at | Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original |
Origination ($) | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 1,464 | 47,396,647 | 1.87 | 10.352 | 641 | 98.54 |
50,000.01 - 100,000.00 | 2,162 | 163,915,560 | 6.47 | 9.221 | 632 | 89.58 |
100,000.01 - 150,000.00 | 2,039 | 252,186,014 | 9.95 | 8.216 | 622 | 82.93 |
150,000.01 - 200,000.00 | 1,765 | 308,450,855 | 12.17 | 7.755 | 618 | 79.67 |
200,000.01 - 250,000.00 | 1,167 | 262,358,476 | 10.35 | 7.612 | 620 | 79.54 |
250,000.01 - 300,000.00 | 931 | 255,761,049 | 10.09 | 7.518 | 622 | 79.65 |
300,000.01 - 350,000.00 | 782 | 253,090,912 | 9.99 | 7.310 | 634 | 80.62 |
350,000.01 - 400,000.00 | 662 | 247,957,420 | 9.78 | 7.304 | 633 | 80.11 |
400,000.01 - 450,000.00 | 443 | 188,923,007 | 7.45 | 7.306 | 637 | 80.97 |
450,000.01 - 500,000.00 | 341 | 161,793,989 | 6.38 | 7.260 | 642 | 80.53 |
500,000.01 - 550,000.00 | 235 | 123,199,668 | 4.86 | 7.230 | 648 | 82.25 |
550,000.01 - 600,000.00 | 153 | 88,000,347 | 3.47 | 7.287 | 639 | 81.47 |
600,000.01 - 650,000.00 | 76 | 47,709,521 | 1.88 | 7.082 | 640 | 79.09 |
650,000.01 - 700,000.00 | 70 | 47,331,040 | 1.87 | 7.455 | 619 | 81.18 |
700,000.01 - 750,000.00 | 95 | 69,822,289 | 2.76 | 7.351 | 629 | 79.59 |
750,000.01 - 800,000.00 | 5 | 3,922,467 | 0.15 | 6.265 | 675 | 77.21 |
800,000.01 - 850,000.00 | 1 | 837,839 | 0.03 | 6.800 | 648 | 80.00 |
850,000.01 - 900,000.00 | 3 | 2,487,110 | 0.10 | 6.481 | 644 | 78.52 |
900,000.01 - 950,000.00 | 3 | 2,774,000 | 0.11 | 6.461 | 670 | 79.72 |
950,000.01 - 1,000,000.00 | 5 | 4,933,709 | 0.19 | 5.756 | 671 | 70.13 |
1,000,000.01 or greater | 1 | 1,400,000 | 0.06 | 6.550 | 578 | 36.84 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Remaining Principal Balance | ||||||
| Number of | Aggregate | % of Aggregate |
| W.A. | W.A. |
Remaining Principal | Initial | Remaining | Remaining | W.A. | Non-Zero | Original |
Balance ($) | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 1,466 | 47,496,515 | 1.87 | 10.351 | 641 | 98.52 |
50,000.01 - 100,000.00 | 2,163 | 164,112,457 | 6.48 | 9.218 | 632 | 89.59 |
100,000.01 - 150,000.00 | 2,039 | 252,338,898 | 9.96 | 8.215 | 622 | 82.92 |
150,000.01 - 200,000.00 | 1,765 | 308,600,220 | 12.18 | 7.753 | 619 | 79.65 |
200,000.01 - 250,000.00 | 1,170 | 263,256,918 | 10.39 | 7.614 | 620 | 79.55 |
250,000.01 - 300,000.00 | 929 | 255,463,084 | 10.08 | 7.519 | 622 | 79.66 |
300,000.01 - 350,000.00 | 781 | 252,940,325 | 9.98 | 7.309 | 634 | 80.61 |
350,000.01 - 400,000.00 | 661 | 247,708,349 | 9.77 | 7.303 | 633 | 80.15 |
400,000.01 - 450,000.00 | 443 | 189,021,555 | 7.46 | 7.306 | 637 | 80.95 |
450,000.01 - 500,000.00 | 339 | 160,895,610 | 6.35 | 7.261 | 642 | 80.51 |
500,000.01 - 550,000.00 | 236 | 123,748,717 | 4.88 | 7.228 | 648 | 82.30 |
550,000.01 - 600,000.00 | 152 | 87,451,298 | 3.45 | 7.288 | 639 | 81.39 |
600,000.01 - 650,000.00 | 76 | 47,709,521 | 1.88 | 7.082 | 640 | 79.09 |
650,000.01 - 700,000.00 | 70 | 47,331,040 | 1.87 | 7.455 | 619 | 81.18 |
700,000.01 - 750,000.00 | 96 | 70,557,399 | 2.78 | 7.340 | 630 | 79.54 |
750,000.01 - 800,000.00 | 5 | 3,922,467 | 0.15 | 6.265 | 675 | 77.21 |
800,000.01 - 850,000.00 | 1 | 837,839 | 0.03 | 6.800 | 648 | 80.00 |
850,000.01 - 900,000.00 | 2 | 1,752,000 | 0.07 | 6.526 | 628 | 80.00 |
900,000.01 - 950,000.00 | 3 | 2,774,000 | 0.11 | 6.461 | 670 | 79.72 |
950,000.01 - 1,000,000.00 | 5 | 4,933,709 | 0.19 | 5.756 | 671 | 70.13 |
1,000,000.01 or greater | 1 | 1,400,000 | 0.06 | 6.550 | 578 | 36.84 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
Remaining Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Months Remaining | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1 - 60 | 5 | 68,731 | 0.00 | 12.184 | 607 | 94.96 |
61 - 120 | 80 | 1,174,956 | 0.05 | 11.582 | 622 | 96.10 |
121 - 180 | 782 | 43,423,790 | 1.71 | 10.171 | 661 | 97.05 |
181 - 240 | 33 | 2,308,983 | 0.09 | 8.862 | 644 | 84.54 |
301 - 360 | 11,503 | 2,487,275,461 | 98.15 | 7.624 | 629 | 81.14 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Product Type |
| |||||||||||||||||||||||||
| Number of | Aggregate | % of Aggregate |
| W.A. | W.A. |
| |||||||||||||||||||
| Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original |
| |||||||||||||||||||
Collateral Type | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |||||||||||||||||||
Fixed - 5 Year | 5 | 68,731 | 0.00 | 12.184 | 607 | 94.96 |
| |||||||||||||||||||
Fixed - 10 Year | 80 | 1,174,956 | 0.05 | 11.582 | 622 | 96.10 |
| |||||||||||||||||||
Fixed - 15 Year | 186 | 6,436,151 | 0.25 | 9.420 | 636 | 85.70 |
| |||||||||||||||||||
Fixed - 20 Year | 33 | 2,308,983 | 0.09 | 8.862 | 644 | 84.54 |
| |||||||||||||||||||
Fixed - 30 Year | 2,657 | 263,988,813 | 10.42 | 8.763 | 646 | 87.83 |
| |||||||||||||||||||
Fixed - 30 Year IO | 16 | 3,992,922 | 0.16 | 7.048 | 673 | 76.95 |
| |||||||||||||||||||
Balloon - 15/30 | 596 | 36,987,639 | 1.46 | 10.301 | 665 | 99.03 |
| |||||||||||||||||||
Balloon - 30/40 | 48 | 14,376,884 | 0.57 | 7.330 | 641 | 80.08 |
| |||||||||||||||||||
ARM - 6 Month | 1 | 547,895 | 0.02 | 7.650 | 688 | 90.00 |
| |||||||||||||||||||
ARM - 2 Year/6 Month | 4,726 | 1,017,691,172 | 40.16 | 7.924 | 612 | 80.08 |
| |||||||||||||||||||
ARM - 2 Year/6 Month IO | 2,341 | 691,905,700 | 27.30 | 6.872 | 647 | 80.57 |
| |||||||||||||||||||
| ARM - 2 Year/6 Month 30/40 Balloon | 1,140 | 360,230,289 | 14.21 | 7.692 | 620 | 81.15 |
| ||||||||||||||||||
| ARM - 3 Year/6 Month | 180 | 35,328,113 | 1.39 | 7.276 | 644 | 79.64 | |||||||||||||||||||
ARM - 3 Year/6 Month IO | 241 | 60,186,157 | 2.37 | 6.571 | 661 | 79.45 |
| |||||||||||||||||||
ARM - 3 Year/6 Month 30/40 Balloon | 20 | 6,079,189 | 0.24 | 7.406 | 625 | 78.17 |
| |||||||||||||||||||
ARM - 4 Year/6 Month | 3 | 290,430 | 0.01 | 7.835 | 646 | 95.68 |
| |||||||||||||||||||
ARM - 4 Year/6 Month IO | 7 | 1,788,999 | 0.07 | 6.105 | 645 | 74.35 |
| |||||||||||||||||||
ARM - 5 Year/6 Month | 54 | 12,952,422 | 0.51 | 7.253 | 648 | 76.48 |
| |||||||||||||||||||
ARM - 5 Year/6 Month IO | 57 | 15,162,483 | 0.60 | 6.356 | 671 | 78.54 |
| |||||||||||||||||||
ARM - 5 Year/6 Month 30/40 Balloon | 12 | 2,753,996 | 0.11 | 7.588 | 649 | 79.88 |
| |||||||||||||||||||
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
| |||||||||||||||||||
Interest Only Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Interest Only | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (months) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 9,741 | 1,761,215,661 | 69.50 | 8.037 | 621 | 81.86 |
24 | 5 | 1,435,161 | 0.06 | 7.189 | 636 | 79.67 |
60 | 2,582 | 751,731,487 | 29.66 | 6.827 | 649 | 80.39 |
84 | 3 | 863,250 | 0.03 | 7.180 | 700 | 81.09 |
120 | 72 | 19,006,362 | 0.75 | 7.189 | 659 | 81.31 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Mortgage Rate | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
4.500 - 4.999 | 1 | 221,577 | 0.01 | 4.990 | 756 | 80.00 |
5.000 - 5.499 | 28 | 10,705,473 | 0.42 | 5.310 | 678 | 75.76 |
5.500 - 5.999 | 655 | 184,419,612 | 7.28 | 5.803 | 668 | 77.76 |
6.000 - 6.499 | 627 | 190,493,053 | 7.52 | 6.260 | 651 | 78.24 |
6.500 - 6.999 | 1,545 | 451,052,292 | 17.80 | 6.789 | 647 | 79.52 |
7.000 - 7.499 | 1,349 | 362,155,620 | 14.29 | 7.251 | 640 | 80.61 |
7.500 - 7.999 | 2,145 | 529,469,850 | 20.89 | 7.751 | 625 | 81.36 |
8.000 - 8.499 | 1,218 | 260,866,657 | 10.29 | 8.237 | 610 | 82.33 |
8.500 - 8.999 | 1,274 | 227,557,034 | 8.98 | 8.713 | 596 | 82.66 |
9.000 - 9.499 | 751 | 94,788,018 | 3.74 | 9.216 | 593 | 84.55 |
9.500 - 9.999 | 791 | 81,792,663 | 3.23 | 9.769 | 603 | 86.66 |
10.000 - 10.499 | 531 | 46,123,451 | 1.82 | 10.236 | 617 | 89.84 |
10.500 - 10.999 | 701 | 50,159,902 | 1.98 | 10.753 | 610 | 91.28 |
11.000 - 11.499 | 438 | 26,001,756 | 1.03 | 11.233 | 604 | 92.01 |
11.500 - 11.999 | 199 | 12,864,800 | 0.51 | 11.697 | 594 | 87.76 |
12.000 - 12.499 | 112 | 4,037,010 | 0.16 | 12.186 | 587 | 89.08 |
12.500 - 12.999 | 31 | 1,416,558 | 0.06 | 12.640 | 582 | 85.78 |
13.000 - 13.499 | 7 | 126,594 | 0.00 | 13.279 | 626 | 94.28 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
Original Combined Loan-to-Value Ratio | ||||||
Original Combined | Number of | Aggregate | % of Aggregate |
| W.A. | W.A. |
Loan-to-Value | Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original |
Ratio (%) | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Less than or equal to 50.00 | 212 | 35,649,180 | 1.41 | 7.821 | 590 | 41.78 |
50.01 - 55.00 | 104 | 21,684,128 | 0.86 | 7.597 | 595 | 52.78 |
55.01 - 60.00 | 183 | 41,324,020 | 1.63 | 7.895 | 584 | 57.92 |
60.01 - 65.00 | 300 | 70,343,414 | 2.78 | 7.942 | 591 | 63.61 |
65.01 - 70.00 | 400 | 96,657,538 | 3.81 | 8.035 | 590 | 68.76 |
70.01 - 75.00 | 520 | 130,470,339 | 5.15 | 7.830 | 589 | 74.09 |
75.01 - 80.00 | 4,909 | 1,296,266,636 | 51.15 | 7.192 | 644 | 79.85 |
80.01 - 85.00 | 742 | 183,657,986 | 7.25 | 7.615 | 602 | 84.57 |
85.01 - 90.00 | 1,697 | 394,856,677 | 15.58 | 7.825 | 621 | 89.80 |
90.01 - 95.00 | 424 | 56,789,450 | 2.24 | 8.371 | 640 | 94.66 |
95.01 - 100.00 | 2,912 | 206,552,553 | 8.15 | 9.814 | 654 | 99.95 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
DESCRIPTION OF THE TOTAL COLLATERAL |
FICO Score at Origination | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
FICO Score | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
At Origination | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
500 - 524 | 450 | 96,663,512 | 3.81 | 9.235 | 512 | 72.26 |
525 - 549 | 646 | 143,979,482 | 5.68 | 8.575 | 537 | 74.57 |
550 - 574 | 967 | 206,987,966 | 8.17 | 8.136 | 562 | 80.23 |
575 - 599 | 1,472 | 281,458,167 | 11.11 | 7.773 | 587 | 80.44 |
600 - 624 | 2,047 | 382,441,519 | 15.09 | 7.625 | 612 | 82.81 |
625 - 649 | 2,551 | 510,414,883 | 20.14 | 7.595 | 637 | 82.94 |
650 - 674 | 2,021 | 415,548,958 | 16.40 | 7.358 | 661 | 82.55 |
675 - 699 | 1,091 | 235,100,707 | 9.28 | 7.234 | 685 | 82.51 |
700 - 724 | 534 | 119,054,676 | 4.70 | 7.244 | 710 | 83.26 |
725 - 749 | 342 | 79,024,819 | 3.12 | 7.254 | 737 | 82.84 |
750 - 774 | 190 | 41,355,466 | 1.63 | 7.087 | 760 | 83.12 |
775 - 799 | 69 | 17,565,922 | 0.69 | 7.269 | 784 | 80.22 |
800 - 824 | 23 | 4,655,844 | 0.18 | 7.051 | 806 | 77.48 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Geographic Distribution* | ||||||
| Number of | Aggregate | % of Aggregate |
| W.A. | W.A. |
| Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original |
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
California | 3,039 | 859,699,585 | 33.92 | 7.353 | 640 | 80.68 |
Florida | 1,384 | 242,643,181 | 9.57 | 8.099 | 615 | 81.13 |
New York | 751 | 223,744,778 | 8.83 | 7.626 | 642 | 80.14 |
Maryland | 728 | 157,375,476 | 6.21 | 7.716 | 616 | 81.13 |
New Jersey | 520 | 127,928,086 | 5.05 | 7.886 | 623 | 79.96 |
Illinois | 632 | 111,553,920 | 4.40 | 7.882 | 629 | 83.27 |
Massachusetts | 335 | 77,539,535 | 3.06 | 7.778 | 626 | 79.85 |
Virginia | 340 | 75,650,938 | 2.99 | 8.075 | 616 | 81.09 |
Georgia | 562 | 75,088,514 | 2.96 | 7.919 | 625 | 84.76 |
Arizona | 321 | 56,743,819 | 2.24 | 7.755 | 613 | 80.20 |
Washington | 345 | 54,888,719 | 2.17 | 7.256 | 636 | 83.37 |
Colorado | 377 | 51,706,702 | 2.04 | 7.252 | 636 | 82.97 |
Nevada | 231 | 48,968,283 | 1.93 | 7.820 | 629 | 82.08 |
Ohio | 316 | 32,041,609 | 1.26 | 7.887 | 618 | 87.36 |
Hawaii | 118 | 31,826,937 | 1.26 | 7.511 | 652 | 81.17 |
Connecticut | 163 | 29,303,604 | 1.16 | 8.192 | 611 | 81.41 |
Oregon | 174 | 27,204,717 | 1.07 | 7.220 | 643 | 82.48 |
Minnesota | 161 | 25,025,965 | 0.99 | 7.597 | 620 | 83.42 |
Texas | 232 | 24,924,560 | 0.98 | 8.232 | 615 | 84.36 |
Michigan | 220 | 23,583,753 | 0.93 | 8.306 | 609 | 84.00 |
Pennsylvania | 161 | 21,331,219 | 0.84 | 8.317 | 603 | 82.90 |
North Carolina | 158 | 19,408,030 | 0.77 | 8.269 | 602 | 83.91 |
Wisconsin | 149 | 17,503,630 | 0.69 | 8.028 | 632 | 86.05 |
District of Columbia | 58 | 13,696,236 | 0.54 | 7.749 | 611 | 77.38 |
Utah | 96 | 12,315,036 | 0.49 | 7.150 | 629 | 82.67 |
*Geographic Distribution continued on the next page
DESCRIPTION OF THE TOTAL COLLATERAL |
Geographic Distribution (Continued) | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Location | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Missouri | 108 | 10,398,757 | 0.41 | 8.323 | 612 | 86.86 |
Tennessee | 105 | 10,059,901 | 0.40 | 8.130 | 616 | 83.70 |
Rhode Island | 46 | 9,155,091 | 0.36 | 8.296 | 599 | 82.25 |
Kentucky | 83 | 8,096,422 | 0.32 | 8.030 | 621 | 89.03 |
South Carolina | 56 | 7,491,210 | 0.30 | 8.191 | 597 | 82.47 |
Idaho | 66 | 6,256,160 | 0.25 | 7.569 | 633 | 81.18 |
Indiana | 70 | 6,187,011 | 0.24 | 8.026 | 624 | 88.40 |
New Mexico | 35 | 5,203,891 | 0.21 | 7.469 | 636 | 82.75 |
New Hampshire | 29 | 4,491,219 | 0.18 | 8.231 | 607 | 80.35 |
Delaware | 32 | 4,242,006 | 0.17 | 8.109 | 603 | 81.59 |
Kansas | 49 | 3,978,734 | 0.16 | 8.140 | 621 | 88.25 |
Maine | 27 | 3,849,245 | 0.15 | 8.121 | 622 | 79.94 |
Iowa | 26 | 2,806,772 | 0.11 | 7.624 | 634 | 87.20 |
Vermont | 13 | 2,048,418 | 0.08 | 8.209 | 595 | 74.35 |
Oklahoma | 31 | 1,858,191 | 0.07 | 8.785 | 603 | 83.20 |
Arkansas | 12 | 1,739,614 | 0.07 | 7.757 | 618 | 85.93 |
West Virginia | 7 | 1,433,361 | 0.06 | 8.130 | 630 | 77.24 |
Nebraska | 15 | 1,239,213 | 0.05 | 7.919 | 630 | 91.49 |
Wyoming | 6 | 576,213 | 0.02 | 7.741 | 649 | 81.72 |
Montana | 3 | 410,797 | 0.02 | 7.173 | 580 | 75.34 |
Mississippi | 5 | 379,252 | 0.01 | 8.095 | 609 | 88.61 |
Louisiana | 3 | 243,913 | 0.01 | 8.236 | 658 | 82.42 |
Alabama | 3 | 195,617 | 0.01 | 8.484 | 564 | 84.54 |
Alaska | 1 | 149,959 | 0.01 | 10.500 | 522 | 75.00 |
South Dakota | 1 | 64,121 | 0.00 | 9.600 | 624 | 100.00 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Occupancy Status | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Occupancy Status | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Primary | 11,485 | 2,357,961,347 | 93.04 | 7.647 | 628 | 81.40 |
Investment | 809 | 150,670,975 | 5.95 | 8.043 | 652 | 82.33 |
Second Home | 109 | 25,619,599 | 1.01 | 7.657 | 643 | 78.09 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
Documentation Type | |||||||
|
|
| % of Aggregate |
| W.A. | W.A. | |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Program | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Full Documentation | 7,678 | 1,445,896,199 | 57.05 | 7.419 | 621 | 82.28 | |
Stated Documentation | 4,451 | 1,029,667,226 | 40.63 | 8.024 | 642 | 80.16 | |
Limited Documentation | 264 | 56,173,364 | 2.22 | 7.661 | 630 | 82.50 | |
No Documentation | 10 | 2,515,132 | 0.10 | 7.818 | 630 | 77.09 | |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 | |
Loan Purpose | |||||||
|
|
| % of Aggregate |
| W.A. | W.A. | |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Purpose | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Purchase | 7,472 | 1,373,811,827 | 54.21 | 7.642 | 648 | 83.74 | |
Refinance - Cashout | 4,738 | 1,119,196,940 | 44.16 | 7.718 | 607 | 78.70 | |
Refinance - Rate Term | 193 | 41,243,154 | 1.63 | 7.355 | 610 | 77.86 | |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 | |
DESCRIPTION OF THE TOTAL COLLATERAL |
Property Type | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Property Type | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Single Family Residence | 9,985 | 2,027,783,989 | 80.02 | 7.683 | 626 | 81.37 |
2-4 Family | 990 | 255,710,420 | 10.09 | 7.685 | 648 | 80.81 |
Condo | 957 | 165,737,775 | 6.54 | 7.719 | 639 | 82.26 |
PUD | 466 | 83,699,003 | 3.30 | 7.230 | 646 | 82.89 |
Townhouse | 5 | 1,320,735 | 0.05 | 7.644 | 617 | 81.98 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Rate Adjustment* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Month & Year of Next | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Rate Adjustment | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
March 2006 | 1 | 547,895 | 0.02 | 7.650 | 688 | 90.00 |
February 2007 | 1 | 204,914 | 0.01 | 7.150 | 573 | 45.56 |
March 2007 | 2 | 191,090 | 0.01 | 7.714 | 609 | 86.06 |
April 2007 | 3 | 372,306 | 0.02 | 7.421 | 572 | 81.39 |
May 2007 | 15 | 2,901,311 | 0.13 | 7.196 | 623 | 81.09 |
June 2007 | 88 | 19,624,257 | 0.89 | 6.859 | 640 | 83.06 |
July 2007 | 295 | 71,771,221 | 3.26 | 6.069 | 662 | 79.60 |
August 2007 | 716 | 137,663,055 | 6.24 | 6.960 | 644 | 82.08 |
September 2007 | 261 | 66,206,718 | 3.00 | 7.285 | 620 | 79.40 |
October 2007 | 1,541 | 390,595,199 | 17.71 | 7.412 | 626 | 80.71 |
November 2007 | 2,664 | 683,574,849 | 31.00 | 7.599 | 621 | 79.98 |
December 2007 | 2,618 | 695,736,643 | 31.55 | 7.841 | 621 | 80.50 |
January 2008 | 3 | 985,596 | 0.04 | 8.136 | 621 | 90.00 |
April 2008 | 1 | 170,900 | 0.01 | 7.250 | 662 | 89.99 |
May 2008 | 7 | 1,678,145 | 0.08 | 6.517 | 691 | 79.72 |
June 2008 | 8 | 1,938,987 | 0.09 | 5.937 | 672 | 82.13 |
July 2008 | 73 | 14,032,724 | 0.64 | 5.988 | 674 | 80.34 |
August 2008 | 93 | 16,102,136 | 0.73 | 6.710 | 654 | 82.46 |
September 2008 | 22 | 6,323,651 | 0.29 | 6.552 | 652 | 72.60 |
October 2008 | 111 | 26,317,916 | 1.19 | 7.027 | 654 | 80.20 |
November 2008 | 61 | 16,102,655 | 0.73 | 7.111 | 642 | 78.43 |
December 2008 | 65 | 18,926,344 | 0.86 | 7.447 | 639 | 77.90 |
June 2009 | 1 | 360,000 | 0.02 | 5.875 | 611 | 60.00 |
July 2009 | 2 | 687,999 | 0.03 | 5.750 | 672 | 80.00 |
August 2009 | 7 | 1,031,430 | 0.05 | 6.909 | 639 | 81.59 |
June 2010 | 3 | 1,181,500 | 0.05 | 6.033 | 643 | 75.33 |
July 2010 | 32 | 7,053,134 | 0.32 | 5.923 | 678 | 78.48 |
August 2010 | 17 | 3,198,783 | 0.15 | 6.298 | 668 | 79.82 |
September 2010 | 4 | 1,139,277 | 0.05 | 7.495 | 649 | 71.72 |
October 2010 | 22 | 6,034,107 | 0.27 | 7.009 | 657 | 76.81 |
November 2010 | 24 | 5,946,305 | 0.27 | 7.371 | 640 | 78.73 |
December 2010 | 21 | 6,315,795 | 0.29 | 7.521 | 660 | 77.62 |
Total: | 8,782 | 2,204,916,843 | 100.00 | 7.491 | 627 | 80.35 |
*ARM Loans Only
DESCRIPTION OF THE TOTAL COLLATERAL |
Gross Margin* | ||||||
|
| % of Aggregate |
| W.A. | W.A. | |
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
4 | 1,455,971 | 0.07 | 6.641 | 693 | 76.15 | |
9 | 3,602,032 | 0.16 | 5.912 | 681 | 78.53 | |
54 | 19,282,705 | 0.87 | 5.860 | 662 | 77.38 | |
303 | 104,241,237 | 4.73 | 6.124 | 655 | 78.19 | |
1,136 | 328,485,832 | 14.90 | 6.380 | 652 | 79.37 | |
1,254 | 370,670,097 | 16.81 | 7.033 | 644 | 80.33 | |
2,067 | 542,922,492 | 24.62 | 7.409 | 635 | 81.00 | |
1,561 | 374,547,524 | 16.99 | 7.920 | 617 | 81.36 | |
2,098 | 413,339,672 | 18.75 | 8.846 | 581 | 79.47 | |
157 | 25,370,946 | 1.15 | 8.072 | 615 | 83.29 | |
104 | 16,823,405 | 0.76 | 8.476 | 607 | 89.01 | |
8.000 - 8.499 | 25 | 3,220,294 | 0.15 | 8.998 | 614 | 86.70 |
8.500 - 8.999 | 10 | 954,636 | 0.04 | 9.688 | 612 | 96.97 |
8,782 | 2,204,916,843 | 100.00 | 7.491 | 627 | 80.35 | |
| *ARM Loans Only |
DESCRIPTION OF THE TOTAL COLLATERAL |
Maximum Mortgage Rate* | |||||
|
| % of Aggregate |
| W.A. | W.A. |
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
2 | 482,577 | 0.02 | 5.333 | 721 | 85.41 |
31 | 11,654,073 | 0.53 | 5.381 | 680 | 76.41 |
641 | 179,570,096 | 8.14 | 5.840 | 667 | 78.53 |
558 | 169,561,135 | 7.69 | 6.295 | 649 | 78.80 |
1,321 | 386,146,473 | 17.51 | 6.803 | 646 | 79.95 |
1,199 | 329,697,991 | 14.95 | 7.237 | 639 | 80.66 |
1,968 | 504,409,636 | 22.88 | 7.714 | 626 | 81.40 |
1,131 | 252,960,356 | 11.47 | 8.166 | 610 | 82.29 |
1,024 | 209,089,281 | 9.48 | 8.642 | 592 | 81.64 |
399 | 72,807,218 | 3.30 | 9.097 | 573 | 80.42 |
262 | 47,784,257 | 2.17 | 9.623 | 556 | 77.21 |
98 | 16,610,423 | 0.75 | 10.120 | 540 | 73.04 |
71 | 12,612,649 | 0.57 | 10.688 | 538 | 67.33 |
35 | 5,461,664 | 0.25 | 11.209 | 536 | 63.96 |
33 | 4,430,751 | 0.20 | 11.698 | 533 | 65.74 |
6 | 1,115,485 | 0.05 | 12.162 | 523 | 66.14 |
3 | 522,779 | 0.02 | 12.628 | 514 | 63.89 |
8,782 | 2,204,916,843 | 100.00 | 7.491 | 627 | 80.35 |
*ARM Loans Only
DESCRIPTION OF THE TOTAL COLLATERAL |
Minimum Mortgage Rate* | |||||
|
| % of Aggregate |
| W.A. | W.A. |
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
3 | 479,255 | 0.02 | 6.435 | 668 | 87.15 |
30 | 10,627,302 | 0.48 | 5.386 | 676 | 76.03 |
715 | 192,302,197 | 8.72 | 5.939 | 663 | 78.78 |
564 | 171,706,876 | 7.79 | 6.272 | 649 | 78.75 |
1,371 | 400,836,439 | 18.18 | 6.796 | 646 | 79.79 |
1,238 | 338,827,566 | 15.37 | 7.249 | 640 | 80.67 |
1,947 | 497,718,321 | 22.57 | 7.750 | 625 | 81.56 |
1,093 | 244,154,597 | 11.07 | 8.238 | 608 | 82.37 |
987 | 200,245,913 | 9.08 | 8.704 | 590 | 81.70 |
366 | 66,672,568 | 3.02 | 9.200 | 569 | 80.53 |
239 | 43,555,998 | 1.98 | 9.726 | 549 | 76.34 |
89 | 15,016,933 | 0.68 | 10.224 | 537 | 71.71 |
68 | 11,921,250 | 0.54 | 10.752 | 535 | 65.99 |
33 | 5,121,167 | 0.23 | 11.254 | 536 | 63.61 |
31 | 4,190,124 | 0.19 | 11.757 | 535 | 65.22 |
6 | 1,115,485 | 0.05 | 12.162 | 523 | 66.14 |
2 | 424,852 | 0.02 | 12.612 | 510 | 62.49 |
8,782 | 2,204,916,843 | 100.00 | 7.491 | 627 | 80.35 |
*ARM Loans Only
Initial Periodic Rate Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Initial | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.000 | 1 | 547,895 | 0.02 | 7.650 | 688 | 90.00 |
1.500 | 136 | 29,359,298 | 1.33 | 7.327 | 627 | 82.04 |
2.000 | 6,434 | 1,684,078,267 | 76.38 | 7.663 | 622 | 80.29 |
3.000 | 2,205 | 489,016,214 | 22.18 | 6.911 | 645 | 80.45 |
5.000 | 6 | 1,915,171 | 0.09 | 6.727 | 680 | 77.08 |
Total: | 8,782 | 2,204,916,843 | 100.00 | 7.491 | 627 | 80.35 |
*ARM Loans Only
DESCRIPTION OF THE TOTAL COLLATERAL |
Subsequent Periodic Rate Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Subsequent | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.000 | 2,207 | 490,573,863 | 22.25 | 6.909 | 645 | 80.47 |
1.500 | 6,575 | 1,714,342,980 | 77.75 | 7.657 | 622 | 80.31 |
Total: | 8,782 | 2,204,916,843 | 100.00 | 7.491 | 627 | 80.35 |
*ARM Loans Only
Lifetime Periodic Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Lifetime | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
5.000 - 5.499 | 120 | 27,489,335 | 1.25 | 7.329 | 640 | 80.71 |
6.000 - 6.499 | 8,299 | 2,095,478,123 | 95.04 | 7.499 | 626 | 80.35 |
6.500 - 6.999 | 8 | 1,962,734 | 0.09 | 7.419 | 609 | 79.79 |
7.000 - 7.499 | 355 | 79,986,651 | 3.63 | 7.320 | 633 | 80.30 |
Total: | 8,782 | 2,204,916,843 | 100.00 | 7.491 | 627 | 80.35 |
*ARM Loans Only
Original Prepayment Charge Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Prepayment Penalty | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (mos.) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 4,548 | 887,035,902 | 35.00 | 7.890 | 630 | 81.95 |
6 | 25 | 2,404,843 | 0.09 | 7.498 | 634 | 86.24 |
12 | 566 | 152,309,198 | 6.01 | 7.801 | 632 | 80.62 |
24 | 5,824 | 1,203,873,660 | 47.50 | 7.618 | 627 | 81.63 |
30 | 3 | 879,888 | 0.03 | 7.262 | 602 | 72.44 |
36 | 1,433 | 286,517,112 | 11.31 | 7.156 | 637 | 79.30 |
60 | 4 | 1,231,319 | 0.05 | 6.205 | 643 | 81.68 |
Total: | 12,403 | 2,534,251,921 | 100.00 | 7.671 | 630 | 81.42 |
DESCRIPTION OF THE GROUP IA COLLATERAL |
SUMMARY – GROUP IA POOL* | |||||
Number of Mortgage Loans: | 6,040 | Index Type: |
| ||
Aggregate Principal Balance: | $996,329,489 | 6 Month LIBOR: | 87.84% | ||
Conforming Principal Balance Loans: | $996,329,489 | Fixed Rate: | 12.16% | ||
Average Principal Balance: | $164,955 | W.A. Initial Periodic Cap: | 2.284% | ||
Range: | $9,860 - $615,074 | W.A. Subsequent Periodic Cap: | 1.354% | ||
W.A. Coupon: | 7.731% | W.A. Lifetime Rate Cap: | 6.029% | ||
Range: | 4.990% - 13.250% | Property Type: |
| ||
W.A. Gross Margin: | 5.913% | Single Family: | 78.47% | ||
Range: | 2.750% - 8.990% | PUD: | 3.94% | ||
W.A. Remaining Term: | 354 months | 2-4 Family: | 10.62% | ||
Range: | 116 months - 359 months | Condo: | 6.90% | ||
W.A. Seasoning: | 4 months | Townhouse | 0.07% | ||
Latest Maturity Date: | January 1, 2036 | Occupancy Status: |
| ||
State Concentration (Top 5): |
| Primary: | 88.29% | ||
California: | 22.06% | Investment: | 10.34% | ||
Florida: | 10.39% | Second Home: | 1.37% | ||
Maryland: | 7.44% | Documentation Status: |
| ||
New York: | 5.63% | Full: | 65.14% | ||
Illinois: | 5.31% | Stated: | 32.32% | ||
W.A. Original Combined LTV: | 79.95% | Limited: | 2.35% | ||
Range: | 10.57% - 100.00% | None: | 0.18% | ||
First Liens: | 96.17% | Non-Zero W.A. Prepayment Penalty – Term: | 26 months | ||
Second Liens: | 3.83% | Loans with Prepay Penalties: | 65.72% | ||
Non-Balloon Loans: | 86.71% | Interest Only Loans: | 26.45% | ||
Non-Zero W.A. FICO Score: | 616 | Non-Zero Weighted Average IO Term | 63 months | ||
* Subject to a permitted variance of +/- 10%
DESCRIPTION OF THE GROUP IA COLLATERAL |
Originator | |||||||
|
|
| % of Aggregate |
| W.A. | W.A. | |
| Number of Initial | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Originator | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Fremont Investment and Loan | 3,821 | 683,331,499 | 68.58 | 7.918 | 609 | 79.34 | |
OwnIt Mortgage | 1,167 | 139,725,086 | 14.02 | 6.999 | 643 | 83.50 | |
Other | 1,052 | 173,272,904 | 17.39 | 7.580 | 623 | 79.53 | |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 | |
Principal Balance at Origination | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Principal Balance at | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Origination ($) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 802 | 25,496,130 | 2.56 | 10.270 | 640 | 98.48 |
50,000.01 - 100,000.00 | 1,103 | 83,432,034 | 8.37 | 8.601 | 616 | 83.69 |
100,000.01 - 150,000.00 | 1,197 | 148,084,014 | 14.86 | 7.814 | 613 | 79.58 |
150,000.01 - 200,000.00 | 1,068 | 185,940,346 | 18.66 | 7.661 | 612 | 78.43 |
200,000.01 - 250,000.00 | 628 | 140,813,345 | 14.13 | 7.657 | 610 | 78.75 |
250,000.01 - 300,000.00 | 468 | 128,320,384 | 12.88 | 7.621 | 611 | 79.15 |
300,000.01 - 350,000.00 | 332 | 107,762,754 | 10.82 | 7.393 | 618 | 79.57 |
350,000.01 - 400,000.00 | 300 | 112,387,178 | 11.28 | 7.305 | 619 | 78.72 |
400,000.01 - 450,000.00 | 85 | 35,540,916 | 3.57 | 7.326 | 624 | 80.62 |
450,000.01 - 500,000.00 | 38 | 18,098,489 | 1.82 | 7.254 | 649 | 78.66 |
500,000.01 - 550,000.00 | 10 | 5,205,444 | 0.52 | 7.175 | 678 | 83.00 |
550,000.01 - 600,000.00 | 8 | 4,633,381 | 0.47 | 7.252 | 646 | 78.28 |
600,000.01 - 650,000.00 | 1 | 615,074 | 0.06 | 7.450 | 633 | 80.00 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
DESCRIPTION OF THE GROUP IA COLLATERAL |
Remaining Principal Balance | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Remaining Principal | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Balance ($) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 803 | 25,546,094 | 2.56 | 10.270 | 640 | 98.49 |
50,000.01 - 100,000.00 | 1,103 | 83,482,004 | 8.38 | 8.598 | 616 | 83.69 |
100,000.01 - 150,000.00 | 1,197 | 148,134,045 | 14.87 | 7.815 | 613 | 79.58 |
150,000.01 - 200,000.00 | 1,069 | 186,189,758 | 18.69 | 7.659 | 612 | 78.41 |
200,000.01 - 250,000.00 | 629 | 141,163,674 | 14.17 | 7.664 | 610 | 78.76 |
250,000.01 - 300,000.00 | 466 | 127,870,600 | 12.83 | 7.619 | 611 | 79.17 |
300,000.01 - 350,000.00 | 332 | 107,812,131 | 10.82 | 7.391 | 618 | 79.54 |
350,000.01 - 400,000.00 | 300 | 112,437,771 | 11.29 | 7.299 | 619 | 78.77 |
400,000.01 - 450,000.00 | 85 | 35,589,959 | 3.57 | 7.334 | 623 | 80.57 |
450,000.01 - 500,000.00 | 37 | 17,649,553 | 1.77 | 7.267 | 649 | 78.50 |
500,000.01 - 550,000.00 | 10 | 5,205,444 | 0.52 | 7.175 | 678 | 83.00 |
550,000.01 - 600,000.00 | 8 | 4,633,381 | 0.47 | 7.252 | 646 | 78.28 |
600,000.01 - 650,000.00 | 1 | 615,074 | 0.06 | 7.450 | 633 | 80.00 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
Remaining Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Months Remaining | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
61 - 120 | 23 | 366,895 | 0.04 | 11.041 | 613 | 97.04 |
121 - 180 | 308 | 11,236,357 | 1.13 | 10.118 | 638 | 93.86 |
181 - 240 | 17 | 1,134,606 | 0.11 | 8.929 | 625 | 83.94 |
301 - 360 | 5,692 | 983,591,630 | 98.72 | 7.701 | 616 | 79.78 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
DESCRIPTION OF THE GROUP IA COLLATERAL |
Product Type | ||||||||||
| Number of | Aggregate | % of Aggregate | W.A. | W.A. | W.A. | ||||
| Initial Mortgage | Remaining | Remaining | Coupon | Non-Zero | Original | ||||
Collateral Type | Loans | Principal Balance ($) | Principal Balance | (%) | FICO | CLTV (%) | ||||
Fixed - 10 Year | 23 | 366,895 | 0.04 | 11.041 | 613 | 97.04 | ||||
Fixed - 15 Year | 81 | 3,098,247 | 0.31 | 8.765 | 636 | 84.11 | ||||
Fixed - 20 Year | 17 | 1,134,606 | 0.11 | 8.929 | 625 | 83.94 | ||||
Fixed - 30 Year | 1,048 | 99,803,992 | 10.02 | 8.189 | 637 | 82.38 | ||||
Fixed - 30 Year IO | 9 | 1,571,930 | 0.16 | 7.458 | 640 | 72.24 | ||||
Balloon - 15/30 | 227 | 8,138,110 | 0.82 | 10.633 | 639 | 97.57 | ||||
Balloon - 30/40 | 28 | 7,050,611 | 0.71 | 7.457 | 638 | 79.32 | ||||
ARM - 2 Year/6 Month | 2,736 | 469,063,687 | 47.08 | 8.049 | 598 | 79.11 | ||||
ARM - 2 Year/6 Month IO | 1,034 | 220,082,686 | 22.09 | 6.932 | 637 | 80.32 | ||||
ARM - 2 Year/6 Month 30/40 Balloon | 459 | 113,978,601 | 11.44 | 7.834 | 604 | 80.13 | ||||
ARM - 3 Year/6 Month | 122 | 19,473,887 | 1.95 | 7.327 | 633 | 78.76 | ||||
ARM - 3 Year/6 Month IO | 160 | 32,724,554 | 3.28 | 6.676 | 657 | 79.78 | ||||
ARM - 3 Year/6 Month 30/40 Balloon | 7 | 1,520,819 | 0.15 | 7.659 | 571 | 82.11 | ||||
ARM - 4 Year/6 Month | 3 | 290,430 | 0.03 | 7.835 | 646 | 95.68 | ||||
ARM - 4 Year/6 Month IO | 6 | 1,428,999 | 0.14 | 6.194 | 646 | 72.92 | ||||
ARM - 5 Year/6 Month | 36 | 7,201,288 | 0.72 | 7.291 | 654 | 72.17 | ||||
ARM - 5 Year/6 Month IO | 36 | 7,709,993 | 0.77 | 6.460 | 672 | 78.96 | ||||
ARM - 5 Year/6 Month 30/40 Balloon | 8 | 1,690,153 | 0.17 | 7.528 | 634 | 79.20 | ||||
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 | ||||
Interest Only Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Interest Only | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (months) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 4,795 | 732,811,327 | 73.55 | 8.034 | 607 | 79.89 |
24 | 2 | 560,000 | 0.06 | 7.407 | 624 | 79.22 |
60 | 1,191 | 250,913,926 | 25.18 | 6.863 | 639 | 80.04 |
84 | 3 | 863,250 | 0.09 | 7.180 | 700 | 81.09 |
120 | 49 | 11,180,986 | 1.12 | 7.342 | 657 | 82.05 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
DESCRIPTION OF THE GROUP IA COLLATERAL |
Mortgage Rate | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
4.500 - 4.999 | 1 | 221,577 | 0.02 | 4.990 | 756 | 80.00 |
5.000 - 5.499 | 11 | 2,829,529 | 0.28 | 5.291 | 677 | 76.10 |
5.500 - 5.999 | 345 | 71,260,840 | 7.15 | 5.798 | 666 | 76.55 |
6.000 - 6.499 | 297 | 68,612,126 | 6.89 | 6.267 | 643 | 77.03 |
6.500 - 6.999 | 729 | 161,553,656 | 16.21 | 6.780 | 638 | 78.02 |
7.000 - 7.499 | 625 | 126,701,680 | 12.72 | 7.243 | 628 | 80.26 |
7.500 - 7.999 | 1,090 | 205,786,470 | 20.65 | 7.759 | 614 | 80.81 |
8.000 - 8.499 | 685 | 118,624,946 | 11.91 | 8.235 | 600 | 81.79 |
8.500 - 8.999 | 727 | 111,826,897 | 11.22 | 8.705 | 586 | 81.22 |
9.000 - 9.499 | 397 | 48,511,530 | 4.87 | 9.208 | 580 | 81.66 |
9.500 - 9.999 | 354 | 34,007,977 | 3.41 | 9.745 | 565 | 79.61 |
10.000 - 10.499 | 179 | 12,960,608 | 1.30 | 10.242 | 581 | 81.46 |
10.500 - 10.999 | 276 | 16,604,249 | 1.67 | 10.751 | 579 | 82.38 |
11.000 - 11.499 | 196 | 10,021,763 | 1.01 | 11.223 | 582 | 85.37 |
11.500 - 11.999 | 78 | 4,546,960 | 0.46 | 11.696 | 567 | 80.48 |
12.000 - 12.499 | 34 | 1,427,495 | 0.14 | 12.161 | 575 | 85.81 |
12.500 - 12.999 | 13 | 784,031 | 0.08 | 12.652 | 544 | 75.85 |
13.000 - 13.499 | 3 | 47,155 | 0.00 | 13.194 | 601 | 95.71 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
Original Combined Loan-to-Value Ratio | ||||||
Original Combined |
|
| % of Aggregate |
| W.A. | W.A. |
Loan-to-Value | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Ratio (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Less than or equal to 50.00 | 153 | 22,533,537 | 2.26 | 7.852 | 587 | 41.91 |
50.01 - 55.00 | 74 | 14,487,077 | 1.45 | 7.540 | 597 | 52.86 |
55.01 - 60.00 | 136 | 27,438,194 | 2.75 | 7.913 | 580 | 57.98 |
60.01 - 65.00 | 209 | 43,169,957 | 4.33 | 8.002 | 590 | 63.68 |
65.01 - 70.00 | 286 | 59,951,030 | 6.02 | 8.162 | 585 | 68.58 |
70.01 - 75.00 | 343 | 70,392,782 | 7.07 | 7.894 | 583 | 74.03 |
75.01 - 80.00 | 2,121 | 402,538,134 | 40.40 | 7.277 | 632 | 79.78 |
80.01 - 85.00 | 454 | 90,394,153 | 9.07 | 7.705 | 596 | 84.49 |
85.01 - 90.00 | 970 | 183,221,360 | 18.39 | 7.828 | 619 | 89.77 |
90.01 - 95.00 | 175 | 23,575,221 | 2.37 | 8.119 | 632 | 94.53 |
95.01 - 100.00 | 1,119 | 58,628,044 | 5.88 | 9.498 | 642 | 99.94 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
DESCRIPTION OF THE GROUP IA COLLATERAL |
FICO Score at Origination | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
FICO Score | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
At Origination | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
500 - 524 | 317 | 59,433,001 | 5.97 | 9.249 | 513 | 71.74 |
525 - 549 | 434 | 81,832,706 | 8.21 | 8.579 | 537 | 73.56 |
550 - 574 | 592 | 109,287,931 | 10.97 | 8.185 | 562 | 78.67 |
575 - 599 | 850 | 135,808,804 | 13.63 | 7.819 | 587 | 79.93 |
600 - 624 | 1,100 | 164,593,232 | 16.52 | 7.588 | 612 | 81.83 |
625 - 649 | 1,083 | 170,221,487 | 17.08 | 7.481 | 636 | 82.24 |
650 - 674 | 810 | 130,196,176 | 13.07 | 7.236 | 660 | 81.60 |
675 - 699 | 419 | 73,371,488 | 7.36 | 7.100 | 686 | 81.28 |
700 - 724 | 196 | 31,627,194 | 3.17 | 7.134 | 711 | 82.44 |
725 - 749 | 120 | 20,677,771 | 2.08 | 7.150 | 738 | 82.46 |
750 - 774 | 80 | 11,841,321 | 1.19 | 7.027 | 761 | 83.07 |
775 - 799 | 30 | 6,190,953 | 0.62 | 7.040 | 784 | 79.67 |
800 - 824 | 9 | 1,247,426 | 0.13 | 6.831 | 807 | 62.99 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
DESCRIPTION OF THE GROUP IA COLLATERAL |
Geographic Distribution* | ||||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. |
| |
| Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
California | 876 | 219,825,446 | 22.06 | 7.283 | 620 | 76.23 |
| |
Florida | 674 | 103,538,970 | 10.39 | 8.220 | 602 | 79.94 |
| |
Maryland | 400 | 74,173,537 | 7.44 | 7.816 | 603 | 78.90 |
| |
New York | 204 | 56,111,540 | 5.63 | 7.601 | 616 | 77.32 |
| |
Illinois | 335 | 52,925,369 | 5.31 | 7.842 | 624 | 82.32 |
| |
New Jersey | 207 | 46,417,931 | 4.66 | 7.952 | 606 | 78.36 |
| |
Massachusetts | 164 | 35,890,846 | 3.60 | 7.743 | 622 | 77.48 |
| |
Georgia | 305 | 35,298,958 | 3.54 | 7.943 | 621 | 85.33 |
| |
Washington | 238 | 34,800,897 | 3.49 | 7.255 | 635 | 82.72 |
| |
Arizona | 213 | 34,037,453 | 3.42 | 7.745 | 604 | 79.32 |
| |
Virginia | 158 | 30,278,968 | 3.04 | 8.151 | 601 | 79.30 |
| |
Colorado | 247 | 29,282,116 | 2.94 | 7.131 | 640 | 83.36 |
| |
Ohio | 250 | 23,664,890 | 2.38 | 7.836 | 618 | 88.07 |
| |
Oregon | 132 | 18,595,270 | 1.87 | 7.309 | 639 | 82.72 |
| |
Nevada | 99 | 17,750,604 | 1.78 | 7.976 | 607 | 79.55 |
| |
Hawaii | 57 | 17,121,283 | 1.72 | 7.234 | 652 | 79.93 |
| |
Michigan | 166 | 16,743,000 | 1.68 | 8.307 | 607 | 83.80 |
| |
Connecticut | 95 | 15,531,075 | 1.56 | 8.049 | 611 | 80.32 |
| |
Minnesota | 100 | 14,548,056 | 1.46 | 7.552 | 622 | 83.06 |
| |
Pennsylvania | 107 | 14,206,319 | 1.43 | 8.345 | 598 | 80.90 |
| |
Texas | 109 | 10,839,633 | 1.09 | 8.252 | 614 | 83.95 |
| |
Wisconsin | 103 | 10,212,508 | 1.03 | 8.094 | 622 | 86.96 |
| |
North Carolina | 91 | 9,916,642 | 1.00 | 8.288 | 605 | 82.89 |
| |
Missouri | 97 | 8,769,423 | 0.88 | 8.230 | 606 | 86.07 |
| |
Utah | 67 | 7,234,285 | 0.73 | 7.137 | 634 | 82.19 |
| |
*Geographic Distribution continued on the next page
DESCRIPTION OF THE GROUP IA COLLATERAL |
Geographic Distribution (Continued) | ||||||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. |
| |||
| Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |||
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |||
District of Columbia | 32 | 6,846,651 | 0.69 | 7.637 | 603 | 72.21 |
| |||
Kentucky | 68 | 6,271,688 | 0.63 | 8.015 | 629 | 89.04 |
| |||
Tennessee | 75 | 5,969,962 | 0.60 | 8.070 | 614 | 85.51 |
| |||
Indiana | 52 | 4,806,915 | 0.48 | 7.989 | 623 | 88.41 |
| |||
Rhode Island | 21 | 4,245,770 | 0.43 | 8.440 | 596 | 81.76 |
| |||
South Carolina | 35 | 3,709,684 | 0.37 | 8.433 | 596 | 83.31 |
| |||
New Hampshire | 22 | 3,367,711 | 0.34 | 8.267 | 607 | 80.58 |
| |||
New Mexico | 22 | 3,135,588 | 0.31 | 7.275 | 632 | 81.90 |
| |||
Kansas | 42 | 3,083,553 | 0.31 | 8.148 | 619 | 89.26 |
| |||
Idaho | 39 | 2,921,613 | 0.29 | 7.799 | 622 | 79.59 |
| |||
Delaware | 25 | 2,861,052 | 0.29 | 8.439 | 610 | 81.93 |
| |||
Maine | 18 | 2,286,172 | 0.23 | 8.114 | 625 | 75.95 |
| |||
Iowa | 22 | 1,878,148 | 0.19 | 7.987 | 621 | 89.34 |
| |||
Vermont | 10 | 1,720,624 | 0.17 | 8.364 | 591 | 75.40 |
| |||
Oklahoma | 21 | 1,346,189 | 0.14 | 8.691 | 597 | 82.04 |
| |||
Nebraska | 15 | 1,239,213 | 0.12 | 7.919 | 630 | 91.49 |
| |||
West Virginia | 5 | 920,361 | 0.09 | 8.554 | 586 | 75.77 |
| |||
Arkansas | 6 | 781,084 | 0.08 | 7.942 | 604 | 84.87 |
| |||
Wyoming | 5 | 408,213 | 0.04 | 8.097 | 642 | 82.43 |
| |||
Louisiana | 3 | 243,913 | 0.02 | 8.236 | 658 | 82.42 |
| |||
Mississippi | 3 | 220,644 | 0.02 | 8.193 | 627 | 91.92 |
| |||
Montana | 2 | 194,284 | 0.02 | 7.199 | 600 | 70.15 |
| |||
Alabama | 2 | 91,319 | 0.01 | 8.381 | 593 | 84.00 |
| |||
South Dakota | 1 | 64,121 | 0.01 | 9.600 | 624 | 100.00 |
| |||
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
| |||
DESCRIPTION OF THE GROUP IA COLLATERAL |
Occupancy Status | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Occupancy Status | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Primary | 5,392 | 879,634,953 | 88.29 | 7.693 | 611 | 79.74 |
Investment | 582 | 103,024,948 | 10.34 | 8.052 | 653 | 81.93 |
Second Home | 66 | 13,669,589 | 1.37 | 7.710 | 644 | 78.67 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
Documentation Type | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Program | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Full Documentation | 4,216 | 649,012,874 | 65.14 | 7.542 | 613 | 81.43 |
Stated Documentation | 1,681 | 322,018,761 | 32.32 | 8.107 | 621 | 76.86 |
Limited Documentation | 135 | 23,460,223 | 2.35 | 7.784 | 622 | 82.04 |
No Documentation | 8 | 1,837,630 | 0.18 | 7.650 | 626 | 73.57 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
Loan Purpose | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Purpose | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Refinance - Cashout | 3,105 | 620,966,268 | 62.33 | 7.768 | 602 | 77.71 |
Purchase | 2,775 | 346,898,867 | 34.82 | 7.696 | 640 | 84.17 |
Refinance - Rate Term | 160 | 28,464,354 | 2.86 | 7.342 | 615 | 77.62 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
DESCRIPTION OF THE GROUP IA COLLATERAL |
Property Type | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Property Type | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Single Family Residence | 4,874 | 781,782,294 | 78.47 | 7.757 | 611 | 79.96 |
2-4 Family | 451 | 105,797,065 | 10.62 | 7.754 | 633 | 79.04 |
Condo | 447 | 68,777,652 | 6.90 | 7.684 | 634 | 80.56 |
PUD | 264 | 39,262,586 | 3.94 | 7.216 | 635 | 81.37 |
Townhouse | 4 | 709,892 | 0.07 | 7.876 | 627 | 75.09 |
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
DESCRIPTION OF THE GROUP IA COLLATERAL |
Rate Adjustment* | ||||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. |
| |
Month & Year of Next | Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Rate Adjustment | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
February 2007 | 1 | 204,914 | 0.02 | 7.150 | 573 | 45.56 |
| |
March 2007 | 1 | 115,771 | 0.01 | 7.625 | 617 | 90.00 |
| |
April 2007 | 3 | 372,306 | 0.04 | 7.421 | 572 | 81.39 |
| |
May 2007 | 10 | 1,337,505 | 0.15 | 7.499 | 618 | 79.49 |
| |
June 2007 | 61 | 9,237,711 | 1.06 | 7.112 | 632 | 84.36 |
| |
July 2007 | 179 | 29,838,903 | 3.41 | 6.234 | 646 | 79.31 |
| |
August 2007 | 489 | 71,135,062 | 8.13 | 7.199 | 635 | 83.05 |
| |
September 2007 | 150 | 29,691,003 | 3.39 | 7.526 | 600 | 77.61 |
| |
October 2007 | 805 | 153,500,225 | 17.54 | 7.634 | 606 | 80.00 |
| |
November 2007 | 1,325 | 258,412,800 | 29.53 | 7.852 | 603 | 78.99 |
| |
December 2007 | 1,204 | 248,896,389 | 28.44 | 7.986 | 607 | 79.05 |
| |
January 2008 | 1 | 382,384 | 0.04 | 7.800 | 634 | 90.00 |
| |
April 2008 | 1 | 170,900 | 0.02 | 7.250 | 662 | 89.99 |
| |
May 2008 | 3 | 377,845 | 0.04 | 7.042 | 638 | 79.34 |
| |
June 2008 | 6 | 1,452,132 | 0.17 | 6.044 | 650 | 82.85 |
| |
July 2008 | 54 | 9,017,449 | 1.03 | 6.059 | 671 | 80.53 |
| |
August 2008 | 79 | 11,224,658 | 1.28 | 6.969 | 643 | 83.98 |
| |
September 2008 | 17 | 4,168,451 | 0.48 | 6.901 | 626 | 73.82 |
| |
October 2008 | 67 | 13,659,664 | 1.56 | 7.137 | 646 | 78.24 |
| |
November 2008 | 30 | 5,588,482 | 0.64 | 7.395 | 639 | 80.05 |
| |
December 2008 | 32 | 8,059,678 | 0.92 | 7.405 | 634 | 75.81 |
| |
June 2009 | 1 | 360,000 | 0.04 | 5.875 | 611 | 60.00 |
| |
July 2009 | 1 | 327,999 | 0.04 | 5.750 | 706 | 80.00 |
| |
August 2009 | 7 | 1,031,430 | 0.12 | 6.909 | 639 | 81.59 |
| |
June 2010 | 2 | 481,500 | 0.06 | 6.809 | 656 | 83.09 |
| |
July 2010 | 23 | 4,274,783 | 0.49 | 6.036 | 680 | 78.84 |
| |
August 2010 | 14 | 2,530,530 | 0.29 | 6.246 | 673 | 79.22 |
| |
September 2010 | 4 | 1,139,277 | 0.13 | 7.495 | 649 | 71.72 |
| |
October 2010 | 11 | 2,426,654 | 0.28 | 7.191 | 648 | 70.49 |
| |
November 2010 | 13 | 2,289,675 | 0.26 | 7.926 | 634 | 75.94 |
| |
December 2010 | 13 | 3,459,015 | 0.40 | 7.518 | 656 | 74.65 |
| |
Total: | 4,607 | 875,165,096 | 100.00 | 7.647 | 613 | 79.51 |
| |
*ARM Loans Only
DESCRIPTION OF THE GROUP IA COLLATERAL |
| Gross Margin* | ||||||
|
| % of Aggregate |
| W.A. | W.A. |
| |
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
1 | 211,971 | 0.02 | 6.625 | 666 | 80.00 |
| |
4 | 1,027,737 | 0.12 | 6.215 | 729 | 69.50 |
| |
21 | 5,797,648 | 0.66 | 5.916 | 669 | 75.68 |
| |
113 | 29,832,754 | 3.41 | 6.119 | 651 | 76.34 |
| |
543 | 115,459,875 | 13.19 | 6.310 | 648 | 78.27 |
| |
536 | 120,351,778 | 13.75 | 7.044 | 632 | 79.58 |
| |
985 | 194,846,968 | 22.26 | 7.410 | 618 | 80.03 |
| |
831 | 160,399,447 | 18.33 | 7.895 | 611 | 80.70 |
| |
1,331 | 213,259,308 | 24.37 | 8.901 | 573 | 78.30 |
| |
126 | 18,505,964 | 2.11 | 8.132 | 614 | 83.35 |
| |
86 | 12,107,817 | 1.38 | 8.467 | 603 | 89.87 |
| |
22 | 2,684,670 | 0.31 | 8.902 | 619 | 85.83 |
| |
8 | 679,159 | 0.08 | 9.619 | 599 | 95.74 |
| |
4,607 | 875,165,096 | 100.00 | 7.647 | 613 | 79.51 |
| |
| *ARM Loans Only |
DESCRIPTION OF THE GROUP IA COLLATERAL |
Maximum Mortgage Rate* | ||||||
|
| % of Aggregate |
| W.A. | W.A. |
|
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
|
Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
|
2 | 482,577 | 0.06 | 5.333 | 721 | 85.41 |
|
12 | 3,180,529 | 0.36 | 5.369 | 677 | 77.64 |
|
342 | 70,519,554 | 8.06 | 5.858 | 665 | 77.58 |
|
256 | 57,099,214 | 6.52 | 6.340 | 640 | 77.82 |
|
599 | 130,335,164 | 14.89 | 6.808 | 635 | 78.33 |
|
547 | 112,934,960 | 12.90 | 7.206 | 626 | 80.28 |
|
970 | 188,822,077 | 21.58 | 7.717 | 614 | 81.22 |
|
626 | 111,413,122 | 12.73 | 8.160 | 599 | 81.82 |
|
615 | 103,795,613 | 11.86 | 8.642 | 584 | 80.62 |
|
271 | 43,808,111 | 5.01 | 9.073 | 573 | 79.64 |
|
188 | 27,867,467 | 3.18 | 9.627 | 546 | 75.21 |
|
71 | 8,499,771 | 0.97 | 10.122 | 540 | 72.07 |
|
51 | 8,335,037 | 0.95 | 10.666 | 533 | 65.72 |
|
27 | 4,182,235 | 0.48 | 11.198 | 534 | 65.87 |
|
23 | 2,785,711 | 0.32 | 11.650 | 531 | 68.14 |
|
4 | 581,176 | 0.07 | 12.105 | 532 | 66.59 |
|
3 | 522,779 | 0.06 | 12.628 | 514 | 63.89 |
|
4,607 | 875,165,096 | 100.00 | 7.647 | 613 | 79.51 |
|
*ARM Loans Only
DESCRIPTION OF THE GROUP IA COLLATERAL |
Minimum Mortgage Rate* | ||||||
|
| % of Aggregate |
| W.A. | W.A. |
|
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
|
Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
|
3 | 479,255 | 0.05 | 6.435 | 668 | 87.15 |
|
13 | 2,751,358 | 0.31 | 5.581 | 667 | 77.15 |
|
385 | 76,423,110 | 8.73 | 6.014 | 656 | 78.02 |
|
264 | 60,605,505 | 6.93 | 6.305 | 639 | 77.81 |
|
630 | 137,419,599 | 15.70 | 6.787 | 637 | 78.30 |
|
562 | 113,745,189 | 13.00 | 7.237 | 628 | 80.27 |
|
959 | 186,747,939 | 21.34 | 7.758 | 614 | 81.27 |
|
611 | 109,236,487 | 12.48 | 8.239 | 597 | 81.91 |
|
600 | 100,577,535 | 11.49 | 8.701 | 582 | 80.68 |
|
242 | 38,790,447 | 4.43 | 9.199 | 567 | 79.48 |
|
170 | 25,300,701 | 2.89 | 9.726 | 542 | 74.25 |
|
66 | 7,724,513 | 0.88 | 10.235 | 541 | 71.55 |
|
50 | 7,970,608 | 0.91 | 10.728 | 531 | 64.65 |
|
25 | 3,841,738 | 0.44 | 11.257 | 535 | 65.58 |
|
21 | 2,545,084 | 0.29 | 11.742 | 534 | 67.50 |
|
4 | 581,176 | 0.07 | 12.105 | 532 | 66.59 |
|
2 | 424,852 | 0.05 | 12.612 | 510 | 62.49 |
|
4,607 | 875,165,096 | 100.00 | 7.647 | 613 | 79.51 |
|
*ARM Loans Only
Initial Periodic Rate Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Initial | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.500 | 91 | 17,280,994 | 1.97 | 7.302 | 631 | 81.18 |
2.000 | 3,036 | 601,708,059 | 68.75 | 7.887 | 605 | 79.08 |
3.000 | 1,478 | 255,700,872 | 29.22 | 7.110 | 631 | 80.40 |
5.000 | 2 | 475,171 | 0.05 | 6.833 | 663 | 80.00 |
Total: | 4,607 | 875,165,096 | 100.00 | 7.647 | 613 | 79.51 |
*ARM Loans Only
DESCRIPTION OF THE GROUP IA COLLATERAL |
Subsequent Periodic Rate Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Subsequent | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.000 | 1,477 | 255,653,412 | 29.21 | 7.106 | 631 | 80.43 |
1.500 | 3,130 | 619,511,684 | 70.79 | 7.871 | 605 | 79.13 |
Total: | 4,607 | 875,165,096 | 100.00 | 7.647 | 613 | 79.51 |
*ARM Loans Only
Lifetime Periodic Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Lifetime | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
5.000 - 5.499 | 88 | 17,496,784 | 2.00 | 7.410 | 637 | 80.76 |
6.000 - 6.499 | 4,288 | 813,796,371 | 92.99 | 7.666 | 612 | 79.45 |
6.500 - 6.999 | 7 | 1,565,424 | 0.18 | 7.431 | 609 | 79.74 |
7.000 - 7.499 | 224 | 42,306,517 | 4.83 | 7.392 | 621 | 80.05 |
Total: | 4,607 | 875,165,096 | 100.00 | 7.647 | 613 | 79.51 |
*ARM Loans Only
Original Prepayment Charge Term | |||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
|
Prepayment Penalty | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
|
Term (mos.) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
|
0 | 2,173 | 341,544,005 | 34.28 | 7.920 | 615 | 80.64 |
|
6 | 22 | 1,937,542 | 0.19 | 7.505 | 632 | 85.39 |
|
12 | 200 | 43,926,823 | 4.41 | 7.994 | 619 | 78.08 |
|
24 | 2,764 | 461,096,839 | 46.28 | 7.740 | 611 | 79.89 |
|
30 | 1 | 204,914 | 0.02 | 7.150 | 573 | 45.56 |
|
36 | 880 | 147,619,365 | 14.82 | 7.189 | 632 | 79.10 |
|
Total: | 6,040 | 996,329,489 | 100.00 | 7.731 | 616 | 79.95 |
|
DESCRIPTION OF THE GROUP IB COLLATERAL |
SUMMARY – GROUP IB POOL* | |||||
Number of Mortgage Loans: | 3,526 | Index Type: |
| ||
Aggregate Principal Balance: | $684,638,173 | 6 Month LIBOR: | 88.32% | ||
Conforming Principal Balance Loans: | $684,638,173 | Fixed Rate: | 11.68% | ||
Average Principal Balance: | $194,169 | W.A. Initial Periodic Cap: | 2.000% | ||
Range: | $9,631 - $622,363 | W.A. Subsequent Periodic Cap: | 1.500% | ||
W.A. Coupon: | 7.779% | W.A. Lifetime Rate Cap: | 6.002% | ||
Range: | 5.450% - 12.650% | Property Type: |
| ||
W.A. Gross Margin: | 5.742% | Single Family: | 76.30% | ||
Range: | 3.750% - 6.990% | PUD: | 0.10% | ||
W.A. Remaining Term: | 356 months | 2-4 Family: | 15.93% | ||
Range: | 57 months - 359 months | Condo: | 7.67% | ||
W.A. Seasoning: | 3 months |
|
| ||
Latest Maturity Date: | January 1, 2036 | Occupancy Status: |
| ||
State Concentration (Top 5): |
| Primary: | 95.67% | ||
California: | 21.53% | Investment | 3.78% | ||
New York: | 15.40% | Second Home | 0.56% | ||
Florida: | 11.20% | Documentation Status: |
| ||
New Jersey: | 8.36% | Full: | 51.65% | ||
Maryland: | 6.32% | Stated: | 46.90% | ||
W.A. Original Combined LTV: | 81.75% | Limited: | 1.45% | ||
Range: | 18.18% - 100.00% |
|
| ||
First Liens: | 93.76% | Non-Zero W.A. Prepayment Penalty – Term: | 25 months | ||
Second Liens: | 6.24% | Loans with Prepay Penalties: | 51.87% | ||
Non-Balloon Loans: | 82.02% | Interest Only Loans: | 20.89% | ||
Non-Zero W.A. FICO Score: | 633 | Non-Zero Weighted Average IO Term | 60 months | ||
* Subject to a permitted variance of +/- 10%
DESCRIPTION OF THE GROUP IB COLLATERAL |
Originator | |||||||
|
|
| % of Aggregate |
| W.A. | W.A. | |
| Number of Initial | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Originator | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Fremont Investment and Loan | 3,501 | 682,400,847 | 99.67 | 7.774 | 633 | 81.71 | |
Other | 25 | 2,237,326 | 0.33 | 9.247 | 648 | 94.06 | |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 | |
Principal Balance at Origination | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Principal Balance at | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Origination ($) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 476 | 15,174,244 | 2.22 | 10.437 | 640 | 98.58 |
50,000.01 - 100,000.00 | 533 | 38,627,264 | 5.64 | 9.631 | 641 | 93.10 |
100,000.01 - 150,000.00 | 431 | 54,386,461 | 7.94 | 8.119 | 611 | 80.07 |
150,000.01 - 200,000.00 | 505 | 88,818,140 | 12.97 | 7.799 | 621 | 79.39 |
200,000.01 - 250,000.00 | 416 | 93,801,064 | 13.70 | 7.745 | 626 | 80.35 |
250,000.01 - 300,000.00 | 366 | 100,714,601 | 14.71 | 7.625 | 627 | 80.09 |
300,000.01 - 350,000.00 | 343 | 110,634,833 | 16.16 | 7.444 | 641 | 81.62 |
350,000.01 - 400,000.00 | 296 | 110,899,961 | 16.20 | 7.370 | 641 | 81.17 |
400,000.01 - 450,000.00 | 103 | 43,125,860 | 6.30 | 7.481 | 644 | 81.66 |
450,000.01 - 500,000.00 | 30 | 14,202,077 | 2.07 | 7.094 | 668 | 80.70 |
500,000.01 - 550,000.00 | 24 | 12,460,665 | 1.82 | 7.236 | 675 | 81.70 |
550,000.01 - 600,000.00 | 2 | 1,170,640 | 0.17 | 6.772 | 653 | 84.88 |
600,000.01 - 650,000.00 | 1 | 622,363 | 0.09 | 6.700 | 562 | 80.00 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
DESCRIPTION OF THE GROUP IB COLLATERAL |
Remaining Principal Balance | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Remaining Principal | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Balance ($) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 477 | 15,224,148 | 2.22 | 10.435 | 640 | 98.50 |
50,000.01 - 100,000.00 | 533 | 38,677,261 | 5.65 | 9.626 | 641 | 93.12 |
100,000.01 - 150,000.00 | 431 | 54,436,473 | 7.95 | 8.119 | 611 | 80.07 |
150,000.01 - 200,000.00 | 504 | 88,668,229 | 12.95 | 7.798 | 621 | 79.37 |
200,000.01 - 250,000.00 | 418 | 94,300,499 | 13.77 | 7.742 | 625 | 80.38 |
250,000.01 - 300,000.00 | 367 | 101,114,734 | 14.77 | 7.625 | 628 | 80.08 |
300,000.01 - 350,000.00 | 342 | 110,434,868 | 16.13 | 7.444 | 641 | 81.63 |
350,000.01 - 400,000.00 | 295 | 110,600,296 | 16.15 | 7.373 | 641 | 81.20 |
400,000.01 - 450,000.00 | 102 | 42,725,920 | 6.24 | 7.476 | 644 | 81.58 |
450,000.01 - 500,000.00 | 30 | 14,202,077 | 2.07 | 7.094 | 668 | 80.70 |
500,000.01 - 550,000.00 | 24 | 12,460,665 | 1.82 | 7.236 | 675 | 81.70 |
550,000.01 - 600,000.00 | 2 | 1,170,640 | 0.17 | 6.772 | 653 | 84.88 |
600,000.01 - 650,000.00 | 1 | 622,363 | 0.09 | 6.700 | 562 | 80.00 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
Remaining Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Months Remaining | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1 - 60 | 5 | 68,731 | 0.01 | 12.184 | 607 | 94.96 |
61 - 120 | 56 | 795,368 | 0.12 | 11.804 | 627 | 95.69 |
121 - 180 | 109 | 3,767,127 | 0.55 | 10.207 | 646 | 92.98 |
181 - 240 | 14 | 1,098,068 | 0.16 | 8.671 | 662 | 84.24 |
301 - 360 | 3,342 | 678,908,878 | 99.16 | 7.759 | 633 | 81.66 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
DESCRIPTION OF THE GROUP IB COLLATERAL |
Product Type | ||||||
| Number of | Aggregate | % of Aggregate | W.A. | W.A. | W.A. |
| Initial Mortgage | Remaining | Remaining | Coupon | Non-Zero | Original |
Collateral Type | Loans | Principal Balance ($) | Principal Balance | (%) | FICO | CLTV (%) |
Fixed - 5 Year | 5 | 68,731 | 0.01 | 12.184 | 607 | 94.96 |
Fixed - 10 Year | 56 | 795,368 | 0.12 | 11.804 | 627 | 95.69 |
Fixed - 15 Year | 90 | 2,316,786 | 0.34 | 10.580 | 613 | 88.59 |
Fixed - 20 Year | 14 | 1,098,068 | 0.16 | 8.671 | 662 | 84.24 |
Fixed - 30 Year | 843 | 70,519,282 | 10.30 | 8.887 | 645 | 87.71 |
Balloon - 15/30 | 19 | 1,450,341 | 0.21 | 9.611 | 700 | 100.00 |
Balloon - 30/40 | 13 | 3,714,268 | 0.54 | 7.060 | 649 | 81.10 |
ARM - 2 Year/6 Month | 1,467 | 332,670,438 | 48.59 | 7.885 | 627 | 80.92 |
ARM - 2 Year/6 Month IO | 521 | 138,515,131 | 20.23 | 7.013 | 644 | 81.25 |
ARM - 2 Year/6 Month 30/40 Balloon | 427 | 115,383,371 | 16.85 | 7.662 | 628 | 80.92 |
ARM - 3 Year/6 Month | 34 | 8,745,664 | 1.28 | 7.620 | 637 | 81.36 |
ARM - 3 Year/6 Month IO | 15 | 4,501,496 | 0.66 | 6.911 | 649 | 79.22 |
ARM - 3 Year/6 Month 30/40 Balloon | 9 | 2,047,017 | 0.30 | 7.641 | 610 | 76.32 |
ARM - 5 Year/6 Month | 10 | 2,288,012 | 0.33 | 8.036 | 620 | 78.02 |
ARM - 5 Year/6 Month 30/40 Balloon | 3 | 524,201 | 0.08 | 7.873 | 659 | 81.93 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
Interest Only Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Interest Only | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (months) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 2,990 | 541,621,546 | 79.11 | 7.982 | 630 | 81.90 |
60 | 536 | 143,016,627 | 20.89 | 7.009 | 644 | 81.18 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
DESCRIPTION OF THE GROUP IB COLLATERAL |
Mortgage Rate | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
5.000 - 5.499 | 1 | 496,000 | 0.07 | 5.450 | 617 | 80.00 |
5.500 - 5.999 | 58 | 17,180,301 | 2.51 | 5.865 | 657 | 77.05 |
6.000 - 6.499 | 146 | 40,282,016 | 5.88 | 6.272 | 653 | 77.43 |
6.500 - 6.999 | 445 | 123,676,572 | 18.06 | 6.801 | 653 | 80.28 |
7.000 - 7.499 | 450 | 112,995,146 | 16.50 | 7.255 | 651 | 80.63 |
7.500 - 7.999 | 693 | 171,228,060 | 25.01 | 7.751 | 632 | 81.36 |
8.000 - 8.499 | 355 | 74,095,088 | 10.82 | 8.234 | 616 | 82.15 |
8.500 - 8.999 | 344 | 63,230,521 | 9.24 | 8.728 | 600 | 82.95 |
9.000 - 9.499 | 221 | 26,863,452 | 3.92 | 9.220 | 596 | 85.30 |
9.500 - 9.999 | 173 | 17,130,697 | 2.50 | 9.767 | 609 | 87.56 |
10.000 - 10.499 | 180 | 13,608,981 | 1.99 | 10.257 | 621 | 90.80 |
10.500 - 10.999 | 198 | 12,239,182 | 1.79 | 10.757 | 608 | 91.21 |
11.000 - 11.499 | 141 | 7,276,203 | 1.06 | 11.237 | 607 | 93.16 |
11.500 - 11.999 | 57 | 3,213,609 | 0.47 | 11.733 | 579 | 79.77 |
12.000 - 12.499 | 55 | 928,232 | 0.14 | 12.226 | 610 | 93.38 |
12.500 - 12.999 | 9 | 194,113 | 0.03 | 12.579 | 652 | 96.30 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
Original Combined Loan-to-Value Ratio | ||||||
Original Combined |
|
| % of Aggregate |
| W.A. | W.A. |
Loan-to-Value | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Ratio (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Less than or equal to 50.00 | 51 | 7,725,673 | 1.13 | 8.224 | 584 | 40.47 |
50.01 - 55.00 | 27 | 6,075,088 | 0.89 | 7.633 | 597 | 52.38 |
55.01 - 60.00 | 35 | 6,950,354 | 1.02 | 8.280 | 585 | 57.76 |
60.01 - 65.00 | 66 | 14,219,479 | 2.08 | 8.190 | 588 | 63.52 |
65.01 - 70.00 | 75 | 15,464,325 | 2.26 | 8.445 | 582 | 68.99 |
70.01 - 75.00 | 106 | 23,606,527 | 3.45 | 7.948 | 581 | 74.27 |
75.01 - 80.00 | 1,562 | 401,886,284 | 58.70 | 7.392 | 646 | 79.90 |
80.01 - 85.00 | 179 | 40,414,361 | 5.90 | 7.734 | 604 | 84.54 |
85.01 - 90.00 | 492 | 107,460,716 | 15.70 | 7.889 | 618 | 89.84 |
90.01 - 95.00 | 138 | 10,066,510 | 1.47 | 9.031 | 643 | 94.81 |
95.01 - 100.00 | 795 | 50,768,856 | 7.42 | 9.877 | 653 | 99.96 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
DESCRIPTION OF THE GROUP IB COLLATERAL |
FICO Score at Origination | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
FICO Score | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
At Origination | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
500 - 524 | 99 | 20,865,822 | 3.05 | 9.137 | 512 | 71.29 |
525 - 549 | 147 | 29,812,273 | 4.35 | 8.779 | 537 | 74.48 |
550 - 574 | 269 | 52,797,219 | 7.71 | 8.219 | 562 | 82.08 |
575 - 599 | 393 | 71,403,346 | 10.43 | 7.860 | 587 | 81.25 |
600 - 624 | 555 | 101,543,445 | 14.83 | 7.761 | 613 | 83.23 |
625 - 649 | 822 | 153,047,948 | 22.35 | 7.736 | 637 | 82.51 |
650 - 674 | 618 | 119,473,453 | 17.45 | 7.526 | 662 | 82.60 |
675 - 699 | 308 | 62,867,925 | 9.18 | 7.399 | 685 | 81.99 |
700 - 724 | 144 | 30,826,920 | 4.50 | 7.584 | 710 | 84.04 |
725 - 749 | 89 | 21,810,586 | 3.19 | 7.309 | 737 | 81.31 |
750 - 774 | 57 | 14,734,871 | 2.15 | 7.343 | 758 | 82.50 |
775 - 799 | 18 | 4,024,633 | 0.59 | 7.494 | 785 | 82.16 |
800 - 824 | 7 | 1,429,732 | 0.21 | 7.063 | 806 | 79.97 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
DESCRIPTION OF THE GROUP IB COLLATERAL |
Geographic Distribution* | ||||||
Number of |
| % of Aggregate |
| W.A. | W.A. |
|
Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
|
Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
|
612 | 147,372,264 | 21.53 | 7.479 | 634 | 79.96 |
|
374 | 105,435,967 | 15.40 | 7.566 | 655 | 80.74 |
|
458 | 76,646,789 | 11.20 | 8.066 | 624 | 82.53 |
|
258 | 57,245,036 | 8.36 | 7.855 | 640 | 81.40 |
|
232 | 43,269,947 | 6.32 | 7.817 | 621 | 81.82 |
|
244 | 37,118,055 | 5.42 | 7.929 | 638 | 83.59 |
|
146 | 32,600,865 | 4.76 | 7.772 | 634 | 82.01 |
|
219 | 30,026,635 | 4.39 | 7.945 | 623 | 84.10 |
|
106 | 22,225,390 | 3.25 | 8.045 | 617 | 80.31 |
|
77 | 14,844,549 | 2.17 | 7.667 | 643 | 83.01 |
|
70 | 11,867,702 | 1.73 | 7.933 | 611 | 81.01 |
|
50 | 11,593,540 | 1.69 | 7.769 | 655 | 81.73 |
|
71 | 10,356,268 | 1.51 | 7.502 | 629 | 83.37 |
|
58 | 9,892,149 | 1.44 | 8.287 | 627 | 83.05 |
|
56 | 9,211,243 | 1.35 | 7.626 | 627 | 84.68 |
|
55 | 8,877,968 | 1.30 | 7.633 | 614 | 83.34 |
|
61 | 7,270,299 | 1.06 | 8.394 | 616 | 85.67 |
|
56 | 6,512,350 | 0.95 | 8.386 | 601 | 85.84 |
|
46 | 5,857,375 | 0.86 | 8.199 | 611 | 85.83 |
|
38 | 5,074,489 | 0.74 | 8.180 | 642 | 85.67 |
|
20 | 4,628,086 | 0.68 | 7.966 | 625 | 79.73 |
|
37 | 3,815,715 | 0.56 | 8.053 | 602 | 84.52 |
|
19 | 3,345,925 | 0.49 | 8.384 | 607 | 82.58 |
|
25 | 3,091,806 | 0.45 | 7.947 | 603 | 83.65 |
|
16 | 2,554,094 | 0.37 | 7.447 | 658 | 82.42 |
|
*Geographic Distribution continued on the next page
DESCRIPTION OF THE GROUP IB COLLATERAL |
Geographic Distribution (Continued) | ||||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. |
| |
| Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
South Carolina | 16 | 1,795,008 | 0.26 | 8.433 | 601 | 84.69 |
| |
Delaware | 7 | 1,380,954 | 0.20 | 7.426 | 589 | 80.90 |
| |
Tennessee | 12 | 1,378,910 | 0.20 | 8.504 | 663 | 81.88 |
| |
Idaho | 11 | 1,257,082 | 0.18 | 8.223 | 613 | 84.08 |
| |
New Mexico | 9 | 1,082,124 | 0.16 | 8.107 | 641 | 81.77 |
| |
Indiana | 14 | 1,025,116 | 0.15 | 8.130 | 635 | 87.75 |
| |
Utah | 11 | 964,924 | 0.14 | 8.154 | 616 | 88.93 |
| |
Missouri | 8 | 889,844 | 0.13 | 9.390 | 602 | 87.36 |
| |
New Hampshire | 5 | 831,131 | 0.12 | 8.301 | 584 | 78.12 | ||
Maine | 7 | 750,075 | 0.11 | 8.456 | 612 | 81.33 |
| |
West Virginia | 2 | 513,000 | 0.07 | 7.370 | 707 | 79.87 |
| |
Arkansas | 4 | 406,057 | 0.06 | 8.610 | 614 | 90.57 |
| |
Kansas | 3 | 359,594 | 0.05 | 8.176 | 638 | 82.06 |
| |
Kentucky | 4 | 339,561 | 0.05 | 7.596 | 605 | 84.66 |
| |
Vermont | 3 | 327,793 | 0.05 | 7.396 | 615 | 68.87 |
| |
Iowa | 2 | 263,490 | 0.04 | 7.614 | 644 | 80.00 |
| |
Alaska | 1 | 149,959 | 0.02 | 10.500 | 522 | 75.00 |
| |
Alabama | 1 | 104,298 | 0.02 | 8.575 | 538 | 85.00 |
| |
Oklahoma | 2 | 84,747 | 0.01 | 9.098 | 587 | 83.99 |
| |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
| |
DESCRIPTION OF THE GROUP IB COLLATERAL |
Occupancy Status | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Occupancy Status | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Primary | 3,329 | 654,967,214 | 95.67 | 7.765 | 632 | 81.72 |
Investment | 177 | 25,846,032 | 3.78 | 8.162 | 651 | 83.30 |
Second Home | 20 | 3,824,927 | 0.56 | 7.627 | 625 | 76.53 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
Documentation Type | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Program | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Full Documentation | 2,028 | 353,607,767 | 51.65 | 7.573 | 620 | 82.71 |
Stated Documentation | 1,451 | 321,107,696 | 46.90 | 7.998 | 649 | 80.55 |
Limited Documentation | 47 | 9,922,710 | 1.45 | 8.000 | 605 | 86.02 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
Loan Purpose | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Purpose | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Purchase | 2,514 | 471,785,146 | 68.91 | 7.769 | 645 | 83.32 |
Refinance - Cashout | 1,001 | 210,652,659 | 30.77 | 7.803 | 606 | 78.18 |
Refinance - Rate Term | 11 | 2,200,368 | 0.32 | 7.663 | 608 | 85.36 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
DESCRIPTION OF THE GROUP IB COLLATERAL |
Property Type | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Property Type | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Single Family Residence | 2,801 | 522,364,510 | 76.30 | 7.799 | 628 | 81.70 |
2-4 Family | 401 | 109,072,842 | 15.93 | 7.590 | 656 | 81.36 |
Condo | 315 | 52,489,006 | 7.67 | 7.953 | 635 | 82.81 |
PUD | 9 | 711,815 | 0.10 | 9.125 | 665 | 97.63 |
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
| Rate Adjustment* | |||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. |
| |
Month & Year of Next | Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Rate Adjustment | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
August 2007 | 23 | 5,736,429 | 0.95 | 7.231 | 627 | 83.09 |
| |
September 2007 | 48 | 11,421,247 | 1.89 | 7.473 | 622 | 83.01 |
| |
October 2007 | 426 | 100,587,064 | 16.63 | 7.298 | 637 | 81.76 |
| |
November 2007 | 899 | 220,103,658 | 36.40 | 7.566 | 631 | 80.47 |
| |
December 2007 | 1,018 | 248,635,093 | 41.12 | 7.849 | 630 | 81.01 |
| |
January 2008 | 1 | 85,450 | 0.01 | 8.650 | 568 | 90.00 |
| |
October 2008 | 11 | 2,982,535 | 0.49 | 7.325 | 631 | 83.28 |
| |
November 2008 | 20 | 4,685,998 | 0.77 | 7.389 | 628 | 78.21 |
| |
December 2008 | 27 | 7,625,643 | 1.26 | 7.465 | 644 | 79.93 |
| |
October 2010 | 3 | 627,510 | 0.10 | 7.797 | 643 | 83.69 |
| |
November 2010 | 5 | 1,147,012 | 0.19 | 8.396 | 586 | 77.85 |
| |
December 2010 | 5 | 1,037,690 | 0.17 | 7.699 | 663 | 76.76 |
| |
Total: | 2,486 | 604,675,329 | 100.00 | 7.631 | 632 | 80.96 |
| |
*ARM Loans Only
DESCRIPTION OF THE GROUP IB COLLATERAL |
| Gross Margin* | |||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| |
Gross | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Margin (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
3.500 - 3.999 | 17 | 5,058,910 | 0.84 | 6.005 | 654 | 79.95 |
| |
4.000 - 4.499 | 109 | 31,387,565 | 5.19 | 6.161 | 649 | 78.26 |
| |
4.500 - 4.999 | 276 | 76,971,112 | 12.73 | 6.690 | 654 | 80.37 |
| |
5.000 - 5.499 | 445 | 118,322,279 | 19.57 | 7.077 | 651 | 80.40 |
| |
5.500 - 5.999 | 574 | 145,052,943 | 23.99 | 7.599 | 639 | 81.33 |
| |
6.000 - 6.499 | 495 | 112,281,446 | 18.57 | 8.037 | 622 | 82.39 |
| |
6.500 - 6.999 | 570 | 115,601,075 | 19.12 | 8.944 | 590 | 80.87 |
| |
Total: | 2,486 | 604,675,329 | 100.00 | 7.631 | 632 | 80.96 |
| |
| *ARM Loans Only |
DESCRIPTION OF THE GROUP IB COLLATERAL |
| Maximum Mortgage Rate* | |||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| |
Maximum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
11.000 - 11.499 | 1 | 496,000 | 0.08 | 5.450 | 617 | 80.00 |
| |
11.500 - 11.999 | 48 | 14,522,463 | 2.40 | 5.843 | 652 | 79.78 |
| |
12.000 - 12.499 | 132 | 36,410,979 | 6.02 | 6.270 | 649 | 78.15 |
| |
12.500 - 12.999 | 406 | 112,281,533 | 18.57 | 6.805 | 654 | 80.69 |
| |
13.000 - 13.499 | 415 | 106,116,057 | 17.55 | 7.257 | 650 | 80.84 |
| |
13.500 - 13.999 | 663 | 165,806,521 | 27.42 | 7.751 | 633 | 81.55 |
| |
14.000 - 14.499 | 337 | 71,221,859 | 11.78 | 8.227 | 617 | 82.47 |
| |
14.500 - 14.999 | 283 | 57,552,901 | 9.52 | 8.727 | 598 | 82.85 |
| |
15.000 - 15.499 | 98 | 19,987,543 | 3.31 | 9.193 | 575 | 81.25 |
| |
15.500 - 15.999 | 52 | 10,377,327 | 1.72 | 9.683 | 566 | 79.16 |
| |
16.000 - 16.499 | 17 | 4,028,004 | 0.67 | 10.264 | 543 | 71.49 |
| |
16.500 - 16.999 | 16 | 3,103,512 | 0.51 | 10.791 | 552 | 68.33 |
| |
17.000 - 17.499 | 7 | 1,055,651 | 0.17 | 11.212 | 546 | 54.91 |
| |
17.500 - 17.999 | 10 | 1,645,040 | 0.27 | 11.780 | 536 | 61.68 |
| |
18.000 - 18.499 | 1 | 69,940 | 0.01 | 12.050 | 556 | 70.00 |
| |
Total: | 2,486 | 604,675,329 | 100.00 | 7.631 | 632 | 80.96 |
| |
*ARM Loans Only
DESCRIPTION OF THE GROUP IB COLLATERAL |
Minimum Mortgage Rate* | ||||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| |
Minimum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
5.000 - 5.499 | 1 | 496,000 | 0.08 | 5.450 | 617 | 80.00 |
| |
5.500 - 5.999 | 48 | 14,522,463 | 2.40 | 5.843 | 652 | 79.78 |
| |
6.000 - 6.499 | 132 | 36,410,979 | 6.02 | 6.270 | 649 | 78.15 |
| |
6.500 - 6.999 | 406 | 112,281,533 | 18.57 | 6.805 | 654 | 80.69 |
| |
7.000 - 7.499 | 417 | 106,487,568 | 17.61 | 7.257 | 650 | 80.84 |
| |
7.500 - 7.999 | 663 | 165,806,521 | 27.42 | 7.751 | 633 | 81.55 |
| |
8.000 - 8.499 | 336 | 71,100,534 | 11.76 | 8.233 | 617 | 82.45 |
| |
8.500 - 8.999 | 286 | 57,911,861 | 9.58 | 8.727 | 597 | 82.85 |
| |
9.000 - 9.499 | 97 | 19,737,358 | 3.26 | 9.202 | 575 | 81.33 |
| |
9.500 - 9.999 | 49 | 10,018,367 | 1.66 | 9.717 | 567 | 79.01 |
| |
10.000 - 10.499 | 17 | 4,028,004 | 0.67 | 10.264 | 543 | 71.49 |
| |
10.500 - 10.999 | 16 | 3,103,512 | 0.51 | 10.791 | 552 | 68.33 |
| |
11.000 - 11.499 | 7 | 1,055,651 | 0.17 | 11.212 | 546 | 54.91 |
| |
11.500 - 11.999 | 10 | 1,645,040 | 0.27 | 11.780 | 536 | 61.68 |
| |
12.000 - 12.499 | 1 | 69,940 | 0.01 | 12.050 | 556 | 70.00 |
| |
Total: | 2,486 | 604,675,329 | 100.00 | 7.631 | 632 | 80.96 |
| |
*ARM Loans Only
Initial Periodic Rate Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Initial | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.500 | 4 | 597,870 | 0.10 | 8.387 | 540 | 80.81 |
2.000 | 2,480 | 603,694,674 | 99.84 | 7.631 | 632 | 80.96 |
3.000 | 2 | 382,785 | 0.06 | 7.701 | 591 | 78.97 |
Total: | 2,486 | 604,675,329 | 100.00 | 7.631 | 632 | 80.96 |
*ARM Loans Only
DESCRIPTION OF THE GROUP IB COLLATERAL |
Subsequent Periodic Rate Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Subsequent | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.500 | 2,486 | 604,675,329 | 100.00 | 7.631 | 632 | 80.96 |
Total: | 2,486 | 604,675,329 | 100.00 | 7.631 | 632 | 80.96 |
*ARM Loans Only
Lifetime Periodic Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Lifetime | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
6.000 - 6.499 | 2,480 | 603,694,674 | 99.84 | 7.631 | 632 | 80.96 |
7.000 - 7.499 | 6 | 980,655 | 0.16 | 8.119 | 560 | 80.09 |
Total: | 2,486 | 604,675,329 | 100.00 | 7.631 | 632 | 80.96 |
*ARM Loans Only
Original Prepayment Charge Term | |||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
|
Prepayment Penalty | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
|
Term (mos.) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
|
0 | 1,694 | 329,512,768 | 48.13 | 7.852 | 639 | 82.13 |
|
12 | 136 | 27,244,376 | 3.98 | 7.953 | 638 | 81.15 |
|
24 | 1,436 | 277,628,281 | 40.55 | 7.738 | 628 | 82.12 |
|
30 | 1 | 151,713 | 0.02 | 8.350 | 514 | 80.00 |
|
36 | 259 | 50,101,034 | 7.32 | 7.424 | 624 | 77.48 |
|
Total: | 3,526 | 684,638,173 | 100.00 | 7.779 | 633 | 81.75 |
|
DESCRIPTION OF THE GROUP II COLLATERAL |
SUMMARY – GROUP II POOL* | |||||||
Number of Mortgage Loans: | 2,837 | Index Type: |
| ||||
Aggregate Principal Balance: | $853,284,260 | 6 Month LIBOR: | 84.97% | ||||
Conforming Principal Balance Loans: | $183,338,710 | Fixed Rate: | 15.03% | ||||
Average Principal Balance: | $300,770 | W.A. Initial Periodic Cap: | 2.319% | ||||
Range: | $2,599 - $1,400,000 | W.A. Subsequent Periodic Cap | 1.338% | ||||
W.A. Coupon: | 7.514% | W.A. Lifetime Rate Cap | 6.037% | ||||
Range: | 5.000% - 13.400% | Property Type |
| ||||
W.A. Gross Margin: | 5.565% | Single Family: | 84.81% | ||||
Range: | 2.750% - 8.940% | PUD: | 5.12% | ||||
W.A. Remaining Term: | 350 months | 2-4 Family: | 4.79% | ||||
Range: | 117 months - 359 months | Condo: | 5.21% | ||||
W.A. Seasoning: | 4 months | Townhouse: | 0.07% | ||||
Latest Maturity Date: | January 1 ,2036 | Occupancy Status: |
| ||||
State Concentration (Top 5): |
| Primary: | 96.49% | ||||
California: | 57.72% | Investment: | 2.55% | ||||
Florida: | 7.32% | Second Home: | 0.95% | ||||
New York | 7.29% | Documentation Status: |
| ||||
Maryland: | 4.68% | Full: | 51.95% | ||||
New Jersey: | 2.84% | Stated: | 45.30% | ||||
W.A. Original Combined LTV: | 82.86% | Limited: | 2.67% | ||||
Range: | 36.52% - 100.00% | None: | 0.08% | ||||
First Liens: | 88.73% | Non-Zero W.A. Prepayment Penalty – Term: | 24 months | ||||
Second Liens: | 11.27% | Loans with Prepay Penalties: | 74.69% | ||||
Non-Balloon Loans: | 80.67% | Interest Only Loans | 42.95% | ||||
Non-Zero W.A. FICO Score: | 643 | Non-Zero Weighted Average IO Term | 61 months | ||||
* Subject to a permitted variance of +/- 10%
DESCRIPTION OF THE GROUP II COLLATERAL |
Originator | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of Initial | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Originator | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Fremont Investment and Loan | 1,437 | 554,081,077 | 64.94 | 7.669 | 633 | 82.54 |
OwnIt Mortgage | 610 | 134,404,178 | 15.75 | 6.725 | 666 | 82.85 |
Other | 790 | 164,799,004 | 19.31 | 7.638 | 656 | 83.95 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
Principal Balance at Origination | ||||||
| Number of | Aggregate | % of Aggregate |
| W.A. | W.A. |
Principal Balance at | Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original |
Origination ($) | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 186 | 6,726,273 | 0.79 | 10.470 | 647 | 98.66 |
50,000.01 - 100,000.00 | 526 | 41,856,262 | 4.91 | 10.078 | 657 | 98.07 |
100,000.01 - 150,000.00 | 411 | 49,715,539 | 5.83 | 9.518 | 658 | 96.04 |
150,000.01 - 200,000.00 | 192 | 33,692,368 | 3.95 | 8.158 | 650 | 87.23 |
200,000.01 - 250,000.00 | 123 | 27,744,066 | 3.25 | 6.936 | 650 | 80.77 |
250,000.01 - 300,000.00 | 97 | 26,726,064 | 3.13 | 6.614 | 652 | 80.41 |
300,000.01 - 350,000.00 | 107 | 34,693,325 | 4.07 | 6.623 | 663 | 80.73 |
350,000.01 - 400,000.00 | 66 | 24,670,282 | 2.89 | 7.003 | 659 | 81.69 |
400,000.01 - 450,000.00 | 255 | 110,256,231 | 12.92 | 7.231 | 639 | 80.82 |
450,000.01 - 500,000.00 | 273 | 129,493,424 | 15.18 | 7.279 | 639 | 80.78 |
500,000.01 - 550,000.00 | 201 | 105,533,560 | 12.37 | 7.232 | 643 | 82.27 |
550,000.01 - 600,000.00 | 143 | 82,196,326 | 9.63 | 7.296 | 639 | 81.60 |
600,000.01 - 650,000.00 | 74 | 46,472,085 | 5.45 | 7.082 | 641 | 79.07 |
650,000.01 - 700,000.00 | 70 | 47,331,040 | 5.55 | 7.455 | 619 | 81.18 |
700,000.01 - 750,000.00 | 95 | 69,822,289 | 8.18 | 7.351 | 629 | 79.59 |
750,000.01 - 800,000.00 | 5 | 3,922,467 | 0.46 | 6.265 | 675 | 77.21 |
800,000.01 - 850,000.00 | 1 | 837,839 | 0.10 | 6.800 | 648 | 80.00 |
850,000.01 - 900,000.00 | 3 | 2,487,110 | 0.29 | 6.481 | 644 | 78.52 |
900,000.01 - 950,000.00 | 3 | 2,774,000 | 0.33 | 6.461 | 670 | 79.72 |
950,000.01 - 1,000,000.00 | 5 | 4,933,709 | 0.58 | 5.756 | 671 | 70.13 |
1,000,000.01 or greater | 1 | 1,400,000 | 0.16 | 6.550 | 578 | 36.84 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Remaining Principal Balance | ||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. |
Remaining Principal | Initial | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Balance ($) | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 186 | 6,726,273 | 0.79 | 10.470 | 647 | 98.66 |
50,000.01 - 100,000.00 | 527 | 41,953,192 | 4.92 | 10.073 | 657 | 98.07 |
100,000.01 - 150,000.00 | 411 | 49,768,380 | 5.83 | 9.509 | 658 | 95.98 |
150,000.01 - 200,000.00 | 192 | 33,742,233 | 3.95 | 8.153 | 650 | 87.22 |
200,000.01 - 250,000.00 | 123 | 27,792,745 | 3.26 | 6.930 | 649 | 80.77 |
250,000.01 - 300,000.00 | 96 | 26,477,749 | 3.10 | 6.628 | 652 | 80.41 |
300,000.01 - 350,000.00 | 107 | 34,693,325 | 4.07 | 6.623 | 663 | 80.73 |
350,000.01 - 400,000.00 | 66 | 24,670,282 | 2.89 | 7.003 | 659 | 81.69 |
400,000.01 - 450,000.00 | 256 | 110,705,676 | 12.97 | 7.231 | 639 | 80.83 |
450,000.01 - 500,000.00 | 272 | 129,043,979 | 15.12 | 7.279 | 639 | 80.76 |
500,000.01 - 550,000.00 | 202 | 106,082,609 | 12.43 | 7.230 | 643 | 82.34 |
550,000.01 - 600,000.00 | 142 | 81,647,277 | 9.57 | 7.298 | 639 | 81.51 |
600,000.01 - 650,000.00 | 74 | 46,472,085 | 5.45 | 7.082 | 641 | 79.07 |
650,000.01 - 700,000.00 | 70 | 47,331,040 | 5.55 | 7.455 | 619 | 81.18 |
700,000.01 - 750,000.00 | 96 | 70,557,399 | 8.27 | 7.340 | 630 | 79.54 |
750,000.01 - 800,000.00 | 5 | 3,922,467 | 0.46 | 6.265 | 675 | 77.21 |
800,000.01 - 850,000.00 | 1 | 837,839 | 0.10 | 6.800 | 648 | 80.00 |
850,000.01 - 900,000.00 | 2 | 1,752,000 | 0.21 | 6.526 | 628 | 80.00 |
900,000.01 - 950,000.00 | 3 | 2,774,000 | 0.33 | 6.461 | 670 | 79.72 |
950,000.01 - 1,000,000.00 | 5 | 4,933,709 | 0.58 | 5.756 | 671 | 70.13 |
1,000,000.01 or greater | 1 | 1,400,000 | 0.16 | 6.550 | 578 | 36.84 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
Remaining Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Months Remaining | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
61 - 120 | 1 | 12,693 | 0.00 | 13.250 | 570 | 95.00 |
121 - 180 | 365 | 28,420,306 | 3.33 | 10.187 | 671 | 98.86 |
181 - 240 | 2 | 76,308 | 0.01 | 10.617 | 667 | 97.60 |
301 - 360 | 2,469 | 824,774,953 | 96.66 | 7.422 | 642 | 82.31 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Product Type | |||||||||
| Number of | Aggregate | % of Aggregate |
| W.A. | W.A. | |||
| Initial | Remaining | Remaining | W.A. | Non-Zero | Original | |||
Collateral Type | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |||
Fixed - 10 Year | 1 | 12,693 | 0.00 | 13.250 | 570 | 95.00 | |||
Fixed - 15 Year | 15 | 1,021,118 | 0.12 | 8.775 | 687 | 84.00 | |||
Fixed - 20 Year | 2 | 76,308 | 0.01 | 10.617 | 667 | 97.60 | |||
Fixed - 30 Year | 766 | 93,665,539 | 10.98 | 9.282 | 655 | 93.72 | |||
Fixed - 30 Year IO | 7 | 2,420,991 | 0.28 | 6.781 | 695 | 80.00 | |||
Balloon - 15/30 | 350 | 27,399,188 | 3.21 | 10.239 | 671 | 99.41 | |||
Balloon - 30/40 | 7 | 3,612,005 | 0.42 | 7.359 | 640 | 80.50 | |||
ARM - 6 Month | 1 | 547,895 | 0.06 | 7.650 | 688 | 90.00 | |||
ARM - 2 Year/6 Month | 523 | 215,957,047 | 25.31 | 7.715 | 618 | 80.91 | |||
ARM - 2 Year/6 Month IO | 786 | 333,307,884 | 39.06 | 6.773 | 655 | 80.45 | |||
ARM - 2 Year/6 Month 30/40 Balloon | 254 | 130,868,317 | 15.34 | 7.596 | 626 | 82.26 | |||
ARM - 3 Year/6 Month | 24 | 7,108,563 | 0.83 | 6.711 | 681 | 79.91 | |||
ARM - 3 Year/6 Month IO | 66 | 22,960,107 | 2.69 | 6.356 | 670 | 79.04 | |||
ARM - 3 Year/6 Month 30/40 Balloon | 4 | 2,511,353 | 0.29 | 7.062 | 670 | 77.30 | |||
ARM - 4 Year/6 Month IO | 1 | 360,000 | 0.04 | 5.750 | 641 | 80.00 | |||
ARM - 5 Year/6 Month | 8 | 3,463,122 | 0.41 | 6.659 | 655 | 84.42 | |||
ARM - 5 Year/6 Month IO | 21 | 7,452,490 | 0.87 | 6.248 | 670 | 78.10 | |||
ARM - 5 Year/6 Month 30/40 Balloon | 1 | 539,642 | 0.06 | 7.500 | 684 | 80.00 | |||
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 | |||
Interest Only Term | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Interest Only | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (months) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 1,956 | 486,782,787 | 57.05 | 8.101 | 632 | 84.78 |
24 | 3 | 875,161 | 0.10 | 7.049 | 644 | 79.96 |
60 | 855 | 357,800,935 | 41.93 | 6.729 | 657 | 80.32 |
120 | 23 | 7,825,377 | 0.92 | 6.970 | 661 | 80.25 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Mortgage Rate | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
5.000 - 5.499 | 16 | 7,379,944 | 0.86 | 5.309 | 683 | 75.35 |
5.500 - 5.999 | 252 | 95,978,471 | 11.25 | 5.796 | 672 | 78.78 |
6.000 - 6.499 | 184 | 81,598,911 | 9.56 | 6.249 | 657 | 79.67 |
6.500 - 6.999 | 371 | 165,822,064 | 19.43 | 6.788 | 652 | 80.41 |
7.000 - 7.499 | 274 | 122,458,794 | 14.35 | 7.256 | 642 | 80.97 |
7.500 - 7.999 | 362 | 152,455,320 | 17.87 | 7.740 | 631 | 82.10 |
8.000 - 8.499 | 178 | 68,146,623 | 7.99 | 8.243 | 622 | 83.45 |
8.500 - 8.999 | 203 | 52,499,616 | 6.15 | 8.712 | 613 | 85.36 |
9.000 - 9.499 | 133 | 19,413,037 | 2.28 | 9.233 | 623 | 90.72 |
9.500 - 9.999 | 264 | 30,653,988 | 3.59 | 9.797 | 642 | 93.99 |
10.000 - 10.499 | 172 | 19,553,861 | 2.29 | 10.218 | 639 | 94.73 |
10.500 - 10.999 | 227 | 21,316,471 | 2.50 | 10.753 | 635 | 98.25 |
11.000 - 11.499 | 101 | 8,703,789 | 1.02 | 11.242 | 627 | 98.69 |
11.500 - 11.999 | 64 | 5,104,231 | 0.60 | 11.675 | 628 | 99.28 |
12.000 - 12.499 | 23 | 1,681,284 | 0.20 | 12.186 | 586 | 89.48 |
12.500 - 12.999 | 9 | 438,414 | 0.05 | 12.646 | 620 | 98.87 |
13.000 - 13.499 | 4 | 79,440 | 0.01 | 13.329 | 641 | 93.43 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
Original Combined Loan-to-Value Ratio | |||||||
Original Combined | Number of | Aggregate | % of Aggregate |
| W.A. | W.A. | |
Loan-to-Value | Initial | Remaining | Remaining | W.A. | Non-Zero | Original | |
Ratio (%) | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Less than or equal to 50.00 | 8 | 5,389,971 | 0.63 | 7.111 | 609 | 43.16 | |
50.01 - 55.00 | 3 | 1,121,964 | 0.13 | 8.137 | 561 | 53.96 | |
55.01 - 60.00 | 12 | 6,935,472 | 0.81 | 7.436 | 600 | 57.84 | |
60.01 - 65.00 | 25 | 12,953,978 | 1.52 | 7.469 | 597 | 63.47 | |
65.01 - 70.00 | 39 | 21,242,183 | 2.49 | 7.381 | 612 | 69.08 | |
70.01 - 75.00 | 71 | 36,471,029 | 4.27 | 7.629 | 605 | 74.10 | |
75.01 - 80.00 | 1,226 | 491,842,217 | 57.64 | 6.957 | 652 | 79.87 | |
80.01 - 85.00 | 109 | 52,849,472 | 6.19 | 7.370 | 610 | 84.72 | |
85.01 - 90.00 | 235 | 104,174,601 | 12.21 | 7.755 | 625 | 89.82 | |
90.01 - 95.00 | 111 | 23,147,718 | 2.71 | 8.341 | 647 | 94.73 | |
95.01 - 100.00 | 998 | 97,155,654 | 11.39 | 9.971 | 662 | 99.95 | |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 | |
DESCRIPTION OF THE GROUP II COLLATERAL |
FICO Score at Origination | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
FICO Score | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
At Origination | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
500 - 524 | 34 | 16,364,689 | 1.92 | 9.309 | 512 | 75.39 |
525 - 549 | 65 | 32,334,502 | 3.79 | 8.377 | 537 | 77.18 |
550 - 574 | 106 | 44,902,817 | 5.26 | 7.919 | 562 | 81.87 |
575 - 599 | 229 | 74,246,017 | 8.70 | 7.605 | 587 | 80.59 |
600 - 624 | 392 | 116,304,842 | 13.63 | 7.560 | 613 | 83.82 |
625 - 649 | 646 | 187,145,449 | 21.93 | 7.585 | 638 | 83.92 |
650 - 674 | 593 | 165,879,328 | 19.44 | 7.332 | 662 | 83.25 |
675 - 699 | 364 | 98,861,294 | 11.59 | 7.229 | 685 | 83.76 |
700 - 724 | 194 | 56,600,562 | 6.63 | 7.120 | 710 | 83.29 |
725 - 749 | 133 | 36,536,462 | 4.28 | 7.279 | 737 | 83.97 |
750 - 774 | 53 | 14,779,273 | 1.73 | 6.881 | 762 | 83.79 |
775 - 799 | 21 | 7,350,336 | 0.86 | 7.338 | 784 | 79.63 |
800 - 824 | 7 | 1,978,686 | 0.23 | 7.180 | 805 | 84.81 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Geographic Distribution* | |||||
| Number of |
| % of Aggregate |
| W.A. |
| Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero |
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO |
California | 1,551 | 492,501,875 | 57.72 | 7.347 | 651 |
Florida | 252 | 62,457,422 | 7.32 | 7.940 | 626 |
New York | 173 | 62,197,271 | 7.29 | 7.749 | 644 |
Maryland | 96 | 39,931,993 | 4.68 | 7.421 | 637 |
New Jersey | 55 | 24,265,119 | 2.84 | 7.831 | 615 |
Virginia | 76 | 23,146,580 | 2.71 | 8.005 | 635 |
Illinois | 53 | 21,510,496 | 2.52 | 7.900 | 622 |
Nevada | 55 | 16,373,130 | 1.92 | 7.789 | 640 |
Colorado | 59 | 12,068,317 | 1.41 | 7.332 | 634 |
Washington | 51 | 10,876,578 | 1.27 | 6.945 | 648 |
Arizona | 38 | 10,838,663 | 1.27 | 7.593 | 645 |
Georgia | 38 | 9,762,922 | 1.14 | 7.751 | 645 |
Massachusetts | 25 | 9,047,824 | 1.06 | 7.945 | 618 |
Texas | 62 | 6,814,629 | 0.80 | 8.028 | 616 |
Oregon | 26 | 6,055,353 | 0.71 | 6.852 | 649 |
Ohio | 41 | 5,284,913 | 0.62 | 8.077 | 627 |
Utah | 18 | 4,115,827 | 0.48 | 6.938 | 624 |
Connecticut | 10 | 3,880,381 | 0.45 | 8.520 | 567 |
Hawaii | 11 | 3,112,114 | 0.36 | 8.074 | 638 |
Michigan | 17 | 3,025,038 | 0.35 | 8.619 | 630 |
North Carolina | 11 | 2,979,039 | 0.35 | 7.953 | 594 |
Tennessee | 18 | 2,711,029 | 0.32 | 8.072 | 598 |
District of Columbia | 6 | 2,221,499 | 0.26 | 7.642 | 607 |
Wisconsin | 8 | 2,216,633 | 0.26 | 7.379 | 650 |
Idaho | 16 | 2,077,466 | 0.24 | 6.850 | 660 |
*Geographic Distribution continued on the next page
DESCRIPTION OF THE GROUP II COLLATERAL |
Geographic Distribution (Continued) | ||||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. |
| |
| Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
South Carolina | 5 | 1,986,518 | 0.23 | 7.519 | 594 | 78.90 |
| |
Minnesota | 6 | 1,599,941 | 0.19 | 7.795 | 638 | 87.11 |
| |
Rhode Island | 6 | 1,563,396 | 0.18 | 7.717 | 592 | 82.90 |
| |
Kentucky | 11 | 1,485,173 | 0.17 | 8.192 | 591 | 89.96 |
| |
Pennsylvania | 8 | 1,267,524 | 0.15 | 8.550 | 627 | 91.70 |
| |
New Mexico | 4 | 986,179 | 0.12 | 7.383 | 645 | 86.54 |
| |
Maine | 2 | 812,998 | 0.10 | 7.833 | 621 | 89.87 |
| |
Missouri | 3 | 739,491 | 0.09 | 8.134 | 690 | 95.55 |
| |
Iowa | 2 | 665,134 | 0.08 | 6.602 | 667 | 84.01 |
| |
Arkansas | 2 | 552,473 | 0.06 | 6.870 | 640 | 84.00 |
| |
Kansas | 4 | 535,588 | 0.06 | 8.071 | 617 | 86.57 |
| |
Oklahoma | 8 | 427,256 | 0.05 | 9.019 | 624 | 86.71 |
| |
Indiana | 4 | 354,980 | 0.04 | 8.219 | 609 | 90.20 |
| |
New Hampshire | 2 | 292,378 | 0.03 | 7.612 | 675 | 84.01 |
| |
Montana | 1 | 216,513 | 0.03 | 7.150 | 562 | 80.00 |
| |
Wyoming | 1 | 168,000 | 0.02 | 6.875 | 668 | 80.00 |
| |
Mississippi | 2 | 158,608 | 0.02 | 7.959 | 585 | 84.00 |
| |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
| |
DESCRIPTION OF THE GROUP II COLLATERAL |
Occupancy Status | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Occupancy Status | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Primary | 2,764 | 823,359,181 | 96.49 | 7.505 | 642 | 82.91 |
Investment | 50 | 21,799,995 | 2.55 | 7.857 | 649 | 83.05 |
Second Home | 23 | 8,125,084 | 0.95 | 7.584 | 649 | 77.84 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
Documentation Type | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Program | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Full Documentation | 1,434 | 443,275,558 | 51.95 | 7.117 | 633 | 83.19 |
Stated Documentation | 1,319 | 386,540,769 | 45.30 | 7.976 | 653 | 82.57 |
Limited Documentation | 82 | 22,790,430 | 2.67 | 7.387 | 649 | 81.45 |
No Documentation | 2 | 677,502 | 0.08 | 8.273 | 639 | 86.64 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
��
Loan Purpose | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Purpose | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Purchase | 2,183 | 555,127,814 | 65.06 | 7.500 | 656 | 83.83 |
Refinance - Cashout | 632 | 287,578,013 | 33.70 | 7.549 | 619 | 81.21 |
Refinance - Rate Term | 22 | 10,578,433 | 1.24 | 7.325 | 596 | 76.96 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Property Type | ||||||
| Number of |
| % of Aggregate |
| W.A. | W.A. |
| Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Property Type | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Single Family Residence | 2,310 | 723,637,186 | 84.81 | 7.520 | 640 | 82.64 |
Condo | 195 | 44,471,116 | 5.21 | 7.497 | 650 | 84.23 |
PUD | 193 | 43,724,602 | 5.12 | 7.211 | 656 | 84.02 |
2-4 Family | 138 | 40,840,513 | 4.79 | 7.765 | 666 | 83.93 |
Townhouse | 1 | 610,843 | 0.07 | 7.375 | 605 | 90.00 |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
Rate Adjustment* | ||||||||
| Number of | Aggregate | % of Aggregate |
| W.A. | W.A. |
| |
Month & Year of Next | Initial | Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Rate Adjustment | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
March 2006 | 1 | 547,895 | 0.08 | 7.650 | 688 | 90.00 |
| |
March 2007 | 1 | 75,319 | 0.01 | 7.850 | 596 | 80.00 |
| |
May 2007 | 5 | 1,563,807 | 0.22 | 6.937 | 627 | 82.45 |
| |
June 2007 | 27 | 10,386,546 | 1.43 | 6.634 | 647 | 81.91 |
| |
July 2007 | 116 | 41,932,318 | 5.78 | 5.952 | 673 | 79.81 |
| |
August 2007 | 204 | 60,791,565 | 8.38 | 6.655 | 658 | 80.85 |
| |
September 2007 | 63 | 25,094,468 | 3.46 | 6.914 | 643 | 79.86 |
| |
October 2007 | 310 | 136,507,910 | 18.83 | 7.248 | 639 | 80.73 |
| |
November 2007 | 440 | 205,058,391 | 28.28 | 7.316 | 633 | 80.71 |
| |
December 2007 | 396 | 198,205,161 | 27.34 | 7.647 | 627 | 81.66 |
| |
January 2008 | 1 | 517,762 | 0.07 | 8.300 | 621 | 90.00 |
| |
May 2008 | 4 | 1,300,300 | 0.18 | 6.365 | 706 | 79.83 |
| |
June 2008 | 2 | 486,855 | 0.07 | 5.617 | 737 | 80.00 |
| |
July 2008 | 19 | 5,015,275 | 0.69 | 5.862 | 679 | 80.00 |
| |
August 2008 | 14 | 4,877,478 | 0.67 | 6.114 | 677 | 78.96 |
| |
September 2008 | 5 | 2,155,200 | 0.30 | 5.876 | 702 | 70.24 |
| |
October 2008 | 33 | 9,675,717 | 1.33 | 6.779 | 672 | 82.02 |
| |
November 2008 | 11 | 5,828,174 | 0.80 | 6.615 | 655 | 77.06 |
| |
December 2008 | 6 | 3,241,023 | 0.45 | 7.512 | 642 | 78.31 |
| |
July 2009 | 1 | 360,000 | 0.05 | 5.750 | 641 | 80.00 |
| |
June 2010 | 1 | 700,000 | 0.10 | 5.500 | 635 | 70.00 |
| |
July 2010 | 9 | 2,778,351 | 0.38 | 5.748 | 675 | 77.92 |
| |
August 2010 | 3 | 668,253 | 0.09 | 6.494 | 649 | 82.05 |
| |
October 2010 | 8 | 2,979,943 | 0.41 | 6.695 | 667 | 80.51 |
| |
November 2010 | 6 | 2,509,617 | 0.35 | 6.396 | 671 | 81.67 |
| |
December 2010 | 3 | 1,819,089 | 0.25 | 7.426 | 666 | 83.74 |
| |
Total: | 1,689 | 725,076,418 | 100.00 | 7.184 | 640 | 80.85 |
| |
*ARM Loans Only
DESCRIPTION OF THE GROUP II COLLATERAL |
Gross Margin* | ||||||||
| Number of | Aggregate | % of Aggregate |
| W.A. | W.A. |
| |
Gross | Initial | Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Margin (%) | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
2.500 - 2.999 | 3 | 1,244,000 | 0.17 | 6.644 | 697 | 75.50 |
| |
3.000 - 3.499 | 5 | 2,574,295 | 0.36 | 5.791 | 662 | 82.13 |
| |
3.500 - 3.999 | 16 | 8,426,147 | 1.16 | 5.735 | 662 | 77.00 |
| |
4.000 - 4.499 | 81 | 43,020,918 | 5.93 | 6.101 | 663 | 79.41 |
| |
4.500 - 4.999 | 317 | 136,054,845 | 18.76 | 6.265 | 654 | 79.75 |
| |
5.000 - 5.499 | 273 | 131,996,040 | 18.20 | 6.985 | 650 | 80.96 |
| |
5.500 - 5.999 | 508 | 203,022,581 | 28.00 | 7.273 | 649 | 81.69 |
| |
6.000 - 6.499 | 235 | 101,866,631 | 14.05 | 7.829 | 622 | 81.25 |
| |
6.500 - 6.999 | 197 | 84,479,289 | 11.65 | 8.574 | 589 | 80.51 |
| |
7.000 - 7.499 | 31 | 6,864,983 | 0.95 | 7.909 | 618 | 83.13 |
| |
7.500 - 7.999 | 18 | 4,715,588 | 0.65 | 8.498 | 618 | 86.81 |
| |
8.000 - 8.499 | 3 | 535,625 | 0.07 | 9.478 | 590 | 91.06 |
| |
8.500 - 8.999 | 2 | 275,477 | 0.04 | 9.858 | 645 | 100.00 |
| |
Total: | 1,689 | 725,076,418 | 100.00 | 7.184 | 640 | 80.85 |
| |
| *ARM Loans Only |
DESCRIPTION OF THE GROUP II COLLATERAL |
Maximum Mortgage Rate* | ||||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| |
Maximum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
11.000 - 11.499 | 18 | 7,977,544 | 1.10 | 5.382 | 685 | 75.70 |
| |
11.500 - 11.999 | 251 | 94,528,079 | 13.04 | 5.827 | 671 | 79.05 |
| |
12.000 - 12.499 | 170 | 76,050,943 | 10.49 | 6.273 | 656 | 79.85 |
| |
12.500 - 12.999 | 316 | 143,529,777 | 19.80 | 6.798 | 650 | 80.84 |
| |
13.000 - 13.499 | 237 | 110,646,973 | 15.26 | 7.249 | 642 | 80.88 |
| |
13.500 - 13.999 | 335 | 149,781,038 | 20.66 | 7.669 | 632 | 81.47 |
| |
14.000 - 14.499 | 168 | 70,325,374 | 9.70 | 8.115 | 621 | 82.87 |
| |
14.500 - 14.999 | 126 | 47,740,768 | 6.58 | 8.539 | 602 | 82.39 |
| |
15.000 - 15.499 | 30 | 9,011,564 | 1.24 | 8.994 | 571 | 82.33 |
| |
15.500 - 15.999 | 22 | 9,539,463 | 1.32 | 9.545 | 572 | 80.92 |
| |
16.000 - 16.499 | 10 | 4,082,648 | 0.56 | 9.975 | 538 | 76.57 |
| |
16.500 - 16.999 | 4 | 1,174,100 | 0.16 | 10.568 | 531 | 76.12 |
| |
17.000 - 17.499 | 1 | 223,778 | 0.03 | 11.400 | 515 | 70.89 |
| |
18.000 - 18.499 | 1 | 464,369 | 0.06 | 12.250 | 506 | 65.00 |
| |
Total: | 1,689 | 725,076,418 | 100.00 | 7.184 | 640 | 80.85 |
| |
*ARM Loans Only
DESCRIPTION OF THE GROUP II COLLATERAL |
Minimum Mortgage Rate* | ||||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| |
Minimum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
5.000 - 5.499 | 16 | 7,379,944 | 1.02 | 5.309 | 683 | 75.35 |
| |
5.500 - 5.999 | 282 | 101,356,624 | 13.98 | 5.896 | 669 | 79.21 |
| |
6.000 - 6.499 | 168 | 74,690,393 | 10.30 | 6.247 | 657 | 79.80 |
| |
6.500 - 6.999 | 335 | 151,135,308 | 20.84 | 6.799 | 650 | 80.47 |
| |
7.000 - 7.499 | 259 | 118,594,809 | 16.36 | 7.254 | 642 | 80.92 |
| |
7.500 - 7.999 | 325 | 145,163,861 | 20.02 | 7.739 | 631 | 81.94 |
| |
8.000 - 8.499 | 146 | 63,817,577 | 8.80 | 8.243 | 617 | 83.06 |
| |
8.500 - 8.999 | 101 | 41,756,517 | 5.76 | 8.679 | 598 | 82.58 |
| |
9.000 - 9.499 | 27 | 8,144,763 | 1.12 | 9.199 | 568 | 83.58 |
| |
9.500 - 9.999 | 20 | 8,236,929 | 1.14 | 9.737 | 551 | 79.52 |
| |
10.000 - 10.499 | 6 | 3,264,416 | 0.45 | 10.148 | 520 | 72.36 |
| |
10.500 - 10.999 | 2 | 847,130 | 0.12 | 10.846 | 507 | 69.96 |
| |
11.000 - 11.499 | 1 | 223,778 | 0.03 | 11.400 | 515 | 70.89 |
| |
12.000 - 12.499 | 1 | 464,369 | 0.06 | 12.250 | 506 | 65.00 |
| |
Total: | 1,689 | 725,076,418 | 100.00 | 7.184 | 640 | 80.85 |
| |
*ARM Loans Only
Initial Periodic Rate Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Initial | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.000 | 1 | 547,895 | 0.08 | 7.650 | 688 | 90.00 |
1.500 | 41 | 11,480,433 | 1.58 | 7.309 | 625 | 83.41 |
2.000 | 918 | 478,675,534 | 66.02 | 7.421 | 630 | 80.96 |
3.000 | 725 | 232,932,556 | 32.13 | 6.692 | 660 | 80.52 |
5.000 | 4 | 1,440,000 | 0.20 | 6.692 | 686 | 76.11 |
Total: | 1,689 | 725,076,418 | 100.00 | 7.184 | 640 | 80.85 |
*ARM Loans Only
DESCRIPTION OF THE GROUP II COLLATERAL |
Subsequent Periodic Rate Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Subsequent | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.000 | 730 | 234,920,451 | 32.40 | 6.694 | 660 | 80.52 |
1.500 | 959 | 490,155,967 | 67.60 | 7.419 | 630 | 81.02 |
Total: | 1,689 | 725,076,418 | 100.00 | 7.184 | 640 | 80.85 |
*ARM Loans Only
Lifetime Periodic Cap* | ||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
Lifetime | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
5.000 - 5.499 | 32 | 9,992,552 | 1.38 | 7.187 | 643 | 80.62 |
6.000 - 6.499 | 1,531 | 677,987,078 | 93.51 | 7.182 | 639 | 80.87 |
6.500 - 6.999 | 1 | 397,310 | 0.05 | 7.375 | 609 | 80.00 |
7.000 - 7.499 | 125 | 36,699,478 | 5.06 | 7.215 | 649 | 80.60 |
Total: | 1,689 | 725,076,418 | 100.00 | 7.184 | 640 | 80.85 |
*ARM Loans Only
Original Prepayment Charge Term | ||||||||
|
|
| % of Aggregate |
| W.A. | W.A. |
| |
Prepayment Penalty | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
| |
Term (mos.) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
| |
0 | 681 | 215,979,129 | 25.31 | 7.899 | 640 | 83.75 |
| |
6 | 3 | 467,301 | 0.05 | 7.468 | 640 | 89.76 |
| |
12 | 230 | 81,137,999 | 9.51 | 7.645 | 637 | 81.82 |
| |
24 | 1,624 | 465,148,539 | 54.51 | 7.425 | 643 | 83.05 |
| |
30 | 1 | 523,260 | 0.06 | 6.990 | 639 | 80.77 |
| |
36 | 294 | 88,796,713 | 10.41 | 6.950 | 651 | 80.67 |
| |
60 | 4 | 1,231,319 | 0.14 | 6.205 | 643 | 81.68 |
| |
Total: | 2,837 | 853,284,260 | 100.00 | 7.514 | 643 | 82.86 |
| |
FOR ADDITIONAL INFORMATION PLEASE CALL:
Deutsche Bank Securities | |
|
|
Whole Loan Trading |
|
Michael Commaroto | 212-250-3114 |
Paul Mangione | 212-250-5786 |
Gary Huang | 212-250-7943 |
|
|
ABS Banking |
|
Sue Valenti | 212-250-3455 |
Daniel Murray | 212-250-0864 |
|
|
ABS Structuring |
|
Bill Yeung | 212-250-6893 |
Chris Sudol | 212-250-0507 |
|
|
ABS Collateral |
|
Steve Lumer | 212-250-0115 |
Andrew McDermott | 212-250-3978 |
|
|