Filed pursuant to Rule 433(d)
Registration Statement No. 333-130961
First Franklin Mortgage Loan Trust
2006-FF8
Marketing Materials
$826,799,000 (Approximate)
Financial Asset Securities Corp.
Depositor
National City Home Loan Services, Inc.
Servicer
First Franklin Financial Corporation
Originator
Lead Underwriter
This information is furnished to you solely by Greenwich Capital Markets, Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Structural Term Sheet is provided for information purposes only, and does not constitute an offer to sell, nor a solicitation of an offer to buy, the referenced securities. It does not purport to be all-inclusive or to contain all of the information that a prospective investor may require to make a full analysis of the transaction. All amounts are approximate and subject to change. The information contained herein supersedes information contained in any prior information term sheet for this transaction. In addition, the information contained herein may be superseded by information contained in term sheets circulated after the date hereof and is qualified in its entirety by information contained in the Prospectus and Prospectus Supplement for this transaction. An offering may be made only through the delivery of the Prospectus and Prospectus Supplement.
These Computational Materials should be accompanied by a one page disclaimer which must be read in its entirety by the addressee of this communication. If such disclaimer is not attached hereto, please contact your sales representative.
FOR ADDITIONAL INFORMATION PLEASE CALL: |
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RBS Greenwich Capital |
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Asset-Backed Finance |
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Patrick Leo | (203) 618-2952 |
Greg McSweeeney | (203) 618-2429 |
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Trading |
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Ron Weibye | (203) 625-6160 |
Peter McMullin | (203) 625-6160 |
Frank Skibo | (203) 625-6160 |
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Rating Agencies |
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Moody’s | |
Kruti Muni | (201) 915-8733 |
S&P | |
John Sang | (212) 438-6058 |
DBRS | |
Mark Zelmanovich | (212) 806-3260 |
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The issuer has filed a registration statement (including a base prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest in this offering, you should read the base prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov <http://www.sec.gov/>. Alternatively, RBS Greenwich Capital will arrange to send you the base prospectus at no charge if you request it by calling 1-866-884-2071 or emailing offeringmaterials@rbsgc.com.
This free writing prospectus is being delivered to you solely to provide you with information about the offering and to solicit an offer to purchase the offered securities. Any such offer to purchase made by you will not be accepted and will not constitute a contractual commitment by you to purchase any of the securities until we have accepted your offer to purchase such securities. Any such commitment shall be subject to the conditions specified below.
This free writing prospectus is not required to contain all of the information that is required to be included in the base prospectus and the prospectus supplement. The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase the offered securities, supersedes any prior version of this free writing prospectus and any information contained in any prior similar free writing prospectus relating to these securities. If a preliminary prospectus is conveyed to you prior to your commitment to purchase, that document supersedes all other information provided to you concerning the offered securities.
This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted.
The securities referred to in this free writing prospectus are being offered when, as and if issued. The issuer is not obligated to issue any such securities or any similar securities, and all or a portion of the securities may not be issued that have the characteristics described herein. The underwriters' obligation to deliver such securities is subject to the terms and conditions of the underwriting agreement with the issuer and the availability of the securities having the characteristics described herein. If, for any reason, the issuer does not deliver such securities, the underwriter will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery.
For asset-backed and mortgage-backed securities: Certain of the information contained herein may be based on numerous assumptions (including preliminary assumptions about the pool assets and structure), which may not be specifically identified as assumptions in the information. Any such information or assumptions are subject to change. The information in this free writing prospectus may reflect assumptions specifically requested by you. If so, prior to the time of your commitment to purchase, you should request updated information based on any assumptions specifically required by you.
Any legends, disclaimers or other notices that may appear below or on any electronic communication to which this free writing prospectus is attached which state that (1) these materials do not constitute an offer (or a solicitation of an offer), (2) no representation is made as to the accuracy or completeness of these materials and that these materials may not be updated or (3) these materials may be confidential are not applicable to this communication and should be disregarded. Such legends, disclaimers or other notices have been automatically generated as a result of this communication having been sent via Bloomberg or another system.
Preliminary Term Sheet | Date Prepared: June 1, 2006 |
$826,799,000 (Approximate)
First Franklin Mortgage Loan Trust 2006-FF8
Asset-Backed Certificates, Series 2006-FF8
| Principal | WAL (Years) | Payment Window | Expected Rating | Assumed Final | Certificate |
Class(1,2,3) | Amount ($) | Call/Mat(4) | Call/Mat(4) | Moody’s/S&P/DBRS | Distribution Date | Type |
I-A1 | $241,515,000 | Not Offered Hereby | [Aaa/AAA/AAA] | July 2036 | Floating Rate Senior |
II-A1 | $194,697,000 | 1.00 / 1.00 | 1-21 / 1-21 | [Aaa/AAA/AAA] | July 2036 | Floating Rate Senior |
II-A2 | $99,323,000 | 2.00 / 2.00 | 21-27 / 21-27 | [Aaa/AAA/AAA] | July 2036 | Floating Rate Senior |
II-A3 | $96,700,000 | 3.43 / 3.43 | 27-72 / 27-72 | [Aaa/AAA/AAA] | July 2036 | Floating Rate Senior |
II-A4 | $30,545,000 | 6.15 / 8.40 | 72-74 / 72-166 | [Aaa/AAA/AAA] | July 2036 | Floating Rate Senior |
M-1 | $31,881,000 | 3.68 / 3.68 | 41-47 / 41-47 | [Aa1/AA+/AA(high)] | July 2036 | Floating Rate Subordinate |
M-2 | $28,525,000 | 4.55 / 4.55 | 47-71 / 47-71 | [Aa2/AA+/AA(high)] | July 2036 | Floating Rate Subordinate |
M-3 | $17,199,000 | 6.14 / 8.17 | 71-74 / 71-151 | [Aa3/AA+/AA(high)] | July 2036 | Floating Rate Subordinate |
M-4 | $15,521,000 | 4.38 / 4.79 | 40-74 / 40-124 | [A1/AA/AA] | July 2036 | Floating Rate Subordinate |
M-5 | $14,682,000 | 4.35 / 4.73 | 40-74 / 40-118 | [A2/AA/AA] | July 2036 | Floating Rate Subordinate |
M-6 | $13,843,000 | 4.32 / 4.66 | 39-74 / 39-112 | [A3/A+/A(high)] | July 2036 | Floating Rate Subordinate |
M-7 | $11,745,000 | 4.30 / 4.60 | 38-74 / 38-104 | [Baa1/A/A] | July 2036 | Floating Rate Subordinate |
M-8 | $10,907,000 | 4.29 / 4.51 | 38-74 / 38-96 | [Baa2/A-/A(low)] | July 2036 | Floating Rate Subordinate |
M-9 | $5,873,000 | 4.29 / 4.43 | 37-74 / 37-87 | [Baa3/BBB/BBB] | July 2036 | Floating Rate Subordinate |
M-10 | $8,390,000 | 4.24 / 4.27 | 37-74 / 37-81 | [Ba1/BBB-/BBB] | July 2036 | Floating Rate Subordinate |
M-11 | $5,453,000 | 4.03 / 4.03 | 37-68 / 37-68 | [NR/BBB-/BBB(low)] | July 2036 | Floating Rate Subordinate |
M-12(5) | $4,614,000 | Privately Offered Certificates | [NR/BB+/BB(high)] | July 2036 | Floating Rate Subordinate |
(1) | The Class I-A1 Certificates are backed primarily by the cash flow from the Group I Mortgage Loans (as defined herein). The Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates are backed primarily by the cash flow from the Group II Mortgage Loans (as defined herein). The Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10, Class M-11 and Class M-12 Certificates are backed by the cash flows from the Group I Mortgage Loans and the Group II Mortgage Loans. The principal balance of each class of Offered Certificates (as defined herein) is subject to a 10% variance. |
(2) | The Class I-A1, Class II-A1, Class II-A2, Class II-A3, Class II-A4, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10, Class M-11 and Class M-12 Certificates are priced to call. The margin on the Class I-A1, Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates will double on the first Distribution Date after the Optional Termination Date may first be exercised. The margin on each 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, Class M-10, Class M-11 and Class M-12 Certificates will be equal to 1.5x the original margin on the first Distribution Date after the Optional Termination may first be exercised. |
(3) | See “Net WAC Rate” herein. |
(4) | See “Pricing Prepayment Speed” herein. |
(5) | The Class M-12 Certificates will be offered privately pursuant to Rule 144A of the Securities Act of 1933 to Qualified Institutional Buyers. The Class M-12 Certificates are described herein because their amount, structure, collateral, rights, risks and other characteristics affect the amount, structure, collateral, rights, risks and other characteristics of the Offered Certificates. |
Depositor: | Financial Asset Securities Corp. |
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Servicer: | National City Home Loan Services, Inc. |
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Lead Underwriter: | Greenwich Capital Markets, Inc. |
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Co-Underwriters: | Sandler O’Neill & Partners LLP, Morgan Keegan & Company, Inc. and National City Investments. |
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Trustee and Swap | |
Administrator: | Deutsche Bank National Trust Company. |
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Loss Mitigation Advisor: | Clayton Fixed Income Services Inc. formerly known as The Murrayhill Company. |
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Swap Provider: | TBD. |
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Interest Rate Cap Provider: | TBD. |
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Basis Risk Cap Provider: | TBD. |
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Originator: | First Franklin (“First Franklin”), a division of National City Bank of Indiana. |
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Offered Certificates: | The Class I-A1 Certificates (the “Group I Certificates”) and the Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates (together, the “Group II Certificates,” and collectively with the Group I Certificates, the “Class A Certificates”), and the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10, Class M-11 and Class M-12 Certificates (together, the “Class M Certificates”). The Class A Certificates and the Class M Certificates (other than the Class M-12 Certificates) are referred to herein as the “Offered Certificates.” The Class M-12 Certificates will be offered privately pursuant to Rule 144A of the Securities Act of 1933 to Qualified Institutional Buyers. The Class A Certificates and Class M Certificates are collectively referred to herein as the “Certificates.” |
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Federal Tax Status: | The Certificates will represent ownership of REMIC regular interests for tax purposes. |
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Registration: | The Certificates will be available in book-entry form through DTC and, upon request, through Clearstream, Luxembourg and the Euroclear System. |
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Cut-off Date: | The close of business on June 1, 2006. |
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Expected Pricing Date: | On or about the week of June [5], 2006. |
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Expected Closing Date: | On or about June 29, 2006. |
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Expected Settlement Date: | On or about June 29, 2006. |
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Distribution Date: | The 25th day of each month (or if not a business day, the next succeeding business day) commencing in July 2006. |
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Accrued Interest: | The price to be paid by investors for the Certificates will not include accrued interest (settling flat). |
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Interest Accrual Period: | The interest accrual period for each Distribution Date with respect to the Certificates will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to such Distribution Date (on an actual/360 basis). |
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Representations and | |
Warranties: | The Seller and/or the Originator will make certain representations and warranties with respect to the Mortgage Loans as of the Closing Date, including, but not limited to, the following: |
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| (i) All Mortgage Loans were originated in compliance with all applicable laws, including, but not limited to, all applicable anti-predatory lending laws; and |
| (ii) no Mortgage Loan is a High Cost Loan or a Covered Loan, as applicable (as such terms are defined in Standard & Poor’s LEVELS Version 5.6 Glossary Revised, Appendix E). |
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ERISA Eligibility: | The Class A Certificates may be purchased by ERISA plans after termination of the supplemental interest trust. Prior to termination of the supplemental interest trust, ERISA plans may purchase the Class A Certificates if they meet the requirements of an investor based class exemption. Other certificates may be purchased by ERISA plans investing through certain insurance company general accounts. |
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SMMEA Eligibility: | The Class A, Class M-1 and Class M-2 Certificates are expected to constitute “mortgage related securities” for purposes of SMMEA. |
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Optional Termination: | The terms of the transaction allow for a clean-up call of the Mortgage Loans and the retirement of the Certificates (the “Clean-up Call”), which may be exercised once the aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. |
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Pricing Prepayment Speed: | The Certificates will be priced based on the following collateral prepayment assumptions: |
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FRM Loans: | 100% PPC (100% PPC: 4.6% - 23% CPR over 12 months, 23% CPR thereafter) |
ARM Loans: | 100% PPC (100% PPC: 2% - 30% CPR over 12 months, remain constant at 30% CPR until month 23, increase to 60% CPR from month 24 until month 27, decrease to 35% CPR in month 28 and remain constant at 35% CPR thereafter) |
| Provided, however, the prepayment rate will not exceed 90% CPR in any period under any scenario. |
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Mortgage Loans: | As of the Cut-off Date, the aggregate principal balance of the Mortgage Loans was approximately $838,963,358, of which: (i) approximately $305,715,818 consisted of a pool of conforming balance fixed-rate and adjustable-rate, first-lien, fully amortizing and balloon mortgage loans (the “Group I Mortgage Loans”) and (ii) approximately $533,247,539 consisted of a pool of conforming and non-conforming balance fixed-rate and adjustable-rate, first-lien, fully amortizing and balloon mortgage loans (the “Group II Mortgage Loans” together with the Group I Mortgage Loans, the “Mortgage Loans”). |
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| With respect to approximately 50.91% of the Mortgage Loans, First Franklin also originated a second lien mortgage loan at the time of originating the first lien mortgage loan. |
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| On or prior to the Closing Date, it is expected that certain of the Mortgage Loans may be removed from the trust and certain other similar mortgage loans may be added to the trust. |
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| On the Closing Date, there may be up to 2.00% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date that are 30 days or more delinquent. |
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Adjusted Net Mortgage Rate: | The “Adjusted Net Mortgage Rate” for each Mortgage Loan is equal to the loan rate less the sum of (i) the Servicing Fee Rate (ii) the trustee fee rate and (iii) the Loss Mitigation Advisor fee. |
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Adjusted Net Maximum | |
Mortgage Rate: | The “Adjusted Net Maximum Mortgage Rate” for each Mortgage Loan is equal to the maximum loan rate (or the loan rate in the case of any fixed-rate Mortgage Loan) less the sum of (i) the Servicing Fee Rate (ii) the trustee fee rate and (iii) the Loss Mitigation Advisor fee. |
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Pass-Through Rate: | The “Pass-Through Rate” for each Class of Certificates will be equal to the lesser of (i) the related Formula Rate and (ii) the Net WAC Rate. |
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Formula Rate: | The “Formula Rate” on each Class of Certificates will be equal to the lesser of (i) One Month LIBOR plus the related margin for such Class and (ii) the Maximum Cap. |
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Net WAC Rate: | The “Net WAC Rate” for any Distribution Date, will be equal to the annual rate equal to the product of (a) the weighted average Adjusted Net Mortgage Rate of the Mortgage Loans in the prior calendar month less a percentage, the numerator of which is the product of twelve and an amount equal to the net swap payment and swap termination payment (other than any swap termination payment resulting from a swap provider trigger event) owed to the Swap Provider for such Distribution Date and the denominator of which is the aggregate principal balance of the Mortgage Loans in the prior calendar month and (b) a fraction whose numerator is 30 and whose denominator is the actual number of days in the related Accrual Period. |
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Maximum Cap: | The “Maximum Cap” on each Class of Certificates will be the weighted average of the Adjusted Net Maximum Mortgage Rates of the Mortgage Loans plus a fraction expressed as a percentage, the numerator of which is the product of twelve and an amount equal to the Net Swap Payment received by the trust from the Swap Provider and the Basis Risk Cap Agreement and the denominator of which is the aggregate principal balance of the Mortgage Loans in the prior calendar month, adjusted to an effective rate reflecting the accrual of interest on an actual/360 basis. |
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Net WAC Rate | |
Carryover Amount: | If, on any Distribution Date, the related Pass-Through Rate for any Class of Certificates is limited by the Net WAC Rate, the “Net WAC Rate Carryover Amount” for such Class is equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on such Class based on the Formula Rate over (b) the amount of interest accrued on such Class based on the Net WAC Rate and (ii) the unpaid portion of any Net WAC Rate Carryover Amount from the prior Distribution Date together with accrued interest on such unpaid portion at the related Formula Rate. Any Net WAC Rate Carryover Amount will be paid on such Distribution Date or future Distribution Dates to the extent of funds available. |
Interest Rate Swap Agreement: | On the Closing Date, the Trustee will enter into an Interest Rate Swap Agreement with notional amounts as shown in the Swap Schedule herein. Under the Interest Rate Swap Agreement, the Trust will be obligated to pay an amount equal to [5.390]% per annum on the notional amount as set forth in the Interest Rate Swap Agreement to the Swap Provider (on a 30/360 basis) and the Trust will be entitled to receive an amount equal to one-month LIBOR on the notional amount as set forth in the Interest Rate Swap Agreement from the Swap Provider (on an actual/360 basis), until the Interest Rate Swap Agreement is terminated. Only the net amount of the two obligations will be paid by the appropriate party (the “Net Swap Payment”) on each Distribution Date. Generally, the Net Swap Payment will be deposited into a swap account (the “Swap Account”) by the Swap Administrator pursuant to the Pooling Agreement and a swap administration agreement and amounts on deposit in the Swap Account will be distributed in accordance with the terms set forth in the Pooling Agreement. Upon early termination of the Interest Rate Swap Agreement, the Trust or the Swap Provider may be liable to make a termination payment (the ‘‘Swap Termination Payment’’) to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Interest Rate Swap Agreement and will generally be paid on the related Distribution Date and on any subsequent Distribution Date until paid in full. In the event that a Swap Termination Payment is paid to the Trust and a new successor swap provider is not found, such amount will remain in a reserve fund and only the Net Swap Payment that would normally be paid to the trust (assuming no Swap Termination Payment is made) is distributed through the swap waterfall. In the event that the Trust is required to make a Swap Termination Payment, such payment generally will be paid prior to distributions to Certificateholders. |
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Interest Rate Cap | |
Agreement: | On the Closing Date, the Trust will enter into the “Interest Rate Cap Agreement” to make payments based upon the priority of cashflows described within the Interest Rate Cap Account herein. On each Distribution Date, the counterparty to the Interest Rate Cap Agreement will be obligated to make a payment to the trust equal to the product of (a) the excess, if any, of (i) One Month LIBOR, subject to a maximum of 9.000% over (ii) the strike price for such Distribution Date specified on the Interest Rate Cap Agreement Schedule herein, accrued during the related Interest Accrual Period for the Offered Certificates and (b) the lesser of (i) the notional balance for such Distribution Date specified on the Interest Rate Cap Agreement Schedule herein and (ii) the excess, if any, of the outstanding balance of the Offered Certificates, for such distribution date, over the notional amount as set forth in the Interest Rate Swap Agreement, for such distribution date and (c) the actual number of days in the related Interest Accrual Period divided by 360. The Interest Rate Cap Agreement will terminate after the Distribution Date in February 2011. |
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Basis Risk Cap Agreement: | On the Closing Date, the Trust will enter into the “Basis Risk Cap Agreement” to make payments in respect of any Net WAC Rate Carryover Amounts on the Certificates, pro rata, based on aggregate certificate principal balance of such Certificates. On each Distribution Date, the counterparty to the Interest Rate Cap Agreement will be obligated to make a payment to the trust equal to the product of (a) the excess, if any, of (i) One Month LIBOR, subject to a maximum of 10.500% over (ii) the strike price for such Distribution Date specified on the Interest Rate Cap Agreement Schedule herein, accrued during the related Interest Accrual Period for the Offered Certificates and (b) the notional balance for such Distribution Date specified on the Interest Rate Cap Agreement Schedule herein and (c) the actual number of days in the related Interest Accrual Period divided by 360. The Basis Risk Cap Agreement will terminate after the Distribution Date in May 2007. |
Credit Enhancement: | Consists of the following: |
| 1) Excess Cashflow; |
| 2) Overcollateralization Amount; and |
| 3) Subordination. |
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Excess Cashflow: | The “Excess Cashflow” for any Distribution Date will be equal to the available funds remaining after priorities 1) and 2) under “Priority of Distributions.” |
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Overcollateralization | |
Amount: | The “Overcollateralization Amount” is equal to the excess of the aggregate principal balance of the Mortgage Loans over the aggregate principal balance of the Class A, Class M and Class P Certificates. On the Closing Date, the Overcollateralization Amount will be equal to approximately 0.90% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. To the extent the Overcollateralization Amount is reduced below the Overcollateralization Target Amount, Excess Cashflow will be directed to build the Overcollateralization Amount until the Overcollateralization Target Amount is reached. |
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Overcollateralization | |
Target Amount: | Prior to the Stepdown Date, the “Overcollateralization Target Amount” is approximately 0.90% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. |
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| On or after the Stepdown Date, the Overcollateralization Target Amount is approximately 1.80% of the aggregate principal balance of the Mortgage Loans for the related Distribution Date, subject to a floor equal to 0.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. |
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| If a Trigger Event is in effect on the related Distribution Date, the Overcollateralization Target Amount shall be equal to the Overcollateralization Target Amount for the previous Distribution Date. |
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Stepdown Date: | The earlier to occur of |
| (i) the Distribution Date on which the principal balance of the Class A Certificates has been reduced to zero and |
| (ii) the later to occur of |
| (x) the Distribution Date occurring in July 2009 and |
| (y) the first Distribution Date on which the Credit Enhancement Percentage |
| is greater than or equal to 42.00%. |
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Credit Enhancement | |
Percentage: | The “Credit Enhancement Percentage” for a Distribution Date is equal to (i) the sum of (a) the aggregate principal balance of the Subordinate Certificates and (b) the Overcollateralization Amount divided by (ii) the aggregate principal balance of the Mortgage Loans. |
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Delinquency Trigger | |
Event: | A “Delinquency Trigger Event” is in effect on any Distribution Date on or after the Stepdown Date, if the 60+ delinquency percentage exceeds [38.10]% of the current Credit Enhancement Percentage. |
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Loss Trigger Event: | A “Loss Trigger Event” is in effect on any Distribution Date on or after the Stepdown Date, if the cumulative realized losses on the Mortgage Loans as a percentage of the principal balance of the Mortgage Loans as of the Cut-off Date, for the related Distribution Date are greater than: |
Distribution Date | Percentage |
July 2008 to June 2009 | [1.40]% initially, plus 1/12th of [1.75]% for each month thereafter |
July 2009 to June 2010 | [3.15]% initially, plus 1/12th of [1.75]% for each month thereafter |
July 2010 to June 2011 | [4.90]% initially, plus 1/12th of [1.45]% for each month thereafter |
July 2011 to June 2012 | [6.35]% initially, plus 1/12th of [0.40]% for each month thereafter |
July 2012 and thereafter | [6.75]% |
Trigger Event: | A “Trigger Event” is in effect with respect to any Distribution Date if either a Loss Trigger Event or a Delinquency Trigger Event is in effect on such Distribution Date. |
Expected Credit Support
| Rating (M/S/D) | Initial Credit Support | After Stepdown Date Expected Support |
Senior Certificates | [Aaa/AAA/AAA] | 21.00% | 42.00% |
Class M-1 | [Aa1/AA+/AA(high)] | 17.20% | 34.40% |
Class M-2 | [Aa2/AA+/AA(high)] | 13.80% | 27.60% |
Class M-3 | [Aa3/AA+/AA(high)] | 11.75% | 23.50% |
Class M-4 | [A1/AA/AA] | 9.90% | 19.80% |
Class M-5 | [A2/AA/AA] | 8.15% | 16.30% |
Class M-6 | [A3/A+/A(high)] | 6.50% | 13.00% |
Class M-7 | [Baa1/A/A] | 5.10% | 10.20% |
Class M-8 | [Baa2/A-/A(low)] | 3.80% | 7.60% |
Class M-9 | [Baa3/BBB/BBB] | 3.10% | 6.20% |
Class M-10 | [Ba1/BBB-/BBB] | 2.10% | 4.20% |
Class M-11 | [NR/BBB-/BBB(low)] | 1.45% | 2.90% |
Class M-12 | [NR/BB+/BB(high)] | 0.90% | 1.80% |
Realized Losses: | If a Mortgage Loan becomes a liquidated loan, the net liquidation proceeds relating thereto may be less than the principal balance on such Mortgage Loan. The amount of such insufficiency is a “Realized Loss.” Realized Losses on the Mortgage Loans will, in effect, be absorbed first, by the Excess Cashflow and second by the reduction of the Overcollateralization Amount. Following the reduction of any Overcollateralization Amount to zero, all allocable Realized Losses will be applied in reverse sequential order, first to the Class M-12 Certificates, second to the Class M-11 Certificates, third to the Class M-10 Certificates, fourth to the Class M-9 Certificates, fifth to the Class M-8 Certificates, sixth to the Class M-7 Certificates, seventh to the Class M-6 Certificates, eighth to the Class M-5 Certificates, ninth to the Class M-4 Certificates, tenth to the Class M-3 Certificates and eleventh to the Class M-2 Certificates, twelfth to the Class M-1 Certificates. Realized Losses will not be allocated to any of the Class A Certificates. |
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Priority of | |
Distributions: | Available funds from the Mortgage Loans will be distributed first to pay servicing fees and trustee fees, second, to the Swap Account, net swap payments and swap termination payments (other than any swap termination payment resulting from a swap provider trigger event) owed to the Swap Provider and the remainder will be distributed as follows: |
1) Interest funds, as follows: first, monthly interest plus any previously unpaid interest to the Class A Certificates, generally from the related loan group, second, monthly interest to the Class M-1 Certificates, third, monthly interest to the Class M-2 Certificates, fourth, monthly interest to the Class M-3 Certificates, fifth, monthly interest to the Class M-4 Certificates, sixth, monthly interest to the Class M-5 Certificates, seventh, monthly interest to the Class M-6 Certificates, eighth, monthly interest to the Class M-7 Certificates, ninth, monthly interest to the Class M-8 Certificates, tenth, monthly interest to the Class M-9 Certificates, eleventh, monthly interest to the Class M-10 Certificates and twelfth, monthly interest to the Class M-11 Certificates, and fourteenth, monthly interest to the Class M-12 Certificates.
2) Principal funds, as described under "Principal Paydown."
3) Excess Cashflow as follows: as principal to the Class A, Class M and Class B Certificates to build the Overcollateralization Amount as described under "Principal Paydown" in the order of priority described below.
4) Any previously unpaid interest to the Class M-1 Certificates, then any unpaid applied Realized Loss amount to the Class M-1 Certificates, then any previously unpaid interest to the Class M-2 Certificates, then any unpaid applied Realized Loss amount to the Class M-2 Certificates, then any previously unpaid interest to the Class M-3 Certificates, then any unpaid applied Realized Loss amount to the Class M-3 Certificates, then any previously unpaid interest to the Class M-4 Certificates, then any unpaid applied Realized Loss amount to the Class M-4 Certificates, then any previously unpaid interest to the Class M-5 Certificates, then any unpaid applied Realized Loss amount to the Class M-5 Certificates, then any previously unpaid interest to the Class M-6 Certificates, then any unpaid applied Realized Loss amount to the Class M-6 Certificates, then any previously unpaid interest to the Class M-7 Certificates, then any unpaid applied Realized Loss amount to the Class M-7 Certificates, then any previously unpaid interest to the Class M-8 Certificates, then any unpaid applied Realized Loss amount to the Class M-8 Certificates, then any previously unpaid interest to the Class M-9 Certificates, then any unpaid applied Realized Loss amount to the Class M-9 Certificates, then any previously unpaid interest to the Class M-10 Certificates, and then any unpaid applied Realized Loss amount to the Class M-10 Certificates, then any previously unpaid interest to the Class M-11 Certificates, and then any unpaid applied Realized Loss amount to the Class M-11 Certificates then any previously unpaid interest to the Class M-12 Certificates and then any unpaid applied Realized Loss amount to the Class M-12 Certificates.
5) Any remaining Excess Cashflow to the Net WAC Rate Carryover Reserve Account to be paid to the Class A Certificates, pro-rata and then to the Subordinate Certificates sequentially, to the extent of any unpaid Net WAC Rate Carryover Amount payable to the Certificates, before taking into account payments received by the trust from the Interest Rate Swap Agreement.
6) Any remaining Excess Cashflow to the holders of the non-offered classes of certificates as described in the pooling agreement (including any Swap Termination Payment owed to the Swap Provider due to a Swap Provider trigger event pursuant to the Interest Rate Swap Agreement).
Principal Paydown: | Principal will be distributed to the Class I-A1 Certificates from principal received on the Group I Mortgage Loans and the Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates, sequentially, from principal received from the Group II Mortgage Loans, in each case, until the certificate principal balance thereof has been reduced to zero. In certain limited circumstances described in the prospectus supplement, principal will be distributed to the Senior Certificates from the unrelated loan group, to the extent not received from the related loan group. |
| |
| Prior to the Stepdown Date or if a Trigger Event is in effect, 100% of principal will be paid to the Class A Certificates generally pro rata, based on principal collected in the related loan group, provided, however if the Class A Certificates have been retired, principal will be applied sequentially in the following order of priority: 1) Class M-1 Certificates, 2) Class M-2 Certificates, 3) Class M-3 Certificates, 4) Class M-4 Certificates, 5) Class M-5 Certificates, 6) Class M-6 Certificates, 7) Class M-7 Certificates, 8) Class M-8 Certificates, 9) Class M-9 Certificates, 10) Class M-10 Certificates, 11) the Class M-11 Certificates and 13) Class M-12 Certificates. |
| |
| On or after the Stepdown Date and if a Trigger Event is not in effect, the Certificates will be entitled to receive payments of principal in the following order of priority: first to the Class A Certificates, generally pro rata based on the principal collected in the related loan group, such that the Class A Certificates will have at least 42.00% credit enhancement, second to the Class M-1, Class M-2 and Class M-3 Certificates, sequentially, such that the Class M-1, Class M-2 and Class M-3 Certificates in the aggregate will have at least 23.50% credit enhancement, third, to the Class M-4 Certificates such that the Class M-4 Certificates will have at least 19.80% credit enhancement, fourth, to the Class M-5 Certificates such that the Class M-5 Certificates will have at least 16.30% credit enhancement, fifth, to the Class M-6 Certificates such that the Class M-6 Certificates will have at least 13.00% credit enhancement, sixth, to the Class M-7 Certificates such that the Class M-7 Certificates will have at least 10.20% credit enhancement, seventh, to the Class M-8 Certificates such that the Class M-8 Certificates will have at least 7.60% credit enhancement, eighth, to the Class M-9 Certificates such that the Class M-9 Certificates will have at least 6.20% credit enhancement, ninth, to the Class M-10 Certificates such that the Class M-10 Certificates will have at least 4.20% credit enhancement, tenth, to the Class M-11 Certificates such that the Class M-11 Certificates will have at least 2.90% credit enhancement and eleventh, to the Class M-12 Certificates such that the Class M-12 Certificates will have at least 1.80% credit enhancement (subject, in the case of the most subordinate certificate outstanding). |
Swap Account: | Funds deposited into the Swap Account on a Distribution Date will include: (i) the net swap payments owed to the Swap Provider for such Distribution Date. (ii) any net swap payments received from the Swap Provider for such Distribution Date. On each Distribution Date, following the distribution of Excess Cashflow, payments made pursuant to the Interest Rate Swap Agreement shall be distributed from the Swap Account as follows: (i) to the Swap Provider, any Net Swap Payment owed to the Swap Provider pursuant to the Interest Rate Swap Agreement for such Distribution Date; (ii) to the Swap Provider, any Swap Termination Payment owed to the Swap Provider not due to a Swap Provider trigger event pursuant to the Interest Rate Swap Agreement; (iii) to the Class A Certificates, any unpaid interest, pro rata, including any accrued unpaid interest from a prior Distribution Date; (iv) to the Mezzanine Certificates, sequentially, any unpaid interest, including any accrued unpaid interest from prior Distribution Dates; (v) to the Class A Certificates and the Mezzanine Certificates, any principal in accordance with the principal payment provisions described above under “Principal Paydown” in an amount necessary to maintain the applicable Overcollateralization Target Amount; (vi) to the Mezzanine Certificates, sequentially, any remaining Allocated Realized Loss Amounts; (vii) an amount equal to any unpaid remaining Net WAC Rate Carryover Amounts with respect to the Class A and Mezzanine Certificates to such Certificates first, pro rata, to the Class A Certificates based on the remaining Net WAC Carryover Amount and second, 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, Class M-10, Class M-11 and Class M-12 Certificates. |
Interest Rate Cap Agreement | |
Account: | Funds deposited into the Interest Rate Cap Agreement Account on a Distribution Date will include: (i) the payments received by the Cap Provider for such Distribution Date. On each Distribution Date, following the distribution of Excess Cashflow and funds deposited into the Swap Account, payments made pursuant to the Interest Rate Cap Agreement shall be distributed from the Cap Account as follows: (i) to the Class A Certificates, any unpaid interest, pro rata, including any accrued unpaid interest from a prior Distribution Date; (ii) to the Mezzanine Certificates, sequentially, any unpaid interest, including any accrued unpaid interest from prior Distribution Dates; (iii) to the Class A Certificates and the Mezzanine Certificates, any principal in accordance with the principal payment provisions described above under “Principal Paydown” in an amount necessary to maintain the applicable Overcollateralization Target Amount; (iv) to the Mezzanine Certificates, sequentially, any remaining Allocated Realized Loss Amounts; an amount equal to any unpaid remaining Net WAC Rate Carryover Amounts with respect to the Class A and Mezzanine Certificates to such Certificates first, pro rata, to the Class A Certificates based on the remaining Net WAC Carryover Amount and second, 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, Class M-10, Class M-11 and Class M-12 Certificates. |
Total Mortgage Loans |
As of the Statistical Cut-off Date |
| | Minimum | Maximum |
Scheduled Principal Balance | $838,963,358 | $24,976 | $1,454,786 |
Average Scheduled Principal Balance | $184,509 | | |
Number of Mortgage Loans | 4,547 | | |
| | | |
Weighted Average Gross Coupon | 7.950% | 4.999% | 12.000% |
Weighted Average FICO Score | 650 | 540 | 821 |
Weighted Average Original LTV | 82.17% | 6.29% | 103.00% |
Weighted Average Debt-to-Income | 43.26% | 1.00% | 57.00% |
| | | |
Weighted Average Original Term | 358 months | 180 months | 360 months |
Weighted Average Stated Remaining Term | 357 months | 174 months | 360 months |
Weighted Average Seasoning | 1 months | 0 months | 12 months |
| | | |
Weighted Average Gross Margin | 5.593% | 3.000% | 7.875% |
Weighted Average Minimum Interest Rate | 7.948% | 5.250% | 12.000% |
Weighted Average Maximum Interest Rate | 13.948% | 11.250% | 18.000% |
Weighted Average Initial Rate Cap | 2.992% | 1.000% | 3.000% |
Weighted Average Subsequent Rate Cap | 1.000% | 1.000% | 1.000% |
Weighted Average Months to Roll | 26 months | 2 months | 60 months |
| | | |
Maturity Date | | Dec 1 2020 | Jun 1 2036 |
Maximum Zip Code Concentration | 0.31% | 95127 |
| | | |
ARM | 83.56% | | |
Fixed Rate | 16.44% | | |
| | | |
1/29 6 MO LIBOR | 0.24% | | |
2/28 6 MO LIBOR | 22.05% | | |
2/28 6 MO LIBOR 40/30 Balloon | 13.56% | | |
2/28 6 MO LIBOR IO | 28.34% | | |
2/28 6 MO LIBOR IO 40/30 Balloon | 0.08% | | |
3/27 6 MO LIBOR | 6.61% | | |
3/27 6 MO LIBOR 40/30 Balloon | 3.92% | | |
3/27 6 MO LIBOR IO | 6.62% | | |
5/25 6 MO LIBOR | 0.84% | | |
5/25 6 MO LIBOR 40/30 Balloon | 0.10% | | |
5/25 6 MO LIBOR IO | 0.99% | | |
6 MO LIBOR | 0.08% | | |
6 MO LIBOR ARM IO | 0.13% | | |
Balloon 15/30 | 0.02% | | |
Fixed Rate | 12.70% | | |
Fixed Rate 40/30 Balloon | 1.78% | | |
Fixed Rate IO | 1.70% | | |
Fixed Rate IO 40/30 Balloon | 0.24% | | |
| | | |
I/O Term: 0 months | 61.90% | | |
I/O Term: 60 months | 37.11% | | |
I/O Term: 120 months | 0.99% | | |
Prepay Penalty: 0 months | 31.90% |
Prepay Penalty: 12 months | 4.08% |
Prepay Penalty: 24 months | 40.75% |
Prepay Penalty: 36 months | 23.26% |
| |
First Lien | 100.00% |
| |
Blended Documentation | 0.35% |
Full Documentation | 67.79% |
Limited Income Verification | 0.84% |
No Income Verification | 22.19% |
Rapid Documentation | 7.38% |
Stated Plus Documentation | 1.44% |
| |
Cash Out Refinance | 29.58% |
Purchase | 66.42% |
Rate/Term Refinance | 3.99% |
| |
2 Units | 4.40% |
3 Units | 0.30% |
4 Units | 0.15% |
Condominium | 6.62% |
Modular | 0.02% |
PUD | 19.06% |
Single Family | 69.45% |
| |
Non-owner | 3.17% |
Primary | 96.29% |
Second Home | 0.54% |
| |
Top 5 States: | |
California | 22.86% |
Florida | 8.75% |
Illinois | 6.38% |
New York | 4.95% |
Texas | 4.54% |
Current Principal Balance | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01 - 50,000.00 | | | 230 | | | 9,555,012.74 | | | 1.14 | % | | 9.070 | | | 348 | | | 83.27 | | | 623 | |
50,000.01 - 100,000.00 | | | 1,135 | | | 87,597,818.58 | | | 10.44 | % | | 8.484 | | | 355 | | | 85.10 | | | 631 | |
100,000.01 - 150,000.00 | | | 1,100 | | | 137,132,203.50 | | | 16.35 | % | | 8.048 | | | 358 | | | 82.54 | | | 639 | |
150,000.01 - 200,000.00 | | | 745 | | | 129,130,741.62 | | | 15.39 | % | | 7.989 | | | 357 | | | 82.69 | | | 642 | |
200,000.01 - 250,000.00 | | | 437 | | | 97,400,255.91 | | | 11.61 | % | | 7.942 | | | 358 | | | 81.90 | | | 643 | |
250,000.01 - 300,000.00 | | | 277 | | | 76,027,562.88 | | | 9.06 | % | | 7.851 | | | 358 | | | 81.84 | | | 653 | |
300,000.01 - 350,000.00 | | | 173 | | | 56,124,168.55 | | | 6.69 | % | | 7.794 | | | 359 | | | 81.83 | | | 654 | |
350,000.01 - 400,000.00 | | | 104 | | | 38,871,431.25 | | | 4.63 | % | | 7.928 | | | 357 | | | 82.64 | | | 657 | |
400,000.01 - 450,000.00 | | | 97 | | | 41,209,288.71 | | | 4.91 | % | | 7.815 | | | 355 | | | 81.08 | | | 666 | |
450,000.01 - 500,000.00 | | | 55 | | | 26,322,917.64 | | | 3.14 | % | | 7.823 | | | 356 | | | 82.45 | | | 655 | |
500,000.01 - 550,000.00 | | | 45 | | | 23,610,972.93 | | | 2.81 | % | | 7.552 | | | 351 | | | 81.18 | | | 674 | |
550,000.01 - 600,000.00 | | | 38 | | | 22,176,740.97 | | | 2.64 | % | | 7.827 | | | 359 | | | 82.98 | | | 669 | |
600,000.01 - 650,000.00 | | | 21 | | | 13,107,046.77 | | | 1.56 | % | | 7.613 | | | 358 | | | 85.23 | | | 680 | |
650,000.01 - 700,000.00 | | | 6 | | | 4,119,880.50 | | | 0.49 | % | | 7.661 | | | 358 | | | 79.80 | | | 666 | |
700,000.01 - 750,000.00 | | | 15 | | | 10,868,474.33 | | | 1.30 | % | | 7.648 | | | 359 | | | 79.91 | | | 668 | |
750,000.01 - 800,000.00 | | | 18 | | | 13,966,057.13 | | | 1.66 | % | | 7.444 | | | 359 | | | 78.80 | | | 673 | |
800,000.01 - 850,000.00 | | | 6 | | | 4,970,180.00 | | | 0.59 | % | | 7.834 | | | 358 | | | 82.69 | | | 636 | |
850,000.01 - 900,000.00 | | | 10 | | | 8,818,391.00 | | | 1.05 | % | | 7.537 | | | 359 | | | 78.93 | | | 664 | |
900,000.01 - 950,000.00 | | | 4 | | | 3,657,600.00 | | | 0.44 | % | | 7.651 | | | 358 | | | 80.00 | | | 664 | |
950,000.01 - 1,000,000.00 | | | 11 | | | 10,818,484.00 | | | 1.29 | % | | 7.454 | | | 359 | | | 75.97 | | | 690 | |
1,000,000.01+ | | | 20 | | | 23,478,128.86 | | | 2.80 | % | | 7.510 | | | 348 | | | 75.95 | | | 704 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Current Gross Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
4.500 - 4.999 | | | 2 | | | 627,198.31 | | | 0.07 | % | | 4.999 | | | 179 | | | 44.29 | | | 781 | |
5.000 - 5.499 | | | 6 | | | 1,022,013.55 | | | 0.12 | % | | 5.226 | | | 358 | | | 55.64 | | | 759 | |
5.500 - 5.999 | | | 66 | | | 19,906,401.22 | | | 2.37 | % | | 5.834 | | | 343 | | | 68.63 | | | 716 | |
6.000 - 6.499 | | | 122 | | | 31,512,632.65 | | | 3.76 | % | | 6.267 | | | 358 | | | 75.62 | | | 691 | |
6.500 - 6.999 | | | 453 | | | 109,096,641.45 | | | 13.00 | % | | 6.788 | | | 357 | | | 78.56 | | | 676 | |
7.000 - 7.499 | | | 535 | | | 112,176,583.71 | | | 13.37 | % | | 7.241 | | | 358 | | | 79.51 | | | 658 | |
7.500 - 7.999 | | | 1,018 | | | 198,105,448.91 | | | 23.61 | % | | 7.729 | | | 358 | | | 79.40 | | | 653 | |
8.000 - 8.499 | | | 628 | | | 106,577,302.86 | | | 12.70 | % | | 8.210 | | | 358 | | | 82.00 | | | 639 | |
8.500 - 8.999 | | | 770 | | | 130,093,637.71 | | | 15.51 | % | | 8.706 | | | 356 | | | 85.83 | | | 640 | |
9.000 - 9.499 | | | 362 | | | 52,022,498.23 | | | 6.20 | % | | 9.198 | | | 356 | | | 89.47 | | | 618 | |
9.500 - 9.999 | | | 348 | | | 49,085,627.60 | | | 5.85 | % | | 9.682 | | | 359 | | | 92.23 | | | 617 | |
10.000 -10.499 | | | 114 | | | 14,560,586.07 | | | 1.74 | % | | 10.192 | | | 359 | | | 96.16 | | | 610 | |
10.500 -10.999 | | | 84 | | | 9,994,511.43 | | | 1.19 | % | | 10.636 | | | 352 | | | 97.94 | | | 610 | |
11.000 -11.499 | | | 22 | | | 2,216,354.17 | | | 0.26 | % | | 11.248 | | | 359 | | | 100.00 | | | 592 | |
11.500 -11.999 | | | 15 | | | 1,747,100.00 | | | 0.21 | % | | 11.608 | | | 359 | | | 100.00 | | | 588 | |
12.000 -12.499 | | | 2 | | | 218,820.00 | | | 0.03 | % | | 12.000 | | | 359 | | | 100.00 | | | 584 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
FICO | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
525-549 | | | 96 | | | 15,363,314.41 | | | 1.83 | % | | 8.858 | | | 352 | | | 77.00 | | | 544 | |
550-574 | | | 302 | | | 42,874,315.78 | | | 5.11 | % | | 8.728 | | | 353 | | | 77.42 | | | 563 | |
575-599 | | | 441 | | | 61,842,109.87 | | | 7.37 | % | | 9.057 | | | 358 | | | 84.29 | | | 587 | |
600-624 | | | 995 | | | 153,106,661.27 | | | 18.25 | % | | 8.215 | | | 358 | | | 83.35 | | | 612 | |
625-649 | | | 894 | | | 165,355,616.07 | | | 19.71 | % | | 7.978 | | | 358 | | | 83.52 | | | 638 | |
650-674 | | | 817 | | | 161,665,383.86 | | | 19.27 | % | | 7.673 | | | 357 | | | 82.52 | | | 662 | |
675-699 | | | 423 | | | 97,206,276.40 | | | 11.59 | % | | 7.547 | | | 358 | | | 82.02 | | | 685 | |
700+ | | | 579 | | | 141,549,680.21 | | | 16.87 | % | | 7.407 | | | 355 | | | 80.08 | | | 733 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Original LTV | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01- 49.99 | | | 76 | | | 9,809,017.73 | | | 1.17 | % | | 7.180 | | | 325 | | | 38.52 | | | 657 | |
50.00- 54.99 | | | 48 | | | 8,668,058.62 | | | 1.03 | % | | 7.441 | | | 345 | | | 52.32 | | | 657 | |
55.00- 59.99 | | | 34 | | | 6,919,251.06 | | | 0.82 | % | | 7.171 | | | 352 | | | 57.18 | | | 664 | |
60.00- 64.99 | | | 78 | | | 15,606,930.02 | | | 1.86 | % | | 7.210 | | | 353 | | | 62.23 | | | 649 | |
65.00- 69.99 | | | 88 | | | 19,724,919.70 | | | 2.35 | % | | 7.631 | | | 357 | | | 67.49 | | | 643 | |
70.00- 74.99 | | | 103 | | | 22,633,798.81 | | | 2.70 | % | | 7.442 | | | 356 | | | 71.96 | | | 635 | |
75.00- 79.99 | | | 390 | | | 64,875,192.42 | | | 7.73 | % | | 7.675 | | | 357 | | | 78.36 | | | 641 | |
80.00 | | | 2,171 | | | 451,359,578.42 | | | 53.80 | % | | 7.566 | | | 358 | | | 80.00 | | | 659 | |
80.01- 84.99 | | | 80 | | | 13,256,716.99 | | | 1.58 | % | | 8.295 | | | 355 | | | 83.44 | | | 615 | |
85.00- 89.99 | | | 197 | | | 31,466,565.54 | | | 3.75 | % | | 8.671 | | | 355 | | | 86.57 | | | 614 | |
90.00- 94.99 | | | 344 | | | 58,609,243.84 | | | 6.99 | % | | 8.748 | | | 356 | | | 90.75 | | | 625 | |
95.00- 99.99 | | | 220 | | | 37,820,577.74 | | | 4.51 | % | | 8.740 | | | 358 | | | 95.53 | | | 662 | |
100.00 | | | 712 | | | 97,131,049.62 | | | 11.58 | % | | 9.325 | | | 357 | | | 100.00 | | | 646 | |
100.01+ | | | 6 | | | 1,082,457.36 | | | 0.13 | % | | 8.577 | | | 358 | | | 102.98 | | | 671 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Original Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
180 | | | 55 | | | 8,524,390.40 | | | 1.02 | % | | 7.507 | | | 178 | | | 71.34 | | | 654 | |
240 | | | 4 | | | 529,916.38 | | | 0.06 | % | | 8.140 | | | 238 | | | 59.79 | | | 609 | |
360 | | | 4,488 | | | 829,909,051.09 | | | 98.92 | % | | 7.955 | | | 359 | | | 82.30 | | | 650 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Stated Remaining Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
121-180 | | | 55 | | | 8,524,390.40 | | | 1.02 | % | | 7.507 | | | 178 | | | 71.34 | | | 654 | |
181-240 | | | 4 | | | 529,916.38 | | | 0.06 | % | | 8.140 | | | 238 | | | 59.79 | | | 609 | |
301-360 | | | 4,488 | | | 829,909,051.09 | | | 98.92 | % | | 7.955 | | | 359 | | | 82.30 | | | 650 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Debt Ratio | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01 -20.00 | | | 142 | | | 23,770,916.76 | | | 2.83 | % | | 7.816 | | | 353 | | | 80.30 | | | 650 | |
20.01 -25.00 | | | 160 | | | 21,775,590.11 | | | 2.60 | % | | 8.029 | | | 354 | | | 80.81 | | | 642 | |
25.01 -30.00 | | | 263 | | | 43,261,848.90 | | | 5.16 | % | | 7.939 | | | 347 | | | 79.58 | | | 654 | |
30.01 -35.00 | | | 383 | | | 61,401,096.34 | | | 7.32 | % | | 8.028 | | | 358 | | | 82.69 | | | 649 | |
35.01 -40.00 | | | 601 | | | 107,611,577.39 | | | 12.83 | % | | 8.098 | | | 358 | | | 82.66 | | | 649 | |
40.01 -45.00 | | | 917 | | | 170,699,160.50 | | | 20.35 | % | | 7.907 | | | 358 | | | 81.52 | | | 655 | |
45.01 -50.00 | | | 1,150 | | | 231,376,040.78 | | | 27.58 | % | | 8.148 | | | 357 | | | 83.42 | | | 650 | |
50.01 -55.00 | | | 930 | | | 178,854,727.09 | | | 21.32 | % | | 7.633 | | | 358 | | | 81.73 | | | 648 | |
55.01 -60.00 | | | 1 | | | 212,400.00 | | | 0.03 | % | | 6.750 | | | 359 | | | 80.00 | | | 625 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
FRM/ARM | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
ARM | | | 3,614 | | | 701,044,521.50 | | | 83.56 | % | | 7.948 | | | 359 | | | 82.76 | | | 650 | |
Fixed Rate | | | 933 | | | 137,918,836.37 | | | 16.44 | % | | 7.961 | | | 347 | | | 79.19 | | | 651 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Product | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1/29 6 MO LIBOR | | | 10 | | | 2,051,318.36 | | | 0.24 | % | | 8.382 | | | 358 | | | 87.79 | | | 669 | |
2/28 6 MO LIBOR | | | 1,367 | | | 185,023,490.83 | | | 22.05 | % | | 8.293 | | | 359 | | | 84.50 | | | 636 | |
2/28 6 MO LIBOR 40/30 Balloon | | | 525 | | | 113,726,596.89 | | | 13.56 | % | | 8.093 | | | 359 | | | 83.19 | | | 641 | |
2/28 6 MO LIBOR IO | | | 830 | | | 237,777,145.22 | | | 28.34 | % | | 7.697 | | | 359 | | | 81.05 | | | 664 | |
2/28 6 MO LIBOR IO 40/30 Balloon | | | 3 | | | 679,349.92 | | | 0.08 | % | | 7.654 | | | 357 | | | 80.00 | | | 639 | |
3/27 6 MO LIBOR | | | 374 | | | 55,446,870.86 | | | 6.61 | % | | 8.082 | | | 359 | | | 84.21 | | | 641 | |
3/27 6 MO LIBOR 40/30 Balloon | | | 171 | | | 32,872,907.02 | | | 3.92 | % | | 7.942 | | | 359 | | | 84.06 | | | 648 | |
3/27 6 MO LIBOR IO | | | 260 | | | 55,504,925.62 | | | 6.62 | % | | 7.650 | | | 359 | | | 82.01 | | | 659 | |
5/25 6 MO LIBOR | | | 30 | | | 7,009,063.01 | | | 0.84 | % | | 7.285 | | | 359 | | | 79.93 | | | 661 | |
5/25 6 MO LIBOR 40/30 Balloon | | | 6 | | | 832,659.12 | | | 0.10 | % | | 7.563 | | | 358 | | | 80.73 | | | 700 | |
5/25 6 MO LIBOR IO | | | 31 | | | 8,305,920.01 | | | 0.99 | % | | 7.153 | | | 358 | | | 77.73 | | | 669 | |
6 MO LIBOR | | | 2 | | | 698,424.64 | | | 0.08 | % | | 7.875 | | | 359 | | | 93.71 | | | 743 | |
6 MO LIBOR ARM IO | | | 5 | | | 1,115,850.00 | | | 0.13 | % | | 7.510 | | | 359 | | | 80.96 | | | 681 | |
Balloon 15/30 | | | 2 | | | 136,600.00 | | | 0.02 | % | | 9.000 | | | 179 | | | 96.56 | | | 712 | |
Fixed Rate | | | 783 | | | 106,585,626.72 | | | 12.70 | % | | 7.842 | | | 348 | | | 78.19 | | | 655 | |
Fixed Rate 40/30 Balloon | | | 71 | | | 14,916,249.49 | | | 1.78 | % | | 7.926 | | | 359 | | | 81.85 | | | 659 | |
Fixed Rate IO | | | 71 | | | 14,275,472.16 | | | 1.70 | % | | 8.797 | | | 351 | | | 82.22 | | | 620 | |
Fixed Rate IO 40/30 Balloon | | | 6 | | | 2,004,888.00 | | | 0.24 | % | | 8.522 | | | 177 | | | 89.60 | | | 594 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Interest Only By Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
I/O Term: 0 months | | | 3,341 | | | 519,299,806.94 | | | 61.90 | % | | 8.087 | | | 357 | | | 82.74 | | | 644 | |
I/O Term: 60 months | | | 1,175 | | | 311,357,630.92 | | | 37.11 | % | | 7.744 | | | 357 | | | 81.33 | | | 661 | |
I/O Term: 120 months | | | 31 | | | 8,305,920.01 | | | 0.99 | % | | 7.153 | | | 358 | | | 77.73 | | | 669 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Prepayment Penalty Original Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Prepay Penalty: 0 months | | | 1,411 | | | 267,610,923.72 | | | 31.90 | % | | 8.201 | | | 357 | | | 82.88 | | | 652 | |
Prepay Penalty: 12 months | | | 150 | | | 34,259,622.98 | | | 4.08 | % | | 8.330 | | | 358 | | | 81.88 | | | 657 | |
Prepay Penalty: 24 months | | | 1,782 | | | 341,914,557.80 | | | 40.75 | % | | 7.849 | | | 359 | | | 82.03 | | | 649 | |
Prepay Penalty: 36 months | | | 1,204 | | | 195,178,253.37 | | | 23.26 | % | | 7.716 | | | 353 | | | 81.50 | | | 649 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Lien | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
First Lien | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Documentation Type | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Blended Documentation | | | 17 | | | 2,950,169.18 | | | 0.35 | % | | 8.950 | | | 359 | | | 96.57 | | | 661 | |
Full Documentation | | | 3,347 | | | 568,728,050.21 | | | 67.79 | % | | 7.764 | | | 356 | | | 81.47 | | | 642 | |
Limited Income Verification | | | 29 | | | 7,025,054.07 | | | 0.84 | % | | 7.727 | | | 359 | | | 79.12 | | | 648 | |
No Income Verification | | | 837 | | | 186,205,907.90 | | | 22.19 | % | | 8.179 | | | 359 | | | 81.36 | | | 677 | |
Rapid Documentation | | | 282 | | | 61,951,391.92 | | | 7.38 | % | | 8.712 | | | 356 | | | 87.80 | | | 642 | |
Stated Plus Documentation | | | 35 | | | 12,102,784.59 | | | 1.44 | % | | 9.162 | | | 352 | | | 97.17 | | | 659 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Loan Purpose | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Cash Out Refinance | | | 1,263 | | | 248,202,889.10 | | | 29.58 | % | | 8.142 | | | 355 | | | 80.20 | | | 631 | |
Purchase | | | 3,105 | | | 557,276,186.70 | | | 66.42 | % | | 7.891 | | | 358 | | | 83.45 | | | 659 | |
Rate/Term Refinance | | | 179 | | | 33,484,282.07 | | | 3.99 | % | | 7.503 | | | 351 | | | 75.46 | | | 650 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Property Type | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
2 Units | | | 164 | | | 36,939,509.26 | | | 4.40 | % | | 7.996 | | | 358 | | | 82.81 | | | 676 | |
3 Units | | | 12 | | | 2,510,057.42 | | | 0.30 | % | | 7.775 | | | 359 | | | 70.50 | | | 629 | |
4 Units | | | 5 | | | 1,221,000.00 | | | 0.15 | % | | 7.359 | | | 345 | | | 67.34 | | | 666 | |
Condominium | | | 288 | | | 55,519,407.91 | | | 6.62 | % | | 7.869 | | | 359 | | | 82.35 | | | 662 | |
Modular | | | 2 | | | 172,843.08 | | | 0.02 | % | | 7.914 | | | 279 | | | 72.11 | | | 638 | |
PUD | | | 645 | | | 159,917,074.80 | | | 19.06 | % | | 7.698 | | | 356 | | | 80.87 | | | 659 | |
Single Family | | | 3,431 | | | 582,683,465.40 | | | 69.45 | % | | 8.026 | | | 357 | | | 82.55 | | | 645 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Occupancy Status | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Non-owner | | | 203 | | | 26,602,497.30 | | | 3.17 | % | | 8.260 | | | 358 | | | 82.38 | | | 684 | |
Primary | | | 4,318 | | | 807,868,355.87 | | | 96.29 | % | | 7.938 | | | 357 | | | 82.13 | | | 649 | |
Second Home | | | 26 | | | 4,492,504.70 | | | 0.54 | % | | 8.382 | | | 359 | | | 88.51 | | | 679 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
State | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Alabama | | | 56 | | | 6,355,624.65 | | | 0.76 | % | | 8.111 | | | 348 | | | 86.05 | | | 628 | |
Arizona | | | 88 | | | 18,121,467.60 | | | 2.16 | % | | 7.806 | | | 355 | | | 80.86 | | | 646 | |
Arkansas | | | 24 | | | 2,611,274.38 | | | 0.31 | % | | 8.662 | | | 359 | | | 87.63 | | | 628 | |
California | | | 487 | | | 191,798,736.79 | | | 22.86 | % | | 7.458 | | | 357 | | | 78.56 | | | 666 | |
Colorado | | | 69 | | | 16,240,389.03 | | | 1.94 | % | | 7.600 | | | 354 | | | 79.34 | | | 643 | |
Connecticut | | | 24 | | | 4,410,016.24 | | | 0.53 | % | | 7.923 | | | 359 | | | 80.41 | | | 637 | |
Delaware | | | 5 | | | 949,800.00 | | | 0.11 | % | | 7.934 | | | 359 | | | 83.94 | | | 695 | |
District of Columbia | | | 4 | | | 2,045,000.00 | | | 0.24 | % | | 9.135 | | | 358 | | | 94.61 | | | 646 | |
Florida | | | 353 | | | 73,431,606.16 | | | 8.75 | % | | 7.909 | | | 357 | | | 79.90 | | | 652 | |
Georgia | | | 203 | | | 34,078,074.19 | | | 4.06 | % | | 8.055 | | | 359 | | | 84.14 | | | 639 | |
Idaho | | | 15 | | | 1,671,841.72 | | | 0.20 | % | | 7.874 | | | 348 | | | 82.10 | | | 634 | |
Illinois | | | 307 | | | 53,496,093.97 | | | 6.38 | % | | 8.458 | | | 358 | | | 85.03 | | | 650 | |
Indiana | | | 189 | | | 16,943,958.56 | | | 2.02 | % | | 8.757 | | | 359 | | | 91.19 | | | 638 | |
Iowa | | | 45 | | | 3,771,342.76 | | | 0.45 | % | | 8.807 | | | 359 | | | 89.89 | | | 631 | |
Kansas | | | 14 | | | 1,221,216.23 | | | 0.15 | % | | 8.732 | | | 359 | | | 82.72 | | | 635 | |
Kentucky | | | 57 | | | 5,601,714.83 | | | 0.67 | % | | 8.647 | | | 359 | | | 89.12 | | | 630 | |
Louisiana | | | 18 | | | 2,240,551.53 | | | 0.27 | % | | 7.872 | | | 359 | | | 86.94 | | | 645 | |
Maine | | | 13 | | | 1,538,278.93 | | | 0.18 | % | | 7.775 | | | 354 | | | 79.57 | | | 638 | |
Maryland | | | 64 | | | 14,848,996.95 | | | 1.77 | % | | 7.906 | | | 351 | | | 82.33 | | | 652 | |
Massachusetts | | | 107 | | | 27,278,650.15 | | | 3.25 | % | | 8.013 | | | 358 | | | 79.16 | | | 641 | |
Michigan | | | 207 | | | 28,096,857.51 | | | 3.35 | % | | 8.487 | | | 359 | | | 86.95 | | | 633 | |
Minnesota | | | 90 | | | 15,726,936.42 | | | 1.87 | % | | 7.964 | | | 357 | | | 81.92 | | | 649 | |
Mississippi | | | 11 | | | 1,162,331.87 | | | 0.14 | % | | 8.323 | | | 351 | | | 91.56 | | | 634 | |
Missouri | | | 87 | | | 9,570,282.61 | | | 1.14 | % | | 8.326 | | | 357 | | | 84.02 | | | 632 | |
Montana | | | 2 | | | 257,600.00 | | | 0.03 | % | | 7.375 | | | 359 | | | 80.00 | | | 635 | |
Nebraska | | | 9 | | | 752,531.99 | | | 0.09 | % | | 8.541 | | | 359 | | | 85.94 | | | 644 | |
Nevada | | | 79 | | | 18,813,349.35 | | | 2.24 | % | | 7.788 | | | 350 | | | 79.68 | | | 656 | |
New Hampshire | | | 7 | | | 1,264,596.43 | | | 0.15 | % | | 8.225 | | | 359 | | | 77.31 | | | 590 | |
New Jersey | | | 81 | | | 21,491,610.25 | | | 2.56 | % | | 8.027 | | | 359 | | | 83.90 | | | 656 | |
New Mexico | | | 18 | | | 2,659,295.85 | | | 0.32 | % | | 7.879 | | | 358 | | | 82.25 | | | 651 | |
New York | | | 211 | | | 41,503,979.01 | | | 4.95 | % | | 7.996 | | | 358 | | | 83.96 | | | 663 | |
North Carolina | | | 188 | | | 25,853,157.55 | | | 3.08 | % | | 8.324 | | | 358 | | | 83.95 | | | 635 | |
North Dakota | | | 2 | | | 160,275.00 | | | 0.02 | % | | 7.866 | | | 358 | | | 77.07 | | | 567 | |
Ohio | | | 251 | | | 27,470,014.31 | | | 3.27 | % | | 8.526 | | | 356 | | | 88.73 | | | 634 | |
Oklahoma | | | 16 | | | 1,869,829.23 | | | 0.22 | % | | 8.225 | | | 359 | | | 86.18 | | | 630 | |
Oregon | | | 94 | | | 17,587,301.04 | | | 2.10 | % | | 7.558 | | | 359 | | | 79.87 | | | 655 | |
Pennsylvania | | | 103 | | | 12,561,656.44 | | | 1.50 | % | | 8.071 | | | 354 | | | 83.95 | | | 647 | |
Rhode Island | | | 16 | | | 3,646,600.00 | | | 0.43 | % | | 7.702 | | | 359 | | | 80.82 | | | 644 | |
South Carolina | | | 64 | | | 8,627,152.20 | | | 1.03 | % | | 8.231 | | | 359 | | | 86.84 | | | 638 | |
South Dakota | | | 4 | | | 320,963.68 | | | 0.04 | % | | 8.447 | | | 358 | | | 79.63 | | | 617 | |
Tennessee | | | 149 | | | 15,147,253.19 | | | 1.81 | % | | 8.311 | | | 358 | | | 84.82 | | | 632 | |
Texas | | | 317 | | | 38,083,038.63 | | | 4.54 | % | | 7.844 | | | 354 | | | 80.87 | | | 654 | |
Utah | | | 98 | | | 13,547,846.03 | | | 1.61 | % | | 7.756 | | | 359 | | | 81.58 | | | 639 | |
Vermont | | | 4 | | | 585,328.80 | | | 0.07 | % | | 8.723 | | | 359 | | | 90.32 | | | 638 | |
Virginia | | | 71 | | | 16,183,917.37 | | | 1.93 | % | | 8.139 | | | 356 | | | 83.23 | | | 652 | |
Washington | | | 88 | | | 19,057,291.54 | | | 2.27 | % | | 7.569 | | | 357 | | | 79.74 | | | 652 | |
West Virginia | | | 16 | | | 1,827,961.09 | | | 0.22 | % | | 7.961 | | | 359 | | | 81.59 | | | 622 | |
Wisconsin | | | 117 | | | 15,759,465.81 | | | 1.88 | % | | 8.596 | | | 359 | | | 86.88 | | | 632 | |
Wyoming | | | 5 | | | 720,300.00 | | | 0.09 | % | | 7.660 | | | 358 | | | 81.94 | | | 653 | |
Total | | | 4,547 | | | 838,963,357.87 | | | 100.00 | % | | 7.950 | | | 357 | | | 82.17 | | | 650 | |
| | | | | | | | | | | | | | | |
Gross Margin | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
3.000 - 3.499 | | | 4 | | | 2,604,500.00 | | | 0.37 | % | | 7.138 | | | 359 | | | 83.24 | | | 703 | |
4.500 - 4.999 | | | 4 | | | 625,200.00 | | | 0.09 | % | | 8.289 | | | 359 | | | 80.52 | | | 643 | |
5.000 - 5.499 | | | 2,354 | | | 492,268,838.30 | | | 70.22 | % | | 7.582 | | | 359 | | | 78.47 | | | 655 | |
5.500 - 5.999 | | | 447 | | | 78,763,270.14 | | | 11.24 | % | | 8.554 | | | 359 | | | 87.15 | | | 623 | |
6.000 - 6.499 | | | 767 | | | 121,126,235.86 | | | 17.28 | % | | 9.017 | | | 359 | | | 97.04 | | | 647 | |
6.500 - 6.999 | | | 21 | | | 4,053,947.82 | | | 0.58 | % | | 8.602 | | | 357 | | | 86.12 | | | 659 | |
7.000 - 7.499 | | | 13 | | | 1,339,580.72 | | | 0.19 | % | | 9.146 | | | 356 | | | 95.40 | | | 666 | |
7.500 - 7.999 | | | 4 | | | 262,948.66 | | | 0.04 | % | | 9.580 | | | 356 | | | 97.58 | | | 689 | |
Total | | | 3,614 | | | 701,044,521.50 | | | 100.00 | % | | 7.948 | | | 359 | | | 82.76 | | | 650 | |
| | | | | | | | | | | | | | | |
Minimum Interest Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
5.000 - 5.499 | | | 2 | | | 271,000.00 | | | 0.04 | % | | 5.250 | | | 359 | | | 75.71 | | | 719 | |
5.500 - 5.999 | | | 31 | | | 10,100,838.98 | | | 1.44 | % | | 5.846 | | | 358 | | | 77.20 | | | 699 | |
6.000 - 6.499 | | | 70 | | | 19,176,264.75 | | | 2.74 | % | | 6.275 | | | 359 | | | 78.21 | | | 680 | |
6.500 - 6.999 | | | 371 | | | 93,236,059.78 | | | 13.30 | % | | 6.786 | | | 359 | | | 79.22 | | | 673 | |
7.000 - 7.499 | | | 485 | | | 102,854,612.47 | | | 14.67 | % | | 7.242 | | | 359 | | | 79.64 | | | 658 | |
7.500 - 7.999 | | | 871 | | | 175,895,882.79 | | | 25.09 | % | | 7.730 | | | 359 | | | 79.89 | | | 655 | |
8.000 - 8.499 | | | 523 | | | 93,622,075.52 | | | 13.35 | % | | 8.208 | | | 359 | | | 82.61 | | | 641 | |
8.500 - 8.999 | | | 594 | | | 108,202,020.53 | | | 15.43 | % | | 8.703 | | | 359 | | | 86.20 | | | 644 | |
9.000 - 9.499 | | | 260 | | | 40,126,372.66 | | | 5.72 | % | | 9.190 | | | 359 | | | 89.61 | | | 622 | |
9.500 - 9.999 | | | 245 | | | 36,764,917.79 | | | 5.24 | % | | 9.680 | | | 359 | | | 92.64 | | | 617 | |
10.000 -10.499 | | | 75 | | | 10,662,529.83 | | | 1.52 | % | | 10.209 | | | 359 | | | 95.92 | | | 607 | |
10.500 -10.999 | | | 59 | | | 7,105,342.23 | | | 1.01 | % | | 10.647 | | | 359 | | | 98.07 | | | 601 | |
11.000 -11.499 | | | 15 | | | 1,461,284.17 | | | 0.21 | % | | 11.284 | | | 359 | | | 100.00 | | | 592 | |
11.500 -11.999 | | | 12 | | | 1,515,500.00 | | | 0.22 | % | | 11.597 | | | 359 | | | 100.00 | | | 587 | |
12.000 -12.499 | | | 1 | | | 49,820.00 | | | 0.01 | % | | 12.000 | | | 359 | | | 100.00 | | | 585 | |
Total | | | 3,614 | | | 701,044,521.50 | | | 100.00 | % | | 7.948 | | | 359 | | | 82.76 | | | 650 | |
| | | | | | | | | | | | | | | |
Maximum Interest Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
11.000 -11.499 | | | 2 | | | 271,000.00 | | | 0.04 | % | | 5.250 | | | 359 | | | 75.71 | | | 719 | |
11.500 -11.999 | | | 31 | | | 10,100,838.98 | | | 1.44 | % | | 5.846 | | | 358 | | | 77.20 | | | 699 | |
12.000 -12.499 | | | 70 | | | 19,176,264.75 | | | 2.74 | % | | 6.275 | | | 359 | | | 78.21 | | | 680 | |
12.500 -12.999 | | | 371 | | | 93,236,059.78 | | | 13.30 | % | | 6.786 | | | 359 | | | 79.22 | | | 673 | |
13.000 -13.499 | | | 485 | | | 102,854,612.47 | | | 14.67 | % | | 7.242 | | | 359 | | | 79.64 | | | 658 | |
13.500 -13.999 | | | 871 | | | 175,895,882.79 | | | 25.09 | % | | 7.730 | | | 359 | | | 79.89 | | | 655 | |
14.000 -14.499 | | | 523 | | | 93,622,075.52 | | | 13.35 | % | | 8.208 | | | 359 | | | 82.61 | | | 641 | |
14.500 -14.999 | | | 594 | | | 108,202,020.53 | | | 15.43 | % | | 8.703 | | | 359 | | | 86.20 | | | 644 | |
15.000 -15.499 | | | 260 | | | 40,126,372.66 | | | 5.72 | % | | 9.190 | | | 359 | | | 89.61 | | | 622 | |
15.500 -15.999 | | | 245 | | | 36,764,917.79 | | | 5.24 | % | | 9.680 | | | 359 | | | 92.64 | | | 617 | |
16.000 -16.499 | | | 75 | | | 10,662,529.83 | | | 1.52 | % | | 10.209 | | | 359 | | | 95.92 | | | 607 | |
16.500 -16.999 | | | 59 | | | 7,105,342.23 | | | 1.01 | % | | 10.647 | | | 359 | | | 98.07 | | | 601 | |
17.000 -17.499 | | | 15 | | | 1,461,284.17 | | | 0.21 | % | | 11.284 | | | 359 | | | 100.00 | | | 592 | |
17.500 -17.999 | | | 12 | | | 1,515,500.00 | | | 0.22 | % | | 11.597 | | | 359 | | | 100.00 | | | 587 | |
18.000 -18.499 | | | 1 | | | 49,820.00 | | | 0.01 | % | | 12.000 | | | 359 | | | 100.00 | | | 585 | |
Total | | | 3,614 | | | 701,044,521.50 | | | 100.00 | % | | 7.948 | | | 359 | | | 82.76 | | | 650 | |
| | | | | | | | | | | | | | | |
Initial Periodic Rate Cap | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1.000 | | | 7 | | | 1,814,274.64 | | | 0.26 | % | | 7.651 | | | 359 | | | 85.87 | | | 705 | |
2.000 | | | 10 | | | 2,051,318.36 | | | 0.29 | % | | 8.382 | | | 358 | | | 87.79 | | | 669 | |
3.000 | | | 3,597 | | | 697,178,928.50 | | | 99.45 | % | | 7.948 | | | 359 | | | 82.73 | | | 650 | |
Total | | | 3,614 | | | 701,044,521.50 | | | 100.00 | % | | 7.948 | | | 359 | | | 82.76 | | | 650 | |
| | | | | | | | | | | | | | | |
Subsequent Periodic Rate Cap | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1.000 | | | 3,614 | | | 701,044,521.50 | | | 100.00 | % | | 7.948 | | | 359 | | | 82.76 | | | 650 | |
Total | | | 3,614 | | | 701,044,521.50 | | | 100.00 | % | | 7.948 | | | 359 | | | 82.76 | | | 650 | |
| | | | | | | | | | | | | | | |
Next Rate Change Date | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
08/01/06 | | | 1 | | | 106,650.00 | | | 0.02 | % | | 8.000 | | | 356 | | | 90.00 | | | 597 | |
10/01/06 | | | 1 | | | 109,424.64 | | | 0.02 | % | | 7.875 | | | 358 | | | 86.77 | | | 661 | |
11/01/06 | | | 5 | | | 1,598,200.00 | | | 0.23 | % | | 7.612 | | | 359 | | | 85.53 | | | 715 | |
02/01/07 | | | 1 | | | 538,728.60 | | | 0.08 | % | | 7.250 | | | 356 | | | 75.00 | | | 739 | |
05/01/07 | | | 9 | | | 1,512,589.76 | | | 0.22 | % | | 8.785 | | | 359 | | | 92.34 | | | 644 | |
09/01/07 | | | 1 | | | 150,909.74 | | | 0.02 | % | | 6.750 | | | 351 | | | 100.00 | | | 755 | |
10/01/07 | | | 1 | | | 303,296.95 | | | 0.04 | % | | 7.375 | | | 352 | | | 100.00 | | | 657 | |
11/01/07 | | | 2 | | | 119,511.41 | | | 0.02 | % | | 8.042 | | | 353 | | | 80.00 | | | 567 | |
12/01/07 | | | 6 | | | 1,540,272.14 | | | 0.22 | % | | 8.040 | | | 354 | | | 88.50 | | | 626 | |
01/01/08 | | | 17 | | | 3,920,858.96 | | | 0.56 | % | | 8.267 | | | 355 | | | 84.28 | | | 611 | |
02/01/08 | | | 38 | | | 8,350,208.67 | | | 1.19 | % | | 8.037 | | | 356 | | | 81.98 | | | 654 | |
03/01/08 | | | 71 | | | 16,018,083.85 | | | 2.28 | % | | 8.057 | | | 357 | | | 82.45 | | | 639 | |
04/01/08 | | | 197 | | | 32,194,443.87 | | | 4.59 | % | | 8.189 | | | 358 | | | 82.55 | | | 644 | |
05/01/08 | | | 2,391 | | | 474,268,997.27 | | | 67.65 | % | | 7.968 | | | 359 | | | 82.68 | | | 651 | |
06/01/08 | | | 1 | | | 340,000.00 | | | 0.05 | % | | 7.875 | | | 360 | | | 80.00 | | | 681 | |
12/01/08 | | | 1 | | | 76,880.00 | | | 0.01 | % | | 7.375 | | | 354 | | | 80.00 | | | 651 | |
01/01/09 | | | 8 | | | 1,393,497.70 | | | 0.20 | % | | 8.178 | | | 355 | | | 89.26 | | | 668 | |
02/01/09 | | | 11 | | | 2,227,473.54 | | | 0.32 | % | | 7.687 | | | 356 | | | 82.70 | | | 632 | |
03/01/09 | | | 15 | | | 2,571,129.75 | | | 0.37 | % | | 7.798 | | | 357 | | | 75.21 | | | 626 | |
04/01/09 | | | 88 | | | 15,220,292.10 | | | 2.17 | % | | 7.837 | | | 358 | | | 81.83 | | | 649 | |
05/01/09 | | | 680 | | | 121,929,830.41 | | | 17.39 | % | | 7.895 | | | 359 | | | 83.64 | | | 650 | |
06/01/09 | | | 2 | | | 405,600.00 | | | 0.06 | % | | 6.828 | | | 360 | | | 80.00 | | | 649 | |
06/01/10 | | | 1 | | | 629,241.14 | | | 0.09 | % | | 5.625 | | | 348 | | | 79.75 | | | 668 | |
11/01/10 | | | 1 | | | 135,571.93 | | | 0.02 | % | | 6.625 | | | 353 | | | 80.00 | | | 641 | |
12/01/10 | | | 1 | | | 254,706.94 | | | 0.04 | % | | 5.625 | | | 354 | | | 80.00 | | | 777 | |
02/01/11 | | | 1 | | | 95,750.66 | | | 0.01 | % | | 6.750 | | | 356 | | | 78.69 | | | 661 | |
03/01/11 | | | 1 | | | 479,191.17 | | | 0.07 | % | | 6.875 | | | 357 | | | 80.00 | | | 621 | |
04/01/11 | | | 5 | | | 947,652.32 | | | 0.14 | % | | 7.056 | | | 358 | | | 80.00 | | | 715 | |
05/01/11 | | | 56 | | | 13,533,527.98 | | | 1.93 | % | | 7.370 | | | 359 | | | 78.64 | | | 664 | |
06/01/11 | | | 1 | | | 72,000.00 | | | 0.01 | % | | 7.375 | | | 360 | | | 80.00 | | | 675 | |
Total | | | 3,614 | | | 701,044,521.50 | | | 100.00 | % | | 7.948 | | | 359 | | | 82.76 | | | 650 | |
Group I Mortgage Loans |
As of the Statistical Cut-off Date |
| | | | | | |
| | Minimum | Maximum |
Scheduled Principal Balance | $305,715,818 | $24,976 | $503,400 |
Average Scheduled Principal Balance | $129,431 | | |
Number of Mortgage Loans | 2,362 | | |
| | | |
Weighted Average Gross Coupon | 8.173% | 4.999% | 12.000% |
Weighted Average FICO Score | 636 | 540 | 816 |
Weighted Average Original LTV | 82.43% | 6.29% | 100.00% |
Weighted Average Debt-to-Income | 43.27% | 20.00% | 55.00% |
| | | |
Weighted Average Original Term | 358 months | 180 months | 360 months |
Weighted Average Stated Remaining Term | 357 months | 174 months | 360 months |
Weighted Average Seasoning | 1 months | 0 months | 9 months |
| | | |
Weighted Average Gross Margin | 5.707% | 4.875% | 7.875% |
Weighted Average Minimum Interest Rate | 8.227% | 5.250% | 12.000% |
Weighted Average Maximum Interest Rate | 14.227% | 11.250% | 18.000% |
Weighted Average Initial Rate Cap | 2.992% | 1.000% | 3.000% |
Weighted Average Subsequent Rate Cap | 1.000% | 1.000% | 1.000% |
Weighted Average Months to Roll | 25 months | 4 months | 35 months |
| | | |
Maturity Date | | Dec 1 2020 | Jun 1 2036 |
Maximum Zip Code Concentration | 0.32% | 60446 |
| | | |
ARM | 75.01% | | |
Fixed Rate | 24.99% | | |
| | | |
1/29 6 MO LIBOR | 0.28% | | |
2/28 6 MO LIBOR | 35.04% | | |
2/28 6 MO LIBOR 40/30 Balloon | 16.06% | | |
2/28 6 MO LIBOR IO | 5.79% | | |
3/27 6 MO LIBOR | 9.32% | | |
3/27 6 MO LIBOR 40/30 Balloon | 4.94% | | |
3/27 6 MO LIBOR IO | 3.44% | | |
6 MO LIBOR | 0.04% | | |
6 MO LIBOR ARM IO | 0.10% | | |
Balloon 15/30 | 0.04% | | |
Fixed Rate | 22.42% | | |
Fixed Rate 40/30 Balloon | 2.52% | | |
| | | |
I/O Term: 0 months | 90.67% | | |
I/O Term: 60 months | 9.33% | | |
| | | |
Prepay Penalty: 0 months | 33.72% | | |
Prepay Penalty: 12 months | 2.34% | | |
Prepay Penalty: 24 months | 35.41% | | |
Prepay Penalty: 36 months | 28.53% | | |
First Lien | 100.00% |
| |
Blended Documentation | 0.48% |
Full Documentation | 71.25% |
Limited Income Verification | 0.98% |
No Income Verification | 13.21% |
Rapid Documentation | 13.42% |
Stated Plus Documentation | 0.67% |
| |
Cash Out Refinance | 49.71% |
Purchase | 43.35% |
Rate/Term Refinance | 6.93% |
| |
2 Units | 3.99% |
3 Units | 0.59% |
4 Units | 0.15% |
Condominium | 4.57% |
Modular | 0.02% |
PUD | 11.00% |
Single Family | 79.67% |
| |
Non-owner | 1.72% |
Primary | 98.14% |
Second Home | 0.14% |
| |
Top 5 States: | |
Illinois | 8.04% |
California | 7.47% |
Florida | 6.31% |
Michigan | 5.89% |
Ohio | 5.45% |
Current Principal Balance | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01 - 50,000.00 | | | 151 | | | 6,359,983.00 | | | 2.08 | % | | 9.063 | | | 345 | | | 82.20 | | | 615 | |
50,000.01 - 100,000.00 | | | 860 | | | 66,005,858.96 | | | 21.59 | % | | 8.539 | | | 355 | | | 85.15 | | | 627 | |
100,000.01 - 150,000.00 | | | 651 | | | 80,453,651.82 | | | 26.32 | % | | 8.130 | | | 357 | | | 82.88 | | | 637 | |
150,000.01 - 200,000.00 | | | 362 | | | 62,152,794.51 | | | 20.33 | % | | 8.065 | | | 357 | | | 82.11 | | | 636 | |
200,000.01 - 250,000.00 | | | 166 | | | 37,135,807.60 | | | 12.15 | % | | 8.048 | | | 358 | | | 80.18 | | | 636 | |
250,000.01 - 300,000.00 | | | 86 | | | 23,573,791.50 | | | 7.71 | % | | 7.994 | | | 359 | | | 80.67 | | | 647 | |
300,000.01 - 350,000.00 | | | 52 | | | 16,938,806.89 | | | 5.54 | % | | 7.909 | | | 359 | | | 81.20 | | | 643 | |
350,000.01 - 400,000.00 | | | 28 | | | 10,472,724.21 | | | 3.43 | % | | 7.836 | | | 358 | | | 79.80 | | | 660 | |
400,000.01 - 450,000.00 | | | 4 | | | 1,655,000.00 | | | 0.54 | % | | 7.114 | | | 359 | | | 71.51 | | | 659 | |
450,000.01 - 500,000.00 | | | 1 | | | 464,000.00 | | | 0.15 | % | | 7.625 | | | 359 | | | 80.00 | | | 586 | |
500,000.01 - 550,000.00 | | | 1 | | | 503,400.00 | | | 0.16 | % | | 6.875 | | | 356 | | | 80.00 | | | 663 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Current Gross Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
4.500 - 4.999 | | | 1 | | | 119,551.01 | | | 0.04 | % | | 4.999 | | | 179 | | | 18.75 | | | 771 | |
5.000 - 5.499 | | | 4 | | | 625,383.00 | | | 0.20 | % | | 5.260 | | | 359 | | | 49.94 | | | 762 | |
5.500 - 5.999 | | | 35 | | | 7,390,953.81 | | | 2.42 | % | | 5.839 | | | 355 | | | 65.12 | | | 731 | |
6.000 - 6.499 | | | 55 | | | 10,148,021.58 | | | 3.32 | % | | 6.235 | | | 355 | | | 70.93 | | | 692 | |
6.500 - 6.999 | | | 178 | | | 28,889,537.30 | | | 9.45 | % | | 6.787 | | | 355 | | | 77.19 | | | 678 | |
7.000 - 7.499 | | | 221 | | | 30,627,983.09 | | | 10.02 | % | | 7.244 | | | 358 | | | 78.44 | | | 653 | |
7.500 - 7.999 | | | 476 | | | 62,528,162.74 | | | 20.45 | % | | 7.743 | | | 355 | | | 78.26 | | | 638 | |
8.000 - 8.499 | | | 329 | | | 42,841,833.65 | | | 14.01 | % | | 8.204 | | | 358 | | | 80.68 | | | 627 | |
8.500 - 8.999 | | | 429 | | | 52,644,457.63 | | | 17.22 | % | | 8.703 | | | 356 | | | 85.62 | | | 619 | |
9.000 - 9.499 | | | 231 | | | 26,637,731.73 | | | 8.71 | % | | 9.198 | | | 356 | | | 90.31 | | | 608 | |
9.500 - 9.999 | | | 241 | | | 27,809,520.93 | | | 9.10 | % | | 9.689 | | | 359 | | | 92.49 | | | 612 | |
10.000 -10.499 | | | 80 | | | 7,860,412.25 | | | 2.57 | % | | 10.176 | | | 359 | | | 96.03 | | | 607 | |
10.500 -10.999 | | | 58 | | | 5,722,906.43 | | | 1.87 | % | | 10.651 | | | 359 | | | 97.33 | | | 613 | |
11.000 -11.499 | | | 15 | | | 1,091,943.34 | | | 0.36 | % | | 11.229 | | | 359 | | | 100.00 | | | 593 | |
11.500 -11.999 | | | 8 | | | 727,600.00 | | | 0.24 | % | | 11.628 | | | 359 | | | 100.00 | | | 585 | |
12.000 -12.499 | | | 1 | | | 49,820.00 | | | 0.02 | % | | 12.000 | | | 359 | | | 100.00 | | | 585 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
FICO | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
525-549 | | | 74 | | | 10,700,428.26 | | | 3.50 | % | | 8.839 | | | 353 | | | 77.86 | | | 544 | |
550-574 | | | 228 | | | 29,466,336.20 | | | 9.64 | % | | 8.684 | | | 357 | | | 76.71 | | | 563 | |
575-599 | | | 309 | | | 35,827,425.46 | | | 11.72 | % | | 8.935 | | | 357 | | | 82.58 | | | 587 | |
600-624 | | | 500 | | | 56,920,592.26 | | | 18.62 | % | | 8.463 | | | 357 | | | 84.67 | | | 611 | |
625-649 | | | 435 | | | 57,374,252.68 | | | 18.77 | % | | 8.210 | | | 357 | | | 84.86 | | | 637 | |
650-674 | | | 399 | | | 52,637,045.68 | | | 17.22 | % | | 7.855 | | | 356 | | | 84.44 | | | 661 | |
675-699 | | | 191 | | | 27,883,008.16 | | | 9.12 | % | | 7.552 | | | 357 | | | 81.56 | | | 686 | |
700+ | | | 226 | | | 34,906,729.79 | | | 11.42 | % | | 7.200 | | | 355 | | | 78.54 | | | 737 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Original LTV | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01- 49.99 | | | 62 | | | 6,907,867.73 | | | 2.26 | % | | 7.361 | | | 346 | | | 37.75 | | | 655 | |
50.00- 54.99 | | | 28 | | | 4,264,674.84 | | | 1.39 | % | | 7.521 | | | 359 | | | 52.46 | | | 638 | |
55.00- 59.99 | | | 25 | | | 4,301,782.33 | | | 1.41 | % | | 7.376 | | | 347 | | | 57.49 | | | 630 | |
60.00- 64.99 | | | 58 | | | 9,892,640.63 | | | 3.24 | % | | 7.200 | | | 353 | | | 62.35 | | | 656 | |
65.00- 69.99 | | | 59 | | | 9,152,612.88 | | | 2.99 | % | | 7.494 | | | 355 | | | 67.57 | | | 632 | |
70.00- 74.99 | | | 69 | | | 11,926,294.09 | | | 3.90 | % | | 7.664 | | | 354 | | | 72.17 | | | 615 | |
75.00- 79.99 | | | 217 | | | 29,461,395.29 | | | 9.64 | % | | 7.735 | | | 356 | | | 77.92 | | | 632 | |
80.00 | | | 875 | | | 110,757,645.80 | | | 36.23 | % | | 7.678 | | | 358 | | | 80.00 | | | 645 | |
80.01- 84.99 | | | 63 | | | 9,304,366.99 | | | 3.04 | % | | 8.556 | | | 356 | | | 83.64 | | | 597 | |
85.00- 89.99 | | | 123 | | | 15,871,833.88 | | | 5.19 | % | | 8.760 | | | 358 | | | 86.51 | | | 604 | |
90.00- 94.99 | | | 200 | | | 28,017,294.99 | | | 9.16 | % | | 8.844 | | | 356 | | | 90.85 | | | 616 | |
95.00- 99.99 | | | 104 | | | 14,900,339.89 | | | 4.87 | % | | 8.964 | | | 356 | | | 95.61 | | | 643 | |
100.00 | | | 479 | | | 50,957,069.15 | | | 16.67 | % | | 9.315 | | | 358 | | | 100.00 | | | 645 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Original Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
180 | | | 39 | | | 3,251,905.10 | | | 1.06 | % | | 7.671 | | | 178 | | | 72.84 | | | 652 | |
240 | | | 4 | | | 529,916.38 | | | 0.17 | % | | 8.140 | | | 238 | | | 59.79 | | | 609 | |
360 | | | 2,319 | | | 301,933,997.01 | | | 98.76 | % | | 8.179 | | | 359 | | | 82.58 | | | 636 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Stated Remaining Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
121-180 | | | 39 | | | 3,251,905.10 | | | 1.06 | % | | 7.671 | | | 178 | | | 72.84 | | | 652 | |
181-240 | | | 4 | | | 529,916.38 | | | 0.17 | % | | 8.140 | | | 238 | | | 59.79 | | | 609 | |
301-360 | | | 2,319 | | | 301,933,997.01 | | | 98.76 | % | | 8.179 | | | 359 | | | 82.58 | | | 636 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Debt Ratio | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01 -20.00 | | | 13 | | | 1,064,570.20 | | | 0.35 | % | | 8.348 | | | 352 | | | 81.88 | | | 623 | |
20.01 -25.00 | | | 92 | | | 9,928,232.07 | | | 3.25 | % | | 8.206 | | | 357 | | | 78.68 | | | 635 | |
25.01 -30.00 | | | 163 | | | 18,670,702.03 | | | 6.11 | % | | 8.217 | | | 353 | | | 78.71 | | | 638 | |
30.01 -35.00 | | | 231 | | | 26,552,084.72 | | | 8.69 | % | | 8.173 | | | 357 | | | 82.71 | | | 634 | |
35.01 -40.00 | | | 337 | | | 43,304,760.72 | | | 14.17 | % | | 8.185 | | | 357 | | | 81.96 | | | 637 | |
40.01 -45.00 | | | 495 | | | 64,507,255.80 | | | 21.10 | % | | 8.168 | | | 357 | | | 82.95 | | | 639 | |
45.01 -50.00 | | | 606 | | | 82,554,770.62 | | | 27.00 | % | | 8.321 | | | 357 | | | 83.90 | | | 636 | |
50.01 -55.00 | | | 425 | | | 59,133,442.33 | | | 19.34 | % | | 7.943 | | | 357 | | | 81.86 | | | 633 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
FRM/ARM | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
ARM | | | 1,745 | | | 229,307,945.69 | | | 75.01 | % | | 8.227 | | | 359 | | | 83.77 | | | 632 | |
Fixed Rate | | | 617 | | | 76,407,872.80 | | | 24.99 | % | | 8.013 | | | 350 | | | 78.41 | | | 647 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Product | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1/29 6 MO LIBOR | | | 5 | | | 869,204.76 | | | 0.28 | % | | 8.785 | | | 359 | | | 88.19 | | | 599 | |
2/28 6 MO LIBOR | | | 939 | | | 107,121,605.39 | | | 35.04 | % | | 8.428 | | | 359 | | | 84.72 | | | 625 | |
2/28 6 MO LIBOR 40/30 Balloon | | | 308 | | | 49,087,870.73 | | | 16.06 | % | | 8.166 | | | 359 | | | 82.58 | | | 627 | |
2/28 6 MO LIBOR IO | | | 97 | | | 17,694,713.75 | | | 5.79 | % | | 7.608 | | | 359 | | | 80.16 | | | 678 | |
3/27 6 MO LIBOR | | | 226 | | | 28,479,766.01 | | | 9.32 | % | | 8.266 | | | 359 | | | 84.25 | | | 629 | |
3/27 6 MO LIBOR 40/30 Balloon | | | 106 | | | 15,106,258.86 | | | 4.94 | % | | 8.185 | | | 359 | | | 85.04 | | | 626 | |
3/27 6 MO LIBOR IO | | | 61 | | | 10,518,701.55 | | | 3.44 | % | | 7.444 | | | 359 | | | 82.36 | | | 674 | |
6 MO LIBOR | | | 1 | | | 109,424.64 | | | 0.04 | % | | 7.875 | | | 358 | | | 86.77 | | | 661 | |
6 MO LIBOR ARM IO | | | 2 | | | 320,400.00 | | | 0.10 | % | | 7.290 | | | 359 | | | 80.00 | | | 700 | |
Balloon 15/30 | | | 2 | | | 136,600.00 | | | 0.04 | % | | 9.000 | | | 179 | | | 96.56 | | | 712 | |
Fixed Rate | | | 565 | | | 68,555,992.50 | | | 22.42 | % | | 7.990 | | | 350 | | | 77.77 | | | 647 | |
Fixed Rate 40/30 Balloon | | | 50 | | | 7,715,280.30 | | | 2.52 | % | | 8.207 | | | 359 | | | 83.84 | | | 647 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Interest Only By Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
I/O Term: 0 months | | | 2,202 | | | 277,182,003.19 | | | 90.67 | % | | 8.238 | | | 356 | | | 82.58 | | | 632 | |
I/O Term: 60 months | | | 160 | | | 28,533,815.30 | | | 9.33 | % | | 7.544 | | | 359 | | | 80.97 | | | 677 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Prepayment Penalty Original Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Prepay Penalty: 0 months | | | 739 | | | 103,073,186.78 | | | 33.72 | % | | 8.320 | | | 356 | | | 82.84 | | | 636 | |
Prepay Penalty: 12 months | | | 62 | | | 7,166,851.93 | | | 2.34 | % | | 8.530 | | | 358 | | | 79.97 | | | 633 | |
Prepay Penalty: 24 months | | | 856 | | | 108,257,417.90 | | | 35.41 | % | | 8.175 | | | 359 | | | 82.74 | | | 632 | |
Prepay Penalty: 36 months | | | 705 | | | 87,218,361.88 | | | 28.53 | % | | 7.970 | | | 355 | | | 81.77 | | | 641 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Lien | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
First Lien | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Documentation Type | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Blended Documentation | | | 11 | | | 1,466,019.18 | | | 0.48 | % | | 8.849 | | | 359 | | | 93.10 | | | 674 | |
Full Documentation | | | 1,789 | | | 217,815,012.91 | | | 71.25 | % | | 8.009 | | | 357 | | | 81.50 | | | 630 | |
Limited Income Verification | | | 17 | | | 3,006,693.29 | | | 0.98 | % | | 8.114 | | | 359 | | | 76.06 | | | 619 | |
No Income Verification | | | 305 | | | 40,373,480.87 | | | 13.21 | % | | 8.421 | | | 358 | | | 81.78 | | | 665 | |
Rapid Documentation | | | 230 | | | 41,017,384.05 | | | 13.42 | % | | 8.729 | | | 355 | | | 87.43 | | | 637 | |
Stated Plus Documentation | | | 10 | | | 2,037,228.19 | | | 0.67 | % | | 9.257 | | | 358 | | | 96.22 | | | 666 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Loan Purpose | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Cash Out Refinance | | | 948 | | | 151,982,695.80 | | | 49.71 | % | | 8.243 | | | 356 | | | 80.34 | | | 627 | |
Purchase | | | 1,271 | | | 132,536,699.56 | | | 43.35 | % | | 8.170 | | | 359 | | | 85.95 | | | 645 | |
Rate/Term Refinance | | | 143 | | | 21,196,423.13 | | | 6.93 | % | | 7.696 | | | 351 | | | 75.40 | | | 647 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Property Type | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
2 Units | | | 76 | | | 12,205,413.34 | | | 3.99 | % | | 8.088 | | | 357 | | | 81.77 | | | 658 | |
3 Units | | | 9 | | | 1,803,057.42 | | | 0.59 | % | | 7.954 | | | 359 | | | 72.42 | | | 601 | |
4 Units | | | 3 | | | 444,000.00 | | | 0.15 | % | | 7.935 | | | 321 | | | 63.63 | | | 653 | |
Condominium | | | 105 | | | 13,985,735.98 | | | 4.57 | % | | 7.973 | | | 358 | | | 82.44 | | | 652 | |
Modular | | | 1 | | | 73,043.76 | | | 0.02 | % | | 7.625 | | | 174 | | | 75.00 | | | 606 | |
PUD | | | 200 | | | 33,641,150.05 | | | 11.00 | % | | 7.775 | | | 358 | | | 78.91 | | | 648 | |
Single Family | | | 1,968 | | | 243,563,417.94 | | | 79.67 | % | | 8.246 | | | 356 | | | 83.06 | | | 633 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Occupancy Status | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Non-owner | | | 48 | | | 5,258,916.60 | | | 1.72 | % | | 7.953 | | | 358 | | | 66.88 | | | 645 | |
Primary | | | 2,311 | | | 300,032,201.89 | | | 98.14 | % | | 8.177 | | | 357 | | | 82.71 | | | 636 | |
Second Home | | | 3 | | | 424,700.00 | | | 0.14 | % | | 8.484 | | | 359 | | | 80.62 | | | 667 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
State | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Alabama | | | 28 | | | 2,792,072.53 | | | 0.91 | % | | 8.353 | | | 335 | | | 86.24 | | | 618 | |
Arizona | | | 45 | | | 7,708,952.26 | | | 2.52 | % | | 7.611 | | | 354 | | | 76.98 | | | 643 | |
Arkansas | | | 12 | | | 1,215,236.65 | | | 0.40 | % | | 8.785 | | | 359 | | | 89.46 | | | 616 | |
California | | | 97 | | | 22,826,632.33 | | | 7.47 | % | | 7.326 | | | 358 | | | 70.72 | | | 653 | |
Colorado | | | 31 | | | 4,603,431.80 | | | 1.51 | % | | 7.597 | | | 359 | | | 82.29 | | | 648 | |
Connecticut | | | 14 | | | 2,582,616.24 | | | 0.84 | % | | 8.003 | | | 359 | | | 79.42 | | | 632 | |
Delaware | | | 2 | | | 287,300.00 | | | 0.09 | % | | 7.545 | | | 359 | | | 75.10 | | | 606 | |
District of Columbia | | | 1 | | | 207,000.00 | | | 0.07 | % | | 9.500 | | | 359 | | | 90.00 | | | 603 | |
Florida | | | 128 | | | 19,288,495.80 | | | 6.31 | % | | 7.874 | | | 355 | | | 77.07 | | | 635 | |
Georgia | | | 98 | | | 13,491,537.12 | | | 4.41 | % | | 8.340 | | | 359 | | | 86.26 | | | 631 | |
Idaho | | | 12 | | | 1,212,371.72 | | | 0.40 | % | | 7.744 | | | 345 | | | 82.93 | | | 642 | |
Illinois | | | 170 | | | 24,590,792.53 | | | 8.04 | % | | 8.579 | | | 357 | | | 85.57 | | | 639 | |
Indiana | | | 129 | | | 10,639,568.40 | | | 3.48 | % | | 8.903 | | | 359 | | | 91.53 | | | 631 | |
Iowa | | | 37 | | | 2,843,482.76 | | | 0.93 | % | | 8.984 | | | 359 | | | 91.60 | | | 629 | |
Kansas | | | 10 | | | 913,721.92 | | | 0.30 | % | | 8.774 | | | 359 | | | 81.85 | | | 617 | |
Kentucky | | | 41 | | | 3,562,764.83 | | | 1.17 | % | | 8.696 | | | 359 | | | 89.24 | | | 637 | |
Louisiana | | | 9 | | | 815,655.53 | | | 0.27 | % | | 7.512 | | | 359 | | | 81.08 | | | 675 | |
Maine | | | 5 | | | 495,800.00 | | | 0.16 | % | | 7.640 | | | 359 | | | 76.13 | | | 619 | |
Maryland | | | 27 | | | 4,717,495.71 | | | 1.54 | % | | 7.648 | | | 356 | | | 78.36 | | | 661 | |
Massachusetts | | | 57 | | | 12,016,995.83 | | | 3.93 | % | | 7.954 | | | 358 | | | 80.07 | | | 633 | |
Michigan | | | 153 | | | 18,020,138.05 | | | 5.89 | % | | 8.501 | | | 358 | | | 85.98 | | | 630 | |
Minnesota | | | 50 | | | 6,853,173.56 | | | 2.24 | % | | 7.905 | | | 359 | | | 80.40 | | | 647 | |
Mississippi | | | 9 | | | 846,544.87 | | | 0.28 | % | | 8.088 | | | 348 | | | 88.41 | | | 629 | |
Missouri | | | 59 | | | 6,277,657.75 | | | 2.05 | % | | 8.366 | | | 356 | | | 82.80 | | | 626 | |
Montana | | | 1 | | | 154,400.00 | | | 0.05 | % | | 7.375 | | | 359 | | | 80.00 | | | 650 | |
Nebraska | | | 7 | | | 600,031.99 | | | 0.20 | % | | 8.491 | | | 359 | | | 85.34 | | | 643 | |
Nevada | | | 29 | | | 5,507,964.51 | | | 1.80 | % | | 7.533 | | | 359 | | | 76.18 | | | 659 | |
New Hampshire | | | 6 | | | 1,064,596.43 | | | 0.35 | % | | 8.291 | | | 359 | | | 76.81 | | | 584 | |
New Jersey | | | 40 | | | 8,917,734.88 | | | 2.92 | % | | 8.319 | | | 359 | | | 81.89 | | | 623 | |
New Mexico | | | 8 | | | 1,069,467.63 | | | 0.35 | % | | 8.072 | | | 359 | | | 77.16 | | | 649 | |
New York | | | 102 | | | 11,716,456.87 | | | 3.83 | % | | 8.287 | | | 356 | | | 84.07 | | | 638 | |
North Carolina | | | 105 | | | 12,244,927.33 | | | 4.01 | % | | 8.520 | | | 358 | | | 84.92 | | | 618 | |
North Dakota | | | 1 | | | 33,150.00 | | | 0.01 | % | | 9.750 | | | 359 | | | 85.00 | | | 540 | |
Ohio | | | 171 | | | 16,658,268.85 | | | 5.45 | % | | 8.663 | | | 356 | | | 89.18 | | | 631 | |
Oklahoma | | | 10 | | | 799,229.23 | | | 0.26 | % | | 9.443 | | | 359 | | | 91.98 | | | 614 | |
Oregon | | | 54 | | | 8,855,472.22 | | | 2.90 | % | | 7.596 | | | 359 | | | 77.33 | | | 644 | |
Pennsylvania | | | 65 | | | 6,397,826.99 | | | 2.09 | % | | 8.407 | | | 349 | | | 86.57 | | | 630 | |
Rhode Island | | | 7 | | | 1,652,000.00 | | | 0.54 | % | | 7.789 | | | 359 | | | 81.22 | | | 651 | |
South Carolina | | | 36 | | | 3,606,005.11 | | | 1.18 | % | | 8.344 | | | 359 | | | 88.41 | | | 633 | |
South Dakota | | | 2 | | | 151,228.68 | | | 0.05 | % | | 8.278 | | | 357 | | | 66.33 | | | 621 | |
Tennessee | | | 93 | | | 8,328,789.17 | | | 2.72 | % | | 8.607 | | | 357 | | | 87.16 | | | 629 | |
Texas | | | 163 | | | 15,139,579.18 | | | 4.95 | % | | 7.982 | | | 348 | | | 79.88 | | | 638 | |
Utah | | | 59 | | | 7,695,864.03 | | | 2.52 | % | | 7.582 | | | 359 | | | 80.79 | | | 647 | |
Vermont | | | 3 | | | 437,328.80 | | | 0.14 | % | | 9.095 | | | 359 | | | 93.82 | | | 632 | |
Virginia | | | 32 | | | 5,537,720.94 | | | 1.81 | % | | 8.132 | | | 359 | | | 79.27 | | | 643 | |
Washington | | | 39 | | | 7,338,983.23 | | | 2.40 | % | | 7.571 | | | 358 | | | 78.49 | | | 641 | |
West Virginia | | | 7 | | | 779,211.09 | | | 0.25 | % | | 7.654 | | | 359 | | | 78.28 | | | 629 | |
Wisconsin | | | 94 | | | 11,687,843.14 | | | 3.82 | % | | 8.811 | | | 359 | | | 87.48 | | | 625 | |
Wyoming | | | 4 | | | 532,300.00 | | | 0.17 | % | | 7.717 | | | 359 | | | 82.62 | | | 670 | |
Total | | | 2,362 | | | 305,715,818.49 | | | 100.00 | % | | 8.173 | | | 357 | | | 82.43 | | | 636 | |
| | | | | | | | | | | | | | | |
Gross Margin | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
4.500 - 4.999 | | | 3 | | | 524,400.00 | | | 0.23 | % | | 8.393 | | | 359 | | | 80.62 | | | 646 | |
5.000 - 5.499 | | | 988 | | | 132,454,108.59 | | | 57.76 | % | | 7.705 | | | 359 | | | 76.99 | | | 637 | |
5.500 - 5.999 | | | 251 | | | 36,672,710.56 | | | 15.99 | % | | 8.711 | | | 359 | | | 87.31 | | | 605 | |
6.000 - 6.499 | | | 478 | | | 57,054,127.53 | | | 24.88 | % | | 9.097 | | | 359 | | | 96.94 | | | 638 | |
6.500 - 6.999 | | | 15 | | | 1,876,157.85 | | | 0.82 | % | | 8.589 | | | 357 | | | 89.89 | | | 669 | |
7.000 - 7.499 | | | 8 | | | 590,622.22 | | | 0.26 | % | | 9.359 | | | 356 | | | 93.39 | | | 633 | |
7.500 - 7.999 | | | 2 | | | 135,818.94 | | | 0.06 | % | | 10.240 | | | 356 | | | 100.00 | | | 648 | |
Total | | | 1,745 | | | 229,307,945.69 | | | 100.00 | % | | 8.227 | | | 359 | | | 83.77 | | | 632 | |
| | | | | | | | | | | | | | | |
Minimum Interest Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
5.000 - 5.499 | | | 1 | | | 115,800.00 | | | 0.05 | % | | 5.250 | | | 359 | | | 69.95 | | | 722 | |
5.500 - 5.999 | | | 9 | | | 1,521,819.49 | | | 0.66 | % | | 5.912 | | | 359 | | | 78.71 | | | 696 | |
6.000 - 6.499 | | | 23 | | | 3,784,214.50 | | | 1.65 | % | | 6.233 | | | 359 | | | 74.43 | | | 687 | |
6.500 - 6.999 | | | 129 | | | 20,484,702.29 | | | 8.93 | % | | 6.788 | | | 359 | | | 79.01 | | | 672 | |
7.000 - 7.499 | | | 194 | | | 27,312,542.39 | | | 11.91 | % | | 7.243 | | | 359 | | | 78.92 | | | 655 | |
7.500 - 7.999 | | | 373 | | | 49,426,970.30 | | | 21.55 | % | | 7.744 | | | 359 | | | 79.19 | | | 637 | |
8.000 - 8.499 | | | 262 | | | 35,467,294.48 | | | 15.47 | % | | 8.203 | | | 359 | | | 81.81 | | | 627 | |
8.500 - 8.999 | | | 312 | | | 40,635,648.64 | | | 17.72 | % | | 8.697 | | | 359 | | | 86.47 | | | 620 | |
9.000 - 9.499 | | | 161 | | | 20,014,166.61 | | | 8.73 | % | | 9.193 | | | 359 | | | 90.62 | | | 609 | |
9.500 - 9.999 | | | 171 | | | 19,996,481.01 | | | 8.72 | % | | 9.692 | | | 359 | | | 92.97 | | | 610 | |
10.000 -10.499 | | | 49 | | | 4,715,515.41 | | | 2.06 | % | | 10.195 | | | 359 | | | 95.55 | | | 598 | |
10.500 -10.999 | | | 42 | | | 4,248,097.23 | | | 1.85 | % | | 10.654 | | | 359 | | | 97.67 | | | 600 | |
11.000 -11.499 | | | 11 | | | 842,273.34 | | | 0.37 | % | | 11.248 | | | 359 | | | 100.00 | | | 592 | |
11.500 -11.999 | | | 7 | | | 692,600.00 | | | 0.30 | % | | 11.621 | | | 359 | | | 100.00 | | | 585 | |
12.000 -12.499 | | | 1 | | | 49,820.00 | | | 0.02 | % | | 12.000 | | | 359 | | | 100.00 | | | 585 | |
Total | | | 1,745 | | | 229,307,945.69 | | | 100.00 | % | | 8.227 | | | 359 | | | 83.77 | | | 632 | |
| | | | | | | | | | | | | | | |
Maximum Interest Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
11.000 -11.499 | | | 1 | | | 115,800.00 | | | 0.05 | % | | 5.250 | | | 359 | | | 69.95 | | | 722 | |
11.500 -11.999 | | | 9 | | | 1,521,819.49 | | | 0.66 | % | | 5.912 | | | 359 | | | 78.71 | | | 696 | |
12.000 -12.499 | | | 23 | | | 3,784,214.50 | | | 1.65 | % | | 6.233 | | | 359 | | | 74.43 | | | 687 | |
12.500 -12.999 | | | 129 | | | 20,484,702.29 | | | 8.93 | % | | 6.788 | | | 359 | | | 79.01 | | | 672 | |
13.000 -13.499 | | | 194 | | | 27,312,542.39 | | | 11.91 | % | | 7.243 | | | 359 | | | 78.92 | | | 655 | |
13.500 -13.999 | | | 373 | | | 49,426,970.30 | | | 21.55 | % | | 7.744 | | | 359 | | | 79.19 | | | 637 | |
14.000 -14.499 | | | 262 | | | 35,467,294.48 | | | 15.47 | % | | 8.203 | | | 359 | | | 81.81 | | | 627 | |
14.500 -14.999 | | | 312 | | | 40,635,648.64 | | | 17.72 | % | | 8.697 | | | 359 | | | 86.47 | | | 620 | |
15.000 -15.499 | | | 161 | | | 20,014,166.61 | | | 8.73 | % | | 9.193 | | | 359 | | | 90.62 | | | 609 | |
15.500 -15.999 | | | 171 | | | 19,996,481.01 | | | 8.72 | % | | 9.692 | | | 359 | | | 92.97 | | | 610 | |
16.000 -16.499 | | | 49 | | | 4,715,515.41 | | | 2.06 | % | | 10.195 | | | 359 | | | 95.55 | | | 598 | |
16.500 -16.999 | | | 42 | | | 4,248,097.23 | | | 1.85 | % | | 10.654 | | | 359 | | | 97.67 | | | 600 | |
17.000 -17.499 | | | 11 | | | 842,273.34 | | | 0.37 | % | | 11.248 | | | 359 | | | 100.00 | | | 592 | |
17.500 -17.999 | | | 7 | | | 692,600.00 | | | 0.30 | % | | 11.621 | | | 359 | | | 100.00 | | | 585 | |
18.000 -18.499 | | | 1 | | | 49,820.00 | | | 0.02 | % | | 12.000 | | | 359 | | | 100.00 | | | 585 | |
Total | | | 1,745 | | | 229,307,945.69 | | | 100.00 | % | | 8.227 | | | 359 | | | 83.77 | | | 632 | |
| | | | | | | | | | | | | | | |
Initial Periodic Rate Cap | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1.000 | | | 3 | | | 429,824.64 | | | 0.19 | % | | 7.439 | | | 359 | | | 81.72 | | | 690 | |
2.000 | | | 5 | | | 869,204.76 | | | 0.38 | % | | 8.785 | | | 359 | | | 88.19 | | | 599 | |
3.000 | | | 1,737 | | | 228,008,916.29 | | | 99.43 | % | | 8.226 | | | 359 | | | 83.76 | | | 632 | |
Total | | | 1,745 | | | 229,307,945.69 | | | 100.00 | % | | 8.227 | | | 359 | | | 83.77 | | | 632 | |
| | | | | | | | | | | | | | | |
Subsequent Periodic Rate Cap | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1.000 | | | 1,745 | | | 229,307,945.69 | | | 100.00 | % | | 8.227 | | | 359 | | | 83.77 | | | 632 | |
Total | | | 1,745 | | | 229,307,945.69 | | | 100.00 | % | | 8.227 | | | 359 | | | 83.77 | | | 632 | |
| | | | | | | | | | | | | | | |
Next Rate Change Date | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
10/01/06 | | | 1 | | | 109,424.64 | | | 0.05 | % | | 7.875 | | | 358 | | | 86.77 | | | 661 | |
11/01/06 | | | 2 | | | 320,400.00 | | | 0.14 | % | | 7.290 | | | 359 | | | 80.00 | | | 700 | |
05/01/07 | | | 5 | | | 869,204.76 | | | 0.38 | % | | 8.785 | | | 359 | | | 88.19 | | | 599 | |
09/01/07 | | | 1 | | | 150,909.74 | | | 0.07 | % | | 6.750 | | | 351 | | | 100.00 | | | 755 | |
10/01/07 | | | 1 | | | 303,296.95 | | | 0.13 | % | | 7.375 | | | 352 | | | 100.00 | | | 657 | |
11/01/07 | | | 2 | | | 119,511.41 | | | 0.05 | % | | 8.042 | | | 353 | | | 80.00 | | | 567 | |
12/01/07 | | | 2 | | | 320,848.88 | | | 0.14 | % | | 7.750 | | | 354 | | | 72.34 | | | 590 | |
01/01/08 | | | 14 | | | 3,080,367.46 | | | 1.34 | % | | 8.232 | | | 355 | | | 82.82 | | | 607 | |
02/01/08 | | | 24 | | | 3,066,341.97 | | | 1.34 | % | | 8.140 | | | 356 | | | 85.12 | | | 651 | |
03/01/08 | | | 34 | | | 4,727,091.32 | | | 2.06 | % | | 8.299 | | | 357 | | | 81.81 | | | 611 | |
04/01/08 | | | 113 | | | 13,634,034.18 | | | 5.95 | % | | 8.428 | | | 358 | | | 84.35 | | | 623 | |
05/01/08 | | | 1,153 | | | 148,501,787.96 | | | 64.76 | % | | 8.263 | | | 359 | | | 83.61 | | | 632 | |
01/01/09 | | | 3 | | | 381,768.43 | | | 0.17 | % | | 7.780 | | | 355 | | | 86.83 | | | 649 | |
02/01/09 | | | 3 | | | 598,250.02 | | | 0.26 | % | | 8.291 | | | 356 | | | 85.18 | | | 591 | |
03/01/09 | | | 7 | | | 977,229.35 | | | 0.43 | % | | 7.738 | | | 357 | | | 63.72 | | | 621 | |
04/01/09 | | | 55 | | | 8,214,207.51 | | | 3.58 | % | | 7.989 | | | 358 | | | 81.70 | | | 646 | |
05/01/09 | | | 325 | | | 43,933,271.11 | | | 19.16 | % | | 8.109 | | | 359 | | | 84.96 | | | 637 | |
Total | | | 1,745 | | | 229,307,945.69 | | | 100.00 | % | | 8.227 | | | 359 | | | 83.77 | | | 632 | |
Group II Mortgage Loans |
As of the Statistical Cut-off Date |
| | | | | | |
| | Minimum | Maximum |
Scheduled Principal Balance | $533,247,539 | $25,000 | $1,454,786 |
Average Scheduled Principal Balance | $244,049 | | |
Number of Mortgage Loans | 2,185 | | |
| | | |
Weighted Average Gross Coupon | 7.822% | 4.999% | 12.000% |
Weighted Average FICO Score | 658 | 541 | 821 |
Weighted Average Original LTV | 82.02% | 27.88% | 103.00% |
Weighted Average Debt-to-Income | 43.25% | 1.00% | 57.00% |
| | | |
Weighted Average Original Term | 358 months | 180 months | 360 months |
Weighted Average Stated Remaining Term | 357 months | 177 months | 360 months |
Weighted Average Seasoning | 1 months | 0 months | 12 months |
| | | |
Weighted Average Gross Margin | 5.538% | 3.000% | 7.500% |
Weighted Average Minimum Interest Rate | 7.812% | 5.250% | 11.750% |
Weighted Average Maximum Interest Rate | 13.812% | 11.250% | 17.750% |
Weighted Average Initial Rate Cap | 2.992% | 1.000% | 3.000% |
Weighted Average Subsequent Rate Cap | 1.000% | 1.000% | 1.000% |
Weighted Average Months to Roll | 26 months | 2 months | 60 months |
| | | |
Maturity Date | | Mar 1 2021 | Jun 1 2036 |
Maximum Zip Code Concentration | 0.49% | 95127 |
| | | |
ARM | 88.46% | | |
Fixed Rate | 11.54% | | |
| | | |
1/29 6 MO LIBOR | 0.22% | | |
2/28 6 MO LIBOR | 14.61% | | |
2/28 6 MO LIBOR 40/30 Balloon | 12.12% | | |
2/28 6 MO LIBOR IO | 41.27% | | |
2/28 6 MO LIBOR IO 40/30 Balloon | 0.13% | | |
3/27 6 MO LIBOR | 5.06% | | |
3/27 6 MO LIBOR 40/30 Balloon | 3.33% | | |
3/27 6 MO LIBOR IO | 8.44% | | |
5/25 6 MO LIBOR | 1.31% | | |
5/25 6 MO LIBOR 40/30 Balloon | 0.16% | | |
5/25 6 MO LIBOR IO | 1.56% | | |
6 MO LIBOR | 0.11% | | |
6 MO LIBOR ARM IO | 0.15% | | |
Fixed Rate | 7.13% | | |
Fixed Rate 40/30 Balloon | 1.35% | | |
Fixed Rate IO | 2.68% | | |
Fixed Rate IO 40/30 Balloon | 0.38% | | |
| | | |
I/O Term: 0 months | 45.40% | | |
I/O Term: 60 months | 53.04% | | |
I/O Term: 120 months | 1.56% | | |
Prepay Penalty: 0 months | 30.86% |
Prepay Penalty: 12 months | 5.08% |
Prepay Penalty: 24 months | 43.82% |
Prepay Penalty: 36 months | 20.25% |
| |
First Lien | 100.00% |
| |
Blended Documentation | 0.28% |
Full Documentation | 65.81% |
Limited Income Verification | 0.75% |
No Income Verification | 27.35% |
Rapid Documentation | 3.93% |
Stated Plus Documentation | 1.89% |
| |
Cash Out Refinance | 18.04% |
Purchase | 79.65% |
Rate/Term Refinance | 2.30% |
| |
2 Units | 4.64% |
3 Units | 0.13% |
4 Units | 0.15% |
Condominium | 7.79% |
Modular | 0.02% |
PUD | 23.68% |
Single Family | 63.60% |
| |
Non-owner | 4.00% |
Primary | 95.23% |
Second Home | 0.76% |
| |
Top 5 States: | |
California | 31.69% |
Florida | 10.15% |
New York | 5.59% |
Illinois | 5.42% |
Texas | 4.30% |
Current Principal Balance | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01 - 50,000.00 | | | 79 | | | 3,195,029.74 | | | 0.60 | % | | 9.084 | | | 354 | | | 85.40 | | | 640 | |
50,000.01 - 100,000.00 | | | 275 | | | 21,591,959.62 | | | 4.05 | % | | 8.316 | | | 357 | | | 84.94 | | | 643 | |
100,000.01 - 150,000.00 | | | 449 | | | 56,678,551.68 | | | 10.63 | % | | 7.932 | | | 358 | | | 82.04 | | | 642 | |
150,000.01 - 200,000.00 | | | 383 | | | 66,977,947.11 | | | 12.56 | % | | 7.919 | | | 358 | | | 83.22 | | | 648 | |
200,000.01 - 250,000.00 | | | 271 | | | 60,264,448.31 | | | 11.30 | % | | 7.876 | | | 358 | | | 82.95 | | | 648 | |
250,000.01 - 300,000.00 | | | 191 | | | 52,453,771.38 | | | 9.84 | % | | 7.787 | | | 358 | | | 82.36 | | | 655 | |
300,000.01 - 350,000.00 | | | 121 | | | 39,185,361.66 | | | 7.35 | % | | 7.745 | | | 359 | | | 82.10 | | | 659 | |
350,000.01 - 400,000.00 | | | 76 | | | 28,398,707.04 | | | 5.33 | % | | 7.963 | | | 356 | | | 83.69 | | | 655 | |
400,000.01 - 450,000.00 | | | 93 | | | 39,554,288.71 | | | 7.42 | % | | 7.844 | | | 355 | | | 81.48 | | | 666 | |
450,000.01 - 500,000.00 | | | 54 | | | 25,858,917.64 | | | 4.85 | % | | 7.827 | | | 356 | | | 82.50 | | | 657 | |
500,000.01 - 550,000.00 | | | 44 | | | 23,107,572.93 | | | 4.33 | % | | 7.567 | | | 351 | | | 81.21 | | | 675 | |
550,000.01 - 600,000.00 | | | 38 | | | 22,176,740.97 | | | 4.16 | % | | 7.827 | | | 359 | | | 82.98 | | | 669 | |
600,000.01 - 650,000.00 | | | 21 | | | 13,107,046.77 | | | 2.46 | % | | 7.613 | | | 358 | | | 85.23 | | | 680 | |
650,000.01 - 700,000.00 | | | 6 | | | 4,119,880.50 | | | 0.77 | % | | 7.661 | | | 358 | | | 79.80 | | | 666 | |
700,000.01 - 750,000.00 | | | 15 | | | 10,868,474.33 | | | 2.04 | % | | 7.648 | | | 359 | | | 79.91 | | | 668 | |
750,000.01 - 800,000.00 | | | 18 | | | 13,966,057.13 | | | 2.62 | % | | 7.444 | | | 359 | | | 78.80 | | | 673 | |
800,000.01 - 850,000.00 | | | 6 | | | 4,970,180.00 | | | 0.93 | % | | 7.834 | | | 358 | | | 82.69 | | | 636 | |
850,000.01 - 900,000.00 | | | 10 | | | 8,818,391.00 | | | 1.65 | % | | 7.537 | | | 359 | | | 78.93 | | | 664 | |
900,000.01 - 950,000.00 | | | 4 | | | 3,657,600.00 | | | 0.69 | % | | 7.651 | | | 358 | | | 80.00 | | | 664 | |
950,000.01 - 1,000,000.00 | | | 11 | | | 10,818,484.00 | | | 2.03 | % | | 7.454 | | | 359 | | | 75.97 | | | 690 | |
1,000,000.01+ | | | 20 | | | 23,478,128.86 | | | 4.40 | % | | 7.510 | | | 348 | | | 75.95 | | | 704 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Current Gross Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
4.500 - 4.999 | | | 1 | | | 507,647.30 | | | 0.10 | % | | 4.999 | | | 179 | | | 50.30 | | | 783 | |
5.000 - 5.499 | | | 2 | | | 396,630.55 | | | 0.07 | % | | 5.174 | | | 358 | | | 64.64 | | | 754 | |
5.500 - 5.999 | | | 31 | | | 12,515,447.41 | | | 2.35 | % | | 5.831 | | | 337 | | | 70.71 | | | 707 | |
6.000 - 6.499 | | | 67 | | | 21,364,611.07 | | | 4.01 | % | | 6.283 | | | 359 | | | 77.85 | | | 691 | |
6.500 - 6.999 | | | 275 | | | 80,207,104.15 | | | 15.04 | % | | 6.788 | | | 358 | | | 79.05 | | | 675 | |
7.000 - 7.499 | | | 314 | | | 81,548,600.62 | | | 15.29 | % | | 7.239 | | | 358 | | | 79.91 | | | 660 | |
7.500 - 7.999 | | | 542 | | | 135,577,286.17 | | | 25.42 | % | | 7.722 | | | 359 | | | 79.93 | | | 661 | |
8.000 - 8.499 | | | 299 | | | 63,735,469.21 | | | 11.95 | % | | 8.213 | | | 358 | | | 82.88 | | | 647 | |
8.500 - 8.999 | | | 341 | | | 77,449,180.08 | | | 14.52 | % | | 8.709 | | | 356 | | | 85.98 | | | 654 | |
9.000 - 9.499 | | | 131 | | | 25,384,766.50 | | | 4.76 | % | | 9.199 | | | 356 | | | 88.58 | | | 629 | |
9.500 - 9.999 | | | 107 | | | 21,276,106.67 | | | 3.99 | % | | 9.673 | | | 359 | | | 91.90 | | | 624 | |
10.000 -10.499 | | | 34 | | | 6,700,173.82 | | | 1.26 | % | | 10.212 | | | 359 | | | 96.32 | | | 614 | |
10.500 -10.999 | | | 26 | | | 4,271,605.00 | | | 0.80 | % | | 10.617 | | | 342 | | | 98.76 | | | 607 | |
11.000 -11.499 | | | 7 | | | 1,124,410.83 | | | 0.21 | % | | 11.268 | | | 359 | | | 100.00 | | | 592 | |
11.500 -11.999 | | | 7 | | | 1,019,500.00 | | | 0.19 | % | | 11.594 | | | 359 | | | 100.00 | | | 590 | |
12.000 -12.499 | | | 1 | | | 169,000.00 | | | 0.03 | % | | 12.000 | | | 359 | | | 100.00 | | | 584 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
FICO | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
525-549 | | | 22 | | | 4,662,886.15 | | | 0.87 | % | | 8.902 | | | 349 | | | 75.01 | | | 545 | |
550-574 | | | 74 | | | 13,407,979.58 | | | 2.51 | % | | 8.826 | | | 344 | | | 78.98 | | | 564 | |
575-599 | | | 132 | | | 26,014,684.41 | | | 4.88 | % | | 9.225 | | | 359 | | | 86.65 | | | 588 | |
600-624 | | | 495 | | | 96,186,069.01 | | | 18.04 | % | | 8.068 | | | 358 | | | 82.57 | | | 613 | |
625-649 | | | 459 | | | 107,981,363.39 | | | 20.25 | % | | 7.855 | | | 358 | | | 82.81 | | | 639 | |
650-674 | | | 418 | | | 109,028,338.18 | | | 20.45 | % | | 7.585 | | | 358 | | | 81.60 | | | 662 | |
675-699 | | | 232 | | | 69,323,268.24 | | | 13.00 | % | | 7.544 | | | 358 | | | 82.21 | | | 685 | |
700+ | | | 353 | | | 106,642,950.42 | | | 20.00 | % | | 7.474 | | | 355 | | | 80.59 | | | 732 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Original LTV | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01- 49.99 | | | 14 | | | 2,901,150.00 | | | 0.54 | % | | 6.749 | | | 273 | | | 40.38 | | | 662 | |
50.00- 54.99 | | | 20 | | | 4,403,383.78 | | | 0.83 | % | | 7.363 | | | 331 | | | 52.20 | | | 674 | |
55.00- 59.99 | | | 9 | | | 2,617,468.73 | | | 0.49 | % | | 6.833 | | | 359 | | | 56.66 | | | 719 | |
60.00- 64.99 | | | 20 | | | 5,714,289.39 | | | 1.07 | % | | 7.228 | | | 353 | | | 62.01 | | | 635 | |
65.00- 69.99 | | | 29 | | | 10,572,306.82 | | | 1.98 | % | | 7.749 | | | 359 | | | 67.43 | | | 653 | |
70.00- 74.99 | | | 34 | | | 10,707,504.72 | | | 2.01 | % | | 7.194 | | | 359 | | | 71.73 | | | 656 | |
75.00- 79.99 | | | 173 | | | 35,413,797.13 | | | 6.64 | % | | 7.625 | | | 358 | | | 78.73 | | | 649 | |
80.00 | | | 1,296 | | | 340,601,932.62 | | | 63.87 | % | | 7.529 | | | 358 | | | 80.00 | | | 663 | |
80.01- 84.99 | | | 17 | | | 3,952,350.00 | | | 0.74 | % | | 7.680 | | | 352 | | | 82.99 | | | 656 | |
85.00- 89.99 | | | 74 | | | 15,594,731.66 | | | 2.92 | % | | 8.581 | | | 351 | | | 86.64 | | | 623 | |
90.00- 94.99 | | | 144 | | | 30,591,948.85 | | | 5.74 | % | | 8.660 | | | 356 | | | 90.67 | | | 634 | |
95.00- 99.99 | | | 116 | | | 22,920,237.85 | | | 4.30 | % | | 8.594 | | | 359 | | | 95.47 | | | 674 | |
100.00 | | | 233 | | | 46,173,980.47 | | | 8.66 | % | | 9.337 | | | 356 | | | 100.00 | | | 648 | |
100.01+ | | | 6 | | | 1,082,457.36 | | | 0.20 | % | | 8.577 | | | 358 | | | 102.98 | | | 671 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Original Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
180 | | | 16 | | | 5,272,485.30 | | | 0.99 | % | | 7.406 | | | 178 | | | 70.42 | | | 656 | |
360 | | | 2,169 | | | 527,975,054.08 | | | 99.01 | % | | 7.826 | | | 359 | | | 82.14 | | | 658 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Stated Remaining Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
121-180 | | | 16 | | | 5,272,485.30 | | | 0.99 | % | | 7.406 | | | 178 | | | 70.42 | | | 656 | |
301-360 | | | 2,169 | | | 527,975,054.08 | | | 99.01 | % | | 7.826 | | | 359 | | | 82.14 | | | 658 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Debt Ratio | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
0.01 -20.00 | | | 129 | | | 22,706,346.56 | | | 4.26 | % | | 7.791 | | | 353 | | | 80.23 | | | 651 | |
20.01 -25.00 | | | 68 | | | 11,847,358.04 | | | 2.22 | % | | 7.881 | | | 352 | | | 82.60 | | | 647 | |
25.01 -30.00 | | | 100 | | | 24,591,146.87 | | | 4.61 | % | | 7.729 | | | 342 | | | 80.25 | | | 666 | |
30.01 -35.00 | | | 152 | | | 34,849,011.62 | | | 6.54 | % | | 7.917 | | | 358 | | | 82.67 | | | 660 | |
35.01 -40.00 | | | 264 | | | 64,306,816.67 | | | 12.06 | % | | 8.039 | | | 359 | | | 83.13 | | | 657 | |
40.01 -45.00 | | | 422 | | | 106,191,904.70 | | | 19.91 | % | | 7.748 | | | 358 | | | 80.66 | | | 664 | |
45.01 -50.00 | | | 544 | | | 148,821,270.16 | | | 27.91 | % | | 8.051 | | | 357 | | | 83.16 | | | 658 | |
50.01 -55.00 | | | 505 | | | 119,721,284.76 | | | 22.45 | % | | 7.480 | | | 359 | | | 81.67 | | | 655 | |
55.01 -60.00 | | | 1 | | | 212,400.00 | | | 0.04 | % | | 6.750 | | | 359 | | | 80.00 | | | 625 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
FRM/ARM | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
ARM | | | 1,869 | | | 471,736,575.81 | | | 88.46 | % | | 7.812 | | | 359 | | | 82.26 | | | 659 | |
Fixed Rate | | | 316 | | | 61,510,963.57 | | | 11.54 | % | | 7.896 | | | 343 | | | 80.15 | | | 656 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Product | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1/29 6 MO LIBOR | | | 5 | | | 1,182,113.60 | | | 0.22 | % | | 8.085 | | | 358 | | | 87.49 | | | 721 | |
2/28 6 MO LIBOR | | | 428 | | | 77,901,885.44 | | | 14.61 | % | | 8.108 | | | 359 | | | 84.19 | | | 651 | |
2/28 6 MO LIBOR 40/30 Balloon | | | 217 | | | 64,638,726.16 | | | 12.12 | % | | 8.037 | | | 359 | | | 83.65 | | | 652 | |
2/28 6 MO LIBOR IO | | | 733 | | | 220,082,431.47 | | | 41.27 | % | | 7.705 | | | 359 | | | 81.13 | | | 663 | |
2/28 6 MO LIBOR IO 40/30 Balloon | | | 3 | | | 679,349.92 | | | 0.13 | % | | 7.654 | | | 357 | | | 80.00 | | | 639 | |
3/27 6 MO LIBOR | | | 148 | | | 26,967,104.85 | | | 5.06 | % | | 7.887 | | | 359 | | | 84.18 | | | 653 | |
3/27 6 MO LIBOR 40/30 Balloon | | | 65 | | | 17,766,648.16 | | | 3.33 | % | | 7.736 | | | 359 | | | 83.22 | | | 666 | |
3/27 6 MO LIBOR IO | | | 199 | | | 44,986,224.07 | | | 8.44 | % | | 7.698 | | | 359 | | | 81.93 | | | 655 | |
5/25 6 MO LIBOR | | | 30 | | | 7,009,063.01 | | | 1.31 | % | | 7.285 | | | 359 | | | 79.93 | | | 661 | |
5/25 6 MO LIBOR 40/30 Balloon | | | 6 | | | 832,659.12 | | | 0.16 | % | | 7.563 | | | 358 | | | 80.73 | | | 700 | |
5/25 6 MO LIBOR IO | | | 31 | | | 8,305,920.01 | | | 1.56 | % | | 7.153 | | | 358 | | | 77.73 | | | 669 | |
6 MO LIBOR | | | 1 | | | 589,000.00 | | | 0.11 | % | | 7.875 | | | 359 | | | 95.00 | | | 758 | |
6 MO LIBOR ARM IO | | | 3 | | | 795,450.00 | | | 0.15 | % | | 7.599 | | | 359 | | | 81.34 | | | 673 | |
Fixed Rate | | | 218 | | | 38,029,634.22 | | | 7.13 | % | | 7.577 | | | 346 | | | 78.96 | | | 671 | |
Fixed Rate 40/30 Balloon | | | 21 | | | 7,200,969.19 | | | 1.35 | % | | 7.626 | | | 359 | | | 79.71 | | | 671 | |
Fixed Rate IO | | | 71 | | | 14,275,472.16 | | | 2.68 | % | | 8.797 | | | 351 | | | 82.22 | | | 620 | |
Fixed Rate IO 40/30 Balloon | | | 6 | | | 2,004,888.00 | | | 0.38 | % | | 8.522 | | | 177 | | | 89.60 | | | 594 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Interest Only By Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
I/O Term: 0 months | | | 1,139 | | | 242,117,803.75 | | | 45.40 | % | | 7.913 | | | 357 | | | 82.93 | | | 657 | |
I/O Term: 60 months | | | 1,015 | | | 282,823,815.62 | | | 53.04 | % | | 7.764 | | | 357 | | | 81.37 | | | 659 | |
I/O Term: 120 months | | | 31 | | | 8,305,920.01 | | | 1.56 | % | | 7.153 | | | 358 | | | 77.73 | | | 669 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Prepayment Penalty Original Term (months) | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Prepay Penalty: 0 months | | | 672 | | | 164,537,736.94 | | | 30.86 | % | | 8.126 | | | 357 | | | 82.90 | | | 662 | |
Prepay Penalty: 12 months | | | 88 | | | 27,092,771.05 | | | 5.08 | % | | 8.277 | | | 359 | | | 82.38 | | | 663 | |
Prepay Penalty: 24 months | | | 926 | | | 233,657,139.90 | | | 43.82 | % | | 7.699 | | | 359 | | | 81.70 | | | 657 | |
Prepay Penalty: 36 months | | | 499 | | | 107,959,891.49 | | | 20.25 | % | | 7.512 | | | 352 | | | 81.28 | | | 655 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Lien | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
First Lien | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Documentation Type | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Blended Documentation | | | 6 | | | 1,484,150.00 | | | 0.28 | % | | 9.050 | | | 359 | | | 100.00 | | | 647 | |
Full Documentation | | | 1,558 | | | 350,913,037.30 | | | 65.81 | % | | 7.612 | | | 356 | | | 81.45 | | | 650 | |
Limited Income Verification | | | 12 | | | 4,018,360.78 | | | 0.75 | % | | 7.437 | | | 359 | | | 81.42 | | | 670 | |
No Income Verification | | | 532 | | | 145,832,427.03 | | | 27.35 | % | | 8.112 | | | 359 | | | 81.24 | | | 680 | |
Rapid Documentation | | | 52 | | | 20,934,007.87 | | | 3.93 | % | | 8.680 | | | 359 | | | 88.52 | | | 650 | |
Stated Plus Documentation | | | 25 | | | 10,065,556.40 | | | 1.89 | % | | 9.143 | | | 351 | | | 97.37 | | | 658 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Loan Purpose | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Cash Out Refinance | | | 315 | | | 96,220,193.30 | | | 18.04 | % | | 7.984 | | | 355 | | | 79.97 | | | 638 | |
Purchase | | | 1,834 | | | 424,739,487.14 | | | 79.65 | % | | 7.804 | | | 358 | | | 82.67 | | | 663 | |
Rate/Term Refinance | | | 36 | | | 12,287,858.94 | | | 2.30 | % | | 7.170 | | | 351 | | | 75.56 | | | 656 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Property Type | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
2 Units | | | 88 | | | 24,734,095.92 | | | 4.64 | % | | 7.951 | | | 359 | | | 83.32 | | | 684 | |
3 Units | | | 3 | | | 707,000.00 | | | 0.13 | % | | 7.317 | | | 359 | | | 65.61 | | | 700 | |
4 Units | | | 2 | | | 777,000.00 | | | 0.15 | % | | 7.029 | | | 359 | | | 69.46 | | | 673 | |
Condominium | | | 183 | | | 41,533,671.93 | | | 7.79 | % | | 7.834 | | | 359 | | | 82.32 | | | 666 | |
Modular | | | 1 | | | 99,799.32 | | | 0.02 | % | | 8.125 | | | 355 | | | 70.00 | | | 662 | |
PUD | | | 445 | | | 126,275,924.75 | | | 23.68 | % | | 7.678 | | | 356 | | | 81.39 | | | 662 | |
Single Family | | | 1,463 | | | 339,120,047.46 | | | 63.60 | % | | 7.868 | | | 357 | | | 82.19 | | | 654 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Occupancy Status | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Non-owner | | | 155 | | | 21,343,580.70 | | | 4.00 | % | | 8.335 | | | 358 | | | 86.20 | | | 694 | |
Primary | | | 2,007 | | | 507,836,153.98 | | | 95.23 | % | | 7.796 | | | 357 | | | 81.79 | | | 657 | |
Second Home | | | 23 | | | 4,067,804.70 | | | 0.76 | % | | 8.372 | | | 359 | | | 89.33 | | | 680 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
State | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
Alabama | | | 28 | | | 3,563,552.12 | | | 0.67 | % | | 7.921 | | | 359 | | | 85.89 | | | 636 | |
Arizona | | | 43 | | | 10,412,515.34 | | | 1.95 | % | | 7.950 | | | 356 | | | 83.73 | | | 649 | |
Arkansas | | | 12 | | | 1,396,037.73 | | | 0.26 | % | | 8.554 | | | 358 | | | 86.03 | | | 638 | |
California | | | 390 | | | 168,972,104.46 | | | 31.69 | % | | 7.476 | | | 356 | | | 79.62 | | | 668 | |
Colorado | | | 38 | | | 11,636,957.23 | | | 2.18 | % | | 7.601 | | | 352 | | | 78.17 | | | 641 | |
Connecticut | | | 10 | | | 1,827,400.00 | | | 0.34 | % | | 7.811 | | | 359 | | | 81.81 | | | 643 | |
Delaware | | | 3 | | | 662,500.00 | | | 0.12 | % | | 8.102 | | | 359 | | | 87.77 | | | 733 | |
District of Columbia | | | 3 | | | 1,838,000.00 | | | 0.34 | % | | 9.094 | | | 358 | | | 95.13 | | | 651 | |
Florida | | | 225 | | | 54,143,110.36 | | | 10.15 | % | | 7.921 | | | 358 | | | 80.91 | | | 657 | |
Georgia | | | 105 | | | 20,586,537.07 | | | 3.86 | % | | 7.868 | | | 359 | | | 82.75 | | | 643 | |
Idaho | | | 3 | | | 459,470.00 | | | 0.09 | % | | 8.217 | | | 358 | | | 79.90 | | | 614 | |
Illinois | | | 137 | | | 28,905,301.44 | | | 5.42 | % | | 8.355 | | | 359 | | | 84.57 | | | 660 | |
Indiana | | | 60 | | | 6,304,390.16 | | | 1.18 | % | | 8.511 | | | 359 | | | 90.62 | | | 650 | |
Iowa | | | 8 | | | 927,860.00 | | | 0.17 | % | | 8.264 | | | 359 | | | 84.62 | | | 640 | |
Kansas | | | 4 | | | 307,494.31 | | | 0.06 | % | | 8.610 | | | 359 | | | 85.28 | | | 686 | |
Kentucky | | | 16 | | | 2,038,950.00 | | | 0.38 | % | | 8.560 | | | 359 | | | 88.91 | | | 617 | |
Louisiana | | | 9 | | | 1,424,896.00 | | | 0.27 | % | | 8.078 | | | 359 | | | 90.29 | | | 629 | |
Maine | | | 8 | | | 1,042,478.93 | | | 0.20 | % | | 7.839 | | | 352 | | | 81.20 | | | 647 | |
Maryland | | | 37 | | | 10,131,501.24 | | | 1.90 | % | | 8.027 | | | 349 | | | 84.18 | | | 648 | |
Massachusetts | | | 50 | | | 15,261,654.32 | | | 2.86 | % | | 8.060 | | | 359 | | | 78.45 | | | 647 | |
Michigan | | | 54 | | | 10,076,719.46 | | | 1.89 | % | | 8.463 | | | 359 | | | 88.69 | | | 638 | |
Minnesota | | | 40 | | | 8,873,762.86 | | | 1.66 | % | | 8.010 | | | 355 | | | 83.10 | | | 650 | |
Mississippi | | | 2 | | | 315,787.00 | | | 0.06 | % | | 8.955 | | | 359 | | | 100.00 | | | 648 | |
Missouri | | | 28 | | | 3,292,624.86 | | | 0.62 | % | | 8.249 | | | 359 | | | 86.34 | | | 643 | |
Montana | | | 1 | | | 103,200.00 | | | 0.02 | % | | 7.375 | | | 359 | | | 80.00 | | | 613 | |
Nebraska | | | 2 | | | 152,500.00 | | | 0.03 | % | | 8.741 | | | 359 | | | 88.30 | | | 648 | |
Nevada | | | 50 | | | 13,305,384.84 | | | 2.50 | % | | 7.893 | | | 347 | | | 81.12 | | | 655 | |
New Hampshire | | | 1 | | | 200,000.00 | | | 0.04 | % | | 7.875 | | | 359 | | | 80.00 | | | 621 | |
New Jersey | | | 41 | | | 12,573,875.37 | | | 2.36 | % | | 7.820 | | | 359 | | | 85.33 | | | 680 | |
New Mexico | | | 10 | | | 1,589,828.22 | | | 0.30 | % | | 7.749 | | | 358 | | | 85.68 | | | 653 | |
New York | | | 109 | | | 29,787,522.14 | | | 5.59 | % | | 7.881 | | | 358 | | | 83.92 | | | 673 | |
North Carolina | | | 83 | | | 13,608,230.22 | | | 2.55 | % | | 8.147 | | | 359 | | | 83.08 | | | 650 | |
North Dakota | | | 1 | | | 127,125.00 | | | 0.02 | % | | 7.375 | | | 358 | | | 75.00 | | | 574 | |
Ohio | | | 80 | | | 10,811,745.46 | | | 2.03 | % | | 8.314 | | | 357 | | | 88.05 | | | 639 | |
Oklahoma | | | 6 | | | 1,070,600.00 | | | 0.20 | % | | 7.316 | | | 359 | | | 81.85 | | | 641 | |
Oregon | | | 40 | | | 8,731,828.82 | | | 1.64 | % | | 7.519 | | | 359 | | | 82.44 | | | 666 | |
Pennsylvania | | | 38 | | | 6,163,829.45 | | | 1.16 | % | | 7.723 | | | 359 | | | 81.23 | | | 665 | |
Rhode Island | | | 9 | | | 1,994,600.00 | | | 0.37 | % | | 7.630 | | | 359 | | | 80.49 | | | 638 | |
South Carolina | | | 28 | | | 5,021,147.09 | | | 0.94 | % | | 8.149 | | | 359 | | | 85.71 | | | 642 | |
South Dakota | | | 2 | | | 169,735.00 | | | 0.03 | % | | 8.597 | | | 359 | | | 91.48 | | | 614 | |
Tennessee | | | 56 | | | 6,818,464.02 | | | 1.28 | % | | 7.949 | | | 359 | | | 81.98 | | | 634 | |
Texas | | | 154 | | | 22,943,459.45 | | | 4.30 | % | | 7.753 | | | 358 | | | 81.53 | | | 664 | |
Utah | | | 39 | | | 5,851,982.00 | | | 1.10 | % | | 7.985 | | | 359 | | | 82.63 | | | 627 | |
Vermont | | | 1 | | | 148,000.00 | | | 0.03 | % | | 7.625 | | | 359 | | | 80.00 | | | 656 | |
Virginia | | | 39 | | | 10,646,196.43 | | | 2.00 | % | | 8.143 | | | 354 | | | 85.29 | | | 656 | |
Washington | | | 49 | | | 11,718,308.31 | | | 2.20 | % | | 7.568 | | | 357 | | | 80.52 | | | 659 | |
West Virginia | | | 9 | | | 1,048,750.00 | | | 0.20 | % | | 8.189 | | | 359 | | | 84.06 | | | 616 | |
Wisconsin | | | 23 | | | 4,071,622.67 | | | 0.76 | % | | 7.979 | | | 359 | | | 85.15 | | | 654 | |
Wyoming | | | 1 | | | 188,000.00 | | | 0.04 | % | | 7.500 | | | 357 | | | 80.00 | | | 604 | |
Total | | | 2,185 | | | 533,247,539.38 | | | 100.00 | % | | 7.822 | | | 357 | | | 82.02 | | | 658 | |
| | | | | | | | | | | | | | | |
Gross Margin | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
3.000 - 3.499 | | | 4 | | | 2,604,500.00 | | | 0.55 | % | | 7.138 | | | 359 | | | 83.24 | | | 703 | |
4.500 - 4.999 | | | 1 | | | 100,800.00 | | | 0.02 | % | | 7.750 | | | 359 | | | 80.00 | | | 625 | |
5.000 - 5.499 | | | 1,366 | | | 359,814,729.71 | | | 76.27 | % | | 7.537 | | | 359 | | | 79.01 | | | 661 | |
5.500 - 5.999 | | | 196 | | | 42,090,559.58 | | | 8.92 | % | | 8.417 | | | 358 | | | 87.01 | | | 639 | |
6.000 - 6.499 | | | 289 | | | 64,072,108.33 | | | 13.58 | % | | 8.946 | | | 359 | | | 97.14 | | | 655 | |
6.500 - 6.999 | | | 6 | | | 2,177,789.97 | | | 0.46 | % | | 8.613 | | | 358 | | | 82.88 | | | 651 | |
7.000 - 7.499 | | | 5 | | | 748,958.50 | | | 0.16 | % | | 8.977 | | | 355 | | | 96.99 | | | 691 | |
7.500 - 7.999 | | | 2 | | | 127,129.72 | | | 0.03 | % | | 8.875 | | | 357 | | | 95.00 | | | 732 | |
Total | | | 1,869 | | | 471,736,575.81 | | | 100.00 | % | | 7.812 | | | 359 | | | 82.26 | | | 659 | |
| | | | | | | | | | | | | | | |
Minimum Interest Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
5.000 - 5.499 | | | 1 | | | 155,200.00 | | | 0.03 | % | | 5.250 | | | 359 | | | 80.00 | | | 716 | |
5.500 - 5.999 | | | 22 | | | 8,579,019.49 | | | 1.82 | % | | 5.834 | | | 358 | | | 76.93 | | | 699 | |
6.000 - 6.499 | | | 47 | | | 15,392,050.25 | | | 3.26 | % | | 6.286 | | | 359 | | | 79.15 | | | 678 | |
6.500 - 6.999 | | | 242 | | | 72,751,357.49 | | | 15.42 | % | | 6.785 | | | 359 | | | 79.28 | | | 674 | |
7.000 - 7.499 | | | 291 | | | 75,542,070.08 | | | 16.01 | % | | 7.242 | | | 359 | | | 79.90 | | | 659 | |
7.500 - 7.999 | | | 498 | | | 126,468,912.49 | | | 26.81 | % | | 7.724 | | | 359 | | | 80.17 | | | 662 | |
8.000 - 8.499 | | | 261 | | | 58,154,781.04 | | | 12.33 | % | | 8.211 | | | 359 | | | 83.09 | | | 649 | |
8.500 - 8.999 | | | 282 | | | 67,566,371.89 | | | 14.32 | % | | 8.706 | | | 359 | | | 86.04 | | | 659 | |
9.000 - 9.499 | | | 99 | | | 20,112,206.05 | | | 4.26 | % | | 9.187 | | | 359 | | | 88.60 | | | 635 | |
9.500 - 9.999 | | | 74 | | | 16,768,436.78 | | | 3.55 | % | | 9.665 | | | 359 | | | 92.25 | | | 625 | |
10.000 -10.499 | | | 26 | | | 5,947,014.42 | | | 1.26 | % | | 10.220 | | | 359 | | | 96.21 | | | 614 | |
10.500 -10.999 | | | 17 | | | 2,857,245.00 | | | 0.61 | % | | 10.637 | | | 359 | | | 98.67 | | | 602 | |
11.000 -11.499 | | | 4 | | | 619,010.83 | | | 0.13 | % | | 11.333 | | | 359 | | | 100.00 | | | 593 | |
11.500 -11.999 | | | 5 | | | 822,900.00 | | | 0.17 | % | | 11.577 | | | 359 | | | 100.00 | | | 589 | |
Total | | | 1,869 | | | 471,736,575.81 | | | 100.00 | % | | 7.812 | | | 359 | | | 82.26 | | | 659 | |
| | | | | | | | | | | | | | | |
Maximum Interest Rate | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
11.000 -11.499 | | | 1 | | | 155,200.00 | | | 0.03 | % | | 5.250 | | | 359 | | | 80.00 | | | 716 | |
11.500 -11.999 | | | 22 | | | 8,579,019.49 | | | 1.82 | % | | 5.834 | | | 358 | | | 76.93 | | | 699 | |
12.000 -12.499 | | | 47 | | | 15,392,050.25 | | | 3.26 | % | | 6.286 | | | 359 | | | 79.15 | | | 678 | |
12.500 -12.999 | | | 242 | | | 72,751,357.49 | | | 15.42 | % | | 6.785 | | | 359 | | | 79.28 | | | 674 | |
13.000 -13.499 | | | 291 | | | 75,542,070.08 | | | 16.01 | % | | 7.242 | | | 359 | | | 79.90 | | | 659 | |
13.500 -13.999 | | | 498 | | | 126,468,912.49 | | | 26.81 | % | | 7.724 | | | 359 | | | 80.17 | | | 662 | |
14.000 -14.499 | | | 261 | | | 58,154,781.04 | | | 12.33 | % | | 8.211 | | | 359 | | | 83.09 | | | 649 | |
14.500 -14.999 | | | 282 | | | 67,566,371.89 | | | 14.32 | % | | 8.706 | | | 359 | | | 86.04 | | | 659 | |
15.000 -15.499 | | | 99 | | | 20,112,206.05 | | | 4.26 | % | | 9.187 | | | 359 | | | 88.60 | | | 635 | |
15.500 -15.999 | | | 74 | | | 16,768,436.78 | | | 3.55 | % | | 9.665 | | | 359 | | | 92.25 | | | 625 | |
16.000 -16.499 | | | 26 | | | 5,947,014.42 | | | 1.26 | % | | 10.220 | | | 359 | | | 96.21 | | | 614 | |
16.500 -16.999 | | | 17 | | | 2,857,245.00 | | | 0.61 | % | | 10.637 | | | 359 | | | 98.67 | | | 602 | |
17.000 -17.499 | | | 4 | | | 619,010.83 | | | 0.13 | % | | 11.333 | | | 359 | | | 100.00 | | | 593 | |
17.500 -17.999 | | | 5 | | | 822,900.00 | | | 0.17 | % | | 11.577 | | | 359 | | | 100.00 | | | 589 | |
Total | | | 1,869 | | | 471,736,575.81 | | | 100.00 | % | | 7.812 | | | 359 | | | 82.26 | | | 659 | |
| | | | | | | | | | | | | | | |
Initial Periodic Rate Cap | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1.000 | | | 4 | | | 1,384,450.00 | | | 0.29 | % | | 7.716 | | | 359 | | | 87.15 | | | 709 | |
2.000 | | | 5 | | | 1,182,113.60 | | | 0.25 | % | | 8.085 | | | 358 | | | 87.49 | | | 721 | |
3.000 | | | 1,860 | | | 469,170,012.21 | | | 99.46 | % | | 7.812 | | | 359 | | | 82.24 | | | 658 | |
Total | | | 1,869 | | | 471,736,575.81 | | | 100.00 | % | | 7.812 | | | 359 | | | 82.26 | | | 659 | |
| | | | | | | | | | | | | | | |
Subsequent Periodic Rate Cap | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
1.000 | | | 1,869 | | | 471,736,575.81 | | | 100.00 | % | | 7.812 | | | 359 | | | 82.26 | | | 659 | |
Total | | | 1,869 | | | 471,736,575.81 | | | 100.00 | % | | 7.812 | | | 359 | | | 82.26 | | | 659 | |
| | | | | | | | | | | | | | | |
Next Rate Change Date | | # of Loans | | Current Principal Balance | | Pct by Curr Prin Bal | | Weighted Average Gross Coupon | | Weighted Average Stated Remaining Term | | Weighted Average Combined Orig LTV | | Weighted Average FICO | |
08/01/06 | | | 1 | | | 106,650.00 | | | 0.02 | % | | 8.000 | | | 356 | | | 90.00 | | | 597 | |
11/01/06 | | | 3 | | | 1,277,800.00 | | | 0.27 | % | | 7.693 | | | 359 | | | 86.91 | | | 719 | |
02/01/07 | | | 1 | | | 538,728.60 | | | 0.11 | % | | 7.250 | | | 356 | | | 75.00 | | | 739 | |
05/01/07 | | | 4 | | | 643,385.00 | | | 0.14 | % | | 8.784 | | | 359 | | | 97.95 | | | 705 | |
12/01/07 | | | 4 | | | 1,219,423.26 | | | 0.26 | % | | 8.116 | | | 354 | | | 92.75 | | | 635 | |
01/01/08 | | | 3 | | | 840,491.50 | | | 0.18 | % | | 8.394 | | | 355 | | | 89.62 | | | 625 | |
02/01/08 | | | 14 | | | 5,283,866.70 | | | 1.12 | % | | 7.977 | | | 356 | | | 80.16 | | | 657 | |
03/01/08 | | | 37 | | | 11,290,992.53 | | | 2.39 | % | | 7.956 | | | 357 | | | 82.72 | | | 650 | |
04/01/08 | | | 84 | | | 18,560,409.69 | | | 3.93 | % | | 8.013 | | | 358 | | | 81.23 | | | 659 | |
05/01/08 | | | 1,238 | | | 325,767,209.31 | | | 69.06 | % | | 7.833 | | | 359 | | | 82.25 | | | 659 | |
06/01/08 | | | 1 | | | 340,000.00 | | | 0.07 | % | | 7.875 | | | 360 | | | 80.00 | | | 681 | |
12/01/08 | | | 1 | | | 76,880.00 | | | 0.02 | % | | 7.375 | | | 354 | | | 80.00 | | | 651 | |
01/01/09 | | | 5 | | | 1,011,729.27 | | | 0.21 | % | | 8.328 | | | 355 | | | 90.17 | | | 675 | |
02/01/09 | | | 8 | | | 1,629,223.52 | | | 0.35 | % | | 7.466 | | | 356 | | | 81.79 | | | 647 | |
03/01/09 | | | 8 | | | 1,593,900.40 | | | 0.34 | % | | 7.835 | | | 357 | | | 82.26 | | | 630 | |
04/01/09 | | | 33 | | | 7,006,084.59 | | | 1.49 | % | | 7.658 | | | 358 | | | 81.98 | | | 652 | |
05/01/09 | | | 355 | | | 77,996,559.30 | | | 16.53 | % | | 7.774 | | | 359 | | | 82.90 | | | 658 | |
06/01/09 | | | 2 | | | 405,600.00 | | | 0.09 | % | | 6.828 | | | 360 | | | 80.00 | | | 649 | |
06/01/10 | | | 1 | | | 629,241.14 | | | 0.13 | % | | 5.625 | | | 348 | | | 79.75 | | | 668 | |
11/01/10 | | | 1 | | | 135,571.93 | | | 0.03 | % | | 6.625 | | | 353 | | | 80.00 | | | 641 | |
12/01/10 | | | 1 | | | 254,706.94 | | | 0.05 | % | | 5.625 | | | 354 | | | 80.00 | | | 777 | |
02/01/11 | | | 1 | | | 95,750.66 | | | 0.02 | % | | 6.750 | | | 356 | | | 78.69 | | | 661 | |
03/01/11 | | | 1 | | | 479,191.17 | | | 0.10 | % | | 6.875 | | | 357 | | | 80.00 | | | 621 | |
04/01/11 | | | 5 | | | 947,652.32 | | | 0.20 | % | | 7.056 | | | 358 | | | 80.00 | | | 715 | |
05/01/11 | | | 56 | | | 13,533,527.98 | | | 2.87 | % | | 7.370 | | | 359 | | | 78.64 | | | 664 | |
06/01/11 | | | 1 | | | 72,000.00 | | | 0.02 | % | | 7.375 | | | 360 | | | 80.00 | | | 675 | |
Total | | | 1,869 | | | 471,736,575.81 | | | 100.00 | % | | 7.812 | | | 359 | | | 82.26 | | | 659 | |