NovaStar Home Equity Loan Asset-Backed Certificates,
Series 2007-1
$1,009,714,000 (Approximate)
NovaStar Mortgage Funding Corporation
Depositor
NovaStar Mortgage, Inc.
Sponsor and Servicer
 | |
 |  |
Co-Lead Underwriters
Deutsche Bank Securities | |
ABS Banking | |
| Ryan Stark | 212-250-8473 |
| Brian Haklisch | 212-250-8745 |
| Anjali Mecklai | 212-250-4214 |
| Libby Perry | 212-250-7906 |
ABS Structuring | |
| Dennis Currier | 212-250-1639 |
| Patrick Kim | 212-250-3053 |
| Andrew McDermott | 212-250-3978 |
ABS Collateral | |
| Steve Lumer | 212-250-0115 |
| Yiyun Tsai | 212-250-5312 |
Rating Agency Contacts:
Standard & Poor’s | Phone | E-mail Address | ||
| Anthony Guinyard | (212) 438-1830 | anthony_guinyard@standardandpoors.com | ||
| Michael Wray | (212) 438-3126 | michael_wray@standardandpoors.com | ||
Moody’s Investors Service | Phone | E-mail Address | ||
| Rachel Peng | (212) 553-3831 | Rachel.Peng@moodys.com | ||
| Joe Elsabee | (201) 915-8744 | Joseph.Elsabee@moodys.com |
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DISCLAIMER
The issuer has filed a registration statement (including a prospectus) with the SEC for the new offering to which this free writing prospectus relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling 1-800-503-4611.
This free writing prospectus does not contain all information that is required to be included in the base prospectus and the prospectus supplement. 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.
The information in this free writing prospectus, if conveyed prior to the time of your contractual commitment to purchase any of the securities, supersedes any information contained in any prior similar materials relating to the securities. The information in this free writing prospectus is preliminary, and is subject to completion or change. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the securities referred to in this free writing prospectus and to solicit an offer to purchase the Securities, when, as and if issued. Any such offer to purchase made by you will not be accepted and will not constitute a contractual commitment by you to purchase any of the securities, until we have accepted your offer to purchase securities.
You are advised that the terms of the securities, and the characteristics of the pool assets backing them, may change (due, among other things, to the possibility that the assets that comprise the pool may become delinquent or defaulted or may be removed or replaced and that similar or different assets may be added to the pool, and that one or more classes of securities may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus. You are advised that securities may not be issued that have the characteristics described in these materials. The underwriter’s obligation to sell such securities to you is conditioned on the assets and securities having the characteristics described in these materials. If for any reason the issuer does not deliver such securities, the underwriter will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and none of the issuer nor any underwriter will be liable for any costs or damages whatsoever arising from or related to such non-delivery.
The information in this free writing prospectus may be based on preliminary assumptions about the pool assets and the structure. Any such assumptions are subject to change.
The information in this free writing prospectus may reflect parameters, metrics or scenarios specifically requested by you. If so, prior to the time of your commitment to purchase, you should request updated information based on any parameters, metrics or scenarios specifically required by you.
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Preliminary Term Sheet | Date Prepared: February 13, 2007 |
$1,009,714,000 (Approximate)
Publicly Offered
NovaStar Home Equity Loan Asset-Backed Certificates, Series 2007-1
Class(1,2,3) | Principal Balance ($) | WAL (Years) Call/Mat (4) | Payment Window (Mths) Call/Mat(4) | Expected Rating S&P/Moody’s | Assumed Final Distribution Date | Certificate Type |
| Class A-1A | 803,560,000 | Not Marketed Hereby | AAA/Aaa | [March 2037] | Floating Rate Senior | |
| Class A-2A | 362,665,000 | [1.00] / [1.00] | [1-22 / 1-22] | AAA/Aaa | [March 2037] | Floating Rate Seq. Senior |
| Class A-2B | 131,454,000 | [2.00] / [2.00] | [22-27 / 22-27] | AAA/Aaa | [March 2037] | Floating Rate Seq. Senior |
| Class A-2C | 125,575,000 | [3.50] / [3.53] | [27-73 / 27-81] | AAA/Aaa | [March 2037] | Floating Rate Seq. Senior |
| Class A-2D | 34,920,000 | [6.07] / [9.18] | [73-73 / 81-170] | AAA/Aaa | [March 2037] | Floating Rate Seq. Senior |
| Class M-1 | 100,108,000 | [4.83] / [5.29] | [48-73 / 48-144] | AA+/Aa1 | [March 2037] | Floating Rate Subordinate |
| Class M-2 | 84,053,000 | [4.51] / [4.95] | [44-73 / 44-135] | AA/Aa2 | [March 2037] | Floating Rate Subordinate |
| Class M-3 | 26,444,000 | [4.40] / [4.82] | [43-73 / 43-126] | AA-/Aa3 | [March 2037] | Floating Rate Subordinate |
| Class M-4 | 37,777,000 | [4.34] / [4.74] | [41-73 / 41-122] | A+/A1 | [March 2037] | Floating Rate Subordinate |
| Class M-5 | 32,110,000 | [4.30] / [4.67] | [40-73 / 40-116] | A/A2 | [March 2037] | Floating Rate Subordinate |
| Class M-6 | 19,833,000 | [4.28] / [4.62] | [40-73 / 40-110] | A-/A3 | [March 2037] | Floating Rate Subordinate |
| Class M-7 | 21,721,000 | [4.24] / [4.56] | [39-73 / 39-105] | BBB+/Baa1 | [March 2037] | Floating Rate Subordinate |
| Class M-8 | 14,166,000 | [4.24] / [4.52] | [39-73 / 39-99] | BBB/Baa2 | [March 2037] | Floating Rate Subordinate |
| Class M-9 | 18,888,000 | [4.21] / [4.44] | [38-73 / 38-95] | BBB-/Baa3 | [March 2037] | Floating Rate Subordinate |
| Class M-10 | 15,111,000 | Not Marketed Hereby | BB+/Ba1 | [March 2037] | Floating Rate Subordinate | |
| Class M-11 | 18,888,000 | BB/Ba2 | [March 2037] | Floating Rate Subordinate | ||
Total: | 1,847,273,000 | |||||
(1) | The Class A-1A Certificates are backed primarily by the cash flow from the Group I Mortgage Loans (as defined herein). The Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates are backed primarily by the cash flow from the Group II Mortgage Loans (as defined herein). 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, Class M-10 and Class M-11 Certificates are backed by the cash flows from the Group I Mortgage Loans and Group II Mortgage Loans. The principal balance of each Class of Certificates (as defined herein) is subject to a 10% variance. |
(2) | The Class A-1A, Class A-2A, Class A-2B, Class A-2C, Class A-2D, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates are priced to call. The margins on the Class A-1A, Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates will double and the margins on 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, Class M-10 and Class M-11 Certificates will increase to 1.5x after the clean-up call date. |
(3) | See “Available Funds Cap Rate” herein. |
(4) | See “Pricing Prepayment Speed” herein. |
Depositor: | NovaStar Mortgage Funding Corporation. |
Issuer: | NovaStar Mortgage Funding Trust, Series 2007-1. |
Sponsor and Servicer: | NovaStar Mortgage, Inc. (“NovaStar”). |
Co-Lead Underwriters: | Deutsche Bank Securities Inc. (“Deutsche Bank”), Greenwich Capital Markets, Inc. (“RBS Greenwich Capital”) and Wachovia Capital Markets, LLC (“Wachovia Securities”). |
Trustee: | Deutsche Bank National Trust Company. |
Custodian: | U.S. Bank, National Association. |
Hedge Providers: | The Royal Bank of Scotland plc (“RBS”), Deutsche Bank AG (“Deutsche”), and Wachovia Bank, N.A. (“Wachovia”). |
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Certificates: | The Class A-1A Certificates (the “Group I Certificates”), the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates (collectively, the “Group II Certificates”, and together with the Group I Certificates, the “Class A Certificates” or “Senior 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, Class M-10 and Class M-11 Certificates (collectively, the “Subordinate Certificates”). The Class A-2A, Class A-2B, Class A-2C, Class A-2D, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates are referred to herein as the “Offered Certificates.” The Class M-10 and Class M-11 Certificates will not be offered hereby and will not be underwritten. The Class A-1A Certificates are not offered hereby. The Senior and Subordinate Certificates are referred to herein as the “Certificates.” |
Federal Tax Status: | The Certificates will represent, in part, ownership of REMIC regular interests for tax purposes. |
Registration: | The Class A-1A Certificates and the Offered Certificates (the “Underwritten Certificates”) will be available in book-entry form through DTC, and only upon request through Clearstream, Luxembourg and the Euroclear System. |
Cut-off Date: | For each Mortgage Loan, the later of (i) the close of business on February 1, 2007, and (ii) the date of origination of such Mortgage Loan. |
Expected Pricing Date: | On or about February 16, 2007. |
Expected Closing Date: | On or about February 28, 2007. |
Distribution Date: | The 25th day of each month (or if not a business day, the next succeeding business day) commencing in March 2007. |
Accrued Interest: | The price to be paid by investors for the Certificates will not include accrued interest (settling flat). |
Interest Accrual Period: | The interest accrual period for each Distribution Date will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to such Distribution Date (on an actual/360 basis). |
ERISA Eligibility: | The Underwritten Certificates are expected to be ERISA eligible provided that certain conditions are satisfied (as described in the free writing prospectus). |
SMMEA Eligibility: | The Certificates are not expected to constitute “mortgage related securities” for purposes of SMMEA. |
Denomination: | $25,000 minimum and multiples of $1,000 in excess thereafter. |
Optional Termination: | The terms of the transaction allow for a clean-up call (the “Clean-up Call”) which may be exercised once the aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. |
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Pricing Prepayment Speed: | The Certificates will be priced based on the following collateral prepayment assumptions: |
| FRM Loans (100% PPC): 2% to 25% CPR building linearly over 10 months, 25% CPR thereafter; | |
| ARM Loans (100% PPC): 2% to 30% CPR building linearly over 12 months, 30% CPR months 13-22, 60% CPR months 23-28, 35% CPR month 29 and thereafter. | |
Mortgage Loans: | As of the Cut-off Date, the aggregate principal balance of the Mortgage Loans was approximately $1,888,825,898, of which: (i) approximately $1,040,880,343 consisted of a pool of conforming balance fixed-rate and adjustable-rate, first-lien and second-lien, fully amortizing and balloon subprime mortgage loans (the “Group I Mortgage Loans”), and (ii) approximately $847,945,555 consisted of a pool of non-conforming balance fixed-rate and adjustable-rate, first-lien and second-lien, fully amortizing and balloon subprime mortgage loans (the “Group II Mortgage Loans,” together with the Group I Mortgage Loans, the “Mortgage Loans”). |
| With respect to approximately 21.40% of the Mortgage Loans, NovaStar or another originator, originated a second lien mortgage loan simultaneously with the origination of the related first lien Mortgage Loan. | |
| On or prior to the Closing Date, certain of the Mortgage Loans may be determined not to be eligible for inclusion in the final pool and certain other similar mortgage loans may be added to the trust. | |
Pass-Through Rate: | The “Pass-Through Rate” on each Class of Certificates will be equal to the lesser of (i) the related Formula Rate and (ii) the Available Funds Cap Rate. |
| �� | |
Formula Rate: | The “Formula Rate” on each Class of the Certificates will be equal to the lesser of (i) One Month LIBOR plus the related margin for such Class and (ii) 11.00%. |
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Available Funds Cap Rate: | The “ Available Funds Cap Rate” for the Group I Certificates and the Group II Certificates on any Distribution Date is the per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to the product of (i) 12 and (ii) a fraction, expressed as a percentage, the numerator of which is the difference of (a) an amount equal to interest due on the related Mortgage Loans, less the servicing fee, trustee fee, custodian fee, mortgage insurance fees allocable to those Mortgage Loans, and (b) the Group I Allocation Percentage or Group II Allocation Percentage, as applicable, of any cap fixed rate payments, any aggregate net swap payments owed to the Hedge Providers for such Distribution Date and any unpaid termination payment due to a Hedge Provider that is not due to an event of default or termination event with respect to which that Hedge Provider is the defaulting party or affected party, and the denominator of which is the aggregate principal balance of the Mortgage Loans in the related loan group. |
Subordinate Certificates: The Available Funds Cap Rate for the Subordinate Certificates on any Distribution Date is the per annum rate equal to 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 Available Funds Cap Rate for the Group I Certificates and (ii) the Available Funds Cap Rate for the Group II Certificates. | |
Group I Allocation Percentage: The aggregate principal balance of the Group I Mortgage Loans divided by the sum of the aggregate principal balance of the Group I 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 I Mortgage Loans and the Group II Mortgage Loans. | |
Available Funds Cap Shortfall: | On any Distribution Date, the “Available Funds Cap Shortfall” for each class is equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on a class of certificates based on the related Formula Rate over (b) the amount of interest accrued on such class based on the Available Funds Cap Rate and (ii) the unpaid portion of any Available Funds Cap Shortfall from the prior Distribution Date together with accrued interest on such unpaid portion at the applicable Formula Rate. Any Available Funds Cap Shortfall will be paid on such Distribution Date or future Distribution Dates to the extent of funds available. |
Monthly Servicer Advances: | The Servicer is generally required to advance scheduled principal and interest (net of the servicing fee) for any delinquent mortgage loan, but is not required to make any advance that the Servicer deems to be non-recoverable. |
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Swap Agreements: | On the Closing Date, the Supplemental Interest Trust will enter into multiple “Swap Agreements” with an initial aggregate notional amount of $985,000,000. Under each Swap Agreement, on each Distribution Date, until the related swap is retired, the Supplemental Interest Trust shall make a payment equal to interest at the fixed rate shown below on the related swap notional amount to the related Hedge Provider and the Supplemental Interest Trust will receive a payment of interest at One Month LIBOR, accrued during the related swap accrual period, on the related swap notional amount from the related Hedge Provider. |
Hedge Provider | Notional Amount ($) | Fixed Rate | Maturity Date |
| Greenwich | 40,000,000 | 4.91100% | May-09 |
| Greenwich | 40,000,000 | 4.90350% | Nov-09 |
| Greenwich | 110,000,000 | 5.09200% | May-08 |
| Greenwich | 55,000,000 | 4.98200% | May-09 |
| Deutsche Bank | 80,000,000 | 5.12750% | May-08 |
| Deutsche Bank | 20,000,000 | 4.97500% | Nov-09 |
| Greenwich | 80,000,000 | 4.89750% | Dec-08 |
| Greenwich | 20,000,000 | 4.83100% | Dec-09 |
| Deutsche Bank | 40,000,000 | 4.73700% | Jun-09 |
| Greenwich | 40,000,000 | 4.72000% | Dec-09 |
| Greenwich | 160,000,000 | 5.01875% | Jun-08 |
| Deutsche Bank | 40,000,000 | 4.87000% | Jun-09 |
| Deutsche Bank | 20,000,000 | 4.85500% | Dec-09 |
| Wachovia | 130,000,000 | 4.97700% | Dec-08 |
| Deutsche Bank | 30,000,000 | 4.90500% | Dec-09 |
| Greenwich | 40,000,000 | 4.98400% | Jul-09 |
| Greenwich | 40,000,000 | 4.96375% | Jan-10 |
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| Shown below is an aggregate swap notional amount schedule and a weighted average swap fixed rate schedule, calculated by aggregating all the individual swaps described previously. |
Notional Amount ($) | W.A. Fixed Rate | |
| Mar-07 | 985,000,000 | 4.9645% |
| Apr-07 | 985,000,000 | 4.9645% |
| May-07 | 985,000,000 | 4.9645% |
| Jun-07 | 985,000,000 | 4.9645% |
| Jul-07 | 985,000,000 | 4.9645% |
| Aug-07 | 985,000,000 | 4.9645% |
| Sep-07 | 985,000,000 | 4.9645% |
| Oct-07 | 985,000,000 | 4.9645% |
| Nov-07 | 985,000,000 | 4.9645% |
| Dec-07 | 985,000,000 | 4.9645% |
| Jan-08 | 985,000,000 | 4.9645% |
| Feb-08 | 985,000,000 | 4.9645% |
| Mar-08 | 985,000,000 | 4.9645% |
| Apr-08 | 985,000,000 | 4.9645% |
| May-08 | 985,000,000 | 4.9645% |
| Jun-08 | 795,000,000 | 4.9305% |
| Jul-08 | 635,000,000 | 4.9083% |
| Aug-08 | 635,000,000 | 4.9083% |
| Sep-08 | 635,000,000 | 4.9083% |
| Oct-08 | 635,000,000 | 4.9083% |
| Nov-08 | 635,000,000 | 4.9083% |
| Dec-08 | 635,000,000 | 4.9083% |
| Jan-09 | 425,000,000 | 4.8893% |
| Feb-09 | 425,000,000 | 4.8893% |
| Mar-09 | 425,000,000 | 4.8893% |
| Apr-09 | 425,000,000 | 4.8893% |
| May-09 | 425,000,000 | 4.8893% |
| Jun-09 | 330,000,000 | 4.8712% |
| Jul-09 | 250,000,000 | 4.8929% |
| Aug-09 | 210,000,000 | 4.8755% |
| Sep-09 | 210,000,000 | 4.8755% |
| Oct-09 | 210,000,000 | 4.8755% |
| Nov-09 | 210,000,000 | 4.8755% |
| Dec-09 | 150,000,000 | 4.8548% |
| Jan-10 | 40,000,000 | 4.9638% |
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Cap Agreements: | On the Closing Date, the Supplemental Interest Trust will enter into two “Cap Agreements” with an initial aggregate notional amount of $100,000,000. Under each Cap Agreement, on each Distribution Date, until the related cap is retired, the Supplemental Interest Trust shall make a payment equal to the fixed rate shown below on the related cap notional amount to the related Hedge Provider and the Supplemental Interest Trust will receive a payment, should One Month LIBOR exceed the related strike rate, equal to the difference between One Month LIBOR and the related strike rate, from the related Hedge Provider. |
Hedge Provider | Notional Amount ($) | Fixed Rate | Strike Rate | Maturity Date |
| Wachovia | 80,000,000 | 0.2330% | 5.2000% | Nov-08 |
| Wachovia | 20,000,000 | 0.3270% | 5.1500% | Nov-09 |
Shown below is an aggregate effective cap notional amount schedule, a weighted average cap fixed rate schedule and a weighted average strike rate schedule, calculated by aggregating all the individual caps described previously.
Payment Date | Notional Amount ($) | W.A. Fixed Rate | wa Strike Rate |
| Mar-07 | 100,000,000 | 0.2518% | 5.1900% |
| Apr-07 | 100,000,000 | 0.2518% | 5.1900% |
| May-07 | 100,000,000 | 0.2518% | 5.1900% |
| Jun-07 | 100,000,000 | 0.2518% | 5.1900% |
| Jul-07 | 100,000,000 | 0.2518% | 5.1900% |
| Aug-07 | 100,000,000 | 0.2518% | 5.1900% |
| Sep-07 | 100,000,000 | 0.2518% | 5.1900% |
| Oct-07 | 100,000,000 | 0.2518% | 5.1900% |
| Nov-07 | 100,000,000 | 0.2518% | 5.1900% |
| Dec-07 | 100,000,000 | 0.2518% | 5.1900% |
| Jan-08 | 100,000,000 | 0.2518% | 5.1900% |
| Feb-08 | 100,000,000 | 0.2518% | 5.1900% |
| Mar-08 | 100,000,000 | 0.2518% | 5.1900% |
| Apr-08 | 100,000,000 | 0.2518% | 5.1900% |
| May-08 | 100,000,000 | 0.2518% | 5.1900% |
| Jun-08 | 100,000,000 | 0.2518% | 5.1900% |
| Jul-08 | 100,000,000 | 0.2518% | 5.1900% |
| Aug-08 | 100,000,000 | 0.2518% | 5.1900% |
| Sep-08 | 100,000,000 | 0.2518% | 5.1900% |
| Oct-08 | 100,000,000 | 0.2518% | 5.1900% |
| Nov-08 | 100,000,000 | 0.2518% | 5.1900% |
| Dec-08 | 20,000,000 | 0.3270% | 5.1500% |
| Jan-09 | 20,000,000 | 0.3270% | 5.1500% |
| Feb-09 | 20,000,000 | 0.3270% | 5.1500% |
| Mar-09 | 20,000,000 | 0.3270% | 5.1500% |
| Apr-09 | 20,000,000 | 0.3270% | 5.1500% |
| May-09 | 20,000,000 | 0.3270% | 5.1500% |
| Jun-09 | 20,000,000 | 0.3270% | 5.1500% |
| Jul-09 | 20,000,000 | 0.3270% | 5.1500% |
| Aug-09 | 20,000,000 | 0.3270% | 5.1500% |
| Sep-09 | 20,000,000 | 0.3270% | 5.1500% |
| Oct-09 | 20,000,000 | 0.3270% | 5.1500% |
| Nov-09 | 20,000,000 | 0.3270% | 5.1500% |
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Credit Enhancement: | Consists of the following: | |
| 1) | Mortgage Insurance; | |
| 2) | Excess Cashflow; | |
| 3) | the Overcollateralization Amount; and | |
| 4) | Subordination | |
| The Issuing Entity will also have the benefit of any net swap payments and cap payments received from the Hedge Providers. | |
Mortgage Insurance Policies: | Approximately 43.76% of the Mortgage Loans are covered by a mortgage insurance policy issued by Mortgage Guaranty Insurance Corp. (“MGIC”), PMI Mortgage Insurance Co. (“PMI”), or Radian Guaranty Inc. (“Radian”) (such loans are the “Insured Mortgage Loans”). Approximately 51.87% of the Mortgage Loans have an original loan-to-value ratio in excess of 60% and are not insured. Additionally, approximately 4.37% of the Mortgage Loans have an original loan-to-value ratio less than or equal to 60% and are not insured. |
| The mortgage insurance policies insure a portion of the loss on the related mortgage loan to a level where the uninsured exposure of the mortgage loan is reduced to an amount equal to 55%, 51% or 50% of the original loan-to-value ratio of such mortgage loan. | |
| Claim payments, if any, under a mortgage insurance policy will be made to the Servicer, deposited in the collection account and treated in the same manner as a prepayment of the related mortgage loan. | |
Approximately 42.58%, 0.65% and 0.53% of the Insured Mortgage Loans are insured by MGIC, PMI, and Radian, respectively. |
Credit Enhancement Percentages:
Class | Ratings (S/M) | Initial Credit Enhancement On Closing Date* | Expected Targeted Credit Enhancement On or After Crossover Date* |
| Class A | AAA/Aaa | [22.80]% | [45.60]% |
| Class M-1 | AA+/Aa1 | [17.50]% | [35.00]% |
| Class M-2 | AA/Aa2 | [13.05]% | [26.10]% |
| Class M-3 | AA-/Aa3 | [11.65]% | [23.30]% |
| Class M-4 | A+/A1 | [9.65]% | [19.30]% |
| Class M-5 | A/A2 | [7.95]% | [15.90]% |
| Class M-6 | A-/A3 | [6.90]% | [13.80]% |
| Class M-7 | BBB+/Baa1 | [5.75]% | [11.50]% |
| Class M-8 | BBB/Baa2 | [5.00]% | [10.00]% |
| Class M-9 | BBB-/Baa3 | [4.00]% | [8.00]% |
| Class M-10 | BB+/Ba1 | [3.20]% | [6.40]% |
| Class M-11 | BB/Ba2 | [2.20]% | [4.40]% |
| *Approximately | |
Excess Cashflow: | The “Excess Cashflow” for any Distribution Date will be equal to the sum of the funds remaining after priority 1) and 2) (excluding the Excess Cashflow component of 2) under “Priority of Distributions.” |
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Overcollateralization Amount: | On any Distribution Date the “Overcollateralization Amount” is equal to (i) the excess of the aggregate principal balance of the Mortgage Loans over (ii) the aggregate principal balance of the Certificates after distribution of the principal remittance amount. On the Closing Date, the Overcollateralization Amount will be equal to approximately 2.20% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. To the extent the Overcollateralization Amount is reduced below the Required Overcollateralization Amount, Excess Cashflow, if any, will be directed to build the Overcollateralization Amount until the Required Overcollateralization Amount is reached. | ||
Required Overcollateralization Amount: | On any Distribution Date prior to the Crossover Date the “Required Overcollateralization Amount” will be equal to approximately 2.20% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. On any Distribution Date on or after the Crossover Date when a trigger event is not in effect the Required Overcollateralization Amount will be the greater of (i) approximately 4.40% of the current aggregate outstanding principal balance of the Mortgage Loans as of the last day of the related due period and (ii) approximately 0.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. On any Distribution Date on or after the Crossover Date, if a Trigger Event is in effect, the Required Overcollateralization Amount will equal the Required Overcollateralization Amount for the immediately preceding Distribution Date. | ||
Crossover Date: | The earlier to occur of: | ||
| (i) | the Distribution Date after the Distribution Date on which the aggregate principal balance of the Class A Certificates has been reduced to zero, and | ||
| (ii) | the later to occur of: | ||
| a. | the Distribution Date occurring in March 2010; and | ||
| b. | the first Distribution Date on which the Senior Credit Enhancement Percentage (calculated for this purpose only, after taking into account distributions on the mortgage loans) is greater than or equal to approximately 45.60%. | ||
Senior Credit Enhancement Percentage: | The “Senior Credit Enhancement Percentage” for a Distribution Date is equal to (i) the sum of (a) the aggregate principal balance of the Subordinate Certificates and (b) the Overcollateralization Amount divided by (ii) the aggregate principal balance of the Mortgage Loans, calculated prior to taking into account distributions of principal on the Mortgage Loans and prior to taking into account distributions on the related certificates on such Distribution Date. |
Limited Cross-collateralization: | Under certain circumstances, to the extent available, if funds from one Group are insufficient to make a required payment of interest or principal on the related class or classes of Class A Certificates, then any remaining funds from the other Group (after paying such amounts to the related class or classes of Class A Certificates) may be used to make such required payments of interest and principal. |
12
Trigger Event: | A “Trigger Event” is in effect on any Distribution Date on or after the Crossover Date, if either (i) the three month average 60+ day delinquency percentage exceeds [37.28]% of the current Senior Credit Enhancement Percentage or (ii) cumulative realized losses for the related Distribution Date as a percentage of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date are greater than: |
:
Period | Losses | Period | Losses (%) | Period | Losses (%) | Period | Losses (%) |
25 | 1.15% | 38 | 2.62% | 51 | 4.14% | 64 | 5.26% |
26 | 1.26% | 39 | 2.74% | 52 | 4.24% | 65 | 5.32% |
27 | 1.38% | 40 | 2.86% | 53 | 4.33% | 66 | 5.37% |
28 | 1.49% | 41 | 2.98% | 54 | 4.43% | 67 | 5.43% |
29 | 1.60% | 42 | 3.10% | 55 | 4.53% | 68 | 5.48% |
30 | 1.71% | 43 | 3.23% | 56 | 4.62% | 69 | 5.53% |
31 | 1.83% | 44 | 3.35% | 57 | 4.72% | 70 | 5.59% |
32 | 1.94% | 45 | 3.47% | 58 | 4.81% | 71 | 5.64% |
33 | 2.05% | 46 | 3.59% | 59 | 4.91% | 72 | 5.70% |
34 | 2.16% | 47 | 3.71% | 60 | 5.00% | 73 and | 5.75% |
35 | 2.28% | 48 | 3.83% | 61 | 5.10% | thereafter | |
36 | 2.39% | 49 | 3.95% | 62 | 5.15% | ||
37 | 2.50% | 50 | 4.05% | 63 | 5.21% |
Realized Losses: | If a Mortgage Loan becomes a liquidated loan, the net liquidation proceeds relating thereto may be less than the principal balance on such Mortgage Loan. The amount of such insufficiency is a “Realized Loss.” Realized Losses on the Mortgage Loans will be absorbed first, by the Excess Cashflow, and second, by the reduction of the Overcollateralization Amount. Following the reduction of any Overcollateralization Amount to zero, all allocable Realized Losses will be applied in reverse sequential order, first to the Class M-11 Certificates, then to the Class M-10 Certificates, then to the Class M-9 Certificates, then to the Class M-8 Certificates, then to the Class M-7 Certificates, then to the Class M-6 Certificates, then to the Class M-5 Certificates, then to the Class M-4 Certificates, then to the Class M-3 Certificates, then to the Class M-2 Certificates, and lastly, to the Class M-1 Certificates until each respective Certificate balance is reduced to zero. Realized Losses will not be allocated to any of the Class A Certificates. |
13
Priority of Distributions: | Available funds from the Mortgage Loans will be distributed as follows: | |
| 1) | Interest funds, as follows: first to pay servicing fees, trustee fees, custodian fee and mortgage insurance fees, second, to the Supplemental Interest Trust, net swap payments and cap fixed rate payments owed to the Hedge Providers and any unpaid termination payment not due to a Hedge Provider trigger event (as defined below), third, monthly interest plus any previously unpaid interest to the Class A-1A, Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates (pro-rata among the classes in each group), generally from interest collected in the related loan group, fourth, monthly interest plus any previously unpaid interest to the Class M-1 Certificates, fifth, monthly interest plus any previously unpaid interest to the Class M-2 Certificates, sixth, monthly interest plus any previously unpaid interest to the Class M-3 Certificates, seventh, monthly interest plus any previously unpaid interest to the Class M-4 Certificates, eighth, monthly interest plus any previously unpaid interest to the Class M-5 Certificates, ninth, monthly interest plus any previously unpaid interest to the Class M-6 Certificates, tenth, monthly interest plus any previously unpaid interest to the Class M-7 Certificates, eleventh, monthly interest plus any previously unpaid interest to the Class M-8 Certificates, twelfth, monthly interest plus any previously unpaid interest to the Class M-9 Certificates, thirteenth, monthly interest plus any previously unpaid interest to the Class M-10 Certificates, and fourteenth, monthly interest plus any previously unpaid interest to the Class M-11 Certificates. Any remaining interest funds will be distributed as part of Excess Cashflow pursuant to 2) and 3) below. | |
| 2) | Principal funds (including any amounts required to be taken from Excess Cashflow to the extent necessary to increase the Overcollateralization Amount to the Required Overcollateralization Amount), as follows: monthly principal to the Class A-1A, Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, generally based on principal collected in the related loan group, as described under "Principal Paydown", then monthly principal to the Class M-1 Certificates as described under "Principal Paydown,", to the Class M-2 Certificates as described under "Principal Paydown," to the Class M-3 Certificates as described under "Principal Paydown," to the Class M-4 Certificates as described under "Principal Paydown," then monthly principal to the Class M-5 Certificates as described under "Principal Paydown," then monthly principal to the Class M-6 Certificates as described under "Principal Paydown," then monthly principal to the Class M-7 Certificates as described under “Principal Paydown,” then monthly principal to the Class M-8 Certificates as described under “Principal Paydown,” then monthly principal to the Class M-9 Certificates as described under “Principal Paydown,” then monthly principal to the Class M-10 Certificates as described under “Principal Paydown,” then monthly principal to the Class M-11 Certificates as described under “Principal Paydown.” | |
| 3) | Any remaining Excess Cashflow to be deposited in the Supplemental Interest Trust. | |
14
Principal Paydown: | The share of principal allocable to the Group II Certificates will be distributed sequentially: to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, in that order, until their respective certificate principal balances are reduced to zero. However, if all of the Subordinate Certificates are written down to zero, the share of the principal allocable to the Group II Certificates will be distributed pro rata, based on current certificate principal balance until their certificate principal balances are reduced to zero. |
Prior to the Crossover Date or if a Trigger Event is in effect, 100% of principal (including Excess Cashflow used to pay principal) will be paid to the Group I and Group II Certificates generally pro-rata, based on the principal collected in the related loan group, provided, however, that if the Group I and Group II Certificates have been retired, principal will be applied sequentially in the following order of priority (until each respective Certificate balance is reduced to zero): (1) Class M-1 Certificates, (2) Class M-2 Certificates, (3) Class M-3 Certificates, (4) Class M-4 Certificates, (5) Class M-5 Certificates, (6) Class M-6 Certificates, (7) Class M-7 Certificates, (8) Class M-8 Certificates, (9) Class M-9 Certificates , (10) Class M-10 Certificates, and (11) Class M-11 Certificates. | |
On or after the Crossover Date and if a Trigger Event is not in effect, the Certificates will be entitled to receive payments of principal (including Excess Cashflow used to pay principal) in the following order of priority: first to the Group I and Group II Certificates, generally pro-rata based on the principal collected in the related loan group, such that the Class A Certificates will have at least approximately 45.60% credit enhancement, second to the Class M-1 Certificates such that the Class M-1 will have at least approximately 35.00% credit enhancement, third to the Class M-2 Certificates such that the Class M-2 will have at least approximately 26.10% credit enhancement, fourth to the Class M-3 Certificates such that the Class M-3 Certificates will have at least approximately 23.30% credit enhancement, fifth to the Class M-4 Certificates such that the Class M-4 Certificates will have at least approximately 19.30% credit enhancement, sixth to the Class M-5 Certificates such that the Class M-5 Certificates will have at least approximately 15.90% credit enhancement, seventh to the Class M-6 Certificates such that the Class M-6 Certificates will have at least approximately 13.80% credit enhancement, eighth to the Class M-7 Certificates such that the Class M-7 Certificates will have at least approximately 11.50% credit enhancement, ninth to the Class M-8 Certificates such that the Class M-8 Certificates will have at least approximately 10.00% credit enhancement, tenth to the Class M-9 Certificates such that the Class M-9 Certificates will have at least approximately 8.00% credit enhancement, eleventh to the Class M-10 Certificates such that the Class M-10 Certificates will have at least approximately 6.40% credit enhancement, and twelfth to the Class M-11 Certificates such that the Class M-11 Certificates will have at least approximately 4.40% credit enhancement (subject, in each case, to any overcollateralization floors), in each case until the related certificate principal balance is reduced to zero. |
15
Supplemental Interest Trust: | Funds deposited into the Supplemental Interest Trust on a Distribution Date will include: | |
| (i) | the net swap payments and cap fixed rate payments owed to the Hedge Providers for such Distribution Date, | |
| (ii) | any net swap payments or cap floating rate payments received from the Hedge Providers for such Distribution Date, and | |
| (iii) | Excess Cashflow deposited therein pursuant to 3) of “Priority of Distributions.” | |
| Funds in the Supplemental Interest Trust will be distributed in the following order of priority: | ||
| 1) | To the Hedge Providers, any unpaid termination payment due to a Hedge Provider that is not due to an event of default or termination event with respect to which that Hedge Provider is the defaulting party or affected party (any such event a “Hedge Provider trigger event”). | |
| 2) | To the Hedge Providers, net swap payments and cap fixed rate payments owed for such Distribution Date, if any. | |
| 3) | The amount necessary, if any, to increase the Overcollateralization Amount to the Required Overcollateralization Amount, after taking into account any Excess Cashflow previously applied to such purpose on such Distribution Date; provided, however, the amount paid pursuant to this priority (3) on any Distribution Date cannot exceed the excess of (i) Realized Losses sustained with respect to such Distribution Date and all prior Distribution Dates over (ii) the sum of all amounts paid pursuant to this priority (3) on all prior Distribution Dates. | |
| 4) | Any Available Funds Cap Shortfall first, pro-rata to the Senior Certificates based on certificate principal balance and second, sequentially to the classes of Subordinate Certificates in descending order of seniority. | |
| 5) | To the Hedge Providers, any unpaid termination payment due to any Hedge Provider as a result of a Hedge Provider trigger event. | |
| 6) | To the holders of the non-offered residual certificates, any remaining amounts. | |
16
NovaStar Mortgage Loan Funding Trust, Series 2007-1
Aggregate Mortgage Loans
Minimum | Maximum | |||||||||
| Scheduled Principal Balance | $ | 1,888,825,898 | $ | 7,890 | $ | 1,392,000 | ||||
| Average Scheduled Principal Balance | $ | 166,080 | ||||||||
| Number of Mortgage Loans | 11,373 | |||||||||
| Weighted Average Gross Coupon | 8.849 | % | 5.350 | % | 14.500 | % | ||||
| Weighted Average FICO Score | 618 | 439 | 816 | |||||||
| Weighted Average Combined Original LTV | 83.31 | % | 11.29 | % | 100.00 | % | ||||
| Weighted Average Original Term | 348 months | 120 months | 360 months | |||||||
| Weighted Average Remaining Term | 345 months | 64 months | 360 months | |||||||
| Weighted Average Seasoning | 3 months | 0 months | 111 months | |||||||
| Weighted Average Margin | 5.811 | % | 3.700 | % | 8.000 | % | ||||
| Weighted Average Minimum Rate | 8.794 | % | 5.350 | % | 12.950 | % | ||||
| Weighted Average Maximum Rate | 15.794 | % | 12.350 | % | 19.950 | % | ||||
| Weighted Average Initial Periodic Cap | 3.000 | % | 2.000 | % | 3.000 | % | ||||
| Weighted Average Subsequent Periodic Cap | 1.000 | % | 1.000 | % | 2.000 | % | ||||
| Weighted Average Months to Roll | 23 months | 1 month | 60 months | |||||||
| Maturity Date | June 1, 2012 | Feb. 1, 2037 | ||||||||
| Top Zip Code | 0.32% (84770 | ) | ||||||||
| ARM | 75.32 | % | ||||||||
| Fixed Rate Loan | 24.68 | % | ||||||||
| 1/29 1 Year CMT ARM | 0.01 | % | ||||||||
| 2/28 6 MO LIBOR IO | 10.11 | % | ||||||||
| 2/28 6 Mo LIBOR ARM | 41.84 | % | ||||||||
| 2/28 6 Month LIBOR ARM 40/30 Balloon | 21.38 | % | ||||||||
| 3/27 6 MO LIBOR IO | 0.39 | % | ||||||||
| 3/27 6 Mo LIBOR ARM | 0.98 | % | ||||||||
| 3/27 6 Month LIBOR ARM 40/30 Balloon | 0.35 | % | ||||||||
| 5/25 6 MO LIBOR | 0.04 | % | ||||||||
| 5/25 6 MO LIBOR IO | 0.18 | % | ||||||||
| 5/25 6 Month LIBOR ARM 40/30 Balloon | 0.06 | % | ||||||||
| Fixed Rate | 16.52 | % | ||||||||
| Fixed Rate 40/30 Balloon | 2.59 | % | ||||||||
| Fixed Rate Balloon 30/15 | 4.84 | % | ||||||||
| Fixed Rate IO | 0.74 | % | ||||||||
| Interest Only | 11.41 | % | ||||||||
| Not Interest Only | 88.59 | % | ||||||||
| Prepay Penalty: 0 months | 39.95 | % | ||||||||
| Prepay Penalty: 12 months | 0.77 | % | ||||||||
| Prepay Penalty: 24 months | 29.00 | % | ||||||||
| Prepay Penalty: 36 months | 29.38 | % | ||||||||
| Prepay Penalty: 60 months | 0.90 | % | ||||||||
| First Lien | 95.40 | % | ||||||||
| Second Lien | 4.60 | % | ||||||||
17
| Full Documentation | 48.65 | % | ||||||||
| Limited Documentation | 0.79 | % | ||||||||
| No Income/No Asset | 1.12 | % | ||||||||
| No Documentation | 4.69 | % | ||||||||
| Stated Documentation | 44.74 | % | ||||||||
| Purchase | 32.50 | % | ||||||||
| Rate/Term Refinance | 2.83 | % | ||||||||
| Cash Out Refinance | 64.67 | % | ||||||||
| Construction/Permanent | 0.00 | % | ||||||||
| Single Family Residence | 73.93 | % | ||||||||
| Townhouse | 0.02 | % | ||||||||
| Condo | 4.36 | % | ||||||||
| PUD | 15.86 | % | ||||||||
| Manufactured Housing | 0.20 | % | ||||||||
| Multi-Unit | 5.64 | % | ||||||||
| Investment (Non-Owner Occupied) | 6.27 | % | ||||||||
| Investment (Owner Occupied) | 0.01 | % | ||||||||
| Primary | 90.51 | % | ||||||||
| Secondary Home | 3.22 | % | ||||||||
| Top 5 States: | ||||||||||
| Florida | 18.20 | % | ||||||||
| California | 11.39 | % | ||||||||
| Michigan | 4.76 | % | ||||||||
| Maryland | 4.33 | % | ||||||||
| New Jersey | 4.12 | % | ||||||||
| Top 5 Zips: | ||||||||||
| 84770 | 0.32 | % | ||||||||
| 33157 | 0.24 | % | ||||||||
| 92563 | 0.23 | % | ||||||||
| 85242 | 0.22 | % | ||||||||
| 33023 | 0.21 | % | ||||||||
| Top 5 Cities: | ||||||||||
| Miami | 2.60 | % | ||||||||
| Los Angeles | 1.09 | % | ||||||||
| Detroit | 0.98 | % | ||||||||
| Orlando | 0.96 | % | ||||||||
| Las Vegas | 0.94 | % |
18
Current Principal Balance ($) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 0.01 - 50,000.00 | 1,091 | 37,057,984.81 | 1.96 | 10.923 | 198 | 90.93 | 633 | |||||||||||||||
| 50,000.01 - 100,000.00 | 3,280 | 244,191,542.65 | 12.93 | 9.712 | 320 | 84.32 | 604 | |||||||||||||||
| 100,000.01 - 150,000.00 | 2,430 | 301,570,505.45 | 15.97 | 9.069 | 343 | 82.60 | 602 | |||||||||||||||
| 150,000.01 - 200,000.00 | 1,605 | 278,953,737.50 | 14.77 | 8.796 | 351 | 81.90 | 609 | |||||||||||||||
| 200,000.01 - 250,000.00 | 938 | 209,668,731.46 | 11.10 | 8.690 | 353 | 82.41 | 614 | |||||||||||||||
| 250,000.01 - 300,000.00 | 602 | 164,499,575.40 | 8.71 | 8.758 | 353 | 83.75 | 618 | |||||||||||||||
| 300,000.01 - 350,000.00 | 399 | 128,564,336.05 | 6.81 | 8.383 | 357 | 82.80 | 618 | |||||||||||||||
| 350,000.01 - 400,000.00 | 291 | 108,942,044.07 | 5.77 | 8.405 | 358 | 83.30 | 625 | |||||||||||||||
| 400,000.01 - 450,000.00 | 197 | 83,455,654.68 | 4.42 | 8.487 | 356 | 84.27 | 620 | |||||||||||||||
| 450,000.01 - 500,000.00 | 155 | 73,680,215.43 | 3.90 | 8.347 | 358 | 83.04 | 634 | |||||||||||||||
| 500,000.01 - 550,000.00 | 102 | 53,484,879.77 | 2.83 | 8.170 | 359 | 83.56 | 644 | |||||||||||||||
| 550,000.01 - 600,000.00 | 81 | 46,575,029.69 | 2.47 | 8.261 | 359 | 84.53 | 652 | |||||||||||||||
| 600,000.01 - 650,000.00 | 55 | 34,453,547.36 | 1.82 | 8.635 | 359 | 86.80 | 635 | |||||||||||||||
| 650,000.01 - 700,000.00 | 30 | 20,133,713.90 | 1.07 | 8.413 | 359 | 84.93 | 657 | |||||||||||||||
| 700,000.01 - 750,000.00 | 31 | 22,483,172.98 | 1.19 | 8.685 | 358 | 85.88 | 641 | |||||||||||||||
| 750,000.01 - 800,000.00 | 17 | 13,102,624.61 | 0.69 | 8.484 | 358 | 85.60 | 666 | |||||||||||||||
| 800,000.01 - 850,000.00 | 10 | 8,325,584.73 | 0.44 | 8.830 | 358 | 83.66 | 664 | |||||||||||||||
| 850,000.01 - 900,000.00 | 12 | 10,569,147.49 | 0.56 | 8.098 | 359 | 82.59 | 697 | |||||||||||||||
| 900,000.01 - 950,000.00 | 4 | 3,737,205.62 | 0.20 | 9.671 | 357 | 77.93 | 604 | |||||||||||||||
| 950,000.01 - 1,000,000.00 | 16 | 15,672,642.79 | 0.83 | 8.382 | 358 | 82.42 | 648 | |||||||||||||||
| 1,000,000.01 - 1,050,000.00 | 9 | 9,300,135.46 | 0.49 | 8.416 | 358 | 81.66 | 683 | |||||||||||||||
| 1,050,000.01 - 1,100,000.00 | 7 | 7,549,864.30 | 0.40 | 8.120 | 359 | 82.60 | 705 | |||||||||||||||
| 1,100,000.01 - 1,150,000.00 | 6 | 6,715,168.25 | 0.36 | 8.092 | 358 | 77.25 | 676 | |||||||||||||||
| 1,150,000.01 - 1,350,000.00 | 4 | 4,746,853.45 | 0.25 | 9.315 | 358 | 82.46 | 640 | |||||||||||||||
| 1,350,000.01 - 1,400,000.00 | 1 | 1,392,000.00 | 0.07 | 7.350 | 357 | 80.00 | 707 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
19
Current Gross Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 5.000 - 5.499 | 3 | 480,676.18 | 0.03 | 5.375 | 360 | 71.04 | 636 | |||||||||||||||
| 5.500 - 5.999 | 48 | 13,277,719.57 | 0.70 | 5.786 | 343 | 66.32 | 710 | |||||||||||||||
| 6.000 - 6.499 | 102 | 26,216,807.40 | 1.39 | 6.278 | 351 | 71.92 | 669 | |||||||||||||||
| 6.500 - 6.999 | 513 | 120,693,650.75 | 6.39 | 6.809 | 353 | 74.12 | 653 | |||||||||||||||
| 7.000 - 7.499 | 590 | 130,300,053.18 | 6.90 | 7.277 | 355 | 77.41 | 640 | |||||||||||||||
| 7.500 - 7.999 | 1,371 | 301,297,997.35 | 15.95 | 7.791 | 354 | 79.50 | 636 | |||||||||||||||
| 8.000 - 8.499 | 1,022 | 206,420,214.50 | 10.93 | 8.257 | 353 | 81.39 | 631 | |||||||||||||||
| 8.500 - 8.999 | 1,654 | 313,469,693.06 | 16.60 | 8.769 | 354 | 83.65 | 611 | |||||||||||||||
| 9.000 - 9.499 | 1,058 | 184,492,518.74 | 9.77 | 9.267 | 353 | 86.34 | 604 | |||||||||||||||
| 9.500 - 9.999 | 1,688 | 252,073,164.24 | 13.35 | 9.760 | 347 | 87.43 | 595 | |||||||||||||||
| 10.000 -10.499 | 772 | 102,781,435.68 | 5.44 | 10.257 | 344 | 87.99 | 585 | |||||||||||||||
| 10.500 -10.999 | 993 | 113,486,054.14 | 6.01 | 10.733 | 332 | 88.70 | 588 | |||||||||||||||
| 11.000 -11.499 | 465 | 44,127,315.49 | 2.34 | 11.242 | 303 | 90.12 | 597 | |||||||||||||||
| 11.500 -11.999 | 553 | 45,509,135.80 | 2.41 | 11.730 | 275 | 91.94 | 609 | |||||||||||||||
| 12.000 -12.499 | 282 | 19,127,729.80 | 1.01 | 12.227 | 223 | 96.55 | 640 | |||||||||||||||
| 12.500 -12.999 | 195 | 11,924,736.66 | 0.63 | 12.707 | 191 | 97.28 | 656 | |||||||||||||||
| 13.000 -13.499 | 37 | 2,056,190.41 | 0.11 | 13.183 | 195 | 95.24 | 646 | |||||||||||||||
| 13.500 - 13.999 | 24 | 1,009,550.76 | 0.05 | 13.625 | 198 | 100.00 | 672 | |||||||||||||||
| 14.000 - 14.499 | 2 | 56,891.92 | 0.00 | 14.000 | 160 | 96.66 | 635 | |||||||||||||||
| 14.500 - 14.999 | 1 | 24,362.27 | 0.00 | 14.500 | 118 | 94.71 | 628 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
20
FICO | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 426-450 | 1 | 108,551.52 | 0.01 | 10.625 | 77 | 70.00 | 439 | |||||||||||||||
| 451-475 | 13 | 1,288,258.62 | 0.07 | 9.987 | 338 | 85.02 | 470 | |||||||||||||||
| 476-500 | 129 | 16,408,431.50 | 0.87 | 9.446 | 351 | 76.95 | 494 | |||||||||||||||
| 501-525 | 709 | 108,637,250.14 | 5.75 | 9.567 | 355 | 79.65 | 515 | |||||||||||||||
| 526-550 | 1,344 | 203,481,993.89 | 10.77 | 9.505 | 355 | 80.82 | 538 | |||||||||||||||
| 551-575 | 1,375 | 214,814,135.87 | 11.37 | 9.142 | 350 | 82.43 | 563 | |||||||||||||||
| 576-600 | 1,495 | 235,916,520.29 | 12.49 | 8.994 | 349 | 83.17 | 588 | |||||||||||||||
| 601-625 | 1,597 | 257,563,609.25 | 13.64 | 8.773 | 347 | 84.08 | 613 | |||||||||||||||
| 626-650 | 1,731 | 290,702,273.64 | 15.39 | 8.578 | 341 | 84.54 | 638 | |||||||||||||||
| 651-675 | 1,251 | 215,981,600.34 | 11.43 | 8.615 | 338 | 84.85 | 662 | |||||||||||||||
| 676-700 | 756 | 141,686,575.69 | 7.50 | 8.315 | 340 | 84.45 | 686 | |||||||||||||||
| 701+ | 972 | 202,236,697.15 | 10.71 | 8.376 | 337 | 84.20 | 739 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Combined Original LTV (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 0.01- 49.99 | 261 | 28,551,881.37 | 1.51 | 7.911 | 341 | 39.81 | 607 | |||||||||||||||
| 50.00- 54.99 | 139 | 20,291,051.71 | 1.07 | 8.013 | 348 | 52.42 | 615 | |||||||||||||||
| 55.00- 59.99 | 170 | 28,276,873.38 | 1.50 | 7.729 | 347 | 57.56 | 615 | |||||||||||||||
| 60.00- 64.99 | 276 | 47,122,526.12 | 2.49 | 7.870 | 348 | 62.45 | 600 | |||||||||||||||
| 65.00- 69.99 | 381 | 64,861,495.48 | 3.43 | 8.020 | 350 | 67.36 | 598 | |||||||||||||||
| 70.00- 74.99 | 530 | 90,716,663.92 | 4.80 | 8.266 | 349 | 71.90 | 591 | |||||||||||||||
| 75.00- 79.99 | 748 | 132,714,130.17 | 7.03 | 8.519 | 351 | 76.59 | 592 | |||||||||||||||
| 80.00- 80/00 | 2,263 | 478,616,670.46 | 25.34 | 8.208 | 356 | 80.00 | 643 | |||||||||||||||
| 80.01- 84.99 | 289 | 52,997,195.97 | 2.81 | 8.679 | 350 | 83.21 | 602 | |||||||||||||||
| 85.00- 89.99 | 1,168 | 202,548,766.59 | 10.72 | 9.016 | 352 | 86.23 | 592 | |||||||||||||||
| 90.00- 94.99 | 2,515 | 414,920,415.04 | 21.97 | 9.293 | 353 | 90.24 | 602 | |||||||||||||||
| 95.00- 99.99 | 906 | 165,198,773.56 | 8.75 | 9.411 | 347 | 95.17 | 627 | |||||||||||||||
| 100.00 | 1,727 | 162,009,454.13 | 8.58 | 10.558 | 274 | 100.00 | 664 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Original Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 120 | 19 | 1,140,136.25 | 0.06 | 8.273 | 117 | 73.03 | 644 | |||||||||||||||
| 180 | 1,796 | 117,380,520.48 | 6.21 | 10.659 | 168 | 93.11 | 651 | |||||||||||||||
| 240 | 59 | 5,594,979.04 | 0.30 | 8.224 | 229 | 80.29 | 635 | |||||||||||||||
| 300 | 1 | 160,568.84 | 0.01 | 6.500 | 298 | 78.61 | 673 | |||||||||||||||
| 360 | 9,498 | 1,764,549,693.29 | 93.42 | 8.731 | 358 | 82.67 | 616 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
21
Stated Remaining Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 61-120 | 187 | 9,672,901.22 | 0.51 | 9.576 | 81 | 79.82 | 609 | |||||||||||||||
| 121-180 | 1,632 | 109,069,858.01 | 5.77 | 10.728 | 175 | 94.07 | 655 | |||||||||||||||
| 181-240 | 55 | 5,372,876.54 | 0.28 | 8.169 | 233 | 80.09 | 638 | |||||||||||||||
| 241-300 | 158 | 10,420,958.03 | 0.55 | 10.267 | 258 | 80.65 | 601 | |||||||||||||||
| 301-360 | 9,341 | 1,754,289,304.10 | 92.88 | 8.722 | 358 | 82.69 | 616 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Seasoning (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 2,963 | 488,664,229.51 | 25.87 | 8.867 | 350 | 83.19 | 618 | |||||||||||||||
| 1 - 6 | 7,798 | 1,351,377,718.28 | 71.55 | 8.807 | 348 | 83.42 | 618 | |||||||||||||||
| 7 - 12 | 29 | 4,411,704.51 | 0.23 | 8.705 | 340 | 80.00 | 609 | |||||||||||||||
| 13 - 18 | 11 | 1,438,897.95 | 0.08 | 8.058 | 341 | 77.44 | 626 | |||||||||||||||
| 25 - 30 | 1 | 55,470.02 | 0.00 | 11.250 | 335 | 80.00 | 516 | |||||||||||||||
| 37 - 42 | 1 | 133,630.86 | 0.01 | 10.100 | 320 | 85.00 | 628 | |||||||||||||||
| 43 - 48 | 1 | 71,277.82 | 0.00 | 10.950 | 316 | 90.00 | 677 | |||||||||||||||
| 49 - 54 | 2 | 229,272.48 | 0.01 | 9.268 | 309 | 90.00 | 594 | |||||||||||||||
| 55 - 60 | 239 | 23,506,106.80 | 1.24 | 9.936 | 244 | 82.55 | 618 | |||||||||||||||
| 61 - 66 | 5 | 339,898.73 | 0.02 | 10.268 | 183 | 89.15 | 568 | |||||||||||||||
| 67 - 72 | 3 | 387,675.22 | 0.02 | 10.997 | 292 | 75.96 | 541 | |||||||||||||||
| 79 - 84 | 1 | 117,807.26 | 0.01 | 9.375 | 277 | 90.00 | 708 | |||||||||||||||
| 97 - 102 | 29 | 2,106,406.79 | 0.11 | 10.256 | 217 | 77.97 | 607 | |||||||||||||||
| 103 - 108 | 269 | 14,839,376.37 | 0.79 | 9.995 | 163 | 81.28 | 602 | |||||||||||||||
| 109 - 114 | 21 | 1,146,425.30 | 0.06 | 10.349 | 188 | 77.92 | 596 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
FRM/ARM | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Fixed Rate Loan | 4,257 | 466,128,085.25 | 24.68 | 8.963 | 307 | 82.43 | 629 | |||||||||||||||
| ARM | 7,116 | 1,422,697,812.65 | 75.32 | 8.812 | 358 | 83.60 | 614 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Fixed Rate Products | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Fixed Rate Balloon 30/15 | 1,445 | 91,332,271.51 | 19.59 | 11.140 | 168 | 96.93 | 657 | |||||||||||||||
| Fixed Rate 40/30 Balloon | 287 | 48,828,852.86 | 10.48 | 8.218 | 359 | 79.66 | 624 | |||||||||||||||
| Fixed Rate | 2,464 | 311,967,240.97 | 66.93 | 8.501 | 337 | 78.99 | 621 | |||||||||||||||
| Fixed Rate IO | 61 | 13,999,719.91 | 3.00 | 7.656 | 359 | 74.06 | 645 | |||||||||||||||
Total | 4,257 | $ | 466,128,085.25 | 100.00 | % | 8.963 | % | 307 | 82.43 | % | 629 | |||||||||||
22
Adjustable Rate Products | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 2/28 6 Mo LIBOR ARM | 4,663 | 790,192,950.27 | 55.54 | 9.163 | 357 | 83.83 | 603 | |||||||||||||||
| 3/27 6 Mo LIBOR ARM | 113 | 18,588,992.12 | 1.31 | 8.597 | 354 | 80.78 | 598 | |||||||||||||||
| 5/25 6 MO LIBOR | 6 | 832,410.14 | 0.06 | 7.817 | 359 | 68.35 | 600 | |||||||||||||||
| 1/29 1 Year CMT ARM | 2 | 159,946.30 | 0.01 | 9.786 | 252 | 82.86 | 635 | |||||||||||||||
| 2/28 6 MO LIBOR IO | 599 | 190,889,449.11 | 13.42 | 8.026 | 359 | 82.66 | 655 | |||||||||||||||
| 3/27 6 MO LIBOR IO | 28 | 7,289,402.00 | 0.51 | 7.738 | 359 | 82.74 | 634 | |||||||||||||||
| 5/25 6 MO LIBOR IO | 11 | 3,333,671.88 | 0.23 | 7.991 | 359 | 77.31 | 648 | |||||||||||||||
| 2/28 6 Month LIBOR ARM 40/30 | 1,659 | 403,797,713.71 | 28.38 | 8.546 | 359 | 83.80 | 617 | |||||||||||||||
| 3/27 6 Month LIBOR ARM 40/30 | 31 | 6,524,396.68 | 0.46 | 8.248 | 358 | 84.93 | 622 | |||||||||||||||
| 5/25 6 Month LIBOR ARM 40/30 | 4 | 1,088,880.44 | 0.08 | 7.881 | 360 | 82.98 | 648 | |||||||||||||||
Total | 7,116 | $ | 1,422,697,812.65 | 100.00 | % | 8.812 | % | 358 | 83.60 | % | 614 | |||||||||||
Interest Only | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Not Interest Only | 10,674 | 1,673,313,655.00 | 88.59 | 8.959 | 344 | 83.48 | 613 | |||||||||||||||
| Interest Only | 699 | 215,512,242.90 | 11.41 | 7.992 | 359 | 82.02 | 654 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Prepayment Penalty Original Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 4,416 | 754,627,895.08 | 39.95 | 9.084 | 342 | 83.87 | 620 | |||||||||||||||
| 12 | 49 | 14,537,519.25 | 0.77 | 8.344 | 341 | 82.07 | 668 | |||||||||||||||
| 24 | 3,012 | 547,682,300.20 | 29.00 | 8.828 | 351 | 83.97 | 620 | |||||||||||||||
| 36 | 3,681 | 555,004,732.75 | 29.38 | 8.539 | 348 | 81.98 | 612 | |||||||||||||||
| 60 | 215 | 16,973,450.62 | 0.90 | 9.642 | 207 | 81.90 | 616 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Lien | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Original Combined LTV | Weighted Average FICO | |||||||||||||||
| First Lien | 9,923 | 1,801,930,849.42 | 95.40 | 8.725 | 353 | 82.55 | 616 | |||||||||||||||
| Second Lien | 1,450 | 86,895,048.48 | 4.60 | 11.411 | 182 | 99.07 | 664 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
23
Documentation Type | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Full Documentation | 6,483 | 918,879,433.36 | 48.65 | 8.664 | 344 | 83.19 | 595 | |||||||||||||||
| Stated Documentation | 4,258 | 845,112,407.82 | 44.74 | 9.044 | 347 | 83.34 | 632 | |||||||||||||||
| No Documentation | 435 | 88,637,210.49 | 4.69 | 8.928 | 342 | 84.44 | 706 | |||||||||||||||
| No Income/No Asset | 103 | 21,233,195.82 | 1.12 | 8.665 | 340 | 83.67 | 687 | |||||||||||||||
| Limited Documentation | 94 | 14,963,650.41 | 0.79 | 9.007 | 335 | 81.99 | 607 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Loan Purpose | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Cash Out Refinance | 7,096 | 1,221,451,885.56 | 64.67 | 8.717 | 349 | 81.42 | 604 | |||||||||||||||
| Purchase | 3,910 | 613,788,605.45 | 32.50 | 9.105 | 338 | 87.02 | 646 | |||||||||||||||
| Rate/Term Refinance | 366 | 53,502,580.15 | 2.83 | 8.938 | 343 | 83.89 | 612 | |||||||||||||||
| Construction/Permanent | 1 | 82,826.74 | 0.00 | 9.875 | 259 | 85.00 | 577 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Property Type | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Single Family Residence | 8,949 | 1,396,343,479.13 | 73.93 | 8.867 | 346 | 83.15 | 612 | |||||||||||||||
| PUD | 1,321 | 299,524,363.23 | 15.86 | 8.699 | 343 | 84.10 | 638 | |||||||||||||||
| Multi-Unit | 524 | 106,475,875.66 | 5.64 | 8.971 | 352 | 83.11 | 626 | |||||||||||||||
| Condo | 502 | 82,336,745.60 | 4.36 | 8.869 | 344 | 83.33 | 639 | |||||||||||||||
| Manufactured Housing | 68 | 3,714,874.45 | 0.20 | 10.211 | 152 | 85.52 | 596 | |||||||||||||||
| Townhouse | 9 | 430,559.83 | 0.02 | 9.121 | 214 | 84.89 | 605 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
Occupancy Status | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Primary | 10,199 | 1,709,515,682.97 | 90.51 | 8.804 | 345 | 83.23 | 614 | |||||||||||||||
| Investment (Non-Owner Occupied) | 890 | 118,427,192.83 | 6.27 | 9.328 | 354 | 82.84 | 645 | |||||||||||||||
| Investment (Owner Occupied) | 1 | 131,120.13 | 0.01 | 7.500 | 304 | 75.00 | 663 | |||||||||||||||
| Secondary | 283 | 60,751,901.97 | 3.22 | 9.172 | 346 | 86.49 | 675 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
24
State | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Alabama | 170 | 18,041,476.90 | 0.96 | 9.761 | 346 | 86.87 | 599 | |||||||||||||||
| Alaska | 7 | 1,101,173.61 | 0.06 | 8.073 | 353 | 78.12 | 628 | |||||||||||||||
| Arizona | 252 | 49,524,258.23 | 2.62 | 8.612 | 345 | 82.47 | 634 | |||||||||||||||
| Arkansas | 92 | 10,982,212.58 | 0.58 | 9.197 | 343 | 86.52 | 609 | |||||||||||||||
| California | 715 | 215,171,851.59 | 11.39 | 8.093 | 345 | 80.44 | 635 | |||||||||||||||
| Colorado | 116 | 27,617,394.94 | 1.46 | 8.863 | 346 | 86.62 | 653 | |||||||||||||||
| Connecticut | 133 | 28,079,350.12 | 1.49 | 8.918 | 354 | 81.91 | 601 | |||||||||||||||
| Delaware | 24 | 4,437,806.05 | 0.23 | 9.220 | 356 | 79.42 | 574 | |||||||||||||||
| District of Columbia | 34 | 7,854,927.15 | 0.42 | 9.100 | 347 | 76.67 | 619 | |||||||||||||||
| Florida | 1,816 | 343,772,945.92 | 18.20 | 8.637 | 347 | 81.79 | 632 | |||||||||||||||
| Georgia | 446 | 68,003,661.84 | 3.60 | 9.372 | 347 | 86.18 | 615 | |||||||||||||||
| Hawaii | 2 | 814,402.62 | 0.04 | 8.198 | 360 | 76.14 | 585 | |||||||||||||||
| Idaho | 60 | 9,679,121.89 | 0.51 | 8.778 | 340 | 83.55 | 631 | |||||||||||||||
| Illinois | 372 | 64,270,576.92 | 3.40 | 8.631 | 345 | 83.84 | 607 | |||||||||||||||
| Indiana | 266 | 25,444,673.17 | 1.35 | 9.683 | 330 | 86.74 | 597 | |||||||||||||||
| Iowa | 38 | 3,494,482.86 | 0.19 | 9.498 | 348 | 89.01 | 598 | |||||||||||||||
| Kansas | 58 | 7,779,508.82 | 0.41 | 9.599 | 346 | 88.99 | 605 | |||||||||||||||
| Kentucky | 87 | 8,235,905.96 | 0.44 | 9.329 | 336 | 86.23 | 588 | |||||||||||||||
| Louisiana | 224 | 25,017,986.47 | 1.32 | 9.332 | 340 | 83.44 | 600 | |||||||||||||||
| Maine | 73 | 10,796,691.28 | 0.57 | 9.281 | 351 | 84.05 | 610 | |||||||||||||||
| Maryland | 343 | 81,860,838.21 | 4.33 | 8.678 | 349 | 81.61 | 613 | |||||||||||||||
| Massachusetts | 207 | 50,854,642.55 | 2.69 | 8.649 | 352 | 82.58 | 605 | |||||||||||||||
| Michigan | 816 | 89,997,099.98 | 4.76 | 9.446 | 351 | 86.62 | 598 | |||||||||||||||
| Minnesota | 128 | 23,421,772.22 | 1.24 | 8.775 | 342 | 84.52 | 626 | |||||||||||||||
| Mississippi | 141 | 14,549,158.47 | 0.77 | 9.371 | 338 | 86.81 | 599 | |||||||||||||||
| Missouri | 312 | 32,952,853.29 | 1.74 | 9.627 | 346 | 86.22 | 596 | |||||||||||||||
| Montana | 9 | 1,414,002.03 | 0.07 | 10.012 | 352 | 86.48 | 610 | |||||||||||||||
| Nebraska | 16 | 1,379,175.24 | 0.07 | 9.462 | 338 | 85.06 | 624 | |||||||||||||||
| Nevada | 129 | 27,986,321.05 | 1.48 | 8.283 | 336 | 83.37 | 637 | |||||||||||||||
| New Hampshire | 23 | 4,763,660.31 | 0.25 | 8.723 | 346 | 79.32 | 607 | |||||||||||||||
| New Jersey | 300 | 77,894,420.96 | 4.12 | 8.700 | 355 | 81.89 | 601 | |||||||||||||||
| New Mexico | 37 | 5,205,391.88 | 0.28 | 9.002 | 338 | 86.59 | 636 | |||||||||||||||
| New York | 308 | 68,138,635.73 | 3.61 | 8.972 | 354 | 81.08 | 611 | |||||||||||||||
| North Carolina | 524 | 65,711,517.31 | 3.48 | 9.464 | 339 | 85.46 | 610 | |||||||||||||||
| North Dakota | 1 | 151,984.40 | 0.01 | 11.400 | 359 | 95.00 | 599 | |||||||||||||||
| Ohio | 613 | 63,325,844.64 | 3.35 | 9.383 | 343 | 87.10 | 606 | |||||||||||||||
| Oklahoma | 67 | 5,710,133.71 | 0.30 | 9.315 | 332 | 88.19 | 614 | |||||||||||||||
| Oregon | 45 | 8,258,458.47 | 0.44 | 8.288 | 331 | 82.16 | 632 | |||||||||||||||
| Pennsylvania | 490 | 56,570,035.99 | 2.99 | 9.082 | 348 | 84.25 | 597 | |||||||||||||||
| Rhode Island | 28 | 5,469,658.73 | 0.29 | 8.729 | 335 | 86.87 | 618 | |||||||||||||||
| South Carolina | 425 | 57,098,152.07 | 3.02 | 9.225 | 346 | 85.56 | 602 | |||||||||||||||
| South Dakota | 5 | 696,388.58 | 0.04 | 9.309 | 348 | 87.67 | 606 | |||||||||||||||
| Tennessee | 260 | 28,600,042.02 | 1.51 | 9.432 | 333 | 85.78 | 590 | |||||||||||||||
| Texas | 408 | 48,833,488.00 | 2.59 | 8.981 | 332 | 82.39 | 623 | |||||||||||||||
| Utah | 142 | 33,814,487.03 | 1.79 | 8.777 | 336 | 84.81 | 681 | |||||||||||||||
| Vermont | 10 | 2,036,800.95 | 0.11 | 9.879 | 350 | 82.93 | 614 | |||||||||||||||
| Virginia | 356 | 66,026,119.15 | 3.50 | 8.543 | 345 | 82.58 | 618 | |||||||||||||||
| Washington | 108 | 17,864,296.21 | 0.95 | 8.291 | 335 | 82.89 | 614 | |||||||||||||||
| West Virginia | 32 | 3,928,469.77 | 0.21 | 9.512 | 337 | 83.26 | 607 | |||||||||||||||
| Wisconsin | 80 | 10,715,353.52 | 0.57 | 9.150 | 351 | 85.95 | 599 | |||||||||||||||
| Wyoming | 25 | 3,476,286.51 | 0.18 | 9.292 | 335 | 83.41 | 603 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
25
Gross Margin (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 3.500 - 3.999 | 7 | 1,487,453.48 | 0.10 | 7.086 | 356 | 75.22 | 672 | |||||||||||||||
| 4.000 - 4.499 | 109 | 25,085,678.97 | 1.76 | 7.053 | 358 | 71.17 | 661 | |||||||||||||||
| 4.500 - 4.999 | 667 | 196,495,475.71 | 13.81 | 7.742 | 358 | 78.68 | 680 | |||||||||||||||
| 5.000 - 5.499 | 1,116 | 253,881,612.90 | 17.85 | 8.014 | 358 | 80.99 | 634 | |||||||||||||||
| 5.500 - 5.999 | 1,635 | 328,891,060.21 | 23.12 | 8.688 | 358 | 84.61 | 620 | |||||||||||||||
| 6.000 - 6.499 | 1,825 | 338,094,995.46 | 23.76 | 9.366 | 358 | 87.26 | 593 | |||||||||||||||
| 6.500 - 6.999 | 1,171 | 191,788,538.57 | 13.48 | 9.912 | 358 | 86.47 | 569 | |||||||||||||||
| 7.000 - 7.499 | 566 | 84,213,656.12 | 5.92 | 9.963 | 358 | 81.72 | 559 | |||||||||||||||
| 7.500 - 7.999 | 19 | 2,680,501.59 | 0.19 | 10.602 | 339 | 80.63 | 557 | |||||||||||||||
| 8.000 - 8.499 | 1 | 78,839.64 | 0.01 | 8.000 | 256 | 75.00 | 548 | |||||||||||||||
Total | 7,116 | $ | 1,422,697,812.65 | 100.00 | % | 8.812 | % | 358 | 83.60 | % | 614 | |||||||||||
Minimum Interest Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 5.000 - 5.499 | 3 | 480,676.18 | 0.03 | 5.375 | 360 | 71.04 | 636 | |||||||||||||||
| 5.500 - 5.999 | 18 | 4,963,229.81 | 0.35 | 5.781 | 359 | 72.42 | 670 | |||||||||||||||
| 6.000 - 6.499 | 52 | 14,464,595.97 | 1.02 | 6.304 | 359 | 74.68 | 653 | |||||||||||||||
| 6.500 - 6.999 | 273 | 70,635,165.83 | 4.96 | 6.824 | 359 | 76.82 | 650 | |||||||||||||||
| 7.000 - 7.499 | 401 | 98,681,281.77 | 6.94 | 7.290 | 358 | 78.94 | 640 | |||||||||||||||
| 7.500 - 7.999 | 949 | 238,651,597.59 | 16.77 | 7.820 | 358 | 80.27 | 637 | |||||||||||||||
| 8.000 - 8.499 | 700 | 165,251,994.73 | 11.62 | 8.268 | 359 | 82.02 | 635 | |||||||||||||||
| 8.500 - 8.999 | 1,185 | 254,572,928.12 | 17.89 | 8.795 | 358 | 83.98 | 611 | |||||||||||||||
| 9.000 - 9.499 | 789 | 156,021,554.28 | 10.97 | 9.292 | 358 | 86.80 | 604 | |||||||||||||||
| 9.500 - 9.999 | 1,235 | 209,633,983.05 | 14.73 | 9.772 | 358 | 87.18 | 593 | |||||||||||||||
| 10.000 -10.499 | 549 | 81,670,274.11 | 5.74 | 10.278 | 358 | 87.77 | 581 | |||||||||||||||
| 10.500 -10.999 | 598 | 84,208,770.73 | 5.92 | 10.736 | 356 | 87.85 | 578 | |||||||||||||||
| 11.000 -11.499 | 189 | 22,737,749.94 | 1.60 | 11.242 | 357 | 87.68 | 569 | |||||||||||||||
| 11.500 -11.999 | 148 | 17,519,076.76 | 1.23 | 11.651 | 354 | 85.71 | 564 | |||||||||||||||
| 12.000 -12.499 | 24 | 2,872,441.19 | 0.20 | 12.230 | 355 | 88.39 | 581 | |||||||||||||||
| 12.500 -12.999 | 3 | 332,492.59 | 0.02 | 12.587 | 359 | 79.27 | 534 | |||||||||||||||
Total | 7,116 | $ | 1,422,697,812.65 | 100.00 | % | 8.812 | % | 358 | 83.60 | % | 614 | |||||||||||
26
Maximum Interest Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 12.000 -12.499 | 3 | 480,676.18 | 0.03 | 5.375 | 360 | 71.04 | 636 | |||||||||||||||
| 12.500 -12.999 | 18 | 4,963,229.81 | 0.35 | 5.781 | 359 | 72.42 | 670 | |||||||||||||||
| 13.000 -13.499 | 53 | 14,782,386.22 | 1.04 | 6.326 | 359 | 74.90 | 652 | |||||||||||||||
| 13.500 -13.999 | 275 | 71,371,165.83 | 5.02 | 6.835 | 359 | 76.84 | 650 | |||||||||||||||
| 14.000 -14.499 | 399 | 97,883,739.49 | 6.88 | 7.292 | 358 | 78.92 | 640 | |||||||||||||||
| 14.500 -14.999 | 947 | 237,915,597.59 | 16.72 | 7.820 | 358 | 80.27 | 637 | |||||||||||||||
| 15.000 -15.499 | 701 | 165,731,746.76 | 11.65 | 8.265 | 359 | 82.01 | 635 | |||||||||||||||
| 15.500 -15.999 | 1,185 | 254,572,928.12 | 17.89 | 8.795 | 358 | 83.98 | 611 | |||||||||||||||
| 16.000 -16.499 | 789 | 156,021,554.28 | 10.97 | 9.292 | 358 | 86.80 | 604 | |||||||||||||||
| 16.500 -16.999 | 1,234 | 209,537,806.83 | 14.73 | 9.772 | 358 | 87.17 | 593 | |||||||||||||||
| 17.000 -17.499 | 549 | 81,670,274.11 | 5.74 | 10.278 | 358 | 87.77 | 581 | |||||||||||||||
| 17.500 -17.999 | 598 | 84,208,770.73 | 5.92 | 10.736 | 356 | 87.85 | 578 | |||||||||||||||
| 18.000 -18.499 | 189 | 22,737,749.94 | 1.60 | 11.242 | 357 | 87.68 | 569 | |||||||||||||||
| 18.500 -18.999 | 149 | 17,615,252.98 | 1.24 | 11.647 | 354 | 85.73 | 563 | |||||||||||||||
| 19.000 -19.499 | 24 | 2,872,441.19 | 0.20 | 12.230 | 355 | 88.39 | 581 | |||||||||||||||
| 19.500 -19.999 | 3 | 332,492.59 | 0.02 | 12.587 | 359 | 79.27 | 534 | |||||||||||||||
Total | 7,116 | $ | 1,422,697,812.65 | 100.00 | % | 8.812 | % | 358 | 83.60 | % | 614 | |||||||||||
Initial Periodic Rate Cap (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 2.000 | 2 | 159,946.30 | 0.01 | 9.786 | 252 | 82.86 | 635 | |||||||||||||||
| 3.000 | 7,114 | 1,422,537,866.35 | 99.99 | 8.812 | 358 | 83.60 | 614 | |||||||||||||||
Total | 7,116 | $ | 1,422,697,812.65 | 100.00 | % | 8.812 | % | 358 | 83.60 | % | 614 | |||||||||||
Subsequent Periodic Rate Cap (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 1.000 | 7,114 | 1,422,537,866.35 | 99.99 | 8.812 | 358 | 83.60 | 614 | |||||||||||||||
| 2.000 | 2 | 159,946.30 | 0.01 | 9.786 | 252 | 82.86 | 635 | |||||||||||||||
Total | 7,116 | $ | 1,422,697,812.65 | 100.00 | % | 8.812 | % | 358 | 83.60 | % | 614 | |||||||||||
27
Next Rate Change Date | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Mar-2007 | 10 | 688,767.52 | 0.05 | 11.573 | 267 | 78.49 | 553 | |||||||||||||||
| Apr-2007 | 16 | 1,084,766.30 | 0.08 | 11.521 | 274 | 86.36 | 566 | |||||||||||||||
| May-2007 | 52 | 5,751,862.11 | 0.40 | 10.983 | 296 | 80.14 | 607 | |||||||||||||||
| Jun-2007 | 54 | 5,155,485.63 | 0.36 | 11.114 | 297 | 84.64 | 614 | |||||||||||||||
| Jul-2007 | 23 | 1,767,138.95 | 0.12 | 10.822 | 277 | 82.74 | 589 | |||||||||||||||
| Aug-2007 | 8 | 753,705.88 | 0.05 | 11.376 | 262 | 81.83 | 577 | |||||||||||||||
| Dec-2007 | 2 | 470,057.05 | 0.03 | 8.262 | 346 | 73.88 | 570 | |||||||||||||||
| Jan-2008 | 1 | 97,634.09 | 0.01 | 6.650 | 347 | 80.00 | 631 | |||||||||||||||
| Feb-2008 | 1 | 91,359.79 | 0.01 | 10.000 | 252 | 85.00 | 651 | |||||||||||||||
| Apr-2008 | 1 | 161,044.17 | 0.01 | 6.675 | 350 | 64.74 | 609 | |||||||||||||||
| Jun-2008 | 7 | 1,520,786.98 | 0.11 | 8.587 | 352 | 81.06 | 632 | |||||||||||||||
| Jul-2008 | 12 | 1,745,116.65 | 0.12 | 9.236 | 353 | 81.60 | 575 | |||||||||||||||
| Aug-2008 | 42 | 7,808,473.42 | 0.55 | 9.216 | 354 | 87.87 | 606 | |||||||||||||||
| Sep-2008 | 105 | 23,192,456.18 | 1.63 | 9.513 | 355 | 84.96 | 588 | |||||||||||||||
| Oct-2008 | 175 | 32,076,232.17 | 2.25 | 9.173 | 356 | 85.05 | 596 | |||||||||||||||
| Nov-2008 | 449 | 87,526,582.64 | 6.15 | 8.842 | 357 | 85.42 | 614 | |||||||||||||||
| Dec-2008 | 1,545 | 317,966,219.98 | 22.35 | 8.789 | 358 | 84.07 | 614 | |||||||||||||||
| Jan-2009 | 2,706 | 552,166,772.38 | 38.81 | 8.733 | 359 | 82.99 | 616 | |||||||||||||||
| Jan-2009 | 4 | 590,200.00 | 0.04 | 8.728 | 360 | 94.17 | 616 | |||||||||||||||
| Feb-2009 | 1,722 | 345,843,938.11 | 24.31 | 8.831 | 360 | 83.67 | 616 | |||||||||||||||
| Sep-2009 | 1 | 227,668.10 | 0.02 | 7.990 | 355 | 80.00 | 579 | |||||||||||||||
| Oct-2009 | 3 | 1,102,366.88 | 0.08 | 7.998 | 356 | 86.74 | 628 | |||||||||||||||
| Nov-2009 | 16 | 3,606,811.16 | 0.25 | 8.387 | 357 | 82.45 | 581 | |||||||||||||||
| Dec-2009 | 36 | 5,892,233.66 | 0.41 | 8.360 | 358 | 80.62 | 608 | |||||||||||||||
| Jan-2010 | 62 | 12,712,175.39 | 0.89 | 7.960 | 359 | 81.66 | 623 | |||||||||||||||
| Jan-2010 | 1 | 128,250.00 | 0.01 | 9.100 | 360 | 95.00 | 535 | |||||||||||||||
| Feb-2010 | 41 | 7,314,745.00 | 0.51 | 8.365 | 360 | 83.40 | 615 | |||||||||||||||
| Aug-2011 | 1 | 479,752.03 | 0.03 | 7.000 | 354 | 80.00 | 649 | |||||||||||||||
| Dec-2011 | 1 | 456,000.00 | 0.03 | 10.600 | 358 | 95.00 | 618 | |||||||||||||||
| Jan-2012 | 8 | 1,335,440.43 | 0.09 | 7.639 | 359 | 70.56 | 651 | |||||||||||||||
| Feb-2012 | 11 | 2,983,770.00 | 0.21 | 7.821 | 360 | 76.76 | 638 | |||||||||||||||
Total | 7,116 | $ | 1,422,697,812.65 | 100.00 | % | 8.812 | % | 358 | 83.60 | % | 614 | |||||||||||
28
Grade | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 1 | 111,940.54 | 0.01 | 7.750 | 305 | 98.45 | 555 | |||||||||||||||
| A | 135 | 7,754,118.49 | 0.41 | 9.782 | 164 | 81.51 | 608 | |||||||||||||||
| Alt A | 1,842 | 365,519,332.71 | 19.35 | 8.538 | 335 | 84.39 | 682 | |||||||||||||||
| AA | 66 | 4,292,224.02 | 0.23 | 9.420 | 199 | 80.20 | 651 | |||||||||||||||
| AAA | 12 | 1,315,875.32 | 0.07 | 8.799 | 225 | 78.99 | 673 | |||||||||||||||
| A- | 75 | 4,566,846.81 | 0.24 | 10.198 | 182 | 83.58 | 581 | |||||||||||||||
| B | 41 | 2,525,009.01 | 0.13 | 11.007 | 182 | 77.59 | 563 | |||||||||||||||
| C | 18 | 850,997.32 | 0.05 | 10.277 | 230 | 71.61 | 539 | |||||||||||||||
| D | 5 | 242,832.65 | 0.01 | 12.267 | 189 | 60.06 | 533 | |||||||||||||||
| Fico Enhanced | 35 | 3,682,572.93 | 0.19 | 10.735 | 207 | 94.98 | 589 | |||||||||||||||
| M1 | 6,355 | 1,013,615,530.86 | 53.66 | 8.685 | 348 | 84.05 | 617 | |||||||||||||||
| M2 | 2,042 | 364,815,889.46 | 19.31 | 9.335 | 356 | 83.60 | 579 | |||||||||||||||
| M3 | 526 | 85,910,316.80 | 4.55 | 9.359 | 357 | 74.57 | 550 | |||||||||||||||
| M4 | 203 | 31,918,297.54 | 1.69 | 9.670 | 356 | 68.53 | 553 | |||||||||||||||
| NSFICO | 17 | 1,704,113.44 | 0.09 | 10.103 | 249 | 79.59 | 640 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
IO Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 10,674 | 1,673,313,655.00 | 88.59 | 8.959 | 344 | 83.48 | 613 | |||||||||||||||
| 60 | 627 | 198,178,851.11 | 10.49 | 8.015 | 359 | 82.66 | 654 | |||||||||||||||
| 120 | 72 | 17,333,391.79 | 0.92 | 7.720 | 359 | 74.68 | 646 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
MI Company | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| NO MI | 7,117 | 1,062,331,941.44 | 56.24 | 9.101 | 342 | 82.74 | 609 | |||||||||||||||
| MGIC | 3,980 | 804,229,353.96 | 42.58 | 8.487 | 354 | 84.03 | 630 | |||||||||||||||
| PMI | 112 | 12,242,434.60 | 0.65 | 9.890 | 241 | 86.11 | 635 | |||||||||||||||
| RADIAN | 164 | 10,022,167.90 | 0.53 | 9.850 | 167 | 82.50 | 608 | |||||||||||||||
Total | 11,373 | $ | 1,888,825,897.90 | 100.00 | % | 8.849 | % | 345 | 83.31 | % | 618 | |||||||||||
29
NovaStar Mortgage Loan Funding Trust, Series 2007-1
Group 1 Mortgage Loans
Minimum | Maximum | |||||||||
| Scheduled Principal Balance | $ | 1,040,880,343 | ||||||||
| Average Scheduled Principal Balance | $ | 146,314 | $ | 11,550 | $ | 787,305 | ||||
| Number of Mortgage Loans | 7,114 | |||||||||
| Weighted Average Gross Coupon | 8.836 | % | 5.350 | % | 14.000 | % | ||||
| Weighted Average FICO Score | 604 | 464 | 815 | |||||||
| Weighted Average Combined Original LTV | 82.03 | % | 11.29 | % | 100.00 | % | ||||
| Weighted Average Original Term | 354 months | 120 months | 360 months | |||||||
| Weighted Average Stated Remaining Term | 353 months | 119 months | 360 months | |||||||
| Weighted Average Seasoning | 1 month | 0 months | 12 months | |||||||
| Weighted Average Gross Margin | 5.943 | % | 3.800 | % | 7.900 | % | ||||
| Weighted Average Minimum Interest Rate | 8.892 | % | 5.350 | % | 12.950 | % | ||||
| Weighted Average Maximum Interest Rate | 15.892 | % | 12.350 | % | 19.950 | % | ||||
| Weighted Average Initial Rate Cap | 3.000 | % | 3.000 | % | 3.000 | % | ||||
| Weighted Average Subsequent Rate Cap | 1.000 | % | 1.000 | % | 1.000 | % | ||||
| Weighted Average Months to Roll | 23 months | 16 months | 60 months | |||||||
| Maturity Date | Jan. 1, 2017 | Feb. 1, 2037 | ||||||||
| Maximum Zip Code Concentration | 0.31% (33023 | ) | ||||||||
| ARM | 77.01 | % | ||||||||
| Fixed Rate Loan | 22.99 | % | ||||||||
| Fixed Rate Balloon 30/15 | 1.97 | % | ||||||||
| Fixed Rate 40/30 Balloon | 2.92 | % | ||||||||
| 2/28 6 Mo LIBOR ARM | 46.13 | % | ||||||||
| 3/27 6 Mo LIBOR ARM | 1.14 | % | ||||||||
| 5/25 6 MO LIBOR | 0.08 | % | ||||||||
| 2/28 6 MO LIBOR IO | 6.98 | % | ||||||||
| 3/27 6 MO LIBOR IO | 0.37 | % | ||||||||
| 5/25 6 MO LIBOR IO | 0.13 | % | ||||||||
| 2/28 6 Month LIBOR ARM 40/30 Balloon | 21.77 | % | ||||||||
| 3/27 6 Month LIBOR ARM 40/30 Balloon | 0.37 | % | ||||||||
| 5/25 6 Month LIBOR ARM 40/30 Balloon | 0.04 | % | ||||||||
| Fixed Rate | 17.29 | % | ||||||||
| Fixed Rate IO | 0.80 | % | ||||||||
| Interest Only | 8.28 | % | ||||||||
| Not Interest Only | 91.72 | % | ||||||||
| Prepay Penalty: 0 months | 37.53 | % | ||||||||
| Prepay Penalty: 12 months | 0.36 | % | ||||||||
| Prepay Penalty: 24 months | 28.38 | % | ||||||||
| Prepay Penalty: 36 months | 33.72 | % | ||||||||
| First Lien | 97.78 | % | ||||||||
| Second Lien | 2.22 | % | ||||||||
30
| Full Documentation | 56.46 | % | ||||||||
| Limited Documentation | 0.55 | % | ||||||||
| No Income/No Asset | 0.73 | % | ||||||||
| No Documentation | 3.16 | % | ||||||||
| Stated Documentation | 39.09 | % | ||||||||
| Purchase | 14.92 | % | ||||||||
| Rate/Term Refinance | 3.37 | % | ||||||||
| Cash Out Refinance | 81.71 | % | ||||||||
| Single Family Residence | 77.20 | % | ||||||||
| Condo | 4.10 | % | ||||||||
| PUD | 12.07 | % | ||||||||
| Multi-Unit | 6.63 | % | ||||||||
| Investment (Non-Owner Occupied) | 9.02 | % | ||||||||
| Primary | 87.67 | % | ||||||||
| Secondary Home | 3.31 | % | ||||||||
| Top 5 States: | ||||||||||
| Florida | 18.06 | % | ||||||||
| California | 7.31 | % | ||||||||
| Michigan | 5.99 | % | ||||||||
| Maryland | 4.78 | % | ||||||||
| New Jersey | 4.08 | % | ||||||||
| Top 5 Zips: | ||||||||||
| 33023 | 0.31 | % | ||||||||
| 33311 | 0.24 | % | ||||||||
| 2149 | 0.21 | % | ||||||||
| 20744 | 0.20 | % | ||||||||
| 33157 | 0.19 | % | ||||||||
| Top 5 Cities: | ||||||||||
| Miami | 2.09 | % | ||||||||
| Detroit | 1.24 | % | ||||||||
| Orlando | 1.17 | % | ||||||||
| Phoenix | 0.89 | % | ||||||||
| Jacksonville | 0.86 | % |
31
Current Principal Balance ($) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 0.01 - 50,000.00 | 563 | 18,287,263.90 | 1.76 | 11.018 | 212 | 92.95 | 634 | |||||||||||||||
| 50,000.01 - 100,000.00 | 2,096 | 157,271,393.07 | 15.11 | 9.526 | 345 | 82.77 | 598 | |||||||||||||||
| 100,000.01 - 150,000.00 | 1,702 | 211,592,209.61 | 20.33 | 8.903 | 355 | 81.21 | 597 | |||||||||||||||
| 150,000.01 - 200,000.00 | 1,146 | 199,309,849.08 | 19.15 | 8.681 | 358 | 80.69 | 604 | |||||||||||||||
| 200,000.01 - 250,000.00 | 647 | 144,838,617.20 | 13.92 | 8.576 | 358 | 81.29 | 608 | |||||||||||||||
| 250,000.01 - 300,000.00 | 403 | 109,886,394.24 | 10.56 | 8.768 | 358 | 83.10 | 605 | |||||||||||||||
| 300,000.01 - 350,000.00 | 281 | 90,453,084.68 | 8.69 | 8.385 | 357 | 82.62 | 607 | |||||||||||||||
| 350,000.01 - 400,000.00 | 187 | 70,056,534.57 | 6.73 | 8.391 | 358 | 82.22 | 613 | |||||||||||||||
| 400,000.01 - 450,000.00 | 66 | 27,307,613.95 | 2.62 | 8.444 | 359 | 82.72 | 602 | |||||||||||||||
| 450,000.01 - 500,000.00 | 13 | 6,236,920.16 | 0.60 | 8.497 | 359 | 81.45 | 631 | |||||||||||||||
| 500,000.01 - 550,000.00 | 7 | 3,676,971.07 | 0.35 | 8.493 | 359 | 86.57 | 622 | |||||||||||||||
| 550,000.01 - 600,000.00 | 2 | 1,176,186.38 | 0.11 | 8.822 | 359 | 89.01 | 570 | |||||||||||||||
| 750,000.01 - 800,000.00 | 1 | 787,305.01 | 0.08 | 8.500 | 359 | 90.00 | 637 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Current Gross Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 5.000 - 5.499 | 3 | 480,676.18 | 0.05 | 5.375 | 360 | 71.04 | 636 | |||||||||||||||
| 5.500 - 5.999 | 19 | 4,343,634.83 | 0.42 | 5.866 | 349 | 64.57 | 702 | |||||||||||||||
| 6.000 - 6.499 | 62 | 13,264,578.60 | 1.27 | 6.306 | 353 | 68.43 | 656 | |||||||||||||||
| 6.500 - 6.999 | 351 | 69,133,440.20 | 6.64 | 6.809 | 352 | 72.48 | 644 | |||||||||||||||
| 7.000 - 7.499 | 418 | 76,098,434.06 | 7.31 | 7.278 | 354 | 75.68 | 628 | |||||||||||||||
| 7.500 - 7.999 | 958 | 163,010,811.40 | 15.66 | 7.785 | 355 | 78.24 | 621 | |||||||||||||||
| 8.000 - 8.499 | 691 | 112,386,890.33 | 10.80 | 8.256 | 356 | 80.23 | 611 | |||||||||||||||
| 8.500 - 8.999 | 988 | 167,418,328.96 | 16.08 | 8.769 | 357 | 83.71 | 600 | |||||||||||||||
| 9.000 - 9.499 | 638 | 101,212,971.14 | 9.72 | 9.257 | 357 | 85.05 | 592 | |||||||||||||||
| 9.500 - 9.999 | 1,035 | 142,631,045.93 | 13.70 | 9.758 | 356 | 86.05 | 585 | |||||||||||||||
| 10.000 - 10.499 | 525 | 63,952,277.79 | 6.14 | 10.260 | 354 | 86.35 | 575 | |||||||||||||||
| 10.500 - 10.999 | 658 | 72,474,241.63 | 6.96 | 10.728 | 350 | 86.92 | 576 | |||||||||||||||
| 11.000 - 11.499 | 256 | 24,731,074.79 | 2.38 | 11.240 | 342 | 88.30 | 573 | |||||||||||||||
| 11.500 - 11.999 | 278 | 19,216,825.40 | 1.85 | 11.710 | 313 | 89.41 | 583 | |||||||||||||||
| 12.000 - 12.499 | 136 | 6,864,389.27 | 0.66 | 12.240 | 257 | 94.69 | 611 | |||||||||||||||
| 12.500 - 12.999 | 78 | 3,028,311.46 | 0.29 | 12.687 | 203 | 95.38 | 620 | |||||||||||||||
| 13.000 - 13.499 | 12 | 372,000.95 | 0.04 | 13.147 | 192 | 98.76 | 639 | |||||||||||||||
| 13.500 - 13.999 | 7 | 222,460.00 | 0.02 | 13.671 | 180 | 100.00 | 662 | |||||||||||||||
| 14.000 - 14.499 | 1 | 37,950.00 | 0.00 | 14.000 | 180 | 95.00 | 628 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
32
FICO | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 451-475 | 9 | 1,036,585.99 | 0.10 | 9.774 | 359 | 84.82 | 470 | |||||||||||||||
| 476-500 | 98 | 12,890,500.22 | 1.24 | 9.434 | 358 | 76.79 | 494 | |||||||||||||||
| 501-525 | 513 | 76,801,774.85 | 7.38 | 9.564 | 358 | 78.92 | 515 | |||||||||||||||
| 526-550 | 1,001 | 147,365,123.20 | 14.16 | 9.502 | 358 | 80.13 | 538 | |||||||||||||||
| 551-575 | 924 | 137,820,918.80 | 13.24 | 9.067 | 356 | 81.51 | 563 | |||||||||||||||
| 576-600 | 973 | 142,496,156.15 | 13.69 | 8.871 | 354 | 81.58 | 588 | |||||||||||||||
| 601-625 | 1,009 | 149,557,019.15 | 14.37 | 8.671 | 351 | 83.07 | 613 | |||||||||||||||
| 626-650 | 1,036 | 145,697,995.82 | 14.00 | 8.454 | 349 | 83.46 | 638 | |||||||||||||||
| 651-675 | 695 | 95,615,593.16 | 9.19 | 8.495 | 347 | 83.92 | 662 | |||||||||||||||
| 676-700 | 429 | 65,196,484.94 | 6.26 | 8.225 | 347 | 83.57 | 686 | |||||||||||||||
| 701+ | 427 | 66,402,190.64 | 6.38 | 8.134 | 350 | 83.14 | 735 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
33
Combined Original LTV (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 0.01- 49.99 | 203 | 23,606,641.51 | 2.27 | 7.900 | 346 | 39.94 | 603 | |||||||||||||||
| 50.00- 54.99 | 99 | 14,803,260.87 | 1.42 | 7.905 | 357 | 52.42 | 612 | |||||||||||||||
| 55.00- 59.99 | 133 | 20,360,335.70 | 1.96 | 7.775 | 350 | 57.38 | 607 | |||||||||||||||
| 60.00- 64.99 | 204 | 34,021,278.79 | 3.27 | 8.001 | 355 | 62.25 | 585 | |||||||||||||||
| 65.00- 69.99 | 277 | 46,758,699.30 | 4.49 | 8.120 | 355 | 67.22 | 589 | |||||||||||||||
| 70.00- 74.99 | 392 | 66,756,565.37 | 6.41 | 8.297 | 356 | 71.84 | 590 | |||||||||||||||
| 75.00- 79.99 | 543 | 90,964,364.00 | 8.74 | 8.504 | 356 | 76.55 | 586 | |||||||||||||||
| 80.00 | 1,220 | 189,597,512.17 | 18.22 | 8.412 | 357 | 80.00 | 617 | |||||||||||||||
| 80.01- 84.99 | 189 | 31,521,625.72 | 3.03 | 8.545 | 354 | 83.20 | 601 | |||||||||||||||
| 85.00- 89.99 | 773 | 120,745,596.07 | 11.60 | 9.034 | 358 | 86.16 | 589 | |||||||||||||||
| 90.00- 94.99 | 1,676 | 247,263,826.72 | 23.76 | 9.306 | 357 | 90.23 | 599 | |||||||||||||||
| 95.00- 99.99 | 624 | 97,688,647.17 | 9.39 | 9.421 | 352 | 95.14 | 622 | |||||||||||||||
| 100.00 | 781 | 56,791,989.53 | 5.46 | 10.209 | 300 | 100.00 | 648 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Original Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 120 | 14 | 768,533.90 | 0.07 | 8.266 | 119 | 69.70 | 624 | |||||||||||||||
| 180 | 685 | 32,404,331.47 | 3.11 | 10.226 | 179 | 90.19 | 640 | |||||||||||||||
| 240 | 34 | 3,077,570.44 | 0.30 | 8.325 | 239 | 81.27 | 642 | |||||||||||||||
| 360 | 6,381 | 1,004,629,907.11 | 96.52 | 8.793 | 359 | 81.78 | 603 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Stated Remaining Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 61-120 | 14 | 768,533.90 | 0.07 | 8.266 | 119 | 69.70 | 624 | |||||||||||||||
| 121-180 | 685 | 32,404,331.47 | 3.11 | 10.226 | 179 | 90.19 | 640 | |||||||||||||||
| 181-240 | 34 | 3,077,570.44 | 0.30 | 8.325 | 239 | 81.27 | 642 | |||||||||||||||
| 301-360 | 6,381 | 1,004,629,907.11 | 96.52 | 8.793 | 359 | 81.78 | 603 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Seasoning (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 1,943 | 295,529,440.00 | 28.39 | 8.787 | 353 | 81.56 | 606 | |||||||||||||||
| 1-6 | 5,166 | 745,049,174.09 | 71.58 | 8.855 | 353 | 82.21 | 603 | |||||||||||||||
| 7-12 | 5 | 301,728.83 | 0.03 | 9.703 | 296 | 89.62 | 603 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
34
FRM/ARM | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Fixed Rate Loan | 2,191 | 239,269,647.76 | 22.99 | 8.650 | 332 | 79.88 | 625 | |||||||||||||||
| ARM | 4,923 | 801,610,695.16 | 77.01 | 8.892 | 359 | 82.67 | 598 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Fixed Rate Products | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Fixed Rate Balloon 30/15 | 540 | 20,546,367.52 | 8.59 | 11.282 | 179 | 98.23 | 642 | |||||||||||||||
| Fixed Rate 40/30 Balloon | 192 | 30,399,544.59 | 12.71 | 8.241 | 359 | 78.44 | 626 | |||||||||||||||
| Fixed Rate | 1,418 | 179,991,211.32 | 75.23 | 8.464 | 344 | 78.42 | 623 | |||||||||||||||
| Fixed Rate IO | 41 | 8,332,524.33 | 3.48 | 7.659 | 359 | 71.56 | 638 | |||||||||||||||
Total | 2,191 | $ | 239,269,647.76 | 100.00 | % | 8.650 | % | 332 | 79.88 | % | 625 | |||||||||||
Adjustable Rate Products | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 2/28 6 Mo LIBOR ARM | 3,332 | 480,108,801.53 | 59.89 | 9.219 | 359 | 82.49 | 585 | |||||||||||||||
| 3/27 6 Mo LIBOR ARM | 79 | 11,916,216.63 | 1.49 | 8.343 | 359 | 82.02 | 598 | |||||||||||||||
| 5/25 6 MO LIBOR | 6 | 832,410.14 | 0.10 | 7.817 | 359 | 68.35 | 600 | |||||||||||||||
| 2/28 6 MO LIBOR IO | 320 | 72,662,808.84 | 9.06 | 8.048 | 359 | 82.82 | 645 | |||||||||||||||
| 3/27 6 MO LIBOR IO | 19 | 3,838,750.00 | 0.48 | 7.968 | 359 | 80.97 | 648 | |||||||||||||||
| 5/25 6 MO LIBOR IO | 6 | 1,346,799.85 | 0.17 | 7.824 | 360 | 75.04 | 637 | |||||||||||||||
| 2/28 6 Month LIBOR ARM 40/30 | 1,137 | 226,628,439.40 | 28.27 | 8.540 | 359 | 83.16 | 607 | |||||||||||||||
| 3/27 6 Month LIBOR ARM 40/30 | 22 | 3,837,188.33 | 0.48 | 8.147 | 358 | 83.27 | 615 | |||||||||||||||
| 5/25 6 Month LIBOR ARM 40/30 | 2 | 439,280.44 | 0.05 | 7.806 | 360 | 87.38 | 657 | |||||||||||||||
Total | 4,923 | $ | 801,610,695.16 | 100.00 | % | 8.892 | % | 359 | 82.67 | % | 598 | |||||||||||
Interest Only | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Not Interest Only | 6,728 | 954,699,459.90 | 91.72 | 8.911 | 352 | 82.08 | 600 | |||||||||||||||
| Interest Only | 386 | 86,180,883.02 | 8.28 | 8.003 | 359 | 81.53 | 644 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Prepayment Penalty Original Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 2,658 | 390,682,888.92 | 37.53 | 9.059 | 350 | 82.04 | 603 | |||||||||||||||
| 12 | 15 | 3,763,712.54 | 0.36 | 8.357 | 356 | 81.45 | 628 | |||||||||||||||
| 24 | 1,916 | 295,453,878.89 | 28.38 | 8.881 | 357 | 83.06 | 602 | |||||||||||||||
| 36 | 2,525 | 350,979,862.57 | 33.72 | 8.555 | 353 | 81.16 | 606 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
35
Lien | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| First Lien | 6,491 | 1,017,818,083.43 | 97.78 | 8.779 | 357 | 81.66 | 603 | |||||||||||||||
| Second Lien | 623 | 23,062,259.49 | 2.22 | 11.346 | 184 | 98.34 | 643 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Documentation Type | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Full Documentation | 4,347 | 587,725,920.39 | 56.46 | 8.649 | 352 | 82.50 | 589 | |||||||||||||||
| Stated Documentation | 2,487 | 406,839,867.14 | 39.09 | 9.128 | 354 | 81.54 | 617 | |||||||||||||||
| No Documentation | 199 | 32,904,573.99 | 3.16 | 8.649 | 351 | 80.43 | 683 | |||||||||||||||
| No Income/No Asset | 45 | 7,646,978.23 | 0.73 | 8.559 | 354 | 82.18 | 671 | |||||||||||||||
| Limited Documentation | 36 | 5,763,003.17 | 0.55 | 8.726 | 359 | 78.25 | 594 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Loan Purpose | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Cash Out Refinance | 5,395 | 850,482,089.75 | 81.71 | 8.731 | 353 | 80.95 | 600 | |||||||||||||||
| Purchase | 1,468 | 155,302,507.50 | 14.92 | 9.359 | 351 | 87.34 | 628 | |||||||||||||||
| Rate/Term Refinance | 251 | 35,095,745.67 | 3.37 | 9.071 | 356 | 84.67 | 595 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Property Type | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Single Family Residence | 5,782 | 803,563,263.37 | 77.20 | 8.845 | 352 | 82.11 | 601 | |||||||||||||||
| PUD | 683 | 125,629,232.24 | 12.07 | 8.751 | 353 | 82.37 | 613 | |||||||||||||||
| Multi-Unit | 361 | 68,977,968.86 | 6.63 | 8.864 | 357 | 81.24 | 618 | |||||||||||||||
| Condo | 288 | 42,709,878.45 | 4.10 | 8.865 | 353 | 80.87 | 617 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
Occupancy Status | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Primary | 6,180 | 912,538,745.84 | 87.67 | 8.767 | 352 | 81.83 | 598 | |||||||||||||||
| Investment (Non-Owner Occupied) | 738 | 93,911,850.43 | 9.02 | 9.362 | 358 | 82.56 | 642 | |||||||||||||||
| Secondary | 196 | 34,429,746.65 | 3.31 | 9.244 | 357 | 85.89 | 651 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
36
State | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Alabama | 119 | 12,232,721.06 | 1.18 | 9.856 | 349 | 85.85 | 589 | |||||||||||||||
| Alaska | 5 | 901,291.85 | 0.09 | 7.895 | 359 | 76.82 | 619 | |||||||||||||||
| Arizona | 154 | 25,661,603.03 | 2.47 | 8.470 | 352 | 80.44 | 617 | |||||||||||||||
| Arkansas | 47 | 4,898,252.46 | 0.47 | 9.229 | 352 | 86.58 | 620 | |||||||||||||||
| California | 297 | 76,100,044.73 | 7.31 | 7.829 | 356 | 75.07 | 613 | |||||||||||||||
| Colorado | 69 | 12,130,998.06 | 1.17 | 8.720 | 354 | 86.29 | 619 | |||||||||||||||
| Connecticut | 95 | 16,364,646.51 | 1.57 | 8.827 | 355 | 80.61 | 587 | |||||||||||||||
| Delaware | 19 | 3,399,502.09 | 0.33 | 9.072 | 359 | 77.42 | 572 | |||||||||||||||
| District of Columbia | 16 | 3,619,382.13 | 0.35 | 9.142 | 355 | 69.85 | 588 | |||||||||||||||
| Florida | 1,078 | 188,034,275.79 | 18.06 | 8.540 | 356 | 79.56 | 614 | |||||||||||||||
| Georgia | 269 | 38,130,126.44 | 3.66 | 9.463 | 354 | 86.86 | 595 | |||||||||||||||
| Hawaii | 2 | 814,402.62 | 0.08 | 8.198 | 360 | 76.14 | 585 | |||||||||||||||
| Idaho | 42 | 5,391,553.30 | 0.52 | 8.716 | 349 | 83.82 | 613 | |||||||||||||||
| Illinois | 251 | 38,202,092.91 | 3.67 | 8.538 | 350 | 84.24 | 607 | |||||||||||||||
| Indiana | 172 | 16,859,220.84 | 1.62 | 9.684 | 353 | 87.48 | 596 | |||||||||||||||
| Iowa | 31 | 2,982,329.66 | 0.29 | 9.504 | 357 | 88.62 | 596 | |||||||||||||||
| Kansas | 44 | 4,912,940.81 | 0.47 | 9.691 | 353 | 90.13 | 587 | |||||||||||||||
| Kentucky | 61 | 5,859,413.06 | 0.56 | 9.296 | 348 | 86.02 | 587 | |||||||||||||||
| Louisiana | 149 | 17,416,173.73 | 1.67 | 9.341 | 353 | 83.21 | 598 | |||||||||||||||
| Maine | 53 | 7,627,628.04 | 0.73 | 9.192 | 352 | 81.80 | 606 | |||||||||||||||
| Maryland | 229 | 49,719,718.13 | 4.78 | 8.472 | 353 | 79.16 | 601 | |||||||||||||||
| Massachusetts | 122 | 27,778,245.56 | 2.67 | 8.643 | 354 | 81.25 | 598 | |||||||||||||||
| Michigan | 606 | 62,354,580.12 | 5.99 | 9.435 | 353 | 86.36 | 593 | |||||||||||||||
| Minnesota | 89 | 12,563,768.26 | 1.21 | 8.662 | 344 | 82.38 | 620 | |||||||||||||||
| Mississippi | 74 | 7,218,164.63 | 0.69 | 9.381 | 352 | 87.51 | 597 | |||||||||||||||
| Missouri | 230 | 23,974,637.95 | 2.30 | 9.568 | 353 | 86.41 | 594 | |||||||||||||||
| Montana | 5 | 950,049.52 | 0.09 | 10.123 | 359 | 84.21 | 615 | |||||||||||||||
| Nebraska | 12 | 1,068,230.70 | 0.10 | 9.374 | 341 | 84.67 | 627 | |||||||||||||||
| Nevada | 58 | 12,016,550.64 | 1.15 | 8.246 | 347 | 81.52 | 621 | |||||||||||||||
| New Hampshire | 17 | 2,892,171.94 | 0.28 | 8.647 | 337 | 78.65 | 593 | |||||||||||||||
| New Jersey | 190 | 42,507,010.94 | 4.08 | 8.618 | 357 | 78.09 | 587 | |||||||||||||||
| New Mexico | 22 | 2,871,173.66 | 0.28 | 8.716 | 338 | 83.81 | 625 | |||||||||||||||
| New York | 193 | 34,279,814.42 | 3.29 | 8.897 | 357 | 76.92 | 592 | |||||||||||||||
| North Carolina | 331 | 38,371,155.98 | 3.69 | 9.515 | 351 | 84.75 | 600 | |||||||||||||||
| North Dakota | 1 | 151,984.40 | 0.01 | 11.400 | 359 | 95.00 | 599 | |||||||||||||||
| Ohio | 423 | 41,587,315.01 | 4.00 | 9.347 | 350 | 87.15 | 604 | |||||||||||||||
| Oklahoma | 48 | 4,288,025.99 | 0.41 | 9.069 | 342 | 87.78 | 615 | |||||||||||||||
| Oregon | 23 | 4,272,131.71 | 0.41 | 7.890 | 355 | 83.19 | 630 | |||||||||||||||
| Pennsylvania | 346 | 40,300,632.38 | 3.87 | 9.027 | 352 | 83.47 | 596 | |||||||||||||||
| Rhode Island | 18 | 3,284,314.18 | 0.32 | 8.412 | 326 | 85.95 | 621 | |||||||||||||||
| South Carolina | 249 | 30,949,204.93 | 2.97 | 9.361 | 352 | 85.99 | 599 | |||||||||||||||
| South Dakota | 4 | 619,304.39 | 0.06 | 9.192 | 360 | 88.01 | 602 | |||||||||||||||
| Tennessee | 161 | 18,040,025.03 | 1.73 | 9.491 | 351 | 86.39 | 588 | |||||||||||||||
| Texas | 202 | 21,288,364.18 | 2.05 | 8.626 | 342 | 79.00 | 612 | |||||||||||||||
| Utah | 66 | 10,643,331.55 | 1.02 | 8.869 | 346 | 85.51 | 636 | |||||||||||||||
| Vermont | 8 | 1,353,910.90 | 0.13 | 9.346 | 359 | 82.94 | 608 | |||||||||||||||
| Virginia | 250 | 40,615,200.43 | 3.90 | 8.506 | 349 | 81.81 | 610 | |||||||||||||||
| Washington | 59 | 10,607,239.95 | 1.02 | 8.085 | 353 | 83.11 | 606 | |||||||||||||||
| West Virginia | 24 | 2,873,074.86 | 0.28 | 9.809 | 350 | 83.37 | 603 | |||||||||||||||
| Wisconsin | 65 | 7,533,138.28 | 0.72 | 9.330 | 354 | 85.07 | 588 | |||||||||||||||
| Wyoming | 16 | 2,369,273.18 | 0.23 | 9.300 | 346 | 82.53 | 607 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
37
Gross Margin (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 3.500 - 3.999 | 4 | 634,569.13 | 0.08 | 6.774 | 359 | 68.80 | 702 | |||||||||||||||
| 4.000 - 4.499 | 76 | 14,514,675.62 | 1.81 | 7.041 | 359 | 70.31 | 652 | |||||||||||||||
| 4.500 - 4.999 | 337 | 63,376,781.46 | 7.91 | 7.576 | 359 | 76.49 | 658 | |||||||||||||||
| 5.000 - 5.499 | 719 | 128,496,724.33 | 16.03 | 7.974 | 359 | 79.77 | 618 | |||||||||||||||
| 5.500 - 5.999 | 1,129 | 191,253,665.07 | 23.86 | 8.676 | 359 | 83.79 | 613 | |||||||||||||||
| 6.000 - 6.499 | 1,314 | 212,110,810.75 | 26.46 | 9.285 | 359 | 85.66 | 583 | |||||||||||||||
| 6.500 - 6.999 | 876 | 124,720,303.58 | 15.56 | 9.883 | 359 | 84.86 | 562 | |||||||||||||||
| 7.000 - 7.499 | 457 | 65,429,004.21 | 8.16 | 9.850 | 359 | 80.27 | 555 | |||||||||||||||
| 7.500 - 7.999 | 11 | 1,074,161.01 | 0.13 | 9.935 | 359 | 72.88 | 537 | |||||||||||||||
Total | 4,923 | $ | 801,610,695.16 | 100.00 | % | 8.892 | % | 359 | 82.67 | % | 598 | |||||||||||
Minimum Interest Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 5.000 - 5.499 | 3 | 480,676.18 | 0.06 | 5.375 | 360 | 71.04 | 636 | |||||||||||||||
| 5.500 - 5.999 | 10 | 2,393,136.16 | 0.30 | 5.860 | 359 | 67.16 | 680 | |||||||||||||||
| 6.000 - 6.499 | 36 | 7,852,173.73 | 0.98 | 6.314 | 359 | 72.20 | 650 | |||||||||||||||
| 6.500 - 6.999 | 186 | 39,172,621.47 | 4.89 | 6.803 | 359 | 75.26 | 640 | |||||||||||||||
| 7.000 - 7.499 | 264 | 52,882,234.18 | 6.60 | 7.278 | 359 | 77.41 | 621 | |||||||||||||||
| 7.500 - 7.999 | 600 | 112,194,761.64 | 14.00 | 7.785 | 359 | 79.57 | 618 | |||||||||||||||
| 8.000 - 8.499 | 459 | 81,915,655.95 | 10.22 | 8.259 | 359 | 81.28 | 608 | |||||||||||||||
| 8.500 - 8.999 | 835 | 147,937,514.88 | 18.46 | 8.766 | 359 | 83.35 | 595 | |||||||||||||||
| 9.000 - 9.499 | 561 | 92,417,687.40 | 11.53 | 9.258 | 359 | 84.75 | 588 | |||||||||||||||
| 9.500 - 9.999 | 879 | 129,152,919.68 | 16.11 | 9.751 | 359 | 85.63 | 583 | |||||||||||||||
| 10.000 -10.499 | 385 | 50,108,949.43 | 6.25 | 10.263 | 359 | 85.96 | 572 | |||||||||||||||
| 10.500 -10.999 | 446 | 55,906,626.84 | 6.97 | 10.726 | 359 | 86.33 | 572 | |||||||||||||||
| 11.000 -11.499 | 147 | 17,436,915.62 | 2.18 | 11.241 | 359 | 86.91 | 563 | |||||||||||||||
| 11.500 -11.999 | 94 | 9,428,305.66 | 1.18 | 11.659 | 359 | 85.36 | 561 | |||||||||||||||
| 12.000 -12.499 | 15 | 1,998,023.75 | 0.25 | 12.260 | 359 | 89.98 | 589 | |||||||||||||||
| 12.500 -12.999 | 3 | 332,492.59 | 0.04 | 12.587 | 359 | 79.27 | 534 | |||||||||||||||
Total | 4,923 | $ | 801,610,695.16 | 100.00 | % | 8.892 | % | 359 | 82.67 | % | 598 | |||||||||||
38
Maximum Interest Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 12.000 -12.499 | 3 | 480,676.18 | 0.06 | 5.375 | 360 | 71.04 | 636 | |||||||||||||||
| 12.500 -12.999 | 10 | 2,393,136.16 | 0.30 | 5.860 | 359 | 67.16 | 680 | |||||||||||||||
| 13.000 -13.499 | 36 | 7,852,173.73 | 0.98 | 6.314 | 359 | 72.20 | 650 | |||||||||||||||
| 13.500 -13.999 | 186 | 39,172,621.47 | 4.89 | 6.803 | 359 | 75.26 | 640 | |||||||||||||||
| 14.000 -14.499 | 264 | 52,882,234.18 | 6.60 | 7.278 | 359 | �� | 77.41 | 621 | ||||||||||||||
| 14.500 -14.999 | 600 | 112,194,761.64 | 14.00 | 7.785 | 359 | 79.57 | 618 | |||||||||||||||
| 15.000 -15.499 | 459 | 81,915,655.95 | 10.22 | 8.259 | 359 | 81.28 | 608 | |||||||||||||||
| 15.500 -15.999 | 835 | 147,937,514.88 | 18.46 | 8.766 | 359 | 83.35 | 595 | |||||||||||||||
| 16.000 -16.499 | 561 | 92,417,687.40 | 11.53 | 9.258 | 359 | 84.75 | 588 | |||||||||||||||
| 16.500 -16.999 | 879 | 129,152,919.68 | 16.11 | 9.751 | 359 | 85.63 | 583 | |||||||||||||||
| 17.000 -17.499 | 385 | 50,108,949.43 | 6.25 | 10.263 | 359 | 85.96 | 572 | |||||||||||||||
| 17.500 -17.999 | 446 | 55,906,626.84 | 6.97 | 10.726 | 359 | 86.33 | 572 | |||||||||||||||
| 18.000 -18.499 | 147 | 17,436,915.62 | 2.18 | 11.241 | 359 | 86.91 | 563 | |||||||||||||||
| 18.500 -18.999 | 94 | 9,428,305.66 | 1.18 | 11.659 | 359 | 85.36 | 561 | |||||||||||||||
| 19.000 -19.499 | 15 | 1,998,023.75 | 0.25 | 12.260 | 359 | 89.98 | 589 | |||||||||||||||
| 19.500 -19.999 | 3 | 332,492.59 | 0.04 | 12.587 | 359 | 79.27 | 534 | |||||||||||||||
Total | 4,923 | $ | 801,610,695.16 | 100.00 | % | 8.892 | % | 359 | 82.67 | % | 598 | |||||||||||
Initial Periodic Rate Cap (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 3.000 | 4,923 | 801,610,695.16 | 100.00 | 8.892 | 359 | 82.67 | 598 | |||||||||||||||
Total | 4,923 | $ | 801,610,695.16 | 100.00 | % | 8.892 | % | 359 | 82.67 | % | 598 | |||||||||||
Subsequent Periodic Rate Cap (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 1.000 | 4,923 | 801,610,695.16 | 100.00 | 8.892 | 359 | 82.67 | 598 | |||||||||||||||
Total | 4,923 | $ | 801,610,695.16 | 100.00 | % | 8.892 | % | 359 | 82.67 | % | 598 | |||||||||||
39
Next Rate Change Date | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Jun-2008 | 2 | 148,723.51 | 0.02 | 8.723 | 352 | 84.10 | 570 | |||||||||||||||
| Jul-2008 | 1 | 61,021.46 | 0.01 | 10.400 | 353 | 87.43 | 544 | |||||||||||||||
| Aug-2008 | 9 | 1,052,027.05 | 0.13 | 8.738 | 354 | 89.22 | 615 | |||||||||||||||
| Sep-2008 | 16 | 1,888,481.11 | 0.24 | 9.215 | 355 | 82.64 | 606 | |||||||||||||||
| Oct-2008 | 39 | 4,036,430.12 | 0.50 | 9.518 | 356 | 84.48 | 600 | |||||||||||||||
| Nov-2008 | 296 | 43,822,009.28 | 5.47 | 8.977 | 357 | 85.49 | 600 | |||||||||||||||
| Dec-2008 | 1,228 | 197,500,415.93 | 24.64 | 8.963 | 358 | 83.53 | 594 | |||||||||||||||
| Jan-2009 | 2,023 | 327,668,840.31 | 40.88 | 8.885 | 359 | 81.90 | 597 | |||||||||||||||
| Jan-2009 | 4 | 590,200.00 | 0.07 | 8.728 | 360 | 94.17 | 616 | |||||||||||||||
| Feb-2009 | 1,171 | 202,631,901.00 | 25.28 | 8.879 | 360 | 82.53 | 599 | |||||||||||||||
| Sep-2009 | 1 | 227,668.10 | 0.03 | 7.990 | 355 | 80.00 | 579 | |||||||||||||||
| Nov-2009 | 5 | 1,153,850.32 | 0.14 | 8.203 | 357 | 86.76 | 575 | |||||||||||||||
| Dec-2009 | 31 | 4,334,238.93 | 0.54 | 8.380 | 358 | 80.34 | 607 | |||||||||||||||
| Jan-2010 | 47 | 8,029,224.61 | 1.00 | 8.144 | 359 | 82.20 | 617 | |||||||||||||||
| Jan-2010 | 1 | 128,250.00 | 0.02 | 9.100 | 360 | 95.00 | 535 | |||||||||||||||
| Feb-2010 | 35 | 5,718,923.00 | 0.71 | 8.238 | 360 | 81.99 | 615 | |||||||||||||||
| Jan-2012 | 7 | 1,128,240.43 | 0.14 | 7.729 | 359 | 68.82 | 635 | |||||||||||||||
| Feb-2012 | 7 | 1,490,250.00 | 0.19 | 7.887 | 360 | 79.65 | 624 | |||||||||||||||
Total | 4,923 | $ | 801,610,695.16 | 100.00 | % | 8.892 | % | 359 | 82.67 | % | 598 | |||||||||||
Grade | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Alt A | 846 | 121,600,859.75 | 11.68 | 8.279 | 344 | 82.50 | 671 | |||||||||||||||
| M1 | 4,161 | 586,355,160.49 | 56.33 | 8.663 | 352 | 83.33 | 610 | |||||||||||||||
| M2 | 1,520 | 240,445,397.18 | 23.10 | 9.299 | 358 | 82.49 | 574 | |||||||||||||||
| M3 | 404 | 63,100,979.82 | 6.06 | 9.360 | 358 | 73.65 | 551 | |||||||||||||||
| M4 | 183 | 29,377,945.68 | 2.82 | 9.698 | 357 | 68.48 | 551 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
IO Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 6,728 | 954,699,459.90 | 91.72 | 8.911 | 352 | 82.08 | 600 | |||||||||||||||
| 60 | 339 | 76,501,558.84 | 7.35 | 8.044 | 359 | 82.73 | 645 | |||||||||||||||
| 120 | 47 | 9,679,324.18 | 0.93 | 7.682 | 359 | 72.04 | 638 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
MI Company | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| NO MI | 4,672 | 584,482,356.01 | 56.15 | 9.121 | 350 | 80.73 | 590 | |||||||||||||||
| MGIC | 2,442 | 456,397,986.91 | 43.85 | 8.471 | 356 | 83.70 | 621 | |||||||||||||||
Total | 7,114 | $ | 1,040,880,342.92 | 100.00 | % | 8.836 | % | 353 | 82.03 | % | 604 | |||||||||||
40
NovaStar Mortgage Loan Funding Trust, Series 2007-1
Group 2 Mortgage Loans
Minimum | Maximum | |||||||||
| Scheduled Principal Balance | $ | 847,945,555 | ||||||||
| Average Scheduled Principal Balance | $ | 199,095 | $ | 7,890 | $ | 1,392,000 | ||||
| Number of Mortgage Loans | 4,259 | |||||||||
| Weighted Average Gross Coupon | 8.865 | % | 5.500 | % | 14.500 | % | ||||
| Weighted Average FICO Score | 635 | 439 | 816 | |||||||
| Weighted Average Combined Original LTV | 84.88 | % | 11.91 | % | 100.00 | % | ||||
| Weighted Average Original Term | 341 months | 120 months | 360 months | |||||||
| Weighted Average Stated Remaining Term | 336 months | 64 months | 360 months | |||||||
| Weighted Average Seasoning | 5 months | 0 months | 111 months | |||||||
| Weighted Average Gross Margin | 5.640 | % | 3.700 | % | 8.000 | % | ||||
| Weighted Average Minimum Interest Rate | 8.668 | % | 5.500 | % | 12.400 | % | ||||
| Weighted Average Maximum Interest Rate | 15.668 | % | 12.500 | % | 19.400 | % | ||||
| Weighted Average Initial Rate Cap | 3.000 | % | 2.000 | % | 3.000 | % | ||||
| Weighted Average Subsequent Rate Cap | 1.000 | % | 1.000 | % | 2.000 | % | ||||
| Weighted Average Months to Roll | 22 months | 1 month | 60 months | |||||||
| Maturity Date | June 1, 2012 | Feb. 1, 2037 | ||||||||
| Maximum Zip Code Concentration | 0.69% (84770 | ) | ||||||||
| ARM | 73.25 | % | ||||||||
| Fixed Rate Loan | 26.75 | % | ||||||||
| Fixed Rate Balloon 30/15 | 8.35 | % | ||||||||
| Fixed Rate 40/30 Balloon | 2.17 | % | ||||||||
| 2/28 6 Mo LIBOR ARM | 36.57 | % | ||||||||
| 3/27 6 Mo LIBOR ARM | 0.79 | % | ||||||||
| 1/29 1 Year CMT ARM | 0.02 | % | ||||||||
| 2/28 6 MO LIBOR IO | 13.94 | % | ||||||||
| 3/27 6 MO LIBOR IO | 0.41 | % | ||||||||
| 5/25 6 MO LIBOR IO | 0.23 | % | ||||||||
| 2/28 6 Month LIBOR ARM 40/30 Balloon | 20.89 | % | ||||||||
| 3/27 6 Month LIBOR ARM 40/30 Balloon | 0.32 | % | ||||||||
| 5/25 6 Month LIBOR ARM 40/30 Balloon | 0.08 | % | ||||||||
| Fixed Rate | 15.56 | % | ||||||||
| Fixed Rate IO | 0.67 | % | ||||||||
| Interest Only | 15.25 | % | ||||||||
| Not Interest Only | 84.75 | % | ||||||||
| Prepay Penalty: 0 months | 42.92 | % | ||||||||
| Prepay Penalty: 12 months | 1.27 | % | ||||||||
| Prepay Penalty: 24 months | 29.75 | % | ||||||||
| Prepay Penalty: 36 months | 24.06 | % | ||||||||
| Prepay Penalty: 60 months | 2.00 | % | ||||||||
| First Lien | 92.47 | % | ||||||||
| Second Lien | 7.53 | % | ||||||||
41
| Full Documentation | 39.05 | % | ||||||||
| Limited Documentation | 1.09 | % | ||||||||
| No Income/No Asset | 1.6 | % | ||||||||
| No Documentation | 6.57 | % | ||||||||
| Stated Documentation | 51.69 | % | ||||||||
| Purchase | 54.07 | % | ||||||||
| Rate Term/Refinance | 2.17 | % | ||||||||
| Cashout Refinance | 43.75 | % | ||||||||
| Construction/Permanent | 0.01 | % | ||||||||
| Single Family Residence | 69.91 | % | ||||||||
| Townhouse | 0.05 | % | ||||||||
| Condo | 4.67 | % | ||||||||
| PUD | 20.51 | % | ||||||||
| Manufactured Housing | 0.44 | % | ||||||||
| Multi-Unit | 4.42 | % | ||||||||
| Investment (Non-Owner Occupied) | 2.89 | % | ||||||||
| Investment (Owner Occupied) | 0.02 | % | ||||||||
| Primary | 93.99 | % | ||||||||
| Secondary Home | 3.1 | % | ||||||||
| Top 5 States: | ||||||||||
| Florida | 18.37 | % | ||||||||
| California | 16.40 | % | ||||||||
| New Jersey | 4.17 | % | ||||||||
| New York | 3.99 | % | ||||||||
| Maryland | 3.79 | % | ||||||||
| Top 5 Zips: | ||||||||||
| 84770 | 0.69 | % | ||||||||
| 92563 | 0.47 | % | ||||||||
| 34786 | 0.42 | % | ||||||||
| 85242 | 0.39 | % | ||||||||
| 80108 | 0.36 | % | ||||||||
| Top 5 Cities: | ||||||||||
| Miami | 3.21 | % | ||||||||
| Los Angeles | 1.42 | % | ||||||||
| Las Vegas | 1.30 | % | ||||||||
| Chicago | 0.79 | % | ||||||||
| Atlanta | 0.76 | % |
42
Current Principal Balance ($) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 0.01 - 50,000.00 | 528 | 18,770,720.91 | 2.21 | 10.831 | 185 | 88.96 | 633 | |||||||||||||||
| 50,000.01 - 100,000.00 | 1,184 | 86,920,149.58 | 10.25 | 10.049 | 276 | 87.12 | 615 | |||||||||||||||
| 100,000.01 - 150,000.00 | 728 | 89,978,295.84 | 10.61 | 9.459 | 312 | 85.87 | 616 | |||||||||||||||
| 150,000.01 - 200,000.00 | 459 | 79,643,888.42 | 9.39 | 9.085 | 335 | 84.91 | 621 | |||||||||||||||
| 200,000.01 - 250,000.00 | 291 | 64,830,114.26 | 7.65 | 8.943 | 341 | 84.92 | 626 | |||||||||||||||
| 250,000.01 - 300,000.00 | 199 | 54,613,181.16 | 6.44 | 8.737 | 341 | 85.07 | 643 | |||||||||||||||
| 300,000.01 - 350,000.00 | 118 | 38,111,251.37 | 4.49 | 8.377 | 357 | 83.21 | 642 | |||||||||||||||
| 350,000.01 - 400,000.00 | 104 | 38,885,509.50 | 4.59 | 8.431 | 359 | 85.24 | 648 | |||||||||||||||
| 400,000.01 - 450,000.00 | 131 | 56,148,040.73 | 6.62 | 8.508 | 355 | 85.02 | 628 | |||||||||||||||
| 450,000.01 - 500,000.00 | 142 | 67,443,295.27 | 7.95 | 8.333 | 358 | 83.19 | 634 | |||||||||||||||
| 500,000.01 - 550,000.00 | 95 | 49,807,908.70 | 5.87 | 8.146 | 359 | 83.34 | 646 | |||||||||||||||
| 550,000.01 - 600,000.00 | 79 | 45,398,843.31 | 5.35 | 8.247 | 359 | 84.41 | 654 | |||||||||||||||
| 600,000.01 - 650,000.00 | 55 | 34,453,547.36 | 4.06 | 8.635 | 359 | 86.80 | 635 | |||||||||||||||
| 650,000.01 - 700,000.00 | 30 | 20,133,713.90 | 2.37 | 8.413 | 359 | 84.93 | 657 | |||||||||||||||
| 700,000.01 - 750,000.00 | 31 | 22,483,172.98 | 2.65 | 8.685 | 358 | 85.88 | 641 | |||||||||||||||
| 750,000.01 - 800,000.00 | 16 | 12,315,319.60 | 1.45 | 8.483 | 358 | 85.31 | 668 | |||||||||||||||
| 800,000.01 - 850,000.00 | 10 | 8,325,584.73 | 0.98 | 8.830 | 358 | 83.66 | 664 | |||||||||||||||
| 850,000.01 - 900,000.00 | 12 | 10,569,147.49 | 1.25 | 8.098 | 359 | 82.59 | 697 | |||||||||||||||
| 900,000.01 - 950,000.00 | 4 | 3,737,205.62 | 0.44 | 9.671 | 357 | 77.93 | 604 | |||||||||||||||
| 950,000.01 - 1,000,000.00 | 16 | 15,672,642.79 | 1.85 | 8.382 | 358 | 82.42 | 648 | |||||||||||||||
| 1,000,000.01- 1,050,000.00 | 9 | 9,300,135.46 | 1.10 | 8.416 | 358 | 81.66 | 683 | |||||||||||||||
| 1,050,000.01 - 1,100,000.00 | 7 | 7,549,864.30 | 0.89 | 8.120 | 359 | 82.60 | 705 | |||||||||||||||
| 1,100,000.01 - 1,150,000.00 | 6 | 6,715,168.25 | 0.79 | 8.092 | 358 | 77.25 | 676 | |||||||||||||||
| 1,150,000.01 - 1,200,000.00 | 4 | 4,746,853.45 | 0.56 | 9.315 | 358 | 82.46 | 640 | |||||||||||||||
| 1,350,000.01 - 1,400,000.00 | 1 | 1,392,000.00 | 0.16 | 7.350 | 357 | 80.00 | 707 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Current Gross Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 5.500 - 5.999 | 29 | 8,934,084.74 | 1.05 | 5.747 | 341 | 67.17 | 714 | |||||||||||||||
| 6.000 - 6.499 | 40 | 12,952,228.80 | 1.53 | 6.249 | 350 | 75.50 | 682 | |||||||||||||||
| 6.500 - 6.999 | 162 | 51,560,210.55 | 6.08 | 6.808 | 353 | 76.33 | 665 | |||||||||||||||
| 7.000 - 7.499 | 172 | 54,201,619.12 | 6.39 | 7.276 | 357 | 79.84 | 657 | |||||||||||||||
| 7.500 - 7.999 | 413 | 138,287,185.95 | 16.31 | 7.798 | 353 | 80.99 | 652 | |||||||||||||||
| 8.000 - 8.499 | 331 | 94,033,324.17 | 11.09 | 8.259 | 350 | 82.77 | 655 | |||||||||||||||
| 8.500 - 8.999 | 666 | 146,051,364.10 | 17.22 | 8.770 | 350 | 83.58 | 624 | |||||||||||||||
| 9.000 - 9.499 | 420 | 83,279,547.60 | 9.82 | 9.279 | 348 | 87.91 | 618 | |||||||||||||||
| 9.500 - 9.999 | 653 | 109,442,118.31 | 12.91 | 9.763 | 337 | 89.23 | 609 | |||||||||||||||
| 10.000 -10.499 | 247 | 38,829,157.89 | 4.58 | 10.252 | 329 | 90.69 | 602 | |||||||||||||||
| 10.500 -10.999 | 335 | 41,011,812.51 | 4.84 | 10.742 | 300 | 91.86 | 609 | |||||||||||||||
| 11.000 -11.499 | 209 | 19,396,240.70 | 2.29 | 11.244 | 254 | 92.43 | 627 | |||||||||||||||
| 11.500 -11.999 | 275 | 26,292,310.40 | 3.10 | 11.744 | 247 | 93.78 | 627 | |||||||||||||||
| 12.000 -12.499 | 146 | 12,263,340.53 | 1.45 | 12.219 | 204 | 97.60 | 657 | |||||||||||||||
| 12.500 -12.999 | 117 | 8,896,425.20 | 1.05 | 12.713 | 187 | 97.93 | 668 | |||||||||||||||
| 13.000 -13.499 | 25 | 1,684,189.46 | 0.20 | 13.191 | 195 | 94.47 | 648 | |||||||||||||||
| 13.500 - 13.999 | 17 | 787,090.76 | 0.09 | 13.612 | 202 | 100.00 | 675 | |||||||||||||||
| 14.000 - 14.499 | 1 | 18,941.92 | 0.00 | 14.000 | 121 | 100.00 | 650 | |||||||||||||||
| 14.500 - 14.999 | 1 | 24,362.27 | 0.00 | 14.500 | 118 | 94.71 | 628 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
43
FICO | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 426-450 | 1 | 108,551.52 | 0.01 | 10.625 | 77 | 70.00 | 439 | |||||||||||||||
| 451-475 | 4 | 251,672.63 | 0.03 | 10.868 | 252 | 85.82 | 469 | |||||||||||||||
| 476-500 | 31 | 3,517,931.28 | 0.41 | 9.489 | 324 | 77.54 | 492 | |||||||||||||||
| 501-525 | 196 | 31,835,475.29 | 3.75 | 9.575 | 347 | 81.42 | 516 | |||||||||||||||
| 526-550 | 343 | 56,116,870.69 | 6.62 | 9.512 | 346 | 82.61 | 538 | |||||||||||||||
| 551-575 | 451 | 76,993,217.07 | 9.08 | 9.275 | 340 | 84.07 | 564 | |||||||||||||||
| 576-600 | 522 | 93,420,364.14 | 11.02 | 9.182 | 340 | 85.60 | 588 | |||||||||||||||
| 601-625 | 588 | 108,006,590.10 | 12.74 | 8.915 | 340 | 85.48 | 613 | |||||||||||||||
| 626-650 | 695 | 145,004,277.82 | 17.10 | 8.704 | 334 | 85.63 | 639 | |||||||||||||||
| 651-675 | 556 | 120,366,007.18 | 14.20 | 8.711 | 330 | 85.59 | 662 | |||||||||||||||
| 676-700 | 327 | 76,490,090.75 | 9.02 | 8.392 | 335 | 85.20 | 686 | |||||||||||||||
| 701+ | 545 | 135,834,506.51 | 16.02 | 8.494 | 331 | 84.71 | 741 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Combined Original LTV (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 0.01- 49.99 | 58 | 4,945,239.86 | 0.58 | 7.964 | 317 | 39.19 | 624 | |||||||||||||||
| 50.00- 54.99 | 40 | 5,487,790.84 | 0.65 | 8.303 | 323 | 52.42 | 622 | |||||||||||||||
| 55.00- 59.99 | 37 | 7,916,537.68 | 0.93 | 7.613 | 337 | 58.00 | 635 | |||||||||||||||
| 60.00- 64.99 | 72 | 13,101,247.33 | 1.55 | 7.529 | 330 | 62.96 | 637 | |||||||||||||||
| 65.00- 69.99 | 104 | 18,102,796.18 | 2.13 | 7.762 | 339 | 67.73 | 623 | |||||||||||||||
| 70.00- 74.99 | 138 | 23,960,098.55 | 2.83 | 8.180 | 331 | 72.08 | 594 | |||||||||||||||
| 75.00- 79.99 | 205 | 41,749,766.17 | 4.92 | 8.550 | 340 | 76.68 | 605 | |||||||||||||||
| 80.00 | 1,043 | 289,019,158.29 | 34.08 | 8.075 | 355 | 80.00 | 660 | |||||||||||||||
| 80.01- 84.99 | 100 | 21,475,570.25 | 2.53 | 8.875 | 344 | 83.23 | 604 | |||||||||||||||
| 85.00- 89.99 | 395 | 81,803,170.52 | 9.65 | 8.989 | 343 | 86.33 | 597 | |||||||||||||||
| 90.00- 94.99 | 839 | 167,656,588.32 | 19.77 | 9.275 | 347 | 90.26 | 608 | |||||||||||||||
| 95.00- 99.99 | 282 | 67,510,126.39 | 7.96 | 9.395 | 339 | 95.22 | 635 | |||||||||||||||
| 100.00 | 946 | 105,217,464.60 | 12.41 | 10.746 | 260 | 100.00 | 672 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Original Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 120 | 5 | 371,602.35 | 0.04 | 8.287 | 112 | 79.92 | 686 | |||||||||||||||
| 180 | 1,111 | 84,976,189.01 | 10.02 | 10.824 | 164 | 94.23 | 656 | |||||||||||||||
| 240 | 25 | 2,517,408.60 | 0.30 | 8.100 | 216 | 79.10 | 625 | |||||||||||||||
| 300 | 1 | 160,568.84 | 0.02 | 6.500 | 298 | 78.61 | 673 | |||||||||||||||
| 360 | 3,117 | 759,919,786.18 | 89.62 | 8.649 | 356 | 83.86 | 633 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
44
Stated Remaining Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 61-120 | 173 | 8,904,367.32 | 1.05 | 9.689 | 78 | 80.70 | 607 | |||||||||||||||
| 121-180 | 947 | 76,665,526.54 | 9.04 | 10.940 | 173 | 95.70 | 661 | |||||||||||||||
| 181-240 | 21 | 2,295,306.10 | 0.27 | 7.959 | 223 | 78.50 | 633 | |||||||||||||||
| 241-300 | 158 | 10,420,958.03 | 1.23 | 10.267 | 258 | 80.65 | 601 | |||||||||||||||
| 301-360 | 2,960 | 749,659,396.99 | 88.41 | 8.626 | 357 | 83.90 | 633 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Seasoning (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 1,020 | 193,134,789.51 | 22.78 | 8.990 | 344 | 85.68 | 636 | |||||||||||||||
| 1 - 6 | 2,632 | 606,328,544.19 | 71.51 | 8.748 | 342 | 84.90 | 637 | |||||||||||||||
| 7 - 12 | 24 | 4,109,975.68 | 0.48 | 8.631 | 343 | 79.29 | 609 | |||||||||||||||
| 13 - 18 | 11 | 1,438,897.95 | 0.17 | 8.058 | 341 | 77.44 | 626 | |||||||||||||||
| 25 - 30 | 1 | 55,470.02 | 0.01 | 11.250 | 335 | 80.00 | 516 | |||||||||||||||
| 37 - 42 | 1 | 133,630.86 | 0.02 | 10.100 | 320 | 85.00 | 628 | |||||||||||||||
| 43 - 48 | 1 | 71,277.82 | 0.01 | 10.950 | 316 | 90.00 | 677 | |||||||||||||||
| 49 - 54 | 2 | 229,272.48 | 0.03 | 9.268 | 309 | 90.00 | 594 | |||||||||||||||
| 55 - 60 | 239 | 23,506,106.80 | 2.77 | 9.936 | 244 | 82.55 | 618 | |||||||||||||||
| 61 - 66 | 5 | 339,898.73 | 0.04 | 10.268 | 183 | 89.15 | 568 | |||||||||||||||
| 67 - 72 | 3 | 387,675.22 | 0.05 | 10.997 | 292 | 75.96 | 541 | |||||||||||||||
| 79 - 84 | 1 | 117,807.26 | 0.01 | 9.375 | 277 | 90.00 | 708 | |||||||||||||||
| 97 - 102 | 29 | 2,106,406.79 | 0.25 | 10.256 | 217 | 77.97 | 607 | |||||||||||||||
| 103 - 108 | 269 | 14,839,376.37 | 1.75 | 9.995 | 163 | 81.28 | 602 | |||||||||||||||
| 109 - 114 | 21 | 1,146,425.30 | 0.14 | 10.349 | 188 | 77.92 | 596 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
FRM/ARM | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Fixed Rate Loan | 2,066 | 226,858,437.49 | 26.75 | 9.293 | 280 | 85.11 | 633 | |||||||||||||||
| ARM | 2,193 | 621,087,117.49 | 73.25 | 8.708 | 357 | 84.80 | 636 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Fixed Rate Products | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Fixed Rate Balloon 30/15 | 905 | 70,785,903.99 | 31.20 | 11.098 | 164 | 96.55 | 661 | |||||||||||||||
| Fixed Rate 40/30 Balloon | 95 | 18,429,308.27 | 8.12 | 8.181 | 359 | 81.67 | 621 | |||||||||||||||
| Fixed Rate | 1,046 | 131,976,029.65 | 58.18 | 8.551 | 327 | 79.77 | 619 | |||||||||||||||
| Fixed Rate IO | 20 | 5,667,195.58 | 2.50 | 7.650 | 358 | 77.74 | 655 | |||||||||||||||
Total | 2,066 | $ | 226,858,437.49 | 100.00 | % | 9.293 | % | 280 | 85.11 | % | 633 | |||||||||||
45
Adjustable Rate Products | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 2/28 6 Mo LIBOR ARM | 1,331 | 310,084,148.74 | 49.93 | 9.076 | 355 | 85.91 | 631 | |||||||||||||||
| 3/27 6 Mo LIBOR ARM | 34 | 6,672,775.49 | 1.07 | 9.049 | 344 | 78.57 | 600 | |||||||||||||||
| 1/29 1 Year CMT ARM | 2 | 159,946.30 | 0.03 | 9.786 | 252 | 82.86 | 635 | |||||||||||||||
| 2/28 6 MO LIBOR IO | 279 | 118,226,640.27 | 19.04 | 8.013 | 359 | 82.56 | 661 | |||||||||||||||
| 3/27 6 MO LIBOR IO | 9 | 3,450,652.00 | 0.56 | 7.482 | 359 | 84.71 | 619 | |||||||||||||||
| 5/25 6 MO LIBOR IO | 5 | 1,986,872.03 | 0.32 | 8.105 | 358 | 78.84 | 656 | |||||||||||||||
| 2/28 6 Month LIBOR ARM 40/30 | 522 | 177,169,274.31 | 28.53 | 8.553 | 358 | 84.63 | 629 | |||||||||||||||
| 3/27 6 Month LIBOR ARM 40/30 | 9 | 2,687,208.35 | 0.43 | 8.391 | 358 | 87.30 | 631 | |||||||||||||||
| 5/25 6 Month LIBOR ARM 40/30 | 2 | 649,600.00 | 0.10 | 7.932 | 360 | 80.00 | 642 | |||||||||||||||
Total | 2,193 | $ | 621,087,117.49 | 100.00 | % | 8.708 | % | 357 | 84.80 | % | 636 | |||||||||||
Interest Only | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Not Interest Only | 3,946 | 718,614,195.10 | 84.75 | 9.023 | 332 | 85.34 | 631 | |||||||||||||||
| Interest Only | 313 | 129,331,359.88 | 15.25 | 7.984 | 359 | 82.35 | 660 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Prepayment Penalty Original Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 1,758 | 363,945,006.16 | 42.92 | 9.111 | 334 | 85.83 | 638 | |||||||||||||||
| 12 | 34 | 10,773,806.71 | 1.27 | 8.340 | 335 | 82.29 | 682 | |||||||||||||||
| 24 | 1,096 | 252,228,421.31 | 29.75 | 8.765 | 344 | 85.03 | 641 | |||||||||||||||
| 36 | 1,156 | 204,024,870.18 | 24.06 | 8.511 | 341 | 83.40 | 623 | |||||||||||||||
| 60 | 215 | 16,973,450.62 | 2.00 | 9.642 | 207 | 81.90 | 616 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Lien | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| First Lien | 3,432 | 784,112,765.99 | 92.47 | 8.656 | 349 | 83.70 | 632 | |||||||||||||||
| Second Lien | 827 | 63,832,788.99 | 7.53 | 11.434 | 181 | 99.34 | 671 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.0 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
46
Documentation Type | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Stated Documentation | 1,771 | 438,272,540.68 | 51.69 | 8.966 | 341 | 85.01 | 647 | |||||||||||||||
| Full Documentation | 2,136 | 331,153,512.97 | 39.05 | 8.690 | 331 | 84.42 | 604 | |||||||||||||||
| No Documentation | 236 | 55,732,636.50 | 6.57 | 9.093 | 336 | �� | 86.81 | 720 | ||||||||||||||
| No Income/No Asset | 58 | 13,586,217.59 | 1.60 | 8.725 | 332 | 84.51 | 696 | |||||||||||||||
| Limited Documentation | 58 | 9,200,647.24 | 1.09 | 9.183 | 320 | 84.32 | 615 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Loan Purpose | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Purchase | 2,442 | 458,486,097.95 | 54.07 | 9.019 | 334 | 86.91 | 652 | |||||||||||||||
| Cashout Refinance | 1,701 | 370,969,795.81 | 43.75 | 8.683 | 340 | 82.49 | 614 | |||||||||||||||
| Rate Term/Refinance | 115 | 18,406,834.48 | 2.17 | 8.686 | 318 | 82.40 | 643 | |||||||||||||||
| Construction/Permanent | 1 | 82,826.74 | 0.01 | 9.875 | 259 | 85.00 | 577 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Property Type | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Single Family Residence | 3,167 | 592,780,215.76 | 69.91 | 8.896 | 337 | 84.56 | 627 | |||||||||||||||
| PUD | 638 | 173,895,130.99 | 20.51 | 8.662 | 336 | 85.35 | 656 | |||||||||||||||
| Condo | 214 | 39,626,867.15 | 4.67 | 8.873 | 334 | 85.99 | 664 | |||||||||||||||
| Multi-Unit | 163 | 37,497,906.80 | 4.42 | 9.167 | 344 | 86.54 | 641 | |||||||||||||||
| Manufactured Housing | 68 | 3,714,874.45 | 0.44 | 10.211 | 152 | 85.52 | 596 | |||||||||||||||
| Townhouse | 9 | 430,559.83 | 0.05 | 9.121 | 214 | 84.89 | 605 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
Occupancy Status | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Primary | 4,019 | 796,976,937.13 | 93.99 | 8.848 | 336 | 84.83 | 632 | |||||||||||||||
| Secondary | 87 | 26,322,155.32 | 3.10 | 9.078 | 331 | 87.29 | 706 | |||||||||||||||
| Investment (Non-Owner Occupied) | 152 | 24,515,342.40 | 2.89 | 9.197 | 341 | 83.89 | 655 | |||||||||||||||
| Investment (Owner Occupied) | 1 | 131,120.13 | 0.02 | 7.500 | 304 | 75.00 | 663 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
47
State | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Alabama | 51 | 5,808,755.84 | 0.69 | 9.561 | 339 | 89.01 | 620 | |||||||||||||||
| Alaska | 2 | 199,881.76 | 0.02 | 8.872 | 323 | 84.00 | 667 | |||||||||||||||
| Arizona | 98 | 23,862,655.20 | 2.81 | 8.765 | 337 | 84.65 | 652 | |||||||||||||||
| Arkansas | 45 | 6,083,960.12 | 0.72 | 9.171 | 336 | 86.47 | 601 | |||||||||||||||
| California | 418 | 139,071,806.86 | 16.40 | 8.238 | 338 | 83.38 | 647 | |||||||||||||||
| Colorado | 47 | 15,486,396.88 | 1.83 | 8.975 | 340 | 86.89 | �� | 680 | ||||||||||||||
| Connecticut | 38 | 11,714,703.61 | 1.38 | 9.045 | 352 | 83.71 | 620 | |||||||||||||||
| Delaware | 5 | 1,038,303.96 | 0.12 | 9.703 | 346 | 86.00 | 579 | |||||||||||||||
| District of Columbia | 18 | 4,235,545.02 | 0.50 | 9.064 | 340 | 82.49 | 646 | |||||||||||||||
| Florida | 738 | 155,738,670.13 | 18.37 | 8.753 | 336 | 84.48 | 655 | |||||||||||||||
| Georgia | 177 | 29,873,535.40 | 3.52 | 9.255 | 337 | 85.31 | 641 | |||||||||||||||
| Idaho | 18 | 4,287,568.59 | 0.51 | 8.855 | 329 | 83.21 | 653 | |||||||||||||||
| Illinois | 121 | 26,068,484.01 | 3.07 | 8.766 | 338 | 83.25 | 608 | |||||||||||||||
| Indiana | 94 | 8,585,452.33 | 1.01 | 9.680 | 286 | 85.30 | 600 | |||||||||||||||
| Iowa | 7 | 512,153.20 | 0.06 | 9.468 | 297 | 91.30 | 608 | |||||||||||||||
| Kansas | 14 | 2,866,568.01 | 0.34 | 9.441 | 334 | 87.04 | 635 | |||||||||||||||
| Kentucky | 26 | 2,376,492.90 | 0.28 | 9.411 | 305 | 86.74 | 591 | |||||||||||||||
| Louisiana | 75 | 7,601,812.74 | 0.90 | 9.311 | 310 | 83.95 | �� | 603 | ||||||||||||||
| Maine | 20 | 3,169,063.24 | 0.37 | 9.496 | 348 | 89.46 | 621 | |||||||||||||||
| Maryland | 114 | 32,141,120.08 | 3.79 | 8.997 | 342 | 85.40 | 630 | |||||||||||||||
| Massachusetts | 85 | 23,076,396.99 | 2.72 | 8.658 | 349 | 84.18 | 614 | |||||||||||||||
| Michigan | 210 | 27,642,519.86 | 3.26 | 9.473 | 345 | 87.21 | 608 | |||||||||||||||
| Minnesota | 39 | 10,858,003.96 | 1.28 | 8.905 | 339 | 87.00 | 633 | |||||||||||||||
| Mississippi | 67 | 7,330,993.84 | 0.86 | 9.361 | 325 | 86.13 | 600 | |||||||||||||||
| Missouri | 82 | 8,978,215.34 | 1.06 | 9.786 | 325 | 85.70 | 601 | |||||||||||||||
| Montana | 4 | 463,952.51 | 0.05 | 9.784 | 336 | 91.14 | 599 | |||||||||||||||
| Nebraska | 4 | 310,944.54 | 0.04 | 9.764 | 329 | 86.39 | 612 | |||||||||||||||
| Nevada | 71 | 15,969,770.41 | 1.88 | 8.311 | 328 | 84.77 | 649 | |||||||||||||||
| New Hampshire | 6 | 1,871,488.37 | 0.22 | 8.841 | 358 | 80.36 | 630 | |||||||||||||||
| New Jersey | 110 | 35,387,410.02 | 4.17 | 8.799 | 352 | 86.46 | 619 | |||||||||||||||
| New Mexico | 15 | 2,334,218.22 | 0.28 | 9.355 | 337 | 90.00 | 649 | |||||||||||||||
| New York | 115 | 33,858,821.31 | 3.99 | 9.048 | 351 | 85.29 | 630 | |||||||||||||||
| North Carolina | 193 | 27,340,361.33 | 3.22 | 9.393 | 322 | 86.45 | 624 | |||||||||||||||
| Ohio | 190 | 21,738,529.63 | 2.56 | 9.453 | 330 | 87.00 | 611 | |||||||||||||||
| Oklahoma | 19 | 1,422,107.72 | 0.17 | 10.057 | 300 | 89.43 | 611 | |||||||||||||||
| Oregon | 22 | 3,986,326.76 | 0.47 | 8.715 | 306 | 81.05 | 635 | |||||||||||||||
| Pennsylvania | 144 | 16,269,403.61 | 1.92 | 9.216 | 338 | 86.19 | 600 | |||||||||||||||
| Rhode Island | 10 | 2,185,344.55 | 0.26 | 9.206 | 349 | 88.24 | 612 | |||||||||||||||
| South Carolina | 176 | 26,148,947.14 | 3.08 | 9.064 | 338 | 85.06 | 606 | |||||||||||||||
| South Dakota | 1 | 77,084.19 | 0.01 | 10.250 | 253 | 85.00 | 642 | |||||||||||||||
| Tennessee | 99 | 10,560,016.99 | 1.25 | 9.331 | 303 | 84.73 | 593 | |||||||||||||||
| Texas | 206 | 27,545,123.82 | 3.25 | 9.255 | 324 | 85.01 | 632 | |||||||||||||||
| Utah | 76 | 23,171,155.48 | 2.73 | 8.734 | 332 | 84.48 | 701 | |||||||||||||||
| Vermont | 2 | 682,890.05 | 0.08 | 10.936 | 330 | 82.90 | 627 | |||||||||||||||
| Virginia | 106 | 25,410,918.72 | 3.00 | 8.603 | 338 | 83.81 | 632 | |||||||||||||||
| Washington | 49 | 7,257,056.26 | 0.86 | 8.592 | 309 | 82.56 | 625 | |||||||||||||||
| West Virginia | 8 | 1,055,394.91 | 0.12 | 8.701 | 302 | 82.93 | 618 | |||||||||||||||
| Wisconsin | 15 | 3,182,215.24 | 0.38 | 8.725 | 344 | 88.04 | 626 | |||||||||||||||
| Wyoming | 9 | 1,107,013.33 | 0.13 | 9.275 | 312 | 85.32 | 593 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
48
Gross Margin (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 3.500 - 3.999 | 3 | 852,884.35 | 0.14 | 7.318 | 355 | 80.00 | 650 | |||||||||||||||
| 4.000 - 4.499 | 33 | 10,571,003.35 | 1.70 | 7.069 | 356 | 72.34 | 673 | |||||||||||||||
| 4.500 - 4.999 | 330 | 133,118,694.25 | 21.43 | 7.821 | 358 | 79.72 | 691 | |||||||||||||||
| 5.000 - 5.499 | 397 | 125,384,888.57 | 20.19 | 8.055 | 357 | 82.25 | 650 | |||||||||||||||
| 5.500 - 5.999 | 506 | 137,637,395.14 | 22.16 | 8.705 | 356 | 85.75 | 630 | |||||||||||||||
| 6.000 - 6.499 | 511 | 125,984,184.71 | 20.28 | 9.502 | 356 | 89.94 | 609 | |||||||||||||||
| 6.500 - 6.999 | 295 | 67,068,234.99 | 10.80 | 9.966 | 357 | 89.47 | 580 | |||||||||||||||
| 7.000 - 7.499 | 109 | 18,784,651.91 | 3.02 | 10.354 | 355 | 86.81 | 573 | |||||||||||||||
| 7.500 - 7.999 | 8 | 1,606,340.58 | 0.26 | 11.048 | 325 | 85.81 | 571 | |||||||||||||||
| 8.000 - 8.499 | 1 | 78,839.64 | 0.01 | 8.000 | 256 | 75.00 | 548 | |||||||||||||||
Total | 2,193 | $ | 621,087,117.49 | 100.00 | % | 8.708 | % | 357 | 84.80 | % | 636 | |||||||||||
Minimum Interest Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 5.500 - 5.999 | 8 | 2,570,093.65 | 0.41 | 5.708 | 358 | 77.33 | 660 | |||||||||||||||
| 6.000 - 6.499 | 16 | 6,612,422.24 | 1.06 | 6.292 | 359 | 77.62 | 658 | |||||||||||||||
| 6.500 - 6.999 | 87 | 31,462,544.36 | 5.07 | 6.850 | 359 | 78.76 | 662 | |||||||||||||||
| 7.000 - 7.499 | 137 | 45,799,047.59 | 7.37 | 7.305 | 358 | 80.71 | 662 | |||||||||||||||
| 7.500 - 7.999 | 349 | 126,456,835.95 | 20.36 | 7.852 | 358 | 80.89 | 654 | |||||||||||||||
| 8.000 - 8.499 | 241 | 83,336,338.78 | 13.42 | 8.277 | 358 | 82.75 | 660 | |||||||||||||||
| 8.500 - 8.999 | 350 | 106,635,413.24 | 17.17 | 8.836 | 357 | 84.85 | 633 | |||||||||||||||
| 9.000 - 9.499 | 228 | 63,603,866.88 | 10.24 | 9.341 | 357 | 89.78 | 627 | |||||||||||||||
| 9.500 - 9.999 | 356 | 80,481,063.37 | 12.96 | 9.807 | 356 | 89.65 | 609 | |||||||||||||||
| 10.000 -10.499 | 164 | 31,561,324.68 | 5.08 | 10.304 | 356 | 90.65 | 595 | |||||||||||||||
| 10.500 -10.999 | 152 | 28,302,143.89 | 4.56 | 10.755 | 351 | 90.86 | 590 | |||||||||||||||
| 11.000 -11.499 | 42 | 5,300,834.32 | 0.85 | 11.245 | 351 | 90.21 | 588 | |||||||||||||||
| 11.500 -11.999 | 54 | 8,090,771.10 | 1.30 | 11.640 | 349 | 86.12 | 567 | |||||||||||||||
| 12.000 -12.499 | 9 | 874,417.44 | 0.14 | 12.160 | 347 | 84.74 | 564 | |||||||||||||||
Total | 2,193 | $ | 621,087,117.49 | 100.00 | % | 8.708 | % | 357 | 84.80 | % | 636 | |||||||||||
Maximum Interest Rate (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 12.500 -12.999 | 8 | 2,570,093.65 | 0.41 | 5.708 | 358 | 77.33 | 660 | |||||||||||||||
| 13.000 -13.499 | 17 | 6,930,212.49 | 1.12 | 6.340 | 359 | 77.96 | 656 | |||||||||||||||
| 13.500 -13.999 | 89 | 32,198,544.36 | 5.18 | 6.874 | 358 | 78.77 | 662 | |||||||||||||||
| 14.000 -14.499 | 135 | 45,001,505.31 | 7.25 | 7.308 | 358 | 80.68 | 662 | |||||||||||||||
| 14.500 -14.999 | 347 | 125,720,835.95 | 20.24 | 7.852 | 358 | 80.91 | 654 | |||||||||||||||
| 15.000 -15.499 | 242 | 83,816,090.81 | 13.50 | 8.270 | 358 | 82.73 | 660 | |||||||||||||||
| 15.500 -15.999 | 350 | 106,635,413.24 | 17.17 | 8.836 | 357 | 84.85 | 633 | |||||||||||||||
| 16.000 -16.499 | 228 | 63,603,866.88 | 10.24 | 9.341 | 357 | 89.78 | 627 | |||||||||||||||
| 16.500 -16.999 | 355 | 80,384,887.15 | 12.94 | 9.805 | 356 | 89.65 | 610 | |||||||||||||||
| 17.000 -17.499 | 164 | 31,561,324.68 | 5.08 | 10.304 | 356 | 90.65 | 595 | |||||||||||||||
| 17.500 -17.999 | 152 | 28,302,143.89 | 4.56 | 10.755 | 351 | 90.86 | 590 | |||||||||||||||
| 18.000 -18.499 | 42 | 5,300,834.32 | 0.85 | 11.245 | 351 | 90.21 | 588 | |||||||||||||||
| 18.500 -18.999 | 55 | 8,186,947.32 | 1.32 | 11.633 | 348 | 86.16 | 566 | |||||||||||||||
| 19.000 -19.499 | 9 | 874,417.44 | 0.14 | 12.160 | 347 | 84.74 | 564 | |||||||||||||||
Total | 2,193 | $ | 621,087,117.49 | 100.00 | % | 8.708 | % | 357 | 84.80 | % | 636 | |||||||||||
49
Initial Periodic Rate Cap (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 2.000 | 2 | 159,946.30 | 0.03 | 9.786 | 252 | 82.86 | 635 | |||||||||||||||
| 3.000 | 2,191 | 620,927,171.19 | 99.97 | 8.708 | 357 | 84.80 | 636 | |||||||||||||||
Total | 2,193 | $ | 621,087,117.49 | 100.00 | % | 8.708 | % | 357 | 84.80 | % | 636 | |||||||||||
Subsequent Periodic Rate Cap (%) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| 1.000 | 2,191 | 620,927,171.19 | 99.97 | 8.708 | 357 | 84.80 | 636 | |||||||||||||||
| 2.000 | 2 | 159,946.30 | 0.03 | 9.786 | 252 | 82.86 | 635 | |||||||||||||||
Total | 2,193 | $ | 621,087,117.49 | 100.00 | % | 8.708 | % | 357 | 84.80 | % | 636 | |||||||||||
Next Rate Change Date | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| Mar-2007 | 10 | 688,767.52 | 0.11 | 11.573 | 267 | 78.49 | 553 | |||||||||||||||
| Apr-2007 | 16 | 1,084,766.30 | 0.17 | 11.521 | 274 | 86.36 | 566 | |||||||||||||||
| May-2007 | 52 | 5,751,862.11 | 0.93 | 10.983 | 296 | 80.14 | 607 | |||||||||||||||
| Jun-2007 | 54 | 5,155,485.63 | 0.83 | 11.114 | 297 | 84.64 | 614 | |||||||||||||||
| Jul-2007 | 23 | 1,767,138.95 | 0.28 | 10.822 | 277 | 82.74 | 589 | |||||||||||||||
| Aug-2007 | 8 | 753,705.88 | 0.12 | 11.376 | 262 | 81.83 | 577 | |||||||||||||||
| Dec-2007 | 2 | 470,057.05 | 0.08 | 8.262 | 346 | 73.88 | 570 | |||||||||||||||
| Jan-2008 | 1 | 97,634.09 | 0.02 | 6.650 | 347 | 80.00 | 631 | |||||||||||||||
| Feb-2008 | 1 | 91,359.79 | 0.01 | 10.000 | 252 | 85.00 | 651 | |||||||||||||||
| Apr-2008 | 1 | 161,044.17 | 0.03 | 6.675 | 350 | 64.74 | 609 | |||||||||||||||
| Jun-2008 | 5 | 1,372,063.47 | 0.22 | 8.573 | 352 | 80.73 | 639 | |||||||||||||||
| Jul-2008 | 11 | 1,684,095.19 | 0.27 | 9.194 | 353 | 81.39 | 576 | |||||||||||||||
| Aug-2008 | 33 | 6,756,446.37 | 1.09 | 9.290 | 354 | 87.66 | 604 | |||||||||||||||
| Sep-2008 | 89 | 21,303,975.07 | 3.43 | 9.539 | 355 | 85.16 | 586 | |||||||||||||||
| Oct-2008 | 136 | 28,039,802.05 | 4.51 | 9.123 | 356 | 85.13 | 596 | |||||||||||||||
| Nov-2008 | 153 | 43,704,573.36 | 7.04 | 8.707 | 357 | 85.36 | 628 | |||||||||||||||
| Dec-2008 | 317 | 120,465,804.05 | 19.40 | 8.506 | 358 | 84.95 | 646 | |||||||||||||||
| Jan-2009 | 683 | 224,497,932.07 | 36.15 | 8.511 | 359 | 84.57 | 645 | |||||||||||||||
| Feb-2009 | 551 | 143,212,037.11 | 23.06 | 8.763 | 360 | 85.28 | 639 | |||||||||||||||
| Oct-2009 | 3 | 1,102,366.88 | 0.18 | 7.998 | 356 | 86.74 | 628 | |||||||||||||||
| Nov-2009 | 11 | 2,452,960.84 | 0.39 | 8.474 | 357 | 80.42 | 583 | |||||||||||||||
| Dec-2009 | 5 | 1,557,994.73 | 0.25 | 8.304 | 358 | 81.40 | 612 | |||||||||||||||
| Jan-2010 | 15 | 4,682,950.78 | 0.75 | 7.646 | 359 | 80.72 | 633 | |||||||||||||||
| Feb-2010 | 6 | 1,595,822.00 | 0.26 | 8.820 | 360 | 88.45 | 614 | |||||||||||||||
| Aug-2011 | 1 | 479,752.03 | 0.08 | 7.000 | 354 | 80.00 | 649 | |||||||||||||||
| Dec-2011 | 1 | 456,000.00 | 0.07 | 10.600 | 358 | 95.00 | 618 | |||||||||||||||
| Jan-2012 | 1 | 207,200.00 | 0.03 | 7.150 | 359 | 80.00 | 739 | |||||||||||||||
| Feb-2012 | 4 | 1,493,520.00 | 0.24 | 7.755 | 360 | 73.88 | 652 | |||||||||||||||
Total | 2,193 | $ | 621,087,117.49 | 100.00 | % | 8.708 | % | 357 | 84.80 | % | 636 | |||||||||||
50
Grade | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 1 | 111,940.54 | 0.01 | 7.750 | 305 | 98.45 | 555 | |||||||||||||||
| A | 135 | 7,754,118.49 | 0.91 | 9.782 | 164 | 81.51 | 608 | |||||||||||||||
| Alt A | 996 | 243,918,472.96 | 28.77 | 8.667 | 331 | 85.33 | 688 | |||||||||||||||
| AA | 66 | 4,292,224.02 | 0.51 | 9.420 | 199 | 80.20 | 651 | |||||||||||||||
| AAA | 12 | 1,315,875.32 | 0.16 | 8.799 | 225 | 78.99 | 673 | |||||||||||||||
| A- | 75 | 4,566,846.81 | 0.54 | 10.198 | 182 | 83.58 | 581 | |||||||||||||||
| B | 41 | 2,525,009.01 | 0.30 | 11.007 | 182 | 77.59 | 563 | |||||||||||||||
| C | 18 | 850,997.32 | 0.10 | 10.277 | 230 | 71.61 | 539 | |||||||||||||||
| D | 5 | 242,832.65 | 0.03 | 12.267 | 189 | 60.06 | 533 | |||||||||||||||
| Fico Enhanced | 35 | 3,682,572.93 | 0.43 | 10.735 | 207 | 94.98 | 589 | |||||||||||||||
| M1 | 2,194 | 427,260,370.37 | 50.39 | 8.717 | 342 | 85.03 | 626 | |||||||||||||||
| M2 | 522 | 124,370,492.28 | 14.67 | 9.405 | 354 | 85.76 | 588 | |||||||||||||||
| M3 | 122 | 22,809,336.98 | 2.69 | 9.356 | 355 | 77.11 | 547 | |||||||||||||||
| M4 | 20 | 2,540,351.86 | 0.30 | 9.351 | 345 | 69.15 | 565 | |||||||||||||||
| NSFICO | 17 | 1,704,113.44 | 0.20 | 10.103 | 249 | 79.59 | 640 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
IO Term (months) | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| N/A | 3,946 | 718,614,195.10 | 84.75 | 9.023 | 332 | 85.34 | 631 | |||||||||||||||
| 60 | 288 | 121,677,292.27 | 14.35 | 7.998 | 359 | 82.62 | 660 | |||||||||||||||
| 120 | 25 | 7,654,067.61 | 0.90 | 7.768 | 358 | 78.02 | 655 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
MI Company | # of Loans | Current Principal Balance ($) | Percent by Current Principal Balance | Weighted Average Gross Coupon | Weighted Average Stated Remaining Term (months) | Weighted Average Combined Original LTV | Weighted Average FICO | |||||||||||||||
| NO MI | 2,445 | 477,849,585.43 | 56.35 | 9.077 | 332 | 85.21 | 631 | |||||||||||||||
| MGIC | 1,538 | 347,831,367.05 | 41.02 | 8.509 | 351 | 84.45 | 642 | |||||||||||||||
| PMI | 112 | 12,242,434.60 | 1.44 | 9.890 | 241 | 86.11 | 635 | |||||||||||||||
| RADIAN | 164 | 10,022,167.90 | 1.18 | 9.850 | 167 | 82.50 | 608 | |||||||||||||||
Total | 4,259 | $ | 847,945,554.98 | 100.00 | % | 8.865 | % | 336 | 84.88 | % | 635 | |||||||||||
51
NovaStar Home Equity Loan Asset-Backed Certificates,
Series 2007-1
$1,009,714,000 (Approximate)
NovaStar Mortgage Funding Corporation
Depositor
NovaStar Mortgage, Inc.
Sponsor and Servicer
| |
| |
Co-Lead Underwriters
DISCLAIMER
The issuer has filed a registration statement (including a base prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest in this offering, you should read the base prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov <http://www.sec.gov/>. Alternatively, Deutsche Bank Securities Inc. will arrange to send you the base prospectus at no charge if you request it by calling 1-800-503-4611.
This free writing prospectus is being delivered to you solely to provide you with information about the offering and to solicit an offer to purchase the offered securities. Any such offer to purchase made by you will not be accepted and will not constitute a contractual commitment by you to purchase any of the securities until we have accepted your offer to purchase such securities. Any such commitment shall be subject to the conditions specified below.
This free writing prospectus is not required to contain all of the information that is required to be included in the base prospectus and the prospectus supplement. 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 the offered securities, supercedes any prior version of this free writing prospectus and any information contained in any prior similar free writing prospectus relating to these securities. If a preliminary prospectus is conveyed to you prior to your commitment to purchase, that document supersedes all other information provided to you concerning the offered 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.
The securities referred to in this free writing prospectus are being offered when, as and if issued. The issuer is not obligated to issue any such securities or any similar securities, and all or a portion of the securities may not be issued that have the characteristics described herein. The underwriters' obligation to deliver such securities is subject to the terms and conditions of the underwriting agreement with the issuer and the availability of the securities having the characteristics described herein. If, for any reason, the issuer does not deliver such securities, the underwriter will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery.
For asset-backed and mortgage-backed securities: Certain of the information contained herein may be based on numerous assumptions (including preliminary assumptions about the pool assets and structure), which may not be specifically identified as assumptions in the information. Any such information or assumptions are subject to change. The information in this free writing prospectus may reflect assumptions specifically requested by you. If so, prior to the time of your commitment to purchase, you should request updated information based on any assumptions specifically required by you.
1
Breakeven Losses
Class | M-1 | M-2 | M-3 | M-4 | M-5 |
Rating (S/M) | AA+/Aa1 | AA/Aa2 | AA-/Aa3 | A+/A1 | A/A2 |
Loss Severity | 15.00% | 15.00% | 15.00% | 15.00% | 15.00% |
Default | NA | 92.65 CDR | 78.16 CDR | 59.91 CDR | 47.51 CDR |
Collateral Loss | NA | 13.99% | 13.03% | 11.60% | 10.34% |
Loss Severity | 25.00% | 25.00% | 25.00% | 25.00% | 25.00% |
Default | 60.76 CDR | 40.46 CDR | 35.42 CDR | 29.06 CDR | 24.30 CDR |
Collateral Loss | 19.46% | 15.80% | 14.63% | 12.96% | 11.52% |
Loss Severity | 35.00% | 35.00% | 35.00% | 35.00% | 35.00% |
Default | 35.51 CDR | 25.41 CDR | 22.68 CDR | 19.08 CDR | 16.27 CDR |
Collateral Loss | 20.52% | 16.62% | 15.39% | 13.62% | 12.11% |
Class | M-6 | M-7 | M-8 | M-9 | |
Rating (S/M) | A-/A3 | BBB+/Baa1 | BBB/Baa2 | BBB-/Baa3 | |
Loss Severity | 15.00% | 15.00% | 15.00% | 15.00% | |
Default | 40.95 CDR | 34.43 CDR | 30.49 CDR | 25.69 CDR | |
Collateral Loss | 9.54% | 8.63% | 8.01% | 7.18% | |
Loss Severity | 25.00% | 25.00% | 25.00% | 25.00% | |
Default | 21.57 CDR | 18.66 CDR | 16.80 CDR | 14.47 CDR | |
Collateral Loss | 10.62% | 9.58% | 8.86% | 7.91% | |
Loss Severity | 35.00% | 35.00% | 35.00% | 35.00% | |
Default | 14.60 CDR | 12.77 CDR | 11.58 CDR | 10.07 CDR | |
Collateral Loss | 11.15% | 10.04% | 9.28% | 8.28% |
Assumptions:
| 1) | Run at the Pricing Speed to Maturity |
| 2) | Forward LIBOR |
| 3) | Triggers are failing |
| 4) | 12 month liquidation lag |
| 5) | "Break" is the CDR that creates the first dollar of principal loss on the related bond |
| 6) | Interest and principal advancing |
| 7) | Defaults are in addition to prepayments |
2
Weighted Average Life Tables
Class A-2A To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 1.66 | 1.23 | 1.00 | 0.84 | 0.72 |
MDUR (yr) | 1.56 | 1.17 | 0.96 | 0.81 | 0.70 |
First Prin Pay | 1 | 1 | 1 | 1 | 1 |
Last Prin Pay | 39 | 26 | 22 | 19 | 16 |
Class A-2ATo Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 1.66 | 1.23 | 1.00 | 0.84 | 0.72 |
MDUR (yr) | 1.56 | 1.17 | 0.96 | 0.81 | 0.70 |
First Prin Pay | 1 | 1 | 1 | 1 | 1 |
Last Prin Pay | 39 | 26 | 22 | 19 | 16 |
Class A-2B To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 4.27 | 2.69 | 2.00 | 1.74 | 1.52 |
MDUR (yr) | 3.76 | 2.47 | 1.88 | 1.64 | 1.45 |
First Prin Pay | 39 | 26 | 22 | 19 | 16 |
Last Prin Pay | 71 | 46 | 27 | 23 | 21 |
Class A-2B To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 4.27 | 2.69 | 2.00 | 1.74 | 1.52 |
MDUR (yr) | 3.76 | 2.47 | 1.88 | 1.64 | 1.45 |
First Prin Pay | 39 | 26 | 22 | 19 | 16 |
Last Prin Pay | 71 | 46 | 27 | 23 | 21 |
Class A-2C To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.94 | 5.88 | 3.50 | 2.15 | 1.85 |
MDUR (yr) | 6.91 | 4.93 | 3.11 | 2.00 | 1.75 |
First Prin Pay | 71 | 46 | 27 | 23 | 21 |
Last Prin Pay | 152 | 100 | 73 | 30 | 24 |
Class A-2C To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 9.00 | 5.92 | 3.53 | 2.15 | 1.85 |
MDUR (yr) | 6.93 | 4.95 | 3.13 | 2.00 | 1.75 |
First Prin Pay | 71 | 46 | 27 | 23 | 21 |
Last Prin Pay | 168 | 112 | 81 | 30 | 24 |
3
Weighted Average Life Tables
Class A-2D To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 12.65 | 8.32 | 6.07 | 2.69 | 2.06 |
MDUR (yr) | 8.95 | 6.57 | 5.09 | 2.47 | 1.93 |
First Prin Pay | 152 | 100 | 73 | 30 | 24 |
Last Prin Pay | 152 | 100 | 73 | 34 | 26 |
Class A-2D To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 17.80 | 12.41 | 9.18 | 2.69 | 2.06 |
MDUR (yr) | 11.02 | 8.75 | 7.03 | 2.47 | 1.93 |
First Prin Pay | 168 | 112 | 81 | 30 | 24 |
Last Prin Pay | 305 | 219 | 170 | 34 | 26 |
Class M-1 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.52 | 4.83 | 4.35 | 3.23 |
MDUR (yr) | 6.40 | 4.62 | 4.17 | 3.81 | 2.91 |
First Prin Pay | 48 | 40 | 48 | 35 | 26 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-1 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 9.12 | 6.14 | 5.29 | 6.58 | 5.07 |
MDUR (yr) | 6.74 | 4.96 | 4.46 | 5.36 | 4.30 |
First Prin Pay | 48 | 40 | 48 | 35 | 26 |
Last Prin Pay | 277 | 193 | 144 | 132 | 105 |
Class M-2 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.50 | 4.51 | 4.48 | 3.34 |
MDUR (yr) | 6.39 | 4.60 | 3.92 | 3.91 | 3.01 |
First Prin Pay | 48 | 39 | 44 | 50 | 37 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-2 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 9.08 | 6.10 | 4.95 | 4.96 | 3.75 |
MDUR (yr) | 6.72 | 4.93 | 4.20 | 4.26 | 3.33 |
First Prin Pay | 48 | 39 | 44 | 50 | 37 |
Last Prin Pay | 260 | 179 | 135 | 104 | 82 |
4
Weighted Average Life Tables
Class M-3 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.49 | 4.40 | 4.14 | 3.08 |
MDUR (yr) | 6.38 | 4.58 | 3.82 | 3.65 | 2.80 |
First Prin Pay | 48 | 38 | 43 | 47 | 35 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-3 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 9.05 | 6.06 | 4.82 | 4.47 | 3.36 |
MDUR (yr) | 6.69 | 4.90 | 4.09 | 3.88 | 3.01 |
First Prin Pay | 48 | 38 | 43 | 47 | 35 |
Last Prin Pay | 245 | 171 | 126 | 96 | 75 |
Class M-4 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.49 | 4.34 | 3.97 | 2.95 |
MDUR (yr) | 6.36 | 4.57 | 3.77 | 3.51 | 2.68 |
First Prin Pay | 48 | 38 | 41 | 44 | 33 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-4 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 9.02 | 6.04 | 4.74 | 4.29 | 3.21 |
MDUR (yr) | 6.66 | 4.87 | 4.03 | 3.73 | 2.88 |
First Prin Pay | 48 | 38 | 41 | 44 | 33 |
Last Prin Pay | 238 | 166 | 122 | 93 | 73 |
Class M-5 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.49 | 4.30 | 3.83 | 2.82 |
MDUR (yr) | 6.35 | 4.57 | 3.74 | 3.39 | 2.57 |
First Prin Pay | 48 | 38 | 40 | 42 | 31 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-5 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.97 | 6.00 | 4.67 | 4.12 | 3.07 |
MDUR (yr) | 6.63 | 4.85 | 3.98 | 3.60 | 2.76 |
First Prin Pay | 48 | 38 | 40 | 42 | 31 |
Last Prin Pay | 228 | 158 | 116 | 89 | 69 |
5
Weighted Average Life Tables
Class M-6 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.48 | 4.28 | 3.74 | 2.75 |
MDUR (yr) | 6.34 | 4.55 | 3.71 | 3.32 | 2.51 |
First Prin Pay | 48 | 37 | 40 | 41 | 30 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-6 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.92 | 5.96 | 4.62 | 4.01 | 2.98 |
MDUR (yr) | 6.60 | 4.82 | 3.94 | 3.51 | 2.69 |
First Prin Pay | 48 | 37 | 40 | 41 | 30 |
Last Prin Pay | 217 | 150 | 110 | 84 | 65 |
Class M-7 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.48 | 4.24 | 3.68 | 2.70 |
MDUR (yr) | 6.16 | 4.46 | 3.62 | 3.22 | 2.44 |
First Prin Pay | 48 | 37 | 39 | 40 | 29 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-7 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.86 | 5.91 | 4.56 | 3.93 | 2.91 |
MDUR (yr) | 6.38 | 4.69 | 3.82 | 3.39 | 2.60 |
First Prin Pay | 48 | 37 | 39 | 40 | 29 |
Last Prin Pay | 208 | 144 | 105 | 80 | 62 |
Class M-8 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.48 | 4.24 | 3.63 | 2.68 |
MDUR (yr) | 6.02 | 4.38 | 3.58 | 3.15 | 2.39 |
First Prin Pay | 48 | 37 | 39 | 39 | 28 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-8 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.79 | 5.86 | 4.52 | 3.85 | 2.86 |
MDUR (yr) | 6.20 | 4.58 | 3.75 | 3.29 | 2.53 |
First Prin Pay | 48 | 37 | 39 | 39 | 28 |
Last Prin Pay | 198 | 136 | 99 | 76 | 58 |
6
Weighted Average Life Tables
Class M-9 To Call | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.30 | 5.48 | 4.21 | 3.60 | 2.63 |
MDUR (yr) | 5.84 | 4.29 | 3.49 | 3.07 | 2.33 |
First Prin Pay | 48 | 37 | 38 | 38 | 28 |
Last Prin Pay | 152 | 100 | 73 | 55 | 41 |
Class M-9 To Maturity | |||||
Prepay Speed | 50% PPC | 75% PPC | 100% PPC | 125% PPC | 150% PPC |
WAL (yr) | 8.70 | 5.80 | 4.44 | 3.77 | 2.78 |
MDUR (yr) | 5.99 | 4.45 | 3.63 | 3.19 | 2.44 |
First Prin Pay | 48 | 37 | 38 | 38 | 28 |
Last Prin Pay | 189 | 130 | 95 | 72 | 55 |
7
Effective Available Funds Cap Rate Schedule(1)(2)(3)
To 10% Optional Termination at the Pricing Assumptions.
The Effective Available Funds Cap Rate shown below are for are for illustrative purposes only.
All Certificates are assumed to be subject to a hard cap of 11.00%.
Effective | Effective | Effective | ||||||||
Period | AFC Rate (%) | Period | AFC Rate (%) | Period | AFC Rate (%) | |||||
| 1 | N/A | 31 | 14.78 | 61 | 12.24 | |||||
| 2 | 16.14 | 32 | 15.21 | 62 | 11.43 | |||||
| 3 | 16.37 | 33 | 15.09 | 63 | 11.80 | |||||
| 4 | 16.31 | 34 | 13.72 | 64 | 11.40 | |||||
| 5 | 16.59 | 35 | 11.08 | 65 | 11.76 | |||||
| 6 | 16.58 | 36 | 10.56 | 66 | 11.37 | |||||
| 7 | 16.75 | 37 | 11.69 | 67 | 11.35 | |||||
| 8 | 17.10 | 38 | 10.55 | 68 | 11.71 | |||||
| 9 | 17.17 | 39 | 10.89 | 69 | 11.32 | |||||
| 10 | 17.57 | 40 | 10.54 | 70 | 11.68 | |||||
| 11 | 17.70 | 41 | 11.06 | 71 | 11.29 | |||||
| 12 | 18.00 | 42 | 11.12 | 72 | 11.27 | |||||
| 13 | 18.60 | 43 | 11.11 | 73 | 12.46 | |||||
| 14 | 18.63 | 44 | 11.46 | |||||||
| 15 | 19.10 | 45 | 11.08 | |||||||
| 16 | 17.23 | 46 | 11.45 | |||||||
| 17 | 15.88 | 47 | 11.23 | |||||||
| 18 | 15.96 | 48 | 11.63 | |||||||
| 19 | 16.22 | 49 | 12.86 | |||||||
| 20 | 16.67 | 50 | 11.60 | |||||||
| 21 | 16.84 | 51 | 11.97 | |||||||
| 22 | 16.37 | 52 | 11.57 | |||||||
| 23 | 14.35 | 53 | 11.94 | |||||||
| 24 | 16.18 | 54 | 11.55 | |||||||
| 25 | 17.36 | 55 | 11.53 | |||||||
| 26 | 16.99 | 56 | 11.90 | |||||||
| 27 | 17.64 | 57 | 11.50 | |||||||
| 28 | 16.02 | 58 | 11.87 | |||||||
| 29 | 15.10 | 59 | 11.47 | |||||||
| 30 | 14.63 | 60 | 11.46 |
(1) | Derived assuming indices constant at 20.00% for 1-Month LIBOR and 6-Month LIBOR, and 1-Year CMT, using 100% PPC. |
(2) | Includes cap and swap floating rate payments received by the trust from the Hedge Providers. |
(3) | Includes cap and swap fixed rate payments owed to the Hedge Providers. |
8
Excess Spread Schedule- Forward LIBOR(1)(2)(3)
To 10% Optional Termination at the Pricing Assumptions
1 Month LIBOR | 6 Month LIBOR | 1 Year | Excess Spread | 1 Month LIBOR | 6 Month LIBOR | 1 Year | Excess Spread | 1 Month LIBOR | 6 Month LIBOR | 1 Year CMT | Excess Spread | ||||||||||||||||||||||||||||||||
Period | (%) | (%) | CMT (%) | (%) | Period | (%) | (%) | CMT (%) | (%) | Period | (%) | (%) | (%) | (%) | |||||||||||||||||||||||||||||
| 1 | 5.320000 | 5.400000 | 5.081000 | 3.10 | 31 | 4.975100 | 5.003900 | 4.606029 | 3.76 | 61 | 5.195600 | 5.254200 | 4.845135 | 3.87 | |||||||||||||||||||||||||||||
| 2 | 5.344100 | 5.397800 | 5.057519 | 2.29 | 32 | 4.965100 | 5.017000 | 4.613540 | 3.88 | 62 | 5.197600 | 5.255200 | 4.843769 | 3.51 | |||||||||||||||||||||||||||||
| 3 | 5.344100 | 5.383200 | 5.031720 | 2.37 | 33 | 4.956300 | 5.035100 | 4.622462 | 3.77 | 63 | 5.196900 | 5.255000 | 4.842324 | 3.68 | |||||||||||||||||||||||||||||
| 4 | 5.328100 | 5.373200 | 5.003720 | 2.30 | 34 | 4.945400 | 5.056300 | 4.632609 | 3.90 | 64 | 5.197500 | 5.255400 | 4.840805 | 3.50 | |||||||||||||||||||||||||||||
| 5 | 5.368900 | 5.352800 | 4.973714 | 2.36 | 35 | 4.936900 | 5.075500 | 4.643775 | 3.74 | 65 | 5.198100 | 5.255000 | 4.839215 | 3.68 | |||||||||||||||||||||||||||||
| 6 | 5.330300 | 5.318100 | 4.942370 | 2.30 | 36 | 4.927600 | 5.097400 | 4.655735 | 3.80 | 66 | 5.197800 | 5.255200 | 4.837557 | 3.50 | |||||||||||||||||||||||||||||
| 7 | 5.303100 | 5.291100 | 4.910865 | 2.32 | 37 | 5.073700 | 5.122700 | 4.668245 | 4.18 | 67 | 5.197800 | 5.254900 | 4.835835 | 3.49 | |||||||||||||||||||||||||||||
| 8 | 5.263700 | 5.263800 | 4.880625 | 2.41 | 38 | 5.072700 | 5.121500 | 4.681074 | 3.51 | 68 | 5.197700 | 5.264100 | 4.834052 | 3.67 | |||||||||||||||||||||||||||||
| 9 | 5.278200 | 5.239700 | 4.852407 | 2.34 | 39 | 5.070100 | 5.118700 | 4.694102 | 3.75 | 69 | 5.197500 | 5.276300 | 4.832211 | 3.48 | |||||||||||||||||||||||||||||
| 10 | 5.209200 | 5.210000 | 4.826523 | 2.43 | 40 | 5.068100 | 5.116900 | 4.707240 | 3.60 | 70 | 5.196800 | 5.286900 | 4.830316 | 3.67 | |||||||||||||||||||||||||||||
| 11 | 5.174900 | 5.189000 | 4.802995 | 2.38 | 41 | 5.065300 | 5.113500 | 4.720398 | 3.79 | 71 | 5.196800 | 5.298800 | 4.828371 | 3.50 | |||||||||||||||||||||||||||||
| 12 | 5.164600 | 5.169500 | 4.781559 | 2.39 | 42 | 5.063800 | 5.111200 | 4.733489 | 3.62 | 72 | 5.196300 | 5.310600 | 4.826378 | 3.53 | |||||||||||||||||||||||||||||
| 13 | 5.144800 | 5.148400 | 4.761660 | 2.53 | 43 | 5.060400 | 5.109300 | 4.746426 | 3.63 | 73 | 5.261800 | 5.322100 | 4.824341 | 4.01 | |||||||||||||||||||||||||||||
| 14 | 5.125000 | 5.128600 | 4.742637 | 2.41 | 44 | 5.057600 | 5.119700 | 4.759112 | 3.80 | ||||||||||||||||||||||||||||||||||
| 15 | 5.103900 | 5.107500 | 4.724348 | 2.48 | 45 | 5.055600 | 5.134300 | 4.771413 | 3.63 | ||||||||||||||||||||||||||||||||||
| 16 | 5.083700 | 5.087300 | 4.706823 | 2.42 | 46 | 5.052100 | 5.149400 | 4.783178 | 3.80 | ||||||||||||||||||||||||||||||||||
| 17 | 5.061600 | 5.065200 | 4.690115 | 2.50 | 47 | 5.049800 | 5.163600 | 4.794257 | 3.64 | ||||||||||||||||||||||||||||||||||
| 18 | 5.043100 | 5.046600 | 4.674294 | 2.42 | 48 | 5.046900 | 5.178800 | 4.804494 | 3.67 | ||||||||||||||||||||||||||||||||||
| 19 | 5.022700 | 5.026300 | 4.659451 | 2.43 | 49 | 5.138500 | 5.195300 | 4.813730 | 4.10 | ||||||||||||||||||||||||||||||||||
| 20 | 5.001800 | 5.024700 | 4.645699 | 2.53 | 50 | 5.139800 | 5.196000 | 4.821832 | 3.57 | ||||||||||||||||||||||||||||||||||
| 21 | 4.983100 | 5.028100 | 4.633168 | 2.46 | 51 | 5.140200 | 5.195400 | 4.828783 | 3.74 | ||||||||||||||||||||||||||||||||||
| 22 | 4.963200 | 5.032900 | 4.622011 | 2.58 | 52 | 5.139700 | 5.195400 | 4.834600 | 3.56 | ||||||||||||||||||||||||||||||||||
| 23 | 4.943500 | 5.040500 | 4.612400 | 2.84 | 53 | 5.139200 | 5.194700 | 4.839308 | 3.74 | ||||||||||||||||||||||||||||||||||
| 24 | 4.924700 | 5.048700 | 4.604527 | 3.90 | 54 | 5.139700 | 5.195600 | 4.842940 | 3.57 | ||||||||||||||||||||||||||||||||||
| 25 | 5.031200 | 5.060300 | 4.598604 | 4.13 | 55 | 5.138900 | 5.194300 | 4.845539 | 3.57 | ||||||||||||||||||||||||||||||||||
| 26 | 5.023100 | 5.052100 | 4.594814 | 3.83 | 56 | 5.138100 | 5.202500 | 4.847162 | 3.74 | ||||||||||||||||||||||||||||||||||
| 27 | 5.013600 | 5.042500 | 4.593150 | 3.92 | 57 | 5.138000 | 5.214200 | 4.847921 | 3.56 | ||||||||||||||||||||||||||||||||||
| 28 | 5.004400 | 5.033400 | 4.593540 | 3.80 | 58 | 5.137000 | 5.222700 | 4.847946 | 3.73 | ||||||||||||||||||||||||||||||||||
| 29 | 4.993900 | 5.022500 | 4.595892 | 3.89 | 59 | 5.137700 | 5.233300 | 4.847384 | 3.56 | ||||||||||||||||||||||||||||||||||
| 30 | 4.984900 | 5.013400 | 4.600097 | 3.75 | 60 | 5.141600 | 5.244500 | 4.846391 | 3.57 | ||||||||||||||||||||||||||||||||||
(1) | Includes cap fixed rate payments owed to the Hedge Providers. |
(2) | Includes cap and swap floating rate payments received by the trust from the Hedge Providers. |
(3) | Excludes Available Funds Cap Shortfall, if any. |
9