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Registration Statement No.: 333-132123-01
The information in this preliminary prospectus supplement is not complete and may be changed. This preliminary prospectus supplement is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.
(To Prospectus dated July 26, 2006)
Sequoia Residential Funding, Inc., Depositor
Sequoia Mortgage Trust 2007-2, Issuing Entity
• | Nine classes of senior certificates, including two classes of interest only certificates and four classes of residual interest certificates; and | |
• | Twelve classes of subordinate certificates. |
MERRILL LYNCH & CO. | Banc of America Securities LLC |
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and the Accompanying Prospectus
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(a) | to legal entities which are authorized or regulated to operate in the financial markets or, if not so authorized or regulated, whose corporate purpose is solely to invest in securities; | ||
(b) | to any legal entity which has two or more of (1) an average of at least 250 employees, during the last financial year; (2) a total balance sheet of more than €43,000,000 and (3) an annual net turnover of more than €50,000,000, as shown in its last annual or consolidated accounts; or | ||
(c) | in any other circumstances which do not require the publication by the issuer of a prospectus pursuant to Article 3 of the Prospectus Directive. |
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Initial Certificate Ratings(5) | ||||||||||||||||||||||||||
Initial Class | ||||||||||||||||||||||||||
Related | Principal or | Initial | Interest Rate Formula | Interest Rate Formula | ||||||||||||||||||||||
Mortgage | Notional | Interest | (on or prior to Group 1 | (after Group 1 | ||||||||||||||||||||||
Class | Pool(s) | Amount(1) | Rate(2) | Step-Up Date)(3) | Step-Up Date)(4) | Principal Type | Fitch | Moody’s | S&P | |||||||||||||||||
1-A1 | 1 | $ | 637,000,000 | [___]% | LIBOR plus [___]%(7) | LIBOR plus [___]%(7) | Senior | AAA | Aaa | AAA | ||||||||||||||||
1-AR | 1 | $ | 100 | [___]% | Net WAC(8) | Net WAC(8) | Residual/Senior | AAA | N/R | AAA | ||||||||||||||||
1-XA | 1 | $ | 637,000,000 | (6) | [___]% | (6 | ) | (6 | ) | Notional/Senior | AAA | Aaa | AAA | |||||||||||||
1-XB | 1 | $ | 4,225,000 | (6) | [___]% | (6 | ) | (6 | ) | Notional/Senior | N/R | A2 | AAA | |||||||||||||
1-B1 | 1 | $ | 2,275,000 | [___]% | LIBOR plus [___]%(7) | LIBOR plus [___]%(7) | Subordinate | N/R | Aa2 | AA+ | ||||||||||||||||
1-B2 | 1 | $ | 1,950,000 | [___]% | LIBOR plus [___]%(7) | LIBOR plus [___]%(7) | Subordinate | N/R | A2 | AA | ||||||||||||||||
1-B3 | 1 | $ | 6,175,000 | [___]% | Net WAC(8) | Net WAC(8) | Subordinate | N/R | N/R | BBB | ||||||||||||||||
2A-A1 | 2A | $ | 221,040,000 | [___]% | Net WAC(8) | Net WAC(8) | Senior | AAA | N/R | AAA | ||||||||||||||||
2B-A1 | 2B | $ | 170,921,000 | [___]% | Net WAC(8) | Net WAC(8) | Senior | AAA | N/R | AAA | ||||||||||||||||
2-AR | 2A | $ | 100 | [___]% | Net WAC(8) | Net WAC(8) | Residual/Senior | AAA | N/R | AAA | ||||||||||||||||
2-B1 | 2A, 2B | $ | 7,145,000 | [___]% | Net WAC(8) | Net WAC(8) | Subordinate | N/R | N/R | AA | ||||||||||||||||
2-B2 | 2A, 2B | $ | 3,062,000 | [___]% | Net WAC(8) | Net WAC(8) | Subordinate | N/R | N/R | A | ||||||||||||||||
2-B3 | 2A, 2B | $ | 2,041,000 | [___]% | Net WAC(8) | Net WAC(8) | Subordinate | N/R | N/R | BBB |
(1) | These balances and notional amounts are approximate and are subject to an increase or decrease of up to 10%, as described in this prospectus supplement. | |
(2) | Reflects the interest rate as of the closing date. | |
(3) | Reflects the interest rate formula up to and including the distribution date on which the aggregate outstanding principal balance of the pool 1 mortgage loans is equal to or less than 10% of the aggregate principal balance of the pool 1 mortgage loans as of the cut-off date (the “group 1 step-up date”). | |
(4) | Reflects the interest rate formula if the holder of the Class 1-LTR Certificate has not redeemed the group 1 certificates on or prior to the group 1 step-up date. | |
(5) | The designation “N/R” means that the specified rating agency will not rate the certificates of that class. | |
(6) | The Class 1-XA and Class 1-XB Certificates are interest only certificates; they will not be entitled to distributions of principal. As described in this prospectus supplement, the Class 1-XA Certificates will accrue interest at a variable rate based on a notional amount equal to the class principal amount of the Class 1-A1 Certificates and the Class 1-XB Certificates will accrue interest at a variable rate based on a notional amount equal to the aggregate class principal amount of the Class 1-B1 and Class 1-B2 Certificates. | |
(7) | “LIBOR” means one-month LIBOR determined as described in this prospectus supplement. Subject to a limitation based on the weighted average of the net mortgage rates of the pool 1 mortgage loans during the applicable due period, as described in this prospectus supplement under “Description of the Certificates—Distributions of Interest.” In no event will the certificate interest rate of these certificates exceed 11.50% on any distribution date. | |
(8) | A per annum rate equal to the weighted average of the net mortgage rates of the mortgage loans in the related mortgage pool or mortgage pools during the applicable due period, as described in this prospectus supplement under “Description of the Certificates—Distributions of Interest.” |
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Minimum | ||||||||||||||||||||
Delay/ | Interest | Final Scheduled | Expected Final | Denomination | ||||||||||||||||
Record | Accrual | Accrual | Distribution | Distribution | or Percentage | Incremental | CUSIP | |||||||||||||
Class | Date(1) | Period(2) | Convention | Date(3) | Date(4) | Interest(5) | Denomination | Number | ||||||||||||
1-A1 | DD | 0 Day | 30/360 | June 2036 | March 2017 | $ | 25,000 | $ | 1 | 81744L AA2 | ||||||||||
1-AR | CM | 19 Day | 30/360 | June 2036 | June 2007 | 100 | %(6) | — | 81744L AB0 | |||||||||||
1-XA | CM | 19 Day | 30/360 | June 2036 | N/A | 100 | % | — | 81744L AC8 | |||||||||||
1-XB | CM | 19 Day | 30/360 | June 2036 | N/A | 100 | % | — | 81744L AD6 | |||||||||||
1-B1 | DD | 0 Day | 30/360 | June 2036 | March 2017 | $ | 100,000 | $ | 1 | 81744L AE4 | ||||||||||
1-B2 | DD | 0 Day | 30/360 | June 2036 | March 2017 | $ | 100,000 | $ | 1 | 81744L AF1 | ||||||||||
1-B3 | CM | 19 Day | 30/360 | June 2036 | March 2017 | $ | 100,000 | $ | 1 | 81744L AG9 | ||||||||||
2A-A1 | CM | 19 Day | 30/360 | June 2037 | April 2012 | $ | 25,000 | $ | 1 | 81744L AL8 | ||||||||||
2B-A1 | CM | 19 Day | 30/360 | June 2037 | March 2017 | $ | 25,000 | $ | 1 | 81744L AN4 | ||||||||||
2-AR | CM | 19 Day | 30/360 | June 2037 | June 2007 | 100%(6) | — | 81744L AQ7 | ||||||||||||
2-B1 | CM | 19 Day | 30/360 | June 2037 | November 2014 | $ | 100,000 | $ | 1 | 81744L AR5 | ||||||||||
2-B2 | CM | 19 Day | 30/360 | June 2037 | November 2014 | $ | 100,000 | $ | 1 | 81744L AS3 | ||||||||||
2-B3 | CM | 19 Day | 30/360 | June 2037 | November 2014 | $ | 100,000 | $ | 1 | 81744L AT1 |
(1) | DD = For any distribution date, the close of business on the business day immediately before that distribution date. CM = For any distribution date, the close of business on the last business day of the calendar month preceding the month of the related distribution date. | |
(2) | 0 Day = For any distribution date, the interest accrual period will be period beginning on the immediately preceding distribution date (or on the closing date, for the first interest accrual period) and ending on the day immediately preceding the related distribution date. The first accrual period for the Class 1-A1, Class 1-B1 and Class 1-B2 Certificates will be calculated and payable on the basis of a 25-day accrual period and a year assumed to consist of 360 days. 19 Day = For any distribution date, the interest accrual period will be the calendar month immediately preceding that distribution date. | |
(3) | Determined by adding one month to the month of scheduled maturity of the latest maturing mortgage loan in the related mortgage pool, in the case of the senior certificates and the Class 1-B1, Class 1-B2 and Class 1-B3 Certificates, or in pool 2A and pool 2B in the aggregate, in the case of the Class 2-B1, Class 2-B2 and Class 2-B3 Certificates. | |
(4) | The expected final distribution date, based upon (1)(a) in the case of the group 1 certificates, a constant prepayment rate (“CPR”) of 20% per annum, (b) in the case of the Class 2A-A1 and Class 2-AR Certificates, a constant prepayment rate on the balloon or reset date (“CPB”) of 25% per annum for the mortgage loans in pool 2A and pool 2B, (c) in the case of the Class 2B-A1 Certificates, a CPR of 25% for the mortgage loans in pool 2A and a CPB of 25% for the mortgage loans in pool 2B and (d) in the case of the Class 2-B1, Class 2-B2 and Class 2-B3 Certificates, a CPB of 25% for the mortgage loans in pool 2A and pool 2B (in the aggregate), and, in each case, the modeling assumptions used in this prospectus supplement, as described under “Yield, Prepayment and Weighted Average Life—Weighted Average Life” and (2) the assumption that the holder of the Class 1-LTR Certificate will exercise the option to redeem the group 1 certificates on the group 1 step-up date and the holder of the Class 2-LTR Certificate will exercise the option to redeem the group 2 certificates on the earliest possible distribution date on which it is entitled to do so, as described in this prospectus supplement under “The Agreements – Optional Redemption of the Certificates.” The actual final distribution date for each class of offered certificates may be earlier or later, and could be substantially later, than the applicable expected final distribution date listed above. | |
(5) | With respect to the initial European investors only, the underwriter will only sell offered certificates in minimum total investment amounts of $100,000. | |
(6) | The Class 1-AR and Class 2-AR Certificates will be issued in definitive, fully registered form, representing the entire percentage interest of each class. |
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• | This summary highlights selected information from this prospectus supplement and does not contain all of the information that you need to consider in making your investment decision. To understand all of the terms of the offering of the certificates, you should carefully read this entire prospectus supplement and the accompanying prospectus. | ||
• | While this summary contains an overview of certain calculations, cash flow priorities and other information to aid your understanding, you should read carefully the full description of these calculations, cash flow priorities and other information in this prospectus supplement and the accompanying prospectus before making any investment decision. | ||
• | Whenever we refer to a percentage of some or all of the mortgage loans held by the issuing entity or included in a mortgage pool, that percentage has been calculated on the basis of the total stated principal balance of those respective mortgage loans as of April 1, 2007 (the “statistical calculation date”), unless we specify otherwise. We explain in this prospectus supplement under “Description of the Certificates — Distributions of Interest” how the stated principal balance of a mortgage loan is determined. Whenever we refer in this Summary of Terms or in the Risk Factors section to the total stated principal balance of any mortgage loans, we mean the total of their stated principal balances determined by that method, unless we specify otherwise. |
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• | whether cumulative losses on the related mortgage loans are higher than certain levels specified in this prospectus supplement; | ||
• | whether the delinquency performance of the related mortgage loans over any six-month period is worse than certain levels set forth in this prospectus supplement; and | ||
• | whether the related “senior percentage,” which is equal to the ratio of (a) the total class principal balance of the senior certificates related to such mortgage pool to (b) the total principal balance of the mortgage loans in such mortgage pool is greater than the percentage specified in this prospectus supplement. |
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• | first, from available funds for pool 1, to the Class 1-A1, Class 1-XA, Class 1-XB and Class 1-AR Certificates,pro rata, accrued and unpaid interest, as described under “Description of the Certificates — Priority of Distributions” in this prospectus supplement; provided, however, that (1) interest otherwise distributable to the Class 1-XA Certificates will instead be deposited into a reserve fund and distributed to the Class 1-A1 Certificates, to the extent of any accrued and unpaid interest shortfalls on such class attributable solely to basis risk and (2) interest otherwise distributable to the Class 1-XB Certificates will instead be deposited in a reserve fund and distributed sequentially to the Class 1-B1 and Class 1-B2 Certificates, in that order, to the extent of any accrued and unpaid interest shortfalls on such classes attributable solely to basis risk. The Class 1-XA Certificates will not be reimbursed for any shortfalls resulting from the payments to the Class 1-A1 Certificates, and the Class 1-XB Certificates will not be reimbursed for any shortfalls resulting from the payments to the Class 1-B1 or Class 1-B2 Certificates described in this paragraph. | ||
• | second, from available funds for pool 1, sequentially, to the Class 1-AR and the Class 1-A1 Certificates, in that order, the Senior Principal Distribution Amount for pool 1, until their respective class principal amounts have been reduced to zero; and | ||
• | third, from remaining available funds from pool 1, sequentially, to the Class 1-B1, Class 1-B2, Class 1-B3, Class 1-B4, Class 1-B5 and Class 1-B6 Certificates, in that order, interest and then principal, with both interest and principal being paid to one class before any payments are made to the next class. |
• | first, concurrently, | ||
(a) from available funds for pool 2A, to the Class 2A-A1 and Class 2-AR Certificates,pro rata, accrued and unpaid interest, as described under “Description of the Certificates — Priority of Distributions” in this prospectus supplement; and | |||
(b) from available funds for pool 2B, to the Class 2B-A1 Certificates, accrued and unpaid interest, as described under “Description of the Certificates — Priority of Distributions” in this prospectus supplement; | |||
• | second, concurrently, | ||
(a) from available funds for pool 2A, sequentially, to the Class 2-AR and the Class 2A-A1 Certificates, in that order, the Senior Principal Distribution Amount for pool 2A, until their respective class principal amounts have been reduced to zero; | |||
(b) from available funds for pool 2B, to the Class 2B-A1 Certificates, the Senior Principal Distribution Amount for pool 2B, until the class principal amount of such class has been reduced to zero; and | |||
• | third, from remaining available funds from pool 2A and pool 2B (in the aggregate), sequentially, to the Class 2-B1, Class 2-B2, Class 2-B3, Class 2-B4, Class 2-B5 and Class 2-B6 Certificates, in that order, interest and then principal, with both interest and principal being |
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paid to one class before any payments are made to the next class. |
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Range or | Weighted | Total | ||||||
Total | Average | Percentage | ||||||
Number of Mortgage Loans | 1,564 | — | — | |||||
Total Principal Balance | $653,799,565 | — | — | |||||
Principal Balances | $622 to $7,000,000 | $418,030* | — | |||||
Mortgage Rates | 5.375% to 8.000% | 6.875% | — | |||||
Original Terms to Maturity (in months) | 300 to 360 | 323 | — | |||||
Remaining Terms to Maturity (in months) | 142 to 348 | 288 | — | |||||
Original Loan-to Value Ratios | 5.65% to 100.00% | 62.42% | — | |||||
Number of One-Month LIBOR Mortgage Loans | 765 | — | 64.49 | % | ||||
Number of Six-Month LIBOR Mortgage Loans | 797 | — | 35.49 | % | ||||
Number of One-Year Treasury Mortgage Loans | 1 | — | 0.02 | % | ||||
Number of Six-Month Treasury Mortgage Loans | 1 | — | 0.01 | % | ||||
Number of Interest Only Mortgage Loans | 1,560 | — | 99.67 | % | ||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled | ||||||||
Principal Balance: | ||||||||
• California | 226 | — | 23.13 | % | ||||
Maximum Single Zip Code Concentration | — | — | 1.50 | % | ||||
Credit Scores** | 449 to 828 | 735 | — | |||||
Number of Mortgage Loans with Prepayment Penalties at Origination | 269 | — | 22.92 | % | ||||
Gross Margins | 0.000% to 3.125% | 1.498% | — | |||||
Maximum Mortgage Rates | 7.250% to 14.688% | 12.009% | — | |||||
Minimum Mortgage Rates | 0.000% to 3.125% | 1.496% | — | |||||
Months to Next Mortgage Rate Adjustment | 1 to 6 | 2 | — | |||||
Periodic Caps | 1.000% to 1.000% | 1.000%*** | — |
* | Represents the average of the principal balances of the mortgage loans. | |
** | The credit score information is as of April 1, 2007. The weighted average is based only on the mortgage loans in pool 1 having credit scores. | |
*** | The weighted average is based only on the mortgage loans in pool 1 having periodic caps. |
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Range or | Weighted | Total | ||||||
Total | Average | Percentage | ||||||
Number of Mortgage Loans | 745 | — | — | |||||
Total Principal Balance | $408,293,619 | — | — | |||||
Principal Balances | $38,700 to $5,000,000 | $548,045* | — | |||||
Mortgage Rates | 4.500% to 7.250% | 6.203% | — | |||||
Original Terms to Maturity (in months) | 360 to 360 | 360 | — | |||||
Remaining Terms to Maturity (in months) | 314 to 360 | 358 | — | |||||
Original Loan-to Value Ratios | 14.06% to 95.00% | 71.70% | — | |||||
Number of One-Year LIBOR Mortgage Loans | 390 | — | 48.26 | % | ||||
Number of Six-Month LIBOR Mortgage Loans | 1 | — | 0.33 | % | ||||
Number of One-Year Treasury Mortgage Loans | 354 | — | 51.40 | % | ||||
Number of Interest Only Mortgage Loans | 681 | — | 91.22 | % | ||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled | ||||||||
Principal Balance: | ||||||||
• California | 257 | — | 38.48 | % | ||||
Maximum Single Zip Code Concentration | — | — | 1.22 | % | ||||
Credit Scores | 632 to 818 | 740** | — | |||||
Number of Mortgage Loans with Prepayment Penalties at Origination | 0 | — | 0.00 | % | ||||
Gross Margins | 1.875% to 2.750% | 2.507% | — | |||||
Maximum Mortgage Rates | 9.500% to 12.250% | 11.203% | — | |||||
Minimum Mortgage Rates | 1.875% to 2.750% | 2.505% | — | |||||
Months to Next Mortgage Rate Adjustment | 14 to 120 | 84 | — | |||||
Initial Caps | 5.000% to 5.000% | 5.000% | — | |||||
Periodic Caps | 1.000% to 2.000% | 1.997% | — |
* | Represents the average of the principal balances of the mortgage loans. | |
** | The weighted average is based only on the mortgage loans in all mortgage pools having credit scores. |
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Range or | Weighted | Total | ||||||
Total | Average | Percentage | ||||||
Number of Mortgage Loans | 434 | — | — | |||||
Total Principal Balance | $230,250,759 | — | — | |||||
Principal Balances | $38,700 to $2,000,000 | $530,532* | — | |||||
Mortgage Rates | 4.500% to 7.250% | 6.114% | — | |||||
Original Terms to Maturity (in months) | 360 to 360 | 360 | — | |||||
Remaining Terms to Maturity (in months) | 314 to 360 | 358 | — | |||||
Original Loan-to Value Ratios | 14.06% to 95.00% | 72.16% | — | |||||
Number of One-Year LIBOR Mortgage Loans | 300 | — | 64.67 | % | ||||
Number of One-Year Treasury Mortgage Loans | 134 | — | 35.33 | % | ||||
Number of Interest Only Mortgage Loans | 393 | — | 90.92 | % | ||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled | ||||||||
Principal Balance: | ||||||||
• California | 149 | — | 36.90 | % | ||||
Maximum Single Zip Code Concentration | — | — | 1.46 | % | ||||
Credit Scores | 634 to 813 | 737** | — | |||||
Number of Mortgage Loans with Prepayment Penalties at Origination | 0 | — | 0.00 | % | ||||
Gross Margins | 1.875% to 2.750% | 2.427% | — | |||||
Maximum Mortgage Rates | 9.500% to 12.250% | 11.114% | — | |||||
Minimum Mortgage Rates | 1.875% to 2.750% | 2.427% | — | |||||
Months to Next Mortgage Rate Adjustment | 14 to 60 | 58 | — | |||||
Initial Caps | 5.000% to 5.000% | 5.000% | — | |||||
Periodic Caps | 2.000% to 2.000% | 2.000% | — |
* | Represents the average of the principal balances of the mortgage loans. | |
** | The weighted average is based only on the mortgage loans in pool 2A having credit scores. |
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Range or | Weighted | Total | ||||||
Total | Average | Percentage | ||||||
Number of Mortgage Loans | 311 | — | — | |||||
Total Principal Balance | $178,042,860 | — | — | |||||
Principal Balances | $73,600 to $5,000,000 | $572,485* | — | |||||
Mortgage Rates | 5.125% to 7.250% | 6.317% | — | |||||
Original Terms to Maturity (in months) | 360 to 360 | 360 | — | |||||
Remaining Terms to Maturity (in months) | 338 to 360 | 358 | — | |||||
Original Loan-to Value Ratios | 15.65% to 95.00% | 71.11% | — | |||||
Number of One-Year LIBOR Mortgage Loans | 90 | — | 27.05 | % | ||||
Number of Six-Month LIBOR Mortgage Loans | 1 | — | 0.77 | % | ||||
Number of One-Year Treasury Mortgage Loans | 220 | — | 72.18 | % | ||||
Number of Interest Only Mortgage Loans | 288 | — | 91.60 | % | ||||
Geographic Concentration in Excess of 10.00% of the Total Scheduled | ||||||||
Principal Balance: | ||||||||
• California | 108 | — | 40.53 | % | ||||
Maximum Single Zip Code Concentration | — | — | 2.81 | % | ||||
Credit Scores | 632 to 818 | 745 | — | |||||
Number of Mortgage Loans with Prepayment Penalties at Origination | 0 | — | 0.00 | % | ||||
Gross Margins | 1.875% to 2.750% | 2.609% | — | |||||
Maximum Mortgage Rates | 10.125% to 12.250% | 11.318% | — | |||||
Minimum Mortgage Rates | 1.875% to 2.750% | 2.605% | — | |||||
Months to Next Mortgage Rate Adjustment | 98 to 120 | 118 | — | |||||
Initial Caps | 5.000% to 5.000% | 5.000% | — | |||||
Periodic Caps | 1.000% to 2.000% | 1.992% | — |
* | Represents the average of the principal balances of the mortgage loans. |
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• | if you buy a Class 1-B3 Certificate and losses on the pool 1 mortgage loans exceed the total principal amount of the Class 1-B4, Class 1-B5 and Class 1-B6 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class 1-B3 Certificates by the amount of that excess; | ||
• | if you buy a Class 1-B2 Certificate and losses on the pool 1 mortgage loans exceed the total principal amount of the Class 1-B3, Class 1-B4, Class 1-B5 and Class 1-B6 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class 1-B2 Certificates by the amount of that excess; | ||
• | if you buy a Class 1-B1 Certificate and losses on the pool 1 mortgage loans exceed the total principal amount of the Class 1-B2, Class 1-B3, Class 1-B4, Class 1-B5 and Class 1-B6 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class 1-B1 Certificates by the amount of that excess; and | ||
• | after the total class principal amount of the group 1 subordinate certificates has been reduced to zero, losses on the mortgage loans in pool 1 will reduce the class principal amount of the group 1 senior certificates. |
• | if you buy a Class 2-B3 Certificate and losses on the mortgage loans in pool 2A and pool 2B (in the aggregate) exceed the total principal amount of the Class 2-B4, Class 2-B5 and Class 2-B6 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class 2-B3 Certificates by the amount of that excess; | ||
• | if you buy a Class 2-B2 Certificate and losses on the mortgage loans in pool 2A and pool 2B (in the aggregate) exceed the total principal amount of the Class 2-B3, Class 2-B4, Class 2-B5 and Class 2-B6 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class 2-B2 Certificates by the amount of that excess; | ||
• | if you buy a Class 2-B1 Certificate and losses on the mortgage loans in pool 2A and pool 2B (in the aggregate) exceed the total principal amount of the Class 2-B2, Class 2-B3, Class 2-B4, Class 2-B5 and Class 2-B6 Certificates, the principal amount of your certificate will be reduced proportionately with the principal amount of the other Class 2-B1 Certificates by the amount of that excess; and | ||
• | after the total class principal amount of the group 2 subordinate certificates has been reduced to zero, losses on the mortgage loans in pool 2A and pool 2B will reduce the class principal amounts of the group 2A senior certificates and the group 2B senior certificates, respectively. |
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• | if you are purchasing any offered certificate at a discount, your yield may be lower than expected if principal payments on the related mortgage loans occur at a slower rate than you expected |
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• | if you are purchasing any interest only certificate or any other offered certificate at a premium, your yield may be lower than expected if principal payments on the related mortgage loans occur at a faster rate than you expected, and you could lose your initial investment; | ||
• | if the rate of default and the amount of losses on the related mortgage loans are higher than you expect, then your yield may be lower than you expect; | ||
• | the earlier a payment of principal occurs, the greater the impact on your yield. For example, if you purchase any offered certificate at a premium, although the average rate of principal payments is consistent with your expectations, if the rate of principal payments occurs initially at a rate higher than expected, which would adversely impact your yield, a subsequent reduction in the rate of principal payments will not offset any adverse yield effect; and | ||
• | the priorities governing payments of unscheduled principal will have the effect of accelerating the rate of principal payments to holders of the classes of senior certificates relative to the classes of subordinate certificates. |
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• | the federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to borrowers regarding the terms of their mortgage loans; | ||
• | the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and |
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• | the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience. |
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• | the Class 1-A1, Class 1-XA, Class 1-XB, Class 1-AR, Class 1-LTR Certificates (the “Group 1 Senior Certificates”); | ||
• | the Class 2A-A1, Class 2-AR and Class 2-LTR Certificates (the “Group 2A Senior Certificates”); | ||
• | the Class 2B-A1 Certificates (the “Group 2B Senior Certificates”), and together with the Group 1 Senior Certificates and the Group 2A Senior Certificates, the “Senior Certificates”); | ||
• | the Class 1-AR, Class 2-AR, Class 1-LTR and Class 2-LTR Certificates (the “Residual Certificates”); | ||
• | the Class 1-B1, Class 1-B2, Class 1-B3, Class 1-B4, Class 1-B5 and Class 1-B6 (the “Group 1 Subordinate Certificates”); and | ||
• | the Class 2-B1, Class 2-B2, Class 2-B3, Class 2-B4, Class 2-B5 and Class 2-B6 Certificates (the “Group 2 Subordinate Certificates” and together with the Group 1 Subordinate Certificates, the “Subordinate Certificates” or the “Subordinate Classes”). |
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• | an amount equal to the product of (a) the applicable Pool Percentage and (b) the sum of (i) all charges and other amounts payable or reimbursable to the Master Servicer, the Securities Administrator and the Trustee under the Pooling and Servicing Agreement (subject to an aggregate maximum amount of $300,000 annually to be paid to such parties collectively, whether from collections from Pool 1, Pool 2A or Pool 2B) and (ii) all charges and other amounts payable to the Servicers under the Servicing Agreements; | ||
• | in the case of paragraphs (2) through (5) above with respect to the related Mortgage Loans, any unreimbursed expenses incurred in connection with a liquidation or foreclosure and any unreimbursed Monthly Advances or servicing advances due to the Master Servicer or the Servicers; |
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• | with respect to the related Mortgage Loans, any unreimbursed Monthly Advances or servicing advances determined to be nonrecoverable; and | ||
• | in the case of paragraphs (1) through (4) above with respect to the related Mortgage Loans, any amounts collected which are determined to be attributable to a subsequent Due Period or Prepayment Period. |
• | “Current Interest” for each class of Certificates on any Distribution Date will equal the amount of interest accrued during the related Accrual Period on the related Class Principal Amount immediately prior to that Distribution Date (or in the case of the Interest Only Certificates, the related Class Notional Amount for that Distribution Date) at the applicable Certificate Interest Rate. | ||
• | The “Accrual Period” applicable to the LIBOR Certificates with respect to any Distribution Date, will be the period commencing on the 20th day of the month immediately preceding the month in which such Distribution Date occurs (or in the case of the first Distribution Date, beginning on the Closing Date) and ending on the 19th day of the month in which such Distribution Date occurs. The “Accrual Period applicable to all other classes of Certificates will be the calendar month immediately preceding the month in which the related Distribution Date occurs. For each Distribution Date and each related Accrual Period, interest on all classes of Certificates will be calculated and payable on the basis of a 360-day year consisting of twelve 30-day months, except that for the first Accrual Period only, interest on each class of LIBOR Certificates will be calculated and payable on the basis of a 25-day Accrual Period and a year assumed to consist of 360 days. | ||
• | The “Class Principal Amount” of each class of Certificates with respect to any Distribution Date will be equal to the aggregate Certificate Principal Amounts of the Certificates of that class immediately prior to such Distribution Date. | ||
• | The “Certificate Principal Amount” of any Offered Certificate (other than the Interest Only Certificates) will equal its Certificate Principal Amount as of the Closing Date, as reduced by all amounts previously distributed on that Certificate in respect of principal and the principal portion of any Realized Losses (as defined at “— Allocation of Realized Losses”) previously allocated to that Certificate;provided, however, that on any Distribution Date on which a Subsequent Recovery is distributed, the Certificate Principal Amount of any Certificate then outstanding to which a Realized Loss amount has been applied will be increased, sequentially in order of seniority, by an amount equal to the lesser of (i) any Subsequent Recovery allocable to such Certificate and (ii) the Realized Loss amount previously allocated to that Certificate, after application to more senior classes of Certificates. The Certificate Principal |
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Amount of a class of Subordinate Certificates may be additionally reduced by allocation of any Subordinate Certificate Writedown Amount (as defined at “— Allocation of Realized Losses”). | |||
• | The “Class Notional Amount” of the Class 1-XA Certificates with respect to any Distribution Date will equal the Class Principal Amount of the Class 1-A1 Certificates immediately prior to such Distribution Date. The initial Class Notional Amount of the Class 1-XA Certificates is $637,000,000. The “Class Notional Amount” of the Class 1-XB Certificates with respect to any Distribution Date will equal the sum of the Class Principal Amounts of the Class 1-B1 and Class 1-B2 Certificates immediately prior to such Distribution Date. The initial Class Notional Amount of the Class 1-XB Certificates is $4,225,000. | ||
• | The “Due Date” of a Mortgage Loan is the date specified in the related Mortgage Note on which the monthly Scheduled Payment of interest and principal (or interest only during the applicable interest-only period following origination) is due, which is the first day of the calendar month in the case of the Mortgage Loans. | ||
• | The “Mortgage Rate” with respect to any Mortgage Loan is the annual rate of interest borne by the related Mortgage Note from time to time, as of the related due date. | ||
• | The “Net Mortgage Rate” as to any Mortgage Loan and any Distribution Date will equal the Mortgage Rate, reduced by the related Expense Rate. | ||
• | The “Net WAC” for each Pool as of any Distribution Date will equal the weighted average of the Net Mortgage Rates of the Mortgage Loans in such Mortgage Pool as of the Due Date of the calendar month immediately preceding the calendar month of such Distribution Date, weighted on the basis of their Principal Balances. | ||
• | The “Expense Rate” as to each Mortgage Loan is equal to the sum of the Master Servicing Fee Rate, the applicable Servicing Fee Rate and the rate of premium on any lender-paid mortgage insurance policies. | ||
• | The “Principal Balance” of a Mortgage Loan at any Due Date is equal to the unpaid principal balance of such Mortgage Loan as of such Due Date as specified in the amortization schedule at the time relating thereto (before any adjustment to such amortization schedule by reason of any moratorium or similar waiver or grace period) after giving effect to any previous principal prepayments and Liquidation Proceeds allocable to principal and to the payment of principal due on such Due Date and irrespective of any delinquency in payment by the related borrower. |
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• | any Net Prepayment Interest Shortfalls for that Mortgage Pool and Distribution Date; and | ||
• | the amount of interest that would otherwise have been received with respect to any Mortgage Loan in such Mortgage Pool which was subject to a reduction in the amount of interest collectible as a result of application of the Servicemembers Civil Relief Act, as amended (the “Relief Act”) or similar state or local law (any such reduction, a “Relief Act Reduction”) (see “Certain Legal Aspects of the Loans — Servicemembers Civil Relief Act” in the accompanying prospectus). | ||
• | “Net Prepayment Interest Shortfalls” with respect to a Mortgage Loan and any Distribution Date is the amount by which a Prepayment Interest Shortfall for the related Due Period exceeds the amount that the Master Servicer is obligated to remit pursuant to the Pooling and Servicing Agreement and/or each Servicer is obligated to remit pursuant to the applicable Servicing Agreement, to cover such shortfall for such Due Period. | ||
• | A “Prepayment Interest Shortfall” with respect to a Mortgage Loan and any Distribution Date is the amount by which one month’s interest at the applicable Mortgage Rate on a Mortgage Loan as to which a voluntary principal prepayment in full has been made, exceeds the amount of interest actually received in connection with such prepayment. | ||
• | The “Due Period” with respect to a Mortgage Loan and any Distribution Date is the period beginning on the second day of the calendar month preceding the month in which such Distribution Date occurs and ending on the first day of the calendar month in which such Distribution Date occurs. |
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• | Class 1-A1 Certificates: the least of (i) One-Month LIBOR plus [ ]% (the “1-A1 Margin”), (ii) the Net WAC for Pool 1 and (iii) 11.50%. | ||
• | Class 1-B1 Certificates: the least of (i) One-Month LIBOR plus [ ]% (the “1-B1 Margin”), (ii) the Net WAC for Pool 1 and (iii) 11.50%. | ||
• | Class 1-B2 Certificates: the least of (i) One-Month LIBOR plus [ ]% (the “1-B2 Margin”), (ii) the Net WAC for Pool 1 and (iii) 11.50%. |
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• | Class 2A-A1 and Class 2-AR Certificates: the Net WAC for Pool 2A. The Class 2-LTR Certificates will not have an interest rate. |
• | Class 2B-A1 Certificates: the Net WAC for Pool 2B. |
• | Class 2-B1, Class 2-B2, Class 2-B3, Class 2-B4, Class 2-B5 and Class 2-B6 Certificates: the Group 2 Subordinate Net WAC. | ||
• | The “Group 2 Subordinate Net WAC” as of any Distribution Date will equal the weighted average of the Net WAC for Pool 2A and Pool 2B, in each case weighted on the basis of the relative Pool Subordinate Amounts for such Pools, immediately prior to such Distribution Date. |
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(i) | the excess, if any, of an amount that would have been the Current Interest for such class if the Certificate Interest Rate for such class were calculated without regard to clause (ii) in the definition thereof, over the actual Current Interest for such class for such Distribution Date; | ||
(ii) | any excess described in clause (i) above remaining unpaid from prior Distribution Dates; and | ||
(iii) | interest for the applicable Accrual Period on the amount described in clause (ii) above based on the applicable Certificate Interest Rate (determined without regard to clause (ii) in the definition thereof). |
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• | A “Scheduled Payment” with respect to a Mortgage Loan means the scheduled monthly payment on a Mortgage Loan on any Due Date allocable to principal or interest which, unless otherwise specified in the related Servicing Agreement, will give effect to any related debt service reduction and any related deficient valuation that is ordered by a court in bankruptcy and that has the effect of reducing the monthly payment due on such Mortgage Loan. |
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• | The “Senior Percentage” for each Mortgage Pool for any Distribution Date is the percentage equivalent of a fraction, the numerator of which is the aggregate Class Principal Amount of the class or classes of Senior Certificates of the related Certificate Group immediately prior to such Distribution Date, and the denominator of which is the aggregate Principal Balance of all Mortgage Loans in that Mortgage Pool and for such Distribution Date.Since approximately 99.67% of the Mortgage Loans in Pool 1 provide for payments solely of interest (and not scheduled principal) for the first three through ten years following origination, holders of the Group 1 Senior Certificates are not expected to receive any significant payments of scheduled principal during the first three-year period and increasing, but limited payments of scheduled principal for the next seven-year period, notwithstanding the calculation of the Senior Percentage above. Since approximately 90.92% of the Mortgage Loans in Pool 2A provide for payments solely of interest (and not scheduled principal) for the first five through ten years following origination, holders of the Group 2A Senior Certificates are not expected to receive any significant payments of scheduled principal during the first five-year period and increasing, but limited payments of scheduled principal for the next five-year period, notwithstanding the calculation of the Senior Percentage above. Since approximately 91.60% of the Mortgage Loans in Pool 2B provide for payments solely of interest (and not scheduled principal) for the first ten years following origination, holders of Group 2B Senior Certificates are not expected to receive any significant payments of scheduled principal during the first ten-year period, notwithstanding the calculation of the Senior Percentage above. | ||
• | The “Senior Termination Date” is the date on which the aggregate Class Principal Amount of the Senior Certificates related to a Mortgage Pool is reduced to zero. | ||
• | The “Aggregate Subordinate Percentage” for any Distribution Date and Pool 1 is the percentage equivalent of a fraction, the numerator of which is the aggregate Class Principal Amount of the Group 1 Subordinate Certificates immediately prior to that date, and the denominator of which is the Pool 1 Balance for such Distribution Date. The “Aggregate Subordinate Percentage” for any Distribution Date and Pool 2A and Pool 2B is the percentage equivalent of a fraction, the numerator of which is the aggregate Class Principal Amount of the Group 2 Subordinate Certificates immediately prior to that date, and the denominator of which is the sum of the Pool 2A Balance and the Pool 2B Balance for such Distribution Date. | ||
• | The “Pool Balance” for any Distribution Date will equal the aggregate of the Principal Balances of the Mortgage Loans outstanding on the Due Date of the month preceding the month of that Distribution Date. The “Pool 1 Balance” for any Distribution Date will equal the aggregate of the Principal Balances of the Mortgage Loans in Pool 1 outstanding on the Due Date of the month preceding the month of that Distribution Date. The “Pool 2A Balance” for any Distribution Date will equal the aggregate of the Principal Balances of the Mortgage Loans in Pool 2A outstanding on the Due Date of the month preceding the month of that Distribution Date. The “Pool 2B Balance” for any Distribution Date will equal the aggregate of the Principal Balances of the Mortgage Loans in Pool 2B outstanding on the Due Date of the month preceding the month of that Distribution Date. |
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• | The “Senior Prepayment Percentage” means, with respect to Pool 1, the “Group 1 Senior Prepayment Percentage” and with respect to Pool 2A and Pool 2B, the Group 2 Senior Prepayment Percentage. |
• | for any Distribution Date occurring in or after June 2017 but before June 2018, the related Senior Percentage plus 70% of the related Subordinate Percentage for that date; | ||
• | for any Distribution Date occurring in or after June 2018 but before June 2019, the related Senior Percentage plus 60% of the related Subordinate Percentage for that date; | ||
• | for any Distribution Date occurring in or after June 2019 but before June 2020, the related Senior Percentage plus 40% of the related Subordinate Percentage for that date; | ||
• | for any Distribution Date occurring in or after June 2020 but before June 2021, the related Senior Percentage plus 20% of the related Subordinate Percentage for that date; and | ||
• | for any Distribution Date occurring in June 2021 or thereafter, the related Senior Percentage for that date. |
• | for each Distribution Date occurring in the period from June 2017 to May 2018, 30% of the aggregate Class Principal Amount of the Group 1 Subordinate Certificates as of the Closing Date (the “Original Group 1 Subordinate Class Principal Amount”); |
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• | for each Distribution Date occurring in the period from June 2018 to May 2019, 35% of the Original Group 1 Subordinate Class Principal Amount; | ||
• | for each Distribution Date occurring in the period from June 2019 to May 2020, 40% of the Original Group 1 Subordinate Class Principal Amount; | ||
• | for each Distribution Date occurring in the period from June 2020 to May 2021, 45% of the Original Group 1 Subordinate Class Principal Amount; and | ||
• | for the Distribution Date in June 2021 and thereafter, 50% of the Original Group 1 Subordinate Class Principal Amount. |
• | the Aggregate Subordinate Percentage for Pool 1 is at least two times the Aggregate Subordinate Percentage as of the Closing Date; | ||
• | the condition described in clausefirstof the definition of “Group 1 Step-Down Test” (described above) is satisfied; and | ||
• | on or prior to the Distribution Date in May 2010, cumulative Realized Losses with respect to Pool 1 do not exceed 20% of the aggregate Class Principal Amount of the Group 1 Subordinate Certificates as of the Closing Date and on or after the Distribution Date in June 2010, cumulative Realized Losses with respect to Pool 1 do not exceed 30% of the aggregate Class Principal Amount of the Group 1 Subordinate Certificates as of the Closing Date. |
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• | for any Distribution Date occurring in or after June 2014 but before June 2015, the related Senior Percentage plus 70% of the related Subordinate Percentage for that date; | ||
• | for any Distribution Date occurring in or after June 2015 but before June 2016, the related Senior Percentage plus 60% of the related Subordinate Percentage for that date; | ||
• | for any Distribution Date occurring in or after June 2016 but before June 2017, the related Senior Percentage plus 40% of the related Subordinate Percentage for that date; | ||
• | for any Distribution Date occurring in or after June 2017 but before June 2018, the related Senior Percentage plus 20% of the related Subordinate Percentage for that date; and | ||
• | for any Distribution Date occurring in June 2018 or thereafter, the related Senior Percentage for that date. |
• | for each Distribution Date occurring in the period from June 2014 to May 2015, 30% of the aggregate Class Principal Amount of the Group 2 Subordinate Certificates as of the Closing Date (the “Original Group 2 Subordinate Class Principal Amount”); | ||
• | for each Distribution Date occurring in the period from June 2015 to May 2016, 35% of the Original Group 2 Subordinate Class Principal Amount; |
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• | for each Distribution Date occurring in the period from June 2016 to May 2017, 40% of the Original Group 2 Subordinate Class Principal Amount; | ||
• | for each Distribution Date occurring in the period from June 2017 to May 2018, 45% of the Original Group 2 Subordinate Class Principal Amount; and | ||
• | for the Distribution Date in June 2018 and thereafter, 50% of the Original Group 2 Subordinate Class Principal Amount. |
• | the related Aggregate Subordinate Percentage is at least two times the related Aggregate Subordinate Percentage as of the Closing Date; | ||
• | the condition described in clausefirstof the definition of “Group 2 Step-Down Test” (described above) is satisfied; and | ||
• | on or prior to the Distribution Date in May 2010, cumulative Realized Losses with respect to Pool 2A and Pool 2B do not exceed 20% of the aggregate Class Principal Amount of the Group 2 Subordinate Certificates as of the Closing Date and on or after the Distribution Date in June 2010, cumulative Realized Losses with respect to Pool 2A and Pool 2B (in the aggregate) do not exceed 30% of the aggregate Class Principal Amount of the Group 2 Subordinate Certificates as of the Closing Date. |
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• | The “Applicable Credit Support Percentage” for each class of Group 1 Subordinate Certificates and any Distribution Date will equal the sum of the Class Subordination Percentages of that class and the aggregate Class Subordination Percentage of all other classes of Group 1 Subordinate Certificates having higher numerical class designations than that class. | ||
• | The “Class Subordination Percentage” for any Distribution Date and each class of Group 1 Subordinate Certificates will equal a fraction (expressed as a percentage), the numerator of which is the Class Principal Amount of that class immediately before that Distribution Date and the denominator of which is the aggregate Class Principal Amount of all classes of Group 1 Certificates immediately before that Distribution Date. |
Class 1-B1 | 2.00 | % | ||
Class 1-B2 | 1.65 | % | ||
Class 1-B3 | 1.35 | % | ||
Class 1-B4 | 0.40 | % | ||
Class 1-B5 | 0.25 | % | ||
Class 1-B6 | 0.10 | % |
• | The “Subordinate Principal Distribution Amount” for Pool 1 and for each Distribution Date is equal to the sum of: |
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• | The “Applicable Credit Support Percentage” for each class of Group 2 Subordinate Certificates and any Distribution Date will equal the sum of the Class Subordination Percentages of that class and the aggregate Class Subordination Percentage of all other classes of Group 2 Subordinate Certificates having higher numerical class designations than that class. |
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• | The “Class Subordination Percentage” for any Distribution Date and each class of Group 2 Subordinate Certificates will equal a fraction (expressed as a percentage), the numerator of which is the Class Principal Amount of that class immediately before that Distribution Date and the denominator of which is the aggregate Class Principal Amount of all classes of Group 2 Certificates immediately before that Distribution Date. |
Class 2-B1 | 4.00 | % | ||
Class 2-B2 | 2.25 | % | ||
Class 2-B3 | 1.50 | % | ||
Class 2-B4 | 1.00 | % | ||
Class 2-B5 | 0.60 | % | ||
Class 2-B6 | 0.25 | % |
• | The “Subordinate Principal Distribution Amount” for each of Pool 2A and Pool 2B for each Distribution Date is equal to the sum of: |
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• | The “Subordinate Class Percentage” for each class of the Group 1 Subordinate Certificates and the Group 2 Subordinate Certificates for each Distribution Date is equal to the percentage obtained by dividing the Class Principal Amount of such class of Subordinate Certificates immediately prior to such Distribution Date by the aggregate Class Principal Amount of all classes of Group 1 Subordinate Certificates or Group 2 Subordinate Certificates, respectively, immediately prior to such date. | ||
• | The “Subordinate Prepayment Percentage” for any Distribution Date and for any Mortgage Pool is the difference between 100% and the related Senior Prepayment Percentage for such Mortgage Pool and such Distribution Date. | ||
• | The “Subordinate Percentage” with respect to each Mortgage Pool and any Distribution Date will be equal to the difference between 100% and the related Senior Percentage for such Mortgage Pool on such Distribution Date. |
(1) | Concurrently, to the payment of the Interest Distribution Amount and any accrued but unpaid Interest Shortfalls on each class of the Group 1 Senior Certificates;provided, however,that on each Distribution Date, the amount of interest that would otherwise be distributable to the Class 1-XA or Class 1-XB Certificates will (A) in the case of amounts otherwise distributable to the Class 1-XA Certificates, be deposited in the Reserve Fund and credited to the Class 1-XA Sub Account to the extent of the Class 1-XA Required Reserve Fund Deposit for such Distribution Date in the manner described herein and (B) in the case of amounts otherwise distributable to the Class 1-XB Certificates, be deposited in the Reserve Fund and credited to the Class 1-XB Sub Account to the extent of the Class 1-XB Required Reserve Fund Deposit for such Distribution Date in the manner provided herein | ||
(2) | to the Class 1-AR Certificates, the Senior Principal Distribution Amount for Pool 1, until their Class Principal Amount has been reduced to zero; and | ||
(3) | to the Class 1-A1, the Senior Principal Distribution Amount for Pool 1, until the Class Principal Amount has been reduced to zero. |
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(4) | From the remaining Available Distribution Amount from Pool 1 remaining after application of priorities (1) through (3) above, in the following order of priority: |
(a) | to the Class 1-B1 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(b) | to the Class 1-B1 Certificates, such class’ Subordinate Class Percentage of the aggregate Subordinate Principal Distribution Amount for Pool 1, until its Class Principal Amount has been reduced to zero; | ||
(c) | to the Class 1-B2 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(d) | to the Class 1-B2 Certificates, such class’ Subordinate Class Percentage of the aggregate Subordinate Principal Distribution Amount for Pool 1, until its Class Principal Amount has been reduced to zero; | ||
(e) | to the Class 1-B3 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(f) | to the Class 1-B3 Certificates, such class’ Subordinate Class Percentage of the aggregate Subordinate Principal Distribution Amount for Pool 1, until its Class Principal Amount has been reduced to zero; | ||
(g) | to the Class 1-B4 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(h) | to the Class 1-B4 Certificates, such class’ Subordinate Class Percentage of the aggregate Subordinate Principal Distribution Amount for Pool 1, until its Class Principal Amount has been reduced to zero; | ||
(i) | to the Class 1-B5 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(j) | to the Class 1-B5 Certificates, such class’ Subordinate Class Percentage of the aggregate Subordinate Principal Distribution Amount for Pool 1, until its Class Principal Amount has been reduced to zero; | ||
(k) | to the Class 1-B6 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; and | ||
(l) | to the Class 1-B6 Certificates, such class’ Subordinate Class Percentage of the aggregate Subordinate Principal Distribution Amount for Pool 1, until its Class Principal Amount has been reduced to zero; and |
(5) | To the Class 1-AR and Class 1-LTR Certificates, any remaining Available Distribution Amount from Pool 1, allocated between such classes in the manner specified in the Pooling and Servicing Agreement (with any such amounts representing net gain resulting from the sale of any REO Properties or other Liquidation Proceeds allocated solely to the Class 1-LTR Certificate). |
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(1) | From the Available Distribution Amount for Pool 2A, concurrently, to the payment of the Interest Distribution Amount and any accrued but unpaid Interest Shortfalls on each class of Group 2A Senior Certificates thereof; | ||
(2) | From the Available Distribution Amount for Pool 2A and remaining after application of priority (1) above, sequentially, to the Class 2-AR Certificates and the Class 2A-A1 Certificates, in that order, the Senior Principal Distribution Amount for Pool 2A, until their respective Class Principal Amounts have been reduced to zero; | ||
(3) | From the Available Distribution Amount for Pool 2B, concurrently, to the payment of the Interest Distribution Amount and any accrued but unpaid Interest Shortfalls on each class of Group 2B Senior Certificates thereof; | ||
(4) | From the Available Distribution Amount for Pool 2B and remaining after application of priority (3) above, to the Class 2B-A1 Certificates, the Senior Principal Distribution Amount for Pool 2B, until its Class Principal Amount has been reduced to zero; | ||
(5) | From the remaining Available Distribution Amount from Pool 2A and Pool 2B in the aggregate remaining after application of priorities (1), (2), (3) and (4) above, in the following order of priority: |
(a) | to the Class 2-B1 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(b) | to the Class 2-B1 Certificates, such class’ Subordinate Class Percentage of the aggregate of the Subordinate Principal Distribution Amounts for each of Pool 2A and Pool 2B, until its Class Principal Amount has been reduced to zero; | ||
(c) | to the Class 2-B2 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(d) | to the Class 2-B2 Certificates, such class’ Subordinate Class Percentage of the aggregate of the Subordinate Principal Distribution Amounts for each of Pool 2A and Pool 2B, until its Class Principal Amount has been reduced to zero; | ||
(e) | to the Class 2-B3 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(f) | to the Class 2-B3 Certificates, such class’ Subordinate Class Percentage of the aggregate of the Subordinate Principal Distribution Amounts for each of |
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Pool 2A and Pool 2B, until its Class Principal Amount has been reduced to zero; | |||
(g) | to the Class 2-B4 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(h) | to the Class 2-B4 Certificates, such class’ Subordinate Class Percentage of the aggregate of the Subordinate Principal Distribution Amounts for each of Pool 2A and Pool 2B, until its Class Principal Amount has been reduced to zero; | ||
(i) | to the Class 2-B5 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(j) | to the Class 2-B5 Certificates, such class’ Subordinate Class Percentage of the aggregate of the Subordinate Principal Distribution Amounts for each of Pool 2A and Pool 2B, until its Class Principal Amount has been reduced to zero; | ||
(k) | to the Class 2-B6 Certificates, the payment of its applicable Interest Distribution Amount and any outstanding Interest Shortfalls; | ||
(l) | to the Class 2-B6 Certificates, such class’ Subordinate Class Percentage of the aggregate of the Subordinate Principal Distribution Amounts for each of Pool 2A and Pool 2B, until its Class Principal Amount has been reduced to zero; and |
(6) | To the Class 2-AR and Class 2-LTR Certificates, any remaining Available Distribution Amount from Pool 2A and Pool 2B in the aggregate, allocated between such classes in the manner specified in the Pooling and Servicing Agreement (with any such amounts representing net gain resulting from the sale of any REO Properties or other Liquidation Proceeds allocated solely to the Class 2-LTR Certificate). |
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• | the aggregate Class Principal Amount of the Group 2A Senior Certificates or Group 2B Senior Certificates has been reduced to zero or will be reduced to zero after giving effect to distributions on such Distribution Date; | ||
• | there are still Group 2 Subordinate Certificates Outstanding; and | ||
• | either (i) the Aggregate Subordinate Percentage for the Group 2 Subordinate Certificates on that date is less than 200% of the Aggregate Subordinate Percentage for the Group 2 Subordinate Certificates as of the Closing Date or (ii) the outstanding principal balance of the Mortgage Loans in Pool 2A or Pool 2B delinquent 60 days or more (including, for this purpose, loans in REO, foreclosure or bankruptcy status) averaged over the last six months, as a percentage of such Mortgage Pool’s applicable Pool Subordinate Amount, is greater than or equal to 50%. |
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• | the Available Distribution Amount for the Overcollateralized Group, to the extent remaining following distributions of interest and principal to the related Senior Certificates of that Group will be paid in the following priority: (1) first, such amount, up to an amount for the Undercollateralized Group (the “Total Transfer Amount”) equal to the sum of the Interest Transfer Amount and the Principal Transfer Amount for the Undercollateralized Group will be distributed first to the Senior Certificates related to the Undercollateralized Group, in payment of accrued but unpaid interest, if any, and then to those Senior Certificates as principal, in the same order and priority as they would receive with respect to other distributions of principal to the extent required so that such Certificate Group will no longer qualify as an Undercollateralized Group; and (2) second, any remaining amount will be distributed pursuant to paragraph (3) under “— Priority of Distributions” in this prospectus supplement. |
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• | In general, a “Realized Loss” means (a) with respect to a Liquidated Mortgage Loan, the amount by which the remaining unpaid principal balance of that Mortgage Loan plus all accrued and unpaid interest thereon and any related expenses exceeds the amount of Liquidation Proceeds applied to the principal balance of that Mortgage Loan, or (b) the amount by which, in the event of bankruptcy of a borrower, a bankruptcy court reduces the secured debt to the value of the related Mortgaged Property (a “Deficient Valuation”). In determining whether a Realized Loss is a loss of principal or of interest, Liquidation Proceeds and other recoveries on a Mortgage Loan will be applied first to outstanding expenses incurred with respect to such Mortgage Loan, then to accrued, unpaid interest, and finally to principal. |
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• | A “Liquidated Mortgage Loan” generally is a defaulted Mortgage Loan as to which the Mortgage Loan or related REO Property has been disposed of and all amounts expected to be recovered in respect of that Mortgage Loan have been received by the related Servicer. |
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(1) | Fixed-rate mortgage loans having original terms to maturity of approximately twenty years to approximately forty years, and which mortgage loans were originated pursuant to Wells Fargo Bank’s underwriting guidelines for “prime” mortgage loans and in connection with the purchases of residences of relocated employees of various corporate employers that participated in the relocation program of Wells Fargo Bank and of various non-participant employers (“Prime 30-Year Fixed-Rate Relocation Loans”); | ||
(2) | Fixed-rate mortgage loans having original terms to maturity of approximately twenty years to approximately forty years, and which mortgage loans were originated pursuant to Wells Fargo Bank’s underwriting guidelines for “prime” mortgage loans and which were not originated in connection with any relocation program (“Prime 30-Year Fixed-Rate Non-Relocation Loans”); | ||
(3) | Fixed-rate mortgage loans having original terms to maturity of approximately ten years to approximately fifteen years, and which mortgage loans were originated pursuant to Wells Fargo Bank’s underwriting guidelines for “prime” mortgage loans (“Prime 15-Year Fixed-Rate Loans”); and | ||
(4) | Adjustable-rate mortgage loans having original terms to maturity of approximately ten years to approximately forty years, and which mortgage loans were originated pursuant to Wells Fargo Bank’s underwriting guidelines for “prime” mortgage loans (“Prime Adjustable-Rate Loans”). |
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2004 | 2005 | 2006 | ||||||||||||||||||||||
Aggregate | ||||||||||||||||||||||||
Aggregate | Original | Aggregate Original | ||||||||||||||||||||||
No. of | Original Principal | No. of | Principal | No. of | Principal Balance of | |||||||||||||||||||
Asset Type | Loans | Balance of Loans | Loans | Balance of Loans | Loans | Loans | ||||||||||||||||||
Prime 30-Year Fixed-Rate Relocation Loans | 863 | $ | 407,034,482 | 1,662 | $ | 834,847,437 | 1,795 | $ | 942,828,963 | |||||||||||||||
Prime 30-Year Fixed-Rate Non-Relocation Loans | 24,449 | $ | 9,916,613,353 | 56,987 | $ | 27,717,640,372 | 48,644 | $ | 22,134,618,223 | |||||||||||||||
Prime 15-Year Fixed-Rate Loans | 5,419 | $ | 2,568,468,498 | 5,664 | $ | 3,050,313,288 | 2,507 | $ | 1,230,499,787 | |||||||||||||||
Prime Adjustable-Rate Loans* | 126,241 | $ | 54,380,648,326 | 133,547 | $ | 61,563,540,910 | 71,276 | $ | 39,675,838,574 |
* | Mortgage loans that Wells Fargo Bank classified as “prime” adjustable rate investment property mortgage loans were previously reported under the “Alt-A adjustable rate mortgage loans “asset type” for 2004 and 2005. In 2006, Wells Fargo Bank changed the classification of “prime” adjustable rate investment property mortgage loans so that such mortgage loans are classified as Prime Adjustable Rate Loans and are now reported under that “asset type” for all periods shown. |
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Coverage Percentages | ||||||||
Loan-to-Value Ratios | Category I Mortgage Loans | Category II Mortgage Loans | ||||||
95.01% to 97.00% | 30 | % | 25 | % | ||||
90.01% to 95.00% | 30 | % | 25 | % | ||||
85.01% to 90.00% | 25 | % | 12 | % | ||||
80.01% to 85.00% | 12 | % | 6 | % |
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($ IN MILLIONS)
For the Year Ended December 31, | ||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | ||||||||||||||||
Prime conforming mortgage loans | ||||||||||||||||||||
No. of Loans | 1,455,919 | 1,392,870 | 1,323,249 | 1,308,284 | 1,418,843 | |||||||||||||||
Dollar Amount of Loans | $ | 203,894 | $ | 186,364 | $ | 165,521 | $ | 153,601 | $ | 150,421 | ||||||||||
Percentage Change from Prior Year | 9.41 | % | 12.59 | % | 7.76 | % | 2.11 | % | N/A | |||||||||||
Prime non-conforming mortgage loans | ||||||||||||||||||||
No. of Loans | 67,462 | 69,488 | 53,119 | 34,041 | 36,225 | |||||||||||||||
Dollar Amount of Loans | $ | 32,220 | $ | 32,385 | $ | 23,604 | $ | 13,937 | $ | 12,543 | ||||||||||
Percentage Change from Prior Year | (0.51 | )% | 37.20 | % | 69.36 | % | 11.12 | % | N/A | |||||||||||
Government mortgage loans | ||||||||||||||||||||
No. of Loans | 181,563 | 181,679 | 191,844 | 191,023 | 230,085 | |||||||||||||||
Dollar Amount of Loans | $ | 18,843 | $ | 18,098 | $ | 18,328 | $ | 17,594 | $ | 21,174 | ||||||||||
Percentage Change from Prior Year | 4.12 | % | (1.25 | )% | 4.17 | % | (16.91 | )% | N/A | |||||||||||
Second-lien mortgage loans | ||||||||||||||||||||
No. of Loans | 514,085 | 392,261 | 350,334 | 282,128 | 261,416 | |||||||||||||||
Dollar Amount of Loans | $ | 20,998 | $ | 13,034 | $ | 10,374 | $ | 7,023 | $ | 6,666 | ||||||||||
Percentage Change from Prior Year | 61.10 | % | 25.64 | % | 47.71 | % | 5.36 | % | N/A | |||||||||||
Total mortgage loans serviced | ||||||||||||||||||||
No. of Loans | 2,219,029 | 2,036,298 | 1,918,546 | 1,815,476 | 1,946,569 | |||||||||||||||
Dollar Amount of Loans | $ | 275,955 | $ | 249,881 | $ | 217,827 | $ | 192,155 | $ | 190,804 | ||||||||||
Percentage Change from Prior Year | 10.43 | % | 14.72 | % | 13.36 | % | 0.71 | % | N/A |
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(a) | collecting, aggregating and remitting mortgage loan payments; | ||
(b) | accounting for principal and interest; | ||
(c) | holding escrow (impound) funds for payment of taxes and insurance, if applicable; | ||
(d) | making inspections as required of the mortgaged properties; | ||
(e) | preparation of tax related information in connection with the mortgage loans; | ||
(f) | supervision of delinquent mortgage loans; | ||
(g) | loss mitigation efforts; | ||
(h) | foreclosure proceedings and, if applicable, the disposition of mortgaged properties; and | ||
(i) | generally administering the mortgage loans, for which it receives servicing fees. |
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Nov. 30, | Nov. 30, | Nov. 30, | Nov. 30, | Nov. 30, | Nov. 30, | Nov. 30, | Nov. 30, | Nov. 30, | Nov. 30, | |||||||||||||||||||||||||||||||
2002 | 2002 | 2003 | 2003 | 2004 | 2004 | 2005 | 2005 | 2006 | 2006 | |||||||||||||||||||||||||||||||
By | By | By | By | |||||||||||||||||||||||||||||||||||||
By Dollar | Number | By Dollar | Number | By Dollar | Number | By Dollar | By Number | By Dollar Amount of | Number | |||||||||||||||||||||||||||||||
Amount of Loans | of Loans | Amount of Loans | of Loans | Amount of Loans | of Loans | Amount of Loans | of Loans | Loans | of Loans | |||||||||||||||||||||||||||||||
Loan Portfolio | $ | 4,944,219,000 | 19,354 | $ | 7,468,471,000 | 27,540 | $ | 8,791,708,000 | 31,013 | $ | 7,737,515,000 | 27,834 | $ | 7,268,827,000 | 26,502 | |||||||||||||||||||||||||
Period of Delinquency(1) | ||||||||||||||||||||||||||||||||||||||||
30 through 59 days | $ | 3,038,000 | 18 | $ | 2,599,000 | 14 | $ | 2,296,000 | 15 | $ | 4,865,000 | 20 | $ | 7,011,000 | 17 | |||||||||||||||||||||||||
60 through 89 days | $ | 1,203,000 | 10 | $ | 1,965,000 | 9 | $ | 1,287,000 | 4 | $ | 3,453,000 | 13 | $ | 2,397,000 | 8 | |||||||||||||||||||||||||
90 days or more | $ | 2,673,000 | 12 | $ | 5,275,000 | 22 | $ | 4,825,000 | 22 | $ | 5,439,000 | 18 | $ | 10,495,000 | 23 | |||||||||||||||||||||||||
Total Delinquent | $ | 6,914,000 | 40 | $ | 9,839,000 | 45 | $ | 8,408,000 | 41 | $ | 13,757,000 | 51 | $ | 19,903,000 | 48 | |||||||||||||||||||||||||
Percent of Loan Portfolio | 0.14 | % | 0.21 | % | 0.13 | % | 0.16 | % | 0.10 | % | 0.13 | % | 0.18 | % | 0.18 | % | 0.27 | % | 0.18 | % |
(1) | Delinquency is based on the number of days payments are contractually past due. Any loans in foreclosure status are included in the respective aging category indicated in the chart. |
November 30, | November 30, | November 30, | November 30, | November 30, | ||||||||||||||||
Losses | 2002 | 2003 | 2004 | 2005 | 2006 | |||||||||||||||
Average portfolio balance(1) | $ | 3,761,663,000 | $ | 6,276,264,000 | $ | 8,198,057,000 | $ | 8,351,121,000 | $ | 7,474,781,000 | ||||||||||
Net losses(2) | $ | 206,000 | $ | 262,000 | $ | 388,000 | $ | 262,000 | $ | 104,000 | ||||||||||
Net losses as a percentage of average portfolio balance | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % |
(1) | Average portfolio balance is the sum of the prior year-end balance plus the sum of each month-end balance for the year indicated divided by thirteen periods. | |
(2) | Net losses are stated after giving effect to the recovery of liquidation proceeds. |
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December 31, 2003 | December 31, 2004 | December 31, 2005 | September 30, 2006 | |||||||||||||||||||||||||||||
(Dollar Amounts in Millions) | ||||||||||||||||||||||||||||||||
Loan Type | Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | ||||||||||||||||||||||||
Conventional(1) | 783,434 | $ | 126,996 | 793,813 | $ | 133,816 | 896,745 | $ | 146,236 | 912,850 | $ | 148,761 | ||||||||||||||||||||
Government(2) | 87,420 | 8,908 | 77,591 | 7,978 | 66,501 | 6,851 | 65,794 | 7,288 | ||||||||||||||||||||||||
Home Equity Lines of Credit | 68,219 | 2,715 | 90,568 | 3,922 | 97,849 | 4,215 | 101,523 | 4,153 | ||||||||||||||||||||||||
Total Residential Mortgage Loans | 939,073 | $ | 138,619 | 961,972 | $ | 145,716 | 1,061,095 | $ | 157,302 | 1,080,167 | $ | 160,202 | ||||||||||||||||||||
(1) | Includes all Residential Mortgage Loans other than Government Loans and Home Equity Lines of Credit | |
(2) | Includes FHA and VA Loans |
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�� | ||||||||||||||||||||||||
As of | As of | As of | ||||||||||||||||||||||
December 31, 2004(1) | December 31, 2005(1) | December 31, 2006(2) | ||||||||||||||||||||||
Aggregate | Aggregate | Aggregate | ||||||||||||||||||||||
Unpaid | Unpaid | Unpaid | ||||||||||||||||||||||
Principal | Principal | Principal | ||||||||||||||||||||||
No. of | Balance of | No.of | Balance of | No. of | Balance of | |||||||||||||||||||
Loans | Loans | Loans | Loans | Loans | Loans | |||||||||||||||||||
First Lien Non-Conforming, Non-Subprime Loans | 498,174 | $ | 166,028,382,042 | 634,103 | $ | 229,014,862,911 | 646,723 | $ | 258,646,782,192 |
(1) | Includes mortgage loans originated pursuant to Wells Fargo Bank’s underwriting guidelines for “Alt-A minus” mortgage loans. | |
(2) | Excludes mortgage loans originated pursuant to Wells Fargo Bank’s underwriting guidelines for “Alt-A minus” |
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(i) | For certain loans originated by third parties and sub-serviced by Wells Fargo Bank or for which servicing rights were acquired on a bulk-acquisition basis, Wells Fargo Bank determined it provided incomplete data to some third parties who use such data to calculate delinquency ratios and determine the status of loans with respect to bankruptcy, foreclosure or real estate owned. The incomplete reporting only affected securitizations that included delinquent loans. Instead of the actual due date being provided for use in calculating delinquencies, the date of the first payment due to the security was provided. Wells Fargo Bank subsequently included additional data in the monthly remittance reports, providing the actual borrower due date and unpaid principal balance, together with instructions to use these new fields if such monthly remittance reports are used to calculate delinquency ratios. | ||
(ii) | Wells Fargo Bank determined that, as required by certain servicing agreements, it did not provide mortgage loan purchasers with prior notifications of intent to foreclose. While mortgage loan purchasers received monthly delinquency status reports that listed loans in foreclosure, such reports were received after such loans had been referred to an attorney. A new process is being implemented to send such notifications if contractually required, unless an mortgage loan purchaser opts out in writing. |
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• | collecting monthly remittances of principal and interest on the Mortgage Loans from the related borrowers, depositing such amounts in the Collection Account, and delivering all amounts on deposit in the Collection Account to the Securities Administrator for deposit in the Certificate Distribution Account on the Servicer Remittance Date; | ||
• | collecting amounts in respect of taxes and insurance from the related borrowers, depositing such amounts in the related escrow account, and paying such amounts to the related taxing authorities and insurance providers, as applicable; | ||
• | making advances with respect to delinquent payments of principal and interest on the Mortgage Loans, to the extent the Servicer believes such advances will be recoverable; | ||
• | paying, as servicing advances, customary costs and expenses incurred in the performance by the Servicer of its servicing obligations, including, but not limited to, the cost of (a) the preservation, restoration and protection of the Mortgaged Property, (b) taxes, assessments and other charges which are or may become a lien upon the Mortgaged Property or (c) borrower-paid primary mortgage insurance policy premiums and fire and hazard insurance coverage, to the extent not paid by the borrower; | ||
• | providing monthly loan-level reports to the Master Servicer and the Securities Administrator; | ||
• | maintaining certain insurance policies relating to the Mortgage Loans; and | ||
• | initiating and enforcing foreclosure proceedings. |
• | monitoring the Servicers’ performance and enforcing the Servicers’ obligations under the Servicing Agreements; | ||
• | gathering the monthly loan-level reports delivered by the Servicers and providing a comprehensive loan-level report to the Securities Administrator with respect to the Mortgage Loans; | ||
• | terminating the rights and obligations of any Servicer, if in the Master Servicer’s judgment it determines that such Servicer should be terminated in accordance with the Servicing |
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Agreements, giving notice thereof to the Trustee and the Rating Agencies and taking such other action as it deems appropriate; | |||
• | upon the termination of a Servicer, appointing a successor Servicer or servicing the related Mortgage Loans itself, as provided in the Pooling and Servicing Agreement; and | ||
• | upon the failure of a Servicer to make Advances with respect to a Mortgage Loan in accordance with the related Servicing Agreement, making those Monthly Advances, to the extent provided in the Pooling and Servicing Agreement. |
• | acting as authentication agent, calculation agent, paying agent and certificate registrar with respect to the Certificates; | ||
• | collecting monthly remittances from the Master Servicer and the Servicers for deposit in the Certificate Distribution Account and distributing all amounts on deposit in the Certificate Distribution Account to the Certificateholders, in accordance with the priorities described under “Descriptions of the Certificates —Priority of Distributions” on each Distribution Date; | ||
• | preparing and distributing to Certificateholders the monthly Distribution Date statement based on Mortgage Loan data provided by the Servicers and the Master Servicer; | ||
• | preparing and filing periodic reports with the SEC on behalf of the Issuing Entity with respect to the Certificates; | ||
• | preparing and distributing annual investor reports necessary to enable Certificateholders to prepare their tax returns; and | ||
• | preparing and filing annual federal and (if required) state tax returns on behalf of the Issuing Entity. |
• | after an Event of Default has occurred of which a responsible officer of the Trustee has actual knowledge, giving written notice thereof to the Master Servicer and the Rating Agencies; and | ||
• | after an Event of Default has occurred of which a responsible officer of the Trustee has actual knowledge, until a successor Master Servicer is appointed, acting as successor Master Servicer in the event the Master Servicer resigns or is removed by the Trustee. |
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• | holding and maintaining the Mortgage Loan documents related to the applicable Mortgage Loans in a fire-resistant facility intended for the safekeeping of such Mortgage Loan files on behalf of the Issuing Entity. |
Trust Account: | Responsible Party: | Application of any Investment Earnings: | ||
Collection Accounts | Servicers | Any income earned will be paid as compensation to the related Servicer, as set forth under “The Agreements — Fees and Expenses of the Issuing Entity,” and will not be available for distribution to Certificateholders. | ||
Certificate Distribution Account | Securities Administrator | Any investment earnings will be paid as compensation to the Securities Administrator, as set forth under “The Agreements — Fees and Expenses of the Issuing Entity,” and will not be available for distribution to Certificateholders. |
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June 2 through July 1 | Due Period: | Payments due during the related Due Period (June 2 through July 1) from borrowers will be deposited in each Servicer’s Collection Account as received and will include scheduled principal payments due during the related Due Period and interest accrued on the ending scheduled balance from the prior Due Period. | ||
June 1 through June 30 | Prepayment Period for partial and full prepayments received from borrowers: | Partial principal prepayments received by any Servicer and principal prepayments in full received by any Servicer during the related Prepayment Period (June 1 through June 30) will be deposited into such Servicer’s Collection Account for remittance to the Securities Administrator on the Servicer Remittance Date. | ||
June 29 | Record Date for Offered Certificates Other than LIBOR Certificates | Distributions will be made to holders of record for the Offered Certificates other than the LIBOR Certificates as of the close of business on the last Business Day of the month immediately before the month of the related Distribution Date. | ||
July 18 | Servicer Remittance Date: | Each Servicer will remit collections and recoveries in respect of the Mortgage Loans to the Securities Administrator for deposit into the Certificate Distribution Account on or prior to the 18th day of each month, or if the 18th day is not a Business Day, on the next preceding Business Day, as specified in the related Servicing Agreement. | ||
July 19 | Record Date for LIBOR Certificates | Distributions will be made to holders of record for the LIBOR Certificates as of the close of business on the business day immediately before the related Distribution Date. | ||
July 20 | Distribution Date: | On the 20th day of each month (or if the 20th day is not a Business Day, the next Business Day), the Securities Administrator will make distributions to Certificateholders from amounts on deposit in the Certificate Distribution Account. |
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• | have an outstanding principal balance, after deduction of all Scheduled Payments due in the month of substitution, not in excess (and not less than 90%) of the Principal Balance of the Deleted Mortgage Loan (the amount of any shortfall to be deposited in the Certificate Distribution Account by the Seller not later than the succeeding determination date and held for distribution to the Certificateholders on the related Distribution Date); | ||
• | have a maximum Mortgage Rate not less than (and not more than two percentage points greater than) the maximum Mortgage Rate of the Deleted Mortgage Loan; | ||
• | have a gross margin not less than that of the Deleted Mortgage Loan and, if Mortgage Loans equal to 1% or more of the aggregate Principal Balance of the Mortgage Loans as |
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of the Cut-off Date have become Deleted Mortgage Loans, not more than two percentage points more than that of the Deleted Mortgage Loan; | |||
• | have a Loan-to-Value ratio not higher than that of the Deleted Mortgage Loan; | ||
• | have a remaining term to maturity not greater than (and not more than one year less than) that of the Mortgage Loan; | ||
• | not permit conversion of the related Mortgage Rate to a permanent fixed Mortgage Rate; | ||
• | have the same or higher credit score; | ||
• | have an initial interest adjustment date no earlier than five months before (and no later than five months after) the initial interest adjustment date of the Mortgage Loan; | ||
• | be a “qualified replacement mortgage” within the meaning of Section 860G(a)(4) of the Code; and | ||
• | comply with all of the representations and warranties set forth in the Mortgage Loan Purchase Agreement. |
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• | a report on its assessment of compliance during the preceding calendar year with all applicable servicing criteria set forth in relevant SEC regulations with respect to asset-backed securities transactions taken as a whole involving the Servicer that are backed by the same types of assets as those backing the offered securities, as well as similar reports on assessment of compliance received from certain other parties participating in the servicing function as required by relevant SEC regulations; |
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• | with respect to each assessment report described in the immediately preceding bullet point, a report by a registered public accounting firm that attests to, and reports on, the assessment made by the asserting party, as set forth in relevant SEC regulations; and | ||
• | a statement of compliance from the Servicer, and similar statements from certain other parties involved in servicing the Mortgage Loans as required by relevant SEC regulations, signed by an authorized officer, to the effect that: (a) a review of the Servicer’s activities during the reporting period and of its performance under the applicable Servicing Agreement has been made under such officer’s supervision; and (b) to the best of such officer’s knowledge, based on such review, the Servicer has fulfilled all of its obligations under the Servicing Agreement in all materials respects throughout the reporting period or, if there has been a failure to fulfill any such obligation in any material respect, specifying each such failure known to such officer and the nature and status thereof. |
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• | After receipt of notice from the Trustee, any failure of the Master Servicer to make any Monthly Advances when such Monthly Advances are due, which failure continues unremedied for a period of one Business Day; or | ||
• | Any failure by the Master Servicer to furnish the Securities Administrator the Mortgage Loan data sufficient to prepare the monthly statements to Certificateholders which failure continues unremedied for a period of one Business Day after the giving of written notice of such failure by the Trustee, the Securities Administrator or Certificateholders evidencing not less than 25% of the Class Principal Amount of each class of Certificates affected thereby; or | ||
• | Any failure on the part of the Master Servicer duly to observe or perform in any material respect any other of the covenants or agreements on the part of the Master Servicer contained in the Pooling and Servicing Agreement, which failure continues unremedied for a period of 30 days after the giving of written notice of such failure by the Trustee, the Securities Administrator, or by Certificateholders evidencing more than 50% of the aggregate voting rights of the Certificates; or | ||
• | Any impermissible dissolution, disposition of all or substantially all assets, or consolidation or merger on the part of the Master Servicer that does not meet the criteria specified in the Pooling and Servicing Agreement; or | ||
• | Any breach of a representation or warranty set forth in the Pooling and Servicing Agreement that materially and adversely affects the interests of the Certificateholders, which breach continues 30 days after the giving of written notice by the Trustee, the Securities Administrator or Certificateholders evidencing more than 50% of the aggregate voting rights of the Certificates; or | ||
• | Any sale, pledge or assignment of the rights, or any delegation of the duties of, the Master Servicer under the Pooling and Servicing Agreement, in any manner not permitted thereunder and without the prior written consent of the Trustee and Certificateholders evidencing more than 50% of the aggregate voting rights of the Certificates; or |
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• | Certain events in insolvency, readjustment of debt, marshalling of assets and liabilities or similar proceedings and certain actions by the Master Servicer indicating its insolvency, reorganization or inability to pay its obligations. |
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(1) | to cure any ambiguity or mistake; | ||
(2) | to conform to the provisions of the prospectus supplement and prospectus, to correct any defective provisions or to supplement any provision; |
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(3) | to add any other provisions with respect to matters or questions arising under the Pooling and Servicing Agreement; or | ||
(4) | to comply with any requirements imposed by the Code; |
• | the amount of the distributions, separately identified, with respect to each class of Certificates; | ||
• | the amount of the distributions set forth in the first clause above allocable to principal, separately identifying the aggregate amount of any principal prepayments or other unscheduled recoveries of principal included in that amount; | ||
• | the amount of the distributions set forth in the first clause above allocable to interest and how it was calculated; | ||
• | the amount of any unpaid Net Interest Shortfall, Net WAC Shortfall or unpaid Net WAC Shortfall (if applicable) and the related accrued interest thereon, with respect to each class of Certificates; | ||
• | the Class Principal Amount of each class of Certificates after giving effect to the distribution of principal on that Distribution Date; | ||
• | the aggregate Principal Balance of the Mortgage Loans, and the weighted average of the net Mortgage Rates of the Mortgage Loans at the end of the related Prepayment Period; |
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• | the Principal Balance of the Mortgage Loans whose Mortgage Rates adjust on the basis of the One-Month LIBOR index, the Six-Month LIBOR Index, the One-Year LIBOR Index, the Six-Month CMT Index, the One-Year CMT Index and any other the applicable index at the end of the related Prepayment Period; | ||
• | the Senior Percentage and Subordinate Percentage for each Mortgage Pool for the following Distribution Date; | ||
• | the Senior Prepayment Percentage and Subordinate Prepayment Percentage for each Mortgage Pool for the following Distribution Date; | ||
• | the amount of the Master Servicing Fee and the Servicing Fee paid to or retained by the Master Servicer and by the Servicer, respectively; | ||
• | the amount of Monthly Advances for the related Due Period; | ||
• | the number and aggregate principal balance of the Mortgage Loans that were (A) delinquent (exclusive of Mortgage Loans in foreclosure) using the MBS method (1) 30 to 59 days, (2) 60 to 89 days and (3) 90 or more days, (B) in foreclosure and delinquent (1) 30 to 59 days, (2) 60 to 89 days and (3) 90 or more days and (C) in bankruptcy as of the close of business on the last day of the calendar month preceding that Distribution Date; | ||
• | for any Mortgage Loan as to which the related Mortgaged Property was an REO property during the preceding calendar month, the loan number, the principal balance of that Mortgage Loan as of the close of business on the last day of the related Due Period and the date of acquisition of the REO property; | ||
• | the total number and principal balance of any REO properties as of the close of business on the last day of the preceding Due Period; | ||
• | the amount of Realized Losses incurred during the preceding calendar month; | ||
• | the cumulative amount of Realized Losses incurred since the Closing Date; and | ||
• | the Certificate Interest Rate for each class of Certificates for that Distribution Date. |
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Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Servicers | Monthly | A monthly fee paid to each Servicer from amounts that would otherwise be distributed to Certificateholders in respect of interest, calculated on the outstanding principal balance of each Mortgage Loan, at the applicable Servicing Fee Rate,plus, all income earned on amounts on deposit in the Collection Account: | Withdrawn from the related Collection Account in respect of each Mortgage Loan serviced by that Servicer before distribution of any amounts to Certificateholders. | |||
Master Servicer | Monthly | A monthly fee paid to the Master Servicer, from amounts that would otherwise be distributed to Certificateholders in respect of interest, calculated at a rate of 0.005% per annum on the outstanding principal balance of the Mortgage Loans. | Retained by the Master Servicer from the Certificate Distribution Account before distribution of any amounts to Certificateholders. | |||
Securities Administrator | Monthly | A monthly fee paid to the Securities Administrator, from the Master Servicing Fee. | Paid by the Master Servicer from the Master Servicing Fee. |
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Frequency | How and When | |||||
Fee Payable to: | of Payment: | Amount of Fee: | Fee Is Payable: | |||
Monthly | All investment earnings on amounts on deposit in the Certificate Distribution Account. | Retained by the Securities Administrator from the Certificate Distribution Account before distribution of any amounts to Certificateholders. | ||||
Trustee | Monthly | A fixed annual fee of $3,500. | Paid by the Master Servicer from the Master Servicing Fee pursuant to a separate agreement between the Trustee and the Master Servicer. | |||
Custodian | Monthly | A monthly fee paid to the Custodian, from the Master Servicing Fee. | Paid by the Master Servicer from the Master Servicing Fee. |
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Original | Initial | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current | Servicing | Original | Remaining | Interest- | Minimum | Maximum | Periodic | Periodic | Next Rate | Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal | Mortgage | Fee | Term to | Term to | Only | Gross | Mortgage | Mortgage | Rate | Rate | Adjustment | Adjustment | Prepay | |||||||||||||||||||||||||||||||||||||||||||||||||||
Product | Balance | Rate | Rate | Maturity | Maturity | Age | Term | Margin | Rate | Rate | Cap | Cap | Period | Frequency | Term | |||||||||||||||||||||||||||||||||||||||||||||||||
Pool | Type | ($) | (%) | (%) | (Months) | (Months) | (Months) | (Months) | (%) | (%) | (%) | (%) | (%) | (Months) | (Months) | (Months) | Index | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR | 931,156.71 | 7.37500 | 0.30500 | 360 | 310 | 50 | 0 | 2.05000 | 2.05000 | 12.95000 | 0.00000 | 0.00000 | 1 | 1 | 0 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR | 1,201,708.88 | 6.76138 | 0.30500 | 360 | 322 | 38 | 0 | 1.40098 | 1.40098 | 11.93848 | 0.00000 | 0.00000 | 1 | 1 | 48 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 3,231,096.62 | 7.42409 | 0.30500 | 360 | 309 | 51 | 36 | 2.06963 | 2.06963 | 12.95000 | 0.00000 | 0.00000 | 1 | 1 | 48 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 463,522.26 | 7.37500 | 0.25500 | 360 | 297 | 63 | 36 | 2.00000 | 2.00000 | 10.00000 | 1.00000 | 1.00000 | 3 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 525,646.97 | 7.37500 | 0.25500 | 360 | 299 | 61 | 36 | 2.00000 | 2.00000 | 11.00000 | 1.00000 | 1.00000 | 5 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 321,032.60 | 7.37500 | 0.25500 | 360 | 300 | 60 | 36 | 2.00000 | 2.00000 | 11.00000 | 1.00000 | 1.00000 | 6 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 3,959,433.29 | 7.32254 | 0.38000 | 360 | 300 | 60 | 60 | 1.94754 | 1.94754 | 12.00000 | 0.00000 | 0.00000 | 1 | 1 | 0 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 289,586.88 | 7.25000 | 0.38000 | 360 | 300 | 60 | 60 | 1.87500 | 1.87500 | 12.00000 | 0.00000 | 0.00000 | 1 | 1 | 36 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 447,079.12 | 7.22793 | 0.38000 | 360 | 298 | 62 | 60 | 1.85293 | 1.85293 | 12.00000 | 0.00000 | 0.00000 | 4 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 714,305.20 | 7.50000 | 0.38000 | 360 | 299 | 61 | 60 | 2.12500 | 2.12500 | 12.00000 | 0.00000 | 0.00000 | 5 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 3,019,791.24 | 7.35006 | 0.38000 | 360 | 300 | 60 | 60 | 1.97506 | 1.97506 | 12.00000 | 0.00000 | 0.00000 | 6 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 291,651.07 | 7.50000 | 0.38000 | 360 | 297 | 63 | 60 | 2.12500 | 2.12500 | 12.00000 | 0.00000 | 0.00000 | 3 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 995,113.45 | 6.95409 | 0.38000 | 360 | 300 | 60 | 60 | 1.57909 | 1.57909 | 12.00000 | 0.00000 | 0.00000 | 6 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 8,176,393.39 | 7.24768 | 0.38000 | 360 | 306 | 54 | 60 | 1.87268 | 1.87268 | 12.00000 | 0.00000 | 0.00000 | 1 | 1 | 0 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 3,346,664.64 | 7.09450 | 0.38000 | 360 | 316 | 44 | 60 | 1.71950 | 1.71950 | 12.00000 | 0.00000 | 0.00000 | 1 | 1 | 36 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 5,586,090.64 | 7.29841 | 0.38000 | 360 | 305 | 55 | 60 | 1.92341 | 1.92341 | 12.00000 | 0.00000 | 0.00000 | 1 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 8,154,431.15 | 7.34861 | 0.38000 | 360 | 319 | 41 | 60 | 1.97361 | 1.97361 | 12.00000 | 0.00000 | 0.00000 | 2 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 3,951,525.63 | 7.32611 | 0.38000 | 360 | 318 | 42 | 60 | 1.95111 | 1.95111 | 12.00000 | 0.00000 | 0.00000 | 3 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 4,065,922.35 | 7.30183 | 0.38000 | 360 | 308 | 52 | 60 | 1.92683 | 1.92683 | 12.00000 | 0.00000 | 0.00000 | 4 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 22,019,669.95 | 7.26899 | 0.38000 | 360 | 310 | 50 | 60 | 1.89399 | 1.89399 | 12.00000 | 0.00000 | 0.00000 | 5 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 17,430,384.68 | 7.28380 | 0.38000 | 360 | 308 | 52 | 60 | 1.90880 | 1.90880 | 12.00000 | 0.00000 | 0.00000 | 6 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 2,948,621.10 | 7.27055 | 0.38000 | 360 | 309 | 51 | 60 | 1.89555 | 1.89555 | 12.00000 | 0.00000 | 0.00000 | 1 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 7,352,432.37 | 7.17073 | 0.38000 | 360 | 320 | 40 | 60 | 1.79573 | 1.79573 | 12.00000 | 0.00000 | 0.00000 | 2 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 6,324,427.98 | 7.35450 | 0.38000 | 360 | 318 | 42 | 60 | 1.97950 | 1.97950 | 12.00000 | 0.00000 | 0.00000 | 3 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 4,602,355.06 | 7.09370 | 0.38000 | 360 | 313 | 47 | 60 | 1.71870 | 1.71870 | 12.00000 | 0.00000 | 0.00000 | 4 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 10,718,942.98 | 7.19210 | 0.38000 | 360 | 310 | 50 | 60 | 1.81710 | 1.81710 | 12.00000 | 0.00000 | 0.00000 | 5 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 7,473,448.63 | 7.25056 | 0.38000 | 360 | 310 | 50 | 60 | 1.87556 | 1.87556 | 12.00000 | 0.00000 | 0.00000 | 6 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 103,395.56 | 7.50000 | 0.38000 | 360 | 330 | 30 | 60 | 2.00000 | 2.00000 | 11.00000 | 1.00000 | 1.00000 | 6 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 107,606.95 | 7.37500 | 0.38000 | 360 | 314 | 46 | 60 | 2.00000 | 2.00000 | 12.00000 | 0.00000 | 0.00000 | 2 | 6 | 60 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 143,094.03 | 7.25000 | 0.38000 | 360 | 316 | 44 | 60 | 1.87500 | 1.87500 | 12.00000 | 0.00000 | 0.00000 | 4 | 6 | 60 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 1,099,011.76 | 7.19055 | 0.25500 | 300 | 158 | 142 | 120 | 1.82960 | 1.82960 | 12.58733 | 0.00000 | 0.00000 | 1 | 1 | 0 | One-Month LIBOR |
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Original | Initial | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current | Servicing | Original | Remaining | Interest- | Minimum | Maximum | Periodic | Periodic | Next Rate | Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal | Mortgage | Fee | Term to | Term to | Only | Gross | Mortgage | Mortgage | Rate | Rate | Adjustment | Adjustment | Prepay | |||||||||||||||||||||||||||||||||||||||||||||||||||
Product | Balance | Rate | Rate | Maturity | Maturity | Age | Term | Margin | Rate | Rate | Cap | Cap | Period | Frequency | Term | |||||||||||||||||||||||||||||||||||||||||||||||||
Pool | Type | ($) | (%) | (%) | (Months) | (Months) | (Months) | (Months) | (%) | (%) | (%) | (%) | (%) | (Months) | (Months) | (Months) | Index | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month CMT IO | 47,940.40 | 7.50000 | 0.25500 | 300 | 166 | 134 | 120 | 2.50000 | 2.50000 | 12.37500 | 0.00000 | 0.00000 | 4 | 6 | 0 | Six-Month CMT | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 1,586,586.66 | 7.32248 | 0.25500 | 300 | 155 | 145 | 120 | 1.88968 | 1.88968 | 13.20021 | 0.00000 | 0.00000 | 1 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 226,823.93 | 7.37500 | 0.25500 | 300 | 146 | 154 | 120 | 2.00000 | 2.00000 | 12.87500 | 0.00000 | 0.00000 | 2 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 1,340,320.76 | 7.01626 | 0.25500 | 300 | 161 | 139 | 120 | 1.64126 | 1.64126 | 12.42020 | 0.00000 | 0.00000 | 3 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 117,376.99 | 7.62500 | 0.25500 | 300 | 160 | 140 | 120 | 2.25000 | 2.25000 | 13.18800 | 0.00000 | 0.00000 | 4 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 1,808,864.22 | 7.00771 | 0.25500 | 300 | 143 | 157 | 120 | 1.50771 | 1.50771 | 12.00000 | 0.00000 | 0.00000 | 5 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 321,980.94 | 7.27039 | 0.25500 | 300 | 152 | 148 | 120 | 1.83995 | 1.83995 | 13.66005 | 0.00000 | 0.00000 | 6 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Year CMT IO | 101,694.90 | 7.62500 | 0.25500 | 300 | 158 | 142 | 120 | 2.50000 | 2.50000 | 13.12500 | 0.00000 | 0.00000 | 2 | 12 | 0 | One-Year CMT | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 234,974,713.18 | 6.61919 | 0.29231 | 304 | 281 | 23 | 120 | 1.24696 | 1.24696 | 12.01063 | 0.00000 | 0.00000 | 1 | 1 | 0 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 62,726,937.61 | 6.37297 | 0.25500 | 301 | 291 | 10 | 120 | 1.00752 | 1.00212 | 12.00000 | 3.00000 | 0.00000 | 1 | 1 | 0 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 914,555.65 | 6.70112 | 0.30500 | 360 | 314 | 46 | 120 | 1.35873 | 1.35873 | 12.29776 | 0.00000 | 0.00000 | 1 | 1 | 12 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 6,276,163.22 | 6.75987 | 0.32101 | 360 | 323 | 37 | 120 | 1.38963 | 1.38963 | 11.96068 | 0.00000 | 0.00000 | 1 | 1 | 36 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 89,222,543.91 | 6.99304 | 0.30500 | 360 | 321 | 39 | 120 | 1.62719 | 1.61473 | 12.00016 | 0.00000 | 0.00000 | 1 | 1 | 48 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | One-Month LIBOR IO | 2,842,136.34 | 7.21584 | 0.30500 | 360 | 322 | 38 | 120 | 1.82267 | 1.82267 | 11.95000 | 0.00000 | 0.00000 | 1 | 1 | 60 | One-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 31,517,332.36 | 7.09752 | 0.36629 | 300 | 251 | 49 | 120 | 1.72810 | 1.72810 | 11.92519 | 0.00000 | 0.00000 | 1 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 14,270.50 | 6.75000 | 0.25500 | 300 | 277 | 23 | 120 | 1.37500 | 1.37500 | 12.00000 | 3.00000 | 0.00000 | 1 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 5,778,672.70 | 7.21105 | 0.36925 | 304 | 266 | 38 | 120 | 1.79929 | 1.79929 | 11.87474 | 0.00000 | 0.00000 | 2 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 3,532,173.32 | 7.07332 | 0.30868 | 307 | 274 | 33 | 120 | 1.68559 | 1.68559 | 12.22650 | 0.00000 | 0.00000 | 3 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 13,107,208.20 | 7.14504 | 0.33477 | 301 | 257 | 44 | 120 | 1.76849 | 1.76849 | 12.01399 | 0.00000 | 0.00000 | 4 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 119,301.64 | 7.37500 | 0.25500 | 300 | 286 | 14 | 120 | 2.00000 | 2.00000 | 12.00000 | 3.00000 | 0.00000 | 4 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 27,957,693.00 | 7.18104 | 0.36469 | 301 | 250 | 51 | 120 | 1.70078 | 1.70078 | 11.96863 | 0.00000 | 0.00000 | 5 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 34,884,885.14 | 7.06507 | 0.37267 | 301 | 248 | 53 | 120 | 1.69007 | 1.69007 | 11.99985 | 0.00000 | 0.00000 | 6 | 6 | 0 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 508,314.74 | 7.45191 | 0.38000 | 360 | 341 | 19 | 120 | 2.07691 | 2.07691 | 12.00000 | 0.00000 | 0.00000 | 5 | 6 | 36 | Six-Month LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
1 | Six-Month LIBOR IO | 75,966.55 | 6.87500 | 0.38000 | 360 | 336 | 24 | 120 | 1.50000 | 1.50000 | 12.00000 | 0.00000 | 0.00000 | 6 | 6 | 36 | Six-Month LIBOR |
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Original | Initial | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Current | Servicing | Original | Remaining | Interest- | Minimum | Maximum | Periodic | Periodic | Next Rate | Rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal | Mortgage | Fee | Term to | Term to | Only | Gross | Mortgage | Mortgage | Rate | Rate | Adjustment | Adjustment | Prepay | |||||||||||||||||||||||||||||||||||||||||||||||||||
Product | Balance | Rate | Rate | Maturity | Maturity | Age | Term | Margin | Rate | Rate | Cap | Cap | Period | Frequency | Term | |||||||||||||||||||||||||||||||||||||||||||||||||
Pool | Type | ($) | (%) | (%)* | (Months) | (Months) | (Months) | (Months) | (%) | (%) | (%) | (%) | (%) | (Months) | (Months) | (Months) | Index | |||||||||||||||||||||||||||||||||||||||||||||||
2A | 5/1 Year LIBOR | 13,853,559.69 | 5.83370 | 0.30908 | 360 | 352 | 8 | 0 | 2.25700 | 2.25736 | 10.83400 | 5.00000 | 2.00000 | 52 | 12 | 0 | One-Year LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
2A | 5/1 Year CMT | 7,046,216.00 | 6.03579 | 0.25500 | 360 | 359 | 1 | 0 | 2.75000 | 2.75000 | 11.03600 | 5.00000 | 2.00000 | 59 | 12 | 0 | One-Year CMT | |||||||||||||||||||||||||||||||||||||||||||||||
2A | 5/1 Year LIBOR IO | 28,632,628.39 | 6.10468 | 0.28229 | 360 | 358 | 2 | 60 | 2.25000 | 2.25000 | 11.10500 | 5.00000 | 2.00000 | 58 | 12 | 0 | One-Year LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
2A | 5/1 Year CMT IO | 47,019,311.75 | 6.13279 | 0.25500 | 360 | 359 | 1 | 60 | 2.75000 | 2.75000 | 11.13300 | 5.00000 | 2.00000 | 59 | 12 | 0 | One-Year CMT | |||||||||||||||||||||||||||||||||||||||||||||||
2A | 5/1 Year LIBOR IO | 106,409,199.26 | 6.14719 | 0.33147 | 360 | 358 | 2 | 120 | 2.25000 | 2.24926 | 11.14700 | 5.00000 | 2.00000 | 58 | 12 | 0 | One-Year LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
2A | 5/1 Year CMT IO | 27,289,844.00 | 6.12820 | 0.25500 | 360 | 359 | 1 | 120 | 2.75000 | 2.75000 | 11.12800 | 5.00000 | 2.00000 | 59 | 12 | 0 | One-Year CMT | |||||||||||||||||||||||||||||||||||||||||||||||
2B | 10/1 Year LIBOR | 2,624,039.64 | 5.90353 | 0.32079 | 360 | 352 | 8 | 0 | 2.25000 | 2.25000 | 10.90400 | 5.00000 | 2.00000 | 112 | 12 | 0 | One-Year LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
2B | 10/1 Year CMT | 12,332,749.49 | 6.28626 | 0.25500 | 360 | 358 | 2 | 0 | 2.75000 | 2.75000 | 11.28600 | 5.00000 | 2.00000 | 118 | 12 | 0 | One-Year CMT | |||||||||||||||||||||||||||||||||||||||||||||||
2B | 10/1 Year LIBOR IO | 45,537,642.94 | 6.24967 | 0.31003 | 360 | 358 | 2 | 120 | 2.24400 | 2.23581 | 11.25300 | 5.00000 | 2.00000 | 118 | 12 | 0 | One-Year LIBOR | |||||||||||||||||||||||||||||||||||||||||||||||
2B | 10/1 Year CMT IO | 116,184,028.18 | 6.35505 | 0.25500 | 360 | 359 | 1 | 120 | 2.75000 | 2.75000 | 11.35500 | 5.00000 | 2.00000 | 119 | 12 | 0 | One-Year CMT | |||||||||||||||||||||||||||||||||||||||||||||||
2B | 10/6 Month LIBOR IO | 1,364,400.00 | 6.37500 | 0.38000 | 360 | 358 | 2 | 120 | 2.25000 | 2.00000 | 11.37500 | 5.00000 | 1.00000 | 118 | 6 | 0 | Six-Month LIBOR |
* | Includes a Master Servicing Fee Rate of 0.005%. |
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Outstanding at the Following Percentages of CPR
Class 1-A1 Certificates | ||||||||||||||||||||||||||||
Distribution Date | 0% | 10% | 20% | 25% | 30% | 40% | 50% | |||||||||||||||||||||
Initial Percentage | 100 | 100 | 100 | 100 | 100 | 100 | 100 | |||||||||||||||||||||
May 2008 | 100 | 90 | 79 | 74 | 69 | 59 | 49 | |||||||||||||||||||||
May 2009 | 100 | 80 | 63 | 55 | 48 | 35 | 24 | |||||||||||||||||||||
May 2010 | 99 | 72 | 50 | 41 | 33 | 21 | 12 | |||||||||||||||||||||
May 2011 | 99 | 64 | 40 | 30 | 23 | 12 | 6 | |||||||||||||||||||||
May 2012 | 98 | 57 | 32 | 23 | 16 | 7 | 3 | |||||||||||||||||||||
May 2013 | 98 | 51 | 25 | 17 | 11 | 4 | 1 | |||||||||||||||||||||
May 2014 | 97 | 45 | 20 | 13 | 8 | 3 | 1 | |||||||||||||||||||||
May 2015 | 95 | 40 | 16 | 9 | 5 | 2 | * | |||||||||||||||||||||
May 2016 | 92 | 35 | 12 | 7 | 4 | 1 | * | |||||||||||||||||||||
May 2017 | 88 | 30 | 9 | 5 | 2 | 1 | * | |||||||||||||||||||||
May 2018 | 84 | 26 | 7 | 3 | 2 | * | * | |||||||||||||||||||||
May 2019 | 80 | 22 | 5 | 2 | 1 | * | * | |||||||||||||||||||||
May 2020 | 75 | 19 | 4 | 2 | 1 | * | * | |||||||||||||||||||||
May 2021 | 70 | 16 | 3 | 1 | * | * | * | |||||||||||||||||||||
May 2022 | 65 | 13 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2023 | 59 | 11 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2024 | 53 | 9 | 1 | * | * | * | * | |||||||||||||||||||||
May 2025 | 47 | 7 | 1 | * | * | * | * | |||||||||||||||||||||
May 2026 | 40 | 5 | 1 | * | * | * | * | |||||||||||||||||||||
May 2027 | 33 | 4 | * | * | * | * | * | |||||||||||||||||||||
May 2028 | 25 | 3 | * | * | * | * | * | |||||||||||||||||||||
May 2029 | 19 | 2 | * | * | * | * | * | |||||||||||||||||||||
May 2030 | 12 | 1 | * | * | * | * | * | |||||||||||||||||||||
May 2031 | 7 | 1 | * | * | * | * | * | |||||||||||||||||||||
May 2032 | 4 | * | * | * | * | * | * | |||||||||||||||||||||
May 2033 | 1 | * | * | * | * | * | * | |||||||||||||||||||||
May 2034 | * | * | * | * | * | * | 0 | |||||||||||||||||||||
May 2035 | * | * | * | * | * | 0 | 0 | |||||||||||||||||||||
May 2036 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
May 2037 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Weighted Average Life in Years to maturity | 16.91 | 7.53 | 4.23 | 3.36 | 2.74 | 1.93 | 1.43 |
* | Indicates a value between 0.0% and 0.5%. |
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Outstanding at the Following Percentages of CPR
Class 2A-A1 Certificates | ||||||||||||||||||||||||||||
Distribution Date | 0% | 10% | 20% | 25% | 30% | 40% | 50% | |||||||||||||||||||||
Initial Percentage | 100 | 100 | 100 | 100 | 100 | 100 | 100 | |||||||||||||||||||||
May 2008 | 100 | 89 | 79 | 74 | 69 | 58 | 48 | |||||||||||||||||||||
May 2009 | 100 | 80 | 62 | 54 | 47 | 34 | 23 | |||||||||||||||||||||
May 2010 | 100 | 72 | 49 | 40 | 32 | 20 | 11 | |||||||||||||||||||||
May 2011 | 99 | 64 | 39 | 30 | 22 | 12 | 5 | |||||||||||||||||||||
May 2012 | 99 | 57 | 31 | 22 | 16 | 7 | 3 | |||||||||||||||||||||
May 2013 | 99 | 51 | 25 | 17 | 11 | 4 | 1 | |||||||||||||||||||||
May 2014 | 98 | 45 | 20 | 12 | 8 | 3 | 1 | |||||||||||||||||||||
May 2015 | 97 | 40 | 16 | 9 | 5 | 1 | * | |||||||||||||||||||||
May 2016 | 97 | 36 | 12 | 7 | 4 | 1 | * | |||||||||||||||||||||
May 2017 | 96 | 32 | 10 | 5 | 3 | 1 | * | |||||||||||||||||||||
May 2018 | 94 | 28 | 8 | 4 | 2 | * | * | |||||||||||||||||||||
May 2019 | 91 | 25 | 6 | 3 | 1 | * | * | |||||||||||||||||||||
May 2020 | 89 | 22 | 5 | 2 | 1 | * | * | |||||||||||||||||||||
May 2021 | 86 | 19 | 4 | 1 | 1 | * | * | |||||||||||||||||||||
May 2022 | 83 | 16 | 3 | 1 | * | * | * | |||||||||||||||||||||
May 2023 | 80 | 14 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2024 | 77 | 12 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2025 | 73 | 10 | 1 | * | * | * | * | |||||||||||||||||||||
May 2026 | 69 | 9 | 1 | * | * | * | * | |||||||||||||||||||||
May 2027 | 65 | 8 | 1 | * | * | * | * | |||||||||||||||||||||
May 2028 | 60 | 6 | 1 | * | * | * | * | |||||||||||||||||||||
May 2029 | 55 | 5 | * | * | * | * | * | |||||||||||||||||||||
May 2030 | 50 | 4 | * | * | * | * | * | |||||||||||||||||||||
May 2031 | 44 | 3 | * | * | * | * | * | |||||||||||||||||||||
May 2032 | 38 | 3 | * | * | * | * | * | |||||||||||||||||||||
May 2033 | 31 | 2 | * | * | * | * | * | |||||||||||||||||||||
May 2034 | 24 | 1 | * | * | * | * | * | |||||||||||||||||||||
May 2035 | 16 | 1 | * | * | * | * | * | |||||||||||||||||||||
May 2036 | 8 | * | * | * | * | * | * | |||||||||||||||||||||
May 2037 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Weighted Average Life in Years to maturity | 21.69 | 8.06 | 4.27 | 3.35 | 2.71 | 1.89 | 1.39 |
* | Indicates a value between 0.0% and 0.5%. |
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Outstanding at the Following Percentages of CPR
Class 2B-A1 Certificates | ||||||||||||||||||||||||||||
Distribution Date | 0% | 10% | 20% | 25% | 30% | 40% | 50% | |||||||||||||||||||||
Initial Percentage | 100 | 100 | 100 | 100 | 100 | 100 | 100 | |||||||||||||||||||||
May 2008 | 100 | 89 | 79 | 74 | 69 | 58 | 48 | |||||||||||||||||||||
May 2009 | 100 | 80 | 62 | 54 | 47 | 34 | 23 | |||||||||||||||||||||
May 2010 | 100 | 72 | 49 | 40 | 32 | 20 | 11 | |||||||||||||||||||||
May 2011 | 100 | 64 | 39 | 30 | 22 | 12 | 5 | |||||||||||||||||||||
May 2012 | 99 | 57 | 31 | 22 | 16 | 7 | 3 | |||||||||||||||||||||
May 2013 | 99 | 51 | 25 | 17 | 11 | 4 | 1 | |||||||||||||||||||||
May 2014 | 99 | 45 | 20 | 13 | 8 | 3 | 1 | |||||||||||||||||||||
May 2015 | 99 | 41 | 16 | 9 | 5 | 2 | * | |||||||||||||||||||||
May 2016 | 99 | 37 | 13 | 7 | 4 | 1 | * | |||||||||||||||||||||
May 2017 | 98 | 33 | 10 | 5 | 3 | 1 | * | |||||||||||||||||||||
May 2018 | 96 | 29 | 8 | 4 | 2 | * | * | |||||||||||||||||||||
May 2019 | 94 | 25 | 6 | 3 | 1 | * | * | |||||||||||||||||||||
May 2020 | 91 | 22 | 5 | 2 | 1 | * | * | |||||||||||||||||||||
May 2021 | 89 | 19 | 4 | 2 | 1 | * | * | |||||||||||||||||||||
May 2022 | 86 | 17 | 3 | 1 | * | * | * | |||||||||||||||||||||
May 2023 | 82 | 15 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2024 | 79 | 13 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2025 | 75 | 11 | 1 | * | * | * | * | |||||||||||||||||||||
May 2026 | 71 | 9 | 1 | * | * | * | * | |||||||||||||||||||||
May 2027 | 67 | 8 | 1 | * | * | * | * | |||||||||||||||||||||
May 2028 | 62 | 7 | 1 | * | * | * | * | |||||||||||||||||||||
May 2029 | 57 | 5 | * | * | * | * | * | |||||||||||||||||||||
May 2030 | 52 | 4 | * | * | * | * | * | |||||||||||||||||||||
May 2031 | 46 | 3 | * | * | * | * | * | |||||||||||||||||||||
May 2032 | 39 | 3 | * | * | * | * | * | |||||||||||||||||||||
May 2033 | 32 | 2 | * | * | * | * | * | |||||||||||||||||||||
May 2034 | 25 | 1 | * | * | * | * | * | |||||||||||||||||||||
May 2035 | 17 | 1 | * | * | * | * | * | |||||||||||||||||||||
May 2036 | 8 | * | * | * | * | * | * | |||||||||||||||||||||
May 2037 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Weighted Average Life in Years to maturity | 22.15 | 8.16 | 4.29 | 3.36 | 2.72 | 1.89 | 1.39 |
* | Indicates a value between 0.0% and 0.5%. |
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Outstanding at the Following Percentages of CPR
Class 1-B1, Class 1-B2 and Class 1-B3 Certificates | ||||||||||||||||||||||||||||
Distribution Date | 0% | 10% | 20% | 25% | 30% | 40% | 50% | |||||||||||||||||||||
Initial Percentage | 100 | 100 | 100 | 100 | 100 | 100 | 100 | |||||||||||||||||||||
May 2008 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | |||||||||||||||||||||
May 2009 | 100 | 100 | 100 | 100 | 100 | 86 | 71 | |||||||||||||||||||||
May 2010 | 99 | 99 | 99 | 91 | 83 | 66 | 50 | |||||||||||||||||||||
May 2011 | 99 | 99 | 82 | 68 | 58 | 40 | 25 | |||||||||||||||||||||
May 2012 | 98 | 98 | 65 | 51 | 40 | 24 | 12 | |||||||||||||||||||||
May 2013 | 98 | 98 | 52 | 38 | 28 | 14 | 6 | |||||||||||||||||||||
May 2014 | 97 | 92 | 41 | 28 | 19 | 8 | 3 | |||||||||||||||||||||
May 2015 | 95 | 82 | 32 | 21 | 13 | 5 | 1 | |||||||||||||||||||||
May 2016 | 92 | 71 | 25 | 15 | 9 | 3 | 1 | |||||||||||||||||||||
May 2017 | 88 | 61 | 19 | 11 | 6 | 2 | * | |||||||||||||||||||||
May 2018 | 84 | 53 | 15 | 8 | 4 | 1 | * | |||||||||||||||||||||
May 2019 | 80 | 45 | 11 | 5 | 3 | 1 | * | |||||||||||||||||||||
May 2020 | 75 | 38 | 8 | 4 | 2 | * | * | |||||||||||||||||||||
May 2021 | 70 | 32 | 6 | 3 | 1 | * | * | |||||||||||||||||||||
May 2022 | 65 | 27 | 5 | 2 | 1 | * | * | |||||||||||||||||||||
May 2023 | 59 | 22 | 3 | 1 | * | * | * | |||||||||||||||||||||
May 2024 | 53 | 18 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2025 | 47 | 14 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2026 | 40 | 11 | 1 | * | * | * | * | |||||||||||||||||||||
May 2027 | 33 | 8 | 1 | * | * | * | * | |||||||||||||||||||||
May 2028 | 25 | 6 | * | * | * | * | * | |||||||||||||||||||||
May 2029 | 19 | 4 | * | * | * | * | * | |||||||||||||||||||||
May 2030 | 12 | 2 | * | * | * | * | * | |||||||||||||||||||||
May 2031 | 7 | 1 | * | * | * | * | * | |||||||||||||||||||||
May 2032 | 4 | 1 | * | * | * | * | * | |||||||||||||||||||||
May 2033 | 1 | * | * | * | * | * | 0 | |||||||||||||||||||||
May 2034 | * | * | * | * | * | 0 | 0 | |||||||||||||||||||||
May 2035 | * | * | * | * | * | 0 | 0 | |||||||||||||||||||||
May 2036 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
May 2037 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Weighted Average Life in Years to maturity | 16.91 | 12.34 | 7.23 | 6.00 | 5.18 | 4.02 | 3.19 |
* | Indicates a value between 0.0% and 0.5%. |
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Outstanding at the Following Percentages of CPR
Class 2-B1, Class 2-B2 and Class 2-B3 Certificates | ||||||||||||||||||||||||||||
Distribution Date | 0% | 10% | 20% | 25% | 30% | 40% | 50% | |||||||||||||||||||||
Initial Percentage | 100 | 100 | 100 | 100 | 100 | 100 | 100 | |||||||||||||||||||||
May 2008 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | |||||||||||||||||||||
May 2009 | 100 | 100 | 100 | 100 | 100 | 86 | 73 | |||||||||||||||||||||
May 2010 | 100 | 100 | 100 | 92 | 83 | 67 | 52 | |||||||||||||||||||||
May 2011 | 100 | 100 | 83 | 69 | 58 | 40 | 26 | |||||||||||||||||||||
May 2012 | 99 | 99 | 66 | 51 | 41 | 24 | 13 | |||||||||||||||||||||
May 2013 | 99 | 99 | 53 | 38 | 28 | 14 | 6 | |||||||||||||||||||||
May 2014 | 99 | 94 | 42 | 29 | 20 | 9 | 3 | |||||||||||||||||||||
May 2015 | 98 | 85 | 33 | 21 | 14 | 5 | 2 | |||||||||||||||||||||
May 2016 | 98 | 76 | 27 | 16 | 10 | 3 | 1 | |||||||||||||||||||||
May 2017 | 97 | 68 | 21 | 12 | 7 | 2 | * | |||||||||||||||||||||
May 2018 | 95 | 59 | 16 | 9 | 5 | 1 | * | |||||||||||||||||||||
May 2019 | 92 | 52 | 13 | 6 | 3 | 1 | * | |||||||||||||||||||||
May 2020 | 90 | 46 | 10 | 5 | 2 | * | * | |||||||||||||||||||||
May 2021 | 87 | 40 | 8 | 3 | 1 | * | * | |||||||||||||||||||||
May 2022 | 84 | 35 | 6 | 2 | 1 | * | * | |||||||||||||||||||||
May 2023 | 81 | 30 | 5 | 2 | 1 | * | * | |||||||||||||||||||||
May 2024 | 78 | 26 | 4 | 1 | * | * | * | |||||||||||||||||||||
May 2025 | 74 | 22 | 3 | 1 | * | * | * | |||||||||||||||||||||
May 2026 | 70 | 19 | 2 | 1 | * | * | * | |||||||||||||||||||||
May 2027 | 66 | 16 | 2 | * | * | * | * | |||||||||||||||||||||
May 2028 | 61 | 13 | 1 | * | * | * | * | |||||||||||||||||||||
May 2029 | 56 | 11 | 1 | * | * | * | * | |||||||||||||||||||||
May 2030 | 51 | 9 | 1 | * | * | * | * | |||||||||||||||||||||
May 2031 | 45 | 7 | * | * | * | * | * | |||||||||||||||||||||
May 2032 | 38 | 6 | * | * | * | * | * | |||||||||||||||||||||
May 2033 | 32 | 4 | * | * | * | * | * | |||||||||||||||||||||
May 2034 | 24 | 3 | * | * | * | * | * | |||||||||||||||||||||
May 2035 | 16 | 2 | * | * | * | * | * | |||||||||||||||||||||
May 2036 | 8 | 1 | * | * | * | * | 0 | |||||||||||||||||||||
May 2037 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Weighted Average Life in Years to maturity | 21.89 | 13.73 | 7.47 | 6.12 | 5.25 | 4.05 | 3.26 |
* | Indicates a value between 0.0% and 0.5%. |
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(Priced to Maturity)
Percentage of CPR | ||||||||||||||||||||||||||||||||
Assumed | ||||||||||||||||||||||||||||||||
Purchase Price (%)* | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 50% |
* | The price shown does not include accrued interest. Accrued interest has been added to such price for calculating the yields set forth in the table above. |
(Priced to Maturity)
Percentage of CPR | ||||||||||||||||||||||||||||||||
Assumed | ||||||||||||||||||||||||||||||||
Purchase Price (%)* | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 50% |
* | The price shown does not include accrued interest. Accrued interest has been added to such price for calculating the yields set forth in the table above. |
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S-139
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S-140
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S-141
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S-142
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S-143
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• | the acquisition, holding and sale by Plans of certain securities issued by a trust with respect to which Merrill Lynch, Pierce, Fenner & Smith Incorporated and Bank of America Securities LLC or any of their affiliates is the sole underwriter or the manager or co-manager of the underwriting syndicate, and | ||
• | the servicing, operation and management of such trusts, |
• | The acquisition of the Offered Certificates by a Plan is on terms (including the price for the Certificates) that are at least as favorable to the Plan as they would be in an arm’s length transaction with an unrelated party. |
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• | The Offered Certificates acquired by the Plan have received a rating at the time of such acquisition that is one of the four highest generic rating categories from a rating agency identified in the exemption, such as DBRS Limited, DBRS, Inc., Fitch Ratings, Moody’s Investors Service, Inc. or S&P. | ||
• | The Trustee must not be an affiliate of any other member of the “restricted group” (defined below in the second following paragraph), other than the Underwriters. | ||
• | The sum of all payments made to and retained by the Underwriters in connection with the distribution of the Offered Certificates represents not more than reasonable compensation for Underwriting the Offered Certificates; the sum of all payments made to and retained by the Seller and the Depositor pursuant to the assignment of the trust assets to the Issuing Entity represents not more than the fair market value of such assets; the sum of all payments made to and retained by any Servicer represents not more than reasonable compensation for the Servicer’s services under the related Servicing Agreement and reimbursements of such person’s reasonable expenses in connection therewith. | ||
• | The Plan investing in the Offered Certificates is an “accredited investor” as defined in Rule 501(a)(1) of Regulation D of the SEC under the Securities Act of 1933. | ||
• | The Issuing Entity must also meet each of the requirements listed below: | ||
• | Assets of the Issuing Entity must consist solely of assets of the type that have been included in other investment pools. | ||
• | Certificates representing beneficial ownership in such other investment pools must have been rated in one of the four highest generic rating categories by a rating agency for at least one year prior to the Plan’s acquisition of Offered Certificates. | ||
• | Certificates evidencing beneficial ownership in such other investment pools must have been purchased by investors other than Plans for at least one year prior to any Plan’s acquisition of Offered Certificates. |
• | in the case of an acquisition in connection with the initial issuance of Certificates, at least 50% of each class of Certificates in which Plans have invested and at least 50% of the aggregate interests in the trust is acquired by persons independent of the restricted group; |
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• | such fiduciary (or its affiliate) is an obligor with respect to not more than 5% of the fair market value of the obligations contained in the trust; | ||
• | the Plan’s investment in Offered Certificates of any class does not exceed 25% of all of the Certificates of that class outstanding at the time of the acquisition; and | ||
• | immediately after the acquisition, no more than 25% of the assets of any Plan with respect to which such person is a fiduciary are invested in securities representing indebtedness of one or more issuers containing assets sold or serviced by the same entity. |
• | a representation from the acquiror or transferee of the Class 1-AR or Class 2-AR Certificate to the effect that the transferee is not an employee benefit plan subject to section 406 of ERISA or a plan or arrangement subject to section 4975 of the Code, nor a person acting on behalf of any such plan or arrangement nor using the assets of any such plan or arrangement to effect such transfer, or | ||
• | if the purchaser is an insurance company, a representation that the purchaser is an insurance company which is purchasing the Class 1-AR or Class 2-AR Certificate with funds contained in an “insurance company general account” (as such term is defined in Section V(e) of PTCE |
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95-60) and that the purchase and holding of the Class 1-AR or Class 2-AR Certificate are covered under Sections I and III of PTCE 95-60 or | |||
• | an opinion of counsel satisfactory to the certificate registrar to the effect that the purchase and holding of such a Certificate by the acquirer or transferee will not constitute or result in prohibited transactions under Title I of ERISA or Section 4975 of the Code and will not subject the certificate registrar, the Trustee, the Master Servicer, the Depositor or the Securities Administrator to any obligation in addition to those undertaken in the Pooling and Servicing Agreement. |
Merrill Lynch, Pierce, | ||||
Fenner & Smith | Banc of America | |||
Class | Incorporated | Securities LLC | ||
1-A1 | ||||
1-AR | ||||
1-XA | ||||
1-XB | ||||
1-B1 | ||||
1-B2 | ||||
1-B3 | ||||
2A-A1 | ||||
2B-A1 | ||||
2-AR | ||||
2-B1 | ||||
2-B2 | ||||
2-B3 |
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page S-1.
S-148
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S-149
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1-A1 Margin | S-48 | |||
1-B1 Margin | S-48 | |||
1-B2 Margin | S-48 | |||
Accrual Period | S-45 | |||
Additional Collateral | S-34 | |||
Additional Collateral Loans | S-34 | |||
Aggregate Subordinate Percentage | S-53 | |||
Agreements | S-106 | |||
AmNet | S-32 | |||
Applicable Credit Support Percentage | S-58 | |||
Apportioned Principal Balance | S-47 | |||
Available Distribution Amount | S-44 | |||
BBA | S-51 | |||
BBAM | S-51 | |||
Beneficial Owner | S-39 | |||
Book-Entry Certificates | S-39 | |||
Business Day | S-38 | |||
CBE | S-138 | |||
Certificate Distribution Account | S-43 | |||
Certificate Distribution Amount | S-43 | |||
Certificate Group | S-38 | |||
Certificate Interest Rate | S-48 | |||
Certificate Principal Amount | S-45 | |||
Certificateholder | S-39 | |||
Class 1-XA Sub Account | S-50 | |||
Class 1-XB Sub Account | S-50 | |||
Class Notional Amount | S-46 | |||
Class Principal Amount | S-45 | |||
Class Subordination Percentage | S-58 | |||
Clearstream Luxembourg | S-39 | |||
Clearstream Luxembourg Participants | S-41 | |||
Closing Date | S-31 | |||
Code | S-141 | |||
Collection Account | S-43 | |||
contract underwriters | S-82 | |||
Correspondents | S-80 | |||
CPB | S-127 | |||
CPR | S-127 | |||
Current Interest | S-45 | |||
Custodial Agreement | S-106 | |||
Custodian | S-106 | |||
Cut-off Date | S-31 | |||
Defective Mortgage Loan | S-106 | |||
Deficient Valuation | S-67 | |||
Definitive Certificates | S-39 | |||
Delegated Underwriting | S-81 | |||
Deleted Mortgage Loan | S-107 | |||
Depositor | S-70 | |||
Designated Telerate Page | S-51 | |||
Distribution Date | S-38 | |||
DTC | S-39 | |||
DTI | S-74 | |||
Due Date | S-33 | |||
Due Period | S-47 | |||
Effective Loan-to-Value Ratio | S-34 | |||
ERISA | S-143 | |||
Euroclear | S-39 | |||
Euroclear Operator | S-41 | |||
Euroclear Participants | S-41 | |||
European Depositaries | S-39 | |||
Event of Default | S-116 | |||
Expense Rate | S-46 | |||
FICO Score | S-82 | |||
Final Regulations | S-142 | |||
Financial Intermediary | S-39 | |||
First Lien Home Mortgage Loans | S-80 | |||
First Republic | S-32 | |||
Fitch | S-148 | |||
FlexSourceTM Loans | S-34 | |||
FlexSource™ Loans | S-79 | |||
GMAC | S-89 | |||
GMACM | S-87 | |||
GreenPoint | S-32 | |||
Group 1 Certificates | S-37 | |||
Group 1 Senior Certificates | S-37 | |||
Group 1 Senior Prepayment Percentage | S-54 | |||
Group 1 Step-Down Test | S-54 | |||
Group 1 Step-Up Date | S-114 | |||
Group 1 Subordinate Certificates | S-37 | |||
Group 1 Two Times Test | S-55 |
I-1
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Group 2 Certificates | S-37 | |||
Group 2 Credit Support Depletion Date | S-64 | |||
Group 2 Senior Prepayment Percentage | S-56 | |||
Group 2 Step-Down Test | S-56 | |||
Group 2 Subordinate Certificates | S-37 | |||
Group 2 Two Times Test | S-57 | |||
Group 2A Senior Certificates | S-37 | |||
Group 2B Senior Certificates | S-37 | |||
Home Asset ManagementSM Account Loan | S-84 | |||
Insurance Proceeds | S-44 | |||
Interest Distribution Amount | S-45 | |||
Interest Only Certificates | S-37 | |||
Interest Rate Cap Agreements | S-140 | |||
Interest Shortfall | S-48 | |||
Interest Transfer Amount | S-66 | |||
Interest-Only Mortgage Loans | S-32 | |||
Issuing Entity | S-121 | |||
Joint Ventures | S-80 | |||
LIBOR Business Day | S-51 | |||
LIBOR Certificates | S-37 | |||
LIBOR01 | S-51 | |||
Limited Purpose Surety Bond | S-35 | |||
Liquidated Mortgage Loan | S-68 | |||
Liquidation Proceeds | S-44 | |||
Loan Stores | S-80 | |||
Loan-to-Value Ratio | S-34 | |||
LTV | S-74 | |||
Master Servicer | S-106 | |||
Master Servicing Fee | S-111 | |||
Master Servicing Fee Rate | S-111 | |||
MLCC | S-32 | |||
Monthly Advance | S-110 | |||
Moody’s | S-148 | |||
Mortgage | S-106 | |||
Mortgage 100® Loans | S-76 | |||
Mortgage File | S-107 | |||
Mortgage Loan Purchase Agreement | S-33 | |||
Mortgage Loans | S-31 | |||
Mortgage Pool | S-31 | |||
Mortgage Rate | S-46 | |||
Mortgage Score | S-82 | |||
Mortgaged Property | S-31 | |||
MSCC | S-32 | |||
Net Interest Shortfall | S-46 | |||
Net Mortgage Rate | S-46 | |||
Net Prepayment Interest Shortfalls | S-47 | |||
Net WAC Shortfall | S-49 | |||
Offered Certificates | S-37 | |||
OID | S-140 | |||
One-Month LIBOR | S-36 | |||
One-Month LIBOR Determination Date | S-51 | |||
One-Year CMT | S-36 | |||
One-Year LIBOR | S-36 | |||
Original Group 1 Subordinate Class Principal Amount | S-54 | |||
Original Group 2 Subordinate Class Principal Amount | S-56 | |||
Originators | S-32 | |||
Overcollateralized Group | S-65 | |||
Parent Power® Loans | S-76 | |||
Participant | S-40 | |||
Percentage Interest | S-120 | |||
PHH Mortgage | S-87 | |||
Plans | S-144 | |||
Pool 1 | S-31 | |||
Pool 1 Balance | S-53 | |||
Pool 2A | S-31 | |||
Pool 2A Balance | S-53 | |||
Pool 2B | S-31 | |||
Pool 2B Balance | S-53 | |||
Pool Balance | S-53 | |||
Pool Percentage | S-45 | |||
Pool Subordinate Amount | S-48 | |||
Pooling and Servicing Agreement | S-106 | |||
Prepayment Interest Shortfall | S-47 | |||
Prepayment Period | S-44 | |||
Prime 15-Year Fixed-Rate Loans | S-79 | |||
Prime 30-Year Fixed-Rate Non-Relocation Loans | S-79 | |||
Prime 30-Year Fixed-Rate Relocation Loans | S-79 | |||
Prime Adjustable-Rate Loans | S-79 | |||
Principal Balance | S-46 | |||
Principal Transfer Amount | S-66 | |||
Privately-Offered Certificates | S-37 | |||
PTCE | S-146 | |||
PTE | S-144 | |||
Rating Agencies | S-148 | |||
Realized Loss | S-67 | |||
Record Date | S-38 | |||
Relevant Depositary | S-39 | |||
Relief Act | S-47 | |||
Relief Act Reduction | S-47 | |||
Replacement Mortgage Loan | S-107 | |||
Required Reserve Fund Deposit | S-50 |
I-2
Table of Contents
ResCap | S-89 | |||
Reserve Fund | S-50 | |||
Residual Certificates | S-37 | |||
retention program | S-82 | |||
Rules | S-40 | |||
S&P | S-148 | |||
Scheduled Payment | S-52 | |||
Securities Administrator | S-106 | |||
Seller | S-69 | |||
Senior Certificates | S-37 | |||
Senior Percentage | S-53 | |||
Senior Prepayment Percentage | S-54 | |||
Senior Principal Distribution Amount | S-52 | |||
Senior Termination Date | S-53 | |||
Servicer | S-87 | |||
Servicer Remittance Date | S-43 | |||
Servicers | S-87 | |||
Servicing Agreement | S-109 | |||
Servicing Fee | S-111 | |||
Servicing Fee Rate | S-111 | |||
Six-Month CMT | S-36 | |||
Six-Month LIBOR | S-36 | |||
Sponsor | S-69 | |||
Statistical Calculation Date | S-31 | |||
Structuring Assumptions | S-127 | |||
Sub Account | S-50 | |||
Subordinate Certificate Writedown Amount | S-67 | |||
Subordinate Certificates | S-37 | |||
Subordinate Class Percentage | S-61 | |||
Subordinate Classes | S-37 | |||
Subordinate Net WAC | S-49 | |||
Subordinate Percentage | S-61 | |||
Subordinate Prepayment Percentage | S-61 | |||
Subordinate Principal Distribution Amount | S-58 | |||
Subsequent Recovery | S-68 | |||
Terms and Conditions | S-41 | |||
Total Transfer Amount | S-66 | |||
Trust Accounts | S-104 | |||
Trustee | S-106 | |||
Undercollateralized Group | S-65 | |||
Underwriters | S-147 | |||
VRU | S-100 | |||
Wells Fargo Bank | S-32 | |||
Yield Tables | S-138 |
I-3
Table of Contents
TAX DOCUMENTATION PROCEDURES
S-A-1
Table of Contents
S-A-2
Table of Contents
S-A-3
Table of Contents
S-A-4
Table of Contents
S-A-5
Table of Contents
S-B-1
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||||||
Original | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||||||
Stated Principal Balances ($) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||||||
0.01 | — | 50,000.00 | 8 | $ | 323,668.93 | 0.05 | % | $ | 40,458.62 | 717 | 7.161 | % | 50.74 | % | ||||||||||||||||||||||||||
50,000.01 | — | 100,000.00 | 130 | 9,419,294.74 | 1.44 | 72,456.11 | 729 | 7.076 | 58.68 | |||||||||||||||||||||||||||||||
100,000.01 | — | 150,000.00 | 177 | 19,887,686.46 | 3.04 | 112,359.81 | 715 | 7.071 | 66.00 | |||||||||||||||||||||||||||||||
150,000.01 | — | 200,000.00 | 193 | 31,049,661.64 | 4.75 | 160,879.08 | 723 | 7.026 | 67.73 | |||||||||||||||||||||||||||||||
200,000.01 | — | 250,000.00 | 152 | 32,379,683.10 | 4.95 | 213,024.23 | 728 | 6.975 | 67.91 | |||||||||||||||||||||||||||||||
250,000.01 | — | 300,000.00 | 146 | 37,191,945.39 | 5.69 | 254,739.35 | 735 | 6.967 | 67.13 | |||||||||||||||||||||||||||||||
300,000.01 | — | 350,000.00 | 109 | 33,224,532.71 | 5.08 | 304,812.23 | 728 | 6.918 | 66.82 | |||||||||||||||||||||||||||||||
350,000.01 | — | 400,000.00 | 72 | 24,892,376.76 | 3.81 | 345,727.46 | 710 | 6.968 | 67.67 | |||||||||||||||||||||||||||||||
400,000.01 | — | 450,000.00 | 78 | 31,921,773.20 | 4.88 | 409,253.50 | 732 | 6.957 | 64.34 | |||||||||||||||||||||||||||||||
450,000.01 | — | 500,000.00 | 75 | 31,904,566.63 | 4.88 | 425,394.22 | 734 | 6.921 | 63.58 | |||||||||||||||||||||||||||||||
500,000.01 | — | 550,000.00 | 45 | 22,650,945.93 | 3.46 | 503,354.35 | 739 | 6.803 | 69.81 | |||||||||||||||||||||||||||||||
550,000.01 | — | 600,000.00 | 38 | 20,632,699.38 | 3.16 | 542,965.77 | 725 | 6.869 | 60.03 | |||||||||||||||||||||||||||||||
600,000.01 | — | 650,000.00 | 47 | 26,824,697.26 | 4.10 | 570,738.24 | 738 | 6.847 | 67.71 | |||||||||||||||||||||||||||||||
650,000.01 | — | 700,000.00 | 25 | 14,916,882.42 | 2.28 | 596,675.30 | 731 | 6.791 | 60.88 | |||||||||||||||||||||||||||||||
700,000.01 | — | 750,000.00 | 21 | 15,066,126.74 | 2.30 | 717,434.61 | 733 | 6.761 | 62.94 | |||||||||||||||||||||||||||||||
750,000.01 | — | 800,000.00 | 16 | 11,136,868.90 | 1.70 | 696,054.31 | 723 | 6.833 | 70.59 | |||||||||||||||||||||||||||||||
800,000.01 | — | 850,000.00 | 13 | 9,975,000.58 | 1.53 | 767,307.74 | 759 | 6.839 | 53.83 | |||||||||||||||||||||||||||||||
850,000.01 | — | 900,000.00 | 20 | 15,066,360.38 | 2.30 | 753,318.02 | 762 | 6.717 | 75.16 | |||||||||||||||||||||||||||||||
900,000.01 | — | 950,000.00 | 12 | 9,695,499.23 | 1.48 | 807,958.27 | 757 | 6.868 | 62.53 | |||||||||||||||||||||||||||||||
950,000.01 | — | 1,000,000.00 | 53 | 50,063,967.98 | 7.66 | 944,603.17 | 738 | 6.788 | 50.98 | |||||||||||||||||||||||||||||||
1,000,000.01 | — | 1,500,000.00 | 78 | 85,394,074.32 | 13.06 | 1,094,795.82 | 739 | 6.798 | 63.33 | |||||||||||||||||||||||||||||||
1,500,000.01 | — | 2,000,000.00 | 29 | 45,207,258.18 | 6.91 | 1,558,870.97 | 756 | 6.768 | 59.69 | |||||||||||||||||||||||||||||||
2,000,000.01 | — | 2,500,000.00 | 13 | 25,381,754.92 | 3.88 | 1,952,442.69 | 748 | 6.726 | 64.82 | |||||||||||||||||||||||||||||||
2,500,000.01 | — | 3,000,000.00 | 9 | 22,675,239.13 | 3.47 | 2,519,471.01 | 770 | 7.011 | 52.85 | |||||||||||||||||||||||||||||||
3,000,000.01 | or Greater | 5 | 26,917,000.00 | 4.12 | 5,383,400.00 | 725 | 6.873 | 40.37 | ||||||||||||||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the average original stated principal balance of the Pool 1 Mortgage Loans at origination is approximately $458,026. |
S-B-1
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||||||
Statistical Calculation Date | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||||||
Stated Principal Balances ($) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||||||
0.01 | — | 50,000.00 | 49 | $ | 1,619,558.96 | 0.25 | % | $ | 33,052.22 | 755 | 7.111 | % | 51.80 | % | ||||||||||||||||||||||||||
50,000.01 | — | 100,000.00 | 157 | 12,522,615.80 | 1.92 | 79,761.88 | 740 | 7.076 | 58.22 | |||||||||||||||||||||||||||||||
100,000.01 | — | 150,000.00 | 182 | 22,737,864.74 | 3.48 | 124,933.32 | 722 | 7.072 | 66.92 | |||||||||||||||||||||||||||||||
150,000.01 | — | 200,000.00 | 200 | 35,372,193.05 | 5.41 | 176,860.97 | 727 | 7.010 | 67.23 | |||||||||||||||||||||||||||||||
200,000.01 | — | 250,000.00 | 140 | 31,755,910.01 | 4.86 | 226,827.93 | 726 | 6.979 | 67.61 | |||||||||||||||||||||||||||||||
250,000.01 | — | 300,000.00 | 145 | 39,965,820.62 | 6.11 | 275,626.35 | 734 | 6.956 | 66.12 | |||||||||||||||||||||||||||||||
300,000.01 | — | 350,000.00 | 99 | 32,358,586.46 | 4.95 | 326,854.41 | 725 | 6.877 | 66.48 | |||||||||||||||||||||||||||||||
350,000.01 | — | 400,000.00 | 66 | 24,891,450.59 | 3.81 | 377,143.19 | 715 | 7.035 | 65.95 | |||||||||||||||||||||||||||||||
400,000.01 | — | 450,000.00 | 74 | 31,468,686.74 | 4.81 | 425,252.52 | 733 | 6.945 | 66.76 | |||||||||||||||||||||||||||||||
450,000.01 | — | 500,000.00 | 65 | 31,159,984.74 | 4.77 | 479,384.38 | 733 | 6.909 | 63.82 | |||||||||||||||||||||||||||||||
500,000.01 | — | 550,000.00 | 41 | 21,648,776.17 | 3.31 | 528,018.93 | 736 | 6.789 | 70.21 | |||||||||||||||||||||||||||||||
550,000.01 | — | 600,000.00 | 43 | 25,007,067.50 | 3.82 | 581,559.71 | 725 | 6.895 | 60.86 | |||||||||||||||||||||||||||||||
600,000.01 | — | 650,000.00 | 40 | 25,064,014.06 | 3.83 | 626,600.35 | 743 | 6.821 | 69.15 | |||||||||||||||||||||||||||||||
650,000.01 | — | 700,000.00 | 20 | 13,645,868.56 | 2.09 | 682,293.43 | 725 | 6.845 | 59.25 | |||||||||||||||||||||||||||||||
700,000.01 | — | 750,000.00 | 23 | 16,805,569.33 | 2.57 | 730,676.93 | 741 | 6.744 | 63.82 | |||||||||||||||||||||||||||||||
750,000.01 | — | 800,000.00 | 15 | 11,653,545.65 | 1.78 | 776,903.04 | 725 | 6.804 | 70.26 | |||||||||||||||||||||||||||||||
800,000.01 | — | 850,000.00 | 12 | 9,913,708.88 | 1.52 | 826,142.41 | 752 | 6.854 | 55.94 | |||||||||||||||||||||||||||||||
850,000.01 | — | 900,000.00 | 18 | 15,878,950.89 | 2.43 | 882,163.94 | 768 | 6.680 | 73.82 | |||||||||||||||||||||||||||||||
900,000.01 | — | 950,000.00 | 11 | 10,189,599.92 | 1.56 | 926,327.27 | 741 | 6.862 | 54.19 | |||||||||||||||||||||||||||||||
950,000.01 | — | 1,000,000.00 | 53 | 52,570,514.66 | 8.04 | 991,896.50 | 739 | 6.807 | 52.84 | |||||||||||||||||||||||||||||||
1,000,000.01 | — | 1,500,000.00 | 68 | 80,442,122.70 | 12.30 | 1,182,972.39 | 740 | 6.782 | 64.12 | |||||||||||||||||||||||||||||||
1,500,000.01 | — | 2,000,000.00 | 24 | 44,059,622.10 | 6.74 | 1,835,817.59 | 752 | 6.729 | 57.69 | |||||||||||||||||||||||||||||||
2,000,000.01 | — | 2,500,000.00 | 7 | 16,272,999.90 | 2.49 | 2,324,714.27 | 756 | 6.737 | 63.49 | |||||||||||||||||||||||||||||||
2,500,000.01 | — | 3,000,000.00 | 7 | 19,877,532.88 | 3.04 | 2,839,647.55 | 770 | 7.030 | 54.13 | |||||||||||||||||||||||||||||||
3,000,000.00 | or Greater | 5 | 26,917,000.00 | 4.12 | 5,383,400.00 | 725 | 6.873 | 40.37 | ||||||||||||||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the average stated principal balance of the Pool 1 Mortgage Loans is approximately $418,030. |
S-B-2
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
5.251 — 5.500 | 1 | $ | 1,100,000.00 | 0.17 | % | $ | 1,100,000.00 | 741 | 5.375 | % | 75.86 | % | ||||||||||||||||
5.501 — 5.750 | 7 | 5,216,657.27 | 0.80 | 745,236.75 | 761 | 5.750 | 50.69 | |||||||||||||||||||||
5.751 — 6.000 | 9 | 8,068,561.45 | 1.23 | 896,506.83 | 765 | 5.973 | 56.79 | |||||||||||||||||||||
6.001 — 6.250 | 161 | 90,242,019.81 | 13.80 | 560,509.44 | 758 | 6.230 | 56.67 | |||||||||||||||||||||
6.251 — 6.500 | 66 | 40,113,490.61 | 6.14 | 607,780.16 | 753 | 6.406 | 69.02 | |||||||||||||||||||||
6.501 — 6.750 | 169 | 85,586,918.16 | 13.09 | 506,431.47 | 752 | 6.652 | 56.62 | |||||||||||||||||||||
6.751 — 7.000 | 541 | 208,240,066.94 | 31.85 | 384,916.94 | 730 | 6.932 | 63.91 | |||||||||||||||||||||
7.001 — 7.250 | 291 | 95,050,957.00 | 14.54 | 326,635.59 | 728 | 7.173 | 65.25 | |||||||||||||||||||||
7.251 — 7.500 | 269 | 96,828,226.48 | 14.81 | 359,956.23 | 713 | 7.418 | 63.35 | |||||||||||||||||||||
7.501 — 7.750 | 47 | 22,781,040.66 | 3.48 | 484,702.99 | 699 | 7.631 | 70.22 | |||||||||||||||||||||
7.751 — 8.000 | 3 | 571,626.53 | 0.09 | 190,542.18 | 800 | 7.978 | 58.79 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average Mortgage Rate of the Pool 1 Mortgage Loans is approximately 6.875% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
121 — 180 | 18 | $ | 6,689,476.55 | 1.02 | % | $ | 371,637.59 | 726 | 7.164 | % | 73.27 | % | ||||||||||||||||
181 — 240 | 40 | 11,130,948.51 | 1.70 | 278,273.71 | 670 | 7.170 | 71.94 | |||||||||||||||||||||
241 — 300 | 953 | 400,867,777.69 | 61.31 | 420,637.75 | 740 | 6.720 | 62.94 | |||||||||||||||||||||
301 — 360 | 553 | 235,111,362.16 | 35.96 | 425,156.17 | 730 | 7.117 | 60.78 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Cut-off Date, the weighted average remaining term of the Pool 1 Mortgage Loans is approximately 288 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
300 | 973 | $ | 405,155,331.57 | 61.97 | % | $ | 416,398.08 | 738 | 6.718 | % | 63.28 | % | ||||||||||||||||
360 | 591 | 248,644,233.34 | 38.03 | 420,717.82 | 729 | 7.129 | 61.03 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
S-B-3
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||||||
Seasoning | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||||||
(in months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||||||
1 | — | 12 | 377 | $ | 212,997,570.36 | 32.58 | % | $ | 564,980.29 | 755 | 6.420 | % | 58.27 | % | ||||||||||||||||||||||||||
13 | — | 24 | 68 | 28,300,586.42 | 4.33 | 416,185.09 | 736 | 6.868 | 66.81 | |||||||||||||||||||||||||||||||
25 | — | 36 | 30 | 24,119,578.05 | 3.69 | 803,985.94 | 743 | 7.321 | 59.16 | |||||||||||||||||||||||||||||||
37 | — | 48 | 318 | 156,872,605.90 | 23.99 | 493,310.08 | 716 | 7.103 | 59.55 | |||||||||||||||||||||||||||||||
49 | — | 60 | 708 | 211,474,310.27 | 32.35 | 298,692.53 | 729 | 7.073 | 67.72 | |||||||||||||||||||||||||||||||
61 | — | 72 | 45 | 13,345,437.36 | 2.04 | 296,565.27 | 688 | 7.364 | 69.65 | |||||||||||||||||||||||||||||||
121 | — | 132 | 2 | 170,634.86 | 0.03 | 85,317.43 | 635 | 7.682 | 84.36 | |||||||||||||||||||||||||||||||
133 | — | 144 | 9 | 3,276,238.19 | 0.50 | 364,026.47 | 764 | 7.189 | 81.67 | |||||||||||||||||||||||||||||||
145 | — | 156 | 4 | 1,194,209.22 | 0.18 | 298,552.31 | 692 | 7.219 | 75.05 | |||||||||||||||||||||||||||||||
157 | — | 168 | 3 | 2,048,394.28 | 0.31 | 682,798.09 | 687 | 7.049 | 57.87 | |||||||||||||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||||||||||||||
(1) | As of the Cut-off Date, the weighted average seasoning of the Pool 1 Mortgage Loans is approximately 35 months. |
Percent of | ||||||||||||||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||||||
Original Loan-to-Value | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||||||
Ratios (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||||||
0.01 | — | 10.00 | 3 | $ | 491,175.63 | 0.08 | % | $163,725.21 | 797 | 6.924 | % | 6.19 | % | |||||||||||||||||||||||||||
10.01 | — | 20.00 | 35 | 16,254,311.13 | 2.49 | 464,408.89 | 769 | 6.796 | 17.25 | |||||||||||||||||||||||||||||||
20.01 | — | 30.00 | 60 | 30,578,692.45 | 4.68 | 509,644.87 | 743 | 6.707 | 24.72 | |||||||||||||||||||||||||||||||
30.01 | — | 40.00 | 115 | 53,758,720.02 | 8.22 | 467,467.13 | 752 | 6.723 | 35.64 | |||||||||||||||||||||||||||||||
40.01 | — | 50.00 | 177 | 80,100,268.69 | 12.25 | 452,543.89 | 751 | 6.845 | 45.81 | |||||||||||||||||||||||||||||||
50.01 | — | 60.00 | 172 | 90,815,833.13 | 13.89 | 527,999.03 | 747 | 6.840 | 55.33 | |||||||||||||||||||||||||||||||
60.01 | — | 70.00 | 281 | 117,252,244.62 | 17.93 | 417,267.77 | 733 | 6.945 | 66.10 | |||||||||||||||||||||||||||||||
70.01 | — | 80.00 | 586 | 210,113,895.28 | 32.14 | 358,556.14 | 721 | 6.946 | 77.16 | |||||||||||||||||||||||||||||||
80.01 | — | 90.00 | 30 | 12,288,714.79 | 1.88 | 409,623.83 | 714 | 7.014 | 86.96 | |||||||||||||||||||||||||||||||
90.01 | — | 100.00 | 105 | 42,145,709.17 | 6.45 | 401,387.71 | 730 | 6.755 | 98.01 | |||||||||||||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average original Loan-to-Value Ratio of the Pool 1 Mortgage Loans is approximately 62.42%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
S-B-4
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||||||
Current Loan-to-Value | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||||||
Ratios (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||||||
0.01 | — | 10.00 | 32 | $ | 2,525,928.77 | 0.39 | % | $ | 78,935.27 | 772 | 6.948 | % | 30.21 | % | ||||||||||||||||||||||||||
10.01 | — | 20.00 | 77 | 22,801,325.63 | 3.49 2 | 96,121.11 | 766 | 6.844 | 24.48 | |||||||||||||||||||||||||||||||
20.01 | — | 30.00 | 82 | 38,506,387.12 | 5.89 4 | 69,590.09 | 743 | 6.768 | 31.41 | |||||||||||||||||||||||||||||||
30.01 | — | 40.00 | 147 | 70,945,665.06 | 10.85 4 | 82,623.57 | 754 | 6.762 | 42.19 | |||||||||||||||||||||||||||||||
40.01 | — | 50.00 | 170 | 84,633,861.14 | 12.94 4 | 97,846.24 | 753 | 6.821 | 48.59 | |||||||||||||||||||||||||||||||
50.01 | — | 60.00 | 177 | 79,791,658.22 | 12.20 4 | 50,800.33 | 743 | 6.870 | 57.74 | |||||||||||||||||||||||||||||||
60.01 | — | 70.00 | 275 | 123,001,905.35 | 18.81 4 | 47,279.66 | 732 | 6.932 | 68.64 | |||||||||||||||||||||||||||||||
70.01 | — | 80.00 | 486 | 186,501,982.95 | 28.53 3 | 83,748.94 | 718 | 6.942 | 77.72 | |||||||||||||||||||||||||||||||
80.01 | — | 90.00 | 40 | 14,110,991.77 | 2.16 3 | 52,774.79 | 728 | 7.095 | 90.67 | |||||||||||||||||||||||||||||||
90.01 | — | 100.00 | 78 | 30,979,858.90 | 4.74 3 | 97,177.68 | 720 | 6.702 | 98.02 | |||||||||||||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average current Loan-to-Value Ratio of the Pool 1 Mortgage Loans is approximately 59.40%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Current Credit Score | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Not Available | 71 | $ | 55,564,873.95 | 8.50 | % | $ | 782,603.86 | NA | 6.973 | % | 54.64 | % | ||||||||||||||||
441 — 460 | 2 | 754,878.48 | 0.12 | 377,439.24 | 452 | 7.181 | 78.63 | |||||||||||||||||||||
461 — 480 | 4 | 898,373.55 | 0.14 | 224,593.39 | 470 | 7.165 | 70.71 | |||||||||||||||||||||
481 — 500 | 7 | 1,877,334.42 | 0.29 | 268,190.63 | 493 | 7.187 | 71.59 | |||||||||||||||||||||
501 — 520 | 10 | 1,903,781.14 | 0.29 | 190,378.11 | 514 | 7.178 | 67.44 | |||||||||||||||||||||
521 — 540 | 19 | 4,664,771.49 | 0.71 | 245,514.29 | 532 | 7.261 | 76.90 | |||||||||||||||||||||
541 — 560 | 13 | 2,939,335.59 | 0.45 | 226,102.74 | 552 | 7.262 | 74.90 | |||||||||||||||||||||
561 — 580 | 15 | 4,316,490.21 | 0.66 | 287,766.01 | 574 | 7.090 | 75.18 | |||||||||||||||||||||
581 — 600 | 17 | 3,698,639.19 | 0.57 | 217,567.01 | 591 | 7.263 | 75.74 | |||||||||||||||||||||
601 — 620 | 36 | 12,498,264.51 | 1.91 | 347,174.01 | 612 | 6.971 | 63.06 | |||||||||||||||||||||
621 — 640 | 42 | 14,054,617.91 | 2.15 | 334,633.76 | 628 | 7.068 | 75.85 | |||||||||||||||||||||
641 — 660 | 43 | 16,890,858.32 | 2.58 | 392,810.66 | 652 | 7.099 | 74.74 | |||||||||||||||||||||
661 — 680 | 85 | 42,669,952.34 | 6.53 | 501,999.44 | 671 | 7.005 | 61.25 | |||||||||||||||||||||
681 — 700 | 109 | 42,748,493.88 | 6.54 | 392,188.02 | 691 | 6.914 | 61.64 | |||||||||||||||||||||
701 — 720 | 136 | 58,221,319.50 | 8.91 | 428,097.94 | 710 | 6.952 | 69.13 | |||||||||||||||||||||
721 — 740 | 133 | 63,624,802.12 | 9.73 | 478,381.97 | 731 | 6.892 | 64.33 | |||||||||||||||||||||
741 — 760 | 152 | 61,781,782.16 | 9.45 | 406,459.09 | 753 | 6.726 | 66.08 | |||||||||||||||||||||
761 — 780 | 227 | 104,336,972.95 | 15.96 | 459,634.24 | 771 | 6.824 | 60.32 | |||||||||||||||||||||
781 — 800 | 264 | 96,851,343.61 | 14.81 | 366,861.15 | 791 | 6.791 | 58.41 | |||||||||||||||||||||
801 — 820 | 165 | 57,876,132.64 | 8.85 | 350,764.44 | 808 | 6.725 | 59.36 | |||||||||||||||||||||
821 — 840 | 14 | 5,626,546.95 | 0.86 | 401,896.21 | 824 | 6.554 | 45.11 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average credit score of the Pool 1 Mortgage Loans having credit scores is approximately 735. See “Description of the Mortgage Pools — The Mortgage Loans” herein. |
S-B-5
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
State | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Alabama | 12 | $ | 3,166,770.78 | 0.48 | % | $ | 263,897.57 | 737 | 6.793 | % | 68.55 | % | ||||||||||||||||
Arizona | 46 | 10,577,955.20 | 1.62 | 229,955.55 | 738 | 7.015 | 61.06 | |||||||||||||||||||||
Arkansas | 4 | 2,113,895.55 | 0.32 | 528,473.89 | 774 | 6.449 | 97.03 | |||||||||||||||||||||
California | 226 | 151,225,191.80 | 23.13 | 669,138.02 | 742 | 6.925 | 54.48 | |||||||||||||||||||||
Colorado | 58 | 22,535,147.22 | 3.45 | 388,537.02 | 719 | 6.768 | 68.46 | |||||||||||||||||||||
Connecticut | 30 | 22,954,790.91 | 3.51 | 765,159.70 | 751 | 6.773 | 47.93 | |||||||||||||||||||||
Delaware | 6 | 1,083,749.15 | 0.17 | 180,624.86 | 731 | 6.981 | 72.87 | |||||||||||||||||||||
District of Columbia | 2 | 1,987,674.80 | 0.30 | 993,837.40 | 706 | 6.899 | 52.29 | |||||||||||||||||||||
Florida | 202 | 61,490,983.99 | 9.41 | 304,410.81 | 734 | 7.010 | 64.48 | |||||||||||||||||||||
Georgia | 124 | 41,135,860.00 | 6.29 | 331,740.81 | 723 | 6.946 | 70.75 | |||||||||||||||||||||
Hawaii | 6 | 3,503,579.02 | 0.54 | 583,929.84 | 723 | 6.859 | 63.57 | |||||||||||||||||||||
Idaho | 3 | 2,147,500.00 | 0.33 | 715,833.33 | 763 | 7.424 | 62.19 | |||||||||||||||||||||
Illinois | 78 | 33,968,928.64 | 5.20 | 435,499.09 | 738 | 6.542 | 65.23 | |||||||||||||||||||||
Indiana | 3 | 951,281.66 | 0.15 | 317,093.89 | 703 | 7.051 | 62.73 | |||||||||||||||||||||
Iowa | 2 | 241,463.39 | 0.04 | 120,731.70 | 794 | 6.625 | 72.83 | |||||||||||||||||||||
Kansas | 9 | 4,352,377.72 | 0.67 | 483,597.52 | 717 | 6.543 | 76.64 | |||||||||||||||||||||
Kentucky | 2 | 652,000.00 | 0.10 | 326,000.00 | 750 | 6.351 | 97.01 | |||||||||||||||||||||
Louisiana | 10 | 2,821,509.91 | 0.43 | 282,150.99 | 737 | 6.791 | 72.71 | |||||||||||||||||||||
Maine | 1 | 385,640.52 | 0.06 | 385,640.52 | 454 | 6.875 | 77.32 | |||||||||||||||||||||
Maryland | 23 | 8,419,058.21 | 1.29 | 366,046.01 | 709 | 7.016 | 69.92 | |||||||||||||||||||||
Massachusetts | 32 | 20,220,696.77 | 3.09 | 631,896.77 | 730 | 6.867 | 65.67 | |||||||||||||||||||||
Michigan | 58 | 16,878,243.79 | 2.58 | 291,004.20 | 730 | 6.925 | 73.70 | |||||||||||||||||||||
Minnesota | 12 | 2,450,299.97 | 0.37 | 204,191.66 | 764 | 6.947 | 73.63 | |||||||||||||||||||||
Mississippi | 4 | 1,714,228.06 | 0.26 | 428,557.02 | 766 | 6.889 | 78.70 | |||||||||||||||||||||
Missouri | 12 | 3,146,027.81 | 0.48 | 262,168.98 | 734 | 6.787 | 73.64 | |||||||||||||||||||||
Montana | 2 | 1,371,812.66 | 0.21 | 685,906.33 | 780 | 6.474 | 46.12 | |||||||||||||||||||||
Nebraska | 2 | 1,119,000.00 | 0.17 | 559,500.00 | 688 | 6.820 | 81.22 | |||||||||||||||||||||
Nevada | 20 | 6,193,855.85 | 0.95 | 309,692.79 | 710 | 7.027 | 64.86 | |||||||||||||||||||||
New Hampshire | 4 | 1,504,737.65 | 0.23 | 376,184.41 | 733 | 7.042 | 65.83 | |||||||||||||||||||||
New Jersey | 70 | 29,159,737.42 | 4.46 | 416,567.68 | 724 | 6.880 | 57.12 | |||||||||||||||||||||
New Mexico | 8 | 1,816,914.18 | 0.28 | 227,114.27 | 693 | 7.310 | 78.04 | |||||||||||||||||||||
New York | 85 | 60,748,067.91 | 9.29 | 714,683.15 | 734 | 6.944 | 54.76 | |||||||||||||||||||||
North Carolina | 60 | 16,490,336.60 | 2.52 | 274,838.94 | 736 | 6.997 | 64.04 | |||||||||||||||||||||
Ohio | 52 | 11,418,125.26 | 1.75 | 219,579.33 | 730 | 6.922 | 76.70 | |||||||||||||||||||||
Oklahoma | 9 | 3,066,556.99 | 0.47 | 340,728.55 | 750 | 6.521 | 81.97 | |||||||||||||||||||||
Oregon | 9 | 2,701,726.94 | 0.41 | 300,191.88 | 784 | 6.616 | 62.74 | |||||||||||||||||||||
Pennsylvania | 38 | 9,811,347.89 | 1.50 | 258,193.37 | 732 | 6.865 | 70.31 | |||||||||||||||||||||
Rhode Island | 3 | 806,757.85 | 0.12 | 268,919.28 | 639 | 7.052 | 83.46 | |||||||||||||||||||||
South Carolina | 29 | 7,873,123.81 | 1.20 | 271,487.03 | 771 | 6.948 | 67.43 | |||||||||||||||||||||
South Dakota | 1 | 120,000.00 | 0.02 | 120,000.00 | 698 | 7.000 | 80.00 | |||||||||||||||||||||
Tennessee | 29 | 8,102,407.22 | 1.24 | 279,393.35 | 742 | 6.679 | 72.49 | |||||||||||||||||||||
Texas | 100 | 43,179,208.98 | 6.60 | 431,792.09 | 740 | 6.687 | 67.53 | |||||||||||||||||||||
Utah | 14 | 6,011,932.79 | 0.92 | 429,423.77 | 745 | 6.543 | 58.29 | |||||||||||||||||||||
Vermont | 2 | 651,819.80 | 0.10 | 325,909.90 | 705 | 6.883 | 44.24 | |||||||||||||||||||||
Virginia | 30 | 11,301,996.67 | 1.73 | 376,733.22 | 734 | 7.015 | 66.60 | |||||||||||||||||||||
Washington | 20 | 6,479,092.57 | 0.99 | 323,954.63 | 742 | 6.824 | 69.13 | |||||||||||||||||||||
West Virginia | 1 | 91,467.72 | 0.01 | 91,467.72 | 802 | 6.875 | 77.39 | |||||||||||||||||||||
Wisconsin | 11 | 3,654,683.28 | 0.56 | 332,243.93 | 779 | 6.548 | 77.90 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | No more than approximately 1.50% of the Pool 1 Mortgage Loans are secured by Mortgaged Properties in any one postal zip code area. |
S-B-6
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Primary | 1,280 | $ | 548,643,824.09 | 83.92 | % | $ | 428,627.99 | 734 | 6.871 | % | 62.28 | % | ||||||||||||||||
Second Home | 177 | 79,435,730.15 | 12.15 | 448,789.44 | 746 | 6.858 | 64.68 | |||||||||||||||||||||
Investment | 107 | 25,720,010.67 | 3.93 | 240,373.93 | 728 | 7.006 | 58.48 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | Based upon representations of the related borrowers at the time of origination. |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Single Family | 915 | $ | 407,744,742.77 | 62.37 | % | $ | 445,622.67 | 735 | 6.863 | % | 61.59 | % | ||||||||||||||||
Planned Unit Development | 419 | 163,296,314.68 | 24.98 | 389,728.67 | 732 | 6.846 | 64.37 | |||||||||||||||||||||
Condominium | 178 | 51,127,152.02 | 7.82 | 287,231.19 | 734 | 6.946 | 67.55 | |||||||||||||||||||||
Cooperative | 24 | 18,483,079.16 | 2.83 | 770,128.30 | 764 | 7.065 | 50.19 | |||||||||||||||||||||
Two-Four Family | 27 | 13,038,207.44 | 1.99 | 482,896.57 | 750 | 7.050 | 61.20 | |||||||||||||||||||||
Manufactured Housing | 1 | 110,068.84 | 0.02 | 110,068.84 | 804 | 6.875 | 80.00 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Refinance (Cash-out). | 583 | $ | 235,536,661.94 | 36.03 | % | $ | 404,008.00 | 729 | 6.892 | % | 59.69 | % | ||||||||||||||||
Refinance (Rate-Term) | 578 | 233,965,139.46 | 35.79 | 404,783.98 | 744 | 6.821 | 57.73 | |||||||||||||||||||||
Purchase | 403 | 184,297,763.51 | 28.19 | 457,314.55 | 733 | 6.921 | 71.86 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
S-B-7
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Prepayment Penalty (months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Not Applicable | 1,295 | $ | 503,958,937.48 | 77.08 | % | $ | 389,157.48 | 735 | 6.820 | % | 63.67 | % | ||||||||||||||||
12 | 2 | 919,901.67 | 0.14 | 459,950.84 | NA | 6.701 | 76.74 | |||||||||||||||||||||
36 | 172 | 51,606,999.01 | 7.89 | 300,040.69 | 710 | 7.154 | 68.05 | |||||||||||||||||||||
48 | 91 | 94,202,810.31 | 14.41 | 1,035,195.72 | 755 | 7.005 | 52.20 | |||||||||||||||||||||
60 | 4 | 3,110,916.44 | 0.48 | 777,729.11 | 742 | 7.223 | 72.19 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Full Documentation | 774 | $ | 371,943,391.60 | 56.89 | % | $ | 480,547.02 | 736 | 6.880 | % | 63.31 | % | ||||||||||||||||
Reduced/Limited Documentation | 781 | 278,578,194.85 | 42.61 | 356,694.23 | 734 | 6.865 | 61.04 | |||||||||||||||||||||
No Documentation | 9 | 3,277,978.46 | 0.50 | 364,219.83 | 736 | 7.011 | 78.37 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Index | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
One—Month LIBOR | 765 | $ | 421,642,483.01 | 64.49 | % | $ | 551,166.64 | 748 | 6.701 | % | 58.54 | % | ||||||||||||||||
Six—Month LIBOR | 797 | 232,006,571.91 | 35.49 | 291,099.84 | 714 | 7.189 | 69.48 | |||||||||||||||||||||
One—Year Treasury | 1 | 102,289.36 | 0.02 | 102,289.36 | 632 | 7.625 | 73.83 | |||||||||||||||||||||
Six—Month Treasury | 1 | 48,220.63 | 0.01 | 48,220.63 | N/A | 7.500 | 70.00 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
S-B-8
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0.000 | 1 | $ | 1,100,000.00 | 0.17 | % | $ | 1,100,000.00 | 741 | 5.375 | % | 75.86 | % | ||||||||||||||||
0.251 — 0.500 | 9 | 6,932,087.98 | 1.06 | 770,232.00 | 757 | 5.781 | 51.70 | |||||||||||||||||||||
0.501 — 0.750 | 13 | 16,905,419.69 | 2.59 | 1,300,416.90 | 762 | 6.078 | 55.83 | |||||||||||||||||||||
0.751 — 1.000 | 200 | 107,553,745.93 | 16.45 | 537,768.73 | 756 | 6.279 | 59.91 | |||||||||||||||||||||
1.001 — 1.250 | 163 | 79,467,694.32 | 12.15 | 487,531.87 | 754 | 6.601 | 59.31 | |||||||||||||||||||||
1.251 — 1.500 | 270 | 123,630,239.05 | 18.91 | 457,889.77 | 737 | 6.858 | 60.36 | |||||||||||||||||||||
1.501 — 1.750 | 456 | 155,643,911.03 | 23.81 | 341,324.37 | 727 | 7.038 | 66.33 | |||||||||||||||||||||
1.751 — 2.000 | 283 | 101,832,126.12 | 15.58 | 359,830.83 | 713 | 7.316 | 63.30 | |||||||||||||||||||||
2.001 — 2.250 | 154 | 54,782,986.57 | 8.38 | 355,733.68 | 715 | 7.535 | 67.31 | |||||||||||||||||||||
2.251 — 2.500 | 12 | 5,300,562.74 | 0.81 | 441,713.56 | 688 | 7.499 | 58.29 | |||||||||||||||||||||
2.501 — 2.750 | 2 | 532,784.64 | 0.08 | 266,392.32 | 803 | 7.986 | 59.51 | |||||||||||||||||||||
3.001 — 3.250 | 1 | 118,006.84 | 0.02 | 118,006.84 | 768 | 7.000 | 66.49 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average margin of the Pool 1 Mortgage Loans is approximately 1.498%. |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Minimum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0.000 | 1 | $ | 1,100,000.00 | 0.17 | % | $ | 1,100,000.00 | 741 | 5.375 | % | 75.86 | % | ||||||||||||||||
0.251 — 0.500 | 9 | 6,932,087.98 | 1.06 | 770,232.00 | 757 | 5.781 | 51.70 | |||||||||||||||||||||
0.501 — 0.750 | 13 | 16,905,419.69 | 2.59 | 1,300,416.90 | 762 | 6.078 | 55.83 | |||||||||||||||||||||
0.751 — 1.000 | 200 | 107,553,745.93 | 16.45 | 537,768.73 | 756 | 6.279 | 59.91 | |||||||||||||||||||||
1.001 — 1.250 | 163 | 79,467,694.32 | 12.15 | 487,531.87 | 754 | 6.601 | 59.31 | |||||||||||||||||||||
1.251 — 1.500 | 272 | 125,658,634.88 | 19.22 | 461,980.28 | 737 | 6.858 | 60.42 | |||||||||||||||||||||
1.501 — 1.750 | 456 | 155,643,911.03 | 23.81 | 341,324.37 | 727 | 7.038 | 66.33 | |||||||||||||||||||||
1.751 — 2.000 | 282 | 100,922,126.12 | 15.44 | 357,879.88 | 713 | 7.320 | 63.24 | |||||||||||||||||||||
2.001 — 2.250 | 154 | 54,782,986.57 | 8.38 | 355,733.68 | 715 | 7.535 | 67.31 | |||||||||||||||||||||
2.251 — 2.500 | 11 | 4,182,166.91 | 0.64 | 380,196.99 | 688 | 7.666 | 57.94 | |||||||||||||||||||||
2.501 — 2.750 | 2 | 532,784.64 | 0.08 | 266,392.32 | 803 | 7.986 | 59.51 | |||||||||||||||||||||
3.001 — 3.250 | 1 | 118,006.84 | 0.02 | 118,006.84 | 768 | 7.000 | 66.49 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average minimum Mortgage Rate of the Pool 1 Mortgage Loans is approximately 1.496% per annum. |
S-B-9
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
7.001 — 7.250 | 1 | $ | 499,258.21 | 0.08 | % | $ | 499,258.21 | 688 | 7.000 | % | 44.44 | % | ||||||||||||||||
9.751 — 10.000 | 3 | 1,318,073.32 | 0.20 | 439,357.77 | 692 | 7.537 | 76.05 | |||||||||||||||||||||
10.751 — 11.000 | 4 | 955,628.78 | 0.15 | 238,907.20 | 647 | 7.389 | 74.83 | |||||||||||||||||||||
11.251 — 11.500 | 2 | 535,056.37 | 0.08 | 267,528.19 | 657 | 7.258 | 68.74 | |||||||||||||||||||||
11.751 — 12.000 | 1,511 | 627,118,382.86 | 95.92 | 415,035.33 | 735 | 6.857 | 62.45 | |||||||||||||||||||||
12.001 — 12.250 | 4 | 1,902,565.21 | 0.29 | 475,641.30 | 666 | 7.233 | 83.59 | |||||||||||||||||||||
12.251 — 12.500 | 20 | 12,253,337.65 | 1.87 | 612,666.88 | 753 | 7.233 | 52.18 | |||||||||||||||||||||
12.751 — 13.000 | 12 | 6,570,310.29 | 1.00 | 547,525.86 | 760 | 7.408 | 58.61 | |||||||||||||||||||||
13.001 — 13.250 | 3 | 1,508,282.48 | 0.23 | 502,760.83 | 706 | 6.985 | 86.15 | |||||||||||||||||||||
13.501 — 13.750 | 1 | 285,021.18 | 0.04 | 285,021.18 | 792 | 7.188 | 73.39 | |||||||||||||||||||||
14.251 — 14.500 | 2 | 730,797.25 | 0.11 | 365,398.63 | 742 | 7.585 | 100.00 | |||||||||||||||||||||
14.501 — 14.750 | 1 | 122,851.31 | 0.02 | 122,851.31 | 761 | 7.938 | 100.00 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average maximum Mortgage Rate of the Pool 1 Mortgage Loans is approximately 12.009% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
June 1, 2007 | 903 | $ | 463,538,865.67 | 70.90 | % | $ | 513,332.08 | 745 | 6.741 | % | 59.82 | % | ||||||||||||||||
July 1, 2007 | 64 | 21,848,635.64 | 3.34 | 341,384.93 | 683 | 7.254 | 70.15 | |||||||||||||||||||||
August 1, 2007 | 52 | 15,996,585.38 | 2.45 | 307,626.64 | 683 | 7.260 | 66.50 | |||||||||||||||||||||
September 1, 2007 | 87 | 22,782,679.64 | 3.48 | 261,869.88 | 712 | 7.170 | 70.40 | |||||||||||||||||||||
October 1, 2007 | 238 | 64,629,029.53 | 9.89 | 271,550.54 | 716 | 7.215 | 69.20 | |||||||||||||||||||||
November 1, 2007 | 220 | 65,003,769.05 | 9.94 | 295,471.68 | 726 | 7.160 | 67.86 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average months to the next adjustment date of the Pool 1 Mortgage Loans is approximately 2 months. |
S-B-10
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Periodic Cap (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0.000 | 1,559 | $ | 652,377,704.36 | 99.78 | % | $ | 418,459.08 | 735 | 6.873 | % | 62.40 | % | ||||||||||||||||
1.000 | 5 | 1,421,860.55 | 0.22 | 284,372.11 | 680 | 7.384 | 72.91 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average Periodic Cap of the Pool 1 Mortgage Loans with Periodic Caps is approximately 1.000% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Interest-Only Term | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
(months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 4 | $ | 2,145,333.22 | 0.33 | % | $ | 536,333.31 | 821 | 7.029 | % | 56.70 | % | ||||||||||||||||
36 | 7 | 4,567,844.54 | 0.70 | 652,549.22 | 749 | 7.410 | 59.17 | |||||||||||||||||||||
60 | 451 | 122,936,816.30 | 18.80 | 272,587.18 | 713 | 7.262 | 67.18 | |||||||||||||||||||||
120 | 1,102 | 524,149,570.85 | 80.17 | 475,634.82 | 741 | 6.778 | 61.36 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average original interest-only term of the Pool 1 Mortgage Loans that are Interest-Only Mortgage Loans is approximately 108 months. |
S-B-11
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||||||
Remaining | Pool 1 | Pool 1 | Weighted | Weighted | Weighted | |||||||||||||||||||||||||||||||||||
Interest-Only | Number of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||||||||||||
Term | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||||||
(months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||||||
Not Applicable | 60 | $ | 23,176,414.90 | 3.54 | % | $ | 386,273.58 | 727 | 7.260 | % | 66.20 | % | ||||||||||||||||||||||||||||
1 | — | 10 | 225 | 59,417,591.85 | 9.09 | 264,078.19 | 737 | 7.241 | 65.80 | |||||||||||||||||||||||||||||||
11 | — | 20 | 170 | 47,092,187.43 | 7.20 | 277,012.87 | 690 | 7.266 | 68.57 | |||||||||||||||||||||||||||||||
21 | — | 30 | 25 | 6,653,276.43 | 1.02 | 266,131.06 | 662 | 7.352 | 70.36 | |||||||||||||||||||||||||||||||
51 | — | 60 | 43 | 13,572,198.51 | 2.08 | 315,632.52 | 682 | 7.226 | 68.98 | |||||||||||||||||||||||||||||||
61 | — | 70 | 443 | 133,816,612.16 | 20.47 | 302,069.10 | 726 | 6.994 | 69.09 | |||||||||||||||||||||||||||||||
71 | — | 80 | 109 | 89,345,557.31 | 13.67 | 819,684.01 | 738 | 7.030 | 56.07 | |||||||||||||||||||||||||||||||
81 | — | 90 | 37 | 37,528,293.06 | 5.74 | 1,014,278.19 | 751 | 7.109 | 54.34 | |||||||||||||||||||||||||||||||
91 | — | 100 | 27 | 8,278,677.21 | 1.27 | 306,617.67 | 712 | 7.174 | 70.11 | |||||||||||||||||||||||||||||||
101 | — | 110 | 140 | 86,336,485.79 | 13.21 | 616,689.18 | 748 | 6.515 | 62.38 | |||||||||||||||||||||||||||||||
111 | — | 120 | 285 | 148,582,270.26 | 22.73 | 521,341.30 | 757 | 6.422 | 57.03 | |||||||||||||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the non-zero weighted average remaining interest-only term of the Pool 1 Mortgage Loans that are Interest-Only Mortgage Loans in their interest-only period is approximately 76 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Servicers | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
MSCC(1) | 853 | $ | 253,005,772.73 | 38.70 | % | $ | 296,607.00 | 720 | 7.107 | % | 67.33 | % | ||||||||||||||||
PHH | 475 | 247,471,159.27 | 37.85 | 520,991.91 | 751 | 6.518 | 60.39 | |||||||||||||||||||||
First Republic | 113 | 116,701,040.97 | 17.85 | 1,032,752.57 | 757 | 7.005 | 53.88 | |||||||||||||||||||||
Other | 123 | 36,621,591.94 | 5.60 | 297,736.52 | 690 | 7.260 | 69.48 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
(1) | Includes 363 Pool 1 Mortgage Loans with an aggregate principal balance of $97,688,370.91 (14.94% of the outstanding Pool 1 principal balance) subserviced by Cenlar FSB on behalf of MSCC. |
S-B-12
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Originators | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
MLCC | 463 | $ | 242,842,750.12 | 37.14 | % | $ | 524,498.38 | 752 | 6.506 | % | 60.14 | % | ||||||||||||||||
MSCC | 490 | 155,317,401.82 | 23.76 | 316,974.29 | 720 | 7.010 | 67.46 | |||||||||||||||||||||
GreenPoint | 458 | 124,055,467.18 | 18.97 | 270,863.47 | 714 | 7.262 | 67.23 | |||||||||||||||||||||
First Republic | 113 | 116,701,040.97 | 17.85 | 1,032,752.57 | 757 | 7.005 | 53.88 | |||||||||||||||||||||
Other | 40 | 14,882,904.82 | 2.28 | 372,072.62 | 711 | 7.214 | 73.98 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Product Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
One—Month ARM (One—Month LIBOR) | 4 | $ | 2,145,333.22 | 0.33 | % | $ | 536,333.31 | 821 | 7.029 | % | 56.70 | % | ||||||||||||||||
One—Month ARM IO (One—Month LIBOR) | 761 | 419,497,149.79 | 64.16 | 551,244.61 | 748 | 6.699 | 58.55 | |||||||||||||||||||||
Six—Month ARM IO (Six—Month LIBOR) | 797 | 232,006,571.91 | 35.49 | 291,099.84 | 714 | 7.189 | 69.48 | |||||||||||||||||||||
Six—Month ARM IO (Six—Month CMT) | 1 | 48,220.63 | 0.01 | 48,220.63 | 0 | 7.500 | 70.00 | |||||||||||||||||||||
Six—Month ARM IO (One-Year CMT) | 1 | 102,289.36 | 0.02 | 102,289.36 | 632 | 7.625 | 73.83 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Interest Only | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Interest Only | 1,560 | $ | 651,654,231.69 | 99.67 | % | $ | 417,727.07 | 735 | 6.874 | % | 62.44 | % | ||||||||||||||||
Non-Interest Only | 4 | 2,145,333.22 | 0.33 | 536,333.31 | 821 | 7.029 | 56.70 | |||||||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % | ||||||||||||||||
S-B-13
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Number of Times Delinquent 30-59 Days in the | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
12 Months Preceding the Cut-off Date | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 1,314 | $ | 578,811,581.28 | 88.53 | % | $ | 440,495.88 | 744 | 6.829 | % | 61.49 | % | ||||||||||||||||
1 | 142 | 44,117,908.88 | 6.75 | 310,689.50 | 708 | 7.213 | 68.47 | |||||||||||||||||||||
2 | 36 | 9,606,898.68 | 1.47 | 266,858.30 | 658 | 7.285 | 72.59 | |||||||||||||||||||||
3 | 15 | 4,378,537.93 | 0.67 | 291,902.53 | 622 | 7.176 | 68.43 | |||||||||||||||||||||
4 or more | 19 | 4,651,341.42 | 0.71 | 244,807.44 | 571 | 7.233 | 72.20 |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Number of Times Delinquent 60-89 Days in the | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
12 Months Preceding the Cut-off Date | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1 | 13 | $ | 4,448,154.66 | 0.68 | % | $ | 342,165.74 | 602 | 7.154 | % | 64.72 | % | ||||||||||||||||
2 or more | 10 | 2,982,258.68 | 0.46 | 298,225.87 | 592 | 7.307 | 70.84 |
Percent of | ||||||||||||||||||||||||||||
Pool 1 | Pool 1 | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Number of Times Delinquent 90 or More Days in | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
the 12 Months Preceding the Cut-off Date | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1 or more | 15 | $ | 4,802,883.38 | 0.73 | % | $ | 320,192.23 | 531 | 7.224 | % | 76.59 | % | ||||||||||||||||
Total | 1,564 | $ | 653,799,564.91 | 100.00 | % | $ | 418,030.41 | 735 | 6.875 | % | 62.42 | % |
(1) | The delinquency information shown above is for the previous 12 months or, where mortgage payment information is not available for the full 12 months for any Mortgage Loan, over the period for which mortgage payment information is available for that Mortgage Loan. As of the Cut-off Date, none of the Pool 1 Mortgage Loans will have payment histories reflecting that such Mortgage Loans have been 30 to 59 days delinquent more than 4 times, 60 to 89 days delinquent more than 2 times or 90 days or more delinquent more than 1 time, in each case during the past 12 months. |
S-B-14
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||||||
Pool 2A and Pool 2B | Pool 2A and Pool 2B | |||||||||||||||||||||||||||||||||||||||
(Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||||||
Original | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||||||
Stated Principal Balances ($) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||||||
0.01 | — | 50,000.00 | 1 | $ | 38,700.00 | 0.01 | % | $ | 38,700.00 | 788 | 6.875 | % | 90.00 | % | ||||||||||||||||||||||||||
50,000.01 | — | 100,000.00 | 9 | 718,850.00 | 0.18 | 79,872.22 | 756 | 6.876 | 79.36 | |||||||||||||||||||||||||||||||
100,000.01 | — | 150,000.00 | 23 | 2,977,227.57 | 0.73 | 129,444.68 | 730 | 6.586 | 72.20 | |||||||||||||||||||||||||||||||
150,000.01 | — | 200,000.00 | 40 | 6,885,780.80 | 1.69 | 172,144.52 | 718 | 6.477 | 79.22 | |||||||||||||||||||||||||||||||
200,000.01 | — | 250,000.00 | 54 | 12,167,223.86 | 2.98 | 225,318.96 | 735 | 6.399 | 78.34 | |||||||||||||||||||||||||||||||
250,000.01 | — | 300,000.00 | 39 | 10,712,311.27 | 2.62 | 274,674.65 | 728 | 6.389 | 77.71 | |||||||||||||||||||||||||||||||
300,000.01 | — | 350,000.00 | 30 | 9,722,896.69 | 2.38 | 324,096.56 | 739 | 6.314 | 73.51 | |||||||||||||||||||||||||||||||
350,000.01 | — | 400,000.00 | 23 | 8,800,843.90 | 2.16 | 382,645.39 | 736 | 6.443 | 74.91 | |||||||||||||||||||||||||||||||
400,000.01 | — | 450,000.00 | 59 | 25,394,431.98 | 6.22 | 430,414.10 | 745 | 6.141 | 75.32 | |||||||||||||||||||||||||||||||
450,000.01 | — | 500,000.00 | 96 | 46,126,816.94 | 11.30 | 480,487.68 | 738 | 6.224 | 74.80 | |||||||||||||||||||||||||||||||
500,000.01 | — | 550,000.00 | 87 | 45,762,382.62 | 11.21 | 526,004.40 | 738 | 6.193 | 75.41 | |||||||||||||||||||||||||||||||
550,000.01 | — | 600,000.00 | 76 | 43,782,053.32 | 10.72 | 576,079.65 | 738 | 6.108 | 73.52 | |||||||||||||||||||||||||||||||
600,000.01 | — | 650,000.00 | 46 | 28,429,598.14 | 6.96 | 618,034.74 | 737 | 6.257 | 73.60 | |||||||||||||||||||||||||||||||
650,000.01 | — | 700,000.00 | 29 | 19,648,000.16 | 4.81 | 677,517.25 | 743 | 6.073 | 75.74 | |||||||||||||||||||||||||||||||
700,000.01 | — | 750,000.00 | 19 | 13,886,142.00 | 3.40 | 730,849.58 | 732 | 5.925 | 74.09 | |||||||||||||||||||||||||||||||
750,000.01 | — | 800,000.00 | 16 | 12,397,417.85 | 3.04 | 774,838.62 | 748 | 6.235 | 71.42 | |||||||||||||||||||||||||||||||
800,000.01 | — | 850,000.00 | 6 | 4,978,000.00 | 1.22 | 829,666.67 | 757 | 6.212 | 59.06 | |||||||||||||||||||||||||||||||
850,000.01 | — | 900,000.00 | 12 | 10,404,150.00 | 2.55 | 867,012.50 | 780 | 6.112 | 61.96 | |||||||||||||||||||||||||||||||
900,000.01 | — | 950,000.00 | 16 | 14,886,600.00 | 3.65 | 930,412.50 | 737 | 6.314 | 69.44 | |||||||||||||||||||||||||||||||
950,000.01 | — | 1,000,000.00 | 34 | 33,624,670.44 | 8.24 | 988,960.90 | 736 | 6.056 | 65.36 | |||||||||||||||||||||||||||||||
1,000,000.01 | — | 1,500,000.00 | 14 | 17,290,100.00 | 4.23 | 1,235,007.14 | 749 | 6.188 | 68.09 | |||||||||||||||||||||||||||||||
1,500,000.01 | — | 2,000,000.00 | 8 | 14,498,421.80 | 3.55 | 1,812,302.73 | 742 | 6.167 | 60.15 | |||||||||||||||||||||||||||||||
2,000,000.01 | — | 2,500,000.00 | 2 | 4,900,000.00 | 1.20 | 2,450,000.00 | 790 | 6.311 | 56.54 | |||||||||||||||||||||||||||||||
2,500,000.01 | — | 3,000,000.00 | 3 | 8,421,000.00 | 2.06 | 2,807,000.00 | 707 | 6.343 | 73.17 | |||||||||||||||||||||||||||||||
3,000,000.01 | or greater | 3 | 11,840,000.00 | 2.90 | 3,946,666.67 | 758 | 6.348 | 55.22 | ||||||||||||||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the average original stated principal balance of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) at origination is approximately $549,100. |
S-B-15
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Statistical Calculation Date | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
Stated Principal Balances ($) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
0.01 | — | 50,000.00 | 1 | $ | 38,700.00 | 0.01 | % | $ | 38,700.00 | 788 | 6.875 | % | 90.00 | % | ||||||||||||||||||||||
50,000.01 | — | 100,000.00 | 9 | 718,850.00 | 0.18 | 79,872.22 | 756 | 6.876 | 79.36 | |||||||||||||||||||||||||||
100,000.01 | — | 150,000.00 | 24 | 3,094,169.59 | 0.76 | 128,923.73 | 732 | 6.578 | 72.50 | |||||||||||||||||||||||||||
150,000.01 | — | 200,000.00 | 40 | 6,885,780.80 | 1.69 | 172,144.52 | 718 | 6.477 | 79.22 | |||||||||||||||||||||||||||
200,000.01 | — | 250,000.00 | 54 | 12,167,223.86 | 2.98 | 225,318.96 | 735 | 6.399 | 78.34 | |||||||||||||||||||||||||||
250,000.01 | — | 300,000.00 | 39 | 10,712,311.27 | 2.62 | 274,674.65 | 728 | 6.389 | 77.71 | |||||||||||||||||||||||||||
300,000.01 | — | 350,000.00 | 30 | 9,722,896.69 | 2.38 | 324,096.56 | 739 | 6.314 | 73.51 | |||||||||||||||||||||||||||
350,000.01 | — | 400,000.00 | 23 | 8,800,843.90 | 2.16 | 382,645.39 | 736 | 6.443 | 74.91 | |||||||||||||||||||||||||||
400,000.01 | — | 450,000.00 | 60 | 25,830,231.46 | 6.33 | 430,503.86 | 745 | 6.118 | 75.40 | |||||||||||||||||||||||||||
450,000.01 | — | 500,000.00 | 96 | 46,188,394.52 | 11.31 | 481,129.11 | 737 | 6.226 | 74.75 | |||||||||||||||||||||||||||
500,000.01 | — | 550,000.00 | 86 | 45,265,005.56 | 11.09 | 526,337.27 | 738 | 6.205 | 75.41 | |||||||||||||||||||||||||||
550,000.01 | — | 600,000.00 | 76 | 43,782,053.32 | 10.72 | 576,079.65 | 738 | 6.108 | 73.52 | |||||||||||||||||||||||||||
600,000.01 | — | 650,000.00 | 45 | 28,312,656.12 | 6.93 | 629,170.14 | 736 | 6.256 | 73.57 | |||||||||||||||||||||||||||
650,000.01 | — | 700,000.00 | 29 | 19,648,000.16 | 4.81 | 677,517.25 | 743 | 6.073 | 75.74 | |||||||||||||||||||||||||||
700,000.01 | — | 750,000.00 | 19 | 13,886,142.00 | 3.40 | 730,849.58 | 732 | 5.925 | 74.09 | |||||||||||||||||||||||||||
750,000.01 | — | 800,000.00 | 16 | 12,397,417.85 | 3.04 | 774,838.62 | 748 | 6.235 | 71.42 | |||||||||||||||||||||||||||
800,000.01 | — | 850,000.00 | 7 | 5,803,000.00 | 1.42 | 829,000.00 | 763 | 6.235 | 59.97 | |||||||||||||||||||||||||||
850,000.01 | — | 900,000.00 | 11 | 9,579,150.00 | 2.35 | 870,831.82 | 778 | 6.089 | 61.66 | |||||||||||||||||||||||||||
900,000.01 | — | 950,000.00 | 16 | 14,886,600.00 | 3.65 | 930,412.50 | 737 | 6.314 | 69.44 | |||||||||||||||||||||||||||
950,000.01 | — | 1,000,000.00 | 34 | 33,624,670.44 | 8.24 | 988,960.90 | 736 | 6.056 | 65.36 | |||||||||||||||||||||||||||
1,000,000.01 | — | 1,500,000.00 | 14 | 17,290,100.00 | 4.23 | 1,235,007.14 | 749 | 6.188 | 68.09 | |||||||||||||||||||||||||||
1,500,000.01 | — | 2,000,000.00 | 8 | 14,498,421.80 | 3.55 | 1,812,302.73 | 742 | 6.167 | 60.15 | |||||||||||||||||||||||||||
2,000,000.01 | — | 2,500,000.00 | 2 | 4,900,000.00 | 1.20 | 2,450,000.00 | 790 | 6.311 | 56.54 | |||||||||||||||||||||||||||
2,500,000.01 | — | 3,000,000.00 | 3 | 8,421,000.00 | 2.06 | 2,807,000.00 | 707 | 6.343 | 73.17 | |||||||||||||||||||||||||||
3,000,000.01 or greater | 3 | 11,840,000.00 | 2.90 | 3,946,666.67 | 758 | 6.348 | 55.22 | |||||||||||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the average stated principal balance of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately $548,045. |
S-B-16
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
4.251 — 4.500 | 1 | $ | 550,326.20 | 0.13 | % | $ | 550,326.20 | 805 | 4.500 | % | 79.92 | % | ||||||||||||||||
4.501 — 4.750 | 3 | 1,943,306.07 | 0.48 | 647,768.69 | 729 | 4.750 | 75.77 | |||||||||||||||||||||
4.751 — 5.000 | 4 | 1,517,416.28 | 0.37 | 379,354.07 | 718 | 4.937 | 79.95 | |||||||||||||||||||||
5.001 — 5.250 | 4 | 1,872,274.32 | 0.46 | 468,068.58 | 747 | 5.190 | 75.65 | |||||||||||||||||||||
5.251 — 5.500 | 37 | 20,236,083.82 | 4.96 | 546,921.18 | 746 | 5.455 | 70.83 | |||||||||||||||||||||
5.501 — 5.750 | 49 | 31,861,379.37 | 7.80 | 650,232.23 | 753 | 5.710 | 74.02 | |||||||||||||||||||||
5.751 — 6.000 | 122 | 76,554,966.31 | 18.75 | 627,499.72 | 743 | 5.934 | 72.14 | |||||||||||||||||||||
6.001 — 6.250 | 180 | 103,501,463.64 | 25.35 | 575,008.13 | 742 | 6.204 | 69.95 | |||||||||||||||||||||
6.251 — 6.500 | 186 | 104,632,349.32 | 25.63 | 562,539.51 | 735 | 6.423 | 71.70 | |||||||||||||||||||||
6.501 — 6.750 | 97 | 46,356,006.67 | 11.35 | 477,896.98 | 737 | 6.670 | 71.45 | |||||||||||||||||||||
6.751 — 7.000 | 52 | 16,953,397.34 | 4.15 | 326,026.87 | 728 | 6.908 | 74.69 | |||||||||||||||||||||
7.001 — 7.250 | 10 | 2,314,650.00 | 0.57 | 231,465.00 | 745 | 7.167 | 79.91 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average Mortgage Rate of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 6.203% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
301 — 360 | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Cut-off Date Date, the weighted average remaining term of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 358 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
360 | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
S-B-17
Table of Contents
(Aggregate)
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Seasoning | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
(in months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
0 | 17 | $ | 9,696,546.00 | 2.37 | % | $ | 570,385.06 | 756 | 6.182 | % | 70.32 | % | ||||||||||||||||||||||||
1 | — | 6 | 706 | 387,862,972.21 | 95.00 | 549,380.98 | 740 | 6.218 | 71.65 | |||||||||||||||||||||||||||
7 | — | 12 | 13 | 5,924,952.69 | 1.45 | 455,765.59 | 726 | 6.152 | 75.94 | |||||||||||||||||||||||||||
13 | — | 18 | 1 | 950,558.73 | 0.23 | 950,558.73 | 757 | 5.375 | 60.31 | |||||||||||||||||||||||||||
19 | — | 24 | 7 | 3,308,263.51 | 0.81 | 472,609.07 | 725 | 5.026 | 75.19 | |||||||||||||||||||||||||||
43 | — | 48 | 1 | 550,326.20 | 0.13 | 550,326.20 | 805 | 4.500 | 79.92 | |||||||||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||||||||||
(1) | As of the Cut-off Date, the weighted average seasoning of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 2 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Original Loan-to-Value | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
Ratios (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
10.01 — 20.00 | 6 | $ | 2,650,500.00 | 0.65 | % | $ | 441,750.00 | 761 | 6.455 | % | 17.87 | % | ||||||||||||||||
20.01 — 30.00 | 6 | 3,449,920.41 | 0.84 | 574,986.74 | 759 | 6.001 | 24.87 | |||||||||||||||||||||
30.01 — 40.00 | 15 | 13,554,000.00 | 3.32 | 903,600.00 | 778 | 6.339 | 36.67 | |||||||||||||||||||||
40.01 — 50.00 | 24 | 22,063,650.56 | 5.40 | 919,318.77 | 755 | 6.232 | 44.92 | |||||||||||||||||||||
50.01 — 60.00 | 38 | 28,694,227.45 | 7.03 | 755,111.25 | 742 | 6.145 | 56.92 | |||||||||||||||||||||
60.01 — 70.00 | 67 | 47,943,512.14 | 11.74 | 715,574.81 | 738 | 6.157 | 66.73 | |||||||||||||||||||||
70.01 — 80.00 | 566 | 282,054,308.05 | 69.08 | 498,329.17 | 738 | 6.199 | 78.35 | |||||||||||||||||||||
80.01 — 90.00 | 14 | 5,040,245.00 | 1.23 | 360,017.50 | 715 | 6.425 | 89.77 | |||||||||||||||||||||
90.01 — 100.00 | 9 | 2,843,255.73 | 0.70 | 315,917.30 | 710 | 6.689 | 94.15 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average original Loan-to-Value Ratio of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 71.70%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
S-B-18
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Current Loan-to-Value | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
Ratios (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
10.01 — 20.00 | 7 | $ | 2,767,442.02 | 0.68 | % | $ | 395,348.86 | 761 | 6.452 | % | 20.49 | % | ||||||||||||||||
20.01 — 30.00 | 6 | 3,449,920.41 | 0.84 | 574,986.74 | 759 | 6.001 | 24.87 | |||||||||||||||||||||
30.01 — 40.00 | 15 | 13,554,000.00 | 3.32 | 903,600.00 | 778 | 6.339 | 36.67 | |||||||||||||||||||||
40.01 — 50.00 | 24 | 22,063,650.56 | 5.40 | 919,318.77 | 755 | 6.232 | 44.92 | |||||||||||||||||||||
50.01 — 60.00 | 40 | 30,469,786.18 | 7.46 | 761,744.65 | 744 | 6.127 | 57.26 | |||||||||||||||||||||
60.01 — 70.00 | 67 | 46,872,568.36 | 11.48 | 699,590.57 | 738 | 6.150 | 66.94 | |||||||||||||||||||||
70.01 — 80.00 | 563 | 281,232,751.08 | 68.88 | 499,525.31 | 738 | 6.202 | 78.37 | |||||||||||||||||||||
80.01 — 90.00 | 14 | 5,040,245.00 | 1.23 | 360,017.50 | 715 | 6.425 | 89.77 | |||||||||||||||||||||
90.01 — 100.00 | 9 | 2,843,255.73 | 0.70 | 315,917.30 | 710 | 6.689 | 94.15 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average current Loan-to-Value Ratio of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 71.63%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Not Applicable | 1 | $ | 1,000,000.00 | 0.24 | % | $ | 1,000,000.00 | NA | 6.375 | % | 41.67 | % | ||||||||||||||||
621 — 640 | 2 | 1,136,232.00 | 0.28 | 568,116.00 | 633 | 6.593 | 86.27 | |||||||||||||||||||||
641 — 660 | 15 | 5,584,012.98 | 1.37 | 372,267.53 | 654 | 6.417 | 74.90 | |||||||||||||||||||||
661 — 680 | 59 | 32,961,517.67 | 8.07 | 558,669.79 | 671 | 6.222 | 72.13 | |||||||||||||||||||||
681 — 700 | 88 | 48,483,712.38 | 11.87 | 550,951.28 | 691 | 6.233 | 74.78 | |||||||||||||||||||||
701 — 720 | 102 | 49,706,407.87 | 12.17 | 487,317.72 | 710 | 6.261 | 73.83 | |||||||||||||||||||||
721 — 740 | 113 | 63,611,372.64 | 15.58 | 562,932.50 | 731 | 6.217 | 74.12 | |||||||||||||||||||||
741 — 760 | 104 | 49,757,855.94 | 12.19 | 478,440.92 | 750 | 6.180 | 72.46 | |||||||||||||||||||||
761 — 780 | 116 | 66,426,087.42 | 16.27 | 572,638.68 | 771 | 6.185 | 71.85 | |||||||||||||||||||||
781 — 800 | 106 | 66,877,731.04 | 16.38 | 630,921.99 | 790 | 6.177 | 64.62 | |||||||||||||||||||||
801 — 820 | 39 | 22,748,689.40 | 5.57 | 583,299.73 | 806 | 6.040 | 71.57 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average credit score of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) having credit scores is approximately 740. See “Description of the Mortgage Pools — The Mortgage Loans” herein. |
S-B-19
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
State | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Arizona | 43 | $ | 23,004,607.46 | 5.63 | % | $ | 534,990.87 | 748 | 6.281 | % | 67.39 | % | ||||||||||||||||
California | 257 | 157,121,245.38 | 38.48 | 611,366.71 | 740 | 6.200 | 70.61 | |||||||||||||||||||||
Colorado | 28 | 13,874,911.44 | 3.40 | 495,532.55 | 759 | 6.259 | 70.48 | |||||||||||||||||||||
Connecticut | 8 | 5,328,070.69 | 1.30 | 666,008.84 | 712 | 6.059 | 60.07 | |||||||||||||||||||||
Delaware | 3 | 1,421,000.00 | 0.35 | 473,666.67 | 729 | 5.949 | 55.88 | |||||||||||||||||||||
District of Columbia | 4 | 1,429,442.02 | 0.35 | 357,360.51 | 779 | 6.537 | 55.86 | |||||||||||||||||||||
Florida | 64 | 32,133,340.29 | 7.87 | 502,083.44 | 752 | 6.133 | 72.13 | |||||||||||||||||||||
Georgia | 12 | 5,188,814.00 | 1.27 | 432,401.17 | 715 | 6.142 | 75.16 | |||||||||||||||||||||
Hawaii | 2 | 804,572.00 | 0.20 | 402,286.00 | 768 | 5.945 | 80.00 | |||||||||||||||||||||
Idaho | 2 | 708,000.00 | 0.17 | 354,000.00 | 688 | 6.383 | 78.77 | |||||||||||||||||||||
Illinois | 40 | 22,014,317.37 | 5.39 | 550,357.93 | 724 | 6.289 | 73.54 | |||||||||||||||||||||
Indiana | 3 | 1,586,610.68 | 0.39 | 528,870.23 | 722 | 6.169 | 72.09 | |||||||||||||||||||||
Kansas | 1 | 540,000.00 | 0.13 | 540,000.00 | 733 | 6.625 | 80.00 | |||||||||||||||||||||
Kentucky | 2 | 1,143,920.00 | 0.28 | 571,960.00 | 711 | 6.469 | 60.02 | |||||||||||||||||||||
Louisiana | 2 | 1,088,000.00 | 0.27 | 544,000.00 | 671 | 6.395 | 65.35 | |||||||||||||||||||||
Maryland | 24 | 12,219,053.00 | 2.99 | 509,127.21 | 738 | 6.153 | 68.21 | |||||||||||||||||||||
Massachusetts | 11 | 5,817,045.00 | 1.42 | 528,822.27 | 734 | 6.267 | 78.02 | |||||||||||||||||||||
Michigan | 2 | 1,824,900.00 | 0.45 | 912,450.00 | 717 | 6.497 | 47.49 | |||||||||||||||||||||
Minnesota | 10 | 8,401,840.45 | 2.06 | 840,184.05 | 770 | 6.086 | 74.54 | |||||||||||||||||||||
Missouri | 7 | 3,982,112.00 | 0.98 | 568,873.14 | 726 | 6.296 | 77.30 | |||||||||||||||||||||
Montana | 1 | 128,531.00 | 0.03 | 128,531.00 | 698 | 6.500 | 80.00 | |||||||||||||||||||||
Nebraska | 2 | 888,000.00 | 0.22 | 444,000.00 | 745 | 6.361 | 80.00 | |||||||||||||||||||||
Nevada | 10 | 3,428,335.75 | 0.84 | 342,833.58 | 742 | 5.812 | 78.86 | |||||||||||||||||||||
New Jersey | 27 | 17,936,726.50 | 4.39 | 664,323.20 | 738 | 6.185 | 73.28 | |||||||||||||||||||||
New York | 28 | 17,810,533.91 | 4.36 | 636,090.50 | 740 | 6.368 | 75.10 | |||||||||||||||||||||
North Carolina | 15 | 6,552,937.07 | 1.60 | 436,862.47 | 736 | 6.300 | 74.22 | |||||||||||||||||||||
Ohio | 2 | 304,800.00 | 0.07 | 152,400.00 | 770 | 6.875 | 87.32 | |||||||||||||||||||||
Oregon | 11 | 5,039,497.22 | 1.23 | 458,136.11 | 718 | 6.154 | 77.36 | |||||||||||||||||||||
Pennsylvania | 12 | 6,006,505.26 | 1.47 | 500,542.11 | 738 | 6.074 | 66.12 | |||||||||||||||||||||
Rhode Island | 2 | 768,000.00 | 0.19 | 384,000.00 | 744 | 6.479 | 80.00 | |||||||||||||||||||||
South Carolina | 7 | 3,072,786.00 | 0.75 | 438,969.43 | 749 | 6.328 | 75.70 | |||||||||||||||||||||
Tennessee | 5 | 1,738,513.42 | 0.43 | 347,702.68 | 743 | 5.962 | 80.00 | |||||||||||||||||||||
Texas | 13 | 6,456,396.64 | 1.58 | 496,645.90 | 750 | 6.102 | 75.98 | |||||||||||||||||||||
Utah | 7 | 2,437,118.07 | 0.60 | 348,159.72 | 732 | 6.285 | 80.46 | |||||||||||||||||||||
Vermont | 1 | 600,000.00 | 0.15 | 600,000.00 | 758 | 6.125 | 50.74 | |||||||||||||||||||||
Virginia | 31 | 14,973,110.72 | 3.67 | 483,003.57 | 734 | 6.012 | 77.63 | |||||||||||||||||||||
Washington | 45 | 19,936,026.00 | 4.88 | 443,022.80 | 744 | 6.231 | 73.05 | |||||||||||||||||||||
Wisconsin | 1 | 584,000.00 | 0.14 | 584,000.00 | 696 | 6.375 | 80.00 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | No more than approximately 1.22% of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) are secured by Mortgaged Properties in any one postal zip code area. |
S-B-20
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Primary | 622 | $ | 356,482,797.54 | 87.31 | % | $ | 573,123.47 | 737 | 6.191 | % | 71.53 | % | ||||||||||||||||
Second Home | 60 | 36,750,107.31 | 9.00 | 612,501.79 | 768 | 6.182 | 69.88 | |||||||||||||||||||||
Investment | 63 | 15,060,714.49 | 3.69 | 239,058.96 | 738 | 6.519 | 80.14 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | Based upon representations of the related borrowers at the time of origination. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Single Family | 560 | $ | 322,449,063.95 | 78.97 | % | $ | 575,801.90 | 739 | 6.207 | % | 70.56 | % | ||||||||||||||||
Condominium | 146 | 65,741,620.43 | 16.10 | 450,285.07 | 749 | 6.208 | 76.36 | |||||||||||||||||||||
Planned Unit Development | 19 | 9,825,276.96 | 2.41 | 517,119.84 | 755 | 5.904 | 74.34 | |||||||||||||||||||||
Two-Four Family | 18 | 9,105,578.00 | 2.23 | 505,865.44 | 704 | 6.348 | 74.89 | |||||||||||||||||||||
Cooperative | 2 | 1,172,080.00 | 0.29 | 586,040.00 | 740 | 6.189 | 76.15 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Purchase | 400 | $ | 206,038,983.06 | 50.46 | % | $ | 515,097.46 | 745 | 6.170 | % | 75.98 | % | ||||||||||||||||
Refinance (Rate-Term) | 171 | 102,509,916.00 | 25.11 | 599,473.19 | 736 | 6.235 | 68.10 | |||||||||||||||||||||
Refinance (Cash-out). | 174 | 99,744,720.28 | 24.43 | 573,245.52 | 735 | 6.236 | 66.55 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
S-B-21
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Prepayment Penalty (months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Reduced/Limited Documentation | 461 | $ | 250,470,204.12 | 61.35 | % | $ | 543,319.31 | 743 | 6.227 | % | 70.29 | % | ||||||||||||||||
Full Documentation | 282 | 156,448,415.22 | 38.32 | 554,781.61 | 735 | 6.167 | 74.07 | |||||||||||||||||||||
No Documentation | 2 | 1,375,000.00 | 0.34 | 687,500.00 | 795 | 5.800 | 58.26 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Index | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
One—Year CMT | 354 | $ | 209,872,149.42 | 51.40 | % | $ | 592,859.18 | 743 | 6.261 | % | 71.29 | % | ||||||||||||||||
One—Year LIBOR | 390 | 197,057,069.92 | 48.26 | 505,274.54 | 737 | 6.139 | 72.07 | |||||||||||||||||||||
Six—Month LIBOR | 1 | 1,364,400.00 | 0.33 | 1,364,400.00 | 777 | 6.375 | 80.00 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
S-B-22
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1.875 | 3 | $ | 1,369,900.00 | 0.34 | % | $ | 456,633.33 | 759 | 6.586 | % | 79.37 | % | ||||||||||||||||
2.250 | 384 | 195,679,965.99 | 47.93 | 509,583.24 | 738 | 6.137 | 72.05 | |||||||||||||||||||||
2.500 | 3 | 1,167,700.00 | 0.29 | 389,233.33 | 663 | 6.179 | 73.53 | |||||||||||||||||||||
2.750 | 355 | 210,076,053.35 | 51.45 | 591,763.53 | 743 | 6.261 | 71.32 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average margin of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 2.507%. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Minimum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1.751 — 2.000 | 6 | $ | 4,219,300.00 | 1.03 | % | $ | 703,216.67 | 767 | 6.431 | % | 77.83 | % | ||||||||||||||||
2.001 — 2.250 | 381 | 192,830,565.99 | 47.23 | 506,116.97 | 737 | 6.134 | 71.97 | |||||||||||||||||||||
2.251 — 2.500 | 3 | 1,167,700.00 | 0.29 | 389,233.33 | 663 | 6.179 | 73.53 | |||||||||||||||||||||
2.501 — 2.750 | 355 | 210,076,053.35 | 51.45 | 591,763.53 | 743 | 6.261 | 71.32 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average minimum Mortgage Rate of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 2.505% per annum. |
S-B-23
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
9.251 | — | 9.500 | 1 | $ | 550,326.20 | 0.13 | % | $ | 550,326.20 | 805 | 4.500 | % | 79.92 | % | ||||||||||||||||||||||
9.501 | — | 9.750 | 3 | 1,943,306.07 | 0.48 | 647,768.69 | 729 | 4.750 | 75.77 | |||||||||||||||||||||||||||
9.751 | — | 10.000 | 4 | 1,517,416.28 | 0.37 | 379,354.07 | 718 | 4.937 | 79.95 | |||||||||||||||||||||||||||
10.001 | — | 10.250 | 4 | 1,872,274.32 | 0.46 | 468,068.58 | 747 | 5.190 | 75.65 | |||||||||||||||||||||||||||
10.251 | — | 10.500 | 37 | 20,236,083.82 | 4.96 | 546,921.18 | 746 | 5.455 | 70.83 | |||||||||||||||||||||||||||
10.501 | — | 10.750 | 49 | 31,861,379.37 | 7.80 | 650,232.23 | 753 | 5.710 | 74.02 | |||||||||||||||||||||||||||
10.751 | — | 11.000 | 122 | 76,554,966.31 | 18.75 | 627,499.72 | 743 | 5.934 | 72.14 | |||||||||||||||||||||||||||
11.001 | — | 11.250 | 180 | 103,501,463.64 | 25.35 | 575,008.13 | 742 | 6.204 | 69.95 | |||||||||||||||||||||||||||
11.251 | — | 11.500 | 186 | 104,632,349.32 | 25.63 | 562,539.51 | 735 | 6.423 | 71.70 | |||||||||||||||||||||||||||
11.501 | — | 11.750 | 97 | 46,356,006.67 | 11.35 | 477,896.98 | 737 | 6.670 | 71.45 | |||||||||||||||||||||||||||
11.751 | — | 12.000 | 52 | 16,953,397.34 | 4.15 | 326,026.87 | 728 | 6.908 | 74.69 | |||||||||||||||||||||||||||
12.001 | — | 12.250 | 10 | 2,314,650.00 | 0.57 | 231,465.00 | 745 | 7.167 | 79.91 | |||||||||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average maximum Mortgage Rate of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 11.203% per annum. |
S-B-24
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
July 2008 | 1 | $ | 550,326.20 | 0.13 | % | $ | 550,326.20 | 805 | 4.500 | % | 79.92 | % | ||||||||||||||||
July 2010 | 3 | 1,747,602.35 | 0.43 | 582,534.12 | 700 | 4.774 | 78.29 | |||||||||||||||||||||
August 2010 | 1 | 497,377.06 | 0.12 | 497,377.06 | 679 | 5.125 | 75.00 | |||||||||||||||||||||
March 2011 | 1 | 950,558.73 | 0.23 | 950,558.73 | 757 | 5.375 | 60.31 | |||||||||||||||||||||
June 2011 | 1 | 572,000.00 | 0.14 | 572,000.00 | 777 | 6.500 | 80.00 | |||||||||||||||||||||
July 2011 | 2 | 686,753.24 | 0.17 | 343,376.62 | 688 | 6.572 | 68.81 | |||||||||||||||||||||
August 2011 | 4 | 1,500,000.00 | 0.37 | 375,000.00 | 723 | 6.693 | 75.97 | |||||||||||||||||||||
September 2011 | 2 | 1,073,575.58 | 0.26 | 536,787.79 | 702 | 6.517 | 77.14 | |||||||||||||||||||||
October 2011 | 2 | 782,962.50 | 0.19 | 391,481.25 | 774 | 5.027 | 73.32 | |||||||||||||||||||||
November 2011 | 6 | 2,823,890.78 | 0.69 | 470,648.46 | 743 | 5.851 | 75.42 | |||||||||||||||||||||
December 2011 | 2 | 320,845.95 | 0.08 | 160,422.98 | 732 | 6.454 | 88.27 | |||||||||||||||||||||
January 2012 | 8 | 3,914,500.60 | 0.96 | 489,312.58 | 735 | 6.098 | 78.30 | |||||||||||||||||||||
February 2012 | 80 | 35,087,514.45 | 8.59 | 438,593.93 | 728 | 6.239 | 73.47 | |||||||||||||||||||||
March 2012 | 53 | 25,802,032.65 | 6.32 | 486,830.80 | 734 | 6.219 | 72.29 | |||||||||||||||||||||
April 2012 | 259 | 148,572,407.00 | 36.39 | 573,638.64 | 739 | 6.097 | 71.42 | |||||||||||||||||||||
May 2012 | 9 | 5,368,412.00 | 1.31 | 596,490.22 | 751 | 6.061 | 72.42 | |||||||||||||||||||||
July 2015 | 1 | 454,237.26 | 0.11 | 454,237.26 | 802 | 5.250 | 68.32 | |||||||||||||||||||||
August 2015 | 1 | 439,431.89 | 0.11 | 439,431.89 | 772 | 5.500 | 72.00 | |||||||||||||||||||||
October 2015 | 1 | 169,614.95 | 0.04 | 169,614.95 | 789 | 5.500 | 70.42 | |||||||||||||||||||||
June 2016 | 1 | 559,661.37 | 0.14 | 559,661.37 | 723 | 5.750 | 80.00 | |||||||||||||||||||||
October 2016 | 1 | 750,000.00 | 0.18 | 750,000.00 | 719 | 5.375 | 77.32 | |||||||||||||||||||||
November 2016 | 2 | 885,912.23 | 0.22 | 442,956.12 | 736 | 5.754 | 67.54 | |||||||||||||||||||||
December 2016 | 2 | 1,322,487.45 | 0.32 | 661,243.73 | 770 | 6.245 | 62.14 | |||||||||||||||||||||
January 2017 | 7 | 15,123,621.80 | 3.70 | 2,160,517.40 | 754 | 6.316 | 54.53 | |||||||||||||||||||||
February 2017 | 12 | 3,811,201.03 | 0.93 | 317,600.09 | 725 | 6.518 | 69.36 | |||||||||||||||||||||
March 2017 | 29 | 12,503,630.27 | 3.06 | 431,159.66 | 735 | 6.475 | 77.71 | |||||||||||||||||||||
April 2017 | 246 | 137,694,928.00 | 33.72 | 559,735.48 | 744 | 6.315 | 72.53 | |||||||||||||||||||||
May 2017 | 8 | 4,328,134.00 | 1.06 | 541,016.75 | 762 | 6.331 | 67.71 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average months to the next adjustment date of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) is approximately 84 months. |
S-B-25
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Periodic Cap (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1.000 | 1 | $ | 1,364,400.00 | 0.33 | % | $ | 1,364,400.00 | 777 | 6.375 | % | 80.00 | % | ||||||||||||||||
2.000 | 744 | 406,929,219.34 | 99.67 | 546,947.88 | 740 | 6.202 | 71.67 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average Periodic Cap of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) with Periodic Caps is approximately 1.997% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
5.000 | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average initial Periodic Cap of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) with initial Periodic Caps is approximately 5.000% per annum. |
2B (Aggregate)
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Interest-Only Term | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
(months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 64 | $ | 35,856,564.82 | 8.78 | % | $ | 560,258.83 | 735 | 6.034 | % | 71.72 | % | ||||||||||||||||
60 | 125 | 75,651,940.14 | 18.53 | 605,215.52 | 740 | 6.122 | 70.43 | |||||||||||||||||||||
120 | 556 | 296,785,114.38 | 72.69 | 533,786.18 | 741 | 6.244 | 72.02 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average original interest-only term of the Pool 2A Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) that are Interest-Only Mortgage Loans is approximately 108 months. |
S-B-26
Table of Contents
Pool 2A and Pool 2B (Aggregate)
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
Remaining | 2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | |||||||||||||||||||||||
Interest-Only | Number of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||
Term | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
(months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Not Applicable | 64 | $ | 35,856,564.82 | 8.78 | % | $ | 560,258.83 | 735 | 6.034 | % | 71.72 | % | ||||||||||||||||
31 — 40 | 1 | 339,296.28 | 0.08 | 339,296.28 | 668 | 4.875 | 80.00 | |||||||||||||||||||||
41 — 50 | 2 | 1,059,999.98 | 0.26 | 529,999.99 | 723 | 6.500 | 80.00 | |||||||||||||||||||||
51 — 60 | 122 | 74,252,643.88 | 18.19 | 608,628.23 | 741 | 6.122 | 70.25 | |||||||||||||||||||||
101 — 110 | 2 | 729,276.32 | 0.18 | 364,638.16 | 738 | 5.692 | 77.77 | |||||||||||||||||||||
111 — 120 | 554 | 296,055,838.06 | 72.51 | 534,396.82 | 741 | 6.245 | 72.01 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the non-zero weighted average remaining interest-only term of the Pool 2A and Mortgage Loans and Pool 2B Mortgage Loans (in the aggregate) that are Interest-Only Mortgage Loans in their interest-only period is approximately 106 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Servicers | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Wells Fargo Bank | 565 | $ | 306,386,767.71 | 75.04 | % | $ | 542,277.46 | 739 | 6.268 | % | 72.10 | % | ||||||||||||||||
GMACM | 162 | 89,906,507.82 | 22.02 | 554,978.44 | 744 | 6.075 | 70.32 | |||||||||||||||||||||
Other | 18 | 12,000,343.81 | 2.94 | 666,685.77 | 737 | 5.502 | 71.86 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Originators | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Wells Fargo Bank | 565 | $ | 306,386,767.71 | 75.04 | % | $ | 542,277.46 | 739 | 6.268 | % | 72.10 | % | ||||||||||||||||
AmNet | 114 | 63,763,569.00 | 15.62 | 559,329.55 | 749 | 6.060 | 68.82 | |||||||||||||||||||||
Other | 66 | 38,143,282.63 | 9.34 | 577,928.52 | 735 | 5.920 | 73.31 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
S-B-27
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | �� | Weighted | Weighted | |||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Product Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
5/1 Year LIBOR | 28 | $ | 13,853,559.69 | 3.39 | % | $ | 494,769.99 | 730 | 5.834 | % | 74.28 | % | ||||||||||||||||
5/1 Year LIBOR IO | 272 | 135,041,827.65 | 33.07 | 496,477.31 | 735 | 6.138 | 71.50 | |||||||||||||||||||||
5/1 Year CMT | 13 | 7,046,216.00 | 1.73 | 542,016.62 | 757 | 6.036 | 74.54 | |||||||||||||||||||||
5/1 Year CMT IO | 121 | 74,309,155.75 | 18.20 | 614,125.25 | 739 | 6.131 | 72.72 | |||||||||||||||||||||
10/6 Month LIBOR IO | 1 | 1,364,400.00 | 0.33 | 1,364,400.00 | 777 | 6.375 | 80.00 | |||||||||||||||||||||
10/1 Year LIBOR | 5 | 2,624,039.64 | 0.64 | 524,807.93 | 766 | 5.904 | 73.38 | |||||||||||||||||||||
10/1 Year LIBOR IO | 85 | 45,537,642.94 | 11.15 | 535,736.98 | 743 | 6.250 | 73.01 | |||||||||||||||||||||
10/1 Year CMT | 18 | 12,332,749.49 | 3.02 | 685,152.75 | 719 | 6.286 | 66.86 | |||||||||||||||||||||
10/1 Year CMT IO | 202 | 116,184,028.18 | 28.46 | 575,168.46 | 747 | 6.355 | 70.66 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A and | ||||||||||||||||||||||||||||
Pool 2A and Pool | Pool 2B | |||||||||||||||||||||||||||
2B (Aggregate) | (Aggregate) | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Interest Only | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Interest Only | 681 | $ | 372,437,054.52 | 91.22 | % | $ | 546,897.29 | 741 | 6.219 | % | 71.70 | % | ||||||||||||||||
Not Interest Only | 64 | 35,856,564.82 | 8.78 | 560,258.83 | 735 | 6.034 | 71.72 | |||||||||||||||||||||
Total | 745 | $ | 408,293,619.34 | 100.00 | % | $ | 548,045.13 | 740 | 6.203 | % | 71.70 | % | ||||||||||||||||
S-B-28
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Original | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
Stated Principal Balances ($) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
0.01 | — | 50,000.00 | 1 | $ | 38,700.00 | 0.02 | % | $ | 38,700.00 | 788 | 6.875 | % | 90.00 | % | ||||||||||||||||||||||
50,000.01 | — | 100,000.00 | 3 | 212,800.00 | 0.09 | 70,933.33 | 772 | 6.671 | 78.85 | |||||||||||||||||||||||||||
100,000.01 | — | 150,000.00 | 14 | 1,804,965.57 | 0.78 | 128,926.11 | 729 | 6.604 | 75.81 | |||||||||||||||||||||||||||
150,000.01 | — | 200,000.00 | 14 | 2,432,432.33 | 1.06 | 173,745.17 | 732 | 6.405 | 76.38 | |||||||||||||||||||||||||||
200,000.01 | — | 250,000.00 | 27 | 6,073,188.86 | 2.64 | 224,932.92 | 722 | 6.348 | 78.32 | |||||||||||||||||||||||||||
250,000.01 | — | 300,000.00 | 19 | 5,137,804.27 | 2.23 | 270,410.75 | 723 | 6.253 | 78.45 | |||||||||||||||||||||||||||
300,000.01 | — | 350,000.00 | 14 | 4,451,816.69 | 1.93 | 317,986.91 | 725 | 6.120 | 73.57 | |||||||||||||||||||||||||||
350,000.01 | — | 400,000.00 | 11 | 4,238,644.90 | 1.84 | 385,331.35 | 719 | 6.310 | 77.81 | |||||||||||||||||||||||||||
400,000.01 | — | 450,000.00 | 39 | 16,788,771.86 | 7.29 | 430,481.33 | 745 | 6.144 | 75.35 | |||||||||||||||||||||||||||
450,000.01 | — | 500,000.00 | 65 | 31,302,639.68 | 13.60 | 481,579.07 | 735 | 6.197 | 75.93 | |||||||||||||||||||||||||||
500,000.01 | — | 550,000.00 | 55 | 28,821,694.84 | 12.52 | 524,030.82 | 738 | 6.116 | 75.51 | |||||||||||||||||||||||||||
550,000.01 | — | 600,000.00 | 55 | 31,702,293.95 | 13.77 | 576,405.34 | 736 | 6.074 | 73.79 | |||||||||||||||||||||||||||
600,000.01 | — | 650,000.00 | 29 | 17,682,498.14 | 7.68 | 609,741.32 | 732 | 6.171 | 73.76 | |||||||||||||||||||||||||||
650,000.01 | — | 700,000.00 | 18 | 12,264,447.16 | 5.33 | 681,358.18 | 742 | 5.960 | 73.27 | |||||||||||||||||||||||||||
700,000.01 | — | 750,000.00 | 13 | 9,538,792.00 | 4.14 | 733,753.23 | 730 | 5.835 | 72.71 | |||||||||||||||||||||||||||
750,000.01 | — | 800,000.00 | 6 | 4,629,167.85 | 2.01 | 771,527.98 | 720 | 6.063 | 70.07 | |||||||||||||||||||||||||||
800,000.01 | — | 850,000.00 | 4 | 3,308,000.00 | 1.44 | 827,000.00 | 760 | 6.129 | 60.02 | |||||||||||||||||||||||||||
850,000.01 | — | 900,000.00 | 8 | 6,904,150.00 | 3.00 | 863,018.75 | 773 | 6.123 | 67.16 | |||||||||||||||||||||||||||
900,000.01 | — | 950,000.00 | 9 | 8,378,500.00 | 3.64 | 930,944.44 | 731 | 6.266 | 64.37 | |||||||||||||||||||||||||||
950,000.01 | — | 1,000,000.00 | 20 | 19,724,750.99 | 8.57 | 986,237.55 | 729 | 5.906 | 67.14 | |||||||||||||||||||||||||||
1,000,000.01 | — | 1,500,000.00 | 6 | 7,144,700.00 | 3.10 | 1,190,783.33 | 753 | 6.091 | 58.49 | |||||||||||||||||||||||||||
1,500,000.01 | — | 2,000,000.00 | 4 | 7,670,000.00 | 3.33 | 1,917,500.00 | 754 | 6.128 | 53.84 | |||||||||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the average original stated principal balance of the Pool 2A Mortgage Loans at origination is approximately $532,156. |
S-B-29
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Statistical Calculation Date | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
Stated Principal Balances ($) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
0.01 | — | 50,000.00 | 1 | $ | 38,700.00 | 0.02 | % | $ | 38,700.00 | 788 | 6.875 | % | 90.00 | % | ||||||||||||||||||||||
50,000.01 | — | 100,000.00 | 3 | 212,800.00 | 0.09 | 70,933.33 | 772 | 6.671 | 78.85 | |||||||||||||||||||||||||||
100,000.01 | — | 150,000.00 | 15 | 1,921,907.59 | 0.83 | 128,127.17 | 731 | 6.590 | 76.06 | |||||||||||||||||||||||||||
150,000.01 | — | 200,000.00 | 14 | 2,432,432.33 | 1.06 | 173,745.17 | 732 | 6.405 | 76.38 | |||||||||||||||||||||||||||
200,000.01 | — | 250,000.00 | 27 | 6,073,188.86 | 2.64 | 224,932.92 | 722 | 6.348 | 78.32 | |||||||||||||||||||||||||||
250,000.01 | — | 300,000.00 | 19 | 5,137,804.27 | 2.23 | 270,410.75 | 723 | 6.253 | 78.45 | |||||||||||||||||||||||||||
300,000.01 | — | 350,000.00 | 14 | 4,451,816.69 | 1.93 | 317,986.91 | 725 | 6.120 | 73.57 | |||||||||||||||||||||||||||
350,000.01 | — | 400,000.00 | 11 | 4,238,644.90 | 1.84 | 385,331.35 | 719 | 6.310 | 77.81 | |||||||||||||||||||||||||||
400,000.01 | — | 450,000.00 | 40 | 17,224,571.34 | 7.48 | 430,614.28 | 746 | 6.109 | 75.47 | |||||||||||||||||||||||||||
450,000.01 | — | 500,000.00 | 65 | 31,364,217.26 | 13.62 | 482,526.42 | 734 | 6.200 | 75.85 | |||||||||||||||||||||||||||
500,000.01 | — | 550,000.00 | 54 | 28,324,317.78 | 12.30 | 524,524.40 | 739 | 6.134 | 75.52 | |||||||||||||||||||||||||||
550,000.01 | — | 600,000.00 | 55 | 31,702,293.95 | 13.77 | 576,405.34 | 736 | 6.074 | 73.79 | |||||||||||||||||||||||||||
600,000.01 | — | 650,000.00 | 28 | 17,565,556.12 | 7.63 | 627,341.29 | 732 | 6.170 | 73.72 | |||||||||||||||||||||||||||
650,000.01 | — | 700,000.00 | 18 | 12,264,447.16 | 5.33 | 681,358.18 | 742 | 5.960 | 73.27 | |||||||||||||||||||||||||||
700,000.01 | — | 750,000.00 | 13 | 9,538,792.00 | 4.14 | 733,753.23 | 730 | 5.835 | 72.71 | |||||||||||||||||||||||||||
750,000.01 | — | 800,000.00 | 6 | 4,629,167.85 | 2.01 | 771,527.98 | 720 | 6.063 | 70.07 | |||||||||||||||||||||||||||
800,000.01 | — | 850,000.00 | 5 | 4,133,000.00 | 1.79 | 826,600.00 | 768 | 6.178 | 61.11 | |||||||||||||||||||||||||||
850,000.01 | — | 900,000.00 | 7 | 6,079,150.00 | 2.64 | 868,450.00 | 770 | 6.089 | 67.39 | |||||||||||||||||||||||||||
900,000.01 | — | 950,000.00 | 9 | 8,378,500.00 | 3.64 | 930,944.44 | 731 | 6.266 | 64.37 | |||||||||||||||||||||||||||
950,000.01 | — | 1,000,000.00 | 20 | 19,724,750.99 | 8.57 | 986,237.55 | 729 | 5.906 | 67.14 | |||||||||||||||||||||||||||
1,000,000.01 | — | 1,500,000.00 | 6 | 7,144,700.00 | 3.10 | 1,190,783.33 | 753 | 6.091 | 58.49 | |||||||||||||||||||||||||||
1,500,000.01 | — | 2,000,000.00 | 4 | 7,670,000.00 | 3.33 | 1,917,500.00 | 754 | 6.128 | 53.84 | |||||||||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the average stated principal balance of the Pool 2A Mortgage Loans is approximately $530,532. |
S-B-30
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
4.251 — 4.500 | 1 | $ | 550,326.20 | 0.24 | % | $ | 550,326.20 | 805 | 4.500 | % | 79.92 | % | ||||||||||||||||
4.501 — 4.750 | 3 | 1,943,306.07 | 0.84 | 647,768.69 | 729 | 4.750 | 75.77 | |||||||||||||||||||||
4.751 — 5.000 | 4 | 1,517,416.28 | 0.66 | 379,354.07 | 718 | 4.937 | 79.95 | |||||||||||||||||||||
5.001 — 5.250 | 1 | 497,377.06 | 0.22 | 497,377.06 | 679 | 5.125 | 75.00 | |||||||||||||||||||||
5.251 — 5.500 | 31 | 18,003,935.44 | 7.82 | 580,772.11 | 745 | 5.459 | 70.24 | |||||||||||||||||||||
5.501 — 5.750 | 38 | 21,730,588.00 | 9.44 | 571,857.58 | 746 | 5.710 | 72.94 | |||||||||||||||||||||
5.751 — 6.000 | 90 | 54,694,824.86 | 23.75 | 607,720.28 | 740 | 5.928 | 72.44 | |||||||||||||||||||||
6.001 — 6.250 | 104 | 59,840,073.84 | 25.99 | 575,385.33 | 737 | 6.197 | 71.34 | |||||||||||||||||||||
6.251 — 6.500 | 88 | 42,574,009.60 | 18.49 | 483,795.56 | 731 | 6.410 | 69.47 | |||||||||||||||||||||
6.501 — 6.750 | 44 | 18,355,022.67 | 7.97 | 417,159.61 | 728 | 6.682 | 76.26 | |||||||||||||||||||||
6.751 — 7.000 | 25 | 9,048,839.07 | 3.93 | 361,953.56 | 723 | 6.897 | 78.09 | |||||||||||||||||||||
7.001 — 7.250 | 5 | 1,495,040.00 | 0.65 | 299,008.00 | 747 | 7.178 | 80.00 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average Mortgage Rate of the Pool 2A Mortgage Loans is approximately 6.114% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
301 — 360 | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Cut-off Date, the weighted average remaining term of the Pool 2A Mortgage Loans is approximately 358 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
360 | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
S-B-31
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Seasoning | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
(in months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 9 | $ | 5,368,412.00 | 2.33 | % | $ | 596,490.22 | 751 | 6.061 | % | 72.42 | % | ||||||||||||||||
1 — 6 | 408 | 216,521,191.43 | 94.04 | 530,689.19 | 737 | 6.132 | 72.06 | |||||||||||||||||||||
7 — 12 | 11 | 4,615,291.32 | 2.00 | 419,571.94 | 728 | 6.327 | 75.22 | |||||||||||||||||||||
13 — 18 | 1 | 950,558.73 | 0.41 | 950,558.73 | 757 | 5.375 | 60.31 | |||||||||||||||||||||
19 — 24 | 4 | 2,244,979.41 | 0.98 | 561,244.85 | 695 | 4.852 | 77.56 | |||||||||||||||||||||
43 — 48 | 1 | 550,326.20 | 0.24 | 550,326.20 | 805 | 4.500 | 79.92 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Cut-off Date, the weighted average seasoning of the Pool 2A Mortgage Loans is approximately 2 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Original Loan-to-Value | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
Ratios (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
10.01 — 20.00 | 2 | 1,062,000.00 | 0.46 | % | $ | 531,000.00 | 773 | 6.428 | % | 16.98 | % | |||||||||||||||||
20.01 — 30.00 | 6 | 3,449,920.41 | 1.50 | 574,986.74 | 759 | 6.001 | 24.87 | |||||||||||||||||||||
30.01 — 40.00 | 7 | 4,498,000.00 | 1.95 | 642,571.43 | 777 | 6.223 | 36.63 | |||||||||||||||||||||
40.01 — 50.00 | 12 | 11,743,228.76 | 5.10 | 978,602.40 | 756 | 6.172 | 44.40 | |||||||||||||||||||||
50.01 — 60.00 | 22 | 15,490,740.00 | 6.73 | 704,124.55 | 741 | 5.957 | 56.78 | |||||||||||||||||||||
60.01 — 70.00 | 37 | 24,898,215.19 | 10.81 | 672,924.73 | 739 | 6.043 | 66.73 | |||||||||||||||||||||
70.01 — 80.00 | 337 | 165,916,888.80 | 72.06 | 492,334.98 | 733 | 6.125 | 78.30 | |||||||||||||||||||||
80.01 — 90.00 | 7 | 1,915,942.00 | 0.83 | 273,706.00 | 701 | 6.427 | 89.41 | |||||||||||||||||||||
90.01 — 100.00 | 4 | 1,275,823.93 | 0.55 | 318,955.98 | 735 | 6.680 | 94.25 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average original Loan-to-Value Ratio of the Pool 2A Mortgage Loans is approximately 72.16%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
S-B-32
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Current Loan-to-Value | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
Ratios (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
10.01 — 20.00 | 3 | $ | 1,178,942.02 | 0.51 | % | $ | 392,980.67 | 771 | 6.423 | % | 23.23 | % | ||||||||||||||||
20.01 — 30.00 | 6 | 3,449,920.41 | 1.50 | 574,986.74 | 759 | 6.001 | 24.87 | |||||||||||||||||||||
30.01 — 40.00 | 7 | 4,498,000.00 | 1.95 | 642,571.43 | 777 | 6.223 | 36.63 | |||||||||||||||||||||
40.01 — 50.00 | 12 | 11,743,228.76 | 5.10 | 978,602.40 | 756 | 6.172 | 44.40 | |||||||||||||||||||||
50.01 — 60.00 | 24 | 17,266,298.73 | 7.50 | 719,429.11 | 745 | 5.945 | 57.39 | |||||||||||||||||||||
60.01 — 70.00 | 36 | 23,657,656.46 | 10.27 | 657,157.12 | 737 | 6.029 | 67.11 | |||||||||||||||||||||
70.01 — 80.00 | 335 | 165,264,946.78 | 71.78 | 493,328.20 | 733 | 6.129 | 78.32 | |||||||||||||||||||||
80.01 — 90.00 | 7 | 1,915,942.00 | 0.83 | 273,706.00 | 701 | 6.427 | 89.41 | |||||||||||||||||||||
90.01 — 100.00 | 4 | 1,275,823.93 | 0.55 | 318,955.98 | 735 | 6.680 | 94.25 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average current Loan-to-Value Ratio of the Pool 2A Mortgage Loans is approximately 72.06%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
621 — 640 | 1 | $ | 712,232.00 | 0.31 | % | $ | 712,232.00 | 634 | 6.500 | % | 90.00 | % | ||||||||||||||||
641 — 660 | 8 | 3,271,499.98 | 1.42 | 408,937.50 | 654 | 6.306 | 72.06 | |||||||||||||||||||||
661 — 680 | 45 | 21,553,317.46 | 9.36 | 478,962.61 | 671 | 6.094 | 73.05 | |||||||||||||||||||||
681 — 700 | 56 | 29,392,922.09 | 12.77 | 524,873.61 | 691 | 6.126 | 75.14 | |||||||||||||||||||||
701 — 720 | 57 | 31,131,948.13 | 13.52 | 546,174.53 | 710 | 6.189 | 73.83 | |||||||||||||||||||||
721 — 740 | 62 | 34,814,682.73 | 15.12 | 561,527.14 | 731 | 6.194 | 74.18 | |||||||||||||||||||||
741 — 760 | 60 | 28,509,961.90 | 12.38 | 475,166.03 | 749 | 6.069 | 73.19 | |||||||||||||||||||||
761 — 780 | 67 | 37,096,351.02 | 16.11 | 553,676.88 | 771 | 6.120 | 70.81 | |||||||||||||||||||||
781 — 800 | 59 | 33,579,076.64 | 14.58 | 569,136.89 | 790 | 6.007 | 64.95 | |||||||||||||||||||||
801 — 820 | 19 | 10,188,767.14 | 4.43 | 536,250.90 | 806 | 5.999 | 74.17 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average credit score of the Pool 2A Mortgage Loans having credit scores is approximately 737. See “Description of the Mortgage Pools — The Mortgage Loans” herein. |
S-B-33
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
State | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Arizona | 33 | $ | 18,854,458.46 | 8.19 | % | $ | 571,347.23 | 746 | 6.256 | % | 66.99 | % | ||||||||||||||||
California | 149 | 84,968,064.85 | 36.90 | 570,255.47 | 735 | 6.088 | 72.29 | |||||||||||||||||||||
Colorado | 14 | 6,936,730.00 | 3.01 | 495,480.71 | 739 | 6.230 | 77.02 | |||||||||||||||||||||
Connecticut | 6 | 3,185,664.89 | 1.38 | 530,944.15 | 724 | 5.909 | 63.17 | |||||||||||||||||||||
Delaware | 1 | 585,000.00 | 0.25 | 585,000.00 | 738 | 5.625 | 65.00 | |||||||||||||||||||||
District of Columbia | 1 | 116,942.02 | 0.05 | 116,942.02 | 759 | 6.375 | 80.00 | |||||||||||||||||||||
Florida | 34 | 18,385,581.49 | 7.99 | 540,752.40 | 753 | 6.000 | 73.58 | |||||||||||||||||||||
Georgia | 6 | 2,728,262.00 | 1.18 | 454,710.33 | 728 | 6.005 | 77.23 | |||||||||||||||||||||
Hawaii | 1 | 231,200.00 | 0.10 | 231,200.00 | 785 | 5.500 | 80.00 | |||||||||||||||||||||
Idaho | 2 | 708,000.00 | 0.31 | 354,000.00 | 688 | 6.383 | 78.77 | |||||||||||||||||||||
Illinois | 26 | 12,181,077.37 | 5.29 | 468,502.98 | 723 | 6.236 | 74.32 | |||||||||||||||||||||
Indiana | 2 | 1,138,819.99 | 0.49 | 569,410.00 | 711 | 6.186 | 76.35 | |||||||||||||||||||||
Kentucky | 2 | 1,143,920.00 | 0.50 | 571,960.00 | 711 | 6.469 | 60.02 | |||||||||||||||||||||
Maryland | 12 | 6,297,200.00 | 2.73 | 524,766.67 | 751 | 6.006 | 59.34 | |||||||||||||||||||||
Massachusetts | 5 | 2,432,090.00 | 1.06 | 486,418.00 | 727 | 6.108 | 77.32 | |||||||||||||||||||||
Michigan | 2 | 1,824,900.00 | 0.79 | 912,450.00 | 717 | 6.497 | 47.49 | |||||||||||||||||||||
Minnesota | 2 | 744,450.00 | 0.32 | 372,225.00 | 742 | 6.458 | 79.62 | |||||||||||||||||||||
Missouri | 4 | 1,557,370.00 | 0.68 | 389,342.50 | 749 | 6.204 | 77.58 | |||||||||||||||||||||
Montana | 1 | 128,531.00 | 0.06 | 128,531.00 | 698 | 6.500 | 80.00 | |||||||||||||||||||||
Nevada | 8 | 2,736,525.75 | 1.19 | 342,065.72 | 732 | 5.841 | 78.58 | |||||||||||||||||||||
New Jersey | 14 | 8,035,515.50 | 3.49 | 573,965.39 | 740 | 6.004 | 68.28 | |||||||||||||||||||||
New York | 12 | 7,081,343.91 | 3.08 | 590,111.99 | 729 | 6.276 | 74.79 | |||||||||||||||||||||
North Carolina | 7 | 3,539,051.25 | 1.54 | 505,578.75 | 724 | 6.293 | 74.47 | |||||||||||||||||||||
Oregon | 9 | 4,326,497.22 | 1.88 | 480,721.91 | 710 | 6.182 | 76.92 | |||||||||||||||||||||
Pennsylvania | 9 | 5,535,705.26 | 2.40 | 615,078.36 | 743 | 6.026 | 66.02 | |||||||||||||||||||||
Rhode Island | 2 | 768,000.00 | 0.33 | 384,000.00 | 744 | 6.479 | 80.00 | |||||||||||||||||||||
South Carolina | 3 | 1,262,000.00 | 0.55 | 420,666.67 | 686 | 6.373 | 73.01 | |||||||||||||||||||||
Tennessee | 3 | 1,066,513.42 | 0.46 | 355,504.47 | 729 | 5.645 | 80.00 | |||||||||||||||||||||
Texas | 6 | 3,499,596.64 | 1.52 | 583,266.11 | 771 | 5.933 | 77.68 | |||||||||||||||||||||
Utah | 7 | 2,437,118.07 | 1.06 | 348,159.72 | 732 | 6.285 | 80.46 | |||||||||||||||||||||
Virginia | 18 | 9,028,510.00 | 3.92 | 501,583.89 | 730 | 5.963 | 79.29 | |||||||||||||||||||||
Washington | 32 | 16,202,120.00 | 7.04 | 506,316.25 | 744 | 6.176 | 71.81 | |||||||||||||||||||||
Wisconsin | 1 | 584,000.00 | 0.25 | 584,000.00 | 696 | 6.375 | 80.00 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | No more than approximately 1.46% of the Pool 2A Mortgage Loans are secured by Mortgaged Properties in any one postal zip code area. |
S-B-34
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Primary | 368 | $ | 200,906,669.18 | 87.26 | % | $ | 545,942.04 | 733 | 6.104 | % | 72.14 | % | ||||||||||||||||
Second Home | 35 | 21,547,660.42 | 9.36 | 615,647.44 | 765 | 6.126 | 69.21 | |||||||||||||||||||||
Investment | 31 | 7,796,429.49 | 3.39 | 251,497.73 | 750 | 6.341 | 80.64 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | Based upon representations of the related borrowers at the time of origination. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Single Family Residence | 335 | $ | 180,541,673.50 | 78.41 | % | $ | 538,930.37 | 735 | 6.128 | % | 71.23 | % | ||||||||||||||||
Condominium | 72 | 36,497,480.63 | 15.85 | 506,909.45 | 748 | 6.075 | 76.15 | |||||||||||||||||||||
Planned Unit Development | 17 | 8,340,276.96 | 3.62 | 490,604.53 | 755 | 5.910 | 73.60 | |||||||||||||||||||||
Two-Four Family | 9 | 4,271,328.00 | 1.86 | 474,592.00 | 695 | 6.277 | 74.35 | |||||||||||||||||||||
Cooperative | 1 | 600,000.00 | 0.26 | 600,000.00 | 750 | 6.250 | 72.73 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Purchase | 217 | $ | 108,592,436.33 | 47.16 | % | $ | 500,425.97 | 743 | 6.073 | % | 76.86 | % | ||||||||||||||||
Refinance — Rate Term | 113 | 63,565,044.71 | 27.61 | 562,522.52 | 733 | 6.168 | 68.71 | |||||||||||||||||||||
Refinance — Cashout | 104 | 58,093,278.05 | 25.23 | 558,589.21 | 730 | 6.134 | 67.13 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
S-B-35
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Prepayment Penalty (months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Reduced/Limited Documentation | 264 | $ | 146,239,766.53 | 63.51 | % | $ | 553,938.51 | 740 | 6.141 | % | 71.01 | % | ||||||||||||||||
Full Documentation | 169 | 83,190,992.56 | 36.13 | 492,254.39 | 731 | 6.072 | 74.31 | |||||||||||||||||||||
No Documentation | 1 | 820,000.00 | 0.36 | 820,000.00 | 787 | 5.750 | 58.57 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Index | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
One–Year LIBOR | 300 | $ | 148,895,387.34 | 64.67 | % | $ | 496,317.96 | 735 | 6.110 | % | 71.76 | % | ||||||||||||||||
One–Year CMT | 134 | 81,355,371.75 | 35.33 | 607,129.64 | 741 | 6.123 | 72.87 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
S-B-36
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1.875 | 2 | $ | 595,900.00 | 0.26 | % | $ | 297,950.00 | 733 | 6.535 | % | 78.55 | % | ||||||||||||||||
2.250 | 295 | 147,079,883.41 | 63.88 | 498,575.88 | 735 | 6.108 | 71.70 | |||||||||||||||||||||
2.500 | 2 | 1,015,700.00 | 0.44 | 507,850.00 | 661 | 6.075 | 72.57 | |||||||||||||||||||||
2.750 | 135 | 81,559,275.68 | 35.42 | 604,142.78 | 740 | 6.124 | 72.92 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average margin of the Pool 2A Mortgage Loans is approximately 2.427%. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Minimum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1.751 — 2.000 | 3 | $ | 1,030,900.00 | 0.45 | % | $ | 343,633.33 | 715 | 6.415 | % | 76.20 | % | ||||||||||||||||
2.001 — 2.250 | 294 | 146,644,883.41 | 63.69 | 498,792.12 | 735 | 6.107 | 71.70 | |||||||||||||||||||||
2.251 –– 2.500 | 2 | 1,015,700.00 | 0.44 | 507,850.00 | 661 | 6.075 | 72.57 | |||||||||||||||||||||
2.501 — 2.750 | 135 | 81,559,275.68 | 35.42 | 604,142.78 | 740 | 6.124 | 72.92 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average minimum Mortgage Rate of the Pool 2A Mortgage Loans is approximately 2.427% per annum. |
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
9.251 | — | 9.500 | 1 | $ | 550,326.20 | 0.24 | % | $ | 550,326.20 | 805 | 4.500 | % | 79.92 | % | ||||||||||||||||||||||
9.501 | — | 9.750 | 3 | 1,943,306.07 | 0.84 | 647,768.69 | 729 | 4.750 | 75.77 | |||||||||||||||||||||||||||
9.751 | — | 10.000 | 4 | 1,517,416.28 | 0.66 | 379,354.07 | 718 | 4.937 | 79.95 | |||||||||||||||||||||||||||
10.001 | — | 10.250 | 1 | 497,377.06 | 0.22 | 497,377.06 | 679 | 5.125 | 75.00 | |||||||||||||||||||||||||||
10.251 | — | 10.500 | 31 | 18,003,935.44 | 7.82 | 580,772.11 | 745 | 5.459 | 70.24 | |||||||||||||||||||||||||||
10.501 | — | 10.750 | 38 | 21,730,588.00 | 9.44 | 571,857.58 | 746 | 5.710 | 72.94 | |||||||||||||||||||||||||||
10.751 | — | 11.000 | 90 | 54,694,824.86 | 23.75 | 607,720.28 | 740 | 5.928 | 72.44 | |||||||||||||||||||||||||||
11.001 | — | 11.250 | 104 | 59,840,073.84 | 25.99 | 575,385.33 | 737 | 6.197 | 71.34 | |||||||||||||||||||||||||||
11.251 | — | 11.500 | 88 | 42,574,009.60 | 18.49 | 483,795.56 | 731 | 6.410 | 69.47 | |||||||||||||||||||||||||||
11.501 | — | 11.750 | 44 | 18,355,022.67 | 7.97 | 417,159.61 | 728 | 6.682 | 76.26 | |||||||||||||||||||||||||||
11.751 | — | 12.000 | 25 | 9,048,839.07 | 3.93 | 361,953.56 | 723 | 6.897 | 78.09 | |||||||||||||||||||||||||||
12.001 | — | 12.250 | 5 | 1,495,040.00 | 0.65 | 299,008.00 | 747 | 7.178 | 80.00 | |||||||||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average maximum Mortgage Rate of the Pool 2A Mortgage Loans is approximately 11.114% per annum. |
S-B-37
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
July 2008 | 1 | $ | 550,326.20 | 0.24 | % | $ | 550,326.20 | 805 | 4.500 | % | 79.92 | % | ||||||||||||||||
July 2010 | 3 | 1,747,602.35 | 0.76 | 582,534.12 | 700 | 4.774 | 78.29 | |||||||||||||||||||||
August 2010 | 1 | 497,377.06 | 0.22 | 497,377.06 | 679 | 5.125 | 75.00 | |||||||||||||||||||||
March 2011 | 1 | 950,558.73 | 0.41 | 950,558.73 | 757 | 5.375 | 60.31 | |||||||||||||||||||||
June 2011 | 1 | 572,000.00 | 0.25 | 572,000.00 | 777 | 6.500 | 80.00 | |||||||||||||||||||||
July 2011 | 2 | 686,753.24 | 0.30 | 343,376.62 | 688 | 6.572 | 68.81 | |||||||||||||||||||||
August 2011 | 4 | 1,500,000.00 | 0.65 | 375,000.00 | 723 | 6.693 | 75.97 | |||||||||||||||||||||
September 2011 | 2 | 1,073,575.58 | 0.47 | 536,787.79 | 702 | 6.517 | 77.14 | |||||||||||||||||||||
October 2011 | 2 | 782,962.50 | 0.34 | 391,481.25 | 774 | 5.027 | 73.32 | |||||||||||||||||||||
November 2011 | 6 | 2,823,890.78 | 1.23 | 470,648.46 | 743 | 5.851 | 75.42 | |||||||||||||||||||||
December 2011 | 2 | 320,845.95 | 0.14 | 160,422.98 | 732 | 6.454 | 88.27 | |||||||||||||||||||||
January 2012 | 8 | 3,914,500.60 | 1.70 | 489,312.58 | 735 | 6.098 | 78.30 | |||||||||||||||||||||
February 2012 | 80 | 35,087,514.45 | 15.24 | 438,593.93 | 728 | 6.239 | 73.47 | |||||||||||||||||||||
March 2012 | 53 | 25,802,032.65 | 11.21 | 486,830.80 | 734 | 6.219 | 72.29 | |||||||||||||||||||||
April 2012 | 259 | 148,572,407.00 | 64.53 | 573,638.64 | 739 | 6.097 | 71.42 | |||||||||||||||||||||
May 2012 | 9 | 5,368,412.00 | 2.33 | 596,490.22 | 751 | 6.061 | 72.42 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average months to the next adjustment date of the Pool 2A Mortgage Loans is approximately 58 months. |
S-B-38
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Periodic Cap (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
2.000 | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average Periodic Cap of the Pool 2A Mortgage Loans with Periodic Caps is approximately 2.000% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
5.000 | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average initial Periodic Cap of the Pool 2A Mortgage Loans with initial Periodic Caps is approximately 5.000% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Interest-Only Term | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
(months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 41 | $ | 20,899,775.69 | 9.08 | % | $ | 509,750.63 | 739 | 5.902 | % | 74.37 | % | ||||||||||||||||
60 | 125 | 75,651,940.14 | 32.86 | 605,215.52 | 740 | 6.122 | 70.43 | |||||||||||||||||||||
120 | 268 | 133,699,043.26 | 58.07 | 498,877.03 | 735 | 6.143 | 72.79 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average original interest-only term of the Pool 2A Mortgage Loans that are Interest-Only Mortgage Loans is approximately 98 months. |
S-B-39
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Remaining | Pool 2A | Pool 2A | Weighted | Weighted | Weighted | |||||||||||||||||||||||||||||||
Interest-Only | Number of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||||||||||
Term | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
(months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
Not Applicable | 41 | $ | 20,899,775.69 | 9.08 | % | $ | 509,750.63 | 739 | 5.902 | % | 74.37 | % | ||||||||||||||||||||||||
31 | — | 40 | 1 | 339,296.28 | 0.15 | 339,296.28 | 668 | 4.875 | 80.00 | |||||||||||||||||||||||||||
41 | — | 50 | 2 | 1,059,999.98 | 0.46 | 529,999.99 | 723 | 6.500 | 80.00 | |||||||||||||||||||||||||||
51 | — | 60 | 122 | 74,252,643.88 | 32.25 | 608,628.23 | 741 | 6.122 | 70.25 | |||||||||||||||||||||||||||
111 | — | 120 | 268 | 133,699,043.26 | 58.07 | 498,877.03 | 735 | 6.143 | 72.79 | |||||||||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the non-zero weighted average remaining interest-only term of the Pool 2A Mortgage Loans that are Interest-Only Mortgage Loans in their interest-only period is approximately 97 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Servicers | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Wells Fargo Bank | 290 | $ | 151,135,809.52 | 65.64 | % | $ | 521,157.96 | 734 | 6.180 | % | 73.40 | % | ||||||||||||||||
GMACM | 131 | 69,756,057.82 | 30.30 | 532,488.99 | 743 | 6.054 | 69.62 | |||||||||||||||||||||
Other | 13 | 9,358,891.75 | 4.06 | 719,914.75 | 736 | 5.516 | 71.01 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Originators | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Wells Fargo Bank | 290 | $ | 151,135,809.52 | 65.64 | % | $ | 521,157.96 | 734 | 6.180 | % | 73.40 | % | ||||||||||||||||
AmNet | 92 | 50,492,269.00 | 21.93 | 548,829.01 | 749 | 6.034 | 68.36 | |||||||||||||||||||||
Other | 52 | 28,622,680.57 | 12.43 | 550,436.16 | 732 | 5.912 | 72.30 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
S-B-40
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Product Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
5/1 Year LIBOR | 28 | $ | 13,853,559.69 | 6.02 | % | $ | 494,769.99 | 730 | 5.834 | % | 74.28 | % | ||||||||||||||||
5/1 Year LIBOR IO | 272 | 135,041,827.65 | 58.65 | 496,477.31 | 735 | 6.138 | 71.50 | |||||||||||||||||||||
5/1 Year CMT | 13 | 7,046,216.00 | 3.06 | 542,016.62 | 757 | 6.036 | 74.54 | |||||||||||||||||||||
5/1 Year CMT IO | 121 | 74,309,155.75 | 32.27 | 614,125.25 | 739 | 6.131 | 72.72 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Interest Only | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Interest Only | 393 | $ | 209,350,983.40 | 90.92 | % | $ | 532,699.70 | 737 | 6.136 | % | 71.93 | % | ||||||||||||||||
Not Interest Only | 41 | 20,899,775.69 | 9.08 | 509,750.63 | 739 | 5.902 | 74.37 | |||||||||||||||||||||
Total | 434 | $ | 230,250,759.09 | 100.00 | % | $ | 530,531.70 | 737 | 6.114 | % | 72.16 | % | ||||||||||||||||
S-B-41
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Original | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
Stated Principal Balances ($) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
50,000.01 | — | 100,000.00 | 6 | $ | 506,050.00 | 0.28 | % | $ | 84,341.67 | 748 | 6.962 | % | 79.58 | % | ||||||||||||||||||||||
100,000.01 | — | 150,000.00 | 9 | 1,172,262.00 | 0.66 | 130,251.33 | 732 | 6.558 | 66.66 | |||||||||||||||||||||||||||
150,000.01 | — | 200,000.00 | 26 | 4,453,348.47 | 2.50 | 171,282.63 | 711 | 6.516 | 80.77 | |||||||||||||||||||||||||||
200,000.01 | — | 250,000.00 | 27 | 6,094,035.00 | 3.42 | 225,705.00 | 747 | 6.451 | 78.37 | |||||||||||||||||||||||||||
250,000.01 | — | 300,000.00 | 20 | 5,574,507.00 | 3.13 | 278,725.35 | 733 | 6.515 | 77.03 | |||||||||||||||||||||||||||
300,000.01 | — | 350,000.00 | 16 | 5,271,080.00 | 2.96 | 329,442.50 | 750 | 6.477 | 73.46 | |||||||||||||||||||||||||||
350,000.01 | — | 400,000.00 | 12 | 4,562,199.00 | 2.56 | 380,183.25 | 751 | 6.566 | 72.21 | |||||||||||||||||||||||||||
400,000.01 | — | 450,000.00 | 20 | 8,605,660.12 | 4.83 | 430,283.01 | 744 | 6.135 | 75.26 | |||||||||||||||||||||||||||
450,000.01 | — | 500,000.00 | 31 | 14,824,177.26 | 8.33 | 478,199.27 | 744 | 6.280 | 72.41 | |||||||||||||||||||||||||||
500,000.01 | — | 550,000.00 | 32 | 16,940,687.78 | 9.51 | 529,396.49 | 738 | 6.324 | 75.24 | |||||||||||||||||||||||||||
550,000.01 | — | 600,000.00 | 21 | 12,079,759.37 | 6.78 | 575,226.64 | 744 | 6.198 | 72.80 | |||||||||||||||||||||||||||
600,000.01 | — | 650,000.00 | 17 | 10,747,100.00 | 6.04 | 632,182.35 | 744 | 6.397 | 73.34 | |||||||||||||||||||||||||||
650,000.01 | — | 700,000.00 | 11 | 7,383,553.00 | 4.15 | 671,232.09 | 743 | 6.261 | 79.83 | |||||||||||||||||||||||||||
700,000.01 | — | 750,000.00 | 6 | 4,347,350.00 | 2.44 | 724,558.33 | 735 | 6.121 | 77.12 | |||||||||||||||||||||||||||
750,000.01 | — | 800,000.00 | 10 | 7,768,250.00 | 4.36 | 776,825.00 | 765 | 6.338 | 72.22 | |||||||||||||||||||||||||||
800,000.01 | — | 850,000.00 | 2 | 1,670,000.00 | 0.94 | 835,000.00 | 751 | 6.375 | 57.15 | |||||||||||||||||||||||||||
850,000.01 | — | 900,000.00 | 4 | 3,500,000.00 | 1.97 | 875,000.00 | 793 | 6.090 | 51.71 | |||||||||||||||||||||||||||
900,000.01 | — | 950,000.00 | 7 | 6,508,100.00 | 3.66 | 929,728.57 | 746 | 6.377 | 75.96 | |||||||||||||||||||||||||||
950,000.01 | — | 1,000,000.00 | 14 | 13,899,919.45 | 7.81 | 992,851.39 | 746 | 6.269 | 62.83 | |||||||||||||||||||||||||||
1,000,000.01 | — | 1,500,000.00 | 8 | 10,145,400.00 | 5.70 | 1,268,175.00 | 746 | 6.257 | 74.86 | |||||||||||||||||||||||||||
1,500,000.01 | — | 2,000,000.00 | 4 | 6,828,421.80 | 3.84 | 1,707,105.45 | 727 | 6.210 | 67.24 | |||||||||||||||||||||||||||
2,000,000.01 | — | 2,500,000.00 | 2 | 4,900,000.00 | 2.75 | 2,450,000.00 | 790 | 6.311 | 56.54 | |||||||||||||||||||||||||||
2,500,000.01 | — | 3,000,000.00 | 3 | 8,421,000.00 | 4.73 | 2,807,000.00 | 707 | 6.343 | 73.17 | |||||||||||||||||||||||||||
3,000,000.01 or greater | 3 | 11,840,000.00 | 6.65 | 3,946,666.67 | 758 | 6.348 | 55.22 | |||||||||||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the average original stated principal balance of the Pool 2B Mortgage Loans at origination is approximately $572,745. |
S-B-42
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Statistical Calculation Date | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
Stated Principal Balances ($) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
50,000.01 | — | 100,000.00 | 6 | $ | 506,050.00 | 0.28 | % | $ | 84,341.67 | 748 | 6.962 | % | 79.58 | % | ||||||||||||||||||||||
100,000.01 | — | 150,000.00 | 9 | 1,172,262.00 | 0.66 | 130,251.33 | 732 | 6.558 | 66.66 | |||||||||||||||||||||||||||
150,000.01 | — | 200,000.00 | 26 | 4,453,348.47 | 2.50 | 171,282.63 | 711 | 6.516 | 80.77 | |||||||||||||||||||||||||||
200,000.01 | — | 250,000.00 | 27 | 6,094,035.00 | 3.42 | 225,705.00 | 747 | 6.451 | 78.37 | |||||||||||||||||||||||||||
250,000.01 | — | 300,000.00 | 20 | 5,574,507.00 | 3.13 | 278,725.35 | 733 | 6.515 | 77.03 | |||||||||||||||||||||||||||
300,000.01 | — | 350,000.00 | 16 | 5,271,080.00 | 2.96 | 329,442.50 | 750 | 6.477 | 73.46 | |||||||||||||||||||||||||||
350,000.01 | — | 400,000.00 | 12 | 4,562,199.00 | 2.56 | 380,183.25 | 751 | 6.566 | 72.21 | |||||||||||||||||||||||||||
400,000.01 | — | 450,000.00 | 20 | 8,605,660.12 | 4.83 | 430,283.01 | 744 | 6.135 | 75.26 | |||||||||||||||||||||||||||
450,000.01 | — | 500,000.00 | 31 | 14,824,177.26 | 8.33 | 478,199.27 | 744 | 6.280 | 72.41 | |||||||||||||||||||||||||||
500,000.01 | — | 550,000.00 | 32 | 16,940,687.78 | 9.51 | 529,396.49 | 738 | 6.324 | 75.24 | |||||||||||||||||||||||||||
550,000.01 | — | 600,000.00 | 21 | 12,079,759.37 | 6.78 | 575,226.64 | 744 | 6.198 | 72.80 | |||||||||||||||||||||||||||
600,000.01 | — | 650,000.00 | 17 | 10,747,100.00 | 6.04 | 632,182.35 | 744 | 6.397 | 73.34 | |||||||||||||||||||||||||||
650,000.01 | — | 700,000.00 | 11 | 7,383,553.00 | 4.15 | 671,232.09 | 743 | 6.261 | 79.83 | |||||||||||||||||||||||||||
700,000.01 | — | 750,000.00 | 6 | 4,347,350.00 | 2.44 | 724,558.33 | 735 | 6.121 | 77.12 | |||||||||||||||||||||||||||
750,000.01 | — | 800,000.00 | 10 | 7,768,250.00 | 4.36 | 776,825.00 | 765 | 6.338 | 72.22 | |||||||||||||||||||||||||||
800,000.01 | — | 850,000.00 | 2 | 1,670,000.00 | 0.94 | 835,000.00 | 751 | 6.375 | 57.15 | |||||||||||||||||||||||||||
850,000.01 | — | 900,000.00 | 4 | 3,500,000.00 | 1.97 | 875,000.00 | 793 | 6.090 | 51.71 | |||||||||||||||||||||||||||
900,000.01 | — | 950,000.00 | 7 | 6,508,100.00 | 3.66 | 929,728.57 | 746 | 6.377 | 75.96 | |||||||||||||||||||||||||||
950,000.01 | — | 1,000,000.00 | 14 | 13,899,919.45 | 7.81 | 992,851.39 | 746 | 6.269 | 62.83 | |||||||||||||||||||||||||||
1,000,000.01 | — | 1,500,000.00 | 8 | 10,145,400.00 | 5.70 | 1,268,175.00 | 746 | 6.257 | 74.86 | |||||||||||||||||||||||||||
1,500,000.01 | — | 2,000,000.00 | 4 | 6,828,421.80 | 3.84 | 1,707,105.45 | 727 | 6.210 | 67.24 | |||||||||||||||||||||||||||
2,000,000.01 | — | 2,500,000.00 | 2 | 4,900,000.00 | 2.75 | 2,450,000.00 | 790 | 6.311 | 56.54 | |||||||||||||||||||||||||||
2,500,000.01 | — | 3,000,000.00 | 3 | 8,421,000.00 | 4.73 | 2,807,000.00 | 707 | 6.343 | 73.17 | |||||||||||||||||||||||||||
3,000,000.01 or greater | 3 | 11,840,000.00 | 6.65 | 3,946,666.67 | 758 | 6.348 | 55.22 | |||||||||||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the average stated principal balance of the Pool 2B Mortgage Loans is approximately $572,485. |
S-B-43
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Current Mortgage Rates (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
5.001 — 5.250 | 3 | $ | 1,374,897.26 | 0.77 | % | $ | 458,299.09 | 771 | 5.213 | % | 75.88 | % | ||||||||||||||||
5.251 — 5.500 | 6 | 2,232,148.38 | 1.25 | 372,024.73 | 747 | 5.425 | 75.60 | |||||||||||||||||||||
5.501 — 5.750 | 11 | 10,130,791.37 | 5.69 | 920,981.03 | 767 | 5.710 | 76.34 | |||||||||||||||||||||
5.751 — 6.000 | 32 | 21,860,141.45 | 12.28 | 683,129.42 | 751 | 5.948 | 71.41 | |||||||||||||||||||||
6.001 — 6.250 | 76 | 43,661,389.80 | 24.52 | 574,491.97 | 748 | 6.213 | 68.05 | |||||||||||||||||||||
6.251 — 6.500 | 98 | 62,058,339.72 | 34.86 | 633,248.36 | 738 | 6.432 | 73.23 | |||||||||||||||||||||
6.501 — 6.750 | 53 | 28,000,984.00 | 15.73 | 528,320.45 | 743 | 6.663 | 68.30 | |||||||||||||||||||||
6.751 — 7.000 | 27 | 7,904,558.27 | 4.44 | 292,761.42 | 733 | 6.921 | 70.80 | |||||||||||||||||||||
7.001 — 7.250 | 5 | 819,610.00 | 0.46 | 163,922.00 | 741 | 7.148 | 79.74 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average Mortgage Rate of the Pool 2B Mortgage Loans is approximately 6.317% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Remaining Term (Months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
301 — 360 | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Cut-off Date, the weighted average remaining term of the Pool 2B Mortgage Loans is approximately 358 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Original Term (Months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
360 | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
S-B-44
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2A | Pool 2A | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Seasoning | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
(in months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
0 | 8 | $ | 4,328,134.00 | 2.43 | % | $ | 541,016.75 | 762 | 6.331 | % | 67.71 | % | ||||||||||||||||||||||||
1 | — | 6 | 298 | 171,341,780.78 | 96.24 | 574,972.42 | 744 | 6.328 | 71.14 | |||||||||||||||||||||||||||
7 | — | 12 | 2 | 1,309,661.37 | 0.74 | 654,830.69 | 721 | 5.535 | 78.47 | |||||||||||||||||||||||||||
19 | — | 24 | 3 | 1,063,284.10 | 0.60 | 354,428.03 | 788 | 5.393 | 70.18 | |||||||||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||||||||||
(1) | As of the Cut-off Date, the weighted average seasoning of the Mortgage Loans is approximately 2 months. |
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Original Loan-to-Value | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
Ratios (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
10.01 | — | 20.00 | 4 | $ | 1,588,500.00 | 0.89 | % | $ | 397,125.00 | 754 | 6.473 | % | 18.46 | % | ||||||||||||||||||||||
30.01 | — | 40.00 | 8 | 9,056,000.00 | 5.09 | 1,132,000.00 | 778 | 6.397 | 36.68 | |||||||||||||||||||||||||||
40.01 | — | 50.00 | 12 | 10,320,421.80 | 5.80 | 860,035.15 | 753 | 6.299 | 45.51 | |||||||||||||||||||||||||||
50.01 | — | 60.00 | 16 | 13,203,487.45 | 7.42 | 825,217.97 | 743 | 6.365 | 57.08 | |||||||||||||||||||||||||||
60.01 | — | 70.00 | 30 | 23,045,296.95 | 12.94 | 768,176.57 | 738 | 6.279 | 66.73 | |||||||||||||||||||||||||||
70.01 | — | 80.00 | 229 | 116,137,419.25 | 65.23 | 507,150.30 | 744 | 6.304 | 78.43 | |||||||||||||||||||||||||||
80.01 | — | 90.00 | 7 | 3,124,303.00 | 1.75 | 446,329.00 | 724 | 6.424 | 90.00 | |||||||||||||||||||||||||||
90.01 | — | 100.00 | 5 | 1,567,431.80 | 0.88 | 313,486.36 | 689 | 6.697 | 94.06 | |||||||||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average original Loan-to-Value Ratio of the Pool 2B Mortgage Loans is approximately 71.11%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
S-B-45
Table of Contents
Percent of | ||||||||||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||||||||||
Current Loan-to-Value | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||||||||||
Ratios (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||||||||||
10.01 | — | 20.00 | 4 | $ | 1,588,500.00 | 0.89 | % | $ | 397,125.00 | 754 | 6.473 | % | 18.46 | % | ||||||||||||||||||||||
30.01 | — | 40.00 | 8 | 9,056,000.00 | 5.09 | 1,132,000.00 | 778 | 6.397 | 36.68 | |||||||||||||||||||||||||||
40.01 | — | 50.00 | 12 | 10,320,421.80 | 5.80 | 860,035.15 | 753 | 6.299 | 45.51 | |||||||||||||||||||||||||||
50.01 | — | 60.00 | 16 | 13,203,487.45 | 7.42 | 825,217.97 | 743 | 6.365 | 57.08 | |||||||||||||||||||||||||||
60.01 | — | 70.00 | 31 | 23,214,911.90 | 13.04 | 748,868.13 | 738 | 6.273 | 66.75 | |||||||||||||||||||||||||||
70.01 | — | 80.00 | 228 | 115,967,804.30 | 65.13 | 508,630.72 | 744 | 6.305 | 78.45 | |||||||||||||||||||||||||||
80.01 | — | 90.00 | 7 | 3,124,303.00 | 1.75 | 446,329.00 | 724 | 6.424 | 90.00 | |||||||||||||||||||||||||||
90.01 | — | 100.00 | 5 | 1,567,431.80 | 0.88 | 313,486.36 | 689 | 6.697 | 94.06 | |||||||||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average current Loan-to-Value Ratio of the Pool 2B Mortgage Loans is approximately 71.08%. See “Description of the Mortgage Pool — The Mortgage Loans” herein. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Credit Score | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Not Available | 1 | $ | 1,000,000.00 | 0.56 | % | $ | 1,000,000.00 | NA | 6.375 | % | 41.67 | % | ||||||||||||||||
621 — 640 | 1 | 424,000.00 | 0.24 | 424,000.00 | 632 | 6.750 | 80.00 | |||||||||||||||||||||
641 — 660 | 7 | 2,312,513.00 | 1.30 | 330,359.00 | 654 | 6.574 | 78.91 | |||||||||||||||||||||
661 — 680 | 14 | 11,408,200.21 | 6.41 | 814,871.44 | 669 | 6.465 | 70.40 | |||||||||||||||||||||
681 — 700 | 32 | 19,090,790.29 | 10.72 | 596,587.20 | 690 | 6.396 | 74.22 | |||||||||||||||||||||
701 — 720 | 45 | 18,574,459.74 | 10.43 | 412,765.77 | 710 | 6.381 | 73.84 | |||||||||||||||||||||
721 — 740 | 51 | 28,796,689.91 | 16.17 | 564,640.98 | 731 | 6.245 | 74.06 | |||||||||||||||||||||
741 — 760 | 44 | 21,247,894.04 | 11.93 | 482,906.68 | 750 | 6.331 | 71.47 | |||||||||||||||||||||
761 — 780 | 49 | 29,329,736.40 | 16.47 | 598,566.05 | 771 | 6.268 | 73.17 | |||||||||||||||||||||
781 — 800 | 47 | 33,298,654.40 | 18.70 | 708,482.01 | 790 | 6.349 | 64.29 | |||||||||||||||||||||
801 — 820 | 20 | 12,559,922.26 | 7.05 | 627,996.11 | 806 | 6.073 | 69.46 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average credit score of the Pool 2B Mortgage Loans having credit scores is approximately 745. See “Description of the Mortgage Pools — The Mortgage Loans” herein. |
S-B-46
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Number | Pool 2B | Pool 2B | Weighted | Weighted | Weighted | |||||||||||||||||||||||
of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
State | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Arizona | 10 | $ | 4,150,149.00 | 2.33 | % | $ | 415,014.90 | 757 | 6.397 | % | 69.19 | % | ||||||||||||||||
California | 108 | 72,153,180.53 | 40.53 | 668,085.00 | 745 | 6.332 | 68.64 | |||||||||||||||||||||
Colorado | 14 | 6,938,181.44 | 3.90 | 495,584.39 | 780 | 6.288 | 63.94 | |||||||||||||||||||||
Connecticut | 2 | 2,142,405.80 | 1.20 | 1,071,202.90 | 694 | 6.282 | 55.47 | |||||||||||||||||||||
Delaware | 2 | 836,000.00 | 0.47 | 418,000.00 | 722 | 6.176 | 49.50 | |||||||||||||||||||||
District of Columbia | 3 | 1,312,500.00 | 0.74 | 437,500.00 | 781 | 6.551 | 53.71 | |||||||||||||||||||||
Florida | 30 | 13,747,758.80 | 7.72 | 458,258.63 | 752 | 6.310 | 70.19 | |||||||||||||||||||||
Georgia | 6 | 2,460,552.00 | 1.38 | 410,092.00 | 702 | 6.294 | 72.87 | |||||||||||||||||||||
Hawaii | 1 | 573,372.00 | 0.32 | 573,372.00 | 761 | 6.125 | 80.00 | |||||||||||||||||||||
Illinois | 14 | 9,833,240.00 | 5.52 | 702,374.29 | 725 | 6.356 | 72.58 | |||||||||||||||||||||
Indiana | 1 | 447,790.69 | 0.25 | 447,790.69 | 750 | 6.125 | 61.27 | |||||||||||||||||||||
Kansas | 1 | 540,000.00 | 0.30 | 540,000.00 | 733 | 6.625 | 80.00 | |||||||||||||||||||||
Louisiana | 2 | 1,088,000.00 | 0.61 | 544,000.00 | 671 | 6.395 | 65.35 | |||||||||||||||||||||
Maryland | 12 | 5,921,853.00 | 3.33 | 493,487.75 | 724 | 6.309 | 77.65 | |||||||||||||||||||||
Massachusetts | 6 | 3,384,955.00 | 1.90 | 564,159.17 | 739 | 6.381 | 78.53 | |||||||||||||||||||||
Minnesota | 8 | 7,657,390.45 | 4.30 | 957,173.81 | 773 | 6.050 | 74.05 | |||||||||||||||||||||
Missouri | 3 | 2,424,742.00 | 1.36 | 808,247.33 | 711 | 6.355 | 77.13 | |||||||||||||||||||||
Nebraska | 2 | 888,000.00 | 0.50 | 444,000.00 | 745 | 6.361 | 80.00 | |||||||||||||||||||||
Nevada | 2 | 691,810.00 | 0.39 | 345,905.00 | 782 | 5.695 | 80.00 | |||||||||||||||||||||
New Jersey | 13 | 9,901,211.00 | 5.56 | 761,631.62 | 736 | 6.332 | 77.34 | |||||||||||||||||||||
New York | 16 | 10,729,190.00 | 6.03 | 670,574.38 | 747 | 6.429 | 75.31 | |||||||||||||||||||||
North Carolina | 8 | 3,013,885.82 | 1.69 | 376,735.73 | 751 | 6.309 | 73.94 | |||||||||||||||||||||
Ohio | 2 | 304,800.00 | 0.17 | 152,400.00 | 770 | 6.875 | 87.32 | |||||||||||||||||||||
Oregon | 2 | 713,000.00 | 0.40 | 356,500.00 | 770 | 5.987 | 79.99 | |||||||||||||||||||||
Pennsylvania | 3 | 470,800.00 | 0.26 | 156,933.33 | 688 | 6.641 | 67.26 | |||||||||||||||||||||
South Carolina | 4 | 1,810,786.00 | 1.02 | 452,696.50 | 792 | 6.297 | 77.57 | |||||||||||||||||||||
Tennessee | 2 | 672,000.00 | 0.38 | 336,000.00 | 766 | 6.464 | 80.00 | |||||||||||||||||||||
Texas | 7 | 2,956,800.00 | 1.66 | 422,400.00 | 724 | 6.302 | 73.96 | |||||||||||||||||||||
Vermont | 1 | 600,000.00 | 0.34 | 600,000.00 | 758 | 6.125 | 50.74 | |||||||||||||||||||||
Virginia | 13 | 5,944,600.72 | 3.34 | 457,276.98 | 740 | 6.088 | 75.10 | |||||||||||||||||||||
Washington | 13 | 3,733,906.00 | 2.10 | 287,223.54 | 741 | 6.471 | 78.44 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | No more than approximately 2.81% of the Pool 2B Mortgage Loans are secured by Mortgaged Properties in any one postal zip code area. |
S-B-47
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Occupancy Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Primary | 254 | $ | 155,576,128.36 | 87.38 | % | $ | 612,504.44 | 743 | 6.304 | % | 70.74 | % | ||||||||||||||||
Second Home | 25 | 15,202,446.89 | 8.54 | 608,097.88 | 772 | 6.262 | 70.84 | |||||||||||||||||||||
Investment | 32 | 7,264,285.00 | 4.08 | 227,008.91 | 725 | 6.711 | 79.60 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | Based upon representations of the related borrowers at the time of origination. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Property Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Single Family Residence | 225 | $ | 141,907,390.45 | 79.70 | % | $ | 630,699.51 | 744 | 6.307 | % | 69.72 | % | ||||||||||||||||
Condominium | 74 | 29,244,139.80 | 16.43 | 395,191.08 | 750 | 6.374 | 76.62 | |||||||||||||||||||||
Two-Four Family | 9 | 4,834,250.00 | 2.72 | 537,138.89 | 713 | 6.410 | 75.36 | |||||||||||||||||||||
Planned Unit Development | 2 | 1,485,000.00 | 0.83 | 742,500.00 | 756 | 5.870 | 78.51 | |||||||||||||||||||||
Cooperative | 1 | 572,080.00 | 0.32 | 572,080.00 | 729 | 6.125 | 79.73 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Loan Purpose | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Purchase | 183 | $ | 97,446,546.73 | 54.73 | % | $ | 532,494.79 | 747 | 6.279 | % | �� | 75.00 | % | |||||||||||||||
Refinance – Cash-out | 70 | 41,651,442.23 | 23.39 | 595,020.60 | 740 | 6.379 | 65.74 | |||||||||||||||||||||
Refinance – Rate-Term | 58 | 38,944,871.29 | 21.87 | 671,463.30 | 743 | 6.346 | 67.10 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
S-B-48
Table of Contents
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Prepayment Penalty (months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Loan Documentation | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Reduced/Limited Documentation | 197 | $ | 104,230,437.59 | 58.54 | % | $ | 529,088.52 | 748 | 6.348 | % | 69.29 | % | ||||||||||||||||
Full Documentation | 113 | 73,257,422.66 | 41.15 | 648,295.78 | 739 | 6.276 | 73.80 | |||||||||||||||||||||
No Documentation | 1 | 555,000.00 | 0.31 | 555,000.00 | 808 | 5.875 | 57.81 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Index | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
One–Year CMT | 220 | $ | 128,516,777.67 | 72.18 | % | $ | 584,167.17 | 744 | 6.348 | % | 70.29 | % | ||||||||||||||||
One–Year LIBOR. | 90 | 48,161,682.58 | 27.05 | 535,129.81 | 745 | 6.231 | 73.03 | |||||||||||||||||||||
Six–Month LIBOR | 1 | 1,364,400.00 | 0.77 | 1,364,400.00 | 777 | 6.375 | 80.00 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
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Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Margin (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1.875 | 1 | $ | 774,000.00 | 0.43 | % | $ | 774,000.00 | 778 | 6.625 | % | 80.00 | % | ||||||||||||||||
2.250 | 89 | 48,600,082.58 | 27.30 | 546,068.34 | 745 | 6.227 | 73.09 | |||||||||||||||||||||
2.500 | 1 | 152,000.00 | 0.09 | 152,000.00 | 678 | 6.875 | 80.00 | |||||||||||||||||||||
2.750 | 220 | 128,516,777.67 | 72.18 | 584,167.17 | 744 | 6.348 | 70.29 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average margin of the Pool 2B Mortgage Loans is approximately 2.609%. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Minimum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1.751 — 2.000 | 3 | $ | 3,188,400.00 | 1.79 | % | $ | 1,062,800.00 | 784 | 6.436 | % | 78.35 | % | ||||||||||||||||
2.001 — 2.250 | 87 | 46,185,682.58 | 25.94 | 530,869.91 | 743 | 6.219 | 72.84 | |||||||||||||||||||||
2.251 — 2.500 | 1 | 152,000.00 | 0.09 | 152,000.00 | 678 | 6.875 | 80.00 | |||||||||||||||||||||
2.501 — 2.750 | 220 | 128,516,777.67 | 72.18 | 584,167.17 | 744 | 6.348 | 70.29 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average minimum Mortgage Rate of the Pool 2B Mortgage Loans is approximately 2.605% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Maximum Mortgage Rate (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
10.001 — 10.250 | 3 | $ | 1,374,897.26 | 0.77 | % | $ | 458,299.09 | 771 | 5.213 | % | 75.88 | % | ||||||||||||||||
10.251 — 10.500 | 6 | 2,232,148.38 | 1.25 | 372,024.73 | 747 | 5.425 | 75.60 | |||||||||||||||||||||
10.501 — 10.750 | 11 | 10,130,791.37 | 5.69 | 920,981.03 | 767 | 5.710 | 76.34 | |||||||||||||||||||||
10.751 — 11.000 | 32 | 21,860,141.45 | 12.28 | 683,129.42 | 751 | 5.948 | 71.41 | |||||||||||||||||||||
11.001 — 11.250 | 76 | 43,661,389.80 | 24.52 | 574,491.97 | 748 | 6.213 | 68.05 | |||||||||||||||||||||
11.251 — 11.500 | 98 | 62,058,339.72 | 34.86 | 633,248.36 | 738 | 6.432 | 73.23 | |||||||||||||||||||||
11.501 — 11.750 | 53 | 28,000,984.00 | 15.73 | 528,320.45 | 743 | 6.663 | 68.30 | |||||||||||||||||||||
11.751 — 12.000 | 27 | 7,904,558.27 | 4.44 | 292,761.42 | 733 | 6.921 | 70.80 | |||||||||||||||||||||
12.001 — 12.250 | 5 | 819,610.00 | 0.46 | 163,922.00 | 741 | 7.148 | 79.74 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average maximum Mortgage Rate of the Pool 2B Mortgage Loans is approximately 11.318% per annum. |
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Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Next Note Rate Adjustment Date | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
July 2015 | 1 | $ | 454,237.26 | 0.26 | % | $ | 454,237.26 | 802 | 5.250 | % | 68.32 | % | ||||||||||||||||
August 2015 | 1 | 439,431.89 | 0.25 | 439,431.89 | 772 | 5.500 | 72.00 | |||||||||||||||||||||
October 2015 | 1 | 169,614.95 | 0.10 | 169,614.95 | 789 | 5.500 | 70.42 | |||||||||||||||||||||
June 2016 | 1 | 559,661.37 | 0.31 | 559,661.37 | 723 | 5.750 | 80.00 | |||||||||||||||||||||
October 2016 | 1 | 750,000.00 | 0.42 | 750,000.00 | 719 | 5.375 | 77.32 | |||||||||||||||||||||
November 2016 | 2 | 885,912.23 | 0.50 | 442,956.12 | 736 | 5.754 | 67.54 | |||||||||||||||||||||
December 2016 | 2 | 1,322,487.45 | 0.74 | 661,243.73 | 770 | 6.245 | 62.14 | |||||||||||||||||||||
January 2017 | 7 | 15,123,621.80 | 8.49 | 2,160,517.40 | 754 | 6.316 | 54.53 | |||||||||||||||||||||
February 2017 | 12 | 3,811,201.03 | 2.14 | 317,600.09 | 725 | 6.518 | 69.36 | |||||||||||||||||||||
March 2017 | 29 | 12,503,630.27 | 7.02 | 431,159.66 | 735 | 6.475 | 77.71 | |||||||||||||||||||||
April 2017 | 246 | 137,694,928.00 | 77.34 | 559,735.48 | 744 | 6.315 | 72.53 | |||||||||||||||||||||
May 2017 | 8 | 4,328,134.00 | 2.43 | 541,016.75 | 762 | 6.331 | 67.71 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the non-zero weighted average months to the next adjustment date of the Pool 2B Mortgage Loans is approximately 118 months. |
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Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Periodic Cap (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
1.000 | 1 | $ | 1,364,400.00 | 0.77 | % | $ | 1,364,400.00 | 777 | 6.375 | % | 80.00 | % | ||||||||||||||||
2.000 | 310 | 176,678,460.25 | 99.23 | 569,930.52 | 744 | 6.316 | 71.04 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average Periodic Cap of the Pool 2B Mortgage Loans with Periodic Caps is approximately 1.992% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Initial Periodic Cap (%) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
5.000 | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average initial Periodic Cap of the Pool 2B Mortgage Loans with initial Periodic Caps is approximately 5.000% per annum. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Interest-Only Term | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
(months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
0 | 23 | $ | 14,956,789.13 | 8.40 | % | $ | 650,295.18 | 728 | 6.219 | % | 68.00 | % | ||||||||||||||||
120 | 288 | $ | 163,086,071.12 | 91.60 | % | $ | 566,271.08 | 746 | 6.326 | % | 71.39 | % | ||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average original interest-only term of the Pool 2B Mortgage Loans that are Interest-Only Mortgage Loans is approximately 120 months. |
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Percent of | ||||||||||||||||||||||||||||
Remaining | Pool 2B | Pool 2B | Weighted | Weighted | Weighted | |||||||||||||||||||||||
Interest-Only | Number of | Principal | Principal | Average | Average | Average | Average | |||||||||||||||||||||
Term | Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | |||||||||||||||||||||
(months) | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Not Applicable | 23 | $ | 14,956,789.13 | 8.40 | % | $ | 650,295.18 | 728 | 6.219 | % | 68.00 | % | ||||||||||||||||
101 — 110 | 2 | 729,276.32 | 0.41 | 364,638.16 | 738 | 5.692 | 77.77 | |||||||||||||||||||||
111 — 120 | 286 | 162,356,794.80 | 91.19 | 567,681.10 | 746 | 6.329 | 71.36 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
(1) | As of the Statistical Calculation Date, the weighted average remaining interest-only term of the Pool 2B Mortgage Loans that are Interest-Only Mortgage Loans in their interest-only period is approximately 119 months. |
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Servicers | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Wells Fargo Bank | 275 | $ | 155,250,958.19 | 87.20 | % | $ | 564,548.94 | 744 | 6.353 | % | 70.83 | % | ||||||||||||||||
GMACM | 31 | 20,150,450.00 | 11.32 | 650,014.52 | 748 | 6.149 | 72.72 | |||||||||||||||||||||
Other | 5 | 2,641,452.06 | 1.48 | 528,290.41 | 743 | 5.454 | 74.90 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Originators | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Wells Fargo Bank | 275 | $ | 155,250,958.19 | 87.20 | % | $ | 564,548.94 | 744 | 6.353 | % | 70.83 | % | ||||||||||||||||
AmNet | 22 | 13,271,300.00 | 7.45 | 603,240.91 | 751 | 6.159 | 70.56 | |||||||||||||||||||||
Other | 14 | 9,520,602.06 | 5.35 | 680,043.00 | 743 | 5.943 | 76.33 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
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Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Product Type | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
10/6 Month LIBOR IO | 1 | $ | 1,364,400.00 | 0.77 | % | $ | 1,364,400.00 | 777 | 6.375 | % | 80.00 | % | ||||||||||||||||
10/1 Year LIBOR | 5 | 2,624,039.64 | 1.47 | 524,807.93 | 766 | 5.904 | 73.38 | |||||||||||||||||||||
10/1 Year LIBOR IO. | 85 | 45,537,642.94 | 25.58 | 535,736.98 | 743 | 6.250 | 73.01 | |||||||||||||||||||||
10/1 Year CMT | 18 | 12,332,749.49 | 6.93 | 685,152.75 | 719 | 6.286 | 66.86 | |||||||||||||||||||||
10/1 Year CMT IO | 202 | 116,184,028.18 | 65.26 | 575,168.46 | 747 | 6.355 | 70.66 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
Percent of | ||||||||||||||||||||||||||||
Pool 2B | Pool 2B | Weighted | Weighted | Weighted | ||||||||||||||||||||||||
Number of | Principal | Principal | Average | Average | Average | Average | ||||||||||||||||||||||
Mortgage | Balance | Balance | Principal | Credit | Mortgage | Original | ||||||||||||||||||||||
Interest Only | Loans | Outstanding | Outstanding | Balance | Score | Rate | LTV | |||||||||||||||||||||
Interest Only | 288 | $ | 163,086,071.12 | 91.60 | % | $ | 566,271.08 | 746 | 6.326 | % | 71.39 | % | ||||||||||||||||
Not Interest Only | 23 | 14,956,789.13 | 8.40 | 650,295.18 | 728 | 6.219 | 68.00 | |||||||||||||||||||||
Total | 311 | $ | 178,042,860.25 | 100.00 | % | $ | 572,485.08 | 745 | 6.317 | % | 71.11 | % | ||||||||||||||||
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or
Sequoia Residential Funding, Inc.
(Depositor)
(Sponsor)
$5,977,140,636
(Aggregate Amount)
(Issuable in Series)
• | residential mortgage loans secured by senior and junior liens onone-to-four family residential properties, including closed-endand/or revolving home equity loans or specified balances thereof and cooperative dwelling loans; |
• | mortgage pass-through securities issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac; |
• | private mortgage-backed securities; |
• | various forms of credit enhancement of the types described in this base prospectus; and |
• | other related assets described in this base prospectus. |
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AND EACH ACCOMPANYING PROSPECTUS SUPPLEMENT
• | this prospectus, which provides general information, some of which may not apply to a particular series; and | |
• | the accompanying prospectus supplement for a particular series, which describes the specified terms of the securities of that series. |
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PART II — INFORMATION NOT REQUIRED IN PROSPECTUS | II-1 |
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• | mortgage loans whose interest rate adjusts on the basis of a variable index plus a margin, with the initial adjustment occurring after a specified period of time from origination of the related mortgage loan and adjustments occurring periodically at specified intervals thereafter; these loans may or may not have a low introductory interest rate; | |
• | “hybrid” mortgage loans, whose interest rate is fixed for the initial period specified in the related mortgage note, and thereafter adjusts periodically based on the related index plus a margin; | |
• | “interest-only” mortgage loans, which provide for payment of interest at the related mortgage interest rate, but no payment of principal, for the period specified in the related mortgage note; thereafter, the monthly payment is increased to an amount sufficient to amortize the principal balance of the mortgage loan over the remaining term and to pay interest at the applicable mortgage interest rate; | |
• | “negative amortization” mortgage loans, which may have a low introductory interest rate, and thereafter have a mortgage interest rate which adjusts periodically based on the related index plus a margin; however, the borrower is only required to make a minimum monthly payment which may not be sufficient to pay the monthly interest accrued, resulting in an increase to the principal balance of the mortgage loan by the amount of unpaid interest; and | |
• | “option ARMs,” which combine several of the features described above and permit the borrower to elect whether to make a monthly payment sufficient to pay accrued interest and amortize the principal balance, make an interest-only payment or make a minimum payment that may be insufficient to pay accrued interest (with the unpaid interest added to the principal balance of the loan). |
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• | weak economic conditions in these locations or any other location (which may or may not affect real property values), may affect the ability of borrowers to repay their mortgage loans on time, particularly in the case of “option ARMs”, interest-only loans and loans that provide for negative amortization; | |
• | properties in certain jurisdictions may be more susceptible than homes located in other parts of the country to certain types of uninsurable hazards, such as earthquakes, as well as floods, hurricanes, wildfires, mudslides and other natural disasters; | |
• | declines in the residential real estate market of a particular jurisdiction may reduce the values of properties located in that jurisdiction, which would result in an increase in theloan-to-value ratios or combinedloan-to-value ratios, as the case may be, particularly in the case of “option ARMs”, interest-only loans and loans that provide for negative amortization; and | |
• | any increase in the market value of properties located in a particular jurisdiction would reduce theloan-to-value ratios or combinedloan-to-value ratios, as the case may be, of the mortgage loans and could, therefore, make alternative sources of financing available to the borrowers at lower interest rates, which could result in an increased rate of prepayment of the mortgage loans. |
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• | if you buy a subordinate security and losses on the related mortgage loans exceed the total principal amount of any securities subordinate to your securities (if any), plus, if applicable to the issuing entity and as specified in the related prospectus supplement, any excess interest and any overcollateralization that has been created, the principal amount of your securities will be reduced proportionately with the principal amounts of the other securities of your class by the amount of that excess; and |
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• | if specified in the related prospectus supplement, after the total principal amount of the subordinate securities has been reduced to zero, losses on the mortgage loans may reduce the principal amounts (or notional amounts) of the senior securities. |
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• | in the case of any interest-only securities, a faster than expected rate of prepayments on the mortgage loans in the issuing entity ; and | |
• | in the case of any principal-only securities, a slower than expected rate of prepayments on the mortgage loans in the issuing entity . |
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• | If you purchase securities at a discount, especially any principal-only securities, and principal prepayments on the related mortgage loans are received at a rate slower than you anticipate, then your yield may be lower than you anticipate. | |
• | If you purchase securities at a premium, especially any interest-only securities, and principal prepayments on the related mortgage loans are received at a rate faster than you anticipate, then your yield may be lower than you anticipate. |
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• | the federalTruth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to borrowers regarding the terms of their mortgage loans; | |
• | the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and | |
• | the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower’s credit experience. |
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• | only address the likelihood of receipt by holders of securities of distributions in the amount of scheduled payments on the mortgage loans; | |
• | do not take into consideration any of the tax aspects associated with the securities; | |
• | do not address the possibility that, as a result of principal prepayments, the yield on your securities may be lower than anticipated; | |
• | do not address the payment of any basis risk shortfalls with respect to the securities; and | |
• | do not comment as to the market price or suitability of the securities for a particular investor. |
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• | upon the discovery of the breach of any representation or warranty made by the seller in respect of a mortgage loan that materially and adversely affects the value of that mortgage loan, to cause the seller to repurchase the mortgage loan from the trustee, or deliver a substitute mortgage loan as described herein; | |
• | to make all initial filings establishing or creating a security interest over the mortgage loans and make all filings necessary to maintain the effectiveness of any original filings necessary under the relevant UCC to perfect the trustee’s security interest in or lien on the mortgage loans; | |
• | to arrange for replacement interest rate cap contracts, interest rate swap agreements and yield supplement agreements in the event the applicable derivative instrument is terminated early; | |
• | to appoint a successor trustee or securities administrator, as applicable, in the event either the trustee or the securities administrator resigns, is removed or become ineligible to continue servicing in such capacity under the related agreement; | |
• | to prepare and file, or cause the preparation and filing of, any reports required under the Exchange Act; | |
• | to notify the rating agencies and any other relevant parties of the occurrence of any event of default or other event specified in the related agreements; | |
• | to exercise any approval or consent rights retained under the servicing agreements; and | |
• | to provide the trustee, the securities administrator and the master servicer with any information it may reasonable require to comply with the terms of the agreements. |
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• | mortgage loans secured by properties of the types described in this prospectus; | |
• | agencyand/or private mortgage-backed securities of the types described in this prospectus; | |
• | amounts held from time to time in the collection account, distribution account or other account established for a series of securities; | |
• | mortgaged properties that secured a mortgage loan and that are acquired on behalf of the securityholders by foreclosure, deed in lieu of foreclosure or repossession; |
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• | any reserve fund established pursuant to the agreements for a series of securities, if specified in the prospectus supplement. | |
• | any security insurance policy, pool insurance policy, special hazard insurance policy, bankruptcy bond, interest rate cap agreement, interest rate swap agreement, currency swap agreement or other form of credit enhancement described in this prospectus and specified in the prospectus supplement; | |
• | any servicing agreements relating to mortgage loans in the issuing entity , to the extent that these agreements are assigned to the trustee; | |
• | any primary mortgage insurance policies or limited purpose surety bonds relating to mortgage loans in the issuing entity ; and | |
• | investments held in any fund or account or any guaranteed investment contract and income from the reinvestment of these funds, if specified in the prospectus supplement. |
• | Interest may be payable at a fixed rate, a rate adjustable from time to time in relation to an index, a rate that is fixed for a period of time or under certain circumstances and is followed by an adjustable rate, a rate that otherwise varies from time to time, a rate that is convertible from an adjustable rate to a fixed rate, or a rate that is convertible from one index to another, in each case as specified in the prospectus supplement. Changes to an adjustable rate may be subject to periodic limitations, maximum rates, minimum rates or a combination of such limitations. Accrued interest may be deferred and added to the principal of a loan for such periods and under such circumstances as may be specified in the prospectus supplement. | |
• | Principal may be payable on a level debt service basis to fully amortize the loan over its term, may be calculated on the basis of an assumed amortization schedule that is significantly longer than the original term to maturity or on an interest rate that is different from the loan rate or may not be amortized |
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during all or a portion of the original term. Certain loans may provide for monthly payments of interest but no payments of principal for either the first five or ten years or any other period specified after origination. Certain loans may require payment of all or a substantial portion of the principal upon maturity, commonly referred to as a “balloon payment”. Principal may include interest that has been deferred and added to the principal balance of the loan. |
• | Monthly payments of principal and interest may be fixed for the life of the loan, may increase over a specified period of time or may change from period to period. | |
• | Loans may include limits on periodic increases or decreases in the amount of monthly payments and may include maximum or minimum amounts of monthly payments. | |
• | Prepayments of principal may be subject to a prepayment fee, which may be fixed for the life of the loan or may change over time. Certain loans may permit prepayments after expiration of certain periods, commonly referred to as “lockout periods”. Other loans may permit prepayments without payment of a fee unless the prepayment occurs during specified time periods. The loans may include “due on sale” clauses which permit the mortgagee to demand payment of the entire loan in connection with the sale or certain transfers of the related property. Other loans may be assumable by persons meeting the then applicable standards set forth in the underlying loan documents. |
• | “standard” adjustable rate mortgage loans whose interest rate adjusts on the basis of a variable index plus a margin, with the initial adjustment typically occurring one year or less after origination of the related mortgage loan and adjustments occurring periodically thereafter; | |
• | “hybrid” mortgage loans, whose interest rate is fixed for the initial period specified in the related mortgage note (typically for a period of a year or more after origination), and thereafter adjusts periodically based on the related index; | |
• | “interest-only” mortgage loans, which provide for payment of interest at the related mortgage interest rate, but no payment of principal, for the period specified in the related mortgage note; thereafter, the monthly payment is increased to an amount sufficient to amortize the principal balance of the mortgage loan over the remaining term and to pay interest at the applicable interest rate borne by such mortgage loan; | |
• | “negative amortization” mortgage loans, which may have a low introductory interest rate, and thereafter have a mortgage interest rate which adjusts periodically based on the related Index; however, the borrower is only required to make a minimum or specified monthly payment which may not be sufficient to pay the monthly interest accrued, resulting in an increase to the principal balance of the mortgage loan by the amount of unpaid interest; and | |
• | “option ARMs,” which combine several of the features described above and permit the borrower to elect whether to make a monthly payment sufficient to pay accrued interest and amortize the principal balance, make an interest-only payment or make a minimum payment that may be insufficient to pay accrued interest (with the unpaid interest added to the principal balance of the mortgage loan). |
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• | U.S. Dollar LIBOR (“LIBOR”), which is the average of the London Interbank Offer Rate, a rate at which banks in London, England, lend U.S. dollars to other banks in the U.S. dollar wholesale or interbank money markets for a specified duration. | |
• | London Interbank Offer Swap Rate (“LIBORSWAP”), a rate which is the difference between the negotiated and fixed rate of a swap, with the spread determined by characteristics of market supply and creditor worthiness. | |
• | Constant Maturity Treasury (“CMT”) Indices, which is the weekly or monthly average yield on United States Treasury securities adjusted to a specified constant maturity, as by the Federal Reserve Board. | |
• | Treasury Bill (“T-Bill”) Indices, which is a rate based on the results of auctions that the U.S. Department of Treasury holds for its Treasury bills, notes or bonds or is derived from its daily yield curve. | |
• | Federal Funds Rate, which is the interest rate that banks charge each other on overnight loans made between them, as determined by the Federal Reserve Bank. | |
• | Prime Rate (“Prime Rate”) Index, which is an index based on the interest rate that banks charge to their most credit-worthy customers for short-term loans. The Prime Rate may differ among financial institutions. | |
• | Monthly Treasury Average (“MTA”), which is a per annum rate equal to the12-month average yields on United States Treasury securities adjusted to a constant maturity of one year, as published by the Federal Reserve Board. | |
• | Cost of Funds Index (“COFI”), which is the monthly weighted average cost of funds for savings institutions that are member institutions of various federal banking districts, most commonly the 11th District members of the Federal Home Loan Bank of San Francisco. |
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• | the original principal balance of the mortgage loans; | |
• | the total principal balance of the mortgage loans as of the applicable cut-off date (and if there is more than one servicer, the balance by servicer); | |
• | the types and percentages of mortgaged properties securing the mortgage loans; | |
• | the range of original terms to maturity of the mortgage loans; | |
• | the range of remaining terms to maturity of the mortgage loans; | |
• | the average life of the mortgage loans (based on different prepayment assumptions); | |
• | the range of ages of the mortgage loans; | |
• | mortgage loan purpose (e.g., whether a purchase or refinance); | |
• | the range of original and remaining amortization period for the mortgage loans; | |
• | the range of principal balances and average principal balance of the mortgage loans; |
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• | the earliest origination date and latest maturity date of the mortgage loans; | |
• | theloan-to-value and debt service coverage ratios, as applicable; | |
• | mortgage loans havingloan-to-value ratios at origination exceeding 80%; | |
• | the number of fixed rate mortgage loans and the number of adjustable rate mortgage loans; | |
• | the interest rate or range of interest rates borne by the mortgage loans; | |
• | the weighted average of interest rate borne by the mortgage loans; | |
• | the geographical distribution of the mortgage loans; | |
• | the total principal balance of buydown loans or GPM loans, if applicable; | |
• | the total principal balance of mortgage loans that are subject to negative amortization, if applicable; | |
• | the delinquency status of the mortgage loans as of the cut-off date; | |
• | with respect to adjustable rate mortgage loans, the adjustment dates, the relevant indices, the highest, lowest and weighted average margin, the limitations on the adjustment of the interest rates on any adjustment date and over the life of the loans; and | |
• | whether the mortgage loan provides for an interest-only period and whether the principal balance of that mortgage loan is fully amortizing or is amortized on the basis of a period of time that extends beyond the maturity date of the mortgage loan. |
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• | the finance charge for any billing cycle, in most cases, will be an amount equal to the aggregate of, as calculated for each day in the billing cycle, the then-applicable loan rate divided by 365 multiplied by that day’s principal balance; | |
• | the account balance on any day in most cases will be the aggregate of the unpaid principal of the home equity revolving credit loan outstanding at the beginning of the day, plus all related draws funded on that day and outstanding at the beginning of that day, plus the sum of any unpaid finance charges and any unpaid fees, insurance premiums and other charges, collectively known as “additional charges,” that are due on the home equity revolving credit loan minus the aggregate of all payments and credits that are applied to the repayment of any draws on that day; and | |
• | the principal balance on any day usually will be the related account balance minus the sum of any unpaid finance charges and additional charges that are due on the home equity revolving credit loan. |
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• | a materially adverse change in the borrower’s financial circumstances; | |
• | a decline in the value of the mortgaged property below its appraised value at origination; or | |
• | a payment default by the borrower. |
• | the borrower’s failure to make any payment as required; | |
• | any action or inaction by the borrower that materially and adversely affects the mortgaged property or the rights in the mortgaged property; or | |
• | any fraud or material misrepresentation by a borrower in connection with the loan. |
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• | the period during which additional mortgage loans may be purchased from amounts on deposit in the related pre-funding account will not exceed 90 days from the related closing date, unless otherwise specified; and | |
• | the additional mortgage loans to be acquired by the related issuing entity will be subject to the same representations and warranties as the mortgage loans included in the related issuing entity on the closing date, although additional criteria may also be required to be satisfied, as described in the related prospectus supplement. |
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• | pass-through certificates or participation certificates evidencing an undivided interest in a pool of single family loans, home equity loans, multifamily loans, manufactured housing contracts or home improvement contracts, | |
• | collateralized mortgage obligations secured by single family loans, home equity loans, multifamily loans, manufactured housing contracts or home improvement contracts, or | |
• | other private mortgage-backed securities. |
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• | the aggregate approximate principal amount and type of private mortgage-backed securities to be included in the issuing entity, | |
• | the maximum originalterm-to-stated maturity of the private mortgage-backed securities, | |
• | the weighted averageterm-to-stated maturity of the private mortgage-backed securities, | |
• | the pass-through or certificate rate of the private mortgage-backed securities, | |
• | the weighted average pass-through of interest rate of the private mortgage-backed securities, | |
• | the issuer, the servicer (if other than the issuer) and the trustee, |
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• | certain characteristics of any credit support such as reserve funds, insurance policies, surety bonds, letters of credit or guaranties relating to the loans underlying the private mortgage-backed securities themselves, | |
• | the terms on which the loans underlying the private mortgage-backed securities may, or are required to, be purchased prior to their stated maturity or the stated maturity of the private mortgage-backed securities, and | |
• | the terms on which mortgage loans may be substituted for those originally underlying the private mortgage-backed securities. |
• | the payment features of the mortgage loans, | |
• | the approximate aggregate principal balance, if known, of underlying loans insured or guaranteed by a governmental entity, | |
• | the servicing fee or range of servicing fees with respect to the loans, and | |
• | the minimum and maximum stated maturities of the underlying loans at origination. |
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• | to meet the borrower’s monthly obligations on the proposed mortgage loan (generally determined on the basis of the monthly payments due in the year of origination) and other expenses related to the property (such as property taxes and hazard insurance), and | |
• | to meet monthly housing expenses and other financial obligations and monthly living expenses. |
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• | The information set forth in the mortgage loan schedule is true and correct in all material respects and the information provided to the rating agencies, including the loan level detail, is true and correct according to the rating agency requirements; | |
• | Immediately prior to the sale of the mortgage loan pursuant to the mortgage loan purchase and sale agreement, the seller was a sole owner and holder of the mortgage loan. The mortgage loan is not assigned or pledged, and the seller has good and marketable title thereto, and has full right to transfer and sell the mortgage loan to the depositor free and clear of any encumbrance, equity, lien, pledge, charge, claim or security interest not specifically set forth in the related mortgage loan schedule and has full right and authority subject to no interest or participation of, or agreement with, any other party, to sell and assign the mortgage loan pursuant to the terms of the mortgage loan purchase and sale agreement; | |
• | The mortgage is a valid, existing and enforceable first lien on the mortgaged property, including all improvements on the mortgaged property, subject only to (i) the lien of current real property taxes and assessments not yet due and payable; (ii) covenants, conditions and restrictions, rights of way, easements and other matters of public record as of the date of recording that are acceptable to mortgage |
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lending institutions generally and specifically referred to in lender’s title insurance policy delivered to the originator of the mortgage loan and that do not adversely affect the appraised value (as evidenced by an appraisal referred to in such definition) of the mortgaged property; and (iii) other matters to which like properties are commonly subject that do not materially interfere with the benefits of the security intended to be provided by the mortgage or the use, enjoyment, value or marketability of the related mortgaged property; |
• | As of the closing date, there is no default, breach, violation or event of acceleration existing under the mortgage or the mortgage note and no event which, with the passage of time or with notice and the expiration of any grace or cure period, would constitute a default, breach, violation or event permitting acceleration, and the seller and its affiliates have not waived any default, breach, violation or event permitting acceleration; | |
• | No fraud, error, omission, misrepresentation, negligence or similar occurrence with respect to the mortgage loan has taken place on the part of the seller or any originator or servicer or the mortgagor or on the part of any other party involved in the origination of the mortgage loan; | |
• | Each mortgage loan secured by a first priority mortgage is covered by an ALTA lender’s title insurance policy acceptable to an Agency, issued by a title insurer acceptable to an Agency and qualified to do business in the jurisdiction where the mortgaged property is located; | |
• | All payments due on each mortgage loan have been made and no mortgage loan was delinquent months (i.e., was more than 30 days past due) more than once in the preceding 12 months and any such delinquency did not exceed one payment; | |
• | There are no delinquent assessments or taxes outstanding against any mortgaged property; | |
• | There is no offset, defense, counterclaim to any mortgage note, except as stated in the mortgage loan purchase and sale agreement; | |
• | Each mortgaged property is free of material damage and in good repair; | |
• | Each mortgage loan at the time of origination complied in all material respects with applicable state and federal laws including truth in lending, real estate settlement procedures, consumer credit protection, equal credit opportunity and disclosure laws applicable to the mortgage loan; | |
• | Each mortgage loan with aloan-to-loan value ratio at origination in excess of 80% is and will be subject to a primary mortgage insurance policy, which provides coverage in an amount at least equal to that which would be required by Fannie Mae. All provisions of such mortgage insurance policy have been and are being complied with, such policy is in full force and effect, and all premiums due thereunder have been paid; | |
• | All hazard insurance or other insurance required under the mortgage loan sale agreement has been validly issued and remains in full force and effect; | |
• | The mortgage note and the related mortgage are genuine and each is the legal, valid and binding obligation of the maker thereof, enforceable in accordance with its terms, except as the enforceability thereof may be limited by bankruptcy, insolvency, reorganization or similar laws; | |
• | Each mortgage loan is a “qualified mortgage” within Section 860G(a)(3) of the Code; | |
• | The seller has not used selection procedures that identified the mortgage loans as being less desirable or valuable other than comparable mortgage loans in the seller’s portfolio at the cut-off date; | |
• | None of the mortgage loans are high-cost as defined by the applicable local, state and federal predatory and abusive lending laws; and | |
• | Each mortgage loan at the time it was made complied in all material respects with applicable local, state and federal predatory and abusive lending laws. |
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• | will be issued in book-entry or fully registered form, in the authorized denominations specified in the prospectus supplement; | |
• | will, in the case of certificates, evidence specified beneficial ownership interests in the assets of the issuing entity; | |
• | will, in the case of notes or bonds, be secured by the assets of the issuing entity; and | |
• | will not be entitled to payments in respect of the assets included in any other issuing entity established by the depositor. |
• | mortgage loans secured by properties of the types described in this prospectus; | |
• | agencyand/or private mortgage-backed securities of the types described in this prospectus supplement; | |
• | amounts held from time to time in the collection account, distribution account or other account established for a series of securities; | |
• | mortgaged properties that secured a mortgage loan and that are acquired on behalf of the securityholders by foreclosure, deed in lieu of foreclosure or repossession; | |
• | any reserve fund established pursuant to the agreements for a series of securities, if specified in the prospectus supplement. | |
• | any security insurance policy, pool insurance policy, special hazard insurance policy, bankruptcy bond, interest rate cap agreement, interest rate swap agreement, currency swap agreement or other form of credit enhancement described in this prospectus and specified in the prospectus supplement; | |
• | any servicing agreements relating to mortgage loans in the issuing entity, to the extent that these agreements are assigned to the trustee; | |
• | any primary mortgage insurance policies or limited purpose surety bonds relating to mortgage loans in the issuing entity; |
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• | investments held in any fund or account or any guaranteed investment contract and income from the reinvestment of these funds, if specified in the prospectus supplement; and | |
• | any other asset, instrument or agreement relating to the issuing entity described in this prospectus and specified in the prospectus supplement. |
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Categories of Classes | Definition | |
PRINCIPAL TYPES | ||
Accretion Directed | A class that receives principal payments that are funded from collections that would have otherwise funded interest payments on the accreted interest from specified accrual classes. An accretion directed class also may receive principal payments from principal paid on the issuing entity assets. |
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Categories of Classes | Definition | |
Component Securities | A class consisting of “components.” The components of a class of component securities may have different principaland/or interest payment characteristics but together constitute a single class. Each component of a class of component securities may be identified as falling into one or more of the categories in this chart. | |
Notional Amount Securities | A class having no principal balance and bearing interest on the related notional amount. The notional amount is used for purposes of the determination of interest distributions. | |
Planned Principal Class or PACs | A class that is designed to receive principal payments using a predetermined principal balance schedule derived by assuming two constant prepayment rates for the issuing entity assets. These two rates are the endpoints for the “structuring range” for the planned principal class. The planned principal classes in any series of securities may be subdivided into different categories (e.g., primary planned principal classes, secondary planned principal classes and so forth) having different effective structuring ranges and different principal payment priorities. The structuring range for the secondary planned principal class of a series of securities will be narrower than that for the primary planned principal class of such series. | |
Scheduled Principal Class | A class that is designated to receive principal payments using a predetermined principal balance schedule but is not designated as a planned principal class or targeted principal class. In many cases, the schedule is derived by assuming two constant prepayment rates for the issuing entity assets. Theses two rates are the endpoints for the “structuring range” for the scheduled principal class. | |
Sequential Pay | Classes that receive principal payments in a prescribed sequence, that do not have predetermined principal balance schedules and that receive payments of principal, when amounts are available to make payments of principal, continuously from the first payment date on which they receive principal until they are retired. A single class that receives principal payments before or after all other classes in the same series of securities may be identified as a sequential pay class. | |
Strip | A class that receives a constant proportion, or “strip,” of the principal payments on the issuing entity assets. The constant proportion of such principal payments may or may not vary for each asset included in the issuing entity and will be calculated in the manner described in the prospectus supplement. These classes may also receive payments of interest. | |
Support Class (or companion class) | A class that receives principal payments on any payment date only if scheduled payments have been made on specified planned principal classes, targeted principal classesand/or scheduled principal classes |
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Categories of Classes | Definition | |
Targeted Principal Class | A class that is designated to receive principal payments using a predetermined principal balance schedule derived by assuming a single constant prepayment rate for the issuing entity assets. | |
INTEREST TYPES | ||
Accrual | A class that adds accrued interest otherwise distributable on the class to the principal balance of the class on each applicable payment date. The accretion may continue until some specified event has occurred or until the class is retired. | |
Fixed Rate | A class with a pass-through rate or interest rate that is fixed throughout the life of the class. | |
Floating Rate | A class with an interest rate that resets periodically based upon a designated index and that varies directly with changes in that index. | |
Inverse Floating Rate | A class with an interest rate that resets periodically based upon a designated index and that varies inversely with changes in such index. | |
Interest Only or IO | A class that receives some or all of the interest payments made on the issuing entity assets and little or no principal. Interest only certificates have either a nominal principal balance or a notional amount. A nominal principal balance represents actual principal that will be paid on the class. It is referred to as nominal since it is extremely small compared to other classes. A notional amount is an amount used as a reference to calculate the amount of interest due on an interest only security but is never actually paid out as principal on the class. | |
Partial Accrual | A class that adds a portion of the amount of accrued interest thereon to the principal balance of the class on each applicable payment date, with the remainder of the accrued interest to be distributed currently as interest on the class on each applicable payment date. The accretion of designated amounts of the interest may continue until a specified event has occurred or until the class is retired. | |
Principal Only or PO | A class that does not bear interest and is entitled to receive only distributions in respect of principal | |
Variable Rate | A class with a pass-through rate of interest rate that resets periodically and is calculated by reference to the rate or rates of interest applicable to specified assets or instruments (e.g., the loan rates borne by the loans in the issuing entity). |
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• | any applicable record dates, accrual dates, determination dates for calculating distributions and actual distribution dates for the distribution period; | |
• | the amount of cashflows received and the sources thereof for distributions, fees and expenses; |
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• | the amount of fees and expenses accrued and paid, the purpose of such fees and expenses and the identification of each payee, including the amount of fees paid to the trustee, the custodian, the master servicer, the securities administrator, the servicers and subservicers for such distribution date; | |
• | the amount of payments accrued and paid with respect to credit enhancement or other support for the related transaction, including, insurance premiums and payments to swap or cap providers, the purpose of such payments and the identification of each payee; | |
• | the amount of the distribution with respect to each class of securities; | |
• | the amount of such distributions allocable to principal, separately identifying the aggregate amount of any prepayments or other unscheduled recoveries of principal included in such amount; | |
• | the amount of such distributions allocable to interest; | |
• | the class principal balance of each class of securities (other than interest-only securities) as of such distribution date together with the principal balance of the securities of the related class (based on a security in the original principal balance of $1,000), after giving effect to any payment of principal on such distribution date; | |
• | the class notional balance of each class of interest-only securities as of such distribution date together with the principal balance of the securities of the related class (based on a security in the original principal balance of $1,000), after giving effect to any payment of principal on such distribution date; | |
• | if applicable, a statement that interest payable on one or more classes of securities on such distribution date represents interest accrued on those classes at a rate equal to the applicable available funds cap, net weighted average cap or other limitation; | |
• | the amount, terms and general purpose of any Advances for such distribution date, including the general use of funds advanced and the general source of funds for reimbursements, and the amount of any outstanding Advances remaining after such distribution date; | |
• | the purchase price deposited into the collection account with respect to any mortgage loan; | |
• | the total number of mortgage loans and the aggregate principal balances thereof, together with the number and aggregate principal balances of mortgage loans(a) 30-59 days delinquent,(b) 60-89 days delinquent and (c) 90 or more days delinquent; | |
• | the number and aggregate principal balance of mortgage loans in foreclosure proceedings (and whether any such mortgage loans are also included in any of the statistics described in the preceding clause); | |
• | the pool balance as of such distribution; | |
• | any applied loss amount for any class of securities; | |
• | the amount of any basis risk shortfall with respect to any class of securities; | |
• | the amount of excess cash flow or excess spread and the disposition of such excess cash flow or excess spread; | |
• | the overcollateralization amount for such distribution date; | |
• | the amount of any shortfalls in distributions of interest with respect to each class of securities on such distribution date and the cumulative amount of any unreimbursed shortfalls in distributions of interest from prior distribution dates; | |
• | any amounts drawn on any credit enhancement or other support, as applicable, and the amount of coverage remaining under any such enhancement, if known and applicable; | |
• | delinquency and loss information for the distribution period with respect to the mortgage loans in the pool; |
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• | the number of properties and the unpaid principal balance with respect to each property relating to defaulted mortgage loans in the issuing entity; | |
• | the beginning and ending balances of the distribution account, reserve account or other transaction account and any material account activity during the related period; | |
• | any material modifications, extensions or waivers to pool asset terms, fees, penalties or payments during the distribution period or that have cumulatively become material over time; | |
• | information with respect to material breaches of pool asset representations or warranties or transaction covenants; | |
• | information on ratio, coverage or other tests used for determining any early amortization, liquidation or other performance trigger and whether the trigger was met; | |
• | information regarding any changes to the mortgage loans in the pool, including any additions or removals in connection with a pre-funding or revolving period, repurchases or substitutions; | |
• | the amounts on deposit in any pre-funding account; | |
• | information regarding any material changes in the solicitation, credit granting, underwriting, origination, acquisition or pool selection criteria or procedures, as applicable, used to originate, acquire or select additional mortgage loans acquired during a pre-funding or revolving period or in connection with a substitution; and | |
• | such other information as is required under the applicable Agreement. |
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• | call protection for any class of securities of a series; | |
• | a guarantee of a certain prepayment rate of some or all of the mortgage loans underlying the series; or | |
• | certain other guarantees described in the prospectus supplement. |
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• | the subordination of one or more classes of the securities of such series; | |
• | a limited financial guaranty policy issued by an entity named in the prospectus supplement; | |
• | the establishment of one or more reserve accounts; | |
• | the use of a cross-collateralization feature; | |
• | use of a mortgage pool insurance policy; | |
• | excess spread, | |
• | overcollateralization; | |
• | letter of credit or demand note; | |
• | guaranteed investment contract; | |
• | primary mortgage insurance, | |
• | other pledged assets, | |
• | corporate guarantees, | |
• | surety bond; | |
• | special hazard insurance policy; | |
• | bankruptcy bond; | |
• | derivatives; and | |
• | any combination of the foregoing. |
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• | in the order of their scheduled final payment dates; | |
• | in accordance with a schedule or formula; | |
• | in relation to the occurrence of events; or | |
• | otherwise, as specified in the prospectus supplement. |
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• | maintaining timely payments or providing additional protection against losses on the assets included in such issuing entity; | |
• | paying administrative expenses; or | |
• | establishing a minimum reinvestment rate on the payments made in respect of those assets or principal payment rate on those assets. |
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• | the retention by the servicer of certain payments on the mortgage loans; | |
• | the deposit with the trustee, in escrow, by the depositor of a pool of mortgage loans or other assets with the total principal balance, as of the related cut-off date, set forth in the related prospectus supplement; | |
• | an initial deposit; | |
• | any combination of the foregoing; or | |
• | some other manner as specified in the related prospectus supplement. |
• | any required primary mortgage insurance policy is in effect for the defaulted loan and a claim thereunder has been submitted and settled; | |
• | hazard insurance on the related property has been kept in force and real estate taxes and other protection and preservation expenses have been paid; | |
• | if there has been physical loss or damage to the property, it has been restored to its physical condition (reasonable wear and tear excepted) at the time of issuance of the policy; and | |
• | the insured has acquired good and merchantable title to the property free and clear of liens except certain permitted encumbrances. |
• | to purchase the property securing the defaulted loan at a price equal to the principal balance thereof plus accrued and unpaid interest at the loan rate to the date of such purchase and certain expenses incurred by the servicer on behalf of the trustee and securityholders, net of certain amounts paid or assumed to have been paid under the related primary mortgage insurance policy; or |
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• | to pay the amount by which the sum of the principal balance of the defaulted loan plus accrued and unpaid interest at the loan rate to the date of payment of the claim and the aforementioned expenses exceeds the proceeds received from an approved sale of the property, net of certain amounts paid or assumed to have been paid under the related primary mortgage insurance policy. |
• | fraud or negligence in the origination or servicing of a loan, including misrepresentation by the borrower, the originator or persons involved in the origination of the loan; | |
• | failure to construct a property in accordance with plans and specifications or | |
• | losses arising from special hazards, such as earthquakes, floods, mudslides or vandalism. |
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• | homeowner mobility; | |
• | economic conditions; | |
• | changes in borrowers’ housing needs; | |
• | job transfers; | |
• | unemployment; | |
• | borrowers’ equity in the properties securing the mortgages; | |
• | servicing decisions; | |
• | enforceability ofdue-on-sale clauses; | |
• | mortgage market interest rates; | |
• | mortgage recording taxes; | |
• | solicitations and the availability of mortgage funds; and | |
• | the obtaining of secondary financing by the borrower. |
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• | the mortgage note or credit line agreement endorsed without recourse in blank or to the order of the trustee; | |
• | the mortgage, deed of trust or similar instrument with evidence of recording indicated thereon, except that in the case of any mortgage not returned form the public recording office, the depositor will deliver or cause to be delivered a copy of such mortgage together with a certificate that the original of the mortgage was delivered to such recording office; | |
• | an assignment of the mortgage to the trustee, which assignment will be in recordable form in the case of a mortgage assignment; and | |
• | all other security documents, including those relating to any senior interests in the property, that are specified in the prospectus supplement or the related Agreement. |
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• | maintained with a depository institution the short-term debt obligations of which (or, in the case of a depository institution that is the principal subsidiary of a holding company, the short-term debt obligations of such holding company) are rated in one of the two highest short-term rating categories by the rating agency that rated one or more classes of the related series of securities; | |
• | an account or accounts the deposits in which are fully insured by the FDIC; | |
• | an account or accounts the deposits in which are insured by the FDIC to the limits established by the FDIC and the uninsured deposits in which are otherwise secured such that, as evidenced by an opinion of counsel, securityholders have a claim with respect to the funds in such account or accounts, or a perfected first-priority security interest against any collateral securing those funds, that is superior to the claims of any other depositors or general creditors of the depository institution with which such account or accounts are maintained; or | |
• | an account or accounts otherwise acceptable to the rating agency. |
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• | all payments on account of principal and interest (which may be net of the applicable servicing compensation), including principal prepayments and, if specified in the prospectus supplement, any applicable prepayment penalties, on the loans; | |
• | all net insurance proceeds, less any incurred and unreimbursed advances made by the servicer, of the hazard insurance policies and any primary mortgage insurance policies, to the extent such proceeds are not applied to the restoration of the property or released to the mortgagor in accordance with the servicer’s normal servicing procedures; | |
• | all proceeds received in connection with the liquidation of defaulted loans, less any expenses of liquidation and any unreimbursed advances made by the servicer with respect to the liquidated loans; | |
• | any net proceeds received on a monthly basis with respect to any properties acquired on behalf of the securityholders by foreclosure or deed in lieu of foreclosure; | |
• | all advances as described in this prospectus under “Description of the Securities — Advances”; | |
• | all proceeds of any loan or property in respect thereof repurchased by any seller as described under “Loan Program — Representations by Sellers; Repurchases” or “— Assignment of Issuing Entity Assets” above and all proceeds of any loan repurchased in connection with termination of the issuing entity; | |
• | all payments required to be deposited in the collection account with respect to any deductible clause in any blanket insurance policy described under “— Hazard Insurance” below; | |
• | any amount required to be deposited by the servicer in connection with losses realized on investments for the benefit of the servicer of funds held in the collection account and, to the extent specified in the prospectus supplement, any payments required to be made by the servicer in connection with prepayment interest shortfalls; and | |
• | all other amounts required to be deposited in the collection account pursuant to the related agreement. |
• | to transfer funds to an account created by the trustee for distribution of payments due on the securities and other purposes set forth in the prospectus supplement (the “distribution account”); | |
• | to pay to the servicer the purchase price of any additional balances transferred to the trustee resulting from draws under revolving lines of credit as set forth in the prospectus supplement; | |
• | to pay to the servicer the servicing fees described in the prospectus supplement and, as additional servicing compensation, earnings on or investment income with respect to funds in the collection account credited thereto; | |
• | to reimburse the servicer for advances made with respect to a loan, but only from amounts received that represent late payments of principal on, late payments of interest on, insurance proceeds received with respect to or liquidation proceeds received with respect to the same loan; | |
• | to reimburse the servicer for any advances previously made which the servicer has determined to be nonrecoverable; |
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• | to reimburse the servicer from insurance proceeds for expenses incurred by the servicer and covered by insurance policies; | |
• | to reimburse the servicer for unpaid servicing fees and unreimbursedout-of-pocket costs and expenses incurred by the servicer in the performance of its servicing obligations, such right of reimbursement being limited to amounts received representing late recoveries of the payments for which the original advances were made; | |
• | to pay to the servicer, with respect to each loan or property acquired in respect thereof that has been purchased by the servicer pursuant to the Agreement, all amounts received thereon and not taken into account in determining the principal balance of that repurchased loan, | |
• | to reimburse the servicer or the depositor for expenses incurred and reimbursable pursuant to the Agreement; | |
• | pay or reimburse the trustee or any other party as provided in the prospectus supplement; | |
• | to withdraw any amount deposited in the collection account that was not required to be deposited therein; and | |
• | to clear and terminate the collection account upon termination of the Agreement. |
• | direct obligations of, and obligations fully guaranteed as to timely payment of principal and interest by, the United States of America, Freddie Mac, Fannie Mae or any agency or instrumentality of the United States of America, the obligations of which are backed by the full faith and credit of the United States of America; | |
• | demand and time deposits, certificates of deposit or banker’s acceptances; | |
• | repurchase obligations pursuant to a written agreement with respect to any security described in the first clause above; | |
• | securities bearing interest or sold at a discount issued by any corporation incorporated under the laws of the United States of America or any state; | |
• | commercial paper (including both non-interest-bearing discount obligations and interest-bearing obligations payable on demand or on a specified date not more than one year after the date of issuance thereof); | |
• | a guaranteed investment contract issued by an entity having a credit rating acceptable to each rating agency; and |
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• | any other demand, money market or time deposit or obligation, security or investment as would not adversely affect the then current rating by the rating agencies. |
• | waive any prepayment charge, assumption fee, late payment or other charge in connection with a loan; and | |
• | to the extent not inconsistent with the rules applicable to REMIC, and with the coverage of an individual loan by a pool insurance policy, primary mortgage insurance policy, bankruptcy bond or alternative arrangements, if applicable, suspend or reduce regular monthly payment on the loan for a period of up to six months, or arrange with the related borrower a schedule for the liquidation of delinquencies. |
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• | the maximum insurable value of the improvements securing the loan from time to time; and | |
• | either the combined principal balance owing on the loan and any mortgage loan senior to such loan or an amount such that the proceeds of the policy shall be sufficient to prevent the mortgagor or obligorand/or the lender from becoming a co-insurer, whichever is greater. |
• | war; | |
• | revolution; | |
• | governmental actions; | |
• | floods and other water-related causes; | |
• | earth movement, including earthquakes, landslides and mud flows; | |
• | nuclear reactions; | |
• | wet or dry rot; | |
• | vermin, rodents, insects or domestic animals; or | |
• | theft and, in certain cases, vandalism. |
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• | all rents or other payments collected or received by the insured (other than the proceeds of hazard insurance) that are derived from or in any way related to the property; | |
• | hazard insurance proceeds in excess of the amount required to restore the property and which have not been applied to the payment of the loan; | |
• | amounts expended but not approved by the insurer of the related primary mortgage insurance policy; | |
• | claim payments previously made by the insurer; and | |
• | unpaid premiums. |
• | fraud or negligence in origination or servicing of the loans, including misrepresentation by the originator, mortgagor (or obligor) or other persons involved in the origination of the loan; | |
• | failure to construct the property subject to the loan in accordance with specified plans; | |
• | physical damage to the property; and | |
• | the related subservicer not being approved as a servicer by the insurer. |
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• | first, to reimburse the servicer for any unreimbursed expenses incurred by it to restore the related property and any unreimbursed servicing compensation payable to the servicer with respect to the loan; | |
• | second, to reimburse the servicer for any unreimbursed advances with respect to the loan; | |
• | third, to accrued and unpaid interest (to the extent no advance has been made for that amount) on the loan; and | |
• | fourth, as a recovery of principal of the loan. |
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• | any failure by the servicer to make an Advance which continues unremedied for one business day; | |
• | any failure by the servicer to make or cause to be made any other required payment pursuant to the Agreement which continues unremedied for one business day after written notice of such failure to the servicer in the manner specified in the Agreement; | |
• | any failure by the servicer duly to observe or perform in any material respect any of its other covenants or agreements in the Agreement which continues unremedied for sixty days after written notice of the failure to the servicer in the manner specified in the Agreement; and | |
• | certain events of insolvency, readjustment of debt, marshalling of assets and liabilities or similar proceedings and certain actions by or on behalf of the servicer indicating its insolvency, reorganization or inability to pay its obligations. |
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• | change the amount of, or delay the timing of, payments on any note or bond; | |
• | alter the obligation of the master servicer or indenture trustee to make Advances or alter the servicing standards set forth in the sale and servicing agreement or the applicable Agreement; | |
• | reduce the proportion of notes or bonds required to consent to a supplemental indenture; or | |
• | permit the creation of any lien on any collateral prior to or on parity with the lien of the indenture. |
• | a default in the payment of any principal of or interest on any note or bond as specified in the prospectus supplement; | |
• | failure to perform in any material respect any other covenant of the depositor or the issuing entity in the indenture which continues for a period of thirty (30) days after notice thereof is given in accordance with the procedures described in the prospectus supplement; | |
• | certain events of bankruptcy, insolvency, receivership or liquidation of the depositor or the issuing entity; or | |
• | any other event of default provided with respect to notes or bonds of that series including, but not limited to, certain defaults on the part of the issuing entity under any credit enhancement instrument supporting such notes or bonds. |
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• | the holders of 100% of the outstanding notes or bonds of such series consent to the sale; | |
• | the proceeds of the sale or liquidation are sufficient to pay in full the principal of and accrued interest, due and unpaid, on the outstanding notes or bonds of the series at the date of the sale; or | |
• | the trustee determines that the collateral would not be sufficient on an ongoing basis to make all payments on the notes or bonds as those payments would have become due if the notes or bonds had not been declared due and payable, and the trustee obtains the consent of the holders of 662/3% of the aggregate voting rights of the notes or bonds of that series. |
• | so long as any notes or bonds are outstanding, dissolve or liquidate in whole or in part or merge or consolidate with any other entity; |
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• | except as expressly permitted by the indenture or other applicable Agreement, sell, transfer or otherwise dispose of the assets of the issuing entity, unless directed to do so by the trustee; | |
• | permit the validity or effectiveness of the related indenture to be impaired, or permit the indenture to be amended, or permit any person to be released from any covenants or obligations under the indenture, except as expressly provided by the indenture; | |
• | permit any lien or other encumbrance to be created on or otherwise burden the collateral (other than by operation of law as provided in the indenture); or | |
• | take any other action that may cause the issuing entity to be taxable as an association, a publicly traded partnership or a taxable mortgage pool pursuant to the Code. |
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• | issuing notes or bonds pursuant to an indenture and to conducting an offering of the notes or bonds; |
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• | issuing certificates pursuant to a trust agreement and conducting an offering or a private placement of the certificates; | |
• | acquiring mortgage loans and other property from the depositor and, pursuant to an indenture, pledging the mortgage loans to the indenture trustee as security for the issuing entity’s obligations under the notes or bonds; | |
• | entering into and performing its obligations under the sale and servicing agreement or other applicable agreement, the trust agreement, the indenture, the servicing agreements, the custodial agreement, the administration agreement and any other applicable agreements; | |
• | entering into any applicable interest rate cap or swap agreements; | |
• | such other purposes as are described in the applicable prospectus supplement; | |
• | engaging in those activities that are necessary, suitable or convenient to accomplish the foregoing or are incidental thereto or connected therewith; and | |
• | engaging in such other activities as may be appropriate in connection with conservation of the trust estate and the making of payments to securityholders. |
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• | the original mortgage note endorsed to the order of the trustee or in blank, or a lost note affidavit in lieu thereof, with all prior and intervening endorsements; | |
• | the original recorded mortgage, or if the original mortgage has been submitted for recordation but has not been returned by the applicable public recording office, a certified copy thereof; | |
• | for any mortgage loan not recorded with MERS(R) System, the original assignment of the mortgage to the trustee or in blank, in recordable form (except as described in the related prospectus supplement); | |
• | each original recorded intervening assignment of the mortgage as may be necessary to show a complete chain of title to the trustee, or if any assignment has been submitted for recordation but has not been returned from the applicable public recording office or is otherwise not available, a certified copy thereof; | |
• | the original of the policy or certificate of primary mortgage guaranty insurance, to the extent available, or a copy of such policy certified as true and correct by the insurer; | |
• | the original title insurance policy, note of title insurance or written commitment, or a copy of such policy certified as true and correct by the insurer; and | |
• | the original or certified copies of each assumption agreement, modification agreement, written assurance or substitution agreement, if any. |
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• | state-chartered banks may originate alternative mortgage instruments, including ARM Loans, in accordance with regulations promulgated by the Comptroller of the Currency with respect to origination of alternative mortgage instruments by national banks, state-chartered credit unions may originate alternative mortgage instruments in accordance with regulations | |
• | promulgated by the National Credit Union Administration with respect to origination of alternative mortgage instruments by federal credit unions, and | |
• | all other nonfederally chartered housing creditors, including, without limitation, state-chartered savings and loan associations, savings banks and mutual savings banks and mortgage banking companies, may originate alternative mortgage instruments in accordance with the regulations promulgated by the Federal Home Loan Bank Board, predecessor to the Office of Thrift Supervision, with respect to origination of alternative mortgage instruments by federal savings and loan associations. |
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• | REMIC securities (“REMIC Securities”) | |
• | securities issued by issuing entities for which a REMIC election is not made and which are treated as indebtedness of the issuer for federal income tax purposes (“Non-REMIC Debt Securities”) |
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• | Prohibited Transaction Class Exemption (“PTCE”)84-14, which exempts certain transactions effected on behalf of a Plan by a “qualified professional asset manager”; | |
• | PTCE 90-1, which exempts certain transactions involving insurance company pooled separate accounts; | |
• | PTCE 91-38, which exempts certain transactions involving bank collective investment funds; | |
• | PTCE 95-60, which exempts certain transactions involving insurance company general accounts; or |
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• | PTCE 96-23, which exempts certain transactions effected on behalf of a Plan by certain “in-house asset managers.” |
• | the maintenance of a system of insurance or other protection for the pooled mortgage loans and property securing such loans, and for indemnifying certificateholders against reductions in pass-through payments due to property damage or defaults in loan payments in an amount not less than the greater of one percent of the aggregate principal balance of all covered pooled mortgage loans or the principal balance of the largest covered pooled mortgage loan; | |
• | the existence of a pool trustee who is not an affiliate of the pool depositor; and |
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• | a limitation on the amount of the payment retained by the pool depositor, together with other funds inuring to its benefit, to not more than adequate consideration for selling the mortgage loans plus reasonable compensation for services provided by the pool depositor to the pool. |
• | property securing a permitted obligation; | |
• | undistributed cash, cash credited to a “pre-funding account” or a “capitalized interest account”, and certain temporary investments made therewith; and | |
• | certain types of credit support arrangements, including yield supplement agreements and interest-rate swaps that meet certain requirements set forth in exemptions. |
• | the plan must acquire the securities on terms, including the security price, that are at least as favorable to the plan as they would be in an arm’s-length transaction with an unrelated party; | |
• | the securities must not be subordinated to any other class of securities issued by the same issuer, unless the securities are issued in a “designated transaction”; | |
• | at the time of acquisition, the securities acquired by the plan must have received a rating in one of the three (or, in the case of designated transactions, four) highest generic rating categories from Standard |
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and Poor’s Rating Services, Moody’s Investors Service, Inc. or Fitch Ratings, each referred to herein as a “rating agency”; |
• | the trustee must not be an affiliate of any other member of the “restricted group”; | |
• | the sum of all payments made to and retained by the underwriter must not total more than reasonable compensation for underwriting the securities, the sum of all payments made to and retained by the issuer’s depositor for assigning the obligations to the issuer must not total more than the fair market value of the obligations, and the sum of all payments made to and retained by any servicer must not total more than reasonable compensation and expense reimbursement for its services; | |
• | the plan must be an “accredited investor” as defined in Rule 501(a)(1) of Regulation D of the commission under the Securities Act of 1933; and | |
• | in the event that all of the obligations used to fund the issuer have not been transferred to the issuer on the closing date, additional obligations having an aggregate value equal to no more than 25% of the total principal amount of the securities being offered may be transferred to the issuer under a pre-funding feature within ninety days or three months following the closing date. |
• | the assets of the issuer must consist solely of assets of the type that have been included in other investment pools; | |
• | securities evidencing interests in other investment pools must have been rated in one of the three (or in the case of designated transactions, four) highest rating categories by a rating agency for at least one year prior to the plan’s acquisition of securities; and | |
• | investors other than plans must have purchased securities evidencing interests in the other investment pools for at least one year prior to the plan’s acquisition of securities. |
• | the securities acquired by a plan in the designated transaction are not subordinated to any other class of securities issued by the same issuer; | |
• | at the time of acquisition, the securities acquired by the plan must have received a rating in one of the two highest generic rating categories from a rating agency; and | |
• | the obligations must be secured by collateral whose fair market value on the closing date of the designated transaction is at least equal to 80% of the sum of (i) the outstanding principal balance due under the obligation and (ii) the outstanding principal balance of any other obligations of higher priority (whether or not held by the issuer) which are secured by the same collateral. |
• | in the case of an acquisition in connection with the initial issuance of the securities, at least fifty percent of each class of securities in which plans have invested is acquired by persons independent of the restricted group and at least fifty percent of the aggregate interest in the issuer is acquired by persons independent of the restricted group; |
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• | the fiduciary, or its affiliate, is an obligor with respect to five percent or less of the fair market value of the obligations or receivables contained in the issuer; | |
• | the plan’s investment in each class of securities does not exceed twenty-five percent of all of the securities of that class outstanding at the time of acquisition; and | |
• | immediately after the plan acquires the securities, no more than twenty-five percent of the plan’s assets for which the person is a fiduciary are invested in certificates representing an interest in one or more trusts containing assets sold or serviced by the same entity. |
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• | conduct a pre-purchase portfolio sensitivity analysis for any “significant transaction” involving securities or financial derivatives; and | |
• | conduct a pre-purchase price sensitivity analysis of any “complex security” or financial derivative. |
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• | payment delinquencies of the mortgage loans; | |
• | cumulative losses with respect to the mortgage loans; and | |
• | prepayments of the mortgage loans, |
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• | structural and legal aspects associated with the securities; | |
• | the extent to which the payment stream on the underlying assets is adequate to make payments required by the securities; and | |
• | the credit quality of the credit enhancer or guarantor, if any. | |
• | Ratings on the securities do not, however, constitute a statement regarding: | |
• | the likelihood of principal prepayments by borrowers; | |
• | the degree by which the rate of prepayments made by borrowers might differ from that originally anticipated; or | |
• | whether the yields originally anticipated by investors of any series of securities may be adversely affected as a result of those prepayments. |
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Accretion Directed | 40 | |||
Accrual | 41 | |||
Accrual Securities | 39 | |||
Additional Charges | 23 | |||
Additional Collateral Loans | 85 | |||
Adjustable Rate Mortgage Loans (ARMs) | 2 | |||
Advances | 65 | |||
Agreement | 36 | |||
Available Funds | 38 | |||
Backup Withholding | 92 | |||
Balloon Payment | 19 | |||
Beneficial Owners | 45 | |||
Bondholders | 17 | |||
Bonds | 17 | |||
Book-Entry Securities | 45 | |||
Buydown | 27 | |||
CERCLA | 83 | |||
Certificateholders | 17 | |||
Certificates | 17 | |||
Class Security Balance | 38 | |||
Clearstream | 46 | |||
CMT | 21 | |||
Code | 38 | |||
COFI | 21 | |||
Collateral Value | 22 | |||
Collection Account | 61 | |||
CombinedLoan-to-Value Ratio | 22 | |||
Component Securities | 40 | |||
Cut-Off Date | 3 | |||
Daily Portions | 93 | |||
Debt Security | 92 | |||
Debt Service Reduction | 86 | |||
Deficient Valuation | 86 | |||
Delinquency Advance | 65 | |||
Depositor | 12 | |||
Distribution Account | 63 | |||
DOL | 107 | |||
Draw Period | 23 | |||
Draws | 23 | |||
DTC | 14 | |||
Due On Sale | 19 | |||
EffectiveLoan-to-Value Ratio | 22 | |||
Eligible Investments | 61 | |||
EPA | 83 |
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ERISA | 38 | |||
Euroclear | 46 | |||
Exchange Act | 108 | |||
Excluded Balance | 43 | |||
Federal Funds Rate | 21 | |||
Fixed Rate | 39 | |||
Floating Rate | 41 | |||
Foreign Person | 101 | |||
Garn-St. Germain Act | 87 | |||
Government Securities | 102 | |||
GPM Fund | 20 | |||
GPM Loans | 20 | |||
Home Equity Revolving Credit Loans | 23 | |||
Hybrid | 2 | |||
Indemnified Party | 69 | |||
Indenture | 74 | |||
Indenture Trustee | 74 | |||
Indirect Participants | 46 | |||
Interest-Only | 2 | |||
Interest Only (IO) | 42 | |||
Inverse Floating Rate | 41 | |||
IRS | 92 | |||
LIBOR | 20 | |||
LIBORSWAP | 20 | |||
Loan-to-Value Ratio | 21 | |||
Lockout Periods | 19 | |||
Lower Tier REMICs | 96 | |||
Master Servicer Event of Default | 70 | |||
MERS | 60 | |||
MTA | 21 | |||
NCUA | 111 | |||
Negative Amortization | 2 | |||
1986 Act | 92 | |||
Non-REMIC Debt Securities | 92 | |||
Noteholders | 17 | |||
Notes | 17 | |||
Notional Amount Securities | 40 | |||
OID | 92 | |||
OID Regulations | 92 | |||
Option ARMs | 2 | |||
Outside Reserve Fund | 97 | |||
Overcollateralization | 6 | |||
Owner Trustee | 76 | |||
Parity Act | 88 | |||
Partial Accrual | 42 |
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Parties in Interest | 107 | |||
Plans | 107 | |||
Plan Asset Regulation | 107 | |||
Planned Principal Class (PACs) | 40 | |||
Pool | 17 | |||
Portfolio Income | 98 | |||
Prime Rate | 21 | |||
Principal Only (PO) | 38 | |||
PTCEs | 107 | |||
Qualified Mortgage | 35 | |||
Qualified Mortgages | 97 | |||
Rating Agency | 42 | |||
RCRA | 83 | |||
Refinance Loan | 22 | |||
Regular Interest Securities | 92 | |||
Reigle Act | 90 | |||
Relief Act | 89 | |||
REMIC | 96 | |||
REMIC Regulations | 91 | |||
REMIC Securities | 91 | |||
Residual Interest Securities | 96 | |||
Revolving Account | 25 | |||
Revolving Mortgage Loans | 25 | |||
Revolving Period Arrangement | 25 | |||
RICO | 91 | |||
RWT Holdings | 15 | |||
SBJPA of 1996 | 99 | |||
SEC Rule 190 | 32 | |||
Scheduled Principal Class | 41 | |||
Secured Creditor Exclusion | 83 | |||
Securities | 15 | |||
Securityholders | 17 | |||
Senior Securities | 42 | |||
Sequential Pay | 41 | |||
Servicing Advances | 65 | |||
SMMEA | 111 | |||
Sponsor | 15 | |||
Standard | 19 | |||
Step-Down | 20 | |||
Strip | 41 | |||
Subordinate Securities | 42 | |||
Support Class | 41 | |||
Targeted Principal Class | 41 | |||
Tax Prepayment Assumption | 93 | |||
T-Bill | 21 |
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TILA | 90 | |||
Terms and Conditions | 45 | |||
Thrift Institutions | 99 | |||
Title V | 88 | |||
Trust Agreement | 78 | |||
Trustee | 80 | |||
Trust Indenture Act | 74 | |||
Upper Tier REMICs | 96 | |||
U.S. Person | 101 | |||
Variable Rate | 42 | |||
Withholding Agent | 105 | |||
Wraparound | 86 |
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(Approximate)
SEQUOIA MORTGAGE TRUST 2007-2 |
Depositor
MERRILL LYNCH & CO. | Banc of America Securities LLC |