THE MORTGAGE POOL
7
Mortgage Loan Programs(1)
Loan Programs | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(2) | |||||||||||||||||
10 Yr Fixed | $ | 543,226 | 1 | 0.05 | % | $ | 543,226 | 5.875 | % | 118 | 730 | 36.67 | % | ||||||||||||
15 Yr Fixed | 14,512,346 | 37 | 1.45 | 392,226 | 6.395 | 171 | 747 | 61.46 | |||||||||||||||||
20 Yr Fixed | 841,765 | 4 | 0.08 | 210,441 | 6.696 | 236 | 787 | 66.35 | |||||||||||||||||
30 Yr Fixed | 161,767,659 | 432 | 16.18 | 374,462 | 6.672 | 357 | 728 | 69.98 | |||||||||||||||||
30/15 Fixed Balloon | 44,002,328 | 605 | 4.40 | 72,731 | 12.406 | 178 | 672 | 95.90 | |||||||||||||||||
40/30 Fixed Balloon | 9,352,335 | 32 | 0.94 | 292,260 | 7.195 | 358 | 696 | 79.79 | |||||||||||||||||
30/15 Fixed Balloon - IO | 1,000,825 | 15 | 0.10 | 66,722 | 12.758 | 177 | 664 | 94.99 | |||||||||||||||||
30 Yr Fixed - IO | 93,574,168 | 247 | 9.36 | 378,843 | 6.689 | 358 | 724 | 71.22 | |||||||||||||||||
20 Yr Fixed - IO | 118,000 | 1 | 0.01 | 118,000 | 6.000 | 239 | 762 | 42.91 | |||||||||||||||||
30Y LIB6M - IO | 1,710,101 | 5 | 0.17 | 342,020 | 6.041 | 357 | 717 | 78.51 | |||||||||||||||||
30Y LIB12M | 741,793 | 4 | 0.07 | 185,448 | 5.808 | 356 | 679 | 79.95 | |||||||||||||||||
30Y LIB12M - IO | 1,982,950 | 4 | 0.20 | 495,738 | 6.090 | 353 | 715 | 62.77 | |||||||||||||||||
2/28 LIB6M | 931,298 | 6 | 0.09 | 155,216 | 8.627 | 356 | 658 | 85.39 | |||||||||||||||||
2/28 LIB6M 40/30 Balloon | 854,789 | 2 | 0.09 | 427,395 | 6.910 | 357 | 644 | 80.00 | |||||||||||||||||
2/28 LIB6M - IO | 10,888,568 | 23 | 1.09 | 473,416 | 7.273 | 358 | 713 | 77.50 | |||||||||||||||||
3/27 LIB6M | 4,057,736 | 17 | 0.41 | 238,690 | 6.801 | 357 | 685 | 78.28 | |||||||||||||||||
3/27 LIB6M 40/30 Balloon | 2,798,124 | 8 | 0.28 | 349,766 | 6.949 | 357 | 707 | 82.16 | |||||||||||||||||
3/27 LIB6M - IO | 29,835,542 | 94 | 2.98 | 317,399 | 6.759 | 358 | 702 | 76.61 | |||||||||||||||||
3/1 LIB12M | 1,118,322 | 5 | 0.11 | 223,664 | 5.734 | 357 | 794 | 60.00 | |||||||||||||||||
3/1 LIB12M - IO | 2,186,593 | 7 | 0.22 | 312,370 | 5.872 | 356 | 733 | 76.40 | |||||||||||||||||
5/25 LIB6M | 36,125,608 | 143 | 3.61 | 252,627 | 7.088 | 358 | 693 | 75.36 | |||||||||||||||||
5/25 LIB6M 40/30 Balloon | 12,180,280 | 45 | 1.22 | 270,673 | 6.929 | 358 | 674 | 77.68 | |||||||||||||||||
5/25 LIB6M - IO | 401,386,632 | 1156 | 40.14 | 347,220 | 6.880 | 358 | 695 | 75.60 | |||||||||||||||||
5/1 LIB12M | 24,397,656 | 56 | 2.44 | 435,672 | 6.400 | 357 | 710 | 73.49 | |||||||||||||||||
5/1 LIB12M - IO | 114,592,300 | 290 | 11.46 | 395,146 | 6.576 | 357 | 705 | 75.22 | |||||||||||||||||
7/23 LIB6M | 3,172,512 | 7 | 0.32 | 453,216 | 6.477 | 358 | 703 | 67.37 | |||||||||||||||||
7/23 LIB6M 40/30 Balloon | 934,770 | 3 | 0.09 | 311,590 | 7.301 | 357 | 680 | 81.92 | |||||||||||||||||
7/23 LIB6M - IO | 16,583,447 | 47 | 1.66 | 352,839 | 6.434 | 358 | 708 | 71.20 | |||||||||||||||||
7/1 LIB12M | 223,795 | 1 | 0.02 | 223,795 | 7.000 | 357 | 733 | 37.01 | |||||||||||||||||
7/1 LIB12M - IO | 3,632,091 | 7 | 0.36 | 518,870 | 6.631 | 357 | 679 | 77.05 | |||||||||||||||||
10/20 LIB6M | 135,896 | 1 | 0.01 | 135,896 | 6.875 | 358 | 660 | 75.00 | |||||||||||||||||
10/20 LIB6M - IO | 2,246,000 | 3 | 0.22 | 748,667 | 6.223 | 358 | 692 | 28.50 | |||||||||||||||||
10/1 LIB12M | 718,808 | 2 | 0.07 | 359,404 | 6.966 | 358 | 640 | 67.38 | |||||||||||||||||
10/1 LIB12M - IO | 853,000 | 3 | 0.09 | 284,333 | 6.257 | 358 | 718 | 75.82 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
________________________
(1) A mortgage loan with a loan program of “10Yr Fixed”, “15Yr Fixed”, “20Yr Fixed” or “30Yr Fixed” is a fixed-rate loan with a term of 10, 15, 20 or 30 years, respectively. A mortgage loan with a loan program of “40/30 Fixed Balloon” has a term of 40 years, has a mortgage rate that is fixed for the entire term and requires a balloon payment in year 30. A mortgage loan with a loan program of “30/15 Fixed Balloon” has a term of 30 years, has a mortgage rate that is fixed for the entire term and requires a balloon payment in year 15. A mortgage loan with a loan program including the term “30Y LIB6M” has a term of 30 years and the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “30Y LIB12M” has a term of 30 years and the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “2/28 LIB6M” has a term of 30 years, the first two of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “2/28 LIB6M 40/30 Balloon” has a term of 40 years and requires a balloon payment in year 30, the first two of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “3/27 LIB6M” has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “3/27 LIB6M 40/30 Balloon” has a term of 40 years and requires a balloon payment in year 30, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “3/1 LIB12M” has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “5/25 LIB6M” has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “5/25 LIB6M 40/30 Balloon” has a term of 40 years and requires a balloon payment in year 30, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “5/1 LIB12M” has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “7/23 LIB6M” has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “7/23 LIB6M 40/30 Balloon” has a term of 40 years and requires a balloon payment in year 30, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “7/1 LIB12M” has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “10/20 LIB6M” has a term of 30 years, the first ten of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term “10/1 LIB12M” has a term of 30 years, the first ten of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term “IO” has an interest only period, provided, however that the term of the interest only period is not necessarily the same term as the fixed period for the loan.
(2) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
8
Principal Balances as of Origination
Range of Mortgage Loan Principal Balances ($) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
0.01 - 50,000.00 | $ | 9,007,110 | 253 | 0.90 | % | $ | 35,601 | 12.373 | % | 186 | 685 | 92.73 | % | ||||||||||||
50,000.01 - 100,000.00 | 25,485,623 | 344 | 2.55 | 74,086 | 11.072 | 228 | 679 | 89.72 | |||||||||||||||||
100,000.01 - 150,000.00 | 43,086,174 | 344 | 4.31 | 125,251 | 8.668 | 306 | 690 | 79.19 | |||||||||||||||||
150,000.01 - 200,000.00 | 64,120,045 | 365 | 6.41 | 175,671 | 7.336 | 342 | 694 | 74.39 | |||||||||||||||||
200,000.01 - 250,000.00 | 69,785,106 | 308 | 6.98 | 226,575 | 6.954 | 353 | 695 | 75.23 | |||||||||||||||||
250,000.01 - 300,000.00 | 75,712,984 | 277 | 7.57 | 273,332 | 6.989 | 356 | 696 | 76.39 | |||||||||||||||||
300,000.01 - 350,000.00 | 84,990,805 | 262 | 8.50 | 324,392 | 6.753 | 357 | 697 | 75.21 | |||||||||||||||||
350,000.01 - 400,000.00 | 88,554,307 | 236 | 8.86 | 375,230 | 6.797 | 355 | 696 | 76.97 | |||||||||||||||||
400,000.01 - 450,000.00 | 84,576,812 | 198 | 8.46 | 427,156 | 6.739 | 356 | 699 | 75.37 | |||||||||||||||||
450,000.01 - 500,000.00 | 93,799,498 | 198 | 9.38 | 473,735 | 6.694 | 355 | 705 | 74.91 | |||||||||||||||||
500,000.01 - 550,000.00 | 77,339,807 | 148 | 7.73 | 522,566 | 6.615 | 354 | 714 | 73.56 | |||||||||||||||||
550,000.01 - 600,000.00 | 58,088,172 | 101 | 5.81 | 575,130 | 6.576 | 352 | 715 | 73.33 | |||||||||||||||||
600,000.01 - 650,000.00 | 49,486,062 | 79 | 4.95 | 626,406 | 6.695 | 358 | 717 | 72.65 | |||||||||||||||||
650,000.01 - 700,000.00 | 24,984,527 | 37 | 2.50 | 675,257 | 6.635 | 357 | 728 | 74.36 | |||||||||||||||||
700,000.01 - 750,000.00 | 29,048,840 | 40 | 2.90 | 726,221 | 6.724 | 358 | 723 | 71.49 | |||||||||||||||||
750,000.01 - 800,000.00 | 14,003,226 | 18 | 1.40 | 777,957 | 6.599 | 347 | 708 | 75.84 | |||||||||||||||||
800,000.01 - 850,000.00 | 15,784,797 | 19 | 1.58 | 830,779 | 6.546 | 355 | 719 | 67.73 | |||||||||||||||||
850,000.01 - 900,000.00 | 14,947,911 | 17 | 1.49 | 879,289 | 6.716 | 358 | 727 | 70.89 | |||||||||||||||||
900,000.01 - 950,000.00 | 10,167,448 | 11 | 1.02 | 924,313 | 6.864 | 340 | 729 | 72.93 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 33,515,512 | 34 | 3.35 | 985,750 | 6.516 | 352 | 733 | 67.64 | |||||||||||||||||
1,050,000.01 - 1,100,000.00 | 3,255,416 | 3 | 0.33 | 1,085,139 | 6.083 | 298 | 739 | 47.31 | |||||||||||||||||
1,100,000.01 - 1,150,000.00 | 2,259,000 | 2 | 0.23 | 1,129,500 | 6.689 | 357 | 724 | 64.19 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 2,374,515 | 2 | 0.24 | 1,187,258 | 6.433 | 358 | 736 | 70.79 | |||||||||||||||||
1,200,000.01 - 1,250,000.00 | 1,231,980 | 1 | 0.12 | 1,231,980 | 6.625 | 355 | 802 | 75.00 | |||||||||||||||||
1,300,000.01 - 1,350,000.00 | 2,667,300 | 2 | 0.27 | 1,333,650 | 7.000 | 358 | 682 | 65.00 | |||||||||||||||||
1,400,000.01 - 1,450,000.00 | 2,837,821 | 2 | 0.28 | 1,418,910 | 6.432 | 268 | 729 | 76.35 | |||||||||||||||||
1,450,000.01 - 1,500,000.00 | 4,157,242 | 3 | 0.42 | 1,385,747 | 6.577 | 358 | 714 | 68.57 | |||||||||||||||||
1,500,000.01 - 1,550,000.00 | 1,513,302 | 1 | 0.15 | 1,513,302 | 5.875 | 356 | 721 | 72.39 | |||||||||||||||||
1,550,000.01 - 1,600,000.00 | 2,342,789 | 2 | 0.23 | 1,171,394 | 6.626 | 261 | 738 | 62.37 | |||||||||||||||||
1,650,000.01 - 1,700,000.00 | 1,658,400 | 1 | 0.17 | 1,658,400 | 6.125 | 358 | 677 | 17.46 | |||||||||||||||||
1,700,000.01 - 1,750,000.00 | 1,469,888 | 1 | 0.15 | 1,469,888 | 6.750 | 357 | 778 | 64.82 | |||||||||||||||||
1,850,000.01 - 1,900,000.00 | 1,884,846 | 1 | 0.19 | 1,884,846 | 7.000 | 358 | 728 | 65.67 | |||||||||||||||||
1,900,000.01 - 1,950,000.00 | 3,864,000 | 2 | 0.39 | 1,932,000 | 7.003 | 358 | 710 | 70.00 | |||||||||||||||||
1,950,000.01 - 2,000,000.00 | 2,000,000 | 1 | 0.20 | 2,000,000 | 7.375 | 358 | 657 | 67.80 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
As of origination, the average principal balance of the mortgage loans was approximately $302,739.
9
Principal Balances as of the Cut-off Date
Range of Mortgage Loan Principal Balances ($) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
0.01 - 50,000.00 | $ | 9,007,110 | 253 | 0.90 | % | $ | 35,601 | 12.373 | % | 186 | 685 | 92.73 | % | ||||||||||||
50,000.01 - 100,000.00 | 25,485,623 | 344 | 2.55 | 74,086 | 11.072 | 228 | 679 | 89.72 | |||||||||||||||||
100,000.01 - 150,000.00 | 43,368,199 | 346 | 4.34 | 125,342 | 8.656 | 306 | 690 | 79.20 | |||||||||||||||||
150,000.01 - 200,000.00 | 64,013,019 | 364 | 6.40 | 175,860 | 7.336 | 342 | 694 | 74.34 | |||||||||||||||||
200,000.01 - 250,000.00 | 69,785,106 | 308 | 6.98 | 226,575 | 6.954 | 353 | 695 | 75.23 | |||||||||||||||||
250,000.01 - 300,000.00 | 75,981,901 | 278 | 7.60 | 273,316 | 6.987 | 356 | 696 | 76.32 | |||||||||||||||||
300,000.01 - 350,000.00 | 84,990,805 | 262 | 8.50 | 324,392 | 6.753 | 357 | 697 | 75.21 | |||||||||||||||||
350,000.01 - 400,000.00 | 88,554,307 | 236 | 8.86 | 375,230 | 6.797 | 355 | 696 | 76.97 | |||||||||||||||||
400,000.01 - 450,000.00 | 85,025,672 | 199 | 8.50 | 427,265 | 6.734 | 356 | 699 | 75.36 | |||||||||||||||||
450,000.01 - 500,000.00 | 93,395,613 | 196 | 9.34 | 476,508 | 6.700 | 355 | 705 | 75.02 | |||||||||||||||||
500,000.01 - 550,000.00 | 76,850,916 | 147 | 7.69 | 522,795 | 6.614 | 354 | 714 | 73.52 | |||||||||||||||||
550,000.01 - 600,000.00 | 58,088,172 | 101 | 5.81 | 575,130 | 6.576 | 352 | 715 | 73.33 | |||||||||||||||||
600,000.01 - 650,000.00 | 50,128,430 | 80 | 5.01 | 626,605 | 6.693 | 358 | 718 | 72.55 | |||||||||||||||||
650,000.01 - 700,000.00 | 24,342,159 | 36 | 2.43 | 676,171 | 6.638 | 357 | 726 | 74.60 | |||||||||||||||||
700,000.01 - 750,000.00 | 29,798,739 | 41 | 2.98 | 726,799 | 6.715 | 358 | 722 | 71.70 | |||||||||||||||||
750,000.01 - 800,000.00 | 14,037,560 | 18 | 1.40 | 779,864 | 6.641 | 331 | 714 | 74.57 | |||||||||||||||||
800,000.01 - 850,000.00 | 15,784,797 | 19 | 1.58 | 830,779 | 6.546 | 355 | 719 | 67.73 | |||||||||||||||||
850,000.01 - 900,000.00 | 14,947,911 | 17 | 1.49 | 879,289 | 6.716 | 358 | 727 | 70.89 | |||||||||||||||||
900,000.01 - 950,000.00 | 10,167,448 | 11 | 1.02 | 924,313 | 6.864 | 340 | 729 | 72.93 | |||||||||||||||||
950,000.01 - 1,000,000.00 | 33,515,512 | 34 | 3.35 | 985,750 | 6.516 | 352 | 733 | 67.64 | |||||||||||||||||
1,050,000.01 - 1,100,000.00 | 3,255,416 | 3 | 0.33 | 1,085,139 | 6.083 | 298 | 739 | 47.31 | |||||||||||||||||
1,100,000.01 - 1,150,000.00 | 2,259,000 | 2 | 0.23 | 1,129,500 | 6.689 | 357 | 724 | 64.19 | |||||||||||||||||
1,150,000.01 - 1,200,000.00 | 3,538,065 | 3 | 0.35 | 1,179,355 | 6.414 | 358 | 744 | 68.84 | |||||||||||||||||
1,200,000.01 - 1,250,000.00 | 1,231,980 | 1 | 0.12 | 1,231,980 | 6.625 | 355 | 802 | 75.00 | |||||||||||||||||
1,300,000.01 - 1,350,000.00 | 2,667,300 | 2 | 0.27 | 1,333,650 | 7.000 | 358 | 682 | 65.00 | |||||||||||||||||
1,400,000.01 - 1,450,000.00 | 2,837,821 | 2 | 0.28 | 1,418,910 | 6.432 | 268 | 729 | 76.35 | |||||||||||||||||
1,450,000.01 - 1,500,000.00 | 4,463,580 | 3 | 0.45 | 1,487,860 | 6.686 | 358 | 723 | 68.30 | |||||||||||||||||
1,500,000.01 - 1,550,000.00 | 1,513,302 | 1 | 0.15 | 1,513,302 | 5.875 | 356 | 721 | 72.39 | |||||||||||||||||
1,550,000.01 - 1,600,000.00 | 1,558,555 | 1 | 0.16 | 1,558,555 | 6.375 | 359 | 707 | 65.00 | |||||||||||||||||
1,650,000.01 - 1,700,000.00 | 1,658,400 | 1 | 0.17 | 1,658,400 | 6.125 | 358 | 677 | 17.46 | |||||||||||||||||
1,850,000.01 - 1,900,000.00 | 1,884,846 | 1 | 0.19 | 1,884,846 | 7.000 | 358 | 728 | 65.67 | |||||||||||||||||
1,900,000.01 - 1,950,000.00 | 3,864,000 | 2 | 0.39 | 1,932,000 | 7.003 | 358 | 710 | 70.00 | |||||||||||||||||
1,950,000.01 - 2,000,000.00 | 2,000,000 | 1 | 0.20 | 2,000,000 | 7.375 | 358 | 657 | 67.80 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
As of the cut-off date, the average principal balance of the mortgage loans was approximately $301,842.
10
Geographic Distribution of Mortgaged Properties
State | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
Alabama | $ | 3,294,949 | 7 | 0.33 | % | $ | 470,707 | 6.895 | % | 354 | 715 | 72.91 | % | ||||||||||||
Arizona | 46,728,341 | 164 | 4.67 | 284,929 | 6.816 | 350 | 706 | 74.84 | |||||||||||||||||
California | 499,891,062 | 1413 | 49.99 | 353,780 | 6.880 | 349 | 703 | 74.19 | |||||||||||||||||
Colorado | 10,514,476 | 50 | 1.05 | 210,290 | 7.185 | 342 | 706 | 74.50 | |||||||||||||||||
Connecticut | 8,078,828 | 26 | 0.81 | 310,724 | 7.069 | 348 | 704 | 75.59 | |||||||||||||||||
District of Columbia | 1,812,145 | 6 | 0.18 | 302,024 | 6.703 | 350 | 753 | 61.18 | |||||||||||||||||
Delaware | 570,299 | 4 | 0.06 | 142,575 | 8.284 | 343 | 631 | 86.96 | |||||||||||||||||
Florida | 82,673,770 | 453 | 8.27 | 182,503 | 7.722 | 340 | 694 | 77.37 | |||||||||||||||||
Georgia | 8,124,040 | 36 | 0.81 | 225,668 | 7.093 | 345 | 724 | 78.70 | |||||||||||||||||
Hawaii | 17,378,714 | 48 | 1.74 | 362,057 | 6.714 | 347 | 697 | 77.45 | |||||||||||||||||
Iowa | 244,618 | 2 | 0.02 | 122,309 | 6.419 | 357 | 753 | 82.43 | |||||||||||||||||
Idaho | 3,739,895 | 8 | 0.37 | 467,487 | 6.605 | 356 | 732 | 69.56 | |||||||||||||||||
Illinois | 29,838,032 | 118 | 2.98 | 252,865 | 7.310 | 340 | 709 | 76.44 | |||||||||||||||||
Indiana | 1,261,863 | 8 | 0.13 | 157,733 | 7.084 | 343 | 726 | 80.53 | |||||||||||||||||
Kansas | 3,525,551 | 6 | 0.35 | 587,592 | 6.376 | 354 | 763 | 77.74 | |||||||||||||||||
Kentucky | 1,789,698 | 4 | 0.18 | 447,424 | 6.118 | 299 | 751 | 74.81 | |||||||||||||||||
Louisiana | 851,941 | 5 | 0.09 | 170,388 | 6.488 | 357 | 719 | 78.91 | |||||||||||||||||
Massachusetts | 10,135,885 | 26 | 1.01 | 389,842 | 6.604 | 357 | 731 | 68.97 | |||||||||||||||||
Maryland | 40,307,626 | 134 | 4.03 | 300,803 | 6.958 | 347 | 701 | 75.25 | |||||||||||||||||
Maine | 2,082,983 | 7 | 0.21 | 297,569 | 6.849 | 357 | 695 | 78.04 | |||||||||||||||||
Michigan | 2,308,817 | 10 | 0.23 | 230,882 | 8.265 | 320 | 692 | 75.37 | |||||||||||||||||
Minnesota | 7,589,414 | 39 | 0.76 | 194,600 | 7.597 | 336 | 696 | 76.73 | |||||||||||||||||
Missouri | 3,867,962 | 15 | 0.39 | 257,864 | 6.749 | 312 | 771 | 71.51 | |||||||||||||||||
Mississippi | 2,288,013 | 15 | 0.23 | 152,534 | 7.317 | 344 | 703 | 79.02 | |||||||||||||||||
North Carolina | 6,874,807 | 24 | 0.69 | 286,450 | 6.886 | 355 | 703 | 74.55 | |||||||||||||||||
North Dakota | 103,539 | 1 | 0.01 | 103,539 | 6.750 | 356 | 685 | 79.99 | |||||||||||||||||
Nebraska | 168,000 | 1 | 0.02 | 168,000 | 6.875 | 358 | 677 | 80.00 | |||||||||||||||||
New Hampshire | 3,275,545 | 14 | 0.33 | 233,967 | 7.077 | 357 | 692 | 73.48 | |||||||||||||||||
New Jersey | 32,201,250 | 100 | 3.22 | 322,012 | 7.146 | 349 | 708 | 73.71 | |||||||||||||||||
New Mexico | 781,234 | 5 | 0.08 | 156,247 | 7.240 | 356 | 726 | 64.73 | |||||||||||||||||
Nevada | 23,618,970 | 99 | 2.36 | 238,575 | 7.130 | 345 | 700 | 78.19 | |||||||||||||||||
New York | 45,390,691 | 121 | 4.54 | 375,130 | 7.490 | 338 | 706 | 72.28 | |||||||||||||||||
Ohio | 2,696,926 | 5 | 0.27 | 539,385 | 6.567 | 358 | 696 | 77.44 | |||||||||||||||||
Oklahoma | 262,108 | 3 | 0.03 | 87,369 | 8.704 | 330 | 677 | 88.82 | |||||||||||||||||
Oregon | 7,356,136 | 30 | 0.74 | 245,205 | 6.866 | 340 | 696 | 69.43 | |||||||||||||||||
Pennsylvania | 5,819,794 | 22 | 0.58 | 264,536 | 6.890 | 351 | 740 | 73.73 | |||||||||||||||||
Rhode Island | 3,337,260 | 11 | 0.33 | 303,387 | 7.012 | 342 | 743 | 71.29 | |||||||||||||||||
South Carolina | 4,644,572 | 19 | 0.46 | 244,451 | 6.787 | 356 | 737 | 74.89 | |||||||||||||||||
Tennessee | 3,280,600 | 12 | 0.33 | 273,383 | 6.446 | 357 | 725 | 75.21 | |||||||||||||||||
Texas | 8,745,995 | 38 | 0.87 | 230,158 | 7.078 | 322 | 731 | 75.49 | |||||||||||||||||
Utah | 7,048,096 | 25 | 0.70 | 281,924 | 7.404 | 341 | 718 | 70.91 | |||||||||||||||||
Virginia | 39,320,449 | 119 | 3.93 | 330,424 | 7.000 | 352 | 703 | 77.18 | |||||||||||||||||
Washington | 14,037,561 | 54 | 1.40 | 259,955 | 6.809 | 349 | 709 | 76.33 | |||||||||||||||||
Wisconsin | 2,138,809 | 6 | 0.21 | 356,468 | 6.432 | 353 | 710 | 77.03 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
No more than approximately 0.40% of the mortgage loans (by aggregate outstanding principal balance as of the cut-off date) are secured by mortgaged properties located in any one zip code.
11
Original Loan-to-Value Ratios (Include CLTVs for 2nd Liens)
Range of Loan-to-Value Rations (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
0.01 - 20.00 | $ | 3,055,891 | 6 | 0.31 | % | $ | 509,315 | 6.116 | % | 289 | 714 | 17.97 | % | ||||||||||||
20.01 - 25.00 | 858,117 | 5 | 0.09 | 171,623 | 6.049 | 300 | 742 | 22.66 | |||||||||||||||||
25.01 - 30.00 | 2,666,738 | 9 | 0.27 | 296,304 | 5.946 | 358 | 740 | 28.16 | |||||||||||||||||
30.01 - 35.00 | 3,915,142 | 16 | 0.39 | 244,696 | 6.181 | 329 | 726 | 31.55 | |||||||||||||||||
35.01 - 40.00 | 6,810,699 | 18 | 0.68 | 378,372 | 6.605 | 335 | 751 | 38.32 | |||||||||||||||||
40.01 - 45.00 | 10,235,759 | 38 | 1.02 | 269,362 | 6.351 | 351 | 724 | 42.21 | |||||||||||||||||
45.01 - 50.00 | 17,524,366 | 51 | 1.75 | 343,615 | 6.312 | 342 | 713 | 48.31 | |||||||||||||||||
50.01 - 55.00 | 21,612,915 | 56 | 2.16 | 385,945 | 6.265 | 357 | 726 | 52.58 | |||||||||||||||||
55.01 - 60.00 | 29,915,902 | 74 | 2.99 | 404,269 | 6.325 | 344 | 721 | 58.26 | |||||||||||||||||
60.01 - 65.00 | 62,983,514 | 131 | 6.30 | 480,790 | 6.464 | 353 | 720 | 63.46 | |||||||||||||||||
65.01 - 70.00 | 104,889,255 | 277 | 10.49 | 378,662 | 6.604 | 355 | 709 | 68.82 | |||||||||||||||||
70.01 - 75.00 | 151,976,075 | 428 | 15.20 | 355,084 | 6.772 | 356 | 704 | 74.30 | |||||||||||||||||
75.01 - 80.00 | 514,088,379 | 1473 | 51.41 | 349,008 | 6.855 | 356 | 702 | 79.72 | |||||||||||||||||
80.01 - 85.00 | 3,765,220 | 30 | 0.38 | 125,507 | 8.970 | 307 | 697 | 84.37 | |||||||||||||||||
85.01 - 90.00 | 19,544,791 | 200 | 1.95 | 97,724 | 9.690 | 283 | 683 | 89.65 | |||||||||||||||||
90.01 - 95.00 | 19,700,482 | 247 | 1.97 | 79,759 | 11.513 | 231 | 691 | 94.85 | |||||||||||||||||
95.01 - 100.00 | 26,458,022 | 254 | 2.65 | 104,165 | 11.554 | 212 | 666 | 99.97 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
The minimum and maximum loan-to-value ratios of the mortgage loans at origination were approximately 13.99% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the mortgage loans at origination was approximately 74.77%.
Notwithstanding the foregoing table, the final pool of mortgage loans will not include any mortgage loan with a loan-to-value ratio in excess of 100.00%.
12
Mortgage Rates
Range of Mortgage Rates | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
4.500 - 4.999 | $ | 178,189 | 1 | 0.02 | % | $ | 178,189 | 4.875 | % | 356 | 793 | 80.00 | % | ||||||||||||
5.000 - 5.499 | 10,756,676 | 22 | 1.08 | 488,940 | 5.264 | 358 | 731 | 63.28 | |||||||||||||||||
5.500 - 5.999 | 86,715,494 | 227 | 8.67 | 382,007 | 5.796 | 351 | 725 | 68.31 | |||||||||||||||||
6.000 - 6.499 | 238,653,452 | 569 | 23.87 | 419,426 | 6.256 | 351 | 717 | 71.32 | |||||||||||||||||
6.500 - 6.999 | 348,570,020 | 955 | 34.86 | 364,995 | 6.690 | 356 | 707 | 74.11 | |||||||||||||||||
7.000 - 7.499 | 121,463,826 | 388 | 12.15 | 313,051 | 7.199 | 355 | 690 | 76.28 | |||||||||||||||||
7.500 - 7.999 | 91,057,371 | 300 | 9.11 | 303,525 | 7.686 | 358 | 689 | 77.45 | |||||||||||||||||
8.000 - 8.499 | 31,478,768 | 117 | 3.15 | 269,049 | 8.201 | 357 | 681 | 78.85 | |||||||||||||||||
8.500 - 8.999 | 15,167,545 | 51 | 1.52 | 297,403 | 8.692 | 358 | 695 | 80.63 | |||||||||||||||||
9.000 - 9.499 | 5,186,917 | 23 | 0.52 | 225,518 | 9.240 | 358 | 668 | 84.97 | |||||||||||||||||
9.500 - 9.999 | 3,363,365 | 16 | 0.34 | 210,210 | 9.846 | 344 | 658 | 88.87 | |||||||||||||||||
10.000 - 10.499 | 834,991 | 4 | 0.08 | 208,748 | 10.239 | 326 | 675 | 87.24 | |||||||||||||||||
10.500 - 10.999 | 1,730,937 | 22 | 0.17 | 78,679 | 10.787 | 218 | 682 | 91.65 | |||||||||||||||||
11.000 - 11.499 | 3,002,169 | 35 | 0.30 | 85,776 | 11.249 | 178 | 683 | 94.08 | |||||||||||||||||
11.500 - 11.999 | 9,176,021 | 132 | 0.92 | 69,515 | 11.771 | 187 | 679 | 95.13 | |||||||||||||||||
12.000 - 12.499 | 9,050,417 | 130 | 0.91 | 69,619 | 12.251 | 178 | 682 | 96.20 | |||||||||||||||||
12.500 - 12.999 | 13,805,282 | 178 | 1.38 | 77,558 | 12.689 | 181 | 665 | 97.10 | |||||||||||||||||
13.000 - 13.499 | 4,743,334 | 66 | 0.47 | 71,869 | 13.197 | 185 | 666 | 95.17 | |||||||||||||||||
13.500 - 13.999 | 3,961,380 | 54 | 0.40 | 73,359 | 13.679 | 185 | 654 | 95.86 | |||||||||||||||||
14.000 - 14.499 | 899,045 | 19 | 0.09 | 47,318 | 14.225 | 231 | 659 | 94.38 | |||||||||||||||||
14.500 - 14.999 | 206,068 | 4 | 0.02 | 51,517 | 14.550 | 178 | 669 | 94.03 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
As of the cut-off date, the weighted average mortgage rate of the mortgage loans was approximately 7.018% per annum.
Property Types
Property Type | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
Single Family Residence | $ | 606,347,003 | 1991 | 60.63 | % | $ | 304,544 | 6.918 | % | 347 | 703 | 74.39 | % | ||||||||||||
Planned Unit Development | 130,800,610 | 342 | 13.08 | 382,458 | 6.680 | 349 | 715 | 74.06 | |||||||||||||||||
Condominium | 88,920,015 | 415 | 8.89 | 214,265 | 7.246 | 346 | 707 | 77.19 | |||||||||||||||||
Diminimus Planned Unit Development | 55,869,784 | 191 | 5.59 | 292,512 | 7.245 | 341 | 700 | 75.21 | |||||||||||||||||
Two Family | 44,242,027 | 147 | 4.42 | 300,966 | 7.475 | 342 | 703 | 75.58 | |||||||||||||||||
Four Family | 24,798,253 | 58 | 2.48 | 427,556 | 7.830 | 349 | 706 | 75.08 | |||||||||||||||||
Three Family | 22,075,027 | 66 | 2.21 | 334,470 | 8.042 | 335 | 698 | 76.16 | |||||||||||||||||
Highrise | 18,070,208 | 63 | 1.81 | 286,829 | 7.351 | 342 | 718 | 73.24 | |||||||||||||||||
Townhouse | 8,040,385 | 36 | 0.80 | 223,344 | 7.297 | 354 | 683 | 79.17 | |||||||||||||||||
Condotel | 837,954 | 4 | 0.08 | 209,489 | 7.767 | 358 | 723 | 78.26 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
13
Loan Purposes
Loan Purposes | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
Purchase | $ | 442,767,193 | 1639 | 44.28 | % | $ | 270,145 | 7.306 | % | 344 | 706 | 78.97 | % | ||||||||||||
Cash Out Refinance | 342,396,519 | 1133 | 34.24 | 302,203 | 6.929 | 347 | 698 | 71.20 | |||||||||||||||||
Rate/Tern Refinance | 214,837,554 | 541 | 21.48 | 397,112 | 6.565 | 351 | 711 | 71.80 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
Occupancy Types
Occupancy Type | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
Owner Occupied | $ | 804,574,240 | 2357 | 80.46 | % | $ | 341,355 | 6.868 | % | 348 | 703 | 75.05 | % | ||||||||||||
Investor | 166,035,482 | 853 | 16.60 | 194,649 | 7.757 | 339 | 708 | 74.07 | |||||||||||||||||
Second Home | 29,391,544 | 103 | 2.94 | 285,355 | 6.936 | 351 | 730 | 71.03 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
Occupancy type is based on the representation of the borrower at the time of origination.
Months Remaining to Scheduled Maturity
Range of Months | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
1 - 120 | $ | 1,327,459 | 2 | 0.13 | % | $ | 663,730 | 6.613 | % | 87 | 771 | 48.77 | % | ||||||||||||
121 - 180 | 58,731,265 | 656 | 5.87 | 89,529 | 10.997 | 178 | 689 | 87.89 | |||||||||||||||||
181 - 240 | 959,765 | 5 | 0.10 | 191,953 | 6.610 | 237 | 784 | 63.47 | |||||||||||||||||
241 - 300 | 121,874 | 1 | 0.01 | 121,874 | 11.900 | 298 | 720 | 90.00 | |||||||||||||||||
301 - 360 | 938,860,901 | 2649 | 93.89 | 354,421 | 6.769 | 358 | 705 | 73.99 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
As of the cut-off date, the weighted average months remaining to scheduled maturity of the mortgage loans was approximately 347 months.
14
Mortgage Loan Program and Documentation Type
Documentation Type | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
Stated | $ | 590,697,357 | 2114 | 59.07 | % | $ | 279,422 | 7.208 | % | 342 | 701 | 75.94 | % | ||||||||||||
Full | 174,747,946 | 472 | 17.47 | 370,229 | 6.423 | 349 | 724 | 71.28 | |||||||||||||||||
Express Verified Assets | 103,858,526 | 321 | 10.39 | 323,547 | 7.177 | 355 | 692 | 76.56 | |||||||||||||||||
SISA | 74,753,783 | 200 | 7.48 | 373,769 | 6.614 | 356 | 708 | 74.98 | |||||||||||||||||
Express No Doc | 44,662,876 | 161 | 4.47 | 277,409 | 7.117 | 357 | 704 | 69.64 | |||||||||||||||||
Express Non-Verified Assets | 8,805,871 | 36 | 0.88 | 244,608 | 7.258 | 353 | 689 | 70.48 | |||||||||||||||||
Express No Doc Verified Assets | 2,411,306 | 8 | 0.24 | 301,413 | 6.513 | 358 | 710 | 68.51 | |||||||||||||||||
FISA | 63,600 | 1 | 0.010 | 63,600 | 7.500 | 355 | 665 | 80.00 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
See “—Underwriting Criteria” below for a detailed description of the Sponsor’s loan programs and documentation requirements.
Credit Scores
Range of Credit Scores | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
Not Applicable(2) | $ | 1,715,851 | 8 | 0.17 | % | $ | 214,481 | 7.618 | % | 358 | 0 | 72.88 | % | ||||||||||||
> 820 | 240,000 | 1 | 0.02 | 240,000 | 5.750 | 359 | 821 | 61.54 | |||||||||||||||||
801 - 820 | 14,875,912 | 42 | 1.49 | 354,188 | 6.574 | 344 | 809 | 71.16 | |||||||||||||||||
781 - 800 | 54,336,906 | 138 | 5.43 | 393,746 | 6.469 | 344 | 791 | 69.36 | |||||||||||||||||
761 - 780 | 71,207,033 | 188 | 7.12 | 378,761 | 6.633 | 347 | 771 | 69.20 | |||||||||||||||||
741 - 760 | 89,912,515 | 253 | 8.99 | 355,385 | 6.761 | 347 | 751 | 73.51 | |||||||||||||||||
721 - 740 | 127,001,717 | 353 | 12.70 | 359,778 | 6.682 | 351 | 730 | 73.44 | |||||||||||||||||
701 - 720 | 141,273,478 | 419 | 14.13 | 337,168 | 6.769 | 353 | 710 | 75.13 | |||||||||||||||||
681 - 700 | 157,738,157 | 521 | 15.77 | 302,760 | 6.891 | 353 | 690 | 75.77 | |||||||||||||||||
661 - 680 | 155,184,555 | 572 | 15.52 | 271,302 | 7.266 | 344 | 671 | 76.08 | |||||||||||||||||
641 - 660 | 126,273,618 | 554 | 12.63 | 227,931 | 7.843 | 335 | 651 | 78.38 | |||||||||||||||||
621 - 640 | 50,372,845 | 225 | 5.04 | 223,879 | 7.766 | 335 | 631 | 78.60 | |||||||||||||||||
601 - 620 | 9,811,186 | 38 | 0.98 | 258,189 | 7.397 | 352 | 614 | 71.83 | |||||||||||||||||
581 - 600 | 57,494 | 1 | 0.01 | 57,494 | 9.875 | 356 | 600 | 80.00 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
(2) Primary Borrower is a Foreign National and therefore, has no credit score.
As of the cut-off date, the non-zero weighted average credit score of the mortgage loans for which credit scores are available was approximately 705.
15
Prepayment Penalty
Original Prepayment Penalty Term (months) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
0 | $ | 519,930,755 | 1565 | 51.99 | % | $ | 332,224 | 6.938 | % | 345 | 715 | 73.90 | % | ||||||||||||
6 | 4,911,119 | 17 | 0.49 | 288,889 | 7.312 | 343 | 715 | 74.27 | |||||||||||||||||
12 | 120,031,533 | 395 | 12.00 | 303,877 | 7.229 | 348 | 693 | 74.98 | |||||||||||||||||
24 | 59,338,379 | 245 | 5.93 | 242,197 | 7.208 | 345 | 686 | 76.34 | |||||||||||||||||
30 | 956,142 | 1 | 0.10 | 956,142 | 7.000 | 359 | 766 | 75.00 | |||||||||||||||||
36 | 290,249,082 | 1071 | 29.02 | 271,008 | 7.032 | 349 | 694 | 75.91 | |||||||||||||||||
60 | 4,584,257 | 19 | 0.46 | 241,277 | 6.908 | 355 | 697 | 75.17 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
Range Months to Roll(1)
Number of Months | WA MTR | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(2) | |||||||||||||||||||
1 - 6 | 2 | $ | 2,599,760 | 7 | 0.39 | % | $ | 371,394 | 5.822 | % | 354 | 728 | 70.46 | % | ||||||||||||||
7-12 | 8 | 1,835,085 | 6 | 0.27 | 305,847 | 6.309 | 356 | 684 | 73.48 | |||||||||||||||||||
19-24 | 21 | 12,674,655 | 31 | 1.88 | 408,860 | 7.348 | 357 | 704 | 78.25 | |||||||||||||||||||
25-31 | 31 | 1,388,754 | 5 | 0.21 | 277,751 | 6.735 | 355 | 686 | 79.99 | |||||||||||||||||||
32-37 | 34 | 38,607,563 | 126 | 5.73 | 306,409 | 6.698 | 358 | 705 | 76.57 | |||||||||||||||||||
50-55 | 55 | 15,782,396 | 43 | 2.34 | 367,032 | 6.876 | 355 | 697 | 74.14 | |||||||||||||||||||
56-61 | 58 | 572,900,080 | 1647 | 84.96 | 347,845 | 6.813 | 358 | 697 | 75.50 | |||||||||||||||||||
80-85 | 82 | 24,546,616 | 65 | 3.64 | 377,640 | 6.507 | 358 | 702 | 71.67 | |||||||||||||||||||
>85 | 118 | 3,953,703 | 9 | 0.59 | 439,300 | 6.388 | 358 | 687 | 47.37 | |||||||||||||||||||
Total | 57 | $ | 674,288,613 | 1939 | 100.00 | % | $ | 347,751 | 6.799 | % | 358 | 698 | 75.26 | % |
(1) Excludes the fixed-rate mortgage loans.
(2) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
As of the cut-off date, the weighted average months to roll of the sample adjustable-rate mortgage loans was approximately 57 months.
16
Gross Margin(1)
Range of Gross Margin | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(2) | |||||||||||||||||
2.250 - 2.499 | $ | 172,728,579 | 431 | 25.62 | % | $ | 400,762 | 6.570 | % | 357 | 708 | 74.94 | % | ||||||||||||
2.500 - 2.749 | 6,257,447 | 20 | 0.93 | 312,872 | 6.265 | 357 | 715 | 72.08 | |||||||||||||||||
2.750 - 2.999 | 107,373,036 | 312 | 15.92 | 344,144 | 7.076 | 358 | 694 | 76.94 | |||||||||||||||||
3.000 - 3.249 | 245,308,378 | 733 | 36.38 | 334,664 | 6.755 | 359 | 694 | 74.04 | |||||||||||||||||
3.250 - 3.499 | 75,371,497 | 215 | 11.18 | 350,565 | 6.757 | 358 | 698 | 75.22 | |||||||||||||||||
3.500 - 3.749 | 12,702,697 | 40 | 1.88 | 317,567 | 7.191 | 358 | 697 | 75.32 | |||||||||||||||||
3.750 - 3.999 | 20,644,456 | 60 | 3.06 | 344,074 | 6.746 | 359 | 692 | 76.71 | |||||||||||||||||
4.000 - 4.249 | 18,550,479 | 68 | 2.75 | 272,801 | 7.248 | 358 | 675 | 79.71 | |||||||||||||||||
4.250 - 4.499 | 1,377,597 | 5 | 0.20 | 275,519 | 9.287 | 358 | 677 | 94.18 | |||||||||||||||||
4.500 - 4.749 | 1,183,134 | 6 | 0.18 | 197,189 | 9.278 | 358 | 663 | 90.32 | |||||||||||||||||
4.750 - 4.999 | 351,200 | 1 | 0.05 | 351,200 | 6.500 | 359 | 652 | 80.00 | |||||||||||||||||
5.000 - 5.249 | 9,543,602 | 36 | 1.42 | 265,100 | 7.511 | 357 | 688 | 79.23 | |||||||||||||||||
5.250 - 5.499 | 439,967 | 1 | 0.07 | 439,967 | 6.000 | 358 | 721 | 79.28 | |||||||||||||||||
5.500 - 5.749 | 1,040,979 | 4 | 0.15 | 260,245 | 6.063 | 357 | 711 | 69.98 | |||||||||||||||||
5.750 - 5.999 | 252,847 | 1 | 0.04 | 252,847 | 9.975 | 355 | 630 | 95.00 | |||||||||||||||||
6.250 - 6.499 | 268,300 | 1 | 0.04 | 268,300 | 7.250 | 358 | 787 | 70.00 | |||||||||||||||||
6.500 - 6.749 | 248,925 | 2 | 0.04 | 124,463 | 7.986 | 359 | 671 | 72.05 | |||||||||||||||||
7.000 - 7.249 | 464,000 | 1 | 0.07 | 464,000 | 9.875 | 356 | 613 | 80.00 | |||||||||||||||||
7.750 - 7.999 | 181,494 | 2 | 0.03 | 90,747 | 8.509 | 357 | 661 | 80.00 | |||||||||||||||||
Total | $ | 674,288,613 | 1939 | 100.00 | % | $ | 347,751 | 6.799 | % | 358 | 698 | 75.26 | % |
(1) Excludes the fixed-rate mortgage loans.
(2) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
As of the cut-off date, the weighted average Gross Margin of the sample adjustable-rate mortgage loans was approximately 2.907% per annum.
Maximum Mortgage Rate(1)
Range of Maximum Mortgage Rates | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(2) | |||||||||||||||||
10.000-10.499 | $ | 745,800 | 2 | 0.11 | % | $ | 372,900 | 5.375 | % | 357 | 758 | 77.97 | % | ||||||||||||
10.500-10.999 | 13,711,380 | 28 | 2.03 | 489,692 | 5.819 | 357 | �� | 720 | 73.51 | ||||||||||||||||
11.000-11.499 | 62,117,678 | 147 | 9.21 | 422,569 | 6.091 | 357 | 716 | 72.23 | |||||||||||||||||
11.500-11.999 | 133,364,050 | 368 | 19.78 | 362,402 | 6.342 | 358 | 709 | 72.52 | |||||||||||||||||
12.000-12.499 | 114,863,467 | 310 | 17.03 | 370,527 | 6.409 | 358 | 699 | 73.81 | |||||||||||||||||
12.500-12.999 | 172,200,438 | 502 | 25.54 | 343,029 | 6.783 | 358 | 695 | 76.05 | |||||||||||||||||
13.000-13.499 | 77,788,740 | 244 | 11.54 | 318,806 | 7.276 | 358 | 687 | 77.38 | |||||||||||||||||
13.500-13.999 | 56,452,961 | 184 | 8.37 | 306,810 | 7.706 | 358 | 679 | 78.70 | |||||||||||||||||
14.000-14.499 | 21,755,277 | 74 | 3.23 | 293,990 | 8.212 | 358 | 677 | 79.69 | |||||||||||||||||
14.500-14.999 | 13,328,793 | 44 | 1.98 | 302,927 | 8.694 | 358 | 692 | 80.26 | |||||||||||||||||
15.000-15.499 | 4,121,163 | 19 | 0.61 | 216,903 | 9.235 | 358 | 666 | 84.19 | |||||||||||||||||
15.500-15.999 | 2,503,293 | 11 | 0.37 | 227,572 | 9.826 | 357 | 655 | 88.03 | |||||||||||||||||
16.000-16.499 | 685,191 | 3 | 0.10 | 228,397 | 10.291 | 358 | 656 | 84.46 | |||||||||||||||||
16.500-16.999 | 387,231 | 2 | 0.06 | 193,615 | 10.573 | 358 | 676 | 90.00 | |||||||||||||||||
17.500-17.999 | 263,150 | 1 | 0.04 | 263,150 | 11.625 | 359 | 676 | 95.00 | |||||||||||||||||
Total | $ | 674,288,613 | 1939 | 100.00 | % | $ | 347,751 | 6.799 | % | 358 | 698 | 75.26 | % |
(1) Excludes the fixed-rate mortgage loans.
(2) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
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As of the cut-off date, the weighted average Maximum Mortgage Rate of the sample adjustable-rate mortgage loans was approximately 12.520% per annum.
Next Interest Adjustment Date(1)
Next Adjustment Date | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(2) | |||||||||||||||||
March 2007 | $ | 850,000 | 1 | 0.13 | % | $ | 850,000 | 5.375 | % | 349 | 746 | 53.13 | % | ||||||||||||
April 2007 | 111,755 | 1 | 0.02 | 111,755 | 7.000 | 356 | 781 | 70.00 | |||||||||||||||||
May 2007 | 1,389,524 | 3 | 0.21 | 463,175 | 5.932 | 357 | 711 | 79.27 | |||||||||||||||||
June 2007 | 208,822 | 1 | 0.03 | 208,822 | 6.250 | 358 | 724 | 77.99 | |||||||||||||||||
August 2007 | 39,659 | 1 | 0.01 | 39,659 | 6.000 | 354 | 795 | 95.00 | |||||||||||||||||
September 2007 | 244,693 | 2 | 0.04 | 122,346 | 6.333 | 355 | 667 | 88.35 | |||||||||||||||||
October 2007 | 815,500 | 1 | 0.12 | 815,500 | 6.500 | 356 | 696 | 70.00 | |||||||||||||||||
November 2007 | 522,542 | 2 | 0.08 | 261,271 | 5.727 | 357 | 677 | 73.64 | |||||||||||||||||
December 2007 | 252,350 | 1 | 0.04 | 252,350 | 6.875 | 358 | 680 | 70.00 | |||||||||||||||||
September 2008 | 976,551 | 4 | 0.14 | 244,138 | 7.538 | 355 | 642 | 86.28 | |||||||||||||||||
October 2008 | 2,169,700 | 6 | 0.32 | 361,617 | 8.252 | 356 | 710 | 75.27 | |||||||||||||||||
November 2008 | 2,247,951 | 5 | 0.33 | 449,590 | 6.698 | 357 | 728 | 73.62 | |||||||||||||||||
December 2008 | 5,004,321 | 10 | 0.74 | 500,432 | 6.698 | 358 | 718 | 80.00 | |||||||||||||||||
January 2009 | 1,915,507 | 4 | 0.28 | 478,877 | 8.576 | 359 | 659 | 80.34 | |||||||||||||||||
February 2009 | 360,625 | 2 | 0.05 | 180,313 | 7.962 | 360 | 731 | 67.83 | |||||||||||||||||
August 2009 | 438,600 | 2 | 0.07 | 219,300 | 8.061 | 354 | 736 | 79.96 | |||||||||||||||||
September 2009 | 950,154 | 3 | 0.14 | 316,718 | 6.123 | 355 | 664 | 80.00 | |||||||||||||||||
October 2009 | 1,778,465 | 7 | 0.26 | 254,066 | 6.894 | 356 | 724 | 74.48 | |||||||||||||||||
November 2009 | 21,732,897 | 76 | 3.22 | 285,959 | 6.999 | 357 | 700 | 79.27 | |||||||||||||||||
December 2009 | 8,905,264 | 31 | 1.32 | 287,267 | 6.346 | 358 | 714 | 74.13 | |||||||||||||||||
January 2010 | 6,190,937 | 12 | 0.92 | 515,911 | 6.089 | 359 | 705 | 71.19 | |||||||||||||||||
August 2011 | 4,957,961 | 10 | 0.74 | 495,796 | 6.674 | 354 | 709 | 76.83 | |||||||||||||||||
September 2011 | 10,824,435 | 33 | 1.61 | 328,013 | 6.968 | 355 | 691 | 72.91 | |||||||||||||||||
October 2011 | 30,490,763 | 70 | 4.52 | 435,582 | 6.592 | 356 | 701 | 77.70 | |||||||||||||||||
November 2011 | 119,368,490 | 338 | 17.70 | 353,161 | 6.884 | 357 | 699 | 76.40 | |||||||||||||||||
December 2011 | 259,247,817 | 738 | 38.45 | 351,284 | 6.831 | 358 | 695 | 75.42 | |||||||||||||||||
January 2012 | 159,830,125 | 488 | 23.70 | 327,521 | 6.738 | 359 | 696 | 74.47 | |||||||||||||||||
February 2012 | 3,962,885 | 13 | 0.59 | 304,837 | 8.219 | 360 | 703 | 78.51 | |||||||||||||||||
October 2013 | 616,000 | 1 | 0.09 | 616,000 | 6.250 | 356 | 707 | 72.48 | |||||||||||||||||
November 2013 | 6,321,477 | 17 | 0.94 | 371,852 | 6.686 | 357 | 696 | 76.22 | |||||||||||||||||
December 2013 | 9,560,191 | 25 | 1.42 | 382,408 | 6.345 | 358 | 704 | 67.93 | |||||||||||||||||
January 2014 | 8,048,948 | 22 | 1.19 | 365,861 | 6.578 | 359 | 706 | 72.46 | |||||||||||||||||
December 2016 | 3,953,703 | 9 | 0.59 | 439,300 | 6.388 | 358 | 687 | 47.37 | |||||||||||||||||
Total | $ | 674,288,613 | 1939 | 100.00 | % | $ | 347,751 | 6.799 | % | 358 | 698 | 75.26 | % |
(1) Excludes the fixed-rate mortgage loans.
(2) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
As of the cut-off date, the weighted average remaining months to the next adjustment date of the sample adjustable-rate mortgage loans was approximately 57 months.
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Initial Fixed-Rate Period(1)
Initial Fixed Period (months) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(2) | |||||||||||||||||
6 | $ | 1,710,101 | 5 | 0.25 | % | $ | 342,020 | 6.041 | % | 357 | 717 | 78.51 | % | ||||||||||||
12 | 2,724,743 | 8 | 0.40 | 340,593 | 6.013 | 354 | 705 | 67.45 | |||||||||||||||||
24 | 12,674,655 | 31 | 1.88 | 408,860 | 7.348 | 357 | 704 | 78.25 | |||||||||||||||||
36 | 39,996,317 | 131 | 5.93 | 305,315 | 6.699 | 357 | 705 | 76.69 | |||||||||||||||||
60 | 588,682,477 | 1690 | 87.30 | 348,333 | 6.815 | 358 | 697 | 75.47 | |||||||||||||||||
84 | 24,546,616 | 65 | 3.64 | 377,640 | 6.507 | 358 | 702 | 71.67 | |||||||||||||||||
120 | 3,953,703 | 9 | 0.59 | 439,300 | 6.388 | 358 | 687 | 47.37 | |||||||||||||||||
Total | $ | 674,288,613 | 1939 | 100.00 | % | $ | 347,751 | 6.799 | % | 358 | 698 | 75.26 | % |
(1) Excludes the fixed-rate mortgage loans.
(2) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
Initial Rate Cap(1)
Initial Rate (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(2) | |||||||||||||||||
1.000 | $ | 320,577 | 2 | 0.05 | % | $ | 160,289 | 6.511 | % | 357 | 744 | 75.20 | % | ||||||||||||
2.000 | 13,667,334 | 47 | 2.03 | 290,794 | 6.582 | 356 | 706 | 74.53 | |||||||||||||||||
3.000 | 388,509,022 | 1144 | 57.62 | 339,606 | 6.870 | 358 | 695 | 75.22 | |||||||||||||||||
5.000 | 180,837,722 | 477 | 26.82 | 379,115 | 6.620 | 357 | 704 | 74.48 | |||||||||||||||||
6.000 | 90,953,958 | 269 | 13.49 | 338,119 | 6.886 | 357 | 694 | 77.09 | |||||||||||||||||
Total | $ | 674,288,613 | 1939 | 100.00 | % | $ | 347,751 | 6.799 | % | 358 | 698 | 75.26 | % |
(1) Excludes the fixed-rate mortgage loans.
(2) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
Subsequent Rate Cap(1)
Subsequent Rate Cap (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(2) | |||||||||||||||||
1.000 | $ | 430,250,751 | 1282 | 63.81 | % | $ | 335,609 | 6.873 | % | 358 | 696 | 74.97 | % | ||||||||||||
2.000 | 244,037,862 | 657 | 36.19 | 371,443 | 6.669 | 357 | 701 | 75.78 | |||||||||||||||||
Total | $ | 674,288,613 | 1939 | 100.00 | % | $ | 347,751 | 6.799 | % | 358 | 698 | 75.26 | % |
(1) Excludes the fixed-rate mortgage loans.
(2) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
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Debt-to-Income Ratio
Range of Debt-to-Income Ratio (%) | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(1) | |||||||||||||||||
0.01 - 5.00 | $ | 60,902 | 1 | 0.01 | % | $ | 60,902 | 10.500 | % | 176 | 652 | 90.00 | % | ||||||||||||
5.01 - 10.00 | 2,879,385 | 7 | 0.29 | 411,341 | 6.297 | 356 | 708 | 65.68 | |||||||||||||||||
10.01 - 15.00 | 6,996,154 | 25 | 0.70 | 279,846 | 6.825 | 350 | 721 | 68.16 | |||||||||||||||||
15.01 - 20.00 | 10,192,507 | 41 | 1.02 | 248,598 | 6.764 | 341 | 714 | 66.13 | |||||||||||||||||
20.01 - 25.00 | 33,702,464 | 109 | 3.37 | 309,197 | 6.753 | 342 | 728 | 67.24 | |||||||||||||||||
25.01 - 30.00 | 60,159,635 | 197 | 6.02 | 305,379 | 6.836 | 343 | 721 | 70.79 | |||||||||||||||||
30.01 - 35.00 | 106,621,395 | 335 | 10.66 | 318,273 | 6.817 | 350 | 715 | 73.69 | |||||||||||||||||
35.01 - 40.00 | 192,255,024 | 629 | 19.23 | 305,652 | 6.912 | 344 | 709 | 74.37 | |||||||||||||||||
40.01 - 45.00 | 273,333,430 | 912 | 27.33 | 299,708 | 7.096 | 345 | 697 | 77.00 | |||||||||||||||||
45.01 - 50.00 | 138,814,234 | 497 | 13.88 | 279,304 | 7.264 | 343 | 701 | 77.59 | |||||||||||||||||
50.01 - 55.00 | 17,603,876 | 43 | 1.76 | 409,392 | 6.381 | 356 | 707 | 69.37 | |||||||||||||||||
Not Applicable(2) | 157,382,260 | 517 | 15.74 | 304,414 | 7.166 | 355 | 695 | 74.36 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
(2) Primary Borrower did not disclose monthly income on their mortgage loan application and therefore, their debt-to-income ratio is not calculated.
As of the cut-off date, the non-zero weighted average debt-to-income ratio of the mortgage loans was approximately 38.74% per annum.
Risk Categories
Credit Grade Category | Current Balance | No. of Loans | % of Total | Average Balance | Weighted Average Gross WAC | Weighted Average Remg. Term (Months) | Weighted Average Non-Zero Credit Score | Weighted Average Original LTV(3) | |||||||||||||||||
A+(1) | $ | 590,130,680 | 1690 | 59.01 | % | $ | 349,190 | 6.705 | % | 350 | 731 | 73.35 | % | ||||||||||||
A(1) | 301,349,370 | 1245 | 30.13 | 242,048 | 7.584 | 337 | 659 | 77.43 | |||||||||||||||||
Progressive Express I(2) | 67,056,603 | 231 | 6.71 | 290,288 | 7.044 | 356 | 715 | 74.97 | |||||||||||||||||
Progressive Express II(2) | 33,959,855 | 118 | 3.40 | 287,795 | 7.305 | 353 | 653 | 76.49 | |||||||||||||||||
A-(1) | 6,869,376 | 25 | 0.69 | 274,775 | 7.441 | 356 | 615 | 71.09 | |||||||||||||||||
Progressive Express III(2) | 635,381 | 4 | 0.06 | 158,845 | 6.894 | 356 | 610 | 51.06 | |||||||||||||||||
Total | $ | 1,000,001,266 | 3313 | 100.00 | % | $ | 301,842 | 7.018 | % | 347 | 705 | 74.77 | % |
(1) All of these sample mortgage loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A and A- correspond to Progressive Series I+, I and II and III and III+, respectively.
(2) These sample mortgage loans were originated under the Sponsor’s Progressive Express™ Program. The underwriting for these sample mortgage loans is generally based on the borrower’s “Credit Score” score and therefore these sample mortgage loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi™ Program has been placed in either Progressive Express™ Program II or III.
(3) Combined loan-to-value ratios with respect to the mortgage loans secured by second liens.
See “—Underwriting Criteria” below for a description of the Sponsor’s risk categories.
20