Carrington Mortgage Loan Trust, Series 2006-RFC1 Inactive
Filed: 22 May 06, 12:00am
MBS New Issue Term Sheet
$743,362,000 (Approximate)
Carrington Mortgage Loan Trust, Series 2006-RFC1 Asset-Backed Pass-Through Certificates |
Carrington Securities, LP
Sponsor
Homecomings Financial Network, Inc.
Servicer
Residential Funding Corporation
Seller
Stanwich Asset Acceptance Company, L.L.C.
Depositor
Carrington Mortgage Loan Trust, Series 2006-RFC1
Issuing Entity
May 15, 2006
| Bear, Stearns & Co. Inc. |  |
Filed pursuant to Rule 433(d)
Registration Statement No. 333-130210
STATEMENT REGARDING THIS FREE WRITING PROSPECTUS
The information in this free writing prospectus, if conveyed prior to the time of your contractual commitment to purchase any of the Offered Certificates described herein, supersedes any information contained in any prior similar materials relating to the Offered Certificates. The information in this free writing prospectus is preliminary, and is subject to completion or change. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the Offered Certificates referred to in this free writing prospectus and to solicit an offer to purchase the Offered Certificates, 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 Offered Certificates, until we have accepted your offer to purchase Offered Certificates. 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.
IMPORTANT NOTICE REGARDING THE CONDITIONS
FOR THIS OFFERING OF ASSET-BACKED SECURITIES
The Offered Certificates referred to in these materials are being offered when, as and if issued. The depositor is not obligated to issue such Offered Certificates or any similar security and the underwriter’s obligation to deliver such Offered Certificates is subject to the terms and conditions of the underwriting agreement with the depositor and the availability of such Offered Certificates when, as and if issued by the issuing entity. You are advised that the terms of the Offered Certificates, and the characteristics of the mortgage loan pool backing them, may change (due, among other things, to the possibility that mortgage loans that comprise the pool may become delinquent or defaulted or may be removed or replaced and that similar or different mortgage loans may be added to the pool, and that one or more classes of Offered Certificates may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus. You are advised that Offered Certificates may not be issued that have the characteristics described in these materials. The underwriter’s obligation to sell such Offered Certificates to you is conditioned on the mortgage loans and Offered Certificates having the characteristics described in these materials. If for any reason the issuing entity does not deliver such Offered Certificates, 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 Offered Certificates which you have committed to purchase, and none of the issuing entity nor any underwriter will be liable for any costs or damages whatsoever arising from or related to such non-delivery.
THE DEPOSITOR HAS FILED A REGISTRATION STATEMENT (INCLUDING A PROSPECTUS) WITH THE SECURITIES AND EXCHANGE COMMISSION (THE SEC) FOR THE OFFERING TO WHICH THIS COMMUNICATION RELATES. BEFORE YOU INVEST, YOU SHOULD READ THE PROSPECTUS IN THAT REGISTRATION STATEMENT AND OTHER DOCUMENTS THE DEPOSITOR HAS FILED WITH THE SEC FOR MORE COMPLETE INFORMATION ABOUT THE DEPOSITOR AND THE OFFERING. YOU MAY GET THESE DOCUMENTS AT NO CHARGE BY VISITING EDGAR ON THE SEC WEB SITE AT WWW.SEC.GOV. ALTERNATIVELY, THE DEPOSITOR, ANY UNDERWRITER OR ANY DEALER PARTICIPATING IN THE OFFERING WILL ARRANGE TO SEND YOU THE PROSPECTUS AT NO CHARGE IF YOU REQUEST IT BY CALLING TOLL-FREE 1-866-803-9204.
The Depositor has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering.
$743,362,000 (Approximate)
Carrington Mortgage Loan Trust, Series 2006-RFC1 Asset-Backed Pass-Through Certificates |
Carrington Securities, LP
Sponsor
Homecomings Financial Network, Inc.
Servicer
Residential Funding Corporation
Seller
Stanwich Asset Acceptance Company, L.L.C.
Depositor
Carrington Mortgage Loan Trust, Series 2006-RFC1
Issuing Entity
Transaction Highlights
Offered Classes | Balance(3) | Description(4) | Benchmark | Expected Ratings (Moody’s/S&P/Fitch) | Avg Life (yrs)(1)(2) Call / Mat | Distribution Window (mos)(1)(2) Call / Mat | Initial Subordination Level (%) |
| A-1 | 326,012,000 | FLT/SEN | 1M LIBOR | Aaa / AAA / AAA | 1.00 / 1.00 | 1 - 21 / 1 - 21 | 24.15 |
| A-2 | 136,451,000 | FLT/SEN | 1M LIBOR | Aaa / AAA / AAA | 2.00 / 2.00 | 21 - 29 / 21 - 29 | 24.15 |
| A-3 | 89,061,000 | FLT/SEN | 1M LIBOR | Aaa / AAA / AAA | 3.00 / 3.00 | 29 - 69 / 29 - 69 | 24.15 |
| A-4 | 41,680,000 | FLT/SEN | 1M LIBOR | Aaa / AAA / AAA | 5.84 / 8.23 | 69 - 70 / 69 - 167 | 24.15 |
| M-1 | 30,501,000 | FLT/MEZZ | 1M LIBOR | Aa1 / AA+ / AA+ | 5.07 / 5.55 | 53 - 70 / 53 - 143 | 20.25 |
| M-2 | 28,546,000 | FLT/MEZZ | 1M LIBOR | Aa2 / AA+ / AA+ | 4.66 / 5.12 | 48 - 70 / 48 - 137 | 16.60 |
| M-3 | 16,815,000 | FLT/MEZZ | 1M LIBOR | Aa3 / AA / AA | 4.47 / 4.92 | 45 - 70 / 45 - 130 | 14.45 |
| M-4 | 15,250,000 | FLT/MEZZ | 1M LIBOR | A1 / AA / AA | 4.38 / 4.81 | 43 - 70 / 43 - 126 | 12.50 |
| M-5 | 14,859,000 | FLT/MEZZ | 1M LIBOR | A2 / AA- / AA- | 4.30 / 4.72 | 42 - 70 / 42 - 121 | 10.60 |
| M-6 | 12,904,000 | FLT/MEZZ | 1M LIBOR | A3 / A+ / A+ | 4.25 / 4.64 | 41 - 70 / 41 - 116 | 8.95 |
| M-7 | 12,513,000 | FLT/MEZZ | 1M LIBOR | Baa1 / A / A- | 4.21 / 4.57 | 40 - 70 / 40 - 110 | 7.35 |
| M-8 | 10,949,000 | FLT/MEZZ | 1M LIBOR | Baa2 / A / BBB+ | 4.17 / 4.50 | 39 - 70 / 39 - 104 | 5.95 |
| M-9 | 7,821,000 | FLT/MEZZ | 1M LIBOR | Baa3 / BBB+ / BBB+ | 4.16 / 4.45 | 39 - 70 / 39 - 97 | 4.95 |
M-10(5) | 8,994,000 | FLT/MEZZ | 1M LIBOR | Ba1 / BBB+ / BBB | 4.13 / 4.35 | 38 - 70 / 38 - 92 | 3.80 |
1. Certificates are priced to the 10% optional clean-up call. 2. Based on the pricing prepayment assumption described herein. 3. Certificate sizes subject to a variance of +/- 5%. 4. On any Distribution Date after the date on which the Optional Termination is in effect and not exercised, the related margin shall increase to 2.0 times the related margin for each Class A Certificate, and 1.5 times for any Mezzanine Certificate. 5. The Class M-10 Certificates are not offered hereby. | |||||||
Pricing Prepayment Assumption
2-year and shorter Fixed Rate Period Adjustable-Rate Mortgage Loans: 2.0% CPR in month 1, building to 30.0% CPR in month 12 and remaining at 30.0% CPR until month 22, for month 23 to month 27, 60.0% CPR, and for month 28 and thereafter, 35.0% CPR.
3-year and longer Fixed Rate Period Adjustable-Rate Mortgage Loans: 2.0% CPR in month 1, building to 30.0% by month 12; 30.0% CPR for months 13-34; 60.0% CPR for months 35-39; 35.0% CPR for months 40 and thereafter.
Fixed-rate Mortgage Loans: 23.0% HEP (2.30% CPR in month 1, building to 23.0% CPR in month 10, and remaining constant at 23.0% CPR thereafter).
Transaction Overview | ||||
Issuing Entity: | Carrington Mortgage Loan Trust, Series 2006-RFC1. | |||
Depositor: | Stanwich Asset Acceptance Company, L.L.C. | |||
Sponsor: | Carrington Securities, LP. | |||
Servicer: | Homecomings Financial Network, Inc., a wholly-owned subsidiary of the Seller. | |||
Trustee: | Wells Fargo Bank, N.A. | |||
Custodian: | Wells Fargo Bank, N.A. | |||
Lead Manager: | Bear, Stearns & Co. Inc. | |||
Co-Managers: | Citigroup Global Markets Inc. Northeast Securities, Inc. Residential Funding Securities Corporation, an affiliate of the Servicer and the Seller. | |||
Cap Contracts Provider: | Swiss Re Financial Products Corporation. | |||
Seller: | Residential Funding Corporation. The seller makes certain representations and warranties with respect to the mortgage loans and has certain obligations with respect to the repurchase and substitution of the mortgage loans. | |||
Offered Certificates: | Approximately $593,204,000 senior floating-rate certificates consisting of the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates (together the “Class A Certificates”) and approximately $150,158,000 mezzanine floating rate certificates consisting of 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 and Class M-9 Certificates (together, with the Class M-10 Certificates, the “Class M Certificates” or the “Mezzanine Certificates”). The Class A Certificates and the Mezzanine Certificates (other than the Class M-10 Certificates) are referred to herein as the “Offered Certificates”. The Offered Certificates and the Class M-10 Certificates are backed by adjustable-rate and fixed-rate, interest-only, balloon and fully-amortizing, first lien and second lien, closed-end, subprime mortgage loans (the “Mortgage Loans”). | |||
Non-Offered Certificates: | The Class M-10, Class CE, Class P and Class R Certificates will not be offered pursuant to the prospectus. | |||
| Mortgage Loans: | As of the Cut-off Date, the Mortgage Loans will consist of approximately 4,739 adjustable-rate and fixed-rate, interest-only, balloon and fully-amortizing, first and second lien, closed-end, subprime mortgage loans, with a scheduled principal balance of approximately $782,074,928. As of the Cut-off Date none of the Mortgage Loans were 30 to 59 days delinquent in the payment of principal and/or interest. Further, no mortgage loan that is 60 or more days delinquent in the payment of principal and/or interest as of the Cut-off Date will be included in the mortgage pool as of the Closing Date. For purposes of categorizing mortgage loans as delinquent, the Cut-off Date shall mean the close of business on April 30, 2006. | |||
Expected Pricing Date: | On or about May 18, 2006. | |||
Closing Date: | On or about May 24, 2006. | |||
Cut-off Date: | May 1, 2006. | |||
Distribution Date: | The 25th day of each month (or if such 25th day is not a business day, the next succeeding business day) commencing in June 2006. | |||
Record Date: | The business day immediately preceding each Distribution Date. | |||
Delay Days: | Zero days on all Class A and Mezzanine Certificates. | |||
Due Period: | The Due Period with respect to any Distribution Date commences on the second day of the month immediately preceding the month in which such Distribution Date occurs and ends on the first day of the month in which such Distribution Date occurs. | |||
Interest Accrual Period: | The Interest Accrual Period for any Distribution Date and for the Class A Certificates and Mezzanine Certificates is the period commencing on the Distribution Date of the month immediately preceding the month in which the Distribution Date occurs or, in the case of the first Distribution Date, commencing on the Closing Date, and ending on the day preceding the Distribution Date. All distributions of interest on the Class A Certificates and Mezzanine Certificates will be based on a 360-day year and the actual number of days in the applicable Interest Accrual Period. | |||
Prepayment Period: | The Prepayment Period with respect to any Distribution Date is the calendar month immediately preceding the month in which the Distribution Date occurs. | |||
ERISA Considerations: | Subject to the considerations in the Prospectus Supplement, it is expected that the Offered Certificates will be eligible for purchase by certain ERISA plans as of the Closing Date. However, investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of an ERISA plan’s acquisition and ownership of such Certificates. | |||
Legal Investment: | The Offered Certificates will not constitute “mortgage related securities” for the purposes of the Secondary Mortgage Market Enhancement Act of 1984 (“SMMEA”). | |||
Tax Status: | For federal income tax purposes, each Offered Certificate will represent beneficial ownership of a REMIC regular interest and an interest in a interest rate cap agreement. | |||
Form of Registration: | Book-entry form through DTC, Clearstream and Euroclear. | |||
Minimum Denominations: | Class A and Class M-1 Certificates: $100,000 and integral multiples of $1 in excess thereof. Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates: $250,000 and integral multiples of $1 in excess thereof. | |||
Optional Termination: | At its option, the majority holder of the Class CE Certificates, in accordance with the terms of the Pooling and Servicing Agreement, may purchase all of the Mortgage Loans, together with any properties in respect of such Mortgage Loans acquired on behalf of the trust, and thereby effect termination and early retirement of the certificates, after the aggregate principal balance of (i) the Mortgage Loans remaining in the trust at the time of such purchase, and (ii) properties acquired in respect of such Mortgage Loans has been reduced to less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. | |||
Administrative Fee Rates: | The sum of (i) the “Servicing Fee”, calculated at the “Servicing Fee Rate” relating to each Mortgage Loan equal to at least 0.29% per annum and not more than 0.54% per annum of the outstanding principal balance of that mortgage loan, with a weighted average servicing fee rate of approximately 0.470% and (ii) the “Trustee Fee” calculated at the “Trustee Fee Rate” of 0.0025% per annum. Administrative Fees will be paid monthly on the stated principal balance of the Mortgage Loans. | |||
Principal & Interest Advances: | The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans to the extent such amounts are deemed recoverable. The Servicer is entitled to be reimbursed for such advances, and therefore these advances are not a form of credit enhancement. | |||
Servicing Advances: | The Servicer will pay all out-of-pocket costs related to its obligations, including, but not limited to: (i) expenses in connection with a foreclosed Mortgage Loan prior to the liquidation of such loan, (ii) the costs of any judicial proceedings, including foreclosures and (iii) the cost of managing and liquidating property acquired in relation to the Mortgage Loans, as long as it deems all such costs to be recoverable. The Servicer is entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement. | |||
Compensating Interest: | The Servicer is required to pay Compensating Interest up to the amount of the Servicing Fee to cover Prepayment Interest Shortfalls due to partial and/or full prepayments on the Mortgage Loans. | |||
Credit Enhancement | ||||||||
Credit Enhancement: | 1. Excess Spread 2. Overcollateralization 3. Subordination | |||||||
| Overcollateralization Amount: | The Overcollateralization Amount with respect to any Distribution Date is the excess, if any, of (a) the aggregate principal balance of the Mortgage Loans (including Mortgage Loans related to any REO Property) as of the last day of the related Due Period over (b) the sum of the aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates, after giving effect to distributions to be made on such Distribution Date. | |||||||
Overcollateralization Target Amount: | The Overcollateralization Target Amount with respect to any Distribution Date is (a) prior to the Stepdown Date, an amount equal to approximately 3.80% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date; (b) on or after the Stepdown Date, provided a Trigger Event is not in effect, the greater of (i) approximately 7.60% of the then current aggregate outstanding principal balance of the Mortgage Loans as of the last day of the related Due Period and (ii) the Overcollateralization Floor Amount; or (c) on or after the Stepdown Date and if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding Distribution Date. Notwithstanding the foregoing, on and after any Distribution Date following the reduction of the aggregate Certificate Principal Balance of the Class A Certificates, Mezzanine Certificates and Class P Certificates to zero, the Overcollateralization Target Amount will be zero. | |||||||
Overcollateralization Floor Amount: | An amount equal to approximately 0.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. | |||||||
Overcollateralization Increase Amount: | An Overcollateralization Increase Amount with respect to any Distribution Date equals the lesser of (a) the Net Monthly Excess Cashflow for such Distribution Date and (b) the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralization Amount on such Distribution Date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such Distribution Date has been distributed). | |||||||
Overcollateralization Reduction Amount: | An Overcollateralization Reduction Amount with respect to any Distribution Date is the lesser of (a) the Principal Remittance Amount on such Distribution Date and (b) the excess, if any, of (i) the Overcollateralization Amount for such Distribution Date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such Distribution Date has been distributed) over (ii) the Overcollateralization Target Amount for such Distribution Date. | |||||||
Stepdown Date: | The later to occur of (x) the Distribution Date occurring in June 2009 and (y) the first Distribution Date on which the Credit Enhancement Percentage (calculated for this purpose only prior to any distribution of the Principal Distribution Amount to the holders of the Certificates then entitled to distributions of principal on the related Distribution Date) is greater than or equal to approximately 48.30%. | |||||||
Credit Enhancement Percentage: | The Credit Enhancement Percentage for any Distribution Date is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the Mezzanine Certificates and the Class CE Certificates, calculated after taking into account payments of principal on the Mortgage Loans and distribution of the Principal Distribution Amount to the holders of the certificates then entitled to distributions of principal on the related Distribution Date, by (y) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period. | |||||||
Class | Initial | Targeted On and After Stepdown Date | ||||||
| A | 24.15 | 48.30 | ||||||
| M-1 | 20.25 | 40.50 | ||||||
| M-2 | 16.60 | 33.20 | ||||||
| M-3 | 14.45 | 28.90 | ||||||
| M-4 | 12.50 | 25.00 | ||||||
| M-5 | 10.60 | 21.20 | ||||||
| M-6 | 8.95 | 17.90 | ||||||
| M-7 | 7.35 | 14.70 | ||||||
| M-8 | 5.95 | 11.90 | ||||||
| M-9 | 4.95 | 9.90 | ||||||
| M-10 | 3.80 | 7.60 | ||||||
Trigger Event: | With respect to any Distribution Date on or after the Stepdown Date, a Trigger Event is in effect if: 1) the percentage obtained by dividing (i) the Rolling Three-Month Delinquency Average plus the aggregate principal balance of the Mortgage Loans that, as of the last day of the previous calendar month, are in foreclosure, have been converted to REO Properties or have been discharged due to bankruptcy, by (ii) the aggregate principal balance of the Mortgage Loans (including Mortgage Loans related to REO Property) as of the last day of the previous calendar month, exceeds 32.0% of the then Credit Enhancement Percentage for the prior Distribution Date; or 2) the aggregate amount of Realized Losses incurred since the Cut-Off Date through the last day of the related Due Period (reduced by the aggregate amount of Subsequent Recoveries received since the Cut-Off Date through the last day of the related Due Period) divided by the aggregate principal balance of the Mortgage Loans as of the Cut-Off Date exceeds the applicable percentages set forth below with respect to such Distribution Date. | |||||||
Distribution Date Occurring in | Percentage | |||||||
| June 2009 through May 2010 | 3.50% | |||||||
| June 2010 through May 2011 | 5.00% | |||||||
| June 2011 through May 2012 | 6.25% | |||||||
| June 2012 and thereafter | 7.00% | |||||||
Subsequent Recoveries: | Subsequent Recoveries are unanticipated amounts received on a liquidated Mortgage Loan that resulted in a Realized Loss in a prior month. If Subsequent Recoveries are received, they will be included as part of the Principal Remittance Amount for the following Distribution Date and distributed in accordance with the priorities described in this term sheet. In addition, after giving effect to all distributions on a Distribution Date, the amount of such Subsequent Recoveries will increase the Certificate Principal Balance first, of the Class A Certificates then outstanding, if a Realized Loss has been allocated to the Class A Certificates, on a pro-rata basis by the amount of such Subsequent Recoveries, and second, of the class of Mezzanine Certificates then outstanding with the highest distribution priority to which a Realized Loss was allocated. Thereafter, such class of Class A and Mezzanine Certificates will accrue interest on the increased Certificate Principal Balance. | |||||||
REO Property: | REO Property is mortgaged property acquired by the Servicer through foreclosure or deed-in-lieu of foreclosure. | |||||||
Rolling Three-Month Delinquency Average: | With respect to any Distribution Date, the average aggregate principal balance of the Mortgage Loans delinquent 60 days or more for each of the three (or one and two, in the case of the first and second Distribution Dates, respectively) immediately preceding months. | |||||||
Distribution of Interest | |
Interest Distribution Priority: | On each Distribution Date, the Interest Remittance Amount will be distributed in the following order of priority: 1) To the holders of each class of Class A Certificates, on a pro rata basis based on the entitlement of each such class, the Senior Interest Distribution Amount allocable to such class of Class A Certificates; and 2) Sequentially to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates in that order, the Interest Distribution Amount allocable to each such class. |
Principal Waterfall Prior to Stepdown Date or if a Trigger Event is in Effect | |
Principal Distribution Priority: | On each Distribution Date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, the Principal Distribution Amount will be distributed in the following order of priority: 1) Sequentially, to the holders of the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates, in that order, until the aggregate Certificate Principal Balance of each class of Class A Certificates has been reduced to zero, and; 2) Sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero. Nothwithstanding the foregoing, if the Mezzanine Certificates and Class CE Certificates are reduced to zero, principal distributions on the Class A Certificates will be allocated concurrently on a pro rata basis. |
Principal Waterfall On or After Stepdown Date and when No Trigger Event is in Effect | |
Principal Distribution Priority: | On each Distribution Date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the Principal Distribution Amount will be distributed in the following order of priority: 1) Sequentially, to the holders of the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates, in that order, up to an amount equal to the Class A Principal Distribution Amount, until the aggregate Certificate Principal Balances of each class of Class A Certificates has been reduced to zero, and; 2) Sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates in that order, up to an amount equal to the related class Principal Distribution Amount until the Certificate Principal Balance of each such class has been reduced to zero. Nothwithstanding the foregoing, if the Mezzanine Certificates and Class CE Certificates are reduced to zero, principal distributions on the Class A Certificates will be allocated concurrently on a pro rata basis. |
Excess Cashflow Waterfall | |
Monthly Excess Cashflow Distributions: | With respect to any Distribution Date, any Net Monthly Excess Cashflow shall be paid as follows: 1) To the holders of the class or classes of Class A Certificates and Mezzanine Certificates then entitled to receive distributions in respect of principal, in an amount equal to the Overcollateralization Increase Amount, distributable as part of the Principal Distribution Amount; 2) Sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, in each case up to the related Interest Carry Forward Amount related to such certificates for such Distribution Date; 3) Concurrently, on a pro rata basis to the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates, and then sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates, in that order, in each case up to the related Allocated Realized Loss Amount for such class of certificates for such Distribution Date; 4) To the reserve account, for distribution to the holders of the Class A Certificates and Mezzanine Certificates, the aggregate amount of any Net WAC Rate Carryover Amounts for such classes, after taking into account amounts, if any, received under the cap contracts; 5) To the holders of the Class CE Certificates as provided in the Pooling and Servicing Agreement; 6) To the holders of the Residual Certificates, any remaining amounts; provided that if such Distribution Date is the Distribution Date immediately following the expiration of the latest prepayment charge term or any Distribution Date thereafter, then any such remaining amounts will be distributed first, to the holders of the Class P Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and second, to the holders of the Residual Certificates. |
Allocation of Losses | ||
Loss Allocation: | Any Realized Losses on the Mortgage Loans will be allocated or covered on any Distribution Date as follows: (i) first, by Net Monthly Excess Cash Flow; (ii) second, by the Class CE Certificates, until the Certificate Principal Balance of the Class CE Certificates has been reduced to zero; (iii) third, to the Class M-10 Certificates, until the Certificate Principal Balance of the Class M-10 Certificates has been reduced to zero; (iv) fourth, to the Class M-9 Certificates, until the Certificate Principal Balance of the Class M-9 Certificates has been reduced to zero; (v) fifth, to the Class M-8 Certificates, until the Certificate Principal Balance of the Class M-8 Certificates has been reduced to zero; (vi) sixth, to the Class M-7 Certificates, until the Certificate Principal Balance of the Class M-7 Certificates has been reduced to zero; (vii) seventh, to the Class M-6 Certificates, until the Certificate Principal Balance of the Class M-6 Certificates has been reduced to zero; (viii) eighth, to the Class M-5 Certificates, until the Certificate Principal Balance of the Class M-5 Certificates has been reduced to zero; (ix) ninth, to the Class M-4 Certificates, until the Certificate Principal Balance of the Class M-4 Certificates has been reduced to zero; (x) tenth, to the Class M-3 Certificates, until the Certificate Principal Balance of the Class M-3 Certificates has been reduced to zero; (xi) eleventh, to the Class M-2 Certificates, until the Certificate Principal Balance of the Class M-2 Certificates has been reduced to zero; (xii) twelfth, to the Class M-1 Certificates, until the Certificate Principal Balance of the Class M-1 Certificates has been reduced to zero; and (xiii) thirteenth, concurrently, to the Class A-1, Class A-2, Class A-3 and Class A-4 Certificates on a pro rata basis based on the Certificate Principal Balance of each such class, until their respective Certificate Principal Balances have been reduced to zero. Once Realized Losses are allocated to the Class A and Mezzanine Certificates, such amounts with respect to the certificates will no longer accrue interest to the extent there are no Subsequent Recoveries allocated to the certificates. However, the amount of any Realized Losses allocated to the certificates may be distributed to the holders of those certificates from Net Monthly Excess Cashflow, as described in the Pooling and Servicing Agreement. | |
Derivatives | |
Cap Contracts: | The holders of the Class A Certificates and the holders of the Mezzanine Certificates may benefit from a series of interest rate cap payments from Swiss Re Financial Products Corporation pursuant to two separate cap contracts, in each case refered to as the Class A Cap Contract and the Class M Cap Contract, respectively. The cap contracts are intended to partially mitigate for the first 33 Distribution Dates for the Class A Certificates and 38 Distribution Dates for the Mezzanine Certificates and in each case beginning on the Distribution Date in June 2006, the interest rate risk that could result from the difference between (a) One Month LIBOR plus the related margin and (b) the Net WAC Pass-Through Rate. With respect to the Class A Certificates and each Distribution Date, payments under the related cap contract will be made based on (a) an amount equal to the Class A Cap Contract Notional Balance for that Distribution Date and (b) the positive excess of (i) the lesser of (x) One-Month LIBOR and (y) the Class A Ceiling Rate per annum, over (ii) the Class A Monthly Strike Rate for that Distribution Date, calculated on an actual/360-day basis. With respect to the Mezzanine Certificates and each Distribution Date, payments under the related cap contract will be made based on (a) an amount equal to the Class M Cap Contract Notional Balance for that Distribution Date and (b) the positive excess of (i) the lesser of (x) One-Month LIBOR and (y) the Class M Ceiling Rate per annum, over (ii) the Class M Monthly Strike Rate for that Distribution Date, calculated on an actual/360-day basis. |
Derivatives | |
Class A Cap Contract Notional Balance: | With respect to any Distribution Date specified below and the cap contract relating to the Class A Certificates, the lesser of (1) the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to that Distribution Date, and (2) the amount specified below for that Distribution Date: |
Distribution Date | Notional | Distribution Date | Notional | ||
| June 2006 | 593,204,000.00 | December 2007 | 321,729,179.24 | ||
| July 2006 | 586,814,951.93 | January 2008 | 306,392,839.95 | ||
| August 2006 | 578,687,362.74 | February 2008 | 281,222,580.73 | ||
| September 2006 | 568,826,526.18 | March 2008 | 252,776,251.90 | ||
| October 2006 | 557,248,950.46 | April 2008 | 226,305,808.55 | ||
| November 2006 | 543,986,687.96 | May 2008 | 201,972,159.87 | ||
| December 2006 | 529,079,614.26 | June 2008 | 179,371,534.28 | ||
| January 2007 | 512,591,582.64 | July 2008 | 164,361,412.76 | ||
| February 2007 | 494,742,365.59 | August 2008 | 152,924,652.77 | ||
| March 2007 | 475,733,185.85 | September 2008 | 141,874,943.81 | ||
| April 2007 | 456,617,418.80 | October 2008 | 131,198,759.63 | ||
| May 2007 | 438,051,853.97 | November 2008 | 120,879,561.48 | ||
| June 2007 | 420,022,163.47 | December 2008 | 110,826,500.23 | ||
| July 2007 | 402,512,828.10 | January 2009 | 101,085,354.97 | ||
| August 2007 | 385,508,779.35 | February 2009 | 91,384,352.38 | ||
| September 2007 | 368,995,386.29 | ||||
| October 2007 | 352,958,510.37 | ||||
| November 2007 | 337,384,548.42 | ||||
Derivatives | |
Class A Monthly Strike Rate and Class A Ceiling Rate: | With respect to each Distribution Date and the cap contract relating to the Class A Certificates, the Class A Monthly Strike Rate is the per annum rate set forth next to such Distribution Date in the applicable table below, in each case, subject to the related Class A Ceiling Rate: |
Distribution Date | Class A Monthly Strike Rate | Class A Ceiling Rate | Distribution Date | Class A Monthly Strike Rate | Class A Ceiling Rate | ||
| June 2006 | 7.642 | 11.414 | December 2007 | 8.475 | 11.376 | ||
| July 2006 | 8.161 | 11.414 | January 2008 | 8.296 | 11.371 | ||
| August 2006 | 7.899 | 11.413 | February 2008 | 8.381 | 11.363 | ||
| September 2006 | 7.907 | 11.412 | March 2008 | 10.605 | 11.356 | ||
| October 2006 | 8.185 | 11.411 | April 2008 | 10.737 | 11.351 | ||
| November 2006 | 7.927 | 11.410 | May 2008 | 11.222 | 11.345 | ||
| December 2006 | 8.205 | 11.409 | June 2008 | 10.995 | 11.338 | ||
| January 2007 | 7.950 | 11.407 | July 2008 | 11.332 | 11.332 | ||
| February 2007 | 7.964 | 11.405 | August 2008 | 11.266 | 11.327 | ||
| March 2007 | 8.848 | 11.403 | September 2008 | 11.322 | 11.322 | ||
| April 2007 | 8.004 | 11.401 | October 2008 | 11.315 | 11.315 | ||
| May 2007 | 8.294 | 11.398 | November 2008 | 11.312 | 11.312 | ||
| June 2007 | 8.043 | 11.395 | December 2008 | 11.309 | 11.309 | ||
| July 2007 | 8.337 | 11.393 | January 2009 | 11.305 | 11.305 | ||
| August 2007 | 8.087 | 11.390 | February 2009 | 11.300 | 11.300 | ||
| September 2007 | 8.112 | 11.386 | |||||
| October 2007 | 8.416 | 11.383 | |||||
| November 2007 | 8.167 | 11.380 | |||||
Derivatives | |
Class M Cap Contract Notional Balance: | With respect to any Distribution Date specified below and the cap contract relating to the Mezzanine Certificates, the lesser of (1) the aggregate Certificate Principal Balance of the Mezzanine Certificates immediately prior to that Distribution Date, and (2) the amount specified below for that Distribution Date: |
Distribution Date | Notional | Distribution Date | Notional | ||
| June 2006 | 159,152,000 | January 2008 | 159,152,000 | ||
| July 2006 | 159,152,000 | February 2008 | 159,152,000 | ||
| August 2006 | 159,152,000 | March 2008 | 159,152,000 | ||
| September 2006 | 159,152,000 | April 2008 | 159,152,000 | ||
| October 2006 | 159,152,000 | May 2008 | 159,152,000 | ||
| November 2006 | 159,152,000 | June 2008 | 159,152,000 | ||
| December 2006 | 159,152,000 | July 2008 | 159,152,000 | ||
| January 2007 | 159,152,000 | August 2008 | 159,152,000 | ||
| February 2007 | 159,152,000 | September 2008 | 159,152,000 | ||
| March 2007 | 159,152,000 | October 2008 | 159,152,000 | ||
| April 2007 | 159,152,000 | November 2008 | 159,152,000 | ||
| May 2007 | 159,152,000 | December 2008 | 159,152,000 | ||
| June 2007 | 159,152,000 | January 2009 | 159,152,000 | ||
| July 2007 | 159,152,000 | February 2009 | 159,152,000 | ||
| August 2007 | 159,152,000 | March 2009 | 159,152,000 | ||
| September 2007 | 159,152,000 | April 2009 | 159,152,000 | ||
| October 2007 | 159,152,000 | May 2009 | 159,152,000 | ||
| November 2007 | 159,152,000 | June 2009 | 159,152,000 | ||
| December 2007 | 159,152,000 | July 2009 | 159,152,000 | ||
Derivatives | |
Class M Monthly Strike Rate and Ceiling Rate: | With respect to each Distribution Date and the cap contract relating to the Mezzanine Certificates, the Class M Monthly Strike Rate is the per annum rate set forth next to such Distribution Date in the applicable table below, in each case, subject to the related Class M Ceiling Rate: |
Distribution Date | Class M Monthly Strike Rate | Class M Ceiling Rate | Distribution Date | Class M Monthly Strike Rate | Class M Ceiling Rate | ||
| June 2006 | 6.939 | 11.083 | January 2008 | 7.023 | 10.843 | ||
| July 2006 | 7.192 | 10.843 | February 2008 | 7.047 | 10.843 | ||
| August 2006 | 6.939 | 10.843 | March 2008 | 8.962 | 10.843 | ||
| September 2006 | 6.940 | 10.843 | April 2008 | 8.965 | 10.843 | ||
| October 2006 | 7.198 | 10.843 | May 2008 | 9.261 | 10.843 | ||
| November 2006 | 6.945 | 10.843 | June 2008 | 8.914 | 10.843 | ||
| December 2006 | 7.198 | 10.843 | July 2008 | 9.239 | 10.843 | ||
| January 2007 | 6.945 | 10.843 | August 2008 | 8.921 | 10.843 | ||
| February 2007 | 6.946 | 10.843 | September 2008 | 9.334 | 10.843 | ||
| March 2007 | 7.762 | 10.843 | October 2008 | 9.873 | 10.843 | ||
| April 2007 | 6.952 | 10.843 | November 2008 | 9.526 | 10.843 | ||
| May 2007 | 7.206 | 10.843 | December 2008 | 9.858 | 10.843 | ||
| June 2007 | 6.953 | 10.843 | January 2009 | 9.532 | 10.843 | ||
| July 2007 | 7.207 | 10.843 | February 2009 | 9.540 | 10.843 | ||
| August 2007 | 6.954 | 10.843 | March 2009 | 11.160 | 10.843 | ||
| September 2007 | 6.955 | 10.843 | April 2009 | 10.543 | 10.843 | ||
| October 2007 | 7.213 | 10.843 | May 2009 | 10.913 | 10.843 | ||
| November 2007 | 6.960 | 10.843 | June 2009 | 10.535 | 10.843 | ||
| December 2007 | 7.215 | 10.843 | July 2009 | 10.923 | 10.843 | ||
Distributions of Net WAC Rate Carryover Amounts | |
Distribution of Net WAC Rate Carryover Amounts: | On each Distribution Date, to the extent required following the distribution of the Available Distribution Amount, the Trustee will withdraw from amounts in the reserve account to distribute to the holders of the Class A Certificates and Mezzanine Certificates any Net WAC Rate Carryover Amounts in the following order of priority, in each case to the extent of amounts remaining in the reserve account in the following order of priority: (A) concurrently, to the Class A Certificates, on a pro rata basis based on the outstanding balance of each such class immediately prior to the Distribution Date, but only to the extent of amounts paid under the Class A Cap Contract and only up to the related Net WAC Rate Carryover Amount; (B) concurrently, to the Mezzanine Certificates, on a pro rata basis based on the outstanding balance of each such class immediately prior to the Distribution Date, but only to the extent of amounts paid under the Class M Cap Contract and only up to the related Net WAC Rate Carryover Amount; (C) to the Class A Certificates, any related unpaid Net WAC Rate Carryover Amount (after taking into account distributions pursuant to (A) above), distributed on a pro rata basis based on the remaining undistributed Net WAC Rate Carryover Amount, but only to the extent of amounts remaining under the Class A Cap Contract; (D) to the Mezzanine Certificates, any related unpaid Net WAC Rate Carryover Amount (after taking into account distributions pursuant to (B) above), distributed on a pro rata basis based on the remaining undistributed Net WAC Rate Carryover Amount, but only to the extent of amounts remaining under the Class M Cap Contract; (E) to the Class A Certificates and Mezzanine Certificates from Net Monthly Excess Cash Flow, any related unpaid Net WAC Rate Carryover Amount (after taking into account distributions pursuant to (A) through (D) above), distributed in the following order of priority: (i) to the Class A Certificates, on a pro rata basis based first on the outstanding certificate principal balance immediately prior to the Distribution Date, and second on such remaining undistributed Net WAC Rate Carryover Amount, (ii) sequentially to the Mezzanine Certificates any such remaining undistributed Net WAC Rate Carryover Amount for each class. |
Definitions |
Available Distribution Amount: | For any Distribution Date an amount equal to the sum of the following amounts, net of amounts reimbursable therefrom and payable to the servicer and the trustee: (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due on the related Due Date and received on or prior to the related Determination Date, after deduction of the servicing fee and the trustee fee; (ii) unscheduled payments in respect of the Mortgage Loans, including prepayments, insurance proceeds, liquidation proceeds, Subsequent Recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the related Prepayment Period; (iii) all payments of Compensating Interest made by the servicer with respect to the Mortgage Loans; and (iv) all Advances with respect to the Mortgage Loans received for the Distribution Date. In addition, certificateholders will be entitled to amounts, if any, available under the cap contracts related to interest rate risk that could result from the difference between (a) One Month LIBOR plus the related margin and (b) the Net WAC Pass-Through Rate. |
Certificate Principal Balance: | With respect to any class of Class A Certificates and Mezzanine Certificates and any date of determination, an amount equal to its initial certificate principal balance, reduced by the aggregate of (a) all amounts allocable to principal previously distributed with respect to that class of certificates and (b) with respect to any Class A Certificate and Mezzanine Certificate, any reductions in its certificate principal balance in connection with the allocation of Realized Losses (taking into account any increases in the certificate principal balance thereof due to the receipt of Subsequent Recoveries). The Certificate Principal Balance of the Class CE Certificates as of any date of determination is equal to the excess, if any, of the then aggregate principal balance of the Mortgage Loans over the then aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates and the Class P Certificates. |
Class A Principal Distribution Amount: | The Class A Principal Distribution Amount is an amount equal to the excess of: · the aggregate Certificate Principal Balance of the Class A Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any of, the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. |
Class M-1 Principal Distribution Amount: | The Class M-1 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. |
Class M-2 Principal Distribution Amount: | The Class M-2 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggrengate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. |
Class M-3 Principal Distribution Amount: | The Class M-3 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. | |
Class M-4 Principal Distribution Amount: | The Class M-4 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date and (v) the Certificate Principal Balance of the Class M-4 Certificate immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. | |
Class M-5 Principal Distribution Amount: | The Class M-5 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date and (vi) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. | |
Class M-6 Principal Distribution Amount: | The Class M-6 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date and (vii) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. | |
Class M-7 Principal Distribution Amount: | The Class M-7 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date and (viii) the Certificate Principal Balance of the Class M-7 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. | |
Class M-8 Principal Distribution Amount: | The Class M-8 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date, (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date and (ix) the Certificate Principal Balance of the Class M-8 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. | |
Class M-9 Principal Distribution Amount: | The Class M-9 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date, (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date, (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date, (ix) the Certificate Principal Balance of the Class M-8 Certificates after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related Distribution Date and (x) the Certificate Principal Balance of the Class M-9 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. | |
Class M-10 Principal Distribution Amount: | The Class M-10 Principal Distribution Amount is an amount equal to the excess of: · the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificate after taking into account the distribution of the Class A Principal Distribution Amount on the related Distribution Date, (ii) the Certificate Principal Balance of the Class M-1 Certificates after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related Distribution Date, (iii) the Certificate Principal Balance of the Class M-2 Certificates after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related Distribution Date, (iv) the Certificate Principal Balance of the Class M-3 Certificates after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related Distribution Date, (v) the Certificate Principal Balance of the Class M-4 Certificates after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related Distribution Date, (vi) the Certificate Principal Balance of the Class M-5 Certificates after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related Distribution Date and (vii) the Certificate Principal Balance of the Class M-6 Certificates after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related Distribution Date (viii) the Certificate Principal Balance of the Class M-7 Certificates after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related Distribution Date, (ix) the Certificate Principal Balance of the Class M-8 Certificates after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related Distribution Date, (x) the Certificate Principal Balance of the Class M-9 Certificates after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related Distribution Date and (xi) the Certificate Principal Balance of the Class M-10 Certificates immediately prior to the related Distribution Date over · the lesser of (A) the product of (i) the applicable Subordination Percentage and (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period and (B) the excess if any, of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period over the Overcollateralization Floor Amount. | |
Determination Date: | The Determination Date with respect to any Distribution Date will be the 15th day of the calendar month in which such Distribution Date occurs or, if such 15th day is not a business day, the business day immediately preceding such 15th day. |
Expense Adjusted Mortgage Rate: | The Expense Adjusted Mortgage Rate for any Mortgage Loan and any Distribution Date will be a per annum rate equal to the then applicable mortgage rate for such Mortgage Loan as of the first day of the related Due Period minus the sum of the applicable Servicing Fee Rate and the Trustee Fee Rate. |
Formula Rate: | The Formula Rate for any class of Class A and Mezzanine Certificates is One-Month LIBOR plus the related margin. The related margin shall increase on any Distribution Date following the date on which the Optional Termination is in effect and not exercised by an amount equal to (i) 2.0 times the related margin for each Class A Certificate, and (ii) 1.5 times for any Mezzanine Certificate. |
Interest Carry Forward Amount: | The Interest Carry Forward Amount with respect to any class of Class A Certificates and Mezzanine Certificates and any Distribution Date is equal to the amount, if any, by which the Interest Distribution Amount for that class of certificates for the immediately preceding Distribution Date exceeded the actual amount distributed on the certificates in respect of interest on the immediately preceding Distribution Date, together with any Interest Carry Forward Amount with respect to that class of certificates remaining undistributed from the previous Distribution Date, plus interest accrued thereon at the related Pass-Through Rate on the certificates for the most recently ended Interest Accrual Period. |
Interest Distribution Amount: | The Interest Distribution Amount for the Class A Certificates and Mezzanine Certificates on any Distribution Date is equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of that class immediately prior to the Distribution Date at the Pass-Through Rate for that class, reduced (to not less than zero) by the allocable share, if any, for that class of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the servicer or excess interest and shortfalls resulting from the application of the Relief Act. |
Interest Remittance Amount: | The Interest Remittance Amount for any Distribution Date is that portion of the Available Distribution Amount for that Distribution Date that represents interest received or advanced on the Mortgage Loans. |
Net Monthly Excess Cash Flow: | The Net Monthly Excess Cash Flow for any Distribution Date is equal to the sum of (a) any Overcollateralization Reduction Amount and (b) the excess of: (i) the Available Distribution Amount for the related Distribution Date, over (ii) the sum for the related Distribution Date of (a) the Senior Interest Distribution Amount distributable to the holders of the Class A Certificates, (b) the Interest Distribution Amount distributable to the holders of the Mezzanine Certificates and (c) the Principal Remittance Amount. |
Net WAC Pass-Through Rate: | The Net WAC Pass-Through Rate for any Distribution Date and the Class A Certificates and Mezzanine Certificates is a rate per annum (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Mortgage Rates on the then outstanding Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period. |
Net WAC Rate Carryover Amount: | For any Distribution Date and any Class A Certificates or Mezzanine Certificates, an amount equal to the sum of (i) the excess of (x) the amount of interest such class would have accrued for such Distribution Date had the applicable Pass-Through Rate not been subject to the Net WAC Pass-Through Rate, over (y) the amount of interest such class of Certificates accrued for such Distribution Date at the Net WAC Pass-Through Rate, (ii) the undistributed portion of any such amounts from the prior Distribution Date and (iii) accrued interest on the amounts described in clause (ii) at the then applicable Pass-Through Rate, without giving effect to the Net WAC Pass-Through Rate. The ratings on each class of Certificates do not address the likelihood of the Distribution of any Net WAC Rate Carryover Amount. |
Pass-Through Rates: | With respect to each class of Class A Certificates and Mezzanine Certificates and any Distribution Date, the lesser of (i) the Formula Rate and (ii) the Net WAC Pass-Through Rate. |
Prepayment Interest Shortfalls: | With respect to any principal prepayments on the Mortgage Loans and any distribution date, any interest shortfall resulting from principal prepayments occurring between the first day of the related Prepayment Period and the last day of the prior calendar month |
Principal Distribution Amount: | The Principal Distribution Amount for any Distribution Date will be an amount, not less than zero, equal to the sum of (i) the principal portion of all scheduled monthly distributions on the Mortgage Loans due during the related Due Period, whether or not received on or prior to the related Determination Date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Mortgage Loan or, in the case of a substitution, certain amounts representing a principal adjustment, as required by the Pooling and Servicing Agreement during the related Prepayment Period; (iii) the principal portion of all other unscheduled collections, including insurance proceeds, liquidation proceeds and all full and partial principal prepayments, received during the related Prepayment Period net of reimbursements, including reimbursements to the Trustee and the Servicer, to the extent applied as recoveries of principal on the Mortgage Loans, and (iv) the amount of any Overcollateralization Increase Amount for such Distribution Date minus any Overcollateralization Reduction Amount. |
Principal Remittance Amount: | The Principal Remittance Amount for any Distribution Date is the sum of the amounts described in clauses (i) through (iii) of the definition of Principal Distribution Amount. |
Senior Interest Distribution Amount: | The Senior Interest Distribution Amount for any Distribution Date is equal to the sum of the Interest Distribution Amount for that Distribution Date for the Class A Certificates and the Interest Carry Forward Amount, if any, for that Distribution Date for the Class A Certificates. |
Subordination Percentage: | With respect to each class of Class A Certificates and Mezzanine Certificates, the applicable approximate percentage set forth in the table below. | |
Class | Percentage | ||
| A | 51.70 | ||
| M-1 | 59.50 | ||
| M-2 | 66.80 | ||
| M-3 | 71.10 | ||
| M-4 | 75.00 | ||
| M-5 | 78.80 | ||
| M-6 | 82.10 | ||
| M-7 | 85.30 | ||
| M-8 | 88.10 | ||
| M-9 | 90.10 | ||
| M-10 | 92.40 | ||
30 to 59 Days Delinquent | Any Mortgage Loan for which a payment due on any due date remains unpaid as of the close of business on the last day of the month of the next following monthly due date. The determination as to whether a loan falls into this category is made as of the close of business on the last business day of each month. Grace periods and partial payments do not affect these determinations. | |
The Mortgage Loans (Total Collateral)
Collateral Summary | ||||
| Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. | ||||
Scheduled Principal Balance: | $782,074,927.84 | |||
Number of Mortgage Loans: | 4,739 | |||
Average Scheduled Principal Balance: | $165,029.53 | |||
Weighted Average Gross Coupon: | 8.279% | |||
Weighted Average Original Credit Score³: | 613 | |||
Weighted Average Original LTV Ratio²: | 81.20% | |||
Weighted Average Combined LTV Ratio²: | 86.73% | |||
Weighted Average Stated Remaining Term (months): | 355 | |||
Weighted Average Original Term (months): | 357 | |||
Weighted Average Roll Term¹ (months): | 26 | |||
Weighted Average Gross Margin¹: | 5.926% | |||
Weighted Average Initial Rate Cap¹: | 2.943% | |||
Weighted Average Periodic Rate Cap¹: | 1.010% | |||
Interest Only Loans: | 14.14% | |||
Silent Seconds: | 28.71% | |||
(1) Includes adjustable-rate Mortgage Loans only. | ||||
(2) The original loan-to-value (“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The combined loan-to-value of a mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) either (x) for junior lien mortgage loans the outstanding balance of the senior lien mortgage loan at the date of origination of such mortgage loan, or (y) for first-lien mortgage loans the outstanding balance of any junior lien mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. | ||||
(3) Does not include loans with no credit score available. | ||||
The Mortgage Loans (Total Collateral)
Distribution by Product Type
Product Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 2/1 ARM | 2,570 | $431,746,987.75 | 55.21% | $167,994.94 | 606 | 80.80% | 8.328% |
| 2/1 ARM IO | 387 | 88,136,365.95 | 11.27 | 227,742.55 | 637 | 81.51 | 7.758 |
| 2/1 ARM Recast | 86 | 24,459,876.52 | 3.13 | 284,417.17 | 613 | 85.29 | 7.814 |
| 30/15 Fixed | 190 | 7,833,145.64 | 1.00 | 41,227.08 | 637 | 98.35 | 11.158 |
| 3/1 ARM | 402 | 65,381,046.52 | 8.36 | 162,639.42 | 614 | 80.53 | 8.337 |
| 3/1 ARM IO | 88 | 19,158,754.55 | 2.45 | 217,713.12 | 634 | 81.13 | 8.066 |
| 3/1 ARM Recast | 3 | 1,165,863.23 | 0.15 | 388,621.08 | 609 | 89.56 | 7.475 |
| 40/30 2/1 ARM | 142 | 30,302,024.76 | 3.87 | 213,394.54 | 610 | 81.54 | 8.257 |
| 40/30 3/1 ARM | 38 | 7,038,390.30 | 0.90 | 185,220.80 | 617 | 81.52 | 8.100 |
| 40/30 5/1 ARM | 1 | 167,285.31 | 0.02 | 167,285.31 | 610 | 90.00 | 8.800 |
| 40/30 Fixed | 3 | 332,123.21 | 0.04 | 110,707.74 | 637 | 84.53 | 8.549 |
| 5/1 ARM | 8 | 1,550,116.35 | 0.20 | 193,764.54 | 613 | 77.13 | 7.818 |
| 5/1 ARM Recast | 17 | 3,773,883.50 | 0.48 | 221,993.15 | 599 | 78.22 | 7.259 |
| 6M ARM | 15 | 3,799,972.11 | 0.49 | 253,331.47 | 641 | 78.99 | 6.282 |
| Fixed | 772 | 93,912,878.67 | 12.01 | 121,648.81 | 617 | 80.84 | 8.591 |
| Fixed IO | 17 | 3,316,213.47 | 0.42 | 195,071.38 | 659 | 78.99 | 8.205 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
Distribution by Current Gross Mortgage Rate
Current Gross Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 5.500—5.999 | 13 | $3,502,123.91 | 0.45% | $269,394.15 | 632 | 74.42% | 5.778% |
| 6.000—6.499 | 61 | 15,744,278.24 | 2.01 | 258,102.92 | 643 | 77.11 | 6.239 |
| 6.500—6.999 | 184 | 40,274,438.74 | 5.15 | 218,882.82 | 634 | 77.12 | 6.793 |
| 7.000—7.499 | 411 | 80,464,727.69 | 10.29 | 195,777.93 | 620 | 76.74 | 7.263 |
| 7.500—7.999 | 1,098 | 203,161,249.50 | 25.98 | 185,028.46 | 618 | 79.37 | 7.765 |
| 8.000—8.499 | 776 | 132,850,100.70 | 16.99 | 171,198.58 | 618 | 81.13 | 8.230 |
| 8.500—8.999 | 925 | 150,454,797.46 | 19.24 | 162,653.84 | 607 | 82.68 | 8.721 |
| 9.000—9.499 | 408 | 64,125,501.41 | 8.20 | 157,170.35 | 601 | 85.12 | 9.212 |
| 9.500—9.999 | 438 | 58,397,445.83 | 7.47 | 133,327.50 | 592 | 85.60 | 9.697 |
| 10.000—10.499 | 112 | 13,792,475.77 | 1.76 | 123,147.11 | 590 | 86.93 | 10.194 |
| 10.500—10.999 | 93 | 8,802,785.06 | 1.13 | 94,653.60 | 597 | 85.94 | 10.703 |
| 11.000—11.499 | 51 | 3,176,429.31 | 0.41 | 62,282.93 | 595 | 87.75 | 11.192 |
| 11.500—11.999 | 81 | 3,653,821.18 | 0.47 | 45,108.90 | 630 | 95.25 | 11.698 |
| 12.000—12.499 | 58 | 2,450,149.96 | 0.31 | 42,243.96 | 632 | 99.46 | 12.086 |
| 12.500—12.999 | 17 | 788,587.69 | 0.10 | 46,387.51 | 617 | 99.48 | 12.581 |
| 13.000—13.499 | 5 | 160,269.29 | 0.02 | 32,053.86 | 605 | 99.76 | 13.179 |
| 13.500—13.999 | 8 | 275,746.10 | 0.04 | 34,468.26 | 582 | 99.91 | 13.706 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
The Mortgage Loans (Total Collateral)
Distribution by Original Principal Balance
Original Mortgage Loan Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.01—25,000.00 | 69 | $1,485,918.34 | 0.19% | $21,535.05 | 622 | 98.84% | 10.908% |
| 25,000.01—50,000.00 | 177 | 6,265,642.99 | 0.80 | 35,399.11 | 631 | 99.19 | 11.422 |
| 50,000.01—75,000.00 | 259 | 17,938,671.32 | 2.29 | 69,261.28 | 611 | 82.23 | 9.207 |
| 75,000.01—100,000.00 | 723 | 63,962,284.37 | 8.18 | 88,467.89 | 609 | 80.47 | 8.641 |
| 100,000.01—125,000.00 | 760 | 85,319,865.50 | 10.91 | 112,262.98 | 610 | 80.20 | 8.471 |
| 125,000.01—150,000.00 | 628 | 85,901,527.56 | 10.98 | 136,785.87 | 608 | 80.62 | 8.414 |
| 150,000.01—175,000.00 | 491 | 79,466,001.06 | 10.16 | 161,845.22 | 613 | 81.34 | 8.265 |
| 175,000.01—200,000.00 | 413 | 77,792,051.23 | 9.95 | 188,358.48 | 612 | 80.43 | 8.191 |
| 200,000.01—225,000.00 | 261 | 55,341,867.86 | 7.08 | 212,037.81 | 616 | 81.66 | 8.131 |
| 225,000.01—250,000.00 | 221 | 52,310,310.62 | 6.69 | 236,698.24 | 613 | 80.23 | 8.203 |
| 250,000.01—275,000.00 | 166 | 43,336,448.19 | 5.54 | 261,062.94 | 619 | 82.11 | 8.089 |
| 275,000.01—300,000.00 | 127 | 36,465,782.94 | 4.66 | 287,132.15 | 613 | 81.23 | 8.107 |
| 300,000.01—325,000.00 | 81 | 25,211,797.21 | 3.22 | 311,256.76 | 620 | 80.73 | 7.992 |
| 325,000.01—350,000.00 | 71 | 23,963,401.22 | 3.06 | 337,512.69 | 613 | 82.20 | 8.220 |
| 350,000.01—375,000.00 | 75 | 27,015,137.32 | 3.45 | 360,201.83 | 615 | 81.05 | 8.125 |
| 375,000.01—400,000.00 | 59 | 22,839,704.26 | 2.92 | 387,113.63 | 609 | 82.88 | 8.143 |
| 400,000.01—425,000.00 | 25 | 10,335,872.45 | 1.32 | 413,434.90 | 608 | 81.96 | 7.843 |
| 425,000.01—450,000.00 | 33 | 14,433,260.88 | 1.85 | 437,371.54 | 611 | 80.87 | 7.872 |
| 450,000.01—500,000.00 | 47 | 22,482,569.01 | 2.87 | 478,352.53 | 624 | 80.88 | 7.789 |
| 500,000.01—600,000.00 | 40 | 21,688,661.73 | 2.77 | 542,216.54 | 634 | 80.66 | 7.646 |
| 600,000.01—700,000.00 | 11 | 7,068,666.91 | 0.90 | 642,606.08 | 632 | 83.16 | 7.705 |
| 700,000.01—800,000.00 | 2 | 1,449,484.87 | 0.19 | 724,742.44 | 647 | 90.08 | 7.250 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
The Mortgage Loans (Total Collateral)
Distribution by Current Unpaid Principal Balance
Current Unpaid Principal Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.01—25,000.00 | 69 | $1,485,918.34 | 0.19% | $21,535.05 | 622 | 98.84% | 10.908% |
| 25,000.01—50,000.00 | 177 | 6,265,642.99 | 0.80 | 35,399.11 | 631 | 99.19 | 11.422 |
| 50,000.01—75,000.00 | 263 | 18,238,390.16 | 2.33 | 69,347.49 | 611 | 82.31 | 9.198 |
| 75,000.01—100,000.00 | 720 | 63,762,549.72 | 8.15 | 88,559.10 | 609 | 80.44 | 8.639 |
| 100,000.01—125,000.00 | 768 | 86,343,772.77 | 11.04 | 112,426.79 | 610 | 80.24 | 8.468 |
| 125,000.01—150,000.00 | 624 | 85,526,557.86 | 10.94 | 137,061.79 | 608 | 80.62 | 8.414 |
| 150,000.01—175,000.00 | 491 | 79,591,351.63 | 10.18 | 162,100.51 | 613 | 81.34 | 8.266 |
| 175,000.01—200,000.00 | 412 | 77,716,481.66 | 9.94 | 188,632.24 | 611 | 80.44 | 8.186 |
| 200,000.01—225,000.00 | 263 | 55,891,603.11 | 7.15 | 212,515.60 | 616 | 81.65 | 8.134 |
| 225,000.01—250,000.00 | 216 | 51,210,431.68 | 6.55 | 237,085.33 | 613 | 80.10 | 8.200 |
| 250,000.01—275,000.00 | 166 | 43,362,484.75 | 5.54 | 261,219.79 | 619 | 82.17 | 8.096 |
| 275,000.01—300,000.00 | 127 | 36,490,979.68 | 4.67 | 287,330.55 | 612 | 81.31 | 8.115 |
| 300,000.01—325,000.00 | 80 | 24,912,004.84 | 3.19 | 311,400.06 | 620 | 80.62 | 7.984 |
| 325,000.01—350,000.00 | 72 | 24,312,756.44 | 3.11 | 337,677.17 | 613 | 82.17 | 8.211 |
| 350,000.01—375,000.00 | 76 | 27,414,534.13 | 3.51 | 360,717.55 | 616 | 81.04 | 8.133 |
| 375,000.01—400,000.00 | 58 | 22,489,788.27 | 2.88 | 387,754.97 | 606 | 82.99 | 8.123 |
| 400,000.01—425,000.00 | 24 | 9,937,036.41 | 1.27 | 414,043.18 | 611 | 81.90 | 7.878 |
| 425,000.01—450,000.00 | 33 | 14,433,260.88 | 1.85 | 437,371.54 | 611 | 80.87 | 7.872 |
| 450,000.01—500,000.00 | 47 | 22,482,569.01 | 2.87 | 478,352.53 | 624 | 80.88 | 7.789 |
| 500,000.01—600,000.00 | 40 | 21,688,661.73 | 2.77 | 542,216.54 | 634 | 80.66 | 7.646 |
| 600,000.01—700,000.00 | 11 | 7,068,666.91 | 0.90 | 642,606.08 | 632 | 83.16 | 7.705 |
| 700,000.01—800,000.00 | 2 | 1,449,484.87 | 0.19 | 724,742.44 | 647 | 90.08 | 7.250 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
Distribution by Remaining Term to Maturity
Remaining Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 161—170 | 1 | $19,253.35 | 0.00% | $19,253.35 | 602 | 99.89% | 9.250% |
| 171—180 | 224 | 10,869,471.19 | 1.39 | 48,524.42 | 630 | 91.14 | 10.387 |
| 221—230 | 1 | 25,008.35 | 0.00 | 25,008.35 | 630 | 100.00 | 10.990 |
| 231—240 | 32 | 2,028,729.33 | 0.26 | 63,397.79 | 617 | 79.94 | 9.352 |
| 341—350 | 2 | 85,453.15 | 0.01 | 42,726.58 | 633 | 100.00 | 9.946 |
| 351—360 | 4,479 | 769,047,012.47 | 98.33 | 171,700.61 | 613 | 81.06 | 8.246 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
The Mortgage Loans (Total Collateral)
Distribution by Original Term to Maturity
Original Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 180 | 225 | $10,888,724.54 | 1.39% | $48,394.33 | 630 | 91.16% | 10.384% |
| 240 | 33 | 2,053,737.68 | 0.26 | 62,234.48 | 617 | 80.18 | 9.372 |
| 359 | 1 | 243,510.09 | 0.03 | 243,510.09 | 602 | 75.00 | 7.550 |
| 360 | 4,480 | 768,888,955.53 | 98.31 | 171,627.00 | 613 | 81.06 | 8.247 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
Distribution by Combined Loan-to-Value Ratio
Combined Loan-To-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 15.01—20.00 | 1 | $82,328.56 | 0.01% | $82,328.56 | 575 | 16.07% | 7.875% |
| 20.01—25.00 | 5 | 541,768.79 | 0.07 | 108,353.76 | 580 | 23.57 | 7.804 |
| 25.01—30.00 | 5 | 525,952.25 | 0.07 | 105,190.45 | 599 | 26.69 | 8.049 |
| 30.01—35.00 | 10 | 1,193,698.89 | 0.15 | 119,369.89 | 602 | 33.24 | 7.264 |
| 35.01—40.00 | 16 | 2,132,184.57 | 0.27 | 133,261.54 | 589 | 37.86 | 8.046 |
| 40.01—45.00 | 26 | 3,905,068.92 | 0.50 | 150,194.96 | 576 | 42.47 | 8.060 |
| 45.01—50.00 | 47 | 7,434,490.03 | 0.95 | 158,180.64 | 566 | 47.65 | 8.135 |
| 50.01—55.00 | 49 | 7,927,807.46 | 1.01 | 161,791.99 | 584 | 52.64 | 8.134 |
| 55.01—60.00 | 95 | 15,527,796.70 | 1.99 | 163,450.49 | 579 | 58.05 | 7.956 |
| 60.01—65.00 | 113 | 18,143,621.85 | 2.32 | 160,563.03 | 594 | 63.06 | 7.866 |
| 65.01—70.00 | 203 | 35,816,787.14 | 4.58 | 176,437.38 | 585 | 68.53 | 7.996 |
| 70.01—75.00 | 255 | 47,699,949.88 | 6.10 | 187,058.63 | 596 | 73.80 | 7.962 |
| 75.01—80.00 | 616 | 109,993,706.73 | 14.06 | 178,561.21 | 606 | 79.15 | 8.068 |
| 80.01—85.00 | 413 | 77,545,198.83 | 9.92 | 187,760.77 | 604 | 84.14 | 8.342 |
| 85.01—90.00 | 669 | 121,932,760.53 | 15.59 | 182,261.23 | 612 | 89.20 | 8.479 |
| 90.01—95.00 | 650 | 110,786,117.10 | 14.17 | 170,440.18 | 620 | 93.04 | 8.687 |
| 95.01—100.00 | 1,566 | 220,885,689.61 | 28.24 | 141,050.89 | 634 | 81.41 | 8.242 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
The Mortgage Loans (Total Collateral)
Distribution by Original Loan-to-Value Ratio
Original Loan-to-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 15.01—20.00 | 1 | $82,328.56 | 0.01% | $82,328.56 | 575 | 16.07% | 7.875% |
| 20.01—25.00 | 5 | 541,768.79 | 0.07 | 108,353.76 | 580 | 23.57 | 7.804 |
| 25.01—30.00 | 5 | 525,952.25 | 0.07 | 105,190.45 | 599 | 26.69 | 8.049 |
| 30.01—35.00 | 10 | 1,193,698.89 | 0.15 | 119,369.89 | 602 | 33.24 | 7.264 |
| 35.01—40.00 | 16 | 2,132,184.57 | 0.27 | 133,261.54 | 589 | 37.86 | 8.046 |
| 40.01—45.00 | 26 | 3,905,068.92 | 0.50 | 150,194.96 | 576 | 42.47 | 8.060 |
| 45.01—50.00 | 47 | 7,434,490.03 | 0.95 | 158,180.64 | 566 | 47.65 | 8.135 |
| 50.01—55.00 | 50 | 7,995,807.46 | 1.02 | 159,916.15 | 584 | 52.65 | 8.128 |
| 55.01—60.00 | 97 | 15,776,346.93 | 2.02 | 162,642.75 | 579 | 58.04 | 7.946 |
| 60.01—65.00 | 113 | 18,143,621.85 | 2.32 | 160,563.03 | 594 | 63.06 | 7.866 |
| 65.01—70.00 | 205 | 36,231,677.23 | 4.63 | 176,739.89 | 585 | 68.59 | 7.999 |
| 70.01—75.00 | 271 | 50,031,984.56 | 6.40 | 184,619.87 | 597 | 73.80 | 7.970 |
| 75.01—80.00 | 1,901 | 325,744,518.14 | 41.65 | 171,354.30 | 625 | 79.70 | 8.033 |
| 80.01—85.00 | 422 | 78,536,729.97 | 10.04 | 186,106.00 | 603 | 84.29 | 8.382 |
| 85.01—90.00 | 664 | 120,532,815.92 | 15.41 | 181,525.33 | 612 | 89.50 | 8.495 |
| 90.01—95.00 | 581 | 97,555,073.49 | 12.47 | 167,908.90 | 618 | 94.72 | 8.773 |
| 95.01—100.00 | 325 | 15,710,860.28 | 2.01 | 48,341.11 | 636 | 99.80 | 10.927 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
The Mortgage Loans (Total Collateral)
Distribution by State
State | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| CA | 361 | $108,175,236.87 | 13.83% | $299,654.40 | 618 | 78.78% | 7.735% |
| FL | 581 | 106,185,148.82 | 13.58 | 182,762.73 | 613 | 79.84 | 8.232 |
| MI | 338 | 43,716,561.85 | 5.59 | 129,338.94 | 610 | 82.22 | 8.583 |
| TX | 365 | 42,845,107.94 | 5.48 | 117,383.86 | 618 | 82.52 | 8.545 |
| AZ | 242 | 41,504,013.30 | 5.31 | 171,504.19 | 615 | 79.27 | 8.146 |
| IL | 220 | 39,496,553.42 | 5.05 | 179,529.79 | 616 | 82.22 | 8.444 |
| MD | 177 | 37,658,613.60 | 4.82 | 212,760.53 | 603 | 77.99 | 7.920 |
| GA | 227 | 32,318,184.21 | 4.13 | 142,370.86 | 613 | 83.69 | 8.631 |
| VA | 125 | 22,733,625.44 | 2.91 | 181,869.00 | 605 | 80.32 | 8.202 |
| WI | 158 | 20,672,022.23 | 2.64 | 130,835.58 | 612 | 83.36 | 8.759 |
| Other | 1,945 | 286,769,860.16 | 36.67 | 147,439.52 | 613 | 82.45 | 8.392 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
Distribution by Occupancy Type
Occupancy | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Owner Occupied | 4,555 | $755,816,710.89 | 96.64% | $165,931.22 | 613 | 81.35% | 8.269% |
| Non-Owner Occupied | 184 | 26,258,216.95 | 3.36 | 142,707.70 | 632 | 76.79 | 8.561 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
Distribution by Property Type
Property Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Single Family | 3,799 | $614,993,469.62 | 78.64% | $161,882.99 | 613 | 81.14% | 8.297% |
| Pud-Detached | 507 | 95,694,775.35 | 12.24 | 188,747.09 | 613 | 81.30 | 8.161 |
| Condo 1-5 | 232 | 37,790,023.58 | 4.83 | 162,888.03 | 625 | 81.59 | 8.090 |
| Pud-Attached | 103 | 17,496,752.25 | 2.24 | 169,871.38 | 617 | 81.53 | 8.539 |
| Town/Rowhouse | 67 | 9,847,820.47 | 1.26 | 146,982.40 | 609 | 80.80 | 8.331 |
| SFD-SiteCondo | 16 | 2,681,557.06 | 0.34 | 167,597.32 | 645 | 84.17 | 8.407 |
| Condo >8 | 7 | 2,275,215.50 | 0.29 | 325,030.79 | 617 | 82.20 | 8.919 |
| Leasehold | 3 | 648,914.69 | 0.08 | 216,304.90 | 611 | 76.10 | 8.645 |
| Condo 5-8 | 2 | 351,505.00 | 0.04 | 175,752.50 | 633 | 92.40 | 9.165 |
| Modular Home | 3 | 294,894.32 | 0.04 | 98,298.11 | 597 | 69.18 | 9.230 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
The Mortgage Loans (Total Collateral)
Distribution by Loan Purpose
Loan Purpose | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Equity Refinance | 2,311 | $415,118,111.41 | 53.08% | $179,627.05 | 604 | 79.68% | 8.219% |
| Purchase | 1,927 | 290,460,662.12 | 37.14 | 150,732.05 | 627 | 83.32 | 8.383 |
| Rate/Term | 489 | 74,801,250.43 | 9.56 | 152,967.79 | 614 | 81.44 | 8.223 |
| Construction Permanent | 12 | 1,694,903.88 | 0.22 | 141,241.99 | 596 | 78.17 | 7.691 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
Distribution by Documentation Type
Documentation Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Full Doc | 2,718 | $413,115,248.52 | 52.82% | $151,992.37 | 601 | 81.65% | 8.187% |
| Stated Doc | 1,792 | 324,598,484.57 | 41.50 | 181,137.55 | 629 | 80.58 | 8.437 |
| Fast App | 187 | 37,902,626.09 | 4.85 | 202,687.84 | 613 | 81.33 | 7.943 |
| Lite Doc | 40 | 6,148,333.56 | 0.79 | 153,708.34 | 607 | 82.66 | 8.241 |
| No Doc | 2 | 310,235.10 | 0.04 | 155,117.55 | 653 | 80.00 | 8.538 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
Distribution by Credit Score
Credit Score Range | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| <= 499 | 7 | $864,409.51 | 0.11% | $123,487.07 | 493 | 58.74% | 10.682% |
| 500—519 | 62 | 9,037,562.13 | 1.16 | 145,767.13 | 510 | 65.82 | 9.067 |
| 520—539 | 138 | 22,067,237.60 | 2.82 | 159,907.52 | 530 | 70.95 | 8.875 |
| 540—559 | 265 | 42,209,842.92 | 5.40 | 159,282.43 | 549 | 75.27 | 8.553 |
| 560—579 | 416 | 68,814,793.89 | 8.80 | 165,420.18 | 570 | 79.67 | 8.554 |
| 580—599 | 829 | 134,652,527.58 | 17.22 | 162,427.66 | 589 | 82.06 | 8.372 |
| 600—619 | 1,012 | 164,187,170.87 | 20.99 | 162,240.29 | 609 | 82.04 | 8.299 |
| 620—639 | 708 | 122,085,386.76 | 15.61 | 172,436.99 | 629 | 82.53 | 8.161 |
| 640—659 | 658 | 109,821,703.33 | 14.04 | 166,902.28 | 649 | 82.69 | 8.126 |
| 660—679 | 419 | 69,870,362.11 | 8.93 | 166,755.04 | 669 | 82.59 | 7.966 |
| 680—699 | 219 | 36,934,492.27 | 4.72 | 168,650.65 | 689 | 82.49 | 7.882 |
| 700—719 | 6 | 1,529,438.87 | 0.20 | 254,906.48 | 700 | 90.06 | 7.813 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
The Mortgage Loans (Total Collateral)
Distribution by Original Prepayment Penalty Term
Prepayment Penalty Terms (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0 | 1,497 | $231,974,043.47 | 29.66% | $154,959.28 | 613 | 81.46% | 8.632% |
| 6 | 6 | 1,105,882.71 | 0.14 | 184,313.79 | 645 | 79.90 | 8.579 |
| 12 | 247 | 50,424,235.59 | 6.45 | 204,146.70 | 614 | 81.33 | 8.336 |
| 24 | 2,122 | 367,271,389.89 | 46.96 | 173,077.94 | 612 | 81.07 | 8.098 |
| 30 | 1 | 151,746.97 | 0.02 | 151,746.97 | 633 | 80.00 | 8.960 |
| 36 | 863 | 130,684,410.12 | 16.71 | 151,430.37 | 616 | 81.12 | 8.138 |
| 60 | 3 | 463,219.09 | 0.06 | 154,406.36 | 598 | 63.60 | 7.997 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
Distribution by Lien Type
Lien Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| First Lien | 4,411 | $768,137,910.76 | 98.22% | $174,141.44 | 613 | 80.87% | 8.226% |
| Second Lien | 328 | 13,937,017.08 | 1.78 | 42,490.91 | 636 | 99.32 | 11.218 |
Total: | 4,739 | $782,074,927.84 | 100.00% | $165,029.53 | 613 | 81.20% | 8.279% |
The Mortgage Loans (Adjustable Rate Collateral)
Collateral Summary | ||||
| Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. | ||||
Scheduled Principal Balance: | $676,680,566.85 | |||
Number of Mortgage Loans: | 3,757 | |||
Average Scheduled Principal Balance: | $180,111.94 | |||
Weighted Average Gross Coupon: | 8.203% | |||
Weighted Average Original Credit Score³: | 612 | |||
Weighted Average Original LTV Ratio²: | 81.06% | |||
Weighted Average Combined LTV Ratio²: | 87.07% | |||
Weighted Average Stated Remaining Term (months): | 357 | |||
Weighted Average Original Term (months): | 360 | |||
Weighted Average Roll Term¹ (months): | 26 | |||
Weighted Average Gross Margin¹: | 5.926% | |||
Weighted Average Initial Rate Cap¹: | 2.943% | |||
Weighted Average Periodic Rate Cap¹: | 1.010% | |||
Weighted Average Gross Maximum Lifetime Rate¹: | 14.474% | |||
Weighted Average Gross Minimum Lifetime Rate¹: | 7.392% | |||
Interest Only Loans: | 15.86% | |||
Silent Seconds: | 31.17% | |||
(1) Includes adjustable-rate Mortgage Loans only. | ||||
(2) The original loan-to-value (“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The combined loan-to-value of a mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) either (x) for junior lien mortgage loans the outstanding balance of the senior lien mortgage loan at the date of origination of such mortgage loan, or (y) for first-lien mortgage loans the outstanding balance of any junior lien mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. | ||||
(3) Does not include loans with no credit score available. | ||||
The Mortgage Loans (Adjustable Rate Collateral)
Distribution by Product Type
Product Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 2/1 ARM | 2,570 | $431,746,987.75 | 63.80% | $167,994.94 | 606 | 80.80% | 8.328% |
| 2/1 ARM IO | 387 | 88,136,365.95 | 13.02 | 227,742.55 | 637 | 81.51 | 7.758 |
| 2/1 ARM Recast | 86 | 24,459,876.52 | 3.61 | 284,417.17 | 613 | 85.29 | 7.814 |
| 3/1 ARM | 402 | 65,381,046.52 | 9.66 | 162,639.42 | 614 | 80.53 | 8.337 |
| 3/1 ARM IO | 88 | 19,158,754.55 | 2.83 | 217,713.12 | 634 | 81.13 | 8.066 |
| 3/1 ARM Recast | 3 | 1,165,863.23 | 0.17 | 388,621.08 | 609 | 89.56 | 7.475 |
| 40/30 2/1 ARM | 142 | 30,302,024.76 | 4.48 | 213,394.54 | 610 | 81.54 | 8.257 |
| 40/30 3/1 ARM | 38 | 7,038,390.30 | 1.04 | 185,220.80 | 617 | 81.52 | 8.100 |
| 40/30 5/1 ARM | 1 | 167,285.31 | 0.02 | 167,285.31 | 610 | 90.00 | 8.800 |
| 5/1 ARM | 8 | 1,550,116.35 | 0.23 | 193,764.54 | 613 | 77.13 | 7.818 |
| 5/1 ARM Recast | 17 | 3,773,883.50 | 0.56 | 221,993.15 | 599 | 78.22 | 7.259 |
| 6M ARM | 15 | 3,799,972.11 | 0.56 | 253,331.47 | 641 | 78.99 | 6.282 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Current Gross Mortgage Rate
Current Gross Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 5.500—5.999 | 12 | $3,351,408.59 | 0.50% | $279,284.05 | 636 | 76.27% | 5.779% |
| 6.000—6.499 | 55 | 14,182,667.04 | 2.10 | 257,866.67 | 641 | 77.43 | 6.232 |
| 6.500—6.999 | 152 | 34,381,498.34 | 5.08 | 226,194.07 | 632 | 77.12 | 6.795 |
| 7.000—7.499 | 362 | 72,407,844.34 | 10.70 | 200,021.67 | 619 | 76.93 | 7.258 |
| 7.500—7.999 | 981 | 185,318,070.92 | 27.39 | 188,907.31 | 617 | 79.63 | 7.766 |
| 8.000—8.499 | 671 | 118,921,234.58 | 17.57 | 177,229.86 | 617 | 81.43 | 8.230 |
| 8.500—8.999 | 762 | 129,573,973.52 | 19.15 | 170,044.58 | 606 | 83.00 | 8.724 |
| 9.000—9.499 | 327 | 54,761,747.11 | 8.09 | 167,467.12 | 600 | 85.46 | 9.216 |
| 9.500—9.999 | 313 | 46,957,114.10 | 6.94 | 150,022.73 | 591 | 85.32 | 9.688 |
| 10.000—10.499 | 63 | 9,586,010.78 | 1.42 | 152,158.90 | 582 | 84.24 | 10.189 |
| 10.500—10.999 | 46 | 5,683,286.47 | 0.84 | 123,549.71 | 591 | 83.38 | 10.678 |
| 11.000—11.499 | 10 | 1,163,368.88 | 0.17 | 116,336.89 | 551 | 74.91 | 11.198 |
| 11.500—11.999 | 3 | 392,342.18 | 0.06 | 130,780.73 | 587 | 69.67 | 11.851 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Adjustable Rate Collateral)
Distribution by Original Principal Balance
Original Mortgage Loan Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 50,000.01—75,000.00 | 163 | $11,624,436.84 | 1.72% | $71,315.56 | 603 | 78.45% | 8.749% |
| 75,000.01—100,000.00 | 525 | 46,731,525.94 | 6.91 | 89,012.43 | 605 | 79.92 | 8.528 |
| 100,000.01—125,000.00 | 609 | 68,641,628.50 | 10.14 | 112,712.03 | 607 | 80.36 | 8.414 |
| 125,000.01—150,000.00 | 537 | 73,477,721.55 | 10.86 | 136,830.02 | 607 | 80.44 | 8.364 |
| 150,000.01—175,000.00 | 439 | 71,084,030.99 | 10.50 | 161,922.62 | 612 | 81.52 | 8.262 |
| 175,000.01—200,000.00 | 360 | 67,814,876.41 | 10.02 | 188,374.66 | 611 | 80.93 | 8.202 |
| 200,000.01—225,000.00 | 233 | 49,448,372.19 | 7.31 | 212,224.77 | 615 | 81.56 | 8.122 |
| 225,000.01—250,000.00 | 204 | 48,313,063.29 | 7.14 | 236,828.74 | 613 | 80.54 | 8.214 |
| 250,000.01—275,000.00 | 156 | 40,719,454.75 | 6.02 | 261,022.15 | 617 | 82.24 | 8.120 |
| 275,000.01—300,000.00 | 117 | 33,605,796.82 | 4.97 | 287,229.03 | 612 | 81.40 | 8.144 |
| 300,000.01—325,000.00 | 75 | 23,349,565.44 | 3.45 | 311,327.54 | 619 | 80.37 | 8.004 |
| 325,000.01—350,000.00 | 61 | 20,548,761.08 | 3.04 | 336,864.94 | 612 | 82.54 | 8.186 |
| 350,000.01—375,000.00 | 73 | 26,309,974.90 | 3.89 | 360,410.62 | 615 | 81.33 | 8.137 |
| 375,000.01—400,000.00 | 54 | 20,890,547.82 | 3.09 | 386,862.00 | 610 | 82.78 | 8.153 |
| 400,000.01—425,000.00 | 24 | 9,919,812.34 | 1.47 | 413,325.51 | 608 | 82.84 | 7.863 |
| 425,000.01—450,000.00 | 32 | 13,993,260.88 | 2.07 | 437,289.40 | 609 | 80.90 | 7.809 |
| 450,000.01—500,000.00 | 44 | 21,055,773.15 | 3.11 | 478,540.30 | 625 | 81.03 | 7.738 |
| 500,000.01—600,000.00 | 38 | 20,633,812.18 | 3.05 | 542,995.06 | 633 | 80.78 | 7.626 |
| 600,000.01—700,000.00 | 11 | 7,068,666.91 | 1.04 | 642,606.08 | 632 | 83.16 | 7.705 |
| 700,000.01—800,000.00 | 2 | 1,449,484.87 | 0.21 | 724,742.44 | 647 | 90.08 | 7.250 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Adjustable Rate Collateral)
Distribution by Current Unpaid Principal Balance
Current Unpaid Principal Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 50,000.01—75,000.00 | 166 | $11,849,263.88 | 1.75% | $71,381.11 | 603 | 78.58% | 8.744% |
| 75,000.01—100,000.00 | 523 | 46,606,683.09 | 6.89 | 89,114.12 | 605 | 79.91 | 8.525 |
| 100,000.01—125,000.00 | 614 | 69,290,786.66 | 10.24 | 112,851.44 | 607 | 80.34 | 8.412 |
| 125,000.01—150,000.00 | 535 | 73,327,617.52 | 10.84 | 137,060.97 | 607 | 80.50 | 8.364 |
| 150,000.01—175,000.00 | 440 | 71,359,265.00 | 10.55 | 162,180.15 | 613 | 81.52 | 8.263 |
| 175,000.01—200,000.00 | 359 | 67,739,306.84 | 10.01 | 188,688.88 | 611 | 80.93 | 8.197 |
| 200,000.01—225,000.00 | 234 | 49,773,332.67 | 7.36 | 212,706.55 | 615 | 81.54 | 8.127 |
| 225,000.01—250,000.00 | 199 | 47,189,400.05 | 6.97 | 237,132.66 | 612 | 80.48 | 8.219 |
| 250,000.01—275,000.00 | 157 | 40,994,050.38 | 6.06 | 261,108.60 | 617 | 82.23 | 8.117 |
| 275,000.01—300,000.00 | 117 | 33,630,993.56 | 4.97 | 287,444.39 | 611 | 81.49 | 8.154 |
| 300,000.01—325,000.00 | 74 | 23,049,773.07 | 3.41 | 311,483.42 | 620 | 80.24 | 7.995 |
| 325,000.01—350,000.00 | 62 | 20,898,116.30 | 3.09 | 337,066.39 | 612 | 82.50 | 8.175 |
| 350,000.01—375,000.00 | 74 | 26,709,371.71 | 3.95 | 360,937.46 | 616 | 81.31 | 8.144 |
| 375,000.01—400,000.00 | 53 | 20,540,631.83 | 3.04 | 387,559.09 | 607 | 82.89 | 8.132 |
| 400,000.01—425,000.00 | 23 | 9,520,976.30 | 1.41 | 413,955.49 | 610 | 82.81 | 7.900 |
| 425,000.01—450,000.00 | 32 | 13,993,260.88 | 2.07 | 437,289.40 | 609 | 80.90 | 7.809 |
| 450,000.01—500,000.00 | 44 | 21,055,773.15 | 3.11 | 478,540.30 | 625 | 81.03 | 7.738 |
| 500,000.01—600,000.00 | 38 | 20,633,812.18 | 3.05 | 542,995.06 | 633 | 80.78 | 7.626 |
| 600,000.01—700,000.00 | 11 | 7,068,666.91 | 1.04 | 642,606.08 | 632 | 83.16 | 7.705 |
| 700,000.01—800,000.00 | 2 | 1,449,484.87 | 0.21 | 724,742.44 | 647 | 90.08 | 7.250 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Remaining Term to Maturity
Remaining Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 351—360 | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Original Term to Maturity
Original Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 359 | 1 | $243,510.09 | 0.04% | $243,510.09 | 602 | 75.00% | 7.550% |
| 360 | 3,756 | 676,437,056.76 | 99.96 | 180,095.06 | 612 | 81.06 | 8.203 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Adjustable Rate Collateral)
Distribution by Combined Loan-to-Value Ratio
Combined Loan-To-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 20.01—25.00 | 3 | $359,243.21 | 0.05% | $119,747.74 | 567 | 23.63% | 7.893% |
| 25.01—30.00 | 5 | 525,952.25 | 0.08 | 105,190.45 | 599 | 26.69 | 8.049 |
| 30.01—35.00 | 6 | 755,669.55 | 0.11 | 125,944.93 | 607 | 33.27 | 7.260 |
| 35.01—40.00 | 10 | 1,449,268.91 | 0.21 | 144,926.89 | 590 | 38.38 | 7.996 |
| 40.01—45.00 | 20 | 2,975,520.97 | 0.44 | 148,776.05 | 571 | 42.44 | 8.099 |
| 45.01—50.00 | 34 | 5,929,809.36 | 0.88 | 174,406.16 | 568 | 47.70 | 7.946 |
| 50.01—55.00 | 33 | 5,752,882.24 | 0.85 | 174,329.76 | 578 | 52.85 | 8.004 |
| 55.01—60.00 | 80 | 13,757,983.04 | 2.03 | 171,974.79 | 576 | 58.11 | 7.928 |
| 60.01—65.00 | 83 | 13,137,520.74 | 1.94 | 158,283.38 | 590 | 63.11 | 7.847 |
| 65.01—70.00 | 175 | 31,763,622.64 | 4.69 | 181,506.42 | 583 | 68.61 | 7.978 |
| 70.01—75.00 | 210 | 41,119,189.22 | 6.08 | 195,805.66 | 594 | 73.86 | 7.953 |
| 75.01—80.00 | 500 | 93,653,449.55 | 13.84 | 187,306.90 | 605 | 79.17 | 8.040 |
| 80.01—85.00 | 341 | 66,962,405.20 | 9.90 | 196,370.69 | 601 | 84.18 | 8.320 |
| 85.01—90.00 | 566 | 107,870,896.55 | 15.94 | 190,584.62 | 611 | 89.21 | 8.453 |
| 90.01—95.00 | 534 | 97,522,161.01 | 14.41 | 182,625.77 | 619 | 92.96 | 8.659 |
| 95.01—100.00 | 1,157 | 193,144,992.41 | 28.54 | 166,936.03 | 633 | 80.00 | 8.027 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Original Loan-to-Value Ratio
Original Loan-to-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 20.01—25.00 | 3 | $359,243.21 | 0.05% | $119,747.74 | 567 | 23.63% | 7.893% |
| 25.01—30.00 | 5 | 525,952.25 | 0.08 | 105,190.45 | 599 | 26.69 | 8.049 |
| 30.01—35.00 | 6 | 755,669.55 | 0.11 | 125,944.93 | 607 | 33.27 | 7.260 |
| 35.01—40.00 | 10 | 1,449,268.91 | 0.21 | 144,926.89 | 590 | 38.38 | 7.996 |
| 40.01—45.00 | 20 | 2,975,520.97 | 0.44 | 148,776.05 | 571 | 42.44 | 8.099 |
| 45.01—50.00 | 34 | 5,929,809.36 | 0.88 | 174,406.16 | 568 | 47.70 | 7.946 |
| 50.01—55.00 | 34 | 5,820,882.24 | 0.86 | 171,202.42 | 578 | 52.86 | 7.996 |
| 55.01—60.00 | 82 | 14,006,533.27 | 2.07 | 170,811.38 | 577 | 58.09 | 7.918 |
| 60.01—65.00 | 83 | 13,137,520.74 | 1.94 | 158,283.38 | 590 | 63.11 | 7.847 |
| 65.01—70.00 | 176 | 32,026,957.31 | 4.73 | 181,971.35 | 583 | 68.68 | 7.978 |
| 70.01—75.00 | 226 | 43,451,223.90 | 6.42 | 192,262.05 | 595 | 73.86 | 7.963 |
| 75.01—80.00 | 1,693 | 296,216,501.00 | 43.77 | 174,965.45 | 624 | 79.72 | 8.017 |
| 80.01—85.00 | 351 | 68,335,849.19 | 10.10 | 194,689.03 | 601 | 84.30 | 8.360 |
| 85.01—90.00 | 562 | 106,672,144.81 | 15.76 | 189,808.09 | 611 | 89.53 | 8.470 |
| 90.01—95.00 | 472 | 85,017,490.14 | 12.56 | 180,121.80 | 617 | 94.76 | 8.748 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Adjustable Rate Collateral)
Distribution by State
State | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| CA | 307 | $97,937,078.97 | 14.47% | $319,013.29 | 617 | 78.72% | 7.675% |
| FL | 475 | 92,793,754.27 | 13.71 | 195,355.27 | 613 | 80.56 | 8.189 |
| MI | 287 | 38,786,996.37 | 5.73 | 135,146.33 | 608 | 82.08 | 8.536 |
| IL | 201 | 37,542,900.14 | 5.55 | 186,780.60 | 616 | 81.99 | 8.360 |
| AZ | 198 | 37,152,884.04 | 5.49 | 187,640.83 | 614 | 79.45 | 8.050 |
| MD | 155 | 33,703,006.18 | 4.98 | 217,438.75 | 603 | 78.09 | 7.880 |
| TX | 244 | 33,123,264.32 | 4.89 | 135,751.08 | 617 | 82.02 | 8.476 |
| GA | 186 | 28,495,422.66 | 4.21 | 153,201.20 | 611 | 83.26 | 8.535 |
| VA | 105 | 20,221,093.57 | 2.99 | 192,581.84 | 604 | 80.94 | 8.187 |
| WI | 133 | 18,058,607.91 | 2.67 | 135,779.01 | 612 | 83.23 | 8.726 |
| Other | 1,466 | 238,865,558.42 | 35.30 | 162,936.94 | 612 | 82.02 | 8.299 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Occupancy Type
Occupancy | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Owner Occupied | 3,604 | $653,689,553.17 | 96.60% | $181,378.90 | 612 | 81.21% | 8.191% |
| Non-Owner Occupied | 153 | 22,991,013.68 | 3.40 | 150,268.06 | 631 | 76.84 | 8.532 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Property Type
Property Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Single Family | 2,983 | $526,208,153.43 | 77.76% | $176,402.33 | 611 | 81.01% | 8.225% |
| Pud-Detached | 395 | 84,285,834.74 | 12.46 | 213,381.86 | 612 | 80.76 | 8.039 |
| Condo 1-5 | 204 | 35,799,826.04 | 5.29 | 175,489.34 | 626 | 81.85 | 8.023 |
| Pud-Attached | 91 | 15,734,448.66 | 2.33 | 172,906.03 | 616 | 81.72 | 8.557 |
| Town/Rowhouse | 57 | 9,021,950.03 | 1.33 | 158,279.83 | 614 | 81.94 | 8.191 |
| Condo >8 | 7 | 2,275,215.50 | 0.34 | 325,030.79 | 617 | 82.20 | 8.919 |
| SFD-SiteCondo | 13 | 2,142,001.82 | 0.32 | 164,769.37 | 644 | 83.41 | 8.533 |
| Leasehold | 3 | 648,914.69 | 0.10 | 216,304.90 | 611 | 76.10 | 8.645 |
| Condo 5-8 | 2 | 351,505.00 | 0.05 | 175,752.50 | 633 | 92.40 | 9.165 |
| Modular Home | 2 | 212,716.94 | 0.03 | 106,358.47 | 566 | 66.93 | 9.415 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Adjustable Rate Collateral)
Distribution by Loan Purpose
Loan Purpose | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Equity Refinance | 1,865 | $355,518,909.89 | 52.54% | $190,626.76 | 602 | 79.86% | 8.178% |
| Purchase | 1,554 | 264,080,404.52 | 39.03 | 169,935.91 | 627 | 82.61 | 8.256 |
| Rate/Term | 328 | 55,673,730.82 | 8.23 | 169,736.98 | 612 | 81.46 | 8.126 |
| Construction Permanent | 10 | 1,407,521.62 | 0.21 | 140,752.16 | 591 | 77.97 | 7.589 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Documentation Type
Documentation Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Full Doc | 2,124 | $351,990,609.04 | 52.02% | $165,720.63 | 600 | 81.49% | 8.102% |
| Stated Doc | 1,454 | 285,430,001.62 | 42.18 | 196,306.74 | 628 | 80.49 | 8.367 |
| Fast App | 144 | 33,351,145.91 | 4.93 | 231,605.18 | 610 | 81.05 | 7.869 |
| Lite Doc | 33 | 5,598,575.18 | 0.83 | 169,653.79 | 606 | 83.09 | 8.132 |
| No Doc | 2 | 310,235.10 | 0.05 | 155,117.55 | 653 | 80.00 | 8.538 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Credit Score
Credit Score Range | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| <= 499 | 4 | $512,847.97 | 0.08% | $128,211.99 | 496 | 60.66% | 10.533% |
| 500—519 | 53 | 7,963,672.29 | 1.18 | 150,257.97 | 510 | 66.00 | 9.002 |
| 520—539 | 118 | 19,593,578.89 | 2.90 | 166,047.28 | 530 | 71.03 | 8.778 |
| 540—559 | 226 | 36,922,100.83 | 5.46 | 163,372.13 | 550 | 75.41 | 8.550 |
| 560—579 | 366 | 61,422,777.83 | 9.08 | 167,821.80 | 569 | 80.24 | 8.528 |
| 580—599 | 666 | 119,530,624.50 | 17.66 | 179,475.41 | 590 | 81.91 | 8.274 |
| 600—619 | 822 | 144,837,845.70 | 21.40 | 176,201.76 | 609 | 82.09 | 8.223 |
| 620—639 | 555 | 103,584,477.27 | 15.31 | 186,638.70 | 629 | 82.38 | 8.097 |
| 640—659 | 504 | 95,448,252.44 | 14.11 | 189,381.45 | 648 | 82.05 | 7.996 |
| 660—679 | 295 | 56,897,751.92 | 8.41 | 192,873.74 | 669 | 82.27 | 7.850 |
| 680—699 | 142 | 28,437,198.34 | 4.20 | 200,261.96 | 689 | 81.77 | 7.791 |
| 700—719 | 6 | 1,529,438.87 | 0.23 | 254,906.48 | 700 | 90.06 | 7.813 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Adjustable Rate Collateral)
Distribution by Original Prepayment Penalty Term
Prepayment Penalty Terms (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0 | 1,090 | $195,343,634.08 | 28.87% | $179,214.34 | 612 | 81.09% | 8.511% |
| 6 | 4 | 909,348.38 | 0.13 | 227,337.10 | 645 | 78.39 | 8.435 |
| 12 | 229 | 48,591,666.32 | 7.18 | 212,190.68 | 613 | 81.16 | 8.284 |
| 24 | 2,003 | 358,470,327.77 | 52.97 | 178,966.71 | 612 | 80.90 | 8.057 |
| 36 | 430 | 73,210,986.54 | 10.82 | 170,258.11 | 614 | 81.73 | 8.036 |
| 60 | 1 | 154,603.76 | 0.02 | 154,603.76 | 565 | 73.46 | 8.290 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Initial Interest Rate Cap
Initial Cap (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.650 | 1 | $126,024.25 | 0.02% | $126,024.25 | 566 | 95.00% | 9.350% |
| 1.000 | 15 | 3,799,972.11 | 0.56 | 253,331.47 | 641 | 78.99 | 6.282 |
| 1.500 | 18 | 4,566,071.60 | 0.67 | 253,670.64 | 616 | 73.83 | 7.965 |
| 2.000 | 112 | 24,439,445.26 | 3.61 | 218,209.33 | 629 | 82.96 | 7.859 |
| 2.560 | 1 | 209,381.43 | 0.03 | 209,381.43 | 647 | 80.00 | 6.440 |
| 2.875 | 1 | 329,900.00 | 0.05 | 329,900.00 | 586 | 59.98 | 9.125 |
| 2.950 | 1 | 243,510.09 | 0.04 | 243,510.09 | 602 | 75.00 | 7.550 |
| 3.000 | 3,607 | 642,702,697.03 | 94.98 | 178,182.06 | 612 | 81.06 | 8.230 |
| 5.000 | 1 | 263,565.08 | 0.04 | 263,565.08 | 654 | 80.00 | 6.990 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Periodic Interest Rate Cap
Periodic Cap (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 1.000 | 3,724 | $669,860,104.35 | 98.99% | $179,876.50 | 612 | 81.13% | 8.205% |
| 1.500 | 17 | 4,308,389.95 | 0.64 | 253,434.70 | 618 | 73.16 | 7.970 |
| 2.000 | 2 | 305,067.23 | 0.05 | 152,533.62 | 587 | 64.55 | 8.030 |
| 3.000 | 14 | 2,207,005.32 | 0.33 | 157,643.24 | 614 | 76.11 | 7.936 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Adjustable Rate Collateral)
Distribution by Gross Margin
ARM Margin (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 2.000—2.999 | 8 | $1,492,578.61 | 0.22% | $186,572.33 | 630 | 77.67% | 8.484% |
| 3.000—3.999 | 72 | 15,589,138.70 | 2.30 | 216,515.82 | 641 | 80.67 | 6.736 |
| 4.000—4.999 | 346 | 65,880,306.51 | 9.74 | 190,405.51 | 624 | 76.73 | 7.470 |
| 5.000—5.999 | 1,501 | 289,281,083.46 | 42.75 | 192,725.57 | 616 | 80.35 | 7.955 |
| 6.000—6.999 | 1,219 | 211,312,654.78 | 31.23 | 173,349.18 | 608 | 82.61 | 8.466 |
| 7.000—7.999 | 545 | 81,692,381.90 | 12.07 | 149,894.28 | 599 | 82.54 | 9.093 |
| 8.000—8.999 | 61 | 10,612,889.01 | 1.57 | 173,981.79 | 599 | 86.00 | 9.392 |
| 9.000—9.999 | 5 | 819,533.88 | 0.12 | 163,906.78 | 634 | 83.24 | 9.959 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Maximum Mortgage Rate
Maximum Mortage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 11.000—11.999 | 11 | 2,794,268.77 | 0.41 | 254,024.43 | 648 | 76.40 | 6.313 |
| 12.000—12.999 | 134 | 30,597,837.64 | 4.52 | 228,342.07 | 634 | 77.65 | 6.596 |
| 13.000—13.999 | 1,018 | 198,094,411.21 | 29.27 | 194,591.76 | 616 | 78.39 | 7.556 |
| 14.000—14.999 | 1,472 | 263,942,827.88 | 39.01 | 179,308.99 | 613 | 81.67 | 8.216 |
| 15.000—15.999 | 860 | 143,365,256.75 | 21.19 | 166,703.79 | 605 | 83.81 | 9.003 |
| 16.000—16.999 | 228 | 34,063,929.86 | 5.03 | 149,403.20 | 595 | 83.98 | 9.802 |
| 17.000—17.999 | 32 | 3,585,111.54 | 0.53 | 112,034.74 | 573 | 80.10 | 10.711 |
| 18.000—18.999 | 2 | 236,923.20 | 0.04 | 118,461.60 | 573 | 65.89 | 11.597 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Minimum Mortgage Rate
Minimum Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 2.000—2.999 | 5 | $946,258.61 | 0.14% | $189,251.72 | 624 | 75.19% | 8.420% |
| 3.000—3.999 | 4 | 438,744.98 | 0.06 | 109,686.25 | 670 | 77.60 | 7.718 |
| 4.000—4.999 | 123 | 21,611,541.01 | 3.19 | 175,703.59 | 625 | 71.90 | 7.659 |
| 5.000—5.999 | 534 | 92,144,842.24 | 13.62 | 172,555.88 | 616 | 78.31 | 8.024 |
| 6.000—6.999 | 693 | 130,326,217.99 | 19.26 | 188,060.92 | 609 | 82.21 | 8.048 |
| 7.000—7.999 | 1,135 | 218,387,243.14 | 32.27 | 192,411.67 | 614 | 80.37 | 7.780 |
| 8.000—8.999 | 814 | 143,911,527.17 | 21.27 | 176,795.49 | 614 | 82.47 | 8.478 |
| 9.000—9.999 | 362 | 56,560,602.47 | 8.36 | 156,244.76 | 600 | 84.86 | 9.493 |
| 10.000—10.999 | 78 | 11,406,878.53 | 1.69 | 146,242.03 | 593 | 84.83 | 10.405 |
| 11.000—11.999 | 9 | 946,710.71 | 0.14 | 105,190.08 | 579 | 78.17 | 11.455 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Adjustable Rate Collateral)
Initial Rate Adjustment Date
Initial Interest Rate Adjustment Date | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 2006-08 | 2 | $931,419.97 | 0.14% | $465,709.99 | 658 | 78.00% | 6.279% |
| 2006-09 | 10 | 1,866,492.18 | 0.28 | 186,649.22 | 644 | 81.62 | 6.505 |
| 2006-10 | 3 | 1,002,059.96 | 0.15 | 334,019.99 | 620 | 75.00 | 5.868 |
| 2007-11 | 3 | 1,195,508.57 | 0.18 | 398,502.86 | 620 | 88.73 | 7.610 |
| 2007-12 | 339 | 78,796,573.37 | 11.64 | 232,438.27 | 616 | 79.68 | 7.547 |
| 2008-01 | 334 | 62,922,388.96 | 9.30 | 188,390.39 | 616 | 81.66 | 7.861 |
| 2008-02 | 628 | 110,200,690.53 | 16.29 | 175,478.81 | 614 | 81.36 | 8.308 |
| 2008-03 | 1,477 | 253,689,358.19 | 37.49 | 171,759.89 | 608 | 81.48 | 8.430 |
| 2008-04 | 404 | 67,840,735.36 | 10.03 | 167,922.61 | 608 | 80.56 | 8.373 |
| 2008-12 | 15 | 3,311,730.53 | 0.49 | 220,782.04 | 618 | 76.02 | 7.929 |
| 2009-01 | 24 | 5,315,563.87 | 0.79 | 221,481.83 | 613 | 82.74 | 7.722 |
| 2009-02 | 97 | 18,120,107.19 | 2.68 | 186,805.23 | 618 | 81.00 | 7.974 |
| 2009-03 | 270 | 45,544,144.10 | 6.73 | 168,682.02 | 619 | 81.23 | 8.435 |
| 2009-04 | 125 | 20,452,508.91 | 3.02 | 163,620.07 | 618 | 80.14 | 8.281 |
| 2010-12 | 13 | 3,023,069.33 | 0.45 | 232,543.79 | 589 | 74.26 | 7.259 |
| 2011-01 | 5 | 812,760.79 | 0.12 | 162,552.16 | 603 | 77.34 | 7.650 |
| 2011-02 | 3 | 516,963.40 | 0.08 | 172,321.13 | 633 | 95.00 | 7.046 |
| 2011-03 | 4 | 874,926.56 | 0.13 | 218,731.64 | 619 | 82.58 | 8.387 |
| 2011-04 | 1 | 263,565.08 | 0.04 | 263,565.08 | 654 | 80.00 | 6.990 |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Distribution by Lien Type
Lien Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| First Lien | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
Total: | 3,757 | $676,680,566.85 | 100.00% | $180,111.94 | 612 | 81.06% | 8.203% |
The Mortgage Loans (Fixed Rate Collateral)
Collateral Summary | ||||
| Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. | ||||
Scheduled Principal Balance: | $105,394,360.99 | |||
Number of Mortgage Loans: | 982 | |||
Average Scheduled Principal Balance: | $107,326.23 | |||
Weighted Average Gross Coupon: | 8.770% | |||
Weighted Average Original Credit Score2: | 620 | |||
Weighted Average Original LTV Ratio1: | 82.09% | |||
Weighted Average Combined LTV Ratio1: | 84.53% | |||
Weighted Average Stated Remaining Term (months): | 336 | |||
Weighted Average Original Term (months): | 339 | |||
Interest Only Loans: | 3.15% | |||
Silent Seconds: | 12.94% | |||
(1) The original loan-to-value (“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The combined loan-to-value of a mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) either (x) for junior lien mortgage loans the outstanding balance of the senior lien mortgage loan at the date of origination of such mortgage loan, or (y) for first-lien mortgage loans the outstanding balance of any junior lien mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. | ||||
(2) Does not include loans with no credit score available. | ||||
The Mortgage Loans (Fixed Rate Collateral)
Distribution by Product Type
Product Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 30/15 Fixed | 190 | $7,833,145.64 | 7.43% | $41,227.08 | 637 | 98.35% | 11.158% |
| 40/30 Fixed | 3 | 332,123.21 | 0.32 | 110,707.74 | 637 | 84.53 | 8.549 |
| Fixed | 772 | 93,912,878.67 | 89.11 | 121,648.81 | 617 | 80.84 | 8.591 |
| Fixed IO | 17 | 3,316,213.47 | 3.15 | 195,071.38 | 659 | 78.99 | 8.205 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
Distribution by Current Gross Mortgage Rate
Current Gross Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 5.500—5.999 | 1 | $150,715.32 | 0.14% | $150,715.32 | 549 | 33.48% | 5.750% |
| 6.000—6.499 | 6 | 1,561,611.20 | 1.48 | 260,268.53 | 661 | 74.20 | 6.303 |
| 6.500—6.999 | 32 | 5,892,940.40 | 5.59 | 184,154.39 | 646 | 77.14 | 6.777 |
| 7.000—7.499 | 49 | 8,056,883.35 | 7.64 | 164,426.19 | 630 | 75.12 | 7.311 |
| 7.500—7.999 | 117 | 17,843,178.58 | 16.93 | 152,505.80 | 628 | 76.72 | 7.760 |
| 8.000—8.499 | 105 | 13,928,866.12 | 13.22 | 132,655.87 | 627 | 78.59 | 8.232 |
| 8.500—8.999 | 163 | 20,880,823.94 | 19.81 | 128,103.21 | 616 | 80.72 | 8.703 |
| 9.000—9.499 | 81 | 9,363,754.30 | 8.88 | 115,601.90 | 605 | 83.11 | 9.189 |
| 9.500—9.999 | 125 | 11,440,331.73 | 10.85 | 91,522.65 | 598 | 86.72 | 9.734 |
| 10.000—10.499 | 49 | 4,206,464.99 | 3.99 | 85,846.22 | 608 | 93.05 | 10.204 |
| 10.500—10.999 | 47 | 3,119,498.59 | 2.96 | 66,372.31 | 607 | 90.60 | 10.749 |
| 11.000—11.499 | 41 | 2,013,060.43 | 1.91 | 49,099.03 | 621 | 95.16 | 11.188 |
| 11.500—11.999 | 78 | 3,261,479.00 | 3.09 | 41,813.83 | 635 | 98.33 | 11.680 |
| 12.000—12.499 | 58 | 2,450,149.96 | 2.32 | 42,243.96 | 632 | 99.46 | 12.086 |
| 12.500—12.999 | 17 | 788,587.69 | 0.75 | 46,387.51 | 617 | 99.48 | 12.581 |
| 13.000—13.499 | 5 | 160,269.29 | 0.15 | 32,053.86 | 605 | 99.76 | 13.179 |
| 13.500—13.999 | 8 | 275,746.10 | 0.26 | 34,468.26 | 582 | 99.91 | 13.706 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
The Mortgage Loans (Fixed Rate Collateral)
Distribution by Original Principal Balance
Original Mortgage Loan Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.01—25,000.00 | 69 | $1,485,918.34 | 1.41% | $21,535.05 | 622 | 98.84% | 10.908% |
| 25,000.01—50,000.00 | 177 | 6,265,642.99 | 5.94 | 35,399.11 | 631 | 99.19 | 11.422 |
| 50,000.01—75,000.00 | 96 | 6,314,234.48 | 5.99 | 65,773.28 | 626 | 89.18 | 10.051 |
| 75,000.01—100,000.00 | 198 | 17,230,758.43 | 16.35 | 87,024.03 | 617 | 81.95 | 8.951 |
| 100,000.01—125,000.00 | 151 | 16,678,237.00 | 15.82 | 110,451.90 | 620 | 79.58 | 8.704 |
| 125,000.01—150,000.00 | 91 | 12,423,806.01 | 11.79 | 136,525.34 | 614 | 81.65 | 8.711 |
| 150,000.01—175,000.00 | 52 | 8,381,970.07 | 7.95 | 161,191.73 | 619 | 79.75 | 8.290 |
| 175,000.01—200,000.00 | 53 | 9,977,174.82 | 9.47 | 188,248.58 | 615 | 77.07 | 8.111 |
| 200,000.01—225,000.00 | 28 | 5,893,495.67 | 5.59 | 210,481.99 | 627 | 82.47 | 8.208 |
| 225,000.01—250,000.00 | 17 | 3,997,247.33 | 3.79 | 235,132.20 | 617 | 76.50 | 8.074 |
| 250,000.01—275,000.00 | 10 | 2,616,993.44 | 2.48 | 261,699.34 | 657 | 80.11 | 7.598 |
| 275,000.01—300,000.00 | 10 | 2,859,986.12 | 2.71 | 285,998.61 | 624 | 79.22 | 7.665 |
| 300,000.01—325,000.00 | 6 | 1,862,231.77 | 1.77 | 310,371.96 | 625 | 85.27 | 7.842 |
| 325,000.01—350,000.00 | 10 | 3,414,640.14 | 3.24 | 341,464.01 | 619 | 80.15 | 8.428 |
| 350,000.01—375,000.00 | 2 | 705,162.42 | 0.67 | 352,581.21 | 617 | 70.66 | 7.694 |
| 375,000.01—400,000.00 | 5 | 1,949,156.44 | 1.85 | 389,831.29 | 593 | 83.97 | 8.035 |
| 400,000.01—425,000.00 | 1 | 416,060.11 | 0.39 | 416,060.11 | 617 | 61.02 | 7.370 |
| 425,000.01—450,000.00 | 1 | 440,000.00 | 0.42 | 440,000.00 | 651 | 80.00 | 9.880 |
| 450,000.01—500,000.00 | 3 | 1,426,795.86 | 1.35 | 475,598.62 | 605 | 78.71 | 8.549 |
| 500,000.01—600,000.00 | 2 | 1,054,849.55 | 1.00 | 527,424.78 | 648 | 78.24 | 8.043 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
The Mortgage Loans (Fixed Rate Collateral)
Distribution by Current Unpaid Principal Balance
Current Unpaid Principal Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.01—25,000.00 | 69 | $1,485,918.34 | 1.41% | $21,535.05 | 622 | 98.84% | 10.908% |
| 25,000.01—50,000.00 | 177 | 6,265,642.99 | 5.94 | 35,399.11 | 631 | 99.19 | 11.422 |
| 50,000.01—75,000.00 | 97 | 6,389,126.28 | 6.06 | 65,867.28 | 627 | 89.24 | 10.038 |
| 75,000.01—100,000.00 | 197 | 17,155,866.63 | 16.28 | 87,085.62 | 617 | 81.90 | 8.950 |
| 100,000.01—125,000.00 | 154 | 17,052,986.11 | 16.18 | 110,733.68 | 620 | 79.81 | 8.696 |
| 125,000.01—150,000.00 | 89 | 12,198,940.34 | 11.57 | 137,066.75 | 613 | 81.37 | 8.713 |
| 150,000.01—175,000.00 | 51 | 8,232,086.63 | 7.81 | 161,413.46 | 618 | 79.75 | 8.296 |
| 175,000.01—200,000.00 | 53 | 9,977,174.82 | 9.47 | 188,248.58 | 615 | 77.07 | 8.111 |
| 200,000.01—225,000.00 | 29 | 6,118,270.44 | 5.81 | 210,974.84 | 627 | 82.56 | 8.193 |
| 225,000.01—250,000.00 | 17 | 4,021,031.63 | 3.82 | 236,531.27 | 622 | 75.65 | 7.976 |
| 250,000.01—275,000.00 | 9 | 2,368,434.37 | 2.25 | 263,159.37 | 654 | 81.13 | 7.740 |
| 275,000.01—300,000.00 | 10 | 2,859,986.12 | 2.71 | 285,998.61 | 624 | 79.22 | 7.665 |
| 300,000.01—325,000.00 | 6 | 1,862,231.77 | 1.77 | 310,371.96 | 625 | 85.27 | 7.842 |
| 325,000.01—350,000.00 | 10 | 3,414,640.14 | 3.24 | 341,464.01 | 619 | 80.15 | 8.428 |
| 350,000.01—375,000.00 | 2 | 705,162.42 | 0.67 | 352,581.21 | 617 | 70.66 | 7.694 |
| 375,000.01—400,000.00 | 5 | 1,949,156.44 | 1.85 | 389,831.29 | 593 | 83.97 | 8.035 |
| 400,000.01—425,000.00 | 1 | 416,060.11 | 0.39 | 416,060.11 | 617 | 61.02 | 7.370 |
| 425,000.01—450,000.00 | 1 | 440,000.00 | 0.42 | 440,000.00 | 651 | 80.00 | 9.880 |
| 450,000.01—500,000.00 | 3 | 1,426,795.86 | 1.35 | 475,598.62 | 605 | 78.71 | 8.549 |
| 500,000.01—600,000.00 | 2 | 1,054,849.55 | 1.00 | 527,424.78 | 648 | 78.24 | 8.043 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
Distribution by Remaining Term to Maturity
Remaining Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 161—170 | 1 | $19,253.35 | 0.02% | $19,253.35 | 602 | 99.89% | 9.250% |
| 171—180 | 224 | 10,869,471.19 | 10.31 | 48,524.42 | 630 | 91.14 | 10.387 |
| 221—230 | 1 | 25,008.35 | 0.02 | 25,008.35 | 630 | 100.00 | 10.990 |
| 231—240 | 32 | 2,028,729.33 | 1.92 | 63,397.79 | 617 | 79.94 | 9.352 |
| 341—350 | 2 | 85,453.15 | 0.08 | 42,726.58 | 633 | 100.00 | 9.946 |
| 351—360 | 722 | 92,366,445.62 | 87.64 | 127,931.37 | 619 | 81.05 | 8.565 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
The Mortgage Loans (Fixed Rate Collateral)
Distribution by Original Term to Maturity
Original Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 180 | 225 | $10,888,724.54 | 10.33% | $48,394.33 | 630 | 91.16% | 10.384% |
| 240 | 33 | 2,053,737.68 | 1.95 | 62,234.48 | 617 | 80.18 | 9.372 |
| 360 | 724 | 92,451,898.77 | 87.72 | 127,695.99 | 619 | 81.07 | 8.566 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
Distribution by Combined Loan-to-Value Ratio
Combined Loan-To-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 15.01—20.00 | 1 | $82,328.56 | 0.08% | $82,328.56 | 575 | 16.07% | 7.875% |
| 20.01—25.00 | 2 | 182,525.58 | 0.17 | 91,262.79 | 606 | 23.43 | 7.631 |
| 30.01—35.00 | 4 | 438,029.34 | 0.42 | 109,507.34 | 593 | 33.19 | 7.272 |
| 35.01—40.00 | 6 | 682,915.66 | 0.65 | 113,819.28 | 587 | 36.73 | 8.151 |
| 40.01—45.00 | 6 | 929,547.95 | 0.88 | 154,924.66 | 595 | 42.59 | 7.935 |
| 45.01—50.00 | 13 | 1,504,680.67 | 1.43 | 115,744.67 | 557 | 47.45 | 8.880 |
| 50.01—55.00 | 16 | 2,174,925.22 | 2.06 | 135,932.83 | 599 | 52.08 | 8.479 |
| 55.01—60.00 | 15 | 1,769,813.66 | 1.68 | 117,987.58 | 598 | 57.65 | 8.169 |
| 60.01—65.00 | 30 | 5,006,101.11 | 4.75 | 166,870.04 | 605 | 62.92 | 7.915 |
| 65.01—70.00 | 28 | 4,053,164.50 | 3.85 | 144,755.88 | 599 | 67.94 | 8.137 |
| 70.01—75.00 | 45 | 6,580,760.66 | 6.24 | 146,239.13 | 605 | 73.45 | 8.022 |
| 75.01—80.00 | 116 | 16,340,257.18 | 15.50 | 140,864.29 | 615 | 79.06 | 8.229 |
| 80.01—85.00 | 72 | 10,582,793.63 | 10.04 | 146,983.24 | 617 | 83.88 | 8.480 |
| 85.01—90.00 | 103 | 14,061,863.98 | 13.34 | 136,522.95 | 620 | 89.16 | 8.682 |
| 90.01—95.00 | 116 | 13,263,956.09 | 12.59 | 114,344.45 | 624 | 93.61 | 8.895 |
| 95.01—100.00 | 409 | 27,740,697.20 | 26.32 | 67,825.67 | 641 | 91.28 | 9.740 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
The Mortgage Loans (Fixed Rate Collateral)
Distribution by Original Loan-to-Value Ratio
Original Loan-to-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 15.01—20.00 | 1 | $82,328.56 | 0.08% | $82,328.56 | 575 | 16.07% | 7.875% |
| 20.01—25.00 | 2 | 182,525.58 | 0.17 | 91,262.79 | 606 | 23.43 | 7.631 |
| 30.01—35.00 | 4 | 438,029.34 | 0.42 | 109,507.34 | 593 | 33.19 | 7.272 |
| 35.01—40.00 | 6 | 682,915.66 | 0.65 | 113,819.28 | 587 | 36.73 | 8.151 |
| 40.01—45.00 | 6 | 929,547.95 | 0.88 | 154,924.66 | 595 | 42.59 | 7.935 |
| 45.01—50.00 | 13 | 1,504,680.67 | 1.43 | 115,744.67 | 557 | 47.45 | 8.880 |
| 50.01—55.00 | 16 | 2,174,925.22 | 2.06 | 135,932.83 | 599 | 52.08 | 8.479 |
| 55.01—60.00 | 15 | 1,769,813.66 | 1.68 | 117,987.58 | 598 | 57.65 | 8.169 |
| 60.01—65.00 | 30 | 5,006,101.11 | 4.75 | 166,870.04 | 605 | 62.92 | 7.915 |
| 65.01—70.00 | 29 | 4,204,719.92 | 3.99 | 144,990.34 | 601 | 67.92 | 8.158 |
| 70.01—75.00 | 45 | 6,580,760.66 | 6.24 | 146,239.13 | 605 | 73.45 | 8.022 |
| 75.01—80.00 | 208 | 29,528,017.14 | 28.02 | 141,961.62 | 628 | 79.48 | 8.190 |
| 80.01—85.00 | 71 | 10,200,880.78 | 9.68 | 143,674.38 | 615 | 84.25 | 8.529 |
| 85.01—90.00 | 102 | 13,860,671.11 | 13.15 | 135,888.93 | 621 | 89.31 | 8.691 |
| 90.01—95.00 | 109 | 12,537,583.35 | 11.90 | 115,023.70 | 624 | 94.48 | 8.948 |
| 95.01—100.00 | 325 | 15,710,860.28 | 14.91 | 48,341.11 | 636 | 99.80 | 10.927 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
Distribution by State
State | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| FL | 106 | $13,391,394.55 | 12.71% | $126,333.91 | 616 | 74.83% | 8.534% |
| CA | 54 | 10,238,157.90 | 9.71 | 189,595.52 | 637 | 79.39 | 8.305 |
| TX | 121 | 9,721,843.62 | 9.22 | 80,345.82 | 620 | 84.21 | 8.781 |
| MI | 51 | 4,929,565.48 | 4.68 | 96,658.15 | 628 | 83.34 | 8.956 |
| AZ | 44 | 4,351,129.26 | 4.13 | 98,889.30 | 618 | 77.79 | 8.961 |
| OH | 39 | 4,300,652.27 | 4.08 | 110,273.14 | 622 | 85.66 | 8.586 |
| TN | 45 | 4,262,333.75 | 4.04 | 94,718.53 | 622 | 86.25 | 8.780 |
| MD | 22 | 3,955,607.42 | 3.75 | 179,800.34 | 605 | 77.18 | 8.266 |
| GA | 41 | 3,822,761.55 | 3.63 | 93,238.09 | 628 | 86.84 | 9.343 |
| IN | 32 | 3,241,047.59 | 3.08 | 101,282.74 | 620 | 87.53 | 8.956 |
| Other | 427 | 43,179,867.60 | 40.97 | 101,123.81 | 617 | 83.66 | 8.909 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
The Mortgage Loans (Fixed Rate Collateral)
Distribution by Occupancy Type
Occupancy | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Owner Occupied | 951 | $102,127,157.72 | 96.90% | $107,389.23 | 620 | 82.28% | 8.770% |
| Non-Owner Occupied | 31 | 3,267,203.27 | 3.10 | 105,393.65 | 642 | 76.41 | 8.764 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
Distribution by Property Type
Property Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Single Family | 816 | $88,785,316.19 | 84.24% | $108,805.53 | 620 | 81.95% | 8.723% |
| Pud-Detached | 112 | 11,408,940.61 | 10.83 | 101,865.54 | 623 | 85.29 | 9.067 |
| Condo 1-5 | 28 | 1,990,197.54 | 1.89 | 71,078.48 | 612 | 76.82 | 9.292 |
| Pud-Attached | 12 | 1,762,303.59 | 1.67 | 146,858.63 | 627 | 79.85 | 8.374 |
| Town/Rowhouse | 10 | 825,870.44 | 0.78 | 82,587.04 | 557 | 68.37 | 9.859 |
| SFD-SiteCondo | 3 | 539,555.24 | 0.51 | 179,851.75 | 653 | 87.19 | 7.907 |
| Modular Home | 1 | 82,177.38 | 0.08 | 82,177.38 | 677 | 75.00 | 8.750 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
Distribution by Loan Purpose
Loan Purpose | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Equity Refinance | 446 | $59,599,201.52 | 56.55% | $133,630.50 | 615 | 78.67% | 8.467% |
| Purchase | 373 | 26,380,257.60 | 25.03 | 70,724.55 | 633 | 90.38 | 9.652 |
| Rate/Term | 161 | 19,127,519.61 | 18.15 | 118,804.47 | 619 | 81.39 | 8.505 |
| Construction Permanent | 2 | 287,382.26 | 0.27 | 143,691.13 | 619 | 79.13 | 8.192 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
The Mortgage Loans (Fixed Rate Collateral)
Distribution by Documentation Type
Documentation Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Full Doc | 594 | $61,124,639.48 | 58.00% | $102,903.43 | 612 | 82.56% | 8.674% |
| Stated Doc | 338 | 39,168,482.95 | 37.16 | 115,883.09 | 633 | 81.27 | 8.944 |
| Fast App | 43 | 4,551,480.18 | 4.32 | 105,848.38 | 629 | 83.40 | 8.485 |
| Lite Doc | 7 | 549,758.38 | 0.52 | 78,536.91 | 617 | 78.34 | 9.346 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
Distribution by Credit Score
Credit Score Range | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| <= 499 | 3 | $351,561.54 | 0.33% | $117,187.18 | 488 | 55.93% | 10.900% |
| 500—519 | 9 | 1,073,889.84 | 1.02 | 119,321.09 | 510 | 64.49 | 9.550 |
| 520—539 | 20 | 2,473,658.71 | 2.35 | 123,682.94 | 528 | 70.31 | 9.642 |
| 540—559 | 39 | 5,287,742.09 | 5.02 | 135,583.13 | 548 | 74.31 | 8.573 |
| 560—579 | 50 | 7,392,016.06 | 7.01 | 147,840.32 | 571 | 74.92 | 8.776 |
| 580—599 | 163 | 15,121,903.08 | 14.35 | 92,772.41 | 589 | 83.23 | 9.147 |
| 600—619 | 190 | 19,349,325.17 | 18.36 | 101,838.55 | 610 | 81.71 | 8.863 |
| 620—639 | 153 | 18,500,909.49 | 17.55 | 120,920.98 | 630 | 83.36 | 8.521 |
| 640—659 | 154 | 14,373,450.89 | 13.64 | 93,334.10 | 649 | 86.92 | 8.989 |
| 660—679 | 124 | 12,972,610.19 | 12.31 | 104,617.82 | 669 | 84.01 | 8.474 |
| 680—699 | 77 | 8,497,293.93 | 8.06 | 110,354.47 | 688 | 84.92 | 8.184 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
Distribution by Original Prepayment Penalty Term
Prepayment Penalty Terms (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0 | 407 | $36,630,409.39 | 34.76% | $90,001.01 | 620 | 83.42% | 9.276% |
| 6 | 2 | 196,534.33 | 0.19 | 98,267.17 | 646 | 86.86 | 9.242 |
| 12 | 18 | 1,832,569.27 | 1.74 | 101,809.40 | 623 | 85.93 | 9.722 |
| 24 | 119 | 8,801,062.12 | 8.35 | 73,958.51 | 624 | 87.96 | 9.754 |
| 30 | 1 | 151,746.97 | 0.14 | 151,746.97 | 633 | 80.00 | 8.960 |
| 36 | 433 | 57,473,423.58 | 54.53 | 132,733.08 | 620 | 80.34 | 8.269 |
| 60 | 2 | 308,615.33 | 0.29 | 154,307.67 | 614 | 58.66 | 7.850 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
The Mortgage Loans (Fixed Rate Collateral)
Distribution by Lien Type
Lien Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| First Lien | 654 | $91,457,343.91 | 86.78% | $139,843.03 | 618 | 79.47% | 8.397% |
| Second Lien | 328 | 13,937,017.08 | 13.22 | 42,490.91 | 636 | 99.32 | 11.218 |
Total: | 982 | $105,394,360.99 | 100.00% | $107,326.23 | 620 | 82.09% | 8.770% |
The Mortgage Loans (IO Collateral)
Collateral Summary | ||||
| Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. | ||||
Scheduled Principal Balance: | $110,611,333.97 | |||
Number of Mortgage Loans: | 492 | |||
Average Scheduled Principal Balance: | $224,819.78 | |||
Weighted Average Gross Coupon: | 7.825% | |||
Weighted Average Original Credit Score³: | 637 | |||
Weighted Average Original LTV Ratio²: | 81.37% | |||
Weighted Average Combined LTV Ratio²: | 92.52% | |||
Weighted Average Stated Remaining Term (months): | 357 | |||
Weighted Average Original Term (months): | 360 | |||
Weighted Average Roll Term¹ (months): | 26 | |||
Weighted Average Gross Margin¹: | 5.743% | |||
Weighted Average Initial Rate Cap¹: | 2.814% | |||
Weighted Average Periodic Rate Cap¹: | 1.008% | |||
Weighted Average Gross Maximum Lifetime Rate¹: | 14.287% | |||
Weighted Average Gross Minimum Lifetime Rate¹: | 7.181% | |||
Interest Only Loans: | 100.00% | |||
Silent Seconds: | 56.99% | |||
(1) Includes adjustable-rate Mortgage Loans only. | ||||
(2) The original loan-to-value (“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The combined loan-to-value of a mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) either (x) for junior lien mortgage loans the outstanding balance of the senior lien mortgage loan at the date of origination of such mortgage loan, or (y) for first-lien mortgage loans the outstanding balance of any junior lien mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. | ||||
(3) Does not include loans with no credit score available. | ||||
The Mortgage Loans (IO Collateral)
Distribution by Product Type
Product Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 2/1 ARM IO | 387 | $88,136,365.95 | 79.68% | $227,742.55 | 637 | 81.51% | 7.758% |
| 3/1 ARM IO | 88 | 19,158,754.55 | 17.32 | 217,713.12 | 634 | 81.13 | 8.066 |
| Fixed IO | 17 | 3,316,213.47 | 3.00 | 195,071.38 | 659 | 78.99 | 8.205 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Current Gross Mortgage Rate
Current Gross Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 5.500—5.999 | 3 | $989,354.97 | 0.89% | $329,784.99 | 663 | 75.04% | 5.960% |
| 6.000—6.499 | 25 | 6,797,000.83 | 6.14 | 271,880.03 | 643 | 79.57 | 6.166 |
| 6.500—6.999 | 36 | 8,939,711.42 | 8.08 | 248,325.32 | 642 | 77.98 | 6.776 |
| 7.000—7.499 | 78 | 18,319,048.75 | 16.56 | 234,859.60 | 634 | 81.29 | 7.269 |
| 7.500—7.999 | 129 | 28,702,735.43 | 25.95 | 222,501.83 | 631 | 80.48 | 7.720 |
| 8.000—8.499 | 101 | 22,429,103.64 | 20.28 | 222,070.33 | 642 | 82.69 | 8.228 |
| 8.500—8.999 | 82 | 17,517,853.93 | 15.84 | 213,632.37 | 637 | 83.28 | 8.701 |
| 9.000—9.499 | 20 | 3,692,956.00 | 3.34 | 184,647.80 | 637 | 81.26 | 9.206 |
| 9.500—9.999 | 15 | 2,940,919.00 | 2.66 | 196,061.27 | 636 | 85.09 | 9.668 |
| 10.000—10.499 | 1 | 87,900.00 | 0.08 | 87,900.00 | 592 | 79.98 | 10.150 |
| 10.500—10.999 | 2 | 194,750.00 | 0.18 | 97,375.00 | 622 | 95.00 | 10.604 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (IO Collateral)
Distribution by Original Principal Balance
Original Mortgage Loan Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 50,000.01—75,000.00 | 3 | $215,599.09 | 0.19% | $71,866.36 | 632 | 71.49% | 7.292% |
| 75,000.01—100,000.00 | 25 | 2,287,018.60 | 2.07 | 91,480.74 | 633 | 80.37 | 8.434 |
| 100,000.01—125,000.00 | 53 | 5,934,835.88 | 5.37 | 111,978.04 | 627 | 80.64 | 8.107 |
| 125,000.01—150,000.00 | 50 | 6,839,893.56 | 6.18 | 136,797.87 | 638 | 81.46 | 7.969 |
| 150,000.01—175,000.00 | 70 | 11,297,522.33 | 10.21 | 161,393.18 | 641 | 81.13 | 7.852 |
| 175,000.01—200,000.00 | 58 | 11,016,246.90 | 9.96 | 189,935.29 | 635 | 80.96 | 7.913 |
| 200,000.01—225,000.00 | 39 | 8,213,032.16 | 7.43 | 210,590.57 | 633 | 80.36 | 7.785 |
| 225,000.01—250,000.00 | 36 | 8,547,073.07 | 7.73 | 237,418.70 | 634 | 79.55 | 7.983 |
| 250,000.01—275,000.00 | 34 | 8,902,394.96 | 8.05 | 261,835.15 | 641 | 81.79 | 7.636 |
| 275,000.01—300,000.00 | 25 | 7,155,981.20 | 6.47 | 286,239.25 | 635 | 81.93 | 8.076 |
| 300,000.01—325,000.00 | 17 | 5,319,539.48 | 4.81 | 312,914.09 | 642 | 82.12 | 7.672 |
| 325,000.01—350,000.00 | 14 | 4,712,180.51 | 4.26 | 336,584.32 | 634 | 80.51 | 7.922 |
| 350,000.01—375,000.00 | 15 | 5,382,907.10 | 4.87 | 358,860.47 | 657 | 82.64 | 8.019 |
| 375,000.01—400,000.00 | 16 | 6,160,979.37 | 5.57 | 385,061.21 | 638 | 83.13 | 7.910 |
| 400,000.01—425,000.00 | 2 | 817,938.13 | 0.74 | 408,969.07 | 606 | 89.20 | 7.376 |
| 425,000.01—450,000.00 | 9 | 3,956,600.00 | 3.58 | 439,622.22 | 636 | 80.72 | 7.764 |
| 450,000.01—500,000.00 | 12 | 5,781,591.64 | 5.23 | 481,799.30 | 635 | 82.32 | 7.142 |
| 500,000.01—600,000.00 | 9 | 4,780,397.99 | 4.32 | 531,155.33 | 648 | 81.42 | 7.368 |
| 600,000.01—700,000.00 | 4 | 2,553,352.00 | 2.31 | 638,338.00 | 611 | 79.19 | 7.650 |
| 700,000.01—800,000.00 | 1 | 736,250.00 | 0.67 | 736,250.00 | 619 | 95.00 | 7.250 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (IO Collateral)
Distribution by Current Unpaid Principal Balance
Current Unpaid Principal Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 50,000.01—75,000.00 | 3 | $215,599.09 | 0.19% | $71,866.36 | 632 | 71.49% | 7.292% |
| 75,000.01—100,000.00 | 25 | 2,287,018.60 | 2.07 | 91,480.74 | 633 | 80.37 | 8.434 |
| 100,000.01—125,000.00 | 53 | 5,934,835.88 | 5.37 | 111,978.04 | 627 | 80.64 | 8.107 |
| 125,000.01—150,000.00 | 50 | 6,839,893.56 | 6.18 | 136,797.87 | 638 | 81.46 | 7.969 |
| 150,000.01—175,000.00 | 71 | 11,472,455.61 | 10.37 | 161,583.88 | 640 | 81.27 | 7.856 |
| 175,000.01—200,000.00 | 57 | 10,841,313.62 | 9.80 | 190,198.48 | 636 | 80.81 | 7.910 |
| 200,000.01—225,000.00 | 39 | 8,213,032.16 | 7.43 | 210,590.57 | 633 | 80.36 | 7.785 |
| 225,000.01—250,000.00 | 36 | 8,547,073.07 | 7.73 | 237,418.70 | 634 | 79.55 | 7.983 |
| 250,000.01—275,000.00 | 34 | 8,902,394.96 | 8.05 | 261,835.15 | 641 | 81.79 | 7.636 |
| 275,000.01—300,000.00 | 25 | 7,155,981.20 | 6.47 | 286,239.25 | 635 | 81.93 | 8.076 |
| 300,000.01—325,000.00 | 17 | 5,319,539.48 | 4.81 | 312,914.09 | 642 | 82.12 | 7.672 |
| 325,000.01—350,000.00 | 14 | 4,712,180.51 | 4.26 | 336,584.32 | 634 | 80.51 | 7.922 |
| 350,000.01—375,000.00 | 15 | 5,382,907.10 | 4.87 | 358,860.47 | 657 | 82.64 | 8.019 |
| 375,000.01—400,000.00 | 16 | 6,160,979.37 | 5.57 | 385,061.21 | 638 | 83.13 | 7.910 |
| 400,000.01—425,000.00 | 2 | 817,938.13 | 0.74 | 408,969.07 | 606 | 89.20 | 7.376 |
| 425,000.01—450,000.00 | 9 | 3,956,600.00 | 3.58 | 439,622.22 | 636 | 80.72 | 7.764 |
| 450,000.01—500,000.00 | 12 | 5,781,591.64 | 5.23 | 481,799.30 | 635 | 82.32 | 7.142 |
| 500,000.01—600,000.00 | 9 | 4,780,397.99 | 4.32 | 531,155.33 | 648 | 81.42 | 7.368 |
| 600,000.01—700,000.00 | 4 | 2,553,352.00 | 2.31 | 638,338.00 | 611 | 79.19 | 7.650 |
| 700,000.01—800,000.00 | 1 | 736,250.00 | 0.67 | 736,250.00 | 619 | 95.00 | 7.250 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Remaining Term to Maturity
Remaining Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 351—360 | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Original Term to Maturity
Original Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 360 | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (IO Collateral)
Distribution by Combined Loan-to-Value Ratio
Combined Loan-To-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 35.01—40.00 | 1 | $250,000.00 | 0.23% | $250,000.00 | 622 | 38.46% | 7.900% |
| 40.01—45.00 | 2 | 394,300.00 | 0.36 | 197,150.00 | 615 | 43.66 | 7.263 |
| 45.01—50.00 | 2 | 723,000.00 | 0.65 | 361,500.00 | 627 | 46.12 | 8.063 |
| 50.01—55.00 | 1 | 85,250.00 | 0.08 | 85,250.00 | 669 | 55.00 | 8.000 |
| 55.01—60.00 | 4 | 907,300.00 | 0.82 | 226,825.00 | 613 | 57.95 | 7.662 |
| 60.01—65.00 | 2 | 396,000.00 | 0.36 | 198,000.00 | 645 | 63.67 | 6.535 |
| 65.01—70.00 | 13 | 2,862,748.17 | 2.59 | 220,211.40 | 630 | 68.24 | 7.540 |
| 70.01—75.00 | 14 | 3,021,450.00 | 2.73 | 215,817.86 | 633 | 73.37 | 7.406 |
| 75.01—80.00 | 39 | 9,023,441.00 | 8.16 | 231,370.28 | 630 | 79.20 | 7.595 |
| 80.01—85.00 | 20 | 5,924,023.89 | 5.36 | 296,201.19 | 621 | 84.41 | 7.525 |
| 85.01—90.00 | 65 | 16,810,215.64 | 15.20 | 258,618.70 | 628 | 88.93 | 8.061 |
| 90.01—95.00 | 48 | 11,155,127.90 | 10.08 | 232,398.50 | 640 | 90.13 | 8.119 |
| 95.01—100.00 | 281 | 59,058,477.37 | 53.39 | 210,172.52 | 642 | 80.02 | 7.813 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Original Loan-to-Value Ratio
Original Loan-to-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 35.01—40.00 | 1 | $250,000.00 | 0.23% | $250,000.00 | 622 | 38.46% | 7.900% |
| 40.01—45.00 | 2 | 394,300.00 | 0.36 | 197,150.00 | 615 | 43.66 | 7.263 |
| 45.01—50.00 | 2 | 723,000.00 | 0.65 | 361,500.00 | 627 | 46.12 | 8.063 |
| 50.01—55.00 | 2 | 153,250.00 | 0.14 | 76,625.00 | 639 | 54.73 | 7.723 |
| 55.01—60.00 | 4 | 907,300.00 | 0.82 | 226,825.00 | 613 | 57.95 | 7.662 |
| 60.01—65.00 | 2 | 396,000.00 | 0.36 | 198,000.00 | 645 | 63.67 | 6.535 |
| 65.01—70.00 | 13 | 2,862,748.17 | 2.59 | 220,211.40 | 630 | 68.24 | 7.540 |
| 70.01—75.00 | 15 | 3,277,447.83 | 2.96 | 218,496.52 | 633 | 73.55 | 7.459 |
| 75.01—80.00 | 334 | 71,670,205.81 | 64.79 | 214,581.45 | 641 | 79.86 | 7.774 |
| 80.01—85.00 | 20 | 5,924,023.89 | 5.36 | 296,201.19 | 621 | 84.41 | 7.525 |
| 85.01—90.00 | 62 | 16,069,416.55 | 14.53 | 259,184.14 | 630 | 89.45 | 8.068 |
| 90.01—95.00 | 34 | 7,782,791.72 | 7.04 | 228,905.64 | 637 | 94.66 | 8.331 |
| 95.01—100.00 | 1 | 200,850.00 | 0.18 | 200,850.00 | 691 | 100.00 | 9.250 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (IO Collateral)
Distribution by State
State | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| CA | 88 | $30,480,209.44 | 27.56% | $346,366.02 | 636 | 80.87% | 7.443% |
| FL | 53 | 10,869,610.11 | 9.83 | 205,086.98 | 636 | 80.27 | 7.958 |
| AZ | 49 | 10,076,880.61 | 9.11 | 205,650.62 | 638 | 79.35 | 7.863 |
| MD | 26 | 6,664,328.46 | 6.02 | 256,320.33 | 639 | 82.25 | 7.990 |
| IL | 30 | 6,528,814.32 | 5.90 | 217,627.14 | 639 | 82.26 | 8.031 |
| GA | 26 | 4,189,150.00 | 3.79 | 161,121.15 | 636 | 83.59 | 8.368 |
| MI | 23 | 4,137,559.00 | 3.74 | 179,893.87 | 630 | 82.16 | 8.191 |
| CO | 24 | 4,058,963.40 | 3.67 | 169,123.48 | 637 | 80.60 | 7.403 |
| NV | 15 | 3,672,166.09 | 3.32 | 244,811.07 | 638 | 78.12 | 7.372 |
| NJ | 12 | 3,422,180.00 | 3.09 | 285,181.67 | 630 | 83.53 | 8.538 |
| Other | 146 | 26,511,472.54 | 23.97 | 181,585.43 | 638 | 82.54 | 7.993 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Occupancy Type
Occupancy | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Owner Occupied | 489 | $110,268,833.97 | 99.69% | $225,498.64 | 637 | 81.40% | 7.823% |
| Non-Owner Occupied | 3 | 342,500.00 | 0.31 | 114,166.67 | 635 | 71.60 | 8.240 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Property Type
Property Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Single Family | 365 | $83,081,892.43 | 75.11% | $227,621.62 | 637 | 81.46% | 7.804% |
| Pud-Detached | 58 | 13,985,540.58 | 12.64 | 241,130.01 | 633 | 80.34 | 7.907 |
| Condo 1-5 | 38 | 7,610,307.86 | 6.88 | 200,271.26 | 642 | 82.16 | 7.716 |
| Pud-Attached | 17 | 3,033,614.00 | 2.74 | 178,447.88 | 637 | 83.37 | 8.270 |
| Town/Rowhouse | 10 | 2,065,359.10 | 1.87 | 206,535.91 | 651 | 82.83 | 7.523 |
| SFD-SiteCondo | 2 | 343,920.00 | 0.31 | 171,960.00 | 654 | 80.00 | 7.952 |
| Condo >8 | 1 | 329,900.00 | 0.30 | 329,900.00 | 586 | 59.98 | 9.125 |
| Leasehold | 1 | 160,800.00 | 0.15 | 160,800.00 | 629 | 80.00 | 8.875 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (IO Collateral)
Distribution by Loan Purpose
Loan Purpose | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Purchase | 271 | $57,916,488.42 | 52.36% | $213,713.98 | 642 | 80.87% | 7.858% |
| Equity Refinance | 167 | 40,574,518.58 | 36.68 | 242,961.19 | 633 | 82.49 | 7.769 |
| Rate/Term | 51 | 11,542,993.69 | 10.44 | 226,333.21 | 624 | 80.09 | 7.876 |
| Construction Permanent | 3 | 577,333.28 | 0.52 | 192,444.43 | 613 | 78.83 | 7.373 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Documentation Type
Documentation Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Full Doc | 303 | $64,232,640.46 | 58.07% | $211,988.91 | 627 | 82.17% | 7.616% |
| Stated Doc | 165 | 40,193,391.09 | 36.34 | 243,596.31 | 654 | 80.17 | 8.217 |
| Fast App | 19 | 4,869,432.42 | 4.40 | 256,285.92 | 626 | 81.11 | 7.387 |
| Lite Doc | 5 | 1,315,870.00 | 1.19 | 263,174.00 | 639 | 79.90 | 7.622 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Credit Score
Credit Score Range | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 540—559 | 1 | $237,500.00 | 0.21% | $237,500.00 | 552 | 77.93% | 8.000% |
| 560—579 | 4 | 916,450.40 | 0.83 | 229,112.60 | 568 | 82.01 | 7.734 |
| 580—599 | 64 | 13,345,895.38 | 12.07 | 208,529.62 | 592 | 80.99 | 8.054 |
| 600—619 | 98 | 21,882,735.13 | 19.78 | 223,293.22 | 610 | 82.84 | 7.796 |
| 620—639 | 68 | 16,814,302.69 | 15.20 | 247,269.16 | 629 | 79.19 | 7.695 |
| 640—659 | 139 | 30,670,683.54 | 27.73 | 220,652.40 | 648 | 81.33 | 7.829 |
| 660—679 | 77 | 17,176,923.69 | 15.53 | 223,076.93 | 669 | 81.45 | 7.727 |
| 680—699 | 40 | 9,333,243.14 | 8.44 | 233,331.08 | 689 | 82.45 | 7.986 |
| 700—719 | 1 | 233,600.00 | 0.21 | 233,600.00 | 700 | 80.00 | 7.150 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (IO Collateral)
Distribution by Original Prepayment Penalty Term
Prepayment Penalty Terms (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0 | 122 | $27,886,761.09 | 25.21% | $228,580.01 | 637 | 81.39% | 8.251% |
| 6 | 2 | 492,750.52 | 0.45 | 246,375.26 | 655 | 74.52 | 8.059 |
| 12 | 32 | 8,328,344.40 | 7.53 | 260,260.76 | 640 | 82.59 | 7.970 |
| 24 | 250 | 56,394,302.16 | 50.98 | 225,577.21 | 637 | 81.19 | 7.596 |
| 36 | 85 | 17,319,175.80 | 15.66 | 203,755.01 | 636 | 82.00 | 7.808 |
| 60 | 1 | 190,000.00 | 0.17 | 190,000.00 | 595 | 42.22 | 7.600 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Initial Interest Rate Cap
Initial Cap (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000 | 17 | $3,316,213.47 | 3.00% | $195,071.38 | 659 | 78.99% | 8.205% |
| 1.500 | 5 | 1,696,800.00 | 1.53 | 339,360.00 | 647 | 67.55 | 7.828 |
| 2.000 | 58 | 17,387,864.32 | 15.72 | 299,790.76 | 635 | 82.83 | 7.473 |
| 2.875 | 1 | 329,900.00 | 0.30 | 329,900.00 | 586 | 59.98 | 9.125 |
| 3.000 | 411 | 87,880,556.18 | 79.45 | 213,821.30 | 636 | 81.52 | 7.875 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Periodic Interest Rate Cap
Periodic Cap (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000 | 17 | $3,316,213.47 | 3.00% | $195,071.38 | 659 | 78.99% | 8.205% |
| 1.000 | 470 | 105,598,320.50 | 95.47 | 224,677.28 | 636 | 81.67 | 7.813 |
| 1.500 | 5 | 1,696,800.00 | 1.53 | 339,360.00 | 647 | 67.55 | 7.828 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (IO Collateral)
Distribution by Gross Margin
ARM Margin (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000—0.999 | 17 | $3,316,213.47 | 3.00% | $195,071.38 | 659 | 78.99% | 8.205% |
| 2.000—2.999 | 6 | 1,015,170.00 | 0.92 | 169,195.00 | 634 | 76.58 | 8.625 |
| 3.000—3.999 | 20 | 4,931,424.13 | 4.46 | 246,571.21 | 650 | 78.99 | 6.090 |
| 4.000—4.999 | 67 | 14,808,215.78 | 13.39 | 221,018.15 | 642 | 81.20 | 7.277 |
| 5.000—5.999 | 188 | 45,753,670.72 | 41.36 | 243,370.59 | 635 | 81.24 | 7.775 |
| 6.000—6.999 | 146 | 31,041,349.91 | 28.06 | 212,611.99 | 632 | 81.85 | 8.183 |
| 7.000—7.999 | 42 | 8,173,669.96 | 7.39 | 194,611.19 | 642 | 82.40 | 8.329 |
| 8.000—8.999 | 6 | 1,571,620.00 | 1.42 | 261,936.67 | 628 | 87.84 | 8.832 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Maximum Mortgage Rate
Maximum Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000—0.999 | 17 | $3,316,213.47 | 3.00% | $195,071.38 | 659 | 78.99% | 8.205% |
| 11.000—11.999 | 4 | 1,269,354.97 | 1.15 | 317,338.74 | 667 | 76.14 | 6.107 |
| 12.000—12.999 | 32 | 7,522,309.12 | 6.80 | 235,072.16 | 652 | 80.55 | 6.459 |
| 13.000—13.999 | 116 | 27,217,181.08 | 24.61 | 234,630.87 | 633 | 80.17 | 7.320 |
| 14.000—14.999 | 223 | 49,370,965.08 | 44.63 | 221,394.46 | 632 | 81.72 | 7.951 |
| 15.000—15.999 | 87 | 19,902,360.25 | 17.99 | 228,762.76 | 642 | 83.13 | 8.579 |
| 16.000—16.999 | 13 | 2,012,950.00 | 1.82 | 154,842.31 | 630 | 82.16 | 9.646 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Minimum Mortgage Rate
Minimum Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000—0.999 | 17 | $3,316,213.47 | 3.00% | $195,071.38 | 659 | 78.99% | 8.205% |
| 2.000—2.999 | 3 | 468,850.00 | 0.42 | 156,283.33 | 626 | 70.29 | 8.661 |
| 4.000—4.999 | 16 | 2,558,600.00 | 2.31 | 159,912.50 | 648 | 81.77 | 7.966 |
| 5.000—5.999 | 58 | 13,402,872.35 | 12.12 | 231,084.01 | 647 | 79.12 | 7.925 |
| 6.000—6.999 | 105 | 24,610,733.17 | 22.25 | 234,387.93 | 633 | 80.60 | 7.319 |
| 7.000—7.999 | 171 | 39,212,343.74 | 35.45 | 229,311.95 | 629 | 81.50 | 7.583 |
| 8.000—8.999 | 106 | 24,235,215.24 | 21.91 | 228,634.11 | 644 | 83.48 | 8.403 |
| 9.000—9.999 | 16 | 2,806,506.00 | 2.54 | 175,406.63 | 633 | 83.12 | 9.436 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (IO Collateral)
Initial Rate Adjustment Date
Initial Interest Rate Adjustment Date | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| <= 2007-11 | 17 | $3,316,213.47 | 3.00% | $195,071.38 | 659 | 78.99% | 8.205% |
| 2007-12 | 61 | 16,536,012.17 | 14.95 | 271,082.17 | 636 | 80.61 | 7.070 |
| 2008-01 | 55 | 12,497,034.20 | 11.30 | 227,218.80 | 638 | 81.52 | 7.508 |
| 2008-02 | 73 | 14,584,885.88 | 13.19 | 199,792.96 | 641 | 81.27 | 7.884 |
| 2008-03 | 153 | 34,506,594.70 | 31.20 | 225,533.30 | 634 | 82.21 | 8.037 |
| 2008-04 | 45 | 10,011,839.00 | 9.05 | 222,485.31 | 640 | 80.97 | 8.059 |
| 2008-12 | 6 | 1,575,460.00 | 1.42 | 262,576.67 | 624 | 69.93 | 7.706 |
| 2009-01 | 6 | 2,066,138.13 | 1.87 | 344,356.36 | 631 | 82.78 | 7.194 |
| 2009-02 | 17 | 3,517,924.22 | 3.18 | 206,936.72 | 633 | 82.64 | 7.738 |
| 2009-03 | 43 | 9,121,192.20 | 8.25 | 212,120.75 | 636 | 81.53 | 8.271 |
| 2009-04 | 16 | 2,878,040.00 | 2.60 | 179,877.50 | 639 | 82.95 | 8.638 |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Distribution by Lien Type
Lien Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| First Lien | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
Total: | 492 | $110,611,333.97 | 100.00% | $224,819.78 | 637 | 81.37% | 7.825% |
The Mortgage Loans (Balloon Collateral)
Collateral Summary | ||||
| Statistics for the Mortgage Loans listed below are based on the Cut-off Date scheduled balances. | ||||
Scheduled Principal Balance: | $45,672,969.22 | |||
Number of Mortgage Loans: | 374 | |||
Average Scheduled Principal Balance: | $122,120.24 | |||
Weighted Average Gross Coupon: | 8.734% | |||
Weighted Average Original Credit Score³: | 616 | |||
Weighted Average Original LTV Ratio²: | 84.47% | |||
Weighted Average Combined LTV Ratio²: | 89.01% | |||
Weighted Average Stated Remaining Term (months): | 327 | |||
Weighted Average Original Term (months): | 329 | |||
Weighted Average Roll Term¹ (months): | 26 | |||
Weighted Average Gross Margin¹: | 6.358% | |||
Weighted Average Initial Rate Cap¹: | 2.937% | |||
Weighted Average Periodic Rate Cap¹: | 1.016% | |||
Weighted Average Gross Maximum Lifetime Rate¹: | 14.903% | |||
Weighted Average Gross Minimum Lifetime Rate¹: | 8.052% | |||
Interest Only Loans: | 0.00% | |||
Silent Seconds: | 23.62% | |||
(1) Includes adjustable-rate Mortgage Loans only. | ||||
(2) The original loan-to-value (“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The combined loan-to-value of a mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) either (x) for junior lien mortgage loans the outstanding balance of the senior lien mortgage loan at the date of origination of such mortgage loan, or (y) for first-lien mortgage loans the outstanding balance of any junior lien mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. | ||||
(3) Does not include loans with no credit score available. | ||||
The Mortgage Loans (Balloon Collateral)
Distribution by Product Type
Product Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 30/15 Fixed | 190 | $7,833,145.64 | 17.15% | $41,227.08 | 637 | 98.35% | 11.158% |
| 40/30 2/1 ARM | 142 | 30,302,024.76 | 66.35 | 213,394.54 | 610 | 81.54 | 8.257 |
| 40/30 3/1 ARM | 38 | 7,038,390.30 | 15.41 | 185,220.80 | 617 | 81.52 | 8.100 |
| 40/30 5/1 ARM | 1 | 167,285.31 | 0.37 | 167,285.31 | 610 | 90.00 | 8.800 |
| 40/30 Fixed | 3 | 332,123.21 | 0.73 | 110,707.74 | 637 | 84.53 | 8.549 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Current Gross Mortgage Rate
Current Gross Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 6.000—6.499 | 2 | $419,384.00 | 0.92% | $209,692.00 | 672 | 80.00% | 6.390% |
| 6.500—6.999 | 4 | 723,354.25 | 1.58 | 180,838.56 | 624 | 76.54 | 6.823 |
| 7.000—7.499 | 22 | 4,994,778.17 | 10.94 | 227,035.37 | 640 | 79.53 | 7.294 |
| 7.500—7.999 | 56 | 11,759,530.57 | 25.75 | 209,991.62 | 620 | 79.89 | 7.740 |
| 8.000—8.499 | 25 | 5,294,898.88 | 11.59 | 211,795.96 | 609 | 80.34 | 8.257 |
| 8.500—8.999 | 59 | 9,901,732.33 | 21.68 | 167,825.97 | 605 | 84.43 | 8.725 |
| 9.000—9.499 | 13 | 2,854,786.76 | 6.25 | 219,598.98 | 575 | 84.23 | 9.259 |
| 9.500—9.999 | 38 | 2,825,696.52 | 6.19 | 74,360.43 | 602 | 90.10 | 9.798 |
| 10.000—10.499 | 17 | 1,204,395.43 | 2.64 | 70,846.79 | 620 | 92.07 | 10.213 |
| 10.500—10.999 | 15 | 699,748.45 | 1.53 | 46,649.90 | 646 | 99.97 | 10.818 |
| 11.000—11.499 | 16 | 551,809.80 | 1.21 | 34,488.11 | 644 | 99.22 | 11.255 |
| 11.500—11.999 | 47 | 2,011,896.22 | 4.41 | 42,806.30 | 646 | 98.65 | 11.681 |
| 12.000—12.499 | 39 | 1,624,088.48 | 3.56 | 41,643.29 | 631 | 99.38 | 12.058 |
| 12.500—12.999 | 12 | 491,368.99 | 1.08 | 40,947.42 | 620 | 99.67 | 12.593 |
| 13.000—13.499 | 3 | 92,927.75 | 0.20 | 30,975.92 | 609 | 99.58 | 13.139 |
| 13.500—13.999 | 6 | 222,572.62 | 0.49 | 37,095.44 | 581 | 99.89 | 13.726 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
The Mortgage Loans (Balloon Collateral)
Distribution by Original Principal Balance
Original Mortgage Loan Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.01—25,000.00 | 36 | $782,450.37 | 1.71% | $21,734.73 | 623 | 99.14% | 11.078% |
| 25,000.01—50,000.00 | 111 | 3,932,844.96 | 8.61 | 35,431.04 | 636 | 99.02 | 11.476 |
| 50,000.01—75,000.00 | 31 | 1,878,481.11 | 4.11 | 60,596.16 | 637 | 99.58 | 11.102 |
| 75,000.01—100,000.00 | 22 | 1,971,882.33 | 4.32 | 89,631.02 | 623 | 86.72 | 9.429 |
| 100,000.01—125,000.00 | 22 | 2,577,405.60 | 5.64 | 117,154.80 | 602 | 82.84 | 8.872 |
| 125,000.01—150,000.00 | 27 | 3,740,464.42 | 8.19 | 138,535.72 | 616 | 78.76 | 8.135 |
| 150,000.01—175,000.00 | 31 | 5,092,403.43 | 11.15 | 164,271.08 | 604 | 83.62 | 8.276 |
| 175,000.01—200,000.00 | 18 | 3,367,120.62 | 7.37 | 187,062.26 | 606 | 80.86 | 8.202 |
| 200,000.01—225,000.00 | 18 | 3,862,527.73 | 8.46 | 214,584.87 | 630 | 82.84 | 8.071 |
| 225,000.01—250,000.00 | 15 | 3,584,737.07 | 7.85 | 238,982.47 | 603 | 78.47 | 8.303 |
| 250,000.01—275,000.00 | 10 | 2,612,903.39 | 5.72 | 261,290.34 | 616 | 80.98 | 7.885 |
| 275,000.01—300,000.00 | 10 | 2,907,818.02 | 6.37 | 290,781.80 | 601 | 82.01 | 8.201 |
| 300,000.01—325,000.00 | 2 | 624,988.93 | 1.37 | 312,494.47 | 571 | 82.45 | 8.725 |
| 325,000.01—350,000.00 | 4 | 1,340,182.16 | 2.93 | 335,045.54 | 595 | 81.66 | 8.439 |
| 350,000.01—375,000.00 | 7 | 2,538,976.36 | 5.56 | 362,710.91 | 608 | 83.94 | 8.687 |
| 375,000.01—400,000.00 | 1 | 399,758.90 | 0.88 | 399,758.90 | 581 | 80.65 | 10.200 |
| 400,000.01—425,000.00 | 1 | 403,432.59 | 0.88 | 403,432.59 | 629 | 95.00 | 8.330 |
| 425,000.01—450,000.00 | 2 | 865,846.54 | 1.90 | 432,923.27 | 666 | 80.00 | 7.414 |
| 450,000.01—500,000.00 | 4 | 1,880,904.59 | 4.12 | 470,226.15 | 613 | 79.94 | 7.933 |
| 500,000.01—600,000.00 | 1 | 594,605.23 | 1.30 | 594,605.23 | 695 | 85.00 | 7.500 |
| 700,000.01—800,000.00 | 1 | 713,234.87 | 1.56 | 713,234.87 | 675 | 85.00 | 7.250 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
The Mortgage Loans (Balloon Collateral)
Distribution by Current Unpaid Principal Balance
Current Unpaid Principal Balance ($) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.01—25,000.00 | 36 | $782,450.37 | 1.71% | $21,734.73 | 623 | 99.14% | 11.078% |
| 25,000.01—50,000.00 | 111 | 3,932,844.96 | 8.61 | 35,431.04 | 636 | 99.02 | 11.476 |
| 50,000.01—75,000.00 | 31 | 1,878,481.11 | 4.11 | 60,596.16 | 637 | 99.58 | 11.102 |
| 75,000.01—100,000.00 | 22 | 1,971,882.33 | 4.32 | 89,631.02 | 623 | 86.72 | 9.429 |
| 100,000.01—125,000.00 | 22 | 2,577,405.60 | 5.64 | 117,154.80 | 602 | 82.84 | 8.872 |
| 125,000.01—150,000.00 | 27 | 3,740,464.42 | 8.19 | 138,535.72 | 616 | 78.76 | 8.135 |
| 150,000.01—175,000.00 | 31 | 5,092,403.43 | 11.15 | 164,271.08 | 604 | 83.62 | 8.276 |
| 175,000.01—200,000.00 | 18 | 3,367,120.62 | 7.37 | 187,062.26 | 606 | 80.86 | 8.202 |
| 200,000.01—225,000.00 | 18 | 3,862,527.73 | 8.46 | 214,584.87 | 630 | 82.84 | 8.071 |
| 225,000.01—250,000.00 | 15 | 3,584,737.07 | 7.85 | 238,982.47 | 603 | 78.47 | 8.303 |
| 250,000.01—275,000.00 | 10 | 2,612,903.39 | 5.72 | 261,290.34 | 616 | 80.98 | 7.885 |
| 275,000.01—300,000.00 | 10 | 2,907,818.02 | 6.37 | 290,781.80 | 601 | 82.01 | 8.201 |
| 300,000.01—325,000.00 | 2 | 624,988.93 | 1.37 | 312,494.47 | 571 | 82.45 | 8.725 |
| 325,000.01—350,000.00 | 4 | 1,340,182.16 | 2.93 | 335,045.54 | 595 | 81.66 | 8.439 |
| 350,000.01—375,000.00 | 7 | 2,538,976.36 | 5.56 | 362,710.91 | 608 | 83.94 | 8.687 |
| 375,000.01—400,000.00 | 1 | 399,758.90 | 0.88 | 399,758.90 | 581 | 80.65 | 10.200 |
| 400,000.01—425,000.00 | 1 | 403,432.59 | 0.88 | 403,432.59 | 629 | 95.00 | 8.330 |
| 425,000.01—450,000.00 | 2 | 865,846.54 | 1.90 | 432,923.27 | 666 | 80.00 | 7.414 |
| 450,000.01—500,000.00 | 4 | 1,880,904.59 | 4.12 | 470,226.15 | 613 | 79.94 | 7.933 |
| 500,000.01—600,000.00 | 1 | 594,605.23 | 1.30 | 594,605.23 | 695 | 85.00 | 7.500 |
| 700,000.01—800,000.00 | 1 | 713,234.87 | 1.56 | 713,234.87 | 675 | 85.00 | 7.250 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Remaining Term to Maturity
Remaining Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 171—180 | 190 | $7,833,145.64 | 17.15% | $41,227.08 | 637 | 98.35% | 11.158% |
| 351—360 | 184 | 37,839,823.58 | 82.85 | 205,651.22 | 612 | 81.60 | 8.233 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
The Mortgage Loans (Balloon Collateral)
Distribution by Original Term to Maturity
Original Term (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 180 | 190 | $7,833,145.64 | 17.15% | $41,227.08 | 637 | 98.35% | 11.158% |
| 359 | 1 | 243,510.09 | 0.53 | 243,510.09 | 602 | 75.00 | 7.550 |
| 360 | 183 | 37,596,313.49 | 82.32 | 205,444.34 | 612 | 81.64 | 8.237 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Combined Loan-to-Value Ratio
Combined Loan-To-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 35.01—40.00 | 1 | $34,371.57 | 0.08% | $34,371.57 | 687 | 40.00% | 11.875% |
| 40.01—45.00 | 1 | 144,815.01 | 0.32 | 144,815.01 | 565 | 40.28 | 7.660 |
| 45.01—50.00 | 1 | 119,914.06 | 0.26 | 119,914.06 | 589 | 47.92 | 8.650 |
| 55.01—60.00 | 3 | 609,128.56 | 1.33 | 203,042.85 | 577 | 57.12 | 7.654 |
| 60.01—65.00 | 1 | 84,924.12 | 0.19 | 84,924.12 | 525 | 63.43 | 8.890 |
| 65.01—70.00 | 7 | 1,429,558.11 | 3.13 | 204,222.59 | 573 | 67.75 | 7.925 |
| 70.01—75.00 | 18 | 3,832,204.93 | 8.39 | 212,900.27 | 579 | 73.58 | 8.250 |
| 75.01—80.00 | 23 | 4,327,442.87 | 9.47 | 188,149.69 | 593 | 78.96 | 8.496 |
| 80.01—85.00 | 33 | 7,448,642.04 | 16.31 | 225,716.43 | 612 | 84.32 | 8.258 |
| 85.01—90.00 | 41 | 7,949,630.21 | 17.41 | 193,893.42 | 605 | 88.95 | 8.620 |
| 90.01—95.00 | 22 | 3,091,020.77 | 6.77 | 140,500.94 | 632 | 91.22 | 8.693 |
| 95.01—100.00 | 223 | 16,601,316.97 | 36.35 | 74,445.37 | 641 | 88.38 | 9.296 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Original Loan-to-Value Ratio
Original Loan-to-Value Ratio (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 35.01—40.00 | 1 | $34,371.57 | 0.08% | $34,371.57 | 687 | 40.00% | 11.875% |
| 40.01—45.00 | 1 | 144,815.01 | 0.32 | 144,815.01 | 565 | 40.28 | 7.660 |
| 45.01—50.00 | 1 | 119,914.06 | 0.26 | 119,914.06 | 589 | 47.92 | 8.650 |
| 55.01—60.00 | 3 | 609,128.56 | 1.33 | 203,042.85 | 577 | 57.12 | 7.654 |
| 60.01—65.00 | 1 | 84,924.12 | 0.19 | 84,924.12 | 525 | 63.43 | 8.890 |
| 65.01—70.00 | 7 | 1,429,558.11 | 3.13 | 204,222.59 | 573 | 67.75 | 7.925 |
| 70.01—75.00 | 20 | 4,266,362.66 | 9.34 | 213,318.13 | 583 | 73.46 | 8.142 |
| 75.01—80.00 | 74 | 14,456,421.98 | 31.65 | 195,357.05 | 629 | 79.62 | 7.971 |
| 80.01—85.00 | 33 | 7,448,642.04 | 16.31 | 225,716.43 | 612 | 84.32 | 8.258 |
| 85.01—90.00 | 40 | 7,770,288.55 | 17.01 | 194,257.21 | 607 | 89.76 | 8.673 |
| 90.01—95.00 | 19 | 2,256,985.06 | 4.94 | 118,788.69 | 628 | 94.73 | 9.037 |
| 95.01—100.00 | 174 | 7,051,557.50 | 15.44 | 40,526.19 | 636 | 99.87 | 11.394 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
The Mortgage Loans (Balloon Collateral)
Distribution by State
State | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| CA | 33 | $9,016,613.58 | 19.74% | $273,230.71 | 630 | 81.25% | 8.136% |
| AZ | 56 | 8,013,144.69 | 17.54 | 143,091.87 | 611 | 83.21 | 8.553 |
| FL | 42 | 6,086,178.95 | 13.33 | 144,909.02 | 618 | 84.81 | 8.774 |
| NV | 14 | 2,748,202.75 | 6.02 | 196,300.20 | 605 | 83.68 | 8.456 |
| MD | 11 | 2,109,507.53 | 4.62 | 191,773.41 | 608 | 82.85 | 8.352 |
| MI | 22 | 1,982,585.28 | 4.34 | 90,117.51 | 613 | 84.81 | 8.790 |
| GA | 20 | 1,711,416.94 | 3.75 | 85,570.85 | 616 | 89.29 | 9.583 |
| VA | 12 | 1,578,275.20 | 3.46 | 131,522.93 | 591 | 84.67 | 8.680 |
| MO | 14 | 1,146,567.84 | 2.51 | 81,897.70 | 626 | 86.38 | 9.280 |
| CO | 9 | 923,543.80 | 2.02 | 102,615.98 | 613 | 89.28 | 9.386 |
| Other | 141 | 10,356,932.66 | 22.68 | 73,453.42 | 616 | 87.06 | 9.262 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Occupancy Type
Occupancy | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Owner Occupied | 372 | $45,160,325.11 | 98.88% | $121,398.72 | 616 | 84.51% | 8.734% |
| Non-Owner Occupied | 2 | 512,644.11 | 1.12 | 256,322.06 | 618 | 80.79 | 8.758 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Property Type
Property Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Single Family | 288 | $35,706,691.41 | 78.18% | $123,981.57 | 613 | 84.28% | 8.786% |
| Pud-Detached | 62 | 6,879,445.76 | 15.06 | 110,958.80 | 624 | 85.27 | 8.539 |
| Condo 1-5 | 15 | 1,883,976.98 | 4.12 | 125,598.47 | 632 | 83.70 | 8.817 |
| Pud-Attached | 7 | 939,965.66 | 2.06 | 134,280.81 | 662 | 86.65 | 7.893 |
| Town/Rowhouse | 2 | 262,889.41 | 0.58 | 131,444.71 | 586 | 87.17 | 9.194 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
The Mortgage Loans (Balloon Collateral)
Distribution by Loan Purpose
Loan Purpose | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Equity Refinance | 152 | $26,945,841.30 | 59.00% | $177,275.27 | 605 | 82.26% | 8.464% |
| Purchase | 210 | 17,523,484.45 | 38.37 | 83,445.16 | 635 | 88.03 | 9.120 |
| Rate/Term | 12 | 1,203,643.47 | 2.64 | 100,303.62 | 593 | 82.07 | 9.180 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Documentation Type
Documentation Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| Stated Doc | 160 | $22,121,081.32 | 48.43% | $138,256.76 | 633 | 85.62% | 8.838% |
| Full Doc | 191 | 20,381,124.93 | 44.62 | 106,707.46 | 599 | 83.20 | 8.634 |
| Fast App | 20 | 3,024,424.64 | 6.62 | 151,221.23 | 612 | 83.84 | 8.560 |
| Lite Doc | 3 | 146,338.33 | 0.32 | 48,779.44 | 642 | 100.00 | 10.623 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Credit Score
Credit Score Range | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 520—539 | 10 | $1,645,480.95 | 3.60% | $164,548.10 | 533 | 72.21% | 8.654% |
| 540—559 | 8 | 1,357,769.98 | 2.97 | 169,721.25 | 549 | 77.29 | 9.100 |
| 560—579 | 32 | 6,223,807.33 | 13.63 | 194,493.98 | 569 | 80.35 | 8.675 |
| 580—599 | 57 | 6,955,766.82 | 15.23 | 122,031.00 | 590 | 83.13 | 8.814 |
| 600—619 | 80 | 8,128,478.92 | 17.80 | 101,605.99 | 609 | 87.34 | 8.838 |
| 620—639 | 44 | 6,543,631.29 | 14.33 | 148,718.89 | 628 | 86.26 | 8.342 |
| 640—659 | 71 | 6,998,074.98 | 15.32 | 98,564.44 | 648 | 86.85 | 9.059 |
| 660—679 | 47 | 5,009,514.22 | 10.97 | 106,585.41 | 669 | 86.00 | 8.716 |
| 680—699 | 25 | 2,810,444.73 | 6.15 | 112,417.79 | 689 | 86.43 | 8.375 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
The Mortgage Loans (Balloon Collateral)
Distribution by Original Prepayment Penalty Term
Prepayment Penalty Terms (months) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0 | 144 | $10,874,328.85 | 23.81% | $75,516.17 | 616 | 87.62% | 9.642% |
| 6 | 1 | 81,854.30 | 0.18 | 81,854.30 | 647 | 96.46 | 11.500 |
| 12 | 17 | 2,590,514.39 | 5.67 | 152,383.20 | 611 | 79.87 | 8.844 |
| 24 | 165 | 26,207,447.21 | 57.38 | 158,833.01 | 617 | 83.62 | 8.402 |
| 36 | 47 | 5,918,824.47 | 12.96 | 125,932.44 | 617 | 84.29 | 8.452 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Initial Interest Rate Cap
Initial Cap (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000 | 193 | $8,165,268.85 | 17.88% | $42,307.09 | 637 | 97.79% | 11.052% |
| 1.500 | 5 | 1,228,152.46 | 2.69 | 245,630.49 | 605 | 74.63 | 7.938 |
| 2.000 | 4 | 432,789.94 | 0.95 | 108,197.49 | 595 | 83.99 | 8.982 |
| 2.560 | 1 | 209,381.43 | 0.46 | 209,381.43 | 647 | 80.00 | 6.440 |
| 2.950 | 1 | 243,510.09 | 0.53 | 243,510.09 | 602 | 75.00 | 7.550 |
| 3.000 | 170 | 35,393,866.45 | 77.49 | 208,199.21 | 612 | 81.84 | 8.246 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Periodic Interest Rate Cap
Periodic Cap (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000 | 193 | $8,165,268.85 | 17.88% | $42,307.09 | 637 | 97.79% | 11.052% |
| 1.000 | 176 | 36,279,547.91 | 79.43 | 206,133.79 | 612 | 81.81 | 8.240 |
| 1.500 | 5 | 1,228,152.46 | 2.69 | 245,630.49 | 605 | 74.63 | 7.938 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
The Mortgage Loans (Balloon Collateral)
Distribution by Gross Margin
ARM Margin (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000—0.999 | 193 | $8,165,268.85 | 17.88% | $42,307.09 | 637 | 97.79% | 11.052% |
| 4.000—4.999 | 6 | 1,803,758.82 | 3.95 | 300,626.47 | 658 | 80.32 | 7.330 |
| 5.000—5.999 | 48 | 10,465,120.41 | 22.91 | 218,023.34 | 627 | 81.38 | 7.965 |
| 6.000—6.999 | 86 | 17,684,704.79 | 38.72 | 205,636.10 | 608 | 80.75 | 8.156 |
| 7.000—7.999 | 34 | 6,710,152.53 | 14.69 | 197,357.43 | 583 | 83.71 | 8.906 |
| 8.000—8.999 | 7 | 843,963.82 | 1.85 | 120,566.26 | 612 | 86.83 | 9.611 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Maximum Mortgage Rate
Maximum Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000—0.999 | 193 | $8,165,268.85 | 17.88% | $42,307.09 | 637 | 97.79% | 11.052% |
| 12.000—12.999 | 1 | 278,719.99 | 0.61 | 278,719.99 | 606 | 80.00 | 7.250 |
| 13.000—13.999 | 18 | 3,502,285.57 | 7.67 | 194,571.42 | 626 | 81.42 | 7.555 |
| 14.000—14.999 | 93 | 19,688,741.43 | 43.11 | 211,706.90 | 622 | 80.97 | 7.913 |
| 15.000—15.999 | 58 | 11,879,505.40 | 26.01 | 204,819.06 | 595 | 82.03 | 8.721 |
| 16.000—16.999 | 9 | 1,652,573.43 | 3.62 | 183,619.27 | 583 | 85.75 | 9.471 |
| 17.000—17.999 | 2 | 505,874.55 | 1.11 | 252,937.28 | 579 | 82.61 | 10.166 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Minimum Mortgage Rate
Minimum Mortgage Rate (%) | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| 0.000—0.999 | 193 | $8,165,268.85 | 17.88% | $42,307.09 | 637 | 97.79% | 11.052% |
| 4.000—4.999 | 3 | 629,387.06 | 1.38 | 209,795.69 | 648 | 75.24 | 7.608 |
| 5.000—5.999 | 4 | 869,718.17 | 1.90 | 217,429.54 | 644 | 87.61 | 8.772 |
| 6.000—6.999 | 8 | 1,692,838.59 | 3.71 | 211,604.82 | 626 | 84.11 | 7.762 |
| 7.000—7.999 | 73 | 15,857,499.29 | 34.72 | 217,226.02 | 625 | 79.82 | 7.605 |
| 8.000—8.999 | 69 | 13,791,529.42 | 30.20 | 199,877.24 | 603 | 82.51 | 8.549 |
| 9.000—9.999 | 21 | 4,033,633.37 | 8.83 | 192,077.78 | 572 | 83.30 | 9.469 |
| 10.000—10.999 | 3 | 633,094.47 | 1.39 | 211,031.49 | 593 | 85.10 | 10.145 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
The Mortgage Loans (Balloon Collateral)
Initial Rate Adjustment Date
Initial Interest Rate Adjustment Date | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| <= 2007-11 | 193 | $8,165,268.85 | 17.88% | $42,307.09 | 637 | 97.79% | 11.052% |
| 2007-12 | 4 | 1,024,998.84 | 2.24 | 256,249.71 | 594 | 74.07 | 7.806 |
| 2008-01 | 9 | 1,787,917.22 | 3.91 | 198,657.47 | 619 | 81.40 | 8.432 |
| 2008-02 | 52 | 10,757,709.11 | 23.55 | 206,879.02 | 607 | 80.50 | 8.030 |
| 2008-03 | 72 | 15,416,647.47 | 33.75 | 214,120.10 | 611 | 82.67 | 8.443 |
| 2008-04 | 5 | 1,314,752.12 | 2.88 | 262,950.42 | 628 | 82.76 | 8.035 |
| 2008-12 | 2 | 517,651.82 | 1.13 | 258,825.91 | 602 | 73.58 | 8.241 |
| 2009-01 | 1 | 91,681.08 | 0.20 | 91,681.08 | 628 | 90.00 | 8.590 |
| 2009-02 | 16 | 3,191,569.34 | 6.99 | 199,473.08 | 619 | 82.72 | 8.003 |
| 2009-03 | 18 | 3,061,593.70 | 6.70 | 170,088.54 | 618 | 81.44 | 8.178 |
| 2009-04 | 1 | 175,894.36 | 0.39 | 175,894.36 | 605 | 80.00 | 7.850 |
| 2011-03 | 1 | 167,285.31 | 0.37 | 167,285.31 | 610 | 90.00 | 8.800 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Distribution by Lien Type
Lien Type | Number of Mortgage Loans | Principal Balance | Percentage of Mortgage Loans | Average Principal Balance | Weighted Average Credit Score | Weighted Average Loan-to Value Ratio | Weighted Average Gross Coupon |
| First Lien | 187 | $38,229,166.55 | 83.70% | $204,434.05 | 612 | 81.59% | 8.221% |
| Second Lien | 187 | 7,443,802.67 | 16.30 | 39,806.43 | 637 | 99.25 | 11.371 |
Total: | 374 | $45,672,969.22 | 100.00% | $122,120.24 | 616 | 84.47% | 8.734% |
Contact List
Bear Stearns Contacts |
Name: | Telephone: | E-Mail: |
Matthew Perkins Senior Managing Director | (212) 272-7977 | mperkins@bear.com |
Lisa Marks Managing Director | (212) 272-6024 | lmarks@bear.com |
Sally Kawana Associate Director | (212) 272-3509 | skawana@bear.com |
Thomas Durkin Associate Director | (212) 272-5451 | tdurkin@bear.com |
Nick Smith Vice President | (212) 272-1241 | nsmith@bear.com |
G. Scott Tabor Collateral Analyst | (212) 272-5925 | gtabor@bear.com |
Bear Stearns Trading Contacts |
Name: | Telephone: | E-Mail: |
Jeffrey Verschleiser Senior Managing Director | (212) 272-5451 | jverschleiser@bear.com |
Scott Eichel Senior Managing Director | (212) 272-5451 | seichel@bear.com |
Carol Fuller Senior Managing Director | (212) 272-4955 | cfuller@bear.com |
Angela Ward Associate Director | (212) 272-4955 | adward@bear.com |
Rating Agency Contacts |
Name: | Telephone: | E-Mail: |
Fitch Laura Pokojni Marc Lessner | (212) 908-0228 (212) 908-0693 | laura.pkojni@fitchratings.com marc.lessner@fitchratings.com |
Standard and Poor’s Becky Cao | (212) 438-2595 | becky_cao@sandp.com |
Moody’s Shachar Gonen | (212) 553-3711 | shachar.gonen@moodys.com |
Computational Materials
$743,362,000 (Approximate)
Carrington Mortgage Loan Trust, Series 2006-RFC1 Asset-Backed Pass-Through Certificates |
Carrington Securities, LP
Sponsor
Homecomings Financial Network, Inc.
Servicer
Residential Funding Corporation
Seller
Stanwich Asset Acceptance Company, L.L.C.
Depositor
Carrington Mortgage Loan Trust, Series 2006-RFC1
Issuing Entity
| Bear, Stearns & Co. Inc. | |
May 15, 2006
Filed pursuant to Rule 433(d)
Registration Statement No. 333-130210
STATEMENT REGARDING THIS FREE WRITING PROSPECTUS
The information in this free writing prospectus, if conveyed prior to the time of your contractual commitment to purchase any of the Offered Certificates, supersedes any information contained in any prior similar materials relating to the Offered Certificates. The information in this free writing prospectus is preliminary, and is subject to completion or change. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the Offered Certificates referred to in this free writing prospectus and to solicit an offer to purchase the Offered Certificates, 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 Offered Certificates, until we have accepted your offer to purchase Offered Certificates. 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 may be based on preliminary assumptions about the mortgage loans 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.
IMPORTANT NOTICE REGARDING THE CONDITIONS
FOR THIS OFFERING OF ASSET-BACKED SECURITIES
The Offered Certificates referred to in these materials are being offered when, as and if issued. The depositor is not obligated to issue such Offered Certificates or any similar security and the underwriter’s obligation to deliver such Offered Certificates is subject to the terms and conditions of the underwriting agreement with the depositor and the availability of such Offered Certificates when, as and if issued by the depositor. You are advised that the terms of the Offered Certificates, and the characteristics of the mortgage loan pool backing them, may change (due, among other things, to the possibility that mortgage loans that comprise the pool may become delinquent or defaulted or may be removed or replaced and that similar or different mortgage loans may be added to the pool, and that one or more classes of Offered Certificates may be split, combined or eliminated), at any time prior to issuance or availability of a final prospectus. You are advised that Offered Certificates may not be issued that have the characteristics described in these materials. The underwriter’s obligation to sell such Offered Certificates to you is conditioned on the mortgage loans and Offered Certificates having the characteristics described in these materials. If for any reason the depositor does not deliver such Offered Certificates, the underwriter will notify you, and neither the depositor nor any underwriter will have any obligation to you to deliver all or any portion of the Offered Certificates which you have committed to purchase, and none of the depositor nor any underwriter will be liable for any costs or damages whatsoever arising from or related to such non-delivery.
THE DEPOSITOR HAS FILED A REGISTRATION STATEMENT (INCLUDING A PROSPECTUS) WITH THE SECURITIES AND EXCHANGE COMMISSION (THE SEC) FOR THE OFFERING TO WHICH THIS COMMUNICATION RELATES. BEFORE YOU INVEST, YOU SHOULD READ THE PROSPECTUS IN THAT REGISTRATION STATEMENT AND OTHER DOCUMENTS THE DEPOSITOR HAS FILED WITH THE SEC FOR MORE COMPLETE INFORMATION ABOUT THE DEPOSITOR AND THE OFFERING. YOU MAY GET THESE DOCUMENTS AT NO CHARGE BY VISITING EDGAR ON THE SEC WEB SITE AT WWW.SEC.GOV. ALTERNATIVELY, THE DEPOSITOR, ANY UNDERWRITER OR ANY DEALER PARTICIPATING IN THE OFFERING WILL ARRANGE TO SEND YOU THE PROSPECTUS AT NO CHARGE IF YOU REQUEST IT BY CALLING TOLL-FREE 1-866-803-9204.
The Depositor has filed a registration statement including a prospectus) with the Securities and Exchange Commission (the SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the Depositor has filed with the SEC for more complete information about the Depositor and the offering.
Weighted Average Life Sensitivity | |||||
To Optional Redemption | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class A-1 | |||||
| WAL | 15.20 | 1.63 | 1.00 | 0.73 | 0.59 |
| Principal Window | 1 - 268 | 1 - 37 | 1 - 21 | 1 - 15 | 1 - 12 |
| Principal Window End | 9/25/2028 | 6/25/2009 | 2/25/2008 | 8/25/2007 | 5/25/2007 |
Class A-2 | |||||
| WAL | 24.26 | 4.26 | 2.00 | 1.54 | 1.17 |
| Principal Window | 268 - 319 | 37 - 75 | 21 - 29 | 15 - 21 | 12 - 17 |
| Principal Window End | 12/25/2032 | 8/25/2012 | 10/25/2008 | 2/25/2008 | 10/25/2007 |
Class A-3 | |||||
| WAL | 27.87 | 8.67 | 3.00 | 1.85 | 1.56 |
| Principal Window | 319 - 349 | 75 - 147 | 29 - 69 | 21 - 24 | 17 - 21 |
| Principal Window End | 6/25/2035 | 8/25/2018 | 2/25/2012 | 5/25/2008 | 2/25/2008 |
Class A-4 | |||||
| WAL | 29.09 | 12.33 | 5.84 | 2.06 | 1.78 |
| Principal Window | 349 - 349 | 147 - 148 | 69 - 70 | 24 - 26 | 21 - 22 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 7/25/2008 | 3/25/2008 |
Class M-1 | |||||
| WAL | 27.21 | 8.12 | 5.07 | 2.31 | 1.90 |
| Principal Window | 287 - 349 | 47 - 148 | 53 - 70 | 26 - 29 | 22 - 24 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 10/25/2008 | 5/25/2008 |
Class M-2 | |||||
| WAL | 27.21 | 8.12 | 4.66 | 2.60 | 2.04 |
| Principal Window | 287 - 349 | 47 - 148 | 48 - 70 | 29 - 33 | 24 - 25 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 2/25/2009 | 6/25/2008 |
Class M-3 | |||||
| WAL | 27.21 | 8.12 | 4.47 | 2.83 | 2.19 |
| Principal Window | 287 - 349 | 47 - 148 | 45 - 70 | 33 - 35 | 25 - 27 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 4/25/2009 | 8/25/2008 |
Class M-4 | |||||
| WAL | 27.21 | 8.12 | 4.38 | 3.09 | 2.32 |
| Principal Window | 287 - 349 | 47 - 148 | 43 - 70 | 35 - 41 | 27 - 29 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 10/25/2009 | 10/25/2008 |
* 85% CPR maximum in any given period.
Weighted Average Life Sensitivity | |||||
To Optional Redemption | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class M-5 | |||||
| WAL | 27.21 | 8.12 | 4.30 | 3.42 | 2.48 |
| Principal Window | 287 - 349 | 47 - 148 | 42 - 70 | 41 - 41 | 29 - 31 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 10/25/2009 | 12/25/2008 |
Class M-6 | |||||
| WAL | 27.21 | 8.12 | 4.25 | 3.42 | 2.59 |
| Principal Window | 287 - 349 | 47 - 148 | 41 - 70 | 41 - 41 | 31 - 31 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 10/25/2009 | 12/25/2008 |
Class M-7 | |||||
| WAL | 27.21 | 8.12 | 4.21 | 3.42 | 2.59 |
| Principal Window | 287 - 349 | 47 - 148 | 40 - 70 | 41 - 41 | 31 - 31 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 10/25/2009 | 12/25/2008 |
Class M-8 | |||||
| WAL | 27.21 | 8.12 | 4.17 | 3.42 | 2.59 |
| Principal Window | 287 - 349 | 47 - 148 | 39 - 70 | 41 - 41 | 31 - 31 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 10/25/2009 | 12/25/2008 |
Class M-9 | |||||
| WAL | 27.21 | 8.12 | 4.16 | 3.42 | 2.59 |
| Principal Window | 287 - 349 | 47 - 148 | 39 - 70 | 41 - 41 | 31 - 31 |
| Principal Window End | 6/25/2035 | 9/25/2018 | 3/25/2012 | 10/25/2009 | 12/25/2008 |
* 85% CPR maximum in any given period.
Weighted Average Life Sensitivity | |||||
To Maturity | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class A-1 | |||||
| WAL | 15.20 | 1.63 | 1.00 | 0.73 | 0.59 |
| Principal Window | 1 - 268 | 1 - 37 | 1 - 21 | 1 - 15 | 1 - 12 |
| Principal Window End | 9/25/2028 | 6/25/2009 | 2/25/2008 | 8/25/2007 | 5/25/2007 |
Class A-2 | |||||
| WAL | 24.26 | 4.26 | 2.00 | 1.54 | 1.17 |
| Principal Window | 268 - 319 | 37 - 75 | 21 - 29 | 15 - 21 | 12 - 17 |
| Principal Window End | 12/25/2032 | 8/25/2012 | 10/25/2008 | 2/25/2008 | 10/25/2007 |
Class A-3 | |||||
| WAL | 27.87 | 8.67 | 3.00 | 1.85 | 1.56 |
| Principal Window | 319 - 349 | 75 - 147 | 29 - 69 | 21 - 24 | 17 - 21 |
| Principal Window End | 6/25/2035 | 8/25/2018 | 2/25/2012 | 5/25/2008 | 2/25/2008 |
Class A-4 | |||||
| WAL | 29.55 | 16.62 | 8.23 | 2.06 | 1.78 |
| Principal Window | 349 - 358 | 147 - 302 | 69 - 167 | 24 - 26 | 21 - 22 |
| Principal Window End | 3/25/2036 | 7/25/2031 | 4/25/2020 | 7/25/2008 | 3/25/2008 |
Class M-1 | |||||
| WAL | 27.30 | 8.97 | 5.55 | 2.31 | 1.90 |
| Principal Window | 287 - 357 | 47 - 273 | 53 - 143 | 26 - 29 | 22 - 24 |
| Principal Window End | 2/25/2036 | 2/25/2029 | 4/25/2018 | 10/25/2008 | 5/25/2008 |
Class M-2 | |||||
| WAL | 27.30 | 8.96 | 5.12 | 2.60 | 2.04 |
| Principal Window | 287 - 357 | 47 - 264 | 48 - 137 | 29 - 33 | 24 - 25 |
| Principal Window End | 2/25/2036 | 5/25/2028 | 10/25/2017 | 2/25/2009 | 6/25/2008 |
Class M-3 | |||||
| WAL | 27.30 | 8.93 | 4.92 | 2.83 | 2.19 |
| Principal Window | 287 - 357 | 47 - 255 | 45 - 130 | 33 - 35 | 25 - 27 |
| Principal Window End | 2/25/2036 | 8/25/2027 | 3/25/2017 | 4/25/2009 | 8/25/2008 |
Class M-4 | |||||
| WAL | 27.30 | 8.91 | 4.81 | 4.23 | 2.32 |
| Principal Window | 287 - 357 | 47 - 248 | 43 - 126 | 35 - 103 | 27 - 29 |
| Principal Window End | 2/25/2036 | 1/25/2027 | 11/25/2016 | 12/25/2014 | 10/25/2008 |
* 85% CPR maximum in any given period.
Weighted Average Life Sensitivity | |||||
To Maturity | |||||
Percentage of Prepayment Assumption* | |||||
0PPC | 50PPC | 100PPC | 150PPC | 200PPC | |
Class M-5 | |||||
| WAL | 27.30 | 8.89 | 4.72 | 6.18 | 2.48 |
| Principal Window | 287 - 357 | 47 - 240 | 42 - 121 | 64 - 87 | 29 - 31 |
| Principal Window End | 2/25/2036 | 5/25/2026 | 6/25/2016 | 8/25/2013 | 12/25/2008 |
Class M-6 | |||||
| WAL | 27.30 | 8.85 | 4.64 | 4.97 | 2.65 |
| Principal Window | 287 - 357 | 47 - 231 | 41 - 116 | 55 - 69 | 31 - 33 |
| Principal Window End | 2/25/2036 | 8/25/2025 | 1/25/2016 | 2/25/2012 | 2/25/2009 |
Class M-7 | |||||
| WAL | 27.30 | 8.80 | 4.57 | 4.40 | 2.82 |
| Principal Window | 287 - 357 | 47 - 222 | 40 - 110 | 49 - 66 | 33 - 35 |
| Principal Window End | 2/25/2036 | 11/25/2024 | 7/25/2015 | 11/25/2011 | 4/25/2009 |
Class M-8 | |||||
| WAL | 27.30 | 8.74 | 4.50 | 4.05 | 3.69 |
| Principal Window | 287 - 357 | 47 - 211 | 39 - 104 | 45 - 62 | 35 - 71 |
| Principal Window End | 2/25/2036 | 12/25/2023 | 1/25/2015 | 7/25/2011 | 4/25/2012 |
Class M-9 | |||||
| WAL | 27.30 | 8.66 | 4.45 | 3.82 | 4.72 |
| Principal Window | 287 - 357 | 47 - 199 | 39 - 97 | 43 - 58 | 52 - 63 |
| Principal Window End | 2/25/2036 | 12/25/2022 | 6/25/2014 | 3/25/2011 | 8/25/2011 |
* 85% CPR maximum in any given period.
Net WAC Rate
Period | Net WAC Rate | Period | Net WAC Rate | |
| 1 | 7.36 | 37 | 9.89 | |
| 2 | 7.85 | 38 | 10.21 | |
| 3 | 7.60 | 39 | 9.88 | |
| 4 | 7.60 | 40 | 9.88 | |
| 5 | 7.85 | 41 | 10.23 | |
| 6 | 7.60 | 42 | 9.89 | |
| 7 | 7.86 | 43 | 10.22 | |
| 8 | 7.60 | 44 | 9.88 | |
| 9 | 7.60 | 45 | 9.88 | |
| 10 | 8.42 | 46 | 10.93 | |
| 11 | 7.61 | 47 | 9.86 | |
| 12 | 7.86 | 48 | 10.19 | |
| 13 | 7.61 | 49 | 9.85 | |
| 14 | 7.86 | 50 | 10.18 | |
| 15 | 7.61 | 51 | 9.84 | |
| 16 | 7.61 | 52 | 9.84 | |
| 17 | 7.87 | 53 | 10.16 | |
| 18 | 7.62 | 54 | 9.82 | |
| 19 | 7.87 | 55 | 10.15 | |
| 20 | 7.68 | 56 | 9.83 | |
| 21 | 7.70 | 57 | 9.82 | |
| 22 | 9.61 | 58 | 10.87 | |
| 23 | 9.54 | 59 | 9.81 | |
| 24 | 9.84 | 60 | 10.13 | |
| 25 | 9.49 | 61 | 9.80 | |
| 26 | 9.80 | 62 | 10.12 | |
| 27 | 9.48 | 63 | 9.79 | |
| 28 | 9.53 | 64 | 9.79 | |
| 29 | 9.85 | 65 | 10.11 | |
| 30 | 9.53 | 66 | 9.77 | |
| 31 | 9.84 | 67 | 10.09 | |
| 32 | 9.52 | 68 | 9.76 | |
| 33 | 9.52 | 69 | 9.75 | |
| 34 | 10.61 | 70 | 10.42 | |
| 35 | 9.90 | |||
| 36 | 10.23 |
Assumptions: Static Indices: 1mL= 5.080% 6mL=5.272%
10% Optional Cleanup Call Based On Pricing Prepayment Assumption
Class A Effective Maximum Rate*
Period | Class A AFC | Period | Class A AFC | |
| 1 | 11.50 | 37 | 218.41 | |
| 2 | 11.50 | 38 | 108.68 | |
| 3 | 11.50 | 39 | 27.60 | |
| 4 | 11.50 | 40 | 27.61 | |
| 5 | 11.50 | 41 | 28.36 | |
| 6 | 11.50 | 42 | 26.92 | |
| 7 | 11.50 | 43 | 27.29 | |
| 8 | 11.50 | 44 | 25.91 | |
| 9 | 11.50 | 45 | 25.43 | |
| 10 | 11.50 | 46 | 27.86 | |
| 11 | 11.50 | 47 | 24.86 | |
| 12 | 11.50 | 48 | 25.24 | |
| 13 | 11.50 | 49 | 24.01 | |
| 14 | 11.50 | 50 | 24.38 | |
| 15 | 11.50 | 51 | 23.20 | |
| 16 | 11.50 | 52 | 22.84 | |
| 17 | 11.50 | 53 | 23.34 | |
| 18 | 11.50 | 54 | 22.22 | |
| 19 | 11.50 | 55 | 22.61 | |
| 20 | 11.50 | 56 | 21.55 | |
| 21 | 11.50 | 57 | 21.23 | |
| 22 | 11.50 | 58 | 23.18 | |
| 23 | 11.50 | 59 | 20.67 | |
| 24 | 11.50 | 60 | 21.06 | |
| 25 | 11.50 | 61 | 20.09 | |
| 26 | 11.68 | 62 | 20.48 | |
| 27 | 11.50 | 63 | 19.55 | |
| 28 | 12.08 | 64 | 19.32 | |
| 29 | 12.91 | 65 | 19.94 | |
| 30 | 12.69 | 66 | 19.28 | |
| 31 | 13.34 | 67 | 19.90 | |
| 32 | 13.18 | 68 | 19.24 | |
| 33 | 13.51 | 69 | 19.22 | |
| 34 | 16.18 | 70 | 20.52 | |
| 35 | 15.94 | 71 | 19.17 | |
| 36 | 17.27 |
* Assumptions: Static Indices: 1mL=20.0% 6mL=20.0%
* 10% Optional Cleanup Call Based On Pricing Prepayment Assumption
* Includes any payments made from the applicable Interest Rate Cap Agreement
* The Class A Effective Maximum Rate is an annual rate calculated by taking the maximum amount of funds available to pay interest to the Class A Certificates on the related Distribution Date divided by the beginning Class A Certificate balance (adjusted for the actual number of days in the period).
Class M Effective Maximum Rate*
Period | Class M AFC | Period | Class M AFC | |
| 1 | 11.50 | 37 | 11.50 | |
| 2 | 11.50 | 38 | 11.58 | |
| 3 | 11.50 | 39 | 11.21 | |
| 4 | 11.50 | 40 | 11.63 | |
| 5 | 11.50 | 41 | 12.32 | |
| 6 | 11.50 | 42 | 11.91 | |
| 7 | 11.50 | 43 | 12.29 | |
| 8 | 11.50 | 44 | 11.88 | |
| 9 | 11.50 | 45 | 11.88 | |
| 10 | 11.50 | 46 | 13.31 | |
| 11 | 11.50 | 47 | 12.13 | |
| 12 | 11.50 | 48 | 12.52 | |
| 13 | 11.50 | 49 | 12.11 | |
| 14 | 11.50 | 50 | 12.50 | |
| 15 | 11.50 | 51 | 12.08 | |
| 16 | 11.50 | 52 | 12.09 | |
| 17 | 11.50 | 53 | 12.57 | |
| 18 | 11.50 | 54 | 12.15 | |
| 19 | 11.50 | 55 | 12.54 | |
| 20 | 11.50 | 56 | 12.14 | |
| 21 | 11.50 | 57 | 12.13 | |
| 22 | 11.50 | 58 | 13.42 | |
| 23 | 11.50 | 59 | 12.14 | |
| 24 | 11.50 | 60 | 12.54 | |
| 25 | 11.50 | 61 | 12.12 | |
| 26 | 11.50 | 62 | 12.51 | |
| 27 | 11.50 | 63 | 12.09 | |
| 28 | 11.50 | 64 | 12.08 | |
| 29 | 11.50 | 65 | 12.47 | |
| 30 | 11.50 | 66 | 12.05 | |
| 31 | 11.50 | 67 | 12.44 | |
| 32 | 11.50 | 68 | 12.02 | |
| 33 | 11.50 | 69 | 12.01 | |
| 34 | 11.82 | 70 | 12.82 | |
| 35 | 11.50 | 71 | 11.98 | |
| 36 | 11.57 |
* Assumptions: Static Indices: 1mL=20.0% 6mL=20.0%
* 10% Optional Cleanup Call Based On Pricing Prepayment Assumption
* Includes any payments made from the applicable Interest Rate Cap Agreement
* The Class M Effective Maximum Rate is an annual rate calculated by taking the maximum amount of funds available to pay interest to the Class M Certificates on the related Distribution Date divided by the beginning Class M Certificate balance (adjusted for the actual number of days in the period).
Assumed Monthly Excess Interest |
Period | Static LIBOR | Forward LIBOR | Period | Static LIBOR | Forward LIBOR | |
| 1 | 2.43 | 2.43 | 37 | 5.12 | 4.94 | |
| 2 | 2.77 | 2.71 | 38 | 5.08 | 4.89 | |
| 3 | 2.60 | 2.48 | 39 | 4.87 | 4.64 | |
| 4 | 2.60 | 2.42 | 40 | 4.91 | 4.70 | |
| 5 | 2.77 | 2.57 | 41 | 5.11 | 4.95 | |
| 6 | 2.61 | 2.38 | 42 | 4.94 | 4.75 | |
| 7 | 2.78 | 2.53 | 43 | 5.11 | 4.92 | |
| 8 | 2.61 | 2.32 | 44 | 4.94 | 4.72 | |
| 9 | 2.61 | 2.38 | 45 | 4.94 | 4.71 | |
| 10 | 3.12 | 2.88 | 46 | 5.44 | 5.28 | |
| 11 | 2.62 | 2.37 | 47 | 4.93 | 4.74 | |
| 12 | 2.79 | 2.55 | 48 | 5.09 | 4.91 | |
| 13 | 2.63 | 2.36 | 49 | 4.92 | 4.71 | |
| 14 | 2.79 | 2.51 | 50 | 5.08 | 4.89 | |
| 15 | 2.63 | 2.31 | 51 | 4.91 | 4.69 | |
| 16 | 2.63 | 2.28 | 52 | 4.90 | 4.70 | |
| 17 | 2.80 | 2.44 | 53 | 5.07 | 4.88 | |
| 18 | 2.64 | 2.24 | 54 | 4.89 | 4.69 | |
| 19 | 2.81 | 2.40 | 55 | 5.06 | 4.86 | |
| 20 | 2.71 | 2.28 | 56 | 4.89 | 4.68 | |
| 21 | 2.73 | 2.30 | 57 | 4.89 | 4.66 | |
| 22 | 4.40 | 3.99 | 58 | 5.39 | 5.23 | |
| 23 | 4.64 | 4.28 | 59 | 4.88 | 4.67 | |
| 24 | 4.80 | 4.45 | 60 | 5.05 | 4.84 | |
| 25 | 4.61 | 4.28 | 61 | 4.87 | 4.64 | |
| 26 | 4.77 | 4.47 | 62 | 5.04 | 4.82 | |
| 27 | 4.60 | 4.32 | 63 | 4.86 | 4.62 | |
| 28 | 4.67 | 4.49 | 64 | 4.86 | 4.62 | |
| 29 | 4.84 | 4.68 | 65 | 5.02 | 4.81 | |
| 30 | 4.68 | 4.52 | 66 | 4.84 | 4.60 | |
| 31 | 4.85 | 4.71 | 67 | 5.00 | 4.78 | |
| 32 | 4.68 | 4.55 | 68 | 4.82 | 4.57 | |
| 33 | 4.70 | 4.56 | 69 | 4.82 | 4.56 | |
| 34 | 5.27 | 5.14 | 70 | 5.15 | 4.94 | |
| 35 | 5.11 | 4.95 | ||||
| 36 | 5.28 | 5.12 |
| Assumptions: |
1. Run at pricing prepayment assumption |
2. Excess (30/360) |
3. Static Indices: 1mL = 5.080%; 6mL = 5.272% |
4. Forward 1mL used for Certificates, Forward 6mL used for Collateral 5. 10% optional clean-up call 6. Assumes weighted average servicing fee rate of 0.430% |
BREAKEVEN (LAST CDR PRIOR TO 1ST DOLLAR LOSS) |
BOND | CDR BE RATE | WAL | Cum Loss |
| M-1 | 36.64 | 4.96 | 23.43 |
| M-2 | 29.12 | 5.78 | 20.33 |
| M-3 | 25.25 | 7.00 | 18.51 |
| M-4 | 22.03 | 7.62 | 16.86 |
| M-5 | 19.14 | 8.14 | 15.25 |
| M-6 | 16.78 | 8.83 | 13.83 |
| M-7 | 14.58 | 9.30 | 12.42 |
| M-8 | 12.74 | 9.95 | 11.17 |
| M-9 | 11.39 | 10.84 | 10.20 |
Assumptions:
1. Trigger event is always in effect
2. 40 % loss severity
3. 6 months lag
4. Pricing prepayment assumption
5. Certificates use 1-month LIBOR forward and collateral uses 6-month LIBOR forward
6. P&I advance
7. Assumes weighted average servicing fee rate of 0.430%
8. Optional Termination is not exercised