![]() | BEAR STEARNS & CO. INC. |
ATLANTA • BOSTON • CHICAGO | ASSET-BACKED SECURITIES GROUP |
DALLAS • LOS ANGELES • NEW YORK • SAN FRANCISCO | 383 Madison Avenue |
FRANKFURT • GENEVA • HONG KONG | New York, N.Y. 10179 |
LONDON • PARIS • TOKYO | (212) 272-2000 |
Part I of II
New Issue Computational Materials
$1,388,802,000 (Approximate)
Impac Secured Assets Corp.,
Mortgage Pass-Through Certificates, Series 2006-4
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Impac Funding Corporation
Seller and Master Servicer
Impac Secured Assets Corp.
Depositor
October 30, 2006
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This information should be considered only after reading Bear Stearns’ statement regarding Securities, Pricing Estimates and Other Information (the “Statement”), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (File No. 333-131328) (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 the registration statement and other documents the depositor has filed with the SEC for more complete information about the depositor, 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 you request it by calling toll free 1-866-803-9204.
This free writing prospectus does not 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 supersedes information contained in any prior similar free writing prospectus relating to these securities prior to the time of your commitment to purchase.
This free writing prospectus is not an offer to sell or 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The information in this free writing prospectus is preliminary, and will be superseded by the definitive free writing prospectus. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the asset-backed securities referred to in this free writing prospectus and to solicit an indication of your interest in purchasing such securities, when, as and if issued. Any such indication of interest will not constitute a contractual commitment by you to purchase any of the securities. You may withdraw your indication of interest at any time.
The securities referred to in this free writing prospectus are being offered when, as and if issued. Our obligation to sell securities to you is conditioned on the securities having the characteristics described in this free writing prospectus. If that condition is not satisfied, we will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery.
SECURITIES, PRICING ESTIMATES AND OTHER INFORMATION
The information contained in the attached materials (the “Information”) may include various forms of performance analysis, security characteristics and securities pricing estimates for the securities described therein. Should you receive Information that refers to the “Statement Regarding Assumptions and Other Information”, please refer to this statement instead. The Information is illustrative and is not intended to predict actual results which may differ substantially from those reflected in the Information. Performance analysis is based on certain assumptions with respect to significant factors that may prove not to be as assumed. Performance results are based on mathematical models that use inputs to calculate results. As with all models, results may vary significantly depending upon the value given to the inputs. Inputs to these models include but are not limited to: prepayment expectations (econometric prepayment models, single expected lifetime prepayments or a vector of periodic prepayments), interest rate assumptions (parallel and nonparallel changes for different maturity instruments), collateral assumptions (actual pool level data, aggregated pool level data, reported factors or imputed factors), volatility assumptions (historically observed or implied current) and reported information (paydown factors, rate resets, remittance reports and trustee statements). Models used in any analysis may be proprietary, the results therefore, may be difficult for any third party to reproduce. Contact your registered representative for detailed explanations of any modeling techniques employed in the Information.
The Information may not reflect the impact of all structural characteristics of the security, including call events and cash flow priorities at all prepayment speeds and/or interest rates. You should consider whether the behavior of these securities should be tested using assumptions different from those included in the Information. The assumptions underlying the Information, including structure and collateral, may be modified from time to time to reflect changed facts and circumstances. Offering Documents contain data that is current as of their publication dates and after publication may no longer be accurate, complete or current. Contact your registered representative for Offering Documents, current Information or additional materials, including other models for performance analysis, which are likely to produce different results, and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent our view, at the time determined, of the investment value of the securities between the estimated bid and offer levels, the spread between which may be significant due to market volatility or illiquidity, (b) do not constitute a bid by Bear Stearns or any other person for any security, (c) may not constitute prices at which the securities could have been purchased or sold in any market at any time, (d) have not been confirmed by actual trades, may vary from the value Bear Stearns assigns or may be assigned to any such security while in its inventory, and may not take into account the size of a position you have in the security, and (e) may have been derived from matrix pricing that uses data relating to other securities whose prices are more readily ascertainable to produce a hypothetical price based on the estimated yield spread relationship between the securities.
General Information: Bear Stearns and/or individuals associated therewith may have positions in these securities while the Information is circulating or during such period may engage in transactions with the issuer or its affiliates. We act as principal in transactions with you, and accordingly, you must determine the appropriateness for you of such transactions and address any legal, tax or accounting considerations applicable to you. Bear Stearns shall not be a fiduciary or advisor unless we have agreed in writing to receive compensation specifically to act in such capacities. If you are subject to ERISA, the Information is being furnished on the condition that it will not form a primary basis for any investment decision.
$1,388,802,000 (Approximate)
Characteristics of the Certificates (1) (2) (3)
Class | Original Principal Balance | Coupon | Tranche Type | WAL to call (years) | Principal Window (mos.) | Last Scheduled Distribution Date | Expected Ratings (Mdy’s/S&P) |
A-1 | 586,846,000 | (4)(5) | Super Senior | 2.90 | 1 - 81 | 12/25/36 | Aaa/AAA |
A-2A | 224,301,000 | (4)(5) | Super Senior Sequential | 1.00 | 1 - 21 | 12/25/36 | Aaa/AAA |
A-2B | 235,915,000 | (4)(5) | Super Senior Sequential | 3.00 | 21 - 58 | 12/25/36 | Aaa/AAA |
A-2C | 126,630,000 | (4)(5) | Super Senior Sequential | 6.09 | 58 - 81 | 12/25/36 | Aaa/AAA |
A-M | 130,410,000 | (4)(5) | Support Senior | 2.90 | 1 - 81 | 12/25/36 | Aaa/AAA |
M-1 | 18,900,000 | (4)(5) | Mezzanine | 4.80 | 37 - 81 | 12/25/36 | Aa1/AA+ |
M-2 | 17,500,000 | (4)(5) | Mezzanine | 4.79 | 37 - 81 | 12/25/36 | Aa2/AA |
M-3 | 9,800,000 | (4)(5) | Mezzanine | 4.79 | 37 - 81 | 12/25/36 | Aa3/AA |
M-4 | 7,000,000 | (4)(5) | Mezzanine | 4.79 | 37 - 81 | 12/25/36 | A1/AA- |
M-5 | 7,700,000 | (4)(5) | Mezzanine | 4.79 | 37 - 81 | 12/25/36 | A2/A+ |
M-6 | 7,000,000 | (4)(5) | Mezzanine | 4.73 | 37 - 81 | 12/25/36 | A3/A |
M-7 | 4,900,000 | (4)(5) | Mezzanine | 4.57 | 37 - 73 | 12/25/36 | Baa1/A- |
M-8 | 4,900,000 | (4)(5) | Mezzanine | 4.43 | 37 - 67 | 12/25/36 | Baa2/BBB+ |
B | 7,000,000 | (4)(5) | Subordinate | 4.14 | 37 - 62 | 12/25/36 | Baa3/BBB- |
Total | $1,388,802,000 |
Notes:
(1) | The (i) Class A-1, Class A-2A, Class A-2B, Class A-2C and Class A-M Certificates (collectively, the “Class A Certificates”), (ii) Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7 and Class M-8 Certificates (collectively, the “Class M Certificates”) and (iii) the Class B Certificates (the “Class B Certificates” and, together with the Class M Certificates, the “Subordinate Certificates”). The Class A Certificates and the Subordinate Certificates are collectively referred to herein as the “Offered Certificates.” |
(2) | The Certificates are subject to a +/-5% variance. |
(3) | Based on the collateral prepayment assumptions described under “Pricing Prepayment Speed” herein, and priced to call. |
(4) | The Pass-Through Rate for each Class of Certificates will be equal to the least of (a) one-month LIBOR plus the margin for such Class, (b) 11.50% per annum and (c) the applicable Net WAC Rate. |
(5) | The Offered Certificates will be priced to the call. In the event that an optional clean-up call does not occur on the earliest possible date, (i) the margin for the Class A Certificates will increase by 2x and (ii) the margin for the Subordinate Certificates will increase by 1.5x. |
Trust: | Mortgage Pass-Through Certificates, Series 2006-4. |
Depositor: | Impac Secured Assets Corp. |
Seller: | Impac Funding Corporation. |
Master Servicer: | Impac Funding Corporation. |
Sub-Servicers: | Countrywide Home Loans Servicing LP and GMAC Mortgage Corporation will act as sub-servicers with respect to approximately [93]% and [7]% of the Mortgage Loans respectively. |
Lead Manager: | Bear, Stearns & Co. Inc. |
Co-Manager: | Countrywide Securities Corporation. |
Trustee: | Deutsche Bank National Trust Company. |
Swap Provider: | [________________]. The Swap Provider will be rated at least “A” by Standard and Poor’s and at least “A2” by Moody’s Investors Service. |
Yield Maintenance Provider(s): | [________________]. The Yield Maintenance Provider(s) will be rated at least “A” by Standard and Poor’s and at least “A2” by Moody’s Investors Service. |
Derivative Administrator: | [Deutsche Bank National Trust Company]. |
Offered Certificates: | The (i) Class A-1 Certificates (the “Class A-1 Certificates”), (ii) Class A-2A, Class A-2B and Class A-2C Certificates (collectively, the “Class A-2 Certificates”), (iii) Class A-M Certificates (the “Class A-M Certificates”, together with the Class A-1 Certificates and Class A-2 Certificates, the “Class A Certificates”), (iv) Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7 and Class M-8 Certificates (collectively, the “Class M Certificates”) and (v) Class B Certificates (collectively, the “Class B Certificates” together with the “Class M Certificates”, the “Subordinate Certificates”). The Class A Certificates and the Subordinate Certificates are collectively referred to herein as the “Offered Certificates.” |
Non-Offered Certificates: | The “Non-Offered Certificates” consist of the Class C, Class P and Class R Certificates. The Offered Certificates and Non-Offered Certificates are collectively referred to herein as the “Certificates.” |
Registration: | Book-Entry form, same day funds through DTC, Clearstream and Euroclear. |
Tax Status: | It is anticipated that the Offered Certificates will represent ownership of REMIC regular interests for tax purposes. |
ERISA Eligibility: | The Offered Certificates are expected to be eligible for purchase by employee benefit plans and similar plans and arrangements that are subject to Title I of ERISA or Section 4975 of the Internal Revenue Code of 1986, as amended, that qualify under an investor-based prohibited transaction class exemption, as described in the prospectus. |
SMMEA Treatment: | The Class A, Class M and Class B Certificates will not constitute “mortgage related securities” for purposes of SMMEA. |
Sample Pool Calculation Date: | October 1, 2006. |
Cut-off Date: | For each Mortgage Loan delivered to the Trust on the Closing Date, the later of November 1, 2006 or the origination date of such Mortgage Loan. The Trust will be entitled to all payments due after November 1, 2006. |
Expected Pricing Date: | November [3], 2006. |
Expected Closing Date: | November 16, 2006. |
Distribution Date: | The 25th day of each month (or, if such day is not a business day, the next succeeding business day) commencing in December 2006. |
Accrued Interest: | The Certificates will settle flat. |
Interest Accrual Period: | The “Interest Accrual Period” for each Distribution Date with respect to the Certificates will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to such Distribution Date (on an actual/360 day basis). |
Optional Call: | The terms of the transaction allow for a clean-up call (the “Clean-up Call”), which may be exercised once the aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. |
Pricing Prepayment Speed: | The Offered Certificates will be priced based on the following collateral prepayment assumptions: |
Prepayment Speed:
Fixed Rate Mortgage Loans |
100% PPC, which assumes 23% HEP (i.e., prepayments start at 2.3% CPR in month one, and increase by 2.3% CPR each month to 23% CPR in month ten, and remain at 23% CPR thereafter). |
Adjustable Rate and 2 Year Fixed/28 Year Adjustable Rate Mortgage Loans |
100% PPC, which assumes 2% CPR in month 1, an additional 1/11th of 28% CPR for each month thereafter, building to 30% CPR in month 12 and remaining constant at 30% CPR until month 24, increasing to and remaining constant at 65% CPR from month 25 until month 31, decreasing 1/4th of 30% CPR for each month thereafter, decreasing to 35% CPR in month 35 and remaining constant at 35% CPR from month 35 and thereafter. |
3 Year Fixed/27 Year Adjustable Rate Hybrid Mortgage Loans |
100% PPC, which assumes 2% CPR in month 1, an additional 1/11th of 28% CPR for each month thereafter, building to 30% CPR in month 12 and remaining constant at 30% CPR until month 36, increasing to and remaining constant at 65% CPR from month 37 until month 43, decreasing 1/4th of 30% CPR for each month thereafter, decreasing to 35% CPR in month 47 and remaining constant at 35% CPR from month 35 and thereafter. |
5, 7 & 10 Year Fixed/25, 23 & 20 Year Adjustable Rate Mortgage Loans |
100% PPC, which assumes 2% CPR in month 1, an additional 1/11th of 28% CPR for each month thereafter, building to 30% CPR in month 12 and remaining constant at 30% CPR until month 60, increasing to and remaining constant at 65% CPR from month 61 until month 67, decreasing 1/4th of 30% CPR for each month thereafter, decreasing to 35% CPR in month 71 and remaining constant at 35% CPR from month 35 and thereafter. |
Mortgage Loans: | The Trust will include mortgage loans (the “Mortgage Loans”) having an aggregate principal balance as of the Sample Pool Calculation Date (the “Sample Pool Calculation Date Balance”) of approximately $1,400,001,647 fixed-rate and adjustable-rate mortgage loans secured by first liens and second liens on the related mortgaged properties (the “Mortgage Loans”) The Mortgage Loans have the characteristics as of the Sample Pool Calculation Date described in the collateral tables included in this free writing prospectus. |
The collateral tables included in this free writing prospectus as Part II of II represent a sample pool of Mortgage Loans (the “Sample Pool”) having the characteristics described therein as of the Sample Pool Calculation Date, and do not include additional Mortgage Loans expected to be included in the Trust on the Closing Date. The final pool of Mortgage Loans to be included in the Trust will be different from the Sample Pool, although the characteristics of such final pool will not materially differ from the characteristics of the Sample Pool as indicated herein.
Pass-Through Rate: The Pass-Through Rate for each class of Certificates will be equal to the least of (a) one-month LIBOR plus the margin for such class, (b) 11.50% per annum and (c) the applicable Net WAC Rate.
Premium Rate: Approximately [1.30]% of the Mortgage Loans, by Sample Pool Calculation Date Balance, are covered by lender-paid mortgage insurance policies. The “Premium Rate” for any period will equal the premium rate of each such insured Mortgage Loan for that period expressed as a weighted average rate for the applicable Loan Group. As of the Sample Pool Calculation Date, the Premium Rate of the Mortgage Loans is approximately [1.05]%.
Net Mortgage Rate: The “Net Mortgage Rate” will be a rate equal to the excess of the weighted average of the mortgage rates on the related Mortgage Loans minus the sum of (a) a weighted average sub-servicing fee rate (which is expected to be approximately [0.34]% as of the Closing Date), (b) a master servicing fee rate of [0.03]%, and (c) the Premium Rate, expressed as a rate per annum of the aggregate principal balance of the related Mortgage Loans (in the case of (d), weighted on the basis of the principal balances of the related Mortgage Loans as of the prior due period).
Net WAC Rate: With respect to the Class A, Class M and Class B Certificates and any Distribution Date, a per annum rate equal to the excess, if any, of (A) a per annum rate equal to the net mortgage rate over (B) the sum of (1) a per annum rate equal to the Net Swap Payment with respect to the Swap Contract payable to the Swap Provider on such Distribution Date, divided by the outstanding stated principal balance of the Mortgage Loans as of the first day of the calendar month preceding the month in which the Distribution Date occurs, multiplied by 12, and (2) a per annum rate equal to any Swap Termination Payment with respect to the Swap Contract not due to a Swap Provider Trigger Event payable to the Swap Provider on such Distribution Date, divided by the outstanding stated principal balance of the Mortgage Loans as of the first day of the calendar month preceding the month in which the Distribution Date occurs, multiplied by 12. The Net WAC Rate will be adjusted to an effective rate reflecting the accrual of interest on an actual/360 basis.
Net WAC Rate
Shortfall: Any shortfalls in interest payments on a Class A, Class M or Class B Certificates resulting from the excess, if any, of (a) interest accrued on the related Certificates at one-month LIBOR plus the related margin (up to the maximum rate of 11.50% per annum) over (b) interest accrued on the related Certificates at the related Net WAC Rate (any such shortfalls, “Net WAC Rate Shortfalls”), on each Distribution Date, plus unpaid Net WAC Rate Shortfalls from prior Distribution Dates to be paid in the current month or carried forward for payment on subsequent Distribution Dates, together with interest thereon at the Pass-Through Rate for the current Distribution Date, to the extent of amounts available from Excess Cash Flow, as described under “Certificates Priority of Distributions” below.
Swap Agreement: The Certificateholders will benefit from a Swap Agreement with notional amounts and swap rates set forth on page 30 of this free writing prospectus.
Swap Agreement
The Certificateholders will benefit from the Swap Agreement with the notional amounts and swap rate set forth on page 30 of this free writing prospectus. Under the Swap Agreement, on or before each Distribution Date commencing with the Distribution Date in December 2006 and ending with the Distribution Date in October 2013, (i) the Trust shall be obligated to pay the Swap Provider a fixed amount for such Distribution Date equal to the product of (x) a fixed per annum rate for such Distribution Date as set forth on page 30 of this free writing prospectus, (y) the notional amount for such Distribution Date as set forth on page 30 of this free writing prospectus, and (z) a fraction, the numerator of which is 30 (or, for the first Distribution Date, the number of days elapsed from and including the Effective Date (as defined in the Swap Agreement) to but excluding the first Distribution Date, determined on a 30/360 basis) and the denominator of which is 360, and (ii) the Swap Provider will be required to pay to the Trust a floating amount for such Distribution Date equal to product of (x) One-Month LIBOR as determined pursuant to the Swap Agreement, (y) the notional amount for such Distribution Date as set forth on page 30 of this free writing prospectus, and (z) a fraction, the numerator of which is equal to the actual number of days in the related Calculation Period (as defined in the Swap Agreement) and the denominator of which is 360.
Under the Swap Agreement described above, only the related net amount of the two obligations will be paid by the appropriate party (the “Net Swap Payment”) on each Distribution Date. Generally, any Net Swap Payment due to the Swap Provider on any Distribution Date will be paid prior to distributions to the related certificateholders. Generally, the related Net Swap Payment will be deposited into a derivative account (the “Derivative Account”) by the Derivative Administrator pursuant to the derivative administration agreement, and amounts on deposit in the related Derivative Account will be distributed in accordance with the terms set forth in the derivative administration agreement. Upon early termination of a Swap Agreement, the Trust or the Swap Provider may be obligated to make a termination payment (the ‘‘Swap Termination Payment’’) to the other party, regardless of which party caused the termination. The related Swap Termination Payment will be computed in accordance with the procedures set forth in the related Swap Agreement. In the event that the Trust is required to make a Swap Termination Payment, such amount generally will be paid on the related Distribution Date and on any subsequent Distribution Date until paid in full, prior to distributions to certificateholders (other than Swap Termination Payments attributable to a Swap Provider trigger event). The entitlement to certain payments from the Swap Account, as described above, and not the Swap Agreements themselves, will be assets of the Trust.
Yield Maintenance Agreements: The Certificateholders will benefit from two Yield Maintenance Agreements with notional amounts and cap rates set forth on pages 31 and 32 of this free writing prospectus.
Yield Maintenance Agreement I
The Certificateholders will benefit from the Yield Maintenance Agreement I with notional amounts and strike rates set forth on page 31 of this free writing prospectus. Under the Yield Maintenance Agreement I, on or before each Distribution Date commencing with the Distribution Date in December 2006, and ending with the Distribution Date in November 2011, the Yield Maintenance Agreement I Provider will be obligated to make a payment for that Distribution Date equal to the product of (x) the excess, if any, of (a) One-Month LIBOR as determined pursuant to the Yield Maintenance Agreement I over (b) the related cap rate as set forth on page 31 of this free writing prospectus, (y) the notional amount for such Distribution Date as set forth on page 31 of this free writing prospectus, and (z) a fraction, the numerator of which is equal to the actual number of days in the related calculation period as provided in the Yield Maintenance Agreement, and the denominator of which is 360.
Yield Maintenance Agreement II
The Certificateholders will benefit from the Yield Maintenance Agreement II with notional amounts and strike rates set forth on page 32 of this free writing prospectus. Under the Yield Maintenance Agreement II, on or before each Distribution Date commencing with the Distribution Date in November 2011, and ending with the Distribution Date in August 2013, the Yield Maintenance Agreement II Provider will be obligated to make a payment for that Distribution Date equal to the product of (x) the excess, if any, of (a) One-Month LIBOR as determined pursuant to the Yield Maintenance Agreement II over (b) a cap rate equal to 7.250%, (y) the notional amount for such Distribution Date as set forth on page 32 of this free writing prospectus, and (z) a fraction, the numerator of which is equal to the actual number of days in the related calculation period as provided in the Yield Maintenance Agreement, and the denominator of which is 360.
Credit Enhancement: The Trust will include the following credit enhancement mechanisms, each of which is intended to provide credit support for some or all of the Offered Certificates, as the case may be:
1) | Subordination |
2) | Overcollateralization |
3) | Excess Cashflow |
4) | Swap Agreement |
5) | Yield Maintenance Agreements |
Class | Moody’s / S&P | Subordination (at closing; as a % of Original Pool Balance) | Subordination (after Stepdown Date; as a % of Current Pool Balance) |
A-1* | Aaa/AAA | 6.85% | 13.70% |
A-2A* | Aaa/AAA | 6.85% | 13.70% |
A-2B* | Aaa/AAA | 6.85% | 13.70% |
A-2C* | Aaa/AAA | 6.85% | 13.70% |
A-M | Aaa/AAA | 6.85% | 13.70% |
M-1 | Aa1/AA+ | 5.50% | 11.00% |
M-2 | Aa2/AA | 4.25% | 8.50% |
M-3 | Aa3/AA | 3.55% | 7.10% |
M-4 | A1/AA- | 3.05% | 6.10% |
M-5 | A2/A+ | 2.50% | 5.00% |
M-6 | A3/A | 2.00% | 4.00% |
M-7 | Baa1/A- | 1.65% | 3.30% |
M-8 | Baa2/BBB+ | 1.30% | 2.60% |
B | Baa3/BBB- | 0.80% | 1.60% |
*Excludes the subordination provided by Class A-M.
Subordination: The Class M Certificates and Class B Certificates will be subordinate to, and provide credit support for, the Class A Certificates. Among the Class M Certificates and Class B Certificates, subordination will rank in priority from highest to lowest in the following order: Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class B Certificates, with each subsequent class providing credit support for the prior class or classes, if any. In addition, the Class A-M Certificates will serve as credit support for the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates.
Overcollateralization: | With respect to any Distribution Date, the outstanding principal balance of the Mortgage Loans as of the last day of the related due period less the aggregate Certificate Principal Balance of the Class A, Class M and Class B Certificates (after taking into account all distributions of principal on such Distribution Date). |
Any realized losses on the Mortgage Loans will be covered first by the Excess Cashflow and then by Overcollateralization, if any. If Overcollateralization is thereafter reduced, the Excess Cashflow will be directed to pay principal on the related Certificates, resulting in the limited acceleration of the Certificates relative to the amortization of the Mortgage Loans, until Overcollateralization reaches the Overcollateralization Target. Upon this event, the acceleration feature will cease, unless the amount of Overcollateralization is reduced below the Overcollateralization Target by realized losses.
Overcollateralization Target: For each Distribution Date prior to the Stepdown Date, 0.80% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date (the “Overcollateralization Target”). The initial amount of Overcollateralization will be approximately 0.80%.
On or after the Stepdown Date, the Overcollateralization Target will be equal to 1.60% of the aggregate principal balance of the Mortgage Loans for the related Distribution Date, subject to a floor of 0.50% (the “Overcollateralization Floor”) of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date; provided, however, that if a Trigger Event (as described herein) is in effect on the related Distribution Date, the Overcollateralization Target will be equal to the Overcollateralization Target on the prior Distribution Date.
Excess Cashflow: “Excess Cashflow” for for any Distribution Date will be equal to the available funds remaining after interest and principal distributions as described under “Certificates Priority of Distributions.”
Trigger Event: A “Trigger Event” will be in effect on a Distribution Date on or after the Stepdown Date if either (or both) a Delinquency Trigger or a Cumulative Loss Trigger is in effect on such Distribution Date.
Delinquency Trigger: With respect to the related Certificates, a “Delinquency Trigger” will occur if the three month rolling average 60+ day delinquency percentage (including bankruptcy, foreclosures, and REO) for the outstanding Mortgage Loans equals or exceeds [42.25]% times the Senior Enhancement Percentage. As used above, the “Senior Enhancement Percentage” with respect to any Distribution Date is the percentage equivalent of a fraction, the numerator of which is equal to: (a) the excess of (i) the aggregate stated principal balance of the Mortgage Loans for the preceding Distribution Date, over (ii) the aggregate Certificate Principal Balance of the most senior class or classes of Certificates as of the preceding master servicer advance date, and the denominator of which is equal to (b) the aggregate stated principal balance of the Mortgage Loans for the preceding Distribution Date.
Cumulative Loss
Trigger: With respect to the Certificates, a “Cumulative Loss Trigger” will occur if the aggregate amount of realized losses on the Mortgage Loans exceeds the applicable percentage of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, as set forth below:
Period (month) | Percentage |
25 - 36 | [0.30]% with respect to November 2008, plus an additional 1/12th of [0.40]% for each month thereafter |
37 - 48 | [0.70]% with respect to November 2009, plus an additional 1/12th of [0.50]% for each month thereafter |
49 - 60 | [1.20]% with respect to November 2010, plus an additional 1/12th of [0.50]% for each month thereafter |
61 - 72 | [1.70]% with respect to November 2011, plus an additional 1/12th of [0.35]% for each month thereafter |
73+ | [2.05]% |
Allocated Realized
Loss Amounts: With respect to any class of Offered Certificates and any Distribution Date, an amount equal to the sum of any realized loss allocated to that class of certificates on that Distribution Date and any Allocated Realized Loss Amount for that class remaining unpaid from any previous Distribution Date.
Stepdown Date: The earlier to occur of (x) the Distribution Date on which the aggregate Certificate Principal Balance of the Class A Certificates is reduced to zero and (y) the later to occur of: (i) the Distribution Date in December 2009 or (ii) the first Distribution Date on which the aggregate Certificate Principal Balance of the Class A Certificates is less than or equal to [86.30]% of the aggregate principal balance of the Mortgage Loans for such Distribution Date.
Certificate Principal Balance: With respect to any Certificate as of any date of determination, the initial Certificate Principal Balance thereof, increased by any subsequent recoveries allocated thereto, and reduced by the aggregate of (a) all amounts allocable to principal previously distributed with respect to such Certificate and (b) any reductions in the Certificate Principal Balance thereof in connection with allocations of Realized Losses.
Allocation of Losses: Any realized losses on the Mortgage Loans not covered by Excess Cashflow or Overcollateralization will be allocated to each class of Class M Certificates and Class B Certificates, in the following order: to the Class B, Class M-8, Class M-7, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in each case until the respective Certificate Principal Balance of such class has been reduced to zero. In addition, if the aggregate Certificate Principal Balance of the Class M Certificates and Class B Certificates is reduced to zero as a result of the allocation of realized losses, any additional realized losses will be allocable pro rata to the Class A Certificates based on the Certificate Principal Balances until in each case the Certificate Principal Balance thereof is reduced to zero; provided however that any losses otherwise allocable to the Class A-1, Class A-2A, Class A-2B and Class A-2C Certificates will first be allocated to the Class A-M Certificates until the Certificate Principal Balance thereof is reduced to zero.
Certificates Priority
of Distributions: Available funds from the Mortgage Loans (which are net of any servicing, master servicing fees and private mortgage insurance premium fees) will be distributed in the following order of priority:
1) | From available funds to the Swap Account, any Net Swap Payment and Swap Termination Payment for such Distribution Date (other than any Swap Termination Payment resulting from a Swap Provider trigger event) owed to the Swap Provider; |
2) | Interest funds, sequentially, as follows: (a) first, current and unpaid interest, to the Class A Certificates, pro rata based on their entitlement, then (b) current interest, sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class B Certificates; |
3) | Principal funds, (i) to the Class A Certificates, as more fully described under “Class A Certificates Principal Distributions” below, then (ii) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class B Certificates, each as described more fully under “Principal Paydown” below; |
4) | Excess Cashflow, as principal to the Class A, Class M and Class B Certificates to restore or maintain Overcollateralization, as described under “Overcollateralization Target;” |
5) | Any remaining Excess Cashflow to pay any Allocated Realized Loss Amounts to the Class A Certificates, pro rata, based on the unpaid realized loss amount for such class of certificates; |
6) | Any remaining Excess Cashflow, sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class B Certificates, in that order, in each case first to pay any unpaid interest for such class and then to pay any Allocated Realized Loss Amounts for such class; |
7) | Any remaining Excess Cashflow to the Net WAC Rate shortfall reserve fund to pay the Certificates, on a pro rata basis, based on the Certificate Principal Balances thereof, to the extent needed to pay any remaining Net WAC Rate Shortfall Amount for each such class; provided that any Excess Cashflow remaining after such allocation to pay Net WAC Rate Shortfalls based on the Certificate Principal Balances of these Certificates will be distributed to each such Class of Certificates with respect to which there remains any unpaid Net WAC Rate Shortfalls (after the distribution based on Certificate Principal Balances), pro rata, based on the amount of such unpaid Net WAC Rate Shortfalls; |
8) | To the Swap Account, any Swap Termination Payment, owed to the Swap Provider specifically due to a Swap Provider Trigger Event pursuant to the Swap Contract; and |
9) | To the Class C Certificates and Class R Certificates, any remaining amounts as described in the pooling and servicing agreement. |
Principal Paydown: Prior to the Stepdown Date or if a Trigger Event is in effect on any Distribution Date, 100% of the available principal funds will be paid to the Class A Certificates, as more fully described below under “Class A Certificates Principal Distributions”, however, if the Class A Certificates have been retired, such amounts will be applied sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class B Certificates, in that order, in each case until the Certificate Principal Balance thereof is reduced to zero.
On any Distribution Date on or after the Stepdown Date, and if a Trigger Event is not in effect on such Distribution Date, the Offered Certificates will be entitled to receive payments of principal in the following order of priority:
(i) | First to the Class A Certificates, as more fully described below under “Class A Certificates Principal Distribution”, such that the unpaid principal of the Class A Certificates in the aggregate will have [13.70]% subordination, |
(ii) | second, to the Class M-1 Certificates such that the Class M-1 Certificates will have [11.00]% subordination, |
(iii) | third, to the Class M-2 Certificates such that the Class M-2 Certificates will have [8.50]% subordination, |
(iv) | fourth, to the Class M-3 Certificates such that the Class M-3 Certificates will have [7.10]% subordination, |
(v) | fifth, to the Class M-4 Certificates such that the Class M-4 Certificates will have [6.10]% subordination, |
(vi) | sixth, to the Class M-5 Certificates such that the Class M-5 Certificates will have [5.00]% subordination, |
(vii) | seventh, to the Class M-6 Certificates such that the Class M-6 Certificates will have [4.00]% subordination, |
(viii) | eighth, to the Class M-7 Certificates such that the Class M-7 Certificates will have [3.30]% subordination, |
(ix) | ninth, to the Class M-8 Certificates such that the Class M-8 Certificates will have [2.60]% subordination, |
(x) | tenth, to the Class B Certificates such that the Class B Certificates will have [1.60]% subordination. |
Class A Certificates Principal Distributions:
Class A Certificates:
Principal will be distributed to the Class A Certificates concurrently and pro rata between the Class A-1, Class A-2 and Class A-M Certificates based on (x) the aggregate Certificate Principal Balance of the Class A-1 Certificates, (y) the aggregate Certificate Principal Balance of the Class A-2A, Class A-2B and Class A-2C Certificates and (z) the aggregate Certificate Principal Balance of the Class A-M Certificates, which will further be allocated in the following manner:
(x) to the Class A-1 Certificates until the Class A-1 Certificate Principal Balance thereof is reduced to zero; and
(y) sequentially, to the Class A-2A, Class A-2B and Class A-2C Certificates, in that order, in each case until the Class A-2A, Class A-2B and Class A-2C Certificate Principal Balance thereof is reduced to zero; and
(z) to the Class A-M Certificates until the Class A-M Certificate Principal Balance thereof is reduced to zero.
On or after the Stepdown Date and assuming no Trigger Event is in effect, principal paid to the Class A Certificates will have approximately 13.70% of the current balance of the Mortgage Loans as credit enhancement (which is approximately 2x the initial senior enhancement).
Derivative Account: On or before each Distribution Date, as applicable, Net Swap Payments payable by the Swap Provider to the Derivative Administrator under the Swap Agreement and payments payable by each Yield Maintenance Agreement Provider to the Derivative Administrator under Yield Maintenance Agreement I (other than termination payments) and Yield Maintenance Agreement II (other than termination payments) will by deposited by the Derivative Administrator into the Derivative Account. On each Distribution Date, to the extent required, the Derivative Administrator will withdraw the following amounts from the Derivative Account and remit to the Trustee for distribution to the related certificates (after distribution to the certificates of net monthly Excess Cashflow) in the following order of priority:
(1) | concurrently to the Class A Certificates, pro rata, based on entitlement, in an amount equal to any unpaid interest shortfall amount for such class or classes to the extent not covered by the available funds on that Distribution Date and solely to the extent the unpaid interest shortfall amount is as a result of the interest portion of realized losses; |
(2) | sequentially, to the Class M Certificates and Class B Certificates, in that order, in an amount equal to any unpaid interest shortfall amount for such class or classes to the extent not covered by the available funds on that Distribution Date and solely to the extent the unpaid interest shortfall amount is as a result of the interest portion of realized losses; |
(3) | to the Class A, Class M and Class B Certificates, an amount equal to any extra principal distribution amount, to the extent not covered by Excess Cashflow on that Distribution Date and solely to the extent the payment of the extra principal distribution amount is as a result of current or prior period realized losses, to be included in the Principal Distribution Amount for that Distribution Date and payable to such holders as part of the principal distribution amount; |
(4) | to the Net WAC Rate reserve fund, to pay Net WAC Rate Shortfalls on the Class A, Class M and Class B Certificates, on a pro rata basis, based on the aggregate amount of Net WAC Rate Shortfalls for such class(es) of certificates remaining unpaid, to the extent not covered by Excess Cashflow on that Distribution Date; |
(5) | to the Class A Certificates, pro rata, in an amount equal to any Allocated Realized Loss Amount for such class or classes, to the extent not covered by any Excess Cashflow on that Distribution Date; |
(6) | sequentially to the Class M Certificates and Class B Certificates, in an amount equal to any Allocated Realized Loss Amount for such class or classes, to the extent not covered by any Excess Cashflow on that Distribution Date; and |
(7) | to pay to the parties named in the Swap Agreement any remaining amounts. |
Sensitivity Analysis - To 10% Optional Termination |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-1 | ||||||
Avg. Life (yrs) | 21.00 | 5.56 | 3.83 | 2.90 | 2.34 | 1.97 |
Mod. Duration (yrs) | 11.69 | 4.34 | 3.20 | 2.52 | 2.08 | 1.78 |
First Principal Payment | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 0 | 0 | 0 | 0 | 0 | 0 |
Window (mo) | 346 | 165 | 112 | 81 | 64 | 57 |
Yield (%) @ par | 5.65 | 5.64 | 5.64 | 5.64 | 5.64 | 5.64 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-2A | ||||||
Avg. Life (yrs) | 14.10 | 1.72 | 1.25 | 1.00 | 0.85 | 0.75 |
Mod. Duration (yrs) | 9.37 | 1.59 | 1.17 | 0.94 | 0.81 | 0.71 |
First Principal Payment | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 |
Last Principal Payment | Jun-26 | Feb-10 | Feb-09 | Aug-08 | Apr-08 | Feb-08 |
Lockout (mo) | 0 | 0 | 0 | 0 | 0 | 0 |
Window (mo) | 235 | 39 | 27 | 21 | 17 | 15 |
Yield (%) @ par | 5.53 | 5.53 | 5.52 | 5.52 | 5.52 | 5.51 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-2B | ||||||
Avg. Life (yrs) | 23.61 | 5.61 | 3.91 | 3.00 | 2.36 | 1.94 |
Mod. Duration (yrs) | 12.79 | 4.65 | 3.40 | 2.68 | 2.15 | 1.79 |
First Principal Payment | Jun-26 | Feb-10 | Feb-09 | Aug-08 | Apr-08 | Feb-08 |
Last Principal Payment | Dec-33 | Nov-15 | Oct-12 | Sep-11 | Sep-10 | Sep-09 |
Lockout (mo) | 234 | 38 | 26 | 20 | 16 | 14 |
Window (mo) | 91 | 70 | 45 | 38 | 30 | 20 |
Yield (%) @ par | 5.63 | 5.63 | 5.63 | 5.63 | 5.63 | 5.63 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-2C | ||||||
Avg. Life (yrs) | 28.37 | 12.27 | 8.25 | 6.09 | 4.94 | 4.20 |
Mod. Duration (yrs) | 13.79 | 8.59 | 6.41 | 5.01 | 4.20 | 3.63 |
First Principal Payment | Dec-33 | Nov-15 | Oct-12 | Sep-11 | Sep-10 | Sep-09 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 324 | 107 | 70 | 57 | 45 | 33 |
Window (mo) | 22 | 58 | 42 | 24 | 19 | 24 |
Yield (%) @ par | 5.72 | 5.72 | 5.72 | 5.72 | 5.72 | 5.72 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-M | ||||||
Avg. Life (yrs) | 21.00 | 5.56 | 3.83 | 2.90 | 2.34 | 1.97 |
Mod. Duration (yrs) | 11.63 | 4.33 | 3.19 | 2.52 | 2.08 | 1.77 |
First Principal Payment | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 0 | 0 | 0 | 0 | 0 | 0 |
Window (mo) | 346 | 165 | 112 | 81 | 64 | 57 |
Yield (%) @ par | 5.71 | 5.71 | 5.71 | 5.70 | 5.70 | 5.70 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-1 | ||||||
Avg. Life (yrs) | 26.61 | 9.22 | 6.31 | 4.80 | 4.08 | 3.78 |
Mod. Duration (yrs) | 13.29 | 6.81 | 5.08 | 4.05 | 3.53 | 3.31 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Jan-10 | Mar-10 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 37 | 39 |
Window (mo) | 74 | 107 | 73 | 45 | 27 | 18 |
Yield (%) @ par | 5.80 | 5.80 | 5.80 | 5.80 | 5.80 | 5.80 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-2 | ||||||
Avg. Life (yrs) | 26.61 | 9.22 | 6.31 | 4.79 | 4.05 | 3.73 |
Mod. Duration (yrs) | 13.27 | 6.81 | 5.08 | 4.04 | 3.50 | 3.27 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Jan-10 | Feb-10 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 37 | 38 |
Window (mo) | 74 | 107 | 73 | 45 | 27 | 19 |
Yield (%) @ par | 5.82 | 5.82 | 5.82 | 5.82 | 5.82 | 5.82 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-3 | ||||||
Avg. Life (yrs) | 26.61 | 9.22 | 6.31 | 4.79 | 4.05 | 3.71 |
Mod. Duration (yrs) | 13.24 | 6.80 | 5.07 | 4.04 | 3.50 | 3.25 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Jan-10 | Jan-10 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 37 | 37 |
Window (mo) | 74 | 107 | 73 | 45 | 27 | 20 |
Yield (%) @ par | 5.84 | 5.84 | 5.84 | 5.84 | 5.84 | 5.84 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-4 | ||||||
Avg. Life (yrs) | 26.61 | 9.22 | 6.31 | 4.79 | 4.05 | 3.68 |
Mod. Duration (yrs) | 13.14 | 6.78 | 5.06 | 4.03 | 3.50 | 3.22 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Jan-10 | Jan-10 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 37 | 37 |
Window (mo) | 74 | 107 | 73 | 45 | 27 | 20 |
Yield (%) @ par | 5.92 | 5.91 | 5.91 | 5.91 | 5.91 | 5.91 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-5 | ||||||
Avg. Life (yrs) | 26.61 | 9.22 | 6.31 | 4.79 | 4.02 | 3.68 |
Mod. Duration (yrs) | 13.10 | 6.77 | 5.05 | 4.03 | 3.47 | 3.21 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Jan-10 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 37 |
Window (mo) | 74 | 107 | 73 | 45 | 28 | 20 |
Yield (%) @ par | 5.95 | 5.95 | 5.94 | 5.94 | 5.94 | 5.95 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-6 | ||||||
Avg. Life (yrs) | 26.57 | 9.09 | 6.22 | 4.73 | 3.99 | 3.64 |
Mod. Duration (yrs) | 13.02 | 6.69 | 4.99 | 3.98 | 3.44 | 3.18 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Jan-10 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 37 |
Window (mo) | 74 | 107 | 73 | 45 | 28 | 20 |
Yield (%) @ par | 6.00 | 6.00 | 6.00 | 6.00 | 6.00 | 6.00 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-7 | ||||||
Avg. Life (yrs) | 26.49 | 8.81 | 6.01 | 4.57 | 3.94 | 3.49 |
Mod. Duration (yrs) | 12.32 | 6.40 | 4.78 | 3.82 | 3.36 | 3.03 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Dec-09 |
Last Principal Payment | May-35 | Jun-19 | Apr-15 | Dec-12 | Dec-11 | Mar-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 36 |
Window (mo) | 70 | 93 | 62 | 37 | 25 | 16 |
Yield (%) @ par | 6.55 | 6.55 | 6.55 | 6.55 | 6.55 | 6.55 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-8 | ||||||
Avg. Life (yrs) | 26.37 | 8.45 | 5.74 | 4.43 | 3.81 | 3.36 |
Mod. Duration (yrs) | 11.75 | 6.11 | 4.55 | 3.68 | 3.24 | 2.90 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Dec-09 |
Last Principal Payment | Jan-35 | May-18 | Jul-14 | Jun-12 | Sep-11 | Oct-10 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 36 |
Window (mo) | 66 | 80 | 53 | 31 | 22 | 11 |
Yield (%) @ par | 7.02 | 7.02 | 7.02 | 7.02 | 7.02 | 7.02 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class B | ||||||
Avg. Life (yrs) | 25.94 | 7.60 | 5.20 | 4.14 | 3.46 | 3.15 |
Mod. Duration (yrs) | 11.38 | 5.61 | 4.17 | 3.44 | 2.95 | 2.71 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Dec-09 |
Last Principal Payment | Jul-34 | Jan-17 | Jul-13 | Jan-12 | Feb-11 | May-10 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 36 |
Window (mo) | 60 | 64 | 41 | 26 | 15 | 6 |
Yield (%) @ 95.578455 | 7.41 | 7.82 | 8.10 | 8.32 | 8.54 | 8.67 |
Sensitivity Analysis - To Maturity |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-1 | ||||||
Avg. Life (yrs) | 21.05 | 5.95 | 4.15 | 3.16 | 2.53 | 2.09 |
Mod. Duration (yrs) | 11.70 | 4.49 | 3.36 | 2.67 | 2.20 | 1.86 |
First Principal Payment | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 |
Last Principal Payment | Oct-36 | Mar-33 | Jun-27 | Sep-22 | Jul-19 | Mar-17 |
Lockout (mo) | 0 | 0 | 0 | 0 | 0 | 0 |
Window (mo) | 359 | 316 | 247 | 190 | 152 | 124 |
Yield (%) @ par | 5.65 | 5.65 | 5.65 | 5.65 | 5.65 | 5.65 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-2A | ||||||
Avg. Life (yrs) | 14.10 | 1.72 | 1.25 | 1.00 | 0.85 | 0.75 |
Mod. Duration (yrs) | 9.37 | 1.59 | 1.17 | 0.94 | 0.81 | 0.71 |
First Principal Payment | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 |
Last Principal Payment | Jun-26 | Feb-10 | Feb-09 | Aug-08 | Apr-08 | Feb-08 |
Lockout (mo) | 0 | 0 | 0 | 0 | 0 | 0 |
Window (mo) | 235 | 39 | 27 | 21 | 17 | 15 |
Yield (%) @ par | 5.53 | 5.53 | 5.52 | 5.52 | 5.52 | 5.51 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-2B | ||||||
Avg. Life (yrs) | 23.61 | 5.61 | 3.91 | 3.00 | 2.36 | 1.94 |
Mod. Duration (yrs) | 12.79 | 4.65 | 3.40 | 2.68 | 2.15 | 1.79 |
First Principal Payment | Jun-26 | Feb-10 | Feb-09 | Aug-08 | Apr-08 | Feb-08 |
Last Principal Payment | Dec-33 | Nov-15 | Oct-12 | Sep-11 | Sep-10 | Sep-09 |
Lockout (mo) | 234 | 38 | 26 | 20 | 16 | 14 |
Window (mo) | 91 | 70 | 45 | 38 | 30 | 20 |
Yield (%) @ par | 5.63 | 5.63 | 5.63 | 5.63 | 5.63 | 5.63 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-2C | ||||||
Avg. Life (yrs) | 28.61 | 14.07 | 9.72 | 7.27 | 5.81 | 4.74 |
Mod. Duration (yrs) | 13.84 | 9.27 | 7.14 | 5.71 | 4.76 | 4.01 |
First Principal Payment | Dec-33 | Nov-15 | Oct-12 | Sep-11 | Sep-10 | Sep-09 |
Last Principal Payment | Oct-36 | Mar-33 | Jun-27 | Sep-22 | Jul-19 | Mar-17 |
Lockout (mo) | 324 | 107 | 70 | 57 | 45 | 33 |
Window (mo) | 35 | 209 | 177 | 133 | 107 | 91 |
Yield (%) @ par | 5.72 | 5.74 | 5.74 | 5.75 | 5.75 | 5.74 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class A-M | ||||||
Avg. Life (yrs) | 21.05 | 5.95 | 4.15 | 3.16 | 2.53 | 2.09 |
Mod. Duration (yrs) | 11.64 | 4.47 | 3.35 | 2.67 | 2.20 | 1.86 |
First Principal Payment | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 | Dec-06 |
Last Principal Payment | Oct-36 | Mar-33 | Jun-27 | Sep-22 | Jul-19 | Mar-17 |
Lockout (mo) | 0 | 0 | 0 | 0 | 0 | 0 |
Window (mo) | 359 | 316 | 247 | 190 | 152 | 124 |
Yield (%) @ par | 5.71 | 5.71 | 5.72 | 5.72 | 5.72 | 5.71 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-1 | ||||||
Avg. Life (yrs) | 26.70 | 9.80 | 6.78 | 5.17 | 4.34 | 3.91 |
Mod. Duration (yrs) | 13.31 | 7.05 | 5.33 | 4.28 | 3.70 | 3.40 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Jan-10 | Mar-10 |
Last Principal Payment | Jun-36 | Jul-25 | Mar-20 | Oct-16 | Jun-14 | Nov-12 |
Lockout (mo) | 272 | 58 | 39 | 36 | 37 | 39 |
Window (mo) | 83 | 166 | 121 | 83 | 54 | 33 |
Yield (%) @ par | 5.80 | 5.81 | 5.81 | 5.81 | 5.81 | 5.80 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-2 | ||||||
Avg. Life (yrs) | 26.69 | 9.69 | 6.70 | 5.09 | 4.25 | 3.83 |
Mod. Duration (yrs) | 13.28 | 7.00 | 5.28 | 4.23 | 3.64 | 3.33 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Jan-10 | Feb-10 |
Last Principal Payment | Apr-36 | Jun-24 | Apr-19 | Feb-16 | Dec-13 | May-12 |
Lockout (mo) | 272 | 58 | 39 | 36 | 37 | 38 |
Window (mo) | 81 | 153 | 110 | 75 | 48 | 28 |
Yield (%) @ par | 5.82 | 5.83 | 5.83 | 5.83 | 5.83 | 5.83 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-3 | ||||||
Avg. Life (yrs) | 26.67 | 9.55 | 6.60 | 5.01 | 4.19 | 3.78 |
Mod. Duration (yrs) | 13.25 | 6.94 | 5.23 | 4.18 | 3.60 | 3.30 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Jan-10 | Jan-10 |
Last Principal Payment | Mar-36 | Feb-23 | Apr-18 | Apr-15 | Apr-13 | Feb-12 |
Lockout (mo) | 272 | 58 | 39 | 36 | 37 | 37 |
Window (mo) | 80 | 137 | 98 | 65 | 40 | 26 |
Yield (%) @ par | 5.84 | 5.85 | 5.85 | 5.85 | 5.85 | 5.85 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-4 | ||||||
Avg. Life (yrs) | 26.66 | 9.44 | 6.51 | 4.94 | 4.13 | 3.73 |
Mod. Duration (yrs) | 13.15 | 6.87 | 5.17 | 4.13 | 3.55 | 3.25 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Jan-10 | Jan-10 |
Last Principal Payment | Jan-36 | Mar-22 | Aug-17 | Sep-14 | Nov-12 | Dec-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 37 | 37 |
Window (mo) | 78 | 126 | 90 | 58 | 35 | 24 |
Yield (%) @ par | 5.92 | 5.92 | 5.92 | 5.92 | 5.92 | 5.92 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-5 | ||||||
Avg. Life (yrs) | 26.63 | 9.32 | 6.39 | 4.86 | 4.05 | 3.71 |
Mod. Duration (yrs) | 13.10 | 6.81 | 5.10 | 4.07 | 3.49 | 3.23 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Jan-10 |
Last Principal Payment | Nov-35 | Sep-21 | Jan-17 | Apr-14 | Jul-12 | Nov-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 37 |
Window (mo) | 76 | 120 | 83 | 53 | 32 | 23 |
Yield (%) @ par | 5.95 | 5.95 | 5.95 | 5.95 | 5.95 | 5.95 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-6 | ||||||
Avg. Life (yrs) | 26.57 | 9.09 | 6.22 | 4.73 | 3.99 | 3.64 |
Mod. Duration (yrs) | 13.02 | 6.69 | 4.99 | 3.98 | 3.44 | 3.18 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Jan-10 |
Last Principal Payment | Sep-35 | Aug-20 | Mar-16 | Aug-13 | Mar-12 | Aug-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 37 |
Window (mo) | 74 | 107 | 73 | 45 | 28 | 20 |
Yield (%) @ par | 6.00 | 6.00 | 6.00 | 6.00 | 6.00 | 6.00 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-7 | ||||||
Avg. Life (yrs) | 26.49 | 8.81 | 6.01 | 4.57 | 3.94 | 3.49 |
Mod. Duration (yrs) | 12.32 | 6.40 | 4.78 | 3.82 | 3.36 | 3.03 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Dec-09 |
Last Principal Payment | May-35 | Jun-19 | Apr-15 | Dec-12 | Dec-11 | Mar-11 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 36 |
Window (mo) | 70 | 93 | 62 | 37 | 25 | 16 |
Yield (%) @ par | 6.55 | 6.55 | 6.55 | 6.55 | 6.55 | 6.55 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class M-8 | ||||||
Avg. Life (yrs) | 26.37 | 8.45 | 5.74 | 4.43 | 3.81 | 3.36 |
Mod. Duration (yrs) | 11.75 | 6.11 | 4.55 | 3.68 | 3.24 | 2.90 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Dec-09 |
Last Principal Payment | Jan-35 | May-18 | Jul-14 | Jun-12 | Sep-11 | Oct-10 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 36 |
Window (mo) | 66 | 80 | 53 | 31 | 22 | 11 |
Yield (%) @ par | 7.02 | 7.02 | 7.02 | 7.02 | 7.02 | 7.02 |
Percent of Pricing Speed | 0% | 50% | 75% | 100% | 125% | 150% |
Class B | ||||||
Avg. Life (yrs) | 25.94 | 7.60 | 5.20 | 4.14 | 3.46 | 3.15 |
Mod. Duration (yrs) | 11.38 | 5.61 | 4.17 | 3.44 | 2.95 | 2.71 |
First Principal Payment | Aug-29 | Oct-11 | Mar-10 | Dec-09 | Dec-09 | Dec-09 |
Last Principal Payment | Jul-34 | Jan-17 | Jul-13 | Jan-12 | Feb-11 | May-10 |
Lockout (mo) | 272 | 58 | 39 | 36 | 36 | 36 |
Window (mo) | 60 | 64 | 41 | 26 | 15 | 6 |
Yield (%) @ 95.578455 | 7.41 | 7.82 | 8.10 | 8.32 | 8.54 | 8.67 |
Available Funds Cap -Indices @ Spot | |||
Period | Class A & M & B (%) | Period | Class A & M & B (%) |
1 | 5.50 | 42 | 7.10 |
2 | 7.01 | 43 | 6.94 |
3 | 7.01 | 44 | 7.10 |
4 | 7.31 | 45 | 6.94 |
5 | 7.01 | 46 | 6.94 |
6 | 7.10 | 47 | 7.10 |
7 | 7.01 | 48 | 6.94 |
8 | 7.10 | 49 | 7.11 |
9 | 7.01 | 50 | 6.94 |
10 | 7.01 | 51 | 6.94 |
11 | 7.11 | 52 | 7.47 |
12 | 7.01 | 53 | 6.94 |
13 | 7.10 | 54 | 7.11 |
14 | 7.00 | 55 | 6.94 |
15 | 7.00 | 56 | 7.11 |
16 | 7.22 | 57 | 6.95 |
17 | 6.99 | 58 | 7.00 |
18 | 7.10 | 59 | 7.43 |
19 | 6.99 | 60 | 7.28 |
20 | 7.10 | 61 | 7.49 |
21 | 6.98 | 62 | 7.25 |
22 | 6.98 | 63 | 7.24 |
23 | 7.11 | 64 | 7.73 |
24 | 6.98 | 65 | 7.24 |
25 | 7.11 | 66 | 7.47 |
26 | 6.98 | 67 | 7.23 |
27 | 6.97 | 68 | 7.47 |
28 | 7.39 | 69 | 7.23 |
29 | 6.97 | 70 | 7.22 |
30 | 7.10 | 71 | 7.46 |
31 | 6.96 | 72 | 7.22 |
32 | 7.10 | 73 | 7.46 |
33 | 6.96 | 74 | 7.22 |
34 | 6.96 | 75 | 7.22 |
35 | 7.11 | 76 | 7.98 |
36 | 6.97 | 77 | 7.22 |
37 | 7.10 | 78 | 7.46 |
38 | 6.94 | 79 | 7.22 |
39 | 6.94 | 80 | 7.45 |
40 | 7.45 | 81 | 7.22 |
41 | 6.94 |
Available Funds Cap -Indices @ 20% | |||
Period | Class A & M & B (%) | Period | Class A & M & B (%) |
1 | 19.56 | 42 | 15.46 |
2 | 21.08 | 43 | 15.26 |
3 | 21.09 | 44 | 15.39 |
4 | 21.41 | 45 | 15.19 |
5 | 21.12 | 46 | 15.15 |
6 | 21.23 | 47 | 15.29 |
7 | 21.15 | 48 | 15.09 |
8 | 21.25 | 49 | 15.21 |
9 | 21.17 | 50 | 15.01 |
10 | 21.18 | 51 | 14.98 |
11 | 21.28 | 52 | 15.47 |
12 | 20.98 | 53 | 14.90 |
13 | 20.86 | 54 | 15.03 |
14 | 20.55 | 55 | 14.83 |
15 | 20.33 | 56 | 14.96 |
16 | 20.35 | 57 | 14.76 |
17 | 19.92 | 58 | 14.99 |
18 | 19.83 | 59 | 15.60 |
19 | 19.53 | 60 | 18.03 |
20 | 19.45 | 61 | 17.10 |
21 | 19.14 | 62 | 16.56 |
22 | 18.96 | 63 | 16.34 |
23 | 18.91 | 64 | 16.75 |
24 | 18.62 | 65 | 16.03 |
25 | 18.57 | 66 | 16.23 |
26 | 18.28 | 67 | 15.81 |
27 | 18.11 | 68 | 15.99 |
28 | 18.36 | 69 | 15.62 |
29 | 17.78 | 70 | 15.54 |
30 | 17.75 | 71 | 15.79 |
31 | 17.46 | 72 | 15.50 |
32 | 17.43 | 73 | 15.72 |
33 | 17.14 | 74 | 15.35 |
34 | 16.99 | 75 | 15.28 |
35 | 17.01 | 76 | 16.14 |
36 | 16.73 | 77 | 15.14 |
37 | 15.60 | 78 | 15.41 |
38 | 15.41 | 79 | 15.04 |
39 | 15.38 | 80 | 15.26 |
40 | 15.86 | 81 | 14.90 |
41 | 15.32 |
Excess Interest - Forward Indices | |||
Period | Excess Interest (%) | Period | Excess Interest (%) |
1 | 0.00 | 42 | 1.79 |
2 | 1.25 | 43 | 1.68 |
3 | 1.23 | 44 | 1.78 |
4 | 1.67 | 45 | 1.67 |
5 | 1.30 | 46 | 1.67 |
6 | 1.52 | 47 | 1.77 |
7 | 1.38 | 48 | 1.65 |
8 | 1.61 | 49 | 1.77 |
9 | 1.48 | 50 | 1.64 |
10 | 1.54 | 51 | 1.63 |
11 | 1.66 | 52 | 1.98 |
12 | 1.63 | 53 | 1.62 |
13 | 1.69 | 54 | 1.75 |
14 | 1.66 | 55 | 1.60 |
15 | 1.67 | 56 | 1.74 |
16 | 1.78 | 57 | 1.59 |
17 | 1.69 | 58 | 1.63 |
18 | 1.75 | 59 | 2.01 |
19 | 1.70 | 60 | 1.97 |
20 | 1.76 | 61 | 2.15 |
21 | 1.70 | 62 | 1.98 |
22 | 1.70 | 63 | 2.00 |
23 | 1.77 | 64 | 2.35 |
24 | 1.71 | 65 | 2.02 |
25 | 1.78 | 66 | 2.20 |
26 | 1.71 | 67 | 2.04 |
27 | 1.71 | 68 | 2.21 |
28 | 1.94 | 69 | 2.05 |
29 | 1.71 | 70 | 2.05 |
30 | 1.79 | 71 | 2.23 |
31 | 1.71 | 72 | 2.06 |
32 | 1.79 | 73 | 2.23 |
33 | 1.71 | 74 | 2.06 |
34 | 1.70 | 75 | 2.06 |
35 | 1.80 | 76 | 2.57 |
36 | 1.71 | 77 | 2.07 |
37 | 1.82 | 78 | 2.24 |
38 | 1.70 | 79 | 2.07 |
39 | 1.70 | 80 | 2.25 |
40 | 2.00 | 81 | 2.08 |
41 | 1.69 |
Swap Agreement Notional Balance Schedule
Period | Notional Balance ($) | Rate | Period | Notional Balance ($) | Rate | Period | Notional Balance ($) | Rate |
1 | 1,079,261,055 | 5.16552 | 29 | 408,723,114 | 5.15863 | 57 | 127,841,062 | 5.15259 |
2 | 1,074,161,977 | 5.16551 | 30 | 390,505,219 | 5.15832 | 58 | 123,907,178 | 5.15259 |
3 | 1,066,727,500 | 5.16550 | 31 | 373,086,460 | 5.15800 | 59 | 94,981,058 | 5.14163 |
4 | 1,056,943,194 | 5.16549 | 32 | 356,431,184 | 5.15768 | 60 | 9,763,191 | 5.08321 |
5 | 1,044,808,822 | 5.16547 | 33 | 340,505,358 | 5.15735 | 61 | 4,839,317 | 5.17704 |
6 | 1,030,338,710 | 5.16546 | 34 | 325,276,491 | 5.15701 | 62 | 4,690,233 | 5.17704 |
7 | 1,013,562,207 | 5.16545 | 35 | 310,713,554 | 5.15667 | 63 | 4,545,698 | 5.17704 |
8 | 994,524,642 | 5.16544 | 36 | 296,787,008 | 5.15729 | 64 | 4,405,575 | 5.17704 |
9 | 973,286,903 | 5.16542 | 37 | 238,414,702 | 5.15259 | 65 | 4,269,728 | 5.17704 |
10 | 949,936,989 | 5.16541 | 38 | 231,118,712 | 5.15259 | 66 | 4,138,030 | 5.17704 |
11 | 924,566,460 | 5.16540 | 39 | 224,043,887 | 5.15259 | 67 | 4,010,354 | 5.17704 |
12 | 884,880,006 | 5.16520 | 40 | 217,184,091 | 5.15259 | 68 | 3,886,578 | 5.17704 |
13 | 845,613,241 | 5.16499 | 41 | 210,532,300 | 5.15259 | 69 | 3,766,584 | 5.17704 |
14 | 808,091,342 | 5.16477 | 42 | 204,082,974 | 5.15259 | 70 | 3,650,258 | 5.17704 |
15 | 772,235,539 | 5.16454 | 43 | 197,829,383 | 5.15259 | 71 | 3,537,487 | 5.17704 |
16 | 737,970,670 | 5.16432 | 44 | 191,765,528 | 5.15259 | 72 | 3,428,165 | 5.17704 |
17 | 705,225,011 | 5.16409 | 45 | 185,886,413 | 5.15259 | 73 | 3,322,187 | 5.17704 |
18 | 673,930,120 | 5.16386 | 46 | 180,185,683 | 5.15259 | 74 | 3,219,451 | 5.17704 |
19 | 644,020,681 | 5.16362 | 47 | 174,658,443 | 5.15259 | 75 | 3,119,859 | 5.17704 |
20 | 615,434,360 | 5.16338 | 48 | 169,298,933 | 5.15259 | 76 | 3,023,316 | 5.17704 |
21 | 588,111,672 | 5.16208 | 49 | 164,102,876 | 5.15259 | 77 | 2,929,728 | 5.17704 |
22 | 561,995,842 | 5.16182 | 50 | 159,064,800 | 5.15259 | 78 | 2,839,007 | 5.17704 |
23 | 537,032,686 | 5.16156 | 51 | 154,179,854 | 5.15259 | 79 | 2,751,064 | 5.17704 |
24 | 513,170,567 | 5.16150 | 52 | 149,443,942 | 5.15259 | 80 | 2,665,816 | 5.17704 |
25 | 490,360,048 | 5.15984 | 53 | 144,852,189 | 5.15259 | 81 | 2,583,182 | 5.17704 |
26 | 468,554,002 | 5.15954 | 54 | 140,400,148 | 5.15259 | 82 | 2,503,080 | 5.17704 |
27 | 447,707,458 | 5.15925 | 55 | 136,083,514 | 5.15259 | 83 | 2,425,435 | 5.17704 |
28 | 427,777,488 | 5.15894 | 56 | 131,898,456 | 5.15259 |
Yield Maintenance Agreement I Notional Balance Schedule
Period | Notional Balance ($) | Cap Rate | Period | Notional Balance ($) | Cap Rate |
1 | 261,353,472 | 5.10425 | 31 | 120,548,856 | 5.10318 |
2 | 260,098,860 | 5.10417 | 32 | 116,865,542 | 5.10318 |
3 | 258,278,226 | 5.10408 | 33 | 113,293,870 | 5.10318 |
4 | 255,888,236 | 5.10399 | 34 | 109,830,672 | 5.10318 |
5 | 252,928,896 | 5.10390 | 35 | 106,472,464 | 5.10318 |
6 | 249,403,866 | 5.10381 | 36 | 103,215,966 | 5.10318 |
7 | 245,320,262 | 5.10371 | 37 | 100,058,374 | 5.10318 |
8 | 240,689,352 | 5.10361 | 38 | 96,996,704 | 5.10318 |
9 | 235,525,906 | 5.10350 | 39 | 94,027,848 | 5.10318 |
10 | 229,848,474 | 5.10340 | 40 | 91,149,172 | 5.10318 |
11 | 223,679,592 | 5.10329 | 41 | 88,357,820 | 5.10318 |
12 | 217,074,318 | 5.10319 | 42 | 85,651,340 | 5.10318 |
13 | 210,470,546 | 5.10319 | 43 | 83,027,102 | 5.10318 |
14 | 204,066,398 | 5.10318 | 44 | 80,482,442 | 5.10318 |
15 | 197,855,702 | 5.10318 | 45 | 78,015,238 | 5.10318 |
16 | 191,832,704 | 5.10318 | 46 | 75,622,976 | 5.10318 |
17 | 185,991,744 | 5.10318 | 47 | 73,303,466 | 5.10317 |
18 | 180,327,422 | 5.10318 | 48 | 71,054,376 | 5.10317 |
19 | 174,834,486 | 5.10318 | 49 | 68,873,778 | 5.10317 |
20 | 169,507,550 | 5.10318 | 50 | 66,759,566 | 5.10317 |
21 | 164,341,670 | 5.10318 | 51 | 64,709,588 | 5.10317 |
22 | 159,332,276 | 5.10318 | 52 | 62,722,088 | 5.10317 |
23 | 154,474,416 | 5.10318 | 53 | 60,795,142 | 5.10317 |
24 | 149,763,554 | 5.10318 | 54 | 58,926,836 | 5.10317 |
25 | 145,195,182 | 5.10318 | 55 | 57,115,348 | 5.10317 |
26 | 140,765,264 | 5.10318 | 56 | 55,359,026 | 5.10317 |
27 | 136,469,452 | 5.10318 | 57 | 53,656,286 | 5.10317 |
28 | 132,303,746 | 5.10318 | 58 | 52,005,398 | 5.10317 |
29 | 128,264,296 | 5.10318 | 59 | 48,185,720 | 5.09826 |
30 | 124,347,196 | 5.10318 | 60 | 15,264,320 | 4.99300 |
Yield Maintenance Agreement II Notional Balance Schedule
Period | Notional Balance ($) | Cap Rate | Period | Notional Balance ($) | Cap Rate |
60 | 188,590,954 | 7.25000 | 71 | 96,021,319 | 7.25000 |
61 | 173,668,972 | 7.25000 | 72 | 92,542,982 | 7.25000 |
62 | 160,368,495 | 7.25000 | 73 | 89,188,766 | 7.25000 |
63 | 148,506,948 | 7.25000 | 74 | 85,953,940 | 7.25000 |
64 | 137,905,145 | 7.25000 | 75 | 82,833,989 | 7.25000 |
65 | 128,410,987 | 7.25000 | 76 | 79,824,579 | 7.25000 |
66 | 120,002,390 | 7.25000 | 77 | 76,921,548 | 7.25000 |
67 | 113,296,163 | 7.25000 | 78 | 74,120,906 | 7.25000 |
68 | 107,933,936 | 7.25000 | 79 | 71,418,822 | 7.25000 |
69 | 103,472,041 | 7.25000 | 80 | 68,811,600 | 7.25000 |
70 | 99,629,658 | 7.25000 | 81 | 66,295,704 | 7.25000 |
Contact Information |
Bear Stearns’ Banking Contacts | ||
Name: | Telephone: | E-Mail: |
Matthew Perkins Senior Managing Director | (212) 272-7977 | mperkins@bear.com |
Josephine Musso Managing Director | (212) 272-6033 | jmusso@bear.com |
Nicholas Smith Vice-President | (212) 272-1241 | nesmith@bear.com |
Lisa Marks Managing Director | (212) 272-6420 | lmarks@bear.com |
Paul Nostro Analyst / Collateral | (212) 272-7621 | pnostro@bear.com |
Bear Stearns’ Trading Contacts | ||
Name: | Telephone: | E-Mail: |
Scott Eichel Senior Managing Director | (212) 272-5451 | seichel@bear.com |
Carol Fuller Senior Managing Director | (212) 272-4955 | cfuller@bear.com |
Angela Ward Associate Director | (212) 272-4955 | adward@bear.com |
Rating Agency Contacts | ||
Name: | Telephone: | E-Mail: |
Eric Fellows Moody’s | (415) 274-1728 | Eric.Fellows@moodys.com |
David Glehan Standard and Poor’s | (212) 438-7324 | David_Glehan@sandp.com |
![]() | BEAR, STEARNS & CO. INC. |
ATLANTA • BOSTON • CHICAGO | ASSET-BACKED SECURITIES GROUP |
DALLAS • LOS ANGELES • NEW YORK • SAN FRANCISCO | 383 Madison Avenue |
FRANKFURT • GENEVA • HONG KONG | New York, N.Y. 10179 |
LONDON • PARIS • TOKYO | (212) 272-2000 |
Part II of II
New Issue Computational Materials
$1,388,802,000 (Approximate)
Impac Secured Assets Corp.,
Mortgage Pass-Through Certificates, Series 2006-4
![](https://capedge.com/proxy/FWP/0000882377-06-003787/impac.jpg)
Impac Funding Corporation
Seller and Master Servicer
GMAC Mortgage Corporation
Sub-Servicer
October 30, 2006
![](https://capedge.com/proxy/FWP/0000882377-06-003787/bearstearns.jpg)
This information should be considered only after reading Bear Stearns’ Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the “Statement”), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (File No. 333-131328) (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 the registration statement and other documents the depositor has filed with the SEC for more complete information about the depositor, 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 you request it by calling toll free 1-866-803-9204.
This free writing prospectus does not 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 supersedes information contained in any prior similar free writing prospectus relating to these securities prior to the time of your commitment to purchase.
This free writing prospectus is not an offer to sell or 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 is preliminary, and will be superseded by the definitive free writing prospectus. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the asset-backed securities referred to in this free writing prospectus and to solicit an indication of your interest in purchasing such securities, when, as and if issued. Any such indication of interest will not constitute a contractual commitment by you to purchase any of the securities. You may withdraw your indication of interest at any time.
The securities referred to in this free writing prospectus are being offered when, as and if issued. Our obligation to sell securities to you is conditioned on the securities having the characteristics described in this free writing prospectus. If that condition is not satisfied, we will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery.
SECURITIES, PRICING ESTIMATES AND OTHER INFORMATION
The information contained in the attached materials (the “Information”) may include various forms of performance analysis, security characteristics and securities pricing estimates for the securities described therein. Should you receive Information that refers to the “Statement Regarding Assumptions and Other Information”, please refer to this statement instead. The Information is illustrative and is not intended to predict actual results which may differ substantially from those reflected in the Information. Performance analysis is based on certain assumptions with respect to significant factors that may prove not to be as assumed. Performance results are based on mathematical models that use inputs to calculate results. As with all models, results may vary significantly depending upon the value given to the inputs. Inputs to these models include but are not limited to: prepayment expectations (econometric prepayment models, single expected lifetime prepayments or a vector of periodic prepayments), interest rate assumptions (parallel and nonparallel changes for different maturity instruments), collateral assumptions (actual pool level data, aggregated pool level data, reported factors or imputed factors), volatility assumptions (historically observed or implied current) and reported information (paydown factors, rate resets, remittance reports and trustee statements). Models used in any analysis may be proprietary, the results therefore, may be difficult for any third party to reproduce. Contact your registered representative for detailed explanations of any modeling techniques employed in the Information.
The Information may not reflect the impact of all structural characteristics of the security, including call events and cash flow priorities at all prepayment speeds and/or interest rates. You should consider whether the behavior of these securities should be tested using assumptions different from those included in the Information. The assumptions underlying the Information, including structure and collateral, may be modified from time to time to reflect changed facts and circumstances. Offering Documents contain data that is current as of their publication dates and after publication may no longer be accurate, complete or current. Contact your registered representative for Offering Documents, current Information or additional materials, including other models for performance analysis, which are likely to produce different results, and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent our view, at the time determined, of the investment value of the securities between the estimated bid and offer levels, the spread between which may be significant due to market volatility or illiquidity, (b) do not constitute a bid by Bear Stearns or any other person for any security, (c) may not constitute prices at which the securities could have been purchased or sold in any market at any time, (d) have not been confirmed by actual trades, may vary from the value Bear Stearns assigns or may be assigned to any such security while in its inventory, and may not take into account the size of a position you have in the security, and (e) may have been derived from matrix pricing that uses data relating to other securities whose prices are more readily ascertainable to produce a hypothetical price based on the estimated yield spread relationship between the securities.
General Information: Bear Stearns and/or individuals associated therewith may have positions in these securities while the Information is circulating or during such period may engage in transactions with the issuer or its affiliates. We act as principal in transactions with you, and accordingly, you must determine the appropriateness for you of such transactions and address any legal, tax or accounting considerations applicable to you. Bear Stearns shall not be a fiduciary or advisor unless we have agreed in writing to receive compensation specifically to act in such capacities. If you are subject to ERISA, the Information is being furnished on the condition that it will not form a primary basis for any investment decision.
Mortgage Loans
Summary of Loans in Sample Calculation Pool
(As of Sample Calculation Date)
Range | ||||||
Total Number of Loans | 5,254 | |||||
Total Outstanding Balance | $1,400,001,647.10 | |||||
Average Loan Balance | $266,463.96 | $19,296.87 | to | $2,000,000.00 | ||
WA Mortgage Rate | 7.322% | 3.990% | to | 14.850% | ||
WA Mortgage Rate Net LPMI | 7.308% | 3.990% | to | 14.850% | ||
Net WAC | 6.941% | 3.585% | to | 14.320% | ||
% of Fixed Rate Mortgage Loans | 35.88% | |||||
% of ARM Loans | 64.12% | |||||
ARM Characteristics | ||||||
WA Gross Margin | 2.671% | 1.875% | to | 7.125% | ||
WA Months to First Roll | 58 | 0 | to | 119 | ||
WA Initial Rate Cap | 4.547% | 1.000% | to | 6.000% | ||
WA Subsequent Rate Cap | 1.429% | 1.000% | to | 2.000% | ||
WA Lifetime Cap | 12.619% | 8.990% | to | 17.750% | ||
WA Lifetime Floor | 2.844% | 1.875% | to | 11.750% | ||
WA Original Term (months) | 352 | 180 | to | 360 | ||
WA Remaining Term (months) | 351 | 170 | to | 360 | ||
WA Age (months) | 2 | 0 | to | 52 | ||
WA LTV | 75.63% | 8.71% | to | 100.00% | ||
WA FICO | 702 | 0 | to | 820 | ||
WA DTI% | 39.53% | 0 | to | 61.75 | ||
Secured by (% of pool) | ||||||
1st Liens | 97.09% | |||||
Prepayment Penalty at Loan Orig (% of all loans) | 35.65% | |||||
Prepay Moves Exempted | ||||||
Soft | 11.40% | |||||
Hard | 24.25% | |||||
No Prepay | 64.35% | |||||
% Interest Only | 75.83% | |||||
WA Interest Only Term (months) | 82 | |||||
% Silent Seconds | 60.23% | |||||
% Loans LTV Greater than 80.00% | 5.45% | |||||
% Loans LTV Greater than 80.00% that have MI | 39.60% |
Top 5 States (%) | Top 5 Prop Types (%) | Top 5 Doc Types (%) | Purpose Codes (%) | Occ Codes (%) | Orig PP Term (%) | |||||||||||
CA | 41.02 | SFR | 58.89 | Stated | 57.86 | PUR | 56.12 | OO | 79.65 | None | 64.35 | |||||
FL | 10.72 | PUD | 12.68 | Full | 12.79 | REFI/CO | 30.98 | NOO | 17.53 | 6 | 0.52 | |||||
NY | 5.40 | CND | 10.66 | Exp VA | 12.52 | REFI/RT | 12.90 | 2nd HM | 2.82 | 12 | 8.44 | |||||
AZ | 5.14 | 2F | 5.68 | SISA | 8.34 | 24 | 3.76 | |||||||||
VA | 4.16 | D PUD | 5.55 | Exp ND | 7.54 | 36 | 20.61 | |||||||||
60 | 2.32 |
Mortgage Loans
Description | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
1/1LIBOR | 107,622.75 | 1 | 0.01 | 107,622.75 | 7.000 | 358 | 759 | 70.00 | |||||||||||||||||
1/1LIBOR IO | 1,893,855.00 | 6 | 0.14 | 315,642.50 | 7.636 | 358 | 729 | 70.56 | |||||||||||||||||
10/1LIBOR BAL IO | 184,916.14 | 1 | 0.01 | 184,916.14 | 6.375 | 358 | 692 | 60.66 | |||||||||||||||||
10/1LIBOR IO | 2,651,000.00 | 5 | 0.19 | 530,200.00 | 7.107 | 357 | 696 | 73.70 | |||||||||||||||||
10/6LIBOR | 703,233.45 | 2 | 0.05 | 351,616.73 | 7.253 | 359 | 639 | 78.26 | |||||||||||||||||
10/6LIBOR IO | 2,364,000.00 | 4 | 0.17 | 591,000.00 | 6.887 | 358 | 707 | 78.22 | |||||||||||||||||
15YR FIXED | 4,861,426.33 | 22 | 0.35 | 220,973.92 | 6.635 | 179 | 726 | 54.95 | |||||||||||||||||
15YR FIXED IO | 15,624,670.00 | 49 | 1.12 | 318,870.82 | 7.957 | 178 | 685 | 80.55 | |||||||||||||||||
1MLIBOR | 365,000.00 | 1 | 0.03 | 365,000.00 | 7.050 | 360 | 732 | 100.00 | |||||||||||||||||
1MLIBOR IO | 391,200.00 | 1 | 0.03 | 391,200.00 | 7.500 | 357 | 685 | 80.00 | |||||||||||||||||
2/6LIBOR | 2,515,322.91 | 9 | 0.18 | 279,480.32 | 9.190 | 358 | 664 | 78.68 | |||||||||||||||||
2/6LIBOR BAL | 423,706.84 | 4 | 0.03 | 105,926.71 | 9.358 | 358 | 623 | 80.50 | |||||||||||||||||
2/6LIBOR IO | 11,362,923.75 | 39 | 0.81 | 291,357.02 | 7.842 | 358 | 682 | 76.54 | |||||||||||||||||
20YR FIXED | 96,095.32 | 2 | 0.01 | 48,047.66 | 13.770 | 238 | 632 | 98.01 | |||||||||||||||||
3/1LIBOR | 194,702.33 | 1 | 0.01 | 194,702.33 | 7.375 | 358 | 638 | 52.64 | |||||||||||||||||
3/1LIBOR IO | 4,272,378.35 | 13 | 0.31 | 328,644.49 | 7.739 | 357 | 740 | 73.77 | |||||||||||||||||
3/6LIBOR | 2,784,453.16 | 12 | 0.20 | 232,037.76 | 7.664 | 358 | 702 | 77.13 | |||||||||||||||||
3/6LIBOR IO | 18,319,453.46 | 58 | 1.31 | 315,852.65 | 7.215 | 358 | 693 | 72.83 | |||||||||||||||||
30/15 FIXED BAL | 37,317,914.68 | 470 | 2.67 | 79,399.82 | 12.214 | 178 | 685 | 97.36 | |||||||||||||||||
30/15 FIXED BAL IO | 1,413,899.58 | 16 | 0.10 | 88,368.72 | 11.821 | 178 | 700 | 98.27 | |||||||||||||||||
30YR FIXED | 186,558,135.68 | 851 | 13.33 | 219,222.25 | 7.227 | 358 | 698 | 73.72 | |||||||||||||||||
30YR FIXED IO | 254,200,439.08 | 932 | 18.16 | 272,747.25 | 7.321 | 359 | 697 | 75.88 | |||||||||||||||||
40/30 FIXED BAL | 2,231,567.89 | 6 | 0.16 | 371,927.98 | 7.304 | 358 | 663 | 62.69 | |||||||||||||||||
5/1CMT IO | 195,100.00 | 1 | 0.01 | 195,100.00 | 6.250 | 358 | 797 | 80.00 | |||||||||||||||||
5/1LIBOR | 21,340,735.48 | 83 | 1.52 | 257,117.29 | 6.869 | 358 | 720 | 74.25 | |||||||||||||||||
5/1LIBOR IO | 185,835,471.44 | 540 | 13.27 | 344,139.76 | 6.878 | 358 | 716 | 76.23 | |||||||||||||||||
5/6LIBOR | 64,196,827.10 | 260 | 4.59 | 246,910.87 | 7.446 | 358 | 699 | 75.18 | |||||||||||||||||
5/6LIBOR BAL | 12,038,599.39 | 43 | 0.86 | 279,967.43 | 7.344 | 358 | 667 | 76.34 | |||||||||||||||||
5/6LIBOR IO | 535,063,786.22 | 1,747 | 38.22 | 306,275.78 | 7.152 | 358 | 702 | 74.75 | |||||||||||||||||
6MLIBOR IO | 539,200.00 | 2 | 0.04 | 269,600.00 | 7.627 | 358 | 691 | 80.00 | |||||||||||||||||
7/1LIBOR | 1,476,808.09 | 3 | 0.11 | 492,269.36 | 6.997 | 358 | 744 | 45.52 | |||||||||||||||||
7/1LIBOR IO | 18,793,566.10 | 38 | 1.34 | 494,567.53 | 6.868 | 358 | 713 | 75.40 | |||||||||||||||||
7/6LIBOR | 1,147,429.58 | 6 | 0.08 | 191,238.26 | 6.872 | 359 | 715 | 67.98 | |||||||||||||||||
7/6LIBOR IO | 8,536,207.00 | 26 | 0.61 | 328,315.65 | 6.772 | 359 | 695 | 75.31 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Range of Current Balance | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
0.00 - 250,000.00 | 433,869,022.11 | 2,996 | 30.99 | 144,816.10 | 7.747 | 341 | 697 | 77.13 | |||||||||||||||||
250,000.01 - 300,000.00 | 145,582,068.49 | 531 | 10.40 | 274,165.85 | 7.161 | 356 | 698 | 75.76 | |||||||||||||||||
300,000.01 - 350,000.00 | 131,970,438.45 | 407 | 9.43 | 324,251.69 | 7.124 | 356 | 698 | 75.51 | |||||||||||||||||
350,000.01 - 400,000.00 | 130,097,092.41 | 345 | 9.29 | 377,093.02 | 7.118 | 355 | 700 | 76.28 | |||||||||||||||||
400,000.01 - 450,000.00 | 112,829,879.89 | 267 | 8.06 | 422,583.82 | 7.122 | 356 | 700 | 74.87 | |||||||||||||||||
450,000.01 - 500,000.00 | 90,613,473.77 | 190 | 6.47 | 476,913.02 | 7.162 | 353 | 704 | 76.71 | |||||||||||||||||
500,000.01 - 550,000.00 | 73,243,021.04 | 140 | 5.23 | 523,164.44 | 7.094 | 351 | 703 | 75.83 | |||||||||||||||||
550,000.01 - 600,000.00 | 54,448,326.47 | 94 | 3.89 | 579,237.52 | 7.066 | 358 | 711 | 75.45 | |||||||||||||||||
600,000.01 - 650,000.00 | 50,937,728.04 | 81 | 3.64 | 628,860.84 | 7.281 | 356 | 715 | 74.54 | |||||||||||||||||
650,000.01 - 700,000.00 | 28,457,220.82 | 42 | 2.03 | 677,552.88 | 7.005 | 346 | 717 | 71.21 | |||||||||||||||||
700,000.01 - 750,000.00 | 23,376,225.39 | 32 | 1.67 | 730,507.04 | 7.061 | 358 | 707 | 72.39 | |||||||||||||||||
750,000.01 - 800,000.00 | 25,647,532.75 | 33 | 1.83 | 777,197.96 | 7.314 | 359 | 712 | 75.15 | |||||||||||||||||
800,000.01 - 850,000.00 | 13,308,269.24 | 16 | 0.95 | 831,766.83 | 7.106 | 347 | 715 | 68.30 | |||||||||||||||||
850,000.01 - 900,000.00 | 11,425,342.63 | 13 | 0.82 | 878,872.51 | 7.003 | 358 | 721 | 76.83 | |||||||||||||||||
900,000.01 - 950,000.00 | 12,018,116.86 | 13 | 0.86 | 924,470.53 | 7.373 | 358 | 696 | 74.28 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 31,675,436.92 | 32 | 2.26 | 989,857.40 | 7.105 | 358 | 719 | 70.15 | |||||||||||||||||
1,000,000.01 - 1,050,000.00 | 2,047,500.00 | 2 | 0.15 | 1,023,750.00 | 7.323 | 358 | 741 | 65.14 | |||||||||||||||||
1,050,000.01 - 1,150,000.00 | 2,224,005.58 | 2 | 0.16 | 1,112,002.79 | 6.242 | 359 | 746 | 67.13 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 1,188,733.99 | 1 | 0.08 | 1,188,733.99 | 6.250 | 358 | 760 | 73.25 | |||||||||||||||||
1,200,000.01 - 1,300,000.00 | 6,237,500.00 | 5 | 0.45 | 1,247,500.00 | 7.396 | 358 | 697 | 69.95 | |||||||||||||||||
1,300,000.01 - 1,400,000.00 | 4,058,362.72 | 3 | 0.29 | 1,352,787.57 | 7.557 | 358 | 691 | 71.27 | |||||||||||||||||
1,400,000.01 - 1,450,000.00 | 1,424,250.00 | 1 | 0.10 | 1,424,250.00 | 6.500 | 355 | 723 | 75.00 | |||||||||||||||||
1,450,000.01 - 1,750,000.00 | 7,541,000.00 | 5 | 0.54 | 1,508,200.00 | 6.689 | 357 | 726 | 68.57 | |||||||||||||||||
1,750,000.01 - 1,800,000.00 | 1,781,099.53 | 1 | 0.13 | 1,781,099.53 | 7.625 | 357 | 678 | 70.00 | |||||||||||||||||
1,800,000.01 + | 4,000,000.00 | 2 | 0.29 | 2,000,000.00 | 6.625 | 359 | 699 | 61.08 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Range of Original Balance | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
0.00 - 250,000.00 | 433,869,022.11 | 2,996 | 30.99 | 144,816.10 | 7.747 | 341 | 697 | 77.13 | |||||||||||||||||
250,000.01 - 300,000.00 | 145,582,068.49 | 531 | 10.40 | 274,165.85 | 7.161 | 356 | 698 | 75.76 | |||||||||||||||||
300,000.01 - 350,000.00 | 131,970,438.45 | 407 | 9.43 | 324,251.69 | 7.124 | 356 | 698 | 75.51 | |||||||||||||||||
350,000.01 - 400,000.00 | 130,097,092.41 | 345 | 9.29 | 377,093.02 | 7.118 | 355 | 700 | 76.28 | |||||||||||||||||
400,000.01 - 450,000.00 | 112,829,879.89 | 267 | 8.06 | 422,583.82 | 7.122 | 356 | 700 | 74.87 | |||||||||||||||||
450,000.01 - 500,000.00 | 90,613,473.77 | 190 | 6.47 | 476,913.02 | 7.162 | 353 | 704 | 76.71 | |||||||||||||||||
500,000.01 - 550,000.00 | 73,243,021.04 | 140 | 5.23 | 523,164.44 | 7.094 | 351 | 703 | 75.83 | |||||||||||||||||
550,000.01 - 600,000.00 | 54,448,326.47 | 94 | 3.89 | 579,237.52 | 7.066 | 358 | 711 | 75.45 | |||||||||||||||||
600,000.01 - 650,000.00 | 50,937,728.04 | 81 | 3.64 | 628,860.84 | 7.281 | 356 | 715 | 74.54 | |||||||||||||||||
650,000.01 - 700,000.00 | 28,457,220.82 | 42 | 2.03 | 677,552.88 | 7.005 | 346 | 717 | 71.21 | |||||||||||||||||
700,000.01 - 750,000.00 | 23,376,225.39 | 32 | 1.67 | 730,507.04 | 7.061 | 358 | 707 | 72.39 | |||||||||||||||||
750,000.01 - 800,000.00 | 25,647,532.75 | 33 | 1.83 | 777,197.96 | 7.314 | 359 | 712 | 75.15 | |||||||||||||||||
800,000.01 - 850,000.00 | 13,308,269.24 | 16 | 0.95 | 831,766.83 | 7.106 | 347 | 715 | 68.30 | |||||||||||||||||
850,000.01 - 900,000.00 | 11,425,342.63 | 13 | 0.82 | 878,872.51 | 7.003 | 358 | 721 | 76.83 | |||||||||||||||||
900,000.01 - 950,000.00 | 12,018,116.86 | 13 | 0.86 | 924,470.53 | 7.373 | 358 | 696 | 74.28 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 31,675,436.92 | 32 | 2.26 | 989,857.40 | 7.105 | 358 | 719 | 70.15 | |||||||||||||||||
1,000,000.01 - 1,050,000.00 | 2,047,500.00 | 2 | 0.15 | 1,023,750.00 | 7.323 | 358 | 741 | 65.14 | |||||||||||||||||
1,050,000.01 - 1,150,000.00 | 2,224,005.58 | 2 | 0.16 | 1,112,002.79 | 6.242 | 359 | 746 | 67.13 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 1,188,733.99 | 1 | 0.08 | 1,188,733.99 | 6.250 | 358 | 760 | 73.25 | |||||||||||||||||
1,200,000.01 - 1,300,000.00 | 6,237,500.00 | 5 | 0.45 | 1,247,500.00 | 7.396 | 358 | 697 | 69.95 | |||||||||||||||||
1,300,000.01 - 1,400,000.00 | 4,058,362.72 | 3 | 0.29 | 1,352,787.57 | 7.557 | 358 | 691 | 71.27 | |||||||||||||||||
1,400,000.01 - 1,450,000.00 | 1,424,250.00 | 1 | 0.10 | 1,424,250.00 | 6.500 | 355 | 723 | 75.00 | |||||||||||||||||
1,450,000.01 - 1,750,000.00 | 7,541,000.00 | 5 | 0.54 | 1,508,200.00 | 6.689 | 357 | 726 | 68.57 | |||||||||||||||||
1,750,000.01 - 1,800,000.00 | 1,781,099.53 | 1 | 0.13 | 1,781,099.53 | 7.625 | 357 | 678 | 70.00 | |||||||||||||||||
1,800,000.01 + | 4,000,000.00 | 2 | 0.29 | 2,000,000.00 | 6.625 | 359 | 699 | 61.08 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
State* | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
California | 574,219,983.14 | 1,589 | 41.02 | 361,371.92 | 7.070 | 348 | 708 | 74.54 | |||||||||||||||||
Florida | 150,105,522.84 | 712 | 10.72 | 210,822.36 | 7.672 | 349 | 695 | 75.98 | |||||||||||||||||
New York | 75,583,782.52 | 216 | 5.40 | 349,924.92 | 7.620 | 350 | 687 | 75.19 | |||||||||||||||||
Arizona | 71,996,367.01 | 289 | 5.14 | 249,122.38 | 7.407 | 356 | 698 | 75.03 | |||||||||||||||||
Virginia | 58,262,965.85 | 202 | 4.16 | 288,430.52 | 7.325 | 353 | 692 | 78.15 | |||||||||||||||||
Illinois | 54,451,441.78 | 256 | 3.89 | 212,700.94 | 7.736 | 353 | 690 | 77.22 | |||||||||||||||||
Maryland | 39,114,529.95 | 166 | 2.79 | 235,629.70 | 7.471 | 351 | 690 | 77.99 | |||||||||||||||||
New Jersey | 35,765,799.26 | 123 | 2.55 | 290,778.86 | 7.695 | 352 | 699 | 74.59 | |||||||||||||||||
Nevada | 35,254,772.51 | 146 | 2.52 | 241,471.04 | 7.294 | 351 | 694 | 76.55 | |||||||||||||||||
Other | 305,246,482.24 | 1,555 | 21.80 | 196,299.99 | 7.396 | 355 | 702 | 76.69 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
* All States with loan concentrations less than 2.52% of the total balance were placed in the other category.
Mortgage Loans
Loan-to-Value Ratios | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
0.00 - 10.00 | 135,000.00 | 1 | 0.01 | 135,000.00 | 6.750 | 357 | 701 | 8.71 | |||||||||||||||||
10.01 - 15.00 | 359,668.15 | 5 | 0.03 | 71,933.63 | 6.677 | 334 | 732 | 14.18 | |||||||||||||||||
15.01 - 20.00 | 713,286.90 | 5 | 0.05 | 142,657.38 | 6.596 | 359 | 693 | 17.14 | |||||||||||||||||
20.01 - 25.00 | 1,916,960.60 | 9 | 0.14 | 212,995.62 | 6.678 | 325 | 698 | 23.19 | |||||||||||||||||
25.01 - 30.00 | 2,450,513.53 | 14 | 0.18 | 175,036.68 | 6.969 | 358 | 717 | 27.89 | |||||||||||||||||
30.01 - 35.00 | 3,651,584.70 | 19 | 0.26 | 192,188.67 | 6.535 | 341 | 740 | 32.81 | |||||||||||||||||
35.01 - 40.00 | 7,536,105.41 | 29 | 0.54 | 259,865.70 | 6.566 | 334 | 723 | 38.14 | |||||||||||||||||
40.01 - 45.00 | 9,020,249.91 | 33 | 0.64 | 273,340.91 | 6.758 | 359 | 714 | 42.61 | |||||||||||||||||
45.01 - 50.00 | 18,541,293.54 | 67 | 1.32 | 276,735.72 | 6.636 | 356 | 719 | 48.09 | |||||||||||||||||
50.01 - 55.00 | 25,730,569.06 | 80 | 1.84 | 321,632.11 | 6.741 | 355 | 716 | 53.28 | |||||||||||||||||
55.01 - 60.00 | 31,031,729.64 | 89 | 2.22 | 348,671.12 | 6.705 | 356 | 719 | 57.94 | |||||||||||||||||
60.01 - 65.00 | 54,868,657.49 | 170 | 3.92 | 322,756.81 | 6.870 | 358 | 696 | 63.50 | |||||||||||||||||
65.01 - 70.00 | 179,900,067.49 | 661 | 12.85 | 272,163.49 | 7.119 | 358 | 703 | 69.40 | |||||||||||||||||
70.01 - 75.00 | 204,396,930.45 | 636 | 14.60 | 321,378.82 | 7.211 | 357 | 702 | 74.54 | |||||||||||||||||
75.01 - 80.00 | 783,510,944.70 | 2,756 | 55.97 | 284,292.80 | 7.230 | 355 | 701 | 79.77 | |||||||||||||||||
80.01 - 85.00 | 7,713,202.11 | 48 | 0.55 | 160,691.71 | 7.977 | 338 | 675 | 83.95 | |||||||||||||||||
85.01 - 90.00 | 19,376,782.74 | 130 | 1.38 | 149,052.17 | 8.665 | 325 | 686 | 89.83 | |||||||||||||||||
90.01 - 95.00 | 20,389,992.02 | 204 | 1.46 | 99,950.94 | 10.287 | 271 | 682 | 94.75 | |||||||||||||||||
95.01 + | 28,758,108.66 | 298 | 2.05 | 96,503.72 | 11.759 | 199 | 684 | 99.78 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Current Mortgage Rate | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
3.500 - 3.999 | 861,250.00 | 1 | 0.06 | 861,250.00 | 3.990 | 357 | 727 | 80.00 | |||||||||||||||||
5.000 - 5.499 | 1,661,475.90 | 6 | 0.12 | 276,912.65 | 5.207 | 358 | 727 | 68.05 | |||||||||||||||||
5.500 - 5.999 | 25,435,412.27 | 67 | 1.82 | 379,633.02 | 5.829 | 358 | 730 | 67.20 | |||||||||||||||||
6.000 - 6.499 | 107,832,710.80 | 279 | 7.70 | 386,497.17 | 6.240 | 355 | 718 | 69.99 | |||||||||||||||||
6.500 - 6.999 | 453,389,449.97 | 1,446 | 32.38 | 313,547.34 | 6.741 | 357 | 712 | 73.52 | |||||||||||||||||
7.000 - 7.499 | 339,872,487.45 | 1,284 | 24.28 | 264,698.20 | 7.192 | 357 | 700 | 75.91 | |||||||||||||||||
7.500 - 7.999 | 277,342,350.05 | 1,045 | 19.81 | 265,399.38 | 7.666 | 353 | 690 | 76.85 | |||||||||||||||||
8.000 - 8.499 | 94,749,641.80 | 378 | 6.77 | 250,660.43 | 8.177 | 355 | 686 | 78.08 | |||||||||||||||||
8.500 - 8.999 | 41,343,850.20 | 177 | 2.95 | 233,581.07 | 8.682 | 351 | 676 | 78.53 | |||||||||||||||||
9.000 - 9.499 | 8,740,353.89 | 36 | 0.62 | 242,787.61 | 9.170 | 338 | 680 | 81.12 | |||||||||||||||||
9.500 - 9.999 | 7,735,603.00 | 30 | 0.55 | 257,853.43 | 9.699 | 344 | 672 | 84.15 | |||||||||||||||||
10.000 - 10.499 | 1,399,063.16 | 13 | 0.10 | 107,620.24 | 10.294 | 219 | 715 | 91.70 | |||||||||||||||||
10.500 - 10.999 | 3,886,839.85 | 44 | 0.28 | 88,337.27 | 10.756 | 206 | 714 | 96.95 | |||||||||||||||||
11.000 - 11.499 | 3,995,314.82 | 45 | 0.29 | 88,784.77 | 11.229 | 179 | 710 | 98.18 | |||||||||||||||||
11.500 - 11.999 | 6,742,785.09 | 89 | 0.48 | 75,761.63 | 11.734 | 189 | 690 | 97.24 | |||||||||||||||||
12.000 - 12.499 | 6,663,842.17 | 83 | 0.48 | 80,287.26 | 12.240 | 184 | 697 | 97.05 | |||||||||||||||||
12.500 - 12.999 | 10,388,607.79 | 127 | 0.74 | 81,800.06 | 12.702 | 184 | 671 | 97.57 | |||||||||||||||||
13.000 - 13.499 | 3,086,588.86 | 38 | 0.22 | 81,226.02 | 13.187 | 178 | 649 | 97.60 | |||||||||||||||||
13.500 - 13.999 | 3,468,750.67 | 49 | 0.25 | 70,790.83 | 13.689 | 187 | 643 | 97.77 | |||||||||||||||||
14.000 - 14.499 | 780,699.51 | 8 | 0.06 | 97,587.44 | 14.088 | 296 | 677 | 94.09 | |||||||||||||||||
14.500 - 14.999 | 624,569.85 | 9 | 0.04 | 69,396.65 | 14.625 | 179 | 680 | 94.81 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Property Type | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
2-FAMILY | 79,589,777.29 | 269 | 5.68 | 295,872.78 | 7.534 | 351 | 698 | 75.57 | |||||||||||||||||
3-FAMILY | 35,799,556.59 | 103 | 2.56 | 347,568.51 | 7.765 | 340 | 706 | 73.82 | |||||||||||||||||
4-FAMILY | 31,343,400.25 | 92 | 2.24 | 340,689.13 | 8.084 | 339 | 707 | 75.37 | |||||||||||||||||
2-4FAMILY | 5,515,548.43 | 16 | 0.39 | 344,721.78 | 6.952 | 357 | 708 | 73.40 | |||||||||||||||||
CONDO | 149,184,406.92 | 671 | 10.66 | 222,331.46 | 7.326 | 349 | 707 | 75.77 | |||||||||||||||||
CONDOTEL | 172,800.00 | 1 | 0.01 | 172,800.00 | 8.375 | 358 | 742 | 80.00 | |||||||||||||||||
D-PUDS | 77,641,225.12 | 279 | 5.55 | 278,283.96 | 7.367 | 348 | 707 | 76.34 | |||||||||||||||||
HI-RISE | 15,262,492.10 | 51 | 1.09 | 299,264.55 | 8.001 | 343 | 705 | 76.50 | |||||||||||||||||
PUD | 177,473,140.62 | 642 | 12.68 | 276,437.91 | 7.234 | 355 | 703 | 75.98 | |||||||||||||||||
SFR | 824,482,017.91 | 3,105 | 58.89 | 265,533.66 | 7.255 | 351 | 700 | 75.52 | |||||||||||||||||
TOWNHOUSE | 3,537,281.87 | 25 | 0.25 | 141,491.27 | 7.914 | 348 | 694 | 81.37 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Purpose | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
Cash Out Refinance | 433,740,299.81 | 1,583 | 30.98 | 273,998.93 | 7.277 | 353 | 691 | 72.11 | |||||||||||||||||
Purchase | 785,702,180.46 | 3,061 | 56.12 | 256,681.54 | 7.436 | 349 | 707 | 78.41 | |||||||||||||||||
Rate/Term Refinance | 180,559,166.83 | 610 | 12.90 | 295,998.63 | 6.935 | 353 | 702 | 71.95 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Occupancy | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
Investor | 245,409,776.07 | 1,255 | 17.53 | 195,545.64 | 7.655 | 351 | 711 | 73.90 | |||||||||||||||||
Owner Occupied | 1,115,056,040.98 | 3,834 | 79.65 | 290,833.60 | 7.240 | 350 | 699 | 76.07 | |||||||||||||||||
Second Home | 39,535,830.05 | 165 | 2.82 | 239,611.09 | 7.571 | 355 | 710 | 73.87 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Range of Months Remaining to Scheduled Maturity | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
121 - 180 | 59,217,910.59 | 557 | 4.23 | 106,315.82 | 10.623 | 178 | 689 | 89.46 | |||||||||||||||||
181 - 240 | 96,095.32 | 2 | 0.01 | 48,047.66 | 13.770 | 238 | 632 | 98.01 | |||||||||||||||||
241 - 360 | 1,340,687,641.19 | 4,695 | 95.76 | 285,556.47 | 7.176 | 358 | 702 | 75.01 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Collateral Grouped by Document Type | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
Express No Doc | 105,532,086.52 | 465 | 7.54 | 226,950.72 | 7.424 | 357 | 711 | 70.28 | |||||||||||||||||
Express No Doc Verified Assets | 2,715,346.00 | 8 | 0.19 | 339,418.25 | 7.965 | 359 | 671 | 75.64 | |||||||||||||||||
Express Non-Verified Assets | 6,183,445.56 | 23 | 0.44 | 268,845.46 | 7.407 | 356 | 684 | 73.08 | |||||||||||||||||
Express Verified Assets | 175,322,855.62 | 646 | 12.52 | 271,397.61 | 7.405 | 352 | 703 | 76.37 | |||||||||||||||||
FISA | 2,452,797.39 | 16 | 0.18 | 153,299.84 | 7.135 | 358 | 664 | 73.27 | |||||||||||||||||
Full | 179,125,073.48 | 659 | 12.79 | 271,813.47 | 6.856 | 354 | 712 | 75.56 | |||||||||||||||||
NINA | 1,908,910.21 | 8 | 0.14 | 238,613.78 | 7.515 | 358 | 679 | 77.00 | |||||||||||||||||
SISA | 116,781,829.09 | 410 | 8.34 | 284,833.73 | 7.039 | 356 | 701 | 74.31 | |||||||||||||||||
Stated | 809,979,303.23 | 3,019 | 57.86 | 268,293.91 | 7.432 | 348 | 698 | 76.39 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Collateral Grouped by FICO | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
0 - 500 | 752,637.73 | 3 | 0.05 | 250,879.24 | 7.328 | 359 | 0 | 62.62 | |||||||||||||||||
581 - 600 | 1,489,363.32 | 8 | 0.11 | 186,170.42 | 7.963 | 358 | 598 | 68.39 | |||||||||||||||||
601 - 620 | 14,273,441.52 | 59 | 1.02 | 241,922.74 | 7.887 | 349 | 615 | 76.96 | |||||||||||||||||
621 - 640 | 137,903,849.84 | 582 | 9.85 | 236,948.20 | 7.826 | 345 | 631 | 78.09 | |||||||||||||||||
641 - 660 | 131,225,756.84 | 549 | 9.37 | 239,026.88 | 7.624 | 345 | 651 | 76.23 | |||||||||||||||||
661 - 680 | 187,333,353.04 | 709 | 13.38 | 264,221.94 | 7.466 | 350 | 670 | 75.93 | |||||||||||||||||
681 - 700 | 246,311,678.07 | 932 | 17.59 | 264,282.92 | 7.308 | 353 | 690 | 75.70 | |||||||||||||||||
701 - 720 | 208,189,725.19 | 757 | 14.87 | 275,019.45 | 7.211 | 351 | 710 | 75.77 | |||||||||||||||||
721 - 740 | 175,801,043.22 | 611 | 12.56 | 287,726.75 | 7.090 | 353 | 730 | 76.02 | |||||||||||||||||
741 - 760 | 127,232,923.04 | 462 | 9.09 | 275,395.94 | 7.130 | 353 | 750 | 73.76 | |||||||||||||||||
761 - 780 | 90,785,247.99 | 319 | 6.48 | 284,593.25 | 7.070 | 352 | 771 | 74.58 | |||||||||||||||||
781 - 800 | 57,515,765.91 | 202 | 4.11 | 284,731.51 | 6.940 | 349 | 789 | 72.59 | |||||||||||||||||
801 + | 21,186,861.39 | 61 | 1.51 | 347,325.60 | 6.920 | 356 | 807 | 71.56 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Collateral Grouped by Prepayment Penalty Months | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
No Prepay | 900,897,684.96 | 3,343 | 64.35 | 269,487.79 | 7.301 | 354 | 707 | 75.19 | |||||||||||||||||
6 Month | 7,317,987.77 | 28 | 0.52 | 261,356.71 | 7.757 | 352 | 696 | 78.56 | |||||||||||||||||
1 Year | 118,147,556.10 | 432 | 8.44 | 273,489.71 | 7.548 | 342 | 694 | 76.85 | |||||||||||||||||
2 Year | 52,635,466.46 | 233 | 3.76 | 225,903.29 | 7.584 | 345 | 685 | 76.40 | |||||||||||||||||
3 Year | 288,574,843.33 | 1,097 | 20.61 | 263,058.20 | 7.261 | 345 | 694 | 76.39 | |||||||||||||||||
5 Year | 32,428,108.48 | 121 | 2.32 | 268,000.90 | 7.114 | 355 | 681 | 74.51 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Range of Months to First Roll | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
FIXED | 502,304,148.56 | 2,348 | 35.88 | 213,928.51 | 7.676 | 337 | 696 | 76.62 | |||||||||||||||||
0.00 | 391,200.00 | 1 | 0.03 | 391,200.00 | 7.500 | 357 | 685 | 80.00 | |||||||||||||||||
0.01 - 12.99 | 2,905,677.75 | 10 | 0.21 | 290,567.78 | 7.537 | 358 | 723 | 75.99 | |||||||||||||||||
13.00 - 18.99 | 757,530.00 | 3 | 0.05 | 252,510.00 | 7.570 | 351 | 703 | 78.52 | |||||||||||||||||
19.00 - 24.99 | 13,544,423.50 | 49 | 0.97 | 276,416.81 | 8.155 | 358 | 676 | 76.95 | |||||||||||||||||
32.00 - 49.99 | 26,932,790.83 | 88 | 1.92 | 306,054.44 | 7.303 | 358 | 700 | 71.67 | |||||||||||||||||
50.00 - 55.99 | 21,649,077.85 | 63 | 1.55 | 343,636.16 | 6.958 | 355 | 709 | 74.14 | |||||||||||||||||
56.00 - 79.99 | 795,659,638.25 | 2,607 | 56.83 | 305,201.24 | 7.114 | 358 | 705 | 75.21 | |||||||||||||||||
80.00 + | 35,857,160.36 | 85 | 2.56 | 421,848.95 | 6.874 | 358 | 707 | 73.95 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Range of Gross Margin | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
FIXED | 502,304,148.56 | 2,348 | 35.88 | 213,928.51 | 7.676 | 337 | 696 | 76.62 | |||||||||||||||||
1.750 - 1.999 | 478,493.15 | 2 | 0.03 | 239,246.58 | 7.250 | 357 | 749 | 55.31 | |||||||||||||||||
2.250 - 2.499 | 825,000.00 | 1 | 0.06 | 825,000.00 | 7.375 | 358 | 651 | 72.37 | |||||||||||||||||
2.500 - 2.749 | 492,689,419.56 | 1,605 | 35.19 | 306,971.60 | 7.094 | 358 | 717 | 74.87 | |||||||||||||||||
2.750 - 2.999 | 3,094,718.46 | 8 | 0.22 | 386,839.81 | 7.270 | 357 | 684 | 74.61 | |||||||||||||||||
3.000 - 3.249 | 60,070,733.38 | 216 | 4.29 | 278,105.25 | 7.295 | 358 | 685 | 76.51 | |||||||||||||||||
3.250 - 3.499 | 204,335,577.39 | 644 | 14.60 | 317,291.27 | 7.043 | 359 | 688 | 73.90 | |||||||||||||||||
3.500 - 3.749 | 58,617,618.82 | 164 | 4.19 | 357,424.51 | 6.985 | 358 | 704 | 75.86 | |||||||||||||||||
3.750 - 3.999 | 29,774,776.44 | 99 | 2.13 | 300,755.32 | 7.321 | 358 | 694 | 77.37 | |||||||||||||||||
4.000 - 4.249 | 25,883,331.80 | 87 | 1.85 | 297,509.56 | 7.320 | 357 | 683 | 76.61 | |||||||||||||||||
4.250 - 4.499 | 4,206,862.64 | 15 | 0.30 | 280,457.51 | 7.553 | 358 | 670 | 80.70 | |||||||||||||||||
4.500 - 4.749 | 380,000.00 | 1 | 0.03 | 380,000.00 | 6.875 | 355 | 780 | 67.86 | |||||||||||||||||
4.750 - 4.999 | 3,568,840.34 | 11 | 0.25 | 324,440.03 | 8.405 | 358 | 669 | 83.24 | |||||||||||||||||
5.000 - 5.249 | 1,515,747.65 | 5 | 0.11 | 303,149.53 | 7.921 | 356 | 667 | 75.92 | |||||||||||||||||
5.500 - 5.749 | 9,425,756.05 | 35 | 0.67 | 269,307.32 | 7.716 | 358 | 686 | 80.58 | |||||||||||||||||
5.750 - 5.999 | 135,817.67 | 1 | 0.01 | 135,817.67 | 8.500 | 359 | 599 | 79.99 | |||||||||||||||||
6.000 - 6.249 | 349,600.00 | 1 | 0.02 | 349,600.00 | 7.125 | 359 | 683 | 80.00 | |||||||||||||||||
6.250 - 6.499 | 345,838.23 | 2 | 0.02 | 172,919.12 | 6.861 | 358 | 692 | 66.47 | |||||||||||||||||
6.500 - 6.749 | 991,234.33 | 3 | 0.07 | 330,411.44 | 9.787 | 358 | 637 | 75.70 | |||||||||||||||||
6.750 - 6.999 | 175,960.00 | 1 | 0.01 | 175,960.00 | 7.800 | 358 | 601 | 80.00 | |||||||||||||||||
7.000 - 7.249 | 832,172.63 | 5 | 0.06 | 166,434.53 | 8.878 | 359 | 658 | 75.35 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Range of Lifetime Caps | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
FIXED | 502,304,148.56 | 2,348 | 35.88 | 213,928.51 | 7.676 | 337 | 696 | 76.62 | |||||||||||||||||
8.500 - 8.999 | 861,250.00 | 1 | 0.06 | 861,250.00 | 3.990 | 357 | 727 | 80.00 | |||||||||||||||||
9.500 - 9.999 | 365,000.00 | 1 | 0.03 | 365,000.00 | 7.050 | 360 | 732 | 100.00 | |||||||||||||||||
10.500 - 10.999 | 378,072.00 | 1 | 0.03 | 378,072.00 | 5.000 | 355 | 698 | 80.00 | |||||||||||||||||
11.000 - 11.499 | 4,606,432.14 | 14 | 0.33 | 329,030.87 | 5.832 | 357 | 731 | 73.28 | |||||||||||||||||
11.500 - 11.999 | 37,330,860.63 | 97 | 2.67 | 384,854.23 | 6.234 | 357 | 718 | 72.78 | |||||||||||||||||
12.000 - 12.499 | 162,040,482.55 | 516 | 11.57 | 314,031.94 | 6.639 | 358 | 717 | 73.57 | |||||||||||||||||
12.500 - 12.999 | 171,016,355.23 | 575 | 12.22 | 297,419.75 | 6.943 | 358 | 710 | 73.59 | |||||||||||||||||
13.000 - 13.499 | 261,658,953.39 | 835 | 18.69 | 313,364.02 | 7.068 | 358 | 706 | 75.08 | |||||||||||||||||
13.500 - 13.999 | 137,653,272.70 | 446 | 9.83 | 308,639.62 | 7.456 | 358 | 698 | 76.74 | |||||||||||||||||
14.000 - 14.499 | 77,136,554.68 | 246 | 5.51 | 313,563.23 | 7.797 | 358 | 685 | 76.72 | |||||||||||||||||
14.500 - 14.999 | 21,306,185.09 | 79 | 1.52 | 269,698.55 | 8.203 | 358 | 676 | 78.69 | |||||||||||||||||
15.000 - 15.499 | 13,717,308.67 | 54 | 0.98 | 254,024.23 | 8.707 | 359 | 671 | 79.62 | |||||||||||||||||
15.500 - 15.999 | 3,435,587.59 | 17 | 0.25 | 202,093.39 | 9.234 | 359 | 673 | 81.10 | |||||||||||||||||
16.000 - 16.499 | 4,338,125.94 | 14 | 0.31 | 309,866.14 | 9.665 | 359 | 674 | 84.66 | |||||||||||||||||
16.500 - 16.999 | 315,135.26 | 3 | 0.02 | 105,045.09 | 10.069 | 358 | 662 | 78.63 | |||||||||||||||||
17.000 - 17.499 | 1,408,746.55 | 5 | 0.10 | 281,749.31 | 10.172 | 358 | 650 | 79.84 | |||||||||||||||||
17.500 - 17.999 | 129,176.12 | 2 | 0.01 | 64,588.06 | 11.750 | 358 | 625 | 85.00 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Next Interest Adjustment Date | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
FIXED | 502,304,148.56 | 2,348 | 35.88 | 213,928.51 | 7.676 | 337 | 696 | 76.62 | |||||||||||||||||
November 2006 | 391,200.00 | 1 | 0.03 | 391,200.00 | 7.500 | 357 | 685 | 80.00 | |||||||||||||||||
February 2007 | 365,000.00 | 1 | 0.03 | 365,000.00 | 7.050 | 360 | 732 | 100.00 | |||||||||||||||||
March 2007 | 359,200.00 | 1 | 0.03 | 359,200.00 | 6.125 | 358 | 698 | 80.00 | |||||||||||||||||
April 2007 | 180,000.00 | 1 | 0.01 | 180,000.00 | 10.625 | 359 | 676 | 80.00 | |||||||||||||||||
August 2007 | 128,000.00 | 1 | 0.01 | 128,000.00 | 7.625 | 357 | 666 | 80.00 | |||||||||||||||||
September 2007 | 1,739,452.75 | 5 | 0.12 | 347,890.55 | 7.598 | 358 | 733 | 69.49 | |||||||||||||||||
October 2007 | 134,025.00 | 1 | 0.01 | 134,025.00 | 7.625 | 359 | 758 | 75.00 | |||||||||||||||||
December 2007 | 285,600.00 | 1 | 0.02 | 285,600.00 | 7.125 | 349 | 709 | 80.00 | |||||||||||||||||
April 2008 | 471,930.00 | 2 | 0.03 | 235,965.00 | 7.839 | 353 | 700 | 77.63 | |||||||||||||||||
June 2008 | 414,000.00 | 4 | 0.03 | 103,500.00 | 7.125 | 355 | 694 | 75.00 | |||||||||||||||||
July 2008 | 227,900.00 | 1 | 0.02 | 227,900.00 | 9.750 | 356 | 673 | 95.00 | |||||||||||||||||
August 2008 | 2,851,773.75 | 6 | 0.20 | 475,295.63 | 8.055 | 357 | 674 | 75.06 | |||||||||||||||||
September 2008 | 3,637,982.92 | 15 | 0.26 | 242,532.19 | 8.072 | 358 | 664 | 76.75 | |||||||||||||||||
October 2008 | 6,064,266.83 | 22 | 0.43 | 275,648.49 | 8.330 | 359 | 679 | 77.24 | |||||||||||||||||
November 2008 | 348,500.00 | 1 | 0.02 | 348,500.00 | 6.975 | 360 | 714 | 79.99 | |||||||||||||||||
July 2009 | 194,928.06 | 2 | 0.01 | 97,464.03 | 7.699 | 356 | 677 | 81.55 | |||||||||||||||||
August 2009 | 4,809,845.60 | 20 | 0.34 | 240,492.28 | 7.672 | 357 | 731 | 75.49 | |||||||||||||||||
September 2009 | 12,215,645.65 | 35 | 0.87 | 349,018.45 | 7.420 | 358 | 700 | 74.19 | |||||||||||||||||
October 2009 | 6,169,017.99 | 20 | 0.44 | 308,450.90 | 7.359 | 359 | 680 | 74.15 | |||||||||||||||||
November 2009 | 2,181,550.00 | 7 | 0.16 | 311,650.00 | 6.228 | 360 | 703 | 60.35 | |||||||||||||||||
November 2010 | 141,803.53 | 1 | 0.01 | 141,803.53 | 6.875 | 348 | 631 | 75.00 | |||||||||||||||||
December 2010 | 1,220,000.00 | 3 | 0.09 | 406,666.67 | 6.309 | 349 | 691 | 36.95 | |||||||||||||||||
April 2011 | 2,210,509.77 | 6 | 0.16 | 368,418.30 | 6.935 | 353 | 693 | 74.52 | |||||||||||||||||
May 2011 | 3,358,025.21 | 13 | 0.24 | 258,309.63 | 6.999 | 354 | 713 | 75.66 | |||||||||||||||||
June 2011 | 16,080,542.87 | 44 | 1.15 | 365,466.88 | 6.953 | 355 | 710 | 73.77 | |||||||||||||||||
July 2011 | 41,748,968.46 | 144 | 2.98 | 289,923.39 | 6.941 | 356 | 700 | 74.63 | |||||||||||||||||
August 2011 | 111,690,952.03 | 361 | 7.98 | 309,393.22 | 7.043 | 357 | 711 | 75.64 | |||||||||||||||||
September 2011 | 387,418,855.99 | 1,300 | 27.67 | 298,014.50 | 7.190 | 358 | 712 | 75.30 | |||||||||||||||||
October 2011 | 188,920,095.77 | 596 | 13.49 | 316,980.03 | 7.073 | 359 | 694 | 75.23 | |||||||||||||||||
November 2011 | 65,880,766.00 | 206 | 4.71 | 319,809.54 | 7.010 | 360 | 689 | 74.33 | |||||||||||||||||
July 2013 | 299,161.98 | 1 | 0.02 | 299,161.98 | 6.375 | 356 | 803 | 80.00 | |||||||||||||||||
August 2013 | 723,493.15 | 3 | 0.05 | 241,164.38 | 6.954 | 357 | 745 | 61.88 | |||||||||||||||||
September 2013 | 21,001,261.06 | 42 | 1.50 | 500,030.03 | 6.871 | 358 | 713 | 74.28 | |||||||||||||||||
October 2013 | 6,825,094.58 | 24 | �� | 0.49 | 284,378.94 | 6.817 | 359 | 691 | 72.15 | ||||||||||||||||
November 2013 | 1,105,000.00 | 3 | 0.08 | 368,333.33 | 6.626 | 360 | 701 | 75.99 | |||||||||||||||||
May 2016 | 400,000.00 | 1 | 0.03 | 400,000.00 | 6.250 | 354 | 696 | 49.69 | |||||||||||||||||
June 2016 | 323,000.00 | 1 | 0.02 | 323,000.00 | 6.875 | 355 | 650 | 68.73 | |||||||||||||||||
September 2016 | 4,360,485.64 | 8 | 0.31 | 545,060.71 | 7.071 | 358 | 705 | 78.96 | |||||||||||||||||
October 2016 | 819,663.95 | 2 | 0.06 | 409,831.98 | 7.131 | 359 | 648 | 73.38 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Initial Fixed Period | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
FIXED | 502,304,148.56 | 2,348 | 35.88 | 213,928.51 | 7.676 | 337 | 696 | 76.62 | |||||||||||||||||
3 | 756,200.00 | 2 | 0.05 | 378,100.00 | 7.283 | 358 | 708 | 89.65 | |||||||||||||||||
6 | 539,200.00 | 2 | 0.04 | 269,600.00 | 7.627 | 358 | 691 | 80.00 | |||||||||||||||||
12 | 2,001,477.75 | 7 | 0.14 | 285,925.39 | 7.602 | 358 | 730 | 70.53 | |||||||||||||||||
24 | 14,301,953.50 | 52 | 1.02 | 275,037.57 | 8.124 | 358 | 677 | 77.03 | |||||||||||||||||
36 | 25,570,987.30 | 84 | 1.83 | 304,416.52 | 7.353 | 358 | 701 | 73.30 | |||||||||||||||||
60 | 818,670,519.63 | 2,674 | 58.48 | 306,159.51 | 7.108 | 358 | 705 | 75.13 | |||||||||||||||||
84 | 29,954,010.77 | 73 | 2.14 | 410,328.91 | 6.847 | 358 | 709 | 73.62 | |||||||||||||||||
120 | 5,903,149.59 | 12 | 0.42 | 491,929.13 | 7.013 | 358 | 693 | 75.64 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Initial Rate Cap | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
FIXED | 502,304,148.56 | 2,348 | 35.88 | 213,928.51 | 7.676 | 337 | 696 | 76.62 | |||||||||||||||||
1.000 | 936,200.00 | 3 | 0.07 | 312,066.67 | 7.925 | 359 | 702 | 87.80 | |||||||||||||||||
2.000 | 13,964,025.25 | 40 | 1.00 | 349,100.63 | 7.333 | 358 | 717 | 73.93 | |||||||||||||||||
3.000 | 268,037,350.07 | 871 | 19.15 | 307,735.19 | 7.182 | 359 | 687 | 74.78 | |||||||||||||||||
5.000 | 439,932,627.38 | 1,468 | 31.42 | 299,681.63 | 7.137 | 358 | 710 | 74.89 | |||||||||||||||||
6.000 | 174,827,295.84 | 524 | 12.49 | 333,639.88 | 6.979 | 358 | 716 | 75.96 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Subsequent Rate Cap | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
FIXED | 502,304,148.56 | 2,348 | 35.88 | 213,928.51 | 7.676 | 337 | 696 | 76.62 | |||||||||||||||||
1.000 | 512,259,873.17 | 1,740 | 36.59 | 294,402.23 | 7.260 | 358 | 696 | 74.47 | |||||||||||||||||
1.500 | 1,049,233.50 | 3 | 0.07 | 349,744.50 | 9.697 | 358 | 635 | 75.65 | |||||||||||||||||
2.000 | 384,388,391.87 | 1,163 | 27.46 | 330,514.52 | 6.935 | 358 | 716 | 75.86 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |
Mortgage Loans
Range of DTI | |||||||||||||||||||||||||
Description | Current Balance ($) | # of Loans | % of Total | Average Balance ($) | Gross WAC (%) | Rem Term | FICO | Orig. LTV (%) | |||||||||||||||||
0.00 - 5.00 | 293,718,629.33 | 1,163 | 20.98 | 252,552.56 | 7.419 | 354 | 705 | 74.10 | |||||||||||||||||
5.01 - 10.00 | 1,048,602.36 | 7 | 0.07 | 149,800.34 | 7.597 | 322 | 685 | 74.79 | |||||||||||||||||
10.01 - 15.00 | 3,200,986.81 | 24 | 0.23 | 133,374.45 | 7.341 | 359 | 715 | 76.77 | |||||||||||||||||
15.01 - 20.00 | 14,923,801.73 | 76 | 1.07 | 196,365.81 | 7.361 | 354 | 717 | 70.57 | |||||||||||||||||
20.01 - 25.00 | 27,362,074.18 | 127 | 1.95 | 215,449.40 | 7.318 | 354 | 694 | 73.69 | |||||||||||||||||
25.01 - 30.00 | 68,847,523.27 | 283 | 4.92 | 243,277.47 | 7.279 | 349 | 706 | 73.63 | |||||||||||||||||
30.01 - 35.00 | 120,243,013.23 | 488 | 8.59 | 246,399.62 | 7.275 | 351 | 705 | 74.11 | |||||||||||||||||
35.01 - 40.00 | 256,400,150.83 | 918 | 18.31 | 279,303.00 | 7.234 | 353 | 703 | 75.64 | |||||||||||||||||
40.01 - 45.00 | 421,133,997.55 | 1,472 | 30.08 | 286,096.47 | 7.242 | 349 | 701 | 76.99 | |||||||||||||||||
45.01 - 50.00 | 177,384,174.79 | 651 | 12.67 | 272,479.53 | 7.560 | 344 | 688 | 77.75 | |||||||||||||||||
50.01 - 55.00 | 13,105,179.78 | 39 | 0.94 | 336,030.25 | 6.907 | 355 | 708 | 73.75 | |||||||||||||||||
55.01 + | 2,633,513.24 | 6 | 0.19 | 438,918.87 | 6.951 | 350 | 722 | 60.69 | |||||||||||||||||
TOTAL | 1,400,001,647.10 | 5,254 | 100.00 | 266,463.96 | 7.322 | 351 | 702 | 75.63 |