ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM2 | ![]() |
The following is a free writing prospectus. The information in this free writing prospectus is preliminary and is subject to completion or change.
FREE WRITING PROSPECTUS |
ACE Securities Corp. |
$873,675,000 (Approximate) |
Home Equity Loan Trust Series 2006-FM2 |
ACE Securities Corp. (Depositor) ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM2 (Issuing Entity) |
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October 18, 2006
The depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus in that registration statement and other documents the depositor has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the depositor, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling DBSI’s trading desk at 212-250-7730. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. THIS FREE WRITING PROSPECTUS IS NOT AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY THESE SECURITIES IN ANY STATE WHERE SUCH OFFER, SOLICITATION OR SALE IS NOT PERMITTED. The information in this free writing prospectus may be based on preliminary assumptions about the pool assets and the structure. Any such assumptions are subject to change
The analysis in this report is based on information provided by ACE Securities Corp. (the “Depositor”). Investors are urged to read the base prospectus and the prospectus supplement and other relevant documents filed or to be filed with the Securities and Exchange Commission because they contain important information. Such documents may be obtained without charge at the Securities and Exchange Commission's website. Once available, the base prospectus and prospectus supplement may be obtained without charge by contacting Deutsche Bank Securities Inc.’s (“DBSI”) trading desk at (212) 250-7730. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement (collectively, the “Prospectus”). The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted. You should consult your own counsel, accountant, and other advisors as to the legal, tax, business, financial and related aspects of a purchase of these securities.
The attached information contains certain tables and other statistical analyses (the “Computational Materials”) which have been prepared by DBSI in reliance upon information furnished by the Depositor. Numerous assumptions were used in preparing the Computational Materials that may or may not be reflected herein. As such, no assurance can be given as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfalls. The specific characteristics of the securities may differ from those shown in the Computational Materials by a permitted variance of +/-10% prior to issuance. Neither DBSI nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.
An investor or potential investor in the certificates (and each employee, representative, or other agent of such person or entity) may disclose to any and all persons, without limitation, the tax treatment and tax structure of the transaction (as defined in United States Treasury Regulation Section 1.6011-4) and all related materials of any kind, including opinions or other tax analyses, that are provided to such person or entity. However, such person or entity may not disclose any other information relating to this transaction unless such information is related to such tax treatment and tax structure.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY DBSI AND NOT BY THE ISSUING ENTITY OF THE SECURITIES OR ANY OF ITS AFFILIATES. DBSI IS ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUING ENTITY IN CONNECTION WITH THE PROPOSED TRANSACTION.
FREE WRITING PROSPECTUS Dated October 18, 2006
ACE Securities Corp.
Home Equity Loan Trust, Series 2006-FM2
$873,675,000 (Approximate)
All dollar amounts and percentages herein are subject to a permitted variance of +/- 10%
Structure Overview | ||||||||||||||||||
To 10% Optional Termination | ||||||||||||||||||
Class | Approximate Size ($) | Type | WAL (yrs) | Principal Payment Window (months) | Payment Delay (days) | Interest Accrual Basis | Legal Final Maturity | Expected Ratings S / M | ||||||||||
Offered Certificates: | ||||||||||||||||||
A-1 | $337,235,000 | Float | 2.21 | 1 - 80 | 0 | ACT/360 | August 2036 | AAA/Aaa | ||||||||||
A-2A | 206,050,000 | Float | 1.00 | 1 - 21 | 0 | ACT/360 | August 2036 | AAA/Aaa | ||||||||||
A-2B | 66,745,000 | Float | 2.00 | 21 - 29 | 0 | ACT/360 | August 2036 | AAA/Aaa | ||||||||||
A-2C | 50,402,000 | Float | 3.00 | 29 - 55 | 0 | ACT/360 | August 2036 | AAA/Aaa | ||||||||||
A-2D | 57,263,000 | Float | 6.07 | 55 - 80 | 0 | ACT/360 | August 2036 | AAA/Aaa | ||||||||||
M-1 | 41,475,000 | Float | 3.70 | 41 - 48 | 0 | ACT/360 | August 2036 | AA+/Aa1 | ||||||||||
M-2 | 32,909,000 | Float | 5.07 | 48 - 80 | 0 | ACT/360 | August 2036 | AA/Aa2 | ||||||||||
M-3 | 16,680,000 | Float | 6.65 | 80 - 80 | 0 | ACT/360 | August 2036 | AA-/Aa3 | ||||||||||
M-4 | 13,975,000 | Float | 4.58 | 40 - 80 | 0 | ACT/360 | August 2036 | A+/A1 | ||||||||||
M-5 | 13,524,000 | Float | 4.56 | 39 - 80 | 0 | ACT/360 | August 2036 | A/A2 | ||||||||||
M-6 | 9,016,000 | Float | 4.54 | 39 - 80 | 0 | ACT/360 | August 2036 | A-/A3 | ||||||||||
M-7 | 9,918,000 | Float | 4.53 | 38 - 80 | 0 | ACT/360 | August 2036 | BBB+/Baa1 | ||||||||||
M-8 | 6,762,000 | Float | 4.51 | 38 - 80 | 0 | ACT/360 | August 2036 | BBB/Baa2 | ||||||||||
M-9 | 11,721,000 | Float | 4.51 | 38 - 80 | 0 | ACT/360 | August 2036 | BBB-/Baa3 | ||||||||||
Total Offered | $873,675,000 | |||||||||||||||||
Non-Offered Certificates | ||||||||||||||||||
M-10 | $12,172,000 | Float | *Not Offered Hereby* | |||||||||||||||
Total Certificates | $885,847,000 |
Pricing Speed
Fixed-Rate Mortgage Loans | 100% PPC (4% CPR growing to 23% CPR over 12 months and remaining constant at 23% CPR thereafter ) |
Adjustable-Rate Mortgage Loans | 100% PPC (5% CPR in month 1, an additional 2% CPR for each month thereafter, building to 27% CPR in month 12 and remaining constant at 27% CPR until month 23, increasing to and remaining constant at 60% CPR from month 24 until month 27 and decreasing and remaining constant at 30% CPR from month 28 and thereafter; provided, however, the prepayment rate will not exceed 85% CPR per annum in any period for any percentage of PPC) |
Transaction Overview |
Certificates: | The Class A-1 Certificates (the “Class A-1 Certificates”) and the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates (collectively, the “Class A-2 Certificates”; and together with the Class A-1 Certificates, the “Senior Certificates” or “Class A Certificates”), and the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates (collectively, the “Mezzanine Certificates”). The Class A Certificates and the Mezzanine Certificates other than the Class M-10 Certificates are sometimes referred to herein collectively as the “Offered Certificates.” The Class A-1 Certificates are backed by conforming principal balance fixed-rate and adjustable-rate first and second lien mortgage loans (“Group I Mortgage Loans”) and the Class A-2 Certificates are backed by fixed-rate and adjustable-rate first and second lien mortgage loans with conforming and non-conforming principal balances (“Group II Mortgage Loans”). The Mezzanine Certificates are backed by the Group I Mortgage Loans and Group II Mortgage Loans (collectively, the “Mortgage Loans”). The pass-through rates on the Class A Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate. The pass-through rates on the Mezzanine Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate. |
Collateral: | As of the Cut-off Date, the Mortgage Loans will consist of approximately 4,147 adjustable-rate and fixed-rate, first and second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of all of the Mortgage Loans is approximately $901,626,555 as of the Cut-off Date. The Mortgage Loans will be separated into two groups. The Group I Mortgage Loans will represent approximately 2,408 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $423,662,272 and the Group II Mortgage Loans will represent approximately 1,739 conforming and non-conforming principal balance fixed and adjustable-rate Mortgage Loans totaling approximately $477,964,284. |
Class A Certificates: | Class A-1, Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates |
Class M Certificates: | Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates |
Depositor: | ACE Securities Corp. (“ACE”) |
Originator: | Fremont Investment & Loan |
Master Servicer: | Wells Fargo Bank, National Association |
Servicer: | Countrywide Home Loans Servicing LP |
Trustee: | HSBC Bank USA, National Association |
Custodian: | Wells Fargo Bank, National Association |
Credit Risk Manager: | Clayton Fixed Income Services Inc. (formerly known as “The Murrayhill Company”) |
Underwriter: | Deutsche Bank Securities Inc. |
Swap Provider: | TBD |
Cap Provider: | TBD |
Cut-off Date: | October 1, 2006 |
Expected Pricing: | Week of October 16, 2006 |
Expected Closing Date: | On or about October 30, 2006 |
Record Date: | For so long as the Class A Certificates and Class M Certificates are held in book-entry form, the Record Date will be the business day immediately preceding the related Distribution Date. With respect to any certificates held in definitive form, the Record Date will be the last business day of the month immediately preceding the month in which the related Distribution Date occurs. |
Transaction Overview (Cont.) |
Distribution Date: | The 25th day of each month (or the next business day if such day is not a business day) commencing in November 2006. |
Determination Date: | The Determination Date with respect to any Distribution Date is the 18th day of the month in which the Distribution Date occurs or, if such day is not a business day, on the immediately preceding business day. |
Servicer Remittance Date: | With respect to any Distribution Date, the 22nd day of the month in which such Distribution Date occurs; provided that if such 22nd day of a given month is not a business day, the Servicer Remittance Date for such month shall be the business day immediately preceding such 22nd day. |
Due Period: | The Due Period with respect to any Distribution Date commences on the second day of the month immediately preceding the month in which such Distribution Date occurs and ends on the first day of the month in which such Distribution Date occurs. |
Prepayment Period: | The Prepayment Period with respect to any Distribution Date shall be the period from the 16th day of the month immediately preceding the Distribution Date to the 15th day of the month of the Distribution Date. |
Interest Accrual Period: | Interest will initially accrue on all Offered Certificates from the Closing Date to (but excluding) the first Distribution Date, and thereafter, from the prior Distribution Date to (but excluding) the current Distribution Date on an actual/360 basis. The Offered Certificates will initially settle flat (no accrued interest). |
Interest Distribution Amount: | For any class of Offered Certificates on any Distribution Date is equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of that class immediately prior to such Distribution Date at the then applicable pass-through rate for such class, and reduced (to not less than zero), in the case of each such class, by the allocable share, if any, for such class of prepayment interest shortfalls to the extent not covered by Compensating Interest paid by the Master Servicer or the Servicer and shortfalls resulting from the application of the Servicemembers’ Civil Relief Act or similar state or local laws. |
Senior Interest Distribution Amount: | For the Class A Certificates on any Distribution Date is an amount equal to the sum of the Interest Distribution Amount for such Distribution Date for each such class and the Interest Carry Forward Amount, if any, for such Distribution Date for each such class. |
Administration Fee Rate: | The Master Servicer, Servicer and Credit Risk Manager will be paid monthly fees on the outstanding principal balance of the Mortgage Loans. These fees initially aggregate to a weighted average cost of approximately 0.5175% per annum for the Mortgage Loans. |
Compensating Interest: | The Servicer will be required to cover Prepayment Interest Shortfalls on prepayments in full on the Mortgage Loans received during the portion of the Prepayment Period occurring in the month prior to the month in which the related Distribution Date occurs, up to the Servicing Fee. If the Servicer fails to make any required Compensating Interest payment, the Master Servicer will be required to do so up to the Master Servicing Fee. |
Prepayment Interest Shortfalls: | Interest shortfalls attributable to voluntary principal prepayments on the Mortgage Loans. |
Transaction Overview (Cont.) |
Optional Termination: | On any Distribution Date on which the aggregate outstanding principal balance of the Mortgage Loans (and properties acquired in respect of the Mortgage Loans) as of the related determination date is less than or equal to 10% of the aggregate outstanding principal balance of the Mortgage Loans as of the Cut-off Date, the Master Servicer may repurchase all of the Mortgage Loans and REO properties remaining in the trust, causing an early retirement of the certificates, but is not required to do so. |
Monthly Servicer Advances: | The Servicer will collect monthly payments of principal and interest on the Mortgage Loans and will be obligated to make advances of delinquent monthly principal and interest payments. The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans only to the extent such amounts are deemed recoverable. If the Servicer fails to make any such advance, the Master Servicer will be required to do so subject to its determination of recoverability. The Servicer and the Master Servicer are entitled to be reimbursed for such advances, and therefore these advances are not a form of credit enhancement. |
Credit Enhancement: | 1) Excess Interest; |
2) Overcollateralization (“OC”); and | |
3) Subordination. | |
Allocation of Losses: | Any Realized Losses on the Mortgage Loans will be allocated on any Distribution Date, first, to Net Monthly Excess Cashflow and Net Swap Payments received from the Swap Provider and available for this purpose, if any, second, to the Class CE Certificates, third, to the Class M-10 Certificates, fourth, to the Class M-9 Certificates, fifth, to the Class M-8 Certificates, sixth, to the Class M-7 Certificates, seventh, to the Class M-6 Certificates, eighth, to the Class M-5 Certificates, ninth, to the Class M-4 Certificates, tenth, to the Class M-3 Certificates, eleventh, to the Class M-2 Certificates, and twelfth, to the Class M-1 Certificates. There will be no allocation of Realized Losses to the Class A Certificates. Investors in the Class A Certificates should note, however, that although Realized Losses cannot be allocated to such certificates, under certain loss scenarios there may not be enough principal and interest on the Mortgage Loans to distribute to the holders of the Class A Certificates all principal and interest amounts to which they are then entitled. |
Once Realized Losses have been allocated to the Mezzanine Certificates, such amounts with respect to such Certificates will no longer accrue interest and such amounts will not be reinstated thereafter. However, the amount of any Realized Losses allocated to the Mezzanine Certificates may be distributed to such certificates on a subordinated basis on any Distribution Date from Net Monthly Excess Cashflow, to the extent available for such distribution and any Net Swap Payments paid by the Swap Provider and available for this purpose. | |
Required Overcollateralization Amount: | Overcollateralization refers to the amount by which the aggregate principal balance of the Mortgage Loans exceeds the aggregate Certificate Principal Balance of the certificates. This excess (the “Overcollateralization Amount”) is intended to protect the certificateholders against shortfalls in payments on the certificates. The Required Overcollateralization Amount for the certificates, which will be established at issuance and which is equal to the Overcollateralization Amount as of the Closing Date, is anticipated to be approximately 1.75% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. On or after the Stepdown Date and provided that a trigger event is not in effect, the Required Overcollateralization Amount may be permitted to decrease to approximately 3.50% of the aggregate principal balance of the Mortgage Loans as of the end of such Due Period, subject to a floor amount of approximately 0.50% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. If, due to losses, the Overcollateralization Amount is reduced below the Required Overcollateralization Amount, excess spread, to the extent available will be paid to the certificates then entitled to receive distributions in respect of principal in order to reduce the Certificate Principal Balance of such certificates to the extent necessary to reach the Required Overcollateralization Amount. In addition, Net Swap Payments paid by the Swap Provider may be used to restore or maintain the Required Overcollateralization Amount. |
Transaction Overview (Cont.) |
Overcollateralization Increase Amount: | An Overcollateralization Increase Amount for any Distribution Date is the amount of Net Monthly Excess Cashflow actually applied as an accelerated payment of principal to the extent the Required Overcollateralization Amount exceeds the current Overcollateralization Amount. | |||
Overcollateralization Reduction Amount: | An Overcollateralization Reduction Amount for any Distribution Date is the amount by which the current Overcollateralization Amount exceeds the Required Overcollateralization Amount after taking into account all other distributions to be made on the Distribution Date limited to the distribution of principal on the Mortgage Loans. | |||
Stepdown Date: | Is the earlier of (i) the Distribution Date immediately following the first Distribution Date on which the aggregate Certificate 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 November 2009 and (y) the first Distribution Date on which the Credit Enhancement Percentage (calculated for this purpose only after taking into account distributions of principal on the Mortgage Loans, but prior to any distribution of principal to the holders of the Certificates) is equal to or greater than approximately 40.80%. | |||
Credit Enhancement Percentage: | The Credit Enhancement Percentage for any class and any Distribution Date is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the class or classes subordinate thereto (which includes the Overcollateralization Amount) by (y) the aggregate principal balance of the Mortgage Loans, calculated after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period and distribution of the Principal Distribution Amount to the holders of the certificates then entitled to distributions of principal on the Distribution Date. | |||
Class | (S / M) | Initial CE % | CE % On/After Step Down Date | |
A | AAA/Aaa | 20.40% | 40.80% | |
M-1 | AA+/Aa1 | 15.80% | 31.60% | |
M-2 | AA/Aa2 | 12.15% | 24.30% | |
M-3 | AA-/Aa3 | 10.30% | 20.60% | |
M-4 | A+/A1 | 8.75% | 17.50% | |
M-5 | A/A2 | 7.25% | 14.50% | |
M-6 | A-/A3 | 6.25% | 12.50% | |
M-7 | BBB+/Baa1 | 5.15% | 10.30% | |
M-8 | BBB/Baa2 | 4.40% | 8.80% | |
M-9 | BBB-/Baa3 | 3.10% | 6.20% | |
M-10 | BB+/Ba1 | 1.75% | 3.50% | |
Net Monthly Excess Cashflow: | For any Distribution Date is equal to the sum of (i) any Overcollateralization Reduction Amount and (ii) the excess of the Available Distribution Amount, net of any Net Swap Payment and the Swap Termination Payment, if any, required to be made by the Securities Administrator, on behalf of the supplemental interest trust (not caused by the occurrence of a Swap Provider trigger event) (described below), to the Swap Provider under the Swap Agreement, over the sum of (w) with respect to the Class A Certificates, the Senior Interest Distribution Amount for such Distribution Date, (x) with respect to the Mezzanine Certificates, the Interest Distribution Amount for such Distribution Date and (y) the amount of principal required to be distributed to the holders of the Certificates on such Distribution Date. |
Transaction Overview (Cont.) |
Net WAC Pass-Through Rate: | Class A-1 Certificates and Class A-2 Certificates: The per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to the product of (i) 12 and (ii) a fraction, expressed as a percentage, the numerator of which is the amount of interest which accrued on the Mortgage Loans in the related loan group during the related Due Period minus the fees payable to the Servicer, the Master Servicer and the Credit Risk Manager and with respect to the related Mortgage Loans for such Distribution Date, the Group I Allocation Percentage or Group II Allocation Percentage, as applicable, of any Net Swap Payment or Swap Termination Payment made to the Swap Provider which was not caused by the occurrence of a Swap Provider trigger event, in each case for such Distribution Date, and the denominator of which is the aggregate principal balance of the Mortgage Loans in the related loan group as of the last day of the immediately preceding Due Period (or as of the Cut-off Date with respect to the first Distribution Date), after giving effect to principal prepayments received during the related Prepayment Period which were distributed on the immediately preceding Distribution Date. Mezzanine Certificates: The per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group, the aggregate Certificate Principal Balance of the related Class A Certificates), of (i) the Net WAC Pass-Through Rate for the Class A-1 Certificates and (ii) the Net WAC Pass-Through Rate for the Class A-2 Certificates. Group I Allocation Percentage: The aggregate principal balance of the Group I Mortgage Loans divided by the sum of the aggregate principal balance of the Group I Mortgage Loans and the Group II Mortgage Loans. Group II Allocation Percentage: The aggregate principal balance of the Group II Mortgage Loans divided by the sum of the aggregate principal balance of the Group I Mortgage Loans and the Group II Mortgage Loans. | |||
Net WAC Rate Carryover Amount: | On any Distribution Date the “Net WAC Rate Carryover Amount” for any class of certificates will be equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on such class based on one month LIBOR plus the related margin over (b) the amount of interest accrued on such class based on the related Net WAC Pass-Through Rate and (ii) the unpaid portion of any related Net WAC Rate Carryover Amount from the prior Distribution Date together with interest accrued on such unpaid portion at a rate equal to one month LIBOR plus the related margin for the most recently ended Interest Accrual Period. Any Net WAC Rate Carryover Amount will be paid on such Distribution Date or future Distribution Dates to the extent of funds available. The Net WAC Rate Carryover Amount with respect to a class of certificates will be distributed from cap payments, if any, paid by the cap provider pursuant to the related Cap Agreement (described below), Net Monthly Excess Cashflow on a subordinated basis on the same Distribution Date or on any subsequent Distribution Date to the extent of available funds, and from certain amounts received by the Securities Administrator, on behalf of the supplemental interest trust (described below), under the Swap Agreement, if any. The ratings on each class of Certificates do not address the likelihood of the payment of any Net WAC Rate Carryover Amount from Net Monthly Excess Cashflow. | |||
Interest Carry Forward Amount: | For any Distribution Date, will be equal to the amount, if any, by which the Interest Distribution Amount for that class of certificates for the immediately preceding Distribution Date exceeded the actual amount distributed on such class in respect of interest on the immediately preceding Distribution Date, together with any Interest Carry Forward Amount with respect to such class remaining unpaid from the previous Distribution Date, plus interest accrued thereon at the related pass-through rate for the most recently ended Interest Accrual Period. |
Transaction Overview (Cont.) |
Swap Agreement: | On the Closing Date, the Trustee will enter into a Swap Agreement with the Swap Provider identified in the final prospectus supplement. Beginning with the Distribution Date in May 2007 the Swap Agreement will have an initial notional amount of $771,169,000. Beginning with the Distribution Date in May 2007, the Trust (through a supplemental interest trust) will be obligated to pay to the Swap Provider an amount equal to the product of (i) [5.12]%, (ii) the Swap Notional Amount (as defined below) and (iii) a fraction, the numerator of which is 30 and the denominator of which is 360, and the Swap Provider will be obligated to pay to the supplemental interest trust, for the benefit of the holders of the Class A Certificates and Class M Certificates, an amount equal to the product of (i) one-month LIBOR, (ii) the Swap Notional Amount and (iii) a fraction, the numerator of which is the actual number of days elapsed during the related Interest Accrual Period and the denominator of which is 360, until the Swap Agreement is terminated. The “Swap Notional Amount” for each Distribution Date will be equal to the scheduled swap notional amount set forth in the Swap Agreement for such Distribution Date. Only the net amount of the two obligations will be paid by the appropriate party (the “Net Swap Payment”). See the attached schedule. A separate trust created under the pooling and servicing agreement (the “Supplemental Interest Trust”) will hold the Swap Agreement. The Swap Agreement and any payments made by the Swap Provider thereunder will be assets of the Supplemental Interest Trust but will not be assets of any REMIC. Upon early termination of the Swap Agreement, the Supplemental Interest Trust or the Swap Provider may be liable to make a termination payment (the ‘‘Swap Termination Payment’’) to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Swap Agreement. In the event that the Securities Administrator, on behalf of the Supplemental Interest Trust, is required to make a Swap Termination Payment, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, and, if such Swap Termination Payment is not due as a result of the occurrence of a Swap Provider Trigger Event (as defined in the Swap Agreement), such payment will be prior to distributions to Certificateholders. | |
Group I Cap Agreement: | On the Closing Date, the Trustee will enter into a “Group I Cap Agreement”, which will be effective for the period commencing on the Distribution Date occurring in November 2006 and ending on the Distribution Date immediately following the Distribution Date occurring in April 2007, to make payments in respect of any Net WAC Rate Carryover Amounts in respect of the Class A-1 Certificates and the Mezzanine Certificates as described herein. The Group I Cap Agreement requires a cap payment in an amount equal to the product of: (1) the excess, if any, of one-month LIBOR over a specified strike rate for the related Distribution Date; (2) the related scheduled notional amount, which is based on the lesser of (i) the expected amortization of the Group I Mortgage Loans and (ii) the aggregate Certificate Principal Balance of the Class A-1 Certificates, the Mezzanine Certificates and the Class CE Certificates, and (3) a fraction, the numerator of which is the actual number of days elapsed during the related Interest Accrual Period and the denominator of which is 360. |
Transaction Overview (Cont.) | |
Group II Cap Agreement: | On the Closing Date, the Trustee will enter into a “Group II Cap Agreement”, which will be effective for the period commencing on the Distribution Date occurring in November 2006 and ending on the Distribution Date immediately following the Distribution Date occurring in April 2007, to make payments in respect of any Net WAC Rate Carryover Amounts in respect of the Class A-2A, Class A-2B, Class A-2C, Class A-2D Certificates and the Mezzanine Certificates as described herein. The Group II Cap Agreement requires a cap payment in an amount equal to the product of: (1) the excess, if any, of one-month LIBOR over a specified strike rate for the related Distribution Date; (2) the related scheduled notional amount, which is based on the lesser of (i) the expected amortization of the Group II Mortgage Loans and (ii) the aggregate Certificate Principal Balance of the Class A-2A, Class A-2B, Class A-2C, Class A-2D Certificates, the Mezzanine Certificates and Class CE Certificates, and (3) a fraction, the numerator of which is the actual number of days elapsed during the related Interest Accrual Period, and the denominator of which is 360. |
Available Distribution Amount: | For any Distribution Date, net of the administrative fees, an amount equal to (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due on the related Due Date and received on or prior to the related Determination Date; (ii) unscheduled payments in respect of the Mortgage Loans (including prepayments, insurance proceeds, liquidation proceeds, subsequent recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the Prepayment Period or proceeds from the repurchase of the Mortgage Loans due to the Optional Termination of the Trust); (iii) all P&I Advances with respect to the Mortgage Loans received for the Distribution Date; and (iv) all Compensating Interest paid by the Servicer or the Master Servicer in respect of Prepayment Interest Shortfalls for the related Due Period. |
Transaction Overview (Cont.) |
Class A Principal Distribution Amount: | Until the Stepdown Date, the Class A Principal Distribution Amount will be distributed to the holders of the Class A-1 Certificates and the Class A-2 Certificates concurrently, on a pro rata basis based on the related Class A principal allocation percentage (for any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the principal remittance amount for the Group I Mortgage Loans (in the case of the Class A-1 Certificates) or the principal remittance amount for the Group II Mortgage Loans (in the case of the Class A-2 Certificates) and the denominator of which is equal to the principal remittance amount for all of the Mortgage Loans). Until the Stepdown Date, or if a Trigger Event is in effect, the Class A Certificates will receive the principal collected on the Mortgage Loans plus any excess interest required to maintain the Required Overcollateralization Amount until the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event occurs, principal paid on the Class A Certificates will be an amount such that the Class A Certificates will maintain approximately a 40.80% Credit Enhancement Percentage (2x the Class A Initial Credit Enhancement Percentage). The Class A Principal Distribution Amount will be distributed to the holders of the Class A-1 and Class A-2 Certificates to the extent of their respective group-based principal distribution amount. Principal distributions to the Class A-2 Certificates will be allocated sequentially to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; provided, however, on any Distribution Date on which the aggregate Certificate Principal Balance of the Mezzanine Certificates has been reduced to zero, all principal distributions will be distributed to the Class A-2 Certificates on a pro rata basis, based on the Certificate Principal Balance of each such class, until the Certificate Principal Balance of each such class has been reduced to zero. | ||
Class M Principal Distribution Amount: | Unless the Class A Certificates are reduced to zero, the Mezzanine Certificates will not receive any principal payments until the Stepdown Date. On or after the Stepdown Date (if no Trigger Event is in effect), principal will be paid to the Mezzanine Certificates, first to the Class M-1, Class M-2 and Class M-3 Certificates, sequentially, until the Class M-1, Class M-2 and Class M-3 Certificates together reach approximately a 20.60% Credit Enhancement Percentage (2x the Class M-3 Initial Credit Enhancement Percentage), second to the Class M-4 Certificates until it reaches approximately a 17.50% Credit Enhancement Percentage (2x the Class M-4 Initial Credit Enhancement Percentage), third to the Class M-5 Certificates until it reaches approximately a 14.50% Credit Enhancement Percentage (2x the Class M-5 Initial Credit Enhancement Percentage), fourth to the Class M-6 Certificates until it reaches approximately a 12.50% Credit Enhancement Percentage (2x the Class M-6 Initial Credit Enhancement Percentage), fifth to the Class M-7 Certificates until it reaches approximately a 10.30% Credit Enhancement Percentage (2x the Class M-7 Initial Credit Enhancement Percentage), sixth to the Class M-8 Certificates until it reaches approximately a 8.80% Credit Enhancement Percentage (2x the Class M-8 Initial Credit Enhancement Percentage), seventh to the Class M-9 Certificates until it reaches approximately a 6.20% Credit Enhancement Percentage (2x the Class M-9 Initial Credit Enhancement Percentage), and eighth to the Class M-10 Certificates until it reaches approximately a 3.50% Credit Enhancement Percentage (2x the Class M-10 Initial Credit Enhancement Percentage). |
Transaction Overview (Cont.) |
Class M Principal Distribution Amount (continued): | If a Trigger Event is in effect, principal payments will be paid first to the Class A Certificates in the manner and order of priority described under "Class A Principal Distribution Amount", in each case until the Certificate Principal Balance of each such class has been reduced to zero and, then sequentially to the Mezzanine Certificates in their order of seniority, in each case until the Certificate Principal Balance of each such class has been reduced to zero. | |
Coupon Step-up: | On the Distribution Date following the first possible optional termination date, the margins on the Class A Certificates and the Mezzanine Certificates will increase to the following, subject to the applicable Net WAC Pass-Through Rate. | |
Class | After Optional Termination | |
A | 2 x Margin | |
M | The lesser of 1.5 x Margin and Margin plus 0.50% | |
Trigger Event: | If either the Delinquency Test or Cumulative Loss Test is violated. | |
Delinquency Test: | The determination on any Distribution Date that the percentage obtained by dividing (x) the principal amount of (1) Mortgage Loans delinquent 60 days or more, (2) Mortgage Loans in foreclosure, (3) REO Properties and (4) Mortgage Loans discharged due to bankruptcy by (y) the aggregate principal balance of the Mortgage Loans, in each case, as of the last day of the previous calendar month, exceeds 38.70% of the Credit Enhancement Percentage. | |
Cumulative Loss Test: | The determination on any Distribution Date that the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Due Period divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages set forth below with respect to such Distribution Date: | |
Distribution Date Occurring in | Percentage | |
November 2008 to October 2009 | 1.45%, plus 1/12th of 1.80% for each month thereafter | |
November 2009 to October 2010 | 3.25%, plus 1/12th of 1.85% for each month thereafter | |
November 2010 to October 2011 | 5.10%, plus 1/12th of 1.45% for each month thereafter | |
November 2011 to October 2012 | 6.55%, plus 1/12th of 0.80% for each month thereafter | |
November 2012 and thereafter | 7.35% |
Transaction Overview (Cont.) |
Payment Priority: | On each Distribution Date, the Available Distribution Amount will be distributed as follows: 1. To the Supplemental Interest Trust to pay any Net Swap Payment or any Swap Termination Payment (not caused by a Swap Provider Trigger Event (as defined in the Swap Agreement)) owed to the Swap Provider. 2. To pay interest to the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date, and then to pay interest excluding any accrued unpaid interest from a prior Distribution Date to the Mezzanine Certificates, on a sequential basis in order of priority. 3. To pay principal to the Class A Certificates in accordance with the principal payment provisions described above. 4. To pay principal to the Mezzanine Certificates in accordance with the principal payment provisions described above. 5. From Net Monthly Excess Cashflow, if any, to the Certificates then entitled to receive distributions in respect of principal in order to reduce the Certificate Principal Balance of the Certificates to the extent necessary to restore or maintain the Required Overcollateralization Amount. 6. From remaining Net Monthly Excess Cashflow, if any, to pay the Interest Carry Forward Amounts on the Mezzanine Certificates, on a sequential basis in order of priority. 7. From remaining Net Monthly Excess Cashflow, if any, to pay the allocated Realized Losses on the Mezzanine Certificates, on a sequential basis in order of priority. 8. From remaining Net Monthly Excess Cashflow, if any, to pay the Net WAC Rate Carryover Amount on the Class A Certificates and the Mezzanine Certificates in the same order of priority as described in 2 above. 9. From remaining Net Monthly Excess Cashflow, if any, to pay any Swap Termination Payment (caused by a Swap Provider Trigger Event) owed to the Swap Provider. 10. To pay any remaining amount to the Class CE, Class P and Class R Certificates in accordance with the pooling and servicing agreement. |
Transaction Overview (Cont.) |
Payment Priority cont’d: | Any Net Swap Payments payable to the Securities Administrator on behalf of the Supplemental Interest Trust by the Swap Provider will be paid as follows: 1. To pay any unpaid interest on the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date and then to pay any unpaid interest including any accrued unpaid interest from prior Distribution Dates to the Mezzanine Certificates, sequentially in order of priority. 2. To pay any principal to the Class A Certificates and the Mezzanine Certificates in accordance with the principal payment provisions described above in an amount necessary to restore or maintain the Required Overcollateralization Amount but not to exceed the cumulative realized losses on the Mortgage Loans. 3. To pay any allocated Realized Losses remaining unpaid on the Mezzanine Certificates, sequentially. 4. To pay the Net WAC Rate Carryover Amount on the Class A Certificates and Mezzanine Certificates remaining unpaid in the same order of priority as described above. 5. To pay any Swap Termination Payment (caused by a Swap Provider Trigger Event under the Swap Agreement) owed to the Swap Provider. 6. To pay any remaining amount to the Class CE Certificates. Any Net Swap Payments payable to the Swap Provider by the Securities Administrator on behalf of the Supplemental Interest Trust will be paid as follows: 1. To make any Net Swap Payment owed to the Swap Provider pursuant to the Swap Agreement for such Distribution Date, and 2. To make any Swap Termination Payment not due to a Swap Provider Trigger Event owed to the Swap Provider pursuant to the Swap Agreement (to the extent not paid by the Securities Administrator from any upfront payment received pursuant to any replacement interest rate swap agreement that may be entered into by the Securities Administrator). | |
ERISA: | It is expected that the Offered Certificates may be purchased by, or with the assets of, employee benefit plans subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) or plans or arrangements subject to section 4975 of the Internal Revenue Code (each, a “Plan”). Prior to the termination of the Supplemental Interest Trust, Plans or persons using assets of a Plan may purchase the Offered Certificates if the purchase and holding meets the requirements of an investor-based class exemption issued by the Department of Labor. Investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of a Plan’s acquisition and ownership of such certificates. | |
Legal Investment: | The Offered Certificates will not constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984. | |
Taxation - REMIC: | One or more REMIC elections will be made for designated portions of the Trust (exclusive of certain shortfall payments or payments from the Supplemental Interest Trust or the obligation to make payments to the Supplemental Interest Trust pursuant to the Swap Agreement). | |
Form of Registration: | Book-entry form through DTC, Clearstream and Euroclear. | |
Minimum Denominations: | $25,000 and integral multiples of $1 in excess thereof. | |
Swap Schedule
Distribution Date | Notional Schedule ($) | Distribution Date | Notional Schedule ($) |
11/25/2006 | - | 7/25/2009 | 159,568,000 |
12/25/2006 | - | 8/25/2009 | 152,479,000 |
1/25/2007 | - | 9/25/2009 | 145,711,000 |
2/25/2007 | - | 10/25/2009 | 139,249,000 |
3/25/2007 | - | 11/25/2009 | 133,079,000 |
4/25/2007 | - | 12/25/2009 | 127,188,000 |
5/25/2007 | 771,169,000 | 1/25/2010 | 121,562,000 |
6/25/2007 | 742,148,000 | 2/25/2010 | 116,190,000 |
7/25/2007 | 711,457,000 | 3/25/2010 | 111,060,000 |
8/25/2007 | 681,990,000 | 4/25/2010 | 106,161,000 |
9/25/2007 | 653,747,000 | 5/25/2010 | 101,482,000 |
10/25/2007 | 626,677,000 | 6/25/2010 | 97,014,000 |
11/25/2007 | 600,732,000 | 7/25/2010 | 92,746,000 |
12/25/2007 | 575,864,000 | 8/25/2010 | 88,669,000 |
1/25/2008 | 552,028,000 | 9/25/2010 | 84,775,000 |
2/25/2008 | 529,182,000 | 10/25/2010 | 81,056,000 |
3/25/2008 | 507,285,000 | 11/25/2010 | 77,503,000 |
4/25/2008 | 486,292,000 | 12/25/2010 | 74,109,000 |
5/25/2008 | 466,138,000 | 1/25/2011 | 70,867,000 |
6/25/2008 | 446,103,000 | 2/25/2011 | 67,769,000 |
7/25/2008 | 380,229,000 | 3/25/2011 | 64,810,000 |
8/25/2008 | 324,953,000 | 4/25/2011 | 61,982,000 |
9/25/2008 | 278,959,000 | 5/25/2011 | 59,280,000 |
10/25/2008 | 240,941,000 | 6/25/2011 | 56,699,000 |
11/25/2008 | 229,862,000 | 7/25/2011 | 54,232,000 |
12/25/2008 | 219,579,000 | 8/25/2011 | 51,872,000 |
1/25/2009 | 209,763,000 | 9/25/2011 | 49,616,000 |
2/25/2009 | 200,396,000 | 10/25/2011 | 47,461,000 |
3/25/2009 | 191,455,000 | 11/25/2011 | - |
4/25/2009 | 182,919,000 | ||
5/25/2009 | 174,772,000 | ||
6/25/2009 | 166,994,000 |
Group I and Group II Cap Schedule
Group I | Group II | |||||||
Distribution Date | Notional Schedule ($) | Cap Strike | Distribution Date | Notional Schedule ($) | Cap Strike | |||
11/25/2006 | 423,662,000 | 7.50% | 11/25/2006 | 477,964,000 | 7.50% | |||
12/25/2006 | 418,738,000 | 7.50% | 12/25/2006 | 472,423,000 | 7.50% | |||
1/25/2007 | 413,092,000 | 7.50% | 1/25/2007 | 466,065,000 | 7.50% | |||
2/25/2007 | 406,735,000 | 7.50% | 2/25/2007 | 458,902,000 | 7.50% | |||
3/25/2007 | 399,686,000 | 7.50% | 3/25/2007 | 450,956,000 | 7.50% | |||
4/25/2007 | 391,966,000 | 7.50% | 4/25/2007 | 442,250,000 | 7.50% | |||
5/25/2007 | - | 7.50% | 5/25/2007 | - | 7.50% | |||
Sensitivity Table
To 10% Call
Fixed>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC | |
Arm>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC | |
A-1 | Avg Life (yrs) | 22.14 | 4.28 | 2.21 | 1.53 | 1.17 |
First Payment Date | Nov-06 | Nov-06 | Nov-06 | Nov-06 | Nov-06 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Apr-09 | |
A-2A | Avg Life (yrs) | 17.73 | 1.59 | 1.00 | 0.83 | 0.67 |
First Payment Date | Nov-06 | Nov-06 | Nov-06 | Nov-06 | Nov-06 | |
Last Payment Date | Dec-31 | Dec-09 | Jul-08 | Jun-08 | Jan-08 | |
A-2B | Avg Life (yrs) | 26.60 | 4.11 | 2.00 | 1.73 | 1.48 |
First Payment Date | Dec-31 | Dec-09 | Jul-08 | Jun-08 | Jan-08 | |
Last Payment Date | Feb-35 | Apr-12 | Mar-09 | Aug-08 | Jun-08 | |
A-2C | Avg Life (yrs) | 29.25 | 7.05 | 3.00 | 2.03 | 1.74 |
First Payment Date | Feb-35 | Apr-12 | Mar-09 | Aug-08 | Jun-08 | |
Last Payment Date | Jun-36 | Oct-15 | May-11 | Feb-09 | Aug-08 | |
A-2D | Avg Life (yrs) | 29.65 | 11.75 | 6.07 | 3.33 | 2.06 |
First Payment Date | Jun-36 | Oct-15 | May-11 | Feb-09 | Aug-08 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Mar-09 | |
M-1 | Avg Life (yrs) | 27.94 | 5.46 | 3.70 | 4.23 | 3.37 |
First Payment Date | Feb-33 | Sep-10 | Mar-10 | Aug-10 | Apr-09 | |
Last Payment Date | Apr-36 | Feb-14 | Oct-10 | Jul-11 | Jun-10 | |
M-2 | Avg Life (yrs) | 29.64 | 9.81 | 5.07 | 4.95 | 3.65 |
First Payment Date | Apr-36 | Feb-14 | Oct-10 | Jul-11 | Jun-10 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
M-3 | Avg Life (yrs) | 29.65 | 12.82 | 6.65 | 4.99 | 3.65 |
First Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 |
Sensitivity Table
To 10% Call (Continued)
Fixed>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC | |
Arm>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC | |
M-4 | Avg Life (yrs) | 28.87 | 8.38 | 4.58 | 4.05 | 3.38 |
First Payment Date | Feb-33 | Sep-10 | Feb-10 | Jun-10 | Jan-10 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
M-5 | Avg Life (yrs) | 28.87 | 8.38 | 4.56 | 3.96 | 3.25 |
First Payment Date | Feb-33 | Sep-10 | Jan-10 | Apr-10 | Nov-09 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
M-6 | Avg Life (yrs) | 28.87 | 8.38 | 4.54 | 3.90 | 3.16 |
First Payment Date | Feb-33 | Sep-10 | Jan-10 | Mar-10 | Oct-09 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
M-7 | Avg Life (yrs) | 28.87 | 8.38 | 4.53 | 3.85 | 3.09 |
First Payment Date | Feb-33 | Sep-10 | Dec-09 | Feb-10 | Aug-09 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
M-8 | Avg Life (yrs) | 28.87 | 8.38 | 4.51 | 3.82 | 3.03 |
First Payment Date | Jan-33 | Sep-10 | Dec-09 | Feb-10 | Aug-09 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
M-9 | Avg Life (yrs) | 28.87 | 8.38 | 4.51 | 3.77 | 2.99 |
First Payment Date | Jan-33 | Sep-10 | Dec-09 | Jan-10 | Jul-09 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
M-10 | Avg Life (yrs) | 28.87 | 8.27 | 4.42 | 3.68 | 2.90 |
First Payment Date | Jan-33 | Sep-10 | Nov-09 | Dec-09 | Jun-09 | |
Last Payment Date | Jun-36 | Aug-19 | Jun-13 | Oct-11 | Jun-10 | |
Sensitivity Table
To Maturity
Fixed>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC | |
Arm>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC | |
A-1 | Avg Life (yrs) | 22.14 | 4.63 | 2.42 | 1.68 | 1.17 |
First Payment Date | Nov-06 | Nov-06 | Nov-06 | Nov-06 | Nov-06 | |
Last Payment Date | Jun-36 | May-33 | Jun-22 | Nov-18 | Apr-09 | |
A-2A | Avg Life (yrs) | 17.73 | 1.59 | 1.00 | 0.83 | 0.67 |
First Payment Date | Nov-06 | Nov-06 | Nov-06 | Nov-06 | Nov-06 | |
Last Payment Date | Dec-31 | Dec-09 | Jul-08 | Jun-08 | Jan-08 | |
A-2B | Avg Life (yrs) | 26.60 | 4.11 | 2.00 | 1.73 | 1.48 |
First Payment Date | Dec-31 | Dec-09 | Jul-08 | Jun-08 | Jan-08 | |
Last Payment Date | Feb-35 | Apr-12 | Mar-09 | Aug-08 | Jun-08 | |
A-2C | Avg Life (yrs) | 29.25 | 7.05 | 3.00 | 2.03 | 1.74 |
First Payment Date | Feb-35 | Apr-12 | Mar-09 | Aug-08 | Jun-08 | |
Last Payment Date | Jun-36 | Oct-15 | May-11 | Feb-09 | Aug-08 | |
A-2D | Avg Life (yrs) | 29.65 | 14.10 | 7.44 | 4.27 | 2.06 |
First Payment Date | Jun-36 | Oct-15 | May-11 | Feb-09 | Aug-08 | |
Last Payment Date | Jun-36 | Jun-33 | May-22 | Oct-18 | Mar-09 | |
M-1 | Avg Life (yrs) | 27.94 | 5.46 | 3.70 | 4.23 | 3.52 |
First Payment Date | Feb-33 | Sep-10 | Mar-10 | Aug-10 | Apr-09 | |
Last Payment Date | Apr-36 | Feb-14 | Oct-10 | Jul-11 | Jan-11 | |
M-2 | Avg Life (yrs) | 29.64 | 9.82 | 5.07 | 5.27 | 5.03 |
First Payment Date | Apr-36 | Feb-14 | Oct-10 | Jul-11 | Jan-11 | |
Last Payment Date | Jun-36 | Feb-20 | Sep-13 | Sep-12 | Dec-12 | |
M-3 | Avg Life (yrs) | 29.65 | 17.53 | 9.37 | 7.25 | 7.15 |
First Payment Date | Jun-36 | Feb-20 | Sep-13 | Sep-12 | Dec-12 | |
Last Payment Date | Jun-36 | Feb-30 | Oct-19 | Sep-16 | Sep-15 |
Sensitivity Table
To Maturity (Continued)
Fixed>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC | |
Arm>> | 0% PPC | 55% PPC | 100% PPC | 125% PPC | 160% PPC | |
M-4 | Avg Life (yrs) | 28.87 | 9.16 | 5.03 | 4.40 | 3.63 |
First Payment Date | Feb-33 | Sep-10 | Feb-10 | Jun-10 | Jan-10 | |
Last Payment Date | Jun-36 | Dec-26 | Sep-17 | Feb-15 | Nov-12 | |
M-5 | Avg Life (yrs) | 28.87 | 9.11 | 4.97 | 4.28 | 3.48 |
First Payment Date | Feb-33 | Sep-10 | Jan-10 | Apr-10 | Nov-09 | |
Last Payment Date | Jun-36 | Mar-26 | Mar-17 | Sep-14 | Aug-12 | |
M-6 | Avg Life (yrs) | 28.87 | 9.05 | 4.92 | 4.19 | 3.37 |
First Payment Date | Feb-33 | Sep-10 | Jan-10 | Mar-10 | Oct-09 | |
Last Payment Date | Jun-36 | Mar-25 | Aug-16 | Apr-14 | Apr-12 | |
M-7 | Avg Life (yrs) | 28.87 | 8.98 | 4.87 | 4.11 | 3.28 |
First Payment Date | Feb-33 | Sep-10 | Dec-09 | Feb-10 | Aug-09 | |
Last Payment Date | Jun-36 | Jun-24 | Mar-16 | Dec-13 | Jan-12 | |
M-8 | Avg Life (yrs) | 28.87 | 8.89 | 4.79 | 4.04 | 3.19 |
First Payment Date | Jan-33 | Sep-10 | Dec-09 | Feb-10 | Aug-09 | |
Last Payment Date | Jun-36 | Jun-23 | Aug-15 | Jun-13 | Sep-11 | |
M-9 | Avg Life (yrs) | 28.87 | 8.74 | 4.71 | 3.93 | 3.10 |
First Payment Date | Jan-33 | Sep-10 | Dec-09 | Jan-10 | Jul-09 | |
Last Payment Date | Jun-36 | Sep-22 | Mar-15 | Feb-13 | May-11 | |
M-10 | Avg Life (yrs) | 28.87 | 8.32 | 4.45 | 3.71 | 2.91 |
First Payment Date | Jan-33 | Sep-10 | Nov-09 | Dec-09 | Jun-09 | |
Last Payment Date | Jun-36 | Oct-20 | Feb-14 | Apr-12 | Oct-10 | |
Class A-1 Net WAC Schedule* | Class A-1 Net WAC Schedule* | |||||||
Period | Date | Net WAC Pass-Through Rate (%) | Period | Date | Net WAC Pass-Through Rate (%) | |||
1 | 11/25/2006 | 21.776 | 46 | 8/25/2010 | 17.647 | |||
2 | 12/25/2006 | 20.539 | 47 | 9/25/2010 | 17.547 | |||
3 | 1/25/2007 | 20.280 | 48 | 10/25/2010 | 17.793 | |||
4 | 2/25/2007 | 20.280 | 49 | 11/25/2010 | 17.352 | |||
5 | 3/25/2007 | 21.114 | 50 | 12/25/2010 | 17.603 | |||
6 | 4/25/2007 | 20.280 | 51 | 1/25/2011 | 17.166 | |||
7 | 5/25/2007 | 22.095 | 52 | 2/25/2011 | 17.074 | |||
8 | 6/25/2007 | 21.785 | 53 | 3/25/2011 | 18.102 | |||
9 | 7/25/2007 | 21.665 | 54 | 4/25/2011 | 16.895 | |||
10 | 8/25/2007 | 21.333 | 55 | 5/25/2011 | 17.158 | |||
11 | 9/25/2007 | 21.112 | 56 | 6/25/2011 | 16.725 | |||
12 | 10/25/2007 | 21.011 | 57 | 7/25/2011 | 16.994 | |||
13 | 11/25/2007 | 20.682 | 58 | 8/25/2011 | 16.561 | |||
14 | 12/25/2007 | 20.592 | 59 | 9/25/2011 | 16.479 | |||
15 | 1/25/2008 | 20.266 | 60 | 10/25/2011 | 16.751 | |||
16 | 2/25/2008 | 20.063 | 61 | 11/25/2011 | 12.002 | |||
17 | 3/25/2008 | 20.126 | 62 | 12/25/2011 | 12.395 | |||
18 | 4/25/2008 | 19.668 | 63 | 1/25/2012 | 11.989 | |||
19 | 5/25/2008 | 19.606 | 64 | 2/25/2012 | 11.980 | |||
20 | 6/25/2008 | 19.280 | 65 | 3/25/2012 | 12.798 | |||
21 | 7/25/2008 | 20.599 | 66 | 4/25/2012 | 11.964 | |||
22 | 8/25/2008 | 19.469 | 67 | 5/25/2012 | 12.355 | |||
23 | 9/25/2008 | 18.651 | 68 | 6/25/2012 | 11.949 | |||
24 | 10/25/2008 | 18.179 | 69 | 7/25/2012 | 12.340 | |||
25 | 11/25/2008 | 17.790 | 70 | 8/25/2012 | 11.934 | |||
26 | 12/25/2008 | 17.897 | 71 | 9/25/2012 | 11.925 | |||
27 | 1/25/2009 | 18.605 | 72 | 10/25/2012 | 12.314 | |||
28 | 2/25/2009 | 18.476 | 73 | 11/25/2012 | 11.909 | |||
29 | 3/25/2009 | 19.252 | 74 | 12/25/2012 | 12.298 | |||
30 | 4/25/2009 | 18.209 | 75 | 1/25/2013 | 11.893 | |||
31 | 5/25/2009 | 18.365 | 76 | 2/25/2013 | 11.884 | |||
32 | 6/25/2009 | 17.958 | 77 | 3/25/2013 | 13.148 | |||
33 | 7/25/2009 | 19.259 | 78 | 4/25/2013 | 11.867 | |||
34 | 8/25/2009 | 18.825 | 79 | 5/25/2013 | 12.254 | |||
35 | 9/25/2009 | 18.702 | 80 | 6/25/2013 | 11.850 | |||
36 | 10/25/2009 | 18.910 | 81 | 7/25/2013 | 12.236 | |||
37 | 11/25/2009 | 18.463 | ||||||
38 | 12/25/2009 | 18.679 | ||||||
39 | 1/25/2010 | 18.375 | ||||||
40 | 2/25/2010 | 18.267 | ||||||
41 | 3/25/2010 | 19.244 | *PPC: 100% (ARM); PPC: 100% (Fixed) | |||||
42 | 4/25/2010 | 18.047 | *1 Month LIBOR: 20% | |||||
43 | 5/25/2010 | 18.280 | *6 Month Libor: 20% | |||||
44 | 6/25/2010 | 17.836 | *Includes Net Swap Payments received from the Swap Provider | |||||
45 | 7/25/2010 | 18.087 | *Includes Cap Payments received from the Cap Provider |
Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule* | Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule* | |||||||
Period | Date | Net WAC Pass-Through Rate (%) | Period | Date | Net WAC Pass-Through Rate (%) | |||
1 | 11/25/2006 | 21.626 | 46 | 8/25/2010 | 17.742 | |||
2 | 12/25/2006 | 20.409 | 47 | 9/25/2010 | 17.644 | |||
3 | 1/25/2007 | 20.154 | 48 | 10/25/2010 | 17.895 | |||
4 | 2/25/2007 | 20.155 | 49 | 11/25/2010 | 17.453 | |||
5 | 3/25/2007 | 20.975 | 50 | 12/25/2010 | 17.709 | |||
6 | 4/25/2007 | 20.156 | 51 | 1/25/2011 | 17.268 | |||
7 | 5/25/2007 | 21.967 | 52 | 2/25/2011 | 17.178 | |||
8 | 6/25/2007 | 21.662 | 53 | 3/25/2011 | 18.219 | |||
9 | 7/25/2007 | 21.539 | 54 | 4/25/2011 | 17.003 | |||
10 | 8/25/2007 | 21.211 | 55 | 5/25/2011 | 17.270 | |||
11 | 9/25/2007 | 20.992 | 56 | 6/25/2011 | 16.833 | |||
12 | 10/25/2007 | 20.887 | 57 | 7/25/2011 | 17.105 | |||
13 | 11/25/2007 | 20.563 | 58 | 8/25/2011 | 16.671 | |||
14 | 12/25/2007 | 20.470 | 59 | 9/25/2011 | 16.591 | |||
15 | 1/25/2008 | 20.148 | 60 | 10/25/2011 | 16.869 | |||
16 | 2/25/2008 | 19.946 | 61 | 11/25/2011 | 12.118 | |||
17 | 3/25/2008 | 20.002 | 62 | 12/25/2011 | 12.515 | |||
18 | 4/25/2008 | 19.552 | 63 | 1/25/2012 | 12.105 | |||
19 | 5/25/2008 | 19.487 | 64 | 2/25/2012 | 12.100 | |||
20 | 6/25/2008 | 19.201 | 65 | 3/25/2012 | 12.927 | |||
21 | 7/25/2008 | 20.562 | 66 | 4/25/2012 | 12.087 | |||
22 | 8/25/2008 | 19.451 | 67 | 5/25/2012 | 12.483 | |||
23 | 9/25/2008 | 18.644 | 68 | 6/25/2012 | 12.074 | |||
24 | 10/25/2008 | 18.184 | 69 | 7/25/2012 | 12.470 | |||
25 | 11/25/2008 | 17.796 | 70 | 8/25/2012 | 12.062 | |||
26 | 12/25/2008 | 17.926 | 71 | 9/25/2012 | 12.056 | |||
27 | 1/25/2009 | 18.648 | 72 | 10/25/2012 | 12.451 | |||
28 | 2/25/2009 | 18.523 | 73 | 11/25/2012 | 12.043 | |||
29 | 3/25/2009 | 19.307 | 74 | 12/25/2012 | 12.437 | |||
30 | 4/25/2009 | 18.260 | 75 | 1/25/2013 | 12.030 | |||
31 | 5/25/2009 | 18.419 | 76 | 2/25/2013 | 12.023 | |||
32 | 6/25/2009 | 18.030 | 77 | 3/25/2013 | 13.304 | |||
33 | 7/25/2009 | 19.349 | 78 | 4/25/2013 | 12.010 | |||
34 | 8/25/2009 | 18.913 | 79 | 5/25/2013 | 12.403 | |||
35 | 9/25/2009 | 18.792 | 80 | 6/25/2013 | 11.996 | |||
36 | 10/25/2009 | 19.005 | 81 | 7/25/2013 | 12.389 | |||
37 | 11/25/2009 | 18.556 | ||||||
38 | 12/25/2009 | 18.783 | ||||||
39 | 1/25/2010 | 18.463 | ||||||
40 | 2/25/2010 | 18.355 | ||||||
41 | 3/25/2010 | 19.343 | *PPC: 100% (ARM); PPC: 100% (Fixed) | |||||
42 | 4/25/2010 | 18.139 | *1 Month LIBOR: 20% | |||||
43 | 5/25/2010 | 18.377 | *6 Month Libor: 20% | |||||
44 | 6/25/2010 | 17.930 | *Includes Net Swap Payments received from the Swap Provider | |||||
45 | 7/25/2010 | 18.185 | *Includes Cap Payments received from the Cap Provider |
Class M Net WAC Schedule* | Class M Net WAC Schedule* | |||||||
Period | Date | Net WAC Pass-Through Rate (%) | Period | Date | Net WAC Pass-Through Rate (%) | |||
1 | 11/25/2006 | 21.696 | 46 | 8/25/2010 | 17.697 | |||
2 | 12/25/2006 | 20.470 | 47 | 9/25/2010 | 17.598 | |||
3 | 1/25/2007 | 20.213 | 48 | 10/25/2010 | 17.847 | |||
4 | 2/25/2007 | 20.214 | 49 | 11/25/2010 | 17.406 | |||
5 | 3/25/2007 | 21.040 | 50 | 12/25/2010 | 17.659 | |||
6 | 4/25/2007 | 20.214 | 51 | 1/25/2011 | 17.220 | |||
7 | 5/25/2007 | 22.027 | 52 | 2/25/2011 | 17.129 | |||
8 | 6/25/2007 | 21.720 | 53 | 3/25/2011 | 18.164 | |||
9 | 7/25/2007 | 21.598 | 54 | 4/25/2011 | 16.952 | |||
10 | 8/25/2007 | 21.268 | 55 | 5/25/2011 | 17.217 | |||
11 | 9/25/2007 | 21.048 | 56 | 6/25/2011 | 16.782 | |||
12 | 10/25/2007 | 20.945 | 57 | 7/25/2011 | 17.053 | |||
13 | 11/25/2007 | 20.619 | 58 | 8/25/2011 | 16.619 | |||
14 | 12/25/2007 | 20.528 | 59 | 9/25/2011 | 16.538 | |||
15 | 1/25/2008 | 20.204 | 60 | 10/25/2011 | 16.813 | |||
16 | 2/25/2008 | 20.001 | 61 | 11/25/2011 | 12.063 | |||
17 | 3/25/2008 | 20.060 | 62 | 12/25/2011 | 12.459 | |||
18 | 4/25/2008 | 19.607 | 63 | 1/25/2012 | 12.050 | |||
19 | 5/25/2008 | 19.543 | 64 | 2/25/2012 | 12.043 | |||
20 | 6/25/2008 | 19.238 | 65 | 3/25/2012 | 12.866 | |||
21 | 7/25/2008 | 20.579 | 66 | 4/25/2012 | 12.029 | |||
22 | 8/25/2008 | 19.459 | 67 | 5/25/2012 | 12.423 | |||
23 | 9/25/2008 | 18.647 | 68 | 6/25/2012 | 12.015 | |||
24 | 10/25/2008 | 18.181 | 69 | 7/25/2012 | 12.409 | |||
25 | 11/25/2008 | 17.793 | 70 | 8/25/2012 | 12.002 | |||
26 | 12/25/2008 | 17.912 | 71 | 9/25/2012 | 11.994 | |||
27 | 1/25/2009 | 18.628 | 72 | 10/25/2012 | 12.386 | |||
28 | 2/25/2009 | 18.501 | 73 | 11/25/2012 | 11.980 | |||
29 | 3/25/2009 | 19.281 | 74 | 12/25/2012 | 12.372 | |||
30 | 4/25/2009 | 18.236 | 75 | 1/25/2013 | 11.965 | |||
31 | 5/25/2009 | 18.394 | 76 | 2/25/2013 | 11.958 | |||
32 | 6/25/2009 | 17.996 | 77 | 3/25/2013 | 13.230 | |||
33 | 7/25/2009 | 19.307 | 78 | 4/25/2013 | 11.942 | |||
34 | 8/25/2009 | 18.872 | 79 | 5/25/2013 | 12.333 | |||
35 | 9/25/2009 | 18.750 | 80 | 6/25/2013 | 11.927 | |||
36 | 10/25/2009 | 18.960 | 81 | 7/25/2013 | 12.317 | |||
37 | 11/25/2009 | 18.512 | ||||||
38 | 12/25/2009 | 18.735 | ||||||
39 | 1/25/2010 | 18.422 | ||||||
40 | 2/25/2010 | 18.314 | ||||||
41 | 3/25/2010 | 19.296 | *PPC: 100% (ARM); PPC: 100% (Fixed) | |||||
42 | 4/25/2010 | 18.096 | *1 Month LIBOR: 20% | |||||
43 | 5/25/2010 | 18.331 | *6 Month Libor: 20% | |||||
44 | 6/25/2010 | 17.886 | *Includes Net Swap Payments received from the Swap Provider | |||||
45 | 7/25/2010 | 18.139 | *Includes Cap Payments received from the Cap Provider |
Excess Spread*
(Assumes Pricing Prepayment Speed, Excludes Basis Risk Shortfalls)
Period | Excess Spread in bp (Static LIBOR) | 1 Month Forward LIBOR (%) | 6 Month Forward LIBOR (%) | Excess Spread in bp (Forward LIBOR) | Period | Excess Spread in bp (Static LIBOR) | 1 Month Forward LIBOR (%) | 6 Month Forward LIBOR (%) | Excess Spread in bp (Forward LIBOR) |
1 | 325 | 5.3200 | 5.3900 | 325 | 45 | 492 | 5.0715 | 5.1553 | 489 |
2 | 253 | 5.3565 | 5.3722 | 249 | 46 | 480 | 5.0718 | 5.1700 | 477 |
3 | 235 | 5.3668 | 5.3416 | 230 | 47 | 479 | 5.0715 | 5.1858 | 477 |
4 | 235 | 5.3265 | 5.3060 | 234 | 48 | 491 | 5.0708 | 5.2000 | 488 |
5 | 289 | 5.3061 | 5.2674 | 290 | 49 | 478 | 5.1553 | 5.2156 | 471 |
6 | 235 | 5.2977 | 5.2299 | 237 | 50 | 490 | 5.1564 | 5.2177 | 483 |
7 | 271 | 5.2178 | 5.1818 | 272 | 51 | 477 | 5.1587 | 5.2193 | 475 |
8 | 270 | 5.1762 | 5.1529 | 270 | 52 | 477 | 5.1611 | 5.2206 | 474 |
9 | 271 | 5.1860 | 5.1276 | 272 | 53 | 514 | 5.1614 | 5.2226 | 510 |
10 | 268 | 5.0861 | 5.0964 | 270 | 54 | 476 | 5.1641 | 5.2247 | 473 |
11 | 268 | 5.0730 | 5.0769 | 270 | 55 | 488 | 5.1653 | 5.2256 | 485 |
12 | 270 | 5.0205 | 5.0552 | 273 | 56 | 475 | 5.1671 | 5.2305 | 472 |
13 | 267 | 5.0491 | 5.0377 | 270 | 57 | 487 | 5.1680 | 5.2336 | 485 |
14 | 269 | 5.0244 | 5.0130 | 273 | 58 | 474 | 5.1704 | 5.2379 | 472 |
15 | 265 | 4.9988 | 4.9876 | 270 | 59 | 473 | 5.1708 | 5.2420 | 472 |
16 | 265 | 4.9720 | 4.9608 | 270 | 60 | 486 | 5.1714 | 5.2448 | 484 |
17 | 272 | 4.9472 | 4.9359 | 278 | 61 | 461 | 5.1896 | 5.2490 | 463 |
18 | 264 | 4.9231 | 4.9118 | 271 | 62 | 479 | 5.1900 | 5.2495 | 480 |
19 | 267 | 4.8971 | 4.8859 | 276 | 63 | 461 | 5.1914 | 5.2507 | 463 |
20 | 265 | 4.8736 | 4.9022 | 275 | 64 | 460 | 5.1924 | 5.2510 | 463 |
21 | 489 | 4.8487 | 4.9224 | 484 | 65 | 496 | 5.1924 | 5.2515 | 498 |
22 | 481 | 4.8241 | 4.9439 | 480 | 66 | 459 | 5.1939 | 5.2527 | 462 |
23 | 477 | 4.8003 | 4.9686 | 479 | 67 | 477 | 5.1945 | 5.2535 | 479 |
24 | 482 | 4.7824 | 4.9982 | 487 | 68 | 459 | 5.1950 | 5.2624 | 461 |
25 | 473 | 4.9917 | 5.0283 | 469 | 69 | 477 | 5.1950 | 5.2711 | 481 |
26 | 482 | 4.9857 | 5.0217 | 478 | 70 | 459 | 5.1957 | 5.2816 | 463 |
27 | 490 | 4.9788 | 5.0151 | 477 | 71 | 460 | 5.1959 | 5.2908 | 464 |
28 | 489 | 4.9728 | 5.0088 | 477 | 72 | 479 | 5.1963 | 5.2993 | 482 |
29 | 517 | 4.9657 | 5.0022 | 503 | 73 | 461 | 5.2501 | 5.3100 | 459 |
30 | 488 | 4.9606 | 4.9972 | 476 | 74 | 480 | 5.2505 | 5.3102 | 478 |
31 | 497 | 4.9539 | 4.9901 | 486 | 75 | 462 | 5.2520 | 5.3111 | 463 |
32 | 486 | 4.9484 | 5.0104 | 477 | 76 | 463 | 5.2523 | 5.3115 | 464 |
33 | 498 | 4.9408 | 5.0320 | 489 | 77 | 517 | 5.2517 | 5.3114 | 518 |
34 | 488 | 4.9352 | 5.0530 | 481 | 78 | 464 | 5.2540 | 5.3127 | 465 |
35 | 488 | 4.9290 | 5.0783 | 481 | 79 | 483 | 5.2532 | 5.3124 | 483 |
36 | 497 | 4.9268 | 5.1008 | 490 | 80 | 465 | 5.2538 | 5.3164 | 466 |
37 | 486 | 5.0698 | 5.1252 | 472 | |||||
38 | 490 | 5.0704 | 5.1252 | 476 | |||||
39 | 482 | 5.0709 | 5.1258 | 476 | |||||
40 | 482 | 5.0724 | 5.1256 | 476 | |||||
41 | 516 | 5.0706 | 5.1257 | 509 | |||||
42 | 482 | 5.0718 | 5.1268 | 476 | |||||
43 | 493 | 5.0716 | 5.1263 | 487 | |||||
44 | 481 | 5.0723 | 5.1424 | 475 |
*Includes Net Swap Payments received from the Swap Provider
Breakeven CDR Table for the Mezzanine Certificates |
The assumptions for the breakeven CDR table below are as follows: | |||
- 100% PPC | |||
- Optional Termination is not exercised | |||
- Forward Curves | |||
- 40% Severity | |||
- Interest & Principal advancing | |||
- 6 month recovery lag | |||
- Triggers Failing | |||
The table below displays the Constant Default Rate (“CDR”) and the related cumulative collateral loss before the referenced Class incurs a writedown. |
Class | CDR Break-Even (%) | Cumulative Loss (%) |
M-1 | 28.29 | 20.49 |
M-2 | 22.19 | 17.55 |
M-3 | 19.46 | 16.06 |
M-4 | 17.33 | 14.80 |
M-5 | 15.39 | 13.58 |
M-6 | 14.15 | 12.76 |
M-7 | 12.79 | 11.81 |
M-8 | 11.87 | 11.15 |
M-9 | 10.28 | 9.95 |
M-10 | 8.92 | 8.86 |
DESCRIPTION OF THE TOTAL COLLATERAL |
SUMMARY - AGGREGATE POOL* |
Number of Mortgage Loans: | 4,147 | Index Type: | |||||
Aggregate Principal Balance: | $901,626,555 | 6 Month LIBOR: | 83.28% | ||||
Conforming Principal Balance Loans: | $661,339,550 | Fixed Rate: | 16.72% | ||||
Average Principal Balance: | $217,417 | W.A. Initial Periodic Cap**: | 2.827% | ||||
Range: | $14,320 - $1,038,631 | W.A. Subsequent Periodic Cap**: | 1.500% | ||||
W.A. Coupon: | 8.488% | W.A. Lifetime Rate Cap**: | 6.000% | ||||
Range: | 5.550% - 13.700% | Property Type: | |||||
W.A. Gross Margin**: | 6.042% | Single Family: | 81.52% | ||||
Range: | 2.990% - 6.990% | 2-4 Family: | 12.58% | ||||
W.A. Remaining Term: | 355 months | Condo: | 5.90% | ||||
Range: | 55 months - 357 months | ||||||
W.A. Seasoning: | 4 months | Occupancy Status: | |||||
Latest Maturity Date: | July 1, 2036 | Primary: | 93.97% | ||||
State Concentration (Top 5): | Investment: | 5.28% | |||||
California: | 26.79% | Second Home: | 0.76% | ||||
Florida: | 15.48% | Documentation Status: | |||||
New York: | 11.10% | Full: | 53.85% | ||||
Maryland: | 7.15% | Stated: | 45.37% | ||||
New Jersey: | 6.67% | Easy: | 0.78% | ||||
W.A. Original Combined LTV: | 81.67% | ||||||
Range: | 8.13% - 100.00% | Non-Zero W.A. Prepayment Penalty Term: | 25 months | ||||
First Liens: | 93.45% | Loans with Prepay Penalties: | 62.31% | ||||
Second Liens: | 6.55% | Interest Only Loans: | 13.00% | ||||
Non-Balloon Loans: | 62.18% | Non-Zero Weighted Average IO Term: | 60 months | ||||
W.A. FICO Score: | 627 | ||||||
* Subject to a permitted variance of +/- 10%
** For ARM loans only
DESCRIPTION OF THE TOTAL COLLATERAL |
Originator | ||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | ||
Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original | |
Originator | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
FREMONT | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
Principal Balance at Origination | |||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | |||
Principal Balance at | Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original | |
Origination ($) | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
0.01 - 50,000.00 | 422 | 14,125,266 | 1.57 | 11.436 | 634 | 98.79 | |
50,000.01 - 100,000.00 | 681 | 51,594,621 | 5.72 | 10.184 | 626 | 88.82 | |
100,000.01 - 150,000.00 | 675 | 84,303,005 | 9.35 | 9.285 | 618 | 81.74 | |
150,000.01 - 200,000.00 | 593 | 103,410,257 | 11.47 | 8.485 | 616 | 79.52 | |
200,000.01 - 250,000.00 | 409 | 91,870,913 | 10.19 | 8.511 | 613 | 79.34 | |
250,000.01 - 300,000.00 | 315 | 86,549,574 | 9.60 | 8.267 | 626 | 79.83 | |
300,000.01 - 350,000.00 | 301 | 97,262,796 | 10.79 | 8.203 | 629 | 80.86 | |
350,000.01 - 400,000.00 | 202 | 75,828,488 | 8.41 | 8.183 | 626 | 80.06 | |
400,000.01 - 450,000.00 | 151 | 64,247,560 | 7.13 | 8.076 | 631 | 81.32 | |
450,000.01 - 500,000.00 | 106 | 50,458,144 | 5.60 | 8.136 | 641 | 82.04 | |
500,000.01 - 550,000.00 | 82 | 42,904,338 | 4.76 | 8.077 | 639 | 81.93 | |
550,000.01 - 600,000.00 | 80 | 46,026,777 | 5.10 | 8.034 | 644 | 82.98 | |
600,000.01 - 650,000.00 | 41 | 25,510,283 | 2.83 | 7.909 | 645 | 84.98 | |
650,000.01 - 700,000.00 | 29 | 19,489,589 | 2.16 | 8.239 | 629 | 86.75 | |
700,000.01 - 750,000.00 | 25 | 18,067,533 | 2.00 | 8.381 | 637 | 79.55 | |
750,000.01 - 800,000.00 | 18 | 14,104,241 | 1.56 | 8.281 | 636 | 81.99 | |
800,000.01 - 850,000.00 | 3 | 2,514,871 | 0.28 | 7.273 | 695 | 83.34 | |
850,000.01 - 900,000.00 | 3 | 2,640,419 | 0.29 | 6.501 | 701 | 71.88 | |
900,000.01 - 950,000.00 | 2 | 1,843,760 | 0.20 | 7.150 | 626 | 78.95 | |
8 | 7,835,490 | 0.87 | 7.274 | 636 | 81.06 | ||
Greater than or equal to 1,000,000.01 | 1 | 1,038,631 | 0.12 | 7.550 | 697 | 80.00 | |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Remaining Principal Balance | |||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | |||
Remaining Principal | Initial | Remaining | Remaining | W.A. | Non-Zero | Original | |
Balance ($) | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
423 | 14,175,217 | 1.57 | 11.439 | 634 | 98.79 | ||
50,000.01 - 100,000.00 | 680 | 51,544,670 | 5.72 | 10.182 | 626 | 88.81 | |
100,000.01 - 150,000.00 | 678 | 84,752,902 | 9.40 | 9.278 | 618 | 81.75 | |
150,000.01 - 200,000.00 | 593 | 103,559,378 | 11.49 | 8.488 | 615 | 79.48 | |
200,000.01 - 250,000.00 | 407 | 91,521,802 | 10.15 | 8.510 | 613 | 79.38 | |
250,000.01 - 300,000.00 | 314 | 86,299,667 | 9.57 | 8.266 | 626 | 79.80 | |
300,000.01 - 350,000.00 | 302 | 97,612,112 | 10.83 | 8.203 | 629 | 80.85 | |
350,000.01 - 400,000.00 | 201 | 75,479,173 | 8.37 | 8.182 | 625 | 80.06 | |
400,000.01 - 450,000.00 | 152 | 64,692,376 | 7.18 | 8.078 | 631 | 81.35 | |
450,000.01 - 500,000.00 | 106 | 50,513,039 | 5.60 | 8.122 | 641 | 81.90 | |
500,000.01 - 550,000.00 | 82 | 42,953,626 | 4.76 | 8.065 | 639 | 81.84 | |
550,000.01 - 600,000.00 | 79 | 45,477,778 | 5.04 | 8.059 | 642 | 83.19 | |
600,000.01 - 650,000.00 | 41 | 25,510,283 | 2.83 | 7.909 | 645 | 84.98 | |
650,000.01 - 700,000.00 | 29 | 19,489,589 | 2.16 | 8.239 | 629 | 86.75 | |
700,000.01 - 750,000.00 | 25 | 18,067,533 | 2.00 | 8.381 | 637 | 79.55 | |
750,000.01 - 800,000.00 | 18 | 14,104,241 | 1.56 | 8.281 | 636 | 81.99 | |
800,000.01 - 850,000.00 | 3 | 2,514,871 | 0.28 | 7.273 | 695 | 83.34 | |
850,000.01 - 900,000.00 | 3 | 2,640,419 | 0.29 | 6.501 | 701 | 71.88 | |
900,000.01 - 950,000.00 | 2 | 1,843,760 | 0.20 | 7.150 | 626 | 78.95 | |
950,000.01 - 1,000,000.00 | 8 | 7,835,490 | 0.87 | 7.274 | 636 | 81.06 | |
Greater than or equal to 1,000,000.01 | 1 | 1,038,631 | 0.12 | 7.550 | 697 | 80.00 | |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
Remaining Term | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Months Remaining | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1 - 60 | 4 | 85,368 | 0.01 | 12.645 | 662 | 95.00 |
61 - 120 | 5 | 140,519 | 0.02 | 11.871 | 629 | 99.16 |
121 - 180 | 79 | 2,271,495 | 0.25 | 10.379 | 651 | 92.41 |
181 - 240 | 5 | 426,586 | 0.05 | 8.973 | 620 | 83.84 |
301 - 360 | 4,054 | 898,702,586 | 99.68 | 8.482 | 627 | 81.64 |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Product Type | ||||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | ||||
Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original | |||
Collateral Type | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | ||
Fixed - 5 Year | 4 | 85,368 | 0.01 | 12.645 | 662 | 95.00 | ||
Fixed - 10 Year | 5 | 140,519 | 0.02 | 11.871 | 629 | 99.16 | ||
Fixed - 15 Year | 79 | 2,271,495 | 0.25 | 10.379 | 651 | 92.41 | ||
Fixed - 20 Year | 5 | 426,586 | 0.05 | 8.973 | 620 | 83.84 | ||
Fixed - 30 Year | 1,074 | 115,376,351 | 12.80 | 9.413 | 648 | 88.04 | ||
Balloon - 30/40 | 101 | 32,471,145 | 3.60 | 7.538 | 652 | 79.86 | ||
ARM - 2 Year/6 Month | 1,489 | 320,115,896 | 35.50 | 8.768 | 604 | 79.33 | ||
ARM - 2 Year/6 Month IO | 354 | 114,461,791 | 12.70 | 7.657 | 647 | 81.20 | ||
ARM - 2 Year/6 Month 30/40 Balloon | 989 | 304,214,556 | 33.74 | 8.248 | 633 | 82.13 | ||
ARM - 3 Year/6 Month | 21 | 4,262,071 | 0.47 | 8.977 | 591 | 75.78 | ||
ARM - 3 Year/6 Month IO | 8 | 2,746,620 | 0.30 | 7.246 | 656 | 80.58 | ||
ARM - 3 Year/6 Month 30/40 Balloon | 9 | 3,424,121 | 0.38 | 7.860 | 661 | 82.21 | ||
ARM - 5 Year/6 Month | 4 | 751,717 | 0.08 | 8.448 | 634 | 70.61 | ||
ARM - 5 Year/6 Month 30/40 Balloon | 5 | 878,319 | 0.10 | 9.067 | 637 | 76.21 | ||
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
Interest Only Term | ||||||
% of Aggregate | W.A. | W.A. | ||||
Interest Only | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (months) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 3,785 | 784,418,145 | 87.00 | 8.613 | 624 | 81.75 |
60 | 362 | 117,208,411 | 13.00 | 7.648 | 647 | 81.19 |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Mortgage Rate | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
5.500 - 5.999 | 15 | 4,969,559 | 0.55 | 5.956 | 685 | 72.21 |
6.000 - 6.499 | 53 | 18,353,567 | 2.04 | 6.278 | 668 | 74.81 |
6.500 - 6.999 | 168 | 55,822,200 | 6.19 | 6.779 | 668 | 78.65 |
299 | 91,930,028 | 10.20 | 7.260 | 642 | 80.58 | |
7.500 - 7.999 | 625 | 181,151,513 | 20.09 | 7.755 | 638 | 81.09 |
8.000 - 8.499 | 520 | 140,896,945 | 15.63 | 8.260 | 633 | 80.88 |
8.500 - 8.999 | 673 | 173,196,821 | 19.21 | 8.739 | 615 | 81.18 |
9.000 - 9.499 | 354 | 80,272,549 | 8.90 | 9.223 | 615 | 82.75 |
9.500 - 9.999 | 385 | 62,765,334 | 6.96 | 9.734 | 595 | 83.08 |
10.000 - 10.499 | 176 | 22,406,194 | 2.49 | 10.216 | 583 | 82.45 |
10.500 - 10.999 | 271 | 26,831,539 | 2.98 | 10.757 | 614 | 87.53 |
11.000 - 11.499 | 205 | 15,928,279 | 1.77 | 11.239 | 630 | 92.21 |
11.500 - 11.999 | 131 | 10,177,656 | 1.13 | 11.784 | 580 | 84.25 |
12.000 - 12.499 | 113 | 6,903,976 | 0.77 | 12.198 | 590 | 90.25 |
12.500 - 12.999 | 144 | 9,169,861 | 1.02 | 12.706 | 610 | 95.59 |
13.000 - 13.499 | 10 | 566,781 | 0.06 | 13.187 | 622 | 98.82 |
13.500 - 13.999 | 5 | 283,754 | 0.03 | 13.595 | 592 | 99.53 |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
Original Combined Loan-to-Value Ratio | ||||||
Original Combined | Number of | Aggregate | % of Aggregate | W.A. | W.A. | |
Loan-to-Value | Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original |
Ratio (%) | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Less than or equal to 50.00 | 77 | 12,914,529 | 1.43 | 8.972 | 586 | 43.05 |
50.01 - 55.00 | 38 | 7,173,315 | 0.80 | 8.256 | 603 | 52.78 |
55.01 - 60.00 | 59 | 13,959,580 | 1.55 | 8.587 | 584 | 58.20 |
60.01 - 65.00 | 125 | 27,428,596 | 3.04 | 8.792 | 579 | 63.70 |
65.01 - 70.00 | 104 | 23,222,022 | 2.58 | 8.976 | 572 | 68.97 |
70.01 - 75.00 | 148 | 36,063,830 | 4.00 | 8.447 | 590 | 74.00 |
75.01 - 80.00 | 1,820 | 481,401,983 | 53.39 | 8.138 | 639 | 79.89 |
80.01 - 85.00 | 253 | 67,685,785 | 7.51 | 8.192 | 609 | 84.58 |
85.01 - 90.00 | 453 | 131,636,109 | 14.60 | 8.444 | 621 | 89.80 |
90.01 - 95.00 | 123 | 27,106,428 | 3.01 | 8.571 | 631 | 94.71 |
95.01 - 100.00 | 947 | 73,034,379 | 8.10 | 10.783 | 653 | 99.96 |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
DESCRIPTION OF THE TOTAL COLLATERAL |
FICO Score at Origination | ||||||
% of Aggregate | W.A. | W.A. | ||||
FICO Score | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
At Origination | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
500 - 524 | 160 | 34,528,056 | 3.83 | 9.911 | 512 | 71.02 |
525 - 549 | 228 | 49,820,348 | 5.53 | 9.339 | 536 | 74.39 |
550 - 574 | 281 | 66,680,689 | 7.40 | 8.816 | 562 | 79.85 |
575 - 599 | 561 | 111,694,100 | 12.39 | 8.565 | 587 | 81.25 |
600 - 624 | 823 | 157,671,506 | 17.49 | 8.404 | 612 | 82.90 |
625 - 649 | 849 | 179,659,255 | 19.93 | 8.521 | 637 | 83.36 |
650 - 674 | 558 | 133,213,586 | 14.77 | 8.201 | 662 | 82.91 |
675 - 699 | 357 | 83,286,766 | 9.24 | 8.142 | 687 | 83.62 |
700 - 724 | 190 | 44,656,512 | 4.95 | 8.111 | 711 | 83.64 |
725 - 749 | 96 | 27,063,743 | 3.00 | 7.714 | 737 | 81.16 |
750 - 774 | 35 | 9,851,820 | 1.09 | 7.654 | 760 | 81.76 |
775 - 799 | 6 | 2,465,649 | 0.27 | 7.373 | 779 | 81.06 |
800 - 824 | 3 | 1,034,526 | 0.11 | 9.221 | 806 | 83.62 |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Geographic Distribution* | ||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | ||
Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original | |
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
California | 753 | 241,573,933 | 26.79 | 8.166 | 639 | 81.30 |
Florida | 751 | 139,534,022 | 15.48 | 8.677 | 614 | 80.87 |
New York | 337 | 100,121,470 | 11.10 | 8.499 | 640 | 81.24 |
Maryland | 311 | 64,436,352 | 7.15 | 8.531 | 631 | 81.43 |
New Jersey | 219 | 60,164,485 | 6.67 | 8.732 | 621 | 81.93 |
Illinois | 185 | 33,210,821 | 3.68 | 8.884 | 623 | 80.96 |
Virginia | 116 | 27,274,838 | 3.03 | 8.585 | 614 | 81.86 |
Massachusetts | 105 | 24,906,326 | 2.76 | 8.357 | 627 | 81.00 |
Georgia | 169 | 21,871,074 | 2.43 | 8.698 | 625 | 86.04 |
84 | 17,947,409 | 1.99 | 8.579 | 622 | 81.57 | |
Arizona | 88 | 14,570,526 | 1.62 | 8.337 | 613 | 80.03 |
Texas | 119 | 13,807,953 | 1.53 | 8.780 | 630 | 82.15 |
Hawaii | 38 | 13,577,289 | 1.51 | 8.010 | 629 | 84.21 |
Nevada | 66 | 12,038,429 | 1.34 | 8.546 | 611 | 83.64 |
Washington | 66 | 12,003,882 | 1.33 | 8.297 | 619 | 81.93 |
Minnesota | 75 | 11,919,878 | 1.32 | 8.343 | 619 | 84.24 |
Colorado | 72 | 11,639,977 | 1.29 | 8.454 | 638 | 83.84 |
Pennsylvania | 90 | 10,967,124 | 1.22 | 8.818 | 610 | 82.63 |
North Carolina | 63 | 7,608,062 | 0.84 | 8.825 | 612 | 82.95 |
Michigan | 68 | 7,133,502 | 0.79 | 8.812 | 607 | 81.54 |
District of Columbia | 27 | 6,408,843 | 0.71 | 8.418 | 627 | 75.84 |
Wisconsin | 50 | 5,951,697 | 0.66 | 8.798 | 627 | 85.29 |
52 | 5,713,747 | 0.63 | 8.927 | 605 | 86.87 | |
Oregon | 23 | 5,334,497 | 0.59 | 8.169 | 617 | 81.14 |
Rhode Island | 16 | 3,988,996 | 0.44 | 8.887 | 612 | 82.49 |
*Geographic Distribution continued on the next page
DESCRIPTION OF THE TOTAL COLLATERAL |
Geographic Distribution (Continued) | |||||||
% of Aggregate | W.A. | W.A. | |||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | ||
Location | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
New Mexico | 15 | 3,497,550 | 0.39 | 8.720 | 622 | 83.51 | |
Missouri | 28 | 3,303,270 | 0.37 | 8.834 | 630 | 83.81 | |
New Hampshire | 15 | 3,020,009 | 0.33 | 8.909 | 600 | 82.77 | |
Utah | 18 | 3,000,733 | 0.33 | 8.311 | 634 | 83.06 | |
Tennessee | 26 | 2,664,864 | 0.30 | 8.900 | 603 | 85.13 | |
South Carolina | 19 | 2,453,880 | 0.27 | 9.389 | 599 | 81.22 | |
Delaware | 11 | 1,965,963 | 0.22 | 8.627 | 623 | 85.97 | |
Indiana | 23 | 1,926,844 | 0.21 | 9.170 | 614 | 86.86 | |
Idaho | 14 | 1,722,987 | 0.19 | 9.222 | 622 | 79.97 | |
West Virginia | 9 | 1,098,408 | 0.12 | 8.710 | 645 | 83.56 | |
Oklahoma | 3 | 710,925 | 0.08 | 8.496 | 631 | 82.34 | |
3 | 540,669 | 0.06 | 8.286 | 692 | 89.02 | ||
Vermont | 3 | 476,382 | 0.05 | 9.228 | 622 | 82.60 | |
Kentucky | 4 | 400,210 | 0.04 | 9.307 | 567 | 81.06 | |
Kansas | 5 | 358,277 | 0.04 | 9.413 | 587 | 84.19 | |
Maine | 2 | 304,650 | 0.03 | 7.831 | 596 | 87.04 | |
Wyoming | 2 | 206,308 | 0.02 | 8.312 | 606 | 84.01 | |
Arkansas | 3 | 195,236 | 0.02 | 10.167 | 592 | 93.34 | |
Iowa | 1 | 74,259 | 0.01 | 7.750 | 569 | 60.00 | |
4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Occupancy Status | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Occupancy Status | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Primary | 3,870 | 847,219,178 | 93.97 | 8.468 | 627 | 81.67 |
Investment | 249 | 47,560,848 | 5.28 | 8.856 | 637 | 81.66 |
Second Home | 28 | 6,846,530 | 0.76 | 8.372 | 614 | 82.46 |
4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
Documentation Type | |||||||
Number of | % of Aggregate | W.A. | W.A. | ||||
Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | ||
Program | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Full Documentation | 2,370 | 485,523,087 | 53.85 | 8.122 | 618 | 82.60 | |
Stated Documentation | 1,758 | 409,109,708 | 45.37 | 8.917 | 638 | 80.44 | |
Easy Documentation | 19 | 6,993,761 | 0.78 | 8.783 | 602 | 89.79 | |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
Loan Purpose | |||||||
% of Aggregate | W.A. | W.A. | |||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | ||
Purpose | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Purchase | 2,537 | 498,292,259 | 55.27 | 8.530 | 644 | 83.90 | |
Refinance - Cashout | 1,573 | 393,650,602 | 43.66 | 8.441 | 606 | 78.83 | |
Refinance - Rate Term | 37 | 9,683,694 | 1.07 | 8.173 | 639 | 82.92 | |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
DESCRIPTION OF THE TOTAL COLLATERAL |
Property Type | |||||||
% of Aggregate | W.A. | W.A. | |||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | ||
Property Type | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Single Family Residence | 3,462 | 734,978,679 | 81.52 | 8.471 | 625 | 81.58 | |
2-4 Family | 389 | 113,414,559 | 12.58 | 8.492 | 640 | 81.79 | |
Condo | 296 | 53,233,318 | 5.90 | 8.711 | 631 | 82.75 | |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
Rate Adjustment* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Month & Year of Next | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Rate Adjustment | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
September 2007 | 1 | 383,973 | 0.05 | 6.990 | 741 | 80.00 |
February 2008 | 3 | 773,360 | 0.10 | 8.963 | 643 | 81.39 |
March 2008 | 33 | 7,047,991 | 0.94 | 8.605 | 628 | 75.55 |
April 2008 | 214 | 55,140,502 | 7.34 | 8.596 | 614 | 80.59 |
May 2008 | 129 | 34,423,629 | 4.58 | 8.204 | 630 | 82.35 |
June 2008 | 1,595 | 430,011,215 | 57.27 | 8.325 | 624 | 80.88 |
July 2008 | 857 | 211,011,574 | 28.10 | 8.464 | 622 | 80.51 |
April 2009 | 4 | 429,189 | 0.06 | 9.898 | 634 | 79.86 |
May 2009 | 2 | 556,653 | 0.07 | 7.919 | 655 | 80.00 |
June 2009 | 24 | 7,461,721 | 0.99 | 8.207 | 622 | 79.66 |
July 2009 | 8 | 1,985,249 | 0.26 | 7.645 | 656 | 76.85 |
March 2011 | 1 | 59,276 | 0.01 | 9.500 | 586 | 39.47 |
April 2011 | 1 | 214,608 | 0.03 | 7.850 | 596 | 82.69 |
May 2011 | 2 | 528,927 | 0.07 | 9.939 | 621 | 69.79 |
June 2011 | 4 | 508,592 | 0.07 | 7.971 | 668 | 73.78 |
July 2011 | 1 | 318,633 | 0.04 | 8.650 | 644 | 80.00 |
Total: | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
*ARM Loans Only
DESCRIPTION OF THE TOTAL COLLATERAL |
Gross Margin* | |||||||
% of Aggregate | W.A. | W.A. | |||||
Gross | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Margin (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
2.500 - 2.999 | 1 | 103,296 | 0.01 | 9.550 | 623 | 90.00 | |
3.000 - 3.499 | 3 | 570,864 | 0.08 | 7.847 | 599 | 66.63 | |
3.500 - 3.999 | 12 | 4,528,062 | 0.60 | 6.115 | 662 | 80.11 | |
4.000 - 4.499 | 47 | 17,805,364 | 2.37 | 6.517 | 659 | 80.11 | |
4.500 - 4.999 | 165 | 50,733,083 | 6.76 | 7.000 | 653 | 79.75 | |
5.000 - 5.499 | 386 | 115,504,691 | 15.38 | 7.493 | 639 | 81.07 | |
5.500 - 5.999 | 532 | 151,408,449 | 20.16 | 8.025 | 635 | 80.69 | |
6.000 - 6.499 | 586 | 162,046,349 | 21.58 | 8.481 | 624 | 81.09 | |
6.500 - 6.999 | 1,147 | 248,154,933 | 33.05 | 9.400 | 598 | 80.66 | |
Total: | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
*ARM Loans Only
DESCRIPTION OF THE TOTAL COLLATERAL |
Maximum Mortgage Rate* | |||||||
% of Aggregate | W.A. | W.A. | |||||
Maximum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
11.500 - 11.999 | 4 | 1,210,289 | 0.16 | 5.849 | 646 | 75.72 | |
12.000 - 12.499 | 26 | 9,348,073 | 1.24 | 6.280 | 664 | 79.78 | |
12.500 - 12.999 | 118 | 39,092,739 | 5.21 | 6.781 | 666 | 79.72 | |
13.000 - 13.499 | 245 | 75,573,597 | 10.07 | 7.271 | 641 | 80.79 | |
13.500 - 13.999 | 552 | 161,172,382 | 21.47 | 7.755 | 637 | 81.28 | |
14.000 - 14.499 | 475 | 131,247,204 | 17.48 | 8.262 | 633 | 80.79 | |
14.500 - 14.999 | 641 | 166,193,043 | 22.13 | 8.741 | 616 | 81.27 | |
15.000 - 15.499 | 334 | 76,980,933 | 10.25 | 9.226 | 614 | 82.70 | |
15.500 - 15.999 | 259 | 51,994,585 | 6.92 | 9.715 | 584 | 81.04 | |
16.000 - 16.499 | 90 | 16,117,760 | 2.15 | 10.224 | 558 | 77.27 | |
16.500 - 16.999 | 79 | 11,700,173 | 1.56 | 10.670 | 542 | 74.24 | |
17.000 - 17.499 | 20 | 3,235,837 | 0.43 | 11.188 | 541 | 72.22 | |
17.500 - 17.999 | 24 | 4,667,070 | 0.62 | 11.719 | 530 | 63.23 | |
18.000 - 18.499 | 8 | 1,537,898 | 0.20 | 12.223 | 528 | 56.50 | |
18.500 - 18.999 | 4 | 783,509 | 0.10 | 12.603 | 535 | 53.34 | |
Total: | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
*ARM Loans Only
DESCRIPTION OF THE TOTAL COLLATERAL |
Minimum Mortgage Rate* | |||||||
% of Aggregate | W.A. | W.A. | |||||
Minimum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
5.500 - 5.999 | 4 | 1,210,289 | 0.16 | 5.849 | 646 | 75.72 | |
6.000 - 6.499 | 26 | 9,348,073 | 1.24 | 6.280 | 664 | 79.78 | |
6.500 - 6.999 | 118 | 39,092,739 | 5.21 | 6.781 | 666 | 79.72 | |
7.000 - 7.499 | 245 | 75,573,597 | 10.07 | 7.271 | 641 | 80.79 | |
7.500 - 7.999 | 552 | 161,172,382 | 21.47 | 7.755 | 637 | 81.28 | |
8.000 - 8.499 | 475 | 131,247,204 | 17.48 | 8.262 | 633 | 80.79 | |
8.500 - 8.999 | 641 | 166,193,043 | 22.13 | 8.741 | 616 | 81.27 | |
9.000 - 9.499 | 334 | 76,980,933 | 10.25 | 9.226 | 614 | 82.70 | |
9.500 - 9.999 | 259 | 51,994,585 | 6.92 | 9.715 | 584 | 81.04 | |
10.000 - 10.499 | 90 | 16,117,760 | 2.15 | 10.224 | 558 | 77.27 | |
10.500 - 10.999 | 79 | 11,700,173 | 1.56 | 10.670 | 542 | 74.24 | |
11.000 - 11.499 | 20 | 3,235,837 | 0.43 | 11.188 | 541 | 72.22 | |
11.500 - 11.999 | 24 | 4,667,070 | 0.62 | 11.719 | 530 | 63.23 | |
12.000 - 12.499 | 8 | 1,537,898 | 0.20 | 12.223 | 528 | 56.50 | |
12.500 - 12.999 | 4 | 783,509 | 0.10 | 12.603 | 535 | 53.34 | |
Total: | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
*ARM Loans Only
Initial Periodic Rate Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Initial | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
2.000 | 495 | 130,220,340 | 17.34 | 8.439 | 625 | 80.65 |
3.000 | 2,384 | 620,634,751 | 82.66 | 8.367 | 623 | 80.75 |
Total: | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
*ARM Loans Only
DESCRIPTION OF THE TOTAL COLLATERAL |
Subsequent Periodic Rate Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Subsequent | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.500 | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
Total: | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
*ARM Loans Only
Lifetime Periodic Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Lifetime | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
6.000 - 6.499 | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
Total: | 2,879 | 750,855,091 | 100.00 | 8.379 | 623 | 80.73 |
*ARM Loans Only
Original Prepayment Charge Term | ||||||
% of Aggregate | W.A. | W.A. | ||||
Prepayment Penalty | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (mos.) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 1,584 | 339,781,847 | 37.69 | 8.699 | 629 | 81.95 |
12 | 229 | 64,485,068 | 7.15 | 8.658 | 637 | 81.48 |
24 | 1,797 | 385,352,307 | 42.74 | 8.436 | 622 | 81.54 |
36 | 537 | 112,007,333 | 12.42 | 7.926 | 635 | 81.39 |
Total: | 4,147 | 901,626,555 | 100.00 | 8.488 | 627 | 81.67 |
DESCRIPTION OF THE GROUP I COLLATERAL |
SUMMARY - GROUP 1 POOL* | |||||||
Number of Mortgage Loans: | 2,408 | Index Type: | |||||
Aggregate Principal Balance: | $423,662,272 | 6 Month LIBOR: | 82.40% | ||||
Conforming Principal Balance Loans: | $423,662,272 | Fixed Rate: | 17.60% | ||||
Average Principal Balance: | $175,939 | W.A. Initial Periodic Cap**: | 2.817% | ||||
Range: | $14,879 - $616,617 | W.A. Subsequent Periodic Cap**: | 1.500% | ||||
W.A. Coupon: | 8.557% | W.A. Lifetime Rate Cap**: | 6.000% | ||||
Range: | 5.550% - 13.280% | Property Type: | |||||
W.A. Gross Margin**: | 6.132% | Single Family: | 82.15% | ||||
Range: | 2.990% - 6.990% | 2-4 Family: | 12.27% | ||||
W.A. Remaining Term: | 355 months | Condo: | 5.58% | ||||
Range: | 116 months - 357 months | ||||||
W.A. Seasoning: | 4 months | Occupancy Status: | |||||
Latest Maturity Date: | July 1, 2036 | Primary: | 89.56% | ||||
State Concentration (Top 5): | Investment: | 9.16% | |||||
Florida: | 15.75% | Second Home: | 1.28% | ||||
California: | 14.99% | Documentation Status: | |||||
Maryland: | 9.47% | Full: | 60.95% | ||||
New York: | 8.78% | Stated: | 38.38% | ||||
New Jersey: | 7.58% | Easy: | 0.66% | ||||
W.A. Original Combined LTV: | 79.82% | ||||||
Range: | 8.13% - 100.00% | Non-Zero W.A. Prepayment Penalty Term: | 26 months | ||||
First Liens: | 96.05% | Loans with Prepay Penalties: | 58.27% | ||||
Second Liens: | 3.95% | Interest Only Loans: | 8.15% | ||||
Non-Balloon Loans: | 65.08% | Non-Zero Weighted Average IO Term: | 60 months | ||||
W.A. FICO Score: | 611 |
* Subject to a permitted variance of +/- 10%
** For ARM loans only
DESCRIPTION OF THE GROUP I COLLATERAL |
Originator | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Originator | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
FREMONT | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
Principal Balance at Origination | ||||||
% of Aggregate | W.A. | W.A. | ||||
Principal Balance at | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Origination ($) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 307 | 10,133,215 | 2.39 | 11.398 | 632 | 98.59 |
50,000.01 - 100,000.00 | 361 | 27,312,924 | 6.45 | 9.634 | 613 | 83.51 |
100,000.01 - 150,000.00 | 446 | 56,138,148 | 13.25 | 8.854 | 604 | 77.38 |
150,000.01 - 200,000.00 | 443 | 77,253,980 | 18.23 | 8.324 | 610 | 78.15 |
200,000.01 - 250,000.00 | 281 | 62,994,038 | 14.87 | 8.593 | 603 | 78.51 |
250,000.01 - 300,000.00 | 197 | 54,066,677 | 12.76 | 8.346 | 615 | 78.90 |
300,000.01 - 350,000.00 | 185 | 59,786,607 | 14.11 | 8.243 | 614 | 80.48 |
350,000.01 - 400,000.00 | 120 | 45,064,473 | 10.64 | 8.237 | 610 | 79.08 |
400,000.01 - 450,000.00 | 41 | 17,031,411 | 4.02 | 8.037 | 617 | 81.46 |
450,000.01 - 500,000.00 | 13 | 6,093,923 | 1.44 | 8.295 | 634 | 83.41 |
500,000.01 - 550,000.00 | 8 | 4,200,121 | 0.99 | 8.782 | 630 | 81.44 |
550,000.01 - 600,000.00 | 3 | 1,751,023 | 0.41 | 7.339 | 636 | 91.71 |
600,000.01 - 650,000.00 | 3 | 1,835,731 | 0.43 | 6.903 | 674 | 91.58 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
DESCRIPTION OF THE GROUP I COLLATERAL |
Remaining Principal Balance | ||||||
% of Aggregate | W.A. | W.A. | ||||
Remaining Principal | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Balance ($) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0.01 - 50,000.00 | 307 | 10,133,215 | 2.39 | 11.398 | 632 | 98.59 |
50,000.01 - 100,000.00 | 361 | 27,312,924 | 6.45 | 9.634 | 613 | 83.51 |
100,000.01 - 150,000.00 | 448 | 56,438,095 | 13.32 | 8.848 | 604 | 77.40 |
150,000.01 - 200,000.00 | 443 | 77,353,514 | 18.26 | 8.329 | 610 | 78.13 |
200,000.01 - 250,000.00 | 279 | 62,594,558 | 14.77 | 8.592 | 603 | 78.53 |
250,000.01 - 300,000.00 | 197 | 54,066,677 | 12.76 | 8.346 | 615 | 78.90 |
300,000.01 - 350,000.00 | 186 | 60,135,922 | 14.19 | 8.244 | 615 | 80.47 |
350,000.01 - 400,000.00 | 119 | 44,715,158 | 10.55 | 8.236 | 609 | 79.07 |
400,000.01 - 450,000.00 | 42 | 17,476,228 | 4.13 | 8.042 | 620 | 81.58 |
450,000.01 - 500,000.00 | 12 | 5,649,107 | 1.33 | 8.298 | 626 | 83.20 |
500,000.01 - 550,000.00 | 8 | 4,200,121 | 0.99 | 8.782 | 630 | 81.44 |
550,000.01 - 600,000.00 | 3 | 1,751,023 | 0.41 | 7.339 | 636 | 91.71 |
600,000.01 - 650,000.00 | 3 | 1,835,731 | 0.43 | 6.903 | 674 | 91.58 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
Remaining Term | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Months Remaining | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
61 - 120 | 2 | 51,226 | 0.01 | 11.957 | 604 | 100.00 |
121 - 180 | 62 | 1,933,151 | 0.46 | 10.064 | 655 | 91.48 |
181 - 240 | 4 | 302,174 | 0.07 | 8.147 | 600 | 77.19 |
301 - 360 | 2,340 | 421,375,721 | 99.46 | 8.550 | 611 | 79.76 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
DESCRIPTION OF THE GROUP I COLLATERAL |
Product Type | ||||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | W.A. | |||
Initial Mortgage | Remaining | Remaining | Coupon | Non-Zero | Original | |||
Collateral Type | Loans | Principal Balance ($) | Principal Balance | (%) | FICO | CLTV (%) | ||
Fixed - 10 Year | 2 | 51,226 | 0.01 | 11.957 | 604 | 100.00 | ||
Fixed - 15 Year | 62 | 1,933,151 | 0.46 | 10.064 | 655 | 91.48 | ||
Fixed - 20 Year | 4 | 302,174 | 0.07 | 8.147 | 600 | 77.19 | ||
Fixed - 30 Year | 537 | 55,137,499 | 13.01 | 8.794 | 638 | 82.49 | ||
Balloon - 30/40 | 71 | 17,143,010 | 4.05 | 7.672 | 642 | 79.53 | ||
ARM - 2 Year/6 Month | 996 | 180,077,880 | 42.51 | 8.948 | 591 | 77.91 | ||
ARM - 2 Year/6 Month IO | 156 | 33,337,562 | 7.87 | 7.542 | 630 | 80.31 | ||
ARM - 2 Year/6 Month 30/40 Balloon | 544 | 128,679,123 | 30.37 | 8.277 | 618 | 81.18 | ||
ARM - 3 Year/6 Month | 18 | 3,250,032 | 0.77 | 8.802 | 600 | 77.97 | ||
ARM - 3 Year/6 Month IO | 5 | 1,198,500 | 0.28 | 7.473 | 640 | 77.42 | ||
ARM - 3 Year/6 Month 30/40 Balloon | 5 | 1,240,712 | 0.29 | 7.490 | 659 | 83.05 | ||
ARM - 5 Year/6 Month | 3 | 433,083 | 0.10 | 8.300 | 627 | 63.69 | ||
ARM - 5 Year/6 Month 30/40 Balloon | 5 | 878,319 | 0.21 | 9.067 | 637 | 76.21 | ||
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
Interest Only Term | ||||||
% of Aggregate | W.A. | W.A. | ||||
Interest Only | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (months) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 2,247 | 389,126,209 | 91.85 | 8.647 | 610 | 79.78 |
60 | 161 | 34,536,062 | 8.15 | 7.540 | 631 | 80.21 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
DESCRIPTION OF THE GROUP I COLLATERAL |
Mortgage Rate | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
5.500 - 5.999 | 11 | 2,786,467 | 0.66 | 5.929 | 679 | 71.72 |
6.000 - 6.499 | 30 | 7,869,009 | 1.86 | 6.285 | 665 | 73.04 |
6.500 - 6.999 | 100 | 25,391,866 | 5.99 | 6.806 | 652 | 76.83 |
7.000 - 7.499 | 181 | 41,569,188 | 9.81 | 7.249 | 634 | 80.09 |
7.500 - 7.999 | 351 | 76,042,713 | 17.95 | 7.765 | 620 | 79.69 |
8.000 - 8.499 | 291 | 61,250,562 | 14.46 | 8.262 | 620 | 79.93 |
8.500 - 8.999 | 408 | 82,969,509 | 19.58 | 8.752 | 603 | 79.92 |
9.000 - 9.499 | 240 | 43,478,595 | 10.26 | 9.233 | 608 | 81.89 |
9.500 - 9.999 | 253 | 38,221,373 | 9.02 | 9.741 | 580 | 80.39 |
10.000 - 10.499 | 113 | 12,473,623 | 2.94 | 10.239 | 570 | 80.23 |
10.500 - 10.999 | 119 | 11,985,015 | 2.83 | 10.704 | 563 | 78.02 |
11.000 - 11.499 | 94 | 6,419,683 | 1.52 | 11.247 | 593 | 82.45 |
11.500 - 11.999 | 74 | 5,815,816 | 1.37 | 11.797 | 560 | 75.96 |
12.000 - 12.499 | 74 | 3,878,235 | 0.92 | 12.188 | 573 | 82.71 |
12.500 - 12.999 | 65 | 3,332,762 | 0.79 | 12.671 | 588 | 88.53 |
13.000 - 13.499 | 4 | 177,855 | 0.04 | 13.138 | 612 | 98.37 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
Original Combined Loan-to-Value Ratio | ||||||
Original Combined | % of Aggregate | W.A. | W.A. | |||
Loan-to-Value | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Ratio (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Less than or equal to 50.00 | 70 | 11,511,496 | 2.72 | 8.918 | 587 | 42.58 |
50.01 - 55.00 | 32 | 5,758,876 | 1.36 | 8.330 | 600 | 52.83 |
55.01 - 60.00 | 49 | 9,884,913 | 2.33 | 8.610 | 583 | 58.42 |
60.01 - 65.00 | 111 | 22,945,468 | 5.42 | 9.038 | 571 | 63.69 |
65.01 - 70.00 | 92 | 19,936,814 | 4.71 | 8.917 | 576 | 69.01 |
70.01 - 75.00 | 123 | 25,522,211 | 6.02 | 8.632 | 582 | 74.17 |
75.01 - 80.00 | 939 | 185,365,645 | 43.75 | 8.251 | 620 | 79.76 |
80.01 - 85.00 | 186 | 39,183,936 | 9.25 | 8.324 | 607 | 84.55 |
85.01 - 90.00 | 297 | 65,068,583 | 15.36 | 8.492 | 618 | 89.78 |
90.01 - 95.00 | 66 | 13,754,934 | 3.25 | 8.416 | 626 | 94.61 |
95.01 - 100.00 | 443 | 24,729,396 | 5.84 | 10.516 | 650 | 99.94 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
DESCRIPTION OF THE GROUP I COLLATERAL |
FICO Score at Origination | ||||||
% of Aggregate | W.A. | W.A. | ||||
FICO Score | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
At Origination | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
500 - 524 | 134 | 27,024,289 | 6.38 | 9.967 | 512 | 70.63 |
525 - 549 | 181 | 34,473,233 | 8.14 | 9.425 | 536 | 72.84 |
550 - 574 | 231 | 47,022,739 | 11.10 | 8.822 | 561 | 78.24 |
575 - 599 | 391 | 66,420,218 | 15.68 | 8.558 | 587 | 79.88 |
600 - 624 | 494 | 77,635,584 | 18.32 | 8.333 | 612 | 81.58 |
625 - 649 | 435 | 70,994,340 | 16.76 | 8.428 | 637 | 82.22 |
650 - 674 | 268 | 49,578,686 | 11.70 | 8.102 | 662 | 82.08 |
675 - 699 | 135 | 24,842,576 | 5.86 | 7.935 | 687 | 82.43 |
700 - 724 | 75 | 12,396,208 | 2.93 | 7.895 | 711 | 83.29 |
725 - 749 | 48 | 10,013,830 | 2.36 | 8.107 | 737 | 81.60 |
750 - 774 | 12 | 2,486,678 | 0.59 | 7.580 | 760 | 83.48 |
775 - 799 | 3 | 675,644 | 0.16 | 7.263 | 777 | 83.87 |
800 - 824 | 1 | 98,248 | 0.02 | 8.550 | 805 | 80.00 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
DESCRIPTION OF THE GROUP I COLLATERAL |
Geographic Distribution* | ||||||||
Number of | % of Aggregate | W.A. | W.A. | |||||
Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |||
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | ||
Florida | 396 | 66,735,834 | 15.75 | 8.656 | 601 | 78.93 | ||
California | 237 | 63,493,092 | 14.99 | 8.107 | 614 | 76.31 | ||
Maryland | 225 | 40,123,600 | 9.47 | 8.583 | 618 | 80.58 | ||
New York | 130 | 37,212,195 | 8.78 | 8.527 | 612 | 76.63 | ||
New Jersey | 128 | 32,099,864 | 7.58 | 8.897 | 605 | 79.74 | ||
Illinois | 152 | 23,502,799 | 5.55 | 8.828 | 620 | 80.66 | ||
Massachusetts | 74 | 16,079,796 | 3.80 | 8.350 | 622 | 78.98 | ||
Georgia | 123 | 12,985,939 | 3.07 | 8.740 | 622 | 85.03 | ||
Arizona | 76 | 12,462,925 | 2.94 | 8.323 | 607 | 79.59 | ||
Virginia | 66 | 11,442,358 | 2.70 | 8.610 | 596 | 80.53 | ||
Connecticut | 59 | 9,885,993 | 2.33 | 8.700 | 608 | 80.63 | ||
Pennsylvania | 73 | 8,877,527 | 2.10 | 8.755 | 603 | 81.99 | ||
Minnesota | 61 | 8,156,427 | 1.93 | 8.475 | 618 | 84.43 | ||
Colorado | 60 | 8,053,680 | 1.90 | 8.495 | 620 | 83.79 | ||
Washington | 45 | 7,578,107 | 1.79 | 8.137 | 628 | 81.52 | ||
Hawaii | 26 | 7,315,791 | 1.73 | 8.079 | 637 | 85.45 | ||
North Carolina | 54 | 5,454,116 | 1.29 | 9.124 | 606 | 85.27 | ||
Nevada | 37 | 5,368,784 | 1.27 | 8.304 | 615 | 83.04 | ||
Texas | 58 | 5,332,970 | 1.26 | 8.687 | 616 | 81.20 | ||
Wisconsin | 43 | 4,642,773 | 1.10 | 8.759 | 628 | 84.99 | ||
District of Columbia | 20 | 4,312,116 | 1.02 | 8.719 | 605 | 70.77 | ||
Michigan | 44 | 4,099,179 | 0.97 | 8.948 | 585 | 81.04 | ||
Ohio | 36 | 3,466,648 | 0.82 | 8.840 | 597 | 84.62 | ||
Oregon | 17 | 3,393,644 | 0.80 | 8.311 | 624 | 79.62 | ||
Rhode Island | 13 | 2,882,215 | 0.68 | 8.880 | 600 | 79.52 |
*Geographic Distribution continued on the next page
DESCRIPTION OF THE GROUP I COLLATERAL |
Geographic Distribution (Continued) | |||||||
Number of | % of Aggregate | W.A. | W.A. | ||||
Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | ||
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
New Hampshire | 14 | 2,755,314 | 0.65 | 8.804 | 603 | 81.59 | |
Utah | 14 | 2,323,579 | 0.55 | 8.280 | 633 | 83.60 | |
Missouri | 19 | 1,973,014 | 0.47 | 9.065 | 599 | 86.08 | |
Indiana | 20 | 1,729,951 | 0.41 | 9.191 | 611 | 86.92 | |
Idaho | 14 | 1,722,987 | 0.41 | 9.222 | 622 | 79.97 | |
Tennessee | 18 | 1,634,114 | 0.39 | 8.883 | 593 | 87.72 | |
New Mexico | 9 | 1,489,058 | 0.35 | 8.794 | 626 | 87.33 | |
South Carolina | 15 | 1,458,584 | 0.34 | 9.300 | 578 | 83.34 | |
Delaware | 8 | 1,050,088 | 0.25 | 8.329 | 617 | 81.83 | |
West Virginia | 5 | 604,639 | 0.14 | 8.501 | 623 | 83.19 | |
Vermont | 3 | 476,382 | 0.11 | 9.228 | 622 | 82.60 | |
Kentucky | 4 | 400,210 | 0.09 | 9.307 | 567 | 81.06 | |
Kansas | 5 | 358,277 | 0.08 | 9.413 | 587 | 84.19 | |
Oklahoma | 2 | 327,856 | 0.08 | 8.433 | 581 | 85.06 | |
Maine | 1 | 188,043 | 0.04 | 7.850 | 604 | 94.50 | |
Arkansas | 2 | 125,014 | 0.03 | 9.755 | 591 | 92.41 | |
Montana | 2 | 86,791 | 0.02 | 9.834 | 704 | 83.97 | |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
DESCRIPTION OF THE GROUP I COLLATERAL |
Occupancy Status | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Occupancy Status | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Primary | 2,176 | 379,423,007 | 89.56 | 8.527 | 609 | 79.69 |
Investment | 208 | 38,805,678 | 9.16 | 8.878 | 634 | 80.91 |
Second Home | 24 | 5,433,587 | 1.28 | 8.363 | 613 | 80.77 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
Documentation Type | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Program | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Full Documentation | 1,550 | 258,238,992 | 60.95 | 8.229 | 609 | 81.61 |
Stated Documentation | 846 | 162,619,811 | 38.38 | 9.081 | 615 | 76.93 |
Easy Documentation | 12 | 2,803,469 | 0.66 | 8.353 | 594 | 81.87 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
Loan Purpose | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Purpose | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Refinance - Cashout | 1,279 | 273,245,670 | 64.50 | 8.514 | 601 | 77.43 |
Purchase | 1,099 | 143,772,317 | 33.94 | 8.648 | 630 | 84.31 |
Refinance - Rate Term | 30 | 6,644,285 | 1.57 | 8.348 | 629 | 80.84 |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
DESCRIPTION OF THE GROUP I COLLATERAL |
Property Type | |||||||
% of Aggregate | W.A. | W.A. | |||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | ||
Property Type | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Single Family Residence | 2,055 | 348,029,084 | 82.15 | 8.554 | 609 | 79.78 | |
2-4 Family | 199 | 51,996,149 | 12.27 | 8.541 | 621 | 79.09 | |
Condo | 154 | 23,637,039 | 5.58 | 8.640 | 624 | 81.85 | |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
Rate Adjustment* | ||||||
Number of | % of Aggregate | W.A. | W.A. | |||
Month & Year of Next | Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Rate Adjustment | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
February 2008 | 2 | 480,351 | 0.14 | 9.093 | 675 | 82.25 |
March 2008 | 24 | 4,357,786 | 1.25 | 8.691 | 623 | 76.25 |
April 2008 | 132 | 26,821,666 | 7.68 | 8.799 | 595 | 78.50 |
May 2008 | 80 | 15,987,505 | 4.58 | 8.568 | 611 | 83.12 |
June 2008 | 946 | 195,140,808 | 55.90 | 8.450 | 605 | 79.52 |
July 2008 | 512 | 99,306,450 | 28.45 | 8.699 | 605 | 78.85 |
April 2009 | 4 | 429,189 | 0.12 | 9.898 | 634 | 79.86 |
May 2009 | 2 | 556,653 | 0.16 | 7.919 | 655 | 80.00 |
June 2009 | 16 | 3,480,796 | 1.00 | 8.206 | 616 | 81.46 |
July 2009 | 6 | 1,222,606 | 0.35 | 7.883 | 616 | 71.06 |
March 2011 | 1 | 59,276 | 0.02 | 9.500 | 586 | 39.47 |
April 2011 | 1 | 214,608 | 0.06 | 7.850 | 596 | 82.69 |
May 2011 | 2 | 528,927 | 0.15 | 9.939 | 621 | 69.79 |
June 2011 | 4 | 508,592 | 0.15 | 7.971 | 668 | 73.78 |
Total: | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
*ARM Loans Only
DESCRIPTION OF THE GROUP I COLLATERAL |
Gross Margin* | ||||||||
% of Aggregate | W.A. | W.A. | ||||||
Gross | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | ||
Margin (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | ||
2.500 - 2.999 | 1 | 103,296 | 0.03 | 9.550 | 623 | 90.00 | ||
3.000 - 3.499 | 2 | 355,931 | 0.10 | 6.336 | 653 | 58.55 | ||
3.500 - 3.999 | 6 | 1,674,665 | 0.48 | 6.137 | 667 | 78.84 | ||
4.000 - 4.499 | 22 | 5,733,596 | 1.64 | 6.519 | 640 | 79.19 | ||
4.500 - 4.999 | 96 | 23,763,887 | 6.81 | 7.007 | 642 | 78.72 | ||
5.000 - 5.499 | 217 | 47,858,353 | 13.71 | 7.505 | 624 | 80.49 | ||
5.500 - 5.999 | 292 | 62,325,396 | 17.85 | 8.112 | 614 | 78.86 | ||
6.000 - 6.499 | 314 | 65,976,030 | 18.90 | 8.511 | 610 | 80.26 | ||
6.500 - 6.999 | 782 | 141,304,058 | 40.48 | 9.502 | 585 | 78.90 | ||
Total: | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
*ARM Loans Only
DESCRIPTION OF THE GROUP I COLLATERAL |
Maximum Mortgage Rate* | |||||||
% of Aggregate | W.A. | W.A. | |||||
Maximum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
11.500 - 11.999 | 3 | 694,603 | 0.20 | 5.745 | 630 | 69.01 | |
12.000 - 12.499 | 11 | 3,041,890 | 0.87 | 6.296 | 664 | 77.25 | |
12.500 - 12.999 | 67 | 17,160,877 | 4.92 | 6.803 | 647 | 78.98 | |
13.000 - 13.499 | 142 | 32,184,733 | 9.22 | 7.259 | 629 | 80.33 | |
13.500 - 13.999 | 293 | 63,789,603 | 18.27 | 7.761 | 617 | 80.19 | |
14.000 - 14.499 | 249 | 52,173,368 | 14.95 | 8.265 | 616 | 79.58 | |
14.500 - 14.999 | 384 | 78,883,098 | 22.60 | 8.754 | 603 | 80.13 | |
15.000 - 15.499 | 222 | 40,403,354 | 11.57 | 9.240 | 606 | 81.79 | |
15.500 - 15.999 | 189 | 33,257,765 | 9.53 | 9.728 | 574 | 79.39 | |
16.000 - 16.499 | 65 | 9,674,002 | 2.77 | 10.251 | 552 | 76.27 | |
16.500 - 16.999 | 58 | 8,762,031 | 2.51 | 10.670 | 534 | 72.38 | |
17.000 - 17.499 | 15 | 2,639,605 | 0.76 | 11.189 | 542 | 69.68 | |
17.500 - 17.999 | 22 | 4,108,874 | 1.18 | 11.726 | 533 | 62.47 | |
18.000 - 18.499 | 8 | 1,537,898 | 0.44 | 12.223 | 528 | 56.50 | |
18.500 - 18.999 | 4 | 783,509 | 0.22 | 12.603 | 535 | 53.34 | |
Total: | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
*ARM Loans Only
DESCRIPTION OF THE GROUP I COLLATERAL |
Minimum Mortgage Rate* | |||||||
% of Aggregate | W.A. | W.A. | |||||
Minimum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
5.500 - 5.999 | 3 | 694,603 | 0.20 | 5.745 | 630 | 69.01 | |
6.000 - 6.499 | 11 | 3,041,890 | 0.87 | 6.296 | 664 | 77.25 | |
6.500 - 6.999 | 67 | 17,160,877 | 4.92 | 6.803 | 647 | 78.98 | |
7.000 - 7.499 | 142 | 32,184,733 | 9.22 | 7.259 | 629 | 80.33 | |
7.500 - 7.999 | 293 | 63,789,603 | 18.27 | 7.761 | 617 | 80.19 | |
8.000 - 8.499 | 249 | 52,173,368 | 14.95 | 8.265 | 616 | 79.58 | |
8.500 - 8.999 | 384 | 78,883,098 | 22.60 | 8.754 | 603 | 80.13 | |
9.000 - 9.499 | 222 | 40,403,354 | 11.57 | 9.240 | 606 | 81.79 | |
9.500 - 9.999 | 189 | 33,257,765 | 9.53 | 9.728 | 574 | 79.39 | |
10.000 - 10.499 | 65 | 9,674,002 | 2.77 | 10.251 | 552 | 76.27 | |
10.500 - 10.999 | 58 | 8,762,031 | 2.51 | 10.670 | 534 | 72.38 | |
11.000 - 11.499 | 15 | 2,639,605 | 0.76 | 11.189 | 542 | 69.68 | |
11.500 - 11.999 | 22 | 4,108,874 | 1.18 | 11.726 | 533 | 62.47 | |
12.000 - 12.499 | 8 | 1,537,898 | 0.44 | 12.223 | 528 | 56.50 | |
12.500 - 12.999 | 4 | 783,509 | 0.22 | 12.603 | 535 | 53.34 | |
Total: | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
*ARM Loans Only
Initial Periodic Rate Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Initial | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
2.000 | 312 | 64,030,865 | 18.34 | 8.694 | 606 | 79.43 |
3.000 | 1,420 | 285,064,347 | 81.66 | 8.523 | 605 | 79.32 |
Total: | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
*ARM Loans Only
DESCRIPTION OF THE GROUP I COLLATERAL |
Subsequent Periodic Rate Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Subsequent | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.500 | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
Total: | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
*ARM Loans Only
Lifetime Periodic Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Lifetime | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
6.000 - 6.499 | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
Total: | 1,732 | 349,095,212 | 100.00 | 8.555 | 605 | 79.34 |
*ARM Loans Only
Original Prepayment Charge Term | |||||||
% of Aggregate | W.A. | W.A. | |||||
Prepayment Penalty | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Term (mos.) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
0 | 1,018 | 176,806,980 | 41.73 | 8.771 | 614 | 80.50 | |
12 | 95 | 21,153,563 | 4.99 | 8.667 | 611 | 74.33 | |
24 | 969 | 169,291,863 | 39.96 | 8.543 | 603 | 79.85 | |
36 | 326 | 56,409,866 | 13.31 | 7.885 | 629 | 79.61 | |
Total: | 2,408 | 423,662,272 | 100.00 | 8.557 | 611 | 79.82 |
DESCRIPTION OF THE GROUP II COLLATERAL |
SUMMARY - GROUP 2 POOL* |
Number of Mortgage Loans: | 1,739 | Index Type: | |||||
Aggregate Principal Balance: | $477,964,284 | 6 Month LIBOR: | 84.06% | ||||
Conforming Principal Balance Loans: | $237,677,279 | Fixed Rate: | 15.94% | ||||
Average Principal Balance: | $274,850 | W.A. Initial Periodic Cap**: | 2.835% | ||||
Range: | $14,320 - $1,038,631 | W.A. Subsequent Periodic Cap**: | 1.500% | ||||
W.A. Coupon: | 8.426% | W.A. Lifetime Rate Cap**: | 6.000% | ||||
Range: | 5.990% - 13.700% | Property Type: | |||||
W.A. Gross Margin**: | 5.963% | Single Family: | 80.96% | ||||
Range: | 3.000% - 6.990% | 2-4 Family: | 12.85% | ||||
W.A. Remaining Term: | 356 months | Condo: | 6.19% | ||||
Range: | 55 months - 357 months | ||||||
W.A. Seasoning: | 4 months | Occupancy Status: | |||||
Latest Maturity Date: | July 1, 2036 | Primary: | 97.87% | ||||
State Concentration (Top 5): | Investment: | 1.83% | |||||
California: | 37.26% | Second Home: | 0.30% | ||||
Florida: | 15.23% | Documentation Status: | |||||
New York: | 13.16% | Full: | 47.55% | ||||
New Jersey: | 5.87% | Stated: | 51.57% | ||||
Maryland: | 5.09% | Easy: | 0.88% | ||||
W.A. Original Combined LTV: | 83.32% | ||||||
Range: | 30.00% - 100.00% | Non-Zero W.A. Prepayment Penalty Term: | 24 months | ||||
First Liens: | 91.14% | Loans with Prepay Penalties: | 65.90% | ||||
Second Liens: | 8.86% | Interest Only Loans: | 17.30% | ||||
Non-Balloon Loans: | 59.61% | Non-Zero Weighted Average IO Term: | 60 months | ||||
W.A. FICO Score: | 641 |
* Subject to a permitted variance of +/- 10%
** For ARM loans only
DESCRIPTION OF THE GROUP II COLLATERAL |
Originator | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Originator | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
FREMONT | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
Principal Balance at Origination | |||||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | |||||
Principal Balance at | Initial Mortgage | Remaining | Remaining | W.A. | Non-Zero | Original | |||
Origination ($) | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |||
0.01 - 50,000.00 | 115 | 3,992,051 | 0.84 | 11.534 | 640 | 99.29 | |||
50,000.01 - 100,000.00 | 320 | 24,281,697 | 5.08 | 10.803 | 640 | 94.78 | |||
100,000.01 - 150,000.00 | 229 | 28,164,857 | 5.89 | 10.144 | 644 | 90.42 | |||
150,000.01 - 200,000.00 | 150 | 26,156,276 | 5.47 | 8.959 | 633 | 83.56 | |||
200,000.01 - 250,000.00 | 128 | 28,876,876 | 6.04 | 8.332 | 635 | 81.14 | |||
250,000.01 - 300,000.00 | 118 | 32,482,897 | 6.80 | 8.135 | 643 | 81.36 | |||
300,000.01 - 350,000.00 | 116 | 37,476,190 | 7.84 | 8.138 | 652 | 81.46 | |||
350,000.01 - 400,000.00 | 82 | 30,764,015 | 6.44 | 8.104 | 650 | 81.51 | |||
400,000.01 - 450,000.00 | 110 | 47,216,148 | 9.88 | 8.091 | 636 | 81.27 | |||
450,000.01 - 500,000.00 | 93 | 44,364,220 | 9.28 | 8.115 | 642 | 81.85 | |||
500,000.01 - 550,000.00 | 74 | 38,704,217 | 8.10 | 8.000 | 640 | 81.99 | |||
550,000.01 - 600,000.00 | 77 | 44,275,754 | 9.26 | 8.061 | 644 | 82.63 | |||
600,000.01 - 650,000.00 | 38 | 23,674,552 | 4.95 | 7.987 | 642 | 84.47 | |||
650,000.01 - 700,000.00 | 29 | 19,489,589 | 4.08 | 8.239 | 629 | 86.75 | |||
700,000.01 - 750,000.00 | 25 | 18,067,533 | 3.78 | 8.381 | 637 | 79.55 | |||
750,000.01 - 800,000.00 | 18 | 14,104,241 | 2.95 | 8.281 | 636 | 81.99 | |||
800,000.01 - 850,000.00 | 3 | 2,514,871 | 0.53 | 7.273 | 695 | 83.34 | |||
850,000.01 - 900,000.00 | 3 | 2,640,419 | 0.55 | 6.501 | 701 | 71.88 | |||
900,000.01 - 950,000.00 | 2 | 1,843,760 | 0.39 | 7.150 | 626 | 78.95 | |||
950,000.01 - 1,000,000.00 | 8 | 7,835,490 | 1.64 | 7.274 | 636 | 81.06 | |||
Greater than or equal to 1,000,000.01 | 1 | 1,038,631 | 0.22 | 7.550 | 697 | 80.00 | |||
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Remaining Principal Balance | |||||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | |||||
Remaining Principal | Initial | Remaining | Remaining | W.A. | Non-Zero | Original | |||
Balance ($) | Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |||
0.01 - 50,000.00 | 116 | 4,042,002 | 0.85 | 11.540 | 640 | 99.30 | |||
50,000.01 - 100,000.00 | 319 | 24,231,746 | 5.07 | 10.800 | 640 | 94.77 | |||
100,000.01 - 150,000.00 | 230 | 28,314,807 | 5.92 | 10.136 | 644 | 90.42 | |||
150,000.01 - 200,000.00 | 150 | 26,205,864 | 5.48 | 8.956 | 632 | 83.49 | |||
200,000.01 - 250,000.00 | 128 | 28,927,244 | 6.05 | 8.333 | 634 | 81.23 | |||
250,000.01 - 300,000.00 | 117 | 32,232,990 | 6.74 | 8.132 | 643 | 81.30 | |||
300,000.01 - 350,000.00 | 116 | 37,476,190 | 7.84 | 8.138 | 652 | 81.46 | |||
350,000.01 - 400,000.00 | 82 | 30,764,015 | 6.44 | 8.104 | 650 | 81.51 | |||
400,000.01 - 450,000.00 | 110 | 47,216,148 | 9.88 | 8.091 | 636 | 81.27 | |||
450,000.01 - 500,000.00 | 94 | 44,863,932 | 9.39 | 8.100 | 643 | 81.74 | |||
500,000.01 - 550,000.00 | 74 | 38,753,505 | 8.11 | 7.987 | 640 | 81.88 | |||
550,000.01 - 600,000.00 | 76 | 43,726,755 | 9.15 | 8.087 | 643 | 82.85 | |||
600,000.01 - 650,000.00 | 38 | 23,674,552 | 4.95 | 7.987 | 642 | 84.47 | |||
650,000.01 - 700,000.00 | 29 | 19,489,589 | 4.08 | 8.239 | 629 | 86.75 | |||
700,000.01 - 750,000.00 | 25 | 18,067,533 | 3.78 | 8.381 | 637 | 79.55 | |||
750,000.01 - 800,000.00 | 18 | 14,104,241 | 2.95 | 8.281 | 636 | 81.99 | |||
800,000.01 - 850,000.00 | 3 | 2,514,871 | 0.53 | 7.273 | 695 | 83.34 | |||
850,000.01 - 900,000.00 | 3 | 2,640,419 | 0.55 | 6.501 | 701 | 71.88 | |||
900,000.01 - 950,000.00 | 2 | 1,843,760 | 0.39 | 7.150 | 626 | 78.95 | |||
950,000.01 - 1,000,000.00 | 8 | 7,835,490 | 1.64 | 7.274 | 636 | 81.06 | |||
Greater than or equal to 1,000,000.01 | 1 | 1,038,631 | 0.22 | 7.550 | 697 | 80.00 | |||
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
Remaining Term | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Months Remaining | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1 - 60 | 4 | 85,368 | 0.02 | 12.645 | 662 | 95.00 |
61 - 120 | 3 | 89,293 | 0.02 | 11.822 | 644 | 98.67 |
121 - 180 | 17 | 338,344 | 0.07 | 12.177 | 630 | 97.73 |
181 - 240 | 1 | 124,412 | 0.03 | 10.980 | 670 | 100.00 |
301 - 360 | 1,714 | 477,326,866 | 99.87 | 8.421 | 641 | 83.30 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Product Type | |||||||
Number of | Aggregate | % of Aggregate | W.A. | W.A. | W.A. | ||
Initial Mortgage | Remaining | Remaining | Coupon | Non-Zero | Original | ||
Collateral Type | Loans | Principal Balance ($) | Principal Balance | (%) | FICO | CLTV (%) | |
Fixed - 5 Year | 4 | 85,368 | 0.02 | 12.645 | 662 | 95.00 | |
Fixed - 10 Year | 3 | 89,293 | 0.02 | 11.822 | 644 | 98.67 | |
Fixed - 15 Year | 17 | 338,344 | 0.07 | 12.177 | 630 | 97.73 | |
Fixed - 20 Year | 1 | 124,412 | 0.03 | 10.980 | 670 | 100.00 | |
Fixed - 30 Year | 537 | 60,238,852 | 12.60 | 9.979 | 657 | 93.13 | |
Balloon - 30/40 | 30 | 15,328,134 | 3.21 | 7.388 | 664 | 80.23 | |
ARM - 2 Year/6 Month | 493 | 140,038,016 | 29.30 | 8.536 | 621 | 81.15 | |
ARM - 2 Year/6 Month IO | 198 | 81,124,228 | 16.97 | 7.704 | 654 | 81.57 | |
ARM - 2 Year/6 Month 30/40 Balloon | 445 | 175,535,434 | 36.73 | 8.226 | 644 | 82.82 | |
ARM - 3 Year/6 Month | 3 | 1,012,039 | 0.21 | 9.540 | 561 | 68.74 | |
ARM - 3 Year/6 Month IO | 3 | 1,548,120 | 0.32 | 7.070 | 669 | 83.02 | |
ARM - 3 Year/6 Month 30/40 Balloon | 4 | 2,183,409 | 0.46 | 8.069 | 663 | 81.73 | |
ARM - 5 Year/6 Month | 1 | 318,633 | 0.07 | 8.650 | 644 | 80.00 | |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
Interest Only Term | ||||||
% of Aggregate | W.A. | W.A. | ||||
Interest Only | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Term (months) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
0 | 1,538 | 395,291,935 | 82.70 | 8.580 | 639 | 83.68 |
60 | 201 | 82,672,348 | 17.30 | 7.693 | 654 | 81.59 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Mortgage Rate | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
5.500 - 5.999 | 4 | 2,183,092 | 0.46 | 5.990 | 692 | 72.83 |
6.000 - 6.499 | 23 | 10,484,558 | 2.19 | 6.273 | 670 | 76.13 |
6.500 - 6.999 | 68 | 30,430,334 | 6.37 | 6.756 | 682 | 80.17 |
7.000 - 7.499 | 118 | 50,360,840 | 10.54 | 7.270 | 648 | 80.98 |
7.500 - 7.999 | 274 | 105,108,800 | 21.99 | 7.747 | 651 | 82.11 |
8.000 - 8.499 | 229 | 79,646,383 | 16.66 | 8.259 | 644 | 81.60 |
8.500 - 8.999 | 265 | 90,227,313 | 18.88 | 8.727 | 626 | 82.34 |
9.000 - 9.499 | 114 | 36,793,954 | 7.70 | 9.211 | 622 | 83.77 |
9.500 - 9.999 | 132 | 24,543,961 | 5.14 | 9.722 | 618 | 87.27 |
10.000 - 10.499 | 63 | 9,932,571 | 2.08 | 10.187 | 598 | 85.23 |
10.500 - 10.999 | 152 | 14,846,524 | 3.11 | 10.800 | 655 | 95.21 |
11.000 - 11.499 | 111 | 9,508,596 | 1.99 | 11.234 | 655 | 98.80 |
11.500 - 11.999 | 57 | 4,361,840 | 0.91 | 11.767 | 606 | 95.30 |
12.000 - 12.499 | 39 | 3,025,740 | 0.63 | 12.212 | 612 | 99.91 |
12.500 - 12.999 | 79 | 5,837,098 | 1.22 | 12.727 | 622 | 99.63 |
13.000 - 13.499 | 6 | 388,925 | 0.08 | 13.210 | 627 | 99.02 |
13.500 - 13.999 | 5 | 283,754 | 0.06 | 13.595 | 592 | 99.53 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
Original Combined Loan-to-Value Ratio | ||||||
Original Combined | % of Aggregate | W.A. | W.A. | |||
Loan-to-Value | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Ratio (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Less than or equal to 50.00 | 7 | 1,403,033 | 0.29 | 9.417 | 578 | 46.91 |
50.01 - 55.00 | 6 | 1,414,439 | 0.30 | 7.957 | 616 | 52.57 |
55.01 - 60.00 | 10 | 4,074,667 | 0.85 | 8.531 | 585 | 57.66 |
60.01 - 65.00 | 14 | 4,483,128 | 0.94 | 7.531 | 621 | 63.72 |
65.01 - 70.00 | 12 | 3,285,208 | 0.69 | 9.333 | 549 | 68.71 |
70.01 - 75.00 | 25 | 10,541,619 | 2.21 | 7.998 | 610 | 73.58 |
75.01 - 80.00 | 881 | 296,036,338 | 61.94 | 8.067 | 650 | 79.97 |
80.01 - 85.00 | 67 | 28,501,849 | 5.96 | 8.010 | 610 | 84.62 |
85.01 - 90.00 | 156 | 66,567,526 | 13.93 | 8.398 | 624 | 89.83 |
90.01 - 95.00 | 57 | 13,351,495 | 2.79 | 8.731 | 637 | 94.81 |
95.01 - 100.00 | 504 | 48,304,982 | 10.11 | 10.919 | 655 | 99.98 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
DESCRIPTION OF THE GROUP II COLLATERAL |
FICO Score at Origination | ||||||
% of Aggregate | W.A. | W.A. | ||||
FICO Score | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
At Origination | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
500 - 524 | 26 | 7,503,767 | 1.57 | 9.710 | 513 | 72.42 |
525 - 549 | 47 | 15,347,115 | 3.21 | 9.146 | 536 | 77.87 |
550 - 574 | 50 | 19,657,950 | 4.11 | 8.801 | 563 | 83.71 |
575 - 599 | 170 | 45,273,883 | 9.47 | 8.575 | 588 | 83.26 |
600 - 624 | 329 | 80,035,922 | 16.75 | 8.474 | 612 | 84.19 |
625 - 649 | 414 | 108,664,915 | 22.73 | 8.581 | 637 | 84.10 |
650 - 674 | 290 | 83,634,900 | 17.50 | 8.260 | 661 | 83.41 |
675 - 699 | 222 | 58,444,191 | 12.23 | 8.230 | 687 | 84.12 |
700 - 724 | 115 | 32,260,304 | 6.75 | 8.194 | 711 | 83.77 |
725 - 749 | 48 | 17,049,913 | 3.57 | 7.483 | 736 | 80.90 |
750 - 774 | 23 | 7,365,142 | 1.54 | 7.679 | 760 | 81.18 |
775 - 799 | 3 | 1,790,004 | 0.37 | 7.415 | 780 | 80.00 |
800 - 824 | 2 | 936,279 | 0.20 | 9.292 | 806 | 83.99 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Geographic Distribution* | ||||||||
Number of | % of Aggregate | W.A. | W.A. | |||||
Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |||
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | ||
California | 516 | 178,080,841 | 37.26 | 8.187 | 648 | 83.08 | ||
Florida | 355 | 72,798,188 | 15.23 | 8.696 | 627 | 82.64 | ||
New York | 207 | 62,909,274 | 13.16 | 8.482 | 656 | 83.97 | ||
New Jersey | 91 | 28,064,621 | 5.87 | 8.543 | 640 | 84.45 | ||
Maryland | 86 | 24,312,752 | 5.09 | 8.445 | 653 | 82.83 | ||
Virginia | 50 | 15,832,480 | 3.31 | 8.567 | 627 | 82.83 | ||
Illinois | 33 | 9,708,022 | 2.03 | 9.022 | 629 | 81.67 | ||
Georgia | 46 | 8,885,136 | 1.86 | 8.636 | 628 | 87.52 | ||
Massachusetts | 31 | 8,826,529 | 1.85 | 8.369 | 636 | 84.68 | ||
Texas | 61 | 8,474,983 | 1.77 | 8.838 | 639 | 82.75 | ||
Connecticut | 25 | 8,061,416 | 1.69 | 8.430 | 639 | 82.71 | ||
Nevada | 29 | 6,669,646 | 1.40 | 8.740 | 608 | 84.12 | ||
Hawaii | 12 | 6,261,498 | 1.31 | 7.929 | 618 | 82.76 | ||
Washington | 21 | 4,425,775 | 0.93 | 8.571 | 605 | 82.62 | ||
Minnesota | 14 | 3,763,451 | 0.79 | 8.058 | 622 | 83.82 | ||
Colorado | 12 | 3,586,297 | 0.75 | 8.361 | 679 | 83.95 | ||
Michigan | 24 | 3,034,323 | 0.63 | 8.629 | 637 | 82.21 | ||
Ohio | 16 | 2,247,099 | 0.47 | 9.063 | 617 | 90.34 | ||
North Carolina | 9 | 2,153,946 | 0.45 | 8.068 | 627 | 77.08 | ||
Arizona | 12 | 2,107,601 | 0.44 | 8.419 | 647 | 82.64 | ||
District of Columbia | 7 | 2,096,727 | 0.44 | 7.798 | 674 | 86.28 | ||
Pennsylvania | 17 | 2,089,597 | 0.44 | 9.086 | 642 | 85.37 | ||
New Mexico | 6 | 2,008,492 | 0.42 | 8.666 | 619 | 80.68 | ||
Oregon | 6 | 1,940,853 | 0.41 | 7.923 | 604 | 83.78 | ||
Missouri | 9 | 1,330,256 | 0.28 | 8.492 | 676 | 80.45 |
*Geographic Distribution continued on the next page
DESCRIPTION OF THE GROUP II COLLATERAL |
Geographic Distribution (Continued) | ||||||||
Number of | % of Aggregate | W.A. | W.A. | |||||
Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |||
Location | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | ||
Wisconsin | 7 | 1,308,924 | 0.27 | 8.934 | 621 | 86.36 | ||
Rhode Island | 3 | 1,106,781 | 0.23 | 8.906 | 643 | 90.23 | ||
Tennessee | 8 | 1,030,750 | 0.22 | 8.928 | 619 | 81.03 | ||
South Carolina | 4 | 995,297 | 0.21 | 9.520 | 630 | 78.12 | ||
Delaware | 3 | 915,875 | 0.19 | 8.969 | 630 | 90.73 | ||
Utah | 4 | 677,153 | 0.14 | 8.420 | 635 | 81.21 | ||
West Virginia | 4 | 493,769 | 0.10 | 8.967 | 672 | 84.00 | ||
Montana | 1 | 453,878 | 0.09 | 7.990 | 690 | 89.98 | ||
Oklahoma | 1 | 383,069 | 0.08 | 8.550 | 674 | 80.00 | ||
New Hampshire | 1 | 264,695 | 0.06 | 10.000 | 567 | 95.00 | ||
Wyoming | 2 | 206,308 | 0.04 | 8.312 | 606 | 84.01 | ||
Indiana | 3 | 196,894 | 0.04 | 8.984 | 637 | 86.34 | ||
Maine | 1 | 116,606 | 0.02 | 7.800 | 582 | 75.00 | ||
Iowa | 1 | 74,259 | 0.02 | 7.750 | 569 | 60.00 | ||
Arkansas | 1 | 70,222 | 0.01 | 10.900 | 594 | 95.00 | ||
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Occupancy Status | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Occupancy Status | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Primary | 1,694 | 467,796,171 | 97.87 | 8.420 | 641 | 83.27 |
Investment | 41 | 8,755,171 | 1.83 | 8.757 | 647 | 84.99 |
Second Home | 4 | 1,412,942 | 0.30 | 8.403 | 617 | 88.98 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
Documentation Type | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Program | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Stated Documentation | 912 | 246,489,897 | 51.57 | 8.809 | 654 | 82.75 |
Full Documentation | 820 | 227,284,095 | 47.55 | 8.000 | 629 | 83.72 |
Easy Documentation | 7 | 4,190,291 | 0.88 | 9.071 | 608 | 95.09 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
Loan Purpose | ||||||
% of Aggregate | W.A. | W.A. | ||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Purpose | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
Purchase | 1,438 | 354,519,943 | 74.17 | 8.483 | 650 | 83.73 |
Refinance - Cashout | 294 | 120,404,932 | 25.19 | 8.276 | 616 | 82.01 |
Refinance - Rate Term | 7 | 3,039,409 | 0.64 | 7.790 | 660 | 87.45 |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
DESCRIPTION OF THE GROUP II COLLATERAL |
Property Type | |||||||
% of Aggregate | W.A. | W.A. | |||||
Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | ||
Property Type | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
Single Family Residence | 1,407 | 386,949,595 | 80.96 | 8.396 | 640 | 83.19 | |
2-4 Family | 190 | 61,418,410 | 12.85 | 8.450 | 655 | 84.07 | |
Condo | 142 | 29,596,279 | 6.19 | 8.768 | 637 | 83.46 | |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
Rate Adjustment* | ||||||
Number of | % of Aggregate | W.A. | W.A. | |||
Month & Year of Next | Initial Mortgage | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Rate Adjustment | Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
September 2007 | 1 | 383,973 | 0.10 | 6.990 | 741 | 80.00 |
February 2008 | 1 | 293,009 | 0.07 | 8.750 | 589 | 80.00 |
March 2008 | 9 | 2,690,205 | 0.67 | 8.465 | 635 | 74.42 |
April 2008 | 82 | 28,318,836 | 7.05 | 8.403 | 632 | 82.56 |
May 2008 | 49 | 18,436,124 | 4.59 | 7.889 | 647 | 81.68 |
June 2008 | 649 | 234,870,408 | 58.46 | 8.221 | 639 | 82.02 |
July 2008 | 345 | 111,705,124 | 27.80 | 8.255 | 637 | 81.99 |
June 2009 | 8 | 3,980,925 | 0.99 | 8.209 | 628 | 78.09 |
July 2009 | 2 | 762,643 | 0.19 | 7.265 | 721 | 86.13 |
July 2011 | 1 | 318,633 | 0.08 | 8.650 | 644 | 80.00 |
Total: | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
*ARM Loans Only
DESCRIPTION OF THE GROUP II COLLATERAL |
Gross Margin* | |||||||
% of Aggregate | W.A. | W.A. | |||||
Gross | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Margin (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
3.000 - 3.499 | 1 | 214,933 | 0.05 | 10.350 | 509 | 80.00 | |
3.500 - 3.999 | 6 | 2,853,397 | 0.71 | 6.101 | 659 | 80.86 | |
4.000 - 4.499 | 25 | 12,071,767 | 3.00 | 6.515 | 668 | 80.55 | |
4.500 - 4.999 | 69 | 26,969,197 | 6.71 | 6.994 | 662 | 80.66 | |
5.000 - 5.499 | 169 | 67,646,338 | 16.84 | 7.485 | 650 | 81.49 | |
5.500 - 5.999 | 240 | 89,083,053 | 22.17 | 7.964 | 650 | 81.97 | |
6.000 - 6.499 | 272 | 96,070,318 | 23.91 | 8.460 | 633 | 81.66 | |
6.500 - 6.999 | 365 | 106,850,875 | 26.60 | 9.265 | 616 | 82.98 | |
Total: | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
*ARM Loans Only
DESCRIPTION OF THE GROUP II COLLATERAL |
Maximum Mortgage Rate* | |||||||
% of Aggregate | W.A. | W.A. | |||||
Maximum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
11.500 - 11.999 | 1 | 515,685 | 0.13 | 5.990 | 668 | 84.75 | |
12.000 - 12.499 | 15 | 6,306,183 | 1.57 | 6.272 | 664 | 81.00 | |
12.500 - 12.999 | 51 | 21,931,862 | 5.46 | 6.763 | 680 | 80.30 | |
13.000 - 13.499 | 103 | 43,388,864 | 10.80 | 7.280 | 649 | 81.13 | |
13.500 - 13.999 | 259 | 97,382,779 | 24.24 | 7.750 | 649 | 82.00 | |
14.000 - 14.499 | 226 | 79,073,835 | 19.68 | 8.260 | 644 | 81.58 | |
14.500 - 14.999 | 257 | 87,309,944 | 21.73 | 8.729 | 627 | 82.29 | |
15.000 - 15.499 | 112 | 36,577,579 | 9.10 | 9.210 | 622 | 83.70 | |
15.500 - 15.999 | 70 | 18,736,820 | 4.66 | 9.691 | 601 | 83.97 | |
16.000 - 16.499 | 25 | 6,443,757 | 1.60 | 10.183 | 568 | 78.76 | |
16.500 - 16.999 | 21 | 2,938,142 | 0.73 | 10.670 | 567 | 79.77 | |
17.000 - 17.499 | 5 | 596,232 | 0.15 | 11.185 | 539 | 83.46 | |
17.500 - 17.999 | 2 | 558,196 | 0.14 | 11.667 | 507 | 68.88 | |
Total: | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
*ARM Loans Only
DESCRIPTION OF THE GROUP II COLLATERAL |
Minimum Mortgage Rate* | |||||||
% of Aggregate | W.A. | W.A. | |||||
Minimum | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Mortgage Rate (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
5.500 - 5.999 | 1 | 515,685 | 0.13 | 5.990 | 668 | 84.75 | |
6.000 - 6.499 | 15 | 6,306,183 | 1.57 | 6.272 | 664 | 81.00 | |
6.500 - 6.999 | 51 | 21,931,862 | 5.46 | 6.763 | 680 | 80.30 | |
7.000 - 7.499 | 103 | 43,388,864 | 10.80 | 7.280 | 649 | 81.13 | |
7.500 - 7.999 | 259 | 97,382,779 | 24.24 | 7.750 | 649 | 82.00 | |
8.000 - 8.499 | 226 | 79,073,835 | 19.68 | 8.260 | 644 | 81.58 | |
8.500 - 8.999 | 257 | 87,309,944 | 21.73 | 8.729 | 627 | 82.29 | |
9.000 - 9.499 | 112 | 36,577,579 | 9.10 | 9.210 | 622 | 83.70 | |
9.500 - 9.999 | 70 | 18,736,820 | 4.66 | 9.691 | 601 | 83.97 | |
10.000 - 10.499 | 25 | 6,443,757 | 1.60 | 10.183 | 568 | 78.76 | |
10.500 - 10.999 | 21 | 2,938,142 | 0.73 | 10.670 | 567 | 79.77 | |
11.000 - 11.499 | 5 | 596,232 | 0.15 | 11.185 | 539 | 83.46 | |
11.500 - 11.999 | 2 | 558,196 | 0.14 | 11.667 | 507 | 68.88 | |
Total: | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
*ARM Loans Only
Initial Periodic Rate Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Initial | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
2.000 | 183 | 66,189,475 | 16.47 | 8.193 | 643 | 81.84 |
3.000 | 964 | 335,570,404 | 83.53 | 8.234 | 637 | 81.97 |
Total: | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
*ARM Loans Only
DESCRIPTION OF THE GROUP II COLLATERAL |
Subsequent Periodic Rate Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Subsequent | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
1.500 | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
Total: | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
*ARM Loans Only
Lifetime Periodic Cap* | ||||||
% of Aggregate | W.A. | W.A. | ||||
Lifetime | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original |
Periodic Cap (%) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) |
6.000 - 6.499 | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
Total: | 1,147 | 401,759,879 | 100.00 | 8.227 | 638 | 81.94 |
*ARM Loans Only
Original Prepayment Charge Term | |||||||
% of Aggregate | W.A. | W.A. | |||||
Prepayment Penalty | Number of | Aggregate Remaining | Remaining | W.A. | Non-Zero | Original | |
Term (mos.) | Initial Mortgage Loans | Principal Balance ($) | Principal Balance | Coupon (%) | FICO | CLTV (%) | |
0 | 566 | 162,974,867 | 34.10 | 8.621 | 646 | 83.53 | |
12 | 134 | 43,331,505 | 9.07 | 8.654 | 649 | 84.97 | |
24 | 828 | 216,060,444 | 45.20 | 8.351 | 637 | 82.87 | |
36 | 211 | 55,597,467 | 11.63 | 7.967 | 640 | 83.19 | |
Total: | 1,739 | 477,964,284 | 100.00 | 8.426 | 641 | 83.32 |
FOR ADDITIONAL INFORMATION PLEASE CALL:
Deutsche Bank Securities | |
Whole Loan Trading | |
Michael Commaroto | 212-250-3114 |
Paul Mangione | 212-250-5786 |
Gary Huang | 212-250-7943 |
ABS Banking | |
Sue Valenti | 212-250-3455 |
Kathie Peng | 212-250-7259 |
ABS Structuring | |
Bill Yeung | 212-250-6893 |
Chris Sudol | 212-250-0507 |
ABS Collateral | |
Reta Chandra | 212-250-2729 |