Exhibit 99.1
The Mortgage Loans, representing approximately 88.33% of the Group I
Loans (by aggregate principal balance as of the Subsequent Cut-off Date), are
evidenced by mortgage notes (each, a "Mortgage Note"), secured by first or
second mortgages or deeds of trust (the "Mortgage") on one- to four-family
residential properties consisting of attached or detached one- to four-f
dwelling units and individual condominium units (each, a "Mortgaged Property").
The Manufactured Home Loans, representing approximately 11.67% of the Group I
Loans (by aggregate principal balance as of the Subsequent Cut-off Date), are
evidenced by first or second manufactured housing contracts (each, a
"Manufactured Home Contract" and together with the Mortgage Notes, the "Debt
Instruments") on manufactured homes (each, a "Manufactured Home" and together
with the Mortgaged Properties, the "Properties") that are not real estate. The
Group I Loans consist of approximately 4,136 Loans, of which approximately
92.61% are secured by first Mortgages or Manufactured Home Contracts, as
applicable and approximately 7.39% are secured by second Mortgages or
Manufactured Home Contracts, as applicable.
As of the Subsequent Cut-off Date, the average unpaid principal balance
of the Group I Loans was approximately $54,188. As of the Subsequent Cut-off
Date, the weighted average Loan Rate of the Group I Loans was approximately
10.452% per annum. As of the Subsequent Cut Date, the weighted average CLTV at
origination of the Group I Loans was approximately 79.50%.
The weighted average remaining term to maturity of the Group I Loans was
approximately 244 months as of the Subsequent Cut-off Date, and the latest
scheduled maturity of any Group I Loan is April 2031; however the actual date on
which any Group I Loan is paid in full may be earlier than the stated maturity
date due to unscheduled payments of principal.
As of the Subsequent Cut-off Date, all of the Group I Loans were
secured by Mortgaged Properties or Manufactured Homes. Based on information
supplied by the borrowers in connection with their loan applications at
origination, Properties securing approximately 88.46% of the Group I Loans will
be owner occupied primary residences.
Approximately 48.27% of the Group I Loans provide for penalties upon
full prepayment during the first one, two, three, four or five years after
origination thereof. Each of the Group I Loans is subject to a due-on-sale
clause.
Except with respect to approximately 18.56% of the Group I Loans, the
scheduled monthly payment on each Group I Loan includes interest plus an amount
that will amortize the outstanding principal balance of the Group I Loan over
its remaining term.
The Group I Loans are expected to have the following characteristics as
of the Subsequent Cut-off Date (the sum in any column may not equal the total
indicated due to rounding):
SUBSEQUENT CUT-OFF DATE PRINCIPAL BALANCES OF THE GROUP I LOANS (1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
PRINCIPAL BALANCE ($) OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
4,548.03 - 50,000.00... 2,351 $74,459,271.23 33.22%
50,000.01 - 100,000.00... 1,380 92,833,260.48 41.42
100,000.01 - 150,000.00... 287 34,765,865.45 15.51
150,000.01 - 200,000.00... 86 14,678,402.14 6.55
200,000.01 - 250,000.00... 26 5,818,707.35 2.60
250,000.01 - 274,459.90... 6 1,566,897.38 0.70
----- --------------- ------
TOTAL.................... 4,136 $224,122,404.03 100.00%
===== =============== ======
(1) THE AVERAGE SUBSEQUENT CUT-OFF DATE PRINCIPAL BALANCE OF THE GROUP I LOANS
WAS APPROXIMATELY $54,188.
CREDIT BUREAU RISK SCORES FOR THE GROUP I LOANS(1)(2)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
CREDIT BUREAU RISK SCORE OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
N/A................... 147 $ 8,947,385.79 3.99%
401 - 450 4 265,624.51 0.12
451 - 500 65 3,302,335.64 1.47
501 - 550 500 26,536,136.61 11.84
551 - 600 846 50,490,609.06 22.53
601 - 650 1,060 58,447,024.06 26.08
651 - 700 847 44,074,026.69 19.67
701 - 750 463 23,252,255.55 10.37
751 - 800 200 8,633,751.39 3.85
801 - 820 4 173,254.73 0.08
----- --------------- ------
TOTAL.............. 4,136 $224,122,404.03 100.00%
===== =============== ======
________________
(1) THE WEIGHTED AVERAGE CREDIT BUREAU RISK SCORE OF THE GROUP I LOANS WAS
APPROXIMATELY 626.
(2) DETERMINED FOR EACH GROUP I LOAN AS DESCRIBED UNDER "NEW SOUTH FEDERAL
SAVINGS BANK--UNDERWRITING STANDARDS" IN THE PROSPECTUS SUPPLEMENT.
ORIGINAL TERMS TO MATURITY OF THE GROUP I LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
ORIGINAL TERM (MONTHS) OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
48 - 72........ 21 $ 385,606.55 0.17%
73 - 108........ 24 432,594.70 0.19
109 - 144........ 204 5,417,242.53 2.42
145 - 180........ 2,057 102,035,294.06 45.53
181 - 216........ 8 226,103.54 0.10
217 - 252........ 526 25,975,436.82 11.59
289 - 324........ 93 3,451,452.18 1.54
325 - 360........ 1,203 86,198,673.65 38.46
----- --------------- ------
TOTAL.......... 4,136 $224,122,404.03 100.00%
===== =============== ======
____________________
(1) THE WEIGHTED AVERAGE ORIGINAL TERM TO MATURITY OF THE GROUP I LOANS WAS
APPROXIMATELY 256 MONTHS.
REMAINING TERMS TO MATURITY OF THE GROUP I LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
REMAINING TERM (MONTHS) OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
27 - 36........... 2 $ 57,574.22 0.03%
37 - 72........... 37 660,842.20 0.29
73 - 108........... 97 2,380,712.26 1.06
109 - 144........... 168 5,419,836.41 2.42
145 - 180........... 2,015 100,263,766.73 44.74
181 - 216........... 16 754,983.49 0.34
217 - 252........... 510 25,304,480.27 11.29
253 - 288........... 90 3,455,826.51 1.54
289 - 324........... 23 1,783,011.72 0.80
325 - 360........... 1,178 84,041,370.22 37.50
----- --------------- ------
TOTAL............. 4,136 $224,122,404.03 100.00%
===== =============== ======
____________________
(1) THE WEIGHTED AVERAGE REMAINING TERM TO MATURITY OF THE GROUP I LOANS WAS
APPROXIMATELY 244 MONTHS.
PROPERTY TYPES OF THE GROUP I LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
PROPERTY TYPE OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
Single Family............ 3,371 $191,863,996.81 85.61%
Manufactured Housing..... 656 26,157,077.35 11.67
Other.................... 37 2,551,123.41 1.14
Mobile Home.............. 46 2,393,456.14 1.07
Two to Four Family....... 12 646,400.66 0.29
Condominium.............. 10 273,886.20 0.12
Apartment................ 4 236,463.46 0.11
----- --------------- ------
Total.............. 4,136 $224,122,404.03 100.00%
===== =============== ======
OCCUPANCY STATUS OF THE GROUP I LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
OCCUPANCY STATUS OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
Primary............... 3,698 $198,261,902.91 88.46%
Second Home........... 261 17,067,142.70 7.62
Investor.............. 137 6,130,061.95 2.74
Other................. 1 73,306.84 0.03
Unknown............... 39 2,589,989.63 1.16
----- --------------- ------
Total............ 4,136 $224,122,404.03 100.00%
===== =============== ======
____________________
(1) Occupancy as represented by the borrower at the time of origination.
PURPOSE OF THE GROUP I LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
PURPOSE OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
Refinance............ 2,894 $152,181,600.75 67.90%
Purchase............. 1,203 68,442,094.63 30.54
Other................ 39 3,498,708.65 1.56
----- --------------- ------
Total........... 4,136 $224,122,404.03 100.00%
===== =============== ======
ORIGINAL CLTVS OF THE GROUP I LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
ORIGINAL CLTV (%) OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
11.90 - 20.00...... 13 $ 272,539.13 0.12%
20.01 - 30.00...... 42 965,734.47 0.43
30.01 - 40.00...... 76 2,223,398.11 0.99
40.01 - 50.00...... 129 5,071,615.08 2.26
50.01 - 60.00...... 208 8,793,678.19 3.92
60.01 - 70.00...... 401 20,002,954.36 8.93
70.01 - 80.00...... 1,389 82,712,307.47 36.90
80.01 - 90.00...... 1,276 75,815,563.81 33.83
90.01 - 100.00...... 602 28,264,613.41 12.61
----- --------------- ------
TOTAL.......... 4,136 $224,122,404.03 100.00%
===== =============== ======
__________________
(1) THE WEIGHTED AVERAGE CLTV AT ORIGINATION OF THE GROUP I LOANS AS OF THE
SUBSEQUENT CUT-OFF DATE WAS APPROXIMATELY 79.50%.
GEOGRAPHIC DISTRIBUTION OF THE PROPERTIES RELATING TO THE GROUP I LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
LOCATION OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
ALABAMA................ 1,343 $ 68,889,044.06 30.74%
ARIZONA................ 12 708,381.88 0.32
ARKANSAS............... 214 12,638,768.18 5.64
CALIFORNIA............. 17 730,786.83 0.33
COLORADO............... 8 387,898.04 0.17
CONNECTICUT............ 2 149,552.55 0.07
FLORIDA................ 252 14,266,065.55 6.37
GEORGIA................ 229 13,196,974.17 5.89
ILLINOIS............... 14 736,979.60 0.33
INDIANA................ 8 389,995.94 0.17
KENTUCKY............... 22 1,465,198.42 0.65
LOUISIANA.............. 712 35,204,904.45 15.71
MARYLAND............... 4 236,898.27 0.11
MASSACHUSETTS.......... 2 229,171.26 0.10
MICHIGAN............... 31 1,077,795.73 0.48
MISSISSIPPI............ 652 31,530,209.15 14.07
MISSOURI............... 1 18,747.10 0.01
NEVADA................. 9 910,225.01 0.41
NEW JERSEY............. 1 114,394.05 0.05
NEW MEXICO............. 2 89,170.35 0.04
NEW YORK............... 8 481,462.08 0.21
NORTH CAROLINA......... 33 2,390,404.90 1.07
OHIO................... 23 1,326,250.75 0.59
OKLAHOMA............... 10 509,904.42 0.23
OREGON................. 1 34,634.56 0.02
SOUTH CAROLINA......... 34 2,259,475.23 1.01
TENNESSEE.............. 371 24,784,041.69 11.06
TEXAS.................. 63 5,455,438.28 2.43
UTAH................... 2 86,890.85 0.04
VIRGINIA............... 50 3,308,783.15 1.48
WASHINGTON............. 3 344,134.58 0.15
WISCONSIN.............. 3 169,822.95 0.08
----- --------------- ------
TOTAL.................. 4,136 $224,122,404.03 100.00%
===== =============== ======
___________________
(1) THE GREATEST ZIP CODE GEOGRAPHIC CONCENTRATION OF THE GROUP I LOANS WAS
APPROXIMATELY 1.05% IN THE 71360 ZIP CODE.
DOCUMENTATION LEVEL OF THE GROUP I LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
DOCUMENTATION LEVEL OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
Limited Documentation........ 3,159 $175,622,821.76 78.36%
Full Documentation........... 858 42,529,308.05 18.98
No Income/No Asset........... 114 5,428,312.19 2.42
Stated Income Documentation.. 2 329,769.49 0.15
Other........................ 3 212,192.54 0.09
----- --------------- ------
Total............... 4,136 $224,122,404.03 100.00%
===== =============== ======
____________________
(1) For a description of each Documentation Level, see "New South Federal
Savings Bank--Underwriting Standards" in the prospectus supplement.
LOAN RATES OF THE GROUP I LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
LOAN RATE (%) OF LOANS DATE DATE
- ------------------------------- --------- ---------------------- ----------------------
6.125 - 7.000...... 98 $ 5,363,062.01 2.39%
7.001 - 8.000..... 275 15,433,328.89 6.89
8.001 - 9.000..... 313 19,541,713.58 8.72
9.001 - 10.000...... 685 41,583,636.95 18.55
10.001 - 11.000...... 1,093 64,652,389.36 28.85
11.001 - 12.000...... 948 49,426,146.20 22.05
12.001 - 13.000...... 504 21,135,283.29 9.43
13.001 - 14.000...... 142 4,959,003.21 2.21
14.001 - 15.000...... 56 1,515,858.13 0.68
15.001 - 16.000...... 19 403,519.30 0.18
16.001 - 16.750...... 3 108,463.11 0.05
Total.. 4,136 $224,122,404.03 100.00%
__________________
(1) The weighted average Loan Rate of the Group I Loans as of the Subsequent
Cut-off Date was approximately 10.452% per annum.